Efficient procedures for valuing European and American Path-dependent Options John Hull and Nan Whi
财务管理英语知识
第一章财务管理总论Overview of Financial Man agement一、主要专业术语或概念中英文对照财务管理financial management财务管理的目标the goal of financial management关于企业财务目标的三种综合表述：利润最大化profit maximization (maximize profit)每股盈余最大化earnings per share maximization股东财富最大化stockholder (shareholder) wealth maximization利益相关者stakeholder股东stockholder/shareholder债权人creditor/bondholder顾客customer职工employee政府government股东价值的影响因素the factors that affect the stockholder value （2008注会财管教材P4图1-1）经营现金流量operating cash flows资本成本cost of capital销售及其增长/成本费用revenues and its growth/cost and expense资本投资/营运资本capital investment/working capital资本结构/破产风险/税率/股利政策capital structure/bankruptcy risk/tax rate/dividend policy经营活动operating activity投资活动investing activity筹资活动financing activity股东、经营者和债权人利益的冲突与协调Conflicts of interest between shareholders，managers and creditors and their reconciliationAn agency relationship(代理关系) exists whenever a principal (委托人) hires an agent（代理人）to act on their behalf。
资产评估-国外评估准则
资产评估-国外评估准则引言概述：资产评估是指对各类资产进行估值和评估的过程，是企业决策和财务报告的重要依据。
不同国家和地区在资产评估方面往往采用不同的准则和方法。
本文将介绍国外资产评估的一些常用准则和方法。
一、国外资产评估准则的概述1.1 国际财务报告准则（IFRS）IFRS是国际上广泛应用的财务报告准则，对资产评估提供了详细的规定。
其中，IAS 16《固定资产》规定了固定资产的初始计量、后续计量和减值测试等方面的要求。
IAS 36《资产减值》则规定了资产减值测试的方法和程序。
1.2 美国公认会计准则（US GAAP）US GAAP是美国广泛应用的会计准则，对资产评估也提供了相应的规定。
FASB 141《企业合并与收购》规定了企业合并时的资产评估方法，FASB 157《公允价值计量》则规定了公允价值的确定方法。
1.3 国际评估准则委员会（IVSC）IVSC是国际评估行业的权威组织，发布了一系列的评估准则。
其中，IVS 2022《国际评估准则》规定了评估师在资产评估过程中应遵循的原则和方法。
二、资产评估的方法和技术2.1 市场比较法市场比较法是一种常用的资产评估方法，通过比较市场上类似资产的交易价格，确定被评估资产的价值。
这种方法适合于有大量交易数据和市场活跃的资产，如房地产和股票等。
2.2 收益法收益法是一种基于资产未来现金流量预测的评估方法。
它通过估计资产的未来现金流量，并将其折现到现值，计算出资产的价值。
这种方法适合于对收益稳定、现金流量可预测的资产进行评估。
2.3 成本法成本法是一种基于资产重建成本的评估方法。
它通过估计资产的重建成本，并考虑到资产的折旧和使用寿命等因素，计算出资产的价值。
这种方法适合于对固定资产等重建成本可确定的资产进行评估。
三、资产评估的挑战和问题3.1 信息不对称性资产评估过程中，评估师和被评估方之间往往存在信息不对称的问题。
被评估方可能故意隐瞒或者误导评估师，导致评估结果不许确。
bcbs153_Supervisory guidance for assessing banks' financial instrument fair value practices - final
Basel Committeeon Banking SupervisionSupervisory guidance for assessing banks’ financial instrument fair value practicesApril 2009Requests for copies of publications, or for additions/changes to the mailing list, should be sent to: Bank for International SettlementsPress & CommunicationsCH-4002 Basel, SwitzerlandE-mail: publications@Fax: +41 61 280 9100 and +41 61 280 8100©Bank for International Settlements 2008. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.ISBN print: 92-9131-780-2ISBN web: 92-9197-780-2Table of Contents Introduction (1)A.Valuation governance and controls (2)Principle 1 (2)Principle 2 (4)Principle 3 (5)B.Risk management and reporting for valuation (5)Principle 4 (5)Principle 5 (7)Principle 6 (8)Principle 7 (9)Principle 8 (10)C.Supervisory assessment of valuation practices (11)Principle 9 (11)Principle 10 (12)Supervisory guidance for assessing banks’ financial instrument fair value practicesSupervisory guidance for assessingbanks’ financial instrument fair value practicesIntroductionOver the past year, risk management and reporting issues related to bank valuations of complex or illiquid financial instruments, and the implications for regulatory capital requirements and bank supervision, have received considerable attention. The application of fair value accounting to a wider range of financial instruments, together with experiences from the recent market turmoil, have emphasised the critical importance of robust risk management and control processes around the measurement of fair values and their reliability. Moreover, given the significance of fair value measurements for regulatory capital adequacy and internal bank risk management it is equally important that supervisors assess the soundness of banks’ valuation practices through the Pillar 2 supervisory review process under the Basel II Framework.In June 2008, the Basel Committee on Banking Supervision published an assessment of fair value measurement and modelling challenges faced by banks during the market turmoil.1 Building on that work as well as the Committee’s 2006 guidance on the use of the fair value option,2 the purpose of this document is to provide guidance to banks and banking supervisors to help strengthen their assessment of banks’ valuation processes for financial instruments and promote improvements in banks’ risk management and control processes. The principles in this document cover supervisory expectations regarding bank practices and the supervisory assessment of valuation practices. The principles seek to promote a strong governance process around valuations; the use of reliable inputs and diverse information sources; the articulation and communication of valuation uncertainty both within a bank and to external stakeholders; the allocation of sufficient banking and supervisory resources to the valuation process; independent verification and validation processes; consistency in valuation practices for risk management and reporting purposes, where possible; and strong supervisory oversight around bank valuation practices.This guidance applies to all financial instruments that are measured at fair value, both in normal market conditions and during periods of stress, and regardless of the financial reporting designation within a fair value hierarchy. This guidance does not set forth additional accounting requirements beyond those established by the accounting standard setters.3The supervisory expectations set forth in this guidance are applicable to all banks. However, the extent of application should be commensurate with the significance and complexity of a bank’s fair valued exposures.1Fair value measurement and modelling: An assessment of challenges and lessons learned from the market stress, June 2008.2Supervisory guidance on the use of the fair value option for financial instruments by banks, June 2006.3The International Accounting Standards Board (IASB) has recently issued guidance to enhance fair value measurement and related disclosures. See Measuring and disclosing the fair value of financial instruments in markets that are no longer active, October 2008.Supervisory guidance for assessing banks’ financial instrument fair value practices 1Supervisory expectations relevant to financial instrument valuationsA. Valuation governance and controlsPrinciple 1Supervisors expect a bank’s board to ensure adequate governance structures4 and control processes for all financial instruments that are measured at fair value for risk management and financial reporting purposes. These processes should be consistently applied across the bank and integrated with risk measurement and management processes.GovernanceThe valuation governance structures and related processes should be embedded in the overall governance structure of the bank, and consistent for both risk management and reporting purposes. The governance structures and processes are expected to explicitly cover the role of the board. The board might delegate some of these responsibilities to board committees or senior management, but should continue to be ultimately responsible for the overall execution of governance. Specifically, the responsibilities for governance structures applicable to all financial instruments measured at fair value should include:•Reviewing and approving written policies related to fair valuations;•Ongoing review of significant valuation model performance for issues escalated for resolution and all significant changes to valuation policies;•Ensuring adequate resources are devoted to the valuation process;•Articulating the bank’s tolerance for exposures subject to valuation uncertainty and monitoring compliance with the board’s overall policy settings at an aggregate firm-wide level;•Ensuring the independence in the valuation process between risk taking and control units;•Ensuring the appropriate internal and external audit coverage of fair valuations and related processes and controls;•Ensuring the consistent application of accounting and disclosures with the applicable accounting framework; and4This guidance refers to a governance structure composed of a board of directors and senior management.The Committee recognises that there are significant differences in the legislative and regulatory frameworks across countries as regards the functions of the board of directors and senior management. Some countries use a two-tier structure, where the supervisory function of the board of directors is performed by a separate entity known as a supervisory board, which has no executive functions. Other countries, by contrast, use a one-tier structure in which the board has a broader role. Owing to these differences, the notions of board of directors and senior management are used in this paper not to identify legal constructs but rather to label the management and oversight functions within a bank. These approaches to boards of directors and senior management are collectively referred to as corporate governance structures in this paper. Recognising that different structural approaches to corporate governance exist across countries, this paper encourages practices that can strengthen corporate governance under diverse structures.2 Supervisory guidance for assessing banks’ financial instrument fair value practices•Ensuring the identification of significant differences, if any, between accounting and risk management measurements and that these are well documented and monitored.ControlsControls and procedures should be designed to ensure all financial instruments that are measured at fair value are reliable and have clear and robust production, assignment and verification. Among other things the controls and procedures should:•Include well documented policies for all significant valuation methodologies, which would be approved by senior management and reported to the board as frequentlyas necessary and at least annually.