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Quantitative Finance Volume 9, 2009 - Issue 7
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Capital requirements, acceptable risks and profits

Dilip B. Madan Robert H. Smith School of Business, University of Maryland, College Park, MD 20742, USACorrespondence[email protected]
Pages 767-773 | Received 14 Jul 2009, Accepted 02 Sep 2009, Published online: 12 Oct 2009

Citations (18)

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Read on this site (3)

Dilip B. Madan. (2012) From credit valuation adjustments to credit capital commitments. Quantitative Finance 12:6, pages 839-845.
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Ernst Eberlein & Dilip B. Madan. (2012) Unbounded liabilities, capital reserve requirements and the taxpayer put option. Quantitative Finance 12:5, pages 709-724.
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Ren-Raw Chen & Frank J. Fabozzi. (2010) A risk-based evaluation of the free-trader option. Quantitative Finance 10:3, pages 235-240.
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Articles from other publishers (15)

Juan F. Rendón, Lina M. Cortés & Javier Perote. (2023) Prudential regulation and bank solvency based on flexible distributions: An example for evaluating the impact of monetary policy. The World Economy.
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Matteo Michielon, Asma Khedher & Peter Spreij. (2021) Liquidity-free implied volatilities: An approach using conic finance. International Journal of Financial Engineering 08:04.
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Ernst Eberlein, Dilip Madan, Martijn Pistorius, Wim Schoutens & Marc Yor. (2013) Two price economies in continuous time. Annals of Finance 10:1, pages 71-100.
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Ruggero Caldana & Gianluca Fusai. (2013) A general closed-form spread option pricing formula. Journal of Banking & Finance 37:12, pages 4893-4906.
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DILIP B. MADAN & WIM SCHOUTENS. (2011) CONIC FINANCE AND THE CORPORATE BALANCE SHEET. International Journal of Theoretical and Applied Finance 14:05, pages 587-610.
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Dilip B. Madan & Wim Schoutens. (2011) Conic coconuts: the pricing of contingent capital notes using conic finance. Mathematics and Financial Economics 4:2, pages 87-106.
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Juan Fernando Rendón, Lina Cortes & Javier Perote. (2021) Determining the Banking Solvency Risk in Times of COVID-19 through Gram-Charlier Expansions. SSRN Electronic Journal.
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Ernst Eberlein, Dilip B. Madan, Martijn Pistorius, Wim Schoutens & Marc Yor. (2013) Two Price Economies in Continuous Time. SSRN Electronic Journal.
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Dilip B. Madan. (2012) From Credit Valuation Adjustments to Credit Capital Commitments. SSRN Electronic Journal.
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Ruggero Caldana & Gianluca Fusai. (2013) A General Closed-Form Spread Option Pricing Formula. SSRN Electronic Journal.
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Piet De Jong & Dilip B. Madan. (2011) Capital Adequacy of Financial Enterprises. SSRN Electronic Journal.
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Dilip B. Madan, Ernst Eberlein & Wim Schoutens. (2011) Capital Requirements, the Option Surface, Market, Credit and Liquidity Risk. SSRN Electronic Journal.
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Dilip B. Madan. (2010) Execution Costs and Efficient Execution Frontiers. SSRN Electronic Journal.
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Wim Schoutens & Dilip B. Madan. (2010) Conic Financial Markets and Corporate Finance. SSRN Electronic Journal.
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Ernst Eberlein & Dilip B. Madan. (2010) Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option. SSRN Electronic Journal.
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