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QUN TR RI RO TI CHNH

Nguyn H Anh Khoa, MBA

TNG QUAN MN HC
Thi cui k: 80% im (trc nghim) Thi gia k: 20% im (trc nghim) Ti liu:
1. Qun tr ri ro ti chnh Nguyn Th Ngc Trang 2. Qun tr ri ro ti chnh Nguyn Minh Kiu 3. Cc s ti liu ting Anh

CC NI DUNG CHNH
I. PHN I
1. Nn tng qun tr ri ro (20% im thi)
a. b. c. d. e. f. Vai tr ca qun tr ri ro Cc loi ri ro c bn, o lng v cc cng c o lng Gi tr to ra t qun tr ri ro L thuyt danh mc u t hin i (Modern Porfolio Theory MPT) Cc dng m hnh nh gi ti sn (CAPM) L thuyt Arbitrage Pricing Theory (APT)

CC NI DUNG CHNH
I. PHN I (tt)
1. Nn tng qun tr ri ro (tt)
g. o lng cc hot ng vi ri ro iu chnh h. Qun tr ri ro trong doanh nghip i. Khng hong ti chnh v cc tht bi trong qun tr ri ro j. Bi tp tnh hung

CC NI DUNG CHNH
I. PHN I (tt)
2. Phn tch nh lng (20% im thi)
a. b. c. d. e. f. g. Phn phi xc sut ri rc v lin tc Thng k mu v tng th Thng k suy din v kim nh gi thuyt c lng tham s ca phn phi S dng hnh m t cc quan h thng k Hi quy tuyn tnh n bin v a bin Cc phng php Monte Carlo

CC NI DUNG CHNH
I. PHN I (tt)
2. Phn tch nh lng (tt)
h. c lng tng quan v bin ng bng vic dng m hnh EWMA v GARCH i. j. Cu trc k hn ca bin ng Lng ho bin ng trong m hnh VaR

CC NI DUNG CHNH
I. PHN I (tt)
3. Th trng ti chnh v cc sn phm (30%)
a. b. c. d. e. f. g. Th trng OTC v th trng ngoi hi Hp ng Fordward, Future, Swap v Option Li sut v cch o nhy li sut Cc cng c phi sinh vi ti sn l chng khon thu nhp c nh, li sut, t gi hi oi v chng khon Cc cng c phi sinh cho hng ho Ri ro ngoi hi Tri phiu cng ty

CC NI DUNG CHNH
I. PHN I (tt)
4. Cc m hnh nh gi ri ro
a. b. c. d. e. f. g. Value-at-Risk (VaR) nh gi quyn chn nh gi chng khon c thu nhp c nh Xp hng tn dng t bn trong v bn ngoi Cc mc l k vng v ngoi k vng Ri ro hot ng Stress testing v phn tch vin cnh

CC NI DUNG CHNH
I. PHN II
1. o lng v qun l ri ro th trng (25%) 2. o lng v qun l ri ro tn dng (25%) 3. Qun l ri ro hot ng v ri ro kt hp (25%) 4. Qun l ri ro v vn u t (15%) 5. Cc vn ca th trng ti chnh (10%)

PI, C1. NN TNG QUN TR RI RO


I. Nhu cu qun tr ri ro
Cc khi nim lin quan Cc ri ro v cng c qun l cho cc t chc ti chnh
Cc ri ro ti chnh c th gy thit hi ln Th trng cng c phi sinh gip phng nga v u c ri ro vi iu kin cc cng c phi sinh phi c qun l thch hp

I. NHU CU QUN TR RI RO
1. Cc loi ri ro
nh ngha ri ro v m t cc ri ro chnh Phn bit ri ro kinh doanh v ri ro ti chnh
Ri ro l s bin ng ngoi k vng ca gi ti sn, thu nhp Ri ro kinh doanh: pht sinh t hot ng kinh doanh, t quyt nh kinh doanh, t mi trng kinh doanh, gm: ri ro chin lc, ri ro t mi trng v m, v.v Ri ro ti chnh: pht sinh t hot ng trn th trng ti chnh

I. NHU CU QUN TR RI RO
2. Cc s kin qu kh quan trng
1971: h thng t gi c nh sp 1973: cn sc gi du, lm pht cao, li sut bin ng 1987: Black Monday, gi chng khon Hoa K gim 23% 1989: bong bng chng khon Nht v 1997: khng khong kinh t Chu 1998: khng hong n Nga, s sp qu qun l vn di hn 2001: s kin 11/9 2007 09: khng hong tn dng do th trng mortgage sp v t vic dng n by ca ngn hng

I. NHU CU QUN TR RI RO
1. Cc s kin qu kh quan trng (tt)
S bin ng (volatility) ngy cng tng Cc cng ty ngy cng b nh hng t cc ch tiu kinh t v ti chnh
Gim qun l (deregulation): Vd: lm tng ri ro li sut Ton cu ho (globalization): Vd: lm tng ri ro t gi

Ri ro c th do con ngi (lm pht, chin tranh), khng lng c (thin tai), do pht trin k thut Ri ro nn c qun l cn thn hn l nn trnh

I. NHU CU QUN TR RI RO
3. Chc nng, mc ch ca t chc ti chnh
L trung gian ti chnh cho qun l ri ro ti chnh, to ra th trng v cng c phi sinh chia s, phng nga, t vn v ri ro Tuy nhin, khng th bo v i vi cc ri ro kh phng nga, v d: s can thip ca chnh ph vo th trng tn dng v ngoi hi

I. NHU CU QUN TR RI RO
4. Cng c phi sinh (Derivatives)
Phng nga v qun l ri ro ti chnh Gi tr hp ng cng c phi sinh xut pht t ti sn trong hp ng Khng dng huy ng vn Tng li l hai bn hp ng c tng bng 0 n by bng cng c phi sinh c chi ph giao dch thp, tin cc ban u thp, n by tng khin ri ro tng

I. NHU CU QUN TR RI RO
5. Qun tr ri ro ti chnh
Pht hin, nh gi, qun l ri ro ti chnh

6. Value at Risk
VaR: mc l ti a trong 1 khong thi gian xc nh ti 1 tin cy cho trc, xt trong iu kin th trng bnh thng Phn ui ca phn phi li nhun

I. NHU CU QUN TR RI RO
V d: s liu gm 1,000 gi tr v li nhun hng thng ca mt chng khon, biu 1 cho thy tin cy 95%, gi tr VaR tnh theo thng l -15.5%, ngha l nu bn u t 1,000,000$ vo chng khon ny, VaR ca 1 thng s l 155,000$

I. NHU CU QUN TR RI RO
7. Cc cng c qun tr ri ro khc
Stop-loss limit Notional limit Exposure limits

8. nh gi v Qun tr ri ro bng VaR


nh gi (valuation): chit khu gi tr k vng tng lai ca ti sn xc nh gi ti sn hin ti Dng phn phi li nhun qu kh ngoi suy cho mc l ti a tng lai

