Risk-Adjusted Performance Measures
The measurement of performance is of paramount importance to credit risk management, especially in retail credit risk management where the sheer number of decisions needs to be thoroughly controlled via a standardized approach and a consistent framework. The high number of counterparties and decisions to be made calls for definite and possibly automated decision criteria and for ex post evaluation procedures concerning the rationality of the allocation of the limited capital available for the best investment alternatives on the basis of their expected (perceived) risk and return.
KeywordsCredit Risk Business Unit Equity Capital Capital Management Capital Allocation
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