ACCA P4考试：Monte Carlo Simulation

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ACCA F4 六月份考试试卷

1Explain the following in the context of European Community law:(a)regulations; (3 marks)(b)directives;(3 marks)(c)the role of the European Court of Justice. (4 marks)(10 marks) 2(a)Explain and distinguish between an offer and an invitation to treat in the law of contract.(7marks)(b)Explain why the distinction is important. (3 marks)(10 marks) 3(a)Explain the meaning of exclusion clauses, also known as exemption clauses, in contract law. (2 marks)(b)How are such clauses controlled:(i)at common law;(4 marks)(ii)by statute?(4 marks)(10 marks) 4Explain in the context of employment law,(a)the common law duties imposed on employers; (6 marks)(b)constructive dismissal. (4 marks)(10 marks) 5Distinguish between:(a)unlimited companies;(3 marks)(b)companies limited by guarantee;(3 marks)(c)companies limited by shares.(4 marks)(10 marks) 6Explain the fiduciary duties owed by directors to their companies.(10 marks) 7(a)Explain the rules governing the payment of dividends in relation to:(i)private companies; (4 marks)(ii)public companies. (3 marks)(b)State the consequences of any dividend being paid in contravention of those rules. (3 marks)(10 marks) 8(a)Explain what is meant by ‘winding up’ in company law. (2 marks)(b)Distinguish between:(i)voluntary winding up; (4 marks)(ii)compulsory winding up. (4 marks)(10 marks)29Aerial Ltd is a small independent television production company which specialises in making television programmes which it then sells to television broadcasting companies in the United Kingdom. In January 2001 it signed a contract with an actor called Bob for him to play a leading role in one of its productions to start filming in August 2002. In the course of 2001 Bob became extremely famous and in great demand and Aerial Ltd launched a large advertising campaign publicising his appearance in their forthcoming production. The campaign was expensive, costing £300,000, but it was successful in generating great interest. As a result Aerial Ltd got a contract to sell their production to one of their usual UK clients in a deal that would enhance their usual profit of £500,000 by a further £250,000. More importantly, however, it allowed them to sell their production to an American television company ata profit of £1 million. Unfortunately in May 2002, Bob informed Aerial Ltd that he had no intentions of making a filmwith them. Aerial Ltd have been told that if they replace Bob with a lesser known actor, who is available and willing to do the work, their profit from the UK deal will be reduced to its usual level and they will lose the American deal completely.Required:Analyse the scenario from the perspective of contract law and advise Aerial Ltd as to any action it may take.(20 marks)10Clare, Dan and Eve formed a partnership 10 years ago, although Clare was a sleeping partner and never had anything to do with running the business. T wo years ago the partnership employed Frank as its manager and last year Dan retired from the partnership. Eve subsequently has left much of the day-to-day work to Frank who has let it be known generally that he has become a partner, although he has not. In January of this year Frank entered into two large contracts. The first one was with a longstanding customer Greg who had dealt with the partnership for some five years.The second contract was with a new customer Hugh. Both believed Frank’s claim that he was a partner in the business. Both contracts have gone badly wrong leaving the partnership still owing £50,000 to both Greg and Hugh.Unfortunately the business assets will only cover the first £25,000 of the total debt.Required:Consider and explain the potential liabilities of Clare, Dan, Eve and Frank.(20 marks)11Imran and Jane have established a successful publishing business which they have run as a partnership. They now wish to turn it into a public limited company.Required:(a)Explain the procedure required and the forms that have to be submitted before the public company can begintrading. (10 marks)(b)List and explain the purpose of the various registers that will have to be kept by the company. (5 marks)(c)Describe what accounting records will have to be maintained by the company. (5 marks)(20 marks)3[P.T.O.12Kath owns 76% of the share capital in Lax Ltd. There are only two other shareholders in Lax Ltd. Matt owns 10% and also operates his own separate business in direct competition with Lax Ltd. Norm owns the remaining 14%. All three shareholders are on the board of directors. However, Owen has been the effective chief executive of the company for the past three years and, although he does not own any shares in it, he has a service contract to act as the company’s managing director until 2005.Kath has received a very generous offer from Prime plc to buy her shares in Lax Ltd but only on the understanding that she is the sole shareholder and that Owen is removed from his position as Managing Director of the business.Unfortunately for Kath the articles of association of Lax Ltd contain a pre-emption clause requiring that members wishing to sell their shares must first of all offer them to the other members and only on their refusal to buy them can they be sold to an outsider.Kath intends calling an extraordinary general meeting and proposing the following resolutions:(i)that Owen be removed from the board of directors and replaced by Kath’s son Ron;(ii)that the articles of association be altered in the following ways:(a)to remove the existing pre-emption right so as to permit members to sell their shares to outsiders;(b)to require any member conducting business in competition with Lax Ltd to sell their shares to the companyat fair value;(c)to require any shareholder to sell their shares to the company at fair value on receipt of a resolution of thedirectors to that effect.Kath then intends to use the new articles to require Matt and Norm to sell their shares back to the company and sell her shares to Prime plc.Required:Advise the parties as to the legality and effectiveness of Kath’s proposed actions.(20 marks)End of Question Paper4。

蒙特卡罗方法(Monte Carlo simulation)

3.5 舍选抽样法几何解释
– 在二维图上，随机选取位于曲线cQ*(x)下的点[x,u]； – 选取位于曲线P*(x)下的那些点，则这些点将服从概率密度为P(x)的分布
常数c的选取
– 常数c应尽可能地小,因为抽样效率与c成反比 – c=max{P*(x)/Q*(x)}, x ∈[a,b]
蒙特卡罗方法(Monte Carlo simulation)
直接抽样法不可用、舍选抽样法效率低假定：概率密度函数可写成下面的因子化形式
f ( x)dx = C f ,
f ( x) =
1 f ( x) Cf
p ( x) = f ( x) g ( x)
其中：
– – f(x)包含了p(x)的峰值部分且可用直接抽样法进行抽样 g(x)是一个相对变化平缓的函数，包含了p(x)函数的大部分的数学复杂性；
k k
pk ≥ 0; ∑ pk = 1;
抽样方法：
∫f
k
( x)dx = 1
– 利用离散型的随机变量的抽样方法抽取序号k;
r ∈ U [0,1];
∑p
i =1
k 1
i
≤ r ≤ ∑ pi
i =1
kf ( x ) = 0 .5 e
,0 )
x
例：用复合法产生双指数分布随机数
ε=
ε ∈ [ε 0 ,1]
E0 ; E1
me c 2 ; me c 2 + E0 (1 cos θ )
E1 = E1min → ε 0 =
me c 2 me c 2 + 2 E0
如何抽取散射光子的能量？==〉乘加抽样法
2 ε sin θ 1 Φ (ε ) + ε 1 = f (ε ) g (ε ) = [α 1 f1 (ε ) + α 2 f 2 (ε ) ]g (ε ) 1+ ε 2 ε

