Th Trng Ti Chnh

TS. L T Ch & ThS. L Tun Anh

i nghin cu ny kt hp cch tip cn CVaR th trng vi m hnh tn dng Merton/KMV to ra mt m hnh o lng ri ro tn dng di cc iu kin th trng cc bin (th trng tim n nhng c sc kh lng trc). Vic vn dng nghin cu thc nghim VN cho thy bng chng r rng v tnh hiu qu ca phng php kt hp ny trong vic o lng ri ro v n. Bn cnh , phng php CVaR th trng gp phn nhn din v xp hng ri ro cng nh phn tch s chuyn dch ri ro gia cc ngnh trn th trng ti chnh VN trc v sau khng hong 2008. Kt qu cho thy trc v sau khng hong, s chuyn dch th hng ri ro ch din ra i vi cc ngnh c mc ri ro thuc nhm trung bnh. Tuy vy, xu hng ri ro qua cc nm phn nh xu hng ca chung c th trng cng nh nhng c th ngnh. Hu ht cc ngnh u gia tng ri ro trong nm 2008 ri sau gim dn. Tc gi cng tm thy mi tng quan gia ri ro v t l vn c phn, trong nhiu trng hp, cng ty s dng cng nhiu vn c phn th ri ro cng thp. T kho: CVaR, Merton/KMV, ri ro tn dng, th trng ti chnh VN, vn c phn
1. Gii thiu

Trong bi cnh nn kinh t ang gp nhiu kh khn nh hin nay, th trng ti chnh VN cng ang i din vi nhng bt n v tim n nhiu ri ro. Vic qun tr ri ro ti chnh v vy ang l mt vn thu ht s quan tm c bit t gc nh qun tr doanh nghip cng nh t gc ca Chnh ph. cng vic qun tr ri ro t kt qu tt, vic nh gi v c lng c cc loi ri ro l rt quan trng. Trong , ri ro tn dng cn gi l ri ro v n l mt vn nghin cu cn c quan tm c bit l t sau khng hong ti chnh 2008. Nhng nh hng tiu cc t cuc khng hong ny vn cn dai dng, s lng cc doanh nghip v n v ph sn ang gia tng mt cch nhanh chng trong

thi gian gn y. V vy, vic o lng ri ro tn dng l mt phng php cn thit trong vic nhn din, nh gi v d bo tnh trng sc khe ca mi doanh nghip; ng thi thng qua vic lng ha ri ro v n s gip cho doanh nghip xc nh c mc ri ro v c nhng gii php thch hp nhm iu chnh ri ro v mc m doanh nghip c th chp nhn c. Vic o lng ri ro tn dng khng phi l mt vn xa l g trong cc doanh nghip VN, c bit l trong cc ngn hng v cng ty bo him. Tuy nhin, hin nay cha c nhiu nghin cu thc nghim nhm kim tra tnh hiu qu hay mc tin cy ca cc phng php o lng ri ro trong iu kin th trng VN. Trn c s tip cn v mt l thuyt v thc nghim, tc gi mnh dn xy dng

mt m hnh kt hp gia phng php CVaR th trng v m hnh d bo ri ro v n Merton/KMV ca t chc xp hng tn nhim Moodys (da trn nn tng ca m hnh nh gi quyn chn Black-Scholes) o lng xc sut v n ca cc cng ty trn th trng chng khon VN. Cch tip cn ny tng c Powell & Allen (2009) nghin cu trn th trng chng khon Australia v mang li kt qu kh tch cc. Tuy nhin, tc gi cha tm thy nhng nghin cu tng t no VN. Chnh v vy, m hnh tn dng kt hp ny c tc gi ng dng so snh ri ro v n ca cc cng ty gia cc ngnh trong bi cnh th trng ti chnh VN. Bi nghin cu ny gii thch lm th no phng php CVaR c th p dng i vi ri ro tn dng trong nhng hon cnh

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Th Trng Ti Chnh
kinh t khc nhau, ng thi cung cp cho ngi c mt ci nhn thu o hn v s nh hng ca ri ro tn dng cc bin trong sut cuc khng hong ti chnh 2008.
2. Tng quan cc kt qu nghin cu trc y

