Capital requirements, acceptable risks and profits

DOI10.1080/14697680903314456zbMath1181.91101OpenAlexW3121198638MaRDI QIDQ3650960

Dilip B. Madan

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903314456

zbMATH Keywords

balance sheetacceptable riskrisk incentives

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (5)

Conic coconuts: the pricing of contingent capital notes using conic finance ⋮ Two price economies in continuous time ⋮ CONIC FINANCE AND THE CORPORATE BALANCE SHEET ⋮ Unbounded liabilities, capital reserve requirements and the taxpayer put option ⋮ From credit valuation adjustments to credit capital commitments

Cites Work

• Coherent Measures of Risk
• A Fourier Transform Method for Spread Option Pricing
• The Variance Gamma Process and Option Pricing
• Coherent risk measures and good-deal bounds

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