LI M U

hng nm gn y, nn kinh t Vit Nam chng kin nhng thay i ln vi s chuyn dch t nn kinh t k hoch ha sang nn kinh t th trng v s gia nhp vo T Chc Thng Mi Th Gii (WTO). Trong bi cnh hi nhp vo nn kinh t ton cu, s h nh thnh v pht trin ca th trng ti chnh Vit Nam l mt h qu tt yu gip a ra rt nhiu knh huy ng vn cng nh rt a dng nhng knh u t. Song song vi s pht trin ca th trng ti chnh , nh ng nm gn y, Chnh ph Vit Nam khng ngng hon thin khung php l, a ra nhng bin php thc y s pht trin bn vng ca th trng v cng c lng tin ca nh u t cng nh thu ht nhiu hn na vn u t ca nhng nh ch chuyn nghip. Khng nn tt c trng vo cng mt r l mt nguyn tc ht sc quan trng trong u t. Ni cch khc, mi nh u t cn a dng ha nhng v th ca m nh hn ch ri ro mc thp nht. Xy dng mt danh mc v qun l tt ri ro ca n tr thnh mt vn ht sc quan trng v cn thit nng cao hiu qu u t. nhng nc pht trin, rt nhiu l thuyt danh mc hin i c nghin cu, ng dng v kim nghim; trong khi Vit Nam, cm t qun l danh mc vn cn l mt khi nim xa l vi hu ht nh u t c nhn v cc doanh nghip va & nh. Tuy nhin, nh ng mt mt v tht bi trong kinh doanh v s tc ng ca khng hong v b t n bt kinh t, s thay i ca chnh sch v m, s bin ng gi ca mt s loi hng ha c bn buc nhng nh qu n l phi quan tm n ri ro ca ti sn m h s hu. thc s l mt tn hiu ng mng chi th trng ti chnh Vit Nam. C rt nhiu phng php qun l ri ro cho danh mc v VaR (Gi tr ti ri ro) l mt trong nhng nn tng l thuyt qun tr ri ro danh mc. Cho n nay vn cha c nhng nghin cu chi tit xut vic ng dng VaR mt cch c h thng vo chng trnh qun tr ri ro danh mc ti Vit Nam. V cng chnh l l do ti sao chng ti chn nghin cu v VaR trong ti ny. Vn m chng ti a ra l Lm th no c th ng dng VaR (Gi tr ti ri ro) vo qun tr ri ro danh mc ti Vit Nam?.

 thc hin cng vic nghin cu, chng ti tra cu ti liu t ngun Internet, t nhng b i bo v sch kinh t. T nhng thng tin tp hp c, chng ti thc hin nhng phn tch v tng hp a ra mt s kt lun quan trng. n gin ha vic tnh ton, chng ti s dng mt s phng php ton, cng thc ton ti chnh c h tr bi phn mm Excel. Ni dung chnh: ti ca chng ti s tp trung gii quyt 3 vn trong sut 48 trang khng k phn m u, danh mc t vit tt, k hiu, danh mc h nh, bng biu, ph lc v ti liu tham kho. Chng 1 C S KHOA HC V VaR Bao gm 20 trang, t trang 1 n trang 20 Chng 2 NG DNG VAR TRONG QUN TR RI RO DANH MC CC C PHIU NIM YT Bao gm 16 trang, t trang 21 n trang 36 Chng 3 KIN NGH TRONG VIC S DNG VaR QUN TR RI RO DANH MC Bao gm 12 trang, t trang 37 n trang 48

MC LC Danh mc t vit tt Danh mc cc k hiu Danh mc hnh Danh mc bng biu Chng I C S KHOA HC CA QUN TR RI RO DANH MC
1. TNG QUAN V VaR 1.1 Nhng c s l thuyt ban u. 1.1.1 C s v ri ro 1.1.2 o lng ri ro ca danh m c. 1.2 Lch s hnh thnh VaR... 1.3 Khi nim VaR 1.4 S khc nhau gi a VaR v lch chu n.. 1.5 Ba thng s nh hng n VaR danh m c 2. BA PHNG PHP TNH VaR 2.1 Phng php phn tch hay phng php phng sai hip phng sai... 2.2 Phng php lch s .. 2.3 Phng php m phng Monte Carlo. 1 1 1 2 6 7 8 9 11 11 16 18

Chng II NG DNG VAR TRONG QUN TR RI RO DANH MC CC C PHIU NIM YT

1. GII THIU V DANH MC.. 1.1 Cc tiu chun ch n l a 10 c phiu 1.2 Danh sch 10 loi c phiu cu thnh nn danh mc 1.3 T tr ng ca tng c phiu trong danh mc. 2. MT S BC CHUN B. 2.1 Thu th p chu i s liu gi c a 10 c phiu trong danh mc. 2.2 iu chnh gi c phiu trong ngy giao d ch khng hng quyn. 2.3 Tnh ton nhng ch s cn thit 21 21 22 22 24 24 24 26

3. TNH VAR DANH MC BNG PHNG PHP PHNG SAI-HIP PHNG SAI V PHNG PHP LCH S. 27 3.1 Tnh VaR danh mc bng ph ng php phng sai hip phng sai . 27 3.2 Tnh VaR c a danh mc bng phng php lch s 28 4. TNH VAR CA CH S VN-INDEX BNG PHNG PHP PHNG SAIHIP PHNG SAI V PHNG PHP LCH S. 30 4.1 Tnh VaR c a danh mc bng phng php phng sai-hip phng sai ... 4.2 Tnh VaR c a ch s VN-Index bng phng php lch s. 5. BACKTESTING.. 5.1 S cn thit ph i lm backtesting 5.2 Th c hin backtesting. 30 33 34 34 35

Chng III KIN NGH TRONG VIC S DNG VaR QU N TR RI RO DANH MC

1. NGHA CA GI TR TI RI RO VaR... 37 2. NHNG HN CH CA VaR .. 38 3. STRESSTESTING.. . 40 4. MT S LU KHI S DNG VaR .. 42 4 .1 i vi nh u t c nhn 42 4 .2 i vi qu u t................. 42 4 .3 Lu khi s dng gi nh phn phi chu n ............... 43

DANH MC T VIT TT
CAPM VBA Blue-chip Middle-cap Small-cap NPV IRR M hnh nh gi ti sn vn Visual Basic for Application Ngn ng lp trnh VBA Nh ng cng ty nim yt c mc vn ha ln Nh ng cng ty nim yt c mc vn ha trung bnh Nh ng cng ty nim yt c mc vn ha nh Net Present Value Hin gi thun Interest Rate of Return T sut sinh li ni b

DANH MC CC K HIU

VaR

2

Value at Risk lch chun Phng sai Tng quan Hip phng sai K vng T trong ca chng khon i T trng ca chng khon j Beta S lng c phn

Cov E(R) wi wj

DANH MC HNH V Hnh 1.1 : a dng ha v gim thiu ri ro phi h thng 1 Hnh 1.2 : Phn phi chun i vi nhng lch chun khc nhau 3 Hnh 1.3 : Minh ha VaR trong phn phi TSSL danh mc8 Hnh 3.1: M phng kt qu cn stress test theo th phn phi................. 40 Hnh 3.2: Phn phi chun44 Hnh 3.3: Dng ca phn phi h s i xng. 45 Hnh 3.4 : Dng ca phn phi h s tp trung.. 46 Hnh 3.5: Phn phi TSSL ca VN-Index 47

DANH MC BNG BIU Bng 1.1 :Ma trn phng sai hip phng sai cho danh mc gm n chng khon............... 5 Bng 1.2: Minh ha v phn phi xc sut ca t sut sinh li ca mt danh mc... 11 Bng 2.1 Danh sch 10 c phiu c chn trong danh mc Bng 2.2 Gi ca 10 c phiu.. Bng 2.3 Trng hp c phiu PGC Bng 2.4 T sut sinh li ca 10 c phiu Bng 2.5 Tnh ton mt s ch s cn thit .. Bng 2.6 Ma trn phng sai-hip phng sai Bng 2.7 Kt qu VaR ca danh mc .. 22 24 25 25 26 27 27

Bng 2.8 So snh kt qu . 28 Bng 2.9 Sp xp TSSL hng ngy ca danh mc . 29 Bng 2.10 Khon l tim nng ca danh mc . 30 Bng 2.11 So snh cc kt qu ......... 30 Bng 2.12 Chui s liu VN-Index 31 Bng 2.13 VaR ngy v VaR nm ca ch s VN-Index 31 Bng 2.14 So snh VaR cc mc xc sut khc nhau ca VN-Index .. 32 Bng 2.15 Khon l tim nng ca danh mc suy ra t VaR ca VN-Index Bng 2.16 Khon l tim nng rt ra t VaR danh mc v VaR ch s VN-Index . Bng 2.17 Kt qu VaR ca VN-Index b ng phng php lch s .. Bng 2.18 Kt qu VaR t hai phng php khc nhau .. Bng 2.19 So snh kt qu VaR ca danh mc v VN-Index . 32 32 33 34 34

Bng 2.20 Chui s liu VN-Index k t ngy 1/3/2007 n 29/2/2008 35 Bng 2.22 So snh VaR trong 2 khong thi gian khc nhau 36 Bng 3.1 T sut sinh li ca VN-Index . 46

Chng I C S KHOA HC V VaR

1. TNG QUAN V VaR 1.1 Nhng c s l thuy t ban u 1.1.1 C s v ri ro Khi u t vo mi loi ti sn, ta u c th gp phi 2 loi ri ro: ri ro h thng (ri ro th trng) v ri ro phi h thng ca cc ti sn th nh ph n. Ri ro h thng l loi ri ro tc ng ln tt c cc ti sn trong danh mc ni ring v ln tt c nhng ti sn cu th nh nn th trng. Cc nhn t c th gy n n loi ri ro n y gm c gi chng khon, li vay, t gi hi oi hay gi c cc loi hng ha cn bn Ri ro phi h thng c lp vi nhng hin tng tc ng ln ton b ti sn trn th trng. N ch l nhng ri ro c trng ring c ca mt vi chng khon: qun l doanh nghip yu km, ha hon ph hy nh xng hay tin b khoa hc k thut lm mt s loi sn phm b li thi Ri ro phi h thng c th loi tr bng vic a dng ha. Hnh 1.1 : a dng ha v gim thiu ri ro phi h thng

Ri ro ca danh mc ph thuc vo ri ro tng chng khon thnh phn v h s tng quan gia nhng chng khon ny vi nhau. Nu s lng chng khon cu

thnh nn danh mc ln th ri ro danh mc lc ny ch cn ph thuc vo h s tng quan gia nhng chng khon thnh phn.

1.1.2 o lng ri ro ca danh mc t c mc tiu ti a ha t sut sinh li ca danh mc v ti thiu ha ri ro, cc ch s hu hay nh qun tr phi nh gi nhng th nh phn quan trng ca danh mc, trong c ri ro danh mc. Tt c nhng quyt nh u t u c cn nhc thng qua gc ca ri ro v nhng tc ng ca ri ro n t sut sinh li danh mc. C rt nhiu cch tip cn khc nhau v ri ro, nhng cch tip cn ph bin nht khi xem ri ro nh l kh nng xut hin cc khon thit hi v ti chnh. Ni cch khc, ri ro cng c m t l s bin i khng chc chn v t sut sinh li ca chng khon trong danh mc. a. Phng sai - lch chun Mt trong nhng ch tiu o lng s bin thin ca t sut sinh li danh mc l phng sai v lch chun ( lch chun l cn bc 2 ca phng sai). i vi mt khon u t c th, phng sai hay lch chun l mt phng php c lng chnh lch ca nhng mc t sut sinh li c th c, Ri, so vi t sut sinh li mong i [E(Ri)] sau y: lch chun :
n 2 2

[Ri E ( Ri)]
i 1

* Pi

Trong : pi : l kh nng xy ra t sut sinh li Khi lch chun c tnh ton t t sut sinh li thc nghim th chng ta c th tm lch chun bng cch ly tng b nh phng cc khon ch nh lch v chia cho N. Vi N l s mu thc nghim.

