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RAROC:Using CVaR and Using VaR

Yishan Zhang

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Abstract

The paper introduces CVaR into RAROC(Risk-Adjusted Return on Capital) to evaluate performance.And it compares the results of RAROC by using CVaR and using VaR.It can learn from that,in the condition of normal distribution,both the RAPM(Risk-Adjusted Performance Measure) by using CVaR and that by using VaR are sufficient,reliant and effective,and the two measures are equivalent.But the RAPM by using CVaR is more sufficient,more conservative and more reliant than that by using VaR in the condition of abnormal distribution.What's more,we do empirical study.

About this research paper

What this paper is about

The paper introduces CVaR into RAROC(Risk-Adjusted Return on Capital) to evaluate performance.And it compares the results of RAROC by using CVaR and using VaR.It can learn from that,in the condition of normal distribution,both the RAPM(Risk-Adjusted Performance Measure) by using CVaR and that by using VaR are sufficient,reliant and effective,and the two measures are equivalent.But the RAPM by using CVaR is more sufficient,more conservative and more reliant than that by using VaR in the condition of abnormal distribution.What's more,we do empirical study.

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Available abstract

The paper introduces CVaR into RAROC(Risk-Adjusted Return on Capital) to evaluate performance.And it compares the results of RAROC by using CVaR and using VaR.It can learn from that,in the condition of normal distribution,both the RAPM(Risk-Adjusted Performance Measure) by using CVaR and that by using VaR are sufficient,reliant and effective,and the two measures are equivalent.But the RAPM by using CVaR is more sufficient,more conservative and more reliant than that by using VaR in the condition of abnormal distribution.What's more,we do empirical study.

Key concepts: CVAR, Econometrics, Measure (data warehouse), Risk measure, Expected shortfall, Economics, Mathematics, Computer science

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