I. NHU CU QUN TR RI RO
9. Cc loi ri ro ti chnh
Ri ro th trng (Market risk): thit hi do gi gim hay bin ng gi trn th trng ti chnh Ri ro thanh khon (Liquidity risk): kh nng ko di thit hi do khng th ho lng ti sn mc gi hp l Ri ro tn dng (Credit risk): kh nng mt bn ca hp ng tn dng mt kh nng tr n Ri ro hot ng (Operational risk): thit hi do qun l km, sai st trong kim sot

Concept Checkers
1. V d no ni v ri ro kinh doanh?
a. Li do ngi kinh doanh hp ng phi sinh gy ra thit hi

b. Th trng suy thoi khin qu phc li ca cng ty b thit hi c. Suy thoi ton cu dn n nhu cu i vi sn phm ca cng ty gim st d. Li sut thay i khin cng ty phi tr li nh k cao hn cho mn n vi li sut th ni

Concept Checkers
2. Nhn nh no ng lin quan n chc nng ca t chc ti chnh i vi qun tr ri ro? T chc ti chnh:
I. To ra th trng v cc cng c phng nga ri ro ti chnh khc
a. b. c. d. Ch I Ch II C I v II Khng phi I v II

II. ng vai tr l t chc gii quyt ri ro ca cc i tng

Concept Checkers
3. Yu t no sau y t tc ng nht n vic gia tng vai tr ca qun tr ri ro ti chnh?
a. Gim qun l b. Ton cu ho c. Quc gia ho (nationalization) d. S thay i t h thng hi oi c nh sang th ni

Concept Checkers
4. Nhn nh no ng lin quan n nh gi v VaR?
a. C hai u lin quan n trung bnh ca phn phi li nhun

b. C hai u tp trung n phn ui ca phn phi li nhun c. nh gi quan tm n phn ui ca phn phi li nhun v VaR tp trung vo trung bnh d. VaR quan tm n phn ui ca phn phi li nhun v nh gi tp trung vo trung bnh

Concept Checkers
5. Ri ro khi gi ca cng c phng nga ri ro v gi ca ti sn c phng nga ri ro khng tng quan hon ho l:
a. Ri ro c bn (basis risk) b. Ri ro bin ng (volatility risk) c. Ri ro tng quan (correlation risk) d. Ri ro tuyn tnh (directional risk)

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Mc tiu:
Cc khi nim c bn v li nhun danh mc u t v bin ng, tnh ton li nhun k vng v bin ng ca mt danh mc u t gm 2 ti sn, tm quan trng ca s tng quan trong a dng ho danh mc u t (volatility) Hnh dng ca ng cong gii hn danh mc u t (portfolio possibilities curve), danh mc u t c phng sai nh nht (minimum variance portfolio) ng bin hiu qu (efficient frontier)

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


1. Tnh ton li nhun k vng v bin ng ca mt danh mc u t gm cc ti sn ri ro Li nhun k vng ca 1 danh mc u t l trung bnh trng s ca cc li nhun k vng ca tng ti sn trong danh mc:

Vi E(Rp) l li nhun k vng ca danh mc u t P, wi l trng s ca ti sn i trong danh mc u t, E(Ri) l li nhun k vng ca ti sn i, Tng w1 v w2 bng 1 hay 100%

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Phng sai ca danh mc u t gm 2 ti sn

2p phng sai ca cc li nhun ca danh mc P 21 phng sai ca cc li nhun ca ti sn 1 22 phng sai ca cc li nhun ca ti sn 2 wi trng s ca ti sn i trong danh mc Cov1,2 hip phng sai gia cc li nhun ca 2 ti sn

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Cov1,2 o mnh yu mi quan h gia cc li nhun to ra t ti sn 1 v 2, ngi ta thng dng h s tng quan nh mt thay th

V vy phng sai ca danh mc u t gm 2 ti sn l:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


lch chun hay bin ng ca danh mc u t

V d: danh mc u t gm 2 d n Caffein Plus v Sparklin (ti sn), hy tnh li nhun k vng v bin ng

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


wc = 0.4, ws = 0.6, E(Rp) = 0.194 = 19.4% 2p = 0.02232, p = 0.1494 = 14.94% 2. ng cong gii hn danh mc u t (PPC) Ngoi 2 phng n 40% Caffein Plus v 60% Sparklin cn v s cc kt hp khc Ta th hin cc kt hp ny trn lc vi 2 ch tiu li nhun v ri ro trn 2 trc

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Hnh 2 th hin cc s kt hp c th c ca danh mc u t, gi l PPC Cc im cn lu t hnh 2:
Nu u t hon ton vo Caffein Plus, li nhun k vng v lch chun ca danh mc cng l ca Caffein Plus Nu gim u t Caffein Plus, tng Sparklin, li nhun tng (16.6%), ri ro gim (13.72%) u t hon ton vo Sparklin, ri ro tng, li nhun tng

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


3. Danh mc u t c phng sai nh nht
L danh mc c phng sai nh nht trong tt c cc danh mc c th c to ra t PPC 70% Caffein v 30% Sparklin vi li nhun k vng l 15.3% v lch chun l 13.6% Trn th chnh l im nm pha bn tri nht (hnh 3)

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Tham kho thm v cch tnh danh mc u t c phng sai nh nht Thay (1 w1) cho w2 vo:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


4. Tng quan v a dng ho danh mc u t
Gii thch hip phng sai v tng quan nh hng n li nhun k vng v bin ng ca danh mc u t

a. Tng quan thun hon ho

Xy ra khi h s tng quan v li nhun ca 2 ti sn = 1, chng t khng c s a dng ho danh mc u t

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


PPC trong trng hp ny l mt ng thng nh sau:

Khi tng quan v li nhun gia 2 ti sn gim, li ch t vic a dng ho danh mc u t tng Khi tng quan gim, khuynh hng cng bin ng v li nhun ca 2 ti sn cng gim Do , bin ng ring l ca tng ti sn s khin bin ng ca danh mc u t mc thp hn w11 + w22

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


b. Tng quan nghch hon ho

Khi 2 ti sn c tng quan nghch, ta c th to 1 danh mc u t c bin ng bng 0 bng cch t lch chun bng 0. Danh mc c bin ng bng 0 s c cc trng s l:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Lc ny lch chun s c biu din bng 2 phng trnh tuyn tnh, v vy PPC cho 2 ti sn c tng quan nghch hon ho s l 2 ng thng ri nhau

c. Tng quan bng 0

lch chun s c phng trnh phi tuyn tnh, PPC s l ng phi tuyn tnh

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Gi nh cc lch chun ca tng ti sn ln hn 0, ta c th to ra mt danh mc c bin ng bng 0, cc trng s ca danh mc c phng sai nh nht s l:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


d. Tng quan thun khng cao (Moderate Positive Correlation)
Hu ht cc ti sn c tng quan thun (0 < < 1). Gi s = 0.5, lch chun ca danh mc s l:

PPC s c dng phi tuyn tnh, tm cc trng s ta tm ging trng hp tng quan bng 0

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


e. V d v tng quan v a dng ho danh mc u t: Xem xt s liu li nhun k vng v lch chun vi 2 ti sn l c phiu (DS) v tri phiu (DB)

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Hnh 5 vi cc kt hp gia li nhun k vng v lch chun cc mc tng quan +1, 0.5, 0 v 1:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Hnh 6 th hin cc li nhun k vng v lch chun tng ng vi tng mc tng quan:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Tng quan cng thp, cng c li t vic a dng ho danh mc u t Nu tng quan bng +1, ng bin c phng sai nh nht s l ng thng ni 2 im DB v DS, khng c li ch t vic a dng ho Nu tng quan bng 1, ng bin phng sai nh nht l 2 ng thng ri nhau Tn ti 1 danh mc c lch chun bng 0 (66.67% DB v 33.33% DS)

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


5. Hnh dng ng cong gii hn danh mc u t (PPC) Ta khng xt trng hp tng quan bng +/- 1

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Hnh 7 cho thy 1 phn ca PPC nm trn danh mc c phng sai nh nht (CG) c dng li (concave) Mt phn PPC nm di danh mc c phng sai nh nht (CA) c dng lm (convex) Lu ng PPC phi nm bn tri ng thng ni 2 im bt k trn ng cong. S kt hp gia 2 ti sn vi tng quan thun hon ho s to 1 ng thng, do s kt hp gia cc ti sn c tng quan thp hn s lun nm bn tri ng thng ny

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


6. ng bin hiu qu (the efficient frontier) Xc nh ng bin hiu qu v m t tc ng ca bn khng (short sales) v vay mn (borrowing) ln n

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


C nhng danh mc u t m khng ngi u t l tr no s chn, tt c cc danh mc nm trong ng khng u khng hiu qu, mt s danh mc c cng ri ro nhng li khc li nhun k vng (A v E, D v B) Danh mc u t hiu qu (nh D v E) l: Ri ro thp nht, cng li nhun k vng Li nhun k vng cao nht, cng mc ri ro ng bin hiu qu l th ca cc kt hp gia li nhun k vng v ri ro ca tt c cc danh mc hiu qu, lun nm dc theo phn trn ng cong t C n G

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


a. Bn khng v ng bin hiu qu
Khi c bn khng, ng bin hiu qu thay i V d v danh mc c Caffein (li nhun k vng 11%, ri ro 15%) v Sparklin (25%, 20%), tng quan 2 ti sn l 0.3. Do Sparklin c li nhun k vng cao, v vy bn khng Caffein v u t vo Sparklin s m rng ng bin hiu qu Hnh 9 l v d v cc kt hp ca danh mc cha Caffein v Sparklin bao gm c bn khng

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Khi c bn khng, ng bin m rng ln trn v sang bn phi, nu bn khng khng c gii hn, ta c th to ra mt danh mc c li nhun v hn

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


b. Kt hp gia li sut phi ri ro (Risk-Free rate) v ng bin hiu qu
Ti sn phi ri ro l ti sn c li nhun xc nh trc, v vy phng sai ca li nhun bng 0 Mt danh mc kt hp t ti sn phi ri ro F v mt danh mc ri ro P. Gi nh P nm trn ng bin hiu qu. Khi kt hp vi ti sn phi ri ro, hnh dng ng bin hiu qu thay i t ng cong sang thng

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Li nhun k vng ca khon u t C (kt hp F v P) l:

Vi wF l phn trm c cu ca ti sn F wP l phn trm ca danh mc P Phng sai ca danh mc gm F v P l:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Do lch chun ca F bng 0, do CovFP bng 0, v vy phng sai v lch chun ca C l:

V s kt hp F v P c li nhun k vng v lch chun theo dng tuyn tnh, do ng bin hiu qu l ng thng, gi l ng CML (capital market line)

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


CML:

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Hnh 10 cho thy, khi F v P kt hp, ng bin hiu qu l mt ng thng vi:
H s chn bng vi li sut phi ri ro RF H s gc bng t sut li nhun khi u t vo P

CML l ng tip tuyn vi ng bin hiu qu, tip im P l danh mc u t th trng, cha tt c cc ti sn ri ro t l vi cc gi tr th trng ca chng

II. M T DANH MC U T HIU QU (EFFICIENT PORTFOLIO)


Nu tt c nh u t ng thun v ng bin hiu qu (h c k vng ging nhau v li nhun k vng v ri ro ca cc ti sn), h s chn s kt hp gia danh mc kt hp gia danh mc th trng v ti sn phi ri ro Lc ny, nh u t khng a ri ro (risk-averse) s chn danh mc t ri ro bng vic cho vay (lending) (u t vo ti sn phi ri ro), nh u t a ri ro (risk-tolerant) s tng li nhun ca danh mc u t bng cch i vay li sut phi ri ro

Concept Checkers
Cu 1: Gi s ta c thng tin ca hai ti sn A, B
Li nhun k vng A l 18% Li nhun k vng B l 23% Tng quan gia cc li nhun ca A v B l 0.1 lch chun ca li nhun ca A l 40% lch chun ca li nhun ca B l 50%

Li nhun k vng v lch chun ca danh mc c t l A v B bng nhau l: a. 20.5 v 33.54, b. 20.5 v 11.22, c. 33.5 v 11.22, d. 33.5 v 33.54

Concept Checkers
Dng p n cu 1 tr li cu 2 v 3 Gi s li nhun k vng ca c phiu l 18% (Z), ca tri phiu l 8% (Y)

Concept Checkers
Cu 2: th th hin PPC cho c phiu v tri phiu. im trn th th hin 90% u t vo c phiu v 10% u t vo tri phiu l danh mc u t: a. W b. X c.Y d.Z

Cu 3: ng bin hiu qu cha cc danh mc u t gia: a. X v W b. Y v Z c. X v Z d. Y v X

Concept Checkers
Cu 4: Nhn nh no ng khi m t hnh dng PPC? a. ng cong lm b. ng cong li c. ng cong li pha trn v lm bn di danh mc u t c phng sai b nht d. ng cong lm pha trn v li bn di danh mc u t c phng sai nh nht

Concept Checkers
Cu 5: Khi c php mua bn khng, ng bin hiu qu l: a. ng thng gia ti sn phi ri ro v danh mc u t th trng

b. Hai ng thng ri nhau, cho bit mi quan h nghch chiu gia mua v bn khng c. c m rng cha cc danh mc c li nhun cao hn v ri ro thp hn d. c m rng cha cc danh mc c li nhun cao hn v ri ro cao hn

III. M HNH CAPM C BN


1. M hnh nh gi ti sn (the Capital Asset Pricing Model)
M t cc gi nh ca m hnh CAPM CAPM m t mi quan h gia ri ro v li nhun ca cc ti sn, CAPM a ra cch tnh li nhun k vng ca 1 ti sn da trn ri ro c h thng (lin quan n th trng) ca ti sn ny ()

III. M HNH CAPM C BN


Cc gi nh ca CAPM:

a.

