Idoc - VN Bai Giai Cua Bai Tap Quan Tri Rui

Qun tr Ri ro
Th.s Trn Quang Trung 1

DO LUONG RUI RO

Bai 1

Nam 1995 1996 1997 1998 1999 2000 2001 2002
So khieu nai ghi nhan 6 6 6
Dan xep cac khieu nai nam 95 1.2 1.2 1.2 1.2 1.2
a. So khieu nai duoc dan xep 1.2 2.4 3.6 3.6 3.6 2.4 1.2
Suat chiet khau 0.07
Chi ph cho mot khieu nai 15
b1. So tien chi tra moi nam 18 36 54 54 54 36 18
b2. Hien gia ve nam 95 $16.82 $31.44 $44.08 $41.20 $38.50 $23.99 $11.21
Tong hien gia ve nam 95 $207.24

Bai 2
a. Xac xuat de mot ton that duong xay ra
1 - 0,9 = 0,1
b. Xac xuat de ton that hon 1000 xay ra
P(x>1000) = 1 - (0,9 + 0.06 + 0.03) = 0.01
c. Ton that trung bnh
= 0.9*0 + 0.06*500 + 0.03*1000 +.+ 0.001*100000
= 290
d. Neu ton that xay ra, ton that trung bnh se la:290 / 0.1 = 2900
e. Neu ton that xay ra, xac xuat de ton that > =1000 : 0.04 / 0.1 = 0.4
f. Gia su ta khong quan tam den cac su kien co xac suat xay ra duoi 0,002 khi do ta
co dung sai rui ro la 0,002. Dua vao phan phoi cua ton that ta thay MPC tuong ung
la 10000
g. Ty so giua ton that lon nhat duoc uoc luong va ton that trung bnh
10000 / 290 = 34.48
h. Ton that trung bnh cua 10000 kho hang nhu tren la 290*10000 = 2900000
o lech tieu chuan cua tong ton that (cac kho hang co ton that doc lap voi nhau)

T
= 3639.7*10000 = 363970
i. Ton that lon nhat cua 10000 kho hang (gia su ton that co phan phoi chuan va xac
suat toi han van la 0.002)
Ta co
T
= 2900000 va
T
= 363970
MPC = 2900000 + 2.88*363970 = 3947560.46
j. T so giua MPC voi ton that trung bnh trong phan i la
Qun tr Ri ro
3947560.46 / 2900000 = 1.36
Nhu vay so voi t le o cau g ta thay t so o cau g lon hon t so o cau j 25.33 lan
ieu nay cho thay khi chung ta nam giu cang nhieu rui ro doc lap voi nhau th quy
du phong de trang trai cho tong ton that cang gan voi tong ton that trung bnh

Bai 3
a. So anten hong co phan phoi nhi thuc b(n;p)
n = 1,000 va p = 0.1
So anten hong trung bnh: np = 100
Ton that trung bnh do van chuyen: 100*1000$ = 100,000$
b. So anten hong trung bnh: np = 100
o lech chuan: 9.487 0.9 * 0.1 * 1,000 p) np(1 = =
Khoang tin cay 95% cho so anten hong trung bnh khi van chuyen 1,000 anten:
[100 - 1.96*9.487;100 + 1.96*9.487] = [81.41;118.59]
Khoang tin cay 95% cho ton that trung bnh khi van chuyen 1,000 anten:
[81,406$;118,594$]
c. So anten hong trung bnh: np = 10,000
o lech chuan: 94.87 0.9 * 0.1 * 100,000 p) np(1 = =
Khoang tin cay 95% cho so anten hong trung bnh khi van chuyen 100,000
anten:
[10,000 - 1.96*94.87;10,000 + 1.96*94.87] = [9,814.06;10,185.94]
Khoang tin cay 95% cho ton that trung bnh khi van chuyen 100,000 anten
[981,406;10,185,942]
d. Tu bao hiem khi so anten hong nam trong khoang
[a;b] = [np - 0.1np; np + 0.1np] voi xac suat t nhat la 95%
Khi n = 1000, khoang [a;b] = [90;110]
So voi khoang [81.41;118.59], ta thay xac suat de so anten hong nam trong
khoang [90;110] nho hon 95%. Do do quyet dinh mua bao hiem
Khi n = 100,000, khoang [a;b] = [9,000;11,000]
So voi khoang [9,814.06;10,185.94], ta thay xac suat de so anten hong nam
trong khoang [9,000;11,000] lon hon 95%. Do do quyet dinh tu bao hiem
Ranh gioi cua n giua tu bao hiem va mua bao hiem duoc xac dinh tu
phuong trnh
1.96 p) np(1 = 0.1np
1.96 0.09n = 0.01n
0.588 n = 0.01n
Giai phuong trnh tren, ta co n # 3457

