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ROC/RAROC
ROC/RAROC
Analysis Model has the ability to access a given relationship
profile for the accounts in that relationship, as well as for the
entire relationship as a whole.
With this analysis model you can obtain the
following measures:
-
ROC
- Return
on Capital. This measure gives the return for a given
loan account, as well as for the overall ROC for a given
borrowing relationship. The capital allocation is based
on minimum capital allocation standards.
-
RAROC
- Risk
Adjusted Return on Capital. This measure gives the
return for a given loan account, as well as for the overall
RAROC for a given borrowing relationship, where the return on
capital has been risk-adjusted. The risk adjustment can
be based on the specific risk rating assigned to each loan
account, or based on the loan portfolio type of each loan
account. The capital allocation is based on minimal
capital allocation standards.
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