BARRIERS TO IMPLEMENTATION OF INTEGRATED MODELS FOR EFFICIENCY AND RISK EVALUATION

Abstract

The main aim of this article is to identify and present barriers to the implementation of integrated models for evaluation of efficiency and risk. Considerations were carried out on the example of the RAROC (Risk-Adjusted Return On Capital) model implementation in a commercial bank. At the beginning integrated models were presented, with particular emphasis on RAROC model, the manner of its determination and application possibilities. Then, important assumptions and barriers to implementation of the integrated model were shown. The evolutionary and adaptive conception of implementation of such models were outlined.