e. Tu bao hiem khi so anten hong nam trong khoang
[a;b] = [np - 0.1n; np + 0.1n] = [0;0.2n] voi xac suat t nhat la 95%
Qun tr Ri ro
Khi n = 1000, khoang [a;b] = [0;200]
So voi khoang [81.41;118.59], ta thay xac suat de so anten hong nam trong
khoang [0;200] lon hon 95%. Do do quyet dinh tu bao hiem
Khi n = 100,000, khoang [a;b] = [0;20,000]
So voi khoang [9,814.06;10,185.94], ta thay xac suat de so anten hong nam
trong khoang [0;20,000] lon hon 95%. Do do quyet dinh tu bao hiem
Ranh gioi cua n giua tu bao hiem va mua bao hiem duoc xac dinh tu
phuong trnh
1.96 p) np(1 = 0.1n
1.96 0.09n = 0.1n
0.588 n = 0.1n
Giai phuong trnh tren, ta co n # 35
Ngan sach du phong (MPC) khi van chuyen 1,000 anten:
1,000$*118.59 = 118,590$ voi dung sai rui ro la 2.5%
Ngan sach du phong (MPC) khi van chuyen 100,000 anten:
1,000$*10,185.94 = 10,185,940$ voi dung sai rui ro la 2.5%

Bai 4
So tai nan trong 1 nam cua mot cong nhan co phan phoi Poisson, tham so la m =
0.5 (so tai nan trung bnh trong 1 nam)
a. P(co t nhat 1 tai nan trong 1 nam) = 1 - P(khong co tai nan trong nam)
= 1 -
0!
e m
m 0

= 39.35%
b. Ve phuong dien giai quyet tai nan lao dong, su dung 3 lao dong trong 1 nam
cung giong nhu su dung 1 lao dong trong 3 nam. Duoi day ta xem nhu doanh
nghiep ch su dung 1 lao dong
P(co t nhat 5 tai nan trong 3 nam) = 1 - P(trong 3 nam co toi da la 4 tai nan)
Luc nay tham so m = 1.5 (so tai nan trung bnh trong 3 nam)
Xac suat so tai nan xay ra cho trong bang duoi day

k 0 1 2 3 4
P
k
0.22313 0.335 0.2510214 0.1255 0.047

Tu do ta tnh duoc xac suat can tm la 1.86%
c. Tu bao hiem neu so tai nan nam trong khoang
[0;b] = [0;0.5n + 0.25n] = [0;0.75n] voi xac suat t nhat la 95%
Voi n la so nam quan sat
Dung xap x chuan ta tnh duoc xac suat so tai nan nam trong khoang [0;b] la

Qun tr Ri ro
( ) 0.95
0.5n
0.25n
Z P
0.5n
0.5n b
Z P b X P =

=
Tu do ta co
3 n 1.645
0.5n
0.25n
2 = nam
Neu doanh nghiep su dung 1 lao dong trong 23 nam, hay su dung 23 lao dong
trong nam toi th se quyet dinh tu bao hiem
d. Neu nam toi doanh nghiep du dinh su dung 6 lao dong th
So tai nan lao dong trung bnh la 3
Chi ph trung bnh cho mot tai nan la 30 trieu
Chi ph cho khoa huan luyen la 30 trieu
Do do muc do giam tai nan trong nam toi t nhat la 1, ngha la so tai nan trung
bnh trong mot nam cua mot cong nhan phai giam t nhat la
6
1
5 . 0 *
3
1
= th khoa
huan luyen moi duoc xem la dat hieu qua
e. Ly do

Qun tr Ri ro
UOC LUONG CAC PHAN PHOI TON THAT

Bai 1

Nam
Tong chi
ph ton
that
So ton
that So nhan vien
So ton that
dieu chnh
theo so nhan
vien Ch so gia
Ton that
dieu chnh
theo ch so
gia
1 50,000 5 8,000 9 84 11904.8
2 40,000 1 8,000 2 86 46511.6
3 100,000 6 8,000 11 87 19157.1
4 250,000 9 10,000 13 89 31211.0
5 35,000 6 10,000 8 89 6554.3
6 10,000 1 9,000 2 90 11111.1
7 30,000 10 12,000 12 91 3296.7
8 220,000 12 14,000 12 96 19097.2
9 300,000 6 14,000 6 98 51020.4
10 400,000 10 14,000 10 100 40000.0

Phan phoi cua so ton that
So ton that Diem giua Xac suat
0 --- 4 2 0.2
5 --- 7 6 0.1
8 --- 11 9.5 0.4
12 --- 13 12.5 0.3

Phan phoi cua muc do ton that
Ton that Diem giua Xac suat
0 --- 10,000 5,000 0.2
10,000 --- 13,000 11,500 0.2
13,000 --- 25,000 19,000 0.2
25,000 --- 59,000 42,000 0.4

