Erel, Isil; Myers, Stewart C.; Read, James A. - 2009
other financial institutions should allocate capital in proportion to the marginal
default value of each line of business …, which is the derivative of the value of the bank’s
default put with respect to a change in the scale of the business … line of business.
*Ohio State University, MIT Sloan School of Management and The Brattle Group, Inc.
We have …