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1 - 10 van 22 voor risk neutral simulation
Tilburg finance tool huisstijl pdf
... 5.2 numerical discretization--12 6 risk neutral simulation--12 6.1 risk-neutral simulation and the term structure--13 6.2 risk neutral simulation equity--14 6.3 risk neutral simulation of bond funds implementing constant ... will be equal to (23) and risk neutral setting by deduction. equation (54) is part of system (51). 6.2 risk neutral simulation equity equity equation (5) together with ...
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presentation-bentolila.pdf
... interregional migration rate france 2.1%, spain model setup i continuum of in...nitely-lived risk-neutral workers and ...rms, discount rate r 0 i measure of workers 1 i matching function ... shocks multiplicative shift factor in recession 0.90 0.87 advance notice rate table 3. simulation results unemployment perm. jobs temporary rate destruction r. employment r. france - expansion data model france ...
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Two-Tier Labor Markets in the Great Recession: France vs. Spain
... features of the model are as follows. first, there is a continuum of infinitely- lived risk-neutral workers and firms, with a common discount rate r 0. the measure of workers is ... model and the fixed f-- b model respectively. 5.2 simulation results in this section we summarize the main results of several simulation exercises. we present targets (actual data) and outcomes (simulated ...
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Microsoft Word - DP128_demooij _2_.doc
... flow tax, would depend on the risk premium. if the risk premium is high relative to the risk-free rate of return, then the expected revenue-neutral rate required under an ace would not ... a multiple reform package, which makes it difficult to identify the impact of ace alone. simulation models have been used to numerically assess the economic consequences of the ace in individual ...
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Microsoft Word - DP CCCTB voorblad.doc
... there are both profit making firms and loss making firms. we assume that firms are risk neutral. they decide on their optimal levels of investment, employment, debt, and transfer prices before knowing ... are thus assessed relative to a european common corporate tax base. as in the previous simulation, we assume that governments adjust lump-sum transfers, corporate tax rates or labour taxes to ...
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Microsoft Word - cpbdoc218.doc
... required for economic recovery. this required pillar and class neutral insights. 5 this name has been used now for ... labour-supply elasticity . income effects in labour supply . a micro simulation model for the labour market . a dsge model for the ... change in net rent (2015, %) health care, employment, 2015, thsnd ) own risk health insurance (2015, level, euro) more (+) or less (- ) market forces cure ...
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dp174-flexible-retirement.pdf
... personal retirement age serves as a hedge against pension risk and provides insurance to workers facing health or productivity ... it is therefore difficult to compare their quantitative outcomes (simulation results) with the actual implicit taxes observed in many countries ... therefore it remains uncertain whether departures from an actuarially neutral pension scheme are optimal. the vast majority of ...
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Microsoft Word - discussion52
... with financial variables 31 5.4 goodness of fit 34 5.5 simulation results 37 6 conclusion 39 references 41 7 summary although the dutch ... the mentioned references are between 0.75 and 1.00 for (risk aversion up to risk neutrality); between 0.03 and 0.05 for (discount ... tt0, which is equivalent to stating that the pension scheme is actuarially neutral. in this case, the peak value equals zero, h(t) 0, ...
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auctioning incentive contracts application welfare work programs pdf
... lower than the full-information optimum. model a risk neutral government wishes to procure a welfare-to-work project. we assume that n risk neutral employment service providers participate in the procurement. ... uniform distribution how close both auctions come to the socially optimal mechanism. 20 5 simulation in this section, we simulate the outcomes of the model under the simplifying assumption ...
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gamma simulation model ageing pensions and public finances pdf
... answer policy questions that have intergenerational implications, a computable simulation model should obey four conditions it should incorporate long- ... but perfect capital markets enable households to insure against longevity risk. the population model in section 2.1 outlines the ... 25 note, the user costs of capital are not inflation neutral. an inflation increase given constant real rates of return ...
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