•Detail the range of acceptable practices for the initial pricing, marking-to-market/model, valuation adjustments, observability and reliability of inputs, andperiodic independent revaluation depending on the nature of the financial instruments and sources of independent prices; and•Establish the information feeds and thresholds for determining when there is a presumptive case for challenging the valuation model. The valuation model may bechallenged when valuations or valuation inputs are materially different from availableexternal market information and that information is deemed to be reliable (egobjective thresholds that indicate when IPV, test trades or other cross-checksindicate significant differences with model-based valuations).A thorough understanding of the instrument being valued and its markets allows a bank to identify and evaluate the relevant market information available about identical or similar instruments. A bank uses such information to measure the fair value of its financial instruments by assessing all available information and applying it as appropriate.For inactive markets, a bank needs to put more work into the valuation process to gain assurance that the transaction price provides evidence of fair value or to determine the adjustments to transaction prices that are necessary to measure the fair value of the instrument. When a market is not active, a bank measures fair value using a valuation technique (eg, a model). The technique chosen should reflect current market conditions. Therefore, a transaction price in the same or a similar instrument should be considered in the assessment of fair value as a current transaction price is likely to reflect current market conditions. A bank should consider such transaction prices, but does not conclude automatically that any transaction price is determinative of fair value. If such transaction prices are used, they might require significant adjustment based on unobservable data. Determining fair value in a market that has become inactive depends on the facts and circumstances and may require the use of significant judgment. Banks should maintain sound controls over valuations involving inactive markets, including appropriate documentation to support valuations. Institutions should follow the relevant accounting standards and guidance for such valuations. For risk management purposes, there needs to be consideration of all factors in valuation and clear and approved documentation regarding factors included in, or excluded from, the valuation technique.Valuation controls should be applied consistently across similar instruments (risks) and across business lines (books). These controls should be subject to internal audit review with the resources and expertise required to identify and provide an effective review of practices.A fundamental feature of adequate control processes is that the final approval of valuations should not be the responsibility of the risk taking units. There should be clear and independent reporting lines to ensure that valuations are independently determined and Supervisory guidance for assessing banks’ financial instrument fair value practices 3assessed. Banks should maintain functional separation between the front office (the risk taking units that typically provide the initial fair valuation estimates) and the measurement and control unit (the unit providing independent price verification – IPV) at all times. In addition, the unit responsible for IPV within the bank should source prices independently of the relevant trading desk.5New product approval processes should include all internal stakeholders relevant to risk measurement, risk control, financial reporting and the assignment and verification of valuations of financial instruments. Moreover, the process should be supported by a transparent, well-documented inventory of acceptable valuation methodologies that are specific and relevant to products and businesses.Principle 2Supervisors expect that a bank will have adequate capacity, including during periods of stress, to establish and verify valuations for instruments in which it engages.A bank is expected to have adequate capacity and capability to produce valuations and determine the appropriateness of valuations obtained from third-party pricing services. This capacity should be commensurate with the importance and riskiness of these exposures in the context of the business profile of the institution. A bank’s capacity should also be sufficiently resilient to periods of rapid growth in a business and periods of market stress. Furthermore, senior management should ensure that the bank has the resources and capabilities to estimate appropriately the inherent risks and the value of financial instruments, including complex and illiquid instruments.During stressed market conditions, market discontinuity or illiquidity can make valuation of many instruments particularly challenging. For exposures that represent material risk, a bank is expected to have the capacity to produce valuations using alternative methods in the event that primary inputs and approaches become unreliable, unavailable or not relevant due to market discontinuities or illiquidity.A bank is expected to test and review the performance of its valuation models under possible stress conditions, so that it understands the limitations of the models under such conditions. Bank valuation methodologies are expected to not place undue reliance on a single information source (eg external ratings) especially when valuing complex or illiquid products. Bank processes should emphasise the importance of assessing fair value using a diversity of approaches and having in place a range of mechanisms to cross-check valuations.The use of a third-party pricing service for fair valuations for financial instruments does not relieve the board of its oversight responsibility or senior management of its responsibility to ensure appropriate fair valuations and provide appropriate supervision, monitoring and management of risks. Management should have a due diligence process by which it assesses third party pricing services that it uses for fair valuations so that it has a sufficient basis upon which to determine the appropriateness of the techniques used, the underlying assumptions and selection of inputs and the consistency of application.5IPV is the process by which market prices or inputs are verified for accuracy. It entails a higher standard of accuracy in that the prices or inputs are used to determine profit and loss figures, whereas daily marking-to-market is primarily used for management reporting between reporting dates.4 Supervisory guidance for assessing banks’ financial instrument fair value practicesPrinciple 3Supervisors expect a bank’s senior management to ensure that policies for categorising financial instruments on the balance sheet are consistent, insofar as possible, for accounting, regulatory and management purposes. Moreover, senior management should ensure that these policies are strictly aligned with the valuation capabilities of the bank.Supervisors expect that a bank will initially categorise and report financial instruments in financial reports in accordance with applicable accounting and regulatory reporting requirements. Senior management should ensure that the classification for accounting, regulatory and risk management purposes are consistent insofar as possible. Any significant differences in categorisation for the measurement and management of risk and that necessary for the applicable accounting framework should be well documented and approved by senior management and advised to the appropriate board level committees. Supervisors acknowledge that a bank’s strategy and therefore the management of financial instruments may change based on changes in economic conditions. In these circumstances, any subsequent reclassification of financial instruments should be made under the control of the bank’s senior management and appropriate board level committees and strictly in accordance with accounting requirements.6 When financial instruments are transferred into another portfolio, the accounting and regulatory capital requirements of this portfolio should be strictly applied. Classification and reclassification practices should not be used with the view to circumvent accounting requirements in order to achieve a particular result. Of particular importance is the specific information related to reclassifications (eg reasons and impacts) that should be disclosed in accordance with accounting rules.Senior management should ensure that appropriate control policies and practices are in place as regards classification and any subsequent reclassification of financial instruments. Moreover, senior management should ensure that internal policies related to classification and reclassification of financial instruments are applied consistently over time and within a group. The bank should, for instance, maintain documentation that supports the initial classification and any subsequent transfers between asset categories.B. Risk management and reporting for valuationPrinciple 4Supervisors expect a bank to have in place sound processes for the design and validation of methodologies used to produce valuations.6On 13 October 2008 the IASB issued amendments regarding the reclassification of financial assets (Amendments to IAS 39 Financial Instruments: Recognition and Measurement and IFRS 7 Financial Instruments: Disclosures). Those amendments, for example, introduce the possibility of reclassification of loans out of the trading assets category if the entity has the intention and ability to hold them for the foreseeable future and, in rare circumstances, reclassification of securities out of the trading assets category.The reclassification of securities, in rare circumstances, was already permitted under US generally accepted accounting principles (GAAP). Moreover, the possibility to reclassify financial instruments to the loan category under IFRS permits a bank to substantially align the accounting for reclassifications of loans under IFRS with that permitted under US GAAP. Disclosures related to reclassified financial assets are also required.Key characteristics of sound processes for valuation methodology design and validation include: (i) independence of the validation from the design function; (ii) rigorous validation; (iii) integrated control processes; and (iv) sufficiently resourced internal and external audit programmes.Independence of model validationA valuation model, including any material changes to it, must be validated by an independent, suitably qualified group prior to usage, with periodic reviews to ensure the model remains suitable for its intended use. Independent validation requires the human and financial resources needed to provide an effective challenge. The validation group should have reporting lines that are independent of the risk taking units.Rigorous validationModel validation processes should be systematically applied for both internally generated and, to the extent possible, vendor provided models. Validation includes evaluations of:•the model’s theoretical soundness and mathematical integrity;•the appropriateness of model assumptions, including consistency with market practices and consistency with relevant contractual terms of transactions;•sensitivity analyses performed to assess the impact of variations in model parameters on fair value, including under stress conditions; and•benchmarking of the valuation result with the observed market price at the time of valuation