dali magraqveliZe

ფინანსური რისკები
და მათი ხარისხის
დაწევის
მათემატიკური
მოდელები
 dali magraqveliZe

finansuri riskebi da maTi xarisxis dawevis

maTematikuri modelebi

Tbilisi
2015
2
 redaqtori: aleqsandre laSxi
fizika-maTematis mecnierebaTa doqtori
saqarTvelos teqnikuri universitetis
profesori

recenzentebi: daviT burWulaZe

fizika-maTematis mecnierebaTa doqtori
saqarTvelos teqnikuri universitetis
profesori

fiqria Rurwkaia
teqnikis mecnierebaTa kandidati
saqarTvelos teqnikuri universitetis
asocirebuli profesori

nino grigolaia
ekonomikis akademiuri doqtori
Tbilisis Ria saswavlo universitetis
profesori

wignSi «Энциклопедия финансого риск-менеджмента»Под ред. А.А.

Лобанова и А.В. Чугунова. – М.:Альпина Паблишер, 2003~ saxelmZRvaneloze
dayrdnobiT Sevecade ganmexila finansuri riskebi da defoltis
gamomwvevi yvela SesaZlo mizezi. SemomeTavazebina maTi marTvis
maTematikuri modelebi.
aRniSnuli saxelmZRvanelo gankuTvnilia ekonomikuri
profilis umaRlesi saswavleblebis bakalavriatis
studentebisaTvis da mewarmeebisaTvis.

ISBN 978-9941-0-8130-9

3
 Sinaarsi
Sesavali 13
riskis arsi. finansur sferoSi riskebis ZiriTadi saxeebi 13
riskis marTvis xerxebi 17
Tavi 1 21
raodenobrivi analizi 21
1.1.Sesavali 21
1.2.fuladi nakadis momavali Rirebuleba 21
1.3 fuladi nakadis dayvanili Rirebuleba 25
1.4 safinanso instrumentebis Siga Semosavlianoba 27
1.5. kuponuri obligaciis kotirebadi fasi 31
1.6 kuponuri obligaciebis fasi 34
1.7 obligaciis Semosavlianobis Sefaseba 37
1.7.1 mimdinare Semosavlianoba 37
1.7.2 dafarvis mimarT Semosavlianoba 37
1.7.3. gamoxmobis mimarT Semosavlianoba 38
1.7.4 gayidvis mimarT Semosavlianoba 40
1.7.5. dikontirebis marJa 40
1.8 obligaciebis portfelis Semosavlianobebis Sefaseba 41
1.8.1 obligaciebis portfelis saSualoSewonili Semosavlianoba 41
1.8.2 obligaciebis portfelis Siga Semosavlianoba 42
1.9 sabazro Semosavlianobis mrudebi 43
1.10 savaraudo forvarduli ganakveTebi 48
1.11 kuponuri obligaciis fasis fardobiTi cvlileba 51
1.12 sabaziso punqtis fasi 54
1.13 finansuri instrumentebis duracia 56
1.14 obligaciebis portfelis modificirebuli duracia 61

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1.15. duraciis danarTi 63
1.15.1.obligaciebis gacvla 63
1.15.2 obligaciebis portfelis imunizacia 65
1.16 finansuri instrumentis amozneqiloba 66
1.17 obligaciis portfelis amozneqiloba 71
1.18 simravle. operaciebi simravleebze 74
1.19 albaTuri sivrce 76
1.20 diskretuli SemTxveviTi sidideebi 79
1.21 uwyveti SemTxveviTi sidideebi 84
1.22.1 normaluri ganawileba 90
1.22.2 logariTmulad normaluri (logariTmuli)ganawileba 94
1.22.3  2 ganawileba 96
1.22.4 stiudentis ganawileba 98
1.23 istoriul monacemebze dayrdnobiT 100
finansuri maCveneblebis volatilobis gamoTvla 100
1.24 regresiuli analizis elementebi 102
1.25 monte-karlos imitaciuri modelirebis meTodi 107
1.26 SemTxveviTi procesebi da maTi ZiriTadi maxasiaTeblebi 111
1.27 SemTxveviTi procesebis mniSvnelovani saxeebi 114
1.27.1 SemTxveviTi xetiali 114
1.27.2 binomialuri modeli 115
1.27.3 vineruli SemTxveviTi procesi 117
1.28 cnebebi stoqasturi diferencialuri gantolebebis Sesaxeb 118
Tavi 2 122
warmoebuli finansuri instrumentebis bazari 122
2.1.Sesavali 122
2.2.forvarduli kontraqtebi da maTi ZiriTadi maxasiaTeblebi 123
2.3.finansuri aqtivebis forvarduli fasi 126
2.3.1 im aqtivebis forvarduli fasi romelTac ar moaqvT Semosavali 126

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2.3.2 im aqtivebis forvarduli fasi, Semosavlebi winaswar cnobilia 128
2.3.3 mudmivi dividenduri Semosavlianobis mqone aqtivebis forvarduli
fasi 130
2.4.saqonlis forvarduli fasi 131
2.5. fiuCersuli kontraqtebi 133
2.6.aqtivebis fiuCersuli da forvarduli fasebi 137
2.7. spekulatiuri strategiebi fiuCersul bazarze 138
2.8 fiuCersebi saxazino veqsilebze. procentuli arbitraJi 142
2.9 fiuCersuli kontraqtebi moklevadian saprocento ganakveTebze 145
2.10 fiuCersuli kontraqtebi saxazino obligaciebze 146
2.11 fiuCersuli kontraqtebis gamoyenebiT sabaziso aqtivebis mixedviT
poziciebis hejireba 148
2.12.obligaciebis portfelis saprocento riskis sawinaaRmdego hejireba 152
2.13.safondo indeqsebi. fiuCersuli kontraqtebi safondo indeqsebze 154
2.14.saprocento svopebi 157
2.15.procentuli svopebis Rirebulebebis Sefaseba 160
2.16 savaluto svopi 164
2.17.ofcionebi da maTi ZiriTadi maxasiTeblebi 168
2.18. arbitraJuli damokidebulebebi evropuli ofcionebisaTvis 171
2.19.amerikuli ofcionebis Sesaxeb ZiriTadi arbitraJuli debulebebi 174
2.20 ZiriTadi strategiebi evropuli ofcionebis gamoyenebiT 176
2.20.1 umartivesi strategiebi 176
2.20.2 ofcionebis spredebi 178
2.20.3 ofcionebis kombinacia 181
2.21. `evropuli tipis~ warmoebuli finansuri instrumentebis Sefasebis
umartivesi modeli 183
2.22 binomialuri modeli warmoebuli finansuri instrumentebis
SefasebisaTvis 186
2.23 bleq-Soulzis formulebi 193
2.24 delta-hejireba 200

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2.25 gama-hejireba 206
2.26. Teta, ro da vega koeficientebi 209
2.27.ofcionebis specialuri saxeebi 212
2.17.1 aqtivebis gacvlaze ofcionebi 213
2.27.2 binaruli ofcionebi 213
2.27.3 aziuri ofcionebi 214
2.27.4 barieruli ofcionebi 214
2.27.5 bermudis ofcionebi 215
2.28. saprocento ganakveTebidan warmoebuli finansuri instrumentebi 216
2.28.1 kepebi, florebi da qolarebi 216
2.28.2 kuponur obligaciebze ofcionebi 217
2.28.3 svopcionebi 217
2.28.4 obligaciebi CaSenebuli ofcionebiT 218
2.29 saprocento ganakveTebis evoluciis binomialuri modeli 220
2.30. CaSenebuli ofcionebis mqone obligaciebis Rirebulebis Sefaseba 226
2.31 CaSenebuli obligaciebisaTvis riskis zoma 232
2.32 saprocento ganakveTebis droiTi struqturis modeli uwyveti droiT 236
Tavi 3 239
sabazro riskebis marTva 239
3.1 Sesavali 239
3.2 sabazro riskebi: gansazRvreba da klasifikacia 239
3.3 saportfelo midgoma da riskebis marTvis sistema 240
3.4 taqtikuri da strategiuli risk-menejmenti 242
3.5. riskis gazomva 253
3.6. Semosavlianoba da volatiloba 257
3.7. beta da alfa koeficientebi 262
3.8.vadiani struqturis wyvetebi, rogorc saprocento riskis da
likvidurobis dakargvis riskis zoma 264
3.9. portfelis duracis da imunizacia 268

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3.10. warmoebuli finansuri instrumentebis riskis maCvenebeli 271
3.11.warmoebuli finansuri instrumentebis portfeli da sabazro riskis
marTva 273
3.12. Value at risk maCvenebeli (VaR) 283
3.13.istoriuli monacemebis mixedviT VaR gaangariSebis modelebis
verifikacia 286
3.14.delta-normaluri meTodi 288
3.14.1. erTi aqtivis VaR 289
3.15. delta-gama-vega-miaxloeba 297
3.16 istoriuli modelirebis meTodi 299
3.17 monte-karlos meTodi 301
3.17.1 monte-karlos meTodi riskis erTi faqtorisaTvis 301
3.17.2 monte-karlos meTodi aqtivebis portfelisaTvis 303
3.18 VaR -is gaangariSebis meTodebis SedarebiTi analizi 305
3.19 zRvruli VaR , VaR nazrdi da fardobiTi VaR 306
3.20. gagluvebis  parametris arCeva RiskMetrics modelSi 310
3.21 avtoregresiuli pirobiTi heteroskedasturobis modeli 314
3.22 VaR -is Semdeg: riskis sxva zomebi 315
Tavi 4 320
likvidurobis riskebis marTva 320
4.1 Sesavali 320
4.2 msoflio finansuri sitemis ganviTarebis tendenciebis fonze
lividurobis riskis aqtualoba 321
4.3 likvidurobis cneba da misi maxasiaTeblebi 323
4.3.1 likvidurobis dinamika 327
4.3.2. bazris likvidurobis faqtorebi 328
4.3.3 likviduri bazris SeqmnisaTvis rekomendaciebi 330
4.4 likvidurobis riski 330
4.5 gadaxdisuunarobis riski 335
4.6 rekomendaciebi 337
8
 Tavi 5 338
sakredito riskebis marTva 338
5.1. Sesavali 338
5.2. sakredito riskis arsi 339
5.4. sakredito riskis maCveneblebi 346
5.5. sakredito xdomiloba 347
5.6. msesxeblis kreditunarianobis klasikuri analizi 349
5.7. sakredito reitingis cneba 354
5.7.1. Siga sakredito reitingebis sitemebi 356
5.8. sakredito riskis Sefasebis modelebis zogadi daxaxiaTeba 358
5.8.1. sakredito riskis Sefasebisadmi `Siga~ da `sabazro~ midgomebi 361
5.9. sabuRaltro monacemebze dafuZnebuli kreditunarianobis Sefasebis
modelebi 363
5.9.1. altmanis Z-modeli 363
5.9.2 ZETA modeli 368
5.10. sakredito riskis ZiriTadi mdgenebi 370
5.11. defolti 372
5.11.1. sawarmo-kontragentis defolti 372
5.11.3 defoltis albaTobebis Sefasebis meTodi 375
5.12. defoltis albaTobis Sefasebis aqtuaruli meTodebi 375
5.12.1. obligaciebis defoltebis statistikis safuZvelze defoltis
albaTobebis Sefaseba 376
5.13. defoltis albaTobis Sefasebis sabazro meTodebi 382
5.13.1.defoltis albaTobis Sefaseba obligaciebis sabazro fasebis
safuZvelze 382
5.13.2. defoltis albaTobebis Sefaseba aqciebis sabazro fasebis
safuZvelze 386
5.14.sakredito riskis zemoqmedeba 400
5.15.defoltis dros danakargebi. aRdgenis done 406
5.16.defoltis riskis Sefaseba aqtivebis portfelisaTvis 410
5.17.sakredito reitingebis migracia 417

9
5.18. portfelis sakredito riskis Sefasebis modelebi 424
5.18.1 portfelis sakredito riskis Sefasebis modelebis ZiriTadi
maxasiaTeblebi 425
5.18.2 CreditMertics modeli 429
5.18.3. KMV Portfolio Manager modeli 431
5.18.4. CreditRisk+ modeli 433
5.18.5 Credit Portfolio View modeli 434
5.20. qveynis riski 439
5.20.1 politikuri riski 439
5.20.2 ekonomikuri riski 441
5.20.1. qveynebis sareitingo sistemebi 446
5.21. sakredito riskebis marTva 449
5.21.1 sakredito riskebis marTvis procesi 449
5.21.2 sakredito strategia 450
5.21.3. sakredito riskis marTvis ZiriTadi xerxebi 451
5.22. sakredito warmoebuli instrumentebi 460
5.22.1 sakredito warmoebuli instrumentis cneba 460
5.22.2 sakredito warmoebuli instrumentebis saxeebi 462
5.22.3. sakredito warmoebuli instrumentebis Rirebulebis Sefasebis
meTodebi 471
5.22.4. sakredito warmoebuli instrumentebis riskebi 475
5.22.5. sakredito warmoebuli instrumentebis upiratesobebi da
naklovanebebi 477
Tavi 6 480
sabanko saqmianobis riskebis reulireba 480
6.1 Sesavali 480
6.2 sabanko kapitalis saerTaSoriso standartebi. kapitalis mixedviT
bazelis 1988 wlis SeTanxmeba 485
6.2.1 sabanko kapitalis Semadgenloba da stuqtura 486
6.2.2 aqtivebis da dabalansebuli muxlebis riskis mixedviT Sewonva 489
6.2.3 kapitalis sakmarisobis minimaluri normativi 496

10
6.2.4 kapitalis mixedviT 1988 wlis bazelis SeTanxmebis kritika 498
6.3 kapitalis mixedviT bazelis SeTanxmebaze damatebebi masSi sabazro
riskis CarTvis mizniT 500
6.4 standartuli midgoma 503
6.4.1 saprocento riski 503
6.4.2 safondo riski 510
6.4.3 savaluto riski 511
6.4.4 sasaqonlo riski 513
6.4.5 ofcionebiT operaciebis riski 515
6.4.6 standartuli midgomis upiratesobebi da nakli 519
6.5 midgoma bankebis Siga modelebis safuZvelze 520
6.5.1 xarisxobrivi kriteriumebi 521
6.5.2 raodenobrivi kriteriumebi 523
6.5.3 istoriuli monacemebis mixedviT VaR -is gamoTvlis modelebis
verifikacia 525
6.5.4 Siga modelebis safuZvelze midgomis upiratesobebi da nakli 530
6.6 kapitalis sakmarisobisadmi minimaluri moTxovna sakredito da
sabazro riskebis gaTvaliswinebiT 533
6.7 aSS-s federaluri sarezervo sistemis winaswari valdebulebebis
safuZvelze midgoma 536
6.7.1 winaswari valdebulebebis safuZvelze midgomis upiratesobebi da
nakli 538
6.8. kapitalis sakmarisobaze evrokavSiris direqtivebi 541
6.9 sabanko asaqmianobis Tanamedrove problemebi da regulirebis
perspeqtivebi. kapitalis mixedviT bazelis axali SeTanxmeba 542
6.9.1 modificirebuli standartuli midgoma 551
6.9.2 Siga reitingebis safuZvelze midgoma 556
6.10 daskvna 563
Tavi 7 564
sakredito organizaciebis saqmianobaSi makroekonomikuri riskebi 564
7.1 makroprudencialuri indikatorebi 564
7.2 finansuri krizisebis warmoqmnis modelebi 566

11
7.2.1 regresiuli analizis safuZvelze midgoma 568
7.2.2 signalebis meTodi 570
7.2.3 albaTuri midgoma 572
Tavi 8 579
finansuri instrumentebis portfelis optimizacia 579
8.1. Sesavali 579
8.2 fiqsirebuli valdebulebebis portfelis imunuzacia 580
8.2.1 Semosavlianobebis mrudis paraleluri wanacvlebis mimarT
imunizacia 580
8.2.2 faqtoruli imunizacia 582
8.2.3 portfelis dinamiuri restruqturizacia. arasistematuri riskebi 583
8.3 calkeuli finansuri instrumentis riskis marTva 585
8.3.1 markovicis modeli 585
8.3.2 mosalodneli sargeblianobis Teoria 590
8.3.3 ofcionebiT portfelis optimizacia 595
8.3.4 meTodika 596
8.4 protfelis dinamiuri optimizacia 601
8.4.1 aqtivebis da pasivebis marTvis modeli ( ALM ) 602

12
 Sesavali
riskis arsi. finansur sferoSi riskebis ZiriTadi saxeebi

ekonomikaSi marTvis nebismier doneze gadawyvetilebis miRebis

procesi mimdinareobs gare da Siga garemos mudmivad Tanmxleb
ganusazRvrelobis pirobebSi, romelic ZiriTadad gansazRvravs
saqmianobis saboloo Sedegis nawilobriv an srul
ganusazRvrelobas. ekonomikaSi ganusazRvrelobis (uncertainty) qveS
igulisxmeba samewarmeo saqmianobis Sesaxeb informaciis
arasruloba an arazustoba, maT Soris danaxarjis da miRebuli
Sedegebis Sesaxeb. ganusazRvrelobis mizezs warmoadgens sami
ZiriTadi faqtori: ucodinaroba, SemTxveviToba da ukuqmedeba.
kerZod, ganusazRvreloba aixsneba imiT, rom ekonomikuri
problemebi daiyvaneba alternativebis raRac raodenobidan
amorCevis amocanamde, amasTan ekonomikur agentebs – organizaciebs
da individebs – ar gaaCniaT optimaluri arCevisaTvis situaciis
Sesaxeb sruli codna, aseve ar aqvT sakmao siZlieris gamoTvliTi
teqnika maT xelTarsebuli mTeli informaciis adekvaturi
aRwerisaTvis.
Tanamedrove ekomomikur TeoriaSi ganusazRvrelobis
`indikatorad~ gamodis kategoria riski. risksa da
ganusazRvrelobas Soris ZiriTadi gansxvaveba imaSi mdgomareobs,
cnobili aris Tu ara gadawyvetilebis mimRebi subieqtisaTvis
garkveuli xdomilobebis dadgomis raodenobrivi albaTobebi. Tu
riski damaxasiTebelia masobrivi, ganmeorebadi xdomilobebis mqone
sawarmoo-ekonomikuri sistemebisaTvis, ganusazRvreloba, rogorc
wesi, arsebobs im SemTxvevebSi roca Sedegebis albaTobebis
gansazRvra xdeba subieqturad wina periodebis statistikuri
monacemebis ar qonis gamo. riskis da ganusazRvrelobis
kategoriebis interpretaciis aseTi midgoma miRebulia ekonomikuri
mecnierebis neokeinsianuli mimarTulebebSi, maSin roca
neoklasikuri skola Tvlis, rom es cnebebi tolfasia.1

1 Downward P. Risk, uncertainty and inference in post-Keynesian economy. A realist commentary. Paper presented
at the INEM-ROPE conference, University of New Hampshire, June 15-17, 1998.
13
 raodenebriv mimarTebaSi ganusazRvreloba gulisxmobs Sedegis
mosalodnelisagan, anu saSualosagan, rogorc nakleb ise met
mxares gadaxris SesaZleblobas. aseT ganusazRvrelobas hqvia
`spekulaciuri~, `wmindasagan~ gansxvavebiT, romelic gulisxmobs
saqmianobis saboloo Sedegidan mxolod uaryofiTi gadaxris
SesaZleblobas. Sesabamisad literaturaSi riskis cneba SeiZleba
Seesabamebodes rogorc spekulaciur ganusazRvrelobas da
moicavdes rogorc dadebiT, ise uaryofiT Sedegebs (magaliTad,
finansur bazarze operaciebis mimarT), ise wminda
ganusazRvrelobas (am azriT riski mosazreba sadazRvevo saqmeSi).
finansur risk-menejmentSi riskis (risk) qveS upiratesad moiazreba
sakuTari saxsrebis nawilis dakargvis SesaZlebloba, Semosavlebis
miuRebloba an damatebiTi xarjebis warmoSoba sawarmoo
saqmianobis ganxorcielebis Sedegad, romelic Seesabameba wminda
ganusazRvrelobis cnebas.
ganusazRvrelobisagan gansxvavebiT, riski zomad sidides
warmoadgens; mis raodenobriv zomad gvevlineba araxelsayreli
Sedegis albaToba. ufro viwro gagebiT ekonomikuri riski
ganisazRvreba rogorc miuRebeli sargeblis an finansuri aqtivebis
portfelis Rirebulebis danakargis, sainvesticio proeqtebidan
Semosavlis miuReblobis da a.S. gazomadi albaToba. magram
nebismieri riskisTvis, romlis gavlenis qveSac imyofebian
finansuri organizaciebi, ar aris SesaZlebeli albaTobis
gansazRvra im mosazrebiT rogorc is SemoRebulia sabazro
riskisTvis.
riskis marTvis problema arsebobs ekonomikis nebismier seqtorSi
– soflis meurneobidan da warmoebidan dawyebuli vaWrobamde da
finansebamde damTavrebuli, rac xsnis mis mudmiv aqtualobas.
ramdenadac ekonomikis yvela dargi dakavSirebulia erTmaneTTan
finansuri sferos wyalobiT, amdenad misTvis damaxasiaTebel
riskebs eZRvneba es wigni.
amJamad, finansur TeoriaSi jer ara aris SemuSavebuli riskebis
zogadad miRebuli da amomwuravi klasifikacia. es imasTanaa
dakavSirebuli, rom praqtikaSi sxvadasxva riskis gamovlenis
Zalian didi raodenoba arsebobs, amasTan tradiciulad riskis
erTidaigive saxe SeiZleba aRniSnuli iyos sxvadasxva terminiT da,

14
xSirad, Zalian Znelia riskis calkeuli saxis garCeva, magaliTad,
portfeluris da sabazrosi.
miuxedavad amisa, garkveuli dargobrivi konsesusi riskis im
ZiriTad klasebsa da tipebs Soris, romlebsac awydebian finansuri
Suamavlebi, mainc miRweulia. amJamad miRebuli standartuli
klasifikaciis mixedviT finansuri institutebis keTildReobis
mTavar safrTxes warmoadgenen sabazro, sakredito da operaciuli
riskebi, likvidurobis riskebi da xdomilobaTa riskebi.
sabazro riski (market risk) – es aris saporcento ganakveTebis,
savaluto kursis, aqciaTa fasis, obligaciis da kontraqtebis
rxevis Sedegad aqtivebis Rirebulebis Secvlis SesaZlebloba.
sabazro riskis nairsaxeobas warmoadgens, kerZod, savaluto da
saprocento riskebi.
sakredito riski (credit risk) anu kontragentis riski (counterparty
risk) – es aris kontragentebis mier Tavisi valdebulebebis
Sesrulebis uunarobiT gamowveuli danakargi, kerZod procentebis
da valis ZiriTadi Tanxis sakredito xelSekrulebiT
gaTvaliswinebul vadaSi gadauxdelobis gamo. sakredito risks
miekuTvneba aseve defoltis riski da vadamdeli dafarvis riski.
ganmartebis sirTulis miuxedavad, sakredito riski, sabazro
riskisagan gansxvavebiT, Tavisi bunebiT asimetriulia. es niSnavs,
rom dakreditebis operaciebis dros potenciuri mogeba
SezRudulia SedarebiT mcire dadebiTi SemosavlianobiT (cxadia
arc erTi kreditori banks ar gadauxdis xelSekrulebiT
gaTvaliswinebulze mets), magram bankis poteciuri danakargi
SeiZleba meryeobdes gacilebiT met diapazonSi: ganTavsebuli
saxsrebis 0-dan 100%-mde (yvelaze uares SemTxvevaSi danakargma
SeiZleba gadaaWarbos sesxis nominalur mniSvnelobas valis
dabrunebis Taobaze sasamarTlo xarjebis, miuRebeli sargeblis,
aseve potenciuri jarimebis, maT mier dakreditebisaTvis mosazidi
saxsrebis kreditorebis mier gadavadebis an daubruneblobis gamo).
amis garda, arsebobs kidev mTeli rigi riski, romlebic ar
warmoadgenen specifiurs mxolod finansuri sferosaTvis, magram,
miuxedavad amisa, maTi mniSvnelobis gadafaseba SeuZlebelia. maT
miekuTvnebian:

15
  likvidurobis riski (liquidity risk): a) sabazro likvidurobis
riski (market liquidity risk) – es aris danakargis SesaZlebloba,
romelic gamowveulia aqtivebis saWiro raodenobiT yidva-
gayidvasTan drois SedarebiT mokle periodSi sabazro
koniunqturis gauaresebis gamo; b) sabalanso likvidurobis riski
(funding liquidity risk) – es aris kontragentebis winaSe valdebulebebis
Sesasruleblad naRdi saxsrebis an sxva maRallikviduri aqtivebis
deficitis warmoqmnis SesaZlebloba;
 operaciuli riski (operational risk) – es aris operaciebis
Catarebis dros personalis mier ganzrax Tu uneblied daSvebuli
teqnikuri Secdomebis, avariuli situaciebis, aparaturis
gaumarTaobis, informaciul sistemebze arasanqcirebuli SeRwevis
Sedegad miRebuli gauTvaliswinebeli danakargebis SesaZlebloba.
operaciul riskebs xSirad miakuTvneben im xarjebsac, romelic
gamowveulia riskebis Sefasebis da marTvisaTvis gamoyenebuli
meTodebis da modelebis araadekvaturobasTan;
 (biznes-) xdomilobis riski ((business) event risk) – fors-
maJoruli garemeobebis, kanonmdeblobis cvlilebis, saxelmwifo
organoebis qmedebebis da a.S. Sedegad gamowveuli
gauTvaliswinebeli danakargebis SesaZlebloba. xdomilobis risks
Cveulebriv miekuTvneba iuridiuli, sabuRaltro da sagadasaxado
riskebi, reputaciis riski, maregulirebeli organoebi qmedebebis
riski da sxva.
unda aRiniSnos, rom riskis bolo ori saxeobis formalizacia
da raodenobrivi Sefaseba yvelaze Znelad Sesasrulebelia. es imiT
aixsneba, rom operaciuli riskebi da xdomilobis riskebi bevradaa
ganpirobebuli e.w. `adamianuri faqtoriT~.
CamoTvlil riskebs sxvadasxva organizacisaTvis sxvadasxva
mniSvneloba gaaCniaT. magaliTad, sabanko saqmeSi yvelaze meti
danakargi xdeba sakredito da sabazro riskebis Sedegad, xolo
kliringuli organizaciebisaTvis wina planze iwevs operaciuli
riski da kontragentis riski. bolos, samrewvelo sawarmo, vaWroba
da momsaxurebis sfero (finansuris garda) ganicdis aseve
specifiur riskebsac, romlebic gamowveulia maTi dargobrivi
kuTvnilebiT da warmoebis procesis TaviseburebebiT. aseT riskebs

16
Cveulebriv uwodeben teqnologiur anu sawarmoo riskebs da cdeba
am wignis CarCoebs.

riskis marTvis xerxebi

riskis dawevis ZiriTad xerxebs ekonomikaSi maTi dargobrivi
kuTvnilebis miuxedavad warmoadgenen dazRveva, rezervireba
(TviTdazRveva), hejireba, ganawileba, diversifikacia, minimalizacia
(aqtivebis da pasivebis marTva) da Tavis arideba (riskTan
dakavSirebul operaciebze uaris Tqma).
CamoTvlili xerxebi pirvel rigSi gansxvavdebian TavianTi
ekonomikuri arsiT, romelic mdgomareobs riskis mesame pirze
gadacemaSi (dazRvevis, garantirebis, hejirebis da ganawilebis
dros), an misi sakuTar gankargulebaSi datovebaSi (aqtivebis an
pasivebis marTvis gziT rezervirebis, diversificirebis an
minimizaciis dros). klasifikaciis sxva kriteriumad SeiZleba
gamodges marTvis obieqti, romeladac gvevlineba riskis dadgomis
albaToba an riskis qveS yofna (hejirebis, ganawilebis,
diversifikaciis da aqtivebis da pasivebis marTvis dros), an riskis
gamovlenis Sedegad zarali (rezervirebis da dazRvevis dros).
sabazro ekonomikaSi sawarmos riskis donis Sesaxeb
gadawyvetilebas iReben mflobelebi da marTvelebi, xolo
saxelmwifos Zalisxmeva mimarTulia ZiriTadad miRebuli riskis
realizaciis Sedegebis minimizaciisaken.
analizis da sinTezis analogiurad SeiZleba moviyvanoT
gansxvaveba riskis dekompoziciasa da agregirebas Soris. riskis
dekompoziciis (risk disaggregation) qveS igulisxmeba iseTi riskis
daSla calkeul komponentebad, romlis sabazro Rirebulebis
gansazRvra uSualod SeuZlebelia, xolo am gziT SesaZlebeli
xdeba zogierTi maTganis Sefaseba sabazro monacemebiT. riskis
dekompozicia SeiZleba ganisazRvros rogorc analitikuri Sefaseba
bazarze arasavaWro instrumentebis Rirebulebebisa sxva
instrumentebis sabazro dakvirvebad RirebulebaTa safuZvelze
maTi swori faswamoqmnis mizniT. dekompoziciis magaliTad SeiZleba
gamodges `fuT~ ofcionis warmodgena `qol~ ofcions pluss

17
pozicia sabaziso aqtivis mixedviT. riskis agregireba (risk
aggregation), piriqiT, gulisxmobs iseTi portfelis Seqmnas romlis
elementebs Soris korelacia erTze naklebia, rac riskis dawevis
saSualebas iZleva misi diversifikaciis gziT. riskis agregirebis
magaliTs warmoadgenen VaR maCvenebeli da stres-testireba
portfelis doneze. riskis agrerireba da dekompozicia ar unda
ganvixiloT rogorc urTierTgamomricxavi xerxebi, ramdenadac
agregirebac aseve eyrdnoba sabazro riskis Sefasebas, romlis
gareSec SeuZlebelia riskebis gamovlenebs Soris albaTobebis da
korelaciebis obiqturi Sefasebebi, romelic aucilebelia
portfeluri midgomis realizaciisaTvis.
sabanko saqmeSi rezervireba warmoadgens im riskebis
erTobliobis marTvis erT-erT ZiriTad saSualebas, romelic ar
SeiZleba gadacemuli iyos mzRvevelze an Tavmdebze (dazRvevis an
Tavdebobis saSualebiT) an safinanso bazris monawileebze
(warmoebuli instrumentebiT hejirebis gziT). mosalodneli
danakargis kompesaciis mizniT bankebi axdenen sakuTari saxsrebis –
kapitalis, aseve aucilebeli rezervebis formirebas bankis
sxvadasxva sesxze da aqtivebze SesaZlo danakargebisaTvis,
romelic miekuTvneba bankis xarjebs (faqtobrivad es niSnavs
klientze riskis gadacemas misi momsaxurebis fasSi CarTvis gziT,
magaliTad, kreditis). kapitalis rezervireba devs sabanko sistemis
riskebis saxelmwifo regulirebis safuZvelSi.
dazRveva, iseve rogorc rezervireba, ar isaxavs miznad riskis
gamovlenis albaTobis Semcirebas, aramed mimarTulia misi
warmoSobis SemTxvevaSi materialuri zaralis anazRaurebaze.
dazRvevisaTvis vargisia riskis masobrivi saxeobebi, romelsac
mravali ekonomikuri agenti ganicdis, romelTa gamovlena
erTmaneTTan Zalian ar arian korelirebulni da cnobili arian
didi sizustiT. riskis zemoT ganxiluli saxeebidan yvelaze metad
am moTxovnebs akmayofileben operaciuli da sakredito riskebi.
hejireba warmoadgens SesaZlo danakargebidan dacvis
saSualebas gawonasworebuli garigebis gziT (fasis cvlilebis
riskis erTi piridan meoreze gadatana). hejireba gankuTvnilia
sabazro riskebis gavlenis Sedegad Cadebuli saxsrebis SesaZlo
danakargis Sesamcireblad da, iSviaTad, sakredito da xdomilebis

18
riskis Sesamcireblad. iseve rogorc dazRvevis SemTxvevaSi,
hejireba moiTxovs damatebiTi resursebis mocdenas (magaliTad,
saofciono premiis gadaxdas an marJis Setanas). srulad hejireba
gulisxmobs raime sargeblis an zaralis miRebis gamoricxvas
mocemul poziciis mixedviT sawinaaRmdego an kompesirebadi
poziciis gaxsnis xarjze. amgvari `ormagi garantia~ rogorc
sargeblisagan, ise wagebisagan ganasxvavebs srul hejirebas
klasikuri dazRvevisagan. sabazro riskebis hejireba xorcieldeba
warmoebuli instrumentebis dasabalansebeli operaciebis
ganxorcielebis gziT – forvardebiT, fuCersebiT, ofcionebiT da
svopebiT. bolo wlebSi gamoCnda hejirebis instrumentebi
sakredito riskebis da xdomilobebis riskebis, romlebsac
miekuTvnebian, magaliTad, sakredito svopebi da prognizirebaze
warmoebulebi.
riskis daweva SeiZleba miRweuli iyos aseve misi garigebis
monawileTa Soris ganawilebiT (riskis SetaniT produqciis an
momsaxurebis RirebulebaSi, garantiebis micemiT, qonebis
giravnobiT, urTierTsajarimo sistemiT). riskis ganawileba
gulisxmobs potenciuri investorebis an proeqtis monawileTa
raodenobis gafarTovebaze (Semcirebaze) gadawyvetiebis miRebas.
diversifikacia warmoadgens riskis erToblivi zemoqmedebis
Semcirebis saSualebas dabandebebis da/an valdebulebebis
ganawilebis gziT. yvelaze xSirad diversifikaciis qveS
igulisxmeba finansuri aqtivebis erTze meti saxis aqtivSi
ganTavseba, romelTa fasebi an Semosavlianobebi sustadaa
korelirebuli erTmaneTTan. diversifikaciis sxva formas
warmoadgens saxsrebis mozidva sxvadasxva, erTmaneTTan sustad
damokidebuli wyaroebidan. diversifikaciis arsi mdgomareobs erT
xdomilobaze maqsimalurad SesaZlo danakargebis SemcirebSi,
magram am dros erTdroulad izrdeba im riskebis raodenoba,
romlis kontrolireba aucilebelia, rac iwvevs transaqciuri
xarjebis zrdas. diversifikacia warmodgens sabazro da sakredito
riskebis dawevis erT-erT yvelaze popularul meqanizms finansuri
aqtivebis portfelis, sabanko sesxebis an pasivebis formirebis
dros. unda aRiniSnos, rom diversifikacia mxolod arasistematuri
riskebis (konkretul instrumentTan dakavSirebuli riskebis)

19
dawevis saSualebas iZleva, maSin roca yvela ganxiluli
instrumentisaTvis (magaliTad, ekonomikis cikluri vardnis riski)
saerTo sistematuri riskebi, ar mcirdeba portfelis stuqturis
Secvlis gziT.
minimizacia miznad isaxavs aqtivebis da valdebulebebis
dawvrilebiT dabalansebas, imisaTvis rom minimumamde daiyvanos
portfelis wminda Rirebulebis rxevebi. am SemTxvevaSi Teoriulad
ar warmoiSoba rezervis Sesaqmnelad an kompensirebaSi poziciis
gaxsnisTvis saxsrebis mozidvis saWiroeba. aqtivebis da pasivebis
marTva mimarTulia didi riskis Tavidan asacileblad portfelis
ZiriTadi parametrebis dinamiuri regulirebis gziT. sxva sityvebiT,
es meTodi, hejirebisagan gansxvavebiT, romelic riskis winaswar
neitralizaciazea dafuZnebuli, mimarTulia TviTon saqmianobis
procesSi riskis Tavidan acilebaze. aqtivebis da pasivebis marTva
yvelaze farTod sabanko saqmeSi gamoiyeneba sabazro, ZiriTadad
savaluto da saprocento riskebis gasakontroleblad.
riskebis marTvis zemoT CamoTvlili yvela xerxi Seadgens
swored finansuri menejmentis arsenals, romlis saSualebiTac
xdeba mTavari amocanis – konkurenciis pirobebSi gadarCenis,
calkeuli sawarmos doneze sabazro Rirebulebis awevis da
calkeuli qveynis doneze, da zogadad, msoflio ekonomikis doneze
finansuri sistemis funqcionirebis stabilurobis gadawyveta.

20
 Tavi 1
raodenobrivi analizi
1.1. Sesavali
finansuri riskebis mecnierulad dasabuTebuli marTva
SeuZlebelia am riskebis gazomvis Sesabamisi MmeTodikis gareSe.
finansuri riskebis arsebuli meTodebi ZiriTadad eyrdnoba
fiqsirebuli Semosavlebis mqone finansuri instrumentebis
Tanamedrove Teorias, albaTobis Teorias, maTematikur statistikas
da SemTxveviTi procesebis Teorias. swored am sakiTxebs moicavs
wignis pirveli Tavi.
kerZod, fiqsirebuli Semosavlebis mqone finansuri
instrumentebis Seswavlisas Semodis finansuri Teoriis mravali
fundamenturi cneba: investiciebis momavali da dayvanili
Rirebuleba, obligaciis Siga Rirebuleba, saprocento ganakveTebis
droiTi struqtura, sabazro Semosavlianobebis mrudi, duracia da
obligaciebis portfelis amozneqiloba. yvela es cneba farTod
gamoiyeneba rogorc finansuri riskebis gazomvis, ise am riskebis
hejirebis strategiis agebis dros.
albaTobis Teoriis ZiriTadi sakiTxebis mokle mimoxilvis
Semdeg ganixileba risk-analizSi gamoyenebuli sxvadasxva
finansuri maCveneblebis Sefasebis mniSvnelovani statistikuri
meTodebi.
Tavis daskvniT nawilSi Semotanilia SemTxveviTi procesebis
Teoriis ZiriTadi cnebebi: kveTa da traeqtoria, maTematikuri
lodini da dispersia, SemTxveviTi xetialis procesi, binominaluri
modeli, vineruli SemTxveviTi procesi, stoqasturi
diferencialuri gantolebebi. dawvrilebiTaa gamokvleuli
geometriuli brounis moZraobis procesi, romelic sakvanZo rols
asrulebs warmoebuli finasuri instrumentebis SefasebaSi.

1.2.fuladi nakadis momavali Rirebuleba

21
 davuSvaT, rom P fuladi Tanxa investirebulia T wliT
wliuri r (m) saprocento ganakveTiT weliwadSi m -jer procentis
daricxviT. maSin investiciis momavali Rirebuleba (future value)
SeiZleba moiZebnos Semdegnairad:
Tm
 r ( m) 
FV  P1   . (1.1)
 m 
Tu P fuladi Tanxa investirebulia uwyveti procentis
daricxviT wliuri ganakveTiT, maSin investiciis momavali
Rirebuleba ganisazRvreba tolobiT:
̅
= , = lim 1 + ≈ 2,718 (1.2)
→
magaliTi 1.1. 1 mln. dolaris toli fuladi Tanxa
investirebulia 6 wliT 6,4%-iani wliuri ganakveTiT. ganvsazRvroT
investiciis momavali Rirebuleba, Tu procentebi dairicxeba a)
weliwadSi erTxel; b) weliwadSi orjer; g) yovelkvertalurad; d)
uwyvetad:
a) FV1  1000000 (1  0,064)  1450941 dolari,
6

0,064 6.2
b) FV2  1000000(1  )  1459340 dolari,
2
0,064 6.4
g) FV3  1000000(1  )  1463690 dolari,
2
d) FV4  1000000.e  1468145 dolari.
9 , 064.6

cxadia, rom investiciis momavali Rirebuleba gaizrdeba:

a) vadis gazrdisas;
b) wliuri saprocento ganakveTis gazrdisas;
g) procentebis daricxvis sixSiris gazrdisas.
wliur saprocento ganakveTebs ewodebaT eქvivalenturni, Tu
erTi da imave vadiT am ganakveTiT nebismieri P fuladi Tanxis
investirebisas erTmaneTs emTxveva momavali Rirebulebebi.
kerZod, wliuri r (m) da r (n) saprocento ganakveTebi Sesabamisad
m da n procentebis dros ekvivalenturi aღmoCndebian mxolod da
mxolod maSin, roca:
 n

 r ( n )  m
r ( m )  m 1    1 . (1.3)
 n  
 

22
 procentis uwyveti daricxvis dros wliuri saprocento
ganakveTi eqvivalenturia wliuri r (m) saprocento ganakveTis
weliwadSi erTxel m procentis daricxvis pirobebSi mxolod da
mxolod maSin, Tu:
 mr 
r (m)  m e  1 (1.4)
 
 r ( m) 
r  m ln1   ( ln x -es aris x - is logariTmi e  2,718 fuZiT). (1.5)
 m 
magaliTi 1.2. banki gvTavazobs depozitis mixedviT 8%-ian wliur
saprocento ganakveTs weliwadSi erTxel daricxviT. rogori
saprocento ganakveTis moTxovnaa SesaZlebeli Tu procentis
daricxva xdeba: a) weliwadSi orjer; b) yovelkvartalurad; g)
uwyvetad?

a) r (2)  2 1  0,08 2  1  0,0785 , e.i. 7,85%-is;

1

 

b) r ( 4)  4 1  0,08 4  1  0,0777 , e.i. 7,77%-is;

1

 
g) r  ln1  0,08  0,0770 , e.i. 7,70%-is.
axla davuSvaT, rom investors pirdebian t1, t 2 ,..., t n wlis Semdeg
Pt1 , Pt2 ,..., ptn fulad Tanxebs Sesabamisad. Tu investori varaudobs
yvela Semosuli fuladi Tanxis erTidaimave wliuri ganakveTiT
investirebas, maSin T wlis Semdeg fuladi nakadis momavali
Rirebuleba toli iqneba:

(T  ti ) m
n
 r ( m) 
FV   Pti 1  -is (1.6)
i 1  m 
weliwadSi erTxel m procentis daricxvis dros da
n
FV   Pti e r (T ti ) -is (1.7)
i 1

procentis uwyveti daricxvis dros.

magaliTi 1.3. investors dapirdnen Semdeg fulad nakads:
vada, weli 0,5 1,0 2,0
gadaxda, dolari 500 1000 2000

23
 rogoria fuladi nakadis momavali Rirebuleba 3 wlis Semdeg,
Tu investori varaudobs Semosuli fuladi Tanxis investirebas 7%-
ad procentis daricxvisas: a) weliwadSi orjer; b) uwyvetad?
( 3, 0  0 , 5 ) 2 ( 3, 0 1, 0 ) 2
 0,07   0,07 
( FV )1  5001    10001   
 2   2 
a) ( 3, 0  2 , 0 ) 2
 0,07 
 20001    3883,82$;
 2 
b) ( FV ) 2  500 e 0 , 07  2 , 5  1000 e 0 , 07  2  2000 e 0 , 07 1  3890 ,91 $
Tu erTidaimave fulad Tanxas ixdian (an iReben) periodulad
wlebis ganmavlobaSi, maSin Sesabamis fulad nakads anuitets
(annuity) uwodeben. or mezobel gadaxdas Soris drois Sualedi – es
anuitetis periodia. anuitets uwodeben Cveulebrivs (ordinary annuity),
Tu pirveli anuiteturi gadaxda xdeba zustad erTi anuiteturi
periodis bolos.
ganvixiloT A zomis Cveulebrivi anuiteti T wlis vadiT,
i
romlis anuiteturi periodi Seadgens wels. am anuitetiT
m
moxdeba Tm gadaxda erTidaigive A sididiT, masTan i -uri ( i  1,2,..., Tm
i
) gadaxda unda moxdes wlis Semdeg.
m

Tu vivaraudebT, rom yvela anuiteturi gadaxda investirdeba

erTidaimave wliuri r (m) saprocento ganakveTiT ganakveTis
weliwadSi erTxel m procentis daricxvis dros, maSin Cveulebrivi
anuitetis momavali Rirebuleba T wlis Semdeg SeiZleba
Semdegnairad ganisazRvros:
i
(T  )m
Tm
 r ( m)  m
FV   A1  (1.8)
i 1  m 
radgan,
n 1 a(q n  1)
a  aq  aq  ...  aq
2
 ,
q 1
amdenad,

24
 Tm 1 Tm  2
 r ( m)   r ( m) 
FV  A1    A1    ...  A 
 m   m 
  r (m)  Tm 
A 1    1 (1.9)
 m  A.m  r ( m) 
Tm

    1    1
 r ( m)  r ( m)  m  
1   1
 m 
magaliTi 1.4. menejeri yidulobs obligacias, romelzedac xdeba
10 wlis ganmavlobaSi yovel naxevarwelSi 40 dolaris toli
procentis gadaxdebi da misi nominaluri Rirebuleba Seadgens 1000
dolars meaTe wlis bolos. ganvsazRvroT investiciis momavali
Rirebuleba 10 wlis Semdeg, Tu yvela gadaxda reinvestirdeba 6,7%-
ad, xolo pirveli saprocento gadaxda xdeba 6 Tvis Semdeg.
obligaciiT gansazRvruli fuladi nakadi warmodgens
Cveulebriv anuitets, sadac A =40 dolars, m =2, T =10 wels, xolo
meaTe wlis bolos gadaixdeba 1000 dolari. aqedan gamomdinare
40  2  0,067  
20

FV   1    1  1000  2113,91 dolari.

0,067  2  

1.3 fuladi nakadis dayvanili Rirebuleba

fulad Tanxas, romelis investirebac aucilebelia dRes, rom
garkveuli drois Semdeg miviRoT mocemuli momavali Rirebuleba,
uwodeben dayvanil Rirebulebas (present value).
adgili aqvs Semdeg tolobas:
FV
PV  Tm
, (1.10)
 r ( m ) 
1  
 m 
sadac PV _ investiciis dayvanili Rirebulebaa;
FV _ momavali Rirebuleba;
T _ investiciis vada;
r (m) _ saprocento ganakveTi weliwadSi erTxel m procentis
daricxvis dros.
r (m) saprocento ganakveTs, romelic gamoiyeneba investiciis
dayvanili Rirebulebis gansazRvrisaTvis, uwodeben diskontirebis
ganakveTs (discount rate). Tu diskontirebis ganakeTi ganisazRvreba

25
procentis uwyveti daricxvis dros, maSin (1.10) formula miiRebs
Semdeg saxes:
PV  FV  e  r T . (1.11)
magaliTi 1.5. sapensio fondis menejerma 6 wlis Semdeg unda
gadaixados 10 mln. dolari. amJamad menejers aqvs saSualeba
moaxdinos nebismieri Tanxis investoreba 7,5%-ad procentis
weliwadSi orjer daricxvis pirobebSi. ramdenis investireba unda
moaxdinos sapensio fondis menejerma, rom Seasrulos Tavisi
valdebuleba?
10 mln. dolaris dayvanili Rirebuleba SeiZleba moiZebnos (1.10)
formuliT:
10000000
PV  12
 6428989,78 dolari.
 0,075 
1  
 
Sesabamisad menejerma unda ganaxorcielos 6 428 989,78 dolaris
investireba, rom 6 wlis Semdeg miiRos 10 mln. dolari.
(1.10) tolobidan gamomdinareobs, rom Tanabari pirobebis dros:
1) rac ufro metia diskontirebis ganakveTi, miT naklebia
dayvanili Rirebuleba da piriqiT;
2) rac ufro mcirea investirebis vada, miT ufro didia
dayvanili Rirebuleba da piriqiT.
fuladi gadaxdebis nakadis dayvanili Rirebuleba
ganisazRvreba am fuladi nakadis mier warmoqmnili gadaxdebis
dayvanili Rirebulebebis jamis saxiT.
magaliTi 1.6. kompaniis finansurma direqtorma icis, rom mas
mouwevs Semdegi gadaxdebi:
vada, weli 1,0 2,0 3,0
gadaxda, dolari 200 000 300 000 400 000
ra Tanxis investireba unda moaxdinos man dRes, rom
uzrunvelyos valdebulebis gadaxda, Tu saprocento ganakveTi 6%-
is tolia weliwadSi orjer daricxvis pirobebSi?
sakmarisia ganvsazRvroT gadaxdebis mocemuli nakadis
dayvanili Rirebuleba:
200000 300000 400000
PV  21
 22
 23
 790059 dolari.
 0,06   0,06   0,06 
1   1   1  
 2   2   2 

26
 Tu fuladi nakadi warmoadgens Cveulebriv anuitets,
romelzedac T wlis ganmavlobaSi weliwadSi m –jer xdeba
erTidaigive A Tanxis gadaxda, maSin anuitetis dayvanili
Rirebuleba Semdegnairad moiZebneba:
 
 
A A A A m  1 .
PV    ...   1 (1.12)
1  r ( m)  r ( m)  2  r ( m) 
Tm
r (m)   r (m)  Tm 
1  1    1    1   
m  m   m    m  
magaliTi 1.7. banki Tanxmdeba warmoadginos 30 wliani ipotekuri
krediti 100 000 dolaris odenobiT. ipotekuri dakreditebis
pirobis Tanaxmad movalis yovelTviuri gadaxdebi erTnairi iqneba.
wliuri saprocento ganakveTi, romelsac banki iTxovs, 12%-is
tolia. rogoria movalis yovelTviuri gadasaxadi?
movalis yovelTviuri gadasaxadi ganisazRvreba im pirobidan
gamomdinare, rom movalis gadaxdebis nakadis Rirebulebam unda
Seadginos 100 000 dolari. maSasadame,
 
 
A  12  1 ,
100000  1
0,12   0,12  360 
 1   
  12  
100 000 = A . 97,218. e.i. A = 1028,61 dolari. Cveulebriv anuitets
uwodeben uvados (perpetual annuity), Tu anuiteturi gadaxdebis nakadi
droSi Sezღuduli araa. uvado anuitetis dayvanili Rirebuleba,
romlis mixedviTac m –jer xdeba A Tanxis gadaxda, SeiZleba
Semdegnairad iyos moZebnili:

. 1 .
= lim 1− = (1.13)
→ ( ) ( ) ( )
1+

1.4 safinanso instrumentebis Siga Semosavlianoba

safinanso instrumentebis Semosavlianobas Siga განაკვეთს
(internal rate of return - IRR) uwodeben saprocento ganakveTs, romlis

27
drosac mocemuli safinanso instrumentebis mixedviT gadaxdebis
nakadis dayvanili Rirebuleba emTxveva mis sabazro fass.
magaliTi 1.8. finansuri instrumenti iyideba 1243,82 dolarad
da masze xdeba yovel 6 TveSi 50 dolaris gadaxdebi 5 wlis
ganmavlobaSi da kidev 1000 dolaris mexuTe wlis bolos. vaCvenoT,
rom aseTi finansuri instrumentis Siga Semosavlianoba weliwadSi
orjer procentis dros Seadgens 4,50%-s.
am finansuri instrumentiT fuladi nakadis dayvanili
Rirebuleba ganisazRvreba Semdegnairad:
 
 
50  2  1  1000
PV  1 ,
r (2)   r (2)    r (2)  25
25

 1    1  
  2    2 
სadac, r (2) - wliuri saprocento ganakveTia weliwadSi orjer
procentis daricxvis pirobebSi.
r ( 2)  0,045 -sTvis gvaqvs
 
 
50  2  1  1000
PV  1  1243,82.
0,045   0,045    0,045 10
10

 1    1  
  2    2 
radganac finansuri instrumentiT gansazRvruli fuladi
nakadis dayvanili Rirebuleba daemTxva mis sabazro fass, amdenad
am instrumentis Siga Semosavlianoba namdvilad tolia 4,50%-is.
ganvixiloT finansuri instrumenti gadaxdebis Semdegi nakadiT:
vada, weli t1 t2 ... tn
gadaxda, dolari C t1 C t2 ... C tn
ganxiluli finansuri instrumentis Siga Semosavlianoba
weliwadSi m –jer procentis daricxvis dros warmoadgens Semdegi
gantolebis amonaxsens:

Ct1 Ct2 Ctn

P t1 m
 , (1.14)
t 2  m
t m
 ... 
 y  y  yn
1   1   1  
 m  m  m
sadac p - finansuri instrumentis sabazro fasia.

28
 n Ct1
(1.14) gantolebis marjven
na nawil
lSi md
dgomi P( y)   t m
i 1  y 1
 1  
 m
funqciaa yovelT Tvis war rmoadgen ns klebads da amozneqils. fu unqciis
grafiki warmod dgeniliaa nax. 1.1-ze.
(1.14) gantol lebis amo osaxsnel lad SeiZZleba gamoviyeno oT SerCeevis da
Secdomeebis meT Todi. Tavidan T ubralo o SerCevviT vipo ovoT  da 
ricxvebi, ise, rom r P( 1 ) > P , xolo P( 1 ) < P (naxx. 1.2). maaSin saZiebeli
Siga Seemosavli ianoba iqneba i  1 da  1 -s
s Soriss, e.i. y  ( 1 , 1 ) . (1 , 1 )
Sualedi davyo oT 10 tol nawilad. n TvaloT P ( y ) fu
gamovT unqciis
mniSvnel loba daayofis wertile w ebSi, vippovoT  2 da  2 ricxveb bi ise,
rom:
P( 2 ) > P , P(  2 ) < P .
maSin n y  ( 2 ,  2 ) . T
Tu pro
ocduras s ramdeenjerme gavimeorebT,
SeiZleb ba moiZeebnos sakmaod s mcire Sualed di ( i ,  i ) , romellzedac
mdebareo obs saZZiebeli Siga Semosavl S lianoba. am SemTxvevaSi i Siga
Semosavl lianobis gansaz zRvra SesaZleb
S belia wrfivi interpol i laciis
safuZvel lze:
P(  i )  P P  P ( i )
y  i  i . (1.15)
P (  i )  P( i ) P(  i )  P ( i )

29
 magal
liTi 1..9. finaansuri instrummenti ganisazRvvreba S
Semdegi
fuladii nakadiT
T:
vvada, weli 0,5 1,0 1,5
gadax
xda, dolaari 2000 2500 3000
ganvs
sazRvroT finaansuri instrummentis Siga SemosavlS lianoba
procenttis wel liwadSi orjer r dariccxvis dros,
d T
Tu finansuri
instrummentis saabazro fasif 7000 dolarris tol
lia.
romm ganvsaz zRvroT saZiebeeli Siga Semos
savliano
oba, sakmmarisia
amovxsnaaT ganto oleba:
7000 = P ( y ) ,
c, P ( y )  2000  25500 2  3000 3 .
sadac
y  y  y
1 1   1  
2  2  2
ramdenadac,
2000 2500 30000
6) 
P (0,06    70433,66  7000
0,06  0,06  2
 0 , 0
06 
3
1 1   1  
2  2   2 
2000 2500 30000
7) 
P (0,07    6971,97  7000 .
0,07  0,07  2
 0 , 07 
3
1 1   1  
2  2   2 
amdeenad vaaraudobT, romm  1  0,06
0 -is d
da  1  0,07 -is. ( 1 , 1 )
Sualedi davyoTT 10 tol
l nawil
lad:

30
 SevniSnoT, rom P (0,066)  7000,5057  7000 , P (0,067 )  6993,3546  7000 . e.i.
SeiZleba CavTvaloT, rom  1  0,066 -s, xolo  1  0,67 -s.
wrfivi interpolaciis gamoyenebiT, miviRebT, rom
6993,3546  7000 7000  7000,5057
y  0,066   0,067   0,06607.
6993,3546  7000.5057 6993,3546  7000,5057
ramdenadac P (0,06607 )  7000,005 , amdened saZiebeli Siga
Semosavlianoba Seadgens 6,607%-s.
Tu mocemuli finansuri instrumentis mixedviT xorcieldeba
mxolod erTi gadaxda, maSin misi Siga Rirebuleba procentis
weliwadSi m –jer daricxvis dros, SeiZleba moiZebnos Semdegi
formuliT:
 1

 C  Tm
y  m    1, (1.16)
 P  
 
sadac C - finansuri instrumentis mixedviT gadaxdebis zomaa;
P - finansuri instrumentis sabazro fasia;
T - finansuri instrumentis mixedviT gadaxdebis vadaa.

1.5. kuponuri obligaciis kotirebadi fasi

kuponur obligacias (coupon bond) uwodeben finansur
instruments, romlis mixedviTac periodulad xdeba procentebis
dafarvamde da nominaluri Rirebulebis misi dafarvis momentSi
gadaxda.
wlis ganmavlobaSi kuponuri gadaxdebis jamis obligaciis
nominalur RirebulebasTan fardobas uwodeben obligaciis
kuponur ganakveTs (coupon rate).
Tu f obligaciis kuponuri ganakveTia, maSin erTi kuponuri
gadaxdis zoma SeiZleba moiZebnos Semdegi formuliT:
A f
q . (1.17)
m
sadac q - kuponuri gadaxdis zomaa;
A - obligaciis nominaluri Rirebuleba;
m - weliwadSi kuponuri gadaxdebis raodenoba.
magaliTi 1.10. mocemulia naxevarwliani kuponebiT da 1000
dolaris nominaluri Rirebulebis 9%-iani kuponuri obligacia.
ganvsazRvroT obligaciis mixedviT gadaxdebis nakadi, Tu mis
dafarvamde rCeba 2,5 weli.
31
 am SemTxvevaSi f =0,09, A =1000 dolari, m =2. maSasadame,
1000  0,09
q  45 dolr.,
2
da obligaciiT Sepirebuli gadaxdebis nakads aqvs saxe:
vada, weli 0,25 0,75 1,25 1,75 2,25
gadaxda, dolari 45 45 45 45 1045
obligaciis kuponuri fasi unda emTxveodes im gadaxdebis nakadis
dayvanil Rirebulebas, romlebic am obligciiTaa Sepirebuli.
imisaTvis, rom ganvsazRvroT gadaxdebis nakadis dayvanili
Rirebuleba, aucilebelia diskontirebis ganakveTis codna, romelic
am SemTxvevaSi warmoadgens moTxovnil Semosavlianobas (required
yield).
mocemuli kuponuri obligaciis moTxovnili Semosavlianoba
dgindeba finansuri instrumentebis Siga Semosavlianobebis
gamokvlevis safuZvelze. amasTan xdeba iseTi faqtorebis
gaTvaliswineba, rogoricaa emitentebis sakredito reitingi,
finansuri instrumentebis likviduroba da a.S.
kuponuri obligaciis kotirebadi fasi ganisazRvreba drois im
momentSi, roca xdeba morigi kuponuri gadasaxadebis gadaxda.
naxevarwliani kuponebis mqone kuponuri obligaciis kotirebadi
fasi SeiZleba moiZebnos Semdegi formuliT:
 
 
q2  1  A
P 1 , (1.18)
r   r
n
  r
n

 1    1  
  2    2 
sadac P - obligaciis kotirebadi fasia;
Af
q - erTi kuponuli gadaxdis zomaa;
2
r - moTxovnili Semosavlianobaa;
n- obligaciis dafarvamde darCenili kuponuri gadaxdebis
raodenobaa.
magaliTi 1.11. vipovoT 1000 dolaris nominaluri Rirebulebis 9%-
iani kuponuri obligaciis fasi, roca mis dafarvamde rCeba 20 weli,
xolo moTxovnili Semosavlianoba Seadgens 8%-s.
am SemTxvevaSi
Af
A = 1000 dolr., f = 0,09, q  = 45 dolr., n =40, r = 0,08.
2

32
 obligaciis kotirebadi fasi SeiZleba moiZebnos (1.18) formuliT:
 
 
45  2  1  1000
P 1  1098,96 dolr.
0,08   0,08    0,08  40
40

 1    1  
  2    2 
amboben, rom kuponuri obligacia iyideba nominaliT (par value). Tu
misi kotirebadi fasi emTxveva nominalur Rirebulebas. kuponuri
obligacia iyideba nominaliT mxolod da mxolod maSin, rodesac
obligaciis kuponuri ganakveTi moTxovnili Semosavlianobis tolia.
obligacia iyideba premiiT (at a premium), Tu kotirebadi fasi
nominalur Rirebulebaze metia. kuponuri obligacia iyideba premiiT
mxolod da mxolod maSin, rodesac obligaciis kuponuri ganakveTi
moTxovnili Semosavlianobaze metia. naxevarwliani kuponebiT
obligaciisaTvis premiis zoma Seadgens:
 
 
f  1 
P  A  A  11  n  . (1.19)
r   r  
 1  2  
   
amboben, rom kuponuri obligacia iyideba diskontiT (at a discount),
Tu kotirebadi fasi nominalze dabalia. obligacia iyideba
diskontiT mxolod da mxolod maSin, rodesac obligaciis kuponuri
ganakveTi moTxovnili Semosavlianobaze naklebia. diskontis zoma
SeiZleba moiZebnos Semdegnairad:
 
 
 f  1 
A  P  A1  1  n . (1.20)
 r
 1  r  
 
  2 
magaliTi 1.12. 1.11 magaliTidan obligacia iyideba premiiT,
ramdenadac misi kuponuri ganakveTi f= 0,09 moTxovnil
Semosavlianobaze r= 0,08 maRalia. premiis zoma SeiZleba
ganisazRvros (1.19) formuliT:
 
 
 0,09  1 
P  A  1000  11  40 
=98,96 dolr.
 0,08   0,08  
 1  2  
   

33
 Tu drois mimdinareobisaas moT Txovnilii Semos savliano
oba ar
Seicvleeba, maS
Sin rac ufro moaxlovdeba obligaaciis dafarvis d
TariRi, miT daiiklebs premiis
p (
(diskont tis) zoma.
kuponur gadaxdeebze obligaaciis kotirebadi fasis
damokid
debulebaa naCvenebia nax. 1. 3-ze.
obliigaciis kotirebbas uwod deben Semmdeg farrdobas:
P
100 ,
A
sadac c P - obligaciiis kotirrebadi fasia;
f
A - obligaci
o iis nominaluri Rirebul leba.
obli igaciis kotireb bis da misi
m nominalurii Rirebu
ulebis codniT,
SeiZleb ba vipovo
oT obli igaciis kotirebadi fasi
i.
magalliTi 1.13. Tu 5000 dolaris nominaluri i Rirebbulebis
1
obligac tireba 98
ciis kot 9 -ia maSin misi kotire
ebadi fas
si toli
i iqneba
4
98,25  5000
 491
12,50 dol
lr.
10
00

1.6 kuponur
ri obligaciebis s fasi
ixiloT naxevarw
ganvi wliani kuponebi
k T raime obligacia. CavT
TvaloT,
rom moT lia da r –is tolia.
Txovnili Semosaavlinobaa cnobil

34
 Tu ganaRdebis TariRi emTxveva kuponuri gadaxdis TariRs, maSin
obligaciis fasi iTvleba misi kotirebadi fasis tolad da SeiZleba
moiZebnos (1.18) formuliT. Tu ganaRdebis TariRi mdebareobs or
kuponuri gadaxdis TariRs Soris, maSin obligaciis fasi
ganisazRvreba Semdegnairad:
n 1
q A
P iw
 n 1 w
, (1.21)
 r
i 1  r
1   1  
 2  2
sadac P - obligaciis fasia;
q -naxevarwliani kuponuri gadaxda;
A - obligaciis nominaluri Rirebuleba;
n- obligaciis dafarvamde darCenili kuponuri gadaxdebis
raodenobaa;
w - ganaRdebis TariRidan morig kuponur gadaxdis TariRamde
dReebis raodenobis fardobaa kuponur periodSi dRebis
raodenobasTan.
(1.21) formula SeiZleba Semdegi saxiT CavweroT:
   
   
1  2q 1  r  1  A .
P w  1  n  n 1 
(1.22)
 r  r  2
 1  r   1  r  
1    
 2     2   2  
magaliTi 1.14. mocemulia 100 dolr. nominaliT 10%-iani
obligacia naxevarwliani kuponebiT, romlis dafarvis TariRi 2016
wlis 1 martia. ganvsazRvroT rogori iqneba am obligaciis fasi 2016
wlis 17 ivlis, 7%-is toli moTxovnili Semosavlianobis dros.
am SemTxvevaSi A = 100 dolr., q = 5 dolr., r =0,07, n = 12.
dReebi faqtobrivi raodenobis gamoangariSebis dros ori
TariRidan mxolod erTis gaTvaliswinebaa miRebuli. maSin dReebis
raodenoba 2016 wlis 1 martidan 1 seqtembramde toli iqneba 184-is,
xolo 2016 wlis 17 ivlisidan 1 seqtembramde – 46-is. maSasadame,
46
w = 0,25.
184
(1.22) formuliT vpoulobT, rom

35
    
   
P
1  10 1  0,07 1  1  100   117,49 dolr.
0 , 25  0,07  2   12  11 
 0,07    1  0,07   1  0,07  
1    
 2     2    2  
SeniSvna. 1.14 magaliTSi TariRebs Soris DdReebis raodenoba
ganvsazRvreT kalendris mixedviT. es miRebulia, kerZod, aSS-s
saxazino obligaciebis bazarze. dReebis gamoTvlis es standarti
aRiniSneba Actoal/actual-iT. obligaciebis sxva bazrebze SesaZleblia
gamoyenebuli iyos sxva standartebi. magaliTad 30/360 standarti,
rodesac nebismier TveSi dReebis raodenoba 30-is tolad iTvleba
xolo weliwadSi dReebis raodenoba – 360-ad.
magaliTi 1.15. ganvsazRvroT, magaliTad, 1.14 ganxiluli
obligaciis fasi Tu moqmedebs 30/360 standarti.
30/360 standartis dros dReebis raodenoba 1 martidan 1
seqtembramde tolad iTvleba 180-is, xolo 17 ivlisidan 1
seqtembramde – 44-is. maSin
44
w = 0,2444.
180
am SemTxvevaSi obligaciis fasi ase gamoiTvleba:
   
   
P
1  10 1  0,07 1  1  100   117,51 dolr.
0 , 2444  0,07  2   12  11 
 0,07     0,07   1  0,07  
1    1  2  
 2        2  
Tu obligaciis SeZena birJaze xdeba, maSin myidveli valdebulia
gadaixados obligaciis kotirebuli fasi da daricxuli procentebi
(accrued interest), romelic Semdegnairad gamoiTvleba:
N1
Al  q, (1.23)
N
sadac q -naxevarwliani kuponuri gadaxdaa;
N1 - dReebis raodenobaa ukanaskneli kuponuri gadaxdidan
dafarvis TariRamde;
N - dReebis raodenoba kuponur periodSi.
obligaciis kotirebuli fasis da daricxuli procentebis jams
uwodeben `WuWyian~ fass (dirty price).
magaliTi 1.16. ganvsazRvroT daricxuli procentebi 1.14
magaliTSi ganxiluli obligaciisaTvis.

36
 Actoal/actual– standartis gamoyenebis dros gvaqvs:
184  46 138
Al  5  5  3,75 dolr.,
184 184
xolo 30/360 standartis dros:
180  44 136
Al  5  5  3,78 dolr.
180 180

1.7 obligaciis Semosavlianobis Sefaseba

obligaciebis bazarze iyeneben obligaciebis Semosavlianobis
sxvadasxva zomas.
1.7.1 mimdinare Semosavlianoba
kuponuri obligaciis mimdinare Semosavlianobad miRebulia
CaiTvalos wlis ganmavlobaSi kuponuri gadaxdebis jamis fardoba
obligaciis sabazro fasTan.
magaliTi 1.17. ganvsazRvroT 1000 dolaris nominalis da
naxevarwliani kuponebis mqone 6%-iani obligaciis mimdinare
Semosavlianoba, romelic iyideba 700,89 dolarad, roca mis
dafarvamde darCenilia 18 weli.
1000  0,06
mimdinare Semosavlianoba = = 0,0856, e.i. 8,56%.
700,89
1.7.2 dafarvis mimarT Semosavlianoba
naxevarwliani kuponebis mqone obligaciis dafarvis mimarT
Semosavlianoba (yield to maturity) warmoadgens Semdegi gantolebis
amonaxsens:
 
 
1  n 1 q A 
w 
P  AI  i
 n 1 
(1.24)
 y  i 0  y  y
1    1   1   
 2   2  2 
sadac P - obligaciis kotirebadi fasia;
AI - saangariSo TariRze daricxuli procentebia;
q -naxevarwliani kuponuri gadaxda;
A - obligaciis nominaluri Rirebuleba;
n - obligaciis dafarvamde darCenili kuponuri gadaxdebis
raodenobaa;
w - ganaRdebis TariRidan morigi kuponur gadaxdis TariRamde
dReebis raodenobis fardobaa kuponur periodSi dRebis
raodenobasTan.
37
 magaliTi 1.18. ipoveT dafarvis mimarT Semosavlianoba
obligaciisaTvis 1.17 magaliTidan.
mocemul SemTxvevaSi
1000  0,06
P = 700,89 dolr., AI =0, q = = 30 dolr.,
2
A =1000 dolr., n =36, w =1.
Sesabamisad, dafarvis mimarT Semosavlianoba akmayofilebs Semdeg
gantolebas:
 
 
60  1  1000
700,89   1 36 
 36
.
y  y   y 
 1    1  
 
  2   2
ramdenadac
 
 
60  1  1000
 1 36 
 36
 700,8895 dolr.,
0,095  0,095   0,095 
 1    1  
 2 2 
    
amdenad obligaciis dafarvis mimarT Semosavlianoba tolia
9,50%.
Znelia araa imis damtkiceba, rom adgili aqvs Semdeg debulebebs:
1) Tu kuponuri obligacia nominaliT iyideba, maSin kuponuri
ganakveTi obligaciis mimdinare Semosavlianobis da misi dafarvis
mimarT Semosavlianobis tolia;
2) Tu kuponuri obligacia premiiT iyideba, maSin kuponuri
ganakveTi obligaciis mimdinare Semosavlianobaze metia, romelic
Tavis mxriv dafarvis mimarT Semosavlianobaze metia;
3) Tu kuponuri obligacia diskontiT iyideba, maSin kuponuri
ganakveTi obligaciis mimdinare Semosavlianobaze naklebia, romelic
Tavis mxriv naklebia dafarvis mimarT Semosavlianobaze (ix.
magaliTebi 1.17 da 1.18).

1.7.3. gamoxmobis mimarT Semosavlianoba

obligaciebis emisis dros, umetes SemTxvevaSi, xdeba SeTanxmeba
emitetis uflebaze gamoisyidos Tavisi emisia an misi garkveuli
nawili obligaciis dafarvis dadgenil TariRamde. aseT obligaciebs
miRebulia ewodos gamoxmobadi (callable bonds). gamoxmobadi

38
obligaciebisaTvis winaswar dgindeba gamoxmobis grafiki, romelic
gviCvenebs im droze damokidebulebiT gamoxmobis fasebs, romelic
gasulia emisiis TariRis Semdeg; Cveulebriv emisiidan garkveuli
drois Semdeg gamoxmobis fasi obligaciis nominalze maRali
dgindeba, xolo Semdeg TandaTan ecema nominalamde.
gamoxmobis mimarT Semosavlianoba (yield call) im pirobiT, rom
angarisworebis TariRi dgeba kuponuri gadaxdis TariRis dros,
warmoadgens Semdegi saxis gantolebis amonaxsens:
n*
q A*
P i
 n*
,
i 1  y  y
1   1  
 2  2
sadac, P - obligaciis kotirebadi fasia naxevarwliani kuponebiT;
q -naxevarwliani kuponuri gadaxda;
n* - gamoxmobis ganxilul TariRamde darCenili kuponuri
gadaxdebis ricxvia;
A* - drois Sesabamis momentSi gamoxmobis fasia.
magaliTi 1.19. mocemuli 1000 dolaris nominalis mqone 11%-iani
obligacia naxevarwliani kuponebiT da dafarvis 19 wliani vadiT,
romelic iyideba 1224,07 dolarad. ganvsazRvroT obligaciis
Semosavlianoba a) dafarvis mimarT; b) 1055 dolaris fasad 6 wlis
Semdeg gamoxmobis mimarT; g) nominaliT 10 wlis Semdeg gamoxmobis
mimarT.
mocemuli obligaciis dafarvis mimarT Semosavlianobam unda
daakmayofilos Semdegi gantoleba:
 
 
110  1  1000
1224,07   1 38 
 38
.
y
 1    1  
y y
 
  2   2
am gantolebis amoxsniT miviRebT, rom y = 0,0858. amgvarad,
dafarvis mimarT Semosavlianoba Seadgens 8,58%-s.
6 wlis Semdeg gamoxmobis mimarT Semosavlianoba warmoadgens
Semdegi gantolebis amonaxsens:
 
 
110  1  1055
1224,07   1 12  12
.
y
 1  y   y
 1   
 2  2
   
39
 saidanac y =0,0710, e.i. 7,10%.
bolos, nominaliT gamoxmobis mimarT Semosavlianoba Seadgens
7,74%-s, ramdenadac unda daakmayofilos Semdegi gantoleba:
 
 
110  1  1000
1224,07   1 20  20
.
y
 1  y   y
 1   
 2  2
   

1.7.4 gayidvis mimarT Semosavlianoba

zog SemTxvevaSi emisiis pirobebis Tanaxmad obligaciebis
mflobels gaaCnia ufleba miyidos emitents obligaciebi winaswar
dadgenil fasad, romelic damokidebulia emisiis momentidan
gasvlis droze. aseT obligaciebs gayidvad (putable bonds)
obligaciebs uwodeben. gayidvadi obligaciebisaTvis gayidvis mimarT
Semosavlianoba (yield to put) SeiZleba ganisazRvros gamoxmobadi
obligaciebisaTvis Semosavlianobis moZebnis analogiurad.
Tu obligacia erTdroulad warmoadgens gamoxmobads da
gayidvads, maSin SeiZleba ganxiluli iyos Semosavlianoba
gamoxmobis yvela savaraudo TariRisa da Semosavlianoba yvela
savaraudo gayidvis TariRis mimarT. aseTi Semosavlianobebidan
yvelaze uaress uwodeben `uaresis~ mimarT Semosavlianobas (yield to
worst).

1.7.5. dikontirebis marJa

Semosavlianobis zomas, romelsac diskontirebis marJas
(diskounted margin) uwodeben mxolod mcocavi kuponuri ganakveTis
(floating rate securitise) mqone obligaciebis mimarT. umartives
SemTxvevaSi mcocavi kuponuri ganakveTi drois dadgenil momentSi
ganisazRvreba Semdegi formuliT:
mcocavi ganakveTi = ganakveTi-orientiri + fiqsirebuli namati.
diskontirebis marJas uwodeben ganakveT-orientirze namats,
romlis miRebasac varaudobs obligaciis mflobeli obligaciis
arsebobis ganmavlobaSi, im SemTxvevaSi, Tu ganakveTi-orientiri ar
gadaixreba Tavisi mimdinare donidan.
magaliTi 1.20. mocemulia 100 dolaris nominalis mqone 6 wliani
obligacia mcocavi kuponuri ganakveTiT. kuponuri ganakveTi
40
ganakveT-orientirze 80 sabaziso unqtiTaa meti da yovel 6 TveSi
erTxel ganisazRvreba. ganvsazRvroT diskontirebis marJa, Tu
obligaciis fasia 99,31 dolari, xolo ganakveT-orientiris mimdinare
mniSvnelobaa – 10%.
diskontirebis marJis gansazRvris dros iTvleba, rom ganakveTi-
orientiri drois ganmavlobaSi ar icvleba. maSasadame, am
SemTxvevaSi naxevarwliani kuponuri gadaxda Seadgens:
100  0,108
 5,4 dolr.
2
dikontirebis marJam unda daakmayofilos Semdegi gantoleba:
12
5,4 100,0
99,31   i
 12
.
i 1  0,1  x   0,1  x 
1   1  
 2   2 
romelic SeiZleba Semdegi saxiT CavweroT:
 
 
2  5,4  1  100,0
99,31  1 .
0,1  x   0,1  x    0,1  x 12
12

 1    1  
  2    2 
gantolebis amoxsniT miviRebT, rom x = 0,0096. ase rom,
diskontirebis marJa Seadgens 96 sabaziso punqts.

1.8 obligaciebis portfelis Semosavlianobebis Sefaseba

obligaciebis portfelis Semosavlianobebis SefasebisaTvis
yvelaze xSirad iyeneben Semosavlianobis Semdeg or zomas:
saSualoSewonil Semosavlianobas da Siga Semosavlianobas.

1.8.1 obligaciebis portfelis saSualoSewonili

Semosavlianoba
obligaciebis portfelis saSualoSewonili Semosavlianoba
(weighted average portfolio yield) ganisazRvreba Semdegi formuliT:
k

w y
i 1
i i .

sadac k - portfelSi obligaciebis raodenobaa;

yi - i -uri obligaciis Semosavlianobaa i = 1, 2, 3, . . . , k ;
wi - i -uri obligaciis sabazro Rirebulebis mTliani portfelis
sabazro RirebulebasTan fardobaa.

41
 magaliTi 1.21. portfelis Sedgeba ori obligaciisagan
naxevarwliani kuponebiT, romelTa parametrebi cxrilSia
miTiTebuli:
obligacia kuponuri dafarvamde nominaluri sabazro dafarvis mimarT
ganakveTi,% vada, weli Rirebuleba, Rirebuleba, Semosavlianoba,%
dolr. dolr.
1 7 1 10 000 9 905,70 8
2 10 2 20 000 20 000 10

ganvsazRvroT obligaciebis portfelis saSualoSewonili

Semosavlianoba.
mocemul SemTxvevaSi
9905,70
k= 2, y1 = 0,08, y2 = 0,10, w1   0,3312 ,
9905,70  20000
20000
w2   0,6688 .
9905,70  20000
amgvarad, portfelis saSualoSewonili Semosavlianoba tolia
0,3312  0,08  0,6688  0,10  0,0934 , e.i. 9,34%-is.

1.8.2 obligaciebis portfelis Siga Semosavlianoba

obligaciebis portfelis Siga Semosavlianoba (portfolio internal rate
of return) warmoadgens saprocento ganakveTs, romlis drosac
portfelidan gadaxdebis nakadis dayvanili Rirebuleba emTxveva am
portfelis sabazro Rirebulebas. Sesabamisad, rom ganvsazRvroT
obligaciebis portfelis Siga Semosavlianoba, winaswar unda
vipovoT mocemuli portfelidan gadaxebis nakadi.
magaliTi 1.22. vipovoT 1.21. magaliTidan obligaciebis portfelis
Siga Semosavlianoba.
ganxiluli portfelidan gadaxdebis nakads aqvs Semdegi saxe:
vada,weli 0,5 1,0 1,5 2,0

gadaxda, dolr. 350+1000=1350 10350+1000=11350 1000 21000

aqedan gamomdinare, obligaciebis portfelis Siga

Semosavlianobam unda daakmayofilos Semdegi gantoleba:
1350 11350 1000 21000
29905     .
y  y 
2
 y 
3
 y 
4
1
2 1  2  1  
 2
1  
 2
maSasadame y =0,0959.

42
 amgvarad, obligaciebis portfelis Siga Semosavlianoba Seadgens
9,59%-s.

1.9 sabazro Semosavlianobis mrudebi

ganvixiloT romeliRac kuponuri obligacia. TiToeuli
calkeuli kuponuri gadaxda da nominaluri Rirebulebis gadaxda
SeiZleba interpretirebuli iyos rogorc dafarvamde Sesabamisi
vadis dros nulovani kuponiT obligacia. am SemTxvevaSi TviTon
obligacia SeiZleba ganvixiloT rogorc nulovani kiuponebiT
obligaciebis portfeli.
radganac kuponuri obligacia da Sesabamisi nulovani kuponebiT
obligaciebiT portfeli gvpirdebian gadaxdebis erTnair nakadebs,
amdenad maTi fasebic unda emTxveodnen erTmaneTs. aqedan
gamomdinare, Tu gvecodineba nulovani kuponebiT obligaciis Siga
Semosavlianoba, SeiZleba vipovoT kuponuri obligaciis fasi.
nulovani kuponebiT obligaciis Siga SemosavlianobaTa nakrebs,
romelic gamoSvebulia erTidaigive sakredito reitingis mqone
emitentebis mier, uwodeben saprocento ganakveTebis droiT
stuqturas (term structure of interest rates).
saprocento ganakveTebis droiT stuqturis grafikul gamosaxvas
miRebulia ewodos (sabazro) Semosavlianobis mrudi (zero coupon
curve).
Semosavlianobis mrudi SeiZleba Seicvalos drois ganmavlobaSi.
1.4-1.7 naxatebze mocemulia sabazro Semosavlianobis mrudebis
magaliTebi.
saxazino (saxelmwifo) obligaciisaTvis sabazro
Semosavlianobis mruds uwodeben spot-ganakveTebis mruds (spot curve).
Tu cnobilia spot-ganakveTebis mrudi, maSin SesaZlebelia
ganvsazRvroT nebismieri kuponuri saxazino obligaciis fasi.
magaliTad, naxevarwliani kuponebiT saxazino obligaciis
kotirebadi fasi SeiZleba moiZebnos Semdegi foemuliT:
n
q A
P i
 n
, (1.26)
 ri   rn 
i 1
1   1  
 2  2
sadac P - obligaciis kotirebadi fasia;
A - obligaciis nominaluri Rirebuleba;

43
 n - obligac
o iis dafaarvamde kuponur
ri gadax
xdebis ricxvi;
ri - i naxevar
rwlian periodeb
p t-ganakveTi, i =1,22,3, ... , n .
bze spot
magaliTi 1.223. mocemulia naxevarwl
n liani kuuponuri gadaxd
debis da
100 dollaris no
ominalis s mqone 8%-iani
8 s
saxazino
o obligaacia.

44
 ganssazRvreT T am obl ligaciis fasi, roca mis m dafaarvamde rCeba 2
weli, xolo
x spot-ganaakveTebi 0,5, 1,0,, 1,5 daa 2 wel
lze Sesaabamisad
tolia 6, 6 6,5, 6,88 da 7%-i
is.
(1.26)) formul lis Sesabamisad
d gvaqvs:
4 4 4 1044
P     101,88
8 dolr..
0,06  0,065  2
 0, 068 
3
 0, 0
07 
4
1 1   1   1  
2  2   2   2 
imisaTvis, rom avvagoT spot-gan
s nakveTis mrudi,, aucillebelia
vicodeTT nulovani kuponebis mqone obligac ciebis sabazro
s fasebi
dafarviis sxvaddasxva vadebis dros. magram Cveuleebriv nu ulovani
kuponebiis mqone obli igaciebs uSveben mxollod daf farvamdee mcire
vadebis dros. am SemT TxvevaSi spot-g
ganakveTi
is mruddis modeelireba

45
SesaZlebelia sxvadasxva dafarvis vadebis mqone kuponuri
obligaciebis fasebis safuZvelze
magaliTi 1.24. bazarze gvaqvs 100 dolaris nominalis
naxevarwliani kuponebiT saxazino obligacia Semdegi monacemebiT:
dafarvamde vada, weli kuponuri ganakveTi fasi, dolarebSi

0,5 0,000 96,15

1,0 0,000 92,19
1,5 0,085 99,45
2 0,110 103,49

gamovarkvioT mocemul situaciaSi rogor SeiZleba avagoT spot-

ganakveTebis mrudi.
1. 6-Tviani spot-ganakveTi SeiZleba moiZebnos pirveli obligaciis
meSveobiT.
ramdenadac unda Sesruldes toloba
100
96,15  ,
r1
1
2
amdenad, r1 = 0,080, e.i. 8%-is.
2. wliuri spot-ganakveTi SeiZleba ganisazRvros Cveni siidan
meore obligaciiT:
100
92,19  2
, saidanac r2 =0,083, e.i. 8,3%-is.
 r2 
1  
 2
3. 1,5 welze spot-ganakveTs movZebniT mesame obligaciis
meSveobiT, ukve napovni gveqneba ra r1 da r2 spot-ganakveTebi.
ramdenadac obligaciis fasi unda emTxvevodes am obligaciis
gadaxdebis nakadis dayvanil Rirebulebas, amdenad
4,25 4,25 104,25
99,45    .
0,08  0,083  2
 r 
3
1 1   1  3 
2  2   2
Sesabamisad r3 =0,0893.
4. r4 spot-ganakveTs movZebniT wrfivi interpolaciis meSveobiT:
0,0893  r5
r4  .
2
maSin unda Sesruldes Semdegi toloba:

46
 5,5 5,5 5,5 105,5
103,49     .
0,08  0,089 93 
2
 0,0893  r 
4
 r 
5
1 1   1  5
 1  5 
2  2   4   2
e.i. gvaqvs gantoleb
g ba erTi cvladi iT. am gantoleb bis SerCCevis da
Secdomi is meTod
diT amox iviRebT, rom r5  0,0948 . maSin,
xsniT, mi
0,0893  0,09948
r4   0,092005 .
2
moceemul SemTxvevaS
Si spot-ganakveT
Tebis mru
uds gaaCCnia nor
rmaluri
saxe (nax
x. 1.8).

gaanviTarebbul fi inansur sistemebbSi saxeelmwifo o oblig gaciebi

iTvlebaa uriskod, xol lo yvel la danaarCeni obligac
o cia miReebulia
Seudard des maT T. aras saxelmwi ifo emiitetebis s mier gamoSvvebuli
obligac ciebis saxel
lmwifo ligaciebTan
obl Sesadar
reblad
SesaZleebelia gamoyeneb
g buli iyyos maCvenebeli,, romel lsac nul lovani
volatil lobis spredi
s ew
wodeba.
nulo ovani volatil lobis spredi
s atility sp
(zero-vola pread) ewwodeba
spot-gannakveTzee iseT danamats
d s, romlis drosac obl ligacieb bisagan
miRebulli gadax xdebis nakadis dayvanili Rir rebulebaa emTxveeva mis
sabazroo fass.
nulo ovani vo
olatilo obis spr
redi akmaayofileb bs Semdeeg ganto olebas:

47
 n
q A
P i
 n
,
 ri  x   rn  x 
i 1
1   1  
 2   2 
sadac P - naxevarwliani kuponebis mqone obligaciis kotirebadi
fasia;
q - naxevarwliani kuponuri gadaxda;
A - obligaciis nominaluri Rirebuleba;
n - obligaciis dafarvamde kuponuri gadaxdebis ricxvi;
ri - i naxevarwlian periodebze spot-ganakveTi, i =1,2,3, ... , n .
magaliTi 1.25. mocemuli 1000 dolaris nominalis mqone 10%-iani
korporatiuli obligacia naxevarwliani kuponebiT romlis
dafarvamde 3 welia darCenili. gansazRvreT nulovani volatilobis
spredi, Tu obligacia iyideba 1002,75 dolarad, xolo spot-
ganakveTebi 0,5, 1, 1,5, 2, 2,5 da 3 wlebze Sesabamisd tolia 6, 6, 7, 7, 8
da 8%-is.
Semdegi gantolebis
50 50 50 50
1002,75     
0,06  x  0,06  x  2
 0,07  x 
3
 0,07  x 
4
1 1   1   1  
2  2   2   
50 1050
 5
 6
 0,08  x   0,08  x 
1   1  
 2   2 
amoxsniT vpoulobT, rom x = 0,02. amgvarad mocemul SemTxvevaSi
nulovani volatilobis spredi Seadgens 200 sabaziso punqts.
SeniSvna. moklevadiani obligaciebis Sesadareblad SeiZleba
gamoyenebuli iqnas dafarvis mimarT Semosavlianobebs Soris
sxvaoba. magram grZelvadiani obligaciebisaTvis nulovani
volatilobis spredi iZleva SedarebiT zust Sefasebas.

1.10 savaraudo forvarduli ganakveTebi

Tu cnobilia sabazro Semosavlianobebis mrudi (zero coupon
curve), SesaZlebelia moiZebnos savaraudo forvarduli ganakveTebi.
savaraudo forvarduli ganakveTebi (implied forward rate) n
naxevarwliani periodebis Semdeg t periodebiT adre ganisazRvreba
Semdegi formuliT:

48
  n 1


 1  r   t

n 1

 2  
n f t  2 n
 1 , (1.27)
  rn  t 
 1   
  2 
sadac n f t - savaraudo forvarduli ganakveTia n naxevarwliani
periodebis Semdeg t naxevarwliani periodebiT adre;
rn 1 - nulovani kuponiT obligaciis Siga Semosavlianobaa n  1
naxevarwliani periodebis Semdeg;
rn - nulovani kuponiT obligaciis Siga Semosavlianobaa, romelic
ifareba n naxevarwliani periodebis Semdeg.
rom gaverkveT savaraudo forvarduli ganakveTebis arsSi,
ganvixiloT ori strategia.
strategia 1. vaxdenT Q fuladi Tanxis investirebas n  1
naxevarwliani periodebad rn1 ganakveTiT (es niSnavs, rom Q TanxiT
xmardeba nulovani kuponebis mqone im obligaciebis Sesyidvas,
romelic ifareba n  1 naxevarwliani periodebis Semdeg).
strategia 2. vaxdenT Q fuladi Tanxis investirebas n
naxevarwliani periodebad rn ganakveTiT, xolo Semdeg vaxdenT
dagrovili Tanxis reinvestirebas kidev t naxevarwliani periodebiT
z t ganakveTiT.
mocemulis strategiebi erTidaimave Sedegs mxolod da mxolod
maSin iZlevian, roca z t = n f t .
amgvarad, savaraudo forvarduli ganakveTi n f t _ es iseTi
ganakveTia, romlis uzrunvelyofa SeuZlia investors momavalSi t
naxevarwliani periodebSi, nulovani kuponebis mqone obligaciebiT
bazarze operirebiT.
magaliTi 1.26. 3 da 5 naxevarwlian periodebze sabazro
Semosavlianobebi Seadgens Sesabamisad 8 da 9%-s.
savaraudo forvarduli ganakveTi 1,5 wlis Semdeg erTi wliT
adre SeiZleba moiZebnos Semdegnairad:
 5


 1  0, 09  2


 2  
3 f 2  2 3
 1  0,10509 , e.i. 10,51%.
  0,08  2 
 1   
 2  

49
 Tu movaxdenT 100 dolaris investirebas 9%-iani ganakveTiT 2,5
wliT, maSin 2,5 wlis Semdeg miviRebT
5
 0,09 
1001    124,6182 dolr.
 2 
Tu ki movaxdenT 100 dolaris investirebas 8%-iani ganakveTiT 1,5
wliT,
3
 0,08 
1001    112,4854 dolr.
 2 
xolo Semdeg movaxdenT dagrovili Tanxis reinvestirebas
10,51%-iani forvarduli ganakveTiT kidev erTi wliT, miviRebT
2
 01051 
112,48641   124,6193 dolr.
 2 
amgvarad, orive ganxiluli strategia gvaZlevs erTidaigive
Sedegs (mcire gansxvaveba aixsneba gamoTvlebis dros
cdomilebebiT).
n ft savaraudo forvarduli ganakveTis grafikul
gamosaxulebas, rodesac t =1, 2, 3, ...… uwodeben forvarduli
ganakveTebis mruds (forward rate curve) n naxevarwliani periodebis
Semdeg.
SeiZleba damtkicdes, rom Tu forvarduli ganakveTebis mrudi
zrdadia (klebadia), maSin sabazro Semosavlianobebis mrudic
izrdeba (klebulobs). magram mzardi sabazro Semosavlianobis
mrudis dros forvarduli ganakveTebis mrudi araa aucilebeli
mzardi iyos.
magaliTi 1.27. drois am momentisaTvis cnobilia Semdegi
sabazro Semosavlianobebi:
dafarvis vada, weli 0,5 1,0 1,5 2,0
Semosavlianoba 0,080 0,083 0,089 0,090
amgvarad Semosavlianobebis mrudi izrdeba. savaraudo
forvarduli ganakveTebis ganmartebis Tanaxmad gvaqvs:
  0,083  2 
 1   
  2 
f1  2  1  0,086004 ;
1
  0,08  
 1   
  2  

50
  3


 1  0,089  2


 2  
1 f 2  2 1
 1  0,093515 ;
  0,08  2 
 1   
 2  
 4


 1  0,090  3


 2  
1 f 3  2 1
 1  0,093344 .
  0,08  3 
 1   
 2  
Sesabamisad, forvarduli ganakveTebis mrudi ar warmoadgens
mzards ( 1 f 2 > 1 f 3 ).
Tu cnobilia savaraudo forvarduli ganakveTebi, maSin
SesaZlebelia ganisazRvros sabazro Semosavlianobebic:
 1

 f  f  f   t 1 f 1   t

rt  21  0 1 1  1 1 1  2 1 ...1    1 . (1.28)
 2  2  2   2  
 
ramdenadac dadebiTi ricxvebis saSualo geometriuli ar
aRemateba am ricxvebis saSualo ariTmetikuls, amdenad:
 0 f1 1 f1 f1 
1  2  1  2  ...  1 
t 1

2  f1  1 f 1  ... t 1 f1
rt  2   1  0
.
 t  t
 
savaraudo forvarduli ganakveTebis meSveobiT SesaZlebelia
moiZebnos naxevarwliani kuპonebis mqone obligaciebis kotirebadi
fasi:
q q q
P   ...  
f  f   f  f   f1 
1  0 1 1  0 1 1  1 1 
f
1  0 1 1  1 1 ...1  n 1

2  2  2   2  2   2 
(1.29)
A

 f  f   f 
1  0 1 1  1 1 ...1  n 1 1 
 2  2   2 

1.11 kuponuri obligaciis fasis fardobiTi cvlileba

am momentisaTvis kuponuri obligaciis fasi damokidebulia
mxolod moTxovnil Semosavlianobaze. amasTan, rac ufro maRalia
moTxovnili Semosavlianoba, miT ufro dabalia obligaciis fasi,
51
piriqiT, rac uffro dab balia mo
oTxovnilli Semosavliano oba, miT ufro
maRaliaa fasi.
AavRn
niSnoT P (r ) -iT
T moTxovnili i r Sem
mosavliaanobis dros
kuponurri obliggaciis fasi.
f Tu r - rai
ime dadebbiTi riccxvia, maaSin:
P(r  r )  P(r )
P(r )
sidid
des vuwo
odebT obligaci
o iis fasi
is fardo
obiT zrdas, xol
lo
P(r )  P(r  r )
P(r )
sidid des – faardobiTT klebass.
kuponuri ob bligacii is fasiss fardoobiTi cvlileb
c a warmo
oadgens
am obli igaciis riskianoobis mniS
Svnelovan maCven
nebels.
ZiriTTadi deb bulebebi
1. mo
oTxovnilli Semosavliianobis erTid
daimave cvlillebisas
kuponur ri obli igaciis fasis fardob biTi zrrda yovvelTvis metia
fardobiTi kleebaze (nax.1.9).

magal
liTi 1.28. moocemuliia 8%--iani k
kuponurii obl
ligacia
naxevarw
wliani kuponebi
k iT, roml
lis daffarvamde darCenilia 15 weli,
im piro obebSi roca moTxovn nili Seemosavlianoba 10%-is xolo
obligacciis fas
si 84,62755 dolar
ris tollia.
moTxxovnili Semosavvlianobiis sxvad
dasxva cvlileb
c isas kupponuri
obligacciis fasis
f f
fardobiiTi rda da fardobiTi
zr kleba
moyvanil
lia cxrilSi

52
moTxovnili obligaciis fasi, fasis fasis
Semosavlianobis dolr. fardobiTi fardobiTi
cvlileba r , zrda kleba
sabaziso P ( r  r ) P ( r  r ) P(r  r )  P(r ) P(r )  P(r  r )
punqti2 P(r ) P(r )
% %
1 84,6957 84,5595 0,08 0,08
10 85,3126 83,9505 0,81 0,80
50 88,1347 81,3201 4,14 3,91
200 100,000 72,4703 18,16 14,37
0
SeniSvna. moTxovnili Semosavlianobis sakmarisad mcire cvlilebebis dros
obligaciis fasis fardobiTi zrda praqtikulad emTxveva fardobiT klebas.
2. rac ufro maRalia obligaciis kuponuri ganakveTi, miT
naklebia kuponuri obligaciis fasis fardobiTi cvlileba.
magaliTi 1.29. mocemulia naxevarwliani kuponebis maqone 5-
wliani obligaciebi r = 10% moTxovnili Semosavlinobis pirobebSi,
romelTa kuponuri ganakveTebi tolia 0,8 da 12%-is. obligaciis
fasis fardobiTi zrda da fardobiTi kleba moTxovnili
Semosavlianobis 10 sabaziso punqtiT cvlilebisas moyvanilia
cxrilSi:
kuponuri obligaciis fasi, dolr. fasis fasis
ganakveTi,% P (r ) P ( r  r ) P ( r  R ) fardobiTi fardobiTi
zrda,% kleba,%
0 61,3913 61,6844 61,0997 0,48 0,47
8 92,2783 92,6465 91,9118 0,40 0,40
12 107,7217 108,1275 107,3179 0,38 0,38
Sedegi. mocemuli emitetis mier gamoSvebuli erTidaimave
dafarvamde vadis mqone obligaciebs Soris yvelaze riskians
warmoadgens nulovani kuponebis mqone obligaciebi.
3. sxvadasxva Tanabari pirobebis dros rac ufro maRalia
moTxovnadi Semosavlianoba, miT ufro dabalia kuponuri
obligaciis fasis fardobiTi cvlilebebi.
magaliTi 1.30. mocemulia 8%-iani kuponuri obligacia
naxevarwliani kuponebiT, romlis dafarvamde darCenilia 15 weli,
roca moTxovnili Semosavlianoba 12 %-is, xolo obligaciis fasi
tolia 72,4703 dolaris.

