Economic enterprises are modeled to have the return distributions of pure jump limit laws. Specifically the four parameters of a bilateral gamma process synthesize the up and down moves in returns with differing mean and variance rates for the two motions. Prudential capital assessments value a distant terminal payout defined by the accumulated returns. The valuation incorporates risk charges based on measure distortions that generalize the concept of distorted expectations. Particular risk charges are calibrated to data on S&P 500 index options and their associated time series. On the other hand regulatory capital evaluates extreme loss levels possible over a short time interval. For equity market returns the two calculations yield comparable magnitudes displaying enterprises with both sufficient and insufficient capital. Enterprises invested in Treasury bonds have regulatory capital requirements that are well below their prudential capital levels for long positions. Short positions may have insufficient prudential capital values relative to their regulatory counterparts. The additional prudential and regulatory capital costs of leveraged positions are illustrated. Hedge funds reflect high levels of prudential capital associated with low levels of required regulatory capital reflecting the access of good drifts at low risk levels.

中文翻译：

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使用圆锥融资进行非线性股权估值及其监管意义

对经济企业进行建模，使其具有纯跳跃极限法则的收益分布。具体来说，双边伽玛过程的四个参数以两种运动的均值和方差率不同的方式合成了收益率的上下运动。审慎的资本评估会根据累计收益定义遥远的最终支出。评估中包含了基于度量失真的风险费用，这些度量失真导致了预期失真的概念的泛化。特殊风险费用已根据S＆P 500指数期权及其相关时间序列的数据进行了校准。另一方面，监管资本评估在短时间内可能出现的极端损失水平。对于股票市场收益，这两种计算得出的可比数量级显示了具有充足资本和不足资本的企业。投资于国债的企业的监管资本要求远低于其长期头寸的审慎资本水平。相对于监管机构，空头头寸的审慎资本价值可能不足。说明了杠杆头寸的其他审慎和监管资本成本。对冲基金反映了较高的审慎资本和较低的监管资本水平，反映了低风险水平下的良好漂移。