Qun tr Ri ro
Bai 2

Tan so ton
that
Xac
suat
Muc do ton
that Diem giua
Xac
suat
0 0.5 0 --- 10 5 0.2
1 0.4 10 --- 20 15 0.4
2 0.1 20 --- 30 25 0.4

Phan phoi cua tong ton that co tu mo phong 1,000 lan

Tong ton
that Xac suat
0 0.522
5 0.089
10 0.002
15 0.162
20 0.012
25 0.131
30 0.036
40 0.031
50 0.015

Phan phoi cua tong ton that co tu mo phong 10,000 lan

Tong ton
that Xac suat
0 0.4925
5 0.0801
10 0.0041
15 0.165
20 0.017
25 0.1597
30 0.0328
40 0.0322
50 0.0166

Qun tr Ri ro
Bai 3

Xac suat Tan so ton that / nam
0.5 0
0.4 1
0.1 2
GTTB 0.6

Phan phoi Poisson cua tan so ton that, tham so la 0.6

k 0 1 2 3 4 5 6
P
k
0.548812 0.329287 0.098786 0.019757 0.002964 0.000356 0.000356

Bai 4

1. Tnh gia tri ky vong :
M(L) = P
i
.L
i
M(L) = 0,3 x 0 + 0,3 x 100 + 0,2 x 500 + 0,15 x 1000 + 0,05 x 10000 = 780

2. Tnh do lech chuan :
2
(L) = P
i
.[L
i
- M(L)]
2

Li Pi [L
i
- M(L)]
2
P
i
.[L
i
- M(L)]
2

0
100
500
1000
10000
0,3
0,3
0,2
0,15
0,15
608400
462400
78400
48400
85008400
182520
138720
15680
7260
4250402
4594600

Vay
2
(L) = 4594600
Do do do lech chuan : 2144 5 , 2143 4594600 ) ( ) (
2
= = = L L
Ton that Tan so
0
100
500
1000
10000
0,3
0,3
0,2
0,15
0,15
Qun tr Ri ro

3. Tnh he so lech :
3
3
3
)] ( [
)] ( [
) (
L
L M L P
L
i i

=

Li Pi [L
i
- M(L)]
3
P
i
.[L
i
- M(L)]
3

0
100
500
1000
10000
0,3
0,3
0,2
0,15
0,15
474552000
314432000
21952000
10648000
783777448000
-142365600
- 94329600
- 4390400
1597200
39188872400
38949384000

3.95484
(2143.5)
0 3894938400
(L)
3
3
= =

Qun tr Ri ro
RUI RO KINH DOANH VA RUI RO TAI CHNH

Bai 1

HL
(50%)
LL
(30%)
LL
(60%)
EBIT 4 4 4
Lai 1.2 0.6 1.8
Loi tuc truoc thue 2.8 3.4 2.2
Thue (40%) 1.12 1.36 0.88
Loi tuc thuan 1.68 2.04 1.32
No 10 6 12
Tong tai san 20 20 20
Loi suat tren VCP 0.168 0.146 0.165

Bai 2 (Cong ty DESREUMAUX)

Xac suat 0.2 0.5 0.3
EBIT 4.2 2.8 0.7
Lai 0 0 0
Thue (40%) 1.68 1.12 0.28
Loi tuc thuan 2.52 1.68 0.42
No 0 0 0
Loi suat tren VCP 0.18 0.12 0.03
Loi suat trung bnh tren VCP 0.105
Do lech chuan 0.054
He so bien thien 0.515

Qun tr Ri ro
Xac suat 0.2 0.5 0.3
EBIT 4.2 2.8 0.7
Lai (9%) 0.126 0.126 0.126
Thue (40%) 1.6296 1.0696 0.2296
Loi tuc thuan 2.4444 1.6044 0.3444
No (10%) 1.4 1.4 1.4
Loi suat tren VCP 0.194 0.1273333 0.02733
Do lech chuan 0.0595

Xac suat 0.2 0.5 0.3
EBIT 4.2 2.8 0.7
Lai (11%) 0.77 0.77 0.77
Loi tuc truoc thue 3.43 2.03 -0.07
Thue (40%) 1.372 0.812 -0.028
Loi tuc thuan 2.058 1.218 -0.042
No (50%) 7 7 7
Loi suat tren VCP 0.294 0.174 -0.006
Do lech chuan 0.108

Xac suat 0.2 0.5 0.3
EBIT 4.2 2.8 0.7
Lai (14%) 1.176 1.176 1.176
Loi tuc truoc thue 3.024 1.624 -0.476
Thue (40%) 1.2096 0.6496 -0.1904
Loi tuc thuan 1.8144 0.9744 -0.2856
No (60%) 8.4 8.4 8.4
Loi suat tren VCP 0.324 0.174 -0.051
Do lech chuan 0.135

