CM2 – Economic Modelling

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IFoA (Institute and Faculty of Actuaries) の学習者向けの無料CM2 – Economic Modelling学習ノート。各章のリンクから、要点・例題・練習問題への導線にアクセスできます。

Rational economic theory

Understand the principles of rational expectations theory
Understand the principles of rational choice theory

Measures of investment risk

Identify the properties of risk measures and use these risk measures to compare and analyse investment opportunities
The role of insurance companies in reducing or removing risk

Asset valuations

Understand mean-variance portfolio theory and its application
Understand and use the Capital Asset Pricing Model (CAPM)
Understand and use single and multifactor models for investment returns
Appreciate different stochastic models for security prices and how and when they can be applied
Understand the principles and characteristics of models of the term structures of interest rates and their application
Understand the principles and application of simple models for credit risk

Liability valuations

Understand the principles and application of ruin theory
Understand and use run-off triangles to estimate claims
Value basic benefit guarantees using simulation techniques

Option theory

Understand the principles of option pricing and valuations
Understand the principles of the binomial option-pricing model and its application
Understand the principles of the Black-Scholes derivative-pricing model and its application

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