1 n [ Ri E ( Ri)]2 N i 1

i vi danh mc u t, Harry Markowitz tnh ton tng qut lch chun ca danh mc u t nh sau:
n n n

w2i i2 wi w jCovij
i 1 i 1 j 1

Cng thc ny cho thy lch chun ca danh mc u t l mt phn gi tr trung bnh ca nhng phng sai ring l (trong t trng l bnh phng), cng vi t trng hip phng sai gia nhng ti sn trong danh mc. lch chun i vi danh mc ca nhng ti sn bao gm khng ch phng sai ca nhng ti sn ring l m cn bao gm hip phng sai gia nhng cp ti sn ring l trong danh mc. Thm vo , n cn ch ra rng trong mt danh mc u t vi s lng ln cc chng khon, cng thc n y rt gn thnh tng t trng hip phng sai.

ngha: Trong thc nghim, ta thng gi thit rng d liu ly t tng th c dang phn b xp x chun. Nu gi thit ny c kim chng th c khong 68% s gi tr nm trong khong 1 lch chun so vi tr trung bnh, kho ng 95% s gi tr trong khong hai ln lch chun v kho ng 99.7% nm trong khong 3 ln lch chu n. l "quy lu t 68-95-99.7" ho c quy tc kinh nghim.

Hnh 1.2 : Phn phi chun i vi nhng lch chun khc nhau

Phn din tch mu xanh lam thuc phm vi mt lch chun t tr trung bnh. i vi phn b chun, n chim 68% ton b tng th trong khi phn din tch nm trong kho ng 2 ln lch chun (mu xanh v nu) chim 95% v 3 ln lch chu n (xanh lam, nu, l cy) chim 99.7%.

Kt qu ca h nh trn c tm tt trong bng sau :

lch chun T -1 n 1 T -2 n 2 T -2,6 n 2,6 Xc sut 68 % 95 % 99 %

Chng ta cp n hai khi nim c bn trong thng k hc l hip phng sai v h s tng quan nn ta s tm hiu sau y c th hnh thnh c cng thc tnh lch chun danh mc nh trn. b. Hip phng sai Trong l thuyt xc sut v th ng k, hip phng sai l o s bin thin cng nhau ca hai bin ngu nhin (phn bit vi phng sai - o mc bin thin ca mt bin). Nu 2 bin c xu hng thay i cng nhau (ngha l, khi mt bin c gi tr cao hn gi tr k vng th bin kia c xu hng cng cao hn gi tr k vng), th hip phng sai gia hai bin ny c gi tr dng. Mt khc, nu mt bin nm trn gi tr k vng cn bin kia c xu hng nm di gi tr k vng, th hip phng sai ca hai bin n y c gi tr m. Trong phn tch danh mc, mt gi tr hip phng sai dng c ngha l t sut sinh li i vi hai khon u t c khuynh hng dch chuyn v cng mt hng so vi mc trung bnh ca chng trong sut mt khon thi gian. Ngc li mt gi tr hip phng sai m ch ra t sut sinh li i vi hai khon u t c khuynh hng dch chuyn v hai hng khc nhau lin quan n mc trung b nh vo tng thi im c th trong mt thi gian. ln ca hip phng sai ph thuc vo phng sai ca nhng chui t sut sinh li c th, cng nh mi quan h gia nhng chui t sut sinh li. Ma trn phng sai Hip phng sai: Ma trn hip phng sai ca tp hp m bin ngu nhin l mt ma trn vung hng (N N), trong cc phn t nm trn ng cho (t tri sang phi, t trn xung di) ln lt l phng sai tng ng ca cc bin n y (ta ch rng Var(X) = Cov(X,X)), trong khi cc ph n t cn li (khng nm trn ng cho) l cc phng sai ca i mt hai bin ngu nhin khc nhau trong tp hp.

 tnh ton phng sai ca mt danh mc gm N c phiu, ta phi s dng ma trn phng sai hip phng sai sau y. Bng 1.1 :Ma trn phng sai hip phng sai cho danh mc gm n chng khon CK 1 CK 1 CK 2 CK 3 ... CK n X12 12 X2Y1C2,1 X3Y1C3,1 ... XnY1Cn,1 CK 2 X1Y2C1,2 X22 22 X3Y2C3,2 ... X5Y2C5,2 CK 3 X1Y3C1,3 X2Y3C3,3 X32 32 ... X5Y3C5,3 ... ... ... ... ... ... CK n X1YnC1,n X2YnC2,n X3YnC3,n ... Xn2 n2

Trong : X, Y l t sut sinh li ca nhng chng khon. Nh ng ct nm dc theo ng cho cha phng sai (Xi2 i2) v nhng hp cn li cha ng hip phng sai (XiYjCi,j) c. H s tng quan Hip phng sai b nh hng bi tnh bin thin ca hai chui t sut sinh li ring l. V vy, mt con s hip phng sai th hin mi quan h khng ng nu nh hai chui t sut sinh li khng n nh nhng li phn nh mi quan h bn vng nu hai chui n y n nh. Nn h s tng quan l s chun ha c lng ca hip phng sai, theo , nhng chui t sut sinh li ring l c tnh theo cng thc nh sau:

XY
Trong : XY X Y

Cov XY XY

h s tng quan ca nhng t sut sinh li lch chun ca ti sn X lch chun ca ti sn Y

Chun ha hip phng sai bi nhng lch chun ring l s mang li h s tng quan (XY), thay i trong khong t -1 n +1. Gi tr +1 nhn mnh mi quan h

xc nh gia hai chui t sut sinh li c ngha l cc chui t sut sinh li tng quan xc nh hon ton vi nhau, v gi tr -1 l t sut sinh li thay i theo hng ho n ton ngc li. Mt gi tr 0 c ngha l t sut sinh li khng c mi quan h tuyn tnh tng quan c lp, trong thng k c ngha l khng c tng quan vi nhau. H s tng quan thng c s dng tnh ton mc tng quan ca mt danh m c so vi danh mc th trng. i vi nh u t th ng s ri ro ln, con s n y cc k quan trng trong vic m phng danh mc ca h so vi danh mc c chn l benchmark (thng l danh mc th trng) tt nh th no, n u h s tng quan ca danh mc so vi danh mc benchmark thp th mc tiu u t ca h khng thnh cng.

Trn th gii c rt nhiu phng php v tri qua thi gian, h ng dng nhng phng php gim thiu ri ro cho danh mc ca mnh nh m to c mt t su t sinh li mong i vi ri ro l th p nht. Tuy nhin, chng ta nh rng: phng nga ri ro ho n ho ch l trong hoang tng. Bt k nh u t no cng tha nhn mt thc t l phi chp nhn mt s ri ro pht sinh k c nhng nh giao d ch trn th trng ti chnh. Mc d vy, vic phng nga ri ro trong tng lai i vi danh mc ca nh u t thng hn ch do h khng c nhiu s la chn trong v th mnh nm gi nh l nhng nh giao d ch. iu c th to bt li cho vic qun tr ri ro ca h. D vy, nh u t cng c kh nng hiu bit tt hn v mc ri ro m h phi gnh chu v kh nng xy ra nhng khon l tim n nu h chu ng dng mt k thut gi l gi tr c ri ro VaR (Value at Risk)

1.2 Lch s hnh thnh VaR Khi nim Gi tr ti ri ro VaR c ngun gc t lnh vc bo him. Sau , n c du nhp vo th trng ti chnh M nh ngn h ng Bankers Trust trong nhng nm 1980 ca th k ny. Tuy nhin, ngi c cng ln nht trong trong vic thc tin ha khi nim VaR li l ngn hng thng mi JPMorgan ca M vo nhng nm 1994. Ngun gc h nh thnh nn nh ng c s khoa hc u tin v VaR xut pht t nhng bo co v hot ng trn th trng ti chnh ca JPMorgan m ngi ch tch lc Dennis Weatherstones yu cu cc chuyn vin ca m nh phi thc hin hng

ngy. ng Weatherstones mun c c mt ci nhn tng qut v ri ro ca tng v th khc nhau m JPMorgan ang thc hin. Ngoi ra, vic s dng VaR cn c khuyn khch bi Nhm Ba Mi vo nm 1993 tp hp nhng nh ch ti chnh ln trn th gii nhm kim sot ri ro ca tng thnh vin. Tht ra, vic tnh ton ri ro th trng d n tr n n ph bin cc ngn hng trong nhiu nm trc v 2 nguyn nhn: Th nht, kt qu kinh doanh ca h ngy cng b nh hng nhiu bi nhng hot ng trn th trng ti chnh; th hai, nhiu v th trn th trng, v d nh v th khi u t vo sn phm phi sinh, c th gy nguy him cho s pht trin lu d i v bn vng ca h. Vo nm 1994, JPMorgan cho ra i h thng RiskMetrics v chia s n vi tt c mi ngi trn th gii hon ton min ph thng qua trang web www.riskmetrics.com . Sau mt thi gian hot ng, RiskMetrics st nhp vo Reuters mt tp on mnh v thng tin ti chnh cho ra i mt n v chuyn cung cp c s d liu v ti chnh v cc phng php cn thit tnh ton VaR cho danh mc u t. Nhng cng ty ti chnh v nhng doanh nghip khc cng c th s dng dch v ny tnh ton VaR theo RiskMetrics hoc thu thp s liu qun tr ri ro cho ring mnh. Tuy nhng c s khoa hc u tin v VaR c hnh thnh t mi trng ngn hng, song s pht trin ca VaR li c thng hoa thng qua vic s dng VaR ca cc nh ch ti chnh chuyn nghip (qu u t, cng ty ti chnh) qun tr ri ro cho ho t ng u t ca h. 1.3 Khi nim VaR VaR l mt phng php o lng khon l tim nng cho mt cng ty, mt qu, mt danh mc, mt giao dch, hay mt chin lc ti chnh. N thng th hin bng phn trm hay bng n v tin. Bt k ti v th no c th gy ra l cng l mc tiu tnh bng phng php o lng VaR. VaR thng c dng nhiu o lng mc l trong ri ro th trng, nhng n cng c th c dng o lng ri ro tn dng v mt s loi ri ro khc. Chng ta hiu rng VaR l mt cch o lng ri ro da trn xc sut ca kh nng l gii hn. nh ngha ny l rt chung chung. Tuy nhin, nu ni mt cch r rng hn, gi tr c ri ro l m t c lng ca mc l (s tin ti thiu b l) m chng ta k vng vt qu vi mt xc sut cho sn trong mt thi k c th no .

Hnh 1.3 : Minh ha VaR trong phn phi TSSL danh m c

Ta xem xt v d sau v VaR ca mt danh mc u t: VaR ca 1 danh mc l 1.5 triu USD cho mt ngy vi xc sut l 0.05. Din t li bng mt cch khc: c 5% kh nng m danh mc s mt t nht 1.5 triu USD trong mt ngy, ngh a l trn thc t 1.5 triu USD l mc thp nht b l. Vi mt s quan tm ng k, c th din t VaR vi ngha xc sut ln nht xy ra: vi xc sut 95% khon l khng vt qu 1.5 triu USD ni trong mt ngy. Cch hiu ny c bit n nhiu trong thc h nh v VaR thng qua vic s dng mc tin cy: nh v d va ri, chng ta c th ni rng vi tin cy 95%, VaR cho 1 danh mc l 1.5 triu USD cho mt ngy (t c th suy ra 95% VaR ca 1 ngy). Chng ta thch th hin VaR nh l mt khon l nh nht vi mt xc sut cho sn. Cch tip cn ny kh thn trng, v n nh c chng ta nh rng khon l c th rt xu.

1.4 S khc nhau gia VaR v lch chun i vi nhng ngi quan tm n l thuyt danh mc hin i th lch chun c xem nh l mt phng php ng dng thng k o lng ri ro danh mc. lch chun o lng bin dao ng ca gi tr danh mc tng thi im so vi gi tr trung b nh. Cng ging nh VaR, lch chun a ra nhng thng tin v xc sut v ln ca kho n l. Nhng ngc li vi VaR, n da trn gi nh rng li nhun v khon l l hai m t ngc ca nhau: mt khon l tr gi 1 triu USD cng c cng xc sut xy ra nh mt khon li nhun 1 triu USD v tng t nh th cho bt k mt kho n tin bng bao nhiu. Nu gi nh n y khng h c vn g vi nhng ti sn thng thng th li pht sinh rc ri i vi nhng sn phm phi sinh, nh quyn chn chng hn. Khi mua 1 quyn chn mua (call option) ngha l chng ta s c kh nng hng mt li nhun

v tn trong khi khon l th li c gii hn phn ph option. Ngc li, khi bn mt quyn chn mua, tc l ta chp nhn mt khon l c kh nng l v h n trong khi ch c hng li nhun hu hn l ph thu c do bn option. Mt khc, vi kt qu lch chun, ta ch mi c c mt con s nh tnh (%) v ri ro. Trong khi vi kt qu VaR tm c, ta c th thu c nhng kt lun nh tnh (%) v c nh lng (s tin b l) v ri ro. Cui cng, lch chun quan tm n c bin ng c li (li) v b t li (l) trong khi VaR ch tp trung vo bin ng ca khon l.

