TRUNG TM NGHIN CU V O TO CHNG KHON

PHN TCH V U T
TRI PHIU (Bi 2)
ThS. Nguyn Thy Hon
Tel: (84 4) 553 5876
Email: nguyenthuyhoan@gmail.com
srtc.org.vn

PT10/2007

NI DUNG (bi 1):

Gii thiu tng quan v th trng tri phiu

Kin thc c bn

Li ch v Ri ro trong u t tri phiu

Li sut tri phiu, ng cong li sut/cu

trc k hn

nh gi tri phiu

srtc.org.vn

PT10/2007

NI DUNG (bi 2):

nh gi tri phiu chuyn i

o lng tnh bin ng gi ca tri phiu

(s dng thc o: Duration v Convexity)

Chin lc trung ha ri ro li sut trong

u t tri phiu

Bi tp ng dng

srtc.org.vn

PT10/2007

E NH GI TRI PHIU (tt)

2 NH GI TRI PHIU CHUYN I
Khi nim
T l chuyn i
Gi chuyn i
Gi tr chuyn i

srtc.org.vn

PT10/2007

E NH GI TRI PHIU (tt)

T l chuyn i:

= S lng c phiu/TP khi tri phiu c chuyn i

Gi chuyn i:

= Mnh gi TP/T l chuyn i

Gi tr chuyn i:

= T l chuyn iTh gi c phiu

srtc.org.vn

PT10/2007

E NH GI TRI PHIU (tt)

Gi tr tri phiu khng thc hin chuyn i:

= Gi tri phiu thng thng (khng chuyn i)

T l chnh lch chuyn i:

= [(Th gi TP- Gi tr chuyn i)/Gi tr chuyn i]

Gi tr li ch chuyn i
= Max (gi tr chuyn i, gi tr TP khng thc
hin chuyn i)

srtc.org.vn

PT10/2007

E NH GI TRI PHIU (tt)

Gi s, cui nm 2005, mt cng ty XYZ pht
hnh mt loi tri phiu chuyn i vi li coupon
2,5%/nm, mnh gi 1triu ng, o hn ngy
1/1/2011. Coupon c tr vo u mi nm, bt
u t nm 2007. T l chuyn i l 1Tp:10cp.
Vo 1/1/2006, c phiu cng ty ny c giao
dch vi gi 81.000 vi mc li sut yu cu
5%/nm.
Nh u t c nn thc hin quyn chuyn i
vo ngy 1/1/2006 khng?

srtc.org.vn

PT10/2007

E NH GI TRI PHIU (tt)

Gi tr
TP

Gi tr
chuyn i

Gi tr
thc

Gi tr quyn chuyn i
Gi TP thng
thng

Gi tr cng ty

srtc.org.vn

PT10/2007

F O LNG TNH BIN

NG GI CA TRI PHIU
Dng cc thc o:
Thi gian o hn bnh qun
(Duration)
Thi gian o hn bnh qun iu
chnh (Modified Duration)
li (Convexity)

srtc.org.vn

PT10/2007

Thi gian o hn bnh qun

(Duration)

Duration l thi gian o hn bnh qun gia

quyn ca cc dng tin ca tri phiu.
Cng thc tnh:
D=

t =1

PV ( CF t )
1
t =
P
P

t PV (CF )
t =1

n tC t
nM 1
+

D =
t
n
(1 + y ) P
t =1 (1 + y )
srtc.org.vn

PT10/2007

10

Thi gian o hn bnh qun iu

chnh (Modified Duration - MD)

