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RDP 9210: A Contingent Claim Analysis of Risk-Based Capital Standards for Banks
Equation (13)
d
E
=
V
0
[
(
1
−
c
)
T
n
(
x
+
σ
T
)
d
σ
−
N
(
x
+
σ
T
)
d
c
]
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamizaiaadw eacqGH9aqpcaWGwbWaaSbaaSqaaiaaicdaaeqaaOWaamWaaeaadaqa daqaaiaaigdacqGHsislcaWGJbaacaGLOaGaayzkaaWaaOaaaeaaca WGubaaleqaaOGaamOBamaabmaabaGaamiEaiabgUcaRiabeo8aZnaa kaaabaGaamivaaWcbeaaaOGaayjkaiaawMcaaiaadsgacqaHdpWCcq GHsislcaWGobWaaeWaaeaacaWG4bGaey4kaSIaeq4Wdm3aaOaaaeaa caWGubaaleqaaaGccaGLOaGaayzkaaGaamizaiaadogaaiaawUfaca GLDbaaaaa@5505@