Nh u t khng chu chi ph giao dch khi mua bn ti sn

b. Ti sn c th chia tch khng gii hn c. Khng thu, tin kim c t u t s khng khc nhau gia cc nh u t d. Nh u t l ngi chp nhn gi, cc quyt nh mua bn khng nh hng n gi ti sn, th trng cnh tranh hon ho e. Hm hu dng ca cc nh u t ch da trn li nhun k vng v ri ro ca danh mc u t

III. M HNH CAPM C BN


f. g. Mua bn khng khng gii hn Nh u t c th mn hoc vay khng gii hn ti mc li sut phi ri ro h. Nh u t ch quan tm n li nhun v ri ro trong 1 khong thi gian, khong thi gian ny l bng nhau cho tt c nh u t i. Tt c nh u t d on ging nhau v li nhun k vng, phng sai, hip phng sai j. Tt c cc ti sn u bn trn th trng c, bao gm c vn con ngi

III. M HNH CAPM C BN


2. ng vn th trng (the Capital Market Line, CML)
Khi xut hin vic cho vay v i vay khng ri ro, ng bin hiu qu s chuyn sang ng thng. Nh u t s b tin vo danh mc u t gm danh mc ri ro v ti sn phi ri ro. Gi nh nh u t c cng k vng v li nhun, ri ro, tng quan gia cc ti sn, th lc ny ch c 1 ng thng tip tuyn, gi l CML

III. M HNH CAPM C BN


Di cc gi nh ca CML, tt c cc nh u t u mun to ra danh mc u t ti u, gi l danh mc u t th trng, M. y l danh mc ca tt c cc ti sn trn th trng c trng s tng ng vi gi tr th trng ca chng. V d: nu gi tr th trng ti sn X l 1 t USD, v gi tr th trng ca tt c cc ti sn c giao dch l 100 t USD, th trng s phn b cho ti sn X trong danh mc th trng s l 1%

III. M HNH CAPM C BN


Tm li, CML c kt lun l tt c cc nh u t s ra cc quyt nh ti u bng cch phn b gia ti sn phi ri ro v danh mc u t th trng

III. M HNH CAPM C BN


Phng trnh CML l:

H s gc ca CML gi l gi tr th trng ca ri ro v bng vi t s phn thng cho ri ro (Sharpe ratio) cho danh mc u t th trng

III. M HNH CAPM C BN


CML dng tnh li nhun k vng ca danh mc u t hiu qu c a dng ho, tuy nhin n khng tnh c li nhun k vng ca cc danh mc khng hiu qu hay ca tng ti sn, do ta phi dng CAPM

III. M HNH CAPM C BN


3. Tnh ton CAPM a. Tnh trc tip Li nhun k vng ca mt ti sn hay ca danh mc gm nhiu ti sn l:

Beta th hin mc ri ro m nh u t nn c n b. Khi danh mc cng c a dng ho, th ri ro khng h thng (ri ro ring ca ti sn) s khng quan trng bng ri ro c h thng (ri ro th trng)*

III. M HNH CAPM C BN


Chng minh *

T cng thc tnh phng sai ca danh mc, gi s c n ti sn chim trng s nh nhau (w = 1/n), ta c:

Vi trung bnh phng sai ca tt c cc ti sn trong danh mc, v trung bnh hip phng sai ca tng cp ti sn trong danh mc

III. M HNH CAPM C BN


Lu phng sai ca danh mc u t c ti sn vi trng s nh nhau s gm 2 phn:
Ri ro khng h thng (ri ro ring ti sn): phng sai Ri ro h thng: hip phng sai C hai ri ro u b nh hng bi ln danh mc
Khi n ln, phn phng sai s gn 0 Khi n ln, phn hip phng sai s gn trung bnh ca hip phng sai Tm li, phng sai ca danh mc u t c ti sn vi trng s nh nhau s tin v trung bnh hip phng sai khi n ln

III. M HNH CAPM C BN


V a dng ho danh mc khng tn chi ph v ri ro h thng l ri ro duy nht trong danh mc c a dng ho, do nh u t nn c b p khi chu mc ri ro beta. iu ny ngha l cc ti sn c cng beta s nn nhn cng mc li nhun. Bc tip theo tnh CAPM l phi xc nh rng li nhun k vng l hm tuyn tnh theo beta:

III. M HNH CAPM C BN


Vi

CovP,M hip phng sai gia cc li nhun ca ti sn P v danh mc u t th trng M 2M phng sai ca cc li nhun ca danh mc u t th trng

III. M HNH CAPM C BN


chng minh li nhun ca danh mc u t l hm tuyn tnh theo beta, ta xt cc hm sau:

Vi

III. M HNH CAPM C BN


Thay w1 vo phng trnh li nhun:

III. M HNH CAPM C BN


Ti sn c cng beta nn kim cng mc li nhun v nghip v hon i (arbitrage) s ngn vic ti sn c cng beta s c li nhun khc nhau, v vy li nhun k vng cho ti sn i s tuyn tnh theo beta ca n:

Phng trnh ny trn th gi l ng SML, i din cho CAPM

III. M HNH CAPM C BN

III. M HNH CAPM C BN


Bc cui khi xc nh CAPM l im 2 im trn SML: RF (c beta bng 0) v M (c beta bng 1)*, do ta s tm c m:

Chng minh *:

III. M HNH CAPM C BN


M hnh CAPM s l:

4. Tnh ton li nhun k vng bng CAPM Hy nh gi chng khon cng ty Sky-Air, Inc vi cc thng tin sau: Ri ro th trng k vng: 5% Li sut phi ri ro: 4% Sky-Air beta: 1.5%

III. M HNH CAPM C BN


E(RSA) = 0.04 + 1.5(0.05) = 0.115 = 11.5% Li nhun t CAPM c xem nh l li nhun ti thiu m mt nh u t sn lng chp nhn, ng vi ri ro i km ca ti sn. V d: nu nh u t d on li nhun s vt 11.5%, h nn mua chng khon ca Sky-Air. Tuy nhin, nu h d on li nhun thp hn 11.5%, lc ny nn bn n

III. M HNH CAPM C BN

III. M HNH CAPM C BN


Trong v d trn, t sut li nhun tnh t CAPM lun nm trn SML. Nu sau khi xem xt ti sn, ta thy li nhun k vng khc vi li nhun tnh ra t CAPM, lc ny ti sn b nh gi sai (misprice) lin quan n cc k vng hp l (rational expectations).