2.1. Nhng nghin cu v VaR v CVaR i vi ri ro tn dng 2.1.1. VaR v nhng hn ch ca VaR. VaR l mt khi nim c bit n v s dng rng ri trong ngn hng v bo him. VaR o lng mc tn tht tim tng qua mt khong thi gian nht nh ng vi tin cy cho trc. Hip c Basel (tha c v qun l ngn hng do y ban Basel v gim st ngn hng BCBS ban hnh) quy nh VaR l thc o yu cu xc nh mc an ton vn cho ri ro th trng. Khng ch o lng ri ro th trng, VaR cng c ng dng o lng ri ro tn dng. Mt s m hnh ng dng VaR i vi ri ro tn dng c th k n nh m hnh CreditMetrics (Gupton, Finger & Bhatia, 1997), m hnh CreditPortfolioView (Wilson, 1998) v m hnh iTransition (Allen & Powell, 2008). Ngc li vi tnh ph bin ca n, VaR c kh nhiu nhc im. VaR cha ng nhng thuc tnh ton hc hi phin phc, nh thiu i cng tnh ph v tnh li m Arztner v cng s (1999; 1997) tho lun. VaR da trn gi nh th phn phi dng chun, cn xng vi lch chun. N s cht ch khi da trn dng phn phi ny nhng s khng cn cht ch khi da trn nhng dng phn phi khc. VaR tnh c t s kt hp hai danh mc c th tt hn tng cc ri ro ca tng danh mc n l. iu rc ri hn l lin quan

vi vic VaR kh ti u khi c tnh t cc tnh hung (kch bn). Tht kh gii quyt v hm s ca mt v th danh mc c th xut hin a cc tr a phng, iu ny lm n tr nn khng chc chn khi xc nh tp hp cc v th ti u v gi tr VaR tng th c th. Xem tho lun v vn ny Mckay & Keefer (1996) v Mauser & Rosen (1999). 2.2.2. CVaR v nhng u im ca n so vi VaR So vi VaR, gi tr ri ro c iu kin (CVaR) c xem l mt thc o c hiu qu hn. CVaR c th o lng li tc cc bin (iu ny ngoi kh nng ca VaR). Allen and Powell (2006; 2007) khm ph ra CVaR nh l mt phng php tng ng VaR trong vic o lng ri ro th trng v tn dng. H pht hin rng CVaR cho ra nhng kt qu ph hp vi VaR khi p dng cho cc loi ri ro ngnh Australia, nhng thm vo l thun li cho vic o lng li tc cc bin (iu ny ngoi kh nng ca VaR). Pflug (2000) chng minh rng CVaR l mt thc o ri ro cht ch vi nhiu thuc tnh nh mong mun nh l tnh li v tnh n iu, hai trong s nhng tnh cht ng quan tm nht. Hn na, VaR khng biu th khong tn tht c th gp phi tr gi tr ngng u tin c a ra bi thc o ny. Ngc li CVaR xc nh s lng tn tht c th gp phi trong

ui (tail) phn phi. Rockefeller & Uryasev (2002; 2000) th nghin cu CVaR i vi cc bi ton ti a ha danh mc u t v cng a ra nhng bng chng cho thy CVaR hiu qu hn VaR. 2.2. Kt hp CVaR vi m hnh Merton/KMV m hnh o lng ri ro v n da trn nn tng l thuyt nh gi quyn chn BlackScholes. Bi nghin cu ny xy dng mt m hnh lin kt gia phng php CVaR v m hnh xc sut v n (PD) dng cu trc ca Merton nhm so snh ri ro tn dng trc, trong v sau khng hong ti chnh 2008. Nghin cu cu trc cho dng bin i ri ro tn dng tng c thc hin qua nhiu phng php nh phng php tng quan ti sn (Cespedes, 2002; Kealhofer & Bohn, 1993; Lopez, 2004; Vasicek, 1987; Zeng & Zhang, 2001), gi tr tin on v tnh hiu lc (Bharath & Shumway, 2004; Stein, 2002) v m hnh thu nhp,