Cng thc tnh

1
MD = D
(1 + y )

srtc.org.vn

PT10/2007

11

 li (Convexity)
Cng thc tnh
2 P 1 n t ( t + 1)C t n ( n + 1)M 1

Convexity =
=
+
2
t+ 2
n+ 2
(1 + y )
y P t = 1 (1 + y )
P

srtc.org.vn

PT10/2007

12

Thay i gi tri phiu khi li sut

thay i
2

P2
P2

Do tc ng ca
Duration thay i

0
P0

1
P1
P1

y2

y0

y1
Do tc ng ca li
thay i

srtc.org.vn

PT10/2007

13

Thay i gi tri phiu khi li sut

thay i
Thay i gi tri phiu do Duration
P do
Duration

= - MD Gi tri y
phiu

Thay i gi tri phiu do Convexity

P do = 1/2 Gi tri Convexity (y)2
Convexity
phiu

srtc.org.vn

PT10/2007

14

Thay i gi tri phiu khi li sut

thay i
Kt hp
P

srtc.org.vn

= P do Duration + P do Convexity

PT10/2007

15

V d 1:
Mt tri phiu c mnh gi l 100.000 VND,
thi gian o hn l 3 nm, li sut o hn l
7%/nm, li sut Coupon l 8%/nm, tr li
theo nm.
Tnh thi gian o hn bnh qun v li
(convexity) ca tri phiu ?
D kin do nh hng chung ca li sut trn th
trng, li sut o hn tng 0,5%/nm. Hy d bo
mc thay i gi tri phiu?
srtc.org.vn

PT10/2007

16

Gi tri phiu (P0)

n
Ct
M
+
P =
t
n
+
+
(
1
y
)
(
1
y
)
t =1

Nm

CFt
1

8000

7476.64

8000

6987.51

108000

88160.17

P=

srtc.org.vn

PVCFt @ 7%

PT10/2007

102624.32

17

Thi gian o hn bnh qun

(Duration)
n tC t
nM 1
+

D =
t
n
(1 + y ) P
t =1 (1 + y )

Nm

CFt
1

8000

7476.64

7476.64

8000

6987.51

13975.02

108000

88160.17

264480.51

102624.32

285932.17

P
srtc.org.vn

PVCFt @ 7%

t PVCFt @
7%

PT10/2007

Duration

2.79
18

 li (Convexity)
2 P 1 n t ( t + 1)C t n ( n + 1)M 1

Convexity =
=
+
2
t+ 2
n+ 2
(1 + y )
y P t = 1 (1 + y )
P
Nm

CFt

8000

7476.64

7476.64

13060.77

8000

6987.51

13975.02

36618.97

108000

88160.17

264480.51

924030.09

102624.32

285932.17

973709.82

srtc.org.vn

PVCFt @ 7%

t PVCFt @ 7%

PT10/2007

t(t+1)CFt/(1.07)^(t+2)

Convexity

9.49

19

Thi gian o hn bnh qun iu

chnh (Modified Duration - MD)
1
MD = D
= 2,79 /(1,07 ) = 2,607
(1 + y )

srtc.org.vn

PT10/2007

20

Thay i gi tri phiu khi li sut

thay i
Thay i gi tri phiu do Duration
P do
Duration

= - MD Gi tri y
phiu

Thay i gi tri phiu do Convexity

P do = 1/2 Gi tri Convexity (y)2
D
2.79
Convexity
phiu
MD

srtc.org.vn

2.60

P do D

-1336.13

P do C

12.17

PT10/2007

21

Thay i gi tri phiu khi li sut

thay i
Kt hp
P

= P do Duration + P do Convexity
P do D
P do C
P =

srtc.org.vn

PT10/2007

-1336.13
12.17
-1323.96

22

Trung ha ri ro li sut
Chin lc trung ha ri ro li sut trong u
t tri phiu

Bc 1: Xc nh thi gian o hn bnh

qun ca tng loi tri phiu

Bc 2: Khp thi gian o hn bnh qun

ca ton b cc tri phiu trong danh mc
vi k u t

srtc.org.vn

PT10/2007

23

V d 2:

Gi s cu trc li sut l phng, vi mc li sut

10%/nm. Bn mun thit k mt DMT c k u
t 2,5 nm gm 2 loi tri phiu sau:
TP A c li Coupon 8%/nm, thi gian o hn 2
nm.
TP B c li Coupon 12%/nm, thi gian o hn 3
nm.
C hai loi tri phiu trn u c MG 1000 USD, tr
li theo nm
Nu bn u t 5 triu USD vo DMT th bn phi
mua mi loi l bao nhiu trung ho ri ro li
sut?