系统建模与仿真第12讲 Monte Carlo蒙特卡洛方法

Nicholas Metropolis (1915-1999)
Monte-Carlo, Monaco
引言(Introduction)
Monte Carlo模拟的应用：自然现象的模拟：宇宙射线在地球大气中的传输过程；高能物理实验中的核相互作用过程；实验探测器的模拟数值分析：利用Monte Carlo方法求积分
2
3.141528 3.141528 3.141509 3.141553 3.141506
3
3.141527 3.141521 3.141537 3.141527 3.141538
n
(i )2
si

i1
n 1
0.000012
0.0000032
s si / n
ua s t(0.683, n 1) 0.0000033
引言(Introduction)
Monte Carlo模拟在实际研究中的作用
引言(Introduction)
Monte Carlo模拟的步骤： 1. 根据欲研究的系统的性质，建立能够描述该系统特性的理论模型，导出该模型的某些特征量的概率密度函数； 2. 从概率密度函数出发进行随机抽样，得到特征量的一些模拟结果； 3. 对模拟结果进行分析总结，预言系统的某些特性。
k n 1
3.1415279
14
例1 在我方某前沿防守地域，敌人以一个炮排（含两门火炮）为单位对我方进行干扰和破坏．为躲避我方打击，敌方对其阵地进行了伪装并经常变换射击地点．
经过长期观察发现，我方指挥所对敌方目标的指示有50％是准确的，而我方火力单位，在指示正确时，有1/3的射击效果能毁伤敌人一门火炮，有1/6 的射击效果能全部消灭敌人．

monte carlo仿真

1、设置仿真应用模型
Add：mc，stat，stat_mis模型并disable掉tt模型，这三个模型用于仿真monte carlo的统计学和失配特性，库模型设置完成；
注：关于model library 有时间可以点进Edit File中读一下，会有收获。

例如想要仿真monte carlo可以进去搜monte carlo的关键字。

其示例中会提示需要用到哪些模型文件，但有时不够直观，但是会提供一个参考。

想要得到全面的内容，需要继续以你搜到的关键字进行检索。

2、修改管子模型；
然后进入电路图，将管子类型进行相应修改，以加入mismatch。

例如tsmc90工艺下，仿真的管子模型是nch_mac和pch_mac；而smic工艺下为标准管子名称加_mis的管子。

也可另外新建电路图，专门仿真monte carlo；
3、ADE仿真窗口中，设置好仿真环境，在tools中选择monte carlo仿真。

Number of Runs设置仿真次数，一般情况下越多越准确，但注意仿真时间；Analysis variation 可以设置仿真类型，包含process和mismatch两项。

注意勾选Save Data Between Runs to Allow Family Plots。

acca p4知识点

acca p4知识点ACCA P4是ACCA考试中比较难的一门科目，考核内容涉及到许多复杂的金融和商业问题。

为了成功通过ACCA P4考试，需要具备一定的知识点和技能。

本文将围绕ACCA P4知识点进行分步骤的阐述。

步骤一：了解ACCA P4的考试安排和内容ACCA P4考试分为两个部分：主要题型和附加题型。

主要题型的比重为80%，包括四道大题，每道大题分值为25分。

附加题型的比重为20%，包括六道小题，每道小题分值为5分。

考试时间为三小时。

ACCA P4考试的内容主要涉及到战略性商业问题、财务策略、价值管理、皮克斯理论、对冲和风险管理等方面。

步骤二：了解财务管理相关概念ACCA P4考试的核心是财务管理，因此考生必须对财务管理相关概念有所了解。

需要掌握的概念包括财务报表分析、成本核算、财务规划和预算编制等方面。

步骤三：掌握金融市场相关知识ACCA P4考试也关注金融市场的行情和趋势，考生需要了解经济形势、利率、汇率等方面的知识点。

此外，还需要了解一些金融衍生品的工具，如期货、期权、互换等。

步骤四：掌握战略规划技能ACCA P4考试同样要求考生具有一定的战略思维和规划能力。

考生需要了解企业管理模式、市场定位、战略规划和业务模式等方面的知识点。

同时，也要熟悉SWOT分析、PEST分析和五力模型等分析工具。

步骤五：了解风险管理和对冲工具企业面临的风险需通过对冲工具来管理。

考生需要了解一些风险管理和对冲工具，如金融期货、期权、互换和衍生品等。

同时，还需要了解一些风险管理策略，如VaR和CVaR等。

步骤六：练习题目和做题技巧ACCA P4考试需要考生具有较强的应用能力，因此练习题目非常重要。

可以通过习题集、模拟试题等方式进行练习。

考生还需要掌握做题技巧，如对题目的理解、答案的推导、结论的陈述等方面的技巧。

ACCA P4是一门很有挑战性的科目，要想通过此考试需要考生全面掌握财务管理、金融市场、战略规划和风险管理等方面的知识点。

Monte Carlo Simulation

Monte Carlo SimulationACCA P4考试：Monte Carlo SimulationTraditional sensitivity analysis can be used if one project variable changes independently of all others. However, some project variables may be interdependent (e.g. production volume and unit costs).Simulation is a technique which allows more than one variable to change at the same time. The classic example of simulation is the "Monte Carlo" method which can be used to estimate not only a project's NPV but also its volatility.Designing a Monte Carlo SimulationAn assessment of the volatility (or standard deviation) of the net present value of a project requires estimates of the distributions of the key input parameters and an assessment of the correlations between variables. Some of variables may be normally distributed (e.g. demand), but others may be assumed to have limit values and a most likely value (e.g. redundancy costs).In its simplest form, Monte Carlo simulation assumes that the input variables are uncorrelated. More sophisticated modelling can, however, incorporate estimates of the correlation between variables.Monte Carlo simulation then employs random numbers to select a specimen value for each variable in order to estimate a "trial value" for the project NPV. This is repeated a large number of times until a distribution of net present values emerges. This distribution will approximate a normal distribution.Refinements such as the Latin Hypercube technique can reduce the likelihood of spurious results occurring through chance in the random number generation process.Outputs From Monte Carlo SimulationThe output from the simulation will give the expected NPV for the project and a range of other statistics including the standard deviation of the output distribution.In addition, the model can rank the significance of each variable in determining the project NPV.Summary of Monte Carlo Simulation1. Specify the major variables.2. Specify the relationship between the variables.3. Attach probability distributions (e.g. the normal distribution) to each variable and assign random numbers to reflect the distribution.4. Simulate the environment by generating random numbers.5. Record the outcome of each simulation.6. Repeat simulation many times to obtain a frequency distribution of the NPV.7. Determine the expected NPV and its standard deviation.。

Monte Carlo 法

Monte Carlo 法§8.1 概述Monte Carlo 法不同于前面几章所介绍的确定性数值方法，它是用来解决数学和物理问题的非确定性的（概率统计的或随机的）数值方法。

Monte Carlo 方法（MCM ），也称为统计试验方法，是理论物理学两大主要学科的合并：即随机过程的概率统计理论（用于处理布朗运动或随机游动实验）和位势理论，主要是研究均匀介质的稳定状态[1]。

它是用一系列随机数来近似解决问题的一种方法，是通过寻找一个概率统计的相似体并用实验取样过程来获得该相似体的近似解的处理数学问题的一种手段。

运用该近似方法所获得的问题的解in spirit 更接近于物理实验结果，而不是经典数值计算结果。

普遍认为我们当前所应用的MC 技术，其发展约可追溯至1944年，尽管在早些时候仍有许多未解决的实例。

MCM 的发展归功于核武器早期工作期间Los Alamos （美国国家实验室中子散射研究中心）的一批科学家。

Los Alamos 小组的基础工作刺激了一次巨大的学科文化的迸发，并鼓励了MCM 在各种问题中的应用[2]-[4]。

“Monte Carlo ”的名称取自于Monaco （摩纳哥）内以赌博娱乐而闻名的一座城市。

Monte Carlo 方法的应用有两种途径：仿真和取样。

仿真是指提供实际随机现象的数学上的模仿的方法。

一个典型的例子就是对中子进入反应堆屏障的运动进行仿真，用随机游动来模仿中子的锯齿形路径。

取样是指通过研究少量的随机的子集来演绎大量元素的特性的方法。

例如，)(x f 在b x a <<上的平均值可以通过间歇性随机选取的有限个数的点的平均值来进行估计。

这就是数值积分的Monte Carlo 方法。

MCM 已被成功地用于求解微分方程和积分方程，求解本征值，矩阵转置，以及尤其用于计算多重积分。

任何本质上属随机组员的过程或系统的仿真都需要一种产生或获得随机数的方法。

这种仿真的例子在中子随机碰撞，数值统计，队列模型，战略游戏，以及其它竞赛活动中都会出现。

ACCA P4考试通关秘笈之考试技巧+考题解析

ACCA P4考试通关秘笈之考试技巧+考题解析12月的考试越来越近了，楷博君感受到一股强大的复习气流迎面而来......这两天深深的觉得紧张的不只是楷博学子们，还有这些可爱可敬的老师们。

eg：周六楷博君与P4科目带头人古丽老师讨论干货推文内容长短的相关问题时，她说了这样一句话，让我觉得特别的温暖——“为什么看【P4：外汇远期合同，期货和期权(上)】的同学比下篇的多?其实，第二篇才是考试的重点。

