Help needed in math

[guest]

Could any expert in math tell me the formulas for:
1) the standard normal cumulative distribution function N()
2) the inverse standard normal cumulative distribution function G().
I need mathematical formulas, not computer language program. Or confirm me there are no simple formulas, only be computed numerically. This is related to Basel Banking Supervision new rules (BIS). Thanks in advance, and there is a prize for the right answer. Call me at (613)748-2078 or to my e-mail: xuewaynexue@hotmail.com

 

[klin]

Have you checked Microsoft Excel?

 

[enjoy]

The formula for the cumulative distribution function of the normal distribution does not exist in a simple closed formula. It is computed numerically.
http://www.itl.nist.gov/div898/handbook/eda/section3/eda3661.htm

 

[guest]

Thank you Klin and Enjoy. I think that I understand the three equations now under a help of my colleague (my trouble is in the second equation). The new rules are as follows:
Correlation (R) = 0.15
Capital Requirement (K) = 40% * N[(1-R)^(-0.5) * G(PD) + (R/(1-R))^0.5 * G(0.999)]
Risk - Weighted Assets = K*12.50
where N( ) stands for the standard normal cumulative distribution function, G( ) stands for the inverse standard normal cumulative distribution function, and PD stands for the probability of default by a borrower.
If translating into plain English: Probability of default based on a Normal Distribution, take into account correlation across assets, and adjusted for a 99.9% confidence level.
Enjoy 青铜长老, actually I searched google.com and find this website, just not sure I understand the statement correctly.
Thanks again!

 

[浪子峰]

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