1[1]Christopher James,'RAROC Based Capital Budgeting and Performance Evluation:A Case Study of Bank Capital Allocation '[R] The Wharton Financial Institutions Center,September 22,1996.
2[2]Eric Falkenstein,'Accounting for Economic and Regulatory Capital in RAROC Analysis'[J],Bank Accounting and Finance,Volume 11,Number 11,Fall,1997.
3[3]Froot,K.and J.Stein..'Risk Management,Capital Budgeting and Capital Structure Policy for Financial Institutions:An Integrated Approach'[C],NBER Working Paper #5403,1995.
4[4]Paul Brehm,'RAROC Case Study '[R],Risk Conference,June 7,2001.
5ARTZNER P, DELBAEN F, EBER J M, et al. Coherent measures of risk[J]. Mathematical Finance, 1999, (9) :203 - 228.
6URYASEV S. Conditicnal Value-at-Risk: optimization algorithms and applications[J]. Financial Engineering News, 2000,(14):1 - 15.
7ROCKAFELLAR R T, URYASEV S. Optimization of conditional Value-at-Risk[ J ]. The Journal of Risk, 2000,2 ( 3 ): 21 -41.
8KROKHMAL P, PALMQUIST J, URYASEV S. Portfolio optimization with conditional Value-at-Risk objective and constraints. [J]. The Journal of Risk, 2002,4(2) :273 - 291.