1.5 Ba thng s nh hng n VaR danh mc Mc d VaR tr th nh m t tiu chu n nh gi thng dng cho doanh nghip, nhng n c th c thc hin vi nhiu hnh thc khc nhau, v xy dng mt cch o lng VaR thch hp i hi ngi s dng phi quyt nh rt nhiu trong cu trc tnh ton. Ba thng s quan trng nht l phi ly c mt tin cy, xc nh kho ng thi gian o lng VaR, v chn mt cch tip cn xc nh m hnh ha phn b li l. - Mc tin cy Xc sut c chn thng thng l 0.05 ho c 0.01 (tng ng vi 95% hay 99% mc tin cy). S dng mc 0.01 dn n mt s c lng VaR kh thn trng, v n nh ra con s m ti mc ni ng l ra ch c 1 % xc sut b l th s xu hn l mc VaR tnh. y l s nh i, tuy nhin, c phi c lng ri ro VaR s ln hn ti mc xc su t 0.01 so vi ti mc xc sut 0.05? Trong v d trn, chng ta c th tuyn b rng VaR l 2.1 triu USD cho mt ngy ti xc sut 0.01. Nh qun tr ri ro chn mc xc sut 0.01 hay 0.05 ? Khng c mt quy lut nht nh no c th kt lun rng nn chn m c xc sut ny thay v mc kia. i vi danh mc, vi c im ri ro tp trung ln, hai mc xc sut ny s cung cp thng tin chnh xc cn thit. Tuy nhin, ng phn phi li l c th bao gm chi tit thng tin cho danh mc c ri ro phn tn v trong trng hp ny nh qun tr c th cn phi chn mt tin cy cao hn.

- Khong thi gian o lng Quyt nh quan trng th hai i vi ngi s dng VaR l chn c khong thi gian. VaR thng o lng trn mt ngy, nhng khc l l kho ng thi gian di thng thng dng hn. Cc nh ch ngn hng thch chu k thi gian 2 tun. Nhiu cng ty bo co VaR theo qu v nm thch hp vi chu k bo co hot ng kinh doanh. Ngn hng u t, cc qu u c, v nhng nh giao dch (dealer) c v thch o ln g VaR theo ngy, c l v v th ca h c mc lun chuyn vn cao. Bt k khong thi gian no c chn, nu thi gian cng di, con s VaR s cng ln v trng s ca mc l mong i thay i trc tip vi thi gian di m n o lng. Mt c nhn hay mt t chc chu trch nhip qun tr ri ro s chn khong thi gian ring. - n v tin t Gi tr ti ri ro l mt phng php a ra mt ci nhn tng th v ri ro thng qua xc sut v c nhng tnh ton nh lng. Ni cch khc, VaR l mt s o lng bng tin v ri ro. Nh vy, vic la chn n v tin t l rt quan trng tr li cho cu hi: S tin m ti c th b l trong mt khong thi gian l bao nhiu?. Nhn xt: Mt khi mi thng s c nh ra, chng ta hon ton c kh nng tnh ton c lng VaR. Tin trnh ny ch cn lin quan n s la chn v k thut. tng ng sau vic tnh ton VaR l xc nh c im phn phi xc su t ca t sut sinh li danh mc. Xt mt v d c a ra trong bng bn di, din t mt phn phi xc sut n gin cho thu nhp ca mt danh mc trong mt khong thi gian nht nh. Gi s chng ta chng ta cn VaR ti xc sut 0.05. Chng ta c l s tng xc sut cho kho ng cch d liu cho n khi t n mt mc xc sut tch lu l 0.05. Quan st cho thy vi xc sut l 0.01 th danh mc s b l t nht l 40%, 0.01 xc sut danh mc s l vo khong 30-40%, v 0.03 xc su t danh mc l khong 20 -30%. Vy, ti xc sut 0.05 th danh mc s l t nht 20%. Bi v chng ta mun th hin cch o lng ri ro bng tin, sau ta s nhn 20% vi gi tr th trng ca vn u t ban u tnh c VaR. VaR ti xc sut 0.01 s l 40% nhn vi tng gi tr vn u t. T mt mc tin cy, ta c tnh vi 99% rng danh mc ca chng ta s mt khng qu 40% gi tr ca n trong mt thi k nht nh.

Bng 1.2: Minh ha v phn phi xc sut ca t sut sinh li ca mt DM

Thay i trong T sut li l Nh hn 40% 40% n 30% 30% n 20% 20% n 10% 10% n 5% 5% n 2.5% 2.5% n 0% 0% n 2.5% 2.5% n 5% 5% n 10% 10% n 20% 20% n 30% 30% n 40% Ln hn 40% Xc sut 0.010 0.010 0.030 0.050 0.1 0.125 0.175 0.175 0.125 0.100 0.050 0.030 0.010 0.010 1.000

Minh ha trn cho thy mt v d n gin ca nhng thng tin cn thit tnh VaR. Phng thc tnh VaR ny kh n ng n, v thng tin th khng phi lun d dng c c. Cc cng ty ti chnh hin nay pht trin mt tp hp 3 phng thc chu n tnh VaR, l: phng php phn tch hay cn gi l phng php phng sai-hip phng sai, phng php lch s v phng php m phng Monte Carlo.

2. BA PHNG PHP TNH VaR 2.1 Phng php phn tch hay phng php phng sai hip phng sai Phng php phn tch hay phng php phng sai-hip phng sai bt u vi gi nh t sut sinh li ca danh mc c phn phi chun. Nh li nhng kin thc hc v qun tr danh mc l hm phn phi chun c biu hin bng gi tr k vng v lch chun. Ni v phn phi chun chun ha (standard normal distribution), l mt trng hp c bit ca phn phi chun vi gi tr trung bnh (gi tr k vng) bng 0 v lch chu n bng 1. Ta c th chuyn nhng d liu thng thng t phn phi ri rc thnh mt gi tr chun bng cch ly d liu TSSL, tr gi tr k vng(gi tr trung bnh), v chia cho kt qu ca lch chun. Kt qu c c tr thnh phn phi chu n chun ha. Vi phn phi chun, 5% kh nng mt cc kt qu gn nh nh

hn -1.65. Nh vy, tnh 5% VaR ca mt danh mc (tc l VaR t i xc sut 5%), ta c th c lng TSSL k vng v tr (-) 1.65 ln lch chun c tnh. Vy, cha kha s dng phng php phn tch (hay phng php phng sai- hip phng sai) l tnh ton TSSL k vng v lch chun. Kh o st v d sau y: Gi s danh mc c 2 ti sn, vi 75% tin u t vo mt ti sn th hin bng ch s S&P 500 v 25% u t vo ch s NASDAQ. Nh li rng TSSL k vng danh mc l trung bnh c trng s ca TSSL ca nhng ti sn v c phiu lin quan. Phng sai danh mc c th thu c mt cch n gin l phng trnh b c 2 ca phng sai v hip phng sai ca ti sn hay c phiu lin quan. V d, gi s rng
S v N ln lt l t sut sinh li k vng ca S&P 500 v NASDAQ; S v N l
2 lch chun, l tng quan gia 2 loi ti sn. TSSL, P , v phng sai P , th ta c:

P wS S w N N
2 2 2 2 2 P wS S wN N 2 wS wN S N

Trong w ln lt l t trng ca mi loi ti sn trong danh mc. lch chu n danh m c l cn bc 2 ca phng sai danh mc. Minh ha sau y cung cp nhng c tnh ca gi tr k vng danh mc v lch chun s dng s liu thc, ta c c P bng 0.135 v P = 0.244 V d 1.1: c lng TSSL k vng v lch chun ca mt danh mc bao gm hai loi ti sn
S&P 500 T trng u t (w) TSSL k v ng (/nm) lch chu n 0.20 Tng quan 0.9 0.40 75% 0.12 NASDAQ 25% 0.18 Danh mc 100% 0.12*75% + 0.18*25% = 0.135
2 2 2 2 2 P wS S wN N 2 wS wN S N

= 0.244

Lu rng v d cung cp trn l n gin ha, lin quan n ch 2 ti sn, v v vy ch c 2 phng sai v 1 hip phng sai. Nu nh vy, vic tnh ton phng sai danh mc c th gii quyt c. Tuy nhin, khi nhng thng s trong danh mc

tng ln, nhng th nh phn tnh ton m rng ra rt nhiu v phng trnh nhanh chng tr nn kh khn. iu quan trng nh rng thu c phng sai v hip phng sai danh mc ca cc sn phm ti chnh phc tp, tt c chng ta cn l mi quan h gia phng sai v hip phng sai, kt hp vi kh nng tnh ton mi tng quan bc 2. Nu chng ta h i lng vi phn phi chun v s chnh xc ca nhng c tnh ca ta v TSSL, phng sai, hip phng sai, th chng ta c th t tin s dng c lng bng phng php phn tch tnh VaR bng cng thc chung: Ly li minh ha trn cc c lng VaR ca danh mc ny sau y.

* p ) VaR = Vp * ( p - * p )
V d 1.2 : VaR theo nm ca mt danh mc vi TSSL k vng 0.135 v lch chun 0.244 Vi nhng d kin trn, VaR5% = 0.135 1.65 * 0.244 = - 0.268 VaR c th hin u tin bi TSSL trn danh mc. Vi mt TSSL k vng l 0.135, ta dch chuyn 1.65 lch chun theo trc x v hng gim dn TSSL. Mi lch chun l 0.244. Chng ta c 0.135 1.65(0.244) = 0.268. Ti im ny VaR th hin mt khon l l 26.8%. Ta c th ni rng c 5% xc sut danh m c s b l t nht 26.8% trong mt nm. VaR thng din t bng tin trong danh mc. Trong trng hp ny, nu danh mc c gi tr 50 triu USD, chng ta c VaR l 50triu $ (0.268) = 13.4triu $. - Nu chng ta tnh VaR theo ngy, ta phi iu chnh nh sau: TSSL k vng thnh gi tr trung b nh theo ngy l 0.135/250 = 0.00054 lch chun theo ngy l
0.244 250 0.01543 , da trn tnh ton trong 250 ngy giao

VaR = ( p -

dch trong 1 nm v s c lp trong thng k gia cc ngy. VaR theo ngy b ng 0.00054 1.65(0.01543) = - 0.0249. Tnh theo con s tuyt i theo $ th VaR theo ngy l 50triu $ (0.0249) = 1.245triu $. i vi 1% VaR, VaR theo nm s l:

VaR1% = 0.135 2.33 * 0.244 = - 0.434 Chng ta d ch chuyn 2.33 lch chun theo chiu hng TSSL thp dn. -0.434 tng ng vi s tin l: 50triu$(0.434) = 21.7triu$. Tng t, VaR theo ngy s l: 0.00054 2.33(0.01543) = -0.035 hay 50 triu$ * (0.035) = 1.75triu$ Mt s phng php tnh VaR s dng phng php phn tch gi nh gi tr k vng bng zero. Gi nh ny thng s dng do n v thi gian 1 ngy l thi k dng s dng tnh VaR v TSSL hng ngy thng rt nh hay gn vi zero. Bi v TSSL k vng thng l s dng trong gii hn thi gian di, chuyn th nh phn phi bng cch gi nh gi tr k vng bng zero s ra kt qu l mt khon l ln, theo VaR c tnh s ln hn. V vy, s iu chnh nh ny cho ta mt kt qu kh ln v trnh c vn v c lng TSSL k vng, mt cng vic hi cc kh hn l vic tnh ton nhng thay i gi tr. Mt li ch khc ca iu chnh ny l n lm cho vic iu chnh VaR d hn trong kho ng thi gian khc nhau. V d, nu VaR theo ngy c tnh l 100,000$, VaR theo nm s l 100,000$ * 250 = 1,581,139. Cch chuyn i n gin t VaR ngn hn sang VaR di hn (hay cn gi l phng thc tri ngc) khng phi quan tm nu nh TSSL trung bnh khng phi l zero. Trong trng hp , ta s phi chuyn TSSL trung bnh v lch chun trong nhng khong thi gian khc nhau v tnh ton VaR t gi tr trung bnh iu chnh v lch chun iu chnh. Thun li v kh khn: Thun li ca phng php phn tch trc ht l s n gin ca n. Bt li u tin ca n cng da trn s n gin , bao gm c vic phn phi chu n TSSL. V nguyn tc, khng c l do no ti sao vic tnh ton cn mt phn phi chun, nhng nu chng ta khng s dng gi nh phn phi chun, th khng th da vo phng sai nh mt cch tnh ca ri ro. Nhng phn phi c th lch khi chun thng thng bi v skewness v kurtosis. Sknewness l thc o ca lch trong phn phi t hnh dng cn i ho n ho (phn phi chun c skewness bng zero). Mt phn phi c skewness dng th th hin c im l s c nhiu khon l nh v mt vi nhng li nhun ln rt nhiu v c ng th hin di v pha phi. Mt phn phi c skewness m th th hin nhiu nhng khong thu li nh v mt t