III. M HNH CAPM C BN


Nhn chung:
Ti sn b nh gi cao s c li nhun k vng CAPM cao hn li nhun k vng ca n, ti sn ny nm di SML Ti sn b nh gi thp ngc li s nm trn ng SML

V d: hy tnh li nhun k vng th trng v ri ro th trng vi cc thng tin: beta ca chng khon l 0.75, li nhun k vng 13%, li sut phi ri ro 4%

Concept Checkers
Cu 1: Nhn nh no ng nht v gi nh ca CAPM? a. Cc nh u t ch chu thu cho phn thu nhp b. Cc hnh ng ca nh u t nh hng gi ti sn c. Chi ph giao dch l bng nhau gia tt c cc ti sn d. Tt c ti sn bao gm vn con ngi u c th giao dch c (marketable)

Concept Checkers
Cu 2: Cho th sau:

Concept Checkers
Danh mc P trong phn tch trung bnh-phng sai th hin tip im gia ng vn th trng (CML) v PPC. Trong phn tch ny, gi th trng ca ri ro s l: a. lch chun ca danh mc P b. Li nhun k vng ca danh mc c phng sai nh nht c. dc ca ng thng ni T-bills and Portfolio P d. Giao im gia ng thng v trc tung

Concept Checkers
Cu 3: Nhn nh no ng v CML: 1) CML gi nh nh u t nm 2 danh mc: danh mc ri ro cha cc ti sn c t trng ng vi tng mc vn ho ca th trng v ti sn phi ri ro 2) CML gip xc nh t sut li nhun yu cu cho cc chng khon
a. 1 ng b. 2 ng c. c hai ng d. c hai sai

Concept Checkers
Cu 4: Bng vic s dng CAPM, anh A c cc thng tin v v th trng v chng khon cng ty M nh sau: Ri ro th trng k vng: 8% Li sut phi ri ro: 5% Bta cng ty M tnh t s liu qu kh: 1.50 Anh A cho rng bta qu kh khng tt d bo cho bta tng lai, v th anh A d bo cho bta nh sau:

Concept Checkers
Bta d bo = 0.8 + 0.2 x bta qu kh Sau khi phn tch xu hng th trng v bo co ti chnh cng ty M, anh A d bo li nhun cng ty l 10%. Hy cho bit kt qu t CAPM v li nhun cng ty M : a. nh gi cao vi li nhun yu cu CAPM l 8.3% b. nh gi cao vi li nhun yu cu CAPM l 13.8% c. nh gi thp vi li nhun yu cu CAPM l 8.3% d. nh gi thp vi li nhun yu cu CAPM l 13.8%

Concept Checkers
Cu 5: Anh A mun tnh ton li nhun k vng ca th trng. Anh tin rng chng khon N c nh gi ng, tng hp thng tin sau: Li nhun k vng cng ty N 7.5% Li sut phi ri ro 4.5% Bta cho cng ty N 0.80

Hy cho bit li nhun k vng ca danh mc th trng l: a. 3% b. 3.75% c. 6.9% d. 8.25%

IV. CC M HNH CAPM M RNG


Khi mt vi gi nh thay i, cc mi quan h trong CAPM thay i Ta ch xt tng gi nh thay i ch khng phi cc gi nh ng lot thay i 1. M t s nh hng ln CAPM khi: a. b. c. d. e. f. Khng cho php mua bn khng Vic cho vay v i mn khng ri ro Thu thu nhp c nhn Cc ti sn khng mua bn trn th trng c Cc k vng khng ging (heterogenous expectations) Cc hnh vi khng da vo gi

IV. CC M HNH CAPM M RNG


a. Khng c php mua bn khng Trong cn bng nh u t nm danh mc u t th trng, ngha l khng nh u t no s bn khng, v vy khng cho php mua bn khng khng nh hng n CAPM b. Vic cho vay v i mn khng ri ro CAPM gi nh cc nh u t c th cho vay v i mn khng gii hn ti mc li sut phi ri ro

IV. CC M HNH CAPM M RNG


Trng hp 1: Khng tn ti li sut phi ri ro cho vay v i mn Dng danh mc c bta bng 0 thay th cho ti sn phi ri ro to ra bta CAPM bng 0

Vi E(RZ) l li nhun k vng ca danh mc c bta bng 0 Do c nhiu danh mc vi beta 0, danh mc ng s c tng ri ro nh nht

IV. CC M HNH CAPM M RNG


Hip phng sai (v bta) ca danh mc c bta 0 v danh mc th trng l 0. V vy, danh mc c bta bng 0 s nm bn trong ng bin hiu qu V vy CAPM vi danh mc c bta 0 s khin nh u t nm danh mc kt hp gia danh mc c bta 0 v danh mc th trng Do danh mc u t c bta 0 l danh mc khng hiu qu, s khng c nh u t no ch nm mt danh mc ny thi

IV. CC M HNH CAPM M RNG


Trng hp 2: Cho vay vi li sut phi ri ro, nhng khng th i mn vi li sut phi ri ro
Cho vay (ti sn) phi ri ro: tri phiu kho bc, tuy nhin i vay u mang ri ro lc ny SML s thay i, tt c cc danh mc ri ro to ra t danh mc c bta 0 v danh mc th trng s c li nhun yu cu nm trn ng E(RZ)M, cc danh mc hiu qu cha ti sn phi ri ro s c li nhun nm trn RFN v NM

IV. CC M HNH CAPM M RNG


Lc ny nh u t nm 3 qu: ti sn phi ri ro, danh mc th trng, v danh mc c bta 0

IV. CC M HNH CAPM M RNG


Tm li: Nhn chung, danh mc th trng vn tn ti, tuy nhin nh u t s nm cc danh mc ri ro khc nhau (kt hp danh mc th trng v cc danh mc c bta 0 khc nhau) Trong trng hp 1, SML l ng thng, h s chn bng li nhun k vng ca danh mc c bta 0, h s gc bng chnh lch li nhun k vng th trng v li nhun k vng danh mc bta 0. Trng hp 2 SML gm ng thng cho ti sn ri ro v 2 ng cho cc danh mc hiu qu cha ti sn phi ri ro

IV. CC M HNH CAPM M RNG


c. Thu c nhn
CAPM gi nh nh u t khng chu thu cho li nhun kim c Thc t nh u t nh gi danh mc trn c s sau thu, v thu s khc nhau gia phn thng d vn (capital gains) v c tc (dividends)

IV. CC M HNH CAPM M RNG


Ta c:

Vi M l t l c tc danh mc th trng i l t l c tc chng khon I l thu sut th trng

IV. CC M HNH CAPM M RNG


Vi cng thc ny, ngoi bta, t l c tc cng nh hng n li nhun k vng Khi gi nh thu sut cho c tc cao hn phn thng d vn, cng kim nhiu c tc s ng nhiu thu hn, nh u t i hi nhiu li nhun trc thu hn

IV. CC M HNH CAPM M RNG


d. Ti sn khng mua bn c (Nonmarketable Assets) Thc t c nhng ti sn c th mua bn c, nhng nh u t xem l phn c nh trong danh mc

Vi RH l t sut li nhun trong 1 giai on ca cc ti sn khng mua bn c, PH tng gi tr ti sn khng mua bn, PM tng gi tr ti sn mua bn c

IV. CC M HNH CAPM M RNG


e. Cc k vng khng ging nhau
Nh u t c k vng khc nhau v vic nh i gia ri ro v li nhun

f. Cc hnh ng khng da vo gi (Non-Price-Taking Behavior)


Price takers ngha l nh u t khng quan tm n vic h mua bn c nh hng g n gi cn bng hay khng. Tuy nhin, chuyn g xy ra nu nhiu nh u t tin rng hnh ng ca h c nh hng n gi?

