M
mtm
Member
Hi
Did anyone else struggle to understand chp 12? I took some strain. One of my (many) questions is the following: On page 5 the RAPM formula is given - can someone please explain the numerator and the formula in more detail to me? It does not make 100% sense to me - RAPM measures the return (net of costs and expected losses) as a % of capital held to cover unexpected losses? Also I thought VAR is a measure of risk that measures "unexpected" loss - see top pg 5 and pg 6 paragraph under example and definition in box lower down on pg 6. However at the bottom of pg 5, last sentence "expected" losses is used?
Thanks.
Did anyone else struggle to understand chp 12? I took some strain. One of my (many) questions is the following: On page 5 the RAPM formula is given - can someone please explain the numerator and the formula in more detail to me? It does not make 100% sense to me - RAPM measures the return (net of costs and expected losses) as a % of capital held to cover unexpected losses? Also I thought VAR is a measure of risk that measures "unexpected" loss - see top pg 5 and pg 6 paragraph under example and definition in box lower down on pg 6. However at the bottom of pg 5, last sentence "expected" losses is used?
Thanks.