Abstract
The issue of risk-based capital for financial institutions is of considerable current interest. We discuss how the option pricing paradigm provides a theoretical framework for the analysis of this topic. The modern approach to option pricing which was inspired by the seminal work of Black and Scholes has revolutionized our approach to both the theory and practice of many aspects of investment finance and corporate finance.
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Boyle, P.P. (2000). Risk-based Capital for Financial Institutions. In: Ottaviani, G. (eds) Financial Risk in Insurance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-57846-5_3
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DOI: https://doi.org/10.1007/978-3-642-57846-5_3
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