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Th Trng Ti Chnh
& c nh (DVari, Yalamanchili Bai, 2003). Tc ng ca ri ro v n trn li tc vn c phn cng c kim chng (Chan, Faff, & Koffman, 2008; Gharghori, Chan, & Faff, 2007; Vassalou & Xing, 2002). Nhng bi nghin cu ny cng gii thch PD nh l mt s m rng ca quan im 3 nhn t ca Fama and French (1992; Fama & French, 1993) v nh gi ti sn bao gm th trng, quy m v gi tr s sch trn gi th trng. vn ny. l mt lin kt gia ri ro tn dng v cu trc vn ca cng ty. Cch tip cn ny xem vn c phn nh l mt quyn chn da trn gi tr ti sn ca cng ty. Qua phng trnh nh gi quyn chn Black-Scholes, xc sut v n (PD) s c c lng thng qua mt tham bin khc l khong cch ti v n (DD) y chnh l cch tip cn ca m hnh Merton (Merton, 1974), sau c t chc Moodys KMV ng dng vi trng hp c lng VaR hay CVaR, tc gi s dng d liu gi lch s ca cc chng khon ny. Cn trng hp tnh khong cch ti v n (DD) v xc sut v n (PD) tc gi s dng cc thng tin v gi tr th trng ca vn c phn, n (ngn hn v di hn) c thu thp v tng hp t cc bng bo co ti chnh ca cc doanh nghip. Mu d liu nghin cu theo tng nm ca tc gi tng ng vi ba thi k trc, trong v sau khng hong ti chnh 2008. Trong nghin cu ca tc gi, d liu c th mang tnh i din hp l cho th trng, cc chng khon vi d liu t hn 12 thng mt trong s ba thi k u b loi tr. Ngoi ra, nhng ngnh vi t hn 3 cng ty cng b loi tr. Tc gi va tin hnh nghin cu theo tng chng khon ring l va nghin cu trn phng din cc ngnh. 3.2. Phng php * Tnh VaR v CVaR tnh VaR, tc gi p dng theo phng php c s dng bi RiskMetrics (J.P. Morgan & Reuters, 1996). Trong bi nghin cu ny, tc gi tnh VaR vn c phn v cng vy, CVaR vn c phn. Li tc vn c phn theo ngy c tnh cho mi nm bng cch s dng lm logarit theo gi tng i hng ngy:

Ghargori v cng s pht hin rng ri ro v n khng c nh gi trong li tc vn c phn v cc nhn t Fama-French l khng i din cho ri ro v n. Vassalou v Xing pht hin s ng h i vi quy m v gi tr s sch trn gi th trng l c nh hng ln ri ro v n, nhng khng tm thy mi lin kt mnh gia ri ro v n v li tc. Chan v cng s, s dng mu d liu 30 nm bao qut ca c phiu nh, pht hin mi lin kt ng k gia ri ro v n v li tc. Trong khi nghin cu qu trnh pht trin ca cc m hnh lng ha ri ro tn dng, tc gi tm thy mt hng tip cn kh th v trong

nh l mt cng c phn tch tn dng nh lng, gi l m hnh Merton/KMV. Cui cng, tc gi kt hp m hnh Merton/KMV vi phng php CVaR c mt m hnh mi nhm c lng xc sut v n trong iu kin th trng cc bin, tc l lng ha c ri ro tn dng cc bin.
3. D liu v phng php o lng ri ro v n

3.1. D liu v x l d liu Tc gi tin hnh nghin cu trn th trng ti chnh VN t nm 2007 n nm 2011. Mu d liu ca tc gi bao gm nhng thng tin ca 179 doanh nghip c chng khon nim yt trn hai sn giao dch HoSE v HNX. i

tc l ly logarit ca t s gi hm nay (Pt) chia cho gi ngy hm trc (Pt-1). Khi VaR vi tin cy (1-) ca cc gi tr li tc X c tnh nh sau: VaR(1-),x = z.x trong z l h s chun vi mc ngha .

