TRNG I HC KINH T TP H CH MINH KHOA NGN HNG

CNG

TI: NG DNG VALUE AT RISK (VAR) TRONG QUN TR RI RO NGOI HI TI NGN HNG TMCP NGOI THNG VIT NAM (VIETCOMBANK)

GVHD: TS. TRN TH MNG TUYT SVTH: DIP BI QUNH NGN LP: NH8 K35

 TI:

NG DNG VALUE AT RISK (VAR) TRONG QUN TR RI RO NGOI HI TI NGN HNG TMCP NGOI THNG VIT NAM (VIETCOMBANK) Chng 1: Gii thiu tng quan v ngn hng TMCP Ngoi thng Vit Nam 1.1 Lch s hnh thnh v qu trnh pht trin 1.2 C cu t chc 1.3 Kt qu hot ng kinh doanh nm 2010 - 2012 1.3.1 Kt qu hot ng kinh doanh chung 1.3.2 Kt qu hot ng xut nhp khu v kinh doanh ngoi t 1.4 Nhng thun li v kh khn ca ngn hng TMCP Ngoi thng Vit Nam 1.4.1 Thun li 1.4.2 Kh khn Chng 2: ng dng VaR trong qun tr ri ro ngoi hi ti ngn hng TMCP Ngoi thng Vit Nam 2.1 Tng quan v ri ro v qun tr ri ro 2.1.1 Khi nim ri ro 2.1.2 Phn loi ri ro 2.1.3 Ri ro t gi 2.1.3.1 Khi nim ri ro t gi 2.1.3.2 Nguyn nhn dn n ri ro t gi 2.1.3.3 Cc hot ng lm pht sinh ri ro t gi 2.1.3.4 Ch tiu nh gi tc ng ca ri ro t gi 2.1.4 Qun tr ri ro 2.2 L thuyt v phng php value at risk (VaR) 2.2.1 Khi nim VaR 2.2.2 c im c bn ca VaR 2.2.3 Cc yu t c bn nh hng n VaR danh mc 2.2.4 Cc phng php tnh VaR 2.2.4.1 Phng php phn tch qu kh

2.2.4.2 Phng php Monte Carlo 2.2.4.3 Phng php Phng sai Hip phng sai 2.2.4.4 Phng php Risk Metrics 2.2.5 Php th Backtesting 2.2.6 Hn ch ca VaR 2.3 Thc trng qun tr ri ro ngoi hi ti ngn hng TMCP Ngoi thng Vit Nam t nm 2009 n nm 2012 2.4 ng dng VaR trong qun tr ri ro ngoi hi ti ngn hng TMCP Ngoi thng Vit Nam 2.4.1 Thu thp d liu 2.4.2 Kim nh cc gi thuyt 2.4.3 c lng VaR 2.4.4 Kim nh Backtesting 2.5 nh gi chung thc trng qun tr ri ro ngoi hi ti ngn hng TMCP Ngoi thng Vit Nam Chng 3: Gii php hon thin ng dng VaR trong qun tr ri ro ngoi hi ti ngn hng TMCP Ngoi thng Vit Nam 3.1 nh hng v qun tr ri ro ca ngn hng TMCP Ngoi thng Vit Nam 3.2 Gii php hon thin ng dng VaR ti ngn hng TMCP Ngoi thng Vit Nam