2 sabaziso punqti procentis measedia

53
 obligaciis fasis fardobiTi zrda da fardobiTi kleba
moTxovnili Semosavlianobis sxvadasxva cvlilebis dros
moyvanilia cxrilSi, SevadaroT isini magaliT 1.28-dan obligaciis
analogiur maCveneblebs:
moTxovnili obligaciis fasi, dolr. fasis fasis
Semosavlianobis fardobiTi fardobiTi
cvlileba r , P ( r  r ) P ( r  r ) zrda kleba
sabaziso punqti P(r  r )  P(r ) P(r )  P(r  r )
P(r ) P(r )
% %
1 72,5245 72,4163 0,075 0,075
10 73,0144 71,9324 0,75 0,740
50 75,2532 69,8402 3,84 3,63
200 84,6275 62,7729 16,78 13,38

4. rac ufro naklebi dro rCeba obligaciis dafarvamde, miT

ufro mcirea obligaciis fasis fardobiTi cvlilebebi (diskontiT
gayidvadi vadamdeli obligaciebis garda).
magaliTi 1.31. ganvixiloT naxevarwliani kuponebis mqone
sxvadasxva dafarvis vadiani 4%-iani obligacia, Tu moTxovnili
Semosavlianoba 10%-is, xolo moTxovnili Semosavlianobis
cvlileba Seadgens 50 sabaziso punqts.
yvela gamoTvla moyvanilia cxrilSi.
dafarvis obligaciis fasi, dolr. fasis fasis
vada, weli P (r ) P ( r  r ) P ( r  R ) fardobiTi fardobiTi
zrda,% kleba,%
40 41,2106 43,5188 39,1279 5,6011 5,0538
30 43,2121 45,6813 40,9686 5,7140 5,1917
20 48,5227 51,1517 46,0906 5,4181 5,0122
10 62,6134 64,9907 60,3428 3,7968 3,6264
5 76,8348 78,5050 75,2063 2,1738 2,1195
Sedegi. Tu bazarze mosalodnelia saprocento ganakveTebis
vardna, maSin unda vflobdeT grZelvadian obligaciebs, xolo Tu
mosalodnelia saprocento ganakveTebis zrda, maSin –
moklevadianebs.
1.12 sabaziso punqtis fasi
obligaciis riskianobis Sesafaseblad gamoiyeneba maCvenebeli,
romelsac sabaziso punqtis fasi ewodeba.
54
 sabaziso punqtis fass (price value of a basis point - PVBP) uwodeben
100 dolr. nominalis mqone obligaciis fasis cvlilebas
moTxovnili Semosavlianobis erTi sabaziso punqtiT Semcirebis
dros.
amrigad, sabaziso punqtis fasi ganisazRvreba Semdegi
formuliT:
P  P (r  r )  P ( r ) , (1.30)
sadac P - obligaciis sabaziso punqtis fasia;
P (r ) - 100 dolr. nominalis mqone obligaciis fasia r –is toli
moTxovnili Semosavlianobis dros;
P ( r  r ) - obligaciis fasia r  r –is toli moTxovnili
Semosavlianobis dros, r =0,0001.
SeniSvna.
1. 100 dolr. nominalis mqone obligaciis fasis cvlileba
moTxovnili Semosavlianobis 1 sabaziso punqtiT gazrdis dros
praqtikulad emTxveva am obligaciis sabaziso punqtis fass.
2. 100 dolr. nominalis mqone obligaciis fasis cvlileba
moTxovnili Semosavlianobis x sabaziso punqtiT Semcirebis
(gazrdis) dros, roca x  10 , daaxloebiT tolia x raodenobis
sabaziso punqtis dayvanili fasis.
magaliTi 1.32. ganvixiloT 6%-iani obligacia naxevarwliani
kuponebiT, romlis dafarvamde darCenilia 10 weli, xolo
moTxovnili Semosavlianoba 10 %-is tolia.
am SemTxvevaSi,
r =0,1, r =0,0001, r  r =0,0999,
6  1  100
P (r )  1  20 
  75,0756 dolr.
0,1  (1,05)  (1,05) 20
6  1  100
P (r  r )  1  20 
  75,1273 dolr.
0,0999  (1,04995)  (1,04995) 20
da (1.30) formulis mixedviT sabaziso punqtis fasi
 1 P =75,1273-75,0756=0,0517 dolr.
Sesabamisad, moTxovnili Semosavlianobis 8 sabaziso punqtiT
momatebisas obligaciis fasis cvlileba daaxloebiT Semdegis
toli unda iyos:
8 1 P  8  0,0517  0,4136 .

55
 am cvlileb
c bis zust ti mniSvvneloba SeiZleb ba Semdeegnairad
d iqnas
moZebnil li:
P ( r )  P ( r  0,0008)  75,07556  74,66311  0,4125 .

Znel
lia araaa imis Seemowmeba, rom ad
dgili aqvs Semd deg debuulebas:
rac ufro maRalia mocemu uli obligaci iisaTvis moTxo ovnili
Semosavl
lianoba, miT uf fro dabaalia sabbaziso punqtis
p f
fasi (nax
x. 1.10).
magal
liTi 1.333. ganvixiloT obligacia 1.32 magali iTidan 6%-iani
6
moTxovnnili Semmosavliaanobis dros.
d am SemTxveevaSi sab
baziso punqtis
p
fasi:
 2 P  P(0,0599)  P(0,06)  100,0744  100,0000  0,0744
aWarb Tidan saabaziso punqtis fass.
bebs 1.32 magaliT
obliigaciebis portf felisaT
Tvis sabaaziso puunqtis fasi
f moiZebneba
Semdegi formul liT:
N
Ak
 1000  
k 1
k P,

sadac c Ak - k -u
uri saxis oblig
gaciis no
ominaluuri Rireebulebaaa;
 k P - k -uri sa axis obl
ligaciis
s sabazi sia 100 dolr.
iso punqqtis fas
nominal lis dros s;
N - portfel
p lSi oblligaciebi
is raodeenoba.

1.13 finansuri instrummentebis

s duraci
ia
ixiloT finansur
ganvi rumenti Semdegi gadaxdebis nakadiT:
ri instr
v
vada, weli t1 t2 ... tk
gadax
xda, dolaari C t1 C t2 ... C tk

56
 Tu procentis weliwadSi orjer daricxvis pirobebSi
moTxovnili Semosavlinoba r -is tolia, maSin mocemuli finansuri
instrumentis makoleis duracias (Macaulay duration) uwodeben Semdeg
sidides:
k V (Cti )
D   ti  , (1.31)
i 1 P
C ti
sadac V (Ct )  2 ti
i -uri gadaxis dayvanili Rirebulebaa, i = 1,
 r
i

1  
 2
2, 3, ..., k ;
k
P    V (C ti ) - finansuri instrumentis mimdinare fasia.
i 1

finansuri instrumentis modificirebuli duracia3 (modified

duration) ganisazRvreba Semdegi tolobiT:
D
Dmod  , (1.32)
r
1
2
sadac D - makoleis duraciaa;
r-
moTxovnili Semosavlinobaa procentis weliwadSi orjer
daricxvis dros.
adgili aqvs Semdeg tolobas:
dP
  Dmod  P ,
dr
e.i. moTxovnili Semosavlianobis mixedviT finansuri
instrumentis warmoebuli fasi tolia am instrumentis
modificirebuli duraciis mis fasze namravlis mopirdapire
niSniT.
duraciis ZiriTadi Tviseba – moTxovnili Semosavlianobis
mcire cvlilebebisas adgili aqvs Semdeg tolobas
P
  Dmod  r , (1.33)
P
P P(r  r )  P(r )
sadac  finansuri instrumentis fasis fardobiTi
P P(r )
cvlilebaa moTxovnili Semosavlianobis r (dadebiTi an
uaryofiTi) sididiT cvlilebisas;

3formula, romelic gamosaxavs saprocento ganakveTis cvlilebiT gamowveuli fasiani

qaRaldebis gazomvad cvalilebas.
57
 Dmod - modificirebul
li durac
ciaa.
(1.33) tolobi idan, ker rZod, gamomdinar reobs, rom
r
P(r  r )  P (r )  P (r )  Dmod  r . (1.34)
(1.34)) tolob bis geommetriuli ilust tracia moyvanil
m lia nax 1.11-ze.

magal
liTi 1.34.
1 finansuri instr
rumenti xasiaTdeba S
Semdegi
gadaxdeebis nakadiT:
vada, weli 1,0 1,5 2,0 3,0
gadax
xda, dolaari 100 120 130 300
finan
nsuri instru
umentis duraaciis gamoTvl
la 100%-iani
moTxovnnili Semmosavliaanobis dros
d moyyvaniliaa cxrillSi:
ti C ti  V (C t i ) V (C ti ) V (Cti )
ti 
P P
1,0 100 90,70295 0,,17271 0,172271
1,5 120 103,66051 0,,19738 0,296607
2,0 130 106, 95132 0,,20365 0,407730
3,0 300 223,86462 0,42626 1,27878
 - 525,17940 1,000000 2,15486
( P)
amrig
gad, fin
nansuri instrummentis maakoleis duraci ia toli ia 2,155
weli.
maSi
in modif
ficirebuuli durracia mo
oiZebnebaa Semdegn
nairad:
D 2,15 55
Dmod  2,052 wel
li.
0,1 1,05
5
1
2

58
 Tu moTxovnili Semosavlianoba gaizrdeba 10 punqtiT, maSin
P
  Dmod  r  2,052  0,001  0,00205 ,
P
e.i. finansuri intrumentis fasi daecema 0,2%-iT.
Tu moTxovnili Semosavlianoba uceb daecema 200 sabaziso
punqtiT, maSin finansuri instrumentis fasi gaizrdeba daaxloebiT
4,104%-iT ramdenadac
P
 2,052  (0,02)  0,04104 .
P
am or SemTxvevaSi finansuri instrumentis fasis fardobiTi
cvlilebebis zusti mniSvnelobebi Sesabamisad tolia -0,002049-is da
0,04222-is.
naxevarwliani gadaxdebiT Cveulebrivi rentis duracia SeiZleba
moiZebnos Semdegi formuliT:
r
1
D 2n 1
, (1.35)
r 2  r n
1    1
 2
sadac r - moTxovnili Semosavlinobaa (procentis weliwadSi
orjer daricxvis dros);
n - rentis gadaxdebis ricxvia.
kerZod, uvado rentis duracia ganisazRvreba tolobiT
r
1
D 2. (1.36)
r
naxevarwliani kuponebis mqone obligaciis makoleis duracia,
roca mis dafarvamde zustad n naxevarwliani periodi rCeba,
SeiZleba moiZebnos Semdegi formuliT:
r
1
D 2  H  n  r  f 1  H  , (1.37)
r 2 r 
sadac r - moTxovnili Semosavlinobaa procentis weliwadSi
orjer daricxvis dros;
f - obligaciis kuponuri ganakveTia;
H - kuponuri gadaxdebidan rentis dayvanili Rirebulebis
obligaciis fasTan fardobaa.

59
 magaliTi 1.35. mocemulia 7%-iani obligacia naxevarwliani
kuponebiT, romlis dafarvamde darCenilia 20 weli, xolo
moTxovnili Semosavlianoba 10 %-is tolia.
mocemul SemTxvevaSi r =0,1, f =0,07, n = 40, q = 3,50 dolr.
naxevarwliani kuponuri gadaxdebidan rentis dayvanili
Rirebuleba SeiZleba moiZebnos Semdegnairad:
   
   
q2  1  7  1   60,05680 .
1  1
r   r  n  0,1   0,1  40 
 1     1   
  2     2  
obligaciis fasia:
   
   
q2  1  A 7  1  100
PP 1   1  74,26137 .
r   r   r
n n
0,1   0,1    0,1  40
40

 1    1    1    1  
  2    2    2    2 
ramdenadac,
60,05680
H  0,80872 ,
74,26137
amdenad,
1,05 0,03
D  0,80872  20  (1  0,80872)  9,63924 weli,
0,1 0,1
D 9,63924
Dmod   9,18023 .
r 1,05
1
2
gadaxdebis nakadebiT mocemuli nebismieri finansuri
instrumentis modificirebuli duraciis gamoTvlisaTvis SeiZleba
gamoyenebuli iqnas Semdegi miaxloebiTi formula:
V (r  y )  V (r  y )
Dmod  , (1.38)
2V (r )  y
sadac r - moTxovnili Semosavlinobaa procentis weliwadSi
orjer daricxvis dros;
y - moTxovnili Semosavlianobis SerCeuli cvlilebaa;
V (r ) , V ( r  y ) , V ( r  y ) - Sesabamisad r , r  y , r  y -is toli
moTxovnili Semosavlianobebis dros finansuri instrumentebis
fasebia.
mgaliTi 1.36. ganvixiloT obligacia 1.35 magaliTidan. am
obligaciis modificirebuli duraciis zusti mniSvneloba 9,18023
60
welia. vipovoT am obligaciis modificirebuli duracia
miaxloebuli (1.38) formulis meSveobiT, roca y = 20 sabaziso
punqtis.
ramdenadac
V (0,1)  74,26137 ;
7  1  100
V (0,098)  1  40 
 75,64469 ;
0,098  (1,049)  (1,049) 40
7  1  100
V (0,102)  1  40 
  72,91729 ,
0,102  (1,051)  (1,051) 40
amdenad
75,64469  72,91729
Dmod   9,18175 weli.
2  74,26137  0,002
makoleis duraciis Sesaxeb ZiriTadi debulebebi naxevarwliani
kuponebis mqone kuponuri obligaciebisaTvis, rodesac morigi
kuponur gadaxdamde darCenilia 6 Tve.
1. nebismieri kuponuri obligaciis duracia ar aWarbebs mis
dafarvamde vadas, xolo nulovani kuponiT obligaciis duracia
yovelTvis emTxveva mis dafarvamde vadas.
2. Tu obligaciis kuponuri ganakveTi nulisagan gansxvavebulia,
maSin, rac metia moTxovnili Semosavlianoba, miT ufro mcirea
duracia.
3. Tu obligaciis dafarvamde rCeba erT kuponur periodze meti,
maSin, rac ufro metia kuponuri ganakveTi ucvleli moTxovnili
Semosavlianobisas, miT ufro mcirea duracia.
4. rac ufro naklebi dro rCeba obligaciis dafarvamde
sxvadasxva ucvleli faqtorebis dros, miT mcirea duracia
(diskontiT gayidvadi grZelvadiani obligaciis gamoklebiT).

1.14 obligaciebis portfelis modificirebuli duracia

obligaciebis portfelis modificirebuli duracias uwodeben
am portfelSi Semavali obligaciebis modificiebuli duraciebis
RirebulebiT Sewonil jams, e.i.
k
Dmod   Dimod wi , (1.39)
i 1

sadac Dmod - portfelis modificirebuli duraciaa;

61
 Dimod - i -uri obligaciis modificirebuli duraciaa, i =1, 2, ...…, k .
obligaciebis portfelis modificirebuli duraciis ZiriTadi
Tviseba: Tu portfelis yvela obligaciis moTxovnili
Semosavlianobebi icvlebian erTidaigive sakmarisad mcire sididiT,
adgili aqvs Semdeg miaxloebiT tolobas:

  Dmod  r , (1.40)


sadac portfelis fasis fardobiTi cvlilebaa moTxovnili

Semosavlianobis r sididiT cvlilebisas;
Dmod - portfelis modificirebuli duraciaa.
magaliTi 1.37. ganvixiloT portfeli, romelic Sedgeba
naxevarwliani kuponebis mqone sami obligaciisagan 10%-iani
moTxovnili Semosavlianobisas Semdegi monacemebiT:
obligacia nominali, dolr. sabazro Rirebuleba, modificirebuli
dolr. duracia, weli
10%-iani 5 4 000 000 4 000 000 3,861
wliani
8%-iani 15 5 000 000 4 231 375 8,047
wliani
4%-iani 30 1 000 000 1 378 586 9,168
wliani
am SemTxvevaSi portfelis sawyisi Rirebuleba = 9 609 961
dolr.
maSin
4000000
w1   0,416235 ;
9609961
4231375
w2   0,440311 ;
9609961
1378586
w3   0,143454 .
9609961
Sedegad, obligaciebis portfelis modificirebuli duracia
Seadgens
Dmod  0,416235  3,861  0,440311  8,047  0,143454  9,168  6,465 weli.
Tu moTxovnili Semosavlianoba uceb gaizrdeba 60 sabaziso
punqtiT, maSin

 6,465  0,006  0,0388 ,

e.i. portfelis fasi daecema 3,88%-iT.
62
 portfelis fasis zusti cvlileba tolia – 0,0376-is, e.i. -3,76%-
is.
amboben, rom investors obligaciebis bazarze ukavia grZeli
pozicia (long position), Tu man am bazarze iyida romeliRac
obligacia.
Tu ki investorma dilerisagan obligacia aiRo valad da gayida
is bazarze, maSin amboben, rom obligaciebis bazarze mas ukavia
mokle pozicia (short position). investori, romelsac ukavia mokle
pozicia, valdebulia momavalSi drois garkveul momentSi
daubrunos dilers obligacia da gadauxados kompensacia miuRebel
kuponur gadaxdebisaTvis. ganvixiloT magaliTze, Tu rogor
ganvsazRvroT im portfelis modificirebuli duracia, romelic
Sedgeba obligaciebis bazarze grZeli da mokle poziciebisagan.
magaliTi 1.38. portfeli Sedgeba ori poziciisagan: 100 mln.
dolaris odenobiT grZeli poziciisagan 101 dolari fasis mqone
orwlian obligaciaze, modificirebuli duraciiT 1,7 da mokle
poziciisagan 50 mln. dolaris odenobiT 99 dolari fasis mqone 5
wliani obligaciebze, modificirebuli duraciiT 4,1. ganvsazRvroT
am portfelis modificirebuli duracia.
portfelis sawyisi Rirebuleba SeiZleba moiZebnos
Semdegnairad:
100000000 50000000
 101   99  51500000
100 100
maSin
101000000 49500000
w1   1,961165, w2    0,961165
51500000 51500000
xolo portfelis modificirebuli duracia udris
1,961165  1,7  0,961165  4,1  0,607 .

1.15. duraciis danarTi

1.15.1. obligaciebis gacvla
davuSvaT, rom investori ganixilavs V x Rirebulebis da D xmod
modificirebuli duraciis mqone X obligaciis Py fasis dros D ymod
modificirebuli duraciis mqone Y obligaciaze gadacvlis sakiTxs
(100 dolaris nominalze).

63
 gamovarkvioT rogori unda iyos Y obligaciis nominali, rom X
obligaciis Y obligaciaze gadacvlam ar moaxdinos investoris
saprocento riskis qveS yofnis gaZliereba.
Tu X obligaciis moTxovnili Semosavlianoba Seicvleba r
sididiT, maSin am obligaciis Rirebulebis Sesabamisi cvlilebis
warmodgena SesaZlebelia tolobiT:
V x   D xmod  V x  r . (1.41)
statistikuri gamokvlevebis safuZvelze dadgenilia, rom
SeiZleba vivaraudoT X obligaciis moTxovnili Semosavlianobis r
sididiT cvlilebis dros Y obligaciis moTxovnili
Semosavlianoba icvleba  r sididiT.
maSin Y obligaciis Rirebulebis Sesabamisi cvlileba SeiZleba
moiZebnos Semdegi formuliT:
Ay
 Py    r ,
V y   D ymod  (1.42)
100
sadac Ay _ Y obligaciis nominalia.
obligaciebis gacvla ar moaxdens saprocento riskis qveS
yofnis gaZliereba, Tu nebismieri r -is dros
V x  V y
e.i.
Ay
 D xmod  V x  r   D ymod  Py    r .
100
aqedan
D xmod V x
Ay   100 . (1.43)
D ymod   Py
(1.43) toloba gviCvenebs, Tu rogori unda iyos Y obligaciis
nominali, rom X obligaciis Y obligaciaze gadacvlis dros ar
gaizardos saprocento riski.
magaliTi 1.39. investori ganixilavs 8 mln. Rirebulebis X
obligaciis Y obligaciaze gadacvlis sakiTxs misi Py =96 dolr.
fasis dros. X da Y obligaciebis modificirebulei duraciebi
Sesabamisad tolia 5 da 4-is, xolo koeficienti  tolia 1,6-is.
imisaTvis rom gacvlis dros ar Seicvalos saprocento riskis
qveS yofna, Y obligaciis nominalma unda daakmayofilos toloba:
5 8000000
Ay    100  6510417 .
4 1,6  96

64
 amgvarad, Y obligaciis saZiebeli nominali toli unda iyos 6
510 417-is.

1.15.2 obligaciebis portfelis imunizacia

davuSvaT, rom drois mocemul (nulovan) momentSi investori
flobs obligaciebis portfels, romlis gayidvasac apirebs T wlis
Semdeg.
Tu drois mocemuli monetisaTvis yvela sabazro
Semosavlianobebi erTnairia, e.i. Semosavlianobis mruds Tanabari
saxe aqvs, maSin investiciebis  A (T ) momavali Rirebuleba T wlis
Semdeg gansazRvreba Semdegnairad:
2T
 r
 (T )   (r )  1   ,
A

 2
sadac r - sabazro Semosavlianobaa;
 (r ) - r -is toli sabazro Semosavlianobis dros portfelis
Rirebulebaa.
 A (T ) momaval Rirebulebas uwodebT obligaciebis portfelis
miznobrivad dagrovil Rirebulebas.
magram Tu drois mocemul momentsa da pirvel saprocento
gadaxdas Soris sabazro Semosavlianobebi erTidaimave x sididiT
icvlebian, xolo Semdgom aRar Seicvlebian, maSin investiciebis
 F (T ) momavali Rirebuleba T wlis Semdeg akmayofilebs tolobas
2T
 r  r 
 (T )   (r  r )1 
F
 .
 2 
 F (T )
momaval Rirebulebas uwodebT obligaciebis portfelis
faqtobrivad dagrovil Rirebulebas.
obligaciebis portfelis faqtobrivad dagrovil Rirebuleba
SeiZleba aRmoCndes am portfelis miznobrivad dagrovil
Rirebulebaze an maRla an dabla. magram Tu investoris droiTi
horizonti T emTxveva obligaciebis portfelis makoleis
duracias, maSin obligaciebis portfelis faqtobrivad dagrovili
Rirebuleba arasodes ar iqneba miznobrivad dagrovil
Rirebulebaze naklebi.
magaliTi 1.40. ganvixiloT naxevarwliani kuponebis mqone ori
obligaciisagan Sedgenili portfeli, rodesac yvela sabazro

65
Semosavlianoba 6%-is tolia. mocemuli portfelis obligaciebis
Sesaxeb ZiriTdi monacemebi moyvanilia qvemoT cxrilSi.
obligacia nominali Rirebuleba makoleis duracia
6%-iani, 4 1 000 1000,00 3,615
wliani
8%-iani, 5 2 000 2170,60 4,254
wliani
mocemuli obligaciebis portfelis makoleis duracia
Semdegnairad moiZebneba
1000 2170,60
D( )  3,615   4,254   4,053 .
3170,60 3170,60
4,053 wlis Semdeg portfelis miznobrivad dagrovili
Rirebuleba toli iqneba:
3170,60  (1  0,03) 4, 0532  4029,02 .
cxrilSi naCvenebia sxvadasxva sabazro Semosavlianebebis dros
faqtobrivad dagrovili Rirebulebebi 4,053 wlis Semdeg:
sabazro Semosavlianobebis faqtobrivad dagrovili
cvlileba r ,% Rirebuleba  F (T ) , sadac T  D ( )
-2 4030,23
-1 4029,32
0 4029,02=  A (T )
1 4029,35
2 4030,28
portfelis imunizaciis strategia gaTvlilia obligaciebis
portfelis saprocento riskisagan dasacavad. es strategia
varaudobs Semdeg moqmedebebs. drois sawyis momentSi xdeba
obligaciebis portfelis formireba ise, rom am portfelis
makoleis duracia emTxvevodes investoris droiT horizonts.
droTa ganmavlobaSi periodulad xdeba portfelis gadaxedva ise,
rom yovel jerze makoleis duracia emTxvevodes investoris droiT
horizonts.

1.16 finansuri instrumentis amozneqiloba

ganvixiloT inansuri instrumenti Semdegi gadaxdebis nakadiT:
vada, weli t1 t2 ... tk
gadaxda, dolari C t1 C t2 ... C tk

66
 Tu moTxovn nili Semosavli ianoba procenti
p is weli iwadSi orjer
daricxvvisas r -is tol
lia, maSi in mocemmuli fi inansuri instruumentis
ilobas (convexityy) uwodeeben Semd
amozneqi deg ricxvs
1 k V (Cti )
C 2
  t i (t i  0,5) , (1.44)
 r i 1 P
1  
 2
C ti
sadac
c V (Cti )  2 ti
- i -ur
ri gadaxdis daayvanili Rirebu
ulebaa,
 r
1  
 2
i =1, 2, ...…, k .
k
P    V (C ti ) - finansu
uri inst
trumenti
is fasi.
i 1

adgil
li aqvs Semdeg tolobaas:
d 2P
CP
dr 2
e.i. finansur
ri insttrumenti is meore rigis
is fasi s warmo
oebuli
moTxovn ianobiT tolia am fin
nili Seemosavli nansuri instru
umentis
amozneqi ze namravlis.
ilobis mis fasz

amozneqilob bis ZiriT

Tadi Tvi
iseba
moTxxovnili Srmosavlianob lebebis dros adgili
bis mcree cclil a
aqvs Semmdeg miax
xloebiTT tolob bas
P C
  Dmod  r  (r ) 2 , (1.45)
P 2

67
 P
sadac - finansuri instrumentis fasis fardobiTi
P
cvlilebebia, romelic Sesabameba moTxovnili Semosavloanobis r
sididiT vclilebas;
Dmod - finansuri instrumentis modificirebuli duraciaa;
C - finansuri instrumentis amozneqiloba.

(1.45) toloba SeiZleba Semdegnairad adavweroT:

C
P (r  r )  p (r )  P (r )  Dmod  r  P (r )(r ) 2 . (1.46)
2
am tolobis geometriuli azri ilustrirebulia nax 1.12-ze.
magaliTi 1.41. finanasuri instrumenti gvpirdeba Semdeg
gadaxdebis nakads:
vada, weli 1,0 1,5 2,0 3,0
gadaxda, 100 120 130 300
dolari
mocemuli finansuri instrumentis amozneqilobis gamoTvla 10%-
iani moTxovnili Semosavlianobis dros moyvanilia cxrilSi:
ti C ti  V (C t i ) V (Cti ) V (C ti )
t i t i (t i  0,5) 
P P
1,0 100 90,70295 0,17271 0,25907
1,5 120 103,66051 0,29607 0,59214
2,0 130 106, 95132 0,40730 1,01825
3,0 300 223,86462 1,27878 4,47572
 - 525,17940 2,15486 6,34518
( P) ( D)
finansuri instrumentis modificirebuli duracia tolia
2,15486
Dmod   2,052 weli
1,05
xolo misi amozneqiloba –
6,43518
C 2
5,755 (weli)2 .
(1,05)
Tu moTxovnili Semosavlianoba drois sawyis momentSi
gaizrdeba 50 sabaziso punqtiT, maSin finansuri instrumentis fasi
daecema daaxloebiT -1,0188%-iT, ramdenadac
P 5,755
 2,052  0,005  (0,005) 2  0,010188 .
p 2
SevniSnoT, rom finansuri instrumentis miaxloebiT napovni
fasis fardobiTi cvlileba amozneqilobis gauTvaliswineblad -

68
0,01026-is tolia, xolo am ganzomilebis zusti mniSvneloba - -
0,010189-is.
Tu ki moTxovnili Semosavlianoba drois sawyis momentSi
daecema 200 sabaziso punqtiT, maSin finansuri instrumentis fasi
gaizrdeba daaxloebiT 4,219%-iT, ramdenadac
P 5,755
 2,052  0,02  (0,02) 2  0,042191 ,
p 2
maSin roca finansuri instrumentis miaxloebiT napovni fasis
fardobiTi cvlileba amozneqilobis gauTvaliswineblad 0,04104-is
tolia, am ganzomilebis zusti mniSvneloba 0,04222-is tolia.
ZiriTadi debulebebi finansuri instrumentebis amozneqilobis
Sesaxeb
1. finansuri instrumentis sawyisi fasis namravls mis
modificirebul duraciaze uwodeben am instrumentis dolarul
duracias. finansuri instrumentis dolaruli duracia moTxovnili
Semosavlianobis mixedviT tolia am finansuri instrumentis
amozneqilobis Sebrunebuli niSniT mis fasze namravlis, e.i.
d ( PDnod )
 C  P .
dr
es niSnavs, rom finansuri instrumentis amozneqiloba
warmoadgens am instrumentis dolaruli duraciis cvlilebis
siCqris zomas.
2. moTxovnili Semosavlianobis Semcirebisas izrdeba
finansuri instrumentis duracia da amozneqiloba, amasTan
1 Dmod
C  Dmod
2
  .
r 2
1
2
3. Tu finansur instrumentebs gaaCniaT erTnairi
modificirebuli duraciebi, maSin moTxovnili Semosavlianobis
sakmarisad mcire cvlilebisas didi amozneqilobis mqone finansur
instruments fasis fardobiTi zrda meti aqvs, xolo fasis
fardobiTi kleba mcire. es niSnavs, rom erTidaimave
modificirebuli duraciis dros investorebisaTvis ufro
mimzidvelia didi amozneqilobis mqone finansuri instrumenti.
4. mocemuli moTxovnili Semosavlianobis da kuponuri
obligaciis dafarvamde vadis dros: rac ufro naklebia kuponuri
ganakveTi, miT ufro metia amozneqiloba.
69
 nebismieri finansuri instrumentis amozneqilobis
SefasebisaTvis SeiZleba gamoyenebuli iyos Semdegi miaxloebiTi
formula:
V (r  y )  V (r  y )  2V (r )
C . (1.47)
V (r )  (y ) 2
sadac r - moTxovnili Semosavlinobaa procentis weliwadSi
orjer daricxvis dros;
y - moTxovnili Semosavlianobis SerCeuli dadebiTi cvlilebaa;
V (r ) , V ( r  y ) , V ( r  y ) - Sesabamisad r , r  y , r  y -is toli
moTxovnili Semosavlianobebis dros finansuri instrumentebis
Rirebulebebia.
magaliTi 1.42. ganvixiloT 7%-iani naxevarwliani kuponebis mqone
obligacia, romlis dafarvamde 3 weli rCeba, xolo moTxovnili
Semosavlianoba 10%-is tolia.
SevafasoT mocemuli obligaciis amozneqiloba (1.47)
miaxloebiTi formulis meSveobiT da CavTvaloT, rom obligaciis
nominali 100 dolaris tolia. moTxovnili Semosavlianobis
cvlileba SevarCioT 20 sabaziso punqtiT ( y  0,002 ). maSin
V (0,1)  92,38646 ,
V (0,1  y )  92,87125 ,
V (0,1  y )  91,90480 .
(1.47) formuli mixedviT
92,87125  91,90480  2  92,38646
C  8,470 weli.
92,38646  (0,002) 2
mocemuli obligaciis amozneqilobis zusti mniSvnelobis
gamoTvla mocemulia cxrilSi:
ti C ti  V (C t i ) V (
t i (t i  0,5) 
P
0,5 3,5 3,333333 0,018040
1,0 3,5 3,174603 0,051543
1,5 3,5 3,023432 0,098178
2,0 3,5 2,879459 0,155838
2,5 3,5 2,742342 0,222625
3,0 103,5 77,233294 8,777797
 - 92,386463 9,324021
( P)
maSasadame,

70
 9,324021
C  8,457 (weli)2 .
(1,05) 2
amgvarad, (1.47) miaxloebiTi formula gvaZlevs obligaciis
amozneqilobis sakmarisad kargG Sefasebas.

1.17 obligaciis portfelis amozneqiloba

obligaciis portfelis amozneqilobas uwodeben am portfelis
Semadgenel RirebulebiT Sewonil obligaciebis amozneqilobebTa
jams , e.i. ganmartebis Tanaxmad
k
C    wi C i , (1.48)
i 1

sadac C - obligaciis portfelis amozneqilobaa;

C i - portfelis i -uri obligaciis amozneqilobaa, i =1, 2, ...…, k ;
wi - i -uri obligaciis sabazro Rirebulebis fardobaa
portfelis nTlian sabazro RirebulebasTan, i =1, 2, ...…, k ;
k - portfelSi obligaciebis raodenoba.
amozneqilobis ZiriTadi Tviseba
Tu portfelis obligaciebis moTxovnili Semosavlianoba
erTidaimave sididiT icvleba, maSin adgili aqvs Semdeg miaxloebiT
tolobas:
 C
  Dmod  r   ( r ) 2 , (1.49)
 2

sadac portfelis fasis fardobiTi cvlilebaa moTxovnili

Semosavlianobis r sididiT cvlilebisas;
Dmod - obligaciebis portfelis modificirebuli duraciaa;
C  - obligaciis portfelis amozneqiloba.
SevniSnoT, rom (1.49) toloba ufro zustad sruldeba, rac
ufro mcirea r (absoluturi mniSvnelobiT).
portfelis amozneqilobis rogorc saprocento riskis zomis
rolis Sesaxeb (1.49) tolobis safuZvelze SeiZleba gavakeTod
Semdegi daskvna.
Tu obligaciis portfelebs aqvT erTidaigive modificirebuli
duraciebi, maSin didi amozneqilobis mqone portfels fasebis
fardobiTi zrda meti aqvs, xolo fasebis fardobiTi daweva mcire.
71
 magram es debuleba samarTliania mxolod im SemTxvevaSi, roca
obligaciebis portfelis moTxonili Semosavlianoba icvleba
erTidaimave sididiT.
magaliTi 1.43. mocemulia sami naxevarwliani kuponuri
gadaxdebis mqone obligacia, romelTa ZiriTadi maCveneblebi
mocemulia cxrilSi:

obligacia kuponuri dafarvi nominali, dafarvis mimarT modificirebuli amozneqil

ganakveTi,% s vada, dolr. Semosavlianoba, duracia, weli oba
weli %
X 8,50 5 100 8,50 4,00544 19,8164
Y 9,50 20 100 9,50 8,88151 124,1702
Z 9,25 10 100 9,25 6,43409 55,4506
mocemuli obligaciebidan formirebulia ori portfeli:
portfeli A (50,2% X obligacia da 49,8% Y obligacia), portfeli
B ( Z obligacia).
portfeli A -s modificirebuli duracia moiZebneba
Semdegnairad:
D A  0,502  4,00544  0,498  8m88151  6,434
C A  0,502  19,8164  0,498  124,1702  71,7846 .
amgvarad, A da B portfelebis duracia erTnairia, xolo A
portfelis amozneqiloba metia B portfelis amozneqilobaze.
A da B portfelebis Rirebulebebis fardobiTi cvlileba
obligaciebis erTidaimave sididiT moTxovnili Semosavlianobebis
sxvadasxva cvlilebebis dros:

moTxovnili portfelis Rirebulebis fardobiTi

Semosavlianobis cvlileba cvlileba. %
sabaziso punqti A B
-200 14,462 14,053
-100 6,812 6,721
-50 3,309 3,287
-25 1,631 1,626
25 -1,586 -1,591
50 -3,129 -1,149
100 -6,092 -6,166
200 -11,565 -11,827

72
 amgvarad Semosavlianobebis mrudis sxvadasxva paraleluri
wanacvlebisas A portfelis Rirebulebis fardobiTi cvlileba
yovelTvis metia B portfelis Rirebulebis fardobiT cvlilebaze.
Semosavlianobebis mrudis sxvadasxva paraleluri
wanacvlebisas (yield curvw twist), e.i. rodesac moTxovnili
Semosavlianebi sxvadasxvagvarad icvlebian, situacia SeiZleba
aRmoCndes sawinaaRmdego. kerZod, Tu X , Y da Z obligaciebis
moTxovnili Semosavlianobebi mcirdebian Sesabamisad 75,25 da 50
sabaziso punqtiT, maSin A da B portfelebis Rirebulebebis
fardobiTi cvlileba tolia 2,662 da 3,287%-is, e.i. A portfelis
Rirebulebis fardobiTi zrda B portfelis Rirebulebis
fardobiT zrdaze dabla aRmoCnda.
magram es maxasiaTeblebi yovelTvis ar iZlevian swori dasknis
gakeTebis saSualebas.
magaliTi 1.44. ganvixiloT A da B portfelebi wina 1.43.
magaliTidan. am portfelebis ZiriTadi maxasiaTeblebi moyvanilia
cxrilSi:

-9 -4 -2 -1 3 6
P 0,04 0,08 0,26 0,05 0,25 0,32
A da B portfelebis Sesadareblad iyeneben maCvenebels,
romelsac 6 Tvis manZilze wliur realizebul Semosavlianobas
uwodeben.
mocemul SemTxvevaSi A da B portfelebis 6 Tvis manZilze wliur
realizebul Semosavlianoba SeiZleba moiZebnos Semdegi
formuliT:
 V  Q  V0 
R     2 ,
 V0 
sadac V0 - portfelis sawyisi Rirebulebaa;
V - portfelis Rirebuleba 6 Tvis Semdeg;
Q - 6 TveSi gadaxdili procentebi.
qvemoT moyvanil cxrilSi naCvenebia A da B portfelebis wliur
realizebul Semosavlianobebs Soris sxvaoba ( RB  R A )
Semosavlianobebis mrudis sxvadasxva wanacvlebis dros:

73
Semosavlianobebis paraleluri araparaleluri araparaleluri
cvlileba y ,s.p.* wanacvleba,% wanacvleba(I),% wanacvleba(II),%
rx  y ry  y rx  y  25 s.p. rx  y  25 s.p.
rz  y ry  y  25 s.p. ry  y  25 s.p.
rz  y rz  y
-300 -1,88 -4,26 0,36
-250 -1,15 -3,30 0,89
-150 -0,20 -1,97 1,47
-100 0,06 -1,54 1,57
-50 0,21 -1,24 1,57
-25 0,24 -1,14 1,53
0 0,25 -1,06 1,48
25 0,24 -1,01 1,41
50 0,21 -0,98 1,32
100 0,09 -0,98 1,09
150 -0,08 -1,05 0,81
250 -0,58 -1,36 0,14
300 -0,88 -1.58 -0,24
350 -1,21 -1,84 -0,64
 s.p. sabaziso punqti.
amgvarad, sainvesticio efeqturoba ar ganisazRvreba A da B
portfelebis ZiriTadi maxasiaTeblebiT, aramed damokidebulia
imaze, Tu moTxovnili Semosavlianobebis rogori cvlilebebi xdeba
bazarze.

1.18 simravle. operaciebi simravleebze

simravle (set) _ es aris raime obieqtebis erToblioba.
obieqtebs, romlebisaganac A simravle Sedgeba, am simravlis
elementebs uwodeben.
Tu a A simravlis elementia, maSin es ase Caiwereba a  A .
simravlis mocema SeiZleba an misi yvela elementis CamoTvliT,
an raime Tvisebis miTiTebiT, romelsac unda akmayofilebds am
simravlis yvela elementi.
magaliTad, Canaweri A  {a1 , a 2 , a3, a 4 } niSnavs,rom A simravle
Sedgeba a1 , a 2 , a3, a 4 elementebisagan.
yvela namdvil rocxvTa B simravle, romelic akmayofilebs
utolobas x 2  2 x  3  0 , SeiZleba Caiweros Semdegi saxiT:
74
 B  {x  R | x 2  2 x  3  0} ,
sadaac R -yvela namd
dvil ric
cxvTa si
imravleaa.
A simravle ben B simravli
eს uwodeb is qvesimravles (subset), Tu A
simravl lis yvella elemmenti warmoadggens B simravli
s is elementsac
(nax.1.13)..

Tu A simraavle B simravl
s is qvesimmravlea,, maSin weren:
w A B.
magaliTad, A  {1,2,3} simravl
le warmo oadgens B  {1,2,3,4,5} simr
ravlis
qvesimraavles, yvvela mTeli ric cxvis Z simravl le warmoadgens yvela
li ricxvis R simravlis
namdvil s qvesimr
ravles.
ori A daa B simr ravlis A \ B sxvvaobas uwodebeen A -s yvela
elementtis simraavles, romlebic
r c ar xvddebian B simravl leSi (naax. 1.14)

Tu B  A , maaSin A \ B sxvaobaas uwodeeben B si imravlis damateebas A

simravl lemde.
magaliTad, Tu A  {1,2,3,4} , xol
lo B  {3,4,5,6} , maS Sin A \ B ={1,2}.
ori A da B simravl lis TanaakveTas uwodebeen simravvles, ro omelic
A  B –iT
T aRiniSneba da Seedgeba element tebisagaan, rommlebic
ekuTvniaan, rogo orc A simravle
s es ise B simravl les (nax. 1.15).
magaliTad Tu T A  {1,2,3} , xoloo B  {1,3,4,5} , maSin
n A  B  {1,3} .
Tu A da B simravl leebi ar r Seicavven saerTo eleementebs, maSin
amboben, rom isini
i ar n A  B  ∅. (
r ikveTeebian da weren -caarieli
simravl
lis simbo
oloa).

75
 anal
logiurad SeiZZleba ganvmart
toT saami, oT
Txi da meti

simravl
lis Tan
nakveTa. d,
kerZod  A simravle
i 1
i warmo
oadgens yvela

element
tis erTo obliobaas, romllebic ekuTvnian TiToeu uls A1 , A2 ,..., Ai ,...
simravl
leebidan.
ori A daa B simr ravlis gaerTi ianebas uwodebeen simr ravles,
romelic c A  B –iT
– aRiniSneba da
d Sedgeeba elementebisaagan, rommlebic
ekuTvniaan, A daa B simravleebiddan erT-erTs maainc (nax
x. 1.15).

T A  {1,2,3,4} , xol
magaliTad Tu lo B  {3,4,5,6} , maS
Sin A  B  {1,2,3,4,5,6} .
zusttad aseve gan nimartebaa sami, oTxi da met ti simr ravlis

gaerTianeba. keerZod  Ai simravl
le – es aris yvela im eleementis
i 1

erTobl omelic ekuTvnis A1 , A2 ,..., Ai ,... simr

lioba ro ravleebi
idan erT
T-erTs
mainc.

1.19 al
lbaTuri
i sivrcee
vTqvaT  - raime simravlea. Semdg
gomSi  simravl
lis elemmentebs
uwodebT ntarul xdomil
T elemen lobebs, xolo TviTon
T  simravvles –
element taruli xdomilo
x obebis sivrces.
S
Semdegi ros  simravl
sami pirobis Sesruleebis dr leTa β
simravl leebis nakrebs uwodeebT SemmTxveviTi xdommilobebi is  -
algebraas:
1.    .
76
 2. Tu A   , maSin A ( A- mTlian  sivrcemde A
simravlis damatebaa).
 
3.Tu A1 , A2 ,..., Ai ,... simravleebi ekuTvnian β-s, maSin  Ai   da  Ai   .
i 1 i 1

Tu elementaruli xdomilobebis sivrce sasrulia, e.i. Sedgeba

sasruli raodenobis elementaruli xdomilobebisagan, maSin
SemTxveviTi xdomilobebis  -algebris saxiT Cveulebriv
ganixileba am sivrcis yvela qvesimravlis nakrebi.
magaliTi 1.45. vagorebT kamaTels. elementaruli xdomilobebis
sivrce Sedgeba 6 xdomilobisagan: 1-dan 6-mde nebismieri ricxvis
mosvla. luwi ricxvebis mosvla warmoadgens SemTxveviT
xdomilobebs, randenadac sami elementaruli xdomilobisagan
Sedgeba: 2,4,an 6-is mosvlisagan. 3-ze naklebi ricxvis mosvlac aseve
warmoadgens SemTxveviT xdomilobas.
amoben, rom  SemTxveviTi xdomilobaTa  -algebraSi
gansazRvrulia albaTuri zoma P , Tu TiToeul A   SemTxveviT
xdomilobas Seesabameba arauaryofiTi ricxvi P( A) ise, romsruldeba
Semdegi pirobebi:
1. P ()  1 .
Tu A1 , A2 ,..., Ai ,... wyvilwyvilad aragadamkveTi xdomolobaTa
 
 
mimdevrobaa, maSin P  Ai    P( Ai ) . xdomilobaTa  -algebraSi
 i 1  i 1

albaTuri zoma Semdegnairad SeiZleba iqnas mocemuli:

2. w1 elementarul xdomilobas
Tu elementaruli xdomilobaTa sivrce sasrulia, e.i.
  {w1 , w2 ,..., wn } , maSin SemTxveviTi
1. SevusabamoT arauaryofiTi p i , i =1, 2 ..., n , ricxvi ise rom
n

p
i 1
i  1.

2. A SemTxveviTi xdomilobisaTvis davdoT P( A)   pi (ajamva

i , wi

xdeba i -is im nomrebisaTvis, romlebisTvisac w1  A ).

magaliTi 1.46. vagdebT or erTnair kamaTels.
am SemTxvevaSi elementauli xdomilebebi xasiaTdebian Semdegi
ricxvebis wuyviliT: pirvel kamaTelze mosuli ricxviT da im

77
ricxviT, romelic movida meore kamaTelze, xolo elementarul
xdomilebaTa sivrce Sedgeba 36 xdomilobisagan:
(1, 1), (1, 2), ... , (1, 6)
(2, 1), (2, 2), ... , (2, 6)
. . . . . . . . . . . . . .
(6, 1), (6 ,6), ... , (6, 6).
bunebrivia CavTvaloT, rom TiToeuli elementaruli
1
xdomilobis albaToba tolia -is. maSin imis albaToba rom or
36
1 1
kamaTalze jamSi 10 aRmoCndeba tolia 3× = , radganac es
36 12
xdomiloba Sedgeba sami elenemtaruli xdomilebisagan: (4, 6), (5, 5),
(6, 4).

albaTuri zomis ZiriTadi Tvisebebi

1. nebismieri SemTxveviTi A xdomilobisaTvis
0  P ( A)  1 .
2. Tu A da B SemTxveviTi xdomilobebia da A  B , maSin
P ( A)  P ( B ) .
3. Tu A - SemTxveviTi xdomilobaa, maSin
P( A )  1  P( A) .
4. nebismieri ori A da B SemTxveviTi xdomilobisaTvis adgili
aqvs tolobas:
P ( A  B )  P ( A)  P ( B )  P ( A  B )
5. Tu A da B araTavsebadebia, e.i. A  B  ∅, maSin
P ( A  B )  P ( A)  P ( B )
A da B SemTxveviTi xdomilobebs uwodeben damoukideblebs, Tu:
P ( A  B )  P ( A)  P ( B ) .
Tu A da B xdomilobebi damoukidebelni arian, maSin A da B
xdomilobebic aseve damoukidebelni iqnebian.
albaTuri sivrce ganisazRvreba Semdegi sameuliT: 
elementaruli xdomilobebis sivrciT,  SemTxveviTi xdomilobaTa
 -algebriT da SemTxveviT xdomilobaTa  -algebraSi albaTuri
zomiT.
 elementaruli xdomilobebis sivrceSi gansazRvrul    (w)
funqcias uwodeben SemTxveviT sidides, Tu nebismieri namdvili x

78
ricxvi {  x}  {w   |  ( w)  x} simravlidan warmoadgens SemTxveviT
xdomilebas.
Tu    (w) funqcia SemTxveviT sididea, maSin F ( x)  P{  x}, x  R ,
uwodeben  SemTxveviTi sididis [albaTobebis] ganawilebis
funqcias (probability function).
SemTxveviTis sididis ganawilebis funqciis ZiriTadi Tviseebi
1. P{  x}  1  F ( x)  P{  x} .
2. P{x1    x 2 }  F ( x 2 )  F ( x1 ) .
3. F (x) - araklebadi funqciaa, amasTan 0  F ( x)  1, x  R .
4. lim → F ( x)  1 , lim → F ( x )  0 ,
5. lim → F (t ), t  R .
magaliTi 1.47. F (x) warmoadgens  SemTxveviTi sididis
albaTobebis ganawilebis funqcias. vipovoT Semdegi SemTxveviTi
sididis albaTobebis ganawilebis funqcia
  a  b ,
sadac a da b raRac ricxvebia, a  0 .
Tu a  0 , maSin
F ( x)  P{  x}  P{a  b  x}  P{a  x  b} 
xb  xb
 P{  }  F  
a  a 
Tu a  0 , maSin
F ( x)  P{  x}  P{a  b  x}  P{a  x  b} 
xb  xb xb
 P{  }  1  F    P{  }.
a  a  a

1.20 diskretuli SemTxveviTi sidideebi

 SemTxveviT sidides uwodeben diskretuli SemTxveviTi
sidideebi, Tu is iRebs mxolod sasrul an Tvladi raodenobis
sxvadasxva mniSvnelobas.
diskretuli SemTxveviTi sididis mocemisaTis, sakmarisia
gavigoT am SemTxveviTi sididis albaTuri ganawilebis kanoni
Semdegi saxiT:
 X1 X2 . . . Xi . . .
P P1 P2 . . . Pi . . .

79
 ( X 1 < X 2 < . . . < X i < . . . ),
e.i.  SemTxveeviTi si ididis TiToeul
T li SesaZl lo mniSvnelobiisaTvis
mocmulia am mni iSvnelobis alb baToba.
 diskretu
d uli SemmTxveviTi sidid dis alb baTobebis ganawiilebis
bia nax. 1.17-ze.
funqciaa naCveneb
 diskrettuli S
SemTxvev viTi siididis ZiriTaadi ricxviTi
max
xasiaTebllebi gan nisazRvr reba Semd degnairaad:
1. maT
Tematikuuri lod dini (mean, expeccted value e)

E ( )   X i Pi .
i 1

2. di e)
ispersia (variance

D ( )   ( X i  E ( )) 2  Pi .
i 1

3. st
tandartu
uli (s
saSualo
o kvadr
ratuli)) gadax
xra (sstandard
deviation)
 ( )  D( ) .

maTeematikur ri lodinis da dispersi d iis Tviseebebi

1. E((a  b)  aE E ( )  b , sadac
s a da b raaRac ric cxvebia.
2. E (   )  E ( )  E ( ) .
3. D  E ( 2 )  ( E ( )) 2 .
4. D(a  b)  a 2 D( ) sad dac a da b raRRac ricx xvebia.
magaliTi 1.448. mocemmulia 100-%-iani naxevarw wliani kuonebis
k s mqone
obligac cia, rommlis dafarvam d de darCCenili 20,5
2 weli i da ro
omelic
iyideba nominal liT. inveestori Tvlis, T r
rom am obligci
o iis dafaarvamde

80
Semosavlianobas 6 Tvis Semdeg SeuZlia miiRos mxolod Semdegi
mniSvnelobebi:
dafarvamde
Semosavlianoba 6 Tvis 11,0 10,5 10,0 9,5 9,0 8,5
Semdeg ( ) , %
albaToba 0.23 0,16 0,22 0,16 0,10 0,13
obligaciis fasis ( ) albTobebis da 6 Tvis manZilze wliuri
realizebadi Semosavlianobebis ( ) ganawilebis kanonebi
miTiTebulia cxrilSi:
albaTobebi dafarvamde obligaciis fasi realizebadi
Semosavlianoba ( ) , % ( ) , dolr. Semosavlinoba ( )
,%
0,23 11,0 91,98 -6,04
0,16 10,5 95,85 1,70
0,22 10,0 100,0 10,00
0,16 9,5 104,44 18,88
0,10 9,0 109,20 28,40
0,13 8,5 114,31 38,62
magaliTad, Tu  =11,0%-is, maSin
52  1  100
 1  40 
  91,98 ;
0,11  (1,055)  (1,055) 40
91,98  5  100
  2  0,0604 , e.i. -6,04%.
100
6 Tvis Semdeg obligaciis fasis maTematikuri lodini da misi
dispersia SeiZleba Semdegnairad iqnas moZebnili:
E ( )  91,98  0,23  95,85  0,6  100  0,22  104,44  0,16 
 109,20  0,10  114,31  0,13  100,9821$
D( )  (91,98  100,98) 2  0,23  (95,85  100,98) 2  (100  100,98) 2  0,22 
 (104,44  100,98) 2  0,16  (109,20  100,98) 2  0,10  (114,31  100,98) 2  0,13  54,82
  5  100
radganac   2,
100
amdenad
E ( )  95 100,98  95
E ( )  2   2  0,1196, e.i. 11,96%,
100 100
D ( )  4 54,82  4
D ( )   0,02192 ,
(100) 2 (100) 2
 ( )  D( )  0,1481 , e.i. 14,81%.

81
 amgvarad, obligaciis realizebadi Semosavlinaonis
mosalodneli mniSvneloba 6 Tvis ganmavlobaSi tolia 11,96%-is,
xolo misistandartuli gadaxra Seadgens 14,81%-s.
ori  da  SemTxveviTi sididis albaTobebis erToblivi
ganawilebis kanoni SeiZleba Semdegnairad Caiweros:

 Y1 Y2 . . . Yj . . .
X1 P11 P12 . . . P1i . . .
X2 P21 P22 P2i . . .
. . . . . . . . . . . .
Xi Pi1 Pi 2 Pij . . .
. . . . . . . . . . . . . . . . . .
Pij - es aris imis albaToba, rom  SemTxveviTi sidide iRebs X i
mniSvnelobas, xolo  SemTxveviTi sidide – Y j mniSvnelobas, i =1,2,3,
... , j =1,2,3, ... , amasTan
 

 P
i 1 j 1
ij  1.

ori SemTxveviTi sididis albaTobebis erToblivi ganawilebis

kanonis codniT, SeiZleba moiZebnos am SemTxveviTi sidideebidan
TiToeulis albaTobebis ganawilebis kanoni, ramdenadac

P (  X i )   Pij , i  1,2,3... ,
i 1

P(  Y j )   Pij , j  1,2,3,...
j 1

diskretul  da  SemTxveviT sidideebs uwodeben

damoukideblebs, Tu
Pij  P (  X i )  P (  Y j ) , i =1,2,3, ... , j =1,2,3, ...
damoukidebeli SemTxveviTi sidideebisaTvis arsebobs ori
toloba:
E (   )  E ( )  E ( )
D (   )  D ( )  D ( ) .
or diskretul  da  SemTxveviT sidideebs Soris kovariacia
(covariance) ganisazRvreba tolobiT
 
Cov( , )   Pij ( X i  E ( ))(Y j  E ( )) .
i 1 j 1

kovariaciis Tvisebebi
82
 1. Cov ( , )  E (  )  E ( )  E ( ) .\
2. D (   )  D ( )  D ( )  2Cov ( , ) .
3. D(a  b )  a 2 D  b 2 D  2abCov( , ) .
or diskretul  da  SemTxveviT sidideebs Soris korelacia
(correlation) ganisazRvreba Semdegnairad:
Cov( , )
 ( , )  .
 ( )   ( )
SemTxveviT sidideebs uwodeben arakorilebulebs, Tu maT Soris
korelacia 0-is tolia.
korelaciis Tvisebebi
1.  1   ( , )  1 .
2.  ( , )  1    a  b , sadac a da b ricxvebia, amasTan a >0.
3.  ( , )  1    a  b , sadac a da b ricxvebia, amasTan a <0.
4. SemTxveviTi sidideebis damoukideblobidan yovelTvis
gamomdinareobs maTi arakorilebuloba, magram arapiriqiT.
magaliTi 1.49.  da  SemTxveviTi sidideebis albaTobebis
erToblivi ganawileba moyvanili cxrolSi:

 -2 -1 3
1 0,10 0,05 0,15
2 0,08 0,16 0,12
-3 0,20 0,10 0,04
 da  SemTxveviTi sidideebis albaTobebis ganawilebebs aqvT
Semdegi saxe:
 1 2 -3
P 0,30 0,36 0,34

 -2 -1 3
P 0,38 0,31 0,31

 -9 -4 -2 -1 3 6
P 0,04 0,08 0,26 0,05 0,25 0,32
maSin
E ( )  1  0,30  2  0,36  ( 3)  0,34  0 ;
E ( )  ( 2)  0,38  ( 1)  0,31  3  0,31  0,14 ;
E ( )  ( 9)  0,04  ( 4)  0,08  ( 2)  0,26  (1)  0,05  3  0,25  6  0,32  1,42 ;

83
 D( )  12  0,30  2 2  0,36  (3) 2  0,34  4,8 ;
D( )  (2  0,144) 2  0,38  (1  0,14) 2  0,31  (3  0,14) 2  0,31  4,60 ;
 ( )  2,19;  ( )  2,14 .
 da
d  SemmTxveviTi sidideebs Sor
ris kovaariacia da koreelacia
Semdegnaairad mo
oiZebnebaa:
Cov ( , )  E ( )  E ( ) E ( )  1,43  0  1,42 ;
Cov( , ) 1,42
4
 ( , )   0,30 .
 ( )   ( ) 2,19  2,14

1.21 uwyveti SemTxveeviTi sid

dideebi
 SemTxveviT sidides uw
S wodeben absoluturad uwyvet
ts, Tu
arsebob
bs arauar i p (x) fu
ryofiTi unqcia is
seTi, ro
om
x
F ( x)   p (t )dtt

(1.50)

sadaac F (x) -  SemmTxveviTi sidid

dis alb
baTobebis ganawi
ilebis
funqciaaa.
as, romelic akmmayofilebs (1.50)) pirobaas uwodeben 
p (x ) funqcia
SemTxvevviTi sid didis allbaTobeebis ganaawilebis obability
s simkvrives (pro
density fu
unction- PDF).
P
(1.50)) tolo oba niSnnavs, ro om nax. 1.18 gaanawilebbis simkkvrivis
grafikis qveS daStrix xuli faarTobi tolia imis al lbaTobis, rom
SemTxvevviTi sid dide iReebs x –zee nakleb
b mniSvnelobas.

TxveviTi sidideeebis Tvisebebi

uwyveeti SemT

84
 1. imi
is albaT Toba, ro
om uwyveti SemT TxveviTi sidide iRebs x1 da x 2
Soris mniSvnel lobas ( x1 < x 2 ), emTxveeva nax. 1.19-zee daStr
ruxul
farTobs.
2. Tu p (x ) SemTxvveviTi sididis s albaTobebis ganawi ilebis
simkvrivvea, maSin
n


 p ( x)dx  1 .


3.imi
is albaTToba, room  uwyvveti SemmTxveviT
Ti sidid de iRebs amaTu
im mniSvvnelobass yovelTTvis nul
lis tol lia, e.i. P{  x}  0 .
4. uwyveeti SemT
TxveviTii sididdis albaTobebis s ganawi
ilebis
funqcii is warmo
oebuli tolia am SemTx xveviTi sididis s albaTTobebis
ganawillebis simmkvrivis, e.i.
dF ( x)
 p (x) . (1.511)
dx
(1.51) to olobidan gamomd dinareob bs, rom
P{x    x  x}  p ( x )  x , (1.52)
sadac x - nebismmieri ricxvia;
x sakmaris
s ad mcire dadebi iTi ricxvi.
 uwy
yveti SemTxvev
S iTi si
ididis maTemat
tikuri lodin
ni da
dispersia SeiZlleba Semdegnairaad moiZeebnos:

E ( )   xp ( x)dxx ;


D ( )   ( x  E ( ))
2
p ( x)dx ,


c p (x) -  SemmTxveviT
sadac Ti sidid
dis alb
baTobebi
is ganawi
ilebis
simkvrivvea.

85
 SemTxveviTi sididis standartuli gadaxra Cveulebriv ase
ganisazRvreba;
 ( )  D( ) .
Tu f (t ) raime uwyveti funqciaa, xolo  - uwyveti SemTxveviTi
sidide, maSin

E E ( f ( ))   f ( x)  p ( x)dx .


magaliTi 1.50.  SemTxveviTi sidide Tanabradaa ganawilebuli

[a, b] monakveTze, Tu
0, x  [a, b],

p ( x )   1
 b  a , x  [a, b].

 SemTxveviTi sididis ganawilebis funqcia Semdegnairad

SeiZleba moiZebnos:
Tu x  a , maSin
x x
F ( x)   p (t )dt 

 0  dt  0 .


Tu a  x  b , maSin
x a x a x
1
F ( x)   p (t )dt   p (t )dt   p (t )dt   0  dt   b  a dt 
  a  a

1 xa
 t | ax  .
ba ba
x  b -sTvis
x a b x b
1
F ( x)   p (t )dt   p (t )dt   p (t )dt   p (t )dt   b  a dt  1 .
  a b a

amgvarad,
0, x  a;
x  a

F ( x)   , x  [a, b];
 b  a
1, x  b.
 SemTxveviTi sididis maTematikuri lodini da dispersia
SeiZleba Semdegnairad moiZebnos:
 b
x 1 x2 1 b2  a2 a  b
E ( )   xp ( x)dx   dx   
b
a ;
 a
ba ba 2 ba 2 2
 b
1 1 x3 1
E ( 2 )   x p ( x)dx   x  dx   (a 2  ab  b 2 ) ;
2 2 b
a
 a
ba ba 3 3

86
 1  a  b  (b  a )2
D ( )  E ( 2 )  E ( )) 2  (a 2  ab  b 2 )    .
3  2  12
magal
liTi 1.51.  SemmTxveviTi sid
dide g
ganawile
ebulia
eqsponen
ncialur
rad, Tu
0, x  0;
p (x)   x (   0) .
e , x  0
 Se emTxveviT Ti sidid
dis ganaw wilebis funqciaas aqvs Semdegi
S saxe:
0, x  0;
F (x)    x
1  e , x  0
maSin n   1 -sT Tvis
P{1    1,02}  F (1,02)  F (1)  1  e 1,02  (1  e 1 )  e 1  e 1, 02
0
 0,007288 v
meore mxriv, tolobaa (1.52)-dan gamommdinareo
obs, rom::
P{1    1,02}  p (1)  0,02  e 1  0,02  0,00736
eqspo lurad ganawil
onencial lebuli  TxveviTi sididi
SemT isaTvis
gvaqvs
1 1
E ( )  , D ( )  .
 2
 SemTxveviTi
i sidid
dis al
lbaTobeb
bis asi
imetriul
li ewness)
(ske
ganawil
leba ewod
deba ric
cxvs


 ( x  E ( )))
3
p ( x)dx
a( )  
.
 3 ( )
sadac
c, p (x ) -  SemT
TxveviTi
i sididis albaaTobebis
s ganawi
ilebis
simkvrivvea,
 ( ) misi stanndartul li gadaxxra.
Tu a ( )  0 , maSin  SemTxvevi
iTi sidi
idis albbaTobebi
is ganawi
ilebis
simkvrivve am SemTxvevi
S iTi siddidis maTematikkuri lodinis
l mimrT
simetriulia (naax. 1.20).

87
 dadebiTi (uaryofiTi) asimetriuli ganawilebisas SemTxveviTi
sididis albaTobebis ganawilebis simkvrivis marjvena Sto (tail)
marcxena Stoze ufro `grZelia~. Sesabamisad, uaryofiTi
(marcxenamxariani) asimetriis dros albaTobebis ganawilebis
simkvrivis marcxena Sto `grZelia~ marjvena Stoze (nax.1.21 da 1.22).
 SemTxveviTi sididis albaTobebis ganawilebis eqscesi (kurtosis)
hqvia Semdeg ricxvs


 ( x  E ( ))
4
p ( x)dx
k ( )  

 4 ( )
erTidaigive standartuli gadaxris SemTxvevaSi, rac ufro didi
eqscesi, miT ufro `mZimea~ SemTxveviTi sididis albaTobebis
ganawilebis simkvrivis Stoebi (nax.1.23).
albaTobebis ganawilebas didi eqscesiT uwodeben `mZime~
StoebiT ganawilebas (leptokurtic/fal-tailed distribution).
Tu mocemulia ori  1 da  2 SemTxveviTi sidideebi, maSin
SeiZleba ganvixiloT organzomilebiani SemTxveviTi sidide
  (1 ,  2 ) .
organzomilebiani SemTxveviT sidides   (1 ,  2 ) uwodeben
absoluturad uwyvets, Tu arsebobs iseTi arauaryofiTi p ( x1 , x 2 )
funqcia, rom nebismieri x1 da x2 ricxvebisTvis samarTliania
toloba
x1 x2

P{ 1  x1 ,  2  x 2 }    p (t , t
  
1 2 )dt1 dt 2 . (1.53)

p ( x1 , x 2 ) funqcias, romelic akmayofilebs (1.53) tolobas uwodeben

 1 da  2 SemTxveviTi sidideebis erToblivi ganawilebis simkvrives.
Tu organzomilebiani SemTxveviTi sidide   (1 ,  2 )
absoluturad uwyvets warmoadgens, maSin Semdegi ricxvi
warmoadgens  1 da  2 SemTxveviTi sidideebs Soris kovariacias
 
Cov (1 ,  2 )    (x
  
1  E (1 ))( x 2 _ E ( 2 )) P ( x1 , x 2 )dx1 dx 2 ,

maT Soris korlacia Semdegnairad ganisazRvreba:

Cov(1 ,  2 )
 (1 ,  2 )  .
 (1 )   ( 2 )

88
 Tu p ( x1 , x 2 )  1 da 2 SeemTxveviT
Ti sid
dideebis
s erTo
oblivi
ganawil lebis si imkvriveaa, maSin n  1 daa  2 SemTxvevi
S iTi sid
dideebi
mxolod d da mxo olod maS Sin ariaan damou
ukidebel
lni, roca:
p ( x1 , x 2 )  p ( x1 )  p ( x 2 ) .
1 2

ricxxviTi maaxasiaTeblebis yvela ZiriTaddi Tvis seba, ro

omelic
leT diskretul
ganvixil li SemTTxveviTi sidideeebisaTvis narCCundeba
uwyvetoobis SemT
TxvevaSic.

89
 1.22 SemmTxveviTi sidideeebis ganawilebiis mniSvnelovani
SemTxveveb
bi
1
1.22.1 rmaluri ganawil
nor leba
ambo
oben, room  SemT TxveviTi sidide ganawil lebuliaa normal
lurad,
Tu albaaTobebis s ganawilebis simkvrives Semdeggi saxe aqvs;
a
( x a )2
1 
p (x)  e 2S 2
, (1.54)
2  S
sadacc   3,14 ;
a - raime namd dvili ricxvia;
r
S - dadebiTi
d ricxvi..
normmaluri ganawile
g ebis sibr
rtyis gr
rafiki moyvanil
m lia nax. 1.24-ze.
1

90
 normaluri ganawilebis ZiriTadi Tvisebebi
1. Tu  SemTxveviTi sidide ganawilebulia normalurad Semdegi
simkvriviT
( x a )2
1 
p ( x )  e 2S 2
,
2  S
maSin,
E ( )  a ;  ( )  S .
2. SemTxveviTi sididis normaluri ganawilebis sibrtye am
SemTxveviTi sididis maTematikuri lodinis mimarT simetriulia, e.i.
asimetria a ( )  0 .
kerZod,
P{  E ( )}  P{  E ( )}  0,5 .
normaluri ganawilebis eqscesi yovelTvis 3-is tolia.
3. imis albaToba, rom SemTxveviTi sididis normaluri
ganawileba Tavis mosalodnel mniSvnelobisagan gansxvavebuli
iqneba sididiT, romelic ar aRemateba mis erT, or an sam
standartul gadaxras Sesabamisad tolia 68,3, 95,5 da 99,75%-is.
magaliTi 1.52. investori Tvlis, rom misi obligaciebis
realizebadi Semosavlianobas 6 Tvis manZilze aqvs normaluri
ganawileba, 7%-is toli maTematikuri lodiniT da 4%-is toli
standartuli gadaxriT.
imis albaToba, rom relizebadi Semosavlianoba aRmoCndeba
7%-4%=3% da 7%+4%=11%-s Soris tolia 68,3%-is.
7%-2  4%=-1% da 7%+2  4%=15%-s Soris tolia 95,5%-is.
4. Tu  SemTxveviTi sidide ganawilebulia normalurad
patametrebiT (a, S ) , maSin SemTxveviTi sidide
 a
 (a  E ( ), S   ( ))
S
ganawilebulia normalurad patametrebiT (0,1) , e.i. gaaCnia
standartuli normaluri ganawileba.
x1  a x a
amasTan, Tu x1  x2 , z1  , z2  2 , maSin
S S

91
 P{x1    x 2 }  P{z1    z 2 } 
 ( z1 )  ( z 2 ), z1  0;
 (1.55)
 1   ( z 2 )   ( z1 ), z1  0, z 2  0
 ( z )   ( z ), z  0
 2 1 2

 ( z )  P{  z} funqciis mniSvnelobebi, roca z  0 moyvanilia cxril

1.1-Si.
aqedan gamomdinare (1.55) damokidebuleba nebismieri normalurad
ganawilebuli SemTxveviTi sididisaTvis Semdegi saxis sxvadasxva
albaTobebis povnis saSualebas iZleva
P{x1    x2 } .
magaliTi 1.53. menejeri Tvlis, rom 10 mln. dolr. maTematikuri
lodinis da 2 mln. dolr. standartuli gadaxris mqone mis mier
marTuli obligaciebis portfelis Rirebuleba normaluradaa
ganawilebuli. mas ainteresebs rogoria imis albaToba, rom
portfelis Rirebuleba aRmoCndeba 6 mln. da 11 mln. dollars
Soris.
mocemul SemTxvevaSi
z1  მლნ.დოლრ. მლნ.დოლრ.
=-2
მლნ.დოლრ.
z2  მლნ.დოლრ. მლნ.დოლრ.
=0,5
მლნ.დოლრ.
( z1 )  0,0228 ; ( z 2 )  0,3085 (ix. cxrili 1.1)
maSin
P{6mln.dolr   1 1mln.dolr.}= 1  ( z1 )  ( z 2 ) =1-0,0228-0,3085=0,6687,
anu 66,87%-is.
magaliTi 1.54. davuSvaT, rom 1.53 magaliTis pirobebSi menejers
surs moZebnos sando Sualedi mis mier marTuli portfelis
RirebulebisaTvis 95%-is saimedoobiT. sxva sityvebiT, saWiroa
moiZebnos Semdegi intervali u  {E ( )  y; E ( )  y} ,
ise, rom P{  u}  0,95 .
gvaqvs Semdegi toloba:
0,95  P{  u}  1  2 ( z ) ,
y
sadac, z  .
S
maSin,  ( z )  0,025 .
1.1 cxrilis meSveobiT vipoviT z =1,96.
maSasadame, y  z  S =1,96  2 mln.dolr.=3,92 mln.dolr.
saZebari sando intervalia: (6,08 mln.dolr.; 13,92 mln.dolr.)
92
 5. SemmTxveviT
Ti sidiideebis normal luri ganawile g ebebis wrfivi
w
kombinac cia asevve normmaluri ganawil lebaa. kerZod, Tu  da 
damouki idebeli SemTxvveviTi sidideebia da normalurad arian
ganawillebulni Sebamis sad ( a1 , S1 ) da (aa 2 , S 2 ) pataametrebi
iT, maSin
n maTi
jamic normalur radaa gaanawileb
buli par biT (a1  a 2 , S12  S 22 ) .
rametreb
6. araakolireebadi SemTx
xveviTi sidideebi yoveelTvis
damouki idebelnii arian.
7. SemmTxveviT
Ti sidideebis mimmdevroba

93
 1   2 1   2  ...   n
1   1  2  , . . . , n  , . . .
2
miiswrafis normalurad ganawilebul SemTxveviT sididisaken,
Tu SemTxveviTi sidideebi 1 ,  2 ,. . . ,  n ,. . . urTierTdamoukideblebi
arian da erTnairad ganawilebulni (centraluri zRvruli
Teorema).
es niSnavs, rom urTierTdamoukidebeli SemTxveviTi sidideebis 1
,  2 ,. . . ,  n ,. . .dros, romelTa maTematikuri lodini a -s tolia da
dispersia  2 -is SemTxveviTi sidide
1   2  ...   n
n 
n
  
asimptoturad normaluradaa ganawilebuli parametrebiT  a,  .
 n

1.22.2 logariTmulad normaluri (logariTmuli)ganawileba

amboben, rom dadebiTi  SemTxveviTi sidide ganawilebulia
lognormalurad, Tu ln  -is gaaCnia albaTobebis normaluri
ganawileba. amgvarad, lognormaluri ganawilebis simkvrives aqvs
Semdegi saxe:
(ln x  a ) 2
1 
p ( x )  e 2S 2
,
2  S  x
sadac a  E (ln  ) ,
S   (ln  ) ,
  3,14 .
lognormaluri ganawilebis grafiki naCvenebia nax. 1.25-ze.
lognormaluri ganawilebis Tvisebebi
1. lognormalur ganawilebas gaaCnia marjvenamxrivi asimetria
(positively skewed), xolo S   (ln  ) -is mcire mniSvnelobebisas axlosaa
normalur ganawilebasTan.
2. Tu  SemTxveviT sidides gaaCnia lognormaluri ganawileba
parametrebiT a da S , maSin
S2
a 2 2
, D( )  e 2 a  S (e S  1)
E ( )  e 2

xolo roca 0  x1  x2

94
 ( z1 )   ( z 2 ); z1  0,

P{x1    x 2 }  1  ( z 2 )  ( z1 ); z1  0, z 2  0,
( z )  ( z ); z  0.
 2 1 2

ln x1  a
c z1 
sadac ,
S
n x2  a
ln
z2  ,
S
 (z ) - aris imis
i albaToba, rom SeemTxveviT
Ti sidi
ide, rommelsac
normalu Rebs z -zee met mni
uri ganaawileba aqvs, iR iSvnelo
obas.

magalliTi 1.555. vTvliT, rom nulovani kupo onebis mqone 10 wlian

obligac cias aqvvs logn uri ganaawileba paramer
normalu rtebiT a  2,70
da S  0,30 .
imisaaTvis room vipovvoT albbaToba P{  0,05} , e.i. al
lbaToba imisa,
rom Seemosavli ianoba aRmoCnddeba 5%--ze dab bali, CaavsvaT z1   ,
5  2,7
ln 0,05
z2   0,99 , maSin
n
0,3
P{  0,05}  ( z 2 )  ( z1 )  (0,99)  0  0,1611 , e.i. 16,,11%.
Tu Cven gvain
ntereseb Toba P{0,06    0,08} , maSin
bs albaT
n 0,06  2,7
ln ln 0,08  2,7
z1   0,38 , z 2  0,58 .
0,3 0,3
e.i.
6    0,08}  1  ( z 2 )  ( z1 )  1  (0,58)  (0,38)  0,3670 , e.i
P{0,06 i. 36,7%-i
is.

95
 3. Tu ori SemTxveviTi sidide lognormaluradaa ganawilebuli,
maSin maT namravlsac aqvs lognormaluri ganawileba.

1.22.3  2 ganawileba
amboben, rom z SemTxveviT sidides aqvs  2 ganawileba
Tavisuflebis n xarisxebiT, Tu is warmodgenilia n
urTierTdamoukidebeli sididis kvardatebis jamis saxiT,
romelTac gaaCniaT standartuli normaluri ganawilebebi.
 2 ganawilebis Tvisebebi
1. Tu z SemTxveviT sidides aqvs  2 ganawileba Tavisuflebis n
xarisxiT, maSin
E ( z )  n , D ( z )  2n .
 2 ganawilebis asimetria dadebiTia.
2. Tavisuflebis xarisxebis ricxvis zrdis dros  2 miiswrafis
normalurisaken. amgvarad, SemTxveviT sidide, romelsac aqvs  2
ganawileba Tavisuflebis n xarisxebiT, ganawilebulia
asimptoturad normalurad parametrebiT ( n, 2n )
3.Tavisuflebis n xarisxebiT  2 ganawilebis kritikul
mniSvnelobas uwodeben  2 (n) ricxvs, romelic akmayofilebs pirobas
P{z   2 (n)}  a ,
sadac a - mocemuli albaTobaa.
 2 ganawilebis kritikul mniSvnelobebi miTiTebulia cxril 1.2-
Si.
4. Tu 1 ,  2 ,. . . , n SemTxveviTi sidideebi
urTierTdamoukideblebi arian da normalurad ganawilebulni (a,  )
parametrebiT, maSin Semdeg SemTxveviT sidides
(n  1) 2
,
2
1 n 1 n
sadac  2   k
n  1 k 1
(  ˆ
a ) 2
, ˆ
a  k ,
n k 1
gaaCnia  2 ganawileba Tavisuflebis n  1 xarisxebiT.
es, kerZod, niSnavs, rom ˆ 2 dispersiis Sefaseba asimptoturad
normaluradaa ganawilebuli Semdegi parametrebiT
 2 2 2 
 , .
 n 1 
 

96
 liTi 1.556. mocemmulia nulovan
magal n i kuponebis mqoone 30 wliani
w
saxazino
o obliggaciis Semosavllianobis 10 dRiaani dakvi
irvebebi:

Tu davuSveb bT, rommEmosavl

lianoba ganawil lebulia normal
lurad,
maSin Semosavl lianobis
s maTemmatikuri i lodinis da d disppersiis
Sefasebeebi SeiZl rad moiZebnos.
leba Semmdegnair

666,216 0,037337
aˆ   6,6216 ; ˆ 2   0,004149 .
10 9
96%-i
iani saandoobis
s mqonee Semos savlianoobis diispersii
isaTvis
sando interval
li SeiZl
leba moiZZebnos Semdegi
S p
pirobida
an
97
 9  ˆ 2
P{ 2
0 , 98 (9)    02,02 (9)}  0,96 , e.i.
 2

 9  ˆ 2 
P 2,532   19,676  0,96 .
  2

amgvarad, 96% sandoobiT
9  ˆ 2 9  ˆ 2
0,0147  2  0,0019 .
2,532 19,679

1.22.4 stiudentis ganawileba

Semdegi SemTxveviTi sididis albaTobebis ganawilebas
 n
t

uwodeben stiudentis ganawilebas Tavisuflebis n xarisxebiT,
Tu  da  damoukidebeli SemTxveviTi sidideebia  aqvs
standartulad normaluri ganawileba, xolo  -s -  ganawileba
2

Tavisuflebis n xarisxebiT.
stiudentis ganawilebis Tvisebebi
1. rom t SemTxveviT sidides aqvs stiudentis ganawileba
Tavisuflebis n xarisxebiT, maSin
n
E (t )  0 , D (t )  .
n2
stiudentis ganawilebis asimetria 0-is tolia.
2. Tavisuflebis xarisxebis ricxvis zrdis dros stiudentis
ganawileba miiswrafis standartuli normaluri ganawilebisken.
amasTan stiudentis ganawilebas aqvs ufro mZime Stoebi, vidre
standartul normalur ganawilebas. nax. 1.26 gamosaxulia
standartuli normaluri ganawilebis da stiudentis ganawilebis
simkvriveebi Tavisuflebis sami xarisxiT.
3. Tavisuflebis n xarisxebiT stiudentis ganawilebis kritikul
mniSvnelobas uwodeben t (n) ricxvs, romelic akmayofilebs pirobas:
P{t  t (n)}  
sadac  - mocemuli albaTobaa.
stiudentis ganawilebis kritikul mniSvnelobebi miTiTebulia
cxril 1.3-Si.

98
 4. Tu 1 ,  2 ,. . . , n SemT
TxveviTi
i sid
dideebi
urTierT Tdamoukkidebleb bi arian da norrmaluradd ganawi
ilebulnni (a,  )
parametrrebiT, maSin Semdeg SemT TxveviT sididess
n (aaˆ  a )
,
ˆ
1 n 1 n
sadaac aˆ   k
n k 1
 , ˆ 2
  ( k  aˆ ) 2 ,
n  1 k 1
gaaCn
nia stiud
dentis ganawile
g is n  1 xarisxebi
eba Tavisuflebi x iT.

magal
liTi 1.57.
1 1.566. magaliTis pirobebSi vipovoT sando
interval
li 95%
%-is t
toli oobis
saimedo mqone mosalo
odneli
Semosavl
lianobisaTvis.
ramdenadac
aˆ  6,6216
6 , ˆ  0,0644
0 ,
tervali SeiZleeba moiZZebnos Semdegi
in mosaZZebni saando int
maSi S
tolobiis safuZvelze
99
  10 (6,6216  a ) 
P  t 0, 025 (9)   t 0, 025 (9)  0,95
 0,0644 
1.3 cxrilis Tanaxmad t o ,o 25 (9)  2,262 .
Sesabamisad,
0,0644 0,064
6,6216  2,262   a  6,6216  2,262  .
10 10
amgvarad 95% saimedoobis mqone saxazino obligaciis
mosalodneli Semosavlianoba mdebareobs 6,57-sa da 6,67%-s Soris.

1.23 istoriul monacemebze dayrdnobiT

finansuri maCveneblebis volatilobis gamoTvla
finansuri maCveneblebis volatiloba, anu cvalebadoba (volatility),
mniSvnelovan rols TamaSobs finansuri riskebis marTvaSi.
vTqvaT Yt – raime finansuri maCvenebelia (magaliTad raime
finansuri instrumentis fasi an Semosavlianoba) dakvirvebad t
dReSi, t =0, 1, 2, ..., T . mivaniWoT
Yt
X t  100 ln , t =0, 1, 2, ..., T .
Yt 1
SemTxveviTi sidide X t warmoadgens am maCveneblis erTi dRis
ganmavlobaSi cvlilebis mimarT procentebSi gamoxatul
naturalur logariTms. maSin mocemuli maCveneblis dRiuri
volatiloba SeiZleba Semdegnairad Sefasdes:
T T

 (X t  X )2 X
dR  t 1
, X 
t 1
.
T 1 T
sxva sityvebiT, dRiur volatilobad miRebulia erTi dRis
manZilze finansuri maCveneblis fardobiTi cvlilebis logariTmis
standartuli gadaxris tolad.
magaliTi 1.58. birJis mimdevrobiT 11 samuSao dRis gaamavlobaSi
ganisazRvreboda 30 wliani nulovani kuponebis mqone saxazino
obligaciis Semosavlianoba. am informaciaze dayrdnobiT
Semosavlianobis dRiuri volatilobis gaangariSeba qvemoTaa
moyvanili.

100
  1,11162 4,428599
X   0,11116 ; dR   0,70147 .
10 9
amgvarad, 30 wliani nulovani kuponebis mqone saxazino
obligaciis Semosavlianobis dRiuri volatiloba fasdeba 0,70%-ad.
Tu X t SemTxveviTi sidideebi erTmaneTTan ar korelireben, maSin,
finansuri instrumentis dRiuri volatilobis codniT, SeiZleba
SevafasoT am instrumentis Semosavlianobis volatiloba drois
mocemuli periodis ganmavlobaSi:
pr= dR  √ pr,
sadac pr – ganxiluli drois periodSi Semosavlianobis
volatilobaa;
dR – dRiuri volatiloba;
pr – dReebis ricxvi periodSi.
kerZod, rom ganvsazRvroT wliuri volatiloba, aucilebelia
TiToeuli konkretuli SemTxvevisaTvis sworad ganisazRvros
weliwadSi samuSao dReebis raodenoba. weliwadSi dReebis
raodenoba SeiZleba toli iyos 250-is, 260-is an 365-is.
magaliTi 1.59. 1.58 magaliTSi napovni iyo 30 wliani nulovani
kuponebis mqone saxazino obligaciis Semosavlianobis dRiuri
volatiloba: dR  0,70147 %.
qvemoT moyvanil cxrilSi miTiTebulia, weliwadSi sxvadasxva
raodenobis dReebis SemTxvevaSi, Semosavlianobis wliuri
volatiloba.

101
 dReebis wliuri
raodenoba weliwadSi volatiloba,%
250 11,09
260 11.31
360 13,31
365 13,40
vTqvaT, am momentisaTvis finansuri instrumentis Semosavlianoba
tolia r -is. SeiZleba CaiTvalos, rom erTi dReSi Semosavlianoba
ganawilebulia lognormalurad parametrebiT 0 da dR. Tu
fardobiTi cvlilebebis logariTmebi erTmaneTan ar korilireben,
maSin erTi wlis Semdeg Semosavlianobis fardoba r
SemosavlianobasTan aseve ganawilebuli iqneba lognormalurad,
parametrebiT (0, wl). aqedan gamomdinare, TviTon finansuri
instrumentis Semosavlianobas erTi wlis Semdeg unda hqondes
lognormaluri ganawileba parameterebiT ( ln r , wl).
Tu Semosavlianobis wliuri volatiloba sakmarisad mcirea,
maSin SeiZleba CaiTvalos, rom finansuri instrumentis
Semosavlianoba erTi wlis Semdeg ganawilebulia miaxloebiT
normalurad parametrebiT r da r wl.
magaliTi 1.60. nulovani kuponis mqone 10 wliani saxazino
obligaciis mimdinare Semosavlianoba 8%-is, xolo am
Semosavlianobis wliuri volatiloba 15%-is tolia.
maSin SeiZleba vivaraudoT, rom nulovani kuponis mqone 10
wliani saxazino obligaciis Semosavlianoba erTi wlis Semdeg
daaxloebiT ganawilebuli iqneba normalurad mosalodneli 0,08
mniSvnelobiT da 0,08  0,15=0,012 standartuli gadaxriT. aqedan,
kerZod, gamomdinareobs, rom 95,5%-is albaTobiT erTi wlis Semdeg
Semosavlianoba aRmoCndeba 0,08-2  0,012=0,056 da 0,08+2  0,012=0,104, e.i.
miiRebs mniSvnelobebs 5,60 da 10,40%-s Soris.

1.24 regresiuli analizis elementebi

bevr SemTxvevaSi saWiro xdeba dadgindes or SemTxveviT
sididdes Soris damokidebuleba. ufro xSirad igulisxmeba wrfivi
damokidebuleba. magaliTad, obligaciebis gacvlisas gamoiyeneboda
ori obligaciis Semosavlianobis cvlilebebs Soris wrfivi
damokidebuleba.