IV. CC M HNH CAPM M RNG


2. CAPM nhiu giai on
a. Consumption-Oriented CAPM b. CAPM bao gm lm pht
Nu tng quan gia li nhun th trng v t l lm pht l dng, ri ro th trng s ln hn ri ro tnh t CAPM chun Ri ro ca 1 ti sn l hm s khng ch ph thuc vo hip phng sai ca n vi th trng, m cn ph thuc vo hip phng ca n vi t l lm pht Nu t sut li nhun ca ti sn tng quan thun vi t l lm pht, cng thc CAPM nh gi ri ro ca ti sn cao

IV. CC M HNH CAPM M RNG


CAPM s nh gi thp (cao) t sut li nhun ca ti sn trong di hn nu tng quan gia li nhun ti sn v t l lm pht thp hn (cao hn) S KT HP GIA tng quan gia li nhun ti sn v li nhun th trng V tng quan gia li nhun th trng v t l lm pht

IV. CC M HNH CAPM M RNG


c. CAPM vi nhiu bta Li nhun k vng ca mt ti sn nn c lin h vi nhy ca ti sn vi cc yu t nh hng nh: CPI, c hi u t, v.v Trong trng hp ny, CAPM l:

M hnh ny cho php nh u t c nhiu cch phng nga ri ro m h quan tm

IV. CC M HNH CAPM M RNG


Tm li, CAPM s hiu qu khi m t li nhun tm v m, c th n khng cn chnh xc khi nh gi hnh vi ring l ca nh u t. CAPM m rng gip xem xt cc nh hng thc t n li nhun bng cch g b cc gi nh

Concept Checkers
Cu 1: Khi xem xt yu t thu, c th l s chnh lch thu sut gia c tc v thng d vn, li nhun k vng s b nh hng bi: a. Bta v t l c tc b. Ch bta c. Ch t l c tc d. Alpha v bta

Concept Checkers
Cu 2: Cho cng thc trong cn bng (di hn) E(Ri) = 0.02 + 0.081, gi s danh mc c bta 0 c s dng khi gi nh v vic cho vay v i mn khng ri ro b g b, hy cho bit li nhun danh mc c bta 0 v li nhun th trng? a. 2%, 6% b. 8%, 10% c. 2%, 10% d. 8%, 6%

Concept Checkers
Cu 3: Nu thu thu nhp c nhn c em vo CAPM, thu sut trong m hnh E(Ri) = 0.02 + 0.078i + 0.03i l bao nhiu? Gi s t l c tc ca danh mc th trng l 2.6%, t l c tc ca c phiu l 2.2%, phn chnh lch ri ro th trng l 8%. a. 33% b. 3% c. 10.8% d. 5%

V. M HNH APT (ARBITRAGE PRICING MODEL)

Hiu cc gi nh m hnh APT Tnh ton li nhun k vng bng APT Hiu ti sao CAPM l mt trng hp c bit ca APT, gii thch ti sao APT dng qun l danh mc th ng v ch ng

V. M HNH APT (ARBITRAGE PRICING MODEL)


1. Cc gi nh ca APT Li nhun c tnh ra t m hnh a nhn t. Tuy nhin APT khng ch ra cch nhn dng cc ri ro trong m hnh Ri ro khng h thng c th b trit tiu thng qua a dng ho danh mc (ri ro khng h thng khng c nh gi) Khng tn ti c hi hon i (arbitrage). Arbitrage l c hi u t khng cha ri ro, khng chi ph nhng li sinh li. Gi nh ny cho rng cc nh u t s khai thc khi c s sai lch v gi, iu ny lm cho gi iu chnh lp tc v gi tr cn bng

V. M HNH APT (ARBITRAGE PRICING MODEL) Phng trnh APT:

Vi: Rn l li nhun ti sn n n l li nhun k vng khi tt c cc ri ro bng 0, n,k phn nh hng ca ri ro th k cho ti sn n, Fk l ri ro th k, un li nhun ngu nhin cho ti sn n

V. M HNH APT (ARBITRAGE PRICING MODEL)

Mi gi tr F i din ch s hay yu t v m nh hng n li nhun ti sn Mi i din nhy ca danh mc n i vi tng ri ro. Khng ging vi CAPM, APT khng yu cu mt trong cc ri ro phi l danh mc th trng

V. M HNH APT (ARBITRAGE PRICING MODEL)


Cng thc APT 2:

Vi 0 = RF, K phn b p (gi) cho ri ro k vng ng vi mi ri ro Mi j l phn b k vng cho ri ro (expected risk premium) ng vi tng ri ro ring. Risk premium (gi, phn b cho ri ro) l chnh lch gia li nhun k vng v li sut phi ri ro. l phn li nhun k vng tng thm khi chp nhn thm ri ro

V. M HNH APT (ARBITRAGE PRICING MODEL)


Phng trnh 1 cho thy c tn ti arbitrage, ngha l nh u t c th to ra danh mc u t c li nhun dng m khng tn chi ph Trong thc hnh, ngi ta tnh phng trnh 1 bng chy hi quy trn dy s thi gian cho tng li nhun danh mc trn cc ri ro, sau ly ra cc bta, sau tnh phng trnh 2 bng cch chy hi quy trn dy khng gian cho cc li nhun danh mc trn tng bta

V. M HNH APT (ARBITRAGE PRICING MODEL)

2. Tnh ton Li nhun k vng bng APT


V d: Mt cng ty u t dng m hnh APT 2 nhn t. Li sut phi ri ro 5%. Hy xc nh li nhun k vng ca cng ty vi s liu sau: Bta ca cng ty i vi nhn t ri ro 1 v 2 ln lt l 1.5 v 2 Phn b (gi) cho ri ro 1 v 2 l 0.3 v 0.0125

V. M HNH APT (ARBITRAGE PRICING MODEL)


Chng minh APT V d: Gi s cng ty s dng m hnh APT 1 nhn t nh gi ti sn. Xem xt s liu ca 3 danh mc u t A, B v C Danh mc A B C Li nhun k vng 10% 20% 13% Bta 1 2 1.5

Hy tnh c hi arbitrage t s liu (50% A, 50% C, so snh li nhun k vng v bta vi C)

V. M HNH APT (ARBITRAGE PRICING MODEL) To danh mc D vi 50% A v 50% B, ta c: Bta D = 0.5(1) + 0.5(2) = 1.5 Trong khi bta D v C ging nhau, li nhun khc: Li nhun k vng D = 0.5(0.1) + 0.5(0.2) = 0.15 Bng cch bn khng C, mua D, ta kim c 2% li nhun k vng

V. M HNH APT (ARBITRAGE PRICING MODEL)


Bn khng C mua D gi l danh mc arbitrage. Chng ta khng u t g bn u, do khng chu ri ro h thng, bta ca vic u t ny bng 0. Khi nh u t khai thc arbitrage, gi ti sn trong danh mc C gim, li nhun k vng tng lai ca danh mc C s tng t gi tr cn bng ca n APT gi nh khng tn ti th trng khng hon ho ngn chn c hi arbitrage. Do , cc v th mua bn khng s xut hin, vic sai lch gi s c iu chnh ngay lp tc.