我也不想分成两篇，但一篇推文实在装不下我对她们的爱”。

For September 2017 sitting, the global pass rate of P4 is about 35% which is reas onably acceptable. The main reasons given by the examiner for the poor perform ance can be summarized as:考试技巧Poor time management(超时，超时，超时！)Not completing sufficient questions（空题，大忌！）Poor exam technique（在擅长的题目上浓墨重彩，造成时间不足去完成剩下的题目！） Lack of question practice under examination conditions（模考练习不够！）Spending time on unnecessary introductions or definitions or reproducing fig ures already given in the question（想靠机械记忆在P段拿分！）Illegible scripts，incomplete sentences （字迹太乱，非完整句！）Numerical answers that were poorly structured (计算部分不用标准格式，不给出计算的过程！)Written answers that were poorly structured. It was difficult to identify in som e answers whether candidates were discussing advantages or disadvantages, ass umptions or risks;（论述部分逻辑性差,请用subheadings！）Not carefully reading the requirements of a question and therefore not answe ring the question that was asked (答非所问！)所以，综上所述为了顺利通过12月考试，你需要：Do not waste too much time on one question and have no enough time to cope with the remaining parts! Please do use the tips for time saving we’ve talked about during the tuition. Any figures you cannot estimate, just make u p it and move on!Use good structure or Performa to gain the four professional marks! You might b e asked to write a report or a memo or a discussion paper. They actually have th e same format: you should start with calculations(estimations) and please then u se a fresh paper to write your report. Your examiner said:“The report format should have an introduction; display a good structure and p resentation with appropriate use of appendices, followed by a conclusion/recom mendation that is relevant and meaningful to the foregoing discussion. Many ca ndidates could have easily earned a professional mark available by providing an appropriate conclusion to the report. Candidates who demonstrated an awarene ss of the business environment that is relevant to the case study scenario often s core good marks.”If you are unable to answer certain small parts of a question, that is fine. Do not panic! Just do not leave an entire question unattempt!If you find a question is relatively long and involves many discursive parts, then, please pay attention to the information given in the scenario which could actuall y be part of your answer!回顾9月考题·展望12月>>ferent areas.September 2017 Q1:(a)discuss differences between free trade areas and customs unions, and WTO;(b) evaluate based on a net present value analysis within an international investm ent appraisal context, and the implications when macroeconomic and trading en vironment change;(C) discuss about the composition of senior management strat egy such that the board skills and experience can be utilised in an efficient, effect ive and transparent wayTherefore, for Dec sitting, the question one will also combine different examin able areas from entire syllabus. Actually, it can be anything (why not? If you are well prepared). Just say in report part, if it is about foreign investment appraisal, i t will be quite similar to the Q7,Q8,Q9 in exam kit. Do not forget to assess the res ults you’ve achieved. If the examiner asks you to discuss the assumptions used, please do not just list the assumptions. You must discuss whether or not they are reasona ble.If it is about acquisition, refinancing or reorganization, it will be quite similar t o Dec 2015 Q1, June 2016 Q2, Q3. Different business valuation methods (FCF, FC FE, P/E,DVM,BSOP) will be tested in the computational part. Their individual pros and cons will be discussed in the report. Do not forget reverse takeover indeed is not an acquisition but a quick listing strategy. (Please review recent technique ar ticle). Also, the three aspects from pattern of behavior can be applied in this section to analyze why many acquisitions in reality failed. The maximum premium or net extra benefit generated from an acquisition or extra finance required are the topics been tested many times. Different acquisition financing strategies (cash of fer, share-share, bonds, and convertibles) and the impacts on the share price(s) o f acquiring company or (target company) or P/E ratios.Risk adjusted WACC is very important! It can be incorporated into investment appraisal or business valuation questions. Do not forget how to de-gear proxy’equity beta, and re-gear relevant asset beta.BSOP can also be used to value equity. The relevant calculation has been teste d by the old examiner but not the current examiner. It is crucial to list the five var iables and be able to discuss the limitations. Delta hedge and five Greeks can als o come. Please be prepared to calculate hedge ratio. If you are holding shares, y ou will not necessarily to sell call options but to buy the puts.Also, other topics like: bond valuation, duration or modified duration of bond, Islamic finance, probability analysis, regulation of takeover, and different risks of setting up foreign division can also appear in section A or B.Section B:the topics mentioned above can also be tested as a 25-marks question. Hedging question can either be against foreign currency risk (please read the other two ar ticles) or interest rate risk:Interest rate hedging:Different hedging strategies: forward, future, option on future, collar, swap, cur rency swap (indeed is an interest rate swap, just the counter part is in a different country).This question will not be as difficult as you expect. Please review recent questi ons (Dec 2015Q2, 2013 Dec Q2).You should write down the details, such as: the number of contracts, the expir y date of futures, the future price or exercise price of option.The function of interest rate future is to fix the LIBOR (for instance) at the dat e of closing the transaction ( the start of loan or deposit). The future price a t close-out date should be estimated through estimating unexpired basis at clos e-out date which is an important working. That is also where the basis risk comin g from.Option on futures gives buyer right but not obligation to exercise future contr acts. Using option is normally an expensive alternative, as premium must be paid regardless of the fact option will be exercised or not. The profit on option for option buyer is calculated by comparing the future price at close-out date and the exercise price selected. Please ensure you will get this right in the exam.The purpose of using collar is to lower premium payable and to limit the upsi de benefit (as the possibility of this is low). If the company will borrow money, it will buy puts (cap) to set an upper limit of borrowing rate and sell calls (floor) to set a lower limit of borrowing rate. If the company will deposit money, it will buy calls (floor) to set a lower limit of depositing rate and to sell puts (cap) to set an upper limit of depositing rate. When it buys options, it will pay the premium. Wh en it sells options, it will receive the premium.Determining forward rates and its application to interest swap.2 Section B(September 2017)Q2(a) a discuss the merits of specific sources of finance for an acquisition proposal and to recommend the most appropriate mode of financing(b) discuss the regulatory and ethical issues when raising financing capitalQ3(a) calculate how much an unbundled part of a company may be sold for and th e impact of its sale on the company’s financial structure and performance (b) an evaluation of the decision to sell off the unbundled part of the company Q4(a) hedge against interest rate risk(b) discuss the role of the treasury function in different geographical locations, in managing risk exposure and maximising corporate valueP4 exam is extremely time demanding, please manage your time wisely and plea se write the complete sentences in the exam!。