102
 ganvixiloT ori  da  SemTxveviTi sidide da davuSvaT, rom
roca  SemTxveviTi sidide iRebs Semdeg mniSvnelobebs X 1 , X 2 , . . . ,
Xn , maSin  SemTxveviTi sidide Sesabamisad iRebs Semdeg
mniSvnelobebs Y1 , Y2 , . . . , Yn .
wrfiv regresiul models uwodeben Semdegi saxis gantolebas:
  a  b   , (1.56)
sadac a da b raRac ricxvebia (regresiis koeficientebi),
 - SemTxveviTi cdomiloba.
wrfivi regresiuli modelis agebisas aucilebelia a da b
koeficientebis ise SerCeva, rom  SemTxveviTi cdomilobis
gavlena  SemTxveviT sidideze rc SeiZleba mcire iyos.
(1.56) gantolebidan kerZod gamomdinareobs, rom
Yk  a  bX k   k , k = 1, 2, ..., n ,
regresiis a da b koeficientebi ufro xSirad SeirCeva
umciresi kvadratebis meTodiT. umciresi kvadratebis meTodi
daiyvaneba a da b mniSvnelobebis CamoWriT ise, rom miRweuli
iqnas Semdegi funqciis umciresi mniSvneloba
n 2

 Yk  a  bX k 
k 1
(1.57)

Zneli araa imis Semowmeba, rom (1.57) funqciis umciresi

mniSvneloba miiRweva roca
a  aˆ , b  bˆ ,
n
1 n  n 
 X Y
k k   
n  k 1
X k   Yk 
 k 1  ,
sadac bˆ  k 1 2
n
1 n 

k 1
X k   X k 
2

n  k 1 
1 n 1ˆ n
aˆ   k n b
n k 1
Y 
k 1
Xk .

zemoT aRniSnuli xerxiT koeficientebis SerCevisas Sesruldeba

Semdegi damokidebulebebi:
n n

  k  0 ,  X k  ˆk  0 ˆk  Yk  a  bX k  ,
k 1 k 1

 n n

 X k Y k 
Y  aˆ  bX ,  X 
ˆ k 1
,Y  k 1 . (1.58)
 n 
 
 

103
 magal
liTi 1.61. erTiddaimave reitingi
r is (  ) mqone saS
Sualo vadiani
v
sawarmo
oo korpo oraciebis obligaciebi is Semos obis 10 wlian
savliano
saxazinoo obli igaciis (  ) Seemosavliianobazee wrfivi regreesiuli
damokiddebulobis ageba. inf
formaciaaze daayrdnobi
iT win
naswari
gaTvlebbi qvemoTT cxrillSia moyyvanili.
regr
resiis koeficie
k entebi Seemdegnairad moiZebneba:
1
46,5312 
84 (87,555)(96
6,400)
ˆ
b 10  0.96696 .
1
769,1671  (87.555) 2

10
1 1
aˆ   96,400   0,9696  878 ,555  1,15507 .
100 10

amgvaarad, am SemTxvevvaSi reg gresiis gantole

g ebas Semd
degi sax
xe aqvs:
  1,15507  0,96966   .
(1.58) damokid debulebi idan gamomdinar
reobs, ro
om

  
n n 2

 (Y
k 1
k Y )  
2

k 1
aˆ  bˆX k  ˆk  aˆ  bˆX 
.

  bˆX k  X   ˆk 
n 2 n n

k 1
 bˆ 2
(X
k 1
k X )   ˆ
2

k 1
2
k

amgvaarad, Taavis saSualo mniSvnelobaze damokide

d ebuli si
ididis
gadaxreebis kvaadratebiis srul
li jami i ori nawilissagan Sedgeba:
bˆ  X k  X  -sgan, romelsac regr
n
resiiT ganmarteb dratebis jams
bul kvad
k 1

104
 n
da  ˆ
k 1
2
k -sgan, romelsac regresiiT ganumartebel kvadratebis jams

uwodeben.
regresiiT ganmartebul kvadratebis jamis fardobas kvadratebis
srul jamTan uwodeben determinaciis koeficients da R 2 –iT
aRiniSneba. amgvarad,
n
1 n  n 
X k Yk    X k   Yk 
n  k 1  k 1  .
R 2  bˆ k 1
2
n
1 n 

k
Y  k  Yk 
2

n  k 1 
determinaciis koeficienti yovelTvis imyofeba 0-sa da 1-s
Soris, amasTan rac ufro axlosaa determinaciis koeficienti
erTTan, miT ufro maRalia regresiuli modelis xarisxi.
magaliTi 1.62. SevafasoT 1.61. magaliTSi agebuli regresiuli
modelis xarisxi.
mocemul SemTxevaSi determinaciis koeficienti SeiZleba
Semdeganairad moiZebnos:
1
846,5312  (87,400)(96,400)
R 2  0,9696 10 0,9963 .
1
931,7300  (96,400) 2

10
ramdenadac determinaciis koeficienti axlosaa erTTan, amdenad
regresiuli modelis xarisxi sakmaod maRalia.
determinaciis koeficientebis Sefaseba Cvens mier miRebulia
damoukidebeli  SemTxveviTi sididis X1 , X2 , . . . , Xn
mniSvnelobebis SerCevasa da maTTan dakavSirebuli damokidebeli 
SemTxveviTi sididis SerCevasTan damokidebulebiT.  SemTxveviTi
sididis sxva mniSvnelobebis SerCevisas miRebuli iqneba
determinaciis koeficientebis sxva Sefasebebi da sxva SemTxveviTi
cdomileba. amasTan dakavSirebiT Cndeba regresiis
koeficientebisaTvis sando intervalis agebis amocana.
Tu vivaraudbT, rom SemTxveviTi cdomilebebi erTmaneTTan ar
kolirileben (e.i. ar arsebobs avtokorelacia), maSin 95%
saimedoobis mqone regresiis koeficientebisaTvis sando intervali
aigeba Semdegnairad:

105
  st  st
bˆ  t 0, 025 (n  2)   b  bˆ  t 0, 025 (n  2)  ,
n n

X
k 1
2
k X
k 1
2
k

1 X2 1 X2
aˆ  t 0,925 (n  2)   st   n  a  aˆ  t 0, 025 (n  2)   st   n ,
n n
 Xk 2

k 1
 Xk 2

k 1

sadac t 0, 025 ( n  2) - stiudentis ganawilebisaTvis kritikuli

mniSvnelobebia Tavisuflebis n  2 xarisxiT (cxrili 1.3).
n

 ˆ 2
k
1 R2  n 2 1 n 2

 Y   Y   -
 st  k 1

n2

n2

 k 1 k 
n  k 1  
k Secdomis standartuli

Sefasebaa.
Tu  SemTxveviTi sidide iRebs X mniSvnelobas, maSin Semdegi
wrfivi regresiuli modelis Tanaxmad:
  aˆ  bˆ   ,
 SemTxveviTi sididis mosalodneli mniSvneloba tolia
mos= aˆ  bˆX .
avtokorelaciis da heteroskedasturobis4 ar qonisas 
SemTxveviTi sididisaTvis sando intervali mocemuli sandoobis
donis dros SeiZleba moiZebnos Semdegi saxiT:
(mos - , mos + ),
( X  X )2 1
sadac Y  t 0,025 (n  2)   st  2
 .
n
1  n
X 2
k   n X k 
n  k 1
k 1 
magaliTi 1.63. investori Tvlis, rom erTi Tvis Semdeg 10 wliani
saxazino obligaciis Semosavlianoba mosalodnelia iyos 8%-is
toli. maSin 1,61. magaliTSi agebuli regresiuli modelis Tanaxmad,
samrewvelo korporaciebis obligaciebis Semosavlianobis
mosalodneli mniSvneloba toli iqneba
1,1507 + 0,9696  8% = 8,91%.
95%-iani saimedoobis mqone samrewvelo obligaciebis
SemosavlianobisaTvis sando intervalis gansazRvrisaTvis vipovoT:

4heteroskedasuroba (heteroscedasticity) - homoskedasturobis ar qona. e.i. sxvadasxva

jgufebis mixedviT gamoTvlili dispersiis araerTgvarovneba (mocemul SmTxvevaSi dispersiis
araerTgvarovneba drois mixedviT)
106
 t 0, 025 ( n  2) =2,31 ( n  2 = 8);
1  0,9963  1 2
 st   931,7300  96,400   0,0336 ;
8  10 
= 2,31  0,0336  0,5668 =0,044.
aqedan, saZiebeli sando intervalia: (8,87%; 8,95%).

1.25 monte-karlos imitaciuri modelirebis meTodi

 SemTxveviT sidides, romelic 10 mniSvnelobas: 0, 1, 2, 3, . . ., 9
erTnairi albaTobiT iRebs uwodeben SemTxveviT cifrs.
vTvaT CavatareT N damoukidebeli cda, romlis Sedegadac
miviReT N SemTxveviTi cifri. Tu CavwerT am cifrebs (maTi
gamoCenis mimdevrobiT) cxrilSi, miviRebT SemTxveviTi cifrebis
cxrils.
magaliTad, 150 SemTxveviTi cifrisagan Semdgar cxrils
SeiZleba hqondes Semdegi saxe (cifrebi jgufebad dayofilia
cxrilis wakiTxvis mosaxerxeblad):

SemTxveviT ricxvs (random number) uwodeben Semdeg SemTxveviT

sidides
1 2 s
   ...   ... ,
10 100 10 s
sadac  1 ,  2 , ..,  s , ... – damoukidebeli SemTxveviTi cifrebia. sxva
sityvebiT, SemTxveviT ricxvi – es aris SemTxveviTi sidide,
romelic Tanabradaa ganawilebuli [0, 1) Sualedze.
Tu mocemulia SemTxveviTi cifrebis cxrili, maSin SeiZleba
aigos nebismieri SemTxveviTi ricxvi, rogoricaa magaliTad:

(1.59)
nebismieri raodenobiT SemTxveviTi ricxvis asagebad amJamad
arsebobs specialuri kompiuteruli programebi. aseT programebs
SemTxveviTi ricxvebis generatorebs uwodeben.
axla ganvixiloT diskretuli  SemTxveviTi sidide, romlis
ganawilebasac Semdegi saxe aqvs:
107
 X1 X2 . . . Xn
P1 P2 . . . Pn
 SemTxveviTi
i sididis modeelirebis
saTvis [0, 1) Sualedi davyoT
d
 i nawil se, rom  i Sual
lebad is ledis sig
grZe tol s Pi =1, 2, 3, ..., n -
li iyos
li ˆ SemT
is. axal TxveviTi
i sidide ganisaz
zRvreba tolobi
iT:
ˆ  X i , Tu    i i =1, 2, 3, ..., n , (1.600)
sadac c  SemmTxveviT T ricxvss iseTivee ganawileba aqvvs rogo oric 
SemTxvevviTi sid dides.
(1.60) tolob ba saSuaalebas iZleva TiToeul l SemTxveviT ricxvs
r
mivawero oT  SeemTxveviT Ti sidiidis gansazRvr ruli mn oba. 
niSvnelo
SemTxvevviTi sididis miweris m aseT process xSirad d uwodeeben am
SemTxvevviTi sid didis gaaTamaSebaas.
magaaliTi 1.664.  SemT TxveviTi
i sididee iRebs or mniSvnelobas: 1 da
2 albaT TobebiT 0,6 da 0,4 Sesabaamisad. mocemul
m SemTxveevSi
1 =[[0; 0,6),  2 = [0,6; 1).
1
am SeemTxveviTi sidi idis mnSvnelobeebi, roml lebic miwerili ia (1.59)
mimdevro obidan SemTxvev
S iT ricx oyvanilia qvemoT:
xvebze, mo

13 7
1-is da
d 2-is gamoCeni
g s sixSir
re Sesabamisad tolia
t  0,65 ;  0,35
2
20 220
da maT albaT TobebTan n axlos saa. romm miviRoT ukeeTesi mo odeli,
aucilebbelia SeemTxveviTTi ricx
xvebis diidi raod denobis ganxilvva.
davuSvaT, rom mo
ocemuli ia ori  da  SemTxve
eviTi s
sidide,
romelTTa erTobbliv gan nawilebaas Semdeg
gi saxe:

108
 (  ,  ) SemTxveviTi sidideebis wyvilis modelirebisaTvis [0, 1)
Sualedi davyoT  ij nawilebad ise, rom  ij naxevarSualedis sigrZe
toli iyos Pij ; i =1, 2, 3, ..., m -is; j =1, 2, 3, ..., n -is.
am SemTxvevaSi ( ˆ ,̂ ) SemTxveviTi sidideebis wyvils, sadac
ˆ  X i , ̂  Y j , roca    ij (1.61)
iseTive ganawileba aqvs, rogorc (  ,  ) wyvils.
(1.61) toloba saSualebas iZleva TiToeul SemTxveviT ricxvs
mivaweroT  da  SemTxveviTi sidideebis gansazRvruli
mniSvnelobaTa wyvili. (  ,  ) SemTxveviTi sididebis wyvilis miweris
aseT process xSirad uwodeben am wyvilis gaTamaSebas.
Tu  da  SemTxveviTi sidideebi damoukidebelni arian, maSin ( 
,  ) wyvilis gaTamaSebisaTvis sakmarisia mxolod TiToeuli
SemTxveviTi sididis calk-calke gaTamaSeba. uwyveti SemTxveviTi
sididis gasaTamaSeblad Tavidan SeiZleba vipovoT diskretuli
SemTxveviTi sidide, romelic am SemTxveviTi sididesTan axlosaa
da Semdeg gavaTamaSoT es diskretuli sidide.
monte-karlos meTodi saSualebas iZleva ricxobrivad movZebnoT
im  SemTxveviTi sididis albaTuri maxasiaTeblebi, romelic
damokidebulia sxva 1 ,  2 ,. . . ,  n SemTxveviTi sidideebis did
ricxvze. es meTodi daiyvaneba Semdegze: xdeba SemTxveviTi
sidideebis mimdevrobis ( 1 ,  2 ,. . . ,  n ) gaTamaSeba, TiToeulo
gaTamaSebisaTvis ganisazRvreba  SemTxveviTi sididis Sesabamisi
mniSvneloba, xolo mocemuli mniSvnelobebiT xdeba am SemTxveviTi
sididis albaTobebis empiriuli ganawilebis ageba.
magaliTi 1.65. investori flobs portfels, romelic Sedgeba
erTi saxazino da ori erTidaimave sakredito reitingis mqone
korporatiuli obligaciebisagan. portfelis ZiriTadi parametrebi
naCvenebia cxrilSi:
obligacia dafarvamde kuponuri nominaluri dafarvis mimarT
vada, weli ganakveTi,% Rirebuleba, Semosavlianoba,%
dolr.
saxazino 5,5 6,0 5 6,0
korporatiuli 15,5 9,0 4 9,0
korporatiuli 25,5 10,5 6 10,5
investors ainteresebs obligaciebis portfelis realizebadi
Semosavlianoba 6 Tvis manZilze. misi azriT, portfelis
109
realizeebadi Seemosavli ianoba ganisazR
g vreba Seemdegi ori
o faqt
toriT:
6 Tvis Semdeg saxazino
s o oblig gaciebis Semosavvnianobebbis mruddiT da
korporaaciuli da saxaazino ob bligacieebis Semmosavloanobebs Soris
sprediT
T. davuSvvaT, romm investo
ors gaaCCnia kideev Semdeg
gi inforrmacia:

obli igaciebis por

rtfeliss reaalizebaddi Semosavliianobis
gansazRvrisaTvi is SeiZlleba gamo
oynebul
li iyos monte-kar
m rlos meeTodi.
pirveeli iteeracia (SemTxve
( viTi riicxvebi: 0,91 Semosavli ianobis
mrudisaaTvis dad 0,12 Semosavlianobeebs Sor ris spredisaTvi is). am
SemTxvevvaSi 5, 15 da 25 wli iani daffarvis vadis
v mqqone saxazino
obligac ciebis Semosavl
S lianobebi Seadgeens Sesaabamisad 10, 8 daa 8%-s,
xolo 15 da 25 wli iani dafarvis vadis mqone korpora
k aciuli
obligac ciebis Semosavl
S lianoba – 9 da 9%%-s.
maSin
n, 6 Tviss Semdeg g obliggaciebze (100 doolr. no ominaliTT) fasi
Semdegnaairad gaanisazRvvreba:
6  1  100
P1  1  10 
 84,5563
5 ,
0,1  1  0,05  1  0,0510
P2 = 100 onuri gaanakveTi emTxvevaa Semosavlianob
1 (kupo bas),

110
 10,5  1  100
P3  1  50 
  114,82151 .
0,09  1,045  (1,045) 50
masasadame, obligaciebis realizebadi Semosavlianoba Seadgens:
P1  50000  P2  40000  P3  60000  150000 _ 180000  315000  15000000
2  0,1016 ,
15000000
e.i. 10,16%-s.
davuSvaT, rom Catarebuli iyo 100 iteracia. amasTan aRmoCnda,
rom portfelis umciresi realizebadi Semosavlianoba tolia –
3,905%-s, xolo udidesi realizebuli Semosavlianoba Seadgens
24,97%-s.
davyoT [-3,905%; 24,97%] monakveTi sakmaod did raodenobis
nawilebad, TiToeuli nawilisaTvis gamovTvaloT iteraciis ricxvi,
romelic gvaZlevs am nawilisaTvis realizebul Semosavlianobas.
amgvarad, agebuli iqneba obligaciebis portfelis realizebadi
Semosavlianobebis albaTobebis empiriuli ganawileba. ris
Semdegac SesaZlebelia miRebuli iyos am realizebadi
Semosavlianobis sxvadasxva ricxobrivi maxasiaTeblebi: saSualo
mniSvnelobebi, standartuli gadaxrebi da a.S.

1.26 SemTxveviTi procesebi da maTi ZiriTadi maxasiaTeblebi

mocemulia ZiriTadi albaTuri sivrce
( ,  , P )
sadac  - elementeruli xdomilebebis sivrcea
 -SemTxveviTi xdomilebebis  -algebra
P - albaTuri zoma.
ganvixiloT raime ricxviTi V simravle, romlis elementebad
SemdgomSi drois momentebs CavTvliT.
orcvladian  ( , t ) funqcias,    da t  V , uwodeben SemTxveviT
process, gansazRvruls V simravleze, Tu nebismieri t  V da x  R -
sTvis ( R - namdvil ricxvTa simravlea) simravle
{    |  ( , t ) < x }   , (1.62)
e.i. warmoadgens SemTxveviT xdomilobas.
(1.62) pirobidan gamomdinareobs, rom Tu V simravleze
gansazRvrulia  ( , t ) SemTxveviTi procesi, maSin t  V drois yovel
moments miesadageba SesabamisobaSi  t ( )   ( , t ) SemTxveviTi sidide.

111
 t ( ) SemTxveviT sidides ewodeba drois t momentSi SemTxveviTi
procesis kveTa.
amgavarad, imisaTvis rom V simravleze moices raime SemTxveviTi
procesi, sakmarisia t  V drois TiToeul moments mieniWos
SesabamisobaSi esa Tu is  t ( ) SemTxveviTi sidide, am SemTxveviTi
procesis kveTa. amis Tanaxmad, SemTxveviTi procesi SeiZleba
aRiniSnos  t ( ) –iT an ubralod  t -iT.
Tu V simravleze mocemulia  ( , t ) SemTxveviTi procesi, maSin
TiToeuli fiqsirebuli elementaruli xdomilobisas gvaqvs erTi t
cvladis funqcia. V simravleze gansazRvrul am funqcias uwodeben
traeqtorias, an  ( , t ) SemTxveviTi procesis realizebas.
magaliTi 1.66. ganvixiloT Semdegi SemTxveviTi procesi
 ( , t )  t   ( )  1 ,
sadac t  [0,) ,
1, 0,4 ალბათობით
()=
−1, 0,6 ალბათობით
mocemuli SemTxveviTi procesis kveTas, drois momentSi,
warmoadgens SemTxveviTi sidide.  ( , t ) SemTxveviTi procesis
traeqtoria gamosaxulia nax. 1.27-ze.
magaliTi 1.67. SemTxveviTi procesi [0, ) -ze gansazRvrulia
Semdegnairad
1, თუ < ();
 ( , t ) =
2, თუ ≥ ().
sadac () – raRac dadebiTi SemTxveviTi sididea.
 ( , t ) SemTxveviTi procesis kveTas, drois t momentSi, warmoadgens
SemTxveviTi sidide, romelic iRebs 1-is tol mniSvnelobas toli
P{ ( )  t} albaTobiT da 2-is tol mniSvnelobas P{ ( )  t} albaTobiT.
 ( , t ) SemTxveviTi procesis traeqtoria nax. 1.28-zea gamosaxuli.
SemTxveviTi procesebis mniSvnelovan maxasiTeblebs
warmoadgenen maTematikuri lodini da dispersia.
 ( , t ) SemTxveviTi procesis t  V , maTematikur lodins uwodeben
m (t ) funqcias, romelic tolia  t ( ) kveTis maTematikuri lodinis,
e.i.
m (t )  E ( t ( )) , t  V .

112
  ( , t ) SemT
TxveviTi cesis t V dispers
proc sia waarmoadgeens D (t )
funqciaas, romeelic to olia am SemTx
xveviTi procesi
is  t ( ) kveTis
dispersiis, e.i.
D (t )  D ( t ( )) , t  V .

magal liTi 1.668. vipovvoT 1.66. magali iTidan SemTxvevviTi pro

ocesis
maTemati ikuri lodinis
l da dispeersia.
gansaazRvrebi is Tanaxmad
m (t )  E ( t ( ))  E (t ( )  1)  tE ( )  1 .
ramdenadac E ( )  1  0,4  (1)  0,6  0,2 , ammdenad, m (t )  0,2t  1 .
res mxri
meor iv,
D (t )  D( t ( ))  D(t ( )  1)  t 2 D( ) .
D( )  (1  0,2) 2  0,4  (1  0,2) 2  0,6  0,96 .
e.i.
D (t )  0,96t 2

113
 magaliTi 1.69. ganvixiloT SemTxveviTi procesi magaliTi 1.67-dan.
CavTvaloT, rom  ( ) SemTxveiTi sidide ganawilebulia
eqsponenturad Semdegi simkvriviT
P (x ) 0, თუ < 0;
= x
e , თუ ≥ 0.
ramdenadac P{ ( )  t}  1  e  t P{ ( )  t}  e  t , amdenad
E ( t ( ))  1  e  t  2  (1  e  t )  2  e  t ;

 2
 
D ( t ( ))  1  ( 2  e t )  e t  2  2  e t  1  e   e 1  e  .
2 t t t

aqedan gamomdinare,
m (t )  2  e t , D (t )  e t 1  e t  .
amboben, rom  ( , t ) SemTxveviT process t V gaaCnia
damoukidebeli nazrdebi, Tu Tu nebismieri t1 , t 2 , ..., t n , t1 < t 2 < ...< t n ,
SemTxveviTi sidideebi  t   t ,  t   t , ... ,  t   t damoukidebelni arian.
2 1 3 2 n 1 v 1

damoukidebeli nazrdebis mqone SemTxveviTi procesebi

mniSvnelovan rols TamaSoben finansuri maCveneblebis evoluciis
modelirebisas. es imiT aixsneba, rom finansuri bazari miRebulia
CaiTvalos efeqturad (efficient), Tu am bazarze aqtivebis fasi
mTlianad asaxav am aqtivebis Sesaxeb arsebul mTlian informacias.
efeqtur finansur bazarze aqtivebis fasebis cvlileba SeiZleba
moxdes mxolod axali informaciis gaCenis gamo (romelic zogadad
gamoucnobia). es niSnavs, rom aseT bazarze aqtivebis fasebis
cvlilebebi garkveuli azriT unda iyos damoukidebelni.

1.27 SemTxveviTi procesebis mniSvnelovani saxeebi

1.27.1 SemTxveviTi xetiali
V  {t 0 , t 0  h, t 9  2h,..., t 0  kh,...} h  0 simravleze gansazRvrul  ( , t )
SemTxveviTi process uwodeben SemTxveviT xetials (random walk), Tu
 t0 ( )  x,
 ( x raRac ricxvia, k  1,2,3,... )
 t0  kh ( )   t0  ( k 1) h ( )   k ( ),
sadac 1 ,  2 , ...,  k , ... SemTxveviTi sidideebi damoukidebelni arian,
, 0,5 ალბათობით
k = ( > 0).
−, 0,5 ალბათობით
drois t 0  kh momentSi SemTxveviTi xetialis kveTas warmadgens
diskretuli SemTxveviTi sidide, romlis albaTobebis ganawilebis
kanons Semdegi saxe aqvs:
114
 k!
(C kl  , k  1  2  3  ...  k ) .
l!k  l !
SemTxveviTi xetial lis tr raeqtori ia gamo
osaxuliaa nax. 1.29-ze
(wertil lebiT gaamoyofil lia erT--erTi tr raeqtoria).
SemTxveviT xetials x gaaCnia damouki idebeli nazrdeb
bi, amasT
Tan
m (t 0  kh)  x , D (t 0  kh)  k   , k  1,2,3,...
2

1.27.2 bin nomialuuri modeeli

V  {t 0 , t 0  h, t 9  2h,..., t 0  khh,...} h  0 simravle
s eze g
gansazRv
vrul  ( , t )
SemTxvevviTi pro ocess uw wodeben binomial lur moddels, Tu

 t0 ( )  x,
 ( x -raR xvia, k  1,2,3,... )
Rac ricx
 t0  kh ( )   t0  ( k 1) h ( )   k ( ),
sadacc  1 ,  2 , ...,
.  k , ... SemTxvevi
S ideebi damoukidebelni arian,
iTi sidi a
, ალ ლბათობით თ
k = ( > 1, 0 < < 1).
, 1 − ალბათობი
ალ ბით

115
 droiis t 0  kh momentSi binomminalur
ri model
lis kveT
Tas warmmadgens
tuli SemTxveviT
diskret Ti sidid
de, roml
lis albbaTobebi
is ganawi
ilebis
kanons Semdegi
S saxe aqvs:

binomminalur
ri model
lis traeeqtoria gamosaxulia naax. 1.30-zee.

Tu  ( , t ) SeemTxveviT
Ti proc
cesi warmmoadgens ialur models
s binomi
rebiT u , d , p , maSin
parametr m
m (t 0  kh)  xupp  d 1  p  ,
k

 
D (t 0  kh)  x 2 u 2 p  d 2 1  p   up  d 1  p 
2k
,
k  0,1,2,3,... .
zogaadad, binomialuri mo odelis nazrdeebi ar warmoaadgenen
damoukiideblebss. magr
ram lnn  ( , t ) Sem
mTxveviT
T sidi
ides gaaCnia
damoukiidebeli nazrdebbi.
SemTxveviTi xetialli da binomial luri modeli
m miekuTvnebian
diskrettuli dr rois (diiscrete tim
me proce ess) mqon
ne proc cesebs. uwyveti
u
drois mqone SemTxvveviTi procesi is (conntinuous time process)
p
mniSvnel
lovan maagaliTs warmoad dgens vineruli SemTxveviTi pro ocesi.

116
 1.27.3 vineruli SemTxveviTi procesi
[ t 0 ,) Sualedze gansazRvrul w( , t ) SemTxveviT process uwodeben
vineruli SemTxveviT process (Wiener process), Tu sruldeba Semdegi
pirobebi:
1. wt ( , t ) = x ( x - raime ricxvia).
0

2. w( , t ) SemTxveviTi procesis nazrdebi damoukidebelni arian.

3. wt ( )  ws ( ) , t  s , nazrdi ganawilebulia normalurad (0, t  s )
parametrebiT.
4. w( , t ) SemTxveviTi procesis yvela traeqtoria [ t 0 ,) Sualedze
uwyvetia.
ZiriTadi debulebebi vineruli SemTxveviTi procesis Sesaxeb.
1. vineruli SemTxveviTi procesi SeiZleba agebuli iyos
SemTxveviTi xetialidan zogierTi zRvruli gadasvlis meSveobiT.
2. vineruli SemTxveviTi procesis wt ( ) kveTa ganawilebulia
normalurad ( x, t  t 0 ) parametrebiT, e.i.
mw (t )  E ( wt ( ))  x , Dw (t )  D( wt ( ))  t  t 0 .
3. Tu wt ( ) da ws ( ) vineruli SemTxveviTi procesis ori kveTaa,
maSin Cov( wt , ws )  min{t , s}  t 0 .
4. vineruli SemTxveviTi procesis kveTebis sistemis albaTobebis
erToblivi ganawilebis simkvrives
wt ( ) wt ( ) , ... , wt ( ) ,
1 2 n

sadac t 0 < t1 < t 2 < ... < t n

aqvs Semdegi saxe
Pt1 ,t2 ,...,tn ( x1 , x 2 ,..., x n ) 
1   x  x 2  x2  x1 2  x  x 2 
1   1
2  t1 t 0

t 2  t1
... n n 1 
t n t n 1 
.
 e
2  2 t1  t 0 t 2  t1 ...t n  t n 1 
n

drois mocemul [ t 0 , T ] Sualedze w( , t ) vineruli SemTxveviTi

procesis traeqtoriis modelirebisaTvis SeiZleba gamoviyenoT
monte-karlos meTodi.
TviTon vinerul SemTxveviT process iSviaTad iyeneben finansuri
maCveneblebis modelirebisaTvsi, ramdenadac gaaCnia mudmivi
maTematikuri lodini. magram TiTqmis yvela SemTxveviTi procesi,
romelic amJamad gamoiyeneba sxvadasxva finansuri maCveneblebis
modelirebisaTvis aigeba vineruli procesis safuZvelze.

117
 1.28 cnebebi stoqasturi diferencialuri gantolebebis Sesaxeb
stoqastur diferencialur gantolebebs (stochastic differential
equation) uwodeben Semdegi saxis gantolebebs
dx  a ( x, )d   ( x, )dwt , (1.63)
sadac a ( x, ) ,  ( x, ) ori cvladis x da  -s funqciebis,
wt ( )  w( , ) - vineruli SemTxveviTi procesi.
stoqasturi diferencialuri gantolebebis amonaxseni [ t ,T ]
Sualedze hqvia x( , ) SemTxveviT process, romelic akmayofilebs
Semdeg pirobebs:
1) yvela x( , ) SemTxveviTi procesis traeqtoria uwyvetia [ t ,T ]
Sualedze;
2) nebismieri   [ t ,T ] -sTvis sakmarisad mcire  -s dros
x   ( )  x ( )  a( x ( ), )   ( x ( ), )( w   ( )  w ( )) (1.64)
((1.64) miaxloebiTi tolobis zusti ganmarteba cdeba wignis
CarCoebs).
(1.63) stoqasturi gantolebis nebismier amonaxsens, romelic
akmayofilebs romeliRac sawyis pirobas
xt ( )  x , ( x - raime ricxvia), (1.65)
uwodeben SemTxveviT process itos (Ito process).
kerZod, geometriul brounur moZraobas (deometric Brownian
motion) warmoadgens SemTxveviTi procesi, romelic akmayofilebs
Semdeg stoqastur diferencialur gantolebas:
dS  (aS )d  (S )dw ( a ,  - ricxvebia,  >0) (1.66)
da sawyis pirobas
S t ( )  S . (1.67)
(1.66) da (1.67) pirobebiT gansazRvruli geometriuli brounuri
moZraoba SeiZleba moiZebnos cxadi saxiT:
 2 
 a    t 
 
 e   w  wt  .
2
S  Se  

geometriuli brounuri moZraobis Tvisebebi

 S   2 
1. E ln    a    t  , m s ( )  S  e a ( t ) .
 S   2 
meore damokidebulebis ZaliT a -s uwodeben geometriuli
brounuri moZraobis wanacvlebis koeficients (drift).

118
  S 
2. D ln    2 (  t ) .
 S 
es niSnave, rom  warmoadgens geometriuli brounuri
moZraobiT aRweril maCveneblis wliur volantilobas (ix. 1.23).
S 
3. nebismieri  -sTvis ln   SemTxveviTi sidide ganawlebulia
 S 
 2  
normalurad  a    t ;    t  parametrebiT. maSin S -s gaaCnia
 2  
lognormaluri ganawileba.
4. bevr SemTxvevaSi SeiZleba CaiTvalos, rom finansuri aqtivebis
fasis evolucia aRiwereba geometriuli brounuri moZraobiT.
sakmaod zusti aRmoCndeba xolme aseTi modelireba, magaliTad,
Cveulebrivi aqciebis SemTxvevaSi .
magaliTi 1.70. investori Tvlis, rom dividendis gareSe aqciebis
fasi aRiwereba geometriuli brounuri moZraobiT, wanacvlebis
koeficientiT 0,1 da wliuri volantilobiT 40%. drois mocemul
momentSi aqciis fasi 100 dolaris tolia. investors ainteresebs am
aqciis fasi erTi Tvis Semdeg.
am SemTxvevvaSi
1
a =0,1;  =0,4;   t = ; S =100 dolr.
12
aqedan, erTi Tvis Semdeg aqciis mosalodneli fasi iqneba
 1 
0 ,1 
a ( t )
Se  100  e  12 
 100,84 dolr.
S1
Tu S1 aqciis fasia erTi Tvis Semdeg, maSin ln ganawilebulia
100
 2 
normalurad  a    t   0,0017 ;    t 0,1155 parametrebiT.
 2 
aqedan, Tu 95,5%-is saimedoobiT
S1
0,00117-2  0,1155 < ln( ) < 0,00117+2  0,1155,
100
maSin
79,51 dolr. < S1 <126,90 dolr.
garda amisa, SesaZlebelia gamoiTvalos imis albaToba, rom
erTi Tvis Semdeg aqciis fasi aRmoCndeba 90 dolarze dabla.
marTlac,

119
  S 
P{S1  90}  P ln 1  ln 0,9  1   ( z ) ,
 100 
ln 0,9  0,0017
sadac z   0,93 .
0,1155
ramdenedac  (0,93)=0,1762 (ix. cxrili 1.1), amdenad, saZiebeli
albaToba tolia
P{S1  90}  1  0,1762  0,8238 , e.i. 82,38%-is.
nulovani kuponis mqone B obligaciis fasis evolucia SeiZleba
aRiweros geometriuli brounuri moZraobiT mxolod maSin,
rodesac obligaciis dafarvamde sakmarisad didi dro rCeba.
marTlac, dafarvis momentSi misi T fasi yovelTvis nominalis
B 
tolia, e.i. namdvilad cnobilia. es niSnavs, rom D ln    0 da
 B0 
B 
D ln   -is droze damokidebulebas unda hqondes nax. 1.31
 B0 
gamosaxuli saxe.
amgvarad, nulovani kuponis mqone obligaciis fasis evoluciis
modelirebisas aucilebelia gaTvaliswinebuli iyos nominalTan
miaxloebis efeqti (pull to par), geometriuli brounuri moZraoba ki
S 
am efeqts ar iTvaliswinebs, ramdenadac D ln   droSi wrfivad
 S 
izrdeba.
zogad SemTxvevaSi (1.63) saxis stoqasturi diferencialuri
gantolebebis amonaxsenis povna cxadi saxiT ar xerxdeba. amitom
SemTxveviTi ito procesis traeqtoriis modelirebisaTvis xSirad
gamoiyeneba monte-karlos meTodi.
imisaTvis, rom moxdes SemTxveviTi ito procesis modelireba
[t , T ] monakveTze, es monakveTi iyofa n tol nawilad ( n unda iyos
didi), xolo Semdeg TamaSdeba  sidide romelic normaluradaa
 T t 
ganawilebuli  0,  parametrebiT. maSin, SemTxveviTi ricxvebis
 n 
 
mimdevrobisaTvis agebuli iqneba  sididis mniSvnelobebis
Sesabamisi ˆ1 , ˆ2 , ..., ˆn mimdevroba, xolo SemTxveviTi ito procesis
traeqtoria ganisazRvreba Semdegi wertilebiT:
T t 
x1  x  a ( x, t )      ( x, t )  ˆ1 ;
 n 
120
 T t 
x 2  x1  a ( x1 , 1 )      ( x1 , 1 )  ˆ2 ;
 n 
. . . . . . . . . . . . . . . . . . . . . . . .;
T t   T t
x n  x n 1  a ( x n 1 , n 1 )      ( x n 1 , n 1 )  ˆn  k  t  k  .
 n   n 
zemoT miTiTebuli xerxiT T SeiZlleba aig
gos SemmTxveviTi ito
procesiis nebismmierad bevri traeqtoria.

121
 Tavi 2
warmoebuli finansuri instrumentebis bazari
2.1.Sesavali
amJamad riskebis identifikaciisa da gazomvisaTvis farTod
gamoiyeneba warmoebuli finansuri instrumentebis Teoria.
warmoebuli finansuri instrumentebis Seswavla mniSvnelovania
aseve imitom, rom TviTon es instrumentebi warmoadgenen riskis
wyaros, rogorc finansuri institutebis, ise finansuri bazrisTvis
zogadad. garda amisa warmoebuli finansuri instrumentebi – es
amaTuim riskebis hejirebis erT-erTi mniSvnelovani saSualebaa.
swored amitom wignis es Tavi eZRvneba warmoebuli finansuri
instrumentebis Sesawavlas.
am TavSi ganxilulia rogorc umartivesi warmoebuli finansuri
instrumentebi – forvarduli da fiuCersuli kontraqtebi, ise
SedarebiT rTuli – sxvadasxva saxis ofcionebi da instumentebi
CaSenebuli ofcionebiT. ZiriTadi yuradReba eTmoba aseTi
instrumentebis Sefasebis meTodebs da maTi gamoyenebis ZiriTad
mimarTulebebs.
mniSvnelovan warmoebul finansur instrumentebs warmoadgenen
klasikuri evropuli da amerikuli ofcionebi. dawvrilebiT
ganixileba aseTi ofcionebis Sefasebis meTodebi im
SemTxvevisaTvis, rodesac sawyisi aqtivebis Rirebuleba
ganisazRvreba geometriuli brounuri moZraobiT. kerZod
moyvanilia bleq-Soulzis formulebi evropuli ofcionebis
Sesafaseblad da ganixileba maTi gamoyeneba. ZiriTadi finansuri
riskebis hejirebisaTvis klasikuri ofcionebis gamoyeneba aseve
ganixileba am TavSi.
daskvniT TavSi sabuTdeba saprocento ganakveTis binomaluri
modelis ageba da misi gamoyeneba saprocento ganakveTebisagan
warmoebuli finansuri instrumentebis: kepebis, florebis, svopebis
da CaSenebuli ofcionebiT obligaciebis, Sesafaseblad. garda
amisa, moyvenilia saprocento ganakveTebis droiTi struqturebis
sxva modelebis mimoxilvac.

122
 2.2.
forvarduli kontraqtebi da maTi ZiriTadi
maxasiaTeblebi
amJamad ganviTarebul finansur bazrebze mniSvnelovan rols
TamaSobs e.w. damoukidebeli warmoebuli instrumentebi (derivatives).
warmoebuli instrumentebidan umartivess warmoadgens forvarduli
kontraqti.
forvarduli kontraqti (forward) warmoadgens SeTanxmebas
garkveuli aqtivebis, romelTac `sabaziso~ ewodebaT, yidvas am
gayidvas momavalSi drois gansazRvrul momentSi winaswar
dadgenil fasad. Cveulebriv forvarduli kontraqtebi ideba
finansur institutsa da mis korporatiul klientebs Soris.
amgvarad, forvardul kontraqtSi yovelTvis monawileobs ori
mxare. am dros amboben, rom is mxare, romelic Tanxmdeba momavalSi
iyidos aqtivebi, ikavebs grZel pozicias, xolo is mxare, romelic
Tanxmdeba gayidos aqtivebi – mokles.
ramdenadac forveduli kontraqtis mxareebi Tanasworuflebiani
arian da erTidaimve riskis qveS imyofebian, amdenad forvarduli
kontraqtis dadebisas aravin aravis arafers ar uxdis. es niSnavs,
rom forvarduli kontraqtis dadebisas misi fasi nulis tolia.
im fass, romliTac mxareeebi Tanxmdebian iyidon (da
Sesabamisad gayidon) aqtivebi, uwodeben aqtivebis miwodebis fass.
miwodebis fasi avRniSnoT K -Ti. drois moments, roca xdeba
aqtivebis yidva da gayidva, uwodeben forvarduli kontraqtis
Sesrulebis TariRs an miwodebis TariRs. forvarduli kontraqtis
Sesrulebis momenti avRniSnoT T -Ti.
forvarduli kontraqtis Sesrulebis momentSi amaTuim
poziciidan Semosavali (mogeba) ganisazRvreba K miwodebis fasze
da S T aqtivis spot-fasze damokidebulebiT. T momentSi grZeli
poziciidan Semosavali tolia S T _ K -is, xolo mokle poziciidan -
K _ ST -is (nax 2.1 da 2.2).
SemdgomSi vivaraudebT, rom:
1. bazrebi srulyofilia (efficient);
 araa transaqciuri xarjebi da gadasaxadebi;
 aqtivebis yidviT an gayidviT arc erT investors ar SeuZlia
fasebze zemoqmedeba;
 daSvebulia mokle gayidvebi.
123
 2. bazris monawil
leebs S
SeuZliaT T SeuzzRudavad moaxxdinon
dakredi iteba ann fulis s sesxebba erTid daimave urisko r ganakveTiT
(uwyveti i daricx
xvis droos).
3. fo
orvarduuli gari igebebisaas ar ar
rsebobs sakreditto riski i.
4. ar
r arsebo
obs momgebiani saarbitr raJo SesaZleblo obebi, e.i. araa
SesaZleebeli ur risko Semosavl
S lis miReeba aqtivebze fasTa
f sx
xvaobis
meSveobi iT.
am pirobebi
p is dacviis dros s erTid daimave saxis
s aqtivebze yvela
forvard duli kontraqt
k ti miwo odebis T TariR RiT dr rois mo ocemul
momentSi daideb ba erTid
daimave miwodebi
m is fasadd.
marTTlac, davuSvaT,, rom dr rois moc cemul momentSi SesaZlebelia
daidos forvarduli ko ontraqtti miwodebis K1 da K 2 faasad, saddac K1
> K2 .

leba davvikavoT mokle pozicia pirvel

in SeiZl
maSi li kontr
raqtiT
da amavvdroulaad daviikavoT grZeli poziciia meoree kontr
raqtiT.
124
amasTan sawyisi danaxarji nulovani iqneba. kontraqtis Sesrulebis
T momentSi miRebuli iqneba K1  K 2 Semosavali aqtivebis TiToeul
erTeulze. ramdenadac ar arsebobs momgebiani saarbitraJo
SesaZleblobebi, amdenad es SeuZlebelia. am erTi fasis kanonis
ZaliT azri aqvs Semdeg ganmartebas:
miwodebis fasi, romlis mixedviTac drois mocemul t momentSi
ideba forvarduli kontraqtebi aqtivebis mocemul saxeze
Sesrulebis T TariRiT, ewodeba aqtivebis forvarduli fasi vadiT
T _ t weli.
amgvarad, drois sawyis momentSi forvarduli kontraqtis fasi
nulis tolia, ramdenadac drois am momentSi aqtivebis
forvarduli fasi emTxveva am aqtivebis miwodebis fass. magram
garkveuli drois Semdeg aqtivebis forvarduli fasi SeiZleba
Seicvalos, xolo miwodebis fasi dafiqsirebulia kontraqtSi. e.i.
forvarduli kontraqtis dadebis Semdeg am kontraqtis mixedviT
amaTuim poziciam SeiZleba SeiZinos dadebiTi an uaryofiTi
Rirebuleba. es sidide gviCvenebs, rom ra SeiZleba miRebuli
yofiliyo forvarduli kontraqtis gayidvis Sedegad, Tu
iarsebebda aseTi kontraqtebis meoradi bazari.
Tu iarsebebda forvarduli kontraqtebisTvis meoradi bazari,
maSin forvardul kontraqtSi grZeli da mokle poziciebis
Rirebulebebi Semdegi tolobiT ganisazRvreboda:
f lo  ( F  K )  e  r (T t ) ,
f sh  ( K  F )  e  r (T t ) ,
sadac t - drois mimdinare momentia (forvarduli kontraqtis
dadebis Semdeg);
T - miwodebis TariRi;
K miwodebis fasi;
F - t momentSi forvarduli fasi.
magaliTad, davamtkicoT (2.1) toloba. Tu
f lo  ( F  K )  e  r (T t ) , (2.3)
maSin visesxoT f lo Tanxa urisko r ganakveTiT T _ t vadiT,
SeviZinoT grZeli pozicia forvarduli kontraqtis mixedviT K
miwodebis fasad da davikavoT mokle pozicia forvarduli
kontraqtis mixedviT F miwodebis fasad. drois T momentSi
miRebuli iqneba Semdegi urisko Semosavali:
125
  
F  K  f lo e r (T t )  e r (T t ) F  K e  r (T t )  f lo  0
momgebiani saarbitraJo SesaZleblobebis ar arsebobis dros
aseTi ram SeuZlebelia. axla davuSvaT, rom
f lo  ( F  K )  e  r (T t ) . (2.4)
am SemTxvevaSi vaxorcielebT kontraqtis mixedviT grZeli
poziciis mokle gayidvas K miwodebis fasad, vaxdenT miRebuli f lo
fuladi Tanxis investirebas r ganakveTiT T _ t weli vadiT da
vikavebT grZel pozicias forvarduli kontraqtis mixedviT F
miwodebis fasad. drois T momentSi Semosavli Seadgens:
 
f lo e r (T t )  F  K  e r (T t ) f lo  F  K e  r (T t )  0
ramdenadac es Semosavali cxadia uriskoa, maSasadame (2.4)
tolobac ver Sesruldeba. maSasadame,
f lo  ( F  K )  e  r (T t ) .

2.3.finansuri aqtivebis forvarduli fasi

aqtivebis forvarduli fasi am aqtivebis saxezea damokidebuli
da imaze, moaqvT Tu ara am aqtivebs Semosavali. am ganyofilebaSi
ganvixilavT, rogor xdeba finansuri aqtivebis forvarduli fasis
Sefaseba, e.i. iseTebis romlebic bankis monawileebis mier
ganixileba rogorc investirebis saSualeba, saqonlisagan
gansxvavebiT, romelsac bazris monawileebi ganixilaven rogorc
moxmarebis saSualebas.
imis da mixedviT moaqvT Tu ara mocemul aqtivebs Semosavali
ganvixilavT sam sxvadasxva SemTxvevas. TiToeul am SemTxvevaSi
navaraudevia, rom daculia 1-4 varaudi bazris Sesaxeb, romelic
zemoT iyo naxsenebi.

2.3.1 im aqtivebis forvarduli fasi romelTac ar moaqvT

Semosavali
aseT aqtivebs warmoadgenen, magaliTad, nulovani kuponebis
mqone obligaciebi da aqcciebi, romelzedac gaicema dividendebi.
vaCvenoT, rom aseTi aqtivebis forvarduli F fasi
ganisazRvreba tolobiT:
F  Se r (T t ) , (2.5)
sadac S - drois mimdinare t momentSi aqtivebis spot-fasia;

126
 r - urisko saprocento ganakveTia investiciebi mixedviT uwyveti
daricxvisas T _ t welis ganmavlobaSi;
T - aqtivebis miwodebis TariRi.
Tu F  Se r (T t ) , maSin aviRebT S odenobis kredits urisko r
saprocento ganakveTiT T _ t weliT, viyidiT sabaziso aqtivis
erTeuls da amavroulad davikavebT mokle pozicias forvarduli
kontraqtis mixedviT am aqtivebze. aqtivebis miwodebis momentSi
investoris Semosavali Seadgens
F  Se r (T t )  0 . (2.6)
ganxiluli strategiisas saWiro araa sawyisi xarjebi, da arc
es strategia Seicavs risks.
pirobis Tanaxmad bazarze momgebiani saarbitraJo
r (T  t )
SesaZleblobebi ar arsebobs. maSin F  Se .
r (T  t )
Tu F  Se , SesZlebelia ganvaxorcieloT sabaziso aqtivebis
mokle gayidva, movaxdinoT miRebuli Tanxis investireba urisko r
saprocento ganakveTiT T _ t weliT da am aqtivebze davikavoT
grZeli pozicia forvarduli kontraqtis mixedviT.
maSin aqtivebis miwodebis momentSi miRebuli iqneba Semdegi
urisko Semosavali
Se r (T t )  F  0 ,
rac ewinaaRmdegeba Cvens daSvebebs bazris Sesaxeb. aqedan
gamimdinare:
F  Se r (T t ) . (2.7)
forvarduli kontraqtis mixedviT aqtivebze, romelTac ar
moaqvT Semosavlebi, grZeli da mokle poziciebis Rirebulebebi
ganisazRvreba tolobebiT:
f lo  ( F  K )  e  r (T t )  S  Ke  r (T t ) ,
f sh  ( K  F )  e  r (T t )  Ke  r (T t )  S ,
sadac S - drois mimdinare t momentSi aqtivebis spot-fasia;
K - aqtivis miwodebis fasi;
T - aqtivebis miwodebis TariRi;
r - urisko saprocento ganakveTi investiciebze T _ t welis
ganmavlobaSi.
magaliTi 2.1 vipovoT dividendis ar momtani, 3 Tvis Semdeg
miwodebiT aqciis forvarduli fasi, Tu aqciis mimdinare fasi 40

127
dolaria, xolo urisko saporcento ganakveTi sam Tveze tolia 3%-
is.
mocemul SemTxvevaSi
3
S =40, r =0,03, T  t   0,25 .
12
maSin
F  40e 0,030, 25  40,30 .
Tu bazarze aqciis forvarduli fasi 42 dolaris toli
aRmoCnda, maSin SesaZlebelia Semegi momgebiani saarbitraJo
strategia: sami TviT visesxoT 3%-iani urisko ganakveTiT 40
dolari, viyidoT spot-bazarze aqcia da davikavoT mokle pozicia
forvarduli kontraqtiT. aqciis miwodebis momentSi miRebuli
iqneba Semdegi Semosavali:
42  40e 0, 030, 25  1,70 dolr.

2.3.2 im aqtivebis forvarduli fasi, Semosavlebi winaswar

cnobilia
aseT aqtivebad gamodgebian kuponuri obligaciebi an winaswar
cnobili dividendebis mqone aqciebi.
cnobili Semosavlebis mqone aqtivebis forvarduli F fasi
ganisazRvreba tolobiT:
F  ( S  I )  e r (T  t ) ,
sadac S - drois mimdinare t momentSi aqtivebis spot-fasia;
I- t -dan T -mde drois manZilze aqtivebisagan Semosuli
Semosavlebis dayvanili mniSvnelobaa;
T - aqtivebis miwodebis TariRi.
marTlac, Tu F  ( S  I )  e r (T  t ) , maSin SesaZlebelia Semdegi
momgebiani saarbitraJo strategia: r urisko saprocento ganakveTiT
T _ t weliT visesxoT S Tanxa, viyidoT spot-bazarze aqcia da
davikavoT mokle pozicia forvarduli kontraqtiT. aqciis
miwodebis T momentSi miRebuli iqneba urisko Semosavali,
ramdenadac,
F  Ie r (T t )  F  ( S  I )  e r (T t )  0
Avinaidan pirobis Tanaxmad bazarze momgebiani saarbitraJo
SesaZleblobebi ar arsebobs, amdenad
F  ( S  I )  e r (T  t ) .

128
 Tu ki F  ( S  I )  e r (T t ) , maSin momgebiani saarbitraJo strategia
SeiZleba iyos aseTi: spot-bazarze xdeba sabaziso aqtivebis
gayidva, miRebuli Tanxis investireba xdeba T _ t weliT urisko r
saprocento ganakveTiT da xdeba am aqtivebze grZeli poziciis
dakaveba forvarduli kontraqtis mixedviT. maSin
S  e r (T t )  F  Ie r (T t )  ( S  I )e r (T t )  F  0 .
aqedan, F  ( S  I )  e r (T t ) utoloba aseve ver Sesruldeba da rCeba
erTaderTi SesaZlebloba:
F  ( S  I )  e r (T  t ) .
grZeli da mokle poziciebis Rirebulebebi cnobili
Semosavlebis mqone forvarduli kontraqtis mixedviT aqtivebze
SeiZleba napovni iyos Semdegnairad:
f lo  S  I  K  e  r (T t ) ,
f sh  K  e  r (T t )  S  I ,
sadac K - aqtivis miwodebis fasia;
S - drois mimdinare t momentSi aqtivebis spot-fasia;
I- forvarduli kontraqtis arsebobis drois manZilze
Semosavlebis dayvanili mniSvnelobaa;
r - urisko saprocento ganakveTia investiciebis mixedviT
procentebis uwyveti daricxvisas T _ t welis ganmavlobaSi;
T - aqtivebis miwodebis TariRi.
magaliTi 2.2. vipovoT 8 Tvis Semdeg miwodebiT aqciis
forvarduli fasi, romlis mixedviT 5 dolaris toli dividendebi
mosalodnelia 2 da 5 Tvis Semdeg, Tu aqciis mimdinare fasi 100
dolaris tolia, xolo 2, 5 da 8 Tvis Sesabamisi urisko
saprocento ganakveTebi Sesabamisad 5, 5,5 da 6%-is tolia
(procentebis uwyveti daricxvisas).
mocemul SemTxvevaSi
2 5
 0 , 05  0 , 055
S =100 dolr.; I  5  e 12
 5e 12
 9,85 dolr.
maSin aqtivebis forvarduli fasi ganisazRvreba tolobiT:
8
0 , 06
F  (100  9,85)  e 12
 93,83 dolr.

129
 2.3.3 mudmivi dividenduri Semosavlianobis mqone aqtivebis
forvarduli fasi
davuSvaT, rom aqtivebidan Semosavali gadaixdeba amave aqtivebis
saxiT, amasTan ise, rom drois ganmavlobaSi  aqtivis erTeuli
dagrovili Semosavlis gaTvaliswinebiT gadaiqceva e q  aqtivis
erTeulad, am SemTxvevaSi amboben, rom aqtivebs gaaCniaT mudmivi
dividenduri q Semosavlianoba uwyveti daricxvisas.
ucxouri valuta SeiZleba ganxiluli iyos, rogorc aqtivi
mudmivi dividenduri SemosavlianobiT. marTlac, SesaZlebelia
ucxouri valutis erTeulis investireba urisko r f ganakveTiT im
qveyanaSi, sadac es valuta arsebobs.  wlis Semdeg ucxouri
rf 
valutis erTeuli gadaiqceva am valutis e erTeulad. amgvarad
ucxour valutas gaaCnia mudmivi dividenduri Semosavlianoba, da
es dividenduri Semosavlianoba emTxveva urisko saprocento r f
ganakveTs.
bevr SemTxevaSi forvarduli indeqsebi aseve SeiZleba
ganvixiloT, rogorc mudmivi dividenduri Semosavlianobis mqone
aqtivebi.
mudmivi q dividenduri Semosavlianobis mqone aqtivebis F
forvarduli fasi uwyveti daricxvisas SeiZleba moiZebnos Semdegi
formulis mixedviT:
F  Se r  q T t  ,
sadac S - drois mimdinare t momentSi aqtivebis spot-fasia;
T - aqtivebis miwodebis TariRi;
r - urisko saprocento ganakveTia uwyveti daricxvisas T _ t
welis ganmavlobaSi.
am SemTxvevaSi grZeli da mokle poziciebis RirebulebebisaTvis
forvarduli kontraqtis mixedviT gavqvs tolobebi:
f lo  S  e  q T t   K  e  r (T t ) ,
f sh  K  e  r (T t )  S  e  q T t  .
magaliTi 2.3. vipovoT 8 Tviani forvarduli fasi inglisuri
funt sterligisa, Tu mimdinare gacvliTi kursi tolia 1,8 dolari
erT funt sterlingSi, xolo urisko saprocento ganakveTebi aSS-Si
da inglisSi procentebis uwyveti daricxvisas Sesabamisad 6 da 4%-
is tolia.
am SemTxvevaSi
130
 8
S =1,8; T _ t = ; r =0,06; q = r f =0,04.
12
maSin 8 Tvis Semdeg forvarduli gacvliTi kursi Seadgens
0 , 06  0 , 04  8
F  1,8  e 12
 1,8242 dolr.
Tu ki forvarduli gacvliTi kursi aRmoCndeba 1,9 dolaris
toli, maSin SesaZlebelia Semdegi momgebiani saarbitraJo
8
 0 , 04
strategia: aviRoT krediti 1,8  e 12
 1,7526 dolaris odenobiT da
8
 0 , 04
savaluto spot-bazarze viyidoT e 12  0,9737 punti, movaxdinoT misi
investireba inglisSi 4%-ian urisko saprocento ganakveTSi da
davikavoT erT funt sterlingze forvarduli kontraqtis mixedviT
mokle pozicia.
8 Tvis Semdeg miRebuli iqneba Semdegi dadebiTi Semosavali:
8 8
 0 , 04 0 , 06 0 , 06  0 , 04  8
1,9  1,8  e 12
e 12
 1,9  1,8e 12
 1,9  1,8242  0,0758 dolr.

2.4.saqonlis forvarduli fasi

vTqvaT, F romeliRac saqonlis forvarduli fasia drois t
momentSi miwodebis T TariRiT.
vaCvenoT, rom momgebiani saarbitraJo SesaZleblobebis ar
arsebobs dros samarTliania utoloba:
F  ( S  u )  e r (T  t ) , (2.9)
sadac S - drois t momentSi aqtivebis erTeulis spot-fasia;
u - T _ t wlis manZilze erTeul saqonlis Senaxvis xarjis
dayvanili mniSvnelobaa;
r - urisko saprocento ganakveTia uwyveti daricxvisas T _dan
t -mde periodis manZilze.
marTlac, Tu
F  ( S  u )  e r (T  t ) ,
maSin investors SeuZlia moiqces Semdegnairad: isesxos S  u
Tanxa T _ t weliT urisko r saprocento ganakveTiT, iyidos
erTeuli saqoneli, gadaixados mis Senaxvaze danaxarji da
daxuros mokle pozicia forvarduli kontraqtis mixedviT. maSin T
momentisaTvis miRebuli iqneba Semdegi Semosavali:
F  ( S  u )  e r (T t )  0 .

131
 ramdenedac es strategia ar moiTxovs aranair sawyis xarjs da
ar Seicavs risks, amdenad momgebiani saarbitraJo strategiaa.
aqedan gamomdinare:
F  ( S  u )  e r (T  t ) .
axla gavarkvioT, arsebobs Tu ara momgebiani saarbitraJo
strategia, Tu
F  ( S  u )  e r (T  t ) .
urisko Semosavlis misaRebad aucilebelia movaxdinoT
saqonlis erTeulis mokle gayidva. magram, Tu am saqonels
investorTa umetesoba iyenebs moxmarebisTvis an sawarmoSi, amis
gakeTeba damatebiTi xarjebis gareSe SeuZlebelia.
magram Tu saqoneli ZiriTadad gamoiyeneba rogorc investirebis
saSualeba, maSin SesaZlebelia Semdegi strategia: movaxdinoT
saqonlis erTeulis mokle gayidva, am SemTxvevSi gvaqvs saqonlis
Senaxvaze ekonomia, movaxdinoT miRebuli saxsrebis investireba T _
t weliT urisko r saprocento ganakveTiT da davikavoT grZeli
pozicia forvarduli kontraqtis mixedviT.
T momentSi miiReba Semdegi Semosavali
( S  u )  e r (T t )  F  0 .
Amgvarad, Tu saqoneli gamoiyeneba rogorc mxolod
investiciebis saSualeba da ara moxmarebis, maSin
F  ( S  u )  e r (T  t ) .
SevniSnoT, rom saqonels romelic warmoadgens investiciebis
saSualebas miekuTvneba, magaliTad, Zvirfasi liTonebi: oqro,
vercxli, platina. Tu saqoneli ZiriTadad moxmarebisaTvis
gamoiyeneba, maSin
F  ( S  u )  e r (T  t ) .
am SemTxvevaSi arsebobs iseTi dadebiTi  ricxvi, rom
F  e  T t   ( S  u )  e r (T t ) ,
risi interpretaciac SeiZleba, rogorc mocemuli saqonlis
fizikuri sargeblianobis zoma.
Tu saqonlis fizikuri sargeblianobis zoma  -s tolia, maSin
am saqonlis forvarduli fasi Semdegnairad SeiZleba moiZebnos:
F  ( S  u )  e ( r  )(T t ) ,
S - drois t momentSi aqtivebis erTeulis spot-fasia;
u _ saqonlis Senaxvis xarjis dayvanili mniSvnelobaa;
132
 T - saqonlis miwodebis TariRi;
r - T _ t welze urisko saprocento ganakveTiT.
magaliTi 2.4. vipovoT vercxlis 10 Tviani forvarduli fasi, Tu
uncia vercxlis mimdinare fasi 9 dolaris tolia, Senaxvaze
(dacvaze) xarji Seadgens 0,24 dolars da gadaixdeba kvartalurad
winaswar, xolo yvela vadisaTvis procentebis uwyveti
daricxvisas urisko saprocento ganakveTi Seadgens 10%-s.
mocemul SemTxvevaSi
3 6 9
 0 ,10  0 ,10  0 ,10
S =9; u =0,24+0,24  e 12
 0,24  e 12
 0,24  e 12
 0,93 dolr.
maSin
10
0 ,1
F  (9  0,93)  e 12
 10,79 dolr.
magaliTi 2.5. SevafasoT erTi bareli nedli navTobis 9 Tviani
fizikuri sargeblianobis zoma, Tu bareli navTobis mimdinare fasi
20,00 dolaria, barel navTobis Senaxvis xarji 0,5 dolari da
gadaixdeba Senaxvis vadis bolos, bareli navTobis 9 Tviani
forvarduli fasi Seadgens 20,20 dolars, xolo 9 Tveze
procentebis uwyveti daricxvisas urisko saprocento ganakveTi
Seadgens 8%-s.
mocemul SemTxvevaSi
9
 0 , 08
S =20,00; F =20,20; u =0,5  e 12
 0,47 dolr.
masasadame, bareli navTobis fizikuri sargeblianobis
gansazRvrisaTvis gvaqvs Semdegi gantoleba:
9 9

 20,00  0,47 e
0 , 08
20,20  e 12 12
.
saidanac vpoulobT   0,0977 .
amgvarad, bareli nedli navTobis 9 Tviani fizikuri
sargeblianobis zoma Seadgens 9,77%-s.

2.5. fiuCersuli kontraqtebi

forvardul kontraqtebs, romliTac vaWroba specialur
birJebze mimdinareobs, uwodeben fiuCersul kontraqtebs (future
contract), an ubralod fiuCersebs (futures). ra Tqma unda,
organizaciebisaTvis birJaze forvarduli kontraqtebiT vaWroba
standartizebuli unda iyos Semdegi parametrebis mixedviT:
 miwodebuli aqtivebis moculobis da xarisxis mixedviT;
133
  drois, adgilis da miwodebis pirobebis mixedviT.
fiuCersuli kontraqtis forvardulisagan kidev erT
mniSvnelovan gansaxvavebas warmoadgens is, rom birJa iZleva yvela
fiuCersis Sesrulebis garantias, romelic iyideba an SeiZineba
birJaze. amisaTvis TiToeuli forvarduli kontraqti iyofa or
kontraqtad:
 kontraqtad birJasa da grZeli poziciis damkavebel mxares
Soris,
 kontraqtad birJasa da mokle poziciis damkavebel mxares
Soris.
drois yoveli momentisaTvis nebismieri forvarduli kontraqtis
mixedviT birJis grZeli pozicia gawonasworebulia mokle
poziciiT. amgvarad, birJis wminda fiuCersuli pozicia drois
yvela momentSi nulis tolia.
vaWrobis aseTi organizebis dros birJa Tavis Tavze iRebs
defoltis mTel risks, ramdenadac, Tu erT-erTi mxare ver
Seasrulebs fiuCersuli kontraqtis mixedviT Tavis valdebulebas,
birJa mainc valdebulia Seasrulos kontraqti. defoltis riskis
Sesamcireblad birJa moiTxovs, rom romelime poziciis gaxsnisas
Setanili iyos specialuri uzrunvelyofa.
TiToeul fiuCersul birJasTan arsebobs kliringuli palata.
fuiCersuli bazris yvela monawiles unda hqondes kliringul
palatis wevr firmebSi specialuri angariSi. fuiCersuli poziciis
gaxsnis momentSi am angariSze SeaqvT specialuri uzrunvelyofa,
romelsac sawyisi marJa (initial margin) ewodeba. sawyisi marJis Setana
xdeba an naRdi fuliT, an maRallikviduri fasiani qaRaldebiT, an
uzrunvelyofilia sabanko garantiiT. amasTan sawyisi marJa
Seadgens mTliani fiuCersuli kontraqtis moculobis mxolod
mcire nawils, xolo marJis angariSis koreqtireba yoveldRiurad
xdeba. am proceduras sabazro Rirebulebis mixedviT fiuCersuli
poziciis gadafasebas (mark to market) uwodeben.
fiuCersuli poziciis sabazro RirebulebasTan dayvanis
proceduris aRwerisaTvis davuSvaT, rom daxurvis fiuCesuli fasi
aRmoCnda F2 , maSin roca wina dRes daxurvis fiuCesuli fasi toli
iyo F1 .

134
 Tu F2 < F1 , maSin im mxaris marJis angariSi, romelic grZeli
pozicias ikavebs debetdeba A( F2  F1 ) sididiT, sadac A - kontraqtis
moculobaa, da kreditdeba im mxaris marJis angariSSi, romelic
mokle pozicias ikavebs. xolo Tu F2 > F1 , maSin debetdeba im mxaris
marJis angariSi, romelic mokle pozicias ikavebs, xolo
kreditdeba im mxaris marJis angariSi, romelic grZel pozicias
ikavebs.
Tu dRis bolos marJis angariSis saldo sawyiss marJis zomas
gadaaWarbebs, maSin investors eZleva ufleba moxsnas namati
angariSidan da gamoiyenos Tavisi survilisamebr. Tu es saldo
sawyiss marJis zomaze naklebi aRmoCndeba, maSin SesaZlebelia
Semdegi ori SemTxveva:
 saldo sawyiss marJis zomas raRac gansazRvrul sidideze,
romelsac mxardaWeris marJas uwodeben, metia;
 saldo sawyiss marJis zoma mxardaWeris marJaze naklebia.
pirvel SemTxvevaSi investorisagan ar moiTxoveba damatebiTi
uzrunvelyofa. xolo meore SemTxvevaSi investorisgan moiTxoveba
Seitanos damatebiTi uzrunvelyofa imisaTvis, rom marJis angariSis
saldo sawyiss marJis zomas gautoldes. am damatebiT
uzrunvelyofas uwodeben variaciul marJas (variation margin).
Cveulebriv mxardaWeris marJa Seadgens sawyisi marJis 75-dan 80%-
mde.
fiuCersuli vaWrobis organizebis mniSvnelovan Taviseburebas
warmoadgens is, rom nebismieri gaxsnili pozicia SeiZleba drois
nebismier momentSi iqnas daxuruli. amisaTvis sakmarisia
sawinaaRmdego poziciis dakaveba. amasTan im mxaris Semosavali
(zarali), romelsac grZeli pozicia ukavia, Tu marJis angariSze ar
dairicxeba procentebi, Seadgens
Fdax - Fgax).
sadac, A - kontraqtis moculobaa,
Fgax – fiuCersuli fasi poziciis gaxsnisas;
Fdax - fiuCersuli fasi poziciis daxurvisas.

analogiurad, im mxaris Semosavali (zarali), romelic mokle

pozicias ikavebs toli iqneba
Fgax - Fdax).
135
 davuSvaT, ro
om 1999 wlis
w or
rSabaTs gaixsna grZeli poziciaa aSS-s
5
1000 0000 dolaaris no
ominalis mqone saxazin
no obl
ligaciiT
T 98
32
fiuCres
suli fasis
f dros. es s niSnaavs, rom 100 000 do olaris
nominal
lis mqon
ne saxazzino oblligaciis SeZeni
isas invvestormaa unda
gadaixad
dos Tanxa, romeelic to
olia
5
98  1000=98 156,25 do
olaris.
32
aseTi i kontrraqtis sawyisi
s marJa Seadgens
S 2500 dolars, xolo
mxardaWeris maarJa _ 2000 dolars.d aseTi pozici ia narCCundeba
paraskevvamde, 5 martamde, Semdeg ixureb ba birJiis gaxsniis fasis
s dros
orSabaTTs 8 mar rts. vTvvliT, rom
r marJJis angaariSze procent
p ebi ar
iricxeba da namati ar ixsneeba. cxr ril 2.1– –Si naCvvenebia rogor
mimdinarreobda sabazro
s Rirebul
lebis mi ixedviT fiuCers suli poziciis
gadafasseba.
amgvaarad investoris s zaralmma Seadg gina 1062,,50 dolaari.
sxvannairad, investoris Semosavaali SiiZleba Semdegnairad
gamoiTvalos:
 3 5 
 97  98   10
000  1062
2,50
 32 32 

avRniiSnoT birJaze fiuCer rsuli vaWrobis

s organizebis kidev
ramdenimme Tavisebureba.
rJa adgens ori saxis
1. bir s SeezRudvas
s:
136
  ama Tu im aqtivis mixedviT investoris wminda poziciis zomaze.
amis mizans warmoadgens investoris fiuCersul bazarze gavlenis
daweva;
 DdRiur fiuCersul fasis zomaze. Tu fiuCersuli zoma erTi
dRis ganmavlobaSi Seicvleba sididiT, romelic gadaaWarbebs
dadgenil zRvars, vaWroba droebiT wydeba. aseTi zRvris dadgenis
mizania marJis mixedviT moTxovnis zomis SezRudva.
2. forvardulisagan gansxvavebiT fiuCersuli poziciebis
umravlesoba ixureba kontraqtebis Sesrulebis momentamde.
kontraqtebis mxolod Zalian mcire nawili mTavrdeba aqtivebis
miwodebiT. ufro metic, bevri fiuCersuli kontraqti saerTod ar
iTvaliswinebs aqtivebis miwodebas, aramed gansazRvruli sqemis
mixedviT gadaxda xdeba naRdi fuliT. bevr SemTxvevaSi birJa
iTxovs specialur ganacxads, Tu investori daJinebiT moiTxovs
aqtivebis miwodebas.

2.6.aqtivebis fiuCersuli da forvarduli fasebi

sabirJo fiuCersuli bazari arsebobs aqtivebis didi
raodenobisaTvis. sxva mxriv, bankebi da sxva finansuri instirutebi
sTavazoben sxvadsxva saxis frvardul garigebebs, e.i. asrebobs
kidev birJis gareT (over the counter - OTC) forvarduli kontraqtebis
bazari. amgvarad, erTidimave aqtivisaTvis erTdroulad SeiZleba
arsebobdes ori fasi: forvavrduli da fuiCersuli.
magram Tu bazari akmayofilebs Semdeg pirobebs:
 ar arsebobs transaqciuri xarjebi da gadasaxadebi;
 forvardul da fiuCersul bazarze investorebs SeuZliaT
daikavon grZeli da mokle poziciebi aqtivebis nebismier
raodenobaze (Tumca sabirJo bazrebze ki arsebobs wminda
fuiCersul poziciebze SezRudva);
 yvela investors gaaCnia kapitali (an krediti) imisaTvis, rom
aucileblobis SemTxvevaSi Seasrulos marJiT yvela moTxovna;
 ar arsebobs momgebiani saarbitraJo SesaZleblobebebi;
 arsebobs urisko saprocento ganakveTi, amasTan is erTnairia
yvela vadisTvis da ar icvleba droSi.
maSin forvarduli da fiuCersuli fasebi erTidaimave miwodebis
TariRis mqone erTidaimave saxis aqtivebze erTmaneTs emTxveva.
137
 swored am debulebis Sedegad bevr SemTxvevaSi fiuCersuli
fasebis gamokvlevisas navaraudevia, rom es fasebi emTxveva
Sesabamis forvardul fasebs.
garda amisa, zemoT CamoTvlili pirobebis Sesrulebisas adgili
aqvs Semdeg tolobas:
F  E ( S T )  e ( r  k )(T t ) , (2.10)
sadac, F -drois t momentisaTvis aqtivebis fiuCersuli fasia,
T - saqonlis miwodebis TariRi,
E ( S T ) - aqtivebis miwodebis TariRisaTvis aqtivebis mosalodneli
spot-fasia,
k - t -dan T -mde periodSi ganxiluli aqtivebis mosalodneli
Semosavlianoba.
(2.10) toloba gviCvenebs, rom aqtivebis fiuCersuli fasi zog
SemTxvevaSi SeiZleba gamodges am aqtivebis spot-fasis
Sesafaseblad momavalSi. kerZod, Tu aqtivebi dadebiTad
korilireben bazarTan, maSin aqtivebis fiuCersuli fasi naklebi
(meti) iqneba am aqtivebis mosalodnel spot-fasze.

2.7. spekulatiuri strategiebi fiuCersul bazarze

fuiCersuli bazris yvela monawile SeiZleba davyoT sam
kategoriad: spekuliantebi, arbitraJebi da hejerebi.
spekuliantebs (speculator) uwodeben bazris monawileebs,
romelTa mizani daiyvaneba bzarze momavali fasebis prognozirebis
xarjze mogebis miRebaze.
arbitraJebad (arbitrageur) Tvlian bazris im monawileebs,
romlebic iReben urisko mogebas sxvadsxva saxis aqtivis fasebze
droebiTi SeuTaxmeblobis xarjze.
bolos, hejerebs (hedger) miukuTvnebian isini, vinc sabaziso
aqtivebis mixedviT ikavebs gansazRvrul pozicias da cdilobs
daazRvios Tavisi pozicia am aqtivebze fasebis araxelsayreli
cvlilebisagan.
sazogadod birJebze vaWroba im fiuCersuli kontraqtebiT
mimdinareobs, romlis mimarTac interess bazris samive kategoriis
monawileebi iCenen.
Tavdapirvelad ganvixiloT umartivesi spekulatiuri strategia
fuiCersul bazarebze.
138
 davuSvaT, rom investori darwmunebulia imaSi, rom drois t1 da
t 2 momentebs Soris zogierT aqtivze fiuCersuli fasebi gaizreba. am
SemTxvevSi drois t1 momentSi is daikavebs am aqtivebze fiuCersuli
kontraqtis mixedviT grZel pozicias. daxuravs ra drois t 2
momentSi investori Tavis pozicias is miiRebs Semdegi odenobiT
mogebas (zarals):
AF (t 2 )  F (t1 ) ,
sadac A - erTi fiuCersuli kontraqtis moculobaa T miwodebis
TariRiT, T > t 2 ;
F (t1 ) , F (t 2 ) - drois t1 da t 2 momentebSi sabaziso aqtivebze
fuiCersuli fasebia Sesabamisad.
amgvarad, Tu investoris prognozi gamarTldeba aqtivebze
fuiCersuli fasebis matebis Sesaxeb, maSin is miiRebs mogebas.
magram, Tu misi prognozi ar gamarTlda man SiZleba didi zarali
ganicados.
meores mxriv, Tu investori Tvlis, rom rom drois t1 da t 2
momentebs Soris fiuCersuli fasi daecema maSin mas SeuZlia t1
momentSi daikavos Sesabamis fuiCersuli kontraqtis mixedviT
mokle pozicia. daxuravs ra drois t 2 momentSi investori am
pozicias, investori miiRebs Semdegi odenobiT mogebas (zarals):
AF (t1 )  F (t 2 )
aqedan gamomdinare, Tu investoris prognozi gamarTldeba
fiuCersuli fasebis dacemis Sesaxeb, maSin is miiRebs mogebas.
winaaRmdeg SemTxvevaSi man SiZleba didi zarali ganicados.
zogadad umartives spekulatiur strategiebs fuiCersul
bazarebze axasiaTebT maRali riskis done, magram xelsayrelma
garemoebebma SeiZleba didi mogeba uzrunvelyon. Tavisi arsiT es
strategiebi ekvivalenturni arian aqtivebis spot-bazarze
strategiebis. magram transaqciuri xarjebi fuiCersul bazrebze
mniSvnelovnad dabalia spot-bazarze aseTive xarjebTan SedarebiT.
amitom investorebisaTvis fiuCersul bazrebze spekulaciuri
strategiebi ufro mimzidvelia, vidre analogiuri strategiebi
spot-bazrebze.
fiuCersul bazarze spekulaciuri strategiebis meore jgufi
eyrdnoba erTidaimave da sxvadasxva miwodebis TariRis mqone
aqtivebis fasebs Soris spredis (sxvaobis) Catarebis prognozs.
139
 davuSvaT, rom drois mocemul t momentSi zogierTi aqtivis,
miwodebis TariRebiT T1 da T2 , T1 < T2 , fuiCersuli fasebi
Sesabamisad tolia FT (t ) da FT (t ) .1 2

Tu investori darwmunebulia, rom drois t1 da t 2 momentebs

Soris droTaSorisi spredi gaizrdeba, maSin drois t1 momentSi
daikavebs grZelvadiani fiuCersuli kontraqtis mixedviT grZel
pozicias da moklevadiani kontraqtis mixedviT – mokles. daxuravs
ra drois t 2 momentSi investori am pozicias, investori miiRebs
Semdegi odenobiT mogebas (zarals):
  
A FT2 (t 2 )  FT2 (t1 )  A FT1 (t1 )  FT1 (t 2 )  

 A ( FT2 (t 2 )  FT1 (t 2 ))  ( FT2 (t1 )  FT1 (t1 )) .
Tu investori darwmunebulia, rom drois t1 da t 2 momentebs Soris
droTaSorisi spredi Semcirdeba, maSin SeuZlia drois t1 momentSi
daikavos grZelvadiani kontraqtis mixedviT mokle pozicia da
moklevadiani fiuCersuli kontraqtis mixedviT – grZeli. daxuravs
ra drois t 2 momentSi investori am pozicias, investori miiRebs
Semdegi odenobiT mogebas (zarals):
  
A FT2 (t1 )  FT2 (t 2 )  A FT1 (t 2 )  FT1 (t1 )  

 A ( FT2 (t1 )  FT1 (t1 ))  ( FT2 (t 2 )  FT1 (t 2 )) .
orive SemTxvevaSi Tu investoris prognozi fiuCersuli fasebis
droTaSorisi spredis Catarebis Sesaxeb gamarTlda, is miiRebs
mogebas. Tu investoris prognozi arasworia maSin is zarals
ganicdis.
zogadad strategiebi, romlebic eyrdnobian fiuCersuli fasebis
droTaSoris spreds, SedarebiT nakleb riskiania, vidre umartivesi
spekulaciuri strategiebi, magram amavdroulad nakleb
Semosavliani.
spekulaciuri strategiebi SeiZleba aigos sxvdasxva saxis
aqtivebze fiuCersuli fasebis damokidebulebebis prognozirebis
safuZvelze.
davuSvaT, F (t ) da (t ) - drois t momentSi ori sxvadsxva saxis
aqtivze fiuCersuli fasia (da zogadad sxvadasxva miwodebis
varirebiT).
Tu investori Tvlis, rom t1 momentidan t 2 momentamde
F (t )
fiuCersuli fasebis fardoba gaizrdeba, maSin t1 momentiSi mas
(t )
140
SeuZlia daikavos pirveli saxis aqtivze fiuCersuli kontraqtis
mixedviT grZeli pozicia da meore saxis aqtivze fiuCersuli
kontraqtis mixedviT mokle pozicia. amasTan fiuCersuli
kontraqtebis raodenoba N1 da N 2 ise unda iyos SearCios, rom
adgili hqondes Semdeg tolobas:
N1 A1 F (t1 )  N 2 A2 (t1 ) .
drois t 2 momentSi investori am poziciis daxuravisas miiRebs
Semdegi odenobiT mogebas (zarals):
 
N 1 A1 F (t 2 )  F (t1 )  N 2 A2  (t1 )   (t 2 ) 
 F (t 2 ) N 2 A2 
 N 1 A1 F (t 2 )  N 2 A2  (t 2 )  N 1 A1 (t 2 )   
  (t 2 ) N 1 A1 
 F (t 2 ) F (t1 ) 
 N 1 A1 (t 2 )   
  (t 2 )  (t1 ) 
investors analogiurad SeuZlia gamoiyenos spekulaciuri
strategia, Tu gaakeTebs prognozs fiuCersuli fasebis fardobis
Semcirebis Sesaxeb. orive SemTxvevaSi, Tu investoris prognozi
gamarTlda is miiRebs Sesabamis mogebas.
magaliTi 2.6. amerikuli dolaris da germanuli markis mimdinare
fuiCersuli fasebi Sesabamisad 2 da 1,1 laria. fiuCersul bazarze
arsebuli fiuCersuli konraqtebis moculobebia: 1000 dolari da
2000 marka. investori romelic Tvlis, rom dolaris da markis
fiuCersuli fasebis fardoba daiwevs, ikavebs mokle pozicias
dolarze 2,2 fuiCersiT da grZel pozicias markaze 2 fiuCersiT
(am SemTxvevaSi 2,2  1000  2=2  2000  1,1).
Tu erTi Tvis Semdeg amerikuli dolaris da germanuli markis
fiuCersuli fasebi aRmoCndeba Sesabamisad 1,7 da 1 laris toli,
maSin investorma unda miiRos mogeba, ramdenadac
2 1,7
 (1,818 > 1,7).
1,1 1
MmarTlac, investoris mogebam Seadgina
2,2  1000  (2-1,7)+2  2000  (1-1,1)=260 lari.
Tu erTi Tvis Semdeg amerikuli dolaris da germanuli markis
fiuCersuli fasebi Sesabamisad 2,4 da 1,2 laris toli, maSin
investori ganicdis zarals, ramdenadac
2 12,4
 (1,818 < 2).
1,1 1,2

141
 marTlac,
2,2  1000  (2 - 2,4) + 2  2000  (1,2 - 1,1 )= -1999,6 lari.

2.8 fiuCersebi saxazino veqsilebze. procentuli arbitraJi

ganvixiloT T- wliani fiuCersuli kontraqti saxazino
veqsilze A nominaliT, romlis dafarvac xdeba miwodebis
momentidan  wlis Semdeg. drois mocemul (nulovan) momentSi
saxazino veqsilis fiuCersuli fasi avRniSnoT F ( ) -iT.
mocemuli fiuCersuli kontraqti SeiZleba ganxiluli iyos
rogorc forvarduli, imis gamo, rom adgili aqvs Semdeg tolobas:
FT ( )  Ae  f (T ,T  ) , (2.11)
r (T   )  (T   )  r (T )  T
sadac, f (T , T   )  ;

r (T ), r (T   ) - investiciebis mixedviT urisko saprocento
ganakveTebia T da T   wlebze Sesabamisad (procentis uwyveti
daricxvisas).
marTlac, ganvixiloT Semdegi strategia:
1. aviRoT FT ( )  e  f (T )T zomis krediti T wliT urisko r (T   )
ganakveTiT.
2. davikavoT saxazino veqsilze fiuCersuli kontraqtis mixedviT
grZeli pozicia.
3. movaxdinoT xelT arsebuli FT ( )  e  f (T )T fuladi Tanxis
investireba T wliT urisko r (T ) ganakveTiT.
maSin drois T momentSi miRebuli iqneba FT ( )  e  f (T )T  e f (T )T  FT ( )
Tanxa, ris xarjzec fiuCersuli kontraqtis Tanaxmad nayidi iqneba
saxazino veqsili. drois T   weli momentisaTvis aseTi
strategiisagan investoris Semosavali Sedagens
A  FT ( )  e  f (T )T
e f (T  )(T  )
 A  FT ( )e f (T ,T  )
-s .
ramdenadac strategiebi, rogorc Cans, uriskos warmoadgenen,
momgebiani saarbitraJo SesaZleblobebebis ar arsebobisas aseTi
strategiebidan Semosavali nulovani unda iyos, e.i.
A  FT ( )e f (T ,T  )  0
da
FT ( )  A  e  f (T ,T  ) .
magaliTi 2.7. ganvsazRvoT 90 dRiani 1 mln. dolaris mqone
nominalis saxazino veqsilis fiuCersuli fasi, roca gadacemis
142
momentamde 140 dRea darCenili, xolo urisko saprocento ganakveTi
(uwyveti daricxvisas) 140 da 230 dReze Sesabamisad 8 da 8,25%-is
tolia.
am SemTxvevaSi
140 90 230
T  0,383562;   0,24675 ; T    0,630137 ;
365 365 365
0,0825  0,630137  0,08  0,383562
f (T , T   )   0,086389 .
0,246575
maSin (2.11) tolobiT gansazRvruli saxazino veqsilis
fiuCersuli fasi Seadgens
FT ( )  1000000  e 0,0863890, 246575  978924 dolr.
davuSvaT axla, rom A nominalis saxazino veqsilis fiuCersuli
fasi, misi gadacemidan  wlis Semdeg dafarvis vadiT, tolia
FTmr ( ) da FTmr ( )  F ( ) .
maSin
FTmr ( )  Ae r (T )T  r (T  )(T  )
sadac r (T ), r (T   ) - Sesabamisad urisko saprocento ganakveTebia T
da T   wlebze procentis uwyveti daricxvisas.
R (T ) ricxvs, romelic akmayofilebs Semdeg tolobas
FTmr ( )  Ae R (T )T  r (T  )(T  ) ,
(2.12)
uwodeben aracxad (savaraudo) repo ganakveTs (implied repo rate).
SeniSvna. finansuri institutebis korporatiuli klientebs,
romlebic floben sabazro fasian qaRaldebs, SeuZliaT miiRon
moklevadiani kreditebi SeRavaTiani saprocento ganakveTiT,
romelsac repo ganakveTi (reporate) ewodeba. amisaTvis korporacia
finansur institutebze yidis da erTdoulad debs xelSekrulebas
maTTan am fasiani qaRaldbis gamosyidvaze. ramdenadac aseT
kredits kargi uzrunvelyofa aqvs amdenad masze ganakvTi SeiZleba
Semcirdes. aracxadi ganakveTi repo – es arsebiTad iseTi
ganakveTia, romlis mixedviTad SeiZleba aRebuli iqnas
moklevadiani krediti fiuCersuli bazris meSveobiT.
aracxadi ganakveTi repo saSualebas iZleva gamovlenili iyos
momgebiani saarbitraJo SesaZleblobebebis arseboba da arCeuli
iqnas Sesabamisi strategia.
marTlac, Tu R (T )  r (T ) , maSin momgebiani iqneba Semdegi
arbitraJuli strategia:
143
 1. visesxoT FTmr ( )e  r (T )T Tanxa T   wliT FTmr ( ) ganakveTiT.
2. movaxdinoT miRebuli Tanxis investireba T wliT r (T )
ganakveTiT.
3. saxazino veqsilze davikavoT fiuCersuli kontraqtis mixedviT
grZeli pozicia.
Tu R (T )  r (T ) , maSin momgebiani iqneba Semdegi arbitraJuli
strategia:
1. visesxoT Ae  r (T  )(T  ) Tanxa T wliT urisko saprocento r (T )
ganakveTiT.
2. viyidoT A nominalis mqone saxazino veqsili, romelic T  
wlis Semdeg daifareba.
3. saxazino veqsilze, romelic gadacemidan  wlis Semdeg
daifareba, davikavoT fuiCersuli kontraqtis mixedviT mokle
pozicia.
magaliTi 2.8. 90 dRiani 1 mln. dolaris mqone nominalis
saxazino veqsilis sabazro fiuCersuli fasi 56 dRis Semdeg
gadacemiT tolia 969 500 dolaris. ganvsazRvroT aracxadi
ganakveTi repo 56 dReze kreditebis mixedviT 11%-iani ganakveTiT,
Tu urisko saprocento ganakveTi 146 dReze tolia 12,27%-is.
am SemTxvevaSi
FTmr ( )  969500 dolr.; r (T   )  0,1227 ;
146 56
T    0,4 ; T   0,153425 .
365 365
aracxadi ganakveTi repo warmoadgens Semdegi gantolebis
amonaxsens
969500  1000000e R (T )0,1534250,12270, 4 ,
maSasadame,
R (T )  0,1180 , e.i. 11,80%.
davuSvaT, 56 dReze urisko saprocento ganakveTi 11%-is tolia.
maSin SaZlebelia Semdegnairad moviqceT: visesxoT 1000 000  e 0,12270, 4 =
952 105 dolr. 56 dRiT 11%-iani ganakveTiT da viyidoT 1 mln.
dolaris mqone nominalis saxazino veqsili, romelic ifareba 146
dRis Semdeg (misi fasi zustad tolia 952 105 dolaris),
erTdroulad davikavoT mocemul saxazino veqsilze mokle pozicia
56 dRiani fiuCersuli kontraqtis mixedviT. 56 dRis Semdeg
miRebuli iqneba Semdegi arbitraJuli Semosavali:
144
 56
0 ,11
969 500 dolr. – 952 105 dolr.  e 365
= 1190,24 dolr.

2.9 fiuCersuli kontraqtebi moklevadian saprocento

ganakveTebze
ganvixiloT fiuCersuli kontraqti 3 Tvian ganakveT LIBOR -ze,
romelic warmoadgens saprocento ganakveTebze erT-erT yvelaze
popularul fiuCersul kontraqts. aseTi kontraqtis intepretacia
SeiZleba Semdegnairad: mxare, romelic ikavebs grZel pozicias,
valdebulia drois gansazRvrul momaval T momentSi (miwodebis
TariRze) ganaTavsos 1 mln. dolari evrodolarul depozitze
winaswar dadgenil 3 Tvian f ganakveTiT (romelic asrulebs
miwodebis rols).
zemoT ganxiluli situacia imis ekvivalenturia, rom grZeli
poziciis damkavebeli mxare drois T momentSi ganaTavsebs 1 mln.
dolaris tol Tanxas 3 Tvian ganakveT LIBOR -iT r , romelic am
drois am momentSi moqmedebs, xolo 3 Tvis Semdeg angariSsworebis
T TariRis Semdeg iRebs kidev Semdegi zomis kompensacias 1 000 000
 f r
  . marTlac adgili aqvs tolobas:
 4 
f r
1 000 000  1   + 1 000 000   
r f 
 = 1 000 000  1  
 4  4   4
amitom 3 Tvian ganakveT LIBOR -iT
fuiCersul kontraqtebSi
navaraudevi araa saxsrebis evrodolarul depozitze ganTavseba,
xolo yvela angarisworeba xdeba naRdi formiT.
angariSsworebis T TariRidan sami Tvis Semdeg grZeli
f r
poziciis damkavebeli mxare iRebs 1 000 000    zomis fulad
 4 
Tanxas, xolo mokle poziciis damkavebeli mas ixdis.
standartuli arbitraJuli msjeloba gviCvenebs, rom
forvardulma samTvianma ganakveTma LIBOR unda daakmayofilos
Semdegi toloba:
  rn 1  n 1 
 1   
  4 
f1  4   1 . (2.13)
n
  r n 
 1  m  
  4 

145
 sadac n f1 - forvarduli 3 Tviani LIBOR ganakveTia n samTviani
periodebis Semdeg;
rn ( rn 1 ) – weliwadSi 40-jer procentis daricxvis dros
saprocento ganakveTia, romliTac drois mocemul momentSi
SeiZleba ganTavsdes saxsrebi evrodolarul bazarze n samTviani
periodebis (Sesabamisad n  1 ) ganmavlobaSi.

2.10 fiuCersuli kontraqtebi saxazino obligaciebze

fiuCersuli kontraqtebi saxazino obligaciebze ganvixiloT
aSS-s grZelvadiani saxazino obligaciebze fuiCersuli
kontraqtebis magaliTze, romelzedac vaWroba mimdinareobs Chicago
Board of Trade (CBOT)-ze.
amgvari kontraqtis pirobebis Tanaxmad mimdinareobs 1 000 000
dolaris nominalis mqone nebismieri saxazino obligaciis gadacema,
romelic ar ifareba da ar gamoixmoba gadacemis TariRidan 15 wlis
ganmavlobaSi.
obligaciis gadacemis Semdeg is mxare, romelic fiuCersuli
kontraqtis mixedviT mokle pozicias ikavebs iRebs Semdegi
odenobis fulad Tanxas:
1000  K F  k *  AI , (2.14)
sadac K F - fiuCeresuli fasis kotirebaa, romelic 100 dolaris
nominalis mqone obligaciazea gamoTvlili;
k * - specialuri Semasworebeli koeficienti (conversion factor),
AI - bolo kuponuri gadaxdis momentidan dagrovili
procentebi.
k * Semasworebeli koeficienti iZebneba gadacemuli obligaciis
mis nominalTan fardobis saxiT, rodesac obligaciis Rirebuleba
ganisazRvreba Semdegi pirobidan: dafarvamde vada isea daweuli,
rom darCenili iyos 3-Tviani periodebis mTeli ricxvi, xolo yvela
urisko saprocento ganakveTi erTnairia da tolia 8%-is
(weliwadSi orjer procentis daricxvis dros).
Tu gadasacemi obligaciis dafarvamde rCeba n naxevarwliani
periodi, maSin Semasworebeli koeficienti Semdegi formuliT
moiZebneba:

146
  
n 
1  q 100000 
k*   
100000  i 1  0,08  i  0,08  n 
, (2.15)
 1   1   
  2   2  
sadac q - naxevarwliani kuponuri gadaxdaa.
Tu ki gadasacemi obligaciis dafarvamde rCeba n naxevarwliani
periodi da 3 Tve, maSin
 
 
1  n
q 100000 q 
k*   2 i 1
 2 n 1
  (2.16)
100000  i 1 2 2 2
 0,08  4  0,08  4
  1    1   
  2   2  
magaliTi 2.9. ganvsazRvroT 14%-iani im kuponuri
obligaciisaTvis Semasworebeli koeficienti, romlis dafarvamde
rCeba 20 weli da 2 Tve.
Semasworebeli koeficientis gamosaTvlelad obligaciis
dafarvamde vada iTvleba 20 wlis tolad. masasadame, am SemTxvevaSi
n =40, q = 7000.
maSin
1  7000  2  1  100000 

k*  1  
 
100000  0,08  1,04 40  1,04 40   1,5938 .
 
magaliTi 2.10. ganvsazRvroT 14%-iani im kuponuri
obligaciisaTvis Semasworebeli koeficienti, romlis dafarvamde
rCeba 18 weli da 4 Tve.
Semasworebeli koeficientis gamosaTvlelad unda CavTvaloT,
rom obligaciis dafarvamde rCeba 18 weli da 3 Tve. maSasadame, am
SemTxvevaSi n =36, q = 7000, xolo Semasworebeli koeficienti
moiZebneba (2.16) formulis mixedviT:
1  37 7000 100000 7000 
k*   
100000  i 1 1,04 2i21 1,04  732

2 

 
1   

1
1,04 2  7000  2 1  1 37   100000   7  1,50705
37 
100000  0,08  1,04  1,04  200
Cveulebriv bazarze arsebobs ramdenime iseTi grZelvadiani
saxazino obligacia, romlebic SeiZleba gamoyenebuli iyos
gadasacemad mocemul fiuCersul kontraqtis CarCoebSi. cxadia, rom
aseTi kontraqtis mixedviT mokle poziciis damkavebeli mxare
147
gadasacemad airCevs `gadasacemad yvelaze iaf~ obligacias.
`gadasacemad yvelaze iafi~ obligacia SeiZleba moZebnili iyos
amaTuim obligaciis fasebs Soris sxvaobis Sedarebisas da im
Tanxis mixedviT, romelsac ixdis fiuCersuli kontraqtis mixedviT
grZeli poziciis damkavebeli mxare. es sxvaoba ganisazRvreba
Semdegnairad:
1000 K i  ( AI ) i  (1000 K F  k i*  ( AI ) i )  1000( K i  K F k i* ) ,
sadac K i - i -uri obligaciis kotirebaa;
K F - fiuCersuli fasis kotireba;
k i* - i -uri obligaciisaTvis Semasworebeli koeficienti.
amgvarad, `gadasacemad yvelaze iafi~ obligacia ise unda iyos
SerCeuli, rom sxvaoba K i  K F  k i* umciresi iyos.
grZelvadiani saxazino obligaciis fiuCersuli fasis kotireba
SeiZleba Sefasdes DSemdegi formuliT:
1
KF  S  I   e r T t  ,
1000
sadac K F - T gadacemis TariRis mqone grZelvadiani saxazino
obligaciis fiuCersuli fasis kotirebaa;
S - `gadasacemad yvelaze iafi~ obligaciis fasia drois
mimdinare t momentSi;
I - fiuCersuli kontraqtis moqmedebis drois ganmavlobaSi
kuponuri gadaxdebis dayvanili mniSvnilobaa;
r - investiciebis mixedviT urisko saprocento ganakveTia T  t
wlis ganmavlobaSi procentebis uwyveti daricxvisas.
obligaciis fiuCersuli fasis SefasebisaTvis (2.17) formulis
gamoyeneba garTulebulia imiT, rom winaswar unda iqnas
gamocnobili `gadasacemad yvelaze iafi~ obligaciia.