nhng khong l cc ln v n c mt ng ko i v pha tri. Khi mt phn phi lch v pha m hay dng, phng php phng sai-hip phng sai khng cn chnh xc na. Thm na, nhiu phn phi xc sut c kho st c mt con s ln bt thng bi nhng s kin c bit. iu ny th hin trong thng k b ng mt thc o leptokurtosis nhng thng c gi l phn phi tp trung nhiu phn ui (fat tail). Th trng vn, v d, c khuynh hng c thm nhiu nhng gim st thng xuyn hn so vi phn phi chun d on. Nh vy, s dng mt cch tnh chun c lng VaR danh mc trong trng hp ny (fat tails-trng hp phn phi tp trung nhiu v pha phn ui) c th khng ng s tht v to nhiu khon l ln. VaR s v vy tht bi trong vic xc nh ci g ang d in ra: o lng ri ro lin quan n nhng khon l ln. Mt vn lin quan l bn trn ca phng php phn tch ny l s chp nhn vic phn phi chun TSSL danh mc v khng h c mt quyn chn. Nhng phn phi TSSL ca quyn chn danh mc thng khng phi l mt phn phi chun. Nh rng mt phn phi chun khng c gii hn trn v di. Quyn chn mua khng c gii hn trn, cng nh phn phi chun, nhng phn di b gii hn bi mt gi tr c nh (ph quyn chn) v phn b ca TSSL quyn chn mua th c skewness cao. Quyn chn bn c mt gii hn trn rt ln v mt gii hn di l ph quyn chn bn, v phn b ca TSSL quyn chn bn cng c skewness cao. Cng mt c tnh nh vy, quyn chn mua v quyn chn bn bo v c phn b m skewness rt ln v hng ny hay hng khc. Nh vy, khi danh mc bao gm quyn chn, vic chp nhn phn phi chun c lng VaR a ra mt vn kh quan trng. Mt gii php thng thng l c tnh s thay i ca gi quyn chn s dng delta. Gi delta l mi quan h tuyn tnh gia mt gi quyn chn v gi ca ti sn c s (ngha l Delta = Thay i trong gi quyn chn/thay i trong gi ti sn c s). Mi quan h tuyn tnh ca delta l mt c tnh n gin hn khi iu chnh vi phn ph i chun. V vy, cc bin phn phi chu n ngu nhin tn ti phn phi chun khi mt bin nhn vi 1 hng s. Trong trng hp ny th h ng s l delta. S thay i trong gi quyn chn c gi nh l bng vi li s thay i trong gi tr ti sn c s nhn vi delta. Ci th thut ny chuyn i phn phi chun ca TSSL trn ti sn c s thnh phn phi chun cho TSSL ca quyn chn. Cng ging nh l, vic s dng delta c lng nhy cm ca gi quyn chn cho vic tnh VaR. Tt c nhng vic ny s dn n mt th gi l phng php phn tch (hay l phng php phng sai hip phng sai) phng php chun Delta. Tuy nhin, vic s dng delta ch ph hp cho s

thay i nh trong ti sn c s. thay th th mt s ngi s dng phng php chu n delta s cng thm hiu ng ny, c b sung bng iu chnh gamma. Tht khng may l, nhng hiu ng mc cao hn c cng vo th mi quan h gia gi quyn chn v gi ca ti sn c s s xp x bng mi quan h phn tn (ko tuyn tnh). V im ny th s dng phn phi chun hon ton khng ph hp. V vy cho n n s dng phng php phn tch s gp kh khn nu nh mt danh mc tn ti nhiu quyn chn hoc l nhng cng c ti chnh khc khng theo phn phi chu n. Thm na, n thng gp kh khn hay khng th ph hp vi c lng n (single second-order estimate) m c hai u chnh xc v ph h p i vi m hnh tnh VaR theo ph ng sai/ lch chun.

2.2 Phng php lch s Mt phng thc khc tnh VaR thng s dng l phng php lch s. S dng VaR lch s, ta c th tnh ton TSSL ca danh mc s dng d liu gi qu kh hng ngy trong mt khong thi gian ngi s dng xc nh, cc thng tin ny c biu din di hnh thc biu . T , ta s d dng tnh khon l vt qu vi xc sut 0.05 (hay 0.01, nu thch). Phng php lch s i khi cng c gi l phng php m phng lch s. Thut ng ny hi gy ra s lm ln bi v cch tip cn khng lin quan n mt m phng ca TSSL qu kh nhng hn th n l m t thc t trong qu kh. Trong ng ngha ny, lu rng danh mc m mt nh u t c th nm gi trong qu kh c l khng ging v th ca h trong tng lai. Khi s dng phng php lch s, ta phi lun nh rng mc ch ca thc hin ny l p t s thay i ca gi lch s vo danh mc hin ti. Thm na, nhng cng c nh tri phiu hay nhiu nhng cng c phi sinh c x rt khc trong nhng khon thi gian khc nhau trong i sng ca n, v b t c s tnh ton VaR theo phng php lch s no ph i a iu ny vo trong vic tnh ton bng cch iu chnh bin s tri phiu hin ti/gi sn phm phi sinh m phng cho c im hin ti trong thi gian phn tch. V d, kt qu tnh ton VaR lch s vo trong mt nm ca danh mc bao gm tri phiu o hn vo nm 2027 nn s dng ti thi im hin ti thay v tri phiu ang o hn vo nm 2026 l nhng bin i din; nhng tri phiu ny l nhng i din chnh xc nht th hin r tnh trng ri ro danh mc hin ti bi v n s t th hin mt nm trc vo cng thi im. Khi mt cng ty s dng mt tng nhng danh mc khc nhau tnh ton VaR lch s hn l chnh n th hin trong qu kh th c th s thch hp hn l gi phng php ny l mt m phng lch s.

V d 1.3 S dng phng php lch s tnh VaR n gin, gi s mt danh mc c duy nht 1 chng khon ca cng ty IBM. Bng sau th hin 40 TSSL h ng thng trong vng 20 nm, sp xp theo th t gim dn.
Chng khon IBM: Bng TSSL thng
-0.17867 -0.17505 -0.17296 -0.16440 -0.10655 -0.09535 -0.09348 -0.08236 -0.08065 -0.07779 -0.07237 -0.07234 -0.07220 -0.07126 -0.07064 -0.06966 -0.06465 -0.06266 -0.06204 -0.05304 -0.05031 -0.04889 -0.04697 -0.04439 -0.04420 -0.04173 -0.04096 -0.03633 -0.03626 -0.03464 -0.03372 -0.02951 -0.02905 -0.02840 -0.02584 -0.02508 -0.02270 -0.02163 -0.02115 -0.01976

Gi s gi tr danh mc l $100,000. S dng phng php lch s tnh ton: Trng hp 1: Tnh ton VaR thng vi xc sut 5% Trng hp 2: Tnh ton VaR thng vi xc sut 1% Gii php: u tin, ta bit rng trong sut 20 nm tn ti 240 TSSL theo thng. (20*12=240) Trng hp 1: 5% trng hp xu nht trong 240 TSSL cho ta kt qu xu nht ti t su t sinh li th 12 ( 5% * 240 = 12 ). Nh vy, trong bng trn, ta c TSSL ti th t th 12 l 0.07234. VaR trong thng ca danh mc ti xc sut 5% l : - 0.07234 * 100,000 USD = - 7,234 USD Trng hp 2: Tng t nh vy, 1% xu nht ng vi kt qu TSSL th 2.4 (1%*240 = 2.4). Ta c th ly t sut sinh li gn nht l ti th t th 2 trong bng l -0.17505.

 VaR trong thng ca danh mc ti 1% l: -0.17505*100,000 USD = 17,505 USD C mt cch tnh chnh xc hn na l ta c th ly trung bnh TSSL TSSL th t 2 ( -0.17505 ) v TSSL th t 3 ( -0.17296 ) c kt qu VaR l: ( -0.17505 + -0.17296 ) / 2 * 100,000 USD = - 17,401 USD

Thun li v hn ch: Phng php lch s c thun li l khng c tham s (ngha l bao gm c chp nhn phn phi xc sut nh nht), gip cho ngi dng trnh c tt c nhng gi nh v loi phn phi xc sut phn b TSSL. Tuy nhin, b t li l phng php ny da ho n ton vo s kin trong qu kh, v bt k phn phi no chim u th trong qu kh s khng nh hng n tng lai. c bit, thi k ca nhng TSSL bt thng m kh ln nh ch s cng nghip trung bnh Dow Jone vo ngy 19/10/1987 gim 23% ni trong mt ngy s kh c th lm thng tin nh gi c tng lai. Vn ny cng nh hng ln nhng phng php o lng ri ro khc, bao gm c phng php phn tch v m phng Monte Carlo, c hai b nh hng t d liu u vo, thng xuyn hay khng thng xuyn, t gi qu kh lin quan ca nhng chng khon trong danh mc.

2.3 Phng php m phng Monte Carlo Phng php th 3 c gii thiu tnh VaR l phng php m phng Monte Carlo. V tng qut, m phng Monte Carlo a ra nhng kt qu ngu nhin nn ta c th kim tra ci g xy ra s to loi ri ro nh th no. Phng php ny c s dng rng ri c trong nhiu ngnh khoa hc cng nh trong kinh doanh pht hin ra nhiu nhng vn khc nhau. Trong th gii ti chnh nhng nm gn y, y tr thnh mt k thut cc k quan trng o lng ri ro. Monte Carlo a ra nhiu kt qu ngu nhin nh vo nhng phn phi xc sut c gi nh v mt lot nhng bin s u vo. Chng ta theo phn tch nhng kt qu tm ra ri ro lin quan vi nhng s kin. Khi nh gi VaR, ta dng m phng Monte Carlo a ra nhng TSSL danh mc mt cch ngu nhin. Sau tng hp nhng TSSL ny thnh mt tm tt bng phn phi t chng ta c th xc nh ti mc di

5% (hay 1%, n u thch hp) ca nhng kt qu TSSL xut hin. Tip ta th hin bng gi tr ca danh mc t c kt qu VaR. M phng Monte Carlo s dng mt phn phi xc sut cho mi bin s ca li sut v mt k thut a ra nhng kt qu ngu nhin da vo tng loi phn phi. Mc tiu ca chng ta c c s hiu bit c bn v k thut v lm sao s dng n. Nh vy, ta minh ha n khng cn phi gii thch di dng lm sao c c nhng gi tr ngu nhin . Gi s ta ly li v d v danh mc tr gi 50triu $ c 2 loi ti sn : 75% l S&P500 v 25% l NASDAQ. Chng ta gi nh, nh c rng danh mc ny nn c mt TSSL k vng hng nm l 13.5% v lch chun l 24.4%. Chng ta s s dng m phng Monte Carlo vi phn phi chun tnh ton cng vi nhng d liu trn. Nh rng trong thc hnh, mt thun li ca phng php m phng ny l n khng yu cu mt phn phi chun, nhng phn phi chun th thng c s dng v chng ta s gi iu kin d dng minh ha hn. Chng ta s dng con s ngu nhin to ra mt lot nhng gi tr ngu nhin, m sau bin i th nh nhng kt qu ca phn phi chun i din cho 1 t sut sinh li danh mc trn mt nm. Gi s gi tr u tin a ra mt TSSL l -21.87%. T l ny ph hp vi gi tr 39.07$ gi tr danh mc trong 1 nm. TSSL ngu nhin th 2 l -4.79%, tng ng vi gi tr danh mc l 47.61triu $. Gi tr ngu nhin th 3 l 31.38%, to ra gi tr danh mc l 65.69 triu $. Chng ta tip tc quy trnh ny vi s ln ln, c l l vi ngn hay vi triu. c th minh ha vi mt khi lng xc nh c, chng ta s dng 300 con s. Lu rng k c khi chng ta s dng mt phn phi chun cho nhng d liu ny, kt qu phn phi cng khng hon ton l chu n. ng nhin, ta nn ngc nhin nu n l mt phn phi cc chun v vi ch 300 i lng ngu nhin, th ch l mt mu kh nh. Trong m phng Monte Carlo, ngi dng c th gi nh bt k mc phn phi xc su t n o m h thy thch hp. Trong nhiu ng dng thc t, gi nh v phn phi chu n ca TSSL khng cn ng na. c bit, i vi nhiu dealer v sn phm phi sinh, vn qun tr ri ro ca nhng cng c ny c bao gm bi nhiu yu t vi nhng tham s ngu nhin c th nh hng gi tr ca v th tng hp. Nhng tham s ny thng khng phn phi chun, v hn na, chng thng tc ng qua li vi nhau theo nhng cch phc tp. M phng Monte Carlo thng ch mang ngh a to ra nhng thng tin cn thit phng nga ri ro. Vi s lng hn mi

ngn giao dch trn s ca hu ht cc dealer, m phng Monte Carlo l phng php i hi tnh ton bng my tnh nhiu nht.

