RAROC 1 1 ( risk-adjusted performance measure, RAPM ) (riak-based pricing, risk-adjusted pricing) (stakeholders) () 2 (Bankers' Trust) 1990 RAROC(Risk-Adjusted Return on Capital Vasicek ) 2 RAROC = (1) 3 1 2010825 2 RAROCCharles Sanford Jr.19701998 Guill(2007) 3 16
= - + ( - ) + ( - )(2) = X (3) = X + X (4) (2010) 2.1 RAROC RAROC 1 8%800 150 1% 1008% 800 6% = 800 X 6% = 48 5% = 10000 X 5% = 500 1 RAROC (1)RAROC RAROC RAROC = 48-100 + (800-500) + (0-150) 800 (transaction, facility, account) (customer, counterparty, obligor)(product) (business unit, business channel, branch) 4 RAROC(2) = 98 =12.25% 800 2.2 RAROC R A R O C RAROC(ex ante, prospective, predictive) RAROC 4 17
RAROC (ex post, retrospective) RAROC RAROC RAROC RAROC RAROC RAROC RAROC RAROC RAROC 6 RAROC 5 RAROC RAROC RAROC 6 2.3 RAROC ROAROE ROA () 7 ROE = = ( - ) + ( - ) RAROC ROE () 5 RAROC 6 RAROC RAROC 7 (equity) () 18
ROE ROE ROE RAROC ROE RAROC = ROE + - (5) 8 3 RAROC RAROC 3.1 () (4) ( ) = X + X - X (6) = ( + - ) X (7) RAROC 9 RAROC 8 ROE RAROC 9 () 19
(Funds Transfer Price, FTP) FTP FTP RAROC FTP () 10 FTP RAROC FTP FTP RAROC RAROC RAROC RAROC RAROC 3.2 11 RAROC (shared services) (overhead) (overhead functions) 10 11 LGD () LGD ( ) 20
shared services 12 RAROC (2) Activity- Based Costing, ABC 13 ( activities ) (Activity-Based Costing, ABC) 14 Activity-Based Management, ABM 15 () 12 () (outsorucing) Cokins (2009) 13 (cost objects) 14 (cost drivers) 15 (resource drivers) (activity drivers) () () 21
3.3 RAROC 3.3.1 16 RAROC RAROC 3.3.2 RAROC RAROC (management information system, MIS) RAROC 3.4 RAROC 4 16 22
17 (PD)(LGD) (EAD) PD RAROC RAROC RAROCPD 18 19 PDLGD EAD PDLGDEAD RAROC 17 18 RAROC RAROC PD 19 23
20 3.5 RAROC (1) RAROC(1) 21 RAROC = + (8) RAROC RAROC RAROC 22 RAROC RAROC RAROC RAROC RAROC 20 21 ( - ) + ( - ) - 22 m m 24
3.6 RAROC RAROC RAROC RAROC RAROC RAROCRAROC RAROC 資金成本 作業成本 PD 預期損失 LGD EAD 經濟資本 25
23 RAROC RAROC RAROC RAROC PD RAROC LGDEAD RAROC 4 RAROC RAROC 24 RAROC (hurdle rate) = + (9) ( ) () ( ) (8)RAROC 23 24 (IRR) 26
RAROC () RAROC RAROC (rentseeking) 4.1 ( the Capital Asset Pricing Model, the CAPM ) = (1-) X + X = + X 25 CAPM ( the Arbitrage Pricing Model ) Fama-French 4.2 RAROC (Capital Charge) = X = X + X (3) = X (10) (10) 25 () () 27
() () 4.3 ( ) Stern, Stewert & Company EVA (Economic Value Added, ) EVA = ( - + - ) - = ( + - ) - X EVA (Shareholder Va l u e A d d e d, S VA ) ( Economic Profit ) 26 = - = ( - ) + ( - ) - - ( - ) X = ( - ) + ( - ) - - X = ( - ) + ( - ) - - 4.4 RAROC RAROC RAROC 26 EVA P.18 EVA = EVA + - EVA() EVA 28
3.43.5 ( ) ( ) = - = RAROC X - X = ( RAROC - ) X (11) RAROC 5 RAROC RAROC RAROC RAROC RAROC RAROC RAROC RAROC RAROC RAROC Ieraci, 2009 (PIT, point in time) (TTC, through the cycle) (worst-case scenario) RAROC 29
27 RAROC RAROC RAROC RAROC RAROC ( ) RAROC RAROC () RAROC (term structure) RAROC RAROC RAROC RAROC RAROC RAROC 27 30
RAROC RAROC RAROC RAROC RAROC ROE RAROC RAROC RAROC 6 RAROC () ( ) 31
() () FTP (ALM) (FTP) RAROC ( ) = ( ) (12) RAROC 28 = = (FTP) = (13) - () X = = p.27 () () 28 RAROC + - + = (RAROC-) X + RAROC 32
(13) 6.1 6.1.1 PDLGD EAD PD ( ) LGD ( ) () LGD FTP LGD 65 33
LGD LGD 5 RAROC ( ) (override) () ) 100 80 60 圖一 40 20 0 5 4 LGD 3 2 1 1 2 3 4 5 6 7 8 34
B A ( B ( A ) 6.1.2 ) RAROC ) ) ) ) 35
29 6.1.3 ) 30 Basel II ( 29 3%1% 15%5%40% 15% 30 36
31 7 RAROC RAROC RAROC RAROC RAROC RAROC RAROC BASEL II RAROC 1. 2010, 32, 2, 13-46. 2. Cokins, G., 2009. "Activity-Based Cost Management: The Foundation for Shared Services," SAS Inc. White paper. 3. Guill, G. D., 2007, "Bankers Trust and the Birth of Modern Risk Management," Working Paper, Financial Institutions Center, the Wharton School, University of Pennsylvania. 4. Ieraci, R., 2009, "RAROC: A Tool for Factoring Risk into Investment, Pricing, and Compensation." the RMA Journal, March, 68-72. 31 37