or independent benchmark model.A bank must understand and document the limitations to the performance of the model so as to understand the conditions under which valuations would not reasonably reflect an exit price. Appropriate action should be taken when performance of the model is not acceptable. This action could include valuation adjustments for model limitations or model risk, or if necessary, changes to the model.Integrated control processesA bank is expected to have in place policies defining a regular cycle for valuation model review that reflects the vulnerabilities of individual models. Policies should also identify specific triggers (eg indications of deterioration in model performance or quality) that will cause the review cycle for a valuation model to be accelerated.A bank should have explicit links between the results of the IPV process or indicators of performance of positions and the review process of models. Whenever possible, these links should be expressed in terms of explicit quantitative thresholds, the crossing of which should trigger a review of the valuation model and or valuation procedure. These triggers should be consistent with sound practices in risk management.Profit and loss (P&L) attribution processes are a key aspect of valuation control. For fair valuations where changes in fair value are reflected in the P&L statement, these processes should take place no less frequently than the risk management horizon and with a priority given to portfolios with significant valuation risk so that management understands the reliability and sources of P&L in a timely manner. The results of these processes can then feed back into periodic processes such as IPV and model validation.Audit programmeSound internal and external audit programmes play an important role in the bank’s validation process. Supervisors should expect external and internal audit to devote considerable resources to reviewing the control environment, the availability and reliability of information or evidence used in the valuation process, and the reliability of estimated fair values. This includes the price verification processes and testing valuations of significant transactions. Audit programmes should also evaluate whether the disclosures about fair values made by the bank are in accordance with the applicable accounting standards.7Principle 5Supervisors expect that a bank will maximise the use of relevant and reliable inputs and incorporate all other important information so that fair value estimates are as reliable as possible.The relevance and reliability of valuations are directly related to the quality and reliability of the inputs. A bank is expected to apply the accounting guidance provided to determine the relevant market information and other factors likely to have a material effect on an instrument's fair value when selecting the appropriate inputs to use in the valuation process. Assessing data sources and input factors is a judgemental process in which all facts and circumstances have to be taken into account. Where values are determined to be in an active market, a bank should maximise the use of relevant observable inputs and minimise the use of unobservable inputs when estimating fair value using a valuation technique. However, where a market is deemed inactive, observable inputs or transactions may not be relevant, such as in a forced liquidation or distressed sale, or transactions may not be observable, such as when markets are inactive. In such cases, the accounting fair value guidance provides assistance on what should be considered, but may not be determinative.In assessing whether a source is reliable and relevant, the following factors should be considered:•The frequency and availability of the prices/quotes and whether those prices represent actual regularly occurring transactions on an arm's length basis. Whetherthe price/quote is an indicative price or a binding offer.•Whether the available prices are relatively consistent with available corroborating market information and if the prices vary significantly across market participants. •Whether prices are transparent and generally available to market participants.•The timeliness of the pricing data relative to the frequency of valuations, such that the pricing data can be relied upon. Recent pricing data will tend to be more reliablethan stale data.•The number of independent sources that produce the quotes/prices. It is also important to consider the dispersion of prices/quotes available. This will assist market participants in assessing the quality of the pricing data.•The maturity of the market.7In October 2008, the International Auditing and Assurance Standards Board (IAASB) issued a Staff Audit Practice Alert, Challenges in Auditing Fair Value Accounting Estimates in the Current Market Environment.The IAASB Staff guidance highlights international standards on auditing that are particularly relevant for external audits of fair value estimates and related disclosures.•The similarity between the financial instrument sold in a transaction and the instrument held by the institution.•The nature of a transaction, especially in inactive markets, and whether it reflected a forced or distressed sale (which are not relevant) or otherwise involved a seller thatneeded to sell and one or very few buyers (which may require consideration of otherinformation and management judgement in determining the implications for the estimate of fair value).8A bank has to be able to identify when active markets become inactive as this will affect the quality, transparency and reliability of inputs to a valuation. It should have in place appropriate procedures for valuing financial instruments when markets are inactive. These procedures should be well documented and approved by senior management.Principle 6Supervisors expect a bank to have a rigorous and consistent process to determine valuation adjustments for risk management, regulatory and financial reporting purposes, where appropriate.A fair value estimate should be made in accordance with applicable standards and guidance (eg accounting, risk management, or prudential requirements or guidelines). In some circumstances, adjustments may be necessary to result in a valuation estimate that meets the applicable valuation definition. Accordingly, the overall governance and control framework for valuations should include a policy to identify the types of valuation adjustments that could affect the valuation estimate and valuation processes. These processes should ensure an appropriate segregation of duties and ensure an appropriate level of management review. Furthermore, procedures for the resolution and escalation of valuation issues and exceptions to the board of directors or a committee thereof (such as the audit or risk committee) should be defined and documented.Valuation adjustments should be initially authorised and monitored subsequently by an independent control group (eg IPV or financial control unit, and/or independent model validation unit). Valuation adjustments should be supported by appropriate and regularly maintained documentation. Senior management responsible for control and oversight of the valuation process should ensure that the control and oversight process incorporates the valuation adjustment process. Accordingly, significant valuation adjustments and significant differences between fair values included in financial reporting and those used in risk management or regulatory reporting, if any, should be reported to and agreed on by senior management. In addition, there should be a clear process to timely resolve significant disagreements about valuation adjustments and to escalate material valuation issues to the bank’s board of directors or appropriate governance committee. Senior management would include the Chief Risk Officer and/or the Chief Financial Officer (or equivalent positions). Routine reporting to the board or appropriate governance committee, including material valuation issues, should be on a regular basis in an appropriately aggregated and understandable form.Fair value measurements may involve a significant amount of judgment, including determinations about whether a market is active or inactive and whether a price in a market8See IASB’s guidance Measuring and disclosing the fair value of financial instruments in markets that are no longer active, October 2008.。
2021年最新中欧全面投资协定核心内容(英语版)
中欧全面投资协定核心内容(英语版）The cumulative EU foreign direct investment (FDI) flows from the EUto China over the last 20 years have reached more than €140 billion. For Chinese FDI into the EU the figure is almost €120 billion. EU FDI in China remains relatively modest with respect to the size and the potential of the Chinese economy.As regards investment, the EU-China Comprehensive Agreement on Investment (CAI) will be the most ambitious agreement that China has ever concluded with a third country.In addition to rules against the forced transfer of technologies, CAI will also be the first agreement to deliver on obligations for the behavior of state-owned enterprises, comprehensive transparency rules for subsidies and commitments related to sustainable development.The CAI will ensure that EU investors achieve better access to a fast growing 1.4 billion consumer market, and that they compete on a better level playing field in China. This is important for the global competitiveness and the future growth of EU industry. Ambitious opening by China to European investmentsFirstly, the CAI binds China's liberalisation of investments overthe last 20 years and, in that way, it prevents backsliding. This makes the conditions of market access for EU companies clear and independent of China's internal policies. It also allows the EU to resort to the dispute resolution mechanism in CAI in case of breach of commitments.In addition, the EU has negotiated further and new market access openings and commitments such as the elimination of quantitativerestrictions, equity caps or joint venture requirements in a number of sectors. These are restrictions that severely hamper theactivities of our companies in China. The overall package is far more ambitious than what China has committed to before.On the EU side, the market is already open and largely committed for services sectors under the General Agreement on Trade in Services (GATS). EU sensitivities, such as in the field of energy,agriculture, fisheries, audio-visual, public services, etc. are all preserved in CAI.Examples of market access commitments by China:•Manufacturing: China has made comprehensive commitments with only very limited exclusions (in particular, in sectors with significant overcapacity). In terms of the level of ambition, this would match the EU's openness. Roughly half of EU FDI is in the manufacturing sector (e.g. transport and telecommunication equipment, chemicals, health equipment etc.). China has not made such far-reaching market access commitments with any other partner.