Monte-Carlo模拟教程

举例
例1 在我方某前沿防守地域，敌人以一个炮排（含两门火炮）为单位对我方进行干扰和破坏．为躲避我方打击，敌方对其阵地进行了伪装并经常变换射击地点．
经过长期观察发现，我方指挥所对敌方目标的指示有50％是准确的，而我方火力单位，在指示正确时，有1/3的射击效果能毁伤敌人一门火炮，有1/6的射击效果能全部毁伤敌人火炮．
蒙特卡罗方法的关键步骤在于随机数的产生，计算机产生的随机数都不是真正的随机数(由算法确定的缘故)，如果伪随机数能够通过一系列统计检验，我们也可以将其当作真正的随机数使用。
rand('seed',0.1);
rand(1) ％每次运ra行nd程('s序tat产e',s生um的(1值00*是clo相ck同)*r的and);
E = P(A0) = P(j=0)P(A0∣j=0) + P(j=1)P(A0∣j=1)
= 1 0 1 1 0.25 2 22
P(A1) = P(j=0)P(A1∣j=0) + P(j=1)P(A1∣j=1)
= 10 11 1 2 23 6
P(A2) = P(j=0)P(A2∣j=0) + P(j=1)P(A2∣j=1)
非常见分布的随机数的产生
• 逆变换方法
由定理 1 ，要产生来自 F(x) 的随机数，只要先产生来自U (0,1) 随机数 u ，然后计算 F 1(u) 即可。具体步骤如下：
(1) 生成 (0,1)上均匀分布的随机数U。
(2) 计算 X F -1(U ) ,则 X 为来自 F(x) 分布的随机数.
蒙特卡罗方法的基本思想很早以前就被人们所发现和利用。早在17世纪，人们就知道用事件发生的“频率” 来决定事件的“概率”。19世纪人们用蒲丰投针的方法来计算圆周率π，上世纪40年代电子计算机的出现，特别是近年来高速电子计算机的出现，使得用数学方法在计算机上大量、快速地模拟这样的试验成为可能。

蒙特卡洛仿真法

蒙特卡洛仿真法
蒙特卡洛仿真法（Monte Carlo Simulation）是一种基于随机抽样的数值计算方法，用于模拟和估计复杂系统或过程的行为和特性。

它通过生成大量随机数，并利用这些随机数对系统进行多次模拟，从而获得系统的统计特征或输出结果。

蒙特卡洛仿真法的基本思想是基于概率分布的采样。

首先，需要确定系统中各个变量或参数的概率分布函数。

然后，通过随机生成符合这些概率分布的样本值，来代表系统在不同情况下的可能状态。

接下来，对每个生成的样本进行计算或模拟，得到相应的输出结果。

通过重复这个过程多次（通常是数千或数万次），可以获得大量的样本结果。

根据这些样本结果，可以计算出系统的统计指标，如均值、标准差、概率分布等，从而对系统的行为进行估计和预测。

蒙特卡洛仿真法的优点包括：
1. 能够处理复杂的系统和不确定性问题；
2. 可以提供系统的统计特征和概率分布信息；
3. 适用于难以通过解析方法求解的问题。

蒙特卡洛仿真法在许多领域都有广泛的应用，如金融工程、风险管理、物理科学、工程设计等。

它可以帮助决策者在不确定性环境下进行风险评估、优化设计和决策制定。

需要注意的是，蒙特卡洛仿真法的准确性和可靠性取决于所选择的概率分布函数、抽样次数以及对结果的统计分析方法。

在实际应用中，需要合理选择和验证这些参数和方法，以确保模拟结果的有效性和可靠性。

天津财经大学最新ACCA注册会计师考试 p4_ 最低第0_jun_q

n 1 – 1 + g 1+ i An = 1+ g i–g
Hale Waihona Puke ()(28 marks)
2
2
AggroChem Co is undertaking a due diligence investigation of LeverChem Co and is reviewing the potential bid price for an acquisition. You have been appointed as a consultant to advise the company’s management on the ﬁnancial aspects of the bid. AggroChem is a fully listed company ﬁnanced wholly by equity. LeverChem is listed on an alternative investment market. Both companies have been trading for over 10 years and have shown strong levels of proﬁtability recently. However, both companies’ shares are thinly traded. It is thought that the current market value of LeverChem’s shares at 331/3% higher than the book value is accurate, but it is felt that AggroChem shares are not quoted accurately by the market. The following information is taken from the ﬁnancial statements of both companies at the start of the current year: AggroChem $’000 –––––– 4,400 –––––– 4,400 –––––– 4,400 –––––– 580 180 LeverChem $’000 –––––– 4,200 –––––– 1,200 3,000 –––––– 4,200 –––––– 430 150

ACCA考试P阶段各科通过率及难度分析

ACCA考试P阶段各科通过率及难度分析ACCA考试P阶段各科通过率及难度分析2017ACCA考试科目一共16科，学员需要通过其中14门考试才能有资格申请会员资格。

在这14门课程的学习中，学习顺序与科目搭配安排是ACCA新人最关心的问题。

下面我们就简单了解一下各科目的特点，以帮助学员可以更好的选择和学习。

下面是yjbys店铺为大家带来的ACCA考试P阶段各科通过率及难度分析的知识，欢迎阅读。

ACCA P阶段各科通过率及难度分析P1 Governance, Risk and Ethics (GRE)：这门课作为P阶段的第一门课程，内容上主要糅合了F1和F8的知识。