Qun tr Ri ro
Tong ket trong bang sau

T le: No / Tong tai san
0% 10% 50% 60%
Loi suat trung bnh tren VCP 0.105 0.111 0.144 0.137
Do lech chuan 0.054 0.0595 0.108 0.135
He so bien thien 0.515 0.536 0.751 0.983

Bai 3 (Cong ty WEBSTER)

Tai tro bang No Co phieu moi
Xac suat 0.3 0.4 0.3 0.3 0.4 0.3
Doanh thu 2250 2700 3150 2250 2700 3150
EBIT 225 270 315 225 270 315
Lai cua no ngan han 15 15 15 15 15 15
Lai cua no dai han 62.4 62.4 62.4 30 30 30
Loi tuc truoc thue 147.6 192.6 237.6 180 225 270
Thue (40%) 59.04 77.04 95.04 72 90 108
Loi tuc thuan 88.56 115.56 142.56 108 135 162
No 1222.5 952.5
Tong tai san 1620 1620
EPS (USD) 4.428 5.778 7.128 4.408 5.510 6.612
EPS trung bnh 5.778 5.510
Do lech chuan 1.046 0.854
T le no 0.755 0.588
TIE 3.488 6.000

Qun tr Ri ro
PHAN LY THUYET DANH MUC BAO HIEM (PORTFOLIO)
VA QUAN TRI RUI RO
Bai 1
Cac rui ro la doc lap va dong nhat voi nhau:
2000 L
i
=
2
(4000) =
2
i

Gia tri trung bnh cua ton that bnh quan
( ) ( ) ( )
n
L M ... L M L M
n
L ... L L
M
n 2 1 n 2 1
+ + +
=
+ + +
= 2000
Do lech chuan cua ton that bnh quan
( ) ( ) ( )
2
n 2 1 n 2 1
n
L D ... L D L D
n
L ... L L
D
+ + +
=
+ + +

=
n
2
= 1600
40
n
L ... L L
D
n 2 1
=
+ + +

Xac suat pha san:
Chi ph du phong boi thuong cho mot HBH = 2100 + 2 = 2102
( ) 2,55 Z P
40
2000 2102
Z P
n
n
L
Z P
n
L
L P
*
*
=

Tra bang phan vi chuan, ta co
P(Z > 2,55) = 0,5%
Vay xac xuat de cong ty pha san la: 0,5%

Qun tr Ri ro
Bai 2
Ta co cong thuc tnh phuong sai cua danh muc bao hiem nhu sau
2
i j i
j
2
i
2
i j i
ij
2
i
n 1
n n n
L ... L
D

+
=
+
=
+ +
r
i ij

Neu ton that cua cac hop dong bao hiem co phan phoi giong nhau va he so tuong
quan la so duong, ta duoc
+
=
+
=
+ +

2 2
i j i
n 1
n n n
L ... L
D
j i
ij
r n
2
2
ij
2
r

Ta thay tu so trong ngoac la tong cua n
2
he so tuong quan, do do phan so nay co y
ngha la he so tuong quan trung bnh. Neu tat ca cac he so tuong quan deu duong
th gia tri trung bnh khong the tien toi 0 khi n tien ra vo cuc

Bai 3
E(L) = 200
L
= 200
i,j
= 4000
Cac rui ro la phu thuoc lan nhau
n n
L ... L
M
i n 1
+ +
) M(L
i

= 200 =
2
i j i
ij
2
i
n 1
n

n
L ... L
D

+
=
+ +

Voi n = 10
7600
10
4000 * 90 200 * 10
2
2
=
+
=
Qun tr Ri ro
87,178
p
=
Tuong tu cho cac truong hop khac, ta co ket qua sau

Xac xuat pha san:
2
p
p
*
p
p
*
*
n
L
1
n
L
Z P
n
L
L P

Voi cac gia tri khac nhau cua n ta co uoc luong tren cua xac suat pha san bang bat
dang thuc Chebyshev nhu sau

n 10 100 1000 10000 1000000000

p
87.18 66.03 63.53 63.27 63.2455535
XSPS < 0.76 0.44 0.40 0.40 0.40

Khi su dung bat dang thuc Chebyshev de uoc luong gioi han tren cua xac suat pha
san ta thuong nhan duoc gia tri kha lon, nhat la khi n nho. Ta khong biet chnh xac
xac suat pha san la bao nhieu, ch biet la khi cong ty bao hiem co kha nhieu khach
hang th xac suat nay khong vuot qua 40%
Trong truong hop cac rui ro khong doc lap voi nhau, ta khong the su dung xap x
chuan v khong thoa man cac dieu kien cua dinh ly gioi han trung tam. So sanh ket
qua cua xac suat pha san neu dung xap x chuan voi chan tren cho boi bat dang
thuc Chebyshev, ta thay co su chenh lech rat lon

n 10 100 1000 10000 1000000000

p
87.18 66.03 63.53 63.27 63.2455535
Qun tr Ri ro

n 10 100 1000 10000 1000000000

p
87.18 66.03 63.53 63.27 63.2455535
XSPS < 76% 44% 40% 40% 40%
XXChuan 13% 6% 6% 6% 6%

