RDP 9210: A Contingent Claim Analysis of Risk-Based Capital Standards for Banks
Equation (7)
d
L
V
=
n
(
x
+
σ
T
)
T
d
σ
−
N
(
x
)
(
1
−
c
)
2
d
c
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamizaiaadY eacaWGwbGaeyypa0JaamOBamaabmaabaGaamiEaiabgUcaRiabeo8a ZnaakaaabaGaamivaaWcbeaaaOGaayjkaiaawMcaamaakaaabaGaam ivaaWcbeaakiaadsgacqaHdpWCcqGHsisldaWcaaqaaiaad6eadaqa daqaaiaadIhaaiaawIcacaGLPaaaaeaadaqadaqaaiaaigdacqGHsi slcaWGJbaacaGLOaGaayzkaaWaaWbaaSqabeaacaaIYaaaaaaakiaa dsgacaWGJbaaaa@4F8A@