题目也都是文字性的内容，很多知识点都是一些常识性的知识，还有一些考点是需要特别记忆的，比如说董事会的组成及人数规定，ED与NED的.特点。

这类知识就要考生们特别背诵记忆。

P1考生普遍反馈的问题是，感觉知识学的很好，看真题答案也没有什么困难，就是考试时成绩不理想。

其实这门课最重要的还是要自己动手去写，切忌眼高手低。

自己做完题目后要与考官所给答案做对比，尽量与考官的观点看齐，这样才能最大程度上找到得分点，取得理想的成绩。

2016年P2平均通过率：48.5%P2 Corporate Reporting (CR)：这门课程是公司报告，其核心内容是报表编制及对其报表中各项数据的分析。

题目涉及的各项交易和事项的处理远比F7要复杂，同时需要大家非常熟练地掌握IAS及IFRS 国际准则的要求和会计处理方法。

近年来，ACCA出题方向越来越偏向通过数据分析公司的各项情况，所以要求学员不仅要会算，还要知道为什么这么算，算出来的数据又可以怎么用。

2016年P3平均通过率：48%P3 Business Analysis (BA)：这门课程是商务分析，既然是分析，那就摆脱不了各种模型。

要求学员可以将各个模型串联起来，熟练掌握每一个模型的原理和应用。

值得注意的是，考生往往容易犯一个错误，就是每个模型背的特别溜，但真到了考场上，你把你背的内容洋洋洒洒写上几大张纸，其实得分并不见得很理想。

ACCA国际注册会计师P4真题答案整理.doc

l.Chrysos Co(a)what a reverse takeover involvesgain a listing without initial public offering (IPO)merges with a listed ’shell' companyinitially purchases equity sharesthen issues new equity sharesthereby gain a listingAdvantages relative to an IPOLcompleted much quicker2.cheaper3.potential benefits of going publicDisadvantages relative to an IPO1.hidden liabilities2,original shareholders sell their shares immediately3.cannot develop the necessary expertise and knowledge of listing rules and regulations4.not obtain a sufficient analyst coverage and investor following(b)Report to the board of directors (BoD), Chrysos CoThis report provides extracts from the financial positionIt also contains an explanation of the process usedFinally, the report discussesIt is recommended management buy-out receive $3,289m (appendix one)Extract of Chrysos Co's financial position following the restructuring programmeEstimate of Chrysos Co's equity value following the restructuring programme will be just over $46 billion(appendix three).Process undertaken in determining Chrysos Co's equity valuea growth rate of 4% on cash flows in perpetuitydiscounted at Chrysos Co's cost of capital (appendix two)profit before depreciation and taxdeducting the depreciation and taxationbank loan debt is then deducted (appendix three)Assumptions made in determining Chrysos Cot equity valueungeared cost of equityModigliani and Millcr^s proposition 2accurate estimate of the free cash flows (appendix three)changes in working capital arc reckoned to be immaterialDepreciation is assumed to be the same as the capital needed for reinvestment purposescash flows will grow in perpetuity over-oplimisticImpact of the restructuring programme on Chrysos Co and on the venture capital organisations (VCOs) venture capital organisations (VCOs)the proportion of the VCOs' equity share capital will increase to 40%the share of the equity value increase by $9,229m,which is 77-5% more than the total of the value of bonds cancelled and extra payment made (appendix four) the value of their investment has increased substantiallyfeasibility studyon the annual growth rate in cash flows of 4%and the assumption of growth in perpetuitythe extent of additional value created indicate the impact is positiveChrysos Coraise extra debt financejust under $9,600m of possible debt finance which could be accessedraise just under an extra $7,800m debt fundinghave $1,439 million in net cash available from the sale of the machinery parts manufacturing business unit・given that the company has access to an extra $7.800m debt funding to expand its investmentit is likely that the restructuring programme will be beneficialrecommended tries to determine its current equity value and comparesshareholder groups need to be satisfiedabout the potential negative impact of these situationsagainst the potential additional benefitsbefore proceeds with the programme.Conclusioncreates an opportunity for Chrysos Co to have access to extra fun dingThe VCOs are likely to ben efit financially as long as they are satisfied about the assumptionsHowever, Chrysos Co will need to ensure thatall equity holder groups are satisfied with the change in their respective equity holdings.Report compiled by:Date:AppendicesAppendix One: Unbundling the manufacturing business unitOption 1: Sale of assetsNet proceeds to Chrysos Co from net sale of assets of the manufacturing business unit arc $3,102 million. Option 2: Management buy-outProfit before depreciation, interest and taxDepreciation (12% x 20% x ($7,500m + $5,400m))Tax (18% x $530m)Cash flowsEstimated value = ($435m x 1-08)/0-10 = $4,698mAmount payable to Chrysos Co = 70% x $4,698m = $3,289moption 2 marginally betterAppendix Two: Calculation of cost of equity and cost of capitalChrysos Co, estimate of cost of equity (Ke) and cost of capital (CoC)Ke = Modigliani and Miller Proposition 2 (with tax)CoC = The weighted average cost of capitalAppendix Three: Estimate of valueProfit before depreciation and taxDepreciation (12% x ($6,000m + $5,520m)) (1,382)Tax (18% x $4,498m)Cash flowsCost of capital to be used in estimating Chrysos Co's value is 12% (appendix two) Estimated corporate value =The Growth ModelEstimated equity value = corporate value 一debtAppendix Four: Value created for VCOsValue ailributable to the VCOsValue from increased equity ownership (this has doubled from 20% to 40%)Value of unsecured bonds foregone by the VCOsAdditional capital invested by the VCOsTotal of additional capital invested and value of bonds forgoneAdditional value 77-5% (or $4.029m)(c)As a private company,Representatives from each groupsdecisions will be made after agreement from all representativesno single stakeholder group holds primacy over any other groupOnce listedhave a large and diverse range of equity shareholderspressure to engage in value creating activitythe equity shareholders, needs will hold primacy over the other stakeholder groups the power of the supervisory board will diminish as a rcsul3 Buryccs Co(a)currency swaptaking out a loan in €making an arrangement with a counterparty in Wirtoniawhich lakes out a loan in $pay the interest on the counterparty \ loanand vice versaAdvantagesmatch the income, reducing foreign exchange riskreverse the swap by exchanging with the other counterpartyOther methods of hedging risk may be less certaincheaper than other methods of hedgingchange debt profile, diversify risk and lake advantage of probable lower future interest ratesDrawbackscounterparty may default, pay interest in its currency, reduced by obtaining a bank guaranteenot worthwhile if the exchange rate is unpredictableexchange rates largely determined by inflation ralespredicted inflation rate in Wirtonia is not stableInflation is increasing in Wirtoniainterest rates will increase as a result,increasing Buryecs Co's finance costs.docs not hedge the whole amountAnother method hedge the additional receipt in Year 3 and the receipts in the intervening yearsexchange controls, no receipt at the end of Year 3(b)(i)Gain on swapBank feeGain on swap after bank feeThe swap arrangement will work as follows:AdvantageNet resultAfter paying the 30 point basis fee, Buiyccs Co will effectively pay interest at the bank rate 一0-3% and benefit by90 basis points or 0-9%・The counterparty will effectively pay interest at 5-2% and benefit by 60 basis points or 0-6%・(ii)Using the purchasing power parity formula to calculate exchange rates:Si 二Sox (1 + hc)/(1 +hb)At Year 3, $5.000 million will be exchanged at the original spot rate as per the agreement and the remaining inflows will be exchanged at the Year 3 rale・Swap translated at 0-1430Amount not covered by swap translated at 0-1315Cash flows in home countryDiscount factorPrcscnt valueThe net present value of the project is €185 nmillion、indicating that it should go ahead・However, the value is dependent on the exchange rate, which is worsening for the foreign income・also uncertainties about the variability of returns during the three yearsin excess of their risk appetite and dccli ne the opport unity(C)Receipt using swap arrangement = €715m + €329m = € 1,044mReceipt if transaction unhedged = $7,500m x ()• 1315 = €986mPredicted exchange rate at year 3 is €01315 = SI or S7-6046 = €1OptionsBuy $ put options as receiving $$7・75 exercise priceDo not exerciseNet receipt = €986m - (1 • 6% x $7,500m x 0-1430) = €969rn$7*25 exercise priceExerciseReceipt from government = $7,500m/7・25 = € 1,034mNet receipt = € 1,034m - (2-7% x $7,500m x 0-1430) = €1,005mThe $7-25 option gives a better result than not hedging, given the current expectations of the exchange rate. However, it gives a worse result than the swap even before the premium is deducted, because of the exchange rate being fixed on the swap back of the original amount paid.These calculations do not take into account possible variability of the finance costs associated with the swap, caused by swapping into floating rate borrowing.1 Morada Co(a)how business risk and financial risk are relatedengage in some risky activities to generate returns in excess of the risk free rate of returnexposed to differing amounts of business and financial riskBusiness riskdepends on the decisions a business makes with respect to the services and products it offers consists of the variability in its profitsFinancial riskrelates to the volatility of earnings due to the financial structure of the businessthe shareholders or owners may not want to bear risk beyond an acceptable levelrisk management strategyrisk identification, assessingmeasuring through predicting, analysing and quantifying itwhich risks to assume, avoid, retain and transfernot aim to avoid all riskscontrollability, frequency and severity of the riskeliminate or reduce some risks through risk transferRisk mitigation is the process of transferring risksRisk diversification is a process of risk reduction(b)Report to the board of directors (BoD), Morada CoThis report provides a discussion onThe main assumptions made in drawing up the estimates will also be explained・The report concludes by recommendingDiscussionThe table belowthe cost of equity and the cost of capital (appendix 1)the forecast earnings after tax for the corning year (appendix 2)comparison purposes, figures before any changestax shield is reduced significantly due to the lower amount of debt borrowinghigher business riskmore than override the lower cost of debtthe benefit of the tax shield is also almost eroded by the increase in the cost of debt as a percentage of non-current assetsUnder the first director's proposalUndcr the second director's proposalAssumptions1 ・ weighted average of the asset betas2.share price not changing3.the current assets will change due to changes in the profit after tax figureRecommendationIt is recommended thatThe second results ina lower return on investmentand a virtually unchanged cost of capitalfirstincrease the return on investmentbut higher cost of capitalreduce risk, not achievedcaveatassumptions made not reasonable, reduce the usefulness of the analysisReport compiled by:Date:。