Bai 4
Hop dong bao hiem hoa hoan
F
= 300
F
= 500
r
F,ij
= 0.1
n
F
= 10,000
Ta tnh phuong sai cua ton that bnh quan tren mot hop dong bao hiem hoa
hoan tu cong thuc sau
2
i j i
j
2
i
2
i j i
ij
2
i
n 1
n n n
L ... L
D

+
=
+
=
+ +
r
i ij F,

2 . 158 =
F

Tuong tu ta tnh do lech chuan cho ton that bnh quan tren mot hop dong bao
hiem auto nhu sau
6 . 223 =
A

a. o lech chuan cua ton that bnh quan tren mot hop dong bao hiem cua Ace
duoc tnh dua vao do lech chuan cho ton that bnh quan tren mot hop dong bao
hiem hoa hoan va auto nhu sau:
( )
158.14
n n
n n
2
A F
2
A
2
A
2
F
2
F
=
+
+

b. o lech chuan cua ton that bnh quan tren mot hop dong bao hiem trach nhiem
phap ly duoc tnh nhu sau
L
= 200
Qun tr Ri ro
L
= 300
r
L,ij
= 0.05
n
L
= 20,000
Ta tnh phuong sai cua ton that bnh quan tren mot hop dong bao hiem trach
nhiem phap ly tu cong thuc sau
2
i j i
j
2
i
2
i j i
ij
2
i
n 1
n n n
L ... L
D

+
=
+
=
+ +
r
i ij L,

11 . 67 =
L

c. Neu Ace va Acme hop nhat voi nhau ta tnh phuong sai cua ton that bnh quan
tren mot hop dong bao hiem bang cong thuc voi gia thiet ton that hoa hoan doc
lap voi ton that auto va trach nhiem phap ly
2
2 2 2 2 2 2
1 1 1
) (
2
... ... ...
L A F
i j
L A L A
L
L
A
A
F
F
L A F
n n n
n n n
r n n n
n n n
L L A A F F
D
j i
L A F
+ +
+ + +
=
+ +
+ + + + + + + +

= 113.68
2

o lech chuan la 113.68

Qun tr Ri ro
LY THUYET THI TRUONG VON

BAI 1
a. Cac hiep phuong sai tuong ung:

Cov (A,B) = r
AB
*
A
*
B

= 0,2*0,4*0,2 = 0,016
Cov (A,C) = r
AC
*
A
*
C

= 0,4*0,4*0,2 = 0,032
Cov (B,C) = r
BC
*
B
*
C

= -0,5*0,2*0,2 = -0,02

b. Loi suat mong doi cua danh muc dau tu:
K
P
= w
A
. K
A
+ w
B
. K
B
+ w
C
. K
C

= 0,6*0,3 + 0,7*0,2 + (-0,3)*0,1
= 0,29 (29%)

c. Do lech chuan cua loi suat mong doi cua danh muc dau tu:

+ + + = C)] cov(B, w w C) cov(A, w w B) cov(A, w w w

C B C A B A
2
i
2
i P
[ * 2

= 0.6
2
.0.4
2
+ 0.7
2
.0.2
2
+ (-0.3)
2
.0.2
2
+
2*[0,6.0,7.0,016+0,6(-0,3).0,032+ 0,7(-0,3).(-0,02)]

= 0,30

d. Trong so am cua chung khoan C am ch dieu g?
Trong so duong ngha la nha dau tu bo tien vao chung khoan, am la nha dau tu
vay tien voi lai suat 10% hay ban khong chung khoan C co loi suat 10%

BAI 2

Duong TTCK (SML):

K
i
= k
RF
+ ( k
M
- k
RF
) x
i

K
i
: Ty suat Loi nhuan mong doi cua Chung Khoan i
k
RF
: Lai suat khong rui ro
k
M
: Loi suat mong doi cua danh muc thi truong

i
: he so beta cua chung khoan i
Qun tr Ri ro

Gia su
Trai phieu kho bac co Ty suat Loi nhuan k
RF
= 9%
Ty suat Loi nhuan thi truong k
M
= 13%

= 0,5 k
i
= 11%
= 1 k
j
= 13%
= 2 k
A
= 17%

uong thi truong chung khoan cho ta cach xac dinh loi suat cua mot chung khoan
neu biet he so rui ro beta cua chung khoan do

k
RF

Bu dap rui ro
thi truong
K
A
= 17
K
A
= K
M
= 13
K
L
= 11
K
RF
= 9
TSLN
yeu cau
Phan bu dap
rui ro cua CK i
SML : k
i
= k
RF
+ (k
M
- k
RF
).
i
0,5 1 2
0
He so
i

