璁＄畻棰橈細
(1)VaR
(2)RAROC
鍗虫寜椋庨櫓璋冩暣鐨勮祫鏈敹鐩婄巼銆?/p>
RAROC
鐨勮绠楀叕寮忔槸锛?/p>
RAROC=R/EC
鍏朵腑锛?/p>
R
琛ㄧず鏀剁泭锛?/p>
EC
鏄粡娴庤祫鏈紝璁＄畻鏃跺彲浠ョ敤
VaR
琛ㄧず銆?/p>
R=
鍒╂伅鏀跺叆鍔犱笂闈炲埄鎭敹鍏?/p>
+
鎶曡祫鏀剁泭
-
鍑忓幓涓氬姟娲诲姩鏀嚭
-
鍐嶅噺鍘婚鏈熸崯澶便�?/p>
渚嬶細
鏈変竴涓捶娆剧粍鍚堬紝
鏈噾涓?/p>
10
浜跨編鍏冿紝
骞存伅
9%
銆?/p>
璇ラ」璐锋鐨勭粡娴庤祫鏈及璁′负
7500
涓囩編鍏?/p>
锛堝嵆
璐锋鐨?/p>
7.5%
锛?/p>
銆傚洜姝わ紝闇�瑕佸惛鏀?/p>
9.25
浜跨編鍏冪殑瀛樻锛堝勾鍒╃巼
6%
锛夋潵涓鸿繖绗旇捶娆剧闆嗚祫閲戙�?/p>
閾惰姣忓勾鐨勮繍钀ユ垚鏈负
1500
涓囩編鍏冿紝鑰屼笖鍋囧畾杩欎釜璐锋缁勫悎鐨勯鏈熸崯澶辨槸姣忓勾
1%
锛?/p>
1000
涓囩編鍏冿級
锛岃绠楄繖椤硅捶娆剧殑
RAROC
銆?/p>
瑙ｏ細
RAROC=(10*9%-9.25*6%-0.15-0.1)/0.75
=(0.9-0.555-0.15-0.1)/0.75
=12.67%
鍏朵腑
0.9
鏄鏈熸敹鍏ワ紝
0.555
鏄埄鎭敮鍑猴紝
0.15
鏄繍钀ユ垚鏈紝
0.1
鏄鏈熸崯澶便�?/p>
锛?/p>
3
锛夊埄鐜囬闄╄閬夸笌缁撶畻閲戠殑璁＄畻
鍏朵腑锛?/p>
m
r
锛氬弬鑰冨埄鐜?/p>
c
r
锛氬悎鍚屽埄鐜?/p>
A
锛氬悎鍚岄噾棰?/p>
D
锛氬悎鍚屽ぉ鏁?/p>
B:
澶╂暟璁＄畻鎯緥锛堢編鍏冧负
360
澶╋紝鑻遍晳涓?/p>
365
澶╋級
缁撴灉鏄鏁帮紝琛ㄧず鍗栨柟鏀粯缁欎拱鏂癸紱缁?
鏋滀负璐熸暟锛岃〃绀轰拱鏂规敮浠樼粰鍗栨柟
渚嬶細
鍋囪
A
鍏徃鍦ㄥ叚涓湀涔嬪悗闇�瑕佷竴绗旈噾棰濅负
1000
涓囩編鍏冪殑璧勯噾锛屼负鏈?/p>
3
涓湀锛屽叾璐㈠姟缁?/p>
鐞嗛娴嬪眾鏃跺埄鐜囧皢涓婃定锛?/p>
鍥犳锛?/p>
涓洪攣瀹氬叾璧勯噾鎴愭湰锛?/p>
璇ュ叕鍙镐笌鏌愰摱琛岀璁簡涓�浠藉崗璁埄鐜囦负
5.9%
锛屽悕涔夋湰閲戦涓?/p>
1000
涓囩編鍏冪殑
6*9
杩滄湡鍒╃巼鍗忚
鍋囪
6
涓湀鍚庯紝甯傚満鍒╃巼鏋滅劧涓婃定锛?/p>
3
涓湀鏈熷競鍦哄埄鐜囦负
6%
锛屽垯杩滄湡鍒╃巼鍗忚
缁撶畻
鏃ュ簲浜ゅ壊鐨?/p>
閲戦
涓哄灏戯紵
(
鑻ュ埄鐜囨崲涓?/p>
5%
鍛紵
)
鍋囪姝ゆ椂
A
鍏徃涓洪厤鍚堝叾璐㈠姟璧勯噾鐨勯渶姹傦紝涓嶅緱涓嶆寜姝ゆ椂鐨勫競鍦哄埄鐜?/p>
6%
鍊熷叆涓�绗旈噾棰濅负
1000
涓囩編鍏冦�佹湡闄愪负
3
涓湀鐨勮祫閲戯紝鍒欏叾鍊熷叆璧勯噾鐨?/p>
鍒╂伅鎴愭湰
涓哄灏戯紵
(
)
=
1
(
)
m
c
m
D
r
r
A
B
D
r
B
飥?/p>
飩?/p>
飩?/p>
飥?/p>
飩?/p>
缁撶畻閲?/p>
90
(6%
5.9%)
10000000
360
2463.05(
)
90
1
(6%
)
360
飥?/p>
飩?/p>
飩?
飥?/p>
飥?/p>
飩?/p>
缇庡厓
90
1000000
6%
=
150000
360
飩?/p>
飩?/p>
锛堢編鍏冿級