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Cch thc tnh CVaR tng t nh VaR ngoi tr vic chng ta s dng gi tr k vng ca nhng khon l vt VaR (tc l trng hp xu nht ca li tc): CVaR(1-),x = E[X|X VaR(1-),x] Tnh DD/PD v CDD/CPD tnh c khong cch ti v n DD v xc sut v n PD, chng ta s dng cc cng thc sau:
4. ni dung v cc kt qu nghin cu

v PD = N(-DD) trong V l gi tr th trng ca ti sn cng ty, F l n danh ngha ca cng ty, V l li tc k vng ca ti sn cng ty, V l bin ng trong gi tr ti sn ca cng ty, T l k o hn ca cc khon n ca cng ty v N() l hm phn phi chun tch ly. i vi mc ch ca bi nghin cu ny tc gi xc nh xc sut v n c iu kin (CPD) tc l xc sut v n (PD) da trn iu kin lch chun ca li tc ti sn vt qu lch chun tin cy 95%, tc l 5% trng hp xu nht ca li tc ti sn. Tc gi tnh lch chun 5% xu nht ca li tc ti sn hng ngy i vi mi thi k t c lch chun c iu kin (Cstdev). Sau tc gi thay th Cstdev bng cng thc c s dng tnh DD, c c DD c iu kin (CDD). CPD c tnh bng cch thay th DD bng CDD trong cng thc:

c lng CVaR vn c phn i vi cc ngnh trn th trng chng khon VN. Bng 1 so snh CVaR c phn ( tin cy 95%) gia cc ngnh trc, trong v sau khng hong 2008. Tt c cc ngnh u gim mc CVaR (tng mc ri ro), tr xy dng v bt ng sn v cng ngh - truyn thng trong thi k u khng hong. T nm 2007 n nm 2008, nhng ngnh c s gia tng nhiu trong ri ro gm vn ti v kho bi (tng 41%), ti chnh v bo him (tng 38%), khai khong (tng 27%), thng mi (tng

22%). Nhng nm sau khng hong nhn chung mc ri ro u gim hu ht cc ngnh, vic tng ln nu c cng khng ng k hoc tng gim khng ng u qua cc nm. Chng ta c th tnh CVaR cho giai on 2009-2011 thy c ri ro thay i nh th no sau khng hong. Quan st Bng 2 ta nhn thy tt c cc ngnh u gia tng mc CVaR sau 2008, ngha l mc ri ro u gim i. C th thy ngnh ti chnh v bo him c mc bin ng rt cao, trc 2008 mc tng ri ro ln ti 38% cn sau 2008 mc gim ti 46%. iu ny ph hp v ngnh Ti chnh v bo him l
Gi tr CVaR

Bng 1. Kt qu CVaR vn c phn qua cc nm 2007 Sn xut nng nghip Khai khong Tin ch cng cng Xy dng v bt ng sn Sn xut Thng mi Vn ti v kho bi Cng ngh - Truyn thng Ti chnh v bo him Trung bnh -0.0470 -0.0577 -0.0682 -0.1022 -0.0678 -0.0666 -0.0594 -0.2055 -0.0738 -0.0831 2008 -0.0528 -0.0735 -0.0690 -0.0948 -0.0804 -0.0812 -0.0837 -0.1014 -0.1021 -0.0821 2009 -0.0501 -0.0558 -0.0585 -0.0696 -0.0702 -0.0644 -0.0647 -0.0723 -0.0625 -0.0631 2010 -0.0459 -0.0505 -0.0522 -0.0669 -0.0638 -0.0610 -0.0623 -0.0734 -0.0494 -0.0584 2011 -0.0406 -0.0495 -0.0532 -0.0624 -0.0627 -0.0548 -0.0566 -0.0634 -0.0529 -0.0551

Bng 2. Thay i CVaR trc v sau khng hong Gi tr CVaR 2007 Sn xut nng nghip Khai khong Tin ch cng cng Xy dng v bt ng sn Sn xut Thng mi Vn ti v kho bi Cng ngh - Truyn thng Ti chnh v bo him Trung bnh -0.047 -0.058 -0.068 -0.102 -0.068 -0.067 -0.059 -0.205 -0.074 -0.083 2008 -0.053 -0.074 -0.069 -0.095 -0.080 -0.081 -0.084 -0.101 -0.102 -0.082 2009-11 -0.046 -0.052 -0.055 -0.066 -0.066 -0.060 -0.061 -0.070 -0.055 -0.055 Thay i Trc 2008 -12.29% -27.37% -1.11% 7.23% -18.56% -21.95% -40.95% 50.65% -38.43% 1.24% Sau 2008 13.75% 29.38% 20.79% 30.08% 18.41% 26.00% 26.92% 31.23% 46.17% 32.85%

v CPD = N(-CDD)