ACCA考试备考：F4考试科目介绍及学习技巧

ACCA考试备考：F4考试科目介绍及学习技巧F4 考试大纲：F4 Corporate & Business Law (English) 是ACCA 考试中唯一的一门法律科目，它的大纲设置主要涵盖了：lEnglish Legal System (英国法律体系)lLaw of Contract (合同法)lTort Law (民法)lLaw of Employment (劳动合同法)lAgency (代理)lPartnership (合伙企业)lCompany Law (公司法), 以及lProfessional ethics and Corporate Governance (职业道德与公司治理)。

F4 考试结构：15分钟阅读及180分钟答题时间，共10题，每题10分，均为必做题，问题内容涉及整个大纲，其中：l第1-7题为问答题，考官直接在问题中明确要测试的知识点，要求考生回答相应法律条款及以往案例。

l第8-10题为案例分析题，考官会给出一个涉及多个人物或组织的案例，问题往往不明确指出所涉及的知识点，需要考生根据案情自己寻找考点，选择适用的条款及案例做答，并适当加入自己的分析结论。

在F4 考题由可选题变成必做题后，F4考试的难度也随之加大，这就要求考生要对大纲中的每一章节都能熟练掌握，不能遗漏。

F4答题方法：-考生应充分利用考前15分钟阅读时间，梳理思路，尤其应仔细阅读案例分析题，并明确考点，写下答题纲要，切忌盲目做答。

-每道题应在平均18分钟之内完成，答题顺序不限。

-答题时写清题号，段落之间空行，每一大题另起新一页做答，不要只写答卷纸的一面。

-问答题的答案必须包含：Introduction/definition, rule of law, case name, name of Act, Section number-案例分析题的答案必须包含：Introduction/definition/declaration of issue, rule of law, case name,name of Act, Section number, fact analysis, and conclusion.F4 学习方法：作为ACCA fundamental level 中少有的纯理论科目，F4除要求大家能深入地理解大纲涵盖的知识点之外，还要求每一位考生拥有强大的记忆力，以及逻辑分析能力。

