john.ophof
dra. Ing
Returns are nomally distributed.
Bond Trader with an After-tax profit of 8, Net book Market Value of 120, Weekly volatility 1.1%, Tax Rate.
What is RAROC for the bond trader.
In the answer they divide 8 by VAR. In the question there was no confidence interval but it must be 99 (z 2.33).
I think this question is not okay since Expected loss is excluded here.
84.92% is the answer.
John
Bond Trader with an After-tax profit of 8, Net book Market Value of 120, Weekly volatility 1.1%, Tax Rate.
What is RAROC for the bond trader.
In the answer they divide 8 by VAR. In the question there was no confidence interval but it must be 99 (z 2.33).
I think this question is not okay since Expected loss is excluded here.
84.92% is the answer.
John
