These slides provide a preliminary risk pricing presentation in Farsi. We have used risk models of Nobel Laureates to explain some basic risk concepts. This package is one of the series of slides focusing on risk management. There will be more slides on the topic shared through SlideShare.

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3

4. 4

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11. RP %16 P %8 RP %10 P %3

13. -
ˆ
r1
ˆ
r2
ˆ
rP w1 w2  wn

ˆ
r3
11 12
 1n
w1
21 22
 2n
w2
P
w1 w2  wn
    
n1 n2  nn wn

14. ˆ
rP
2
Min z p
n
ˆ
S.T : rP ˆ
w i ri
i 1
P
n
wi 1
i 1

15. ˆ
rP
M
ˆ
(rM rRF )
ˆ
rP rRF p
rRF
M
P

16. ˆ
(rM rRF )
P
M

17. rit i b i rMt it
ri rRF ˆ
b i (rM rRF )

18. K
Rf ri rRF ˆ
b i (rM rRF )

19. b ˆ
(rM rRF )

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Agency Cost •
21

22. 22

23. NOPAT NOPAT
VU VL
WACC rSU
rSL rSU (rSU rd ) * D / S
23

24. 24

25. rs
26
2
0 WACC
1 rd
4
D/V (%)
0 20 40 60 80 100
8
25

26. 4
3
V
2
1
0 0.5 1.0 1.5
2.0 2.5

27. D
S (rsu rd )

28. VL VU TD
rSL rSU (rSU rd ) * (1 T) * D / S
28

29. 29

30. rs
26
2
0
WACC
1 rd (1-T)
4
D/V (%)
0 20 40 60 80 100
8
30

31. 4
VL
3 TD
VU
2
1
0 0.5 1.0 1.5
2.0 2.5

32. D
S
(rsu rd )(1 T)

33. rS rd (rM rd )b
rSL rSU (rSU rd ) * (1 T) * D / S
K SL rd (rM rd )b U (rM rd )b U (1 T) D S
bL bU 1 (1 T) D S
33

34. ARCH
p
2 2
t i t i
i 1

35. 2
Ln(S X ) (rf 2)t
d1
t
c SN (d1 ) Xe rt N (d1 t)

36. 2
ST S 0 * exp (r dt dt * z
2
z ~ N (0,1)
{z1 , z 2 ,  , z 5000 } {sT ,1 , sT , 2 ,  , sT ,5000 }
payoffvec max ST X ,0 callprice mean(payoffvec) * exp(-rT)