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Afirm’s financial planning department reports that a project’s proposed risk-adjusted return on capital (RAROC) is 13%, the risk-free rate is 3%, the market return is 11%, and the firm’s equity beta is 1.3. Use adjusted risk-adjusted return on capital (ARAROC) to determine whether or not the project should be accepted. This firm should:

A) Reject the project because its expected ARAROC is higher than the risk-free rate.

B) Accept the project because its expectedARAROC is higher than the market’s risk-free rate

C) Accept the project because its expectedARAROC is lower than the market’s risk-free rate

D) Reject the project because its expected ARAROC is lower than the market’s risk-free rate

答案：D

解析：ARAROC = 0.13-1.3*(0.11-0.03)=2.6% The project should be rejected because theARAROC of 2.6% is less than the risk-free rate.

Assume a bank’s $2.0 billion corporate loan portfolio offers a return of 6% per annum. The expected loss on the portfolio is estimated to be 1.5% per annum; i.e., $30 million. The portfolio is funded by $2 billion in retail deposits with a transfer-priced interest rate charge of 2%. The bank has a direct operating cost of $16 million per annum and an effective tax rate of 25%. Risk analysis of unexpected losses associated with the portfolio tell us we need to set aside economic capital of $200 million against the portfolio; i.e., 10% of the loan amount. The bank’s economic capital must invested in risk-free securities and, unfortunately in the regime of ultra low interest rates, the risk-free rate on government securities is only 1%.Although the loan portfolio’s risk-adjusted return on capital (RAROC) is positive and seemingly high, the bank wants to adjust the traditional RAROC calculation to obtain a RAROC measures that take into account the systemic riskiness of the expected returns. If the risk-free rate is 1%, and the expected rate of return on the market portfolio is 8% such that the equity risk premium is 7%, and the beta of the firm’s equity is 1.6, which of the following is the correct adjusted RAROC and is the project advisable?

A) RAROC is 6.25% but no, the project is bad becauseARAROC is below the risk-free rate.

B) RAROC is 8% but no, the project is bad becauseARAROC is below the risk-free rate.

C) RAROC is 9.8% and yes, the project is good because ARAROC is above the risk-free rate.

D) RAROC is 13.5% and yes, the project is good because ARAROC is above the risk-free rate.掃碼參與

答案：D

解析： Expected revenue = $2.0 billion loan portfolio × 6.0% = $120.0 million

Expected losses = $2.0 billion loan portfolio × 1.5% = $30.0 million Interest expense

= $2.0 billion borrowed funds × 2.0% = $40.0 million Operating cost = $16.0 million

(given as an assumption) Economic capital = $200.0 million = 10.0% × $2.0 billion

(given as an assumption) Return on economic capital (EC) = $2.0 million = $200.0

EC × 1.0% Tax rate = 0.25 (given as assumption) Such that RAROC = [($120.0 - 30.0

- 40.0 - 16.0 + 2.0) × (1.0 - 0.25 tax rate)] / 200.0 = 13.50%Adjusted RAROC =

RAROC - β(e) × [R(m) - Rf] = 13.50% - 1.60 × [8.0% - 1.0%] = 2.30% and 2.30% is

greater than the risk-free rate.

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