ACCA P4考官文章 real option

Home>Students>Exam resources>Professional level>P4 Advanced Financial Management>Technical articlesMy ACCASearchStudent Accountant hub pageReal options’ valuation methodology adds to the conventional net present value (NPV) estimations bytaking account of real life flexibility and choice. This is the first of two articles which considers how realoptions can be incorporated into investment appraisal decisions. This article discusses real options andthen considers the types of real options calculations which may be encountered in the P4 paper, throughthree examples. The article then considers the limitations of the application of real options in practice andhow some of these may be mitigated.The second article considers a more complex scenario and examines how the results produced fromusing real options with NPV valuations can be used by managers when making strategic decisions.The conventional NPV method assumes that a project commences immediately and proceeds until itfinishes, as originally predicted. Therefore it assumes that a decision has to be made on a now or neverbasis, and once made, it cannot be changed. It does not recognise that most investment appraisaldecisions are flexible and give managers a choice of what actions to undertake.The real options method estimates a value for this flexibility and choice, which is present when managersare making a decision on whether or not to undertake a project. Real options build on net present valuein situations where uncertainty exists and, for example: (i) when the decision does not have to be madeon a now or never basis, but can be delayed, (ii) when a decision can be changed once it has beenmade, or (iii) when there are opportunities to exploit in the future contingent on an initial project beingundertaken. Therefore, where an organisation has some flexibility in the decision that has been, or isgoing to be made, an option exists for the organisation to alter its decision at a future date and thischoice has a value.With conventional NPV, risks and uncertainties related to the project are accounted for in the cost ofcapital, through attaching probabilities to discrete outcomes and/or conducting sensitivity analysis orstress tests. Options, on the other hand, view risks and uncertainties as opportunities, where upsideoutcomes can be exploited, but the organisation has the option to disregard any downside impact.Real options methodology takes into account the time available before a decision has to be made andthe risks and uncertainties attached to a project. It uses these factors to estimate an additional value thatcan be attributable to the project.Although there are numerous types of real options, in the P4 paper, candidates are only expected toexplain and compute an estimate of the value attributable to three types of real options:(i) The option to delay a decision to a future date (which is a type of call option)(ii) The option to abandon a project once it has commenced if circumstances no longer justify thecontinuation of the project (which is a type of put option), and(iii) The option to exploit follow-on opportunities which may arise from taking on an initial project (whichis a type of call option).In addition to this, candidates are expected to be able to explain (but not compute the value of)redeployment or switching options, where assets used in projects can be switched to other projects andactivities.For P4 paper purposes, it can be assumed that real options are European-style options, which can beexercised at a particular time in the future and their value will be estimated using the Black-ScholesOption Pricing (BSOP) model and the put-call parity to estimate the option values. However, assumingThe global body for professional accountants About us Contact us Work for us Technical activities Help & support Globalthat the option is a European-style option and using the BSOP model may not provide the best estimate of the option’s value (see the section on limitations and assumptions below).Five variables are used in calculating the value of real options using the BSOP model as follows:1.The underlying asset value (P a), which is the present value of future cash flows arising from the project.2.The exercise price (P e), which is the amount paid when the call option is exercised or amount received if the put optionis exercised.3.The risk-free (r), which is normally given or taken from the return offered by a short-dated government bill. Although thisis normally the discrete annualised rate and the BSOP model uses the continuously compounded rate, for P4 purposes the continuous and discrete rates can be assumed to be the same when estimating the value of real options.4.The volatility (s), which is the risk attached to the project or underlying asset, measured by the standard deviation.5.The time (t), which is the time, in years, that is left before the opportunity to exercise ends.The following three examples demonstrate how the BSOP model can be used to estimate the value of each of the three types of options. In each of the three examples the N(d1) and N(d2) figures are determined using the Excel normal distribution formula: =NORMSDIST(d1 or d2 cell reference). Using the normal distribution tables that are provided in examinations to calculate the value of real options may result in small rounding differences, but are equally acceptable.Example 1: Delaying the decision to undertake a projectA company is considering bidding for the exclusive rights to undertake a project, which will initially cost $35m.The company has forecast the following end of year cash flows for the four-year project.Year12342015105 Cashflows($m)The relevant cost of capital for this project is 11% and the risk free rate is 4.5%. The likely volatility (standard deviation) of the cash flows is estimated to be 50%.Solution:NPV without any option to delay the decisionYear Today1234 Cash flows ($)-35m20m15m10m5m PV (11%) ($)-35m18.0m12.2m7.3m 3.3m NPV = $5.8mSupposing the company does not have to make the decision right now but can wait for two years before it needs to make the decision.NPV with the option to delay the decision for two yearsYear345620m15m10m5m Cash flows($)14.6m9.9m 5.9m 2.7mPV (11%)($)Variables to be used in the BSOP modelAsset value (P a) = $14.6m + $9.9m + $5.9m + $2.7m = $33.1mExercise price (P e) = $35mExercise date (t) = Two yearsRisk free rate (r) = 4.5%Volatility (s) = 50%Using the BSOP modeld10.401899 d2-0.30521 N(d1)0.656121 N(d2)0.380103 Call value$9.6mBased on the facts that the company can delay its decision by two years and a high volatility, it can bid as much as $9.6m instead of $5.8m for the exclusive rights to undertake the project. The increase in value reflects the time before the decision has to be made and the volatility of the cash flows. Example 2: Exploiting a follow-on projectA company is considering a project with a small positive NPV of $3m but there is a possibility of further expansion using the technologies developed for the initial project. The expansion would involve undertaking a second project in four years’ time. Currently, the present values of the cash flows of the second project are estimated to be $90m and its estimated cost in four years is expected to be $140m. The standard deviation of the project’s cash flows is likely to be 40% and the risk free rate of return is currently 5%.Solution:The variables to be used in the BSOP model for the second (follow-on) project are as follows: Asset Value (P a) = $90mExercise price (P e) = $140mExercise date (t) = Four yearsRisk free rate (r) = 5%Volatility (s) = 40%Using the BSOP modeld10.097709 d2-0.70229 N(d1)0.538918 N(d2)0.241249 Call value$20.85mThe overall value to the company is $23.85m, when both the projects are considered together. At present the cost of $140m seems substantial compared to the present value of the cash flows arising from the second project. Conventional NPV would probably return a negative NPV for the second project and therefore the company would most likely not undertake the first project either. However, there are four years to go before a decision on whether or not to undertake the second project needs to be made. A lot could happen to the cash flows given the high volatility rate, in that time. The company can use the value of $23.85m to decide whether or not to invest in the first project or whether it should invest its funds in other activities. It could even consider the possibility that it may be able to sell the combined rights to both projects for $23.85m.Example 3: The option to abandon a projectDuck Co is considering a five-year project with an initial cost of $37,500,000 and has estimated the present values of the project’s cash flows as follows:Year12345 Present values1,496.94,938.89,946.57,064.213,602.9 ($ 000s)Swan Co has approached Duck Co and offered to buy the entire project for $28m at the start of year three. The risk free rate of return is 4%. Duck Co’s finance director is of the opinion that there are many uncertainties surrounding the project and has assessed that the cash flows can vary by a standard deviation of as much as 35% because of these uncertainties.Solution:Swan Co’s offer can be considered to be a real option for Duck Co. Since it is an offer to sell the project as an abandonment option, a put option value is calculated based on the finance director’s assessment of the standard deviation and using the Black-Scholes option pricing (BSOP) model, together with the put-call parity formula.Although Duck Co will not actually obtain any immediate cash flow from Swan Co’s offer, the real option computation below, indicates that the project is worth pursuing because the volatility may result in increases in future cash flows.Without the real optionYear 12345 Present values1,496.94,938.89,946.57,064.213,602.9 ($ 000s)Present value of cash flows approx. = $37,049,300Cost of initial investment = $37,500,000NPV of project = $37,049,300 – $37,500,000 = $(450,700)With the real optionThe asset value of the real option is the sum of the PV of cash flows foregone in years three, four and five, if the option is exercised ($9.9m + $7.1m + $13.6m = $30.6m)Asset value (P a)$30.6m Exercise Price (P e)$28m Risk-free rate (r)4% Time to exercise (t)Two years Volatility (s)35% d10.588506 d20.093531 N(d1)0.721904 N(d2)0.537259 Call Value8.20 Put Value$3.45m Net present value of the project with the put option is approximately $3m ($3.45m – $0.45m).If Swan Co’s offer is not considered, then the project gives a marginal negative net present value, although the results of any sensitivity analysis need to be considered as well. It could be recommended that, if only these results are taken into consideration, the company should not proceed with the project. However, after taking account of Swan Co’s offer and the finance director’s assessment, the net present value of the project is positive. This would suggest that Duck Co should undertake the project.Many of the limitations and assumptions discussed below stem from the fact that a model developed for financial products is used to assess flexibility and choice embedded within physical, long-term investments.EUROPEAN-STYLE OPTIONS OR AMERICAN-STYLE OPTIONSThe BSOP model is a simplification of the binomial model and it assumes that the real option is a European-style option, which can only be exercised on the date that the option expires. An American-style option can be exercised at any time up to the expiry date. Most options, real or financial, would, in reality, be American-style options.In many cases the value of a European-style option and an equivalent American-style option would be largely the same, because unless the underlying asset on which the option is based is due to receive some income before the option expires, there is no benefit in exercising the option early. An option prior to expiry will have a time-value attached to it and this means that the value of an option prior to expiry will be greater than any intrinsic value the option may have, if it were exercised.However, if the underlying asset on which the option is based is due to receive some income before the option’s expiry; say for example, a dividend payment for an equity share, then an early exercise for an option on that share may be beneficial. With real options, a similar situation may occur when the possible actions of competitors may make an exercise of an option before expiry the better decision. In these situations the American-style option will have a value greater than the equivalent European-style option. Because of these reasons, the BSOP model will either underestimate the value of an option or give a value close to its true value. Nevertheless, estimating and adding the value of real options embedded within a project, to a net present value computation will give a more accurate assessment of the true value of the project and reduce the propensity of organisations to under-invest.ESTIMATING VOLATILITYThe BSOP model assumes that the volatility or risk of the underlying asset can be determined accurately and readily. Whereas for traded financial assets this would most probably be the case, as there is likelyto be sufficient historical data available to assess the underlying asset’s volatility, this is probably not going to be the case for real options. Real options would probably be available on large, one-off projects, for which there would be little or no historical data available.Volatility in such situations would need to be estimated using simulations, such as the Monte-Carlo simulation model, with the need to ensure that the model is developed accurately and the data input used to generate the simulations reasonably reflects what is likely to happen in practice.OTHER LIMITATIONS OF REAL OPTIONSThe BSOP model requires further assumptions to be made involving the variables used in the model, the primary ones being:(a) The BSOP model assumes that the underlying project or asset is traded within a situation of perfect markets where information on the asset is available freely and is reflected in the asset value correctly. Further it assumes that a market exists to trade the underlying project or asset without restrictions (that is, that the market is frictionless)(b) The BSOP model assumes that interest rates and the underlying asset volatility remain constant until the expiry time ends. Further, it assumes that the time to expiry can be estimated accurately(c) The BSOP model assumes that the project and the asset’s cash flows follow a lognormal distribution, similar to equity markets on which the model is based(d) The BSOP model does not take account of behavioural anomalies which may be displayed by managers when making decisions, such as over- or under-optimism(e) The BSOP model assumes that any contractual obligations involving future commitments made between parties, which are then used in constructing the option, will be binding and will be fulfilled. For example, in example three above, it is assumed that Swan Co will fulfil its commitment to purchase the project from Duck Co in two years’ time for $28m and there is therefore no risk of non-fulfilment of that commitment.In any given situation, one or more of these assumptions may not apply. The BSOP model therefore does not provide a ‘correct’ value, but instead it provides an indicative value which can be attached to the flexibility of a choice of possible future actions that may be embedded within a project.This article discussed how real options thinking can add to investment appraisal decisions and in particular NPV estimations by considering the value which can be attached to flexibility which may be embedded within a project because of the choice managers may have when making investment decisions. It then worked through computations of three real options situations, using the BSOP model. The article then considered the limitations of, and assumptions made when, applying the BSOP model to real options computations. The value computed can therefore be considered indicative rather than conclusive or correct.The second article will consider how managers can use real options to make strategic investment appraisal decisions.Written by a member of the P4 examining teamLast updated: 16 Nov 2015。

ACCA国际注册会计师P4真题答案整理[规整]