2.11 fiuCersuli kontraqtebis gamoyenebiT sabaziso aqtivebis

mixedviT poziciebis hejireba
davuSvaT, rom drois mocemul t momentSi investori flobs
garkveul aqtivebs da drois T momentSi apirebs maT gayidvas. am
SemTxvevaSi amboben, rom investori drois [ t , T ] monakveTze ikavebs
am aqtivis mixedviT mokle pozicias.
Tu ki t momentSi investori gaigebs, rom mas drois T momentSi
mas mouwevs romeliRac aqtivis yidva, maSin amboben, rom investori
148
drois [ t , T ] monakveTze ikavebs sabaziso aqtivis mixedviT grZel
pozicias.
sabaziso aqtivebis mixedviT investoris orive pozicia riskians
warmoadgens, ramdenadac sabaziso aqtivebi fasebis araxelsayreli
cvlilebisas is ganicdis zarals. am SemTxvevaSi zralis qveS unda
vigulisxmoT mogebis xelidan gaSveba. imisaTvis rom gamovricxoT,
an yoveli SemTxvevisaTvis SevamciroT sabaziso aqtivebis mixedviT
investoris poziciis riski, gamoiyeneba hejireba.
zog SemTxvevaSi SesaZlebelia Semdegi umartivesi hejirebis
strategiebi:
1. mokle heji (short herge). Tu investori drois [ t , T ] monakveTze
ikavebs sabaziso aqtivis mixedviT mokle pozicias, maSin mas
SeuZlia drois t momentSi Sesabamisi fiuCersuli kontraqtis
mixedviT daikavos GgrZeli pozicia mocemul aqtivze miwodebis T
TariRiT. Tu  T (t ) drois t momentSi sabaziso aqtivis kontraqtuli
fiuCersuli fasia, maSin investors SeuZlia T momentSi gayidos
Tavisi aqtivebi  T (t ) fasad.
2. grZeli heji (long herge). investors, romelic drois [ t , T ]
monakveTze ikavebs sabaziso aqtivis mixedviT grZel pozicias,
SeuZlia drois t momentSi Sesabamisi fiuCersuli kontraqtis
mixedviT daikavos GgrZeli pozicia. am SemTxvevaSi investors
SeuZlia T momentSi iyidos misTvis aucilebeli aqtivebi winaswar
cnobil  T (t ) fasad.
hejirebis umartivesi strategiebi uriskoebs warmoadgenen,
magram mniSvnelovani nakli gaaCniaT. pirveli, es strategiebi
gamoricxaven spot-bazarze fasebis xelsayreli cvlilebisas
mogebis miRebis SesaZleblobas. meore, imisaTvis, rom gamoyenebuli
iyos hejirebis umartivesi strategiebi, aucilebelia am saxis
aqtivebze arsebobdes fiuCersuli kontraqtebi, romlebic
SeTanxmebulia investorTan rogorc vadebze, ise moculobaze.
aseTi fiuCersuli kontraqtebi arcTu yovelTvis asreboben.
Tu hejirebis umartivesi strategiebi SeuZlebelia an ar awyobs
investors amaTuim mizezis gamo, maSin mas SeuZlia gamoiyenos ufro
rTuli strategiebi, romlebSic:
1) gamoiyneba sabazisosgan gansxvavebul aqtivebze fiuCersuli
kontraqtebi;
149
 2) hejirdeba sabaziso aqtivebis mixedviT investoris ara mTeli
pozicia, aramed mxolod misi raRac nawili.
davuSvaT, rom drois [ t , T ] monakveTze investori ikavebs
sabaziso aqtvebis mixedviT gansazRvrul pozicias da erTeuli
sabaziso aqtivebis hejirebisaTvis gadawyvetili aqvs gamoiyenos
romeliRac sxva aqtivis erTeulze fiuCersuli kontraqti
miwodebis T * TariRiT, sadac T * > T .
mokle hejis dros wminda Semosavali (zarali) hejirebadi
poziciidan SeiZleba Semdegnairad Sefasdes:
Rsh  S (T )  S (t )  F (t )  F (T ) , (2.18)
sadac, S (t ) , S (T ) -drois t da T momentebSi spot-bazarze
sabaziso aqtivebis fasebia Sesabamisad,
F (t ) , F (T ) - amave drois t da T momentebSi hejirebadi aqtivebis
fiuCersuli fasebia.
mokle hejis dros Semosavali (zarali) arahejirebadi
poziciidan ganisazRvreba Semdegnairad:
Rs  S (T )  S (t ). (2.19)
grZeli hejis dros wminda Semosavali (zarali) hejirebadi
poziciidan Seadgens
Rlh  S (t )  S (T )  F (T )  F (t ) -s (2.20)
xolo arahejirebadi poziciidan
Rl  S (t )  S (T ). (2.21)
(2.18) - (2.21) tolobebis safuZvelze advilad moiZebneba
mosalodneli Semosavlebi da Semosavlis dispersia hejirebadi da
arahejirebadi poziciebisgan
 
Rsh  S (T )  S (t )  F (t )  F (T ) ; Rs  S (T )  S (t );
 
Rlh  S (t )  S (T )  F (T )  F (t ) ; R l  S (t )  S (T );
 2 ( Rsh )   2 ( Rlh )   S2(T )  2Cov( S (T ), F (T ))   F2 (T ) ;
 2 ( RS )   2 ( Rl )   S2(T ) .
gansaRvreba. hejirebadi poziciebis raodenobis fardobas
sabaziso aqtivebiT investoris yvela poziciebis moculobasTan
ewodeba hejirebis maCvenebeli (hedge/hedging retio).
Tu cnobilia hejirebis k maCvenebeli, maSin SesaZlebelia
ganisazRvros hejirebisaTvis saWiro fiuCersuli kontraqtebis
raodenoba:
150
 Q
N k
A
sadac Q - investoris poziciebis moculoba sabaziso aqtivebiT,
A - erTi fiuCersuli kontraqtis moculoba.
hejirebis optimaluri maCvenebeli ise moiZebneba, rom hejirebis
strategiis riski minimaluri iyos.
Tu xdeba erToblivi Semosavlis dispersiis minimizacia
hejirebadi strategiis dros drois [ t , T ] monakveTze, maSin
optimaluri iqneba Semdegi hejirebis maCvenebeli
 S
k*   (2.22)
 F
sadac  S - T  t drois manZilze hejirebadi aqtivebis spot-fasis
nazrdis standartuli gadaxraa;
 F - T  t drois manZilze hejirebadi aqtivebis fiuCersuli
fasis nazrdis standartuli gadaxraa;
 - zemoT miTiTebul nazrdebs Soris korelaciis koeficientia.
magaliTi 2.11. kompaniam Seityo, rom 3 Tvis Semdeg mas mouwevs
Seisyidos 1 mln. galoni dizelis sawvavi. Tavisi poziciis
hejirebisaTvis gadawyvetilebas iRebs gamoiyenos fiuCersi nedl
navTobze. erTi fiuCersuli kontraqtis moculoba nedl navTobze
42 000 galonia. dizelis sawvavze fasis nazrdis standartuli
gadaxra da 3 Tvis manZilze nadli navTobis fiuCersuli fasi
Sesabamisad 0,032 da 0,040-is tolia, xolo am nazrdebs Soris
korelaciis koeficienti tolia 0,8-is.
mocemul SemTxvevaSi
 S  0,032;  F  0,040;   0,8 .
hejirebis optimaluri maCvenebeli moiZebneba Semdegnairad:
0,032
k *  0,8  0,64 .
0,040
maSin hejirebisaTvis aucilebeli raodenobis fiuCersebis
roadenoba tolia:
1000000
 0,64  15,2.
42000
amgvarad, hejirebisaTvis aucilebelia nedl navTobze
dakavebuli iqnas grZeli pozicia 15 fiuCersuli kontraqtis
mixedviT.

151
 2.12.obligaciebis portfelis saprocento riskis sawinaaRmdego
hejireba
davuSvaT, rom investori flobs obligaciebis portfels da
gadawyvita misi saprocento riskis sawinaaRmdego hejireba
saxazino obligaciebze (an saxazino veqsilebze) gadacemis T
TariRiT fiuCersebis saSualebiT.
SeiZleba vaCvenoT, rom im obligaciebis fiuCersuli fasis
fardobiTi cvlileba, romlebic safuZvlad udevs kontraqts,
urisko saprocento ganakveTebis ~
r sididiT cvlilebisas
(procentebis uwyveti daricxvisas) akmayofileba Semdeg miaxloebiT
tolobas:
F
F
~
 
  DS  (T  t ) ~
r, (2.23)
F
sadac, - obligaciebis fiuCersuli fasis fardobiTi
F
cvlilebaa, romelic Seesabameba urisko saprocento ganakveTebis
~
r sididiT cvlilebas;
t - mimdinare momenti;
T - obligaciis gadacemis TariRi;
~
D S - obligaciis gadacemis TariRis Semdeg misgan Semosuli
gadaxdebis nakadis duraciaa (uwyveti daricxvisas).
~
nulovani kuponiT obligaciisaTvis DS  (T  t )  T *  T , sadac T * -
obligaciis dafarvis TariRia, xolo grZelvadiani
~
obligaciisaTvis SeiZleba CaiTvalos, rom DS  (T  t ) emTxveva am
obligaciis Cveulebriv duracias procentebis uwyveti daricxvis
dros.
Tu investori Tvisi obligaciebis portfelis hejirebisaTvis
daikavebs saxazino obligaciaze NN fiuCeruli kontraqtis
mixedviT mokle pozicias, xolo urisko saprocento ganakveTebi
icvlebian ~r sididiT, maSin misi Semosavali Seadgens Semdeg
sidides:
P  N  F ,
sadac P - portfelis Rirebulebis cvlilebaa;
F - obligaciis fiuCersuli fasis cvlilebaa.
ramdenadac
P
  D P  ~
r,
P
152
 sadac P - obligaciebis portfelis mimdinare Rirebulebaa,
DP - misi duracia (procentebis uwyveti daricxvis dros),
amdenad
~

r  N  F  DS  T  t  ~
P  N  F   D P  P  ~ r  
 ~
 
 N  F DS  T  t   D P  P  ~
r. 
aqedan gamomdinare, hejirebis gaTvaliswinebiT investoris
poziciis riski umciresi iqneba, Tu
P DP
N  . (2.24)
F DS  T  t 
(2.24) toloba saSualebas iZeva moiZebnos obligaciebis
portfelis saprocento riskis sawinaaRmdego hejirebisaTvis
fiuCersuli kontraqtebis aucilebeli raodenoba. magram unda
aRiniSnos, rom hejirebis aseTi strategia uzrunvelyofs
saprocento riskisagan dacvas mxolod drois mcire periodis
ganmavlobaSi. drois xangrZliv monakveTze saprocento riskisagan
dasacavad hejirebis strategis periodulad aucileblad unda
gadaixedos.
magaliTi 2.12. investori flobs saxazino obligaciebis
portfels, romlisganac gadaxdebis nakadi miTiTebulia cxrilSi

gadaxdis vada, 0,5 1,0 1,5 2,0

weli
gadaxda, 10 000 10 000 10 000 40
dolari 0 000

obligaciebis portfelis saprocento riskis sawinaaRmdego

hejirebisaTvis investorma gadawyvita gamoiyenos 3-Tvian saxazino
veqsilze fiuCersuli kontraqtebi. ganvsazRvroT, drois sawyis
momentSi hejirebisaTvis ramdeni aseTi kontraqtia saWiro, Tu
urisko saprocento ganakveTebi erTnairia da 8%-is toli.
obligaciebis mimdinare Rirebuleba da misi duracia SeiZleba
Semdegnairad moiZebnos:
P  10000  e 0,50,8  10000  e 1, 00, 08  10000  e 1,50,08  400000  e 2,00,08  368565,78$.;

Dp 
1
P

10000  0,5  e 0,50,08  10000  1,0  e 1,00, 08  10000  1,5  e 1,50,08  400000  2,0  e  2,00,08  

709053,95
  1,92
368565,78

153
 saxazino veqsilis mimdinare fiuCersuli fasi movZebnoT (2.11)
formuliT:
F  1000000e 0, 080, 25  980198,67.
hejirebisaTvis aucilebeli fiuCersuli kontraqtebis
raodenoba ganvsazRvroT (2.24) formuliT:
P DP 368565,78
N  ~  3
F DS  (T  t ) 980198,67
amgvarad, drois sawyis momentSi obligaciebis portfelis
hejirebisaTvis unda davikavoT mokle pozicia saxazino veqsilebze
sami fiuCersuli kontraqtis mixedviT.

2.13.safondo indeqsebi. fiuCersuli kontraqtebi safondo

indeqsebze
aqciis fasebis konturebze daskvirveblad gamoiyeneba mravali
sxvadasxva sabazro indeqsi. es indeqsebi gansxvavdebian rogorc
gaTvaliswinebuli aqciebis SemadgenlobiT, aseve maTi gamoTvlis
meTodebiT.
magaliTad, safondo indeqsi S & P500 gamoiTvleba 500 umsxvilesi
amerikuli kompaniis aqciebis safuZvelze, romelTa Soris 400
sawarmoo korporaciaa, 40 komunaluri sawarmo, 20 satransporto
kompania da 40 safinanso instituti.
es indeqsi iseve rogorc sxvebi, gamoiTvleba RirebulebiT
Sewonvis meTodis safuZvelze, romelic Semdegze dadis. drois
TiToeul momentSi SeiZleba ganisazRvros yvela ganxiluli
korporaciebis aqciebis jamuri sabazro Rirebuleba Semdegi
formuliT:
n
V (t )   u i (t )  S i (t ) (2.25)
i 1

sadac, S i (t ) - i -uri korporaciis erTi aqciis sabazro fasia drois

t momentSi,
u i (t ) - drois t momentSi brunvaSi myofi i -uri korporaciis
aqciebis raodenobaa.
drois romeliRac t 0 momentSi indeqss miewereba gansazRvruli
mniSvneloba, vTqvaT A . maSin, drois t momentSi indeqsis
mniSvneloba ganisazRvrebaBSemdegnairad:

154
 V (t )
I (t )   A. (2.26)
V (t 0 )
advili SesamCnevia, rom adgili aqvs tolobas:
V (t 2 )
I (t 2 )   I (t1 ).
V (t1 )
amgvarad, drois t2 momentSi indeqsis mniSvnelobis
ganisazRvrisaTvis araa aucilebeli imis codna Tu rogori
mniSvneloba hqonda indeqss miwerili drois sawyis momentSi.
sakmarisia gvqondes informacia romeliRac wina drois t1
momenitsaTvis.
safondo indeqsebze fiuCersuli kontraqtebis mTavar
Taviseburebas warmoadgens is, rom arc erTi aqtivi ar icvlis
Tavis mflobels, yvela angarisworeba fuladi formiT xdeba.
safondo indeqsze fiuCersuli kontraqtis pirobebis mixedviT,
grZeli poziciis damkavebeli mxare kontraqtis moqmedebis
dasrulebis momentSi iRebs Semdegi zomis fulad Tanxas
LI (T )  FT (t ) ,
sadac, I (T ) - safondo indeqsis mniSvnelobaa kontraqtis
dasrulebis T momentSi;
FT (t ) - safondo indeqsis fiuCersuli mniSvnelobaa drois t
momentSi;
L - birJis mier mocemuli saxis kontraqtebisaTvis gansazRvruli
fuladi Tanxaa.
analogiurad, drois t momentSi mokle poziciis damkavebeli
mxare kontraqtis moqmedebis dasrulebis momentSi iRebs Semdegi
zomis fulad Tanxas
LFT (t )  I (T ) .
S & P500 safondo indeqsze fiuCersuli kontraqtebisaTvis
fuladi Tanxa L ganiszRvreba 500 mln. dolariT.
safondo indeqsze fiuCersuli kontraqtebi farTod gamoiyeneba
aqciaTa portfelis hejirebisaTvis. aqciaTa portfelis
hejirebisaTvis aucilebeli safondo indeqsze fiuCersuli
kontraqtebis optimaluri raodenoba SeiZleba moiZebnos Semdegi
formuliT:
()
= ()
∙ (2.27)
sadac, N - fiuCersuli kontraqtebis raodenobaa;
155
 FT (t ) - T gadace
emisTaariRis mqone safondo
s o indeqssis mimdinare
fiuCers suli mniiSvnelob ba;
 P - aqciaTa
a mocemulli port oeficienti ganxi
tfelis beta ko iluli
safondo o indqsi
is mimarTT.
aqciaaTa portfel
p lis b
beta koeficienti ganisazRvreba
Semdegnaairad:
C (rP , rI )
Cov
P  ,
 I2
sadac c, rP - aqc
ciaTa poortfelis Semos savlianoobaa;
rI - sa
afondo indeqsis s Semosaavlianob baa;
 I - safondo
2
s o indeqsiis Semos savlianoobis disppersiaa.
amasT Tan, aqciaTa po ortfeli is beta koeficienti warmoadg gens am
portfel lSi Semaval
li a
aqciebis bet
ta k
koeficie
entebis
saSualo oSewonil ls. woniT koeficient tebs waarmoadgeenen sax xsrebi,
romlebi ic investirebul li arian n amaTuimm saxis aqciebSii.
magal liTi 2..13. inveestori apirebs mis portfel p lSi ars sebuli
aqciebs hejir rebas S & P500 safonndo in
ndeqsze fiuCersuli
kontraqqtebis meeSveobiT T. sawyisi infor rmacia moocemulii cxrilS Si

tfelis sawyisi Rirebul

aqciaaTa port leba Semmdegnair
rad moiZeebneba:
P  8,75
7  900  21,25  700  144,75  1400  33,50  2000
0  68,25  1600  219600
0$
8,75  900 21,25  700
7 1 ,75  1400
14 33,50  2000
p  2 
 1,25  0,80   0,75   0,95
9 
219600 2196000 219600 21
19600
2  1600
68,25
  1,055  0,9815.
2119600

156
 aqciaTa portfelis hejirebisaTvis aucilebeli fiuCersuli
kontraqtebis raodenoba ganvsazRvroT (2.27) formuliT:
1 219600
N   0,9815  2.
500 225,75
Tu erTi Tvis Semdeg, rodesac investori xuravs Tavis pozicias,
aqciebis fasi aRmoCndeba 8,25, 20,75, 15,50, 32,50 da 65,25 dolr.
Sesabamisad, xolo S & P500 indeqsis fiuCersuli mniSvneloba –
221,50, maSin investoris Semosavali hejirebis gareSe Seadgenda:
8,25  8,75  900  20,75  21,25  700  15,50  14,75  1400  32,50  33,50  2000 
 65,25  68,25  1600  6550$
xolo hejirebisas
 6500  2  500  225,75  221,50  2300$

2.14.saprocento svopebi
svopi, anu svopuri kontraqti (swap), ewodeba erTi aqtivisagan
samomavlo gadaxdebis nakadis Secvlis SeTanxmebas meore
aqtivisagan samomavlo gadaxdebis nakadze. imaze damokidebulebiT,
Tu romeli aqtivebi udevs safuZvlad svopur kontraqts, gamoiyofa
sxvadasxva saxis svopi.
kerZod, saprocento svopSi (interest rate swap) xdeba fiqsirebuli
saprocento ganakveTis mqone sesxis pirobiTad ZiriTadi Tanxidan
saprocento gadaxdebis gacvla mcuravi saprocento ganakveTis
mqone imave sesxis pirobiTad ZiriTadi Tanxidan saprocento
gadaxdebze.
mraval saprocento svopSi mcuravi saprocento ganakveTi
mibmulia londonis bankTaSoriso bazarze 6-Tvian evrodolarul
depozitze moTxovnis ganakveTze. am saprocento ganakveTs
vuwodebTELIBOR ganakveTs (London Interbank Offered Rate). magaliTad,
svopur kontraqtSi mcuravi ganakveTi SeiZleba dadgenili iyos
LIBOR+0,5%-is zomiT.
Tu 6-Tviani periodis dasawyisSi LIBOR ganakveTi 8%-is tolia,
maSin pirobiTad ZiriTadi 1000 dolaris Tanxis dros mcuravi
ganakveTis gadamxdelma ganxiluli periodis bolos unda
gadaixados

8,5
1000 
2  42,5$
100 157
 axla gamovarkvioT, rogori garemoebebis dros iqneba svopuri
kontraqti orive mxarisaTvis sargebliani.
davuSvaT, rom kompaniebs A da B-s sWirdebaT garkveuli droiT
Q zomiT sesxi, amasTan A kompanias sWirdeba sesxi mcuravi
ganakveTiT (xolo aseTi sesxebi mosaxerxebelia brunvis kapitalis
dafinansebisaTvis), xolo B kompanias – sesxebi fiqsirebuli
ganakveTiT (magaliTad, msxvili investciebis dasafinanseblad).
sasesxo kapitalis bazarze A da B kompaniebs sTavazoben ESemdeg
ganakveTebs:
fiqsirebuli ganakveTi mcuravi ganakveTi
A kompania r
A
LIBOR  rnA
B kompania r\ B LIBOR  rnB
vTvliT, rom sruldeba Semdegi pirobebi.
10 . rFx  rFx ; rFl  rFl
A B A B

am pirobis interpretacia SeiZleba Semdegnairad: A kompaniis

sakredito reitingi mniSvnelovnad maRalia B kompaniis sakredito
reitingze. amitom: A kompania flobs absolutur upiratesobas
orive bazarze.
2 0 . rFx  rFx  rFl  rFl
B A B A

es niSnavs, rom: A kompanias gaaCnia SedarebiT upiratesoba

fiqsirebuli ganakvebis mqone bazarze, xolo B kompanias gaaCnia
SedarebiT upiratesoba mcuravi ganakvebis mqone bazarze.
magaliTad, Tu A _ msxvili kompaniaa, maSin mas SeuZlia
moizidos saxsrebi fiqsirebuli saprocento ganakveTis mqone
obligaciis emisiis xarjze, xolo B kompanias es ar SeuZlia.
meores mxriv, B kompaniis Sesaxeb SeiZleba meti icodes
adgilobrivma bankma, romelic kreditebs mcuravi ganakveTiT
gascems.
vaCvenoT, rom 10 . da 2 0 pirobebis dacvisas SeiZleba aigos

orive kompaniisaTvis xelsayreli saprocento svopi.

A kompania iRebs sesxs fiqsirebuli saprocento ganakveTiT, e.i.
iq sadac mas aqvs SedarebiTi upiratesoba, xolo B kompania, iRebs
sesxs mcuravi ganakveTiT, iq sadac mas aqvs SedarebiTi
upiratesoba, da Tanxmdebian gacvlaze.
158
 vTqvaaT, A ko
ompania uxdis
u as mcurav y n procents, xolo
B kompania
misgan iRebs
i fiqsirebull x ganakveTs.
imisaaTvis, rom
r Ti gacvla ori
aseT ive komppaniisaTvvis momg gebiani
iyos, A kompaniiis wmindda saprocento gadaxda: r  y n  x undaa iyos
A

LIBOR  rnA -ze nakl

lebi, xo
olo B kompaniis
k s wmindaa saproc
cento gaadaxda:
x   LIBOR
R  rnB  y n unda iy
yos rB -ze nakleb
bi (nax. 2.3)
2
Tu ricxvi
r  1 da  2 akmayofil
leben pir
robas:
 1   2  rB  rA   rnB  rnA ,
maSin
n, wrfiv gantol
lebaTa sistemas
+ − = + −
(2.28)
+ + − = −
0 0
yovel
lTvis aqvs
a amonaxseni. es niSnnavs, rom 1 da 2 pir robebis
dacvisas SesaZZlebeli ia gadax xdebis iseTi gacvlis s organizeba,
romelicc momgeb
biania orrive A da
d BkomppaniisaTvvis.
real
lur pir robebSi svopur ri kont traqtebis dadebbis sur
rvilis
mqone kompanieb
k bs erTmmaneTis povna uWirT. amitomm maT uwvevT
isargebl
lon Su uamavliss momsaaxurebiT T, romelic SeeiZleba iyos,
Tad, banki. amasTan Suaamavali TavisTaavze iRebs kontaqtis
magaliT
pirobebis Sesru
ulebaze garanti irebis valdebul
v lebas.

Suamaavlis ar
rsebobissas gadaaxdebis gacvlis izeba SeiZleba
s organi
moxdes ise rogorc es nax. 2.4-z zea naCveenebi
Tu dadebiTi
d i ricxvebi  1 ,  2 da  akmmayofileben pir
robas
 1   2    rB  rA  rnB  rnA ,
maSin
n saproccento gaanakveTebi rA daa rB SeiZl
leba isee SeirCees, rom
nias hqonds  1 -i
A kompan is tolii mogebaa, B kompanias _  2 -is toli,
xolo bankis
b marJam Seaadginos  .

159
 magal
liTi 2.14.
2 vTqqvaT sasesxo kapitallis bazarze A da B
kompanieebs sTavaazoben ESemdeg fiqsireb
bul da mcurav ganakveT
Tebs:
fiqsirebuuli ganakkveTi mcurravi ganakveTi
A kompania
k 10,0%
% OR  0,4%
LIBO
B ko
ompania 11,20%
% OR  1,00%
LIBO
gamovvarkvioT T, rogoraa org ganizebu uli gadaxdebis gacvlaa, Tu A
kompaniaa iRebs sesxs fiqsirebu uli sapr rocento olo B
o ganakveeTiT, xo
kompaniaa iRebs sesxs mcuravim ganakveTTiT, xolo Suaamavlis marJam
unda Seadginos 0,2%.
Tu kompanieb
k bi SeaTaanxmdebian hqodeeT erTn nairi  mogeba,, maSin
unda Sesruldes Semdeg gi tolo oba:
2  +00.2= (11,200 _ 10) _((1,00 _ 0,,4) = 1,20 _0,6 = 0,6.
0
maSin n  = 0,22%. aqedan gadax xdebis gacvlis
g organi
izeba SeiZleba
ise rog gorc es nax. 2.5-z zea gamo osaxuli.

2.15..procent
tuli svoopebis Rirebul
R ebebis Sefaseba
S
davuuSvaT, rom
r X ko
ompania Tanxmdeb
T ba drois s garkveeuli per
riodis
ganmavlobaSi yovel naxevarweliwad dSi gad daixados s proc centebi
pirobiT Ti Q Tanxi isagan mcurav LIBOR ganakveeTiT dad sanaccvlod
miiRos imave Q Tanxisaagan pro ocentebii fiqsirrebuli r ganakveTiT
(nax 2.6)..

160
 advi ilia imi is SemCneeva, romm aseTi gacvlis sas gadaaxdebis nakadi
emTxvevaa im por rtfelis sagan gad daxdebis
s nakads, romel lic Sedg geba Q
nominal lis mqone naxevarwliaani kupo onebiT r ganaakveTis dros
obligac ciebis mixedviT
m T grZeli ciisagan da imavve Q nomi
i pozic inalis
mqone naaxevarwl liani ku uponebiT T mcuravvi kuponnuri gannakveTis dros,
romelic c emTxveva 6-Tvvian LIBO OR ganak
kveTs, obligaci
o iebis mix
xedviT
mokle poziciis
p sagan. maS
Sin adgi ili aqvs Semdeg tolobaas:
V (t )  B1 (t )  B2 (t ) , (2.29))
sadaac V (t ) - X kompaaniisaTvvis sapr rocento spotis s Rirebu ulebaa
drois t moment tSi;
B1 (t ) - fiqsir rebuli kuponur ri r ganakveTis
s mqon
ne obli igaciis
Rirebul lebaa dr rois t momentSi
m i;
B2 (t ) - mcoca avi kupo onuri LIBORL gan
nakveTis mqonee obliigaciis
Rirebul lebaa dr rois t momentSi
m i.
rom ganvsaz zRvroT fiqsirebuli kuponur ri ganakkveTis mqone
obligac ciis Ri irebuleb ba, auci ilebelia am ob bligaciis gadaaxdebis
diskont tirebisaT Tvis Sesabamis
S si ganaakveTebi. Tu diskont tirebis
ganakveT Tebi gans sazRvrulia, fiqsirebul li kupoonuri gaanakveTis
s mqone
obligac ciis Rir rebuleba SeiZleeba moiZebnos Seemdegnair rad:

n Q
2 Q
B1 (t )   2 t k t 
 2 t n  t 
, (
(2.30)
k 1  rk   rn 
1   1  
 2  2
sadaac, B1 (t ) - fiqsireebuli ku uponuri r ganakvveTis daa Q nomi
inalis
mqone ob bligaci iis Rirebulebaa drois t moment tSi;
t1 , t 2 , ... , t n - gadaxdebis gac
cvlis TaariRebiaa;
r1 , r2 , ... , rn - diskon ntirebis ganakveT
Tebia dr riodebzee t1 , t 2 ,
rois per
... , t n wl lebi Ses sabamisad
d.
mcoc cavi kuponuri gadasaxag dis mqoone obli igaciis Sesafas
seblad
unda gaaviTvali iswinoT, rom moomgebianii saarbitraJo SesaZleb
S blobis

161
ar qonisas obligaciis Rirebuleba unda emTxvevodes mis nominals
mTeli drois manZilze, roca xdeba kuponebis anazRaureba.
aqedan gamomdinare,
 QLIBOR 0  1
B2 (t )    Q  2 t  t 
, (2.31)
 2   r1  1
1  
 2
sadac, B2 (t ) - Q nominalis mqone obligaciis Rirebulebaa
naxevarwliani kuponebiT 6-Tviani LIBOR ganakveTisas drois t
momentSi;
LIBOR 0 - gadaxdebis bolo gacvlis momentSi dadgenili 6-Tviani
LIBOR ganakveTia;
QLIBOR0
 Q - obligaciebis mixedviT sruli gadaxdaa drois t1
2
(drois mimdinare t momentis Semdeg pirveli kuponuri gadaxdis
TariRi) momentSi;
r1 - diskontirebis ganakveTi t1 - t wlis xangrZlivobis periodze.
(2.30) da (2.31) formulebis mixedviT obligaciis Rirebulebis
gansazRvris Semdeg, (2.29) formuliT, SeiZleba vipovoT saprocento
svopis Rirebuleba.
magaliTi 2.15. finansuri instituti daTanxmda yovel
naxevarweliwadSi gadaxdebis dros miiRos 8% 100 mln. pirobiTi
Tanxidan 6-Tviani LIBOR ganakveTis sanacvlod. am SeTanxmebis
dasrulebamde rCeba 15 Tve. 3 TviT adre dadgenili LIBOR ganakveTi
10,1%-is tolia. ganvsazRvroT finansuri institutisaTvis
saprocento svopis Rirebuleba, Tu diskontirebis ganakveTebi 3, 9
da 15 Tveebze Sesabamisad tolia 9,8, 10,2 da 10,8%-is.
mocemul SemTxvevaSi
Q = 100 mln. dolr., r = 0,08, r1 = 0,098, r2 = 0,102, r3 =0,108,
LIBOR 0 =0,101, t1 - t = 0,25, t 2 - t =0,75, t3 - t = 1,25.
maSin
100  0,08 100  0,08 100  0,08
100 
B1 (t )  2  2  2  98,8046 mln. dolr.;
20, 25 20 , 75 21, 25
 0,098   0,102   0,108 
1   1   1  
 2   2   2 

162
  100  1,101  1
B2 (t )    100  20 , 25
 102,5672 mln. dolr.
 2   0,098 
1  
 
aqedan gamomdinare, finansuri institutisaTvis saprocento
svopis Rirebuleba Seadgens:
V (t )  B1 (t )  B2 (t )  98,8046  102,5672  3,7626 mln. dolr.
nax. (2.6)-ze warmodgenili saprocento svopis Rirebuleba
SeiZleba movZebnoT, Tu misi mimdevrobiT forvardul kontraqtebs
SevcvliT 6-Tviani LIBOR ganakveTze.
marTlac, drois t1 momentSi, rodesac xdeba gadaxdebis pirveli
Qr
gacvla, finansuri instituti iRebs tol Tanxas, xolo ixdis
2
QLIBOR 0
Tanxas. gadaxdebis aseTi gacvlebis dayvanili Rirebuleba
2
tolia
 Qr Q LIBOR 0  1 Q 1
 2    2 t1  t 
 r  LIBOR 0  2 t1 t 
.
 2   r1  2  r1 
1   1  
 2  2
t k momentSi k = 2, 3, . . . , n , roca xdeba gadaxdebis k -uri gacvla,
Qr QLIBOR k 1
finansuri instituti iRebs tol Tanxas, xolo ixdis
2 2
, sadac LIBOR k 1 LIBOR ganakveTia t k 1  t wlis Semdeg. gadaxdebis aseTi
gacvlis dayvanili Rirebuleba emTxveva 6-Tvian LIBOR ganakveTs,
forvarduli kontraqtiT mokle poziciis Rirebulebas gadacemis
t k 1 TariRiT, da, aqedan gamomdinare, tolia
Q 1
r  Fk 1  2 t k  t 
,
2  rk 
1  
 2
sadac, Fk 1 - LIBOR ganakveTia t k 1  t welze.
finansuri institutisaTvis saprocento svopis Rirebuleba
tolia gadaxdebis gacvlis yvela RirebulebaTa dayvanili jamis,
e.i.
Q 1 Q n 1
V (t )  r  LIBOR 0   2 t1  t 
  r  Fk 1   2 t k  t 
. (2.32)
2  r1  2 k 2  rk 
1   1  
 2  2

163
 magaliTi 2.16. ganvsazRvroT saprocento svopis Rirebuleba 2.15
magaliTidan (2.32) formulis mixedviT.
forvarduli LIBOR ganakveTebi 9 da 15 Tveze moiZebneba
Semdegnairad:
  r2  20,75    0,102 1,5 
  1     1   
  2    2 
F1  2  1  2   1  0,1040 ,
  r  20, 25    0,098  0,5 
 1  1    1   
  2    2  
  r3  21, 25    0,108  2,5 
 1     1   
  2    2 
F2  2  2  1  0,1170 .
  r  20, 75    0,102 1,5 
 1  2    1   
  2    2  
maSin, finansuri institutisaTvis saprocento svopis
Rirebuleba tolia
100 1
V (t )  0,08  0,101  20 , 25

2  0,098 
1  
 2 
100 1 100 1
 0,08  0,1040 20 , 75
 0,08  0,1170 21, 25
 3,7610
2  0,102  2  0,108 
1   1  
 2   2 
mln.dolari

2.16 savaluto svopi

savaluto svopi (currency swap) ewodeba ZiriTadi Tanxis da
sesxis mixdviT fiqsirebuli saprocento gadaxdebis erT valutaSi
da ZiriTadi Tanxis da sesxis mixdviT fiqsirebuli saprocento
gadaxdebis meore valutaSi gadacvlaze SeTanxmebas.
davuSvaT, rom sasesxo kapitalis bazarze A da B kompaniebs
sTavazoben sesxze Semdeg fiqsirebul ganakveTebs or sxvadasxva
valutaSi;
A kompania: q1A , q 2A ;
B kompania: q1B , q 2B .
CavTvliT, rom sruldeba Semdegi pirobebi:
1. q1A < q1B , q 2A < q 2B , e.i. A kompaniis sakredito reitingi
mniSvnelovnad maRalia B kompaniis sakredito reitingze, da A
kompanias gaaCnia absoluturi upiratesoba orive bazarze.

164
 2. q1B _ q1A > q2B _ q2A , e.i. A kompanias gaaaCnia Sed darebiTi upiratesoba
sasesxo kapital lis baz zarze pi irvel valutaSi
v i, xolo o B kompanias
gaaCnia Sedareb biTi upi iratesob ba sases
sxo kapitalis bazarze
b meore
valutaS Si.
Tu A kompan niisTvis aucil lebelia Q2A zomis sesxi meore
valutaS Si, xol lo B kompanii isaTvis - Q1B zomis sesxi pirvel
p
valutaS Si da Q1B  cQ2A , sadac c - mimdi inare gacvliTi kursia,, maSin
kompanieebs SeuZZliaT ai iRon seesxi im bazrebz ze sadacc maT gaaaCniaT
Sedareb biTi upistesob ba, SeT
Tanxmdneen sapr
rocento o gadaaxdebis
gacvlaz ze, rogo orc es nax. n 2.7-zea gamos
saxuli.
Tu 2  q1  q1  q 2  q 2  , maSin
B A B A
n A da B kompanieebi iReb ben  -s zomis
saproceento mog gebas.
Suamaavlis arsebob bis dr ros gad daxdebiT T gacvvla SeiZleba
organiz zebuli iyos i ise, rogorc es nax x. 2.8-zea naCveneb
bi.

amasTTan Tu sruldebs ba Semdeg gi tolo oba:

2    q1B  q1A   q 2B  q 2A  , orive A da B kompa ania iRebs  -s zomis
saproceento mog gebas, xo olo Suaamavlis marJa  -s Seadg gens.
magalliTi 2.117. A ko ompanias sTavazo oben 8% da 11,6%
% fiqsi irebul
saproceento ganakveTeebs amerikul dolar rebSi dad inglisur
funtebS Si Sesaabamisad.. B kom
mpanias sTavazo oben 100,0 da 12,0%
fiqsirebul saproceento g
ganakveT ebs analogiuur sesxebze.
gamovarkvioT, SesaZlebelia Tu ara saprocento o gadaaxdebis
organiz zeba ise,, rom or rive kommpanias hqondes
h erTnair
ri saproocento
mogeba, xolo Suamavlis marJamm Seadgin nos 0,2%
%.
165
 mocemul SeemTxvevaS Si
q1A  8% , q 2A  11,6% , q1B  10,0% , q 2B  12% ,
ramdenadac
q1A < q1B , q 2A < q 2B , xolo q1B  q1A  q 2B  q 2A   1,6% ,
amden nad orive kompanas SeuZZlia uz zrunvelyyos Tavi
isTvis Semdegi
S
zomis saprocento mogeeba
1,6  0,2
  0,7% .
2
gadaxxdebis Sesabamis
S si gacvl
la moyvanilia naax. 2.9-zee.
Tu romeliR
r ac X kompania mo
onawileobs savaaluto svopSi,
s m
maSin:
 win
naswar dadgenil
d l vadebS Si is iR
Rebs sapr
rocento debs q1
o gadaxd
TiT Q1 Tanxidan
ganakveT T erT valutaS
v Si da ixdis
i procenteebs q 2
TiT Q2 Tanxidan meore vaalutaSi
ganakveT i.

 drois saboloo momentSi m i X komppania iReebs Q1 Tanxas

T p
pirvel
valutaS Si da gaadascems Q2 Tanx xas meor re valuttaSi.
mocemul svvopSi gadaxdeb g is nakaadi emT Txveva imi porttfelis
gadaxdeebidan nakads, romel lic S
Sedgeba pirvell val
lutaSi
fiqsirebuli q1 ganakveTiT Q1 no
ominaliss mqonee obli igaciis
mixedviT T grZel li pozic ciisagan da meor re valuttaSi fiqqsirebul li q 2
ganakveT TiT Q2 nominal lis mqo
one obbligaciiis mixeedviT mokle
pozicii isagan.
aqedaan gamommdinare, drois mocemul l t momentSi V (t ) savaaluto
svopis Rirebu uleba X kompaniis
k saTvis DSeiZleeba moZZebnili iyos
Semdegi tolobi idan:
V (t )  B1 (t )  c(t ) B2 (t ) , (2.333)
sadac c B1 (t ) - obligac
o ciis Rirrebulebaaa pirvel l valut taSi;
B2 (t ) - obliga aciis Ri irebuleb baa meor re valuttaSi;
c (t ) - mimdinar re gacvl liTi kur rsia.
magal liTi 2.18.
2 iaponiaSi da a
aSS-Si urisko ocento
sapro
ganakveT Tebi erT Tnairia yvela vadisaTvi is da Sesabamisad 4 daa 9%-is
166
tlia (procentis uwyveti daricxvisas). finansuri instituti
daTanxmda miiRos 5% 1200 mln. iaponuri ienisagan da gadaixados 8%
10 mln. aSS dolariagan. gadaxdebiT gacvla unda xdebodes
weliwadSi erTxel. ganvsazRvroT finansuri institutisaTvis
mocemuli savaluto svopis Rirebuleba, roca kontaqtis moqmedebis
damTavrebamde 3 welia darCenili, xolo mimdinare gacvliTi kursi
110 ienia dolarze.
1200 mln. ienis nominalis mqone 3-wliani obligaciis Rirebuleba
kuponuri ganakveTiT 5% SesaZlebelia moiZebnos Semdegnairad:
B1 (t )  60  e 0,04  60  e 0,042  1260  e 0, 043  1230,55 mln. ieni.
analogiurad, 10 mln. dolari nominalis mqone 3-wliani
obligaciis Rirebuleba kuponuri ganakveTiT 8% toli iqneba:
B2 (t )  0,8  e 0, 09  0,8  e 0,092  10,8  e 0,093  9,6438 mln. dolr.
maSin finansuri institutisaTvis savaluto svopis Rirebuleba
iqneba:
V (t )  B1 (t )  c(t ) B2 (t )  1230,55  110  9,64386  169,725 mln. ieni.
nebismieri savaluto svopi SeiZleba warmovadginoT valutis
gacvlaze forvarduli kontraqtebis mimdevrobis saxiT. am
SemTxvevaSi X kompaniisaTvis savaluto svopis Rirebuleba SeiZleba
moiZebnos Semdegi formuliT:
n
V (t )   q1Q1  Fi q2Q2   e ri  Q1  Fn Q2   e r
~ 1  t t  ~ ( 1 ) ( t t )
1 n
, (2.34)
i 1

sadac, V (t ) - X kompaniisaTvis savaluto svopis Rirebulebaa

drois t momentSi;
t1 , t 2 , ... , t n - gadaxdebis gacvlis TariRebia;
~
ri 1 - pirveli valutis qveynaSi urisko saprocento ganakveTia
t i  t weliT vadaze, i  1,2,..., n .
magaliTi 2.19. SevafasoT savaluto svopi magaliTi 1.18-dan (2.34)
formulis meSveobiT.
mocemul SemTxvevaSi
q1 = 0,05, Q1 = 1200 mln. ieni, q 2 = 0,08, Q2 = 10 mln. dolr.
~
r1 1 = ~ r31 = 0,04, ~
r21 = ~ r2 2  = ~
r1 2  = ~ r32  = 0,09.
maSin
F1  110  e 0,040,09 1  104,635237 ,
F2  110  e 0,040, 09 2  99,532116 ,

167
 F3  110  e 0, 04 0, 09 3  94,677877 .
(2.34) formulis mixedviT:
V (t )  (0,05  1200  104,635237  0,08  10)  e 0, 041 
 (0,05  1200  99,532116  0,08  10)  e 0, 042  mnl.
 0 , 043  0 , 043
 (0,05  1200  94,677877  0,08  10)  e  (1200  94,677877  10)  e  169,73
ieni.

2.17.ofcionebi da maTi ZiriTadi maxasiTeblebi

e.w. warmoebuli fasiani qaRaldebis mniSvnelovan saxes
warmoadgens ofcionebi (option). arsebobs oTxi ZiriTadi tipis
ofcioni:
 evropuli `qol~ (call) da `fuT~ (put) ofcionebi;
 amerikuli `qol~ da `fuT~ ofcionebi.
evropuli (European-style) `qol~ (`fuT~) ofcioni mis mflobels
aZlevs uflebas iyidos (gayidos) romeliRac aqtivebis
gansazRvruli raodenoba winaswar dadgenili Sesrulebis fasad
(strike/expiration price) kontraqtis moqmedebis dasrulebis momentSi.
amerikuli (American-style) `qol~ (`fuT~) ofcioni mis mflobels
aZlevs uflebas iyidos (gayidos) romeliRac aqtivebis
gansazRvruli raodenoba winaswar dadgenili Sesrulebis fasad
kontraqtis moqmedebis dasrulebamde drois nebismier momentSi.
ofcionur kontraqtSi yovelTvis arsebobs ori mxare: ofcionis
mflobeli, romelsac aqvs ufleba airCios Seasrulos Tu ar
Seasrulos esa Tu is operacia (yidva-gayidvis), da ofcionis
gamomSvebi an xelmomweri mxare, romelic valdebulia Seasrulos
miTiTebuli operacia, Tu amas moiTxovs ofcionos mflobeli.
ramdenadac ofcionur kontraqtSi mxareebi Tanabaruflebianebi ar
arian, amdenad ofcionuri kontraqtis dadebisas ofcionebis
momavali mflobeli valdebulia gadauxados mopirdapire mxares
garkveuli premia. es premia, arsebiTad, warmoadgens ofcionis fass.
amboben, rom mxares, romelic SeiZens ofcions uWiravs ofcionis
mixedviT grZeli pozicia (long the option), xolo ofcionis gamomSveb
an xelismomwer mxares – mokle pozicia (short the option).
Cveulebriv ofcionur kontraqts aqvs moqmedebis dasrulebis
TariRi, romelsac ofcionis amowurvis TariRs (maturity/expiration

168
date) uwodeben. aqtivebis yidva an gayidvis Sesabamisi operaciis
faqtobrivad Sesrulebis TariRs ofcionis Sesarulebis TariRs
(exercise date) uwodeben. evropuli ofcionebisaTvis ofcionis
Sesrulebis momenti yovelTvis emTxveva misi amowurvis moments.
amerikuli ofcionebisaTvis Sesrulebis momenti SeiZleba mis
amowurvamde dadges. ofcionebi da forvarduli kontraqtebi
warmoadgenen forvarduli garigebebis nairsaxeobebs. avRniSnoT am
ori saxis kontraqtis ZiriTadi gansxvavebebi.
1. forvarduli kontraqti – es mudam gansazRvruli raodenobis
sabaziso aqtivebis yidvis (Sesabamisad gayidvis) sasesxo
valdebulebaa. ofcionebis mflobels ki aqvs ufleba hqondes
ufleba da ara valebuleba iyidos an gayidos aqtivebi.
2. forvarduli kontraqtis dadebisas orive mxare Tanasworia da
erTnairi riskis qveS imyofebian. amitom forvarduli kontraqtis
dadebisas arc erTi mxare arafers ar uxdis meore mxares.
ofcionuri kontraqtis dadebisas mxareebi Tanabaruflebianebi ar
arian. erT mxares aqvs aqtivebis yidvis an gayidvis arCevis ufleba,
meore mxare ki valdebulia pirveli mxaris moTxovnisas Sesarulos
Sesabamisi operacia. swored amitom ofcionuri kontraqtis
dadebisas pirvelma mxarem unda gadauxados meores, romelic
uSvebs an xels awers ofcions, gansazRveruli premia. es premia
warmoadgens im riskis sazRaurs, romelsac ganicdis ofcionebis
mixedviT mokle poziciis mqone mxare sabaziso aqtivebis
araxelsayreli fasebis SesaZlo cvlilebis gamo.
ganvixiloT evropuli `qol~ ofcioni amowurvis T TariRis da
Sesrulebis X fasis dros. Tu S T _ sabaziso aqtivis fasia T
momentSi, maSin SesaZlebelia mxolo ori SemTxveva:
1) S T > X , 2) S T  X ,
pirvel SemTxvevaSi `qol~ ofcionis mflobels SeuZlia X
fasad iyidos aqtivi S T - sabaziso RirebulebiT, romelic X -ze
metia. amitom ofcionebis mflobeli Seasrulebs svop ofcions, da
misi mogeba Seadgens S T _ X .
meore SemTxvevaSi mflobels aqvs ufleba X fasad iyidos
aqtivi ST RirebulebiT, romelic X -ze naklebia. aqedan
gamomdinare, am SemTxvevaSi `qol~ ofcionis mflobeli Tavis
ofcions ar Seasrulebs da misi mogeba nulis toli iqneba.
169
 amgavvarad, `qol~ ` ofcioni is mfl lobelis mogebaa Sesru ulebis
momentSi ganisazRvreeba xS T  X ,0
max saxiT T. `qol
l~ ofcionis
mflobelis mog geba graf
fikuli saxiT gamosaxul lia nax. 2.10-ze.
anal logiuri msjelo oba gviCvenebs, rom evropuli `f fuT~ ofcionis
mflobelis mog owurvis T TariR
geba amo Ris da Sesrulebis X fasis
dros SeeiZleba Caiweros Semdeg gi saxiT T
maxX  S T ,0 .
evropuli `f fuT~ offcionis mflobelis mog geba graafikuli saxiT
warmodg genilia nax. 2.11--ze.
droi is TiTo oeul t momentS Si mniSvvnelovan n rols asruleebs is,
Tu rog gor Seefardebaa Sesrul lebis X fasi sabazis so aqtivvis S T
spot-fass. amboben, romm `qol~ ofcion ni drois ul t mo
s mocemu omentSi
warmoad dgens of fcions `mogebiT
` T~ (the-mo oney), `mmogebis gareSe~
g (at-the-
money), an `wagebiT~ (ou ut- of-the-m
money), U Sesabammisad:
ST > X , ST = X ST < X .

anal logiurad d, `fuT~ ofcioni `mo

ogebiT~, `mogebi
is gareS
Se~, an
`wagebiT T~ TuU Sesabamis
S sad:
ST < X , ST = X , ST > X .
170
 2.18. arbitraJuli damokidebulebebi evropuli ofcionebisaTvis
ganixileba ori bazari: zogierTi aqtivis spot-bazari da am
aqtivebze ofcionebis bazari.
CavTvloT, rom sruldeba Semdegi pirobebi:
 bazrebi srulyofilia (ix. 2.1);
 SeuzRudavad SeiZleba sesxis aReba an Sesabamis (vadis
mixedviT) urisko saprocento ganakveTiT dakrediteba;
 ar arsebobs momgebiani saarbitraJo SesaZleblobebi.
1. Tu c da p_ evropuli `qol~ da `fuT~ ofcionebis
Rirebulebebia Sesabamisad erTidaimave aqtivze X Sesrulebis
fasiT amowurvis T TariRis dros, maSin adgili aqvs fasebis
paritets:
c  p  S  D  Xe  r T t  ,
~
(2.35)
sadac t - drois mimdinare momentia,
S - drois t momentSi sabaziso aqtivebis Rirebuleba,
D - t -dan T -mde drois ganmavlobaSi aqtivebisagan Semosuli
Semosavlebis dayvanili mniSvneloba,
~
r -T _t welze investiciebis mixedviT urisko saprocento
ganakveTi uwyveti darixcvisas.
viciT ra evropuli `qol~ (`fuT~) ofcionis fasi, evropuli
ofcionebis fasTa pariteti yvela parametriT analogiuri
evropuli `fuT~ (`qol~) Rirebulebis Sefasebis saSualebas iZleva.
garda amisa, Tu evropuli ofcionebis fasebis pariteti ar aris
daculi, maSin unda arsebobdes momgebiani arbitraJuli
strategiebi.
magaliTi 2.20. aqciaze 6-Tviani `qol~ ofcionis fasi Sesrulebis
30 dolariani fasiT tolia 2 dolaris. aqciis mimdinare fasia 29
dolari, aqciis mixedviT 0,5 dolaris toli dividendebi
mosalodnelia 2 da 5 Tvis Semdeg. SevafasoT analogiuri `fuT~
ofcionis Rirebuleba, Tu urisko saprocento ganakveTi (uwyveti
daricxvisas) yvela vadisTvis 10%-is tolia.
mocemul SemTxvevaSi:
6
X = 30 dolr., S =29 dolr., T _ t = , ~r =0.1;
12

171
 2 5
 0 ,1  0 ,1
D  0,5  e 12
 0,5  e 12
 0.97 dolr.
evropuli ofcionebis fasebis paritetis (2.35) Tanaxmad gvaqvs
Semdegi toloba:
6
 0 ,1
2  p  29  0,97  30e . 12

sadanac p  2,51 dolr.

Tu ki evropuli `fuT~ ofcionis sabazro fasi aRmoCndeba 2,10
dolaris toli, maSin momgebiani saarbitraJo strategia
Semdegnairad SeiZleba aigos.
ramdenadac `fuT~ ofcionis sabazro fasi aRmoCnda daweuli
(2,10 dolr.<2,51 dolr.), amdenad es ofcioni unda SeviZinoT.
imisaTvis, rom strategia urisko gaxdes erTdoulad xdeba
sabaziso aqtivebis SeZena da `qol~ ofcionebis gayidva. aseTi
opraciebis dasafinanseblad ucilebelia Semdegi odenobiT sesxis
aReba
S  p mar  c = 29+2,10 – 2,00 = 29,10 dolr.
6 Tvis vadiT 10%-iani urisko saprocento ganakveTiT.
cxadia mocemuli strategia uriskoa da ar moiTxovs
investorisagan sawyis xarjebs, xolo ofcionis Sesrulebis
momentSi investori miiRebs Semdeg mogebas:
6 6 6 6

 S  p  c  e
~
r ~
r 0 ,1 0 ,1
X  De 12 mar 12
 30  0,97  e 12
 29,10  e 12

6
0 ,1
= 0,43 dolr. (  2,51  2,10  e 12 ).
q~ mudmivi dividenduri Semosavlianobis mqone aqtivebze
evropuli ofcionebisaTvis fasebis pariteti iRebs Semdeg saxes:
c  p  S  e  q T t   Xe  r T t  .
~ ~

2. drois nebismier t momentSi cnobili SemosavlebiT aqtivebze

evropuli ofcionebis amowurvis vadamde unda iqnas daculi
Semdegi SezRudvebi:
maxS  D  Xe  r T t  ,0  c  S  D ;
~
(2.37)
maxXe  r T t   D  S ,0  p  Xe  r T t  ,
~ ~
(2.38)
sadac S - sabaziso aqtivebis fasia;
X - ofcionebis Sesrulebis fasi;
T - ofcionebis amowurvis TariRia;
D - t -dan T -mde drois ganmavlobaSi sabaziso aqtivebisagan
Semosuli Semosavlebis dayvenili mniSvnelobaa;
172
 ~
r - T _ t welze urisko saprocento ganakveTia.
Tu araa daculi erT-erTi (2.37) da (2.38) pirobebidan, maSin
bazarze unda arsebobdes momgebiani saarbitraJo strategiebi.
magaliTi 2.21. ganvixiloT 10-Tviani evropuli `qol~ ofcioni
aqciaze, romlis mixedviTac 4 da 8 TveSi mosalodnelia
Sesabamisad 2 da 3 dolaris odenobiT dividendebi. ganvsazRvroT
96,60 dolaris Sesrulebis fasis mqone ofcionos RirebulebisaTvis
qveda da zeda sazRvrebi, Tu sabaziso aqciis fasi Seadgens 100
dolars, xolo urisko saprocento ganakveTebi (uwyveti
daricxvisas) 4, 8, da 10 Tveze Sesabamisad tolia 6, 6,5 da 7%-is.
mocemul SemTxvevaSi
10 ~
X =96,60 dolr., S =100 dolr., T _ t = , r =0,07,
12
4 8
 0 , 06  0 , 06
D  2e 12
 3e 12
 4,83 dolr.
(2.37) tolobidan gamomdinareobs, rom
10
 0 , 07 
4,04 dolr. = 100 – 4,83 – 96,60  e 12 < c <100 – 4,83 = 95,17 dolr.
amgvarad, momgebiani saarbitraJo SesaZleblobis ar qonisas
evropuli `qol~ ofcionis fasi unda mdebareobdes 4,04 da 95,17
dolars Soris.
Tu mocemuli `qol~ ofcionis sabazro fasi mosalodnelia
gaxdes 3,00 dolaris toli, maSin investors SeuZlia: iyidos `qol~
ofcioni, moaxdinos aqciis mokle gayidva da miiRebuli
S  c  100  3  97 saxsrebis investireba 10 TviT urisko 7%-iani
mar

ganakveTiT. ofcionis amowurvis momentSi investori an iyidis qcias

spot-bazarze (Tu S T < X ), an iyidis mas X fasad, ofcionuri
kontraqtis mixedviT, da moaxdens ra miuRebeli dividendebis
kompensacias, daubrunebs mas adrindel mflobels.
T momentSi investoris mogeba Seadgens aranakleb
10 10
0 , 07 0 , 07
97  e 12
 96,60  4,83  e 12
 1,11 dollars.
bolo strategia, cxdia, mogebian arbitraJul strategias
warmoadgens.
q~ mudmivi dividenduri Semosavlianobis mqone aqtivebze
evropuli ofcionebisaTvis (2.37) da (2.38) utolobebi Semdeg saxes
iReben:
maxSe  q T t   X  e  r T t  ,0  c  S  e  q T t  ,
~ ~ ~

173
 maxXe  r T t   Se  qT t  ,0  p  Xe  r T t  .
~ ~

3. Tu c1 , c2 ( p1 , p 2 ) - evropuli `qol~ ofcionebis (Sesabamisad,

`fuT~ ofcionebis) Rirebulebebia erTidaimave aqtivze Sesrulebis
fasebiT X 1 , X 2 ( X 1 < X 2 ) amowurvis T TariRis dros, maSin
c1  c 2 , c1  X 1e  r T t   c 2  X 2 e  r T t  ;
~ ~

p1  p 2 , p1  X 1e  r T t    p 2  X 2 e  r T t  ,
~ ~

sadac ~r - T _ t vadaze urisko saprocento ganakveTia uwyveti

daricxvisas.
mniSvnelovani aRiniSnos, rom rac ufro metia Sesrulebis fasi,
miT naklebia evropuli `qol~ ofcionis fasi da miT ufro metia
evropuli `fuT~ ofcionis fasi.
4. Tu mocemulia sami evropuli `qol~ (`fuT~) ofcioni
erTidaimave aqtivebze Sesrulebis fasebiT X1 , X2 da X3
Sesabamisad, amasTan
X 1 < X 2 < X 3 , X 2  X 1  1   X 3 ,   0 ,
maSin
c 2  c1  1   c3 ,  p 2  p1  1    p3  .
mocemuli debuleba sxvadasxva Sesrulebis fasebis, magram sxva
danarCeni erTnairi maxasiaTeblebis mqone, evropuli ofcionebis
fasebis Sedarebis saSualebas iZleva.

2.19.amerikuli ofcionebis Sesaxeb ZiriTadi arbitraJuli

debulebebi
amerikuli ofcionebis, Sesabamisi evropuli ofcionebTan
SedarebiT, ZiriTadi gansxvaveba imaSi mdgomareobs, rom amerikuli
ofcionebi SeiZleba Sesruldes nebismier dros, misi amowurvis
vadamde. amis gamo amerikuli ofcionebs fasebi SeiZleba
mniSvnelovnad gansxvavdebodes analogiuri evropuli ofcionebis
fasebisagan.
Tu sabaziso aqtivebis spot-bazari da ofcionebis bazari am
aqtivebze akmayofileben 2,17-Si moyvenil pirobebs, maSin adgili
aqvs Semdeg debulebebs:
1. amerikuli ofcionis Rirebuleba ar SeiZleba naklebi iyos
analogiuri evropuli ofcionis Rirebulebaze, e.i. C  c, P  p .
marTlac, amerikuli ofcionis mflobels yovelTvis meti
SesaZlebloba aqvs miiRos mogeba vidre analogiuri evropuli
174
ofcionis mflobels. amitom amerikuli ofcionis mflobeli
ofcionze unda ixdides aranaklebs, vidre analogiuri evropuli
ofcionis mflobeli.
2. amerikuli `qol~ ofcioni aqtivebze, romelsac ar moaqvs
Semosavali, arasodes araa sasurveli Sesruldes vadamde, e.i. misi
amowurvis vadamde. es kerZod niSnavs, rom aqtivebze im amerikuli
`qol~ ofcionis fasi, romelsac ar moaqvs Semosavali, unda
emTxvevodes analogiuri evropuli ofcionis Rirebulebas.
xSirad azri aqvs amerikuli `fuT~ ofcionis vadamde
Sesrulebas iseT aqtivebze, romelsac arc ki moaqvs Semosavali.
3. Tu C da P - erTidaimave aqtivze amerikuli `qol~ da `fuT~
ofcionebis Rirebulebebia Sesabamisad Sesrulebis X fasiT, maSin
urisko saprocento ganakveTisas, romelic investiciebis vadaze
araa damokidebuli:
S  D  X  C  P  S  X  e  r T t  ,
~
(2.39)
sadac S - sabaziso aqtivebis fasia drois mimdinare t
momentSi;
T - ofcionebis amowurvis TariRia;
D - t -dan T -mde drois ganmavlobaSi sabaziso aqtivebisagan
Semosuli Semosavlebis dayvanili mniSvnelobaa;
~
r - urisko saprocento ganakveTia uwyveti daricxvisas.
magaliTi 2.22. aqciaze 8-Tviani amerikuli `fuT~ ofcionis
Rirebuleba, romlis mixedviTac 2 da 6 Tvis Semdeg mosalodnelia
1 dolr. odenobis dividendebi, tolia 2 dolaris. ofcionis
Sesrulebis fasi 50 dolaria. ganvsazRvroT analogiuri amerikuli
`qol~ ofcionis RirebulebisaTvis sazRvrebi, Tu ofcionis
mimdinare fasia 52 dolari, xolo yvela vadisTvis urisko
saprocento ganakveTi 8%-is tolia.
mocemul SemTxvevaSi
8
T t  ; X =50 dolr.; S =52 dolr.; ~r =0,08; P =2 dolr.;
12
2 6
 0 , 08  0 , 08
D  1 e 12
 1 e 12
 1,95 dolari.
aqedan gamomdinare
2,05 dol.  C  6,60 dol.

175
 Tu amerikuli `qol~ ofcionis sabazro fasi aRmoCndeba 6,60
dolarze meti an 2,05 dolarze naklebi, maSin unda arsebobdes
momgebiani saarbitraJo SesaZlebloba.

2.20 ZiriTadi strategiebi evropuli ofcionebis gamoyenebiT

2.20.1 umartivesi strategiebi
umartives strategiebad miRebulia CaiTvalos is strategiebi,
romlebSic garda romelime aqtivis yidva gayidvisa, xdeba am
aqtivebze evropuli ofcionis mixedviT amaTuim poziciis dakaveba.
Tu investori yidulobs romelime aqtivebs da amavdroulad
yidulobs am aqtivebze evropul `fuT~ ofcions, maSin ofcionis
amowurvis T momentSi investoris mogeba Seadgens:
S T  D  e r (T t )  maxX  S T ,0  S  e r (T t )  p  e r (T t ) 
~ ~ ~

~
 X  ( D  S  p)  e r ( t t ) , S T  X ,
 ~
S T  ( D  S  p)  e r (T t ) , S T  X .
investoris mogebis aqtivebis spot-fasze damokidebuleba
ofcionis amowurvis momentSi naCvenebia nax. 2.12-ze.
amgvarad, am strategiis dros investoris danakargebi
SezRudulia, xolo mogeba SeiZleba nebismierad didi iyos.
sabaziso aqtivebis yidvisas da evropuli `qol~ ofcionis
mixedviT mokle poziciis dros ofcionis amowurvis momentSi
investoris mogeba Semdegnairad fasdeba (nax. 2.13):
S T  D  e r (T t )  maxS T  X ,0  S  e r (T t )  c  r r (T t ) 
~ ~ ~

~
S T  ( D  S  c)  e r (T t ) , S T  X ,
 ~
 X  ( D  S  c)  e r (T t ) , S T  X .
am SemTxvevaSi zarali umniSvneloa, xolo SesaZlo mogeba
zemodanaa SemosazRvruli.
Tu investori axdens sabaziso aqtivebis mokle gayidvas,
amavdroulad ikavebs ra am aqtivebze da evropuli `qol~ ofcionis
mixedviT grZel pozicias, maSin misi mogeba ofcionis amowurvis
momentSi Seadgens (nax. 2.14):

176
177
 S  e r (T t )  maxS T  X ,0  S T  D  e r (T t )  c  e r (T t ) 
~ ~

~
 S T  ( S  D  c)  e r (T t ) , S T  X ,
 ~
 X  ( S  D  c)  e r (T t ) , S T  X .
anal
logiurad d SeiZleba gani isazRvro
os investoris mogeba,
m T igi
Tu
axdens sabaziso o aqtiveebis mokkle gayi
idvas daa ikavebs
s am aqt
tivebze
da evro opuli `fuT~
` o
ofcionis
s mixedvviT mokl
le pozicias. mogebis
m
aqtivebiis spot-fasze damokideb
d buleba ofcioniis amowuurvis mo
omentSi
naCvenebiia nax. 2.15-ze.
2

2.20.2 of
fcionebiis spred
debi
straategiebs,, romleebSic gaamoyenebu ulia mxolod erTie daa igive
saxis evvropuli i ofcioonebi (daa erTi da imavee aqtiveb bze), uwodeben
ofcioneebis spr option spre
redebs (o read).
`xareebis~ spr ull spread
redi (bu d) Sedgeb ol~ (an `fuT~)
ba evroppuli `qo
ofcioni is mixed
dviT grZZeli po oziciisagan Sesrrulebiss X 1 fassiT da
evropulli `qol l~ (`fuT T~) ofc cionis mixedviT
m T mokle pozici iisagan
Sesrulebis X 2 fasiT, sadac X 2 > X 1 , am of fcionebis erTid daimave
amowurvvis vadiss dros.
Tu `xarebis s~ spreedi Sed dgeba `qqol~ ofcioneb
o bisagan, maSin
investoris mogeba of fcionis amowurvis mo omentisT
Tvis SeiZleba
Semdegnaairad mooiZebnos
s:

178
 c 2  c1   e r T t   maxS T  X 1 ,0  maxS T  X 2 ,0 
~

0  ST  X 1
c 2  c1   e r T t  ,
~

 Tu X 1  S T  X 2
 S T  X 1  c 2  c1   e r T t  ,
~

 ST  X 2
 X 2  X 1  c 2  c1   e
r T t 
~
,
ramdenadac c 2  c1 , xolo X 2  X 1  c 2  c1   e r T t   0 (ix. 2.17), amdenad
~

investoris mogebis damokidebulebas aqtivebis spot-fasze drois am

momentSi aqvs nax. 2.16-ze gamosaxuli saxe.
`xarebis~ spredi gamoiyeneba awevaze TamaSis dros, roca
investori Tvlis, rom sabaziso aqtivebis fasi ofcionis amowurvis
momentisaTvis mniSvnelovnad aiwevs.
`daTvebis~ spredi (bear spread) Sedgeba evropuli `qol~ (an
`fuT~) ofcionis mixedviT mokle poziciisagan Sesrulebis X 1
fasiT da evropuli `qol~ (`fuT~) ofcionis mixedviT grZeli
poziciisagan Sesrulebis X 2 fasiT, sadac X 2 > X 1 , am ofcionebis
erTidaimave amowurvis vadis dros.
mogebis damokidebuleba aqtivebis spot-fasze `daTvebis~
spredis dros naCvenebia nax. 2.17-ze.
`daTvebis~ spredi gamoiyeneba dawevaze TamaSis dros.
spredi `pepela~ (butterflyr spread) Sedgeba evropuli `qol~ (an
`fuT~) ofcionis mixedviT mokle poziciebisagan Sesrulebis X 1 da
X 2 fasebiT, sadac X 1 < X 2 , da evropuli `qol~ (an `fuT~) ofcionis
X1  X 2
mixedviT ori mokle poziciisagan Sesrulebis X2  fasiT
2
(yvela ofcions erTidaigive amowurvis vada aqvs).
mogebis damokidebuleba aqtivebis spot-fasze `pepela~ spredis
dros naCvenebia nax. 2.18-ze.
`pepela~ spredis gamoiyeneba maSin , rodesac investori Tvlis,
rom ofcionebis amowurvis momentSi aqtivebis spot-fasi X 2 -Tan
axlos iqneba.
strategiebs, romlebSic gamoiyeneba erTida igive saxis
evropuli ofcionebi erTidaigive Sesrulebis fasis dros, magram
sxvadasxva amowurvis vadiT, uwodeben kalendarul spredebs
(calendar spread).
magaliTad, ganvixiloT kalendaruli spredi, romelic Sedgeba
evropuli `qol~ ofcionis mixedviT mokle poziciisagan amowurvis

179
T1 Tar riRiT da d evroopuli `qol~ ofcionis mixeedviT grZeli g
pozicii isagan ammowurvis s T2 Tar riRiT, saadac T2 > T1 .
inves storis mogeba m m
mocemul li strat tegiisagan droi is T1 mo
omentSi
SeiZleb ba moiZeb bnos Semd degnairaad:
m S T  X ,0 c 2T S T  ,
c1  c2   e r T t   max
~
1
1 1

c c S T  - evropu
sadac T1
2 1
l~ ofcionis Rirebuleebaa amowurvis
uli `qol
T2 Tari
iRiT drois T1 momentSi
m i im piro
obiT, ro
om aqtiveebis spo
ot-fasi
drois am tSi S T -i
a moment is toli
ia (nax. 2.19).
1
2

180
 22.20.3 ofc
cionebiss kombinaacia
straategiebs,, romllebSic gamoiyeneba erTidaiimave a
aqtivze
erTidai owurvis TariRi
igive amo is mqonee sxvadaasxva saaxis evr ropuli
ofcioneebi, uwodeben of fcionebi is kombiinacias.
straategia `stradl
` li~ (stra addle) Sedgeba evropul li `qol l~ da
`fuT~ ofcioneebis mix xedviT grZeli pozici iebisagan
n erTid daigive
Sesrulebis X fasiT.
ofci ionebis amowur rvis mo omentSi invest toris mogebis
m amave
momentSi aqtiveebis spo ot-fasebz ze damookidebul leba gammosaxulia nax.
2.20-ze.
straategia `stradl
` li~ gamo oiyeneba maSin, rodes sac inveestori
elodebaa, rom aqtivvis spo
ot-fasi mniSvnnelovnadd gadaaixreba
181
ofcioneebis Ses srulebi is fasid dan, magram ici
is es gaadaxra romel
mxares moxdeba.
m
straategia `stripi~~ (strip)) Sedgeeba erT Ti evroopuli `qol~
ofcioni is mixed
dviT grZZeli poz ziciisag rTidaigive Seru
gan da er ulebis
X fasi is mqonee ori evropul li `fuT T~ ofci n, maSin roca
ionisagan
strateggia `strrapi~ (strrap) Sedgeba or ol~ ofcionis
ri evroppuli `qo
T grZeeli poziciebis
mixedviT sagan dad erT
Ti evro opuli `fuT~
ofcioni isagan (n
nax. 2.21 da 2.22).

stripi~ (`strapi
straategia `s i~) gamoi iyeneba, maSin ro
oca inveestori
Tvlis, rom aqtivebi is spot t-fasebi mniSvn nelovnad
d gadaaixreba
ofcioni is Sesr
rulebis fasidaan, amasT Tan ufr ro mosaalodnellia am
fasis daweva
d (Sesabamisad awevaa).
rogooric ar unda iyos aqtivebis momavali i spot-f
fasebis Sesaxeb
S
investoris proognozi, rodesac
r ukavia ra esa TuT is pooziciebi
i spot-

182
bazarzee da evvropuli i ofcioonebis bazarze,
b , mas SeuZlia
S aagos
strateggiebi Tavvisi pro
ognozis Sesabami
isad.

2.221. `evro opuli ti ipis~ war rmoebul li finansuri ins strument tebis
Sefasebis umartive
u si model
li
romeliRac sabazi iso aqqtivebisaagan w
warmoebu ul finansur
instrumments ewo odeba `eevropul li tipis~~ (Europe ean-style)), Tu ar rsebobs
iseTi F ( z ) fun nqcia, rom r dro ois gansazRvrul l momval T mo ometSi
finansuri instrumentis s Rirebu uleba toli
t os F ( ST ) –is, sad
iyo dac S T -
drois T mometSi sabaz ziso aqt tivebis Rirebul
R lebaa.
am SemTxvevaaSi F ( z ) funqci ias uwo odeben warmoebu
w uli finansuri
instrummentis gadaxdisg s funqci ias. magaaliTad, evropu uli `qol~ da
`fuT~ ofcioneb
o bisaTvis s gadaxd dis funqcias Ses sabamisad d aqvs Semdegi
S
saxe:
Fc (z )  maxz  X ,0 F p ( z )  maxX  z ,0 ,
c, X - ofcionis
sadac s Sesrullebis faasia.
davuSvaT, rom s
sabazisoo aqtivvebs gaaCniaT q m
mudmivi
dividend
duri Semosavvlianoba, xo
olo maTi Rirebulebebi
ganisazR
Rvreba Semdegi
S e
erT etappiani binnominalu
uri moddeliT:
St  S
, ალ ლბათობი ით
ST =
, 1 − ალბათო ობით
c u  0,0  d 1.
sadac
183
 sxva sityvebiT, drois sawyis momentSi sabaziso aqtivebis
Rirebuleba cnobilia da S -is tolia, xolo T momentSi is
SeiZleba aiwios Su -mde  albaTobiT an daeces Sd -mde 1 - 
albaTobiT.

advili SesamCnevia, rom sabaziso aqtivebis spot-bazarze

momgebiani arbitraJuli SesaZleblobis ar arsebobisas unda
Sesruldes Semdegi utoloba
T t
1 r 
d     u , (2.40)
1 q 
sadac r - T  t weliT vadaze urisko ganakveTia.
ganvixiloT ganxiluli sabaziso aqtivebidan warmoebuli
`evropuli tipis~ finansuri instrumenti, romlis gadaxdis
funqciaa F ( z ) .
drois sawyis t momentSi movaxdinoT sainveticio portfelis
formireba romelic Sedgeba sabaziso aqtivebis SenaZenisagan da am
aqtivebze x warmoebuli finansuri instrumentebis mokle
gayidvebisagan. mocemul portfelze sawyisi xarjebi Seadgens
S  x -is,
sadac,  - erTi warmoebuli instrumentis sawyisi Rirebulebaa.
T momentisaTvis investoris Semosavali Semdegnairad
ganisazRvreba:
(1 + ) − ( ) ალბათობით,
(1 + ) − ( ) 1 − ალბათობით
Tu x ricxvs ise SevarCevT, rom
Su 1  q   xF ( Su )  Sd 1  q   xF ( Sd ) ,
T t T t
(2.41)
maSin, rac ar unda moxdes bazarze, investoris Semosavali
yovelTvis erTidaigive iqneba, e.i. strategia urisko aRmoCndeba.
radganac pirobis Tanaxmad momgebiani saarbitraJo SesaZleblobebi
ar arsebobs, amdenad sainvesticio portfelis Semosavlianoba unda
emTxveodes urisko saprocento ganakveTs, e.i.
184
 S  x   1  r T t  Su 1  q 
T t
 xF ( Su ) (2.42)
(2.41) tolobiT gansazRvruli x -sTvis.
gamovsaxoT x (2.41) tolobidan da CavsvaT (2.42)
damokidebulebaSi, miviRebT:

1
 * F (Su )  1   * F (Sd ), (2.43)
1  r T t

T t
 1 r 
  d
 1 d 
sadac  
*
.
ud
(2.40) tolobidan gamomdinareobs, rom 0   *  1. garda amisa,
sruldeba toloba
Su 1  q 
T t
  *  Sd 1  q 
. T t
1     S 1  r 
* T t

es niSnavs, rom sabazis riski am aqtivebSi investiciebis

Semosavlianoba emTxveva uriko saprocento ganakveTs, Tu sawyis
erTetapian binominalur modelSi aqtivebis fasebis awevis
albaToba  -is tolia. aqedan gamomdinare  -s interpretacia
* *

SeiZleba, rogorc sabaziso aqtivebis fasebis awevis albaToba

riskis mimarT neitralur samyaroSi5 (risk-neutral world). am
SemTxvevaSi (2.43) toloba SeiZleba Semdegnairad gadavweroT:
F (ST )
 , (2.44)
1  r T t
sadac F (ST ) - `evropuli tipis~ warmoebuli finansuri
instrumentis mosalodneli saboloo Rirebulebaa riskis mimarT
neitralur samyaroSi.
magaliTi 2.23. funt sterlingis mimdinare gacvliTi kursia erTi
fut sterligi – 1,6 aSS dolari. investori Tvlis, rom oTxi Tvis
Semdeg gacvliTi kursi SeiZleba aiwios 1,64 dolaramde, an daeces
1,56 dolaramde. SevafasoT 4-Tviani evropuli `qol~ da `fuT~
ofcionebi 1000 funt sterlingze Sesrulebis 1,6 fasis dros,
vTvliT ra, rom urisko saprocento ganakveTebi aSS-Si da inglisSi
Sesabamisad tolia 6 da 5 %-is.

5 rodesac investorebi ar iTxoven riskian aqtivebSi investirebisaTvis riskisaTvis

premias.

185
 ucxouri valuta SeiZleba ganvixiloT, rogorc aqtivi mudmivi
dividenduri SemosavlianobiT, romelic im qveynis urisko
saprocento ganakveTis tolia, sadac es valuta moqmedebs.
aqedan gamomdinare, Cvens magaliTSi:
4 1,64
r =0,06; q = 0,05; X = 1,6 dolr.; T  t  ; u  1,025 ;
12 1,6
1,56
d  0,975 .
1,6
riskis mimarT neitralur samyaroSi gacvliTi kursis awevis
albaToba Semdegnairad moiZebneba:
4
 1,06  12
   0,975
 1,05 
 
*
 0,5633 .
1,025  0,975
evropuli `qol~ ofcionis gadaxdis funqcias aqvs Semdegi saxe:
Fc ( z )  maxz  X ,0 .
aqedan,
Fc ( Su )  Fc (1,64)  max1,64  1,6;0  0,04 ;
Fc ( Sd )  Fc (1,56)  max1,56  1,6;0  0 .
maSin
1
c 4
0,5633  0,04  1  0,5633  0  1000  22,10 dolr.
1,06 12

evropuli `fuT~ ofcionis gadaxdis funqcias aqvs Semdegi saxe:

F p ( Su )  F p (1,64)  max1,60  1,64;0  0 ;
F p ( Sd )  F p (1,56)  max1,60  1,56;0  0,04
da
1
p 4
0,5633  0  1  0,5633  0,04  1000  17,13 dolr.
1,06 12

2.22 binomialuri modeli warmoebuli finansuri

instrumentebis SefasebisaTvis
CavTvliT, rom sabaziso aqtivebi gaaCniaT q -s toli mudmivi
dividenduri Semosavlianobebi, xolo maTi Rirebulebebi drois
t 0 , T  Sualedze ganisazRvreba Semdegi pirobebiT mocemuli brounis
geometriuli moZraobiT:
dS   aS  d    S  dw  , (2.45)
St  S , (2.46)

186
 sadacc a - wan nacvlebi
is koefiicientia;
 - vo
olatilnoba;
w  w( w, ) - vineris Se
emTxveviT
Ti proccesi (ix. 1.27.3).
droi is t, T  Sualedi
S T n tol nawilad
i davyoT d wertil lebiT
T t
t , t  hn , ... , t  khn , ... , t  nhn  T hn  ,
n
da avagoT n etapiani
i binomi
ialuri modeli Semdegi
i paramet
trebiT
(ix. 1.27.22):
 hn e ahn  d n
un  e , d n  e  hn
, n  .
un  d n
binomminalur
ri modeeli gaamosaxul lia naax. 2.23--ze. SeiZleba
damtkic cdes, rom
r bin
nominalu ur mod delSi etapebis s raod denobis
gazrdis sas am modeliT
m T gansaz zRvruli rocesi drois
i SemTxvveviTi pr
t 0 , T  Su
ualedzee miiswr rafodes brounis geomet triul moZraobbisaken,
romelic c moicemma (2.45) da (2.46) pirobeb
biT.

ganvi
ixiloT axla `evropuuli tippis~ fi inansuri instru umenti,
romelic c warmo oebulia ganxilu uli sabaziso aqqtivebisagan, ro omelTa
Rirebulleba drois
d T momentSi i ganiisazRvreeba F ( z) gad
daxdis
funqciiiT.  k (i) -iT,
- k= 0, 1, 2, ... , n, 1 2, ... , k , avRn
i = 0, 1, niSnoT
187
warmoebuli finansuri instrumentis Rirebuleba drois t  khn
momentSi im pirobiT, rom drois am momentamde sabaziso aqtivebis
fasi i -jer iwevda. maSin  0 (0) es aris warmoebuli instrumentis
saZiebeli Rirebuleba drois t momentSi, xolo
 k (i )  f ( Su ni d nn i ) , i = 0, 1, 2, ... , n .
Tu drois t  khn momentamde sabaziso aqtivebis fasi i -jer
iwevda, maSin drois am momentSi man SeiZleba aiwios Su ni 1 d nk 1 Su ni d nk 1 u n -
mde  n albaTobiT an daiwios Su ni d nk 1i  Su ni d nk i d n -mde 1   n albaTobiT,
xolo warmoebuli instrumentis Rirebulebam SeiZleba miiRos
mxolod ori mniSvneloba:  k 1 (i  1) da  k 1 (i) . es niSnavs, rom Cven
vimyofebiT wina paragrafSi ganxiluli umartivesi modelis
pirobebSi.

(2.43) damokidebulebidan gamomdinareobs, rom

 k (i ) 
1
 *
  k 1 i  1  1   n*  k 1 (i ), (2.47)
1  r  hn n

sadac, k = 0, 1, 2, ... , n , i = 0, 1, 2, ... , k ;

hn
 1 r 
   dn
 1 d 
n 
*
- riskis mimarT neitralur samyaroSi sabaziso
un  d n
aqtivis fasis erTi awevis albaTobaa.
ramdenadac yvela i = 0, 1, 2, ... , n -sTvis  n (i) cnobilia, amdenad
(2.47) toloba saSualebas iZleva mimdevrobiT movZebnoT:
 n1 (i ) , i = 0, 1, 2, ... , n -1;  n 2 (i ) , i = 0, 1, 2, ... , n -2; ... ,  0 (0)   ,
e.i. bolo bolo movZebnoT saZiebeli warmoebuli finansuri
instrumentis sawyisi Rirebuleba.
188
 gard
da amisa, (2.47) tolobis saSual
lebiT Zneli araaa imis Cveneba,
C
rom
F (ST )
 , (2.48)
1  r T t
c F ( S T ) - warmoeebuli finansuri
sadac f i instrumentis mosalo odneli
saboloo Rireb bulebaa riskis mimarT
m n
neitral ur samyaaroSi.

liTi 2.224. ganvi

magal ixiloT 3-Tvian ni evroppuli `ffuT~ of fcioni
mudmivi divid
denduri q =8% Semos
savliano
obis mqone a
aqciaze
Sesrulebis 51 dolari i fasis dros, roca
r aqc
ciis fassi 52 dolaria,
urisko saproceento gan nakveTi (yvela vadisaTv
v vis) 12%,, xolo aqciis
fasis vo loba fasdeba 30%
olatil %-ad.
mocemul SemmTxvevaSii
3
X = 51 r.; S = 522 dolr.;; T  t 
5 dolr ; r = 0,122; q = 0,008;  = 0,33.
12
ofciionis Rirebul
lebis seblad
Sesafas avago
oT 3-et
tapiani
binomial
luri mo
odeli (nnax. 2.24) parametrebiT:
1 1
0,3  0,3
 h3  h3
u3  e e 12
2
 1,090 , d 3  e e 12
 0,917 .
Znelia araa gannisazRvr ros evvropuli i `fuT T~ ofcionis
Rirebul leba 3 Tvis T Semmdeg (Ses sabamisi mniSvneelobebis s miTiTeebulia
nax. 2.24--ze):
 3 (3)  max51  67,342;0  0 ;  3 (2)  max51  56
5 ,68;0  0 ;
 3 (1)  max51  47,706;0  3,294 ;  3 (0)  max51
5  40,154;0  10,846 .

189
 imisaTvis, rom vipovoT ofcionis Rirebuleba ori Tvis Semdeg,
gamovTvaloT riskis mimarT neitralur samyaroSi sabaziso aqtivis
fasis erTi awevis albaToba:
1
 1  0,12  12
   0,917
 1  0,08 
3 
*
 0,497
1,090  0,917
da visargebloT (2.47) formuliT. miviRebT, rom
1
 2 (2)  1
0,497  0  1  0,497   0  0 ;
1,12 12

1
 2 (1)  1
0,497  0  1  0,497   3,294  0  1,641 ;
1,12 12

1
 2 (0)  1
0,497  0  1  0,497  10,846  7,026 .
1,12 12

analogiurad vpoulobT, rom

1
 1 (1)  1
0,497  0  1  0,497  1,641  0,818 ;
1,12 12

1
 1 (0)  1
0,497  1,641  1  0,497  7,026  4,309 .
1,1212
da bolos
1
   0 (0)  1
0,497  0,818  1  0,497   4,309  2,55 dolr.
1,12 12

mocemuli ofcinos Rirebuleba SeiZleba vipovoT (2.48)

formuliTac:

1
1

 0  0,497  0  3  0,497  1  0,947  3,294 3  0,4971  0,497  10,846 1  0,497 
3 2 2 3

1,12 4

 2,55$
nax. 2.23 gamosaxuli binominaluri modeli SeiZleba
gamoyenebuli iyos aqtivebze im amerikuli ofcionebis
Rirebulebebis SefasebisaTvisac, romlebsac mudmivi dividenduri
Semosavlianobebi aqvT da romelTa fasi ganisazRvreba (2.45) da
(2.46) pirobebiT.
marTlac, avRniSnoT C k (i ) -iT, k = 0, 1, 2, ... , n , i = 0, 1, 2, ... , k ,
amerikuli `qol~ ofcionis Rirebuleba drois t  khn momentSi im
pirobiT, rom is ar sruldeba drois am momentamde, xolo sabaziso
aqtivis fasi i –jer iwevs. maSin
190
  
C n (i )  max Su ni d nn i  X ;0 , i = 0, 1, 2, ... , n .
axlaa davuSvvaT, rom drois t  khn , k = 0, 1, 2, ... , n  1 , momeentamde
o aqtivvebis faasi i -jeer iwevda, xol
sabaziso lo amer rikuli `qol~
ofcionii am mo de ar sruldeeba. Tu drois am mo
omentamd omentSi
ofcionii iqneba Sesrul lebuli, maSin investor
i ri miiRebbs Su n d nk i  X -is
i

tol moogebas (SSemosavals). Tu ki dro ois t  khn momentSSi ofcio oni ar

Sin misi C k (i ) Ri
Sesruldeba, maS irebuleeba SeiZl
leba Sef
fasdes nax.
n 2.25
uli umartivesi modeli
gamosaxu is safuZvelze.
maSi
in
C k (i ) 
1
 n*C k 1 i  1  1   n*C k 1 (i),
1  r  hn

hn
 1 r 
   dn
 1 d 
c n 
sadac *
.
un  d n
cxad
dia imis sda mixeedviT Tu
T romeelia meeti Su ni d nk i  X Tu
u C k (i )
investori an Seeasrulebs ofciions an ara.
a
aqedaan gamomd
dinare,
 
 n*C k 1 i  1  1   n* C k 1 (i) ,
1
C k (i)  maxSu ni d nk i  X , (2.49)
 1  r  hn

k = 0, 1, 2, ... , n  1 , i = 0, 1, 2,, ... , k .
ramdenadac C n (i ) -s sawyisii mniSvvneloba CvenTvvis cno obilia,
amdenad,, (2.49) formuli
f i mimdevr
robiT, gamoyeneb
g biT SeiZZleba mi iviRoT
amerikul
li `qol l~ ofcioonis Rirrebulebis Sefasseba C  C 0 (0) .
zusttad asevve SeiZl leba vi ipovoT amerikuuli `fu uT~ ofcionis
Rirebullebis Seefaseba.

191
 magaliTi 2.25. CavTvaloT ra amerikulad, 2.24 magaliTis
pirobaSi vipovoT ofcionis Rirebuleba.
binominaluri modeli da yvela gamoTvla moyvanilia nax. 2.26-ze.
magaliTad,
 2 (0)  max{51  43,767;7,026}  7.233
e.i. Tu ori Tvis manZilze sabaziso aqtivebis fasi ojer ewvs,
maSin amerikuli `fuT~ ofcioni xelsayrelia Sesruldes vadamde.
amrigad, amerikuli `fuT~ ofcionis Rirebuleba aRmoCnda 2,60,
rac analogiur evropul ofcionis Rirebulebaze metia (ix.
magaliTi 2.24.).
binominaluri modelis safuZvelze SeiZleba Sefasdes
fiuCersuli ofcionebis Rirebulebebi, e.i. fiuCersul kotraqtebze
ofcionebi.
fiuCersuli `qol~ (`fuT~) ofcionis pirobebis Tanaxmad
ofcionis Sesrulebis momentSi misi mflobeli iRebs sabaziso
aqtivebis mixedviT fiuCersuli kontraqtiT grZel (mokle)
pozicias da  T  X ( X   T ) zomis fulad Tanxas, sadac  T
fiuCersuli kontraqtis safuZvlad mdebare aqtivebis fiuCesruli
fasia, xolo X - ofcionis Sesrulebis fasi.
radganac amaTuim pozicis Rirebuleba fiuCersuli kontraqtis
dadebis momentSi nulis tolia, amdenad fiuCersuli `qol~ (`fuT~)
ofcionis mflobelis mogeba misi Sesrulebis momentSi Seadgens
max T  X ;0 maxX   T ;0 .
bevr SemTxvevaSi SeiZleba CaiTvalos, rom fiuCersuli ofcioni
warmoadgens im aqtivebze Cveulebriv ofcions, romlebic
akmayofileben Semdeg pirobebs:
1) aqtivebis dividenduri Semosavlianoba tolia urisko
saprocento ganakveTis;
2) aqtivebis fasis volatiloba emTxveva im aqtivebis fasebis
volatilobas, romlebic devs sabaziso fiuCersuli kontraqtis
safuZvlad;
3) drois ganxilul t momentSi aqtivebis sawyisi fasi tolia
fiuCersuli fasis.