•Automotive sector:China has agreed to remove and phase out joint venture requirements. China will commit market access for new energy vehicles.•Financial services: China had already started the process of gradually liberalising the financial services sector and will grant and commit to keep that opening to EU investors. Joint venturerequirements and foreign equity caps have been removed for banking, trading in securities and insurance (including reinsurance), as well as asset management.•Health (private hospitals): China will offer new market opening by lifting joint venture requirements for private hospitals in keyChinese cities, including Beijing, Shanghai, Tianjian, Guangzhou and Shenzhen .•R&D (biological resources): China has not previously committed openness to foreign investment in R&D in biological resources. China has agreed not to introduce new restrictions and to give to the EU any lifting of current restrictions in this area that may happen in the future.•Telecommunication/Cloud services: China has agreed to lift the investment ban for cloud services. They will now be open to EUinvestors subject to a 50% equity cap.•Computer services: China has agreed to bind market access for computer services - a significant improvement from the currentsituation. Also, China will include a ‘technology neutrality'clause, which would ensure that equity caps imposed for value-added telecom services will not be applied to other services such asfinancial, logistics, medical etc. if offered online. •International maritime transport: China will allow investment in the relevant land-based auxiliary activities, enabling EU companies to invest without restriction in cargo-handling, container depots and stations, maritime agencies, etc. This will allow EU companies to organise a full range of multi-modal door-to-door transport,including the domestic leg of international maritime transport. •Air transport-related services: While the CAI does not address traffic rights because they are subject to separate aviationagreements, China will open up in the key areas of computerreservation systems, ground handling and selling and marketingservices. China has also removed its minimum capital requirement for rental and leasing of aircraft without crew, going beyond GATS.•Business services: China will eliminate joint venture requirements in real estate services, rental and leasing services, repair andmaintenance for transport, advertising, market research, management consulting and translation services, etc.•Environmental services: China will remove joint venture requirements in environmental services such as sewage, noise abatement, solidwaste disposal, cleaning of exhaust gases, nature and landscapeprotection, sanitations and other environmental services. •Construction services: China will eliminate the project limitations currently reserved in their GATS commitments.•Employees of EU investors: Managers and specialists of EU companies will be allowed to work up to three years in Chinese subsidiaries, without restrictions such as labour market tests or quotas.Representatives of EU investors will be allowed to visit freely prior to making an investment.Improving level playing field – making investment fairer•State owned enterprises (SOEs) - Chinese SOEs contribute to around30 percent of the country's GDP. CAI seeks to discipline thebehaviour of SOEs by requiring them to act in accordance withcommercial considerations and not to discriminate in their purchases and sales of goods or services. Importantly, China also undertakes the obligation to provide, upon request, specific information toallow for the assessment of whether the behaviour of a specificenterprise complies with the agreed the CAI obligations. If theproblem goes unresolved, we can resort to dispute resolution under the CAI.•Transparency in subsidies –The CAI fills one important gap in the WTO rulebook by imposing transparency obligations on subsidies in the services sectors. Also, the CAI obliges China to engage inconsultations in order to provide additional information on subsidies that could have a negative effect on the investment interests of the EU. China is also obliged to engage in consultations with a view to seek to address such negative effects.•Forced technology transfers –The CAI lays very clear rules against the forced transfer of technology. The provisions consist of the prohibition of several types of investment requirements thatcompel transfer of technology, such as requirements to transfertechnology to a joint venture partner, as well as prohibitions to interfere in contractual freedom in technology licencing. These rules would also include disciplines on the protection of confidentialbusiness information collected by administrative bodies (for instance in the process of certification of a good or a service) fromunauthorised disclosure. The agreed rules significantly enhance the disciplines in WTO.•Standard setting, authorisations, transparency –This agreement covers other long-standing EU industry requests. China willprovide equal access to standard setting bodies for our companies.China will also enhance transparency, predictability and fairness in authorisations. The CAI will include transparency rules forregulatory and administrative measures to enhance legal certainty and predictability, as well as for procedural fairness and the right to judicial review, including in competition cases.Embedding sustainable development in our investment relationship•In contrast to other agreements concluded by China, the CAI binds the parties into a value-based investment relationship grounded onsustainable development principles.The relevant provisions aresubject to a specifically tailored implementation mechanism toaddress differences with a high degree of transparency andparticipation of civil society.•China commits, in the areas of labour and environment, not to lower the standards of protection in order to attract investment, not to use labour and environment standards for protectionist purposes, as well as to respect its international obligations in the relevanttreaties. China will support the uptake of corporate socialresponsibility by its companies.•Importantly, the CAI also includes commitments on environment and climate, including to effectively implement the Paris Agreement on climate.•China also commits to working towards the ratification of the outstanding ILO (International Labour Organisation)fundamental Conventions and takes specific commitments in relation to the two ILO fundamental Conventions on forced labour that it has not ratified yet.Monitoring of implementation and dispute settlement•In the CAI, China agrees to an enforcement mechanism(state-to-state dispute settlement), as in our trade agreements.•This will be coupled with a monitoring mechanism at pre-litigation phase established at political level, which will allow us to raise problems as they arise (including via an urgency procedure).。
2014年12月ACCA F9考试真题答案
AnswersFundamentals Level – Skills Module， Paper F9Financial Management December 2014 Answers Section A1 AMonetary value of return = $3·10 x 1·197 = $3·71Current share price = ＄3·71 – $0·21 = $3·502 3 4 BCAThe hedge needs to create a peso liability to match the 500，000 peso future income。
6—month peso borrowing rate = 8/2 = 4%6-month dollar deposit rate = 3/2 = 1·5%Dollar value of money market hedge = 500,000 x 1·015/(1·04 x 15） = ＄32,532 or $32,5005 6 7 BCCTotal cash flow（$)Joint probability EV of cash flow($）36，00014,00032,00010,00016,000(6,000）0·11250·03750·45000·15000·18750·06254,05052514,4001，5003,000(375）–––––––23，100Less initial investmentEV of the NPV(12,000）–––––––11,100–––––––8 9 BAMV = (7 x 5·033) + （105 x 0·547) = ＄92·67101112 D D A13 BInventory = 15,000，000 x 60/360 = $2，500，000Trade receivables = 27,000，000 x 50/360 = $3,750，000Trade payables = 15，000,000 x 45/360 = $1，875，000Net investment required = 2,500,000 + 3,750，000 – 1，875,000 = $4，375，00014151617 CDCAGearing = ［（4,000 x 1·05） + 6，200 + （2,000 x 0·8）]/（8,000 x 2 x 5) = 12，000/80,000 = 15%1819 BDDividend growth rate = 100 x (（33·6/32）– 1） = 5% MV = 33·6/(0·13 – 0·05） = ＄4·2020 DSection B1 （a）Cash balances at the end of each month：December January February March April Sales (units）1，200 1,250 1,300 1,400 1，500 Selling price (＄/unit）800 800 840 840––––––––––––––––––––––––Sales （＄000) 960 1,000 1,092 1,176––––––––––––––––––––––––Month received January February March AprilDecember 1，2502，500500 JanuaryJanuary1,3002，600520FebruaryFebruary1,4002，800560March1，5003,000600Production (units）Raw materials （units）Raw materials ($000）Month payable March AprilDecember 1,250125 January1，300130February1,400140March1,500150Production (units）Variable costs（$000）Month payableDecember January February MarchMonthly cash balances：January ＄000 960 February$0001，000March$0001,092ReceivablesLoan 300––––––––––––––––Income：960 1，000 1，392––––––––––––––––Raw materials Variable costs Machine 500130520140560150400 ––––––––––––––––Expenditure：630 660 1,110––––––––––––––––Opening balance Net cash flow40 370 710 330 340 282 ––––––––––––––––Closing balance 370 710 992––––––––––––––––（b) Calculation of current ratioInventory at the end of the three—month period:This will be the finished goods for April sales of 1，500 units, which can be assumed to be valued at the cost of production of ＄400 per unit for materials and ＄100 per unit for variable overheads and wages。
资产评估-国外评估准则
资产评估-国外评估准则引言概述：资产评估是指对资产进行估值的过程，以确定其合理的市场价值。
在国际上，不同国家和地区都有相应的资产评估准则。
本文将介绍国外评估准则的相关内容。
一、国外评估准则的背景1.1 评估准则的制定目的国外评估准则的制定目的是为了提供一个统一的框架，指导资产评估的实施。
准则的制定旨在提高评估的准确性和可靠性，确保评估结果的公正性和可比性。
1.2 国际评估准则委员会（IVSC）国际评估准则委员会（IVSC）是负责制定和推广国际评估准则的机构。
IVSC 的成员包括来自全球各地的专业评估师和相关机构，他们共同参与准则的制定和修订工作。
1.3 国外评估准则的适用范围国外评估准则适用于各种类型的资产，包括不动产、金融资产、无形资产等。
准则的适用范围广泛，旨在覆盖各种不同的资产评估需求。
二、国外评估准则的核心原则2.1 公正性原则公正性是国外评估准则的核心原则之一。
评估师在进行资产评估时，必须保持中立和公正的态度，不受任何利益关系的影响，确保评估结果客观、真实。
2.2 可比性原则可比性是评估准则的另一个重要原则。
评估师在进行资产评估时，应当采用一致的方法和标准，以确保评估结果的可比性。
这样可以使不同评估师对同一资产的评估结果相互比较。
2.3 可靠性原则可靠性是国外评估准则的第三个核心原则。
评估师在进行资产评估时，应当采用可靠的数据和信息，确保评估结果的准确性和可靠性。
评估师还应当对评估过程进行充分的记录和说明，以便审计和复核。
三、国外评估准则的具体要求3.1 评估目的和对象的明确在进行资产评估时，评估师需要明确评估的目的和对象。
评估目的包括市场交易、贷款担保、会计报告等，评估对象包括不动产、金融资产、企业价值等。
3.2 评估方法和技术的选择评估师在进行资产评估时，需要选择合适的评估方法和技术。
评估方法包括市场比较法、收益法、成本法等，评估技术包括数据分析、模型建立等。
3.3 评估报告的编制和披露评估师在完成资产评估后，需要编制评估报告并进行披露。
合适的资产处理规则英文
