The paper introduces CVaR into RAROC (Risk-Adjusted Return on Capital) to evaluate performance. And it compares the results of RAROC by using CVaR and using VaR. It can learn from that, in the condition of normal distribution, both the RAPM (Risk-Adjusted Performance Measure) by using CVaR and that by using VaR are sufficient, reliant and effective, and the two measures are equivalent. But the RAPM by using CVaR is more sufficient, more conservative and more reliant than that by using VaR in the condition of abnormal distribution. What’s more, we do empirical study.

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