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Quantitative Finance · Glossário

O que é Risk-adjusted return on capital, capital charge?

Também chamado de: risk-adjusted return on capital · capital charge

Definition 7.7 The Desk and the Firm · Capítulo 7 — Limits and Capital Allocation

A strategy’s risk-adjusted return on capital (RAROC) is its expected P&L divided by the economic capital allocated to it. Its capital charge is the hurdle rate (One Quant Book 6, chapter 19) times that capital, deducted from its P&L when its performance is measured and its pay pool sized.

Expected P&L less a 15% charge on allocated capital. On stand-alone capital three strategies destroy value; on Euler capital two do, credit carry and vol selling, the two that lose most in the firm’s worst years; macro and trend change sign or grow. Data: fm_limits.value_added.
Figure 7.4. Expected P&L less a 15% charge on allocated capital. On stand-alone capital three strategies destroy value; on Euler capital two do, credit carry and vol selling, the two that lose most in the firm’s worst years; macro and trend change sign or grow. Data: fm_limits.value_added.
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