合适的资产处理规则英文Appropriate Asset Management PoliciesIntroduction:Asset management is an integral part of any organization's financial strategy. Properly managing assets ensures the long-term sustainability and profitability of the business. This document outlines some of the key policies and best practices that organizations should consider when developing their asset management strategy.1. Asset Inventory:2. Asset Valuation:Accurate valuation of assets is essential for financial reporting purposes and to make informed financial decisions. The organization should develop a policy for valuing different types of assets based on generally accepted accounting principles (GAAP) or international financial reporting standards (IFRS). It is advisable to engage professional appraisers or independent auditors to assess the value of significant assets at regular intervals.3. Asset Depreciation:4. Asset Maintenance:5. Asset Disposal:6. Asset Acquisition:7. Asset Tracking:Maintaining an accurate record of asset location, status, and custodian is crucial for effective asset management. Implementing a robust asset tracking system, such as using barcodes or radio-frequency identification (RFID) tags, can significantly improve the organization's ability to monitor and safeguard its assets. Regular audits should be conducted to verify the accuracy of the asset tracking system.8. Risk Management:Assessing and managing risks associated with assets is essential for protecting the organization's financial stability. The organization should identify potential risks, such as theft, damage, or technological obsolescence, and develop strategies to mitigate these risks. Insurance coverage or assetdiversification may be considered to minimize potential losses.10. Continuous Improvement:Asset management policies should not be static but evolve to reflect changing circumstances and industry best practices. The organization should establish a process for regularly reviewing and updating its asset management policies. This process may involve soliciting feedback from stakeholders, analyzingperformance metrics, and incorporating emerging technologies or methodologies.Conclusion:。
外贸英语函电实盘范文要求
外贸英语函电实盘范文要求In the dynamic landscape of international trade, effective business communication plays a pivotal role in fostering successful partnerships and navigating the complexities of cross-border transactions. The mastery of English language skills, particularly in the realm of correspondence, has become a crucial asset for professionals engaged in foreign trade. This essay aims to provide a comprehensive overview of sample business English correspondence for foreign trade, highlighting the essential elements and best practices that can contribute to the success of your international business endeavors.Inquiry LetterThe inquiry letter serves as the initial point of contact with a prospective business partner. It should convey a clear and concise message, capturing the essence of your interest and the specific needs or requirements you have. A well-crafted inquiry letter should include the following key components:1. Introduction: Begin by introducing yourself, your company, andthe purpose of your inquiry. Clearly state the products or services you are interested in and the reasons for your interest.2. Product or Service Details: Provide detailed information about the products or services you are inquiring about, including specifications, quantities, and any other relevant details. This demonstrates your understanding of the market and your specific needs.3. Delivery and Payment Terms: Outline your preferred delivery timeline and payment terms, indicating your flexibility and willingness to negotiate to reach a mutually beneficial agreement.4. Request for Information: Conclude the letter by requesting additional information or a formal quotation from the recipient. Encourage them to respond promptly and provide a clear timeline for your decision-making process.Quotation LetterUpon receiving an inquiry, the next step in the correspondence process is the quotation letter. This document provides the prospective customer with a detailed breakdown of the proposed pricing, terms, and conditions for the products or services. A well-structured quotation letter should include the following elements:1. Introduction: Begin by acknowledging the recipient's initial inquiryand reiterating your understanding of their requirements.2. Product or Service Details: Provide a comprehensive list of the products or services, including their descriptions, quantities, unit prices, and any applicable discounts or volume-based pricing.3. Delivery and Shipping: Outline the estimated delivery timeline, shipping methods, and any associated costs. Clearly communicate your ability to meet the customer's needs in a timely and efficient manner.4. Payment Terms: Specify the preferred payment terms, including any deposit requirements, payment schedules, and accepted payment methods. Ensure that these terms are competitive and in line with industry standards.5. Validity Period: Clearly state the validity period of the quotation, allowing the customer to make an informed decision within a reasonable timeframe.6. Additional Information: Include any relevant certifications, warranties, or after-sales support that you can offer to enhance the value proposition for the customer.7. Call to Action: Conclude the letter by inviting the customer toplace an order or request any additional information they may require.Purchase OrderThe purchase order is a legally binding document that formalizes the customer's commitment to the transaction. A well-crafted purchase order should include the following key elements:1. Order Details: Provide a comprehensive list of the ordered products or services, including their descriptions, quantities, unit prices, and total cost.2. Delivery and Shipping: Specify the agreed-upon delivery timeline, shipping method, and any associated costs.3. Payment Terms: Outline the payment terms, including any deposit requirements, payment schedules, and accepted payment methods.4. Delivery Address and Contact Information: Clearly state the delivery address and provide the relevant contact information for both the buyer and the seller.5. Terms and Conditions: Include any applicable terms and conditions, such as warranty coverage, return policies, and dispute resolution procedures.6. Signatures: Ensure that the purchase order is signed by authorized representatives from both the buyer and the seller, solidifying the agreement.Proforma InvoiceThe proforma invoice serves as a preliminary invoice, providing the customer with a detailed breakdown of the transaction before the final invoice is issued. A well-structured proforma invoice should include the following elements:1. Invoice Details: Provide a unique invoice number, the date of issuance, and the currency of the transaction.2. Buyer and Seller Information: Clearly state the names, addresses, and contact details of both the buyer and the seller.3. Order Details: List the ordered products or services, including their descriptions, quantities, unit prices, and total cost.4. Shipping and Handling: Outline the shipping method, any applicable freight or handling charges, and the estimated delivery timeline.5. Payment Terms: Specify the preferred payment terms, includingany deposit requirements, payment schedules, and accepted payment methods.6. Additional Information: Include any relevant certifications, warranties, or after-sales support that you can offer to the customer.7. Validity Period: Clearly state the validity period of the proforma invoice, allowing the customer to make an informed decision within a reasonable timeframe.Commercial InvoiceThe commercial invoice is the final and most important document in the foreign trade correspondence process. It serves as the official record of the transaction and is required for customs clearance. A well-crafted commercial invoice should include the following key elements:1. Invoice Details: Provide a unique invoice number, the date of issuance, and the currency of the transaction.2. Buyer and Seller Information: Clearly state the names, addresses, and contact details of both the buyer and the seller.3. Order Details: List the ordered products or services, including their descriptions, quantities, unit prices, and total cost.4. Shipping and Handling: Outline the shipping method, any applicable freight or handling charges, and the actual delivery timeline.5. Payment Terms: Specify the agreed-upon payment terms, including any deposit requirements, payment schedules, and accepted payment methods.6. Customs Information: Provide any relevant customs information, such as the Harmonized System (HS) codes, country of origin, and any applicable trade agreements or preferential tariff treatments.7. Additional Information: Include any relevant certifications, warranties, or after-sales support that you can offer to the customer.By mastering the art of business English correspondence for foreign trade, professionals can effectively communicate with their international partners, build trust, and navigate the complexities of cross-border transactions. The sample formats and best practices outlined in this essay serve as a comprehensive guide to help you elevate your business communication skills and achieve success in the global marketplace.。
国际投资学在线试题库英文版M10_SOLN9695_06_TB_C10