1.Chrysos Co(a)what a reverse takeover involvesgain a listing without initial public offering (IPO)merges with a listed ‘shell’ companyinitially purchases equity sharesthen issues new equity sharesthereby gain a listingAdvantages relative to an IPOpleted much quicker2.cheaper3.potential benefits of going publicDisadvantages relative to an IPO1.hidden liabilities2.original shareholders sell their shares immediately3.cannot develop the necessary expertise and knowledge of listing rules and regulations4.not obtain a sufficient analyst coverage and investor following(b)Report to the board of directors (BoD), Chrysos CoThis report provides extracts from the financial positionIt also contains an explanation of the process usedFinally, the report discussesIt is recommended management buy-outreceive $3,289m (appendix one)Extract of Chrysos Co’s financial position following the restructuring programmeequity value following the restructuring programme Estimate of Chrysos Co’ｓwill be just over $46 billion(appendix three).Process undertaken in determining Chrysos Co’s equity valuea growth rate of 4% on cash flows in perpetuityof capital (appendix two)discounted at Chrysos Co’s costprofit before depreciation and taxdeducting the depreciation and taxationbank loan debt is then deducted (appendix three)Assumptions made in determining Chrysos Co’s equity valueungeared cost of equityModigliani and Miller’s proposition 2accurate estimate of the free cash flows (appendix three)changes in working capital are reckoned to be immaterialDepreciation is assumed to be the same as the capital needed for reinvestment purposescash flows will grow in perpetuity over-optimisticImpact of the restructuring programme on Chrysos Co and on the venture capital organisations (VCOs) venture capital organisations (VCOs)the proportion of the VCOs’ equity share capital will increase to 40%the share of the equity value increase by $9,229m,5% more than the total of the value of bonds cancelled and extra payment made (appendix four) which is 77·the value of their investment has increased substantiallyfeasibility studyon the annual growth rate in cash flows of 4%and the assumption of growth in perpetuitythe extent of additional value created indicate the impact is positiveChrysos Coraise extra debt financejust under $9,600m of possible debt finance which could be accessedraise just under an extra $7,800m debt fundinghave $1,439 million in net cash available from the sale of the machinery parts manufacturing business unit.given that the company has access to an extra $7,800m debt funding to expand its investmentit is likely that the restructuring programme will be beneficialrecommended tries to determine its current equity value and comparesshareholder groups need to be satisfiedabout the potential negative impact of these situationsagainst the potential additional benefitsbefore proceeds with the programme.Conclusioncreates an opportunity for Chrysos Co to have access to extra fundingThe VCOs are likely to benefit financially as long as they are satisfied about the assumptionsHowever, Chrysos Co will need to ensure thatall equity holder groups are satisfied with the change in their respective equity holdings.Report compiled by:Date:AppendicesAppendix One: Unbundling the manufacturing business unitOption 1: Sale of assetsNet proceeds to Chrysos Co from net sale of assets of the manufacturing business unit are $3,102 million. Option 2: Management buy-outProfit before depreciation, interest and taxDepreciation (12% x 20% x ($7,500m + $5,400m))Tax (18% x $530m)Cash flows10 = $4,698mEstimated value = ($435m x 1·08)/0·Amount payable to Chrysos Co = 70% x $4,698m = $3,289moption 2marginally betterAppendix Two: Calculation of cost of equity and cost of capitalChrysos Co, estimate of cost of equity (Ke) and cost of capital (CoC)Ke = Modigliani and Miller Proposition 2 (with tax)CoC = The weighted average cost of capitalAppendix Three: Estimate of valueProfit before depreciation and taxDepreciation (12% x ($6,000m + $5,520m)) (1,382)Tax (18% x $4,498m)Cash flowsCost of capital to be used in estimating Chrysos Co’s value is 12% (appendix two) Estimated corporate value =The Growth ModelEstimated equity value = corporate value – debtAppendix Four: Value created for VCOsValue attributable to the VCOsValue from increased equity ownership (this has doubled from 20% to 40%)Value of unsecured bonds foregone by the VCOsAdditional capital invested by the VCOsTotal of additional capital invested and value of bonds forgone5% (or $4,029m)Additional value 77·(c)As a private company,Representatives from each groupsdecisions will be made after agreement from all representativesno single stakeholder group holds primacy over any other groupOnce listedhave a large and diverse range of equity shareholderspressure to engage in value creating activitythe equity shareholders’ needs will hold primacy over the other stakeholder groups the power of the supervisory board will diminish as a resul3 Buryecs Co(a)currency swaptaking out a loan in ?making an arrangement with a counterparty in Wirtoniawhich takes out a loan in $pay the interest on the counterparty’s loanand vice versaAdvantagesmatch the income,reducing foreign exchange riskreverse the swap by exchanging with the other counterpartyOther methods of hedging risk may be less certaincheaper than other methods of hedgingchange debt profile,diversify risk and take advantage of probable lower future interest ratesDrawbackscounterparty may default,pay interest in its currency,reduced by obtaining a bank guaranteenot worthwhile if the exchange rate is unpredictableexchange rates largely determined by inflation ratespredicted inflation rate in Wirtonia is not stableInflation is increasing in Wirtoniainterest rates will increase as a result,increasing Buryecs Co’s finance costs.does not hedge the whole amountAnother method hedge the additional receipt in Year 3 and the receipts in the intervening yearsexchange controls, no receipt at the end of Year 3(b) (i)Gain on swapBank feeGain on swap after bank feeThe swap arrangement will work as follows:AdvantageNet resultAfter paying the 30 point basis fee, Buryecs Co will effectively pay interest at the bank rate – 0·3% and benefit by 9%.90 basis points or 0·6%.2% and benefit by 60 basis points or 0·The counterparty will effectively pay interest at 5·(ii)Using the purchasing power parity formula to calculate exchange rates:S1 = S0 x (1 + h c)/(1 + h b)At Year 3, $5,000 million will be exchanged at the original spot rate as per the agreement and the remaining inflows will be exchanged at the Year 3 rate.Swap translated at 0·14301315Amount not covered by swap translated at 0·Cash flows in home countryDiscount factorPresent valueThe net present value of the project is ?185 million, indicating that it should go ahead.However, the value is dependent on the exchange rate, which is worsening for the foreign income.also uncertainties about the variability of returns during the three yearsin excess of their risk appetite and decline the opportunity(c)Receipt using swap arrangement = ?715m + ?329m = ?1,044m1315 = ?986mReceipt if transaction unhedged = $7,500m x 0·6046 = ?1Predicted exchange rate at year 3 is ?0·1315 = $1 or $7·OptionsBuy $ put options as receiving $$7·75 exercise priceDo not exercise1430) = ?969mNet receipt = ?986m – (1·6% x $7,500m x 0·$7·25 exercise priceExercise25 = ?1,034mReceipt from government = $7,500m/7·1430) = ?1,005m7% x $7,500m x 0·Net receipt = ?1,034m – (2·The $7·25 option gives a better result than not hedging, given the current expectations of the exchange rate. However, it gives a worse result than the swap even before the premium is deducted, because of the exchange rate being fixed on the swap back of the original amount paid.These calculations do not take into account possible variability of the finance costs associated with the swap, caused by swapping into floating rate borrowing.1 Morada Co(a)how business risk and financial risk are relatedengage in some risky activities to generate returns in excess of the risk free rate of return exposed to differing amounts of business and financial riskBusiness riskdepends on the decisions a business makes with respect to the services and products it offers consists of the variability in its profitsFinancial riskrelates to the volatility of earnings due to the financial structure of the businessthe shareholders or owners may not want to bear risk beyond an acceptable levelrisk management strategyrisk identification, assessingmeasuring through predicting, analysing and quantifying itwhich risks to assume, avoid, retain and transfernot aim to avoid all riskscontrollability, frequency and severity of the riskeliminate or reduce some risks through risk transferRisk mitigation is the process of transferring risksRisk diversification is a process of risk reduction(b)Report to the board of directors (BoD), Morada CoThis report provides a discussion onThe main assumptions made in drawing up the estimates will also be explained.The report concludes by recommendingDiscussionThe table belowthe cost of equity and the cost of capital (appendix 1)the forecast earnings after tax for the coming year (appendix 2)comparison purposes, figures before any changestax shield is reduced significantly due to the lower amount of debt borrowinghigher business riskmore than override the lower cost of debtthe benefit of the tax shield is also almost eroded by the increase in the cost of debtas a percentage of non-current assetsUnder the first director’s proposalproposalUnder the second director’ｓAssumptions1.weighted average of the asset betas2. share price not changing3. the current assets will change due to changes in the profit after tax figure RecommendationIt is recommended thatThe second results ina lower return on investmentand a virtually unchanged cost of capitalfirstincrease the return on investmentbut higher cost of capitalreduce risk, not achievedcaveatassumptions made not reasonable, reduce the usefulness of the analysisReport compiled by:Date:。