V. M HNH APT (ARBITRAGE PRICING MODEL)

3. Mi quan h gia CAPM v APT


CAPM l trng hp c bit ca APT khi ch cha 1 yu t ri ro: ri ro th trng

V. M HNH APT (ARBITRAGE PRICING MODEL)

4. ng dng APT vo qun l u t ch ng v th ng


Qun l danh mc th ng c gng bm cng gn 1 ch s cng tt Qun l danh mc ch ng c gng c cc trn 1 ch s, vi mc tiu kim c li nhun dng (alpha)

V. M HNH APT (ARBITRAGE PRICING MODEL)


Vi qun l th ng, ngi qun l nhn bn ra 1 ch s th trng (index) bng cch nm tt c cc chng khon trn th trng , vic ny tn ph giao dch Hoc, nhn bn li nhun ca th trng bng cch nm 1 phn nh cc chng khon M hnh vi 1 ch s th trng c th dng to ra danh mc vi bta bng 1, tuy nhin cch ny khng kim sot c cc ri ro khc c tc ng n li nhun chng khon

V. M HNH APT (ARBITRAGE PRICING MODEL)


Do dng APT a nhn t s kim sot cc ri ro tc ng li nhun chng khon m vn m bo danh mc th ng c ri ro bng vi ri ro ca ch s th trng Vi qun l danh mc ch ng, APT cho php nh u t c cc vi cc ri ro. Mt nh u t bm theo VNIndex c th tin rng tng trng kinh t s cao hn d on. Dng APT tng s nh hng ca danh mc vi tng trng kinh t

Concept Checkers
Cu 1: Gi nh no sau y l ca APT? Li nhun k vng: a. Tuyn tnh vi s nh hng ca ri ro th trng b. Lin h vi ri ro h thng v phi h thng c. Ca chng khon m s nh hng ca cc ri ro nh nhau s bng nhau d. Tuyn tnh vi nhiu ri ro c th xc nh c

Concept Checkers
Cu 2: Vi m hnh APT, tnh li nhun k vng ca chng khon vi cc thng tin sau: li sut phi ri ro 3% Mc nh hng ca ri ro: Xc sut l: 0.5 Khi lng giao dch trung bnh ngy: -0.2 D bo tng trng li nhun trung bnh: 1.5 Phn b k vng (gi) ca cc ri ro:

Concept Checkers
Xc sut l: 2% Khi lng giao dch trung bnh ngy: -1% D bo tng trng li nhun trung bnh: 1.5% a. 4.8% b. 6.1% c. 6.5% d. 7.5%

VI. P DNG CAPM O LNG HOT NG Dng cc ch tiu Treynor, Sharpe, v Jensen o lng v nh gi hot ng Ghi nh li cc kin thc c lin quan n CAPM Tnh ton, so snh v nh gi cc ch tiu Treynor, Sharpe v Jensens Alpha

VI. P DNG CAPM O LNG HOT NG L thuyt danh mc u t hin i v CAPM c xy dng da trn mi lin h gia ri ro v li nhun Ch tiu Treynor bng vi phn b (gi) ca ri ro chia cho bta (ri ro c h thng)

VI. P DNG CAPM O LNG HOT NG


Ch tiu Sharpe bng vi phn b (gi) ca ri ro chia cho lch chun (tng ri ro)

Ch tiu Jensen (hay Alpha) l phn li nhun vt tri ca ti sn so vi phn li nhun d on t CAPM

VI. P DNG CAPM O LNG HOT NG


C ch tiu ny cng cao cng tt Ch tiu Treynor v Sharpe chun ho phn b (gi) ri ro bng cch chia n vi 1 ch tiu o ri ro. Nh u t c th p dng Sharpe cho tt c cc danh mc u t v n s dng tng ri ro Dng Treynor cho danh mc c mc a dng ho cao, dng Jensen so snh cc danh mc c cng bta

VI. P DNG CAPM O LNG HOT NG Ch tiu Sharpe c th l phng php tt nh gi hot ng qu kh Treynor l ch tiu nhn v tng lai v bta phi c c lng v bta ca danh mc l trung bnh cc bta ca cc ti sn trong danh mc

VI. P DNG CAPM O LNG HOT NG


V d: Vi mt danh mc u t gm 10 chng khon, bng cch p dng phn tch c bn cho tng chng khon, ta c li nhun k vng danh mc l 14% vi lch chun 25%. Bta ca danh mc l 1.1. Li nhun k vng th trng l 12.5% vi lch chun l 20.2%. Li sut phi ri ro l 2.6%. Hy tnh cc ch tiu Treynor, Sharpe v Jensen

VI. P DNG CAPM O LNG HOT NG C nhiu cch m rng ch tiu Jensen (Alpha) v ch tiu ny l thc o phn li nhun vt tri ca ti sn hay danh mc khi so vi 1 chun no . Thay v dng CAPM, ta c th thay th n vi mt gi tr m ta cho l thch hp hn

VI. P DNG CAPM O LNG HOT NG


Tnh ton v gii thch sai s theo di (tracking error), t s thng tin (information ratio) v t s Sortino:
Nu nh qun l mun kim mc li nhun cao hn danh mc th trng hay 1 ch tiu no khc, phn chnh lch li nhun ny s bin ng theo thi gian Theo di sai s l thut ng m t lch chun ca phn chnh lch li nhun ny

VI. P DNG CAPM O LNG HOT NG


bin ng ca phn li nhun chnh lch ny l mt ri ro khc dng nh gi thnh cng ca nh qun l u t Thng thng, nh qun l phi gi phn sai s theo di di mc xc nh no Nh qun l phi cn i cc chi ph pht sinh khi qun l danh mc (gim sai s theo di) vi ri ro tng thm c th pht sinh khi theo di sai s

VI. P DNG CAPM O LNG HOT NG T s thng tin (information ratio) bng alpha ca danh mc c qun l so vi chun so snh ca n chia cho sai s theo di Gi RB l li nhun ca ch tiu (danh mc) so snh

VI. P DNG CAPM O LNG HOT NG y l ch tiu nh gi liu lch ca nh qun l khi chun so snh c sinh li ch g hay khng Ch tiu ny o lng kh nng thu thp v s dng thng tin ca nh qun l so vi 1 ngi qun l trung bnh

VI. P DNG CAPM O LNG HOT NG T s Sortino: tng t t s Sharpe vi 2 thay i


Thay RF bng Rmin (li nhun ti thiu c th chp nhn c) Thay lch chun bng bn lch chun (semistandard deviation) (o lch chun ca nhng li nhun nm thp hn Rmin)