Chapter 10Derivatives: Risk Management with Speculation, Hedging, and Risk TransferNote:In the sixth edition of Global Investments, the exchange rate quotation symbols differ from previous editions. We adopted the convention that the first currency is the quoted currency in terms of units of the second currency.For example, €:$ = 1.4 indicates that one euro is priced at 1.4 dollars. In previous editions we used the reversed convention $/€= 1.4, meaning 1.4 dollars per euro.All problems in this test bank still use the old convention and have not been adapted to reflect the new quotation symbols used in the 6th edition.Questions and Problems1. A Swiss portfolio manager has a significant portion of the portfolio invested in dollar-denominatedassets. The money manager is worried about the political situation surrounding the next U.S.presidential election and fears a potential drop in the value of the dollar. The manager decides to sell the dollars forward against Swiss francs.a. Give some reasons why the Swiss money manager should use futures rather than forwardcurrency contracts?b. Give some reasons why the Swiss money manager should use forward currency contracts ratherthan futures?Solutiona. Some reasons to use futures rather than forward currency contracts:•The money manager does not require a specific maturity as there is no specific cash flow to hedge. A futures contract with an expiration date extending beyond the election date would beacceptable.• A professional money manager is well-equipped to deal with daily marking-to-market.•Futures can be cheaper than forward as they are standardized and traded on an organized market. Forwards are customized contracts, and hence, are often more expensive unless theyare of a large size.•Futures are tradable at any time while forwards are not, so the hedge can easily be removed at any time, while removing a forward hedge usually requires the writing of an opposite contract.b. Some reasons to use forward currency contracts rather than futures:•It is easy to arrange a forward through a bank for a specific amount and maturity.•Forward contracts do not require the daily cash adjustments required by the marking-to-market procedure of futures contracts.•Currency forwards are administratively less burdensome than futures contracts.•Forward contracts can be arranged for large amounts, while the liquidity of currency futures contracts could be limited. So, the cost of implementing a currency forward could be less thanthe cost of implementing a currency futures hedge.Chapter 10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer 1172. Why are futures contracts commonly believed to be less subject to default risk than forward contracts?SolutionFutures markets have put in place successful procedures to protect clients from the default ofa counterparty:•The counterparty is always the clearinghouse, not a private party.• A centralized margin deposit system.•Guarantees posted by all members who are collectively responsible.•Daily marking-to-market. Variation limits can make this process take place during the day if needed.•Liquidity of an organized market for standardized contracts.3. Let’s consider a Swiss franc futures contract traded in the United States. On February 18 (a Friday),the March contract closed at 0.7049 dollar per Swiss franc. The size of the contract is 125,000 Swiss francs. The initial margin is $2,600 per contract and the maintenance margin is $1,600. Assume that you buy one March contract on February 19 at 0.7049 $/SFr and you deposit, in cash, an initialmargin of $2,600. Listed below are the futures quotations (settlement prices) observed on threesuccessive days:Feb. 18Feb. 20 Feb. 21 Feb. 220.7049 0.7009 0.6949 0.7089What are the cash flows associated with the marking-to-market procedure?SolutionLet’s review the cash flows associated with these price fluctuations:February 20: You lose 0.0040 dollars per franc, or $500 per contract which is debited from your initial deposit. Your margin is now equal to $2,100, which is above the maintenance margin.You do not have to reconstitute the initial margin.February 21: You lose an additional 0.0060 dollars per franc, or $750 per contract, which isdebited from your margin account. Your margin is now equal to $1,350, which is below themaintenance margin. You have to reconstitute the initial margin up to $2,600 by transferring$1,250 to your margin account.February 22: You gain 0.0140 dollars per franc, or $1,750 per contract. You can use this $1,750 as you like, since your initial margin is intact at $2,600.The net result on February 22, is that you have a net gain of $500 (= 1,750 - 750 - 500) from the day you initially bought the contract. If you decided to sell back the contract on February 22, your margin deposit of $2,600 would be given back to you, and the net gain of $500 would be yours.4. A German investor holds a portfolio of British stocks. The market value of the portfolio is £20 million,with a β of 1.5 relative to the FTSE index. In November, the spot value of the FTSE index is 4,000.The dividend yield, euro interest rates, and pound interest rates are all equal to 4% (flat yield curves).a. The German investor fears a drop in the British stock market (but not in the British pound).The size of FTSE stock index contracts is 10 pounds times the FTSE index. There are futurescontracts quoted with December delivery. Calculate the futures price of the index.b. How many contracts should you buy or sell to hedge the British stock market risk?118 Solnik/McLeavey •Global Investments, Sixth Editionc. You believe that the capital asset pricing model (CAPM) applies to British stocks. The expectedstock market return is 10%. What is the expected return on this portfolio before and after hedging?d. You now fear a depreciation of the British pound relative to the euro. Will the strategies aboveprotect you against this depreciation? (Assume that the margin on the futures contract isdeposited in euros.)e. The forward exchange rate is equal to 1.4 € per £. How many pounds should you sell forward?Solutiona. The arbitrage value of the futures price of a stock index contract is equal to its spot value plus thebasis. The basis is equal to the difference between the interest rate and the dividend yield, timesthe spot value of the index. In a cash and carry arbitrage, the arbitrageur buys the stocks in theindex and sells the futures contract forward. In carrying the stocks, the arbitrageur has to financethe position at the pound interest rate, but receives the dividends on the stocks (which are notpaid or received on the futures contract). The futures price should be equal to the spot price sinceall yields are equal to 4%:F=S= 4,000.b. The minimum-variance hedge ratio is equal to the beta of the portfolio. You should sell N stockindex futures contracts, adjusting for the beta of the portfolio:N=portfolio valuebeta stock index contract size⨯⨯N=?0 million 1.57,500. 4,000?0⨯=⨯c. According to the CAPM, the expected return on the British portfolio (before hedging) is:E(R) = 4% +1.5 ⨯ (10% - 4%) = 13%.If you hedge the portfolio by selling FTSE contracts as in Question (b), the expected returnbecomes the risk-free interest rate of 4%.d. Hedging with British stock index futures does not protect you against a depreciation of theBritish pound.e. Your current exposure is £20 million and this is the amount to be sold forward.5. You hold a portfolio made of French stocks and worth €10 million. The beta (β) of this portfoliorelative to the CAC index is 1.5. The interest rate for the euro is 4% for all maturities and the annual dividend yield is 2%. The spot value of the CAC index on January 1, 2000, is 5,000. A CAC contract has a size of €10 for each index point.a. What should be the future price of the CAC contract with a three-month maturity?b. You fear a fall in the French stock market. What should be your hedge ratio? How manycontracts do you buy/sell?Solutiona. F= 5,000 + ((4% – 2%)/4) ⨯ 5000 = 5,025.b. h*=β= 1.5.Chapter 10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer 119 andN =portfolio valuebetastock index contract size⨯⨯=€10 million/(5,000 ⨯ 10) ⨯ 1.5.N =300.6. To capitalize on your expectation of a 10% gold price appreciation, you consider buying futures oroption contracts to speculate. The spot price of gold is $400. Near-delivery futures contracts are quoted at $410 per ounce with a margin of $1,000 per contract of 100 ounces. Call options on gold are quoted with the same delivery date. A call with an exercise price of $400 costs $20 per ounce.The rate of return on your speculation will be the return on your invested capital, which is the initial margin for futures and the option premium for options.a. Based on your expectation of a 10% rise in gold price, what is your expected return at maturityon futures contracts?b. Based on your expectation of a 10% rise in gold price, what is your expected return at maturityon option contracts?c. Simulate the return of the two investments for various movements in the price of gold.Solutiona The expected rate of return on the futures margin deposit is equal to 300%. This is found byobserving that the margin per ounce of gold is $10($1,000 for contract of 100 ounces). With a10% gold price appreciation of $40, the spot price of gold will rise to $440, which will also bethe futures price on delivery date. Hence, a profit of $440 – $410 = $30, for an initial investment of $10.b. At expiration, the option is expected to be worth $40 per ounce, since the gold price is expectedto be $440 and the exercise price is $400 per ounce. This leads to a net profit of $20 and a rate of return on the initial $20 investment of 100%.c. Gold Price Simulation$320 $360 $400 $440 $480Rate of Return:Gold Bullion -20% -10% 0% 10% 20%Futures -900% -500% -100% 300% 700%Option -100% -100% -100% 100% 300%7. In Hong Kong, the size of a futures contract on the Hang Seng stock index is HK $50 times the index.The margin (initial and maintenance) is set at HK $32,500. You predict a drop in the Hong Kong stock market following some economic problems in China and decide to sell one June futurescontract on April 1. The current futures price is 7,200. The contract expires on the second-to-last business day of the delivery month (expiration date: June 27). Today is April 1, and the current spot value of the stock market index is 7,140.a. Why is the spot value of the index lower than the futures value of the index?b. Indicate the cash flows that affect your position if the following prices are subsequently observed:April 1 April 2 April 3 April 4Hang Seng Futures 7,200 7,300 7,250 6,900120 Solnik/McLeavey • Global Investments, Sixth EditionS olutiona. The futures price is higher than the spot price probably because the short-term interest rate ishigher than the dividend yield (positive basis).b.April 1 April 2April 3 April 4 Gain/Loss 0 -5,0002,500 17,500 Margin before Cash Flow 0 27,50035,000 50,000 Cash Flow -32,500 -5,0002,500 17,500 Margin after Cash Flow 32,50032,500 32,500 32,500 8. Derive a theoretical price for each of the following futures contracts quoted in the United States andindicate why and how the market price should deviate from this theoretical value. In each case,consider one unit of underlying asset. The contract expires in exactly three months, and theannualized interest rate on three-month dollar London InterBank Offered Rate (LIBOR) is 12%. All interest rates quoted are annualized.Contract Useful Information a. Gold Futures: Spot gold price = $300 per ounce; cost of storage =$0.50 per ounce per monthb. Currency Futures: $/€ spot exchange rate = 1.10 dollars per euro;3-month euro interest rate = 4%c. Eurodollar Futures: (3-month $ LIBOR):6-month $ LIBOR interest rate = 10% d. Stock Index Futures: Current value of stock index = 1,200; annualdividend yield = 2%SolutionF is the futures price and S the spot price.a. Gold futuresF = S ⨯ (1 + 3-month interest rate) + cost of storage.F = 300 ⨯ (1.03) + 1.5 = $310.5.This is a pure arbitrage relation. It must hold exactly for a forward contract and closely for afutures contract. The market price of the futures could deviate from this theoretical price because arbitrage costs on this physical asset are quite high.b. Currency