KT LUN: Phn u ca ti ny cp n nhng kin thc c bn v cc phng php c lng VaR. Theo ta thy VaR rt c ch cho nh qu n tr ri ro cng nh vic tnh ton ri ro v nh ng ng dng khc. Phn chng tip theo s tip cn n VaR mt cch c th trong vic ng dng trong vic tnh ton ri ro ca danh mc bao gm nhng chng khon trn th trng.

Chng II NG DNG VAR TRONG QUN TR RI RO DANH MC CC C PHIU NIM YT

1. GII THIU V DANH MC 1.1 Cc tiu chun chn la 10 c phiu Chng ti da trn 6 tiu chu n sau la chn 10 loi c phiu cho danh mc ca m nh. Chng bao gm: + S khc nhau v quy m vn ho: m bo s cn bng trong mc vn ho ca tng loi c phiu trong danh mc, chng ti chn va c phiu blue-chip (GMD, SAM, STB) va nhng c phiu c mc vn ho trung bnh (AGF, BBC, DMC, HBC, PGC, PNC, SGH) cho danh mc ca mnh. + Nhng c phiu c la chn u nim yt trn S Giao Dch Chng Khon TP.H Ch Minh (HOSE) bi v trong qu trnh lp m hnh, chng ti cn s dng ch s VN-Index ca sn HOSE tnh ton. + S a dng cc nhm ngnh : m bo tnh a dng cho danh mc nhm hn ch bt ri ro, chng ti chn la nhng c phiu t cc ngnh timm nng hin nay : ngn hng, nng lng-vin thng, xy dng, y t v ngnh hng tiu dng. + Tiu chu n v thi gian : Cc c phiu phi c nim yt v giao dch trn sn trc ngy 2 thng 1 nm 2007 c th thu thp chui s liu trong mt nm lm c s tnh ton. + Nhng kt lun rt ra t phn tch tim nng ngnh. + Nhng kt qu rt ra t phn tch tim nng ca cng ty. Chng ti hiu l vic la chn mi ch 10 c phiu cho danh mc th tnh i din th trng s cha cao. Tuy nhin, do hn ch v thi gian ca chuyn , chng ti cng ch xin nghin cu trn mt mu nh c la chn k cng v do vy, tnh i din cng c th chp nhn c.

1.2 Danh sch 10 loi c phiu cu thnh nn danh mc Danh mc m chng ti xy dng bao gm 10 c phiu trong s 156 cng ty trn sn HOSE hin nay v thuc nhng nhm ngnh khc nhau. Danh sch 10 c phiu c trnh by trong b ng di y : Bng 2.1: Danh sch 10 c phiu c chn trong danh mc
STT 1 2 3 4 5 6 7 8 9 10 Cng ty CTCP Xut Nhp khu thy sn An Giang CTCP Bnh ko Bin Ha CTCP Xut nhp khu y t Domesco CTCP i l Lin Hip Vn Chuyn -Gemadept CTCP Xy Dng v Kinh Doanh a c Ha Bnh CTCP Gas Petrolimex Cng ty c phn Vn ha Phng Nam Cng ty c phn Cp v Vt liu Vin Thng CTCP Khch sn Si Gn Ngn hng Thng mi c phn Si Gn Thng Tn M CK AGF BBC DMC GMD HBC PGC PNC SAM SGH STB Ngy nim yt 26-4-2002 17-12-2001 25-12-2006 18-4-2002 27-12-2006 24-11-2006 11-7-2005 18-7-2000 13-7-2001 12-7-2006

1.3 T trng ca tng c phiu trong danh mc Gi nh rng ti ngy 2/1/2007 danh mc gm 1000 c phiu cho mi m chng khon ca 10 cng ty. Vy, tng gi tr ca danh mc ti thi im 2/1/2007 l 868,000,000 ng. Vy, t trng ca tng loi c phiu trong danh mc ti ngy 2/1/2007 l:
AGF BBC DMC GMD HBC PGC PNC SAM SGH STB

0.1267 0.0472 0.1521 0.1567 0.1077 0.0685 0.0271 0.1705 0.0611 0.0824

Cng gi nh rng chng ti ang qun l cho mt qu u t (dng qu m). Do vy, phi lun duy tr m t lng tin mt ti thiu bng 5% tng gi tr danh mc

c th mua li chng ch qu khi khch h ng yu cu. Vy, lng tin mt cn duy tr l : 5% * 868,000,000 VND = 43,400,000 ng Vi khon tin ny, ngoi vic mua li chng ch qu nh phn tch trn, chng ta cn c th mua thm c phiu ca 10 cng ty trong nhng trng hp pht hnh thm vi gi u i. Tuy nhin, qun tr ri ro cho danh mc, chng ti s gi t trng tng loi c phiu trong danh mc trong khong t 0% n 20% tng gi tr danh mc. Nu t trng cc c phiu vt qu khong cho php ny, chng ti s bn bt loi c phiu m bo s cn bng v ri ro cho danh mc. Sau mt nm, t trng cc c phiu trong danh mc ti ngy 28/12/2007 (sau khi thc hin quyn mua mt s c phiu vi gi u i ) l :
AGF BBC DMC GMD HBC PGC PNC SAM SGH STB

0.0799 0.0899 0.1504 0.1067 0.1440 0.0501 0.0346 0.1319 0.1011 0.1114

Mt s nhn xt : + T trng tng loi c phiu vn nm trong khong cho php [0,20%]. + C phiu DMC gi mt t trng ln trong danh mc (15.04%) cn PNC l c phiu c t trng khim tn nht trong danh mc (3.46%). + Mc vn ho th trng ti thi im 28/12/2007 l 1,246,440,000 ng. (S gai tng trong gi tr danh mc so vi thi im u nm l do s tng gi ca mt s c phiu v s tng khi lng c phiu trong danh mc khi thc hin quyn mua thm vi gi u i)

2. MT S BC CHUN B 2.1 Thu thp chui s liu gi ca 10 c phiu trong danh mc Bng 2.2 Gi ca 10 c phiu

2.2 iu chnh gi c phiu trong ngy giao dch khng hng quyn. Trong sut mt nm giao dch, c nhng cng ty thc hin vic chia c tc cho c ng hoc pht hnh thm c phiu ... di dng tin mt hoc c phiu c gi u i cho c ng hin hu. Tt c nhng s kin trn nh hng mt cch trc tip n gi ca c phiu trn sn ti ngy giao d ch khng hng quyn. iu ny dn n mt s bin ng mnh trong gi c phiu, vt qu mc +-5% (+-5% l bin dao ng gi ln nht c quy nh bi U Ban Chng khon Nh nc). H qu theo sau l nhng sai lch trong tnh ton t sut sinh li hng ngy ca tng loi c phiu, gy nh hng n kt qu phn tch. Vi tt c nhng l do ni trn, chng ta cn phi iu chnh gi c phiu ti ngy giao dch khng hng quyn. V d 2.1 : Trng hp ca c phiu PGC i vi trng hp ca c phiu PGC, chng ta c nhng thng tin nh sau : Ngy giao d ch khn hng quyn : 9/2/2007 Pht hnh thm 5 triu c phiu ph thng cho c ng hin hu vi t l 4 :1. Gi pht hnh l 33,500 ng. S lng c phiu c : 20,000,000 c phiu Gi c phiu PGC ti ngy 8/2/2007 : 72,000 ng Gi c phiu PGC ti ngy giao d ch khng hng quyn : 61,000 ng

Bng 2.3 : Trng hp c phiu PGC

Nu chng ta khng iu chnh gi, t sut sinh li vo ngy 9/2 s l : Ln ( 61,000 / 72,000 ) = - 16.57% >> - 5% Do vy, chng ta phi thc hin vic iu chnh gi trong n gy giao dch khng hng quyn. Gi c phiu PGC sau khi iu chnh l :
61,000 * (5,000,000 20,000,000) 33,500 * 5,000,000 67,875 ng 20,000,000

T sut sinh li ti ngy 9/2/2007 l : Ln ( 67,875 / 72,000 ) = - 5.9 % = => chp nhn c. T sut sinh li ti ngy 12/2/2007 l : Ln ( 64,000 / 61,000 ) = 4.8 % = => chp nhn c. Bng 2.4 : T sut sinh li ca 10 c phiu

2.3 Tnh ton nhng ch s cn thit T sut sinh li trung bnh

Trc ht, chng ta cn tnh ton t sut sinh li h ng ngy ca mi c phiu da vo gi ng ca ca chng bng cch s dng hm s ln(numbers ) (ghp li lin tc). tnh t sut sinh li trung b nh ca mi c phiu, ta s dng hm s sau: TSSLTB =
247

ln

P 247 P1

Vi P247 l gi c phiu vo ngy 28/12/2007 P1 l gi c phiu vo ngy 2/1/2007

Bng 2.5 : Tnh ton mt s ch s cn thit

Phng sai v hip phng sai :

Bng cch s dng hm VAR (number 1, number 2, ...) ca Excel, chng ta c th d dng tm c phng sai ca tng c phiu. Sau , ta s ly cn bc hai ca kt qu phng sai c c lch chun. Ngoi ra, ta cn c th suy thng lch chun t cng thc STDEV ( number 1, number 2, ... ) trong Excel.

3. TNH VAR DANH MC BNG PHNG PHP PHNG SAI-HIP PHNG SAI V PHNG PHP LCH S 3.1 Tnh VaR danh mc bng phng php phng sai hip phng sai Theo cng thc tnh VaR, ta nhn thy rng cn phi c t sut sinh li trung b nh cng nh lch chun mi c th tnh VaR ca danh mc.

VaR = Vp * ( p - * p )
u tin, chng ta cn xy dng ma trn phng sai hip phng sai. Bng 2.6 : Ma trn phng sai-hip phng sai

Sau chng ta s tnh ton t sut sinh li trung bnh, lch chun bng cch s dng mt s cng c ca Excel theo hng dn sau : Bng 2.7 : Kt qu VaR ca danh mc

Vi mc vn ha ca danh mc ti ngy 28/12/2007 l 1,246,440,000 ng, chng ta c th a ra khon l tim nng ca danh mc nh trong bng sau : Bng 2.8 : So snh k t qu
tin cy 5% 1% VaR Theo Nm Theo Ngy -0.2100 -0.0263 -0.3854 -0.0374 S tin d on b l Theo Nm Theo Ngy -261,786,712 -32,763,092 -480,374,241 -46,671,483

ngha : Chng ta xc nh ngay t u rng VaR l mt cch o lng khon l tim nng ca nhng cng c ti chnh trong mt khong thi gian xc nh. Vy, bng kt qu trn y cho ta nhng thng tin sau : VaR ca danh mc bng 32,763,092 ng trong 1 ngy vi xc sut 5% . iu ny c ngha l xc su t danh mc ny chu mt khon l 32,763,092 ng trong 1 ngy l 5%. Tng t nh vy, VaR ca danh mc bng 480,374,241 ng trong 1 nm vi xc sut 1% . iu ny c ngha l xc sut danh mc ny chu mt khon l 480,374,241 ng trong 1 nm l 1%.

3.2 Tnh VaR ca danh mc bng phng php lch s Trc tin, chng ta cn xc nh gi tr ca danh mc trong mi ngy giao d ch bng cch nhn gi v s lng mi loi c phiu vi nhau, sau tnh tng ca 10 kt qu ca 10 loi c phiu. Sau khi thc hin xong bc ny, chng ta s tnh ton t sut sinh li h ng ngy ca danh mc tng t nh vic tnh ton cho tng c phiu. tnh gi tr VaR theo phng php lch s, chng ta cn sp xp chui gi tr sut sinh li hng ngy ca danh mc theo th t t nh nht n ln nht.