192
 es ni
iSnavs, rom
r fiuCCersuli ofcion nebis Sef
fasebisaaTvis SeiZleba
gamoyeneebuli iyos
i nax
x. 2.23-zee gamosaxuli binomial luri mo odeli,
roca S   (  - fiuCersuli kontraqtis safuZvlad md debare aqtivis
a
 h
fiuCerssuli fasia),
f un  e , d n  e  h ,
n
sadac -n
fiuCersuli
fuZvlad mdebaree aqtivi
kontraqqtis saf is fasis volatilobaa, xolo
riskis mimarT neitral lur samyyaroSi sabaziso o aqtivi
is fasis
s erTi
awevis albaTob
a a ganisazRvreba Semdegi i tolobbiT
1 dn
 n*  .
un  d n
2.223 bleq-S Soulzis s formu
ulebi
ganvi ixiloT mudmivi i Semos savlebis s mqone aqtiveb bze evrropuli
ofcioneebi, ro omelTa fasi ganisazRv g vreba brounis
b geomet
triuli
moZraob biT:
dS   aS  d    S  dw  ,
St  S .
CavTvvliT, rom f
finansur ri bazr
rebi akkmayofil
leben Semdeg
pirobebs:
 baz zrebi sr rulyofi ilebi ar rian;
 ars sebobs yvela y vaadisaTvi is erTnairi da drois ganmavl lobaSi
ucvlel li uriskko sapro ocento ganakveTi
g i;
 ar asrebob bs momgeb biani saaarbitraJo SesaZZleblob bebi.
dro ois t , T  Sualed di ( T - ofcionis
o s amowurrvis TariRia) davyoT
d
n tol nawilad
n wertil lebiT
T t
t , t  hn , t  2hn , ... , t  nhn  T hn  ,
n
193
 da avagoT binomialuri modeli Semdegi paramertebiT:
 hn e ahn  d n
un  e , d n  e  hn
, n  .
un  d n
maSin evropuli `qol~ da `fuT~ ofcionebis Rirebuleba
SeiZleba SevafasoT (2.44) damokidebulebis saSualebiT, romlebic
mocemul SemTxvevaSi Semdeg saxes miiReben:
  maxSu ni d nn i  X ,0 C ni  n*  1   n*  ,
n
1 i n i
cn  (2.50)
1    T t
i 0

  maxX  Su ni d nn i ,0 C ni  n*  1   n*  ,
n
1 i n i
dn  (2.51)
1    T t
i 0
hn
 1 r 
   dn
 1 d 
sadac  n 
*
.
un  d n
n   -sTvis binomialuri modeliT gansazRvruli SemTxveviTi
procesi miiswrafis brounis geometriuli moZraobisaken. (2.50) da
(2.51) formulebis zRvarze gadasvlisas roca n   , miviRebT bleq-
Soulzis frmulebs:
c  Se  q T t  N (d1 )  Xe  r T t  N (d 2 ) ,
~ ~
(2.52)
p  Xe  r T t  N (d 2 )  Se  q T t  N (d1 ) ,
~ ~
(2.53)
sadac S - drois mimdinare t momentSi sabaziso aqtivebis fasia;
X - ofcionis Sesrulebis fasi;
T - ofcionis amowurvis TariRi;
~
r - urisko saprocento ganakveTi uwyveti daricxvisas;
q~ - sabaziso aqtivebis dividenduri Semosavlianoba uwyveti
daricxvisas;
S  2 
ln  T  t  ~
r  q~  
X  2  , d  d  T  t
d1  2 1
 T t
(  A- sabaziso aqtivebis volatilobaa);
z x2
1
N ( z) 
2
e

2
dx  1  ( z ) ( z >0-isTvis, ix. cxrili 1.1).

bleq-Soulzis formulebis mniSvnelovani kerZo SemTxvevebi

1. udividendo aqciaze evropuli `qol~ da `fuT~ ofcionebi
c  S  N (d1 )  Xe  r T t  N (d 2 ) ;
~

p  Xe  r T t  N (d 2 )  S  N (d1 ) ,
~

194
 S  2 
ln  T  t  ~
r 
X  2 ,
sadac d1 
 T t
d 2  d1   T  t .
magaliTi 2.26. vipovoT 6-Tviani evropuli `qol~ da `fuT~
ofcionebis Rirebulebebi udividendo aqciaze Sesrulebis 40
dolaris fasiT, roca aqciis mimdinare fasi 42 dolaria, fasis
volatiloba Seadgens 20%-s, xolo urisko saprocento ganakveTi
uwyveti daricxvisas tolia 10%-is.
mocemul SemTxvevaSi
S = 42 dolr.; X = 40 dolr.; ~
r = 0,1;  = 0,2. T  t  0,5.
maSin

ln
42 
 0,5 0,1 
0,22 

40 2 
d1     0,7693 ;
0,2 0,5
d 2  0,7693  0,2 0,5  0,6279 .
normaluri ganawilebisaTvis cxrilis daxmarebiT vpoulobT,
rom
N (d1 )  1  (0,7639)  1  0,2206  0,7794,
N (d 2 )  1  (0,6279)  1  0,2643  0,7357,
N (d1 )  (0,7693)  0,2206,
N (d 2 )  (0,6279)  0,2643.
aqedan gamomdinare,
c  S  0,7794  40e 0,10,5  0,7357  4,74$;
p  40e 0.10,5  0,2643  42  0,2206  42  0,2206  0,79$.
2. evropuli `qol~ da `fuT~ ofcionebi ucxour valutaSi
~ ~
c  S  e  rt (T t ) N (d1 )  X  e  r (T t ) N (d 2 );
~ ~
p  Xe  r (T t ) N (d 2 )  Se  rt (T t ) N (d1 ).
sadac,
S 2
ln  (T  t )(~
r ~
rf  )
d1  X 2 ,
 T t
d 2  d1   T  t ;
~
r f -urisko saprocento ganakveTi (uwyveti daricxvisas) qveyanaSi,
romelSic moqmedebs ganxiluli valuta.

195
 magaliTi 2.27. vipovoT 100 kanadur dolarze 9-Tviani evropuli
`qol~ da `fuT~ ofcionebis Rirebuleba 0,75 dolari Sesrulebis
fasis dros, rodesac mimdinare kursia 0,75 dolari - erT kanadur
dolarSi, urisko saprocento ganakveTebis aSS-Si da kanadaSi
Sesabamisad 7 da 9%-is tolia (uwyveti daricxvisas), xolo
gacvliTi kursis volatiloba Seadgens 4%-s.
mocemul SemTxvevaSi
9
r = 0,07; ~
X = 0,75 dolr.; S = 0,75 dolr.; ~ r f = 0,09;  = 0,04; T  t  .
12
maSin

ln
0,75 9 
  0.07  0.09 
0,042 

0,75 12  2 
d1    0,42 ;
9
0,04 
12
9
d 2  0,42  0,04  0,45 ;
12
N (d1 )  (0,42)  0,3372 ;
N (d 2 )  (0,45)  0,3264 ;
N (d1 )  1  (0,42)  0,6628 ;
N (d 2 )  1  (0,45)  0,6736 .
maSasadame,
  0 , 09
9
 0 , 07
9

c  1000 0,75e 12
 0,3372  0,75  e 12
 0,3264  4,11 dolr.;
 
  0 , 09
9
 0 , 07
9

d  1000 0,75e 12
 0,6736  0,75  e 12
 0,6628  14,71 dolr.
 
3. evropuli `qol~ da `fuT~ ofcionebi
~ ~
c    e  r (T t ) N (d1 )  X  e  r (T t ) N (d 2 );
~ ~
p  Xe  r (T t ) N (d 2 )  e  r (T t ) N (d1 ) ,
 2
ln  T  t  
sadac d1  X 2 ;
 T t
d 2  d1   T  t ;
 - sabaziso aqtivebis mimdinare fiuCersuli fasia.
magaliTi 2.28. vipovoT aqciaze 8-Tviani fiuCersuli `qol~
ofcionis Rirebuleba 70 dolari Sesrulebis fasis dros, roca
aqciis mimdinare fiuCersuli fasi 66 dolaria, urisko saprocento
196
ganakveTi uwyveti daricxvisas 7%-ia, xolo sabaziso aqciis fasis
volatiloba Sefasebulia 49,20%-ad.
mocemul SemTxvevaSi
8
 = 66 dolr.; X = 70 dolr.; ~r = 0,07;  = 0,492; T  t  .
12
maSin
66 8 0,492 
2
ln  
70 12 2 8
d1   0,05 ; d 2  0,05  0.492   0,35 ;
8 12
0,492
12
N (d1 )  1  (0,05)  1  0,4801  0,5199 ; N (d 2 )   (0,35)  0.3632 .
aqedan,
8 8
 0 , 07  0 , 07
c  66  e 12
 0,5199  70e 12
 0,3632  8,48 dolr.
4. cnobili Semosavlebis mqone aqtivebze evropuli `qol~ da
`fuT~ ofcionebi.
cnobili Semosavlebis mqone aqtivebze evropuli ofcionebi
SeiZleba miaxloebiT SevafasoT Semdegi formulebis saSualebiT:
c  S * N (d1 )  Xs  r T t  N (d 2 ) ;
~

p  Xe  r T t  N (d 2 )  S * N (d1 ) ,
~

S* 2
ln  (T  t )(~
r )
sadac d1  X 2 ,
 T t
d 2  d1   T  t ;
S*  S  D ,
D- t -dan T -mde
drois ganmavlobaSi sabaziso aqtivebidan
Semosuli Semosavlebis dayvanili mniSvneloba.
magaliTi 2.29. vipovoT aqciaze 8-Tviani evropuli fiuCersuli
`qol~ ofcionis Rirebuleba, romlis mixedviTac 3 da 6 Tvis
Semdeg mosalodnelia dividendi 2 dolaris (TiToeul SemTxvevaSi)
odenobiT, Tu ofcionis Sesrulebis fasia 100 dolari, xolo
urisko saprocento ganakveTi uwyveti daricxvisas yvela qveyanaSi
8%-is tolia.
mocemul SemTxvevaSi
8
S = 100 dolr.; X = 100 dolr.; ~
r = 0,08;  = 0,3; T  t  ;
12
3 6
 0 , 08  0 , 08
D  2e 12
 2e 12
 3,88 dolr.; S *  100  3,88  96,12 ;

197
 ln
96,12 8 
  0,08 
0,32 

100 12  2 
d1   0,18 ; d  0,18  0,3 8  0,06 ;
8 12
0,3 
12
N (d1 )  1  (0,18)  1  0,4186  0,5714 ; N (d 2 )  (0,06)  0,4761 .
maSasadame,
8
 0 , 08
c  96,12  0,5714  100  e 12
 0,4761  9,79 dolr.
evropuli ofcionebis Rirebuleba bleq-Soulzis modelSi
1. bleq-Soulzis (2.52) da (2.53) formulebiT moZebnili evropuli
ofcionebis Rirebulebebi akmayofileben Semdeg paritetul fass:
c  p  Se  q T t   Xe  r T t  .
~ ~

magaliTi 2.30. 2.26 magaliTSi napovni iyo, rom c = 4,74 dolars,

p = 0,79 dolars, e.i. c - p =3,95 dolaris. meores mxriv,
6 6
0  0 ,1
 q~ T t  r T t 
~
S e  Xe  42  e 12
 40  e 12
 3,95 dolr.
2. bleq-Soulzis modelSi evropuli ofcionebis Rirebulebebi
ganisazRvreba Semdegi maCveneblebiT: S sabaziso aqtivebis mimdinare
fasiT, X ofcionis Sesrulebis fasiT, q~ sabaziso aqtivebis
dividenduri SemosvlianobiT,  sabaziso aqtivebis fasis
volatilobiT, ~r urisko saprocento ganakveTiT da T  t im droiT,
romelic rCeba ofcionis amowurvis TariRamde. e.i.
c  c ( S , X , q~,  , ~
r ,T  t) ;
p  p ( S , X , q~,  , ~
r ,T  t) .
cxril 2.2 –Si naCvenebia romelime maCveneblis gazrda (roca
danarCenebi ucvleli rCeba) rogor moqmedebs evropuli ofcionis
Rirebulebazecxrili 2.2
riskis faqtorebis moqmedeba evropuli fcionebis Rirebulebaze
maCvenebeli S X q~  ~
r T t
evropuli qol~
ofcionis + - - + + +*
Rrebuleba
evropuli `fuT~
ofcionis - + + + - +*
Rrebuleba
 piroba SeiZleba dairRves `mogebiT~ ofcionos dros

3. volatilobis 0-dan +∞-mde (sxva maCvenebebis Seucvlelad)

evropuli `qol~ ofcionis Rirebuleba izrdeba S  e  q T t   Xe  r T t  -dan
~ ~

198
S  e  q T t  -mde,
~
xolo evropuli `fuT~ ofcionis Rirebuleba -
r T  t   q~ T  t 
~
-dan Xe  r T t  -mde.
~
Xe  S e
bolo debulebidan gamomdinareobs, rom rogoric ar unda iyos
mudmivi dividenduri Semosavlianobis mqone aqtivze evropuli
ofcionis sabazro fasi, yovelTvis arsebobs amasTan mxolod erTi
 mniSvneloba, romlis drosac bleq-Soulzis formuliT
moZebnili ofcionis Rirebuleba emTxveva sabazro fass.  -as am
mniSvnelobas uwodeben sabaziso aqtivebis savaraudo volatilobas
(implird volatility).
Tu cnobilia evropuli `qol~ (`fuT~) ofcionis sabazro fasi,
maSin aqtivebis savaraudo volatilobis mosaZebnad aucilebelia
amoixsnas Semdegi gantoleba:
c mar  S  e  q T t  N (d1 )  X  e  r T t  N (d 2 )
~ ~
(2.54)
( p mar  Xe  r T t  N (d 2 )  Se  q T t  N (d1 ) ),
~ ~
(2.55)
S  2 
ln  T  t  ~
r  q~  
X  2 ;
sadac d1 
 T t
d 2  d1   T  t .
magaliTi 2.31. udividendo aqciaze Sesrulebis fasiT 20 dolr. 3-
Tviani evropuli `qol~ ofcionis, sabazro fasi tolia 1,88 dolr.
vipovoT sabaziso aqciis savaraudo volatiloba, Tu aqciis
mimdinare fasi 21 dolaria, xolo urisko saprocento ganakveTi
uwyveti daricxvisas 10%-is tolia.
mocemul SemTxvevaSi
c mar = 1,88 dolr.; S = 21 dolr.; X = 20 dolr.; ~ r = 0,1; q~ = 0; T  t 
0,25.
aqedan, (2.54) gantoleba miiRebs Semdeg saxes
1,88  21N (d1 )  20e 0,10, 25 N (d 2 ) , (2.56)
21  2 
ln  0,25 0,1  
20  2 ;
sadac d1 
 0,25
d 2  d1   0,25 .
(2.56) gantolebis amoxsna SesaZlebelia, magaliTad, SerCevis da
Secdomebis meTodiT.
mivaniWoT  1 =0,20. maSin

199
 21  0,2 2 
ln  0,25 0,1  
20  2 
d11  0,79 ;
0,2 0,25
d 21  d11  0,2 0,25  0,69 ;
N (d11 )  1  (0,79)  1  0,2148  0,7852 ;
N (d 21 )  1   (0,69)  1  0,2451  0,7549 ;
c( 1 )  21  0,7852  20  e 0,10, 25  0,7549  1,76  c mar
aqedan gamomdinare saWiroa  mniSvnelobis gazrda.
mivaniWoT  2  =0,23. maSin
21 

ln  0,25 0,1 
0,23 
2

20 2 
d12      0,70 ; d 22   d12   0,23 0,25  0,59 ;
0,23 0,25
N (d12  )  1  (0,70)  1  0,2420  0,7580 ;
N (d 22  )  1   (0,59)  1  0,2776  0,7224
c( 2  )  21  0,7580  20  e 0,10, 25  0,7224  1,83  c mar
roca  3 =0,24
d13   0,67 ; d 23  =0,55; N (d13  ) =0,7486; N (d 23 ) =0,7088;
c( 3  ) =1,89 dolr. > c mar
amgvarad, sabaziso aqciis savaraudo volatiloba mdebareobs
0,23-sa da 0,24-s Soris. SeiZleba CaiTvalos, rom savaraudo
volatiloba tolia 0,235-is, anu 23,50%-is.
amaTuim aqtivis volatiloba SeiZleba Sefasdes istoriuli
monacmebis safuZvelze (ix. 1.22). magram yovelTvis araa SesaZlebeli
amgvarad volatilobis kargi Sefasebis miReba. maSin volatilobis
SefasebisaTvis ganixileba aqtivebis savaraudo volatiloba,
romelic ganisazRvreba am aqtivebze ofcionebis bazris
safuZvelze.

2.24 delta-hejireba
Tu finansuri instituti arasabirJo bazarze yidis amaTuim
ofcions, maSin is eqceva sabazo riskis qveS, ramdenadac ofcionze
is iRebs fiqsirebul Tanxas, ofcionisaTvis premias, xolo misi
Semosavali (danakargi) damokidebulia ofcionis amowurvis
momentSi sabaziso aqtivebis spot-fasze. magaliTad, evropuli

200
`qol~ ofcionis gayidvis SemTxvevaSi, finansuri institutis mogeba
am ofcionis Sesrulebis momentSi fasdeba Semdegnairad:
ce r T t  , S T  X ,
~

 maxS T  X ;0  cr r T  t 
~

 X  S T  ce r T t  , S T  X .
~

mogebis damokidebuleba aqtivis spot-fasze gamosaxulia nax.

2.27-ze.
amgvrad, ofcionebis gayidviT finansurma institutma SeiZleba
ganicados Zalian didi zarali da amitom dainteresebulia am
sabazro riskis daweviT
finansurma institutma analogiuri sabirJo ofcionis yidviT
SeiZleba sruliad gamoricxos nebismieri sabazro riski. magram
ofcionebis nawili specialurad iqmneba konkretuli klientis
moTxovniT da aseTi oficionix yidva birJaze SeuZlebeli xdeba.
xSirad swored aseT dros SeiZleba gamoyenebuli iyos sabazro
riskis delta-hejireba.
ganvixiloT finansuri instrumenti, romelic romeliRac
sabaziso aqtividanaa warmoebuli. drois mimdinare t momentSi
aseTi instrumentis Rirebuleba damokidebulia drois am momentSi
aqtivebis spot-fasze da sxva mraval faqtorze.
mocemuli sabaziso aqtivebisagan warmoebuli finansuri
instrumentis delta koeficienti (delta) ewodeba am instrumentis
Rirebulebis sabaziso aqtivebis spot-fasis mimarT kerZo
warmoebuls , e.i.

 .
S
delta koeficientis ZiriTadi Tvisebebi
Tu sabaziso aqtivebis spot-fasi myisierad icvleba  S sididiT,
xolo yvela danarCeni faqtori romlebic warmiebuli finansuri
instrumentis Rirebulebaze moqmedeben ucvleli rCebian, maSin am
instrumentis Rirebulebis  nazrdi miaxloebiT SeiZleba
Semdegnairad Sefasdes:
    S  . (2.57)

201
 amasT Tan rac ufro naklebi ia  S (abso
olutur ri mniSvnelobiT T), miT
naklebia (2.57) tolobis t s cdomil
leba.
adgil li aqvs Semdeg debuleb bebs:
1. sabbaziso aqtivebisa s delta koeficienti yo ovelTvis s 1-is to
olia.
2. muddmivi dividend
d duri S
Semosavl lianobeb
bis mqo
one aqt
tivebze
fiuCers suli ko ontraqteebis del lta koeeficient ti SeiZl leba moi iZebnos
Semdegi formul liT:
 F  e r  q T t  ,
~ ~

s
sadac q~ - mud dmivi diividendu uri Semoosavliaanobaa uwyveti
u
dari icxvisas;;
~
r - urisko sapro ocento ganakveT Tia uwyveeti dari
icxvisas;
T - aqtiv vebis miw wodebis TariRi.
3. q~ mudmivvi divid denduri Semosaavlianob bebis mqqone aqt tivebze
evropul li ofci ionebis delta koefici ientebi ganisazR
g Rvreba Semdegi
S
tolobeebiT:
 c  e  q T t  N ( d 1 ) ;
~

 p  e  q T t  N (d1 ) ,
~

S ~ ~  2 
ln  T  t  r  q  
X  2 .
sadac d1 
 T t
magal
liTi 2.322. ganvix
xiloT udividen
u do aqciaze 5-Tvviani evr
ropuli
`fuT~ ofcioni i Sesru ulebis 100 doolaris fasiT, roca aqciis
mimdinar
re spot--fasi 1000 dolar lia, aqciis vol
ris tol latilob ba 40%-

202
iT fasdeba, xolo urisko saprocento ganakveTi uwyveti
daricxvisas 8%-is tolia.
mocemul SemTxvevaSi
5
r = 0,08; q~ = 0; T  t 
S = 100 dolr.; X = 100 dolr.; ~ ;  = 0,4;
12

ln
100 5 
  0,08 
0,42 

100 12  2 
d1    0,26 ;
5
0,4 
12
N (d1 )  (0,26)  0,3974 .
aqedan,
 p  0,3974 .
(2.57) miaxloebiTi tolobidan gamomdinareobs, rom Tu sabaziso
aqtivis fasi myisierad gaizrdeba 1 dolariT, maSin am aqciaze
`fuT~ ofcinis fasi Semcirdeba 0,397 dolariT (ofcionis
Rirebuelebis dawevis zusti mniSvneliba Seadgens 0,392 dolars).
4. amerikuli ofcionebis delta koeficientebi SeiZleba
moiZebnos miaxloebiT n –etapuri binomialuri modelis safuZvelze:
C1 1  C1 0 
c 

Se
 hn
e
 hn
;
P1 1  P1 0 
0 

Se
 hn
e
 hn
,
sadac S -sabaziso aqtivebis midinare fasia;
T t
 - sabaziso aqtivebis volatiloba, hn  ;
n
C1 (1) ( P1 (1) ) – amerikuli `qol~ (`fuT~) ofcionis Rirebuleba
drois t  hn momentSi, im pirobiT, rom sabaziso aqtivebis fasma
aiwia;
C1 (0) ( P1 (0) ) - amerikuli `qol~ (`fuT~) ofcionis Rirebuleba
drois t  hn momentSi, Tu sabaziso aqtivebis fasma daiwia.
5. erTidaimave sabaziso aqtivebisagan warmoebuli finansuri
instrumentebis portfelis delta koeficienti warmoadgens am
finansuri instrumentebis delta koeficientebis wrfiv kombinacias.
magaliTi 2.33. ganvixiloT portfeli, romelic Sedgeba 10 000
inglisuri funt sterlingis SenaZenisagan: 5 000 funt sterlingze
9-Tviani fiuCersuli kontraqtis mixedviT mokle poziciisa da 2000

203
funt sterlingze 6-Tviani evropuli `fuT~ ofcionis mixedviT
grZeli poziciisagan Sesrulebis fasiT 1,60 dolr. vipovoT
portfelis delta koeficienti, roca mimdinare gacvliTi kursi
1,62 dolaria - erT funt sterlingSi, gacvliTi kursisi
volatiloba fasdeba 15%-ad, xolo urisko saprocento ganakveTi
uwyveti daricxvisas aSS-Si da inglisSi Sesabamisad 10 da 13%-is
tolia.
vipovoT erT funt sterlingze fiuCersuli kontraqtis delta
koficienti
6
ramdenadac ~r = 0,10, ~r f = 0,13, T *  t  , amdenad
12
~r  ~r f T * t  0 ,10 0 ,13  9
F  e e 12
 0,9778 .
gamovTvaloT erT funt sterlingze `fuT~ ofcionis delta
koficienti. ramdenadac
6
S = 1,62dolr.; X = 1,60 dolr.;  = 0,15; ~
r = 0,10; T  t  ;
12
amdenad
S  2  1,62 6  0,15 
ln  T  t  ~
r ~
rf   ln   0,10  0,13  

X  2  1,60 12  2   0,03 ;
d1  
 T t 6
0,15 
12
N (d )   (0,03)  0,4880 .
maSin
6
r f T t 
~  0 ,13
 p  e N (  d 1 )  e 12
 0,4880  0,4573 .
aqedan, ganxiluli portfelis delta koficienti Semdegnairad
SeiZleba moiZebnos:
  10000  1  5000  0,9778  2000   0,4573  4196,4 .
(2.57) miaxloebiTi tolobidan, kerZod, gamomdinareobs, rom
gacvliTi kursis 0,01 dolariT dacemisas mTliani portfelis
Rirebuleba ecema 41,96 dolariT.
erTidaimave sabaziso aqtivebisagan warmoebul finansuri
instrumentebis portfels uwodeben delta-neitralurs (delt-neutral),
Tu am portfeli delta koficienti 0-is tolia.
Tu investors warmoebuli finansuri instrumentiT garkveuli
pozicia ukavia, maSin Sesabamisad imave sabaziso aqtivebze sxva
finansur instrumentebze poziciis dakavebiT, mas SeuZlia
204
warmoqmnas delta-neitraluri portfeli, e.i. moaxdinos Tavisi
sawyisi poziciis delta-neitralizeba.
magaliTi 2.34. finansurma institutma gayida 2000 funt
sterlingze 6-Tviani evropuli ofcioni Sesrulebis 1,60 dolari
fasiT, roca mimdinare gacvliTi kursi erTi funti – 1,62 dolaria,
gacvliTi kursis volatiloba fasdeba 15%-ad, xolo urisko
saprocento ganakveTi uwyveti daricxvisas aSS-Si da inglisSi
Sesabamisad 10 da 13 %-ia.
gamovarkvioT ramdeni funti sterlingi unda viyidoT (an
gavyidoT), rom moivaxdinoT sabaziso poziciis delta-
neitralizeba.
evropuli `fuT~ ofcionis delta koeficienti tolia –0,4573 (ix.
magaliTi 2.33). x –iT avRniSnoT funt sterlingebis is raodenoba,
romelic SeiZineba delta-neitralizeba. maSin
x  2000  (0,4573)  0 .
saidanac vpoulobT, rom x = -914,6. amgvarad, sabaziso poziciis
delta-neitralizebisaTvis saWiroa ganxorcieldes 914,6 funt
sterlingis mokle gayidva.
davuSvaT, rom investori mocemuli sabaziso aqtivebis mixedvi
warmoebuli finansuri instrumentis mixedviT ikavebs gansazRvrul
pozicias. bazarze sabaziso aqtivebis fasebis cvlilebasTan
dakavSirebuli riskis delta-hejireba Semdegze dadis:
1) xdeba imave sabaziso aqtivebidan warmoebuli raime sabirJo
instrumentis arCeva;
2) arCeuli instrumentis gayidviT an yidviT xdeba sabaziso
poziciis delta-neitralizeba;
3) xdeba sainvesticio portfelis perioduli rebalansireba, e.i.
arCeuli instrumentebis gamoyenebiT operaciebis Sedegad xdeba am
portfelis delta-neitralizebis aRdgena, romelic ikargeba drois
msvlelobisas sabaziso aqtivebze fasebis cvlilebis gamo.
arsebiTad, delta-hejirebisas xelovnurad xdeba sabazisos
swinaaRmdego poziciis warmoSoba, e.i. igeba sinTetikuri finansuri
instrumenti.
magaliTi 2.35. finansurma institutma gayida 100 000 udividendo
aqciaze 5-kviriani evropuli `qol~ ofcioni Sesrulebis 50
dolaris fasiT, roca aqciis mimdinare fasi tolia 49 dolaris,

205
aqciis volatiloba Seadgens 20%-s, xolo urisko saprocento
ganakveTi 5%-is tolia.
Tavisi poziciis hejirebisaTvis finansur instituts
gadawyvetili aqvs sabaziso aqciiT operaciis gamoyeneba da
moaxdinos Tavisi poziciis rebalansireba yovelkvireulad. qvemoT
cxrilSi moyvanilia sabaziso aqciis fasis cvlilebis scenari da
finansuri institutis gamoTvlebi delta-hejirebaze.
ofcionis Sesrulebis momentSi instituti valdebulia gayidos
100 000 aqcia ofcionis Sesrulebis 50 dolaris fasad.
aqedan gamomdinare, finansuri institutis wminda danaxarji
Seadgens 5 127 183 – 5 000 000 = 127 183 dolr., xolo wminda
dayvanili xarjebi tolia
5
 0 , 05  
127 183  e = 126 573. 12

avRniSnoT, rom hejirebis ar arsebobisas wminda dayvanili

xarjebi toli iqneboda
5
 0 , 05  
312 500 dolr.  e 12
- 87 889 dolr. = 218 168 dolr.

2.25 gama-hejireba
mocemuli sabaziso aqtivebisagan warmoebuli finansuri
instrumentis gama koeficienti (gamma) ewodeba am instrumentis
Rirebulebis meore rigis kerZo warmoebuls sabaziso aqtivebis
fasiT, e.i.
 2
 .
S 2
warmoebuli finansuri instrumentis gama koeficienti SeiZleba
ganisazRvros rogorc am instrumentis delta koeficientisagan
kerZo warmoebuli sabaziso aqtivebis fasiT, e.i.

 .
S
gama koeficientis ZiriTadi Tvisebebi
Tu sabaziso aqtivebis spot-fasi myisierad icvleba  S sididiT,
xolo yvela danarCeni faqtori romlebic warmoebuli finansuri
instrumentis Rirebulebaze moqmedeben ucvleli rCeba, maSin am
instrumentis Rirebulebis  nazrdi miaxloebiT SeiZleba
Semdegnairad Sefasdes:

206
 
    S  
2
S 2  , (2.58)
Tan mcre  S -sTvi
amasT is (abso
oluturii mniSvn
nelobiT) am to
olobis
cdomil
leba mniS
Svnelovvnad nakklebia (2.57)
( to
olobis cdomillebaze,
romelic
c mxolood delt ta koefi
icients iTvalis
swinebs.

adgil li aqvs Semdeg debuleb bebs:

1. sab
baziso aqtivebis
a s da am aqtivebbze fiuCCersuli kontraaqtebis
gama koeeficient tebi yoveelTvis 0-is tol
lia.
2. muudmivi dividend duri q~ Semos savliano
obis mqoone aqt
tivebze
evropul li ofcionebis gama koeficieentebi ganisazR
g vreba Semdegi
S
tolobi iT:
d12
1 1  q~ T 0 t 
c   p  e  e (  3,144) ,
2

2 S T  t
S  2 
ln  T  t  ~
r  q~  
X  2 .
sadac d1 
 T t
magaliTi 2.36.
2 vippovoT 2.32 mag
galiTid
dan evropuli `fuT~
ofcioniis gama koeficie
k enti.
ramdenadac

207
 5
S = 100 dolr.; X = 100 dolr.; ~
r = 0,08; q~ = 0;  = 0,4; T  t  ; d1 =
12
0,26;
amdenad
o , 26 2
1 1
p  e 2
 0,0149 .
2 5
100  0,4 
12
(2.58) tolobidan gamomdinareobs, rom sabaziso aqciis fasi
myisierad izrdeba 1 dolariT, maSin
0,0149
p  0,3974  1   1  0,390 ,
2
e.i. ofcionis Rirebuleba daecema 0,390 dolariT.
3. amerikuli ofcionebis gama koeficientebi SeiZleba moiZebnos
miaxloebiT n –etapiani binomialuri modelis safuZvelze:
2  C 2 (2)  C 2 (1) C 2 (1)  C 2 (0) 
c  2 
 ;
S u  d n  
2 2
n u n2  1 d n2  1 
2  P2 (2)  P2 (1) P2 (1)  P2 (0) 
p  2 
 ,
S u  d n   u n2  1
2 2
n d n2  1 
T t
sadac u n  e hn
, d n  e  hn
, hn  .
n
erTidaimave sabaziso aqtivebisagan warmoebuli finansuri
instrumentebis portfelis gama koeficienti warmoadgens am
finansuri instrumentebis gama koeficientebis wrfiv kombinacias.
erTidaimave sabaziso aqtivebisagan warmoebul finansuri
instrumentebis portfels uwodeben gama-neitralurs (gamma-
neutral), Tu am portfeli delta koficienti 0-is tolia.
Tu investors warmoebuli finansuri instrumentiT garkveuli
pozicia ukavia, maSin Sesabamisad, imave sabaziso aqtivebidan
warmoebuli, sxva or finansur instrumentebze poziciis dakavebiT,
mas SeuZlia Seqmnas gama-neitraluri portfeli.
magaliTi 2.37. investorma SeiZina romeliRac sabaziso
aqtivebisagan warmoebuli finansuri instrumenti, romlis delta
da gama koeficientebi Sesabamisad 0,50 da 0,02-is tolia.
gamovarkvioT, rogor movaxdinoT am aqtivebis da maTze sabirJo
ofcionebis gamoyenebiT mocemuli poziciis gama-neitralizeba, Tu
sabirJo ofcionebis delta da gama koeficientebi Sesabamisad 1,5
da 0,01-is tolia.
208
 davuSvaT, rom poziciis gama-neitralizirebisaTvis
investorisaTvis aucilebelia iyidos x erTeuli sabaziso aqtivi
da am aqtivebze y sabirJo ofcionebis SeZena. maSin unda Sesruldes
Semdegi tolobebi:
0,50  x  1  y  1,5  0,

0,02  y  0,01  0.
aqedan, y = -2, x = 2,5. amgavarad, aucieleblia SeZenili iyos 2,5
erTeuli sabaziso aqtivi da moxdes am aqtivebze ori sabirJo
ofcionis mokle gayidva.
gama-hejireba, iseve rogorc delta-hejireba, gamoiyeneba
bazarze aqtivebis fasebis cvlilebasTan dakavSirebuli riskebis
dawevisaTvis am aqtivebisagan warmoebuli finansuri instrumentebis
gansazRvruli poziciebis arsebobisas. gama-hejireba varaudobs
Semdeg moqmedebebs:
1) SeirCeva ori sabirJo instrumenti, romlebic imave
aqtivebisaganaa warmoebuli, romlebisganacaa warmoebuli sabaziso
instrumenti;
2) arCeuli instrumentis yidvis an gayidvisas xdeba sabaziso
poziciis gama-neitralizeba;
3) xdeba sainvesticio portfelis perioduli rebalansireba, e.i.
arCeuli instrumentebis gamoyenebiT operaciebis Sedegad xdeba am
portfelis delta-neitralizebis aRdgena.
gama-hejirebisas xelovnurad xdeba sawyisi poziciis
sapirispiro poziciis warmoqmna, amasTan aseTi warmoqmna ufro
zusti aRmoCndeba xolme, vidre delta-hejirebis dros.

2.26. Teta, ro da vega koeficientebi

warmoebuli finansuri insturmentis Teta koeficients (  )
uwodeben am instrumentis Rirebulebis kerZo warmoebuls droiT,
anu

 .
t
koeficienti Teta afasebs warmoebuli instrumentis
Rirebulebis cvlilebis siCqares im pirobiT, rom mis
Rirebulebaze moqmedi sxva danarCeni faqtorebi rCeba ucvleli.
mudmivi dividenduri Semosavlianobebis mqone aqtivebisagan
warmoebuli finansuri instrumentebisaTvis, romelTa fasi
209
ganisazRvreba brounis geometriuli moZraobiT, adgili aqvs Semdeg
tolobas:
 2
  ~
r  q~   S     S 22  ~
r  . (2.59)
2
kerZod, Tu erTidaimave aqtivebisagan warmoebuli finansuri
instrumentebis portfeli gama-netraluria, maSin (2.59) toloba
miiRebs Semdeg saxes:
~r .
magaliTi 2.38. ganvixiloT 1,60 fasiani 2000 funt sterlingze 6-
Tviani evropuli `fuT~ ofcioni, roca mimdinare gacvliTi kursi
erTi funti – 1,62 dolaria, gacvliTi kursis volatiloba
Sefasebulia 15%-ad, xolo urisko saprocento ganakveTi uwyveti
daricxvisas aSS-Si da inglisSi Sesabamisad 10 da 13%-is tolia.
ofcionis delta koeficienti tolia 2000  (-0,4573) = -914,6 (ix.
magaliTi 2.33). xolo misi gama koeficienti Semdegnairad SeiZleba
moiZebnos:
d12
2000 1 r f T t 
~
  e e 2

2 S T  t
0 , 03 2
2000 1  0 ,130 , 5
  e e 2
 4349,35
2 1,62  0,15  0,5
mocemuli ofcionis Rirebuleba SeiZleba moiZebnos (2.53)
formuliT, sadac q~  ~r f :
d12
2000 1 ~
r f ( T  t ) 
  e e 2

2 S T  t
( 0 , 03) 2
2000 1  0 ,130 , 5

  e e 2
 4349,35.
2 1,62  0,15  0,5
mocemuli ofcionis Rirebuleba SeiZleba moiZebnos (2.53)
formuliT, sadac q~  ~r f :
p  20001,60  e 0,100,5 N (d 2 )  1,62  e 0,130,5 N (d1 ) 
 20001,60e 0,100,5  0,5319  1,62  e 0,130,5  0,4880  147,17$.
maSin, (2.59) damokidebulebidan miviRebT, rom:
(0,15) 2
  0,10  147,14  (0,10  0,13)  1,62  (914,6)   (1,62) 2  4349,35  158,14
2
amgvarad, 10 dRis ganmavlobaSi ofcionis Rirebuleba daiwevs
10
158,14   4,33 dolariT mxolod drois faqtoris xarjze.
365
210
 finansuri instrumentis ro koeficienti (  ) ewodeba am
instrumentis kerZo warmoebuls urisko saprocento ganakveTiT, e.i.

 ~.
r
mudmivi dividenduri q~ Semosavlianobis mqone aqtivebze
fiuCersuli kontraqtis SemTxvevaSi  koeficienti moiZebneba
Semdegi formuliT:
~ ~
  S  (T  t )  e ( r  q )(T t ) .
mudmivi dividenduri Semosavlianobis mqone aqtivebze evropuli
ofcionebisaTvis
 c  X (T  t )  e  r (T t )  N (d 2 ),  p   X (T  t )  e  r T t   N (d 2 ) .
~ ~

ro koeficienti saprocento riskis hejirebisas, e.i. iseTi

riskisa, romelic dakavSirebulia urisko saprocento ganakveTis
cvlilebasTan, gamoiyeneba iseve rogorc delta koeficienti
gamoiyeneba sabazro riskebis hejirebisaTvis. garda amisa, Tu
sabirJo bazarze arsebobs erTidaimave aqtivebisagan warmoebuli
ramdenime sxvadasxva finansuri instrumenti, maSin ro da delta
koeficientebis meSveobiT SesaZlebelia erTdroulad aigos
rogorc sabazro ise saprocento riskebis hejireba. amisaTvis
sakmarisia nulovani ro da delta koeficientebis mqone portfelis
formireba da periodulad misi rebalansireba.
magaliTi 2.39. davuSvaT, finansurma institutma gayida 6-Tviani
evropuli `fuT~ ofcioni 2.38. magaliTis pirobebiT.
gamovarkvioT, drois sawyis momentSi funt sterlingis da funt
sterlingebze 9-Tviani fuiCersuli kontraqtebze operaciebis
gamoyenebiT rogor avagoT sabazro da saprocento (aSS-Si) riskebis
hejirebisaTvis sainvesticio portfeli.
ofcionis da erT funt sterlingze fiuCersuli kontraqtis
delta koeficientebi ukve napovnia:
 F  0,9778 ,  p  0,4573 (ix. magaliTi 2.33).
fuiCersuli kontraqtisaTvis ro koeficienti Semdegnairad
moiZebneba:
9
~r  ~r f T t  9 0,10 0,13 12
 F  S  T  t   e  1,62  e  1,1880 ,
12
ofcionisaTvis:
 p  X  T  t   e  r T t   N (d 2 )  1,60  0,5e 0,10,5  0,5319  0,4048 .
~

211
 ramdenadac sainvesticio portfelebs unda hqondeT nulovani
delta da ro koeficientebi, amdenad gvaqvs Sedegi gantolebaTa
sistema:
 2000   0,4573  x  1  y  0,9778  0,

 2000  ,4048  y  1,1880  0.
sadac x - Sesyiduli funt sterlingis raodenobaa,
y - Sesyiduli fiuCersebis raodenoba.
gantolebaTa sistemis amoxsniT miviRebT
x = -248,25, y = -681,48.
aqedan gamomdinare, drois sawyis momentSi aucilebelia
movaxdinoT 248,25 funt sterlingis mokle gayidva da 681 funt
sterlingebze fuiCersis mixedviT davikavoT mokle pozicia.
warmoebuli finansuri instrumentis vega koeficienti ewodeba am
instrumentis Rirebulebis kerZo warmebuls sabaziso aqtivebis
volatilobiT. e.i.

 .

mudmivi dividenduri Semosavlianobis mqone aqtivebze evropuli
ofcionebisaTvis samarTliania toloba:
d
1  21  q~ T t 
c   p  S T  t  e e .
2
vega koeficienti gamoiyeneba im riskebis hejirebisaaTvis,
romlebic ganpirobebulia sabaziso aqtivebis volatilobis
Secvlis SesaZleblobiT.
Tu sabirJo bazarze arsebobs erTidaimave aqtivebidan
warmoebuli sakmarisad mravali sxvadasxva finansuri instrumenti,
maSin delta, gama, ro, vega da sxva koeficientebis gamoyenebiT
SeiZleba ganxorcieldes sxvadasxva riskis hejireba erTdroulad.
magram unda gaTvaliswinebuli iyos, rom aseTi hejireba moiTxovs
sabirJo instrumentebze sxvadasxva operaciebis did rodenobas, rac
mniSvnelovnad gazrdis transaqciur xarjebs, ramac aseTi hejireba
SesaZloa Segnebulad wamgebianad gadaaqcios.

2.27.ofcionebis specialuri saxeebi

amJamad ofcionebis ZiriTad saxeebTan erTad arsebobs maTi
mravali sxva saxec, amasTan mudmivad Cndeba ofcionebis axali
saxesxvaobebi.
212
 ganvixiloT zogierTi, yvelaze ufro gavrcelebuli ofcionebis
specialuri saxeebi (exotic options).

2.17.1 aqtivebis gacvlaze ofcionebi

aqtivebis gacvlaze ofcionebis (exchange option) mflobels aqvs
ufleba ofcionebis Sesrulebis momentSi miiRos romeliRac A
aqtivi sxva B aqtivis sanacvlod. ofcionis gadaxdis funqcia aseTi
saxiT Caiwereba:
maxS AT  S BT ,0 ,
sadac, S AT , S BT _ Sesabamisad A da B aqtivebis spot-fasebia
ofcionis Sesrulebis momentSi.
aqtivebis gacvlaze ofcionis Rirebuleba moiZebneba Semdegi
formuliT:
c  S A e  q T t  N (d1 )  S B e  q T t  N (d 2 ) ,
A B

SA ~ ~  2 
ln   qB  q A  T  t 
S B  2 
sadac, d1  ;
 T t
d 2  d1   T  t ;
 2   A2   B2  2  A   B ;
S AT , S BT - aqtivebis spot-fasebia drois mimdinare t momentSi;
q~A , q~B - gasacvleli aqtivebis dividenduri Semosavlianobebia;
 A ,  B - sabaziso A da B aqtivebis volatilobaa;
 - maT fasebs Soris myisieri korelaciaa.

2.27.2 binaruli ofcionebi

binaruli ofcionebis (binary option) mflobeli am ofcionis
Sesrulebis momentSi iRebs mocemul Q fulad Tanxs, Tu sabaziso
aqtivis spot-fasi Sesrulebis T fasze meti aRmoCndeba. binaruli
ofcionis gadaxdis funqcia Semdegi saxiT Ciwereba:
Q  J S T  X  ,
sadac S T - Sesrulebis momentSi aqtivis spot-fasia;
1, z  0
J ( z)  
0, z  0
binaruli ofcionis Rirebuleba SeiZleba moiZebnos Semdegi
formuliT:

213
 c  Qe  r T t  N (d 2 ) ,
~

S  2 
ln  T  t  ~
r  q~  
X  2 .
sadac, d 2  d1   T  t ; d1 
 T t
binaruli ofcionis hejireba sakmaod rTulia, ramdenadac
ofcionis Sesrulebis momentSi aqtivebis spot-fasis mciredma
cvlilebamac ki SeiZleba gamoiwvios ofcionebis mflobelis
Semosavlis mniSvnelovani cvlileba.

2.27.3 aziuri ofcionebi

aziuri `qol~ (~fuT~) ofcionis (Asion option) gadaxdis funqcias
aqvs Semdegi saxe:
maxS av  X ,0 ( maxX  S av , 0  ),
sadac X - ofcionis Sesrulebis fasia;
S av - ofcionis arsebobis manZilze sabaziso aqtivebis fasebis
mniSvnelobebis saSualo geometriulia.
Tu sabaziso aqtivebs gaaCniaT mudmivi dividenduri
Semosavlianobebi, xolo maTi fasebi ganisazRvreba brounis
geometriuli moZraobiT, maSin aziuri ofcioni ganixileba rogorc
1 ~ ~  2 
r  q   -is toli dividenduri Semosavlianobis mqone aqtivebze
2  6 

Cvulebrivi evropuli ofcioni, romelTa volatiloba tolia .
3
maSasadame, aziuri ofcionebis Rirebuleba SeiZleba moinaxos bleq-
Soulzis formulis mixedviT. amasTan aziuri ofcionebi ufro iafi
Rirs, vidre Sesabamisi evropuli ofcionebi da maTi hejireba ufro
martivia.

2.27.4 barieruli ofcionebi

arsebobs ori ZiriTadi saxis barieruli ofcioni (barrier option):
gamomavali (knock-out) da Semavali (knock-in).
gamomavali `qol~ an `fuT~ ofcioni wyvets arsebobas rogorc
Sesabamisi opcioni, roca sabaziso aqtivis fasi aRwevs romeliRac
mocemul H sidides. amasTan Tu H  S ( S - sabaziso aqtivebis sawyisi
fasia), maSin ofcions uwodeben gamomavals dawevisas (down-and-out),
xolo Tu H  S - gamomavals awevisas (up-and-out).
214
 Semavali `qol~ an `fuT~ ofcioni iwyebs arsebobas rogorc
Sesabamisi evropuli ofcioni, roca sabaziso aqtivis fasi aRwevs
romeliRac mocemul H sidides. aseT ofcions uwodeben Semavals
dawevisas (down-and-in), Tu H  S da Semavals awevisas (up-and-in), Tu
H S.
cxadia, rom Semavali da misi damatebiTi gamomavali ofcionis
yidva Sesabamisi evropuli ofcionis yidvis tolfasia. maSasadame,
aseTi ofcionebis RirebulebaTa jami, Semavalis da gamomavalis,
yovelTvis emTxveva Sesabamisi evropuli ofcionis Rirebulebas.
Tu sabaziso aqtivebs gaaCniaT mudmivi dividenduri
Semosavlianobebi, xolo maTi fasi ganisazRvreba brounis
geometriuli moZraobiT, maSin adgili aqvs Semdeg formulebs:
2 2 2
 q~ T  t  H r T  t 
~ H
c  Se    N ( y )  Xe    N(y  T  t)
S  S 
(gamomavali `qol~ dawevisas)
2 2 2

p  X e r T  t 
~ H
  
 N  y  T t  S e   q T  t  H
   N ( y )
S  S 
(Semavali `fuT~ awevisas).
2 H2 
~ ~
r q  ln  
2  SX 
sadac   , y   T  t .
2  T t
barieruli ofcionis Rirebuleba yovelTvis naklebia Sesabamisi
evropuli ofcionis Rirebulebaze, xolo misi hejireba zogad
DSemTxvevaSi ufro Zneli.

2.27.5 bermudis ofcionebi

bermudis `qol~ (`fuT~) ofcionis (Bermudan option) mflobels
aqvs ufleba iyidos (gayidos) sabaziso aqtivebi erT-erT T1 , T2 , ... ,
Tn drois momaval momentSi winanswar dadgenil fasad, romelic
drois am moments Seesabameba.
drois TiToeul t , t  T1 , momentSi bermudis ofcionis ar
SeiZleba Sesabamis, amowurvis T1 vadiT, evropul ofcionze
naklebi Rirebulebis iyos.
Tu sabaziso fasi ganisazRvreba brounis geometriuli
moZraobiT, maSin bermudis ofcionis Rirebuleba SeiZleba
miaxloebiT napovni iyos binimialuri modelis saSualebiT.
215
 2.28. saaprocentto ganakveTebidaan warmo oebuli finansur
f ri
inst
trumenteebi
2.28.11 kepebi, floreb bi da qo
olarebi
ixiloT  weli vadis mqone
ganvi m omelime saproceento gan
ro nakveTi
(magaliTTad 6-T Tviani gaanakveTi LIBOR ). misi mniSvnel
m loba dr rois t
momentSi avRniS SnoT r (t ,  ) -iT.
ganxi
ilul saproceento ganakveTz g ze kepi idan, nominaliT A,
gadaxdeebis nakkadi, ro omelmac starti droi is T0 momentSi
m aiRo
Sesrulebis x ganakveT
g is dros s, ganisazRvreba Semdegn
nairad:

amrig
gad, kepii (cap) warmoadg
w gens moccemul saprocen
s nto ganaakveTze
evropulli `qol~ ofcio onebisagaan Sedgeenil por
rtfels.
ganxi
ilul saproce
s nto gan nakveTzee flor ridan, nominali
n iT A ,
gadaxdeebis nakkadi, ro omelmac starti droi is T0 momentSi
m aiRo
Sesrulebis x ganakveT
g is dross, ganisazRvreba Semdegn
nairad:

sxva sityvebiT, flo or) – es aris saprocento ganaakveTze

ori (floo
evropul li `fuT~ ofcioonebisagaan Sedgenil porrtfeli.
port tfeli, romelicc Sedgeeba erT Tnairi maxasiaTe
m eblebis mqone
kepis yidvisa da floris gayid dvisagan uwodebeen msesxeblis qolars
(collar).
msesx xeblis qolaris sagan gaadaxdebiis nakad
di, romeelmac starti
s
drois T0 moment tSi aiRo
o aris:

216
 aqedaan gamommdinare, msesxeb
blis qo
olaris Rirebul
leba dr
rois t
momentSi SeiZleba Semd degnairad
d Sefasd
des:
A n
A  x A
collarr t  T0 t
 Tk  t
 Tn t
,
1  r0   k 1
1  rk   1  rn  

c
sadac r0 , r1 , ... , rn - skontirebis
dis gaanakveTeb
bia procentis
1
weliwad
dSi -j
jer dar
ricxvisaas T0  t , T1  t , . . . , Tn  t vadebze

Sesabami
isad.
anal
logiurad reditoris qolaaric, ro
d SeiZleeba Sefaasdes kr omelic
Sedgeba erTnairi maxasiaTebllebis mqoone flori yiddvisa daa kepis
gayidvis
sagan.

2.28.2 kuponur obligac ciebze ofcioneb

o bi
kuponur ob bligacieebze evvropuli, amerikuli da d bermmurdis
ofcioneebi ganissazRvreb ba stand
dartulaad.
magal
liTad, kuponur r obli igaciaze evropuuli `qo ol~ of fcioni,
dafarviis T * vad
diT, ro omelsacc gaaCni
ia amowuurvis T TariRi i, T < T * ,
mflobels aZl levs ufl lebas iyyidos sabaziso kuponu uri obl ligacia
drois T moment tSi X fasad.
f
bleqq-Soulzis for rmulis gamoyeeneba ku uponur oblig gaciaze
evropulli offcionis Rireb
bulebis Sefas
sebisaTvvis SeiZleba
arasworri Sefaseba mo ogvces, ramdenaddac blleq-Soullzis mo odelSi
gaTvaliiswinebuli araa `nominalTaan miaxloebis~~ efeqt ti da
gvTavazobs sapr rocento o ganakveTis det
terminier
rebas.

2.288.3 svopcionebi
evropuli svopcion
s nis (swwaption) mflobeels eZleva ufleba
u
nil svopur kon
Sevides winaswaar dagen ntraqtSii drois gansazRRvrul
T mommavl moomentSi (im dros,
d roca unda
u g
ganxorciieldes
gadaxdeebiT gacvla).

217
 Tu evropuli saprocento svopcionis myidvels surs miiRos
procenti mcocavi gankveTiT, xolo procentebi gadaixados
fiqsirebuli rF saprocento ganakveTiT, maSin svopcionis
gamoyenebiT, drois momentebSi
t1  T   , t 2  T  2 , ... , t n  T  n
man unda gadaixados erTidaigive   A  rF Tanxa, xolo miRos
Tanxebi
Ar (T ,  ) , Ar (t1 ,  ) , ... , Ar (t n 1 ,  )
Sesabamisad.
bermudis saprocento ofcionis mflobels ufleba aqvs drois
Semdegi momentebidan:
T , T   , ... , T  k , sadac k  n
nebismier momentSi Sevides saprocento svpoSi.
cxadia, rom bermudis ofcionis Rirebuleba drois t , t  T ,
momentSi ver iqneba evropuli ofcionis, Sesrulebis T TariRiT,
Rirebulebaze naklebi.
meores mxriv, bermudis ofcionis Rirebuleba ver iqneba
Sesabamis kepis, Sesrulebis rF ganakveTiT, Rirebulebaze maRali.

2.28.4 obligaciebi CaSenebuli ofcionebiT

amboben, rom obligacia Seicavs CaSenebul ofcions (embedded
option), Tu obligaciis emitents an emisiis pirobebiT misi
mflobels aqvs ufleba Secvalos obligaciebisagan fuladi nakadi.
gamoxmobadi obligacia (callable bond) warmoadgens Cadgmuli
ofcioniT obligacias, ramdenadac aseTi obligaciis emitents aqvs
misi gamosyidvis ufleba da amiT Sewyvitos am obligaciebis
mixedviT gadaxdebi. gamoxmobadi obligaciebi im portfelis
eqvivalenturia, romelic Sedgeba Sesabamisi uofciono
obligaciebisa da gamoxmobis ofcionis gayidvisagan, romelic
Tavis mxriv wrmodgens am uofciono obligaciaze bermudis `qol~
ofcions. es niSnavs, rom gamoxmobili obligaciis Rirebuleba
toli unda iyos Sesabamisi uofciono obligaciis Rirebulebasa da
gamoxmobis ofcionis Rirebulebas Soris sxvaobis.
gayidvadi obligacia (putable bond) aseve warmoadgens Cadgmuli
ofcioniT obligacias, ramdenadac mis mflobels ufleba aqvs
miyidos obligacia emitnets mis dafarvamde. gayidvadi obligacia
218
emTxveva im portfels, romelic Sedgeba Sesabamisi uofciono
obligaciebis yidvisa da am obligaciebis gayidvaze ofcionis
yidvisagan, romelic warmoadgens bermundis `fuT~ ofcions.
naxevarwliani mcocavi kuponuri ganakveTiT obligacias
uwodeben obligacias kepiT (capped bond), Tu dadgenilia kuponuri
x ganakveTis done, iseTi, rom kuponuri gadaxda k -uri kuponuri
periodis ganmavlobaSi ganisazRvreba Semdegnairad:
 f k 1  A
 2 , f k 1  x
qk  
 x  A, f  x
 2 k 1

sadac qk - kuponuri gadaxdaa k -uri kuponuri periodis

ganmavlobaSi k =1, 2, ... , n ;
f k 1 - kuponuri ganakveTis mniSvnelobaa (k  1) -uri kuponuri
periodis bolos;
A -ofcionis nominali.
kepiT obligaciis mimdinare fasi toli unda iyos analogiuri
uofciono obligaciis fasis Sesabamis saprocento ganakveTze kepis
mimdinare fasis gamoklebiT.
naxevarwliani mcocavi kuponuri ganakveTiT obligacias
uwodeben obligacias floriT (bond with embedded floor), Tu
dadgenilia kuponuri x ganakveTis done, iseTi, rom kuponuri
gadaxda k -uri kuponuri periodis ganmavlobaSi ganisazRvreba
Semdegnairad:
 f k 1
 2  A, f k 1  x,
qk  
 x  A, f  x.
 2 k 1

floriT obligaciis fasi unda emTxveodes analogiuri

uofciono obligaciis fasis da Sesabamis saprocento ganakveTze
floris mimdinare fasis jams.
saprocento ganakveTidan warmoebuli finansuri instrumentebis
Rirebulebis Sesafaseblad xSirad gamoiyeneba e.w. saprocento
ganakveTebis binomialuri modeli.

219
 2.29 saprocento ganakveTebis evoluciis binomialuri modeli
avRniSnoT k Z 1 –iT erTi wliT forvarduli saprocento ganakveTi
mimdinare drois momentidan k wliuri periodebis Semdeg, k =0, 1, 2,
3, ...
saprocento ganakveTebis binomialur modelSi navaraudevia, rom
forvarduli ganakveTi 0 Z 1 cnobilia gansazRvrulobiT da tolia
 0 -is xolo danarCeni forvarduli ganakveTebi k Z 1 , k = 1, 2, 3, ... ,
warmoadgenen SemTxveviT sidideebs da Semdegnairad
ganisazRvrebian.
1
forvarduli ganakveTi 1 Z1 iRebs  1 da  1e 2 mniSvnelobebs
2
albaTobiT, sadac 1 - forvarduli ganakveTis umciresi
mniSvnelobaa erTi wlis Semdeg, xolo  - saprocento ganakveTis
wliuri volatiloba.
1
forvarduli ganakveTi 2 Z 1 iRebs  2 da  2 e 2 mniSvnelobebs
2
1
albaTobiT, Tu 1 Z1   1 , da  2 e 2 da  2 e 4 mniSvnelobebs albaTobiT,
2
Tu 1 Z 1   2 e 2 .
zogad SemTxvevaSi forvarduli ganakveTebi k Z1 , k = 1, 2, 3, ...
1
iReben  k e 2i da  k e 2(i 1) mniSvnelobebs albaTobebiT im pirobiT,
2
rom
k 1 Z 1   k 1e 2i , i = 0, 1, 2, ... , k ,
sadac  k - forvarduli ganakveTis umciresi mniSvnelobaa k
wliuri periodis Semdeg,
 - saprocento ganakveTebis wliuri volatiloba.
saprocento ganakveTebis binomialur modelis gamosaxva
mosaxerxebelia grfikulad binomialuri xis meSveobiT (nax. 2. 28)
magaliTi 2.40. saprocento ganakveTis sametapiani binomialur
modeli Semdegi parametrebiT:  =10%,  0 = 6%,  1 = 6,5%,  2 =7% da  3
=7,5% mocemulia nax. 2.29-ze.
mocemul modelSi forvarduli saprocento ganakveTi erT wlis
manZilze sami wlis Semdeg drois mimdinare momentidan iRebs

220
 1 3 3
Semdeg mniSvnel
lobebs: 7,5; 9,161; 11,189 da
d 13,6666%-s Sesabamisad
d , ,
8 8 8
1
da albaTobebiT.
8
Cvens s mier gaanxilul li binommialuri modeli i saSual
lebas gvaZlevs
vipovoT T uofcio ono wli iuri kupponebis mqone
m ob
bligacieebis fas
sebi.
avRni iSnoT Q ( k , i ) –i
iT n –wwliani wliur ri kuponebis mqone
obligac ciebis fasi,f rommelic aR ba k wl
RmoCndeb lis Semdeg im pirobiT,
rom
2 i
k Z1   k e , i = 0, 1, 2,, ... , k , k = 0, 1, 2,2 ... , n .
cxad dia, rom am obligaciis fasi n wlis Semdeg S yovelTviis misi
nominal lis toli iqneba,, e.i.
Q ( n, i )  A , roc ca i = 0, 0 1, 2, ... , n .

221
 obliigaciis fasi momavl li dro ois sxvva momeentebSi unda
emTxveodes am oblig gaciidann mosal
lodnelli nakad dis dayvenil
Rirebullebas. k wlis s Semdeg obli xdebis nakadi
igaciidaan gadax
SeiZleb
ba Semdeg
gi saxiT
T gamovsaaxoT:

aqedaan gamomd
dinare, unda Ses
sruldes
s Semdeg
gi tolo
oba:
Q(k  1, i  1)  q k   1  Q(k  1, i)  q k   1
Q(k .i )  2 2, (2.60)
! k e 2i
k = 0, 1, 2, ... , n -1; . i = 0, 1, 2,
2 ... , k .
ramdenadac Q (n, i ) obligac
o ciis fassi, rocaa i = 0, 1, 2, ..., n
CevnTvis
s cnobillia, amd denad (2.660) rekurentuli i toloba saSuaalebas
iZleva vipovoTT Q ( n  1, i ) fasebi, roca i = 0,0 1, 2, ...., n -1; Q(n  2, i )
fasebi, roca i = 0, 1,, 2, ..., n -2; daa a.S. Q (0,0) fasaamde, ro omelic
warmoaddgens dr
rois mimd dinare momentSi
m obligaaciis faass.
magal
liTi 2.441. nax. 2.30-ze
2 m
moyvanil
lia wliuri kupponebis da 100
nominal
lis mqon ne 8%-iani obl ligaciis s fasiss gamoT Tvla, romlic
dafarvaamde 4 welia darCeni ili, magaliTi 2.40-dan n sapro ocento
ganakveT
Tebis bin
nomialur model lis piroobebiT.

222
 100  8
magaliTad Q(3,2)   97,132 ;
1  0,11189

97,132  8  1  98,936  8  1
Q(2,1)  2 2  97,682 ;
1  0,0855

96,307  8  1  98,936  8  1
Q(0,0)  2 2  100,441 .
1  0,06
aqedan gamomdinare, mocemuli obligaciis mimdinare fasi tolia
100,441 dolaris.
saprocento ganakveTebis binomialur modelis asagebad
aucilebelia winaswar ganisazRvros Semdegi parametrebi:
saprocento ganakveTis  volatiloba da forvarduli saprocento
ganakveTebis umciresi mniSvnelobebi -  0 ,  1 ,  2 , ...
davuSvaT, rom mocemul momentSi cnobilia sabazro
Semosavlianobebi: r1 , r2 , ... , rk , ... ( rk - k wliani vadis ganmavlobaSi
sabazro Semosavlianobaa). SevniSnoT, rom am SemTxvevaSi
SesaZlebelia moiZebnos k wlis Semdeg dafarvis vadiani nulovani
kuponiT 100 dolaris nominalis mqone obligaciis fasi:
100
Pk  , k = 1, 2, 3, ...
1  rk k
cxadia, rom  0 emTxveva r1 sabazro Semosavlainobas. 1
parametric ise SeirCeva, rom nulovani kuponiT da 100 dolaris
nominaliT 2-wliani obligaciis fasi, romelic Semdegi
binomialuri modeliT ganisazRvreba

emTxveodes P2 fass (  1 -is mosaZebnad SeiZleba gamoyenebuli

iyos SerCevis da Secdomebis meTodi).
Tu  0 da  1 parametrebi ukve moZebnilia, maSin  2 ise SeirCeva,
nulovani kuponiT rom 3-wlini obligaciis fasi, romelic Semdegi
binomialuri modeliT ganisazRvreba

223
 emTxveodes P3 fass, da a.S.
magaliTi 2.42. avagoT saprocento ganakveTis binomialur modeli
im SemTxvevaSi, roca saprocento ganakveTis volatiloba 10%-is
tolia, xolo sabazro Semosavlianobebi erTi, ori, sami da oTxi
wlis ganmavlobaSi Sesabamisad 6,00; 6,606; 7,272 da 8,00%-is tolia.
1. varaudobT  0 = 6,00%.
2. mivaniWoT  1 =6,00%.
qvemoT binomialuri modelis safuZvelze moyvanilia nulovani
kuponis mqone 2-wliani obligaciis fasis gaangariSeba:

100
ramdenadac 88,449  p   87,991 , amdenad  1 -is mniSvnloba
1  0,06606 2
unda gavzardoT.
Tu  1 =6,5%-s, maSin

ramdenadac 87,991 = P2 , amdenad  1 = 6,50%.

3. mivaniWod  2 = 7,20%.
4. maSin nulovani kuponis mqone 3-wliani obligaciisaTvis
gvaqvs:

224
 100
ramdenadac 80,829  P3   81,010 , amdenad  2 mniSvneloba
1  0,07272 3
unda SevamciroT.
Tu  2 = 7,00%-s, maSin

ramdenadac 81,011  P3 , amdenad  2 =7,00%-s. analogiurad vpoulobT

 3 = 7,50%s.
amgvarad, avagebT saprocento ganakveTis binomialur models,
romelic ukve ganvixileT 2.40. magaliTSi.
avRniSnoT saprocento ganakveTis binomialur modelis
mniSvnelovani Tviseba.
sabazro Semosavlianobebis safuZvelze (mocemuli volatilobis
dros) SeiZleba aigos saprocento ganakveTis binomialur modeli,
ris meSveobiTac moiZebneba nebismieri wliuri kuponebis mqone
uofciono obligaciis fasi. meores mxriv, uofciono obligaciis
fasi SeiZleba ganisazRvros, Tu viciT sxvadasxva vadisTvis
sabazro Semosavlianobebi. Tumca am ori sxvadasxva gziT moZebnili
uofciono obligaciebis fasebi yovelTvis emTxveva erTmaneTs.
magaliTi 2.43. 2.41. magaliTSi dadginda, rom wliuri kuponebis
da 100 nominalis mqone 8%-iani obligaciis fasi, romlic
dafarvamde 4 welia darCenili, tolia 100,441 dolaris.

225
 meores mxri iv, mocemmuli obligaciiis fasii SeiZleba moZebnili
iyos 2.422. magaliTidan sabazro
s Semosavvlianobeebis saf
fuZvelzee:
8 8 8 1088
P     100,4500 dolr.
1,06
0 1,066006  1,072272  1,084
2 3

fasebbis mc
cire g
gansxvaveeba ai
ixsneba gamoTvvlis drois
cdomillebiT.
SeniS
Svna. Cveen ganvi
ixileT saproceento ganakveTis s binomi ialuri
modeli wliur ri etapeebiT. an nalogiu urad SeeiZleba ganisaz zRvros
binomial
lur modeli etapeebiT, romeliic mxo
olod wlis
nawilebbisagan Sedgeba.
S kerZod
d, binomiialur models
m naxevarwwliani
T aqvs Semdegi saxe:
etapebiT s

2.330. CaSeneebuli o
ofcioneb
bis mqonee obligaciebis Rirebul
lebis
S
Sefaseba

CavTvvliT, rom
r ageebulia Semdegi i saxiss (nax. 2.32) wliuri
w
kuponebiis mqone saprocento gan nakveTis
s binomiaalur mo
odeli.
1. gan
nvixiloT T wliu uri kupponebis mqone n -wlian ni obligacia,
romlis gamoxmo oba xdeb ba n0 wl
lis Semdeg. davuSvaT, ro
om obliigaciis
li A -s
nominal s toliaa, xolo o gamoxmmobis fasi k -ur welS Si Fk -s
tolia, k = n0 , n0 +1, ..., n -1.

226
 ~
Q ( k , i ) -iT avR
RniSnoT
wli
is gamox k
xmobili obligaaciis fasi
f im
ca erT welze k Z 1 fo
pirobebSi, roc li ganakkveTi k wlis
orvadul
Semdeg  k e 2i –is tol mniSvnelo obas, k = 0, 1, 2, ..., n ; i = 0, 1, 2, ... , k .
gamox xmobili i oblig gaciis fasi drois yovel momentSi m unda
emTxveodes am obligaaciisagan gadax xdebis mosalod
m dneli nakadis
n
Rirebul lebaTa dayvanil l mniSvn nelobass. aqedan n gamomd dinare adgili
a
aqvs Semmdeg damokidebulebas:
~
Q ( n, i )  A , i = 0, 1, 2,, ... , n ;

~


~
Qk  1, i  1  q k  
1 ~
2
 Qk  1, i   q k 

1
2 
Q (k , i)  min  Fk 2 i 
 1 ke 
 
k = 0, 1, 2, ..., n0 -1; i = 0, 1, 2, ... , k ,
c q k - k -u
sadac uri wlis kuponu
uri gadaaxdaa.

227
 magal
liTi 2.444. mocemmuli wl
liuri ku uponebis
s mqone 100 nomi
inaliT
8%-iani obligacia, nomminalis mixedviT T 2 wliis Semdeeg gamox
xmobiT,
romlis dafarvvis vadaaa 4 weeli. obl ligaciis fasiss gaangaariSeba
saproceento ganakveTi is bino omialur model lis pi irobebSii 2.40.
magaliTTidan mo
ocemuliaa nax. 2.333-ze.
magal
liTad,
~  100  8 
Q (3,0)  min 100,   100 ;
 1  0,075 

 98,936  8  1  100  8  1 
Q(2,0)  min 100, 2 2 min100
1 ,100,44  100

 1  0 ,07 
 
maSassadame, mocemul li gamox xmobadi obligaaciis mimdinaree fasi
100,30 dolari is tol lia. r
ramdenadaac anaalogiur
ri uof fciono
obligac ciis fas si 100,44 dolar ris tolia (ix. magaliTi
m i 2.41), amdenad
a
am obli igaciaSi i CaSenebbuli gaamoxmobi ili ofc cionis mimdinar
m e fasi
ganisazR Rvreba Semdegnai
S irad:
100,444 dolr. - 100,30 dolr. = 0,14 do olr.
2. gan
nvixiloT T wliu uri kupponebis mqone n –wlian ni obligacia,
romelic c emitents n0 wlis Semdeg mieyiddeba. davuSvaT,, rom
obligac ciis nomminali A –s tol lia, xollo emittentze `miyidvis s~ fasi
k -ur we elSi tolia
 k -is, k = n0 , n0 +1, ..., n -1.

228
 ~
P ( k , i ) -iT avRniSno
oT k wlis Semdeg `gaayidvadi
w i~ obliigaciis
fasi im pirobiT, rom k Z 1 for
rvaduli
i saproccento gaanakveTi iRebs
Semdeg mniSvnel
m lobas
2 i
 k e , k = 0, 1, 1 2, ..., n ; i = 0, 1, 2, ... , k .
adgil li aqvs Semdeg tolobaas:
~
P (n, i )  A , i = 0, 1, 2, ... , n ;

~



~
 1 ~
  1
P k  1, i  1  q k   P k  1, i   q k  
2 2 ,

P (k , i )  max  k 2 i  (2.62)
 1 ke 
 
k = n0 , n0 +1, ..., n -1; i = 0, 1, 2, ... , k ;

~
P~k  1, i  1  q  12  P~k  1, i   q  12
k k
P (k , i )  ,
1   k e 2 i
k = 0, 1, 2, ..., n0 -1; i = 0, 1, 2, ... , k .
magal
liTi 2.45.
2 2.444. magaaliTis pirobeebSi davuSvaT,, rom
obligaccia warmoadgens s nominaaliT `g
gayidvad
ds~ ori wlis Semdeg.
S
aseTi obligaciiis fasis gaangariSeba moyvanil
m lia nax. 2.34-ze.
2
magal
liTad,
 1 1


100  8   100  8 
~
P (3,3)  max 100, 2 2   max10 00,95,02  100
1 ;

 1  0 ,13666 
 
 1 1


100  8  100,465  8 
~
P (2,0)  max 1000, 2 2   101,15 ;

 1  0,07 
 

229
 ~
100  8 1  100  8 1
P (1,1)  2 2  100,06 .
1  0,07939
amgvarad mocemuli `gayidvadi~ obligaciis mimdinare fasi
tolia 102,81 dolaris, xolo obligaciaSi CaSenebuli ofcionis
gayidvis fasi SeiZleba Semdegnairad moiZebnos:
102,81 dolr. – 100,44 dolr. = 2,37 dolr.
3.vTqvaT, mocemulia n wliani A nominalis mqone obligacia
wliuri mcuravi kuponuri ganakveTiT x %-is doneze CaSenebuli
kepis arsebobisas. davuSvaT, rom mcocavi kuponuri ganakveTi
ganisazRvreba nax. 2.28-ze gamosaxuli binomialuri modeliT.
u~ ( k , i ) -iT avRniSnoT mocemuli obligaciis fasi (k  1) –uri wlis
bolos im pirobiT, rom forvarduli saprocento ganakveTi k Z 1
iRebs mniSvnelobebs
 k e 2i , k = 0, 1, 2, ..., n -1; i = 0, 1, 2, ... , k .
ramdenadac obligaciis fasi drois yovel momentSi unda
emTxveodes gadaxdebis mosalodneli nakadis dayvanil
Rirebulebas, amdenad,
A  minx,  n 1e 2i 
u~ (n  1, i )  A  , i = 0, 1, 2, ..., n -1;
100
 u~ (k  1, i  1)  1  u~ (k  1, i )  1
u~ (k , i )        A 
 
min x,  k e 2i
, (2.63)
2 ( i 1)   1   e 2 i  2
 1   k 1 e  2  k 1  100
k = 0, 1, 2, ..., n -2; i = 0, 1, 2, ... , k .
u~ (0,0)
obligaciis fasi drois mimdinare momentSi u  .
1 0
magaliTi 2.46. mocemulia wliuri mcocavi ganakveTis mqone 4-
wliani obligacia, romelic gansazRvrulia binomialur modeliT
2.40. magaliTidan, 8%-is doneze CaSenebuli kepis arsebobisas.
obligaciis fasis gaangariSeba moyvenilia qvemoT nax. 2.35-ze.
magaliTad,
108 1 107,5 1 100  min8,7
u~ (2,0)       106,47 ,
1  0,09161 2 1  0,075 2 100
103,89 1 105,09 1
u~ (0,0)      6  103,46 .
1  0,07393 2 1  0,065 2
ramdenadac u~ (0,0) - es aris obligaciis fasi pirveli wlis
bolos, maSin obligaciis mimdinare fasi iqneba

230
 u~ (0,0) 1033,46
u~    97,61 dolr.
1  0,06 1,06
0
mcoccavi kupo onuri ganakveTi
g is mqonee uofciono obl ligaciis s fasi
drois im i moment tSi, roc ca xdebaa kuponuuri gadaaxdebi, yovelTvi is misi
nominal lis tol lia. aqeedan gamomdinar re, oblligaciaS Si CaSen nebuli
`kepuri~~ ofcio onis mimd dinare fasi
f tollia 100 dolr,, - 97,61 dolr.
= 2,39 dolr.
anal
logiurad d moiZeb bneba sxva ofci ion CaSeenebuli obligaaciebis
fasebi.
SeniSSvna1. davuSvaT,, rom mimdinar
m reobs romeliRaac CaSen nebuli
ofcioni iT obl ligaciis aqtiur ri gayidva, da CvenTvis s cnobil lia am
obligac ciis sab bazro fasi. meor res mxri iv, volaatilobis mocemu uli 
mniSvnellobis dros SeiZleba aigos sapprocento ganaakveTis
binomial luri modeli,
m romli is safu uZvelze SeiZleeba moi iZebnos
mocemul li obligaciis Teoriu uli fas si.  mniSvnel
m lobas, romlis
r
drosac obligaciis Teoriul T li fasi emTxvevva mis sabazro
s fass,
uwodebeen sapro ocento ganakveT Tis savaaraudo volatilobas (implied (
interest rate
r vola
atulity). savarau
udo vol latilob bis moZeebna Sei iZleba,
magaliT Tad SerCCevis da Secdommebis meT TodiT. saprocen
s nto ganaakveTis
savaraud do vo
olatilo oba SeeiZleba gamoyeenebuli iyos sxva
CaSenebuuli obl ligaciebis Sesaf faseblad d.
SeniSSvna 2. binomial
b luri mod delis safuZvel lze SeiZl leba Seffasdes
saproceento ganakveTTebidan warmoebuli sxvaa finansuri
instrummentebis Rirebul lebac.

231
 2.31 CaSenebuli obligaciebisaTvis riskis zoma
ganvixiloT romeliRac CaSenebuli ofcioniT obligacia,
romlis mimdinare sabazro Rirebuleba V0 -is tolia.
davuSvaT, agebulia saprocento ganakveTis binomialuri modeli.
maSin am modelis safuZvelze SesaZlebelia ganisazRvros mocemuli
obligaciis Teoriuli Rirebuleba. CaSenebuli ofcioniT
obligaciis Teoriuli Rirebuleba SeiZleba gansxvavdebodes misi
sabazro Rirebulebisagan.
z -s sidides, romelic aucileblia daematos yvela forvardul
saprocento ganakveTs, imisaTvis rom CaSenebuli ofcioniT
obligaciis Teoriuli Rirebuleba daemTxves mis sabazro
Rirebulebas, uwodeben `spreds ofcionis gaTvaliswinebiT~ (option-
adjusted spread).
`ofcionos gaTvaliswinebiT spredi~ warmoadgens imis zomas, Tu
ramdenad gansxvavdeba analogiuri uofciono obligaciisagan
CaSenebuli ofcioniT obligacia.
obligaciis mocemuli sabazro Rirebulebis dros saprocento
ganakveTis volatilobis gazrdisas `ofcionis gaTvaliswinebiT
spredi~ gamoxmobili obligaciebisaTvis mcirdeba, xolo
`gayidvadi~ obligaciebisTvis, piriqiT, izrdeba.
magaliTi 2.47. vTqvaT magaliT 2.44-Si ganxiluli gamoxmobadi
obligaciis mimdinare sabazro Rirebuleba 99,43 dolaria.
nax. 2.36-ze moyvanili gaangariSebebi gviCvenbs, rom mocemuli
obligaciis `ofcionis gaTvaliswinebiT spredi~ Seadgens 29,9
sabaziso punqts (s.p.).
ramdenadac 99,429 dolaris toli gamoxmobili obligaciis
Teoriuli Rirebuleba emTxveva mis sabazro fass, amdenad
`ofcionis gaTvaliswinebiT spredi~ Seadgens 29,9 s.p.-s (nax.2.36)
garda `ofcionis gaTvaliswinebiT spredisa~ CaSenebuli
ofcioniT obligaciis riskis zomad ganixileba efeqturi duracia
da am obligaciis efeqturi amozneqiloba.

232
 CaSenebuli ofcio oniT obligaci iis efeeqturi duraci
ia da
efeqturri amozn
neqilobaa ganisaz
zRvreba Semdegnaairad:
V  V
DE  , (22.64)
2V0 (y )
V  V  2V0
CE  , (2.65)
V0 (y ) 2
sadaac, D E - obligac
o ciis efeqqturi duraciaa
d a;
C E - obligac ciis efeeqturi amozneqil
a loba;
V0 - obligac ciis sawyisi sabazro Ri irebuleba;
V ( V ) – sab
bazro Semosavl
S lianobebiis mrudis y (  y ) sid dideze
paralel luri wanacvlebisas obl ligaciis Rirebu uleba.
V ( V ) Rire ebulebiss gansazRvrisaaTvis SeeiZleba Semdegnairad
moviqceT T:
1) avirCCioT y >0
> –is sakmarisaad mciree sidide;
2) yvvela mocemul
l sabz
zro S
Semosavllianobas s davu
umatoT
(gamovakkloT) y da axal li sabazro Semmosavliaanobebis s dros avagoT
saproceento ganakveTis binomial luri moodeli;
3) yvvela forvard
f dul s
saprocennto g
ganakveTs s davu
umatoT
`ofcion nis gaTvvaliswin nebiT spr
redi~;
4) mi iRebuli saproc cento ganakveTi
g is model liT gamoviangaariSoT
V ( V ) Rirebul
R eba.
magaliTi 2.48. 2.447 magaliTidan n ganvi ixiloT gamoxmmobili
obligac cia. saw wyisi saaprocentto ganakveTis binomial luri modeli
agebuli i iyo saabazro Semosavl lianobebis: 6,000; 6,606; 7,272 daa 8,00%
233
safuZvel lze (ix. magali iTi 2.42)). oblig
gaciis saawyisi
s sabazro o fasi
V0 = 99,43
3 dolarria.
sabazro Semosavl lianobebi is mrud dis y = 10 s.p. sid dideze
wanacvllebisas sabazro
s ulebebi aRmoCnd
Rirebu deba 6,10; 6,706; 7,372 da
8,10%-is toli, xolo saproce
s nto gannakveTis binomiaaluri modeli
miiRebs nax. 2.37-ze gamo
osaxul saxes.
s

yvel
la foorvardul saaprocentto gaanakveTze ofcionis
gaTvali iswinebiT
T 29,9 s.p. toli i spredi is damattebiT (ix. magal liTi 2.
47), vpouuloT V Rirebu ulebas. gamoTvl lebi moyvenilia nax. 2.388-ze.
dan gamommdinare V =99,10888 dolr
aqed r.
Tu yvela sabazro Semosavl lianobaa mcirdeeba y =100 s.p.–iT
T maSin
isini Sesabamis
S sad aRmo oCndebiaan 5,9; 6,506;
6 7,1172 da 7,9%-is toli.
Sesabami isi saproocento ganakveT Tis binomialuri i modeli gamosaaxulia
nax. 2.39--ze.
V Rirebul
R lebis gaaangariSeb ba moyvanilia naax. 2.40-z
ze.
amgvarad, V =99,73999 dolr.
oblligaciis efeqtu uri du uracia da efeeqturi amozneqqiloba
SeiZleb ba moZebnnili iyoos (2.64) da (2.65) formullebis mixedviT;
99,7399  99
9 ,1088
D3   3,17
1 ;
2  99,43  0,001
9 ,1088  2  99
99,7399  99 9 ,43
C3   113,65 .
3  0,001
2
99,43

234
235
 2.32 saprocento ganakveTebis droiTi struqturis modeli
uwyveti droiT
saprocento ganakveTebidan warmoebuli finansuri
instrumentebis Sesafaseblad gamoiyeneba saprocento ganakveTebis
droiTi struqturis modeli uwyveti droiT.
saprocento ganakveTis droiTi struqtura ganisazRvreba
dafarvamde sxvadaxva vadis dros nulovani kuponebis mqone
obligaciis SemosavlianobebiT. amrigad, saprocento ~
r (t , t   )
ganakveTi uwyveti daricxvisas drois t momentSi erT welze
investiciebis mixedviT akmayofilebs Semdeg tolobas:
~ 1 A
r (t , t   )  ln .
 B(t , t   )
sadac, B (t , t   ) - nulovani kuponis mqone obligaciis Rirebuleba (
t momentSi), romelic ifareba  wlis Semdeg;
A - obligaciis nominali.
moklevadian saprocento ganakveTi ~r (t ) drois t momentSi
ewodeba lim ~
r (t , t   ) -s
 0

e.i. ~r (t )  lim
 0
~
r (t , t   ) .
Tu cnobilia moklevadiani saprocento ganakveTis ~
r (t )
traeqtoria drois t 0 , T  Sualedze, maSin t , t    t 0 , T  -sTvis:
t 
~
r (t , t   )   ~r (u)du ;
t

B (t , t   )  A  e rt ,t   .
aqedan gamomdinare, drois romeliRac Sualedze moklevadiani
saprocento ganakveTi traeqtoriis codniT, SeiZleba ganisazRvros
am Sualedze saprocento ganaveTis droiTi struqturac.
saprocento ganakveTebis droiTi struqturis mraval modelSi
moklevadiani ganakveTis evolucia moicema stoqasturi
diferencialuri gantolebebis saSualebiT.
rendelman-barteris modeli
kerZod, rendelman-barteris modelSi moklevadiani saprocento
ganakveTi akmayofilebs Semdeg gantolebas
d~r  a~
r d  ~
r dw , (2,66)
e.i. ganisazRvreba brounis geometriuli moZraobiT.

236
 unda SevniSnoT, rom rendelman-barteris modelSi araa
gaTvaliswinebuli `saSualosken dabrunebis~ (mean reversion) efeqti:
Tu saprocento ganakveTi Zalian gadaixreba mis romelime saSualo
mniSvnelobidan, maSin SemdgomSi Cndeba am saprocento ganakveTis
mis saSualo mniSvnelobisaken dabrunebis tendencia.
vasiCekis modeli
saSualosken dabrunebis efeqti gaTvaliswinebulia vasiCekis
modelSi;
d~
r  a(b  ~
r )d  dw , (2.67)
sadac a da b - raRac ricxvebia;
 - saprocento ganakveTis wliuri volatiloba.
vasiCekis modelis erT-erT nakls warmoadgens is, rom masSi
daSvebulia uaryofiTi saprocento ganakveTebis gaCena dadebiTi
albaTobiT.
koks-ingersul-rosis modeli
modelSi
d~
r  a(b  ~
r )d   ~r dw , (2.68)
gaTvaliswinebulia `saSualosken dabrunebis~ efeqti, da masSi
uaryofiT saprocento ganakveTebs dadebiTi albaTobiT gaCena ar
SeuZliaT.
(2.66), (2.67) da (2.68) modelebis parametrebi SeirCeva momgebiani
saarbitraJo SesaZleblobebis ar arsebobis daSvebis safuZvelze.
amitom am modelebs uwodeben saprocento ganakveTebis droiTi
struqturebis arbitraJul modelebs. saprocento ganakveTebis
droiTi struqturebis arbitraJuli modelebi xSirad aRmoCndebian
SeuTanxmebeli saprocento ganakveTebis mimdinare drioT
struqturasTan.
araarbitraJuli modelebis mniSvnelovan magaliTebs
warmoadgenen:
xo-lis modeli
d~
r  ( )d  dw ; (2.69)
hal-vaitis modeli
d~
r  (( )  a~
r )d  dw . (2.70)
romlebSic ( ) funqciebi ise SeirCeva, rom modeli iyos
SeTanxmebuli saprocento ganakveTebis mimdinare drioT

237
struqturasTan. garda amisa, hal-vaitis modelSi agreTve
gaTvaliswinebulia `saSualosken dabrunebis~ efeqtic.
araarbitraJuli modelebis ricxvs aseve miekuTvneba hizi-jerou-
mortonis modelic, romelic hal-vaitis modelis ganzogadebas
warmoadgens.

238
 Tavi 3
sabazro riskebis marTva
3.1 Sesavali
es Tavi eZRvneba sabazro riskebis marTvas. unda aRiniSnos, rom
am Tavis masala efuZneba sabazro kapitalis, warmoebuli finansuri
instrumentebis da sxva raodenobrivi analizis sabazro cnebas.

3.2 sabazro riskebi: gansazRvreba da klasifikacia

sabazro riski (market risk) - es aris obieqtis ekonomikuri
mdgomareobis maxasiaTeblebis Seusabamobis SesaZlebloba im
mniSvnelobebTan, romlebsac elodebian sabazro faqtorebis
zemoqmedebis qveS gadawyvetilebis mimRebi pirebi.
magram xSirad gamoiyeneba (upirveles yovlisa, value at risk-is
meTodologiis axsnisas) im riskis cneba, romelic dakavSirebulia
mxolod arasasurvel SedegebTan, danakargTan da negatiur
SedegebTan.
magaliTad, investori elodeba, rom fasiani qaRaldebis
portfelis Semosavlianoba imyofeba raime diapazonis farglebSi.
Semosavlianobis sabazro donis am intervalidan gadaxris
SesaZlebloba warmoadgens sabazro risks. amasTan, xSirad riskis
qveS igulisxmeba Semosavlianobis gadaxris SesaZlebloba mxolod
uaryofiT diapazonSi.
sabazro riskebi – es praqtikaSi xSirad gamoyofili ZiriTadi
ekonomikuri riskebis sami jgufebidan erT-erTia, romlebSic aseve
Sedis sakredito da operaciuli riskebi. sabazro riskebi
dakavSirebulia sabazro koniunqturis rxevebis
ganusazRvrelobasTan – safaso da sakurso (savaluto) riskebTan,
saprocento riskTan, likvidurobasTan da a.S. – da am rxevebisadmi
mgrZnobelobis matarebeli obieqtebis riskebTan (magaliTad,
aqtivebi da sxva). sabazro riskebs xSirad im teqnikur analizTan
asociaciiT, romlebic gamoiyeneba fasebis, kursebis, moculobis da
bazarTan dakavSirebuli sxva indikatorebis gamokvlevisaTvis da
prognozirebisaTvis, teqnikurs uwodeben (ar unda aurioT
operaciuli an sxva riskebis nairsaxeobaSi!). sabazro riskis
wyaros mxolod pirdapiri safaso faqtorebi ar warmoadgenen.
magaliTad, sxvadasxva insrumentebis Semosavlianobebis korelacia
ar warmoadgens pirdapir safaso faqtors, magram iribad moqmedebs
239
im portfelis safaso maxasiaTeblebze, romelic am instrumentebs
Seicavs.
sabazro riskebis klasifikacia saWiroa, radgan is saSualebas
iZleva mkafiod movaxdinoT problemis struqturireba da gavlena
movaxdinoT situaciis gaanalizebaze da efeqturi marTvis arCevaze.
riskebis klasifikacia unda Seesabamebodes TiToeuli kvlevis
konkretul mizans da xorcieldeba sistemuri midgomis poziciiT.
am principebidan gamomdinare, SeiZleba gamoiyos yvelaze farTod
gamoyenebadi sabazro riskebis klasifikacia sabazro segmentebis
mixedviT, maT Soris:
 saprocento riski (interest rate risk),
 savaluto riski (exchange rate risk)
 aqciebis bazris safaso riski, anu safondo riski (equity risk).
 sasaqonlo bazrebis safaso riski, anu sasaqonlo riski
(commodity risk).
 warmoebuli finansuri instrumentebis bazris riski (derivative
risk).
riskis amaTuim gamzomebis problemis ganxilvis mixedviT,
xmarebaSi xSirad SemohyavT riskis is saxeebi, romlebic
dakavSirebulia procentuli ganakveTis mrudis mobrunebis
SesaZleblobasTan, riski, romlebic dakavSirebulia savaluto
kursebis cvlilebis gamo finansuri Sedegebis cvlilebasTan,
riskebi, romlebic dakavSirebulia konsolidirebuli finansuri
angariSianobisaTvis finansuri angariSebis sxvadasxva valutaSi
translaciisas sxvadasxva savaluto kursebis rxevis gamo (e.w.
satraslacio riski) da sxva.

3.3 saportfelo midgoma da riskebis marTvis sistema

sawarmos raime kontretul aqtivebTan an pasivebTan
asocirebuli riskebi ar SeiZleba ganxiluli iyos izolirebulad.
nebismieri axali ekonomikuri gadawyvetileba unda gaanalizdes
sawarmos aqtivebis da pasivebis mTeli erTbliobis (portfelis)
Semosavlianobaze da riskebze misi gavlenis poziciidan,
ramdenadac am gadawyvetilebis SesaZlo Sexamebam SesaZlebelia

240
mniSvnelovnad Secvalos zogadad mTeli portfelis
maxasiaTeblebi.
portfeluri midgoma (portfolio approach) varaudobs sawarmos
ativebis da pasivebis rogorc erTian portfelis elementebad
aRqmas, romlebic atyobineben mas riskis da Semosavlianobis
maxasiaTeblebs, rac saSualebas iZleva efeqturad ganxorcieldes
SesaZleblobebis analizi da ekonomikuri riskebis parametrebis
optimizacia.
portfeli – es aris sakuTrebis an raime dovlaTis
titulebis mqone aqtivebis (pasivebis) nakrebi, romelic warmoadgs
kompozitur (Semadgenel) aqtivs (pasivs), romlebsac gaaCniaT riskis
da Semosavlianobis (Rirebulebis) paramertebi, romlic icvlebian
ori faqtoris kombinaciis zemoqmedebis Sedegad:
 portfelis Semadgenlobis Secvla (aqtivebis gatana, gacvla);
 riskis da Semosavlianobis (Rirebulebis) cvlileba, romelic
dakavSirebulia rogorc TviT aqtivebis (pasivebis) ise sxva
koniunqturis cvlilebasTan.
portfelis cneba gansakuTrebiT farTod gamoiyeneba fasiani
qaRaldebis erTobliobis aRsaniSnavad, xolo maTTan
dakavSirebuli sabazro riskebi ayalibeben Semajamebel portfelur
risks.
portfeluri riskebis marTvis sferoSi gamoyofen ekonomikuri
damokidebulebis sistemis sam elements:
 gadawyvetilebis mimRebi piri (riskis subieqti);
 misaRebi gadawyvetilebis obieqti (portfeli);
 riskis subieqtis da portfelis garemo (bazari).
riskis subieqti _ es aris ekonomikuri agenti, romelic
warmoadgens an erT pirs an pirTa jgufs, romlic xasiTeba
individualuri arCevanis upiratesobiT da SesaZleblobebiT. riskis
subieqti wyvets portfelis optimizaciis mravalkriterul
amocanas, romlis erT-erT kriteriums warmoadgens riskis mimarT
arCevanis upiratesoba.
bazari – es aris is garemo romelSic imyofebian portfeli da
riskis subieqti. aq bazarSi igulisxmeba potfelis SesaZlebeli
variantebis erToblioba, romelzedac SeuZlia gadavides riskis

241
subieqti miRebuli gadawyvetilebis Sesrulebis Sedegad (bazari
aseve mocemulia koniunqturis Sesacvlelad).
riskis marTvis sistemis ZiriTadi blokebi cxadad an aracxadad
asruleben Semdeg funqciebs:
 riskis subieqtis mier riskis mimarT gamovlenili arCevanis
upiratesobis interesTa SeTanxmebis problemis gadawyvetasTan
damyarebuli marTvis kriteriumebis ageba, Tu es aucilebelia;
 portfelis diagnostika (riskis parametrebis analizi)
koniunqturis rxevis da Sesabamisi bankebis monacemTa gamoyenebiT;
 marTvis kriteriumebis TvalsazrisiT finansuri inJineriis
gamoyenebiT portfelis optimizacia finansuri instrumentebis
sinTezisaTvis romlebic saWiroa sarisko da sxva parametrebis
marTvisTvis.