VI. P DNG CAPM O LNG HOT NG Ch tiu o li nhun trong Sortino l cn MSDmin (trung bnh cc lch bnh phng ca cc mc li nhun khi so vi Rmin trong khong thi gian t vi RPt < Rmin Sortino c tc dng tng t Sharpe, thch hp vi s liu li nhun khng i xng (phn phi b lch)

VI. P DNG CAPM O LNG HOT NG


V d: Hy tnh sai s theo di, t s thng tin, v t s Sortino vi s liu sau: Trong khong 10 nm, mt nh qun l p dng mt s chin lc tng li nhun cho qu u t ang iu hnh. Li nhun ca qu nh sau (0.095, 0.08, -0.022, 0.11, 0.09, -0.05, -0.035, 0.124, 0.072, 0.055). Li nhun so snh ca qu l (0.087, 0.078, -0.034, 0.124, 0.10, -0.064, -0.042, 0.131, 0.062, 0.059). Rmin l 4%, gi s MSDmin l 0.0018

VII. TNG QUAN QUN TR RI RO DOANH NGHIP nh ngha ERM (Enterprise Risk Management) the discipline by which an organization in any industry assesses, controls, exploits, finances, and monitors risks from all sources for the purpose of increasing the organizations short- and long-term value to its stakeholders.

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Gii thch nh ngha: Discipline mt quy trnh chnh thc ti mt t chc m ban qun tr phi tun theo, l mt phn nm trong vn ho ca t chc Any industry nh ngha p dng cho tt c cc ngnh khng ch ring cc t chc ti chnh Exploitsincreasing the organizations short- and long-term value ERM c 2 mc tiu: gim ri ro v tm kim c hi kinh doanh Stakeholders bao gm c ng, ch n, qun tr, cng nhn vin v khch hng

VII. TNG QUAN QUN TR RI RO DOANH NGHIP Nhn dng v m t ri ro ch ra t ERM


Hazard risks Ri ro ti chnh Ri ro hot ng Ri ro chin lc

Lu khng phi tt c cc ri ro u c th phn nhm c

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Hazard risks: c th chia thnh ba nhm
First-party hazard risks: v d nh ho hon, thi tit khin ti sn h hng, vic kinh doanh ngng tr, hay nn trm cp Second-party hazard risks: cng nhn vin b bnh tt hay chn thng Third-party hazard risks: pht sinh n do phi thu hi sn phm, sn phm b li

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Ri ro ti chnh
Ri ro v gi: li sut, gi, t gi, hng ho (gi u vo) Ri ro thanh khon: thiu ht tin, khng th mua bn ti sn gi hp l Ri ro tn dng: v n hay xung hng tn dng Ri ro v lm pht, v sc mua Ri ro c bn (hedging/basis risk): gi ca cng c phng nga ri ro v ti sn c phng nga khng thay i cng mc nhau

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Ri ro hot ng
Hot ng KD chung: ri ro lin quan n s khng hiu qu v hu hiu Cng ngh thng tin: ri ro mt kh nng v cng ngh thng tin hot ng trong mi trng lun thay i Thng tin, bo co kinh doanh: ri ro do thiu s ng tin cy (kim sot km, nhn vin khng c tp hun), thiu thng tin k ton ph hp ra quyt nh

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Ri ro chin lc
Tn tht v danh ting: ri ro do sn phm/dch v di tiu chun, kin tng Cnh tranh: ri ro khi cc i th pht trin sn phm/dch v tt hn S thay i trong xu hng x hi: lin quan n sc kho, sc p Pht minh cng ngh: bo in ang c xu hng gim Xu hng chnh tr v qun l: xe c ti trng ln ang gim

M t cc ch tiu, m hnh v cng c thng dng trong ERM Cc ch tiu:


Ch tiu lin quan n tnh thanh khon trong di hn (solvency): tp trung phn ui di phn phi xs, o lng lng vn cn thit iu khin cc tnh hung xu nht
Shortfall risk: xs mt khon (vn, li nhun) rt xung di 1 mc cho trc Xc sut cn vn: percentile m ti vn cn, xs cn vn c xc nh trc t chc c chnh sch vn VaR

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


EPD (expected policyholder deficit) hay ECOR (economic cost of ruin): m rng t xs cn vn khi ch tiu ny xem xt mc nghim trng ca vic ht vn (gi tr k vng ca shortfall) Cc s kin bt thng (Tail events): cc s kin kh xy ra vi s thit hi ln Tail VaR hay TCE (Tail Conditional Expectation): tng t ECOR v n xem xt xc sut v mc nghim trng ca vic ht vn hay sp , tuy nhin ch tiu tp trung vo cc gi tr cc i nm phn ui phn phi

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Ch tiu lin quan hot ng: tp trung phn gia phn phi xc sut, o lng bin ng ca cc kt qu (li nhun) trn c s doanh nghip vn hot ng
Phng sai lch chun Bn phng sai v lch chun phn di phn phi: ch tp trung vo cc lch m so vi mt chun so snh cho trc BTR (Below-target-risk): gi tr k vng ca cc lch m so vi 1 chun cho trc ca 1 bin ngu nhin

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


M hnh
M hnh o ri ro l quy trnh pht trin cc ch tiu o lng ri ro lin quan n s c lp (t ch, thanh khon di hn, solvency) v hot ng Cc m hnh ti chnh cu trc (structural (casual) financial models) xc nh cc mi quan h nhn qu. V d: cc ri ro lin quan n li sut v chin lc s quyt nh doanh thu cng nh mc tng trng li nhun.

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Cc cng c
Cc cng c ti u ho (Optimization): v d: ng bin hiu qu khi phn tch s nh i gia ri ro v li nhun (cc s kt hp to ra cc danh mc nm trn ng bin u tt nh nhau, la chn danh mc tu vo s thch ring v ri ro v li nhun) Phn tch ng c (Candidate Analysis): sau khi phn tch s chn ra quyt nh tt nht

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


Mt s ng dng c th
Qun l vn:
Mc y vn (Capital adequacy): mc vn ti thiu bao nhiu p ng mt tnh hung lin quan n vn Cu trc vn: Vn nn c kt hp th no t mc ti u cn c vo ri ro v mc tiu ti chnh doanh nghip Hoch nh vn: Vn nn c phn cho tng mng hot ng ca doanh nghip th no nu cn c vo ri ro ring ca tng mng? Rt vn: Bao nhiu vn thc s phn cho cc mng ca doanh nghip?

VII. TNG QUAN QUN TR RI RO DOANH NGHIP


o lng hot ng bng cc ch tiu lin quan n ri ro nh gi hot ng ca tng mng hot ng (Treynor, Sharpe, Jensen) Chin lc u t/phn b ti sn (n): xc nh vic kt hp ti sn ti u ti a ho li nhun vi mc ri ro cho trc Qun tr khng hong: ln k hoch trc nhm qun l cc thit hi do cc s kin bt thng gy ra

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