Nonlinear equity valuation using conic finance and its regulatory implications

DOI10.1007/S11579-018-0219-2zbMATH Open1411.91636OpenAlexW2810853255WikidataQ129576461 ScholiaQ129576461MaRDI QIDQ2633451FDOQ2633451

Authors: Dilip B. Madan 

Publication date: 8 May 2019

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-018-0219-2

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zbMATH Keywords

value at risknonlinear expectationbilateral gamma processmeasure distortion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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Cited In (6)

• CONIC FINANCE AND THE CORPORATE BALANCE SHEET
• A conditional equity risk model for regulatory assessment
• Now decision theory
• Financial finance
• The valuation of corporations: a derivative pricing perspective
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement

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