Qun tr Ri ro
Duong Thi Truong Von (CML)

M la danh muc dau tu thi truong
r
f
la lai suat khong rui ro
uong thi truong von cho ta thay cac phuong an dau tu duoc cai thien tu duong
dau tu hieu qua khi ket hop dau tu tren thi truong chung khoan voi viec vay va
cho vay voi lai suat khong rui ro r
f

BAI 3
Tnh loi suat mong doi cho tung chung khoan:
Ap dung cong thuc:
k
i
= k
RF
+ (k
M
- k
RF
).
i
voi k
RF
= 0,1
k
M
= 0,18
k
A
= 0,1 + (0,18 - 0,1).0,15 = 0,22
k
B
= 0,1 + (0,18 - 0,1).1 = 0,18
k
C
= 0,1 + (0,18 - 0,1).0,5 = 0,14
k
D
= 0,1 + (0,18 - 0,1).0 = 0,1
k
E
= 0,1 + (0,18 - 0,1).(-0,5) = 0,06

Neu nha dau tu muon co duoc loi suat mong doi tren co phieu C la 0,17 th can
phai dieu chnh lai he so rui ro beta cua co phieu C. Cu the nhu sau:

k
C
= 0,1 + (0,18 - 0,1).
C
= 0,17

875 . 0
1 . 0 18 . 0
1 . 0 17 . 0
=
=
C

r
f

r
M

EF- uong dau tu hieu qua
M

M
CML
E(r)
Rui ro, (r)
Vay voi lai suat r
f
Cho vay voi
lai suat r
f
Qun tr Ri ro
TAI DAU TU VA TU BO SAU TON THAT

Bai 1
Ta co:
uong hieu qua dau tu truoc khi hoa hoan xay ra: C ( I ) = 30 I
0,8
uong hieu qua dau tu sau khi hoa hoan xay ra : C (I` ) = 30 I
0,78

Thiet bi tri gia : 500000 $ = 0.5tr
Chon chi ph von cua cong ty: r = 20 % = 0.2
Muc dau tu toi uu truoc khi ton that xay ra ( I
*
) la gia tri thoa
Max[ C (I) /(1+ r) -I ] = Max [ 30 I
0.8
/ 1.2 - I ]

Lay dao ham theo I cua ham [ C (I) /(1+ r) -I ] va cho bang 0, ta duoc

30 /1,2 * 0,8 * I
-0.2
- 1 = 0
I
*
la nghiem cua dao ham theo I , hay I
*
=3,2 tr
Tu do ta tnh duoc C(I) = 4,8 tr
Gia tri dau tu con lai sau ton that:
I` = 3.2 - 0.5 = 2.7tr C(I`) = 30 I
0.78
= 30 ( 2.7)
0.78
= 3.116
Loi nhuan cua x nghiep bi giam xuong : 4,8 - 3,116 = 1,684
hay 1,684 / 4,8= 35%, tuong ung voi nguon dau tu giam 1 - (2,7 / 3,2) = 15,625%
IRR cua dau tu ban dau va tai dau tu
IRR = (4,8 - 3,2 ) / 3,2 = 50%
IRR` = [(4,8 -3,116) - 0,5 ] / 0,5 = 236,8%

Bai 2
So do chung minh viec tai dau tu co the lam tang them gia tri nho :
Phuc hoi qui mo hoat dong den muc qui mo ton tai truoc ton that
Gia su quy mo truoc ton that la quy mo lam cuc dai gia tri cua doanh nghiep.
Luc nay th duong hieu qua dau tu ban dau la AB. Gia su ta ky hieu ham hieu qua
dau tu luc dau la f
1
(I
*
) , voi I
*
la muc dau tu toi uu (I
*
= AC). Vi tr tiep tuyen ung
voi muc dau tu toi uu I
*
tai do IRR= r.
Khi ton that AE xay ra:
Neu nguon luc khong phan biet th sau ton that duong hieu qua dau tu la EF. No
don gian ch dich chuyen ve ben trai mot doan AE va khong bi bien dang , nguon
dau tu giam xuong tu AC xuong EC, hieu qua dau tu giam tu C
0
(2) xuong C
1
(2)
va thiet hai o ky 2 la:
C
0
(2) - C
1
(2) = f
1
(I
*
) - f
1
(I
*

- AE)
e khoi phuc lai quy mo hoat dong den quy mo ton tai truoc ton that th doanh
nghiep phai dau tu them mot doan HC de dat muc dau tu toi uu I
*
(EH=AC) . Muc
dau tu nay se khoi phuc lai muc tieu dung C
0
(2) o ky 2 nhu truoc khi ton that xay
ra.
Ty suat noi hoan bien te la:

