摘要：This article approaches several different methodologies forcalculation of the RAROC (Risk Adjusted Return on Capital)for Brazilian banks. Two questions gave reason to the study:whether the application of different methods for calculation ofthe RAROC would generate significantly different results?,and checking what is the connection between the RAROC andthe generation of economic value, measured by the EVA (Eco-nomic Value Added), for the largest banks with operations inBrazil? The following methodologies for verification of theRAROC were applied: Buch’s Method (2011); Prokopczuk’sMethod (2006); Prokopczuk’s Method (2006) with applicationof the VaR technique; Saunders’s Method (2007); Chapelle’sMethod (2008); and the Smithon & Hayt Method (2001), byapplying these parametric and non-parametric statistics in or-der to check the sensibility of the differences between models.This study has evidenced that, when we compare the metho-dology based on minimum capital with other methodologies,there are no significant differences, except in the few cases in-dicated. It is important to notice it only occurred in the case ofthe Bank of Brazil and it was concentrated in the comparisonof the Creditmetricsmodels and in the methodology in whichthere is equivalence by the reference equity.
其他摘要：This article approaches several different methodologies forcalculation of the RAROC (Risk Adjusted Return on Capital)for Brazilian banks. Two questions gave reason to the study:whether the application of different methods for calculation ofthe RAROC would generate significantly different results?,and checking what is the connection between the RAROC andthe generation of economic value, measured by the EVA (Eco-nomic Value Added), for the largest banks with operations inBrazil? The following methodologies for verification of theRAROC were applied: Buch’s Method (2011); Prokopczuk’sMethod (2006); Prokopczuk’s Method (2006) with applicationof the VaR technique; Saunders’s Method (2007); Chapelle’sMethod (2008); and the Smithon & Hayt Method (2001), byapplying these parametric and non-parametric statistics in or-der to check the sensibility of the differences between models.This study has evidenced that, when we compare the metho-dology based on minimum capital with other methodologies,there are no significant differences, except in the few cases in-dicated. It is important to notice it only occurred in the case ofthe Bank of Brazil and it was concentrated in the comparisonof the Creditmetricsmodels and in the methodology in whichthere is equivalence by the reference equity.
关键词：EVA (Economic Value Added); RAROC (RiskAdjusted Return on Capital); risk capital; banking; Basel ac-cords. EVA (Economic Value Added); RAROC (Risk Adjusted R...
其他关键词：EVA (Economic Value Added); RAROC (RiskAdjusted Return on Capital); risk capital; banking; Basel ac-cords.