futures€€$1112%/41.1 1.1218 $/114%/4r F S r ++==⨯=++where: $r is the dollar interest rate,€r is the euro interest rate. This is a pure arbitrage relation. It must hold exactly for a forward contract and hold closely for afutures contract. Arbitrage costs are very small on the currency market.Chapter 10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer 121c. Eurodollars futuresThe futures price is equal to 100% minus the annualized forward interest rate. The forwardinterest rate r F is the three-month interest rate that will be valid in three months (the delivery date of the futures contract). By arbitrage, it should be equivalent today to buy the futures contract or to invest for six months (r m interest rate to maturity) and simultaneously borrow for three months (r d interest rate to delivery).11.1m F dr r r ++=+Here, the interest rate to maturity is r m = 10% ⨯ 6/12 = 5%.The interest rate to delivery is r d = 12% ⨯ 3/12 = 3%.The futures interest rate is then r F = 1.05/1.03 - 1 = 1.9417%.On an annual basis, this is equal to 1.9417% ⨯ 12/3 = 7.7670%. Therefore, the futures price on the eurodollar contract should be equal to:F = 100 - 7.7670 = 92.233%.d. Stock indexF = S (1 + r s - r d )where:r s is the short-term interest rate,r d is the dividend yield.F = 1200 (1 + 12%/4 - 2%/4) = 1230.The market price may diverge from this theoretical value because:• The dividend yield is an annual approximation,• and arbitrage costs are quite high for the large number of stocks represented in the index.Note : In all these applications, one must be very careful to calculate interest pro rata temporis.Interest rates are always quoted on an annual basis. For example, the 12% rate on a three-month bill yields a 12% ⨯ 3/12 = 3% per quarter.9. You wish to establish the theoretical futures price on a Euribor contract quoted on the LondonInternational Financial Futures Exchange (LIFFE) in London. The futures contract is for a 90-day Euribor rate at expiration of the futures contract. You look at the current term structure of Euribor interest rates. Following the standard conventions for short-term rates, all interest rates are quoted as annualized linear rates. In other words, the interest paid for a maturity of T days is equal to theannualized rate quoted, divided by 360 and multiplied by T. The observed rates are as follows:60-Day 90-Day 150-Day 180-Day Euribor Rate 4.125% 4.250% 4.500% 4.550%a. What should be the Euribor futures price quoted today with an expiration date in exactly90 days?b. What should be the Euribor futures price quoted today with an expiration date in exactly60 days?122 Solnik/McLeavey • Global Investments, Sixth EditionSolutiona. This futures contract is for a 90-day bill issued in 90 days and maturing in 180 days. Theannualized forward interest rate r F is given by:180********1 4.55%1 1.01199841 4.25%F r ++==+r F = 4.80%F = 100% - 4.80% = 95.20%.b. This futures contract is for a 90-day bill issued in 60 days and maturing in 150 days. The annualized forward interest rate r F is given by:150********1 4.5%1 1.01179441 4.125%F r ++=⨯+r F = 4.72%F = 100% - 4.72% = 95.28%.10. You specialize in arbitrage between the futures and the cash market on the Paris Bourse. The CAC stock index is made up of 40 leading stocks. The futures price of the CAC contract with delivery in a month is 2,120. The size of the contract is €10 times the index. The spot value of the index is given as 2,000. Actually, there are transaction costs in the cash market; the bid –ask spread is around 40 points. You can buy a basket of stocks representing the index for 2,020 and sell the same basket for 1,980. Transaction costs on the futures contracts are assumed to be negligible. During the next month, the stocks in the index will pay dividends amounting to 5 per index. These dividends have already been announced, so there is no uncertainty about this cash flow. The current one-month interest rate in euros is 61/2 - 5/8%.a. Do you detect any arbitrage opportunity?b. What profit could you make per contract?c. What is the theoretical value of the futures bid and ask prices?Solutiona. The basis is equal to 120 per index or 6% of the spot value. This seems very large. An arbitrage would be to sell futures, buy spot, and carry the position till expiration of the futures contract. At expiration, both positions would be liquidated (futures contracts on the index are settled by cash, not by physical delivery of the shares).b. Let’s look at the exact arbitrage per index:• Sell the futures at 2,120.• Buy a basket of stocks at 2,020.• Carry the position for a month with a financing cost at a rate of 6 5/8% and with the receipt of€5 in dividends.• Buy back the futures at expiration at the prevailing spot index value S (by definition of the contract, the futures price is equal to the spot value in expiration).• Sell the basket of stocks at S minus 20.Note that the futures contract is settled in cash, so the basket of stocks cannot be used for physical delivery; it increases the transaction costs. Let’s look at the profit at the end of the month:Profit = 2120 - 2020 -2020 5865(20)12100S S ⎛⎫+-+- ⎪⨯⎝⎭= 73.85.Chapter 10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer 123c. By arbitrage, the bid (F bid ) and ask (F ask ) are given by the following equations:0 = - F bid + 1,980 + 1,9801265(20)12100S S ⎛⎫-+-+ ⎪⨯⎝⎭F bid = 1,980 + 10.72 - 5 -20 = 1,965.72.0 = F ask - 2,020 - 2,0205865(20)12100S S ⎛⎫+-+- ⎪⨯⎝⎭F ask = 2,020 + 11.15 - 5 + 20 = 2,046.15.The futures price should be between 1,965.72 and 2,046.15. In practice, the transaction cost on a basket of shares will generally be much less than the 2%assumed here on a return transaction.11. A few years ago when the French franc (FF) still existed, the MATIF futures exchange in Paris had avery active market for the French government bond contract. The underlying asset is a notional long-term government bond with a yield of 10%. The size of the contract is FF 500,000 of nominal value. Futures prices are quoted in percentage of the nominal value. On April 1, the French term structure of interest rate is flat. The bond futures price for delivery in June is equal to 106.21%. The three French government bonds that can be used for delivery have the following characteristics:Market Price Duration Conversion Factor Bond A107.46% 7.00 101.1771% Bond B105.57% 7.90 98.1441% Bond C 106.32% 8.80 99.3104%a. Is the futures price consistent with the spot bond prices? (Find the bond cheapest to deliver.)b. Estimate the interest rate sensitivity (duration) of the futures price.c. You are an insurance company with a portfolio of French government bonds. The portfolio has anominal value of FF 100 million and a market value of FF 110 million. Its average duration is 3.5. You are worried that social unrest in France could lead to an increase in French interest rates.Rather than selling the bonds, you wish to temporarily hedge the French interest rate risk. Howmany futures contracts would you sell and why?Note to the instructor: The section on optimal hedge ratios for bond portfolios has beenremoved from the 5th edition. We include a brief summary of the theoretical derivationsgiven at the end of the solution.Solutiona. To answer this question we need to determine which is the cheapest-to-deliver bond.We search for the cheapest-to-deliver bond. If we deliver bond i with price P i and conversionfactor CF i , the net receipt will be (assuming a flat yield-curve):F ⨯ CF i - P i .124 Solnik/McLeavey • Global Investments, Sixth EditionSince F = 106.21%Bond A: 0 B ond B:-1.33%B ond C: -0.84% B ond A is the cheapest-to-deliver bond and its price should drive the futures price:F = P A /CF A .Since P A /CF A = 106.21%, spot bond prices are consistent with the futures price.b. The duration of the futures should be equal to that of Bond A, or:D F = 7.00 since .A A AdP dF D dr F P ==-⨯ c. A naive hedge would be to sell an equal nominal quantity of futures contract, that is, a nominalvalue of FF 100 million or 200 contracts. However, the futures price is twice as sensitive tointerest rate movements as the portfolio (durations of 7 and 3.5, respectively). So, you should sell only 100 contracts.More precisely the optimal hedge ratio is (see Appendix):h * =110 3.50.518.106.217⨯=⨯ You should sell N contracts:N = 0.518100 millions 103.6.0.5 million= Appendix: Theoretical DerivationsTheoretical value of the futures price :The theoretical value of the futures price is derived by arbitrage between the futures and the cheapest-to-deliver bond. Assume that the futures price is “too high.” Then an arbitrageur could buy adeliverable bond “B ” at a price P B on the cash market and simultaneously sell the futures at F . Bond B has a conversion factor CF B . The carrying cost of this position is the difference between the short-term interest rate paid to finance the purchase of the bond and the long-term interest rate (yield)received while holding the bond. Let’s assume that the yield curve is flat, so that there is no carrying cost in this arbitrage (basis equals zero).At delivery the arbitrageur will make a profit equal to:F ⨯ CF B - P B .Chapter 10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer 125Of course, the arbitrageur will choose the bond (Bond B) that maximizes this profit (i.e., thecheapest-to-deliver bond). By arbitrage this riskless profit must be zero (it will be negative for deliverable bonds that are not the cheapest-to-deliver). So, the futures price should be equal to:.B BP F CF = The price of the cheapest-to-deliver bond (Bond B) drives the futures prices (the conversion factor isa constant).Optimal hedge ratio :Let’s assume that we wish to hedge the interest rate risk of a portfolio with a value V (hereFF 110 million), consisting of a nominal value Q (here FF 100 million) times an average spot bond price S % (here 110%). The duration equation for the portfolio for a small variation dr in the market yield is:S dV Q dS dS D dr V Q S S⨯===-⨯⨯ or.S dV D Q S dr =-⨯⨯⨯The duration equation for the futures price is driven by the equation duration for the cheapest-to-deliver bond (remember that the conversion factor is a constant):B B BdP dF D dr F P ==-⨯ hence.B dF D F dr =-⨯⨯We hedge by selling N futures contracts with a fixed size (here FF 0.5 million). For a small variationdr in the market yield, the futures position will generate a gain of:Gain = .B N size dF N size D F dr -⨯⨯=⨯⨯⨯⨯The net result on the hedged portfolio is:().S B B S D Q S dr N size D F dr N size D F D Q S dr -⨯⨯⨯+⨯⨯⨯⨯=⨯⨯⨯-⨯⨯⨯The optimal number of contracts that will immunize the hedged portfolio to small variations inmarket yield is such that:0B S N size D F D Q S ⨯⨯⨯-⨯⨯=or.S B D S Q N Size D F⨯=⨯⨯ The optimal hedge ratio is *.S B D S h D F ⨯=⨯12. An American investor wants to invest in a diversified portfolio of Japanese stocks but can invest onlya rather small sum. The investor also worries about fiscal and transaction cost considerations. Whywould futures contracts on the Nikkei index be an attractive alternative?Solution•With little capital, an investor can only buy a few Japanese shares and will only hold a poorly diversified portfolio. Through a stock index futures contract this same investor holds aparticipation in a fully diversified Japanese stock portfolio.