Question: What is RAROC? How does this model use the concept of duration to measure the risk exposure of a loan? How is the expected change

What is RAROC? How does this model use the concept of duration to measure the risk exposure of a loan? How is the expected change in the credit risk premium measured? What precisely is (LN in the RAROC equation?

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RAROC is a measure of expected loan net income in the form of interest plus fees less c... View full answer

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