Bng 2.9 : Sp xp TSSL hng ngy ca danh mc

Chng ta nhn thy rng, 5% ca nhng trng hp xu nht trong s 247 t sut sinh li ngy cho mt kt qu bng ( 5% * 247 = 12.35 ). Nh vy, gi tr VaR theo phng php lch s phi l gi tr trung bnh ca TSSL th 12 (-2.58%) v TSSL th 13 ( -2.52% ) trong bng trn. Nh vy, gi tr VaR ngy ca danh mc vi xc sut 5% l : ( -2.58% + -2.52% ) / 2 * 1,246,440,000 VND = - 31,771,166 VND Tng t vi mc xc sut 1%. Chng ta nhn thy rng, 1% ca nhng trng hp xu nht trong s 247 t sut sinh li ngy cho mt kt qu bng ( 1% * 247 = 2.47 ). Nh vy, gi tr VaR theo phng php lch s phi l gi tr trung bnh ca TSSL th 2 (-4.32%) v TSSL th 3 ( -3.69% ) trong bng trn. Nh vy, gi tr VaR ngy ca danh mc vi xc sut 1% l : ( -4.32% + -3.69% ) / 2 * 1,246,440,000 VND = - 49,880,823 VND

Bng 2.10 : Khon l tim nng ca danh mc

Nhn xt : T kt qu VaR v khon l tim nng ca danh mc c tnh bng hai phng php : phng sai-hip phng sai v phng php lch s, chng ta rt ra c mt s kt lun sau : Hai phng php cho 2 kt qu VaR gn nh l bng nhau. Kt qu VaR vi mc xc sut ln hn s nh hn v ngc li. Bng 2.11: So snh cc k t qu
So snh VaR theo ngy ca DANH MC Phng php VAR-COVAR 5% 1% -0.02629 -0.03744 Phng php lch s -0.02549 -0.04002

So snh khon l ( VND ) theo ngy ca DANH MC Phng php VAR-COVAR 5% 1% -32,763,092 -46,671,483 Phng php lch s -31,771,166 -49,880,823

4. TNH VAR CA CH S VN-INDEX BNG PHNG PHP PHNG SAI-HIP PHNG SAI V PHNG PHP LCH S 4.1 Tnh VaR ca danh mc bng phng php phng sai-hip phng sai tnh VaR ca ch s VN-Index, chng ta cng cn phi thu thp chui s liu v tinh ton cc ch s cn thit nh khi tnh VaR cho danh mc.

Bng 2.12 Chui s liu VN-Index

VaR theo phng php phng sai-hip phng sai ca ch s VN-Index vn c xc nh theo cng thc :

VaR = Vp * ( p - * p )
Sau y l cc bc xc nh VaR ngy ca ch s VN-Index : Bng 2.13 : VaR ngy v VaR nm ca ch s VN-Index

Sau khi thc hin vic tnh ton, ta rt ra c bng kt qu sau : Bng 2.14 : So snh VaR cc mc xc sut khc nhau ca VN-Index
Phng php Var-Covar Xc sut -0.0274 -0.0391 VaR Theo ngy 5% 1% Theo nm -0.1946 -0.3780

Nhn xt : Vi mc xc sut 95%, kt qu VaR nm gp 7 ln VaR ngy. Vi mc xc sut 99%, kt qu VaR nm gp 9 ln VaR ngy. Trong cng mt khong thi gian xc nh, nu mc xc sut cng cao th VaR cng ln v ngc li.

Nu ta xem VN-Index nh mt danh mc i din th trng (danh mc benchmark ) th t kt qu VaR ca ch s VN-Index, chng ta c th suy ra khon l tim nng ca danh mc (gi tr ca danh mc ti ngy 28/12/2007 l 1,246,440,000 ng). Vic gi nh VN-Index l danh mc benchmark rt c ngha i vi qu th ng v loi qu ny thng qun l danh mc ca mnh da vo mt danh mc chun v khng cho php danh mc bin ng qu nhiu so vi danh mc chun ny. Bng 2.15 : Khon l tim nng ca danh mc suy ra t VaR ca VN-Index
tin cy 5% 1% Theo Nm -0.2214 -0.4048 VaR Theo Ngy -0.0275 -0.0392 S tin d on b l Theo Nm Theo Ngy -276,005,837 -34,277,359 -504,618,766 -48,823,651

Nh n xt : Khon l tim nng c suy ra t VaR ca danh mc v VN-Index khng c s khc nhau ln. Bng 2.16 : Khon l tim nng rt ra t VaR danh mc v VaR ch s VN-Index
Phng php Var-Covar Kh nng b l Theo nm Danh mc 5% 1% -261,786,712 -480,374,241 VN-Index -242,542,973 -471,155,902 Theo ngy Danh mc -32,763,092 -46,671,483 VN-Index -34,167,743 -48,714,035

 gii thch cho hin tng n y, chng ta s tnh h s tng quan gia VN-Index v danh mc bng hm Correl(array 1, array 2) trong Excel. Kt qu h s tng quan l 0.8743. iu ny c ngha l 87.43% s bin ng ca danh mc c gii thch bng s bin ng ca VN-Index. Ch c 12.57% s bin ng ca danh mc c gii thch bng ri ro phi h thng ca cc chng khon thnh phn. 4.2 Tnh VaR ca ch s VN-Index bng phng php lch s tnh ton VaR ca VN-Index theo phng php lch s, trc ht ta cn sp xp chui s liu VN-Index theo th t tng dn. Bng 2.17: Kt qu VaR ca VN-Index bng phng php lch s

Chng ta nhn thy rng, 5% ca nhng trng hp xu nht trong s 247 t sut sinh li ngy cho mt kt qu bng ( 5% * 247 = 12.35 ). Nh vy, gi tr VaR theo phng php lch s phi l gi tr trung bnh ca TSSL th 12 (-2.75%) v TSSL th 13 ( -2.65% ) trong bng trn. Nh vy, gi tr VaR ngy ca danh mc vi xc sut 5% l : ( -2.75% + -2.65% ) / 2 = - 2.70 % Tng t vi mc xc sut 1%. 1% ca nhng trng hp xu nht trong s 247 t su t sinh li ngy cho mt kt qu bng ( 1% * 247 = 2.47 ). Nh vy, gi tr VaR theo phng php lch s phi l gi tr trung bnh ca TSSL th 12 (-3.99%) v TSSL th 13 ( -3.97% ) trong bng trn.

Nh vy, gi tr VaR ngy ca danh mc vi xc sut 5% l : ( -3.99% + -3.97% ) / 2 = - 3.98 % Bng 2.18 : Kt qu VaR t hai phng php khc nhau
Theo ngy Xc sut 5% 1% PHNG PHP Var-Covar -0.0274 -0.0391 Lch s -0.0270 -0.0398

T nhng kt qu VaR ca ch s VN-Index c c lng t hai phng php khc nhau, chng ta rt ra m t s kt lun sau: Hai phng php vn cho nhng kt qu VaR tng t nhau. Kt qu VaR c mc xc sut cao hn s ln hn v ngc li. Bng 2.19 : So snh kt qu VaR ca danh mc v VN-Index
PHNG PHP VAR-COVAR (theo ngy) i vi VN-Index i vi danh mc Var 5% 1% -0.0275 Khon l (34,277,359) VaR -0.02629 Khon l (32,763,092)

-0.0392 (48,823,651) -0.03744 (46,671,483) PHNG PHP LCH S (theo ngy) i vi VN-Index Var Khon l (33,614,825) (49,618,879) i vi danh mc VaR -0.02549 -0.04002 Khon l (31,771,166) (49,880,823)

5% 1%

-0.02697 -0.03981

5. BACKTESTING 5.1 S cn thit phi lm backtesting Mc ch ca backtesting l chc chn rng kt qu xy ra trong thc t khng vt qu kho n l tim nng VaR (khng vi phm kt qu VaR) v tn s vi phm ch tng ng vi mt mc xc sut c xc nh trc. V d , mt khon l ln hn hoc bng VaR1% khng th xy ra qu 3 ln/nm. Nu n xy ra qu thng xuyn, chng ta cn phi t cu hi v tnh chnh xc ca m

hnh s dng; nu n xy ra qu t (nh hn 3 ln/nm) c ngha l kt qu tnh ton cng iu ha ri ro. V tt c nhng l do trn, chng ta cn thc hin backtesting i vi kt qu VaR tm c. 5.2 Thc hin backtesting Kim tra kh nng nh gi qu cao nh gi qu thp ca kt qu Thay v thu thp s liu v TSSL ca VN-Index t ngy 2/1/2007, chng ta s thu thp s liu k t ngy 1/3/2007 n 29/2/2008, tc l trong 249 phin giao dch. Sau thc hin li cc bc tnh VaR ca VN-Index vi chui s liu mi. Bng 2.20: Chui s liu VN-Index k t ngy 1/3/2007 n 29/2/2008

Nhn xt : i vi phng php lch s

+ Vi mc xc sut 99%, chng ta nhn thy rng c 6 ngy giao dch (>3) m TSSL nhng ngy ny u m nhiu hn so vi VaR 2/1/2007-28/12/2007 ( -0.03908 ). iu n y c ngh a l VaR 2/1/2007-28/12/2007 b nh gi thp.

+ Vi mc xc sut 95%, chng ta nhn thy rng c 20 ngy giao dch (>13) m TSSL nhng ngy ny u m nhiu hn so vi VaR 2/1/2007-28/12/2007 ( -0.02741 ). iu n y c ngha l VaR 2/1/2007-28/12/2007 b nh gi thp. Vy, li thm mt dn chng na cho thy vic backtesting l cn thit. So snh kt qu VaR c tnh trong 2 khong thi gian khc nhau Bng 2.21 : So snh VaR trong 2 khong thi gian khc nhau
PHNG PHP PHNG SAI - HIP PHNG SAI
T 2/1/2007 n 28/12/2007 T 1/3/2007 n 29/2/2008

5% 1%

-0.02750 -0.03917

-34,277,359 -48,823,651

-0.03149 -0.04322

-39,246,242 -53,873,856

PHNG PHP LCH S

T 2/1/2007 n 28/12/2007 T 1/3/2007 n 29/2/2008

5% 1%

-0.02697 -0.03981

-33,614,825 -49,618,879

-0.03232 -0.04329

-40,287,458 -53,955,835

+ Vi c hai mc xc sut, VaR tnh trong giai on t 2/1/2007 n 28/12/2007 lun nh hn VaR tnh trong giai on 1/3/2007 n 29/2/2008. iu ny chng t VaR 2/1/2007-28/12/2007 b nh gi thp, ngha l ta nh gi thp ri ro trong nm 2008. + Th trng chng khon nm 2008 s ri ro nhiu hn nm 2007. Do vy, nh qu n tr danh mc cn ch c bit ti danh mc ca h c hng ti cu trc danh mc kp thi (thay i t trng cc c phiu, thay i loi chng khon trong danh mc .. )

Kt lun : Chng ta ph i lun nh rng VaR ch l mt c lng v khon l tim nng ca danh mc trong mt khong thi gian xc nh, do , cn phi kt hp VaR vi backtesting hay stress testing kp thi kim sot ri ro danh mc.

CHNG III KIN NGH TRONG VIC S DNG VaR QUN TR RI RO DANH MC
1. NGH A CA GI TR TI RI RO VaR VaR l khon l tim nng trong mt khon thi gian vi mc xc sut xc nh trc. T nhng thng tin v VaR, cc nh qun l danh mc c th a ra nhng quyt nh quan trng v kp thi i vi danh mc ca h. Vi khon l tim nng c c lng theo VaR, nh u t c th xc nh gii hn l (stop-lost) cho ring mnh. Nu khon l ca h dn tin n gi tr stop-lost th tt hn ht l h nn ng v th ca m nh bo ton vn. VaR c ng dng t rt sm trong lnh vc ngn hng nh l mt trong nhng k thut qun tr ri ro ngn hng. Khi xc nh c khon l tim nng cho mi v th, nhng nh qun tr ri ro ngn hng c th a ra quyt nh ph hp cho mt khon d phng. VaR khng ch o lng ri ro cho mt danh mc nhng ti sn ti chnh m cn c th c ng dng o lng ri ro cho d n u t. V d, khi p dng k thut VaR, chng ta c th a ra cu tr li cho mt s cu hi sau : + Kho n l tim nng ca NPV d n l bao nhiu ? (tm NPV trong nhiu tnh hung ri tnh VaR ca chui NPV ng vi mi tnh hung). + NPV ca d n s b m vi mt xc sut bng bao nhiu ? Nh ng cu tr li ny s c th tr thnh mt nhn t quan trng a ra quyt nh chp nhn hay khng mt d n b n cnh nhng k thut c in nh NPV, IRR ...

VaR tnh c khon l r rng trong mt k n v c th cho nh qu n tr hiu mt cch d dng. Khung chnh sch ch n VaR nh l mt cch o lng ri ro, v m t s yu cu rng cc nh ch phi a n vo trong b ng bo co ca h. M, y ban chng khan v ngo i hi yu cu nhng cng ty kinh doanh i chng phi bo co cch h qun tr ri ro ti chnh. VaR l mt trong nhng phng php c chp nhn cng b thng tin.

