RAROC formula in study notes, example #1 on page 5: a mistake?

Plirts

New Member
Hi!

Just to check... RAROC formula, Example # 1, page 5: COF should be 50 MM (instead of 47.5MM) and RAROC 10% (not 15%) or is there a trick to obtain COF of 47.5MM?

Thanks,
Kaari
 

David Harper CFA FRM

David Harper CFA FRM
Subscriber
Hi Kaari,

Yes, I mistakenly allowed the first print version of Crouhy (which did deduct the $50 in EC from $1 BB to charge 5% against $950 deposits; but we have long since preferred to match deposits to loan assets), so I need to correct the mistake. Apologies, thanks,
 
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