Recent content by snoopy

Dear All, I was trying to build a RAROC model for Bonds and found few issues or concerns: 1. RAROC = Adjusted Income / Capital at Risk 2. Adjusted Income = (Yield - Cost of Funds - Op. Cost - EL ) * (1- Tax rate) 3. Capital at Risk = UL 4. I used the Moodys data for PD and LGD and thus was able...