Mt li ch khc ca VaR l tnh ng dng rng ri ca n. Nhiu cng ty s dng VaR nh l mt thc o vn ti ri ro ca h. H s c tnh VaR km vi mt mc ch c th nh l cho dy chuyn ri ro, qun tr ti sn c nhn, mt cng ty con hay mt chi nhnh. Sau , h nh gi tnh hnh ho t ng, a vo trong vic c tnh ri ro vi hot ng tnh ton ri ro. Trong mt vi trng hp, cng ty m rng vn da vo VaR. V d, mt qu hoa hng c th quyt nh mt VaR tng th hp l ca n v thng bo cho tng nh qun tr ti sn rng n c th tnh ton ra VaR m khng qu mt con s c th no . Mc tiu ca nh qu n tr l lm sao to c TSSL cao nht c a ra bi VaR cho php. Cng vic ny c bit n nh l hoch nh ri ro.

2. NHNG H N CH CA VaR Mc d VaR tr nn mt tiu chun ph bin ca vic kim sot ri ro nhng n vn khng c s dng rng ri. VaR c th rt kh c lng, v c nhng phng php c lng khc nhau vi nhng kt qu tnh ton khc nhau. VaR cng c th a ngi ta n mt cm nhn sai lm trong vic bo v c a ra bi nhng n tng m ri ro c tnh ton v ngoi tm kim sot. VaR thng ngo i kh nng tnh ton c trong mt mu ln v tn s ca nhng TSSL thp, mc d vn ny thng gy ra b i nhiu tham s trong phng trnh v m hnh. Nh chng ta th o lun sau ny, VaR cho tng v th ring bit khng thng ging nh cch n gin ca VaR danh mc. Du vy, VaR tht bi trong vic kt hp kt qu d on vo ri ro v nh vy, VaR cung cp mt hnh nh khng han chnh v ri ro tng th. Ngi s dng VaR nn thng xuyn kim tra h thng quyt nh khi no VaR c th c lng chnh xc cho nhng kt qu d bo trong khong thi gian. V d, nu VaR theo ngy ti xc sut 0.05 c c lng l 1triu $, vy trong sut mt kho ng thi gian hp l, v d 1 nm, th khon l t nht l 1triu $ vt qu trong kho ng thi gian l 250*(0.05) =12.5 ngy. Nu tn sut l bng hay cao hn khong chnh lch trn th trng th m hnh khng hon thnh c mc tiu ca n. Qu trnh so snh nhng bin ng ca con s VaR u vo vi m phng ng bi mc xc sut ngi s dng chn l mt phn ca qu trnh backtesting. iu n y cc k quan trng vt qua c bi tp thc hnh ny, trn nhiu khong thi gian, bo m rng phng php c lng VaR s chnh xc. V d, nu VaR c lng cho nh ng quan st hng ngy v xc sut mc tiu l 0.05, vy thm vo s bo m rng gn mt t nhng bin ng u vo xut hin trong su t nm, th iu cng

hu dng kim tra nhng bin s khc, nh trong khong thi gian ngn hn, bao gm hu ht cc qu hin ti (nht l trong 60 ngy giao dch l, chng ta s mong i 3 VaR ngoi l - gi s nh l khon l c th ln hn mc VaR tnh), v h u ht nhng thng hin ti (20 quan st, bao hm 1 ngo i l VaR). Lu l kt qu n n ti mc thp nht hn l tnh ti mc m rng cao nht. Nu kt qu khc bit nhiu so vi nhng d on ca m h nh th ngi dng lc phi tm ra l do ti sao v iu chnh li cho thch hp. Mt c lng VaR chnh xc c th cng cc k kh xc nh c cho nhng t chc phc hp. Trong mt v d n gin chng ta s dng trc y, VaR c tnh da trn chng khon th trng M. Cho mt ngn hng quc t ln, ri ro c th kh nhiu khc bit trn li su t th trng ni a v quc t, mt khi lng ln t gi hi oi, c l mt s th trng vn, va c mt s th trng hng ha. Mt ngn hng c th c ri ro trn rt nhiu loi. Ch ring tc ng ca nhng ri ro cho mt cch o lng ri ro n c th cng cc k kh xc nh. Tuy nhin, hu ht cc ngn hng ln iu hnh lm vic v ni chung hon thnh c cng vic qun l ri ro ca h.

Tm li, VaR c nhng li ch v bt li ng ch . Tranh lun v phn bc lun vy quanh VaR. Du sao th nu qun tr ri ro dng VaR vi s ch trong hn ch ca n th anh ta s t c nhng thng tin c li v ri ro. K c nu VaR a ra mt o lng khng chnh xc v khon l tim nng, nh qun tr ri ro c th ly sai lm trong vic tnh ton ri ro vo mt mc khi xc nh quyt nh chi tit tng th - ng nhin l kh nng ln ca sai lm c th c tnh ton v iu chnh cho mt vi mc d on v d nh qua backtesting VaR so vi d liu lch s. Vn c nhng tranh lun tn ti, nhng VaR nh l mt cng c c lng ri ro khng th chi b c. V th, phng php VaR khng nn s dng mt mnh. VaR thng i km vi stresstesting, c tho lun trong phn sau. Cng nh l khng c phng php o lng ri ro no c th chnh xc d on ri ro trong tng lai. iu rt quan trng bo m l d liu u vo cho tnh ton VaR ph i ng tin cy v lin quan ti vic u t hin ti.

3. STRESSTESTING 3.1 Ti sao phi stress test Stress test c thc hin c lng nhng khon l trong giai on th trng bt n. Phn tch lch s ca th trng cho thy nhng t sut sinh li tp trung phn ui ca phn phi (fat tails) m khi nhng bin ng ca th trng xy ra vt qua khi mc phn phi chun cho php (vi tin cy 99%). Mc d hin nay b phn qun tr ti chnh pht trin rt tt, tuy nhin nhng s kin nh thin tai, chin tranh, bt n chnh tr vn nh hng rt ln n nhng d bo ca nh qu n tr. V vy, stress test thng c dng bi nhng nh qun tr v cc nh ch ti chnh. Stress test tm ra kh nng (xc sut) xu nht m VaR c th c tnh trong giai on c bit. Stress testing kt hp vi VaR cho ta hiu r hn bc tranh ri ro. Tp on Chase Manhattan Corporation s dng 2 cng c tnh ton ri ro l VaR v stress testing, VaR c s dng o ri ro th trng hng ngy, trong khi stress testing o lng ri ro th trng giai on bt b nh thng. Vic s dng c hai cng c nh trn bo m cho vic tnh ri ro c tnh a dng ha, chnh xc v linh ng hn, bao gm ht nhng kh nng ca thu nhp trong sut thi gian bin ng ca th trng giai on bnh thng, nhng cng th hin c nhng giai on xu nht. Hnh 3.1: M phng kt qu cn stress test theo th phn phi

Stress test gii quyt c hai cu hi nh sau: Ti s b l bao nhiu khi th trng gp giai on kh khn, v d nh thi k khng hong tn dng M ? S kin no c th l nguyn nhn gy ra khon l ln hn mc d kin?

c th ng dng Stress test thnh cng th ta phi to ra v s dng c nhng tnh hung ph hp vi tin trnh ra quyt nh ca nh qun tr. Nhng mc trong stress test phi c tho lun gia nh qun l ri ro, qun tr doanh nghip, v nhng nhn vin x l ri ro. Cng ging nh mt cch a ra gii hn ca VaR, cng ty s phi c mt lot nhng mc hn ch l da trn nh ng tnh hung trong stress test. Stress test ph i th hin c nhng mc trn din vi m, v m v c chin lc ri ro. Mt stress test hiu qu phi bao h m tt c nhng ri ro v lm cho b c tranh ri ro hin r hn. iu th hin trong nhng tiu ch sau: Phi lin quan n v th hin ti Bao gm nhng thay i trong tt c cc TSSL th trng Kim tra c kh nng bin i Bao gm kh nng mt tnh thanh khon Ri ro tn dng

Stress test c thng c s dng ? Cc nh ch ti chnh ln hay thc hin stress test trong khong mt tun hoc thm ch hng ngy. Kt qu stress test c bit c ng dng trong nhng thi k bin ng mnh trn th trng hoc nhng nh hng ca tnh hnh chnh tr hay nhng s kin kinh t quan trng. Nhng stress test khng nn s dng nhiu v c th gy ra tm l bi quan v ri ro.

4.2 Nhng bc thc hin stress test Bc 1: Nhng kch bn chung Hu ht nhng mc trong stress test c d on c t kch bn xu nht lin quan n v th ca danh mc. Cc kch bn t ra nhng tnh hung lin quan n

s dao ng ca nhng ti sn ring l v s tng tc gia cc ti sn trong danh mc. Bc 2: nh gi li danh mc Tnh ton li nhng ch tiu ri ro ti chnh ca danh mc vi nhng ch s ca kch bn xu nht ra. Kt qu stress test thay i trong gi tr hin ti, khng phi l VaR. Bc 3: Kt qu tng hp Mt bng tng hp tm tt kt qu s a ra nhng mc k vng ca khon l (hay li) c cp nht cho tng kch bn stress test v nhng khu vc m kho n l c ch .

4. MT S LU KHI S DNG VaR 4.1 i vi nh u t c nhn Trc ht, gi tr ti ri ro l mt phng php ph hp vi nh u t c nhn lng ha ri ro danh mc ca h. d dng p dng phng php ny, chng ta cn ch mt s im sau : Thu th p s liu v t sut sinh li tht y v chnh xc (mu cng ln th nhng kt lun v VaR cng c ngha). Cn thn vi nhng php tnh t sut sinh li v n l mt thnh phn rt quan trng trong qu trnh tnh VaR. Theo di thng bo v vic chi tr c tc, pht hnh thm c phiu vi gi u i ca cc cng ty nim yt thc hin quyn v thc hin iu chnh gi vo ngy khng hng quyn. Kt hp gi tr VaR tnh c vi kt qu Backtesting kt lun ng v mc ri ro ca danh mc.

4.2 i vi qu u t Ngoi ra, VaR cn l mt phng php qun tr ri ro c bit ph h p vi nhng qu u t. V sau y l mt s lu dnh cho nh qu n l qu (bn cnh nhng lu dnh cho nh u t c nhn).

Thu thp s liu v t sut sinh li tht y v chnh xc. C th tnh TSSL theo ngy, thng, nm ... v thc hin so snh kt qu VaR tnh ton c rt ra nhng kt lun c gi tr (trch d phng ph hp vi k hoch ti chnh ca qu trong tng giai on c th). Th v c gng tnh VaR theo phng php m phng Monte Carlo v so snh kt qu vi gi tr tnh c t hai phng php ph thng trnh by. Kt hp gi tr VaR tm c vi kt qu Backtesting c c mt s d bo ban u v ri ro ca ti sn trong tng lai. Thc hin Stress-test tnh VaR ca danh mc trong nhng tnh hung xu nht.

Xy d ng mt gii hn dao ng ca danh mc qun l ri ro ca n (thng thng gii hn ny l khng qu 2% mi nm).

Chng ta s tnh ton hiu s gia TSSL hng ngy ca danh mc v ca VNIndex. Sau tnh lch chun ca nhng hiu ny.

nm = ngy *
Nu

247

nm <2% s bin ng ca danh mc l c th chp nhn c.

Nu khng, chng ta phi c cu li cu trc ca danh mc duy tr ri ro trong mt gii hn cho php. Vi s liu v danh mc v v VN-Index trong khun kh ti, chng ta c c :

nm = 0.0110642 1.1% < 2%

Vy, s bin ng ca danh mc v d trong nm 2007 l c th chp nhn c.