•Transaction costs on individual shares are higher than on a stock index futures contract.•The futures prices should be set by Japanese investors who arbitrage between the futures contracts and the stock market. On the other hand, foreign buyers of Japanese stocks tend to lose thewithholding tax on dividends paid; this is certainly the case for U.S. pension funds. Therefore, the futures contract allows a purchase at fair prices without losing the withholding tax on dividends.One has to be careful about the currency exposure, which is different in a direct stock purchase and a long position in the futures contract.13. A money manager holds $50 million worth of top-quality international bonds denominated in dollars.Their face value is $40 million, and most issues are highly illiquid. She fears a rise in U.S. interest rates and decides to hedge, using U.S. Treasury bond futures. Why would it be difficult to achieve a perfect hedge (list the various reasons)?SolutionThis is a typical example of a cross-hedge where the asset to be hedged is different from the futures contracts. Among the factors that could make the hedge imperfect:•The maturity (and duration) of the portfolio of bonds is different from that of the notional bond.•Movements in the Treasury bond rates are not perfectly correlated with those on international bonds, which are mainly corporate bonds.•Basis risk.14. A manager holds a diversified portfolio of British stocks worth £5 million. He has short-term fearsabout the market but feels that it is a sound long-term investment. He is a firm believer in betas, and his portfolio’s β is equal to 0.8. What are the alternatives open to temporarily reduce the risk on his British portfolio?SolutionOne alternative is to sell all the British shares and buy them back when his fears disappear. At least he could buy and sell shares to reduce the beta of his portfolio. This is a costly solution in terms of transaction costs.Another alternative is to sell Financial Times stock index futures contracts to hedge the Britishmarket risks and remove the hedge when the fears disappear. Given the beta of his portfolio, the investor should sell for 0.8 ⨯ 5 = £4 million.Another alternative would be to buy put options on individual shares in the portfolio or on the stock index.15. You are the treasurer of a major Japanese construction company. Today is January 15. You expect toreceive €10 million at the end of March, as payment from a client on some construction work inFrance. You know that you will need this sum somewhere else in Europe at the end of June. Meanwhile, you wish to invest these €10 million for three months. The current three-month interest rate in euros is 4%, but you are worried that it will quickly drop. Listed below are Euribor futures quotations on EUREX:Maturity (month-end) PriceFebruary 96.02%March 96.08%June 96.20%September 96.25%a. Knowing that Euribor contracts have a size of €1 million, what should you do to freeze a lendingrate when you will receive the money?b. At the end of March, when you receive the money, the three-month Euribor is equal to 3%.How much money (number of euros) have you gained by engaging in the above transaction(as opposed to doing nothing on January 15)?Solutiona. I n order to freeze a lending rate when I will receive the money, I will buy 10 futures contractsthat expire in March and have a price of 96.08%. I am now freezing a three-month lending rate of3.92% for the end of March.b. At the end of March, the futures price will converge to 97%, given the 3% interest rate at thattime. Hence, I will make a profit on the futures contracts equal to:Profit =€10 million ⨯ [97% - 96.08%]/4 =€23,000.This profit will offset the drop in interest rate from January to March. I can then invest fromMarch to June the €10 million received at a rate of 3%.16. A dollar-Swiss franc swap with a maturity of five years was contracted by Papaf Inc. three years ago.Papaf swapped $100 million for CHF 250 million. The swap payments were annual, based on market interest rates of 8% in dollars and 4% in CHF. In other words, Papaf Inc. contracted to pay dollars and receive CHF. The current spot exchange rate is 2 CHF/$, and the current interest rates are 6% in CHF and 10% in $ (the term structures are flat).a. What is the swap payment at the end of year three? Does Papaf pay or receive?b. On the final date of the swap, the spot exchange rate is 1.5 CHF/$.What is the final swap payment at the end of year five?Solutiona. At the end of year three, Papaf receives the balance of:•Receipt of CHF 10 million.•Payment of $8 million.The net cash flow is:10 – 8 ⨯ 2 =- CHF 6 million.Papaf has to pay CHF 6 million (or $3 million).。
The World Bank Group
“The Nations should consult and agree on
international monetary changes which affect each other. They should outlaw practices which are agreed to be harmful to world prosperity, and they should assist each other to overcome short-term exchange difficulties.” “The IBRD was created to speed up post-war reconstruction, to aid political stability and to foster peace. This was to be fulfilled through the establishment of program for reconstruction and development”
United States Japan China Germany → 15.85% → 6.84% → 4.42% → 4.00% United Kingdom → 3.75% France → 3.75% India → 2.91%
Governance Structure
• The legal framework includes the Articles of Agreement signed by all country members, the ByLaws and Rules of Procedures for Meetings • Boards of Governors as highest governing body & contains a seat for every member country • Development Committee as an advisory body of 24 ministers • Boards of Executive Directors responsible for the general operations of the Bank and specific powers to select the President; by custom, WB is headed by an American, while the IMF is lead by a European
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R
esearchers during the last twenty years have devoted considerable attention to the development of efficient numerical procedures for pricing options when analytic results are not available. A popular procedure suggested by Cox, Ross, and Rubinstein [1979] (CRR) rep-
JOHN Huu is a professor in t the University of Toronto.
ALAN WHITE is also a professor in the Faculty of Management at the University of Toronto.
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We begin by assuming that the value o f a derivative security at time t is a function o f t , the price of the underlying asset, S, and some function of the path followed by the asset price between time zero and time t, F(t, S). The notation is as follows: Price of the asset at time t Function of the path followed by S between time zero and lime t that underlies the price of the derivative security v(S, E t): Value of the derivative security at time t when the asset price is S and the path S(t): F(t, S):
FALL 1993
THE JOURNAL OF DERIVATIVES
21
resents movements in the asset price in the form of a binomial tree. Another proposed by Boyle [1977] uses Monte Carlo simulation. The CRR procedure invol!ves working backward in time, evaluating the price of the option at each node of the tree. It can handle American-style options, but so far has not been used in many situations where payoffs depend on the history of the asset price as well as its current value. 'This is because the history of the asset is not known when calculations are carried out at a node. Monte Carlo simulation by contrast involves working forward, simulating paths for the asset price. It can handle options where the payoff is path-dependent, but it cannot handle American options, because there is no way of knowing whether early exercise is optimal when a particular stock price is reached at a particular time. We show how tree approaches such as CRR can be extended to value some types of path-dependent options. O n e interesting application is to European and American options on the arithmetic average price of an asset, so-called Asian options. No numerical procedures have up to now been available for American options on the average price of an asset. For European average price options, the approach we describe is faster than Monte Carlo simulation and more accurate than the lognormal approximation suggested by Levy [1990] and Turnbull and Wakeman [1991]. A second application is to the valuation of mortgage-backed securities and indexed-principal swaps.
EFFICIENT PROCEDURES FOR AND VALUING EUROPEAN AMERICAN PATH-DEPENDENT OPTIONS
John Hull and Nan White
We show how binomial and trinomial tree methods can be extended to value many types o f options with pathdependent payofs. Ourfirst example is a Iookback put option, whose payof is a function o f the maximum stock price realized during the option’s I@. Because the total number ofalternatives at a node is nevergreater than the number o f time steps, it is feasible to roll back through the tree and price the option at each node for every maximum stock price that could be realized up to that time. Derivatives such as Asian options based on the arithmetic average stock price present a more dficult problem, because the number ofaverage stock prices that might be realized between time zero and a node can be very large. In that case, at each node we price the option for a predeterf mined representative set o values for the path-dependent function - the average, in this case - and interpolate to calculate option values as required. Our results show that using the procedure to value Asian options is more accurate than a numerical approximation technique proposed in the literature, and is considerably faster than Monte Carlo simulation. Moreover, it can be used for both American and European options. We also illustrate applying the procedure to value mortgagebacked securities.
I. THE FIRST EXTENSION OF CRW
r:
T :
finction has value F Esk-free interest rate (assumed constant) Life of the derivative security
The principle of risk-neutral valuation shows that the value of the derivative security is independent of the risk preferences of investors. This means that we may with impunity assume that the world is riskneutral. We suppose that the process followed by S in a risk-neutral world is geometric Brownian motion: dS = pS dt