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Th Trng Ti Chnh
ngnh c t l s dng n rt cao, v chu nhiu tc ng tiu cc nht trong thi k khng hong ti chnh. Nhng ngnh c cng chiu hng bin ng ri ro trc v sau khng hong l xy dng v bt ng sn, cng ngh - truyn thng, nhng ngnh ny u c xu hng gim ri ro sut giai on khng hong. Tuy nhin, khng nn nhm ln rng y l nhng ngnh t ri ro. Bng 3 cho thy y l nhng ngnh c mc ri ro c xp hng rt cao so vi nhng ngnh cn li. Trc v sau thi im khng hong, y l hai ngnh c mc ri ro cao nht. Ngnh cng ngh - truyn thng l ngnh ri ro nht, v ch nhng li v tr ny cho ngnh ti chnh v bo him vo nm 2008 cn nhng nm cn li u dn u v mc ri ro. Khi t trong mi tng quan vi cu trc vn ca ngnh, tc gi nhn thy rng nhng ngnh ri ro nht l nhng ngnh c t l vn c phn thp, tc l t l n cao (v d ngnh cng ngh - truyn thng c t l n giai on 2007-2010 trung bnh l 52%, bt ng sn l 58%). Ngc li ngnh t ri ro nht l ngnh s dng phn ln vn c phn trong c cu ti sn (ngnh Sn xut nng nghip c t l n trung bnh l 24% trong giai on 2007-2010). Tc gi cng
Bng 3. Xp hng CVaR qua cc nm (T 1 n 9: 1 - ri ro thp nht; 9 - ri ro cao nht) Xp hng CVaR 2007 Sn xut nng nghip Khai khong Tin ch cng cng Xy dng v bt ng sn Sn xut Thng mi Vn ti v kho bi Cng ngh - truyn thng Ti chnh v bo him 1 2 6 8 5 4 3 9 7 2008 1 3 2 7 4 5 6 8 9 2009 1 2 3 7 8 5 6 9 4 2010 1 3 4 8 7 5 6 9 2 2011 1 2 4 7 8 5 6 9 3 2009-11 1 2 3 8 7 5 6 9 4

nhn thy rng nhng ngnh c xu hng gim ri ro qua thi im khng hong th c t l n tng ng cng gim dn (chng hn cng ngh - truyn thng c t l n gim dn t 69% nm 2007 xung cn 50% nm 2008, 44% nm 2009 ri tng nh ln 46% nm 2010; tng ng vi quy lut thay i ca ri ro ngnh: gim trong nm 2008, tip tc gim trong nm 2009 ri tng nh trong nm 2010). iu ny c l hp l v khi gia tng n trong ti sn ng ngha vi vic gia tng gnh nng tr n trong tng lai cho cng ty. Mt iu c th kt lun t nghin cu thc nghim CVaR trn th trng VN l ri ro gia cc ngnh khng c s chuyn dch mnh m cho nhau (ngha l v tr xp hng khng thay i ng k), ngnh c ri ro t nht trc khng hong vn l ngnh t ri ro nht sau khng hong (sn xut nng nghip),

tng t vi ngnh nhiu ri ro nht (cng ngh - truyn thng). S chuyn dch ch ng k i vi nhng ngnh c mc ri ro thuc nhm gia (tin ch cng cng, sn xut, vn ti v kho bi). Bng 4 cho thy s thay i ri ro gia cc ngnh trc v sau thi im khng khong.
5. Kt lun

CVaR l mt thc o ri ro tn dng c coi l hp l hn VaR trong nhng iu kin th trng cc bin. Tc gi vn dng cch tip cn ca CVaR vo m hnh Merton/KMV lng ha ri ro tn dng cc bin thng qua tham bin khong cch n v n v xc sut v n. Tc gi tm thy mi tng quan gia ri ro v t l vn c phn, trong nhiu trng hp, cng ty s dng cng nhiu vn c phn th ri ro cng thp. Th hng ri ro gia cc ngnh trn th trng ti chnh VN trc v sau khng
Sau 2008 Ti chnh v bo him; Xy dng v bt ng sn Sn xut nng nghip Cng ngh - truyn thng