3.4 taqtikuri da strategiuli risk-menejmenti

risk-menejmenti gavlenas axdens Rirebulebaze rogorc safinanso
ise arasafinanso sawarmoebSi. taqtikuri risk-menejmentis
gamoyenebiT SesaZlebelia Semcirdes dafinansebis Rirebuleba. es
xorcieldeba sxvadasxva faqtorebis saSualebiT.
pirveli, xandaxan menejerebi akeTeben saprocento ganakveTebis
bazrisgan gansxvavebuli qcevis prognozs. magaliTad, iseTi
warmoebuli safinanso instrumenti, rogoricaa svopebi, fasdeba
bazris mier prognozirebuli saprocento ganakveTebis safuZvelze,
romlebic aisaxeba Semosavlianobis mrudze. Tu menejerebi axenen
ganakveTebis samomavlo moZraobis gansxvavebul prognozs vidre es
Cadebulia svopis mimdinare sabazro RirebulebaSi, maT SeuZliaT
amaze iTamaSon.
meore, SesaZlebelia Rirebulebis daweva sxvadasxva bazarze
arbitraJis gziT. ganviTarebul dasavleTis bazrebze arbitraJi
warmoadgens bazris sxvadasxva segmentis asimertul an sxva
saxelmwifo regulirebis Sedegs.
sagadasaxado reJimis gansxvavebuloba iZleva sruliad gasageb
efeqts, romlsac gansakuTrebuli ganmarteba ar sWirdeba. ai
saxelmwifo regulirebis gavlenis magaliTi: xandaxan arbitraJi
dakavSirebulia konkretul sasesxo bazarze SeRwevis barierTan.
Tu aseTi barieri realurad arsebobs, maSin fiqsirebuli
242
Semosavlebis mqone instrumentebis SemoTavazeba am bazarze
SezRudulia, maTi fasi im fasze maRalia, romelic SeiZleba
gansazRvruli yofiliyo Tavisufal bazarze. Sesabamisad am fasian
qaRaldebs moaqvT sabazro doneze dabali kuponuri Semosavali. im
moTamaSeebs, romlebsac SeiZleba hqondeT bazris am segmentebze
SeRwevis saSualeba (magaliTad, saxelmwifo dawesebulebebi,
msoflio banki, transnacionaluri korporaciebi), SeuZliaT
mimarTon arbitraJs da amgvarad Seamciron dafinanasebis
Rirebuleba.
finansirebis gaiafeba SeiZleba transaqciuri xarjebis
Semcirebis gziT. magaliTad, svopebi, romlebic ar saWiroeben
kreditis ZiriTadi Tanxis gatanas, ekonomiis gawevis saSulebas
iZlevian moTxovna miwodebis fasebs Soris sxvaobis, informaciis
moZebnis danaxarjebis likvidurobis da a.S. xarjze. saerTaSoriso
kompaniebs SeuZliaT isesxon kapitali maTTvis SedarebiT iaf
bazrebze da moaxdinon maTi transformireba svopebis meSveobiT
sinTetikur kapitalad maTTvis saWiro im bazarze (saWiro
valutaSi), sadac maT ar gaaCniaT upiratesoba.
magaliTi 3.1. kapitalis Rirebulebis Semcireba SesaZlebelia
ofcionebis gayidviT. magaliTad, sawarmom, romelic finansdeba
mcocavi ganakveTis mqone sesxiT, SeuZlia iyidos kepi ganakveTis
zrdisagan dasacavad. SesaZlebelia sxvanairad moqcevac, kerZod,
flor6 opcionebis paketis gayidva. maTze miRebuli premia dabla
wevs dafinansebis Rirebulebas. magaliTad, firma, romelic ixdis
samwliani valis LIBOR +50 sabaziso punqti ganakveTs yidis 4%-ian
flors. vTqvaT, am dafarvis sami wlisaTvis flori Seadgens 35
sabaziso punqts. Tu ganakveTi tolia an aWarbebs 4%-s, firma
sabolood gadaixdis LIBOR +50 – 35 = LIBOR +15 sabaziso punqti,
magram Tu LIBOR daecema 4%-ze dabla, firma gadaixdis zustad
4,15%-s (4% flor ganakveTis mixedviT plus spredi 15 sabaziso

6 saprocento flori (interest rate floor) – es aris saprocento opcionebis paketi, romelic
iTvaliswinebs gamyidvelis mier myidvelisaTvis premiis sanacvlod sabaziso ganakveTsa
(magaliTad, LIBOR) da floris ganakveTs Soris sxvaobis gadaxdas im SemTxvevaSi Tu sabaziso
ganakveTi flor ganakveTze dabalia. saprocento kepi (interest rate cap) - es aris saprocento
opcionebis paketi, romelic iTvaliswinebs gamyidvelis mier myidvelisaTvis premiis
sanacvlod sabaziso ganakveTsa da floris ganakveTs Soris sxvaobis gadaxdas im SemTxvevaSi
Tu sabaziso ganakveTi kep ganakveTze maRalia.
243
punqtiT). Tu LIBOR ganakveTi gaizrdeba, saprocento dagaxdebi,
romlebsac firma ixdis, moimatebs, magram firma miiRebs sargebels
LIBOR –is mxolod flor ganakveTis donemde dawevisagan. firma ver
miiRebs sargebels ganakveTebis flor ganakveTis doneze dabla
dawevisagan.
korporaciebs SeuZliaT scadon dafinanasebis Semcireba
`hibriduli~ sasexo valdebulebebis (hybrid debts) gamoSvebiT.
magaliTad, msesxeblis aqciebis SeZenaze Cadgmuli ofcionebiT
obligaciebi – varantebi (warrant) – romlebic opcionebis premiis
xarjze, romelic gaicema aseTi obligaciebis myidvelebze, valis
momsaxurebis Rirebulebis Semcirebis saSualebas iZlevian. sxva
magaliTs warmoadgens Cadgmuli ofcioni iseT instrumentSi,
rogoricaa gamoxmobili obligacia (callable bond). faqtobrivad, es
aris obligacia msesxeblis uflebiT gansazRvrul momentSi
dafros vali (saprocento ofcioni `fuT~).
ramdenadac kompaniis Rirebuleba asaxavs diskontirebul
finansur nakadebs, amdenad strategiuli risk-menejmenti
dakavSirebulia or ZiriTad momentTan: pirveli, firmis
Rirebulebis mgrZnobelobasTan diskontirebis ganakveTis
cvlilebis mimarT (portfeluri riski), meore, prognozirebuli
fuladi nakadebis moculobis optimizaciasTan. Tumca cnobili
modiliani-mileris Teorema (Modigliani-Miller theorem) ambobs, rom
firmis Rirebuleba araa damokidebuli kapitalis struqturaze,
daSvebis realur bazarebze, sadac is aris dafuZnebuli, is ar
sruldeba. amitom Tu risk-menejmenti Tavis miznad ayenebs firmis
Rirebulebaze zemoqmedebas, man unda moaxdinos zemoqmedeba iseT
faqtorebze, rogoricaa gadasaxadebi, transaqciuri xarjebi,
sainvesticio gadawyvetilebebi da a.S. (nax. 3.1). risk-menejmenti
mogebis gabnevis Semcirebis saSualebas iZleva.
riskis marTvas SeuZlia gazardos firmis Rirebuleba
sagadasaxdo gadaxdebis da masTan dakavSirebuli danakargebis
Semcirebis gziT. pirveli, es Teoriulad SesaZlebelia im
SemTxvevaSi, Tu gadasaxadebis moculobis funqcia amozneqilia.
aseTi damokidebuleba SeiZleba arsebobdes dabegvris progresuli
Skalis ZaliT. an, magaliTad, sagadasaxado SeRavaTebis, romlebic
damokidebulia dabegvris bazis moculobaze, an sxva maCveneblis
244
arsebobbis dro os (brunvis da a.S..). faqt tobrivad
d amozneqili
damokiddebulebaa SeiZlleba war
rmoiSvas dabegvvris baz zis zog gierTi
moculo obisaTvis alter rnatiul
li minimaaluri gadasaxd
g dis gamoyyenebis
SesaZleeblobis dros, magaliT
m Tad, gadaasaxadi droebiT T Semosaavalze
(patenti
i), sagadsaxado krediti
k da a.S.
liTi 3.2. davuSvaT, rom firma risk-menejeris gareSe iRebda
magal
mogebas Zalian araTanaabrad (nax. 3.2): erT
e wel
ls – Zaalian diids (90
mln. laari), xollo Semdeg wels
s – mcirees (10 ml
ln.lari)).

vTqvaT gadassaxadis ganakveTTis skalla iyos s progr resirebad

di, e.i.
dabegvris funqc ciis mru
udi amozzneqiliaa (nax. 3.. 1). magaliTad, begara
10 aTasii lariddan Seadgens 20%
%-s (2 aTTasi lari), 50 aTasi
a laridan
22%-s (111 aTasi
i lari),, xolo 90 aTas si lari idan – 30% (27 aTasi
lari).
firmaam ori wlis ganmavl lobaSi gadaixaada 29 aTasi lari
gadasaxaadi, raamac Seaadgina ori wl lis gan nmavlobaSi miR Rebuli
mogebis 29%, anu
u saSuallod 14,55 aTasi lari
l weliwadSi i.
245
 firmaSi risk-memejmentis SemoRebis Semdeg mogeba gaxda
stabiluri weliwadSi 50 aTasi laris farglebSi, xolo
gadasaxadma ori wlis manZilze Seadgina 22 aTasi lari, e.i. 22%,
anu saSualod 11 aTasi weliwadSi. risk-menejmentis efeqtma
SesaZlebeli gaxada gadasaxadebis gadaxda weliwadSi saSualod 35
aTasiT Semcirebuliyo.
meore, winaswar gadasaxadebis gadaxda iZleva droSi mogebis
araTanabari ganawilebis problemis Zalian efeqtur gadawyvetas,
romelic dakavSirebulia araTanabrad didi sagdasaxado
gadaxdebis gamo xelidan gaSvebul sargebelTan, romelic ar
Seesabameba sangariSo periodis ganmavlobaSi saSuali mogebas.
magaliTad, risk-menejmentis ararsebobisas pirvel kavartalSi
firmam miiRo wliuri mogebis didi nawili, gadaixada ufro meti
begaris gadasaxadi, vidre saWiro iqmneboda mTeli wlis
ganmavlobaSi, amgvarad, dakarga is sargebeli, romelic mas unda
mieRo begaris gadasaxadSi wasuli saxsrebisagan.
rikis marTvam SeiZleba gazardos firmis Rirebuleba finansuri
kraxis (financial distress) Rirebulebis dawevis gziT. risk-menekmentis
efeqti ori faqtorzea damokidebuli: ramdenad Zlieradaa
hejirebiuli firmis finansuri kraxis riskebi da ramdenad Zlieria
maTi Sedegebi RirebulebiT gamosaxvaSi. finansuri kraxis
albaToba da valis gadaxaze uari aseve ori faqtoriT
ganisazRvreba – kreditorebis finansuri moTxovnis dafarviT (fixed-
clamd coverage) (gakotrebis albaToba izrdeba finanasuri moTxovnis
dafarvis dacemiT) da Semosavlis volatilobiT (Semosavlis
voltilobis gazrdiT izrdeba defoltis albaToba).
finansuri kraxis Rirebuleba yalibdeba gakotrebasTan,
gakotrebis procesTan, reorganizaciasTan an likvidirebasTan
dakavSirebuli pirdapiri xarjebisagan, an arapirdapiri
xarjebisagan, romlebic dakavSirebulia firmis sxvadasxva
partniors qcevis cvlilebebTan – kreditorebis, klientebis,
mimwodeblebis, personalis da a.S. arsebobs mosazreba, rom
yvelaze ufro myaria klientebis ndoba firmis mier warmoebul
produqtis xarisxze im firmisaTvis krizisul pirobebSi, romelic
awarmoebs sawarmoo produqts an an dakavebulia momsaxurebiT,
romlebsac ar gaaCniaT xarisxis demonstrirebisaTvis nimuSebi

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TiToeul mocemul momentSi (credence guuds): SeadareT, magaliTad,
aerogadazidvebi – maT realur xarisxSi mxolod gaweuli
momsaxurebis Semdeg SeiZleba davrwmundeT, da wiaRiseuli romlis
xarisxi SeiZleba nimuSiT Sefasdes. am Tvalsazrisidan
gamodinare, aseTi firmebisaTvis risk-menejmenti gansakuTrebiT
efeqturia.
am gaerTianebaSi Semavali finansuri organizaciebi emorCilebian
daweril Tu dauwerel wesebs, romlebic ZiriTadad dadian: jgufis
mTavari ofisis nebismieri saWiroebebis dakmayofilebis
aucileblobaze, jgufis monawileebis prioritetul
momsaxurebaze am jgufis (holdingis) SigniT damyarebuli saqmiani
Cveulebebis Sesabamisad da met-naklebad Ria bazarze damoukidebel
muSaobaze (gareSe klientebTan). amasTan Tavis saWiroebebis
dasakmayofileblad sawarmoebi upiratesobas aniWeben momwodeblebs
– im sistemis monawileebs, romlebSic is Sedis. es imiT aixsneba,
rom pirveli, mTvari ofisis merkantilisturi politikiT _
xarjebis minimizaciiT, romelic Tan axlavs sistemis gareT fulad
gadinebebs (jgufebi, holdingebi), xolo meore, mocemuli
sawarmosaTvis sakredito riskebis minimizaciiT – partniorebis
mxridan valdebulebebis srulad Seusruleblobis riskebiT,
xSirad Zalian maRaliT, Tu partniori ar warmoadgens am sistemis
monawiles.
aseT jgufebSi an holdingebSi sawarmoos ganviTarebis
strategiis koncefcia SeiZleba bazirebdes Semdeg principebze:
1. mocemuli faqtorebi – bazris mimdinare pirobebi da jgufSi
(holdigSi) urTierTqmedebis wesebi.
2. marTavadi faqtorebi – saqmianobis mimarTulebis arCeva im
sazRvrebSi, romelic ar exeba saTavo ofisis (holdingid marTvel
kompaniis) kompetencias.
3. saqmianobis zomad navaraudevia kriteriumebis sistema dagegmis
sxvadasxva horizontisaTvis:
 grZelvadian strategiul mizans warmoadgens, magaliTad,
jgufis kompaniis (holdingis) konsolidirebuli Rirebulebis
gazrda;

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  saSualovadiani – ganviTarebis mdgradobis da dinamiurobis
uzrunvelyofa, e.i. ganviTrebis tendenciidan gadaxris riskis
optimizacia;
 moklevadiani – biznesis rentabelobis raRac misaRebi doneze
(magaliTad, mimdinare) aranaklebi donis uzrunvelyofa.
sxva sityvebiT, jgufis kompaniis (holdingis) mizanmimarTulad
mdgradi da dinamiurad ganviTarebuli biznesis uzrunvalsayofad
aucilebelia miRweul iqnas biznesis mimarTulebebis
diversifikacia da saSualovadian perspeqtivaSi klienturis (maT
Soris sistemuri klentebis optimaluri wili, optimaluri
Tanafardoba msxvil klientebze gare gayidvasa da sacalo gayidvas
Soris, gayidvebis optimaluri regionaluri struqturebi)
grZelvadiani gegmiT Rirebulebis gazrdisaTvis biznesis mimdinare
mdgradobis da rentabelobis raRac misaReb doneze SenarCunebis
pirobebSi.
yvelaferi es miuTiTebs strategiis zogierTi sabaziso
parametris optimaluri mniSvnelobis gamomuSavebis da miRwevis
aucileblobaze: klienturi portfelis struqturis, rentabelobis
misaRebi minimaluri donis, riskis misaRebi maqsimaluri donis.
strategiis sabaziso parametrebis optimaluri nakrebis
asarCevad gakeTda rigi varaudi:
 ganixileboda klientebis sami kategoria – sistemuri, gare
msxvili klientebi. msxvili sacalo klientebi. klientTa TiToeul
jgufSi xdeboda Semosavlianobis (gayidvebis rentabelobis)
parametrebis da riskis gaanalizeba: gayidvebis rentabelobis
dawevis SesaZleblobis pirdapiri da iribi Sefasebebi raime riskis
realizebis zemoqmedebiT mocemul klientTa kategoriaSi kompaniis
momsaxurebaze moTxovnis dawevis pirobebSi.
 gayidvebis rentabeloba sistemur klientebze (riskis
realizebamde) mniSvnelovnad maRalia, vidre gayidvebis
rentabeloba gare klientebze, sistemaSi mocemuli momsaxurebis
momwodeblebis monopolizirebuli mdgomarebis gamo.
 sacalo vaWrobaSi zednadebi xarjebis didi wili amcirebs
gayidvebis rentabelobas msxvil klientebze gayidvebTan
SedarebiT.

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  sistemuri klientebi SedarebiT SeTanxmebulad moqmedeben, da
riskis realizaciis SemTxvevaSi (e.i. kompniis mier momsaxurebaze
uaris Tqmis SemTxvevaSi) maTi moTxovnis Semcireba maqsimaluria.
 sacalo klientebi yvelaze mdgradebi arian, rogorc bazris
aTvisebis Sedegi isini zrdian kompaniis momsaxurebaze momaval
moTxovnas, amitom raime mizeziT maTi moTxovnis Semcirebisas
moTxovnis Semcirebis sidide danarCeni sami jgufidan yvelaze
mcirea.
 yvela kategoriis klients Soris kompaniis momsaxurebis
moTxovnaze korelacia dadebiTia.
 gare klientebi (msxvili da sacalo) erTmaneTan sakmaod
Zlierad kolerireben kompaniis am momsaxurebasTan TavianTi gare
mdgomareobis gamo.
 msxvili da sistemuri klientebi erTmaneTTan kolerileben
biznesis sididis msgavsebis gamo.
 optimizaciis miznobrivi maCvenebeli: riskis minimizacia
 optimizaciis SezRudvebi: rentabelobis miznobrivi done unda
iyos gare klientebis rentabelobis doneze maRali.
 optimizaciis SezRudvebi klienturis struqturis mixedviT:
yvela kategoriis klientis wili arauaryofiTia da jamSi 100%-s
Seadgens.
 rentabelobis mocemul minimaluri donis da klienturis
struqturis mixedviT SezRudvis dros riskis minimizaciidan
gamomdinare klienturis optimaluri stuqturis SerCeva.
zemoT miTiTebuli varaudebis ASeabamisad agebuli
scenarebisaTvis optimizirebuli gamoTvlebis Sefasebma gviCvenes,
rom optimaluria klientebis Semdegi struqtura:
 sistemuri klientebi – 30-50%;
 gare msxvili klientebi – 60-50%;
 sacalo klientebi – 0-10%.
yvelaze maRali Semosavali da riski moaqvT sistemur
klientebs, yvelaze mcire riski da Semosavali – sacalo
klientebs, xolo sxvadasxva kategoriis klientebs Soris
korelaciis xarjze diversificirebul klientur portfelSi
SesaZlo xdeba riskis daweva riskis msxvili klientebis Sesabamis
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doneze dabla, rentabelobis donis msxvil klientebze gayidvebis
rentabelobis doneze maRla uzrunvelyofis dros.
magram, kompaniis sistemuri xasiTis GgaTvaliswinebiT,
e.i.MmTavari ofisis jgufis moTxovnebiT, unda vivaraudoT, rom
sistemuri klintebis moculoba mainc unda aWarbebdes mTliani
arCevanis 50%-s. zemoT miTiTebuli varaudebidan gamomdinare,
SeiZleba klienturi portflze Semdeg strategiebze rekomendaciis
gaweva:
 sistemuri klientebi – 50-60%;
 gare msxvili klientebi – 40-35%;
 sacalo klientebi – 5-10%.
 biznesis optimaluri struqturi arCevisa da resursebis
(Statebis, saTavsoebis, teqnikis, reklamis da sxva) ganawilebis
dros gaTvaliswinebuli unda iyos klienturi portfelis
miTiTebuli strategiuli miznobrivi struqtura.
 im varaudebis mimdvrobiTi analizirebiT, romlebic zemoT
aRwerili klientebis jgufebis optimizaciis amocanis mixedviT
kompaniis amorCevas udevs safuZvlad, SeiZleba wamovayenoT
principuli moTxovnebi proeqtis (rogorc sawarmosaTvis axali
biznesis saxeebis, ise optimizaciis procesebis CaTvliT, magaliTad
modernizacia, avtomatizacia da a.S.) riski da Semosavlianobis
mimarT, romlebic unda gaxdnen sainveticio politikis birTvi
inovaciis da regionuli politikis sferoSi (sadac filiali,
ganyofileba an Svilobili kopaniebi asruleben proeqtis rols).
zogadad proeqtebis portfelis rentabeloba maRali unda iyos
Sesabamis parametrebze, romlebic gareSe msxvil klientebze
gayidvebis rentabelobas efuZneba.
proeqtebis portfelis mixedviT riskis Sefaseba (riskis
gavleniT rentabelobis dawevis maqsimalurad mosalodneli
diapazoni) ar unda iyos gareSe msxvil klientebis riskis
Sefasebaze maRali.

250
251
252
 sxva Tanabari pirobebis dros upiratesoba unda mieniWos im
proeqtebs, romelTa rentabeloba mcirea an uaryofiTad
korilirebs im kompaniis saqmianobis rentabelobasTan, romlebidan
Semosavlebs gaaCniaT udidesi kuTri wona.
jgufis (holdingis) strategiebis SemoTavazebuli otimaluri
sabaziso parametrebis Sesabamisad SeiZleba xelmZRvanelobam
daisaxos prioritetuli amocanad momsaxurebis arasistematur
bazarze daweva da gareSe msxvil klientebze gayidvebis
rentabelobis aweva, ris gamoc igegmeba reklamis politikis da
momsaxurebis xelSewyobis, qveganyofilebebis biujetis da a.S.
gadaxedva.

3.5. riskis gazomva

riskis axasiTebs ori mniSvnelovani aspeqti: pirveli, finansuri
indikatorebis volatiloba (anu cvalebadoba), xdomilobis
albaToba an sixSire, da meore, saqmianobis kriteriumebis maT
SedegebTan mgrZnobeloba (exposure). Tumca korporaciebs
praqtikulad ara aqvT finansuri cvladebis volatilobis
kontrolirebis SesaZlebloba, maT SeuZliaT moargon TavianTi
mgrZnobeloba am riskebs, magaliTad sawarmoo kontraqtebis
meSveobiT.
Sesabamisad SeiZleba SemoTavazebuli iqnas riskis gamzomi ori
ZiriTadi kategoria: mgrZnobelobis maCveneblebi da albaTuri
(statistikuri) sidideebi. albaTurma maCveneblebma SeiZleba ataron
an igulisxmon mgrZnobelobis Sesaxeb informacia, an piriqiT,
mgrZnobelobis maCveneblebi SeiZleba inteprirebulni iyvnen
rogorc albaTuri Sefasebebi. dayofa ufro pirobiTi xdeba im
subieqturobis mxedvelobaSi miRebiT, romelic warmoadgens
ekonomikuri riskis Sefasebis principialur Tvisebas.
finansuri cvladebis moZraobis mimarT mgrZnobelobis wrfivi
sazomi gamoiyeneba sxavdasxva aRniSvniT. fiqsirebuli Semosavlebis
mqone instrumentebis bazarze saprocento ganakveTebis mimarT
moZaobis mimarT mgrZnobeloba duraciiT izomeba. aqciaTa bazarze
zogadad bazris faqtorebis (magaliTad, safondo indeqsis) mimarT
mgrZnobelobas sistematuri riski an beta koeficienti ewodeba.

253
warmoebuli instrumentebis bazarze sabaziso aqtvebis fasebis
mimarT mgrZnobeloba izomeba delta koeficientiT. meore rigis
maCveneblebs ewodebaT fiqsirebuli Semosavlebis mqone
instrumentebis bazarze amozneqiloba da warmoebuli
instrumentebis bazarze gama koeficienti. amozneqiloba zomavs
saprocento ganakveTis cvlilebis Sesabamisad duraciis
cvlilebas. analogiurad gama zomavs deltas cvlilebas sabaziso
aqtivis fasis cvlilebisas. orive maCvenebeli zomavs finansuri
vcladebis vclilebis mimarT meore rigis mgrZnobelobas (anu
kvadratul mgrZnobelobas). arsebobs riskis mravali sxva
maCvenebeli, romlebic gamoiyeneba warmoebuli instrumentebis
mimarT: vega, Teta, ro lambda, `siCqare~, `feri~ da sxva, romlebsac
qvemoT ganvixilavT.
fundamentaluri ekonomikuri analizi (sabuRaltro da
mmarTvelobiT angariSgebaze dafuZnebuli sawarmos saqmianobis da
sainvesticio proeqtebis mikroekonomikuri analizi) gamoiyenebs
Semdeg maCveneblebs, romlebic faqtobrivad riskis sazomebs
warmoadgenen: maragebi, wyvetebi, likvidurobis koeficientebi,
finansuri mdgradobebi, finansuri berketis mxari da sawarmoo
berketis maxari (leverage), Sesabamisi faqtorebis mixedviT
sxvadasxva ekonomikuri maCveneblebi da a.S. yvela es sazomi amaTuim
xarisxiT axasiaTebs efeqturobis kriteriumebis mgrZnobelobas (an
mgrZnobelobis sawyiss) ekonomikuri saqmianobis Sigasameurneo da
gare koniunqturebis (sabazro) cvlilebebTan. es maCveneblebi
gansazRvraven Sesaswavli da sakontrolebeli parametrebis
prioritetebs, isini gvexmarebian aRmovaCinoT riskis faqtorebs
Soris uerTierTkavSirebi da logikuri damokidebulebebi.
grafikulad mgrZnobelobis parametrebi SeiZleba warmovadginoT
riskis profilis saxiT, ris gamoc riskis analizs aseve uwodeben
riskis profilirebas. riskis profili (risk profile) – es aris
ekonomikuri maCveneblis cvlilebis ( V ) magaliTad mocemuli
finansuri instrumentis Rirebulebis, faqtorebis cvlilebis
gavlenis ( S ) (kursis, saprocento ganakveTis, sabaziso aqtivis
fasis, sxvadasxva fasiani saqonlis an qaRaldebis Rirbulebebis,
vaWrobis moculobis da a.S.) damokidebulebis grafiki. riskis
profilis magaliTebi moyvanilia nax. 3.3-ze.

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 riskis sxva maCveneblebs warmoadgenen sxvadasxva iribi
maCveneblebi: fasiani qRaldebis reitingebis, msesxeblebis,
bazrebis; sxvadasxva aqtivis RirebulebaSi Semavali riskisaTvis
premiebi; warmoebuli finansuri instrumentebis kotirebebi;
deficitis parametrebi (rigis sigrZe da xangrZlivoba maragebis
moculoba) da a.S. yvela es statistikuri, eqsperimentaluri am
sabazro SefasebebiT maCvenebeli axasiTebs aqtivebis riskebs.

riskebis gazomvaSi erT-erT ZiriTad adgils ikavebs riskis

subieqtisaTvis arasasurveli xdomilobebis albaTobebi, maTi
ganawilebis parametrebi am parametrebian warmoebuli maCveneblebi.
gakotrebis albaToba gamoxatavs imaSi darwmunebis xarisxs, rom
sawarmos kapitali arasakmarisi aRmoCndeba kreditorebis yvela
pretenziis dasakmayofileblad. danakargis an Semosavlis miRebis
albaToba da a.S. xSirad adgils uTmobs am xdomilebebis
albaTobebis ganawilebis maCveneblebs.
imisaTvis, rom pasuxi gaeces kiTxvas, Tu rogor ganicdis ese Tu
is kompania saprocento, savaluto da safaso risks, upirvelesad
unda gavecnoT firmis finansur angariSgebas: sabalanso
angariSgebas, mogeba zaralis angariSgebas da sxva dokumentebs, maT
Soris ganmartebiT Canawerebs.
sabalanso angariSgebis gaanalizebisas unda daisvas Semdegi
ZiriTadi kiTxvebi:
 rogoria kompaniis likviduroba? rogoria likviduri
aqtivebis da kompaniis mimdinare valdebulebaTa fardoba?
 ramdenad maRalia sasexo kapitalis done? savale tvirTis
(sasexo kapitalis fardoba aqtivebis saerTo masasTan) koeficienti
warmoadgens aseve finansur berkets, romelic maRla swevs
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sakuTari saxsrebis rentabelobas, da finansuri damokidebulebebis
wyaros.
 aris Tu ara kompania mgrZnobiare konsilidirebul
angariSgebaze valutis kursebis cvlilebasTan dakavSirebuli
riskebis mimarT (e.i. transnacionalur savaluto riskis mimarT)?
aseT risks adgili aqvs Tu konsolidirebul kompaniebs aqvT
Svilobili organizciebi sxvadasxva qveynebSi.
 aris Tu ara kompania mgrZnobiare transaqciuri xarjebis
savaluto kursebis cvlilebis riskis mimarT? es riski Zalian
aqtualuria importiorebisaTvis, eqsportiorebisaTvis da kompaniis
SuamavlebisaTvis.
 imyofeba Tu ara kompania grZelvadian savaluto riskis qveS?
aseTi situacia SeiZleba iyos mogebis repartaciis dros kompaniis
sazRvargareTis filialebidan dividendebis, roialtebis da
filialTaSoriso angariSsworebis saxiT.
 ramdenad mgrZnobiarea kompania saprocento riskis mimarT?
pirvel rigSi, unda moxdes kompaniis sasesxo struqturis
Sesawavla: Tu isini warmodgenilia mcocavi ganakveTiT, misi
cvlileba migviyvans valis momsaxurebis xarjebis cvlilebasTan.
Sesabamisad kompaniis Rirebulebac SeiZleba Seicvalos ganakveTis
rxevebTan erTad.
 imyofeba Tu ara kompania sasaqonlo bazarze fasebis rxevis
gavlenis qveS? bazarze moTxovna-miwodebis elastiurobam SeiZleba
migviyvanos kompaniis maCveneblebis damokidebuleba saqonlis
volantilobaze.
mogeba-zaralis angariSgebis analizi da sxva angariSgegebis da
dokumentebis analizi aigeba Semdeg sakvanZo momentebze:
 rogoria firmis produqciaze (momsaxurebaze) moTxovna?
 Seicvala Tu ara xarji (TviTRirebuleba) SemosavalTan
(amonagebTan) mimarTebaSi?
 adgili aqvs Tu ara savaluto riskebis mimarT mgrZnobelobas?
 ramdenad kargad xdeba valis momsaxureba?
didi mniSvneloba aqvs yuradReba mieqcs ara marto Zalian
maRal da Zalian dabal raodenobriv maCveneblebs, aramed

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xarisxobriv niSnebsac, maT Soris angariSsworebis mimarT
ganmartebiT CanawerebSic.

3.6. Semosavlianoba da volatiloba

maSasadame, sabazro riski xSirad izomeba dispersiiT,
sxvadasxva SesaZlo Sedegebis gafantviT. ganawilebis simkvrivis
funqciis `gluvi~ grafiki niSnavs did risks, `maxvili~ grafiki –
nakleb risks.
riskis gazomvisas SemTxveviT cvladad iReben finansuri aqtivis
Semosavlianobas (return). ganvixiloT, magaliTad, erTi Tvis toli
gazomvis periodi. wina Tvis bolos gazomvis Semosavlebi
avRniSnoT i  1 indeqsiT, xolo mimdinare Tvis bolos - i -iT.
ariTmetikuli anu diskretuli Semosavlianoba r ganisazRvreba
rogorc aqtivis P Rirebulebis nazrds plus iseTi Sualeduri
gadaxdebi, rogoricaa, magaliTad, dividendebi an kuponuri
gadaxdebi D, amasTan Sualeduri gadaxdebi reinvestirdeba
mxolod Tvis bolos:
Pi  Di  Pi 1
r1  (3.1)
Pi 1
grZelvadianis dros gamoiyeneba geometriuli, anu uwyvetad
mzardi Semosavlianobebi x, romelic ganisazRveba rogorc
RirebulebaTa fardobis naturaluri logariTmi Sualeduri
gadaxdebis gaTvaliswinebiT:
Pi  Di
xi  ln . (3.2)
Pi 1
geometriuli Semosavlianobis gamoyenebis upiratesoba ormagia,
pirveli, is SeiZleba iyos ekonomikurad ufro Sinaarsiani, vidre
ariTmetikuli Semosavlianoba. Tu geometriuli Semosavlianoba
normaluradaa ganawilebuli, es ganawileba arasodes ar migviyvans
iqamde, rom fasebi uryofiTi iyos, ramdenadac fasebis Sefardebis
logarTmebis ganawilebis marcxena kudi miiswrafis  -sken fasebis
fardobis nulisken miswarafvis dros, e.i. mimdinare fasis nulisken
miswarafvis dros. piriqiT, normaluri ariTmetikuli ganawilebis
marcxena kudSi Semosavlianobis sidide miiswrafis -  -sken
mimdinare fasis uaryofiTi mniSvnelobisas, rac ekonomikurad
uazrobaa. amitom normaluri ariTmetikuli ganawilebis ganxilva

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uSvebs zogierT aberacias fasebis qcevaSi. zogierTi
monacemisaTvis geometriuli Semosavlianobis gamoyeneba
gansakuTrebiT mosaxerxebelia. magaliTad, gacvliTi savaluto
kursebi SeiZleba gamoisaxos TiToeuli wyvilisTvis ori
valutidan TiToeuliT: dolaris kursi larebSi an laris kursi
dolarebSi. am kursebidan nebismieris Semosavlinobebis
geometriuli ganawileba absoluturad simetriulia, rac ar
SeiZleba iTqvas ariTmetikuli Semosavlianebebis ganawilebaze.
geometriuli Semosavlianobis gamoyeneba aseve mosaxerxebelia
konvertaciis dros. magaliTad, avstriel investor surs
Semosavlianoba evroSi gazomos. is SeiZleba gamoyvanili iyos
dolarSi sabaziso valutiT monacemebidan: ln (kursebis evro-
larTan fardoba)= ln (kursebis evro-dolarTan fardoba) + ln
(kursebis dolari-larTan fardoba). maSin evroSi gamosaxuli
geomertriuli Semosavlianoba ubralod tolia dolarSi
gamosaxuli laris Semosavlianobis da dolarSi gamosaxuli evros
Semosavlianobis sxvaobis.
geometriuli Semosavlianobis meore upiratesoba mdgomareobs
imaSi, rom is Zalian advilad gamoiyeneba periodebis
simravlisaTvis. magaliTad, ganvixiloT drois orTviani
intervalis ganmavlobaSi Semosavlianoba. geometriuli
Semosavlianoba SeiZleba warmodgenili iyos rogorc ori erTviani
Semosavlianobis jami. unda avRniSnoT, rom Zalian xSirad
ariTmetiul da geometriul Semosavlianobebs Soris sxvaoba
 P 
Zalian mcirea. davuSvaT, xi  ln i   ln1  ri  , Tu ri mcire, maSin xi
 Pi 1 
ri 2 ri3
SeiZleba davSaloT teiloris mwkrivad xi  ri    ...  ri . magram
2 3
geometriul da ariTmetikul Semosavlianobebs SeiZleba hqondeT
mniSvnelovani gansxvaveba, Tu droiTi horizonti Seadgens wlebs an
Tu bazari ganicdis did rxevas, ise rogorc es xdeba ganviTarebad
bazrebze.
praqtikaSi Semosavlianoebebis ganawileba Cveulebriv fasdeba
retrospeqtivobis mixedviT, navaraudevia, rom dakvirvebebi
identuria da damoukideblad ganawilebuli. Tu N–
dakvirvebaTaAricxvia, maSin mosalodneli Semosavlianoba m

258
SeiZleba Sefasdes martivi x saSualoTi, xolo riski, variacia –
dispersiis SefasebiT. Semosavlianobis dispersiis Sefasebidan
kvadratul fesvs – standartul gadaxras – uwodeben volatilobas
1 N
(cvalebadobas)    xi  x 2 . is zomas aqtivis risks, rogorc
N  1 i 1
mosalodneli donis irgvliv Semosavlenobebis mniSvnelobaTa
gafantvis xarisxs.
praqtikaSi volatiloba SeiZleba ganisazRvros ara marto
aqtivis fasebis statistikis mixedviT uSualod gaangariSebis
gziT, aramed warmoebuli instrumentebis (ofcionebis)
faswarmoqmnis modelebidan gamomdinarec. amasTan igulisxmeba, rom
Tu ofcionebis faswarmoqmnis modeli varaudobs erT-erT cvladad
sabaziso aqtivis volatilobis gamoyenebas, maSin SesaZlebelia
Sebrunebuli amocanis amoxsna da ofcionebis faqtobrivi
kotirebebis mixedviT gamovTvaloT savaraudo (implied)
volatiloba, romelic asaxavs bazris monawileTa ara warsul, da
SesaZloa moZvelebul, aramed mimdinare molodins (da ra Tqma
unda, faswarmoqnis modelis xarixs). realobaSi erTidaimave
sabaziso aqtivebze sxvadasxva parametrebis mqone ofcionebi
SeiZleba mravali iyos, da savaraudo volatiloba TToeuli
maTganis mixedviT SeiZleba erTmaneTs ar emTxveodes, Mamitom
prognozisaTvis gamoiyeneba am monacemTa gasaSualebis sxvadasxva
modeli.
drois intervali, romlis ganmavlobaSic iangariSeba
volatiloba da sxva parametrebi, SeiZleba sxvadasxva iyos:
saaTebi, dReebi, kvirebi, Tveebi, kvartlebi, wlebi. amasTan
dakavSirebiT Cndeba agregirebis problema – volatiloba da
mosalodneli Semosavlianobis sxvadasxva periodisaTvis gamosaxva.
riskmenejmentis praqtikaSi farTod gamoiyeneba midgoma, romelic
efuZneba or Zlier daSvebas: bazris efqturobis da imis Sesaxeb,
rom drois mTel manZilze Semosavlianobebis ganawileba mudmivi
rCeba.
bazris efeqturobaze daSveba iTvaliswinebs, rom mimdinare fasi
mxedvelobaSi iRebs aqtivebis Sesaxeb yvela mniSvnelovan
informacias drois mocemul momentSi, fasebi icvleba im axali
ambebis zemoqmedebiT, romelTa prognozirebac moxda, amitom

259
droSi fasebs Soris korelacia nulis tolia. arakolerilebuli
SemTxveviTi sidideebis jamisaTvis maTematikuri lodinis da
dispersiis formulebis gaTvaliswinebiT, miviRebT, rom
mosalodneli Semosvlianoba m da dispersia T drois
proporciulia, xolo volatiloba  proporciulia cvladi T
droidan fesvis, romelic izomeba magaliTad, wlebSi:  T   yar T ;
 T   yar T . magaliTad, Tu efeqtur bazarze aqtivis mosalodneli
Rirebuleba ucvleli pirobebis SemTxvevaSi erTi wlis manZilze
Seadgens wliur 24%-s, xolo aqtivis voltiloba wlis
ganmavlobaSi 36%-ia, maSin erTi Tvis manZilze Semosavlianoba
24 1
Seadgens  2% -s, xolo volatiloba 36   10,4% -s.
12 12
mniSvnelovania aRiniSnos, rom, ramdenadac volatiloba izrdeba
droidan fesvis proporciulad, xolo saSualo (mosalodneli
Semosavlianoba) – drois proporciulia, GgrZelvadian
horizontebze dominirebs saSualo, xolo moklevadianze –
volatiloba. es warmoadgens mizezs, romlis gamoc riskis sazomad
drois ganmavlobaSi xSirad iyeneben mxolod volatilobas, da
ignorirebas ukeTeben mosalodnel Semosavlianobas (e.i. saSualos
iReben nulis tolad).
magaliTi 3.3. vTqvaT aqciis Semosavali, romelic
gaangariSebulia wliuri monacemebiT, Seadgens 11,1%-s. xolo riski
-15,4%-ia. imis albaToba, rom Semosavali iqneba nuls qvemoT
(zarali), SeiZleba gamoiTvalos ganawilebis miTiTebuli
parametrebidan gamomdinare statistikuri cxrilis mixedviT. wlis
ganmavlobaSi miTiTebuli zaralis Sesabamisi albaToba
analogiuri normaluri ganawilebisaTvis Seadegens 23,6%-s. zemoT
moyvanili formulebis gamoyenebiT, SeiZleba gamoiTvalos
mosalodneli Semosavlianobis, volatilobis, variaciis
koeficientis (volatilobis fardoba mosalodnel sididesTan)
maCveneblebi, aseve zaralis albaToba drois Seabamisi intervalis
ganmavlobaSi (cxrili 3.2).

260
 cxrili 3.2-dan Cans, rom wlis ganmavlobaSi zaralis gancdis
albaToba (23,6%) gacilebiT naklebia, vidre dRis ganmavlobaSi
(48,2%). es dakvirveba xsnis im msjelobas, rom aqciebSi
grZelvadiani investiciebi SedarebiT nakleb riskiania. magram es
yovelTvis marTali araa, ramdenadac zaralis sidide SeiZleba
dagrovdes droTa ganmavlobaSi.
magaliTi 3.4. riskis zomis gamoyenebis sailustraciod SeiZleba
moviyvanoT riskis gaTvaliswinebiT kapitalis rentabeloba (risk-
adjusted return on capital, RAROC), romelic SemuSavebulia Bankers
Trust–is mier 70 wlebis bolos. magaliTad, Tu aviRebT or
treiders, romelTagan TiToeuli 10 mln. dolar mogebas iRebs:
erTi aSS-s obligaciebis bazarze, xolo meore savaluto bazarze.
romelma treiderma imuSava ukeT? da saiT unda mimarTos firmam
meti kapitali? RAROC maCvenebeli angariSobs kapitalze mogebas
riskis gaTvaliswinebiT, romelic ganisazRreba rogorc kapitalis
zoma, romelic saWiroa imisaTvis, rom daifaros wlis
ganmavlobaSi maqsimlurad mosalodneli zaralis 99%.
davuSvaT, treiders gaaCnia Ria pozicia 100 mln. dolarze
savaluto kontraqtiT, xolo evrodolarTan volatiloba Seadgens
weliwadSi 12%-s. firmas surs hqondes sakmarisi kapitali, rom
dafaros 99% SesaZlo zarali. ramdenadac normaluri ganawilebis
261
funqciisaTvis 1%-s Seesabameba saSualodan 2,326 standartuli
gadaxra, yvelaze uaresi mosalodneli zaralia 2,326  0,12  100 = 28
mln. dolr. maSin treideris efeqturobis Sefaseba warmoadgens
mogebis fardobas riskis dasafaravad sakmaris kapitalze RAROC
= 10 / 28 = 36%.
moviyvanoT normaluri ganawilebis kvantiliebis cxrili
(cxrili 3.3), romelic gamoxatulia saSualodan gadaxris
albaTobebTan SesabamisobaSi myofi standartuli gadaxrebis
raodenobiT:

ganvixiloT axla obligaciebiT momuSave treideris Sedegebi.

davuSvaT, rom mogeba miRebuli iyo 200 mln. nominalis mqone
saSualoze, xolo am obligaciis volatiloba Seadgens daxloebiT
4%-s. maSin maqsimaluri zarali Seadgens 2,326  0,04  200 mln.dolr =
19 mln. dolr. RAROC sidide am treiderisaTvis Seadgens 10 /19 =
53%-s. riskis gaTvaliswinebiT kapitalis rentabelobis
koreqtirebiT, vxedavT, rom is treideri, romelic obligaciebiTaa
dakavebuli ufro efeqturi aRmoCnda. RAROC maCvenebelze
dayrdnobiT treiderebis dajildoveba, riskis mixedviT
koreqtireba, aumjobesebs bankSi risk-menejmentis kulturas.
RAROC SeiZleba gamoyenebuli iyos savaWro limitebis
dadgenisas. magaliTad, treiderma, romelmac Tavisi RAROC-is
Sefasebis mixedviT erT TveSi dakarda kapitalis 10%, unda
SeaCeros vaWroba.

3.7.
beta da alfa koeficientebi
sabazro riskebis Sefasebis erT-erT popularul meTods
warmoadgens sistematuri sabazro riskis – beta-koeficientis (β)
gaangariSeba da analizi, romelic afasebs aqciis riskis
mgrZnobelobas mTlianad sabazro riskis mimarT:

262
 Cov(ri , rm )
i  , (3.3)
D(rm )
sadac  i - i -uri aqtivis beta-koeficientia;
Covim - i -uri aqtivis da bazris (indeqsis) Semosavlianobebis
SemTxveviTi sidideebis kovariaciaa;
Dm - bazris Semosavlianobis dispersiaa.
es meTodi emyareba Sarpis kapitaluri aqtivebis faswarmoqmnis
models (Capital Asset Pricing Model - CAPM) da gamoiyeneba safondo
birJaze kotirebadi aqciis riskis Sesafaseblad. ramdenadac
sabazro Semosavlianoba zogad SemTxvevaSi cnobili araa mis
Sesafaseblad gamoiyeneba farTe bazis mqone raime indeqsi. yvela
fasiani qaRaldi, romelic mocemul bazarze brunavs, ganixileba
rogorc `sabazro portfeli~, xolo yvelaze warmomadgenlobiTi
safondo indeqsis mniSvnelobis cvlileba gamodis sabazro
portfelis Rirebulebis cvlilebis maCveneblad. praqtikaSi
saindeqso modelebis gamoyeneba imiT aixsneba, rom mocemuli
fasiani qaRaldis beta-koeficienti fasdeba warsulSi drois
ramdenime periodis ganmavlobaSi da xdeba prognozirebis
instrumenti. igi interprirdeba, rogorc mgrZnobelobis zoma,
romelic gviCvenebs, Tu mocemuli an mosalodneli cvlilebebis
dros safondo indeqsis Semosavlianoba ramdenad Secvlis
ganxiluli fasiani qaRaldis mosalodneli Semosavlianobis
mniSvnelobas.
riskis erT-erT irib maCveneblad gamodis sidide `premia
riskisaTvis~ – riskis Semcveli mocemuli aqtivis
Semosavlianobasa ri da urisko dabandebebis Semosavlianobebs r f
Soris sxvaobas, romladac praqtikaSi xSirad xmaroben aSS-s
saxazino valdebulebebis mixedviT Semosavlianobebs:
ri - r f .
CAPM-is modeli varaudobs, rom mocemuli fasiani qaRaldis
sistematuri riskisaTvis premia sabazro portfelis mixedviT
riskisaTvis (indeqsis mixedviT) premiis proporciulia
proporciulobis  i koficientiT:
ri  r f   i rm  r f  . (3.4)
realobaSi konkretuli aqtivis riskisaTvis premia SeiZleba
gadaixaros am aqtivebisaTvis gaangariSebuli riskis premiisgan, da
263
am gadaxris sidide SeiZleba daxasiaTdes rogorc aqtivebis
arasistemuri (specifiuri) riski, romelic aRiwereba, bazris mier
mocemuli aqtivis sistemuri riskis arasaTanadod Sefasebis an
gadafasebis maCvenebeliT, alfa-koeficientiT (  ):
 i  ri  r f   i rm  r f  . (3.5)
praqtikaSi axdenen beta- da alfa-koeficientebis Sefasebebis
statistikur dazustebas sxvadasxva regresiuli
damokidebulebebis gaTvaliswinebiT.
arsebobs sxvadasxva Tvalsazrisi fundamentaluri analizSi
alfa- da beta-koeficientebis misaRebobaze, romlebSic alfa-
koeficientis dadebiTi Tu uaryofiTi mniSvneloba uSualod
interpretirdeba rogorc gadafasebuli (Sesabamisad
arasaTanadod Sefasebuli) aqciebis gayidvaze an yidvaze signali.

3.8.
vadiani struqturis wyvetebi, rogorc saprocento riskis
da likvidurobis dakargvis riskis zoma
im SemTxvisaTvis, roca menejerebi TavianTi yuradRebis
koncentracias axdenen dafarvis vadebis Seusabamobaze, saprocento
Semosavalze saprocento aqtivebis an pasivebis Sesrulebaze an
gadafasebaze, Zalian popularulia vadiani struqturis wyvetebis
analizi (gap analysis).
analitikuri balansis muxlebis dajgufeba xdeba calkeuli
kategoriebis mixedviT: saprocento aqtivebi da pasivebi (maT moaqvT
saprocento Semosavali an gasavali – magaliTad, obligaciebi,
savalo valdebulebebi, kreditebi, depozitebi, marTvis saSualebebi
da a.S.) arasaprocento aqtivebi da pasivebi (magaliTad nostro da
loro7 angariSebi, salaroSi fuladi saxsrebi, wilobrivi fasiani
qaRaldebi, ZiriTadi fondebi, sakuTari saxsrebi, sxva aqtivebi).
saprocento aqtivebi da pasivebi jgufdebian dafarvamde vadis an
gadafasebis mixedviT (saprocento Semosavli vadebis mixedviT)
ramdenime diapazonze. rac ufro meti raodenobis dipazoni
gamoiyeneba (ese igi rac ufro wvrilia diapazonebi), miT ufro
zustia Sedegi. xSirad gamoiyeneba Semdegi dajgufebebi: pirveli 12

7 mocemuli bankis sakorespondento angariSebi sxva bankebSi da sxva bankebisa mocemul

bankSi Sesabamisad.
264
diapazoni Tviuria, Semdgom oTxi kvartaluri, Semdeg wliuri
diapazonebi da bolos gaxsnili sazRvriT diapazoni `ramdenime
welze meti~. diapazonebi dajgufeba Cveulebriv ise xdeba, rom
yvela saprocento aqtivi gaTvaliswinebulia ukanasknelis wina
diapazonebSi, romelSic xSirad gaTvaliswinebulia dafarvamde
Zalian didi vadis mqone aqtivebi da pasivebi an uvado
instrumentebisc ki. t vadianobis wyveta (gap) ganisazRvreba
rogorc mocemuli At vadianobis mqone saprocento aqtivebis da Lt
vadianobis mqone pasivebis jamebis sxvaoba. TiToeuli
diapazonisaTvis SeiZleba gamoiTvalos aseTi wyvetis sidide:
Gapt  At  Lt . (3.6)
SesaZlebelia TiToeuli vadianobisaTvis wyvetebis Sedegad
dagrovili kumulatiuri wyvetis (cumulative gap) gamoTvla.
kumulatiuri wyveta warmoadgens im diapazonisaTvis wyvtas,
romelic TavisTavSi moicavs yvela wina diapazons, t 0 vadianobis
mqone pirvelidan dawyebuli:
T
Cumulative  GapT   Gapt . (3.7)
t t0

wyvetis aqtivis zogad sididesTan fardobis koeficienti (gap

ratio) wyvetebisaTvis da kumulatiuri wyvetebisTvis Sesabamisad
gamoiTvleba:
Gapt
GapRatiot  ; (3.8)
A
CumulativeGapt
CumulatveGapRatiot  . (3.9)
A
dadebiTi wyveta niSnavs, rom saprocento aqtivebi mocemuli
vadianobis sazRvrebSi Tavisi masiT aRemateba saprocento pasivebs.
Tu saprocento ganakveTebi gaizrdeba, saprocento Semosavlis
zrda gadaaWarbebs valis momsaxurebis (saprocento gasavali)
Rirebulebis zrdas da wminda saprocento Semosavali (net interest
income) gaizrdeba. Tu saprocento ganakveTi daecema, maSin
saprocento aqtivebisgan Semosavali daecema ufro Zlier, vidre
valis momsaxurebis Rirebuleba, da wminda saprocento Semosavali
Semcirdeba.
uaryofiTi wyveta niSnavs, rom saprocento pasivebi mocemuli
vadianobis sazRvrebSi Tavisi masiT aRemateba saprocento aqtivebs.
265
Tu saprocento ganakveTebi gaizrdeba, valis momsaxurebis
Rirebuleba (saprocento gasavali) gaizrdeba ufro metad, vidre
saprocento Semosavali, da wminda saprocento Semosavali
Semcirdeba. Tu ki saprocento ganakveTebi daecema, maSin valis
momsaxurebis Rirebuleba ufro metad daecema, vidre saprocento
Semosavali, da wminda saprcento Semosavali gaizrdeba.
rac ufro metia wyvetis absoluturi mniSvneloba, miT ufro
Zlieria saprocento ganakveTebis gavlena saprocento Semosavalze,
e.i. saprocento riskis mimarT mgrZnobeloba ufro Zlieria.
riskis minimizaciis TavlsazrisiT idealurs warmoadgens
nulovani wyveta, magram pirveli, aseTi situacia praqtikulad
ararealuria, xolo meore, saprocento ganakveTis zrdis an dacemis
darwmunebulobis dros, piriqiT, SeiZleba vecadoT Semosavlebis
gazrda, Sesabamisad gavzrdiT ra dadebiT an uaryofiT wyvetas.
saprocento riskis gasazomad wyvetis gamoyenebis analizis
dros mniSvnelovan daSvebas warmoadgens sxvadasxva
instrumentisaTvis ganakveTebis simetriuli moZraoba. Tu
ganakveTebi overnight (sadReRamiso bankTaSoriso diapazoni)
gaizrdeba 1%-iT, maSin kreditebis, obligaciebis, depozituri
serTifikatebis mixedviTac isini aseve gaizrdebian 1%-iT. am
TvalsazrisiT duraciis da amozneqilobis maCveneblebi
warmoadgenen wyvetis analizTan SedarebiT gacilebiT srulyofil
instrumentebs, magram isini moiTxoven bankis portfelis mixedviT
gacilebiT rTul gamoTvlebs. obligaciis paketisaTvis es
gamoTvlebi SedarebiT martivi da efeqturia.
aqtivebis da pasivebis vadiani struqturis wyvetis analizis
saSualebiT SeiZleba gamovikvlioT arasakmarisi sabalanso
likvidurobis riski, e.i. fuladi da sxva swrafad mbrunavi
aqtivebis arasakmarisoba mbrunav saxsrebSi saWiroebis dasafarad
da firmis gadaxdiunarianobis uzrunvelsayofad.
Tumca sqemebi da msjelobebi wyvetis analizis dros msgavsia,
unda mivuTiToT saprocento aqtivebis da pasivebis wyvetis
struqturasa da likvidurobis mixedviT aqtivebis da pasivebis
wyvetis struqturas Soris or mniSvnelovan gansxvavebaze.

266
 pirveli gansxvaveba imaSi mdgomareobs, rom likvidurobis
gazomvisas mniSvneloba ara aqvs warmoadgenen Tu ara aqtivebi da
pasivebi saprocento ganakveTebis cvlilebis mimarT mgrZnobiareebs.
meore gansxvaveba aqtivebis da pasivebis wyvetis struqturasa da
saprocento aqtivebis da pasivebis struqturas Soris imaSi
mdgomareobs, rom droiT diapazonebSi ganawilebulni arian
likvidurobaze damokidebulebiT, da ara mosalodneli
Semosavlainobis Semosavlia droiT. magaliTad, obligacia
saprocento Semosavalis uzrunvelyofs dafarvis momentSi, xolo
likvidurobis mixedviT aqtivebis da pasivebis wyvetis
struqturaSi is unda ekuTvnodes ara dafarvis vadamde diapazons
aramed vadas, romlis ganmavlobaSic Sesalebelia misi realizeba
bazarze mniSvnelovani danakargebis gareSe. Tu gvaqvs obligacia
erTi wlis Semdeg dafarvis vadiT, romelic kotirebs sabirJo
bazarze erTi dRis ganmavlobaSi, ra Tqma unda, SeiZleba gaiyidos
sabazro fasad, maSin likvidurobis mixedviT wyvetis struqturaSi
is miekuTvneba im diapazons, romelSic xvdebian erTi dRis vadis
mqone aqtivebi (Cvens magaliTSi - 1 Tvemde), xolo saprocento
wyvetis struqturaSi es saprocento aqtivi xvdeba 1 wlis
diapazonSi. xSirad likvidurobis mixedviT diapazonebad
dajgufeba ubralod Seesabameba mocemul momentSi miRebuli
balansis formaSi aqtivebis da pasivebis dajgufebas, ramdenadac
balansis aqtivebis da pasivebis struqtura iribad asaxavs
mocemul qveyanaSi miRebul likvidurobis Skalaze warmodgenas.
Tu likvidurobis wyvetebi uaryofiTia, es mowmobs
saWiroebisaTvis da valebis dafarvisaTvis likviduri wyaroebis
sruli moculobiT arasakmarisobaze rac Zalian sagangaSo
signals warmoadgens. Tu wyvetebi dadebiTia da Zalian didi, es
mowmobs likvidurobis saxsrebis siWarbeze da maTi Cadebidan
mogebis miRebis simartiveze.
likvidurobis marTvisken mimarTuli risk-menejmenti aqtivebis
wyvetis struqturis pasivebis wyvetis struqrturasTan
SesabamisobaSi moyvanaSi mdgomareobs, rac gansakuTrebiT
mniSvnelovnia sainvesticio kompaniebisaTvis da bankebisaTvis,
romlebic mocemuli likvidurobis donis mqone aqtivebiT bazris
konkretul segmentze muSaoben. meores mxriv finansuri da

267
gansakuTrebiT arafinansuri sawarmoebi Cveulebriv ganicdian
likviduri aqtivebis naklebobas. risk-menejmentis erT-erT farTod
gamoynebad instruments warmoadgens limitis dadgeniT
likvidurobis minimluri maragis SenarCuneba.

3.9. portfelis duracis da imunizacia

portfelis marTvis efeqturobis kriteriumi logikurad
gadajaWvulia proeqtis efeqturobis Sefasebis amaTuim modelTan,
investiciebTan da RonisZiebebTan, romelTagan umetesoba erT-erT
parametrad moiTxovs faseulobebis sxvadsxvadroiani nakadebis
diskontirebis ganakveTs.
efeqturoba SeiZleba gamoiTvalos rogorc sabazro portfelis
Semosavlianobis Siga normiT (IRR) – diskontirebis iseT
ganakveTis, romlis drosac sabazro portfelis dayvanili
Rirebuleba PV toli xdeba misi mimdinare sabazro C Rirebulebis,
e.i. wminda dayvanili Rirebuleba ( NPV  PV  C ) nulis toli xdeba:
Xt
NPV    C  0. (3.10)
t 1  IRR t
portfels dayvanili Rirebulebis funqciis minimumis piroba
PV ( j )   X t j  t , Semdegnairad moicema:
t

PV j   tX t j  t 1  0; (3.11)
t

PV j   t (t  1)X t j  t  0. (3.12)

t

SevwoniT ra dafarvamde vadebs dayvanil RirebulebaSi

Sesabamisi Sewonili gadaxdebis wilebiT, SeiZleba miviRoT
saSualo Sewonili xangrZlivoba – portfelis duracia ( D ):
 tX t j t
D t
. (3.13)
X t
t jj

SevniSnoT, rom portfelis duracia elastiurobis diskontis

erToblivi ganakveTis mixedviT portfelis dayvanili Rirebulebis
tolia:
PVt
D j. (3.14)
PV

268
 duraciis interpretacia SeiZleba, rogorc SemTxveviTi T
sididis maTematikuri lodinis meSveobiT, romelic t
mniSvnelobebs iRebs Semdegi albaTobiT:
X t j t
Pr(T  t )  , (3.15)
 X t j t
t

xolo misi warmoebuli diskontis erToblivi ganakveTiT

pirdapir proporciulia T sididis  T2 dispersiis:
 T2
D j   . (3.16)
j
duracia gviCvenebs Semosavlebis saSualoSewonil vadas, e.i.
Semosavlebis mixedviT analogiuri portfelis xangrZlivobas
erTeuli SemosvliT. portfelis D p duracia SeiZleba gamoisaxos
misi Semadgeneli aqtivebis duraciebiT da struqturiT (aqtivebis
dayvanili Rirebulebebis wili portfelis dayvanil ai
RirebulebaSi a
i
i  1 ):

D   ai Di . (3.17)
i

dayvanili Rirebulebis minimaluri mgrZnobeloba dikontis

ganakveTis cvlilebis mimarT portfelis nulovani durciis dros.
magaliTad, aqtivebis da pasivebis toli dayvanili Rirebulebebis
dros portfelis struqturam unda uzrunvelyos aqtivebis da
pasivebis duraciaTa toloba. aqtivebis da pasivebis marTva unda
miiswrafodes diskontis ganakveTis cvlilebis mimarT portfelis
dayvanili Rirebulebis mgrZnobelobis optimizirebisaken.
magaliTad, moaxdinos Semosavlianobis sabazro donis
fluqtaciebis gamo firmis fasis rxevis riskis minimizacia. amaSi
mdgomareobs portfelis imunizaciis (immunization) arsi – misi
struqturis adaptacia koniunkturis cvlilebebis mimarT.
firmis portfelis imunizaciis iseTi strategiis ageba, romelic
mzadaa moaxdinis ara marto da ara mxolod bazarze spekulireba,
ramdenadac Tavisi riskebis hejireba, SeiZleba am portfelSi
Semavali erTi romelime kompozituri (rTuli) aqtivis duraciis
marTvaze. portfelis struqturis da mis SemadgenlobaSi Semavali
sxva instrumentebis duraciis, rogorc egzogenuri (gareSe)
parametris ganxilvisas, optimalurobis pirobis Tanaxmad SeiZleba

269
vecadoT SevarCioT Secvlili aqtivis struqtura. es kompozituri
aqtivi SeiZleba warmoadgendes imunizaciuri strategiebisaTvis
specialurad Seyvanil obligaciebis pakets.
obligaciebis imunizaciurma paketma unda moaxdinos obligaciis
wminda dayvanili Rirebulebis iseTi maqsimizacia (qaRaldebis
dayvanili Rirebulebis metoba valis momsaxurebis dayvanil
xarjebze – sasesxo kapitalis amortizacia), romelic
uzrunvelyofs firmis portfelis mgrZnobelobis sasurvel dones
bazris efeqturobis normis rxevebis (duraciis) riskis mimarT.
masTan ar unda dairRves sasesxo saxsrebis sidideze biujeturi
SezRudva.
sakiTxis aseTi dasma saSualebas iZleva gadawyvetilebis
miRebis modelis formulireba movaxdinoT mTelricxvani
optimizaciis amocanis saxiT, romelSic ganisazrvreba paketSi
TiToeuli obligaciis optimaluri raodenoba:
max E ;
q1 , q2 ,..., qn 

D M;
P R;
qi  0 , qi  Z , i  1,2,..., n ,
sadac D -portfelis (firmis fasis) duraciis wlebSi;
N - obligaciebis saxeTa raodenoba;
i - obligaciis nomeri;
qi - i -uri obligaciis raodenoba paketSi (cali);
M - maqsimalurad dasaSvebi portfelis duraciis done (weli);
P - sasesxo kapitalis faqtobrivi jamuri moculoba (mln.
dolr.);
R - biujeturi SezRudva an sakredito xazis limiti (mln.
dolr.);
Z - mTel ricxvTa simravle;
E - firmis portfelis wminda dayvanili Rirebuleba anu `firmis
fasi~ (mln. dolr.).
aqvs ki azri imunizaciis Catarebas? zogad SemTxvevaSi
erTmaneTs unda Sedardes obligaciaSi ganTavsebuli danaxarjebi
kapitalis amortizaciis formiT da gadawvetilebis mimRebis mier
riskis arCevis gamo kapitalis SesaZlo dakargvis dazRvevidan
misaRebi xelidan gaSvebuli sargebeli. maSinac ki Tu xdomilobaTa
270
albaTobebis subieqturi Sefasebebi emTxveva gamoyenebul
monacemebs, riskis gansxvavebulma aRqmam SeiZleba migviyvanos
dasmuli kiTxvaze sawinaaRmdego pasuxebamde. unda gavixsenoT, e.w.
gansazRvrulobis efeqtis Sesaxeb, romelic imaSi mdgomareobs, rom
gansazRvruli Sedegi (Semosavali) zogjer fasdeba rogorc
araproporciulad ufro mimzidvelad vidre ganusazRvreli
Sedegebi (danakargebis SesaZlo dawevebi).

3.10. warmoebuli finansuri instrumentebis riskis maCvenebeli

warmoebuli instrumentebis riski fasdeba rigi maCveneblebis
gamoyenebiT, romlebic ZiriTadad berZnuli asoebiT aRiniSneba,
amitom maT zogjer `berZnuls~ (the “Greeks”) uwodeben.
pirveli am maCveneblebidan aris delta (  ,delta). delta
zomavs mocemuli finansuri instrumentis V Rirebulebis
cvlilebis sidides sabaziso safaso r faqtoris mcire
cvlilebisas (magaliTad, procentis ganakveTebis, an sabaziso
aqtivis fasis):
V
Delta  . (3.18)
r
Tu instrumentis Rirebulebis sabaziso safaso faqtorze
damokidebulebas gamovsaxavT wrfiT, maSin delta axasiaTebs
daxris kuTxes, amasTan misi mniSvneloba tolia am kuTxis
tangensis. rogorc sabaziso punqtis fasi, ise duracia, deltac
gamosaxavs imave risks - instrumentis V Rirebulebis
mgrZnobelobas saprocento r ganakveTis cvlilebis mimarT:
1 r
Duration   Delta  . (3.19)
V
Tu warmoebuli instrumentis Rirebulebis sabaziso safaso
faqtorze damokidebulebis grafiki wrfea, maSin delta mudmivi
sididea. margam ase yovelTvis ar xdeba, delta SeiZleba cvladi
sidide iyos da SeuZlia TiviTon Seicvalos riskis faqtorebis
gavleniT, kerZod delta mudmivi araa ofcionebisTvis.
gama (  , gamma) maCvenebeli zomavs deltas cvlilebas sabaziso
safaso faqtoris cvlilebisas:
Delta
Gamma  . (3.20)
r

271
 gama zomavs imave risks rasac amozneqiloba. Tu warmoebuli
instrumentis Rirebulebis sabaziso safaso faqtorze
damokidebulebis grafiki amozneqilia, maSin gama dadebiTia,
Cazneqilis garfikis dros gama uaryofiTia, xolo Tu portfelis
riski wrfivia, maSin gama nulis tolia. gama maCvenebeli
upirvelesad aqtualuria ofcionebisaTvis. yvelaze did
mniSvnelobas gama aRwevs `mogebis gareSe~ (at-the-money)
ofcionebisaTvis, magram gama nulTan axlosaa `wagebiT~ (out-of-the-
money) ofcionebisaTvis, iseve rogorc `mogebiT~ (in-the-money)
ofcionebisaTvis.
vega (vega8) – warmoebuli instrumentebis riskis kidev erTi
maCvenebelia; is zomavs finansuri instrumentis Rirebulebis
cvlilebas sabaziso safaso faqtoris volatilobis cvlilebisas:
V
Vega  . (3.21)

Teta (  , theta) zomavs finansuri instrumentis Rirebulebis
cvlilebas misi Sesrulebamde darCenili vadis cvlilebisas:
V
Theta  . (3.22)
t
xSirad am maCvenebels miuTiTeben investiciuri kompaniebi
mogeba-wagebis Sesaxeb angariSebSi.
ro (  , rho) gamoiyeneba saprocento ofcionebis Rirebulebebis
cvlilebis aRsaniSnavad saprocento ganakveTis cvlilebisas.
lambda (  , lambda) zomavs ofcionis Rirebulebis cvlilebas
aqciaze ofcionebis divedendis d sididis cvlilebisas an
savaluto saprocento ganakveTis dones savaluto ofcionebisaTvis:
V
lambda  . (3.23)
d
gamas cvlilebis maCvenebels sabaziso safaso faqtoris
cvlilebisas uwodeben `siCqares~ (speed):
Gamma
Speed  . (3.24)
r
Tu delta – es instrumentis Rirebulebis funqciis pirveli
rigis warmoebulia sabaziso safaso faqtoris mixedviT, gama –

8 es `fsevdoberZnuli~ dasaxelebaa, aseTi aso berZnul anbanSi ar arsebobs. am

maCveneblis aRsaniSnavad gamoiyeneba berZnuli aso lambda (  )
272
meore rigis warmoebulia, xolo siCqare – mesame rigis warmoebuli.
siCqare saSualebas iZleva davakvirdeT gamas da deltas zrdas
ofcionebTan muSaobis dros.
maCvenebels, romelic zomavs deltas cvlilebas kontraqtis
Sesrulebamde drois cvlilebis Sesabamisad, ewodeba `xibli~
(charm):
Delta
Charm  . (3.25)
t
Tu warmoebuli instrumentebis potrfeli ise hejirebs, rom misi
delta (safaso faqtoris mimarT mgrZnobeloba) nulis tolia,
yoveldRiurad aucilebelia hejirebis mudmivi koreqtireba, xolo
`xibli~ gviCvenebs, ramdenad Zlierad unda Seicvalos hejireba.
`feri~ (color) zomavs gamas cvlilebas kontraqtis Sesrulebamde
drois cvlilebis Sesabamisad:
Gamma
Color  . (3.26)
t
magaliTad Sesrulebis momentis moaxloebisas `feri~
maCvenebliT menejerebs SeuZliaT gaigon, sabaziso aqtivebis mcire
cvlilebebi rogor imoqmedeben hejirebaze.

3.11. warmoebuli finansuri instrumentebis portfeli da

sabazro riskis marTva
upirvelesad, portfeli menejerebma unda moaxdinon delta-
riskis – sabaziso aqtivis fasebis rxevebisadmi portfelis
Rirebulebis mgrZnobelobis - eliminireba hejirebis gziT.
amisaTvis aucilebelia imis codna, Tu rogori unda iyos
portfelis struqtura, rom Semosavlianobis mrudis paraleuri
wanacvlebisas sabaziso aqtivebis fasebis cvlilebam ar imoqmedos
portfelis Rirebulebaze.
magaliTi 3.5. ganvixiloT saprocento svopis da kepisagan
Semdgari portfelis deltas hejirebis magaliTi.
saprocento svops aqvs 25 mln. dolr. nominali (notional principal)
da moqmedebis vada 2 weli. svopis mixedviT banki iRebs eqvsTvian

273
9LIBOR-s, awarmoebs gadaxdebs fiqsirebuli 7,765% ganakveTiT,
gaangariSebebi xdeba naxevarweliwadSi erTxel.
bankma gayida erTwliani kepi samTvian LIBOR-ze nominaliT 50
mln. dolr., kepis ganakveTia 8,5%, gaangariSebebi xdeba
yovelkvartalurad.
davuSvaT, aseve, rom gaangariSebebi xdeba dekembris SuaSi, xolo
ukopono qaRaldebis Semosavlianobis gagluvebuli mrudi moicema
nax. 3.4-ze naCvenebi grafikiT.
mocemuli svopiT banki ixdis fiqsirebul ganakveTs ise, rom
Tanxa, romelsac is ixdis, ivnisSi da momdevno da momdevnos
Semdgomi wlebis dekemberSi, mudmivia. magram banki sxvadsxva
Tanxebs iRebs. ivnisSi banki miiRebs ukve cnobil Tanxas (is
gansazRvrulia amJamindel momentSi moqmedi eqvsTvian LIBOR
ganakveTiT, da svopis nominaliT – 25 mln. dolr.): r6 / 2  25 mln.
dolr. magram danarCeni gadaxdebidan miRebebi ucnobia, is
damokidebulia momaval eqvsTvian LIBOR ganakveTebze. gadaxdebis
zoma romelsac banki miiRebs momavali wlis dekemberSi
damokidebulia eqvsTvian LIBOR ganakveTze, magram ara imaze
romelic axlaa dadgenili, aramed imaze romelic eqvsi Tvis Semdeg
dadgindeba: 6 r12 / 2  25 mln. dolr. Semdgomi wlis ivnisSi da
dekemberSi banki miiRebs Tanxas, romelic ganisazRvreba eqvsTvian
LIBOR ganakveTiT, romelTa realizeba Sesabamisad 12 da 18 Tvis
Semdeg xdeba: 12 r18 / 2  25 mln. dolr. da 18 r24 / 2  25 mln. dolr.
gadaxdebis grafiki naCvenebia nax. 3.5-ze.
mimdinare (spot) ganakveTebSi erTi sabaziso punqtiT10 cvlileba
moaxdens or gansxvavebul efeqts svopis Rirebulebaze da
Sesabamis deltaze. pirveli, svopis mcocavi Semdgenlobebis
(floating-rate leg) gamo, Seicvleba fuladi nakadi. meore, svopis

9eqvsTviani ganakveTi - es aris saxsrebis ganTavsebas 6 Tviani ganakveTiT (igi

gamoxatulia wliur procentebSi), da ara wliuri ganakveTis naxevari (12 TviT ganTavsebis
ganakveTi). imisaTvis, rom gamovTvaloT saprocento ganakveTi 6 Tveze eqvsTviani ganakveTiT,
nominali unda gamravldes eqvsTviani ganakveTis naxevarze, da ara wliuri ganakveTis
naxevarze. analogiurda, imisTvis rom gamovTvaloT saprocento ganakveTis sidide 3 Tveze
samTviani ganakveTiT, saWiroa nominali unda gamravldes samTviani ganakveTis meoTxedze, da
ara wliuri ganakveTis meoTxedze.
10 saprocento ganakveTis erTi sabaziso punqtiT - esaa misi asoluturi sididis 0,01-iT
cvlileba.
274
rogorc mcocavi ise fiqsirebuli (fixed-rate leg) Semadgenlobis
fuladi nakadebi diskontirebuli unda iyos axali saprocento
ganakveTiT. imisTvis rom gavzomoT delta unda gaviTvaliswinoT es
orive faqtori.
jer ganvixiloT mcocavi fuladi nakadi. momdevno wlis
dekembris da Semdegi wlis ivnisis gadaxdebi SeiZleba Seicvalos
(pirveli auxloesi gadaxda ukve dafiqsirebulia). ramdenedac Cven
yvela ganakveTs erTi sabaziso punqtiT (paraleluri wanacvleba)
vcvliT, SegveZlo gvefiqra, rom forvarduli ganakveTebic aseve
erTi sabaziso punqtiT gaizrdeboda.11 mcuravi Semadgeneelis
mixedviT mosalodneli gadaxda 6-12 Tvis periodze Seadgens 991 977
dolr., axali forvarduli ganakveTidan gamomdinare: 0,0793582 / 2  25
mln. dolr. = 991 977.
svopis deltas gamoTvla moyvanilia cxril 3.4-Si.
unda mivaqcioT yuradReba, rom Tumca pirvel periodSi yvela
ganakveTi cnobilia, mcire delta mainc Cndeba imis gamo, rom erTi
sabaziso punqtiT ganakveTebis Secvlisas fuladi nakadis
dayvanili Rirebuleba icvleba am periodisTvisac. zogadad Cans,
rom svopis delta Seadgens 2863-s, e.i. mxolod erTi punqtiT
ganakveTebis gazdisas mosalodnelia svopis Rirebulebis 2863
dolariT Secvla.
rogor SeiZleba saprocento svopis delta-riskis hejireba? es
SeiZleba sxvadasxvanairad moxdes: mimdinare obligaciebis bazarze
poziciebiT, saprocento forvardebiT, sxva svopebiT da
fiuCersebiT. qvemoT moyvanilia hejireba evrodolarian12
fiuCersebis saSualebiT hejireba. evrodolariani kontraqti
ekvivalenturia 1 mln. dolarze samTviani depozitis Rirebulebis.
Tu ganakveTebi erTi sabaziso punqtiT aiweva, aseTi depozitis
Rirebuleba daecema 0,0001 / 4  1 mln.dolr. = 25 dolr., e.i. erTi
evrodolarian fiuCersis mixedviT grZeli poziciis delta
Seadgens _ 25 dolars.

11 SegaxsenebT, rom forvarduli ganakveTi t –dan T –mde periodze gamoiTvleba r spot

ganakveTidan gamomdinare Semdegi formuliT:
1  rT T
f t ,T  1
1  rt t
12 evrodolarebi – es aris amerikuli dolarebi, romlebic aSS-s gareTaa ganTavsebuli.
275
 evrodolarebiani fiuCersebiT grZeli poziciis gaxsniT
SesaZlebeli gaxda migveRo instrumentebis (svopebis da
fiuCersebis) portfeli gacilebiT mcire deltiT – sul +13 dolr.,
e.i. ganakveTebis 1 s.p.-iT gazrdisas unda movelodeT portfelis
Rirebulebis zrdas mxolod 13 dolariT, da ara 2863 dolariT. Tu
banki, ganxiluli svopisagan gansxvavebiT, miiRebda fiqsirebul
fulad nakads, xolo gadaixdida mcuravs, maSin delta iqneboda
uaryofiTi, da hejirebisTvis aucilebeli gaxdeboda evrodolarul
fiuCersebSi mokle poziciebis gaxsna.

276
 rogor movaxdinoT kepis deltis hejireba? bankis mier gayiduli
kepi – es aris saprocento ofcionebis paketi. Tu samTviani LIBOR
gadaaaWarbebs 8,5%-s, maSin banki ofcionebis mflobels gadauxdis
samTvian LIBOR–sa da 8,5%-s Soris sxvaobas. analogiurad ofcionis
mflobeli bankisagan miiRebs gadaxdebs, Tu samTviani LIBOR
gadaaaWarbebs 8,5%-s 6 da 9 TveSi. mocemuli kepi – es aris paketi
sami kepisagan: erTi _ Sesrulebamde samTviani vadiT, meore –
eqvsTviani da mesame – cxraTviani. Sesrulebis fasi (ganakveTi)
Seadgens 8,5%-s. radganac es ofcionebi mxolod momavalSi
sruldeba, ganakveTi, romelic SeiZleba Seudardes Sesrulebis
ganakveTs, iqneba ara mimdinare samTviani LIBOR ganakveTi, aramed
samTvian LIBOR–is forvarduli ganakveTi. es samTvian LIBOR–is
forvarduli ganakveTebi 3, 6, da 9 TvisaTvis gamoiTvleba
saprocento mrudidan gamomdinare, romelic moyvanilia nax. 3.4-ze.
cxril 3.5-Si moyvenilia monacemebi kepisaTvis.

277
 bunebrivia, Tu ganvixilavT kepisa da svopisgan Semdgar
portfels, deltas hejireba evrodolariani ofcionis meSveobiT
SeiZleba Catardes portfeluri efeqtis gaTvaliswinebiT (cxrili
3.6).
rogorc Cans meeqvse TveSi araa imis aucilebloba erTdroulad
43 fiuCersuli kontraqtiT grZeli da 10 fiuCresuli kontraqtiT
mokle poziciis gaixsna, aramed sakmarisia ubralod 33 fiuCersuli
kontraqtiT grZeli poziciis gaxsna, rac mniSvnelovnad amcirebs
transaqciur xarjebs (sakomisioebs, zeddebul xarjebs da a.S.).
zemoT ganxiluli delta-riskis hejireba, e.i. saprocento
ganakveTis mrudis paraleluri wanacvlebis riskis (parallel shift risk)
hejireba, ar icavs portfels am mrudis mobrunebis (rotation/twist risk),
saprocento ganakveTebis naxtomiseburi cvlilebebis (jump risk),
volatilobis cvlilebis (volatility risk) da sxva riskebisagan.

ganvixiloT delta-riskisagan hejirebuli ori portfeli:

dadebiTi delta, romelic Cndeba ramdenime dafarvis (Sesrulebis)

278
vadaze, mTlianad qreba sxva dafarvis vadebze uaryofiTi
deltebiT, magram am or portfelSi es sxvanairadaa gakeTebuli.
pirvel portfelSi Zalian didi dadebiTi samTviani vadis mqone
deltis gaqroba kompesirdeba Zalian didi uaryofiTi oTxTviani
dafarvis vadis mqone deltiT. meore portfelSi dadebiTi da
uaryofiTi deltebi ase Tu ise Tanabrdaa ganawilebuli dafarvis
vadebis simravleze (nax. 3.6).
davuSvaT, rom momavalSi moxdeba Semosavlianobis mrudis
mobruneba: moklevadiani ganakveTebi daecema, xolo grZelvadianebi
aiwevs, rogorc es naCvenebia nax. 3.7-ze.
ganvixiloT Semosavlianobis mrudis mobruneba ra gavlenas
moaxdens portfelebze (cxrili 3.7).
am cxrilidan Cans, rom pirvel portfelSi Semosavlianobis
mrudis mobrunebam, miuxedavad nulovani jamuri deltisa, gamoiwvia
mxolod Rirebulebis vardna, xolo meoreSi Semosavlianobis
mrudis mobrunebiT erT vadaze Rirebulebis vardna kompesirdeba
meore vadebze misi zrdiT.

Tu SevecdebiT Semosavlianobis mrudis mobrunebis gamo

portfelis Rirebulebis danakargis riskis minimizirebas, unda
avirCioT meore portfeli. magram Tu riskis arCevanis mxriv
upiratesoba sxvaa, am dros yvelaze ufro saTuo prognozs
279
warmoadgens, magaliTad Semosavlianobis mrudis sawinaaRmdego
mxares mobruneba (moklevadiani ganakveTebis zrda da
grZelvadianis vardna), maSin menejerma Segnebulad unda airCios
pirveli portfeli, moelis ra misi Rirebulebis zrdas
mniSvnelovani riskis SenarCunebis dros.

delta-riskis hejirebis Semdeg portfeli imyofeba gama- da vega-

riskis qveS. magaliTad, 3, 6, da 9 Tveze ofionebis Semcveli adre
ganxiluli kepis am riskebi sidideebi iseTi eqneba, rogoric es
cxril 3.8-Sia naCevebi.
ramdenadac saprocento forvardebs aqvT nulovani gama, maTi
gamoyeneba SeiZleba gama-riskis hejirebisaTvis. magram ofcionebs
gaaCniaT sxvadasxva vega sxvadasxva ganakveTis dros drois
sxvadasxva momentSi, amitom mocemul momentSi mocemuli
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saprocento ganakveTebis dros vega-riskis hejirebisas aucilebelia
am ori faqtoris gaTvaliswinebiT mudmivad gadaixedos vega-heji.
aseve mniSvnelovania kidev erTi faqtoris gaTvaliswineba, romelic
ganakveTebis naxtomiseburad SeicvalaSi mdgomareobs. amitom
hejirebisas orive scenari unda iqnas ganxiluli: ganakveTi Tu
nel-nela Seicvleba da Tu saprocento ganakveTebi naxtoms
gaakeTeben.

magram hejirebis yvela mimdevroba ar iqneba warmatebuli.

ganvixiloT portfelis delta, gama da vega hejirebebis magaliTebi

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(cxrili 3.9). am cxrilidan Cans, rom gama-hejirebas mivyavarT
portfelis delta riskis mixedviT axlaxans hejirebuli delta
riskis warmoSobamde, xolo vega hejireba migviyvans winaswar am
riskebze hejirebuli portfelis delta da gama riskebis
gaaxlebamde. amitom praqtikaSi rekomendirebulia hejirebis
Sesruleba ukumimarTulebiT: vega-gama-delta-heji (cxrili 3.10).

282
 3.12. Value at risk maCvenebeli (VaR)
zemoT ganxiluli riskis tradiciuli sazomebi, samwuxarod
Seicaven Semdeg seriozul naklovanebebs:
1. mravali maTganis agrerieba riskis faqtorebisagan
ganurCevlad (magaliTad, ar SeiZleba delta da vega-riskebis
agrerireba) SeuZlebelia e.i. amave tipis erT maCvenebelze dayvana).
ver xerxdeba riskis faqtorebis agreგirეba sxvadasxva bazrisaTvis,
magaliTad savaluto ofcionis delta da aqciaze ofcionis delta
ar jamdebian.
2. riskis tradiciuli sazomebi ar zomaven `riskis qveS myof
kapitals~, e.i. im danakargis damfarav kapitals, romelic riskis
mocemuli faqtorebiT aris gamowveuli. amitom am maCveneblebis
safuZvelze Znelia riskebis gaTvaliswinebiT portfelis marTvis
xarisxis Sesaxeb analizis gamoyeneba.
3. riskis tradiciuli sazomebi Sedarebiთ cudad gvaZlevs
riskis gakonrtolebis saSualebas.
yovelive es xsnis im udides popularobas, romliTac
Tanamedrove risk-menejmentSi sargeblobs riskis gasazomi midgoma,
romelic `riskis qveშ myof Rirebuleba~ maCvenebelzea (Valie at risk
(VaR)) dafuZnebuli. igi Sedarebiთ warmatebulad arTmevs Tavs
zemoT CamoTvlil problemebs.
VaR - es aris fulad erTeulebSi (sabaziso valutaSi) im
sididis Sefaseba, romelsac ar aWarbebs drois mocemuli periodis
ganmavlobaSi mocemuli albaTobis mqone mosalodneli danakargebi.
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 VaR maCvenebels Cveulebriv ar iyeneben im bazrebis mimarT,
romlebic krizisul mdgomareobaSi arian.
vTqvaT dafiqsirebulia gaxsnili poziciebis mqone raRac
portfeli. portfelis sandoobis mocmuli (1 -  ) donisTvis da
poziciis SenarCunebis t periodisaTvis portfelis VaR
ganisazRvreba rogorc sidide, romelic uzrunvelyofs portfelis
mflobelis mier mosalodneli x danakargis dafarvas t drois
ganmavlobaSi (1 -  ) albaTobiT:
Pr(VaR  x )  1   . (3.27)
rogorc gansazRvrebidan gamomdinareobs, VaR sidide mocemuli
struqturis mqone portfelisaთvis – es aris udidesi zarali,
romelic ganpirobebulia finansur bazarze fasebis rxeviT da
romelic gamoiangariSeba:
 momavalSi drois gansazRvruli manZliT (droiTi horizonti);
 mocemuli albaTobiT mis araRematebulobas (ndobis done);
 bazris qcevis xasiaTis mocemuli varaudis dros
(gaangariSebis meTodi).
sandoobis intervali da droiTi horizonti warmoadgnen
ZiriTad parametrebs, romelTa gareSe VaR -is arc gaangariSebaa
SesaZlebeli da arc intepretacia. VaR–is mniSvnloba 10 aTas lari
erTi dRis droiTi horizontiT da sandoobis intervaliT 99%
niSnavs (sabazro koniunqturis SenarCunebis pirobebSi):
 imis albaTobas, rom Semdegi 24 saaTis ganmavlobaSi Cven
davkargavT 10 aTas lars Seadgens 99%-s;
 imis albaToba, rom Cveni zarali 10 lari iqneba uaxloesi
dRe-Ramis ganmavlobaSi 1%-is tolia;
 zarali, romelic 10 aTas lars aWarbebs mosalodnelia
saSualod erTxel 100 savaWro dRis ganmavlobaSi.
VaR –is gamosaangariSeblad droiTi horizonti (holding period)
xSirad SeirCeva am instrumentis portfelSi SenarCunebis vadidan
an misi likvidurobidan gamomdinare, e.i. im minimaluri realuri
vadidan gamomdinare, romlis ganmavlobaSic SeiZleba am
instrumentis realizeba bazarze (davxuroT pozicia) mniSvnelovani
zaralis garSe, ramdenadac swored am periodis ganmavlobaSi
treiderebs ar SeuZliaT ramis gakeTeba zaralis dasawevad.

284
magaliTad, `kviris VaR~, `Tvis VaR~ -es aris SesaZlo zaralis
Sefaseba kviris da Tvis ganmavlobaSi Sesabamisad.
VaR –is gamosaangariSebeli horizontisagan unda ganvasxvavoT
VaR –is gamosaangariSebeli periodis siRrme (observation period) –
retrosprqtuili an xelovnurad modelirebuli monacemebi,
romelTa safuZvelze inagariSeba Sefaseba. magaliTad, fraza
`Tviuri VaR –is gaangariSebebis siRrmem Seadgina 2 weli~ niSnavs,
rom monacemebi iReboda 2 wlis manZilze, e.i. 24 Tvis ganmavlobaSi,
xolo fraza `kviris VaR–is gaangariSebebis siRrmem Seadgina 2
weli~ niSnavs, rom monacemebi iReboda 2 wlis manZilze, e.i. 104
kviris ganmavlobaSi.
sandoobis done (confidence level), anu albaToba, SeirCeva im
riskis mimarT upiratesobis miniWebasTan damokidebulebiT,
romlebic makontrolebeli organoebis reglametirebul
dokumentebSi an korporatiul praqtikaSia gamosaxuli da asaxavs
menejerTa Sefasebebs. magaliTad, sabanko zedamxedvelobis bazelis
komiteti 99%-iani donis rekomendacias iZleva, romelzedac
orientacias axdenen makontrolebeli organoebi; praqtikaSi
yvelaze popularulia 95%-iani done, magram aseve gvxvdeba sxva
doneebic (Cveulebriv 95-sa da 99%-s Soris).
nax. 3.8-ze gamosaxuli mrudi mocemuli portfelisaTvis da
poziciis SenarCunebis periodisaTvis iZleva mogebis da zaralis
albaTobebis ganawilebas. daStrixuli nawili Seesabameba arCeul
sandoobis 95%-ian dones (misi farTobi Sedagens mrudis qveS
mdebare saerTo farTobis 95%-s). VaR warmoadgens SesaZlo
danakargis maqsimalur sidides, romelic pasuxismgebelia mocemul
sandoobis doneze.
arsebobs VaR–is Sefasebis mimarT midgomebis ori ZiriTadi
jgufi. pirveli jgufi efuZneba egreT wodebul `lokalur
Sefasebebs~ (local valuation), e.i. finansuri instruentis Rirebulebis
funqciis wrfiv an ufro rTul funqciaze aproqsimaciaze, romlis
mniSvnelovan magaliTs warmoadgens paramertruli delta-
normaluri meTodi. meore jgufi iyenebs `srul Sefasebebs~ (full
valuation), romelic gulisxmobs finansuri instrumentis
Rirebulebis srul gadaangariSebas aproqsimaciuli varaudebis

285
gareSe. am jgufs miekuTvneba istoriuli modelirebis da monte-
karlos meTodebi.

risk-menejmentSi VaR maCvenebeli gamoiyeneba Semdegi

miznebisaTvis:
 gaxsinili poziciebis mixedviT limitebis gaangariSebisaTvis;
 sakmarisi kapitalis gamosaangariSeblad da kapitalis
biznesis mimarTulebebs Soris gasanawileblad;
 riskis gaTvaliswinebiT operaciebis Semosavlianobebis
Sesafaseblad.