4.3 Lu khi s dng gi nh phn phi chun Mt lu quan trng khc l trong 3 phng php tnh VaR chng ta kho st th phng php phng sai - hip phng sai da trn gi nh phn phi chun, vi nhng ngi s dng phng php ny th c nhng lu nh sau:

V gi nh v lut phn phi chun:

Phn phi chun l dng phn phi i xng theo hnh qu chung. iu th v y l ph n ln nhng hin tng trong t nhin li c xu hng tin dn v phn phi chu n khi chng ta quan st trn mt mu ln. V d, phn phi tui th hot ng ca mt dy tc bng n cng c dng chun. Khi mt phn phi c gi l chun th gi tr trung bnh cng, trung v v s mode u bng nhau. Hnh 3.2: Phn phi chun

Thng thng, phn phi t sut sinh li ca mt danh mc c gi nh l chu n nhng rt nhiu nhn t ti chnh li s dng phn phi lch s. Mt vn thng gp phi y lin quan n c mu: nu mu qu nh, xc sut xy ra nhng khon l ln khng cn chnh xc; nhng nu mu qu ln th mi tng quan v thi gian ca nhng kt qu s khng cn ngh a. Nh ng nghin cu ca cc chuyn gia thng k chng minh rng lut chun (hay cn c gi vi ci tn lut Gauss) th hin mt cch chnh xc nht s tng quan bin ng gia gi chng khon v t gi. Cch kim tnh chun ca phn phi

V phng php phng sai hip phng sai da trn tnh chun ca phn phi n n khi d liu t sut sinh li kho st vt qu mc gii hn chun th nh th no? Chnh v vy, i vi d liu u vo, ta c cch kim tra tnh chun ca phn phi TSSL danh mc. ng dng chng 2 chy m hnh kim tra phn phi chun bng Jarques Bra, sau y ta tm hiu l thuyt v vic kim tra nh sau:

Phng php kim tra tnh chun ca phn phi kim tra phn phi tin ti lut chun n mc no chng ta c th thc hin nhng bc sau: + Kim tra mc i xng + Kim tra mc tp trung + Test: Jarques Bra Kim tra tnh i xng ca phn phi (h s skewness) Mt trong nhng thc o thng c s dng nht o lng tnh i xng ca phn phi l h s Skewness. Mt phn phi c coi l chun s h s skewness bng 0. Nu cc quan st xoay quanh gi tr trung bnh th h s i xng s bng 0. Nu chng qu tp trung vo nhng gi tr yu (phn m) th h s i xng s dng. Ngc li, nu chng li tp trung vo nh ng gi tr ln (phn dng) th h s i xng s m. Hnh 3.3: Dng ca phn phi h s i xng

Kim tra tnh tp trung ca phn phi (h s kurtosis) Mt trong nhng thc o thng c s dng nht o lng tnh tp trung ca phn phi l h s kurtosis. Mt phn phi c coi l chu n s c h s kurtosis bng 0. H s kurtosis m biu th mt phn phi c qu t quan st tp trung phn ui (tri-ph i) v nh vy, ci chung s kh nhn. H s kurtosis dng biu th mt phn phi c qu nhiu quan st tp trung phn ui, v nh vy, ci chung s kh t.

Hnh 3.4 : Dng ca phn phi h s tp trung

Sau khi c lng hai h s trn, chng ta cn phi thc hin mt qu trnh test nh vi tn gi Jarques-Bra xc nh tnh chun ca phn phi. JB = [N/6]*[S2 + (K 3)2/4] Trong , N : s quan st S : h s skewness (trong Excel s dng cng thc =SKEW(number) K : h s Kurtosis (trong Excel s dng cng thc =KURT(number)

c th hiu r hn v vn n y, chng ta s thc hin mt v d vi VN-Index V d 3.1: Kim tra phn phi ca chui t sut sinh li VN-Index Chng ta c th tm tt chui t sut sinh li ca VN-Index b ng mt bng thng k duy nh t nh sau: Bng 3.1: T sut sinh li ca VN-Index
Bin -0.044683 -0.038945 -0.033207 -0.027469 -0.021732 -0.015994 -0.010256 -0.004518 0.001220 0.006957 0.012695 0.018433 0.024171 0.029909 0.035646 More Tn s 1 2 2 6 9 16 30 24 45 36 21 14 18 4 11 8 247 Xc sut 0.40% 0.81% 0.81% 2.43% 3.64% 6.48% 12.15% 9.72% 18.22% 14.57% 8.50% 5.67% 7.29% 1.62% 4.45% 3.24% 100%

T chui s liu n y, chng ta c th biu din ch s VN-Index di dng th nh sau: Hnh 3.5: Phn phi TSSL ca VN-Index
50 45 40 35 30 25 20 1 5 1 0 5 0

Tn s

th phn phi ca VN-Index

2 3 1 6 0 7 5 re 8 9 2 7 4 6 1 3 46 389 332 274 217 159 102 045 01 2 06 9 12 7 18 4 24 1 29 9 35 6 Mo 4 .0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 TSSL -0 -

th trn cho ta mt ci nhn tng qut v dng ca phn phi TSSL ch s VNIndex. Ta c th nhn thy rng phn phi ny khng hon ton chun m hi tp trung v b bn phi. c th a ra nhng kt lun chnh xc v dng ca phn phi, chng ta cn tnh mt s ch s sau:
SKEWNESS KURTOSIS 0.1680 -0.0690

Sau , thc hin Test: Jarques - Bra Xt 2 gi thit sau: Ho : phn phi TSSL ca VN-Index chun H1 : phn phi TSSL ca VN-Index khng chun Chng ta s bc b gi thit Ho n u JB > 2 v ngc li.

JB = [N/6]*[S2 + (K 3)2/4] JB = [ 247/6 ]*[(0.168)2 + (-0.069)2 /4] = 98 Vi = 5% ta suy ra

2245= 43.77 (Phn phi Chi Bnh Phng xem ph lc)

Vy, JB > 2 Bc b gi thit Ho Hay phn phi TSSL ca VN-Index khng chun.

KT LUN Thng qua th v kt qu Test Jarques-Bra, chng ta c th kt lun rng phn phi TSSL ca VN-Index khng thc s chun. V vy, ta cn thc hin backtesting c c nhng kt lun ngha hn v ri ro ca danh mc.

KT LUN

Vi kt qu nghin cu v VaR trn m t danh mc c th, chng ta c c mt ci nhn tng quan v nhng vn sau : S cn thit phi u t theo danh mc d dng qu n l ri ro, ti a ha li nhu n v ci thin hiu qu ca hot ng u t. Nh ng bc n gin tnh VaR bng hai phng php thng dng. VaR l mt cng c hiu qu qun l ri ro danh mc gm nhng ti sn ti chnh ph hp cho nh u t t chc v c nh u t c nhn. ngha ca kt qu VaR tnh c. S cn thit phi thc hin backtesting mt cch thng xuyn qun l ri ro danh mc mt cch kp thi v hiu qu. Tm li, VaR l m t k thut qun tr ri ro c p dng trong nhiu lnh vc. N khng ch ph hp vi nh u t chuyn nghip m cn c th p dng trong cc doanh nghip va & nh hay cho chnh cc nh u t c nhn qun l ri ro ca ring mnh. Khi ri ro c d bo trc v kim sot, nh u t s khng b sc khi n xy ra ; hot ng sn xut kinh doanh vn din bin b nh thng ngay c khi mi th tr nn b t n ... V cng chnh l mc ch ca vic qun tr ri ro.

PH LC
Ph lc 1: Bng iu chnh gi khi chia c tc ca cc cng ty BBC Ngy khng hng quyn S lng pht hnh Gi pht hnh (VND) C tc (/cp) S lng CP ban u Gi trc khi pht hnh(VND) 1,078,800 8,760,000 52,000 37,440,000 215,000 190,000 223,999 18/4/2007 SAM 14/5/2007 7,487,885 20,000 DMC 30/5/2007 535,000 35,000 1,070,000 10,700,000 118,000 109,000 123,600 STB 7/6/2007 208,941,281 15,000 25,072,954 208,942,028 144,000 78,500 151,420

Gi ti ngy khng hng 48,700 quyn (VND) Gi iu chnh (VND) 54,697

AGF Ngy khng hng quyn S lng pht hnh Gi pht hnh (VND) C tc (/cp) S lng CP ban u Gi trc khi pht hnh(VND) 1,577,516 7,888,086 127,000 8/6/2007

HBC 27/7/2007 1,116,818 20,000 1,023,750 5,639,990 131,000 95,000 127,095

HBC 1/11/2007 1,000,000 20,000 + 10,000,000 135,000 127,000 137,700

PNC 21/8/2007 400,000 10,000 240,000 3,500,000 29,000 26,500 30,203

Gi ti ngy khng hng 109,000 quyn (VND) Gi iu chnh (VND) 130,799

Ph lc 2 M hnh qun tr ri ro ca ANZ

Ph lc 3 : VaR v qun tr ri ro th trng ca Goldman Sachs The following excerpt is from the 2005 Annual Report of Goldman Sachs : VaR is potential loss in value of Goldman Sachs trading positions due to adverse market movements over a defined time horizon with a specified confidence level. For the VaR numbers reported below, a one-day time horizon and a 95% confidence level were used. This means that there is a 1 in 20 chance that daily trading net revenues will fall below the expected daily trading net revenues by an amount at least as large as the reported VaR. Thus, shortfalls from expected trading net revenues on a single day greater than the reported VaR would be anticipated to occur, on average, about once a month. Shortfalls can also accumulate over a longer time horizon such as a number of consecutive trading days. The VaR numbers below are shown separately for interest rate, equity, currency and commodity products, as well as for our overall trading positions. The VaR numbers in each risk category include the underlying product positions and related hedges

that may include position in other product areas. For exampl, the hedge of a foreign exchange forward may include an interest rate futures positions, and the hedge of a long corporate bond position may include a short position in the related equity. The modeling of the risk characteristics of our trading positions involves a number of assumptions and approximations. While management believes that these assumptions and approximations are reasonable, there is no standard methodology for estimating VaR, and different assumptions and/or approximations could produce materially different VaR estimates. We use historical data to estimate our VaR and, to better reflect current asset volatilities, we generally weight historical data to give greater importance to more recent observations. Given its reliance on historical data, VaR is most effective in estimating risk exposures in markets in which there are no sudden fundamental changes or shifts in market conditions. An inherent limitation of VaR is that the distribution of past changes in market risk. Different VaR methodologies and distributional assumptions could produce a materially different VaR. Moreover, VaR calculated for a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or offset with hedges within one day. Changes in VaR between reporting periods are generally due to changes in levels of exposure, volatilities and/or correlations among asset classes. The following tables set forth the daily VaR : Average Daily VaR (1) (in millions) Year Ended November Risk Categories Interest rates Equity prices Currency rates Commodity prices Diversification effect (2) Total 2005 $37 34 17 26 (44) $70 2004 $36 32 20 20 (41) $67 2003 $38 27 18 18 (43) $58

(1) During the second quarter of 2004, we began to exclude from our calculation other debt portfolios that cannot be properly measured in VaR. The effect of excluding these portfolios was not material to prior periods and, accordingly, such periods have not been adjusted. For a further discussion of the market risk associated with these portfolios. (2) Equals the difference between total VaR and the sum of the VaRs for the four risk categories. This effect arises because the four market risk categories are not perfectly correlated.

Our average daily VaR increased to $70 million in 2005 from $67 million in 2004. The increase was primarily due to higher levels of exposure to commodity prices, equity prices and interest rates, partially offset by reduced exposures to currency rates, as well as reduced volatilities, particularly in interest rate and equity assets. Our average daily VaR increased to $67 million in 2004 from $58 million in 2003, primarily due to higher levels of exposure to equity prices, currency rates and commodity prices, partially offset by reduced exposures to interest rates, as well as reduced volatilities, partially in interest rates and equity assets The Annual Report continues with a table giving other information about VaR, including high and low daily values. Source : Goldman Sachs 2005 Annual Report pp.50-52.

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SCH - MAGINN, John L., Donald L. Tuttle, Jerald E. Pinto, Dennis W. McLeavey, 2007, Managing Investment Portfolios. A Dynamic Process, Ed. John Wiley & Sons, 3rd edition, New Jersey, USA, pp (598-613). - Yves Evrard, Bernard Pras, ... (1997) Market. Etudes et Recherches en Marketing , xut bn ln 2, Nathan, Paris. - Robert S Pindyck, Daniel L Rubinfeld (1998) Econometric Models and Economic Forcasts, 4th edition, Mc GrawHill, Singapore. - Wuensch, K. L. (2005) Kurtosis & Skewness. In B.S. Everitt & D.C. Howell (Eds.), Encyclopedia of Statistics in Behavioral Science. Chichester, UK : Wiley. - Christopher C. Finger, (2005) Back to Backtesting , Research Monthly, RiskMetrics Group. - David Harper (2004) Introduction to Value at Risk (part 1&2), Investopedia. - Trn Ngc Th, V Vit Qung (2007) Lp M hnh Ti chnh, xut bn ln 1, Thnh ph H Ch Minh BI BO KHOA HC Tin s H Vit Tin (2006) Th trng chng khon Vit Nam c hiu qu khng? Tp ch Kinh T Pht Trin (S T3/2006) INTERNET - www.riskmetrics.com - http://www.vse.org.vn - http://www.wikipedia.org - http://www.investopedia.com - http://fpts.com.vn