Lecture 13: Review Session,
and New Keynesian Model
ECO 503: Macroeconomic Theory I
Benjamin Moll
Princeton University
Fall 2014
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Review of Material
Course had two components
1
tools
2
substance
Lets go over these, emphasizing what I want you to t
Provisionnement non-vie
Support de cours 2008-2009
Mthodes dterministes
Laurent Devineau
[email protected]
1
PARTIE I METHODES DETERMINISTES . 4
INTRODUCTION. 4
REGLEMENTATION . 4
METHODES DEVALUATION DE LA PROVISION DE SINISTRES . 6
METHODES
1
Financial risk concept
and Hedging strategies
PROFESSOR :
Dang CO-MINH
17 years
of experience in Asset Management, expertise in structured products
Chief Executif
Officer of La Banque Postale Structured Asset Management (3 Bn of
Assets under Mangement
Methodes stochastiques de calcul des reserves en
assurance non vie
Esterina Masiello
M2 Actuariat
2016/2017
Esterina Masiello
Provisionnement stochastique
1 / 53
Limites des methodes deterministes
impossibilite dobtenir une estimation de la loi de probabi
N TP KINH T LNG CN BN
(D bo bng phn tch hi quy)
P.
T.B
KHOA KINH T
ptbinh[a-cng]ueh.edu.vn
Bi ging 4: D bo bng phn tch hi quy
Ni dung:
c im ca cc c lng OLS
ngha ca h s hi quy ring
Chn bin gii thch
Chn dng hm
a cng tuyn
Tng quan chui
Phng sai thay i
Hng d
a. The net present value (NPV) of a project is found by subtracting a project's initial investment (CFO) from the present value of its
cash inflows (CFt) discounted at a rate equal to the firm's cost of capital (r). To calculate the NPV for Press A, use t
The net present value (NPV) of a project is found by subtracting a project's initial investment (CFO) from the present value of its
cash inflows (CFt) discounted at a rate equal to the firm's cost of capital (r). The project's NPV is computed as follows:
The net present value (NPV) of a project is found by subtracting a project's initial investment (CFO) from the present value of its
cash inflows (CFt) discounted at a rate equal to the firm's cost of capital (r). The project's NPV is computed as follows:
The IRR is the discount rate that equates the NPV of an investment opportunity with $0 (because the present value of cash inflows
equals the initial investment). It is the rate of return that the firm will earn if it invests in the project and receives th
a. The payback period can be found by using the following equation:
Payback
=t+%oneart1,
penod
where t is the year at the end of which the initial investment is recovered, and % of Year, is year t's fraction of inflow necessan
complete the recovery of the
a. How should the $1,250,000 in development costs be classified?
The $1,250,000 development costs should not be considered part of the decision to go ahead with the new production. This money
has already been spent and cannot be retrieved so it is a sunk
a. Payback periods calculate the amount of time required for the firm to recover its initial investment in a project based on
theafter-tax cash inflows. The payback period is an unsophisticated capital budgeting technique that does not explicitly consider
CHAPTER 11
-The coupon rate of the bond determines the interest payment.
The annual payment = the coupon rate X the bonds par value(or equivalently, its facevalue).
The coupon rate, maturity date, and par value of the bond are part of the bond indenture,
investors can borrow money to purchase stock, allowing them to
purchase more securities than they could afford on a pure cash basis),
and to facilitate selling securities short, which allows investors to
speculate that a stock will go down. Many large ins
history, not just one, two, or threeand certainly not the 6-week
investment performance touted by some funds or friends (who also often
display remarkable selective memory!). The flip side of this argument is
that you cannot reliably say what the rate of
stock market (the S&P 500) was about zero; the correlation between
long-term bond returns and the stock market was around 25%; and the
correlation between individual stocks and the stock market was around
30% to 70%. The fact that investment rates of retu
(co)variance formula divides by N1. When working with the
population, the (co)variance formula divides by N. cians often use a
covariance formula that divides by N 1, not N. Strictly speaking,
dividing by N 1 is appropriate if you work with historical dat
1986 saw the Nikkei-225 stock market index rise from 10,000 to 40,000
by 1990a 40% rate of return per year. If they had believed that history
was a good guide, they would have expected 40,000 . 1.4013 3.2
million by the end of 2002. Instead, the Nikkei ha
portfolios consisting of many stocks tended to have less risk than
individual stocks. The S&P 500 stocks had a risk of 16%, which was less
than the risk of most individual stocks (e.g., PepsiCo had a risk of about
25%). This is due to the Section 8.2, Por
an investment that does very badly whenever the rest of your portfolio
also does badly. To be included in your portfolio, such an investment
would have to offer a very high expected rate of return. 7.1 STOCKS,
BONDS, AND CASH, 19702007 187 How can you mea
portfolios as heavily diversified as the entire market portfolio. . As a
corporate manager, your task is to think about how a little of your
project can aid your investors in terms of its contribution to the risk and
reward of their heavily diversified ov
but also without ever having to tread into the domain of the U.S. IRS.
7.2D HOW SECURITIES APPEAR AND DISAPPEAR Inflows Most
publicly traded equities appear on public exchanges, almost always
NASDAQ, Firms first sell public shares in IPOs. through initial
This is the covariance between CDD and M. (f) Divide the covariance
between CDD and M by the variance of the market. Is it equal to the
1.04 from Formula 8.6? (g) Which is fasterthis route or Formula 8.6?
Q 8.10 Lets confirm that you cannot take a value-w
insurance nor a great additional hazard for you. A 1% performance
above (below) normal for the S&P would have meant you would have
earned 0.9% above (below) normal in your PepsiCo holdings. Instead of
beta, you could measure comovement with another statis
founded? Q 7.35 Insider trading is a criminal offense. Does the SEC
prosecute these charges? Q 7.36 What is the OTC market? Q 7.37 What
are the three main types of investment companies as defined by the
SEC? Which is the best deal in a perfect market? Q 7
financial instruments, such as foreign government bonds, even if there is
more money in foreign government bonds than in corporate equity. It is
the equity holders who finance most of the risks of corporate projects.
Moreover, although there is more money
biggest exchange for trading most blue chip stocks. (Blue 7.2 A
BRIEF OVERVIEW OF EQUITY-RELATED MARKET
INSTITUTIONS 193 chip now means well-established and serious.
Ironically, the term itself came from poker, where the highestdenomination chips were blu
the most important points that the graphs show: . History tells us that
stocks offered higher average rates of return than bonds, which in turn
offered higher average rates of return than cash. However, keep in mind
that this was only on average. In any g
track of investors portfolios. They also facilitate purchasing on margin.
Q 7.11 Prime brokers are usually used by larger investors. Prime brokers
allow investors to employ their own traders to execute trades. (Like
retail brokers, prime brokers provide p