3.13. istoriuli monacemebis mixedviT VaR gaangariSebis

modelebis verifikacia
istoriuli monacemebis mixedviT VaR gaangariSebis modeles
verifikacia (backtesting) _ es aris procedura, romelic saSualebas
iZleva sabazro riskis Sefasebis modelis adekvaturobis xarisxis
dadgenis bazris realuri pirobebis VaR maCvenebelis saxiT.
verifikaciis procesi moicavs Semdeg etapebs:
1. mocemuli parametrebis meTodis mixedviT SerCeuli VaR–is T
mniSvnlobebis gamoangariSeba;

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 2. portfelis Vi Rirebulebis faqtobrivi T cvlilebis drois
TiToeuli im periodisaTvis, romlisTvisac gaangariSebuli iyo
VaR:
Vi  Vi  Vi 1 , i =1, 2, ..., T .
3. VaRi -is adreuli mniSvnelobebis da portfelis Vi
Rirebulebis maTi Sesabamisi faqtobrivi cvlilebis Sedareba.
SemTxveva, rodesac sruldeba piroba:
Vi  0, Vi  VaRi ,
anu, Rirebulebis cvlileba uaryofiTia (zarali) da amasTan
absoluturi mniSvnelobiT aRemateba VaR  s, iTvleba gadaWarbebis
SemTxvevad.
4. vTqvaT arsebobs imis albaToba, rom ndobis done (magaliTad,
95%) mocemuli modelisaTvis aradekvaturia.
5. wamoyenebulia nulovani hipoTeza imis Sesaxeb, rom
zemoaRniSnuli albaToba – sworia.
6. SeiZleba gamoiTvalos, romeli albaTobisTvis iqneba
gadaWarbebis raodenoba iseTi, rom ar moxdes nulovani hipoTezis
uaryofa mocemuli raodenobis dakvirvebebisas.
cxril 3.11-Si gaangariSebulia 95%-iani VaR -is Sesabamisi
mniSvnelobebi.
magaliTad, 225 raodenobis dakvirvebis dros, ar iqneba
uaryofili Semdegi nulovani hipoteza: imis albaToba, rom
mocemuli 95%-iani VaR–is gaangariSebis modeli ar Seesabameba
sinamdviles, Tu gadaWarbebis ricxvi 2-ze metia magram 12-ze
naklebi, tolia 0,025-is.
rac ufro didia dakvirvebaTa ricxvi, miT ufro advilia VaR -is
Sefasebis modelis uaryofa mis arakoreqtulobis SemTxvevaSi. rac
ufro naklebia albaToba, miT ufro Znelia imis gageba
momatebulia Tu ara VaR -is Sefaseba, amitom praqtikaSi bevri
cdilobs albaTobis 5%-is doneze mocemas.
Tu verifikaciis Sedegad VaR -is modelis Sefaseba
aradamakmayofilebeli aRmoCndeba, unda Semowmdes Semosavlianobis
arCeuli ganawilebebi da misi parametrebi dakvirvebis realobasTan
SesabamisobaSi, gaanalizdes monacemTa retrospeqtiva bazarze
anomaliuri movlenebis arsebobaze da SesaZloa Seicvalos misi
siRrme modelis Semavali parametrebis Sefasebisas.
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 3.14.delta-normaluri meTodi
value at risk-is istoriuli arsi ganuyofladaa dakavSirebuli am
maCveneblis delta-normalur meTodTan, romelic pirvelad
realizebuli iyo J.P. Morgan bankis mier Tavis cnobil RiskMetrics
sistemaSi, romelmac funqcionireba daiwyo 1994 wlis oqtombris
bolos da daimsaxura sayovelTao aRiareba dargobrivi standartis
saxiT.
VaR sididis gaangariSebis delta-normaluri (delta-normal)
meTodi saSualebas iZleva miviRoT VaR -is Sefaseba Caketili saxiT.
mis safuZvelSi Zevs sabazro riskis faqtorebis logariTmuli
Semosavlianobebis ganawilebis normaluri kanonis Sesaxeb
winapiroba (pirveladi `daunawevrebeli~ aqtivebis fasebi,
romlebzedacaa damokidebuli ufro rTuli instrumentebis,
poziciebis da mTlianad portfelis Rirebulebebi):
rt  ln Pt / Pt 1  ~ N  ,  2  . (3.28)
riski faqtorebis cvlilebebis nornaluri ganawilebis Seaxeb
varaudi mniSvnelovnad aiolebs VaR sididis gamoangariSebas,
ramdenadac am SemTxvevaSi instrumentebis Semosavlianobebis
ganawileba, romelic warmoadgens riskis faqtorebis wrfiv
kombinacias, aseve iqneba normaluri. es fundamentaluri Tviseba
SenarCunebuli iqneba nebismieri portfelisaTvis, romelic Sedgeba

288
wrfivi safaso maxasiaTeblebis mqone instrumentebisagan,
rogorebicaa, magaliTad, aqciebi an valutebi.
SemTxveviTi sididis normaluri ganawilebis SemTxvevaSi
sandoobis intervali ( 1   ) yovelTvis xasiaTdeba mxolod erTi
parametriT – kvantilebiT ( k1 ), romelic gviCvenebs saZiebeli
SemTxveviTi sididis mdebareobas (ganawilebis orive kudSi
simetriulad) saSualo ( E rt  )-is mimarT, romlic gamoxatulia (  t )
portfelis Semosavlianobis standartuli gadaxrebis raodenobiT.
amgvarad, dakvirvebisaTvis xSirad gamoyenebuli sandoobis
intervalis 95 da 99% -is Sesabamisi kvantilebi toli iqneba
portfelis Semosavlianobis 1,65 da 2,33 standartuli gadaxrebis.

3.14.1. erTi aqtivis VaR

delta-normalur meTodSi gamoyenebuli VaR sididis
formaluri gansazRvrisaTvis Tavidan ganvixiloT sainvesticio
pozicia, romelic Sedgeba mxolod erTi erTeuli romelime
aqtivisagan. cxadia, rom aseTi erTeuli poziciis mixedviT dRiuri
sargeblianobis an zaralis zoma zustad toli iqneba am dRis
ganmavlobaSi am aqtivis fasis cvlilebisa. am SemTxvevaSi ( 1   )
albaTobiT mocemuli momdevno dRis yvelaze mcire mosalodneli
fasi toli iqneba
Pt 1  P e E r k  .
t 1  t
(3.29)
erTdRiani Semosavlianobis maTematikuri lodini Cveulebriv
nulis tolad miiReba.
is SeiZleba ganisazRvros rogorc istoriuli monacemebis
mixedviT, magaliTad, droSi riskis variaciis gamTvaliswinebeli
modelebis gamoyenebiT, ise savaraudo volatilobebidan
gamomdinare (romelic miiReba ofcionebis kotirebis safuZvelze)
an am ori midgomis kombinaciis safuZvelze.
Semosavlianobis volatiloba SeiZleba Sefasedes istoriuli
monacemebis mixedviT Cveulebrivi arCeviTi dispersiis safuZvelze,
ise droSi dipersiis variaciis gamTvaliswinebeli modelebis
gamoyenebiT, romelTagan umartivess warmoadgens RiskMetrics
sistemaSi realizebuli eqsponencialuri gagluveba:
 t2   t21  1   rt 2 , (3.30)
sadac  - gagluvebis parametria.
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 Semosavlianobebis standartuli gadaxrebis Sefasebis meore
midgoma mdgomareobs ofcionebis kotirebis safuZvelze savaraudo
volatilobebis gaangariSebaSi. aseve SesaZlebelia am ori midgomis
kombinaciac.
CvenTvis saintereso VaR sidide asaxavs ara fass an
Rirebulebas rogorc aseTs, aramed mis udides mosalodnel
cvlilebas dRis ganmavlobaSi, romelic SeiZleba Semdegnairad
ganisazRvros:
VaR  Pt e  k   1 .
1  t
(3.31)
praqtikaSi e  k   1 sidides Cveulebriv misi miaxlebiTi sididiT
1 t

 k1  t cvlian.  t -s mcire mniSvnelobebisaTvis es wrfivi

aproqsimaciac aseve efuZneba sawyisi funqciis teiloris mwkrivad
gaSlas. xSirad `minus~ niSans toveben da operireben VaR sididis
absoluturi mniSvnelobebiT.
erT dReze meti droiTi horizontebisaTvis Cveulebriv uSveben,
rom fasebis cvlilebis dispersia proporciulia prognozirebis
droiTi horizontis xangrZliobis, rac saSulebas iZleva
erTdRiani VaR sididis martivi gamasStaburebis gziT miviRoT
sabazro riskis Sefaseba aucilebel perspeqtivaze.
ramdenime instrumentisagan Sedgenili calkeuli poziciisaTvis,
romelic riskis erTaderTi faqtoris gavlenis qveS imyofeba VaR
sidide T dRis mqone droiTi horizontiT da sandoobis ( 1   )
intervaliT SeiZleba gamoiTvalos Semdegi formulis meSveobiT:
VaR  k1 V t T , (3.32)
sadac V - poziciis mimdinare Rirebulebaa (mimdinare fasis
erTeuli aqtivis raodenobaze namravli).
amgvarad, delta-normaluri meTodiT VaR -is gamoTvlisas
centralur problemas warmoadgens instrumentis Semosavlianobis
(erTeuli poziciisasTvis) an zogadad portfelis (ramdenime
poziciis erTobliobisaTvis) dispersiis povna. qvemoT Cven VaR
maCveneblis gamoTvlisas gaviTvaliswinebT xolme standartul
(erTdRian) droiT horizonts.

3.14.2 VaR diversificirebuli portfelisaTvis

VaR maCveneblis gamoTvlis delta-normaluri meTodi Tavisi
fesvebiT midis Tanamedrove finansuri aqtivebis portfelis
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Teoriisadan (modern portfolio theory, MPT), romelSic sabazro riskis
zomad gamodis portfelis Semosavlianobis dispersia (an
standartuli gadaxra). am meTodSi Semosavlianobis volatiloba
gamoiyeneba sxva, peaqtikaSi ufro mosaxerxebeli riskis zomis –
udidesi mosalodneli zaralis – misaRebi bazis saxiT.
VaR maCveneblis delta-normaluri meTodiT gamosaTvlelad,
portfelSi Semavali yvela instrumentis Rirebulebebi winaswar
warmodgenili unda iyos sabazro riskis faqtorebis nakrebis
analitikuri damokidebulebis saxiT, romelTa erTdRiani
logariTmuli cvlilebebi eqvemdebareba nulis tol matematikur
ganawilebasTan erTobliv normalur ganawilebas:
rt ~ N (0, ) ,
sadac  - riskis faqtorebis Semosavlianobebis kovariaciuli
matricaa.
SevniSnoT, rom Semosavlianobebis kovariaciuli matrica
SeiZleba warmodgenili iyos Semdegi saxiT:
   T   DD , (3.33)
sadac  - aqtivebis volatilobis svet-veqtoria;
 - korelaciuri matrica;
D - volatilobis diagonaluri martrica (matrica romelSic
mTavar diagonalze mdebareoben Sesabamisi aqtivebis
Semosavloanobebis volatilobebi, xolo danarCeni elementebi _
nulia).
portfelSi wrfivi fasobrivi maxasiaTeblebis mqone
ofcionebis da sxva instrumentebis arsebobisas maTi Rirebulebebi
fasdeba wrfivi aproqsimaciis gziT delta maCveneblis safuZvelze
( P  r )13.
riskis faqtorebis iseTi simravlis arCevas, romelic
sakmarisad srulad asaxavs riskis SesaZlo wyaroebs da
amavdroulad gonivrulad SezRudulic iqneboda, warmoadgens
calke samcniero prolemas, romelic Cveulebriv evristikuli gziT
wydeba. riskis faqtorebis rodenobis mixedviT instrumentebi iyofa
erTfaqtorianad (magaliTad, aqciebi, valuta, ukopono obligaciebi)
da mravalfaqtorianad (magaliTad, forvarduli kontraqtebi

13 aqedan modis am meTodis saxeli – delta-normaluri.

291
valutis miwodebaze). aseve unda gagviTvaliswinoT, rom riskis
erTidaigive faqtori, magaliTad saprocento ganakveTi, SeiZleba
erTdroulad moqmedebdes portfelSi Semaval ramdenime
instrumentis Rirebulebaze.
formaluri TavsazrisiT riskis faqtorebi iZlevian Cveulebriv
veqtorul sivrces, romelSic portfeli aisaxeba veqtoris saxiT,
romelic gviCvenebs wrfiv mgrZnobelobas portfelis Rirebulebisa
riskis arCeuli faqtorebis cvlilebis mimarT da ewodeba
portfelis VaR -asaxva ( VaR -map). moqmedi riskis faqtorebis
gansazRvra da VaR -asaxvis ageba warmoadgens delta-normaluri
meTodis sakvanZo proceduras da ewodeba riskis faqtorebis
mixedviT portfelis dekompozicia (risk mapping). riskis faqtorebis
mocemul mravalganzomilebian sivrceSi VaR -asaxvis veqtoris
elementebis saxiT warmodgenilia riskis faqtorebis mimarT
poziciis mgrZnobelobis maCveneblebi. mgrZnobelobis maCveneblebi
portfelis Rirebulebis cvlilebis dispersiis (fardobiTi an
absoluturi gamosaxulebiT) riskis faqtorebis Semosavlianobebis
cnobili dispersiebiT gamoTvlis saSualebas iZlevian.
Semosavlianobebis fulad sidides mimdevrobiTi gadaqcevisagan
damokidebulebiT portfelis Rirebulebis cvlilebis dispersiis
gamoTvlis (e.i. VaR -asaxvis formebis) procesSi SesaZlebelia
delta-normaluri meTodis zogierTi ekvivalenturi variantis
gamoCena, romlebsac sabolood msgavs Sedegamde mivyavarT.
erTi poziciisaTvis VaR -is gamoTvlis zemoT ganxiluli meTodi
SeiZleba ganzogaddes im portfelisaTvis, romelic ramdenime
sxvadasxva instrumentis mixedviT poziciebisagan Sedgeba. aseTi
portfelis Rirebuleba (V ) warmoadgens mravali cvladis
funqcias, romelTa raodenoba tolia arCeuli riskis faqtorebis
ricxvis. SesaZlebelia moxdes misi mimdinare miSvnelobis
midamoebSi portfelis Rirebulebis nazrdis wrfivi aproqsimacia
teiloris mwkrivis pirveli rigis wevrebiT:
V V V
V  r1  r2  ...  rn . (3.34)
r1 r2 rn
es daSla riskis faqtorebis fardobiTi cvlilebebis meSveobiT
portfelis Rirebulebis cvlilebis zogadi saxiT gamosaxvis
saSualebas mogvcems:

292
  V  r1  V  r2  V  rn
V   r1    r2   ...   rn  . (3.35)
 r1  r1  r2  r2  rn  rn
frCxilebSi moTavsebuli gamosaxulebebi warmoadgenen swored
riskis faqtorebis cvlilebis mimarT portfelis Rirebulebis
cvlilebis mgrZnobelobebs (elastiurobebs). advili dasanaxia, rom
mgrZnobelobis maCvenebeli SeiZleba warmovadginoT (3.35)-Si
koeficient deltas warmoebulis saxiT riskis faqtoris mimdinare
mniSvnelobaze. ramdenadac standartuli gadaxra erTgvarovani
funqciaa (       ), es koeficientebic akavSireben portfelis
Rirebulebebis standartul gadaxrebs riskis faqtorebis
Semosavlianobebis standartul gadaxrebTan. (3.35)-dan
gamomdinareobs, rom portfelis Rirebulebis cvlilebis dispersia
SeiZleba Sefasdes Semdegi formulis mixedviT:
 2V  s12 12  s 22 22  ...  s n2 n2  2 s1 s 2 1 2 1, 2  ...
(3.36)
...  2 s n 1 s n n 1 n  n 1, n  V 2 2V / V
sadac si - riskis faqtorebis Semosavlianobebis mcire
cvlilebebis mimarT portfelis Rirebulebis cvlilebis
mgrZnobelobaa;
 i - riskis i -uri faqtoris Semosavlianobis standartuli
gadaxraa;
 i , j - riskis i -ur da j -ur faqtorebs Soris korelaciis
koeficientia.
VaR sididis gansazRvrisaTvis axla SeiZleba uSualod
visargebloT gamoTvlis sabazo (3.32) formuliT. martriculi saxiT
am formulas eqneba Semdegi saxe:
VaR  k1 S T S  k1 V W T W . (3.37)
sadac S- riskis faqtorebis Semosavlianobebis mimarT
potfelis Rirebulebis absoluturi cvlilebis mgrZnobelobebis
svet-veqtoria;
W - riskis faqtorebis Semosavlianobebis mimarT potfelis
Rirebulebis mgrZnobelobebis svet-veqtoria;
V - portfelis mimdinare Rirebuleba.
am meTodis sasargeblo gansxvaveba imaSi mdgomareobs, rom
riskis faqtorebis mniSvnelobaTa cvlilebisas portfelis VaR –is
gamosaTvlelad sakmarisia Catardes mxolod portfelis

293
Rirebulebis gadafaseba (stabiluri bazris pirobebSi
volatilobis da korelaciis mniSvnelobebis SeiZleba ganaxldes
mogvianebiT, magaliTad, yovelkvireulad an yovelTviurad). cxadia,
rom portfelis struqturis mniSvnelovani cvlilebisas
aucilebelia Catardes VaR –is gamosaTvlel formulaSi Semavali
Sesabamisi parametrebis mTliani gadaangariSeba (volatilobebis,
korelaciebis da mgrZnobelobis koeficientebis). amasTan
portfelis riskis mxolod erTi poziciis mixedviT portfelis
struqturis cvlileba SeiZleba Sefasdes VaR –is gadaangariSebis
gareSe (amis Sesaxeb dawvrilebiT qvemoT visaubrebT).
VaR –is gamosaTvlis ganxiluli delta-normaluri meTodis
`kanonikuri~ varianti warmoadgens wrfiv da universalurs:
Teoriulad is gamoiyeneba nebismieri sirTuli portfelisaTvis,
romlis Rirebulebac SeiZleba warmodgenili iyos sabazro riskis
faqtorebis funqciis saxiT. magram praqtikaSi aseTi midgoma
sakmaod Sromatevadi xdeba: portfelis struqturis garTulebasTan
erTad portfelis mgZnobelobebis koeficientebisaTvis zusti
analitikuri damokidebulebebis moZebna uzarmazari amocana xdeba.
alternatiuli midgoma gulisxmobs sawyisi portfelis
`daSlas~ e.w. standartuli poziciebis (standardized positions)
gamartivebuli erTobliobis saxiT, romelTagan TiToeuli
warmoadgens mxolod erTi riskis faqtoris funqcias, romelsac
gaaCnia iseTive delta-mgrZnobeloba mocemuli riskis faqtoris
mimarT, rogorc sawyis portfels. aseTi portfelis Rirebuleba
standartuli poziciebis Rirebulebebisgan formirdeba da ar
iqneba sawyisi portfelis Rirebulebis toli:
~ n
V   Xi  V .
i 1

TiToeuli miRebuli eTfaqtoriani poziciisaTvis (3.32)

formulis mixedviT SeiZleba moiZebnos misi `individualuri~ PVaR .
magram portfelis erToblivi sabazro riski zogad SemTxvevaSi ar
warmoadgens misi Semadgeneli poziciebis riskebis meqanikur jams,
masSi Semavali instrumentebis fasebis Soris arasrulyofili (1-
isgan gansxvavebuli) korlaciebis ZaliT. am garemoebis gamo
SesaZlebelia portfelis VaR sididis gamoTvlis ori sxvadsxva
saSualeba, romelsac, amavdroulad, erTidaigive Sedegamde

294
mivyavarT: calkeuli poziciis Sualeduri VaR maCveneblis an
dispersiis meSveobiT portfelis Rirebulebis Secvlamde.
aRniSnuli xerxebidan pirveli or safexuriania: Tavidan
gamoiTvleba TiToeuli poziciis individualuri riski, romelic
Semdeg jamdebian korelaciuri kavSirebis gaTvaliswinebiT. es
xerxi realizebulia RiskMertics sistemaSi; is saSualebas iZleva
miviRoT rogorc calkeuli poziciis riskis suraTi, ise mTlianad
portfelisa zogadad. portfelis VaR -is gamosaTvlel Sesabamis
formulas Semdegi saxe aqvs:
VaR  PVaR T PVaR , (3.38)
sadac, PVaR _poziciebis individualuri riskebis svet-veqtoria.
meore xerxi gvTavazobs portfelis Rirebulebis cvlilebebis
dispersiebis gamoTvlas, rac saSulebas iZleva uSualod
gamovaloT misi riskobrivi Rirebulebis sidide. wina aRniSvnis
gamoyenebiT, SegviZlia erTfaqtoriani n standartuli
poziciebisagan Semdgari portfelis Rirebulebis cvlileba
Semdegi saxiT warmovadginoT:
~ dX 1 dX 2 dX n
V  r1  r2  ...  rn . (3.39)
dr1 dr2 drn
aSkaraa, rom orive portfelis ekvivalenturobis uzrunvelyofa
~
standartuli poziciebis faqtorebis riskis ( V  V )
cvlilebebis mimarT maTi delta-mgrZnobelobebis TvalsazrisiT
iseTi unda iyos, rom r j -sTvis (3.35) da (3.39) daSlaSi koeficientebi
erTmaneTis toli iyos. maSin SevZlebT standartuli poziciebis
portfelis Rirebulebebis cvlilebebis rogorc riskis
faqtorebis ise standartuli pociziebis SemosavlianobebiT
gamosaxvas:
~  dX  r  dX 2  r2  dX n  rn
V   r1 1  1   r2   ...   r2  , (3.40)
 dr1  r1  dr2  r2  drn  rn
~  dX r r1   dX 2 r2 r2   dX n rn rn 
V  X 1  1 1   X2   ...  X n  
 dr1 X 1 r1   dr2 X 2 r2   drn X n rn  (3.41)
r r2 r
 X 1 a1 1  X 2 a 2  ...  X n a n n
r1 r2 rn
aqedan uSualod SeiZleba gamoiTvalos standartuli
poziciebis portfelis Rirebulebebis absoluturi cvlilebebis
dispersia (3.36)-is analogiurad, winaswar SevafasebT ra riskis
295
faqtorebis mosalodnel korelaciis koeficientebs da
mosalodnel volatilobas. bolos, VaR sididis gamoTvla
Semdegnairad SegviZlia:
~ ~ ~
VaR  k S T S  k X T X , (3.42)
~
sadac S - riskis faqtoris Semosavlianobebis cvlilebebis
mimarT standartuli poziciis Rirebulebis cvlilebis
mgrZnobelobis svet-veqtoria, romlis elementebs warmoadgenen
frCxilebSi moTavsebuli gamosaxulebebi (3.40)-dan;
X - standartuli poziciebis mimdinare Rirebulebebis svet-
veqtoria;
~
 - standartuli poziciebis DSemosavlinobebis cvlilebebis
kovariaciuli matricaa, romlis elementebsac warmoadgenen
frCxilebSi moTavsebuli dispersiebis da kovariaciebis
~
gamosaxulebebi (3.41)-dan. SevniSnoT, rom   A , sadac A-
diagonaluri marticaa, romlis elementebs warmoadgens aj
koeficientebi (3.41)-dan
delta-normaluri meTodis Rirsebebi:
 DSedarebiT martivi realizacia.
 pirveladi monacemebis Segrovebaze da gamoTvlaze SedarebiT
naklebi xarjebi.
 praqtikuli gamoyenebis umravles SemTxvevaSi VaR Sefasebis
misaRebi sizuste.
delta-normaluri meTodis nakli
 arawrfivi instrumentebis riskis Sefasebis dabali sizuste,
iseTebis rogoricaa ofcionebi. delta-normaluri meTodi riskis
mimarT instrumentebis mgrZnobelobas mxolod deltis meSveobiT
zomavs, e.i. instrumentebis fasebis cvlileba izomeba delta
sididis da sabaziso aqtivis fasis cvlilebebis proporciulad,
maSin roca arawrifivi instrumentisaTvis mniSvnelovan rols
asrulebs amozneqiloba da mgrZnobeloba riskis sxva faqtorebis
mimarT (magaliTad, sabaziso aqtivis volatilobis cvlilebis
mimarT). amitom arawrfivi instrumentebisaTvis delta-normaluri
meTodi misaRebia mxolod sabaziso aqtivis fasis Zalian viwro
diapazonSi monaxvis dros.

296
  umetesoba finansuri aqtivebis ganawilebisaTvis
damaxasiaTebelia e.w. `msxvili kudebi~ (fat tails) – ganawilebis
kideebze albaTobebis simkvrivis ganawilebis normaluri
ganawilebidan gadaxra, ris Sedegadac VaR Sefasebebi, romlebic
normaluri ganawilebis safuZvelze gamoiTvleba, aRmoCndebian an
daweulni an aweulni (sandoobis doneze damokidebulebiT).
 erTeuli xdomilobebis riskebis (event risk) ignorireba,
romlebsac SeuZliaT migviyvanon anomalur danakargebTan da
romlebic arc ise sakmarisad xSirad xdeba, rom warmodgenili
iyvnen ukanasknel istoriul monacemebSi (romelTa safuZvelzec
fasdeba Semosavlianobebis korelacia da volatiloba).

3.15. delta-gama-vega-miaxloeba
Tu portfeli Sedgeba ofcionebisagan, maSin VaR -is
gamosaangariSeblad misTvis delta-normaluri midgomis
gamoyenebisas vawydebiT Semdeg problemebs:
 portfelis delta SeiZleba Zalian Cqara Seicvalos (maRali
gama);
 portfelis delta SeiZleba iyos sxvadasxva sabaziso aqtivis
fasis awevisaTvis da dacemisaTvis;
 SesaZlebelia situacia, rodesac instrumetis mixedviT
zRvruli danakargebis Sefaseba SeuZlebelia, sabaziso aqtivis
fasis orive mxares zRvruli gadaxrebidan gamomdinare, e.i.
Rirebulebis cvlilebis funqcia warmoadgens aramonotonurs. am
SemTxvevaSi unda Semowmdes portfelis Rirebulebis qceva
sabaziso aqtivis yvela Sualedur mdgomareobaSi.
delta-normaluri midgomis erT-erTi mTavari nakli imaSi
mdgomareobs, rom delta riskis garda is ar iTvaliswinebs sxva
romelime risks. magram am midgomis CarCoebSi gamoTvlaSi aseve
SeiZleba CarTuli iyos is maCveneblebic, romlebic asaxaven gama-
da vega-riskebs, romlebic warmoadgenen im teiloris mwkrivis
wevrebs, romelic axdens instrumentis Rirebulebis V funqciis
aproqsimaciul zrdas:
1
dV  dS  dS 2  d  ..., (3.47)
2

297
 sadac  , ,  - deltas, gamas da vegas Sefasebebia
portfelisaTvis zogadad,
S - sabaziso aqtivis fasi.
delta-gama-vega-miaxloeba (delta-gamma-vega approximation)
saSualebas iZleva erTidaimave sabaziso aqtivebis ofcionebisagan
Sedgenili portfelisaTvis movaxdinoT VaR -is gamosaangariSeba
Semdegi formulis mixedviT:
VaR |  | (k S ) 2  |  || Sd | . (3.48)
Tu gama uaryofiTia, rac ofcionebis portfelis mixedviT
mokle wminda pozicis Seesabameba, maSin (3.48) formulaSi meore
Sesakrebi risks gazrdis, maSin roca dadebiTi gama moaxdens VaR
sididis koreqtirebas dawevis mimarTulebiT. Tu zogadad
portfelSi wminda pozicias gaaCnia dadebiTi vega, maSin
volatiloba klebulobs, Tu uaryofiTi – ecema.
Tumca delta-gama-vega-miaxloeba iTvaliswinebs riskis arawrfiv
xasiaTs, mainc rCeba Semdegi problemebi:
 meTodSi SemoTavazebulia rogorc sabaziso aqtivebis (riskis
faqtorebis) Semosavlianobebis, ise maTi kvadratebis, normaluri
ganawileba rac, rogorc wesi, ar sruldeba arc TeoriaSi arc
praqtikaSi;
 faqtorebis ricxvis gazrdasTan erTad gamoTvlebis moculoba
geometriulad izrdeba. marto delta-gama-miaxloebis dros ukve 100
riskis faqtoris dros saWiroa 100 deltas Sefasebis,
kovariaciuli matricis 5050 elementis mniSvnelobis da damatebiT
gama korficientis martiricis 5050 elementis gaangariSeba,
romelic moicavs portfelis TiToeuli poziciisaTvis riskis
TiToeuli faqtorisaTvis meore rigis kerZo warmoebulebs;
 portfelis Rirebulebis qcevis Semowmebis aucilebloba
narCundeba riskis faqtorebis yvela Sualedur mdgomareobisas, Tu
is Sedgeba arawrfivi instrumentebisagan Rirebulebis cvlilebis
aramonotonuri funqciiT.
aseve mniSvnelovania mxedvelobaSi viqonioT, rom im
SemTxvevaSi, roca portfelSi ofcionebis wili mniSvnelovania,
periodis ganmavlobaSi portfelis volatiloba araa proporciuli
droiTi horizontebis fardobidan kvardatuli fesvis, da is unda

298
Sefasdes VaR -is gaangariSebis uSualod CvenTvis saintereso
droiTi horizontisaTvis sruli Sefasebis gziT.
didi diversificirebuli portfelisaTvis sadac ofcionebi ar
dominireben, delta-normaluri meTodi waarmoadgens VaR -is
gaangariSebis yvela swraf da efeqtur saSualebas.
portfelisaTvis, romelic mgrZnobiarea SedarebiT mcire
raodenobis riskis wyaros mimarT ofcionebis garkveuli
(mniSvnelovani) wiliT, delta-gam-vega-miaxloebebi uzrunvelyofs
SedarebiT maRal sizustes SedarebiT naklebi gamoTvliTi
simZlavris moTxovnis pirobebSi. ofcionebis mniSvnelovani wilis
mqone portfelisaTvis aucilebelia mTlian Sefasebaze dayrdnobiT
midgoma, romelic iTvaliswinebs sabaziso aqtivebis sxvadasxva
mniSvnelobebisaTvis da sxva riskis faqtorebis pirobebSi
portfelis mTlian gadafasebas:
V  V ( S I )  V ( S 0 ) . (3.49)
VaR -is gaangariSebis es meTodebi Teoriulad ufro koreqtulni
arian, magram Tan axlavT portfelis mravalvariantian srul
gadafasebaze xarjebi, romlebic mniSvnelovnad izrdeba poziciebis
gazrdasTan erTad. VaR sidide SeiZleba uSualod miRebuli iyos
portfelis Rirebulebis cvlilebis agebuli empiriuli
ganawilebidan gamomdinare.

3.16 istoriuli modelirebis meTodi

istoriuli modelirebis meTodi (historical simulation) miekuTvneba
sruli Sefasebis meTodTa jgufs da warmoadgens araparametruls.
is efuZneba uaxloes momvalSi sabazro fasebis stacionaluri
qcevis Sesaxeb varauds. Tavidan xdeba drois T siRrmis periodis
arCeva (magaliTad 200 savaWro dRe), romlis ganmavlobaSic xdeba
istoriul cvlilebebze (magaliTad dRiur) portfelSi Semavali
yvela N aqtivis P fasze dakvirveba:
Pi ,t  Pi ,t  p i ,t 1 , i  1,2,..., N ; t  1,..., T . (3.50)
yoveli am cvlilebebis T scenarisTvis TiToeuli aqtivis
momavalSi hipotezuri fasi P * modelirdeba, rogorc misi mimdinare
P0 fass plus mocemuli scenaris Seesabamebmisi fasis nazrdi:
Pi *,t  Pi ,o  Pi ,t , i  1,2,..., N , t  1,2,...T . (3.51)

299
 Semdeg xdeba istoriul scenarebze dayrdnobiT modelirebuli
fasebiT mTliani mimdinare portfelis sruli gadafaseba, da
TiToeuli scenarisaTvis gamoiTvleba, ramdenad Seicvleboda
dRevandeli portfelis Rirebuleba:
 Vt  Vt *  V o , t  1,2,..., T . (3.52)
amis Semdeg xdeba portfelis miRebuli T cvlilebebis ranJireba
klebis mixedviT (yvelaze didi nazrdidan yvelaze did zaralamde),
romlebic SeiZleba davnomroT 1-dan T -mde. sasurveli sandoobis
(1   ) donis Sesabamisad VaR sidide ganisazRvreba rogorc iseTi
maqsimaluri zarali, romelic ar imatebs (1   )T SemTxvavSi, e.i. VaR
im nomriani cvlilebis absolituri mnSvnelobis tolia, romelic
(1   )T ricxvis mTeli nawilis tolia.
mocemuli meTodi SedarebiT advilad realizebadia, Tu
menejmentebis gankargulebaSia riskis yvela im faqtoris Sesaxeb
ganaxlebadi yoveldRiuri monacemTa baza, romlis zemoqmedebasac
ganicdian portfelis instrumentebi. rogorc wesi, rac ufro didia
fasebis modeliebisaTvis gamoyenebuli retrospeqtivis siRrme, miT
ufro maRalia _ VaR -is Sefasebebis sizuste, magram amavdroulad
ufro saxifaToa moZvelebuli monacemebis gamoyeneba, romlebic
`axSoben~ bazris axal tendenciebs.
istoriuli modelirebis meTodSi riskis faqtorebis
mniSvnelobaTa cvlileba izomeba im intervalebis ganmavlobaSi,
romlebis Seesabamebian VaR -is gamoTvlis SerCeul horizonts.
magaliTad, Tviuri VaR -is gamosaTvlelad unda avagoT ramdenime
wina wlebis manZilze modelirebuli portfelis Rirebulebis
Tviuri cvlilebis ganawilebebi.
istoriuli modelirebis meTodis Rirsebebi:
 warsulSi dakvirvebadis garda riskis faqtorebis
Semosavlianobebis normaluri ganawilebis an bazarze fasebis
dinamikis sxva raime stoqasturi modelebis Sesaxeb varaudis ar
qona (rac saSualebas iZleva gaviTvaliswonoT aseTi ganawilebis
`msxvili kudis~ efeqti).
 arawrfivi instrumentebis riskis Sefasebis kargi sizuste.
 istoriuli scenarebiT portfelis sruli gadafasebis
simartive.

300
  gama-riskis, vega-riskis da aseve aqtivebis fasebis dinamikaSi
korelaciuri erTierTkavSirebis gaTvaliswineba (araxcadi saxiT).
 instrumentebis SefasebisTvis mcdari modelebis gamoyenebis
riskis ar qona.
 intuiciuri ubraloeba da TavlsaCinoeba.
istoriuli modelirebis meTodis naklovanebebi
 fasebis evoluciis, mxolod erTi traeqtoriis gamoyeneba.
 meTodis sabaziso winapirobis, rom warsuli SeiZleba gamodges
momavlis karg modelad, realobaSi daucveloba.
 istoriuli retrospeqtivis mcire siRrmeebis dros gazomvebis
cdomilobis didi albaToba.
 Zvel da ukanasknel dakvirvebas Soris sxvaobis ignorireba,
maSin roca yvelaze Zveli dakvirvebis anarCevidan daSorebam
SeiZleba mkveTrad gaaumjobesos modelis sizuste.
 msxvili diversificirebuli portfelebisaTvis gamoTvlebis
didi moculoba, im dros, rodesac agregirebam (magaliTad,
sxvadasxva instrumentisaTvis erTi deltas gamoyeneba) SeiZleba
daswios sruli gadafasebis upiratesoba.

3.17 monte-karlos meTodi

monte-karlos meTodi, anu stoqasturi modelirebis meTodi
(Monte Carlo dimulation), efuZneba mocemuli maxasiaTeblebis mqone
SemTxveviTi procesebis modelirebas. istoriuli modelirebis
meTodisagan gansxvavebiT, monte-karlos meTodSi aqtivebis fasebis
cvlileba generirdeba fsevdoSemTxveviTi saxiT ganawilebis
mocemuli parametrebis Sesabamisad, magaliTad  maTematikuri
molodinis da  volatilobis. imitirebuli ganawileba, principSi,
SeiZleba nebismieri iyos, xolo scenarebis raodenoba – Zalian didi
(aTiaTasamdec). sxva mxriv es meTodi istoriuli modelirebis
meTodis analogiuria.

3.17.1 monte-karlos meTodi riskis erTi faqtorisaTvis

fasebis traeqtoriis modelireba xdeba sxvadasxva modelebis
mixedviT. magaliTad, gavrcobili geomertiuli brounis moZraobis
modeli S fasebis modelirebisaTvis T periodis momcvel procesis

301
TiToeul bijze, romelic Sedgeba bijebis didi raodenobisagan,
zogadad gvaZlevs Semdeg gamosaxulebas:
dst  S t dt  dz t  , (3.53)
sadac dz t - vineruli SemTxveviTi procesia.
Tu fasebis traeqtoria Sedgeba n toli bijisagan (magaliTad,
1
n dRisagan), maSin erTi biji t  , xolo  SemTxveviTi sidide
n
emorCileba standartul normalur ganawilebas (   0 ,   1 ).
arseboben fasebis evoluciis sxva modelebic, magaliTad
eqsponencialuri da sxva.
fasebis traeqtoria – es aris fsevdoSemTxveviTi saxiT
modelirebuli fasebis mimdevroba, dawyebuli mimdenare fasiT da
damTavrebuli romeliRac saboloo bijze fasiT, magaliTad, meaTase
an meaTiaTase. rac udro didia bijebis raodenoba, miT ufro
maRalia meTodis sizuste.
TiToeuli traeqtoria warmoadgens scenars, romlis moxedviTac
ganisazRvreba fasi mimdimare fasidan dawyebuli ukanasknel bijze.
Semdeg xdeba portfelis sruli gadafaseba ukanaskneli bijis fasad
da TiToeuli scenarisTvis misi Rirebulebis cvlilebis gamoTvla.
VaR -is Sefaseba xdeba portfelis Rirebulebis ganawilebis
mixedviT.
monte-karlos meTodSi SemTxveviTi ricxvebis generacia Sedgeba
ori bijisagan. Tavidan SeiZleba visargebloT 0 da 1 intervals
Soris Tanabrad ganawilebuli SemTxveviTi ricxvebis generatoriT.
Semdeg, iyeneben ra rogorc argumentebs miRebul SemTxveviT
ricxvebs, iTvlian modelirebadi ganawilebebis funqciis
mniSvnelobebs.
magram unda gvaxsovdes, rom SemTxveviTi ricxvebis generatori
muSaobs determinirebul algoriTmebze da warmoqmnian e.w.
`fsevdoSemTxveviT ricxvebs~, magram ramdenadac garkveuli
momentidan am fsevdoSemTxveviT ricxvebis mimdevrobebi gameorebebs
iwyeben, e.i. isini ar warmoadgenen damoukideblebs. umartives
generatorebSi es ukve ramdenime aTasi generaciis Semdeg iwyeba,
xolo SedarebiT rTulSi – miliardi generaciis Semdeg. Tu
SemTxveviTi ricxvebis masivi iwyebs gameorebas Zalian swrafad,
maSin monte-karlos meTodi wyvets SemTxveviTi, damoukidebeli

302
scenarebis modelirebas da VaR Sefaseba iwyebs generatoris
SezRudulobis asasxvas da ara portfelis Tvisebebis. procesSi
optimaluri bijebis raodenoba damokidebulia SerCevis moculobaze,
portfelis Semadgenlobaze da misi Semadgeneli instrumentebis
sirTuleze da sxva.
VaR -is gaangariSebis yvela aRweril meTods Soris monte-
karlos meTodi warmoadgens teqnikurad yvelaze rTuls. garda amisa
gamoTvlebis sruli moculobiT Casatareblad saWiroa
mniSvnelovani gamoTvliTi simZlavreebi da droiTi resursebi. ra
Tqma unda Tanamedrove kompiuterebi ramdenjerme ufro swrafad
muSaoben, magram jer kidev Zalian Sors arian informaciis realuri
drois reJimSi damuSavebisagan, ise rogorc amas treiderebi
moiTxoven, Tu risk-menejerebs surT daaweson VaR -limiti gaxsnili
poziciebis sidideze.
arsebobs monte-karlos meTodis varianti, romlis Tanaxmadac
SeiZleba ar iqnes mocemuli fasebis modelirebisaTvis raime
konkretuli ganawileba, aramed gamoyenebuli iyos uSualod
istoriuli monacemebi. istoriuli modelirebis meTodis msgavsad,
retrospeqtivis safuZvelze xdeba hipoTeturi fasis modelireba,
magram maTi mimdevroba ar warmoadgens erTaderTs da araa
SezRuduli retrospeqtivis siRrmiT, ramdenadac arCevani xdeba
dabrunebiT, e.i. istoriuli monacemebidan SeSfoTeba SeirCeva
SemTxveviTad, da TiToeul SemTxvevaSi arCevanSi yvela monacemi
monawileobs. istoriuli monacemebiT es `CatvirTva~ (bootstrap)
saSualebas iZleva gaTvaliswinebuli iyos `msxvili kudis~ efeqti
fasebis zrdis ganawilebis saxeebze varaudebis agebis gareSe. es ra
Tqma unda meTodis Risrebas warmoadgens, romelic, istoriuli
modelirebisagan gansxvavebiT, saSualebas iZleva ganvixiloT
fasebis ara erTi romelime traeqtoria (scenari), aramed
survilisamber bevri, rac, rogorc wesi, zrdis Sefasebis sizustes.
`CatvirTvis~ nakls warmoadgens arCeviTobis mcire moculobis dros
dabali sizuste da Semosavlianobebis droSi damoukideblobis
varaudi.
3.17.2 monte-karlos meTodi aqtivebis portfelisaTvis
imisaTvis, rom monte-karlos mixedviT CavataroT modelireba
mravalfaqtoriani procesisaTvis, zustad aseve SeiZleba movaxdinoT

303
ganxiluli k faqtoridan TiToeulis modelireba generirebuli
SemTxveviTi ricxvebidan gamomdinare:
dS t , j   t , j dt   t , j S t , j dz , j = 1, 2, ..., k .
faqtorebs Soris korelaciis gaTvaliswinebis mizniT
aucilebelia, rom SemTxveviTi sidideebi i da j aseve
korelirebdnen EerTmaneTTan. amisaTvis gamoiyeneba xoleckis daSla
(Cholesky factorization), romlis arsi mdgomareobs korelaciuri
matricis orad (xoleckis mamravlebad) daSlaSi da korelirebuli
SemTxveviTi ricxvebis gamoTvlisaTvis maT gamoyenebaSi.
korelaciuri matrica simetriulia da SesaZlebelia misi
warmodgena dabali rigis samkuTxa matricis saxiT nuliT zeda
marjvena kuTxeSi aseTive transponirebul matricaze namravlis
saxiT. magaliTad, ori faqtoris SemTxvevisTvis gvaqvs:
a112  
1  a 0  a11 a12   a112 a11 a12  
  11  2 
 a11 a12  1,



1  a12 a 22   0 a 22  a11 a12 a12  a 22 
2
 2
a12  a 22  1
2

aqedan
1  1 0  1  
 . (3.55)

 1    1   2  0 1   
2

korelirebuli SemTxveviTi ricxvebi  i da  j miiReba xoleckis

mamravlis da  SemTxveviTi ricxvis damoukidebeli veqtoris
gadamravlebis gziT:
 1   1 0  1 
     1   2   2 
. (3.56)
 2 
gaangariSebis dros aucilebelia sworad SeirCes mamravlebis
raodenoba, rom miRebul iqnas dadebiTi gansazRvruli matrica,
magram es calke sakiTxia da cdeba am Tavis CarCoebs.
monte-karlos meTodis Rirsebebi
 gaangariSebebis maRali sizuste.
 arawrfivi fasobrivi maxasiaTeblebis mqone instrumentebis
mimarT misaRebi maRali sizuste.
 nebismieri istoriuli da hipoteturi ganawilebis modelirebis
SesaZlebloba, `msxvili kudebis~ efeqturobis da fasebis zrdebis
(vega-riski) gaTvaliswineba.
monte-karlos meTodis naklovanebebi
304
  modelebis maRali sirTule da Sesabamisd modelebis
araadekvaturobis riski.
 gamoTvlis Casatareblad gamoTvliT simZlavrebis mimarT
maRali moTxovnebi da mniSvnelovani droiTi xarjebi.

3.18 VaR -is gaangariSebis meTodebis SedarebiTi analizi

ramdenadac Tanamedrove finansuri risk-menejmenti eyrdnoba value
at risk–ze dafuZnebul maCveneblebs, mkafiod unda ganvsazRvroT VaR -
is gaangariSebis romeli meTodi da ra pirobebSi mogvcems
saukeTeso Sedegebs.
parametruli meTodebi (lokaluri Sefasebebi)
delta-normaluri meTodi (kovariaciuli meTodi) martivia,
uSvebs analitikur varaudebs, ar moiTxovs poziciebis srul
gadafasebas, ar moiTxovs retrospeqtiuli monacemebis farTo bazas,
magram gaaCnia rigi minusebi, romelTa Soris mniSvnelovans
warmoadgens is, rom normaluri ganawilebis Sesaxeb hipoTeza,
rogorc wesi, ar Seesabameba realuri finansuri bazris parametrebs.
mocemuli meTodi aseve Seueferebelia arawrfivi safaso
maxasiaTeblebis mqone aqtivebis riskis SefasebisaTvis.
delta-gama-vega miaxloeba saSualebas iZleva gaTvaliswinebuli
iyos Sesabamisi riski (deltas cvlileba, volatilobis cvlileba),
rac saSualebas iZleva gaZlierdes delta-normaluri meTodis
Rirsebebi arawrfivi instrumentebis SedarebiT misaRebi Sefasebis
SesaZleblobis xarjze, magram romelic simartiviT CamorCeba
delta-normalur meTods.
sruli Sefasebis meTodebi
istoriuli modelirebis meTodi saSualebas iZleva TavsaCinod
da srulad Sefasdes riski `msxvili kudebis~ gaTvaliswinebiT
ganawilebis xasiaTis Sesaxeb varaudis gareSe, magram is moiTxovs
farTo monacemTa bazis qonas riskis yvela faqtoris mixedviT.
monte-karlos meTodi zogadad aRiarebulia saukeTesod,
ramdenadac gaaCnia mTeli rigi udao Rirsebebi, kerZod ar
gamoiyeneba hipoteza Semosavlianbebis normaluri ganawilebebis
Sesaxeb, aCvenebs maRal sizustes arawrfivi instrumentebisaTvis da
mdgradia retrospeqtivis arCavanis mimarT. meTodis nakls SeiZleba
mivakuTvnoT gaangariSebis teqnikuri sirTule da modeluri riski.
305
 cxril 3.12-Si moyvanilia yvela ganxiluli meTodis SedarebiTi
maxasiaTeblebi.

3.19 zRvruli VaR , VaR nazrdi da fardobiTi VaR

zRvruli VaR (marginal VaR) gviCvenebs, ra sididiT icvleba
portfelis riski mocemuli aqtivis an riskis faqtoris poziciis
zomis mcire cvlilebisas14.
vTqvaT xi - aris i -uri saxis aqtivSi Cadebuli fuladi Tanxa,
roca zRvruli VaR ganisazRvreba rogorc:
dVaR ( )
M arg inalVaR i  . (3.57)
dxi
amgvarad, zRvruli VaR _ es aris maCvenebeli, romelic
axasiaTebs portfelis VaR mgrZnobelobas struqturis mimarT da
warmoadgens poziciis zomis mixedviT portfelis VaR -is kerZo
warmoebuls.
zRvruli VaR im SemTxvevaSi gamoiyeneba, roca mocemuli
poziciis an ramdenime poziciis likvidacia mizanSeuwonelia, xolo
portfelis riskebis erTobliobis marTva xorcieldeba uSualod
poziciebis dabalansebiT, e.i. aqtivis nawilobrivi yidviT an
gayidviT.
portfelSi Semavali yvela aqtivis zRvruli VaR -is
portfelSi i -uri aqtivis mixedviT poziciis xi zomis da misi
procentuli  i cvlilebis codniT SeiZleba movZebnoT portfelis
VaR -is nazrdi15:
VaR ( )
VaR ( )   xi i . (5.58)
i wi
magaliTad, Tu portfelSi aris 1000 aSS dolaris Rirebulebis
aqtivi A zRvruli VaR ( A) =100 dolariT, da Cven gvinda damatebiT
CavdoT A aqtivSi 10 dolari, maSin portfelis VaR Semdegnairad
Seicvleba: VaR ( )  (1010 / 1000  1)  100  1 dolr.
zRvruli VaR -is (is unda ganvasxvavoT VaR -is nazrdisagan)
mniSvnelovan maxasiaTebels warmoadgens aditiurobis Tviseba:

14zRvrul SemTxvevaSi –erTi fuladi erTeuliT poziciis zomis cvlilebisas.

15ramdenadac (3.57) formula warmoadgens zRvrul daSlas, (3.58) aproqsimaciis sizuste
miT ufro maRali iqneba, rac ufro mcire iqneba poziciis cvlilebis  i zoma.
306
 VaR( )   xi  m arg inalVaRi . (3.59)
i

amgvarad, Tu avjamavT yvela instrumentis mixedviT poziciebis

sidideze gamravlebul zRvrul VaR -s, SesaZlebelia portfelis
VaR -is miReba. praqtikaSi zRvruli VaR -is gamoyeneba
mosaxerxebelia, magaliTad, limitebis dadgenis dros, roca
mniSvnelovania, rom kerZo riskebis jami toli iyos mTliani
riskis. kerZod, mocemuli maCveneblis meSveobiT SeiZleba Catardes
portfelis VaR -is dekompozicia masSi Semavali instrumentebis
(poziciebis) an riskis faqtorebis mimarT. (3.59) formulis
gamoyenebiT miviRebT portfelis saerTo riskSi poziciebis
wvlilis SefasebisaTvis gamosaxulebas:
xi  m arg inalVaR 1 VaR( )
VaRcontribution   100%   xi   100% . (3.60)
VaR( ) VaR( ) xi
poziciebis mixedviT portfelis riskis moyvanili daSlis
interpretireba unda movaxdinoT zRvruli TvalsazrisiT, e.i. is
gviCvenebs instrumentebis procentul wvlilebs portfelis VaR -is
cvlilebaSi yvela poziciis zomis erTidaimave (mcire) fardobiTi
sididiT cvlilebisas.
portfelSi mocemuli poziciis VaR nazrdis (incremental VaR -
IVaR) maCvenebeli asaxavs riskis sidides, romelsac umatebs erTi
pozicia portfelis erTian risks. VaR nazrdi iseve rogorc
zRvruli VaR , asaxavs portfelis struqturis cvlilebis gavlenas
misi riskis sidideze, magram am ukanasknelisagan imiT gansxvavdeba,
rom poziciebis zomebis cvlebebi SeiZleba ufro didi iyos, da
maSin portfelis VaR Seicvleba arawrfivad.
mocemuli maCveneblis meSveobiT SeiZleba ganisazRvros rogor
Seicvleba portfelis VaR romelime poziciis zomis cvlilebis
(mniSvnelovani) an misi likvidaciis dros.
zogad SemTxvevaSi VaR nazrdi ganisazRvreba rogorc sxvaoba
sawyisi portfelis VaR -sa da im portfelis VaR -s Soris, romelSic
es pozicia ar aris:
IVaR  VaR ( )  VaR (  n) . (3.61)
sadac, VaR ( ) - Tavdapirveli portfelis VaR -ia (yvela
poziciiT);
VaR (  n) - portfelis VaR -ia am poziciis gareSe.

307
 VaR nazrdi maCvenebeli iTvaliswinebs portfelSi mocemuli
poziciis korelaciur kavSirebs danarCen poziciebTan.
magaliTad, parametruli meTodisaTvis poziciis VaR nazrdi
SeiZleba Semdegnairad gamoiTvalos:
VaR( )  VaR(  n)  VaR 2 (  n)  VaR 2 (n)  2 VaR(  n)VaR(n) 

 VaR(  n)  VaR(n)
1

 2

 2   1  1 .
(3.62)

sadac  - n poziciis korelaciaa portfelis danarCen (n)

nawilTan,
VaR(n)
 .
VaR(  n)

308
 vTqvaT  mocemuli poziciis im portfelTan korelaciaa,
romelic am pozicias ar Seicavs, poziciis VaR nazrdi iqneba
dadebiTi roca   0 da uaryofiTi roca  < 0.
(3.61)-dan gamomdinareobs, rom VaR nazrdis gamosaTvlelad
zogad SemTxvevaSi aucilebelia moxdes portfelis sruli
gadafaseba (da Sesabamisad VaR -is gadaangariSebac) misi
struqturis cvlilebisas (SerCeuli poziciis Seyvana). aseTi
modgoma yvelaze koreqtulia, magram yovelTvis araa
mosaxerxebeli, ramdenadac dakavSirebulia drois da Catarebuli
gamoTvlebis did danaxarjTan.
mniSvnelovania aRiniSnos, rom Tu poziciis VaR mcirea
portfelis VaR -Tan SedarebiT, maSin VaR nazrdi daaxloebiT toli
iqneba poziciis VaR gamravlebuli korelaciis  koeficientze:
IVaR ( n)  VaR ( n) , roca   0 . (3.63)
ganvixiloT sami zRvruli SemTxveva:
 Tu  = 1, maSin pozicia iseve iqceva rogorc danarCeni
portfeli, amasTan poziciis wvlili portfelis saerTo riskSi
zustad mocemuli poziciis VaR -is tolia;
 Tu  = _1, maSin pozicia amcirebs portfelis risks poziciis
VaR -is sididiT;
 Tu  = 0 portfelis riskSi poziciis wvlili dadebiTia da
tolia Var (n)( 1   2  1) /  .
fardobiTi VaR (relative VaR ) saSualebas iZleva Sefasdes
portfeli rogorc im mmarTvelebisa, romlebic uCveneben
Semosavlianobis normis etalonis (benchmark) mimarT
Semosavlianobis umcires gadaxrebs riskis gaTvaliswinebiT, ise
imaTic, romlebsac gaaCniaT didi Sansi, rom ver daagrovon an
gadaaWarbon Semosavlianobis normis etalons. fardobiTi VaR
ganisazRvreba portfelis mixedviT VaR -is gamoTvlis gziT,
romelSic damatebulia im instrumentiT mokle pozicia, romelic
gvaZlevs etalonur Semosavlianobas.

309
 3.20. gagluvebis  parametris arCeva RiskMetrics modelSi
RiskMetrics -is standartuli formula VaR -is gamoTvlis
parametruli meTodiT prognozirebis erTdRiani horizontiT ( t  1 )
erTeuli aqtivis SemTxvevaSi aqvs Semdegi saxe:
 k   
VaR t  Vt 1  (1  e 1 
),
t | t 1
(3.64)
sadac Vt 1 - aqtivis Rirebulebaa prognozirebis periodis drois
wina periodSi;
k1 - sandoobis ( 1   ) donis Sesabamisi normaluri ganawilebis
kvantilia;
 t|t 1 - aqtivis Semosavlianobis prognozirebuli volatilobaa;
 - E ri  Semosavlianobis maTematikuri lodinia, romelic nulis
toladaa miRebuli.
praqtikaSi farTod gamoiyeneba (4.64) formulis Semdegi
aproqsimacia:
VaRt  Vt 1 k1  t|t 1 . (3.65)
RiskMetrics -is meTodikaSi eqsponencialuri Sewonili
volatiloba (exponentially weighted moving average - EWMA)
gamoiTvleba Semdegi formuliT:
T
  (1   ) t 1 (rt  ~
r )2 , (3.66)
t 1
T
1
sadac, 0    1 , 
j 1
j 1

1 
, roca T   .

nax. (3.9)-ze Cans, raSi mdgomareobs volatilobis

eqsponencialuri gagluvebis upiratesoba: is swrafad moqmedebs
Semosavlianobebis Sokur cvlelebebze da zogadad warmoadgens
standartuli gadaxris karg prognozs.
gagluvebis  parametrsa da retrospeqtivis T siRrmes Soris
dgindeba damokidebuleba. amisaTvis Semodis cvladi, romelsac
tolerantobis done (tolerance level) ewodeba:

 T  (1   ) t   L , (3.67)
t T

e.i.
T (1   )(1    2  ...)   L . (3.68)

310
 amrigad, tolerantobis done warmoadgens monacemTa jams,
romelic mdebareobs T horizonts miRma (cxrili 3.13). T -s mimarT
gantolebis amoxsniT, miviRebT:
ln  L
T . (3.69)
ln 
magaliTad,  L = 0,01 da  = 0,94-sTvis T =74-s.
cnobilia, rom  t2  E (rt  E (rt )) 2  E (rt 2 )  ( E (rt )) 2 , E (rt )  0   t2  E (rt 2 ) .
maSin prognozis Secdoma ganvsazRvroT rogorc:
 t 1 t  rt 21   t21 t . (3.70)
CavTvliT ra  SemTxveviT sidides nulis tolad, optimaluri
 parametris arCevis kriteriumad miviRoT saSualokvadratuli
Secdomis (root mean squared error - RMSE) minimumi, romelic
Semdegnairadaa gansazRvruli:

RMSE 
1 T 2

T t 1
  2
rt 1   t21 t ( ) . (3.71)

 parametris varirebis gziT aigeba RMSE ( ) i mniSvnelobebis

rigi, Semdeg ganisazRvreba min RMSE ( ) i , amis Sesabamisad gagluvebis
 parametris mniSvneloba iTvleba optimalurad.
am meTodSi mniSvnelovania ganisazRvros retrospeqtivis
optimaluri siRrme. rogorc cnobilia, imisaTvis, rom
standartuli gadaxris Sefasebam zustad daaxasiaTos generaluri
erToblioba, arCevas unda gaaCndes garkveul doneze ara naklebi
moculoba. nax. 3.10-dan gamomdinareobs, rom es moculoba ar unda
311
iyos 40-50 dakvirvebaze naklebi, winaaRmdeg SemTxvevaSi
volatilobis gaangariSebis cdomileba Zalian didi iqneba (e.i.
volatiloba SemTxveviTad SeiZleba aRmoCndes saSualo donze an
dabali an maRali). magram finansuri aqtivebis volatilobis
Sefasebas gaaCnia rigi Taviseburebani, romelic imasTanaa
dakavSirebuli, rom ganawilebis parameterebi droTa ganmavlobaSi
icvleba, maT Soris saSualo volatilobac (heteroskedastikuroba).
amgvarad, arCevis maqsimalur zomaze (retrospeqtivis siRrmeze)
ideba SezRudva.

312
 axla ganvixiloT `monacemTa arasakmarisobis~ mniSvnelovani
problema, romelic, kerZod, dakavSirebulia, EWMA modelSi
optimaluri  parametris gansazRvrasTan. monacemTa
arasakmarisobis qveS aq igulisxmeba, magaliTad, e.w. `arasavaWro~
dReebSi aqtivebis fasebis Sesaxeb monacemTa ar qona (Cveulebriv
gamosasvlel da sadResaswaulo dReebSi). monacemTa
arasakmarisobis problema imaSi mdgomareobs, rom im drois
ganmavlobaSi roca vaWroba ar momdinareobs dagrovilma
informaciam vaWrobis gasxnisas SeiZleba gamoiwvios aqtivebis
fasebis avardnismagvari moZraobebi, ramac Tavis mxriv SeiZleba
migviyvanos aqtivebis Semosavlianobebis albaTobebis ganawilebis
formis mniSvnelovan cvlilebamde, korelaciuri kavSirebis
cvlilebamde (darRvevamde) da a.S.
Cveulebriv (rodesac arasavaWro periodebi emTxveva
xangrZlivobiT da kalendarulad urTierTdakavSirebul bazrebze)
es ar xdeba, da aranairad ar iTvaliswineben am `monacemTa
arasakmarisobas~. magram gaTvaliswinebulia erToblivi pirobebi,
kerZod finansuri bazrebis sul ufro mWidro integracia,
mocemuli problema gardauvalia. bunebrivad dgeba sakiTxi imis
Sesaxeb, gaTvaliswinebuli iyos Tu ara es monacemebi, rac imazea
damokidebuli, ramdenad mniSvnelovani gaxda bazris monawileTa
qcevaSi cvlilebebi.
ganvixiloT ZiriTadi faqtorebi, romlebic moqmedeben
dagrovili informaciis masStabze. es pirvel rigSi droSi da
313
xangrZlivobaSi arasavaWro periodebis daumTxvevlobaa (rogorc es
iyo niuorkis safondo birJaze, romelzedac vaWroba ar
mimdinareobda 2001 wels 10-dan 17 seqtembramde, maSin roca
msoflios umetesoba finansur bazrobebze vaWroba mimdinareobda).
nebismieri msxvili cvlileba (politikuri, ekonmikuri, socialuri
da a.S.) romelic am dros xdeba, bazris gaxsnis momentSi gavlenas
iqoniebs vaWrobis xasiaTze.
am probelimis gadasawyvetad gamoiyeneba iseTi midgomebi,
rogoricaa maqsimalurad msgavsebis, mravlobiTi `brounis xidi~
(multivariate Brownian bridge),16 wrfivi interpolacia da sxva. TiToeul
meTods gaaCnia Tavisi upiratesoba da nakli, da TiToeul
SemTxvevaSi meTodis arCeva ganisazRvreba konkretuli pirobebiT.

3.21 avtoregresiuli pirobiTi heteroskedasturobis modeli

eqsponencialuri gagluvebis mTavar nakls warmoadgens misi
Zlieri damokidebuleba istoriul monacemebze, rac xandaxan
arTulebs momavali volatilobebis mniSvenalobis prognozirebas.
volatilobis kanonzomierebis Seswavlam 80-iani wlebis
dasawyisSi migviyvana avtoregresiuli pirobiTi
heteroskedasturobis (autoregressive conditionall heteroskedastic - ARCH)
Semdegi saxis modelebis klasis warmoSobamde:
p
 t2      j  ri  j . (3.72)
i 1

ARCH - modelis safuZvlad mdebare idea mdgomareobs meore

rigis pirobiTi da upirobo momentebis gansxvavebaSi. maSin roca
upirobo variaciebi da kovariaciebi mudmivebia, pirobiTi
momentebis wrfivadaa damokidebuli warsul mdgomareobebTan da
droSi viTardebian. bolo 40 wlis manZilze SemuSavebuli iyo
engelis sabaziso modelis (3.72) mravali modifikacia, kerZod
M  ARCH , F  ARCH , T  ARCH , da mis finansur da makroekonomikur
droiT mwkrivebis mimarT gamoyenebis magaliTebi. amis Sedegad

16 `brounis xidi~ - es aris SemTxveviTi X t , romelic emorCileba Semdeg gantolebas

  Xt
dX t  dt  dBt , 0  t  T , cX 0   , X t   da romeliRac Bt brounis moZraobas t  0 .
T t
314
gamoiyo ufro srulyofili modelebis nakrebi, romlebic
saSualebas iZleva uari vTqvaT vlatilobis Tavisi wina
mniSvnelobebidan damoukideblobis varaudze da gaviTvaliswinoT
avtokorelacia maTSi. kerZod warmoiSva e.w. GARCH - modelebi
(general autoregressive conditionall heteroskedastic - ARCH). rogorc
saxelwodebidan Cans isini iTvaliswineben korelaciur
damokidebulebas volatilobis mniSvnelobebis avtoregresiis
meSveobiT misi heteroskedasturobis pirobebSi.
pirvelad GARCH ( p, q ) - modeli SemoTavazebuli iyo 1986 wels
bolerslevis mier da Semdegi saxe hqonda:
p q
 t2      i   t2i    j  rt  j . (3.73)
i 1 j 1

GARCH - modelis mniSvnelovan upiratesobad miCneulia misi

Tviseba swrafad moaxdenos reagireba bazarze nebismier dakvirebad
cvlilebaze da swrafi aRdgena bazris Zlieri rxevebis Semdeg.
bolo wlebSi dadginda, rom martivi GARCH (1,1) _ modelebic ki
(erTis toli p da q koficientebiT) saSualebas iZlevian avsxnaT
daaxloebiT 95% volatilobis Semosavlianoba, aCveneben ra
SedarebiT ukeTes Sedegebs, vidre sxvadasxva Sewonili modelebi.
umetes SemTxvevaSi es gamartivebuli modeli savsebiT gamosadegia
mravali finansuri maCveneblisaTvis, uzrunvelyofs ra sizustis
misaReb prognozs.

3.22 VaR -is Semdeg: riskis sxva zomebi

VaR maCvenebels rogorc investiciuri portfelis riskis
maxasiaTebel statistikas, mravali Rirseba gaaCnia, romelTagan
mTavars warmoadgens riskis Sesaxeb informaciis warmodgenis
SedarebiTi simartive (RirebulebiT gamosaxulebaSi mxolod erTi
mniSvnelobis saxiT) da portfelis marTvisaTvis praqtikuli
sargeblianoba. magram radganac VaR warmoadgens sargeblebis da
zaralebis ganawilebis mxolod erT mocemul kvantils, amitom
gaaCnia mTeli rigi naklic, maT Soris:
 VaR mniSvnelobis gareT yvelaze uaresi SesaZlo zaralis
Sesaxeb informaciis ar qona. magaliTad, ndobis mocemuli
(1   )  95% donisaTvis ucnobi rCeba rogori iqneba danakargi
darCenil 5% SemTxvevebSi.
315
  zaralis ganawilebis saxis Sesaxeb informaciis ar qona:
sxvadasxva sisqis `kudis~ mqone ganawilebas ndobis gansazRvruli
donis dros SeiZleba hqondes VaR -is erTidaigive mniSvneloba;
 VaR maCvenebeli ar aris calsaxada gansazRvruli: erTidaimave
portfelisaTvis ndobiT doneebi maTi mniSvnelobebi riskis
faqtorebis mixedviT portfelis dekompoziciis saSualebaze,
istoriul monacemTa moculobis arCevaze da gamoTvlis misaReb
meTodze, damokidebulebiT SeiZleba mniSvnelovnad
gansxvavdebodes. amitom rTulia nebismieri calke aRebuli VaR -is
sizusteze msjeloba, ufro saubari SeiZleba iyos VaR -is
gamoTvlis meTodis statistikur sizusteze, romelic Sefasebulia
monacemTa didi arCevanis meSveobiT.
VaR -is CamoTvlili susti mxareebi imaSi daeWvebis saSualebas
iZleva, Tu ramdenad mizanSewonilia sargeblis da zaralis
ganawilebis kvaltilebis gamoyeneba kapitalis sakmarisobis
Sesafaseblad. alternativis saxiT SeiZleboda migvemarTa finansur
sferoSi gamoyenebuli riskis iseTi zomebisaTvis, rogorebicaa:
 portfelis mixedviT sargeblis da zaralis sruli
ganawileba, romlisTvisac ukve SeiZleba ganisazRvros sxvadasxva
rigis kvantilebis nakrebi;
 Semosavlianobis dispersia (standartuli gadaxra), romelic
iTvaliswinebs didi sididiT fasebis rxevebs. amavdroulad
Semosavlinobis didi dispersia SeiZleba aixsnas rogorc sididis
mixedviT mniSvnelovani zaralis, ise sargeblis dros;
 Semosavlianobis naxevardispersia, romelic gansxvavdeba
Cveulebrivi dispersiisagan imiT, rom asaxavs mxolod im
mniSvnelobebis gabnevas, romelic saSualoze naklebia:
1 N
SV ( X )  E (min(0, X  E ( X ) 2 )  
N  1 i 1
(min(0, X  E ( X )) 2 ; (3.74)

 n rigi qveda kerZo momenti:

1 N
LPM  ( )  E (min(0, X  X  ))  
N  1 i  `1
(min(0, X  X  )) n . (3.75)

advili dasanaxia, rom n =2 SemTxvevisaTvis qveda kerZo momenti

E ( X ) naxevardispersiis toli iqneba;
 absoluturi gadaxra, romelic warmoadgens saSualodan
gadaxdebis absolutur mniSvnelobebis maTematikur lodins:
316
 1 N
AD ( X )  E ( X  E ( X )   Xi  X ,
N  1 i 1
(3.76)

 jinis modificirebuli koeficienti:

N N
1
G( X )  
N ( N  1) i 1 k , j
Xi  Xk (3.77)

da sxva.
yvela CamoTvlil zomas gaaaCnia Tavisi Rirseba da nakli,
magram gaurkveveli rCeba, romel maTgans gaaCnia risk-
menejmentisaTvis mniSvnelovani Tvisebebi, da kerZod raSi
mdgomreobs es Tvisebebi.
finansur sferoSi misaRebi idealur Tvisebebi, romlebic unda
gaaCndes riskis zomebs, Camoyalibebuli iyo artzneris cnobil
naSromSi. SesaZlo sargebli an zaralis G simravleze
gansazRvrul riskis  ( X ) zomas uwodeben koherentuls (coherent),
maSin da mxolod maSin Tu is akmayofilebs Semdeg aqsiomebs:
1) monotonuroba: Tu X 1 da X 2  G da X 1  X 2 , maSin  ( X 1 )   ( X 2 ) . es
niSnavs, rom ori portfelis Sedarebisas, romlebic sistematurad
gviCveneben Semosavlianobis sxvadasxva dones, naklebi
Semosavlianobis mqone portfelisaTvis riski maRali iqneba;
2) translaciuri invariantoba: Tu X  G uaryofiTia, maSin
nebismieri   0 -sTvis,  (  X )   ( X )   . sxva sityvebiT, portfelSi
 Tanxis uriski aqtivis damatebiT am portfelis riski amave
sididiT mcirdeba;
3) 1 xarisxis dadebiTi erTgvarovneba: nebismieri   0 da X  G -
sTvis,  (X )   ( X ) . es niSnavs, rom  -jer portfelis zomis
Semcirebam unda migviyvanos misi riskis amdenjerve Semcirebamde.
4) subaditiuroba: nebismieri X1 da X 2  G -sTvis,
 ( X 1  X 2 )   ( X 1 )   ( X 2 ) . es Tviseba gviCvenebs, rom riskis zomam unda
gaiTvaliswinos portfelis diversifikaciis SesaZlebloba,
romelic varaudobs, rom portfelis riski ar unda iyos misi
Semadgeneli elementebis riskebis jamze meti.
zogierT naSromSi naCvenebia, rom VaR maCvenebeli zogad
SemTxvevaSi ar akmayofilebs bolo subaditiurobis Tvisebas, e.i.
garkveuli pirobebis dros gaerTianebulma poziciebma SeiZleba
migviyvenos ufro maRal portfelur VaR -mde, vidre maTi
individialuri VaR -ebis mniSvnelobaTa jamia. es kidev erTxel
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asabuTebs VaR -is da misgan nawarmoebi maCveblebis frTxili
gamoyenebis aucileblobas portfelis sabazro riskebis marTvisas.
koherentulobis pirobis damakmayofilebeli riskis erT-erT
zomas warmadgens mosalodneli danakargebis (expected shortfall, mean
excess loss, tail conditiomal expectation, tail loss, tail VaR, conditional VaR -
CVaR) maCvenebeli – statistika, romelic saSualebas iZleva
SevafasoT portfelis mixedviT danakargebi VaR -is farglebs
gareT.
finansuri aqtivebis Semosavlianobebis albaTuri ganawilebebis
normalur ganawilebasTan (`msxvili kudebis~ efeqti) SedarebiT
gavrcelebul Tvisebas warmoadgens iSviaTi an eqstremaluri
xdomilobebis didi simkvrive. finasuri aqtivebis normaluri
ganawilebis hipoTezis gamoyenebam SeiZleba mogviyvanos iqamde, rom
mocemuli modeliT VaR -is gaangariSebis verifikaciis Sedegebi
zaralis gadaWarbebis sixSiris dros aRmoCndebian
aradamakmayofilebelni, xolo danakargebi, romlebic VaR -s
aWarbeben, saSualod aRmoCndebian mocemuli modelis mier
nawinaswarmetyvelze maRali.
amgvarad, mniSvnelovania gvqondes warmodgena im danakargze,
romelic aWarbebs mocemul sandoobis dones. vTqvaT, (  1) aris
sandoobis intervali, V( ) - sainvesticio portfelis sabazro V
Rirebulebis mimdinare dawevis sidide. maTematikurad SeiZleba
ganisazRvros mosalodneli danakargis sidide, rogorc X
danakargis pirobiTi maTematikuri lodini, romelic aWarbebs VaR -s:
ExpectedShortfall1 ( X )  E ( X X  VaR1 ) . (3.78)
Semosavlianobis uwyveti ganawilebisaTvis mosalodneli
danakargebis maCvenebeli Semdegnairad ganisazRvreba:
VaR1

 xf ( x)dx
ExpectedShortfall1 ( X )  
VaR1
. (3.79)
 f ( x)dx


mosalodneli danakargebis maCvenebeli SeiZleba gamoyenebuli

iyos im Tanxis gansazRvrisaTvis, romelic sakmarisia mocemuli
portfelis im zaralisagan dazRvevisaTvis, romelic VaR -s
aWarbebs:

318
 ExpectedShortfall  E[max(L  VaR,0)]  E[max(l ,VaR)]  VaR 
(3.80)
 E[ L  1L.VaR  VaR  1L VaR ]  VaR  (1   )( E[ L L  VaR]  VaR),
sadac L  V( ) - portfelis Rirebulebis danakargebia.
1, L  VaR
1L  VaR - indikatori, 1L  VaR  
0, L  VaR
amgvarad, moTxovnili sadazRvevo rezervis zoma Seadgens VaR -
s gadaWarbebul mosalodnel dnakargsa da VaR sidides Soris
sxvaobas gamravlebuls aseTi xdomilobis ( ) dadgomis
albaTobaze.

319
 Tavi 4
likvidurobis riskebis marTva
4.1 Sesavali
likvidurobis riski warmoadgens finansuri riskebis erT-erT
ZiriTad saxes, romelsac aucileblad unda miaqcios yuradReba
risk-menejerma, magram amavdroulad is warmoadgens yvelaze
naklebad Seswavlil da formalizebul movlenas Tanamedrove
finansur TeoriaSi.
likvidurobis riskis Sefasebis mniSvneloba da misi marTva
bolo dros sagrZnoblad gaizarda. pirvel rigSi es
dakavSirebulia msoflio ekonomikis globalizaciasTan, romlis
Sedegia msoflio finansuri sistemis formireba. erTi mxriv
globalizaciam gza gauxsna finansuri bazris monawileebs adre
arnaxuli sainvesticio SesaZleblobisaken, xolo meores mxriv –
aiZula im riskis gaTvaliswineba, romelsac adre ar eqceoda
yuradReba, kerZod likvidurobis risks.
Tavidanve SevTanxmdeT, rom unda ganvasxvavoT dasaxelebiT
msgavsi, magram arsiT sxvadasxva likvidurobis riskis ori cneba:
 erTis mxriv likvidurobis riskis uwodeben imis risks, rom
garigebis realuri fasi SeiZleba, uaresi mxariT, Zalian
gansxvavdebodes sabazro fasisagan. am risks vuwodebT sabazro
likvidurobis risks (matket liquidity risk);
 meores mxriv, likvidurobis riskis qveS igulisxmeba imis
saSiSroeba, rom kompania SeiZleba aRmoCndes gadaxdisuunaro da
ver SeZlos Tavisi valdebulebebis Sesruleba kontragentebis
winaSe. aseT risks vuwodebT sabalanso likvidurobis risks
(funding liquity risk, insolvency risk).
msgavsi dasaxelebis miuxedavad, riskis mocemuli tipebi
erTmaneTisagan gansxvavdebian TavianTi bunebiT da maTi Sefasebis
da marTvis meTodebsac aseve gaaCniaT kardinaluri gansxvavebebi.
qvemoT dawvrilebiT ganvixilavT mocemuli riskebidan TiToeuls
da SevCerdebiT maTi Sefasebis da marTvis SesaZlo meTodebze.

320
 4.2 msoflio finansuri sitemis ganviTarebis tendenciebis
fonze lividurobis riskis aqtualoba
bolo sami aTwleuli manZilze msoflio finansuri bazris
funqcionirebis pirobebi radikalurad Seicvala.
arsebiTad ar Seicvala finansuri sistemebis funqcionirebaSi?
globalizaciis procesTan dakavSirebuli da riskis marTvis
TavlsazrisiT mniSvnelovani ZiriTadi tendenciebi mokled aseTia:
 xdeba erovnuli finanasuri bazrebis, investorebis da
msesxeblebis integracia erTian globalur bazarSi, amasTan
izrdeba rogorc bazarze operaciebis moculobebi, ise TviTon
bazrebi;
 dabrkolebis gareSe da operatiulad xdeba kapitalis erTi
bazridan meoreze gadasvla, rac iwvevs bazrebis
urTierTdamokidebulebebis gazrdas;
 mimdinareobs kapitalis msxvil fianansur institutebSi
dagrovebis procesi: rac ufro msxvilia finansuri instituti, miT
ufro Cqara zrdis is Tavis aqtivebs. rogorc Sedegi, bazrebis
mdgomareoba sul ufro damokidebuli xdeba calkeuli monawilis
qmedebebisagan;
 iSleba gansxvaveba finansur institutebs, maT saqmianobas da
im bazrebs Soris, sadac isini muSaoben, rasac mivyavarT maT Soris
konkurenciis gaZlierebamde. finansuri riskis SefasebisaTvis da
gadanawilebisaTvis teqnikuri SesaZleblobebis gazrdas gazrdil
konkurenciasTan erTad mivyavarT finansuri bazris monawileTa
qcevis strategiebis garTulebamde. xolo amas, Tavis mxriv,
mivyavarT imisken, rom finansuri portfelis mdgomareoba
damokidebulia ufro da ufro meti raodenobis sabzaro riskis
faqtorze.
mocemuli procesis erT-erTi Sedegi gaxda sabazro
likvidurobis gavlena portfelis riskze. kiTxvaze pasuxi,
ramdenad likvidurs warmoadgens finansuri instrumenti, ufro da
ufro xSirad xdeba ganmsazRvreli finansuri strategiis arCevisas,
xolo likvidurobis riskis gaTvaliswinebam SeiZleba Zalian
Secvalos portfelis riskebis erTobliobis Sefaseba. warmoebuli
instrumentebis mixedviT didi poziciebis likvidurobis riskis

321
Seufasebloba gaxda erT-erTi mTavari mizezi cnobili fondis Long
Term Capital Management (LTCM) gakotrebis mizezi 1998 wels.
mainc raSi mdgomareobs bankebis da finansuri instrumentebis
likvidurobasTan dakavSirebuli problema, da ratom ar iyo
ukanasknel dromde misi SeswavliT vinme dakavebuli?
saqme imaSia, rom portfelis riskis Sefasebis TiTqmis yvela
Tanamedrove modeli da meTodi iTxovs sawyis monacemTa saxiT
portfelis Semadgeneli aqtivebis fasebis mniSvnelobaTa (an
sabazro parametrebis, romelebzecaa damokidebuli portfelis
Rirebuleba) Seyvenas. am mniSvnelobaTa saxiT, rogorc wesi
gamoyenebulia drois romeliRac momentSi gasaSualebuli sabazro
fasebi (an moTxovna miwodebis fasis saSualo mniSvneloba) an
bolo garigebis fasi.
amavdroulad finansuri bazris nebismieri monawile Tanxmdeba
imaze, rom TiToeuli konkretuli garigebis fasi TiTqmis
yovelTvis გansxvavdeba saSualo sabazro fasisagan. paradoqsi
imaSi mdgomareobs, rom bazarze aრ arsebobs cneba `sabazro fasi~,
drois TiToeul momentSi aris moTxovna miwodebis fasi. finansuri
aqtivis yidvis dros iZulebulebi varT is viyidoT miwodebis
fasad (ask price), xolo gayidvisas – gavyidoT moTxovnis fasad (bid
price). es niSnavs, rom monawileTa umravlesobisaTvis gariგebis
realuri fasi gansxvavdeba (amasTan arc Tu ise ukeTesobisaken)
saSualo sabazro fasisagan.
manmade sanam bazarze situacia stabiluria da bazari imyofeba
dabalansirebul mdgomareobaSi, garigebis dadebis xarjebi (e.w.
`transaqciuri xarjebi~) ar axdenen Zlier gavlenas portfelis
riskze, romlebic amasTan sakmaod zustad SeiZleba Sefasdes.
rodesac situacia Zireulad icvleba, rodesac bazari gamodis
wonasworobis mdgomareobidan, da masze iwyeba panika an krizisi. am
SemTxvevaSi transaqciuri xarjebi SeiZleba aTjer da asjer
gaizardos.
bazarze nebismieri operaciis Catarebisas aucilebel pirobas
warmoadgens iseTi kontragentis arseboba, romelsac survili
eqneba sawinaaRmdego operaciis Catarebis. yvela sabazro strategia
da modeli gamomdinareobs martivi daSvebisagan, rom drois
nebismier momentSi moiZebneba kontragenti saWiro garigebis
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Casatareblad. umetesi drois ganmavlobaSi es daSveba
samarTliania, magram bazarze krizisis dros is SeiZleba dairRves.
Tu bazris monawileTa umravlesoba Seecdeba moaxdinos garigebebi
erTi mimarTulebiT, maSin bazris yvela monawilisaTvis
kontragentebi sakmarisi ar iqnebian. Tu amavdroulad Cndeba
aucilebloba didi moculobis garigebebis dadebis siZneleebi
mravaljer gaizrdeba: an unda daixarjos didi dro Sesaferisi
fasis molodinSi, mudmivad sabazro riskis qveS yofnisas,
likvidurobis riskis gamo mogviwios didi transaqciuri xajebis
gaweva.
bazrebis integraciis procesis da maTi mzardi
urTierTdamokidebulebis gaTvaliswinebiT, bazris likvidurobis
mkveTri cvlilebebi SedarebiT xSirad warmoiSoba, vidre winaT iyo
xolme; Sesabamisad warmoiSva riskis mocemuli saxis
gaTvaliswinebis aucilebloba sabazro riskis Sefasebis
modelebSi.

4.3 likvidurobis cneba da misi maxasiaTeblebi

zogad SemTxvevaSi bazris (instrumentis) likviduroba
gviCvenebs, ra raodenobis aqtivis gayidva SeiZleba bazarze
sabazro fasad. likviduri bazris yvelaze zogadi gansazRvreba
aseTia: likviduri bazari _ es aris bazari, romelzedac
monawileebs SeuZliaT swrafad dadon didi moculobis garigebebi
sabazro fasze mniSvnelovani gavlenis gareSe.
bazris likviduroba SeiZleba daxasiaTdes sxvadasxva
parametrebis simravliT, rogoricaa safaso spredi (spread) –
moTxovna miwodebis fasebs Soris sxvaoba, vaWrobebis brunva,
garigebaTa fizikuri moculoba, garigebebis raodenoba da sixSire,
bazris monawileTa raodenoba, monawileTa sxvadasxvagvaroba, fasis
volatiloba da sxva. amitom gasakviri araa, rom miuxedavad imisa,
damkvirvebelTa umravlesoba advilad ityvis konkretuli bazari
likviduria Tu ara, maTi azris formalizeba praqtikulad
SeuZlebalia. amis garda TiToeul bazars gaaCnia Tavisi unikaluri
Taviseburebebi – likvidurobis maCveneblis erTnairi mniSvnelobis
dros ori bazris likviduroba SeiZleba Zalian gansxvavdebodes.

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 1999 wlis maisSi saerTaSoriso gamoTvlebis bankis patronaJis
qveS myof globalur finansur sistemasTan arsebulma mkvlevarTa
jgufma gamoaqveyna angariSi bazris likvdurobis sxvadasxva
aspeqtis kvlevis Sesaxeb angariSi.
am angariSis Tanaxmad, bazris likvdurobis gamokvlevis mimarT
standartuli midgoma mdgomareobs mis analizSi iseTi
kriteriumebis mixedviT, rogoricaa siblante, siRrme da aRdgenis
unari.
bazris simWidrove (tightness) gviCvenebs Tu ramdenad Sors xdeba
garigebis realuri fasis gadaxra realuri sabazro fasidan.
bazris simWidrovis gazomvis bunebriv saSualebas warmoadgens
safaso spredis sidide.
SeiZleba gaizomos sxvadasxva tipis spredi dasaxuli miznidan
gamomdinare, romelTagan TiToeuli xazs usvams bazris
likvidurobis ama Tu im waxnags. yvelaze martivia gaizomos
dakvirvebadi spredi – yidvaze da gayidvaze saukeTeso kotirebebs
Soris sxvaoba. mocemuli spredi asaxavs garigebis dadebis dros
minimaluri transaqciuri xarjebis sidides. magram Tu garigebebis
moculoba aWarbebs saukeTeso kotirebebis moculobas, realuri
spredi Tavdapirvelad dakvirvebulze gansxvavebuli iqneba.
imisaTvis rom mocemuli gansxvaveba SevafasoT, SeiZleba
gamovTvaloT realizebuli spredis sidide rogorc drois raRac
periodis ganmavlobaSi moTxovnis fasiT Sesrulebul garigebebis
saSualoSewonis fasebs Soris da miwodebis fasiT
ganxorcielebul garigebebs Soris sxvaoba. realizebuli spredis
sidide gviCvenebs, ramdenad `wvrilia~ bazari: rac ufro Zlier
gansxvadeba mocemuli sidide dakvirvebadi spredisagan, miT ufro
metadaa garigebis moculobaze damokidebuli transaqciuri
xarjebi.
bolos, bazris siblantis yvelaze zust maCvenebels
warmoadgens efetiuri spredis sidide, romelic ganisazRvreba
bazris TiToeuli monawilisaTvis individualurad da garigebis
momentSi garigebis realur fassa da bazris saSualo fass Soris
sxvaobis tolia. SevniSnoT, rom efetiuri spredis sidide
damokidebulia ara marto garigebis moculobaze, aramed mis
mimarTulebazec (magaliTad, bazarze fasebis matebis tendenciis

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dros unda velodoT, rom efetiuri spredi aqtivebis yidvis dros
ufro maRali iqneba vidre gayidvisas).
bazris siRrme (depth) gviCvenebs misi monawileebis aqtiurobas,
vaWrobis moculobas, brunvas. am maxasiaTebelis arsi mdgomareobs
bazarze moTxovnis (miwodebis) potenciuri moculobis SefasebaSi.
bazris siRrmis gasazomad SeiZleba gamoviyenoT garigebis
maqsimaluri moculoba, romelic ar moqmedebs kotirebis Secvlaze,
an im yidvis ganacxadebis raodenoba/moculoba, romlebic
daregistrirebulni arian drois mocemul momentSi savaWro
sistemaSi. siRrmis irib maCvenelad gvevlineba drois mocemuli
momentisaTvis aqtivebis vaWrobebis moculobis fardoba savaWro
sistemis saerTo brunvasTan, aseve garigegebis saSualo moculoba.
principSi, drois mocemuli momentisaTvis SeiZleba avagoT
garigebebis potencialuri moculobis da fasebis donis
damokidebuleba. rac ufro likviduria mocemuli bazari, miT ufro
didi unda iyos misi siRrme da naklebi fasebis volatiloba
garigebis moculobaze damokidebulebiT.
bazris mdgradoba (resiliency) xasiTdeba droiT, romlis
ganmavlobaSic qreba fasebis rxeva, romelic gamowveulia
garigebebis ganxorcielebiT, an moTxovnasa da miwodebas Soris
disbalansis aRmofxvriT.
nax. 4.1-ze naCvenebia bazris likvidurobis sxvadasxva
maxasiTeblebs Soris urTierTdamokidebuleba.
mocemuli maCveneblebis mixedviT likvidurobis gazomvis
ZiriTad problemas warmoadgens saWiro statistikuri monacemebis
ar qona da maTi Sekrebis sirTule. rogorc wesi, aRniSnuli
sidideebis umetesoba xelmiuwvdomelia pirdapiri dakvidvebisaTvis,
da moiTxovs mniSvnelivan Zalisxmevas saWiro informaciis
Sesagroveblad. gansakuTrebiT mwvaved dgas es problema
birJisgareT bazrebisaTvis, romelzedac realuri da kotirebuli
fasebi SeiZleba Zalian gansxvavdebodnen erTmaneTisagan, xolo
realuri garigebebis Sesaxeb informacia bazarze igvianebs an
saerTod ar modis.

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 Camo
oTvlili i kriteeriumebis meore nakl ls warmmoadgens maTi
statikuuroba. likvidur
l robis yvvela maCCvenebeli gamoiT Tvleba drois
mocemulli momen ntasaTvi
is da faasebis mo ocemulii mniSvnelobebiisaTvis
da SeuZliaT Seeicvalo on rogor rze situaciis Secvlis
rc bazar S sas, ise
droze damokid debulebi iT (magaaliTad, rogor rc wesi dakvir rvebadi
spredi vaWrobis sesiis s dasaywi isSi da bolos ufro maRalia,
m vidre
vaWrobis dRis SuaSi).
Tumcca mo
oyvanilii maxaasiTebleebi T
Teoriullad s
sakmaod
informaatiulebi i ariaan, maT
Ti gamo
oTvla praqtikkaSi T
TiTqmis
SeuZlebbelia an diid finansur da droiT xarjeebTanaa
dakavSirrebuli. maCveneebelebi, romel lebic SeeiZleba gamoiT Tvalos
erT bazzarze, gaamosaTvllelad SeiZleba
S a xelmissawvdomii ar iyo
os sxva
bazarzee, rac ori baz zris likvidur
l obis raaodenobriv Sef fasebas
SeuZlebbels xdis. magram baazris likvidu urobis raodenobrivi
Sefasebiis miR Rebis sirTuli
s is miux xedavad, aseTi Sefas sebidan
sargebelli mniSvvnelovanni SeiZl
leba iyoss.

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 4.3.1 likvidurobis dinamika
zemoT ganvixileT, rogori parametrebiT SeiZleba daxasiTdes
bazris likviduroba drois konkretul momentSi. magram bazris
likviduroba ar rCeba droSi mudmivi. informaciuli
teqnologiebis ganviTarebis da finansuri bazrebis globalizaciis
kvalobaze savaWro operaciebis Catareba mniSvnelovnad daCqarda da
gamartivda, da, rogorc Sedegi, savaWro aqtivoba SeiZleba swrafad
gaizardos da Semcirdes bazris SigniT, aseve swrafad
gadanacvldes erTi bazridan meoreze. bazrebma SeiZleba swrafad
da moulodnelad dakargon likviduroba. bazris likvidurobis
dinamikis Tvalyuris devneba da modelireba ganxiluli mizezebis
ZaliT warmoadgens Znelad gadasawyvet problemas. dResdReobiT
bazris likvidurobis dinamikis Sesaxeb informacia atarebs
empiriul xasiaTs, gamovyoT likvidurobis dinamikisaTvis
damaxasiaTebeli ZiriTadi momentebi.
likvidurobis koncentracia. bazrebze, sadac savaWro
instrumentebi urTierTCanacvlebadia, likviduroba xSirad
koncetrirebulia aqtivebis mcire raodenobaSi an erT aqtivSic ki,
amasTan danarCeni aqtivebi warmoadgenen mniSvnelovnad nakleb
likvidurebs. garkveuli pirobebis dros likvidurobam SeiZleba
swrafad `gadainacvlos~ erTi instrumentidan meoreze.
bazarze likvidurobis gaqroba. rogorc wesi, erT bazarze
likvidurobis koncertacia iwvevs likvidurobis gaqrobas meore
bazarze.
`gaqceva likvidurobisaken~ (flight to liquidity). mocemuli movlena
SeiZleba ganxiluli iyos rogorc aqtiurobis migracia iseT
bazrebze, romlebic moslodnelia, rom SeinarCuneben sakmaris
likvidurobas krizisebis momentebSic ki. aseTi movlenis dros
monawileebi mzad arian gadaixadon SedarebiT maRali premia, vidre
Cveulebriv dros, rom moaxdinon saxsrebis aseT aqtivebSi
investireba. movlena `gaqceva likvidurobisaken~ Cveulebriv
warmoadgens `xarisxisaken gaqceva ~ (flight to quality) - procesze ufro
farTe process, maSin roca monawileebi ixdian ufor maRal premias
aqtivSi, romelsac gaaCnia yvela saxis riskis dabali done (pirvel
rigSi sakredito), da daimzirebian bazris krizisuli situaciis
momentebSi.

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 4.3.2. bazris likvidurobis faqtorebi
faqtorebi, romelic bazris likvidurobaze axdenen gavlenas,
sakmaod mravalferovania. rogorc wesi SeuZlebelia imis gageba ra
gavlenas axdens bazris likvidurobaze esaTuis faqtori zogadad
da sxva faqroebisgan damoukideblad. gamoyofen bazris
likvidurobis sam ZiriTad jgufs:
savaWro instrumentis specifika. erT-erT sakvanZo elements
savaWro instrumentis specifikis da bazris likvidurobis
urTierTdamokidebulebis gavxilvisas warmoadgens instrumentebis
urTierTCanacvleba. Tu instrumentebs Soris urTierTCanacvleba
maRalia, maSin sabazro likvidurobis koncentracia mxolod erT-
erT maTganSi xdeba: monawileebi sxvadasxva Tanabari pirobebis
dros upiratesobas aZleven SedarebiT likviduri aqtivebis yidvas.
amavdroulad Tu instrumentebs ar gaaCniaT bazarze analogi,
maTze vWroba SeiZleba gaZnelebuli iyos monawileTa SiSis gamo
krizisul situaciaSi mocemuli instrumentis likvidurobis gamo,
aseve SesaZlo finansuri strategiebis agebis SezRudulobis gamo.
bazris mikrostruqtura (market microstructure). savaWro farTobebs
Soris konkurenciis zrda da kapitalis bazrebs Soris gadatanis
simartivem mogviyvena likvidurobis bazris mikrostruqturze
damokidebulebamde, romelic Semdegi ZiriTadi elementebiT
xasiaTdeba:
1. savaWro sistemis tipi. SeiZleba gamovyoT vaWrobis
organizebis ori ZiriTadi tipi: dileruli da sabirJo bazrebi.
sabirJo (auction-agency/order-driver) bazari, romelic dafuZnebulia
gansazRvruli wesebiT yidva-gayidvaze ganacxadebis Segrovebaze
da dakvirebaze, romelic uzrunvelyofs monawileebs ganacxadebis
da garigebebis realuri fasis Sesaxeb ufro farTo informaciiT.
dileruli bazari, romelzedac dileri yidva-gayidvaze axdens
Tavisi kotirebis demonstrirebas bazris danarCeni
monawilebisaTvis, aZlevs dilerebs ganacxadebis nakadebis Sesaxeb
informaciaze monopolias. rogorc wesi, sabirJo bazari ufro
likviduria, vidre deleruli, da gamoirCeva informaciis didi
gaxsnilobiT.

