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| Format: | Artículo científico |
| Langue: | en |
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Universidad Nacional Autónoma de México
2014
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| Accès en ligne: | https://www.redalyc.org/articulo.oa?id=39531859005 |
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| _version_ | 1866557133404766208 |
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| author | Fabiano Guasti Lima |
| author_facet | Fabiano Guasti Lima |
| contents | Performance of the different RAROC models and their relation with the creation of economic value. A study of the largest banks operating in Brazil Fabiano Guasti Lima Sant Clair de Castro Junior Tabajara Pimenta Júnior Luiz Eduardo Gaio Administración y Contabilidad cords banking Basel ac risk capital EVA (Economic Value Added) 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. 2014 artículo científico 0186-1042 https://www.redalyc.org/articulo.oa?id=39531859005 en http://www.redalyc.org/revista.oa?id=395 Contaduría y Administración application/pdf Universidad Nacional Autónoma de México Contaduría y Administración (México) Num.4 Vol.59 |
| format | Artículo científico |
| id | redalyc_39531859005 |
| language | en |
| publishDate | 2014 |
| publisher | Universidad Nacional Autónoma de México |
| spellingShingle | Performance of the different RAROC models and their relation with the creation of economic value. A study of the largest banks operating in Brazil Fabiano Guasti Lima Administración y Contabilidad cords banking Basel ac risk capital EVA (Economic Value Added) Performance of the different RAROC models and their relation with the creation of economic value. A study of the largest banks operating in Brazil Fabiano Guasti Lima Sant Clair de Castro Junior Tabajara Pimenta Júnior Luiz Eduardo Gaio Administración y Contabilidad cords banking Basel ac risk capital EVA (Economic Value Added) 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. 2014 artículo científico 0186-1042 https://www.redalyc.org/articulo.oa?id=39531859005 en http://www.redalyc.org/revista.oa?id=395 Contaduría y Administración application/pdf Universidad Nacional Autónoma de México Contaduría y Administración (México) Num.4 Vol.59 |
| title | Performance of the different RAROC models and their relation with the creation of economic value. A study of the largest banks operating in Brazil |
| topic | Administración y Contabilidad cords banking Basel ac risk capital EVA (Economic Value Added) |
| url | https://www.redalyc.org/articulo.oa?id=39531859005 |