【摘要】 介绍现有RAROC方法并评价其局限性;提出了一个改进的RAROC理论框架,并提出了相应的简化应用公式;最后指出了应用RAROC方法时应注意的问题及VAR测量风险的局限性,以期对该方法有一个客观认识.更多还原

【Abstract】 This paper introduces the present RAROC methods and its limitations and puts forward an improved RAROC theoretical framework and a corresponding simplified application formula. Finally, it gives the points for attention in applying RAROC and points out the limitations of VAR risk evaluation so as to achieve an objective understanding of the methods.更多还原