Bng 4. Thay i ri ro gia cc ngnh trc v sau khng hong Ri ro Gim nhiu nht Tng nhiu nht t ri ro nht Nhiu ri ro nht Trc 2008 Cng ngh - truyn thng Vn ti v kho bi; Ti chnh v bo him Sn xut nng nghip Cng ngh - truyn thng 2008 Sn xut nng nghip Ti chnh v bo him

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hong khng thay i hai thi cc: t ri ro nht v nhiu ri ro nht, s chuyn dch ch xy ra i vi cc ngnh c mc ri ro thuc nhm trung bnh trong s cc ngnh. Tuy vy, xu hng ri ro qua cc nm phn nh xu hng ca chung c th trng cng nh nhng c th ngnh. Hu ht cc ngnh u gia tng ri ro trong nm 2008 ri sau gim dn. Tc gi khuyn ngh cc t chc o lng ri ro tn dng nn cn nhc hng tip cn trong bi ny nh lng trong iu kin th trng cc bin. Nh u t, ngi cho vay hay cc doanh nghip nn cn nhc la chn m hnh kt hp ny nh l mt cng c phn tch, nhn din v o lng ri ro tn dng t c nhng gii php thch hp nhm kim sot ri ro. gc Chnh ph, cc nh chnh sch hon ton c th s dng m hnh tnh xc sut v n ca cc cng ty trn th trng ti chnh, t Chnh ph c th a ra nhng iu chnh hoc tc ng kp thi nhm gim thiu nhng tc ng tiu cc c th nh hng xu n nn kinh t.

Bn cnh nhng kt qu t c, m hnh kt hp Merton/ KMV vi CVaR trong iu kin cc bin vn tn ti hn ch do nhng gi nh l thuyt ca m hnh Merton c th b vi phm trong qu trnh nghin cu thc nghim. Trong tng lai, vic m rng nghin cu l cn thit vic nh gi c cu v chuyn dch ri ro gia cc ngnh c y v tng qut hn. Ngoi ra, mt s hng nghin cu khc da trn CVaR v m hnh Merton/KMV c th cn nhc nh nghin cu CVaR cho trng hp ri ro ui dng (positive tail) nh ri ro li sut, ri ro t gi Chng ta cng c th m rng m hnh kt hp gia Merton/KMV v CVaR gii quyt vn mt phm vi rng hn nh o lng ri ro v n ca mt quc gia l
TI LIU THAM KHO Allen, D. E., & Powell, R. (2006). Thoughts on VaR and CVaR, in Oxley,L. and Kulasiri,D. (eds) MODSIM 2007 International Conference on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1843-1850 ISBN : 978-0-9758400-4-7. Available at http://

www.mssanz.org.au/modsim/papers/. Allen, D. E., & Powell, R. (2007). Structural Credit Modelling and its Relationship to Market Value at Risk: An Australian Sectoral Perspective, Working Paper, Edith Cowan University. Allen, D. E., & Powell, R. (2008). Transitional Credit Modelling and its Relationship to Market at Value at Risk: An Australian Sectoral Perspective, Accounting and Finance, forthcoming. Bharath, S. T., & Shumway, T. (2004). Forecasting Default with the KMV-Merton Model. Available at http://w4.stern.nyu. edu/salomon/docs/Credit2006/shumway_ kmvmerton1.pdf Chan, H., Faff, R., & Koffman, P. (2008). Default Risk, Size and the Business Cycle: Three Decades of Australian Pricing Evidence. Available at http://ssrn.com/ abstract=1097444 Gharghori, P., Chan, H., & Faff, R. (2007), Are the Fama-French Factors proxying default risk?, Australian Journal of Management, forthcoming. Lopez, J. A. (2004), The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size, Journal of Financial Intermediation, 13(2), 265-283. Powell, R. & Allen, D.E., (2009) Measuring and Modelling Risk, Global Business and Economics Review, Vol X, Vol. 11, Nos. 3/4, pp.199-224

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