srtc.org.vn

PT10/2007

24

V d 2:
Gi tri phiu:
PA= 80. PVA1(2,10%) +1000. PV1(2,10%)
= 80. 1,736 +1000. 0,826
= 138,88 + 826
= 964,88 USD
PB= 120. PVA1(3,10%)+ 1000. PV1(3,10%)
= 120. 2,487 + 1000. 0,751
= 298,44
+ 751 = 1049,44 USD
srtc.org.vn

PT10/2007

25

V d 2:
Thi gian o hn bnh qun (Duration):
n

t.Ct
n.M 1

+
D=
.
t
n P

(1 + y)
t =1 (1 + y)

1.80
2.80
2.1000 1
DA =
+
+
= 1,93

2
2
(1 + 0,1) (1 + 0,1)
(1 + 0,1) 964,88

1.120
2.120
3.120
3.1000 1
DB =
+
+
+
= 2,70

2
3
3
(1 + 0,1) (1 + 0,1)
(1 + 0,1)
(1 + 0,1) 1049,44
srtc.org.vn

PT10/2007

26

V d 2:
Gi XA l t l u t vo tri phiu A
XB=1-XA l t l u t vo tri phiu B
trung ho ri ro:
Duration c danh mc = K u t
DP= 2,5 nm.
DP= XA. DA+(1- XA)DB
2,5=XA.1,93+(1-XA).2,70
XA= 0,26
XB= 0,74
srtc.org.vn

PT10/2007

27

V d 2:
Vy u t vo tri phiu A:
0,26 . 5000000 = 1.300.000 USD

1.300.000
1348 TP A
hay:
964,88
u t vo tri phiu B:
0,74 . 5000000 = 3.700.000 USD

hay:

srtc.org.vn

3 .700 .000
3525 TP B
1049 ,44
PT10/2007

28

Ph lc
df

= nx ( n +1)
dx
g( x )
df

= a.
f ( x) = a.g( x)
dx
dx
df dg dh
f ( x) = g( x) + h( x)
=
+
dx dx dx
1
f ( x ) = n = x n
x

srtc.org.vn

PT10/2007

29

o lng tnh bin ng gi ca

tri phiu
n
Ct
M n CF t
+
=
P =
n
t
t
+
+
+
(
y
)
(
y
)
(
y
)
1
1
1
t =1
t =1

n
n
tCF t
tCF t
P
1
=
=

( t +1 )
t
y
(1 + y ) t =1 (1 + y )
t =1 (1 + y )

2P
=
2
y
srtc.org.vn

t =1

t ( t + 1)CF t
1
=
(t+2)
(1 + y )
(1 + y ) 2
PT10/2007

t =1

t ( t + 1)CF t
(1 + y ) t
30

o lng tnh bin ng gi ca

tri phiu
n
n
tCF t
tCF t
P
1
=
=

t
t+1
y
+
+
+
(
1
y
)
(
1
y
)
(
1
y
)
t =1
t =1

P
dy
dP =
y
n
tCF t
dP P 1
1
1
=

dy =

t
y P
P
(1 + y ) t = 1 (1 + y ) P

srtc.org.vn

PT10/2007

31

o lng tnh bin ng gi ca

tri phiu
2

P
2
2
(
dy
)
d P=
y 2

d 2P 2P 1
2
(
dy
)
=
=
2
P
y P

srtc.org.vn

t =1

t ( t + 1 )CF t 1
2
(
dy
)

(1 + y ) t + 2
P

PT10/2007

32

o lng tnh bin ng gi ca

tri phiu
Khai trin Taylor
dP P 1
1 2P 1
2
=
+
dy +
(
dy
)
2
y P
P
2 y P
P
1
= MD . y + Convexity ( y ) 2
P
2

srtc.org.vn

PT10/2007

33

Xin cm n!

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PT10/2007

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