Qun tr Ri ro
IRR
1
= f
1
(I
*
) - f
1
(I
*
- AE) -AE
AE
Viec dau tu nay dua chung ta tu diem X den diem Y tren EF de phuc hoi tong dau
tu nhu muc ban dau. Phan duong hieu qua dau tu nay ro rang doc hon duong chi
ph von, ngha la IRR
1
>

r . ieu nay cang cung co them quyet dinh dau tu.
Neu nguon luc phu thuoc lan nhau th sau khi ton that xay ra duong hieu qua dau
tu se bi bien dang thanh duong EG , ky hieu f
2
(I) , nam duoi EF voi moi muc dau
tu , duong tieu dung giam tu C
0
(2) xuong C
2
(2). Do do de lam cuc dai gia tri cua
doanh nghiep th phai phuc hoi su ket hop hoat dong den muc da ton tai truoc ton
that, C
0
(2), bang viec xu ly mot cach hieu qua cac ton that, han che cac ton that
bang viec phuc hoi lai su hoat dong cua may moc thiet bi de cac may khac co the
phoi hop va hoat dong lai nhu cu.
Ty suat noi hoan bien te se la:
IRR
2
= f
1
(I
*
) - f
2
(I
*

- AE) -AE
AE

IRR
2
= [f
1
(I
*
) - f
2
(I
*

- AE) ] + [ f
1
(I
*
) - f
2
(I
*

- AE) ] -AE
AE
Trong phan ngoac vuong thu nhat chung ta thay trong tu cua IRR
1
va ch so hang
nay cung du de thong qua quyet dinh tai dau tu. Tuy nhien chung ta con them so
hang trong ngoac vuong thu hai, no bieu thi su phuc hoi lai trang thai can bang
trong san xuat truoc khi ton that xay ra. So hang nay duong co do lon tuy thuoc vao
muc do nghiem trong cua viec ding tre san xuat do ton that gay ra.
Tom lai ty suat noi hoan cua phan tai dau tu gom:
Ket qua do phuc hoi lai quy mo toi uu.
Ket qua them vao do phuc hoi lai su ket hop toi uu cac nguon luc.

Qun tr Ri ro

Bai 3
Gia tri chuyen nhuong 100.000$
Chi ph dau tu may moi 300.000
Thu nhap hang nam 25.000
r=10%
Dong thu nhap sau 10 nam
NPV=
=
+
10
1 n
n
0.1) (1
25000

= 164.200
a. Hien gia cua dong thu nhap lon hon gia tri chuyen nhuong nen quyet dinh tiep
tuc hoat dong
b. Neu thiet bi bi hong va khong mua bao hiem, chi ph dau tu may moi lon hon
hien gia cua dong thu nhap nen quyet dinh khong tai dau tu
c. Doanh nghiep nen mua bao hiem neu hien gia cua ph bao hiem nho hon
164.200

X
Y
C(2)
A H W
W
E C O
C
2
(2)
C
1
(2)
F B
G
C(1)
C
0
(2)
Qun tr Ri ro
Bai 4
Ngan luu tu tai dau tu 600.000
Cong chi ph xu ly co the tranh
Phat v khong thuc hien HSX 50.000
Ban mat bang -200.000
-150.000
Tru chi ph tai dau tu
Chi ph xay dung 250.000
Mua sam trang thiet bi 200.000
450.000
0
Truong hop nay th gia tri dem lai cho doanh nghiep la 0 neu co tai dau tu. Do vay,
doanh nghiep khong can thiet phai tai dau tu

Qun tr Ri ro
TAI TRO SAU TON THAT

Bai 2

Tai tro sau ton that (thu nhap khong tang truong) Tai dau tu sau ton that
EBIT (trieu) Truoc TT Sau TT Bang no Bang VCP
10 8 10 10
Lai (trieu) 0 0 0,8 0
Loi tuc truoc thue (trieu) 10 8 9.2 10
Thue (gia su thue suat 0%) 0 0 0 0
Loi tuc thuan (trieu) 10 8 9.2 10
EPS ($) 10 8 9,2 (x) 8,6
Loi suat mong doi cua co dong 0,14 0,15 0,15 0,14
Gia1 co phan ($) 71,43 53,33 61,33 (y) 61,43
Thi gia von co phan (trieu) 71,43 53,33 61,33 71,43
No cu 0 0 0 0
No moi (8%) / cp moi 10 (z) 162.790
Thi gia doanh nghiep (trieu) 71,43 53,33 71,33 71,43
So co phieu cu (trieu) 1 1 1 1
WACC 0,14 0,15 0,14 0,14
Vay x= 8,6; y= 61,43; z= 162.790 co phieu

Nhan xet
1. Thi gia cua von co phan tang len trong ca hai truong hop tai dau tu bang no hay
phat hanh them co phieu moi. Do do quyet dinh tai dau tu
2. Tai dau tu bang cach phat hanh them co phieu moi co thi gia von co phan cao hon
so voi tai dau tu bang no. V vay quyet dinh tai dau tu bang cach phat hanh them
co phieu moi

14 . 0
x
y =
y
z
000 . 000 . 10
=
000 . 000 . 1
000 . 000 . 10
+
=
z
x
Qun tr Ri ro
Bai 3

Tai dau tu Bang no Bang VCP
EBIT 6.000.000 6.000.000
Lai 1.340.000 900.000
Loi tuc truoc thue 4.660.000 5.100.000
Thue 0 0
Loi tuc thuan 4.660.000 5.100.000
EPS 0,466 0,452
Loi suat mong doi cua dong 0,18 0,165
Toc do tang truong trung bnh (g) 0,03 0,02
Gia mot co phan 3,107 3,117
Thi gia VCP 31.070.000 35.172.413
No cu (9%) 10.000.000 10.000.000
No moi (11%)/cp moi 4.000.000 1.283.186
Thi gia VCP cu 31.172.722
Thi gia VCP moi 3.999.691
Thi gia DN 45.070.000 45.172.413
So cp cu 10.000.000 10.000.000
WACC 0.154 0.148

Gia su viec tai dau tu giup doanh nghiep giu duoc muc thu nhap truoc ton that, EBIT
la 6 trieu. Ta co the so sanh su khac nhau cua hai hnh thuc tai tro trong bang sau

Bang no Bang von co phan
Loi tuc thuan 4.660.000 5.100.000
Loi suat mong doi cua co dong 0,18 0,165
Toc do tang truong bnh quan 0,03 0,02
Gia1 co phan 3,107 3,117
So co phan 10.000.000 11.283.186
Thi gia von co phan 31.070.000 35.172.413

Tai tro bang no lam giam loi tuc thuan do phai tra lai nhieu hon
Tai tro bang no lam tang rui ro cua doanh nghiep nen loi suat mong doi cua co
dong cao hon so voi tai tro bang von co phan moi. Su chenh lech ve toc do tang
truong khong bu dap duoc chenh lech cua loi suat mong doi cua co dong
Tu hai anh huong tren, cuoi cung ta co gia mot co phan khi tai tro bang no se
thap hon so voi tai tro bang von co phan
Tai tro bang von co phan lam tang so co phan, ket hop them voi gia mot co
phan cao hon se lam cho thi gia von co phan tang len
Qun tr Ri ro
TAI TRO CHO TON THAT TRONG TUONG LAI
BANG BIEN PHAP BAO HIEM

Bai 1
Gia co phieu truoc va sau khi ton that xay ra:

Truoc ton that Sau ton that
EBIT (trieu do la) 25 23
Tien lai (trieu do la) 0 0
Loi tuc truoc thue (trieu do la) 25 23
Thue loi tuc (40%) (trieu do la) 10 9
Loi tuc sau thue (trieu do la) 15 14
So co phieu 2,000,000 2,000,000
EPS (do la) 7.50 6.90
Loi suat mong doi cua co dong 0.15 0.16
Gia co phieu (do la) 50 44.52
T le giam gia co phieu (1 - P
s
/ P
t
) 0.11
Ta da gia dinh thue suat thue loi tuc la 40% va tnh duoc t le giam gia co phieu khi
ton that xay ra la 11%. De dang kiem tra gia dinh ve thue suat nay khong anh huong
den t le giam gia co phieu

Bai 2
a. Cong ty mua bao hiem toan phan:

B
N
S
E
E
* =
E = E
N
- E
L
=10 - 0.5 = 9.5

s =
10*1.3
=
1.3684
9.5

Chi ph von co phan co duoc tu mo hnh CAPM.
E(r
s
) = r
f
+ s [ E(r
m
) -r
f
]
E(r
s
) = 0.1 + 1.3684 (0.15 - 0.1) = 0.16842

b. Chi ph von khi cong ty khong mua bao hiem

RM
L
B
N
S
E
E
E
E
* * =

Qun tr Ri ro
5 . 0 *
5 . 9
5 . 0
3 . 1 *
5 . 9
10
=
S

s = 1.3684 - 0.0263 = 1.3421
Chi ph von co phan cua cong t
E(r
s
) = r
f
+
s
[E(r
m
) - r
f
]
E(r
s
) = 0.1 +1.3421 *(0.15 - 0.1)
E(r
s
) = 0.1671

Idoc - VN Bai Giai Cua Bai Tap Quan Tri Rui

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Qun tr Ri ro

Th.s Trn Quang Trung 1

+ + + = C)] cov(B, w w C) cov(A, w w B) cov(A, w w w

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