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 2. garigebis dadebis xarjebi. rogorc wesi, transaqciuri
xarjebis Semcirebas mivyavarT bazris likvidurobis gazrdamde.
3. bazris informaciuli gamWirvaloba. am terminiT Cveulebriv
aRniSnaven bazris monawleTa SesaZleblobas xeli miuwvdebodeT
vaWrobis procesis Sesaxeb informaciaze. bankis gamWirvalobasa da
likvidurobas Soris damokidebuleba arawrfivia. garkveul
momentamde gamWirvalobis gazrdas mivyavarT bazris likvidurobis
zrdamde, romlis Semdeg dgeba sawinaaRmdego efeqti.
bazris monawileTa qceva. TiToeul bazarze SiZleba
gamovlenili iqnas monawileTa gavrcelebuli tipi, romelTa
qcevebi gansazRvraven bazris reaqcias gareSe cvlilebebze. bazris
monawileTa nairsaxeoba xels uwyobs bazris likvidurobis
gazrdas.

xSirad SeiZleba bazarze davakvirdeT TviTasrulebadi

molodinebis meqanizmis moqmedebas: Tu bazris monawileebi
romelime instruments Tvlian sxva instrumentebTan SedarebiT
ufro likvidurad, es instrumenti (bazari) garkveuli drois
Semdeg marTlac xdeba SedarebiT likviduri.

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 bazris likvidurobis zemoT ganxiluli ZiriTadi
maxasiTeblebi da faqtorebi sqematurad warmodgenilia nax. 4.2-ze.

4.3.3 likviduri bazris SeqmnisaTvis rekomendaciebi

bazris likvidurobis Sesaxeb saubris damTavrebisas, SevCerdeT
likviduri bazris Seqmnis ZiriTad principebze, romelic
gamoqveynebulia globaluri finansuri sistemebis komitetis
angariSSi:
1. aucilebelia SenarCundes konkurentuli sabazro garemo,
winaaRmdeg SemTxvevaSi likviduroba gadainacvlebs SedarebiT
konkurentul bazrebze.
2. bazars unda hqondes fragmentaciis dabali done. sxvadasxva
Tanbari pirobebis dros likviduroba iqaa maRali sadac
instrumentebi uerTierTSenacvlebadi arian.
3.unda moxdes tranzaqciuri xarjebis minimizacia. garigebebis
dadebis Rirebulebis Semcireba zrdis bazris likvidurobas,
amitom aucilebelia maTi minimizacia iqamde, sanam es ar moaxdens
gavlenas bazris funqcionirebis usafrTxoebaze.
4. aucilebelia bazris adekvaturi, Tanamedrove da usafrTxo
infrastruqturis SenarCuneba. aseTi infrastuqtura astimulirebs
monawileTa aqtivobas, arbilebs gareSe krizisebis Sedegebs da
exmareba maT gadalaxvaSi.
5. aucilebelia bazris monawileTa mravalsaxeobis SenarCuneba.
Catarebuli garigebebis tipebis, bazris aRqmis, sainvesticio
horizontis mixedviT monawileTa diferenciacia zrdis bazris
likvidurobas.

4.4 likvidurobis riski

imis Semdeg, rac ganvsazRvreT bazris likviduroba da misi
parametrebi, gadavideT sabazro likvidurobis riskis ganxilvaze.
sabazro likvidurobis riski dakavSirebulia im danakargebTan,
romlebic SeiZleba ganicados monawilem bazris arasaTanado
likvidurobis gamo. sxva sityvebiT, es imis riskia, rom
transaqciuri xarjebi zedmetad maRali aRmoCndeba. sabazro
likvidurobis riskis zomad SeiZleba gamodges realizebuli

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spredi, magram gavixsenoT, rom mocemuli sididis gamoTvla Zalian
problematuria.
likvidurobis risks gaaCnia ori mdgeni: egzogenuri (obieqturi)
da endogenuri (subieqturi). likvidurobis riskis egzogenuri
mdgeni ganisazRvreba bazris likvidurobi iseTi parametrebiT,
rogoricaa bazarze spredis sidide, bazris siRrme da misi
moculoba. riskis es mdgeni yvela monawilisaTvis erTnairia, da,
rogorc wesi, monawileTagan arc erTs ar SeuZlia misi Secvla.
endogenuri mdgeni TiToeuli monawilisaTvis ganisazRvreba
individualurad da damokidebulia bazaze misi poziciis
moculobaze. rac ufro didia poziciis zoma, miT meti mniSvneloba
gaaCnia riskis subieqtur mdgens.
magaliTis saSualebiT ganvmartoT naTqvami. davuSvaT, rom
investors bazarze gaaCnia gaxsnili pozicia da gadawyvetili aqvs
misi likvidacia (magaliTad, mas aqvs aqciebi romelTa gayidvac
surs). bazarze garigebebis ganxorcielebis momentSi yidvaze da
gayidvaze arsebobs Sesabamisi kotirebebi, amasTan saukeTeso
korirebebis moculoba savsebiT sasrulia. es niSnavs, rom mas
SeuZlia mimdinare fasad gayidos mxolod SezRuduli moculobis
aqciebi, Tu investorma am fasad ar gayida mis xelT arsebuli
yvela aqcia, maSin misTvis aucilebelia an daelodos axal
ganacxadebis gamoCenas am an ukeTes fasad gayidvebze, an gayidos
aqciebi ufro dabali kotirebiT, yidvaze ganacxadebis rigis
Tanaxmad (am SemTxvevaSi tranzaqciuri xarjebi iwyeben zrdas).
moyvanili magaliTi gviCvenebs, rom tranzaqciuri xarjebis,
zogadad, damokidebulia or endogenur parametrze: garigebis
moculobaze da im droze, romelic mis Sesrulebazea gamoyofili.
im dromde sanam dagegmili garigebis moculoba ar aWarbebs
bazarze saukeTeso ganacxadebis moculobas, likvidurobis riskis
endogenuri mdgeni nulis tolia da transaqciuri xarjebi
ganisazRvreba dakvirvebadi spredis sididiT. magram, rogorc ki
garigebis moculoba xdeba bazarze saukeTeso ganacxadebis
moculobaze meti, transaqciuri xarjebi iwyeben zrdas da
ganisazRvrebian bazris siRrmiT (Tu garigeba dauyovnebliv
sruldeba). Tu bazari arasakmarisad likviduria, xolo dagegmili

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garigebebis moculoba mniSvnelovani, maSin realizebuli spredis
sidide SeiZleba ramdenjerme gansxvavdebodes dakvirvebadisagan.
amis gamo yovelTvis yuradRebiT unda vakvirdebodeT poziciebs,
romelTa zoma mocemuli bazris saSualosTan SedarebiT didia,
ramdenadac aucieblobis SemTxvevaSi swrafad moxdes poziciis
likvidacia. garigebis ganxorcielebis xarjebi SeiZleba Zalian
didi aRmoCndes. nax. 4.3-ze naCvenebia fasis grigebebis moculobaze
damokidebuleba.

imis magivrad rom moaxdinos garigeba am droisaTvis xelmisawvdom

fasad investors yovelTvis gaaCnia alternativa – gaaxangrZlivos
garigebis ganxorcielebis dro. maSin sxva Tanabari pirobebis dros
dalodebis drois gazrdasTan erTad transaqciuri xarjebi
Semcireba (aq upriania gavixsenoT bazris likvidurobis mesame
kriteriumi – bazris aRdgenis dro). magram lodinis drois
zrdasTan erTad gaizrdeba operaciisagan gaSvebuli im sargeblis
sidide, romelic SeiZleboda am drois ganmavlobaSi yofiliyo.
sxva sityvebiT, garigebis DSesrulebaze gamoyofili drois
gazrdiT, erTis mxriv, mcirdeba dadebuli garigebis Rirebuleba,
xolo meores mxriv – izrdeba gaSvebuli sargeblis zoma, amitom
mocemuli moculobis garigebisaTvis Teoriulad arsebobs misi
Sesrulebis optimaluri dro. magram es umetesad Teoriuli

332
msjelobaa, vidre praqtikuli, ramdenedac praqtikaSi xelidan
gaSvebuli sargeblianobis gazomva iSviaTad xerxdeba
axla yuradReba mivaqcioT imas, Tu ra Seicvleba bazarze
krizisuli situaciis ganviTarebisas. am SemTxvevaSi, pirveli,
irRveva bazris funqcionirebis Cveulebrivi pirobebi, ris Sedegsac
warmoadgens misi likvidurobis daweva. meore, am pirobebSi
investorebs, rogorc wesi, ar aqvT saSualeba daicadon, maT
sWirdebaT dauyovnebliv moaxdinon poziciis likvidireba. yovelive
amas mivyavarT imisken, rom krizisul momentSi normaluri
situaciasTan SeadarebiT transaqciuri xarjebi SeiZleba Zalian
gaizardos.
am Taviseburebis sailustraciod moviyvanoT danbaris
komentari 1998 wlis agvistos krisisze: `portfeli Cveulebriv
fasdeba moTxovna-miwodebis fasebs Soris sprediT, mraval
hejirebis fonds gamoyenebuli aqvs modeli, romelic am
varaudebzea dafuZnebuli. agvistos bolos portfelis
Sesafaseblad arsebobda mxolod erTi realuri fasi: moTxovnis
fasi. masirebul gayidvebis nakadebidan mxolod pirveli gamyidveli
iRebda gayidvis realur fass, danarCen uiRbloebs unda gadaexadaT
likvidurobisaTvis premia, Tu surdaT gayidvis ganxorcieleba ...
riskis Sefasebis modelebi unda gadaixedos, rom masSi Cadebuli
iyos moTxovna-miwodebis spredis qceva.~
VaR maCvenebelze dafuZnebuli portfelis riskis Sefasebis
modelebi Cveulebriv reagirebas axdenen bazarze situaciis mkveTr
cvlilebaze, romelic gamoisaxeba fasebis volatilobis zrdaSi,
da portfelis struqturis gadaxedva gviwevs im momentSi, roca
bazris koniunqtura normalurisagan Sorsaa, xolo
ganxorcielebuli garigebebis fasi Cveulebrivze maRalia. amitom
xSirad aRmoCndeba, rom portfelis realuri riski bevrad maRalia,
vidre VaR _ modelis meSveobiT miRebuli Sefaseba.
sabazro riskis Sefasebis standartuli modelebis erT-erT
yvelaze did nakls warmoadgens maTi portfelis sididis mimarT
invariantoba: sabazro riskis Sefaseba araa damokidebuli
portfelis sidideze. Tu bazris romelime monawile akontrolebs,
magaliTad, mTeli bazris moculobis naxevars da Seecdeba swrafad
moaxdinos Tavisi poziciis likvidireba, maSin mas unda hqondes

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imis imedi, rom sabazro fasi ar Seicvleba. magram sabazro riskis
Sefasebis Zalian cota modeli iTvaliswinebs riskis mocemul
faqtors.
likvidurobis riskis rogori meTodebis SemoTavazebaa
SesaZlebeli?
samwuxarod, unda aRiniSnos, rom amJamad ar arsebobs
universaluri meTodi, romelic gamosadegia sabazro likvidurobis
riskis SefasebisaTvis. es dakavSirebulia rogorc bazris
likvidurobis parametrebis Sesaxeb saWiro informaciis miRebis
problemasTan, romlis gareSec SeuZlebelia misi raodenobrivi
Sefasebebis miReba, aseve likvidurobis riskis endogenur
xasiaTTan. sabazro riskis Sefasebis modelebis analogiurad
statistikuri midgomis gamoyeneba am SemTxvevaSi problemuria,
ramdenadac riski damokidebulia poziciis moculobze, xolo
dadebuli garigebebis, maTi moculobisagan damokidebulebiT,
Rirebulebebis Sesaxeb istoriuli monacemebis Segroveba msxvili
finansuri institutebisTvisac ki Zalian rTulia.
portfelis rikis Sefasebisas SeiZleba rekomendacia gaewios
dadebuli garigebebis mosalodneli xarjebis faqtobriv xarjebTan
SedarebiT stastistikis warmoebas da miRebuli sididiT
Seaworebebis gakeTebas. Tu portfeli rTulia, maSin aucilebelia
TiToeuli instrumentisaTvis Sefasdes poziciis zoma bazris
moculobasTan fardobiT da am Sefasebebis da statistikuri
monacemebis safuZvelze (Tu Segroveba SesaZlebeli gaxda) moxdes
transaqciuri xarjebis da portfelis saerTo riskze maTi
gavlenis prognozireba.
SedarebiT naTelia situacia riskis likvidurobis egzogenuli
mdgenis SemTxvevaSi, romelic gamoxatulia dakvirvebadi spredis
sididiT. SeiZleba sakmaod martivad avagoT spredis sididesa da
bazris volatilobas Soris damokidebuleba da gamovlenili
damokidebulebis safuZvelze SevitanoT koreqtivebi sabazro
riskis Sefasebis modelSi (rogorc wesi, portfelis riskis
sidides umateben sidides, romelic asaxavs likvidurobis risks).
ganvixiloT axla likvidurobis riskis sxva saxe, romelic
dakavSirebulia sawarmos mier gadaxdisunarianobis dakargvasTan.

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 4.5 gadaxdisuunarobis riski
gadaxdisuunarobis riski imaSi mdgomareobs, rom kompania ver
SeZlebs Seasrulos Tavisi valdebulebebi kontragentebis winaSi
naRdi saxsrebis an sxva maRallikviduri aqtivebis ukmarisobis
gamo. drois TiToeul momentSi SeiZleba zustad iTqvas, mocemuli
kompania gadaxdis unariania Tu ara, amitom mocemuli xdomilobis
albaTobis Sesafaseblad SeiZleba gamoyenebuli iyos statistikuri
midgoma da igive instrumentarebi, rac gamoiyeneboda sabazro
riskis Sefasebis dros.
gadaxdisuunarobis riskze moqmed ZiriTad faqtorebs
warmoadgens kompaniis SesaZlebloba saWiroebis SemTxvevaSi
moizidos sasexo saxsrebi da damoukideblad moaxdinos fuladi
nakadebis generireba sakuTari aqtivebis gayidvis gziT.
kompaniam SeiZleba SezRudos gadaxdisuunarobis riski, Tu
SeinarCunebs saWiro raodenobis likvidur aqtivebs, magram siWarbe
kompanias miiyvans miuRebel sargebelamde. garda amisa,
gadaxdisuunarobis riskze moqmedebs siCqare, romliTac kompanias
SeuZlia gadaaqcios likviduri aqtivebis naRd fulad saxsrebad.
krizisul situaciaSi (gavixsenoT sabazro likvidurobis riskis
Sesaxeb) likviduri aqtivebis gayidvamac ki SeiZleba waiRos an
Zalian didi, an ar moitanos mosalodneli fuladi nakadi.
gamoiyofa gadaxdisuunarobis riskis warmoSobis sami wyaro:
sistemuri, individualuri da teqnikuri.
sistemuri riskis warmoiSoba im SemTxvevaSi, roca
angariSsworebis sistemaSi ubralod ar aRmoCndeba aucilebeli
raodenobois fuladi saxsrebi aseTi sistemebis funqcionirebis
gaumarTaobis gamo da miTiTebul vadebSi ar moxdeba daniSnulebiT
gadagzavnili. aseTi riski, SeiZleba warmoiSvas maregulerebeli
orgnoebis mcdari moqmedebebis gamoc.
individualuri riski mdgomareobs bazris monawilis mier
kompaniis gadaxdisunarianobaze azris Secvlis SesaZleblobaSi da
Sesabamisad masTan urTierTobis gadaxedvaSi. kompaniam SeiZleba
dakargos sakredito resursebze wvdoma an ar miiRos aqtivebis
gayidvisas mosalodnel fasi radgan, monawileebi, varaudoben ra,
rom kompania-gamyidvels gaCnia SesaZlo problemebi, Seecdebian
miiRon amaze sargebeli. kontragentebis mier kompaniis Sesaxeb

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azris Secvlis mizezi SeiZleba iyos rogorc obieqturi faqtorebi
(magaliTad, sakredito reitingis daqveiTeba), ise subieqturi,
romlebic emyareba xmebs da molodinebs, da romlebic xSirad
SeiZleba usafuZvlo iyos. mocemuli saxis likvidurobis riskis
Tavidan acilebis mizniT kompaniebs SeiZleba mieces rekomendacia
yuradRebiT adevnon Tvali bazarze TavianT reputacias da
yuradReba miaqcion korporatiul kulturas imisaTvis, rom Tavidan
aicilon kompaniis mdgomareobis Sesaxeb arasasurveli informaciis
gadinebis SesZlebloba.
teqnikuri riski mdgomareobs samomavlo gadaxdebis struqturis
(forward payment stucture) daubalansirebulobaSi da warmoadgens
gadaxdisuunarobis riskis yvelaze seriozul mdgens.
gadaxdisuunarobis teqnikur riskSi, Tavis mxriv, gamoyofen or
mdgens: 1) mosalodneli Semosavlebis da gasavlebis
daubalaseblobas da 2) samomavlo gadaxdebis zomis did
ganusazRvrelobas. pirveli mdgenis minimizacia, kompaniis mxridan
Tavisi gadaxdebis struqturis mimarT yuradRebiani
damokidebulebiT, rogorc wesi, advilad xdeba. meore mdgenis
mimarT saqme ufro rTuladaa: samomavlo gadaxdebis
ganusazRvreloba moiTxovs likviduri saxsrebis garkveul rezervs.
kompanias ar SeuZlia iqonios likviduri saxsrebis saxiT naRdi
fuladi saxsrebi Tavisi saqmianobis rentabelobis Semcirebis
gareSe, amitom, rogorc wesi, aseTi saxsrebis saxiT xdeba sasesxo
fuladi sexsrebis an likviduri aqtivebis gamoyeneba, romelTa
gadayvana fulad saxsrebSi swrafad xdeba, magaliTad fasiani
qaRaldebis. magram krizisul situaciaSi es wyaroebi SeiZleba
saWiro moculobiT xelmisawvdomi ar iyos. mocemuli saxis riskis
dasawevad saWiroa Catardes kompaniis gadaxdebis struqturis
istoriuli analizi likviduri saxsrebis moculobis
dagegmvisaTvis. magram bazarze arastandartuli situaciis
SemTxvevaSi retrospeqtiuli analizi SeiZleba naklebefeqturi
aRmoCndes.
likvidurobis riskis teqnikuri mdgenis marTvisaTvis SeiZleba
rekomendacia gaewios Semdeg algoriTms:
1) Catardes cnobili samomavlo gadaxdebis analizi (arsebuli
valdebuelbebis da dadebuli garigebebis Tanaxmad);

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 2) gakeTdes prognozi SesaZlo momavali valdebulebebis
warmoSebis Sesaxeb (magaliTad, kompaniis istoriis safuZvelze);
3) calkeuli mosalodneli gadaxdisaTvis gamoiyos determinuli
da stoqasturi nawili;
4) albaTuri meTodebis saSualebiT Sefasdes stoqasturi
gadaxdebis mniSvnelobebi da maTi SesaZlo gabneva;
5) gakeTdes likviduri saxsrebis moculobis droze
damokidebuleba da Sefasdes mocemuli moculobis minimaluri da
maqsimaluri sidide (albaTodis romeliRac donisaTvis);
6) Sefasdes saxsrebis mozidvis mxriv kompaniis unari,
aucileblobis SemTxvevaSi gadaixedos samomavlo gadaxdebis
stuqtura.
4.6 rekomendaciebi
unda vaRiaroT, rom likvidurobis riskis marTva (orive
variantSi) dRemde ufro xelovnebas warmoadgens, vidre
mecnierebas, amitom praqtikaSi gamosayenebeli codnis didi nawili
SeiZleba miRebuli iyos mxolod empiriuli gziT.
miuxedavad amisa, yovelTvis unda vaRiaroT likvidurobis
riskis arseboba da finansuri insrtumentebis portfelis marTvisas
mxedvelobaSi miviRoT, miTumetes, rom likvidurobis riski
Tvisobrivad swored krizisul situaciaSi warmoiSoba.
finansur bazrebze muSaobisas yovelTvis unda Sefasdes
sakuTari poziciis moculoba bazris mimarT da didi poziciis
SemTxvevaSi gansakuTrebiT didi yuradReba unda vadevnoT bazarze
situaciis cvlilebebs. unda gvaxsovdes, rom riskebis Sefasebis
modelebis umravlesoba ar iTvaliswinebs iseT cnebas, rogoricaa
`bazris likviduroba~, e.i. efuZnebian im daSvebas, rom
likvidurobis riski nulis tolia. magram bazris moculobis
mimarT portfelis zomis zrdasTan erTad likvidurobis riski
aseve izrdeba da krizisul situaciaSi SeiZleba miuReblad didi
aRmoCndes.
sakuTari portfelis struqturaSi yovelTvis unda gamoiyos
aqtivebi, romelTa gadaqceva SeiZleba naRd fulad gadaxdebis
stuqturaSi disbalansis aRmosafxvrelad. praqtikaSi mainc
sasrgebloa likvidurobis riskebis prognozireba da marTva, vidre
misi ugulvelyofiT gamowveul SedegebTan brZola.

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 Tavi 5
sakredito riskebis marTva
5.1. Sesavali
sakredito riskebis marTva Tavisi fesvebiT Soreul warsulSi
midis, antikur epoqaSi. romis imperiia dros pirvelad warmoiSva
`kreditis~ cneba, romelic Zevs sakredito riskebis marTvis
procesis safuZvlad. sityva-sityviT credit iTargmneba rogorc
`rwmena, ndoba~; kreditors uwodebdnen adamians, romelTanac
midiodnen fuladi saxsrebis sesxad saTxovnelad da romelic,
Tavis mxriv, endoboda Tavis mevaleebs da darwmunebuli iyo Tavisi
fuladi Tanxis dabrunebaSi. mogvianebiT, SuasaukuneebSi aRmocenda
`bankrotobis~ cneba (italiuri sityvebisagan banca – skami da rotta –
damtvreuli, gadatexili), romelic bankiris finansur SeWirvebas,
bankis kraxs miSnavs.
istoriuli ganviTrebis msvlelobam migviyvana iqamde, rom
valis dabrunebis msesxebelis brma rwmenasTan erTad aucilebeli
gaxda sakredito analizis Catareba, romelic gulisxmobs
sakredito riskebis Sfasebas da marTvas. amitom sabanko saqmis
CasaxvasTan erTad bankebi aqtiurad aviTarebdnen sakredito
riskebze kontrolis meTodebs.
1997 wels sabanko meTvalyureobis bazelis komitetma Tavis
dokumentSi `efeqturi sabanko meTvalyureobis fuZemdebluri
princiebi~ sakredito riskis daasaxela finansuri riskis ZiriTad
saxed, romelsac finansuri institutebi xvdebain TavianT
saqmianobaSi. es faqti asaxavs 1980-1990 wlebSi mTel msoflioSi
gavrcelebul korporatiuli gakotrebis talRas, romelic
sakredito riskis Sedegi iyo. maT ZiriTadi mizezi iseTi faqtorebi
iyo, rogoricaa aqtivebis dabali xarisxi, problemuri kreditebis
aradrouli gamovlena da maTTvis arasakmarisi rezervis Seqmna,
sakredito kontrolis sisuste. garda amisa, msoflio meurneobis
globalizaciam da finansuri bazrebis ufro da ufro didi
deregulirebisaken tendenciam moaxdines uSualo zemoqmedeba
sakredito riskebis zrdaze.
sakredito riskebis marTvis mimarT interesis zrda
ganpirobebulia aseve Semdegi faqtorebiT:
 sasesxo, da kerZod sabanko, dafinanasebis moculobis gazrda;
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  dabali sakredito reitingis mqone maRalSemosavliani
oblogaciebis bazris, e.w. `nagvis~ obligaciebis (junk bonds),
gamoCena;
 bankebis rentabelobis dawevis tendencia;
 sesxebze da kreditebze mniSvnelovani danakargebis
SemTxvevebi, romlebic farTodaa cnobili.
sakredito riskebis mzardi masStabebis gamo warmoiSva maTi
Sefasebis da marTvis arsebulis srulyofis da axali meTodis
danergvis aucilebloba. es meTodebi da modelebi Seadgenen
Tanamedrove risk-menejmentis sistemis `birTvs~, romelic
uzrunvelyofs nebismieri finansuri instrumentis warmatebul
funqcionirebas.

5.2. sakredito riskis arsi

aris ra finansuri riskis yvelaze gavrcelebul saxe,
sakredito riski warmoadgens ganusazRvrelobis elements
kontragrntis mier sasexo saxsrebis dabrunebasTan sakuTari
saxelSekrebulebo valdebulebebis Sesrulebis dros. sxva
sityvebiT, sakredito riski – es aris kontraqtoris mier Tavisi
valdebulebebis Seusruleblobis Sedegad gamowveuli danakargis
SesaZlebloba. kreditorisaTvis aseTi valdebulebis
Seusruleblobis Sedegi izomeba valis ZiriTadi Tanxis dakargviT
da aRdgenili fuladi saxsrebidan gamoklebul Tanxaze
gadauxdeli procentebiT.
sakredito riskis yvelaze naTeli gamoxatulebaa defolti
(drfault) – gadaxdisuunarobis an survilis ar qonis gamo
kontragentis mier sakredito SeTanxmebis pirobebis an sabazro
garigebis Seusrulebloba. amitom sakredito riskis kategorias
miekuTvneba, pirvel rigSi, danakargebi, romlebic dakavSirebulia
kontragentis mier defoltis gamocxadebasTan. garda amisa,
sakredito risks miekuTvneba aseve is danakargebic, romlebic
dakavSirebulia msesxebelis sakredito reitingis dawevasTan,
ramdenadac amas Cveulebriv mivyavarT misi valdebulebebis sabazro
Rirebulebebis dawevisaken, aseve danakargebi miuRebeli sargeblis
saxiT, romelic gamowveulia msesxeblis mier vadaze adre
saxsrebis dabrunebis Sedegad.
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 sakredito riskis moicavs qveynis da kontragentis risks.
qveynis anu suverenuli riski (country/sovereign risk) warmoiSveba
im SemTxvevaSi, roca saxelmwifos qmedebis Sedegad (magaliTad,
savaluto kontrolis ganxorcielebis Sedegad) SeuZlebeli xdeba
kontragentis mier Tavisi valdebulebebis Sesruleba. Tu
defoltis riskis ganpirovnebulia ZiriTadad kompaniis
specifikidan gamodinare, qveynis riski ganpirobebulia qveynis
specifikiT, saxelmwifo kontroliT, makroekonomikuri
regulirebiT da marTviT.
Tavis mxriv, kontragentis sakredito riski (counterparty risk)
SeiZleba davyoT or mdgenad: angariSswrebamde riski da
angariSsworebis riski.
angariSsworebamde riski (presettlement risk) – es aris
danakargebis SesaZlebloba, romelic gamowveulia kontragentis
mier Tavisi valdebulebis SeusruleblobiT garigebis moqmedebis
vadaSi, roca misi mixedviT angariSsworeba jer araa
ganxorcielebuli. sakredito riskis es saxe damaxasiaTebelia,
rogorc wesi, didi droiTi intervalebisaTvis: garigebis dadebis
momentidan angariSsworebamde.
angariSsworebis riskis (settlement risk) qveS igulisxmeba
garigebis mixedviT fuladi saxsrebis miuRebloba angariSsworebis
dros defoltis an kontragentis likviduri saxsrebis ukmarisobis
gamo, aseve operaciuli gaumarTaobis gamo. sxva sityvebiT, es aris
imis riski, rom garigebis mixedviT angariSsworeba droulad ar
ganxorcieldeba. mocemuli riski dakavSirebulia fuladi
saxsrebis moZraobasTan, vlindeba drois SedarebiT mokle
intervalebze. aucilebelia aRiniSnos, rom angariSsworebis riski
mniSvnelovnad izrdeba im kontragentebs Soris operaciebis
ganxorcielebisas, romlebic sxvadasxva droiT zonebSi imyofebian.
es SesaZlebloba savsebiT realurs warmodgens operaciebisaTvis,
romlebic dakavSirebulia valutis gacvlasTan, roca gadaxda
SeiZleba ganxorcieldes diliT evropaSi, da miRebuli iqnas
mogvianebiT amerikaSi. ase magaliTad, dasavleT germanulma Herstatt
Bank–ma, romelic gakotrda 1974 wels im dRes roca gamoacxada
defolti, miiRo gadaxdebi mTeli rigi kontragentisagan, magram ar
gadaixada dadebuli garigebebis mixedviT kuTvnili Tanxa. am
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gaxmaurebulma gakotrebam moaxdina mniSvnelovani
disbalansirebadi zemoqmedeba msoflio sabanko sistemaze da gaxda
erT-erTi gamomafxizlebeli motivi bazelis komitetis mier
kapitalis sakmarisobis moTxovnis SemuSabvebisaTvis, romelic
miRebuli iyo XX saukunis 80-iani wlebis bolosa da 90 wlebis
dasawyisSi. angariSsworebis riskis daweva SeZlebelia, kerZod,
drois relur masStabebSi (real-time gross se) bruto-gadaxdebis
sistemis SeqmniT, romlebic saSualebas iZlevian Semcirdes droiTi
intervali gadaxdis momentsa da kontragentis mier fuladi
saxsrebis miRebas Soris.
warmoSobis wyaros mixedviT sakredito riski SeiZleba daiyos
or jfufad:
1) gareSe riski (kontragentis riski);
2) Siga riski (sakredito produqtis riski).
gareSe riski ganpirobebulia gadaxdisunarianobis SefasebiT,
kontragentis saimedoobiT, mis mier defoltis gamocxadebis
Sesaxeb albaTobiT da defoltis SemTxvevaSi potencialur
danakargebiT. gareSe riskebis SemadgenlobaSi Sedian:
 kontragentis riski – kontragentis mier Tavisi
valdebulebebis Seusruleblobis riski;
 qveynis riski – imis riski, rom am qveynis yvela an umetesoba
kontragenti (samTavrobo organoebis CaTvliT) ver SeZleben
TavianTi finansuri valdebulebebis Sesrulebas raime Siga mizezis
gamo;
 savaluto rezervebis deficitis gamo qveynis gareT fuladi
gzavnilebis SezRudvis riski;
 portfelis koncentraciis riski – regionebis an
kontragentebis mier warmoebis sxvadasxva dargebs Soris sasxrebis
arabalansirebuli ganawilebis riski.
Siga riski dakavSirebulia sakredito produqtis
TaviseburebebTan da maTi mixedviT SesaZlo danakargebTan
kontragentis mier Tavisi valdebulebebis Seusruleblobis gamo.
Siga riskebis SemadgenlobaSi Sedian:
 ZiriTadi Tanxis da masze procentebis gadauxdelobis riski;
 msesxeblis Canacvlebis riski – valis nominaluri Tanxis
nawilis dakargvis riski, romelsac Canacvlebis Rirebuleba
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(replacement value) ewodeba, transferuli sasesxo valdebulebebiT
operaciebis ganxorcielebis Sedegad, magaliTad forvardebiT,
svopebiT, ofcionebiT da sxva, kontragentis mier garigebis
mixedviT Tavisi valdebulebebis Sesrulebis SeuZlebloba. Tu am
dros xdeba saprocento ganakveTebis an savaluto kursebis Secvla,
maSin kreditori iZulebuli iqneba gawios damatebiTi xarjebi
fuladi nakadebis aRdgenaze;
 operaciis damTavrebis riski – kontragentis mier Tavisi
valdebulebebis vadaSi Seusrulebloba an dagvianebiT Sesruleba;
 kreditis uzrunvelyofis riski – danakargis riski, romelic
dakavSirebulia kreditis uzrunvelyofis sabazro RirebulebasTan,
giraos ZalaSi Sesvlis SeuZlebloba da a.S.
sakredito riskebis marTvis meTodebma da instrumentebma
ganviTarebis grZeli gza gaiares. ase magaliTad, sakredito riskis
Tavdapirveli Sefaseba dadioda kreditis mxolod nominaluri
Rirebulebis ganmartebaze. SemdgomSi SemuSavebuli iyo riskis
gaTvaliswinebiT sakredito produqtis Rirebulebis gansazRvrebis
xerxebi, farTo gavrceleba hpova msesxeblis kreditunarinobis
reitinguli Sefasebis sistemebma. sakredito risk-menejmentis
ganviTarebis Tanamedrove etapi gamoirCeva kreditebis portfelis
riskebis Sefasebis raodenobrivi meTodebis Siga sabanko modelebis
sul ufro da ufro farTo danergviT. sabazro riskebis Sefasebis
da marTvis mowinave teqnologiebze dayrdnobiT, bankebi
miiswrafian gamoiyenon portfeluri midgoma agreTve sakredito
riskebis marTvisTvisac.
sakredito riskis Sefasebis sferoSo progresma mniSvnelovani
zemoqmedeba iqonia maTi marTvis meTodebis ganviTarebaze da
srulyofaze, razec metyvelebs iseTi miRwevevbi, rogoricaa:
 finansuri operaciebis struqturebis Secvla, kerZod iseTebis,
romlebic Seexeba fuladi saxsrebis dabrunebis uzrunvelyofas
(magaliTad, uZravi qonebis giravnobas, iseTi fasiani qaRaldebis
gamoSvebas, romlebic uzrunveyofilni arian msesxeblis aqtivebiT
da a.S.);
 finansuri operciebis ganxorcielebis dros birJebis da
saangariSsworebo-kliringuli sistemis saxiT specializebuli
Suamavlebis arseboba, romelTaA monawileoba amcirebs garigebis
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monawileebis mxridan kontragentis riskis dawevis kontrolze
gansakuTrebuli zomebis miRebis aucileblobas;
 sakredito warmoebuli instrumentebis gamoCena, romlebic maT
ZiriTad aqtivebSi arsebuli sakredito riskebis dawevis
saSualebas iZlevian. Tumca es bazari SedarebiT axals
warmoadgens, is xasiaTdeba garigebebis moculobis zrdis swrafi
tempebiT. kreditors, romelsac ar surda TavisTavze aiRos
sakuTari aqtivebis mixedviT sakredito riskebi, SeuZlia garkveul
pirobebSi dauyovnebliv `gayidos~ es riski bazarze da amiT
moaxdinos Tavisi aqtivebis hejireba. amgvarad, sakredito
warmoebuli instrumentebi warmoadgenen finansur instrumentebs,
romlebic qmnian dazRvevis Tavisebur meqanizms, romelic
gamoixateba sakredito riskis spekulaciurad ganwyobili bazris
monawileebze gadacemaSi.
sakredito riskebis marTvis procesi TavisTavSi moicavs
xarisxobriv da raodenobriv aspeqtebs. xarisxobrivi aspeqti
mdgomareobs msesxeblis an kontragentis gansazRvrul
kreditunarianobaSi (sandoobaSi). sakredito riskis raodenobrivi
Sefasebis Tanamedrove midgoma efuZneba value at risk (VaR)
koncefcias, romelic gaxda sabazro riskebis Sefasebis
sayovelTaod miRebuli standarti. sakredito portfelis doneze
riskis SefasebisaTvis aRniSnuli midgomis gamoyeneba varaudobs
damatebiTi kvlevis Catarebas, romelic moicavs defoltos
dadgomis albaTobebis ganawilebis agebas, riskis qveS yofnis da
defoltis SemTxevevaSi daubrunebeli danakargis donis Sefasebebs.
umetes safinanso institutebSi sabazro da sakredito riskebis
SedarebiTi analizi warmoadgens finansuri riskebis marTvis
mniSvnelovan nawils. amaze metyvelebs is faqti, rom ekonomikuri
kapitalis zoma, romlis rezervirebasac axdens banki sakredito
riskis Sedegad gamowveuli danakargebis winaaRmdeg, Cveulebriv
mniSvnelovnad aRemateba im rezervs, romelic sabazro riskis
winaaRmdeg iqmneba. garda amisa, Tavisi masStabebiT yvelaze did
danakargs finansuri dawesebuleba ganicdis swored sakredito
riskis Sedegad. yvelaze gaxmaurebul magaliTebad SeiZleba
gamodgnen, kerZod:

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  aSS-Si sakredito-Semnaxveli sawarmoebis krizisi XX saukunis
80-iani wlebis pirvel naxevarSi (saxelmwifo xarjebma problemuri
sawarmoebis restruqturizaciaze Seadgina daaxloebiT 30 mlrd.
dolari);
 XX saukunis 80-iani wlebis pirvel naxevarSi saxelmwifo
valdebulebebis mixedviT defoltebis seria laTinuri amerikis
qveynebSi;
 komerciul uZrav qonebis bazarze krizisi 1980-1990 wlebis
mijnaze;
 korporatiuli obligaciebis mixedviT defoltebis piki XX
saukunis 90-iani wlebis bolos (mflobelTa erToblivi danakargi
Sefasebuli iqna 22 mlrd. dolarad).
maTi Sefasebebis msgavsi meTdikis miuxedavad sakredito da
sabazro riskebi xasiaTdebian rigi mniSvnelovani gansxvebebiT.
sabzro riskisagan gansxvavebiT, romlisTvisac sargeblis da
zaralis albaTobaTa ganawileba sakmaod simetriulia, sakredito
riskisaTvis Sesabamisi ganawilebebi xasiaTdeba mkafiod
gamosaxuli marcxenamxriani asimetriiT. aRniSnuli movlena
SeiZleba aixsnas imiT, rom investiciebi, romlebic dakavSirebulia
sakredito riskTan, SeiZleba SevadaroT ofcionis mixedviT im
mokle pozicias, romelis mixedviTac ukeTes SemTxvevaSi
kontragenti anxorcielebs SeTanxmebul gadaxdas, xolo uares
SemTxvevaSi valis mTliani Tanxis gadaxda ar xdeba.
sabazro da sakredito riskebis marTvis procesi xasiaTdeba
sxvadasxva droiTi xangrZlivobiT: sabazro riskebis dros marTva
xorcieldeba drois SedarebiT mokle intervalis ganmavlobaSi,
maSin roca sakredito riskebis marTvas drois SedarebiT grZeli
periodi sWirdeba. sakredito operaciebis vadebi saSualod
mniSvnelovnad aRemateba poziciebis dakavebis periods finansur
bazarze spekulaciuri an hejirebadi operaciebis dros. garda
amisa, kreditebis gacemis da vadamdeli moTxovnis process aseve
mniSvnelovani dro sWirdeba.
sakredito riskebis Sefasebis agrerirebis xarisxi SeiZleba
Zalian gansxvavdebodes. Tu sabazro riskebis mixedviT limitebi
SeiZleba damyardnen calkeuli bazrebis, treiderebis,
ganyofilebis Aan zogadad kompaniebis doneebze, sakredito
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riskebis SemTxvevaSi limitebi unda ganisazRvros calkeuli
kotragentis doneze yvela poziciis mixedviT, romelsac banki
ikavebs.
bolos, aucilebelia aRiniSnos mWidro urTierTkavSiri
sakredito da iuridiul riskebs Soris, rasac adgili ara aqvs
sabazro riskis SemTxvevaSi.

5.3. finansuri institutebi da instrumentebi, romlebis

ganicdian sakredito riskis zemoqmedebas
dawesebulebebi, romlebic specializirebulni arian kreditis
warmodgenaze, tradiciulad bankebi warmoadgenen, magram am saxis
saqmianoba SeiZlebas axorcielebdnen aseve finansuri da
sadazRvevo kompaniebi da samrewvelo sawarmoebi (sesxebis formiT)
da saxelmwifo srtuqturebic (saxelmwifo kreditis formiT). am
organizaciebs sxvadasxva mizani amoZravebT, da aqedan gamimdinare,
sTavazoben dakreditebis sxvadasxva pirobebs, sxva sityvebiT, maTi
midgomebi sakredito procesis mimarT gansxvavebulia. magram
sakuTar Tavze aRebuli riskebis Tvidan acilebis da mimizaciis
mimarT strategiebi identur xasiaTs atarebs.
pirveli komerciuli bankis gaCenis droidan maTi
ganmasxvavebeli Tavisebureba sxva finansur instrumentebTan
SedarebiT iyo depozituri funqciis arseboba. Tavdapirvelad
bankebi mxolod monawileTagan Sesanaxad (da gacvliT) saxsrebis
miRebiT iyvnen dakavebulebi, iTxovdnen ra amisaTvis maTgan
gansazRvrul gasamjelos, magram mogvianebiT TviTon isini
axdendnen maTze gadacemuli saxsrebis procentiT gasesxebas. aman,
Tavis mxriv, migviyvana didi moculobis saxsrebis mozidvis
aucileblobamde, rac mxolod safasuris gadaxdis safuZvelzea
SesaZlebeli.
ramdenadac meanabreebis moTxovna yovelTvis iyo maTi anabrebis
maRali saimedooba, e.i. anabrebis daubrunelobis rac SeiZleba
dabali riski, ZiriTadi problema mdgomareobs meanabreebis
`izolaciaSi~ aqtivebis (maRali) riskisagan, pirvel rigSi
sakredito operaciebis mixedviT. sakredito riskis warmoadgens
riskis ZiriTad saxes, romelTanac aqvT bankebs Sexeba TavianTi
aqtiuri operaciebis dros, amitom misi swori Sefaseba da

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prognozi ganasakuTrebiT mniSvnelovan rols TamaSobs sabanko
saqmianobaSi.
sakredito riskebi aRmocendeba xolme finansur bazarze
ganxorcielebuli umetesoba operaciaSi. es dakavSirebulia
angariSsworebis procesis ganxorcielebasTan, ramdenadac
finansuri instrumentis miwodebaze garigebebis dadebisas arsebobs
kontragentis mier Tavisi valdebulebis Seusruleblobis riski.
amitom vsaubrobT ra sakredito riskebze, unda mxedvelobaSi unda
gvqondes misi SesaZlo gamovlenis sakmaod farTo sfero.
umetesoba finansuri dawesebulebisaTvis sakredito riskis
yvelaze cxad da mniSvnelovan wyaros warmoadgens sxvadasxva saxis
kreditebi da sakredito xazebi. miuxedavad amisa isini xSirad
awydebian sakredito riskebs sxva finansuri instrumentebis
mimarTac, rogoricaa:
 sabanko aqceptebi;
 garantiebi da mindobilobebi (maT Soris vaWrobis gareSe
garigebebSi);
 obligaciebi;
 warmoebuli instrumentebiT garigebebi (svopebiT,
forvardebiT, ofcionebiT);
 gadaxdis wina an miwodebis wina garigebebiT angariSsworebebi.
sakredito danakargebis xasiaTi icvleba operaciebze
damokidebulebiT da mraval SemTxvevaSi damokidebulia operaciis
Catarebis stadiaze. magaliTad, kreditebis gacemis dros garigebis
mTeli Tanxa, procentebis CaTvliT, ganicdis SesaZlo danakargebis
risks. forvarduli garigebebis dros riski Semoifargleba
garigebis dadebis momentSi SeTanxmebul fassa da misi Sesrulebis
dros sabazro fass Soris sxvaobiT. amave dros valutis
miwodebaze forvarduli kontraqtis Sesrulebis momentSi
sakredito riski vrceldeba garigebis mTel Tanxaze.

5.4. sakredito riskis maCveneblebi

sakredito riskis Sefasebebis midgomebis evolucia etapobrivad
mimdinareobs da is SeiZleba warmodgenili iyos maCveneblebis
Semdegi mimdevrobis saxiT:
 nominaluri Rirebuleba;
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  riskis mixedviT Sewonili aqtivis jami;
 gare/Siga sakredito reitingi;
 sakredito portfelisaTvis sakredito riskis Sefasebis Siga
modelis meSveobiT gaangariSebuli SesaZlo danakargebis sidide.
Tavdapirvelad sakredito riski fasdeboda saerTo nominaluri
Rirebulebebis meSveobiT gansazRvruli (TiTeul SemTxvevaSi
nebismierad aRebuli) koeficientis gamoyenebiT, romelic
gansazRvravda sakredito riskis sawinaaRmdegod darezrvirebuli
kapitalis aucilebel zomas. am meTodis nakli imaSi mdgomareobs,
rom is ar iTvaliswinebs defoltis albaTobebSi gansxvavebas.
1988 wels sabanko meTvalyureobis bazelis komitetma
SemogvTavaza sakredito riskis xarisxis mixedviT aqtivebis
klasifikacia, romelisA meSveobiTac bankebs unda moexdinaT
angariSsworebs aqtivebis Tanxis gaangariSeba riskis
gaTvaliswinebiT maTi nominaluri Rirebulebis riskis Sesabamis
koeficientze gamravlebis gziT da moexdinaT miRebuli Tanxis ara
nakleb 8%-is zomis kapitalis sakmarisi rezervis formireba.
რiskis mixedviT aqtivebis Sewonvis bazelis sqemas hqonda
Zalian gamartivebuli xasiaTi, ramac mankieri gavlena iqonia
sabanko portfelis Semadgenlobaze. magaliთad, savsebiT waiSala
gansxvaveba (kapitalis zomis moTxovnis TvalsazrisiT) AAA da C
reitingis mqone kreditebs Soris, ris Sedegadac bankebisaTvis
ukanasknelni ufro mimzidveli gaxdnen (sakmarisi kapitalis
moTxovnis TavlsazrisiT), vidre ufro maRali reitingis mqone
kreditebi. am naklovanebis gamosasworeblad bazelis komitetma
1999 wels SemogTavaza e.w. `kapitalis sakmarisobis axali sqema~,
romlis safuZvelzec SemuSavda bazelis axali SeTanxmeba
kapitalis mixedviT. axal SeTanxmebaSi Cadebuli midgomebi,
kapitalis mimarT moTxovnebis gamosaangariSeblad uSvebdnen
bankebis mier aqtivebis gareSe sakredito reitingebis an sakuTari
(Siga) reitingebis sistemebis da dabalansebuli muxlebis
gamoyenebas.

5.5. sakredito xdomiloba

rogorc zemoT iyo miTiTebuli, defolti - es aris
kontragentis mier valdebulebebis vadaSi da/an sruli moculobiT
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Sesrulebis SeuZlebloba an maT Sesasruleblad survilis ar
qona, romelsac mivyavarT SeTanxmebis pirobis darRvevamde da
romelic kreditors davalianebaze davis procesis dawyebis
saSualebas aZlevs. magram es ganmarteba ar iZleva pasuxs kiTxvaze,
iuridiuli TavlsazrisiT ra CaiTvleba defoltis dadgomis
momentad.
defoltze ufro zogad cnebas warmoadgens sakredito
xdomilobis (credit event) cneba – msesxeblis kreditunariaobis an
finansuri instrumentis sakredito `xarisxis~ cvlileba, romlis
dadgoma xasiaTeba mkafiod gansazRvruli pirobebiT. is miesdageba
ara marto obligaciebs da kreditebs, aramed nebismier sakredito
produqts, sakredito warmoebuli instrumentebis CaTvliT.
sakredito xdomilobis yvelaze sruli ganmarteba formulirebuli
iyo svopebis da warmoebuli instrumentebis dilerebis
saerTaSoriso asociaciis mier (International Swap Derivatives Association
- ISDA) 1999 wels `sakredito derivativebis ganmartebaSi~ (ISDA
Credit Derivatives Definitions). ISDA gansazRvravs sakredito
xdomilobis eqvs savadasxva saxes:
1) gakotreba, romlis qveSac igulisxmeba:
 sawarmos likvidacia (Serwymis gamoklebiT),
 sawarmos gadaxdisuunaroba (SeuZlebloba),
 uflebaTa moTxovnebis daTmoba (cesia),
 sasamarTloSi gakotrebaze saqmis aRZvra,
 mevalis qonebaze gareSe mmarTvelis daniSvna,
 mesame mxaris mier mevalis mTeli qonebis dayadaReba;
2) valdebulebis vadamdeli Sesrulebis dadgoma (obligation
acceleration), romelic defoltis (kuTvnili Tanxis
gadauxdelobisagan gansxvavebuli) gamocxadebas aRniSnavs
mocemuli msesxebeli nebismier sxva analogiuri valdebulebis
mimarT da mocemuli valdebulebis vadamdeli Serulebis dadgomis
Sesaxeb SeTanxmebis ZalaSi Sesvlas;
3) valdebulebis mixedviT defolti (kros-defolti), romelic
mocemuli msesxebeli nebismier sxva analogiuri valdebulebis
mimarT defoltis (kuTvnili Tanxis gadauxdelobisagan
gansxvavebuli) gamocxadebas aRniSnavs;

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 4) gadaxdisuunaroba, romelic gulisxmobs msesxeblis mier
gansazRvruli (SeTanxemebuli zRvarze meti) Tanxis vadaSi
(SeTanxmebul SeRavaTian periodSi) gadauxdelobas;
5) uari an monotoria, romlis drosac kontragenti uars ambobs
gadaxdis ganxorcielebaze an daobs valdebulebis iuridiul
Zalaze;
6) davalianebis restruqturizacia, romelic iwvevs calmxriv
uars, gadavadebas an davalianebis dafarvis grafikis SedarebiT
xelsayrel pirobebis mixedviT cvlilebas.
amasTan erTad sakredito xdomilobad SeiZleba CaiTvalos
aseTi faqtebic:
7) sareitingo saagentos mier msesxeblis sakredito reitingis
daweva an gauqmeba;
8) saxelmwifos mier SezRudvebis dawesebis gamo valutis
arakonvertirebadoba;
9) saxelmwifo organoebis qmedebebi, romelTa qveS igulisxmeba:
a) samTavrobo an maregulirebeli organoebis gancxadeba an
moqmedeba, romlebic safrTxis qveS ayenebs valdebulebaTa
iuridiul Zalas, an b) omi an saomari moqmedebebi, romelebic xels
uSlian saxelmwifos an sabanko sistemis saqmianobis
ganxorcielebas.
SemdgomSi sakredito xdomilebebidan upiratesad Cveni
interesis sagans warmoadgens defolti, rogorc sakredito riskis
ZiriTadi saxe.

5.6. msesxeblis kreditunarianobis klasikuri analizi

praqtikaSi bankebi sakredito riskebis marTvisas
xelmZRvaneloben sakredito analizis da msesxeblebis SerCevis
sakuTari meTodebiT. es analizi mdgomareobs msesxeblis
kreditunarianobis, gadaxdisunarianobis da finansuri mdgradobis
gansazRvraSi, rasac saboloo jamSi mivyavarT kreditis gamoyofis
an uaris Tqmis safuZvlis formulirebamde. sakredito analizSi
ZiriTadi aqcenti keTdeba msesxeblis kreditis gadaxdis mzaobaze
da unarze, romlis SefasebisaTvis dawvrilebiT xdeba msesxeblis
saqmianobis, misi sakredito istoriis, mimdinare finansuri
mdgomareobis, SesaZleblobebis da potencialis Seswavla.

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 sakredito analizi rTuli procesia, romelic TavisTavSi
Semdeg ZiriTad etapebs moicavs.
1. potenciuri msesxeblis mier warmodgenili kreditis
moTxovnis dasabuTebis analizi.
2. sawarmos finansuri angariSgebis analizi. am dros
gansakuTrebuli yuradReba eqceva sawarmos saqmianobaSi
ganvTarebis da cvlilebis tendenciebs warsulSi gasazRvruli
drois periodis ganmavlobaSi sawarmos uaxloesi pierpeqtivebze
mkafio warmodgenis formirebisaTvis.
3. sawarmos winaswari finansuri angariSgebis analizi.
aratipiuri an saeWvo finansuri operaciebi SeiZleba
daikvirvebodnen finansur angariSgebaSi, romelTa analizi
sasargebloa safinanso informaciis daculobis da saimedoobis
gansazRvrisaTvis.
4. gadaxdebis Semosavlis dagegmvis mizniT fuladi saxsrebis
moZraobis gegmis ganxilva da maTi gadavadebis albaTobebis
gansazRvra da maTze dayrdnobiT msesxeblis mier kreditis
drouli SesaZleblobis Sefaseba.
5. ekonomikuri garemos eqstremaluri cvlilebis mimarT
msesxeblis mdgradobis Sefaseba da scenaruli analizi.
6. dargSi sxva konkurentebis mimarT bazarze sawarmos
mdgomareobis analizi.
7. miRweuli Sedegebis safuZvelze sawarmos umaRlesi mmarTveli
rgolis mier, sawarmos strategiebis, marTvis meTodebis da
saqmianobis efeqturobis Sefaseba.
8. kreditis misaRebad saWiro dokumentaciis gaformeba,
romelic asaxavs iseT pirobebs, rogorebica:
 kreditis dabrunebis uzrunvelyofa;
 davalianebis zomis mixedviT SezRudva;
 msesxeblis finansuri mdgomareobis da valdebulebebis
Sefaseba;
 saTao (Svilobili) sawarmos an mesame piris mier
warmodgenili garantiebi;
 defoltis dadgomis pirobebi da sxva.
sakredito riskis Sefasebis mraval meTodikas Soris SeiZleba
gamoiyos msexeblis kreditunarianobis analizis mimarT klasikuri
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midgoma, romelic dRemde farTod gamoiyeneba finansuri
sawarmoebis mier sakredito riskis analizis dros. am midgomis
Tanaxmad msesxeblis sakredito riskis Sefasebis procesi
mdgomareobs Semdeg SefasebebSi:
 msesxeblis kreditunarinobis;
 sakredito produqtis riskis.
aseTi analizis Catarebis mizans warmoadgens potenciuri
msesxeblis klasifikacia gadaxdisuunarobis riskis xarisxis
mixedviT, rac aucilebelia kreditis gamoyofaze gadawyvetilebis
misaRebad. riskis jgufebis raodenoba airCeva nebismierad
gradaciis donis gaTvaliswinebiT, romelamdisac auciebelia
ganxorcildes kreditebis ganawileba, magaliTad 10 jgufi, 8, 6, da
a.S. amasTan aucilebelia gaviTvaliswinoT, rom didi raodenobis
jgufebis arCevis SemTxvevaSi maT Soris zRvari iSleba, da es
migviyvans kreditis klasifikaciis dros sirTuleebamde.
unda aRiniSnos, rom sakredito analizis gamoyenebuli
meTodebis formalizaciis xarisxi warmoadgens maTi gamoyenebis
efeqturobis mniSvnelovan faqtors. Tu bankSi arsebobs ramdenime
qveganyofileba (maT Soris filialebSi da ganyofilebebSi),
romlebic uSualod axorcieleben kreditebis gacemas, maSin,
rogorc wesi, sakredito analizi SeiZleba erTdroulad
ganxorcieldes sxvadasxva momzadebis donis, praqtikuli
gamocdilebis da msesxeblis finansuri mdgomareobis gansjis mqone
mravali TanamSromlis mier. aman Sedegad SeiZleba migviyvanos
kreditebis xarisxebis analizis araerTgvarobamde da msagavi
kreditebis Sesaxeb urTierTsawinaaRmdego daskvnebamde. amgvarad, am
problemis amoxsna daiyvaneba SedarebiT ufro formalizebuli
midgomis arCevamde, romelic saSualebas iZleva erTgvarovnad
SevafasoT sxvadasxva qveganyofilebaSi kreditis riskis done, an
yvela specialistis koncetracia, romelic sakredito analiziTaa
dakavebuli erT qveganyofilebaSi riskis Sefasebis SeTanxmebuli
donis uzrunvelsayofad (rac ufro xSirad SeuZlebelia msxvil
finansur dawesebulebebSi).
msesxeblis kreditunarianobis analizi tardeba etapobrivad.
pirvel, yvelaze mTavar, etapze mimdinareobs msesxeblis finansuri
mdgomareobis kompleqsuri analizi, romelic TavisTavSi moicavs:

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  aqtivebis da pasivebis struqturebis analizs;
 fuladi nakadebis analizs;
 sawarmos finansuri mdgradobis analizs;
 sawarmos saqmianobis efeqturibis Sefasebas.
aqtivebis da pasivebis struqturebis analizis dros sawarmos
sasesxo saxsrebis dajgufeba xdeba maTi daZabulobis xarisxis
mixedviT, xolo aqtivebis – maTi likvidurobis xarisxis mixedviT
da xorcieldeba aqtivebis da pasivebis struqturebis cvlilebebis
Sefaseba dinamikaSi. sawarmos finansuri mdgomareobis
SefasebisaTvis gamoiyeneba qvemoT CamoTvlili ZiriTadi
analitikuri koeficientebi:
1. mimdinare likvidurobis koeficienti, romelic axasiTebs
sawarmos gadaxdisunarianobas periodSi, romelic tolia
moklevadiani debitoruli davalianebis erTi brunis saSualo
xangrZlivobis:
საბრუნვი სასხსრები
მოკლევადიანო საკრედიტო დავალიანება
2. swrafi likvidurobis koeficienti, romelic gviCvenebs
sawarmos mier yvelaze likviduri aqtivebis saSualebiT mimdinare
valdebulebebis dafarvis SesaZleblobas:
ფულადი სასხსრები + დებიტორული დავალიანება + სხვა ლიკვიდური აქტივები
მოკლევადიანი საკრედიტო დავალიანება
3.valdebulebaTa daZabulobis koeficienti, romelic miuTiTebs
msesxeblis dRiur brunvaSi mimdinare valdebulebaTa wilze:
მოკლევადინი საკრედიტო დავალიანება
რეალიზაციიდან დღიური ამონაგები
4. finansuri damoukideblobis koeficienti, romelic gviCvenebs
sawarmos sakuTari saxsebis dones:
საკუთარი სახსრები
სასესხო სახსრები
5. sakuTari sabrunavi saxsrebiT uzrunvelyofis koeficienti,
romelic gvCvenebs sakuTris saxsrebis wils sabrunav kapitalSi:
საკუთარი საბრუნავი სახსრები
საბრუნავი სახსრები
6. gayidvebis rentabelobis koeficienti, romelic asaxavs drois
mocemuli periodis ganmavlobaSi sawarmos ZiriTadi saqmianobis
efeqturobas:

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 რეალიზაციიდან სარგებელი
რეალიზაციიდან ამონაგები
7. brunvadobis koeficienti, gviCvenebs sawarmos aqtivebis
brunvis siCqares drois gansazRvrul periodSi:
მთლიანად აქტივები
რეალიზაციიდან ამონაგები
potenciuri msesxeblisaTvis gamoTvlili am koeficientebis
mniSvnelobebi dardeba saSualodargobriv an normatiul
mniSvnelobebs, am Sedarebis SdegebiT xdeba msesxeblis mimdinare
finansur mdgomareobaze daskvnis gakeTeba. msesxeblis
kreditunarianobis analizisas Zalian mniSvnelovan aspeqts
warmoadgens finansuri angariSgebis xarixsis analizis Catareba, am
dros aucilebelia yuradReba gamaxvildes finansuri angariSgebis
SeTanxmebulobaze, angariSSi Seusbamobebis an uzustobebis
arsebobas, aseve auditoruli daskvnis arsebobas. SevniSnoT, rom
kreditis mixedviT garantiebis an mesame piris Tavdebobis
warmodgenisas SeiZleba moTxovnili iyos aseve Tavmdebis an
garantis finansuri mdgomareobis analizi.
meore etapze xorcieldeba sawarmo-msesxeblos umaRlesi
marTveli rgolis saqmianobis analizi misi profesionalizmis,
kompetenturobis, gamoyenebuli strategiebis da miRweuli
Sedegebis eqspertuli Sefasebebis saSualebiT.
Semdeg aucilebelia gakeTdes im dargis analizi, romelsac
mocemuli sawarmo miekuTvneba, aseve bazarze sawarmos pozicia
dargSi sxva konkurentebis mimarT.
daskvniT etapze xdeba riskis Sefaseba. es Sefaseba mdgomareobs
mimdinare situaciis da ekonomikuri da politikuri sferoebis
ganvTarebis perapeqtivebis, maregulirebeli organoebis politikis
SesaZlo Secvlis da a.S. analizis CatarebaSi.
kompleqsuri analizis Catarebis safuZvelze msesxebeli Tvisi
kreditunarianobis Sesabamisad miekuTvneba riskis jgufebidan erT-
erTs. amis Semdeg aucilebelia Sefasdes sakredito produqtis
riskis jgufi. arsebobs rigi faqtorebisa, romlebic gavlenas
axdenen sakredito produqtis riskis jgufze, maT Soris:
 sakredito produqtis vada: rac ufro naklebi droa
sakredito produqtis dafarvamde, miT ufro dabalia riski da
piriqiT. es imiT aixdneba, rom sawarmos finansuri mdgomareobis
353
prognozi drois SedarebiT mokle periodze ufro maRalia, vidre
SedarebiT xangrZliv horizontebze;
 procentis ganakveTi;
 kreditis gacemis pirobebi an kreditis gacemis dros
msesxebelze dadebuli SezRudva;
 kreditis mixedviT fuladi saxsrebis (nawilis) dabrunebis
garantiis uzrunvelyofa, romelic pirvelxarisxovan gavlenas
axdens sakredito produqtis riskis jgufze;
 mesame pirebis mxridan mxardaWera, romelic gamoixateba,
magaliTad, rekomendaciis an garantiis warmodgenaSi da a.S.

5.7. sakredito reitingis cneba

ZiriTadi finansuri koeficientebiT da sxva faqtorebis
gamoyenebiT msesxeblis gadaxdisunarianobis damamtkicebeli
sakredito anlizis Catarebis Semdeg, SeiZleba dadgindes misi
riskis zogadi maCvenebeli riskis gansazRvruli jgufisadmi
mikuTvnebis gziT, e.i. sakredito reitingis miniWebiT.
sakredito reitingi (credit rating) warmoadgens qveynis, msesxeblis
an calkeuli sakredito produqtis finansuri mdgradobis da
gadaxdisunarianobis integralur Sefasebas. reitingi gamoxatavs
saagentos azrs msesxeblis samomavlo unarsa da gadawyvetilebebze
ganaxorcielos ZiriTadi Tanxis davalianebis da masze procentebis
dasafaravad kreditorebze gadaxdebi droulad da sruli
moculobiT.
sakredito reitingebs Cveulebriv aniWeben da aqveyneben
specializirebuli sareitingo saagentoebi, romelTagan yvelaze
cnobilebia Moody ' s da S tan dard & Poor' s .
cxril 5.1-Si warmodgenilia sakredito reitingebis Skala,
romlebsac iyeneben TavianT saqmianobaSi msoflios wamyvani
sareitingo saagentoebi. reitinguli Sefasebebi gaicema msesxeblis
daxasiaTebebis Sesabamisad, aseve valdebulebaTa brunvis vadis
gaTvaliswinebiT (molkevadiani valdebulebebma SeiZleba miiRon
ufro maRali reitingi).
sakredito reitingebi asaxaven defoltis albaTobis Sefasebas
obieqturad da gamoiyeneba investiciebis xasiaTis gansazRvrisaTvis.
354
miRebul lia sakredito reitin ngebis mTeli skalis dayof fa or
diapazo onad:
 saiinvesticio xari isxi (ivestment grrade) –es s aris BBB-ze (
alis mixedviT)) an Baa–ze
S & P Ska B ( Moody ' s lis mix
Skal xedviT)
aranakl lebi reitingi
r is mqone obligac ciebi. konser
rvatul
institu ucionalur investorebs s (sapenssio da sadazRvevo fo ondebs)
eZlevaT T rekomeendacia SeiZino on am doneze
d aranaklebi reiitingis
mqone ob bligaciiebi.
 speekulatiu uri xarisxi (speculattive grrade) – invest ticiur
xarisxz ze ufro dabaali reeitingis mqone oblig gaciebi. aseT
obligac ciebs xSirad uwoddebebn `gadagd debul~ an `nagvis~
obligac unk bondss).
ciebs (ju

355
 sareeitingo saagenttos mieer sawaarmos sakredit to reiitingis
gansazRvra xdeeba moc cemuli kriteri iumebis sistemiss safuZZvelze,
romelT Tagan mniSvneloovans waarmoadgeens finaansuri koeficiientebi.
cxril 5.2-Si moyvenil
m li monac cemebi warmoad
w genen saazRvargareTis
sawarmo
oo korpo oraciebi
is mixedvviT saSu
ualo maCCvenebleebs.
rogorc cx xrilidaan Cans maRali i reitiingis mqqone kompanebi
xasiTdeebian naklebi valdebu
v lebebiTT, didi kapital liT da didi
fuladi i nakadeb dre SedarebiT dabali sakredi
biT, vid ito rei
itingis
mqone ms
sesxebleebi.

5.7.1. Sig
ga sakreddito reeitingebi is sitemebi
tes bankSi sakrdito riskebis
umet r marTvis
s proceess safu uZvlad
udevs riskis donis s mixed
dviT p
potenciu uri kl
lientebiis da
kontraggentebis klasifikaciaa dit scoriing)
(cred saakuTari Siga
sakredito reit tingebis ernal credit raiting
s sitemeebis (inte g) safuZZvelze
msesxebl
lis finansuri mdgomaareobis da imm dargi is ekonnomikis
obieqtuuri aRr ricxvis mizniT T, romel lsac is i miekuuTvneba, aseve

356
TviTon bank-kreditoris Taviseburebebis kreditis gacemaze
gadawyvetilebis miRebis dros.
am mizniT praqtikaSi gamoiyeneba sxvadasxva saklasifikacio
Skalebi, rogorc wesi, riskis xuTidan aTamde da Tormet
garadaciamdec ki. zogi finansuri instituti erTdroulad iyenebs
or damoukidebel reitingis sistemas.
sakredito reitingis sistemebi saSualebas aZleven sakredito
ganyofilebis TanamSromlebs gaanalizon sakredito ganacxadebi
kontragentis gadaxdisunarianobis Sefasebis gziT, romlic asaxavs
maT mier valis sruli moculobiT da droulad dafarvis
albaTobas. am mizniT xdeba sakmaod rTuli modelebis SemuSaveba,
Sefasebis mniSvnelovani raodenobis kriteriumebiT simravlur
diskriminantuli analizis safuZvelze. Tumca TiToeuli banki
Sefasebis kriteriums individualurad adgens, rogorc wesi, isini
xelmZRvaneloben iseTi maCveneblebiT, rogoricaa:
 kontragentis gareSe garemos Sefaseba (ekonomikis, dargis
mdgomareobis da kontragentis saqmianobis maxasiTeblebis Sesaxeb
monacemebis, iseTebis rogoricaa bazarze wili, operaciebis
geografia da sxva);
 marTvis xarisxis Sefaseba (gamocdileba, kompetenturoba,
marTvis uwyvetoba, xelmZRvanelobis biznes xarisxi);
 sakredito istoria (msesxeblis mocemul bankTan da sxva
sakredito organizaciebTan urTierTdamokidebulebis xangrZlivoba
da simyare, valdebulebaTa drouli dafarva);
 sakredito produqtis maxasiaTeblebi (vada, Tanxa, procentebi,
uzrunvelyofa, gacemis pirobebi);
 buRaltruli aRricxvis da ZiriTadi safinanso
koeficientebis analizi (rentabeloba, sakuTari da sasesxo
saxsrebis Tanafardoba, fuladi saxsrebis Semosavlis gegma da
sxva).
miRebuli reitinguli Sefasebebi SeiZleba gamoyenebuli iyos
sakredito portfelis xarisxis Sesaxeb angariSisaTvis, sakuTari
kapitalis da rezervis aucilebeli donis gansazRvrisaTvis,
sakredito portfelis da makreditebeli qveganyofileebis
rentabelobis analizisaTvis, sakredito produqtis Rirebulebis
da sxva mmarTvelobiTi gadawyvetilebis miRebisaTvis. garda amisa,
357
portfelis sakredito riskis Sefasebis Tanamedrove statistikuri
modelebis gamoyeneba moiTxovs sareitingo sistemis da istoriuli
monacemebis arsebobas kredotrebis mixedviT danakargebis da
reitinguli Sefasebebis cvlilebTa albaTobebis Sesaxeb.
Siga sakredito reitingebis sitemebis efeqturi muSaobis
mniSvnelovan pirobas wrmoadgens sakredito riskis Sesafaseblad
sxvadasxva qveganyofilebebis personals Soris valdebulebaTa
swori ganawileba. amisaTvis aucilebelia kompaniis
orgstruqturaSi gaTvaliswinebuli iyos ZiriTadi biznes-
procesisagan gansxvavebuli qveganyofileba, romelic dakavebuli
iqneba sakredito reitingebis dadgeniT da sakredito portfelis
mdgomareobis monitoringiT.

5.8. sakredito riskis Sefasebis modelebis zogadi

daxaxiaTeba
bolo wlebis ganmavlobaSi aRiniSneboda sakredito riskebis
Sefasebis meTodebis ganviTarebaSi mniSvnelovani progresi, romlis
winapirobasac warmoadgens Semdegi tendenciebi:
 finansuri seqtoris deregulireba, niSnavs saxelmwifos
mxridan finansuri dawesebulebebis saqmianobaSi Carevis
mniSvnelovan Semcirebas. winaT arsebuli mravali SezRudvis
gauqmebam gza gausxna bazarze axali finansuri momsaxurebebis
warmatebiT win wawevas;
 sabanko dakreditebis gafarToeba rogorc operaciebis
moculobiT, ise msesxebelTa xarisxis mixedviT;
 bankis operaciebis dabalansebis mixedviT riskebis gazrda,
gansakuTrebiT warmoebuli instrumentebiT ganxorcielebuli
garigebebis dros;
 aqtivebis sekiuritizacia – fasiani qaRaldebis gamoSveba,
romlebic gansazRvruli aqtivebiTaa uzrunvelyofili.
tradiciuli dakreditebis sazianod sekiuritizaciam aamaRla
bazris kapitalis roli, rogorc saxsrebis mozidvis meqanizmi,
ramac bankebs ubiZga sakredito riskebis marTvis ufro efeqturi
instrumentebis SemuSavebisaken;
 finansuri Teoriis mniSvnelovani progresi, romelic aRiniSna
sakredito riskebis modelirebisaTvis axali mimarTulebebiT.
358
 zogadad, saredito riskebis modelebi mowodebulia pasuxi
gasces kiTxvas, rogoria imis albaToba, rom msesxebeli aRmoCndeba
gadaxdisuunaro da rogori unda iyos misTvis SeTavazebuli
sakredito produqtis Rirebuleba warsuli gamocdilebis da
momavli prognozis gaTvaliswinebiT.
SeiZleba movaxdinoT yvela arsebuli sakredito riskis
Sefasebis modelis Semdegi klasifikacia:
 masSi Cadebuli maTematikuri meTodebis mixedviT;
 gamoyenebis sferos mixedviT;
 sakvlevi sagnis mixedviT.
bolo wlebSi sakredito risk-menejmentis ganviTareba
ganpirobebuli iyo Tanamedrove maTematikuri meTodebis gamoyenebiT
iseTebis rogoricaa gadarCenaze analizi, albaTuri da
statistikuri modelirebebi, maTematikuri programirebebi, TamaSTa
Teoria, neironuli qselebi da sxva. gamoyenebuli maTematikuri
aparatis mixedviT sakredito riskis Sefasebis modelebi SeiZleba
daiyos Semdegnairad:
1. ekonometrikuli modelebi – romlebic wfivi da
mravalganzomilebiani diskiminantuli analizis, regresiuli
analizis (kerZod, logit- da probit-modelebi, romlebic
gamoiyeneba defoltis, rogorc ramdenime damoukidebuli cvladis
funqciis, albaTobis prognozirebisaTvis), gadarCenaze analizis
safuZvelzea agebuli, da romlebic saSualebas iZlevian miviRoT
xdomilobis SesaZlo dadgomis albaTobebis Sefasebebi (magaliTad,
sikvdilis defoltis), da sxva.
2. neironuli qselebi – kompiuteruli algoriTmebi, romlebic
axdenen adamianis tvinis muSaobis imitacias urTierTdamokidebuli
`neironebis~ urTierTqmedebis meSvebiT. neiroqselebSi gamoiyeneba
igive Semavali monacemebi, rasac iyeneben ekonometrikuli midgomis
dros, gamoyofen ra maT Soris urTierTkavSirebs mravaljeradi
gameorebis, SerCevis da Secdomebis meTodis meSveobiT.
3. optimizaciuri modeli, efuZneba maTematikuri pogramirebis
meTodebs, romlebic saSualebas iZlevian moxdes kreditoris
Secdomebis minimizacia da axdenen sargeblis maqsimizacias
sxvadaxva SezRudvebis gaTvaliswinebiT. kerZod, maTematikuri
programirebis meSveobiT ganisazRvreba klientis optimaluri wili
359
sakredito portfelSi da/an sakredito produqtis optimaluri
parametrebi.
4. eqspetuli sistemebi, gamoiyeneba riskis Sefasebis procesebis
imitaciisaTvis, romlebic xorcieldeba gamocdili da
kvalificirebuli specialistis mier sakredito gadawyvetilebis
miRebisas. eqspertuli sistemis mdgenebs warmoadgenen daskvnis
logikuri wesebis nakrebi, codnis baza, romelic Sedgeba
raodenobrivi da xarisxobrivi monacemebisagan gadawyvetilebis
misaRebi obieqtis Sesaxeb, aseve sistemis kiTxvebze momxmareblis
mier pasuxis Sesayvani moduli.
5. hibriduli sistemebi, romlebic gamoiyeneben gaangariSebebs,
standartul Sefasebebs da imitaciur modelirebas da SeiZleba
efuZnebodnen mizez-Sedegobriv damokidebulebebs. magaliTad maT
miekuTvneba kompania KMV–is EDF modeli, romlis daniSnulebacaa
im defoltis albaTobis Sefaseba, romlsac dawvrilebiT qvemoT
ganvixilavT.
modelebis agebis mimdevroba mdgomareobs cvladebs Soris
urTierTkavSirs gamovlenaSi, Semavali parametrebis Sefasebis
meTodis arCevaSi da modelis Sefasebis sizusteSi.
sakredito riskis Sefasebis modelebi SeiZleba gamoyenebuli
iyos saqmianobis sxvadasxva sferoSi, maT Soris:
 kreditis gacemis gadawyvetilebis miRebisas;
 Siga an gareSe sakredito reitingis gansazRvrisas;
 sakredito produqtis Rirebulebis gaangariSebisaTvis;
 rogorc `adreuli gafrTxilebis sistema~ (early watning system),
romelic droulad miuTiTebs danakargis potenciur albaTobaze
da saSualebas iZleva miRebuli iyos sakredito riskis Semcirebis
zomebi;
 klientebTan urTierTdamokidebulebis strategiis
gamosamuSaveblad (magaliTad, Tu modeli gviCvenebs, rom
msesxebels gaaCnia droebiTi sirTuleebi likvidurobasTan
mimarTebaSi, maSin SesaZloa uari ar unda eTqvas mas
dakreditebaze, aramed ganisazRvros am SemTxvevis Sesabamisi
pirobebi).

360
 5.8.1. sakredito riskis Sefasebisadmi `Siga~ da
`sabazro~ midgomebi
kvlevis sagnis mixedviT sakredito riskebis Sefasebasa da
marTvaSi gamoyofen or ZiriTad alternatiul midgomas:
1) `Siga~ midgoma~, romelSic banki sakuTari meTodikis
safuZvelze afasebs sakredito riskebis gamo momavali danakargebis
rogorc mosalodnel mniSvnelobas, ise volatilobas;
2) `sabazro midgoma~, romelic mimarTulia finansuri bazris
mier dadgenili sakredito riskis Rirebulebis gansazRvravad.
Cveulebriv es Sefaseba gamoixateba sakredito riskTan
dakavSirebuli instrumentebis Semosavlianobebsa (sakredito
spredis) da urisko (saxelmwifo) obligaciebsa an sesxebis
Semosavlianebebs Soris sxvaobis saxiT.
`Siga~ midgoma varaudobs, rom mosalodneli danakargebi
warmoadgens defoltis albaTobebis funqcias, defoltis riskis
qveS myofi produqtis an instrumentis Rirebulebis da am
Rirebulebis im nawilis, romelic defoltis dros dabrunebis
gareSe ikargeba. im zomiT, ra zomiTac mosalodneli (saSualo)
danakargebi prognozirebadia, isini unda ganvixiloT rogorc
normalurebi, romlebic regularulad imeoreben aseTi saxis
saqmianobis danaxarjebs da pirdapir miekuTvneba mis
TviTRirebulebas, e.i. unda Sevides sakredito produqtis fasSi.
sxva sityvebiT, sakredito danakargebis riski `gadaicema~
kontragentebze da klientebze gaweuli momsaxurebis faswarmoqmnis
gziT. magram mosalodneli mniSvnelobis axlos danakargebis
volatiloba (gabneva) ukve aRar SeiZleba `gadaeces~ klientebs –
ndobis mocemuli doniT mis dasafarvad saWiroa sakuTari
kapitalis rezervi, romlis Rirebulebis formireba da momsaxureba
unda kompesirdebodes riskze koreqtirebuli gaweuli momsaxurebis
Semosavlianobis xarjze. saportfelo efeqturobis aRricxva
kapitalis zomis dawevis mizniT moiTxovs sxvadasxva msesxeblis
danakargebis garSemo da maT saSualo mniSvnelobebis gabnevebs
Soris korelaciis Sefasebas, amasTan TviTon mosalodneli
danakargebi adetiurebs warmoadgenen. rezervirebadi portfelis
zoma ganisazRvreba mTlianad portfelis mixedviT danakargebis
volatilobiT.

361
 `sabazro~ midgomis Taviseburebas is warmoadgens, rom
sakredito spredi Tavis TavSi moicavs zemoT aRniSnuli sakredito
riskis mdgenebs, e.i. masSi problemuria im nawilis gamoyofa,
romelic Seesatyviseba mosalodnel danakargebs da darCenil
nawils, romelic amoiReba rogorc danakargebis volatilobis
kompesacia. aseve garTulebulia sakredito spredis sidideSi
`dabandebebis~ gamoyofa, romelic masSi Setanilia defoltis
albaTobebiT da defoltis SemTxvevaSi daubunebeli danakargebis
doniT. am midgomis CarCoebSi sabazro spredis cvlileba
prognozirdeba drois sakmaod mcire periodze (dReebze an
kvirebze). portfeluri efeqturobis aRricxva xorcieldeba
sabazro riskis analogiurad VaR maCveneblis saxiT – bazarze
sakredito spredebs Soris dakvirvebis mixedviT. sakredito
riskebis Sedegad danakargebis mixedviT dafarvis kapitalis zoma
ganisazRvreba sabazro riskis analogiurad.
`Siga~ midgoma kreditis riskis Sesafaseblad tradiciulad
dominirebs komerciul bankebSi, xolo sabazro midgomas
upiratesad gamoiyeneben saivesticio bankebi, kompaniebi da fondebi
korporatiul obligaciebSi anabrebis sakredito riskis Sefasebis
dros. ukanasknel midgomas bevri saerTo upiratesoba aqvs sabazro
riskis Sefasebis midgomasTan, romelTagan mTavars warmoadgens im
`gareSe~ investorebisaTvis sainveticio strategiebis efeqturobis
Sefaseba, romlebsac ar miuwvdebaT xeli informaciaze, romelic
floben `insaiderebi~. Sesabamisad `Siga~ midgomis erT-erT ZiriTad
nakls warmoadgens `insaiderebis~ mxridan parametrebis
gaangariSebis manipulaciis SesaZlebloba.
meores mxriv, `sabazro~ midgomis realizeba xdeba mxolod
savalo valdebulebebis gamoqveynebuli fasebis dros, romlis
mixedviTac, rogorc navaraudevia, SeiZleba maSinaTve gaixsnas an
moxdes poziciis likvidireba. rogorc istoriidanaa cnobili, es
piroba ufro metad obligaciebisTvis sruldeba, vidre kreditebis
da sexebisaTvis, romlebic TavianTi bunebiT daballikvidur
aqtivebs warmoadgenen. magram bolo droindeli zogierTi
tendencia xels uwyobs `sabazro~ midgomis sabanko kreditis
riskis SefasebisaTvis gamoyenebas, kerZod:

362
  sabanko kreditebis meoradi bazris moculobis zrda,
romlis Sedegsac warmoadgens mocemul aqtivebze yidvasa da
gayidvaze didi regulirebadoba da sabazro kotirebebis
mdgradoba;
 warmoebuli sakredito instrumentebis bazris zrda, romelic
im sakredito riskis yidvis an gayidvis saSualebas iZleva,
romlebic kreditebTanaa dakavSirebuli, Tu TviTon sabaziso
aqtivebi ar iyideba bazarze.

5.9. sabuRaltro monacemebze dafuZnebuli kreditunarianobis

Sefasebis modelebi
klasikuri sakredito analizi romlebic tardiciulad
gamoiyeneba bankebis mier msesxeblis kreditunarianobis
Sesafasebad iseT maCveneblebs eyrdnoba rogorica, saqmiani
reputacia, kapitalis zoma, `finansuri berketis~ done,
rentabelobis rxeva, SemoTavazebuli uzrunvelyofa da sxva. magram
aseTi analizis Catareba moiTxovs drois da kvalificirebuli
eqspertebis Sromis asanazRaureblad saxsrebis did danaxarjs.
amitom bankebi dakreditebaze gadawyvetilebis miRebisas ixrebian
procesis formalizaciisaken, xolo Tanamedrove maTematikuri
meTodebis gamoCeniT gadaxdisuunaroba gaxda seriozuli
statistikuri kvlevis sagani. am sferoSi kvlevis umetesoba
agebuli iyo diskriminantuli analizis gamoyenebaze. am kuTxiT
erT-erTi warmatebuli naSromi ekuTvnis altmans, romelic 1968
wels gamoaqveyna da sadac aRwerilia misi `Z-modeli~, romelmac
praqtikaSi didi gamoyeneba hpova.

5.9.1. altmanis Z-modeli

altmanis Z-modeli (Altman’s Z-score) warmoadgens statistikur
models, romelic kompaniis finansur maCvenebelze da
gadaxdiunarianobaze dayrdnobiT saSualebas iZleva Sefasedes
gakotrebis riskis done.
altmanis Z-modeli agebuli iyo mravaljeradi wrfivi
diskriminantuli analizis (multiple discriminant analisis - MDA)
saSualebze – statistikuri meTodze, romelic saSualebas iZleva
SerCeuli iyos iseTi klasificirebadi cvladebi, romelTa
363
dispersia ganxilul gjufebs Soris maqsimaluri iqneboda, xolo
am jgufebs SigniT minimaluri. am SemTxvevaSi klasifikacia
xorcieldeboda mxolod ori jgufis mixedviT: kompaniebis,
romlebmac ganicades gakotreba da kompaniebis, romelebac SeZles
gakotrebisagan gadarCena. aseTi modelis ageba warmoadgens
nabijovan process, romlis msvlelobisas mimdevrobiT xdeba
cvladebis CarTva an gamoricxva sxvadasxva statistikuri
kriteriumebis safuZvelze.
Tavdapirvelad modelSi gamoyenebuli iyo 22 sxvadasxva
finansuri maCvenebeli, romelTa safuZvelze ganxorcielebuli iyo
nabijovani diskriminantuli analizi 66 kompaniis, romelTagan 33
warmatebiT funqcionirebdnen da 33-ma ganicada gakortreba.
analizis msvlelobisas koeficientebi, romlebsac gaaCnda umciresi
statistikuri mniSvneloba amoiReboda, ris Semdegac koficientebis
statistikuri mniSvnelobebis analizi meordeboda. Sedegad
modelSi rCeboda mxolod xuTi ZiriTadi finansuri maCvenebeli (ix.
cxrili 5.3). roca koeficientebis ricxvi mcirdeboda xuTidan
oTxamde, modelis statistikuri sizuste mkveTrad ecemoda, aqedan
gakeTda daskvna, rom xuTcvladiani diskriminantuli funqcia
yvelaze misaRebia:
Z  1,2 X 1  1,4 X 2  3,3 X 3  0,6 X 4  0,999 X 5 .
(5.1)
analizis SedegebiT ganisazRvra, rom 1,81 da 2,99 – es aris
kreditunaroanobis Z indeqsisaTvis kritikuli mniSvnelobebi. im
kompaniebis, romlebisTvisac Z  1,81 uaxlos erT-or weliwadSi
gakotrebis maRali albaToba gaaCniaT, maSin roca firmas indeqsiT
Z  2,99 finansuri mdgomareoba sakmaod myari aqvs. indeqsis 1,81 da
2,99 SualedSi moxvedrisas finansuri mdgomareobis prognozi
gaZnelebulia.
altmanis midgomis arsi mdgomareobs sawarmos ori jgufis
arCevaSi (Sesabamisad gakotrebulis da funqcionereba
gagrZelebulis) da defoltis gamocxadebamde erTi an ori wliT
adre mdgomareobiT, am sawarmoebis finansuri maCveneblebze
dayrdnobiT diskriminantuli analizis CatarebaSi (ix. cxrili 5.4).
Sedegad, sawarmoebs im jgufebis mixedviT, romlebmac gamoacxades
TavianTi gakotreba, modelma es movlena swored iwinaswarmetyvela
33-dan 31 SemTxvevaSi (94%) da Secda 2-Si (6%). meore jgufis
364
kompanieebis mixeedviT, romlebma
r ac Tavi aaridess gakotrrebas, mo
odelma
arasworrad moax xina deffoltis prognoz zi mxolod 1 SemTxvevaS Si (3%),
xolo danarCeen 32 SemTxveevaSi (97%) ( p
prognoz irebulii iyo
gakotreebis umni iSvnelo albaTooba, rac sinamdvvileSi dadastur
d rda.

anal
logiuri gaTvleebi ganxo orcieleebuli iyo
i gako
otrebamd
de ori
wliT ad dre finansur maaCvenebllebze dayrdnobiT. rogo orc cxril 5.5-
dan Caans am SemTxvvevaSi Sedegebi SedaarebiT gaurkveevelia,
gansakuTTrebiT im ko ompaniebis rT, romlebmac gamoac
s mimar cxades
defolt ti, maSinn roca meore jgufis
j kompanieebis mixeedviT si
izuste
daaxloebiT ad drindel donezee darCa. altman nis modeelis mixxedviT
klasifi ikaciis saerTo sizusteem Seadggina gakootrebamd de erTi wliT
adre 95%% da orri wliT adre 822%.
amgvvarad, altmanis
a s model li iZleeva sakmmaod zu ust pro ognozs
gakotreebis al lbaTobiss Sesaxeeb erTii-ori weelis ho orizonttiT. Z-
modelis s praaqtikulii mniS
Svneloba mdggomareobbs kompaniis
365
kreditu
unariano
obis Seefasebis
s SesaZZleblobbis daa msesx
xeblis
sakredito reit
tingis gaansazRvr
ris SedaarebiT simartive
s eSi.

modelis pr rognoziss sizus stis Sesafasebllad gamoiyeneba ori

kriteri iumi:
1) imm kompaniebis, rogorc
r ialuri gadaxsd
potenci disuunar
roebis,
gansazRvris sizuste,
s roml
lebac Semdgom
S la ganicades
marTl
gakotreeba (araaswori idenTif s dros dasaSvvebia I saxis
fikaciis
Secdomaa);
2) im kompan
niebis kreditu
unariano
obis gansazRvr
ris si
izuste,
romlebmmac Tavvi aarides gakkotrebas s (aras
swori idenTifi
i ikaciis
dros dasaSvebia II saxi is Secdooma).

yvelaze mniSSvnelovans warmoadgens s pirvelli krit

teriumi, e.i. im
sawarmo
oebis gannsazRvraa, romlebsac gakotreba eliT,, ramdenadac I
saxis Secdomebs uSualood mivvyavarT kreditorebiisaTvis
danakarg
gebamde. rac Seexeba meore kriiteriumss, model
lis uzus stobas

366
mivyavarT kreditis gamoyofaze uaramde, da Tu
nawinaswarmetyvelebi gakotreba sinamdvileSi ar xdeba, maSin
danakargebi gamoixateba mxolod miuRebel sargebelSi (kreditebis
mixedviT procentebSi). altmanis modeli aseve gamoiyeneba
korporatiuli obligaciebisaTvis sakredito reitingis
miniWebisaTvis, rac saSualebas iZleva defoltis mixedviT
statistikuri monacemebis safuZvelze Sefasdes mocemuli
reitingis mqone msesxeblebis defoltis saSualo albaToba.
SemdgomaSi altmanis modeli (5.1) araerTxel icvlida saxes da
srulyofili xdeboda. ase magaliTad, altmenma, hartzekma da pekma
1993 wels moaxdines sawyisi modelis modernizoreba, romelic
gankuTvnili iyo korporaciebis analizisaTvis, X 5 koeficientis
gamoTvlisas Secvales ra sabazro Rirebuleba sabalansoze. amis
Sedegad maT miiRes brunvaSi aqciebis aramqone kerZo sawarmoebis
gakotrebis prognozorebisaTvis Semdegi modeli:
Z   0,717 X 1  0,847 X 2  3,107 X 3  0,420 X 4  0,998 X 5 . (5.2)
SevniSnoT, rom X 4 koeficientis gamoTvlisas F -statistikis
mniSvneloba kompaniis sabalanso Rirebulebis mixedviT gaxda
ufro dabali (25,8), vidre maCvenebeli sabazro Rirebulebis
mixedviT gamoTvlisas (33,3).
ganviTrebad bazrebze kreditunarianobis Z indeqsis
gamoyenebisaTvis sawyisi modeli saxeSecvlili iqna da miiRo
`ganviTarebadi bazrebis skoringis~ (emerging market scoring - EMS)
saxelwodeba.
maqsimaluri raodenobis sawarmoze kreditebis gacemis mizniT Z
- modelis gamoyenebiT sakredito reitingis gansazRvris procesi
Semdegnairad xorcieldeba.
1. sawarmosaTvis EMS-is gansazRvra da `etalonuri~ sakredito
reitingis gansazRvra aSS-s korporatiuli obligaciebis
ekvivalenturi reitingebis mixedviT EMS-is modelis kalibrirebis
safuZvelze.
2. ucxour valutaSi gamoxatuli kompaniis obligaciis analizi
valdebulebis momsaxurebis TvalsazrisiT daucvelobis Sesaxeb.
daucveloba ganisazRvreba rogorc ucxour valutaSi Semosavlebis
xarjebis gareSe fardoba ucxour valutaSi xarjebTan. xdeba
ucxour valutaSi gaangariSebuli fuladi nakadebis fardoba
367
momavali wlis savluto valdebulebebTan da xorcirldeba
reitingis koreqtireba dawevis mimarTulebiT daucvelobis
xarisxze damokidebulebiT.
3. dawevis (awevis) mimarTulebiT reitingis koreqtireba, Tu
kompaniis riski miiCneulia paragraf 1-Si ganmartebul reitingiT
ekvivalentur obligaciisaze metad (naklebad).
4. dawevis (awevis) mimarTulebiT koreqtireba kompaniis bazarze
da dargSi mdgomareobaze damokidebulebiT.
5. reitengis koreqtireba awevis mimarTulebiT iseTi
gansakuTrebuli pirobebis arsebobisas, rogoricaa damatebiTi
uzrunvelyofa an saimedoobis garantiebi.
6. cxrili 5.3-dan X 4 maCveneblis gamoTvla aqciis sabazro
Rirebulebis sabalanso RirebulebiT SecvliT da miRebuli
Sedegis obligaciis ekvivalenturi reitingTan fardobiT xdeba. Tu
reitingebs Soris mniSvnelovani gansxvavebaa, maSin saboloo
reitingis koreqtireba xdeba awevis an dawevis mimarTulebiT.

5.9.2 ZETA modeli

1977 wels altmanma, holdmenma da naraiamanma warmoadgines
kreditunerianobis Sefasebis meore Taobis modeli, ufro
detalizebuli da ufro zusti sawyis Z - modelTan SedarebiT. maT
mizans warmoadgenda defoltis albaTobis progozis modelis
ageba didi kompaniebisaTvis, romelTa aqtivebis Rirebuleba
saSualod Sedagenda 100 mln. dolars gakotrebamde ori wliT
adre.
ZETA modeli axdens kompaniis gakotrebis prognozirebas
gakotrebamde erTi wliT adre 90%-is sizustiT da xolo xuTi
wliT adre 70%-ze meti sizustiT. testirebis Sedegebis mixedviT
ZETA modelis gamoyenebam aCvena ufro didi siuzuste Z - modelTan
SedarebiT, gansakuTrrebiT drois xangrZlivi horizontis
ganmavlobaSi prognozirebis SemTxvevaSi.
Tavdapirvelad modelSi gamoyenebuli iyo 27 finansuri
maCvenebeli, romelTagan SemdgomSi SerCeuli iyo mxolod Svidi:
X 1 - aqtivebis rentabeloba: procentebis da gadasaxadebis
gadaxdamde mogebis (earnings before interest and taxes - EBIT) fardoba
erTobliv aqtivebTan;

368
 X 2 - mogebis stabiluroba, romelic Sefasebulia bolo 5-10 wlis
manZilze;
X3 - procentuli dafarvis maCvenebeli (interest coverage):
procentebis da gadasaxadebis gadaxdamde mogebis (EBIT) fardoba
saprocento gadaxdebis saerTo TanxasTan. es aris erT-erTi
ZiriTadi maCvenebeli, romelic Cveulebriv gamoiyeneba fiqsirebuli
Semosavlianobis mqone fasiani qaRaldebis fundamenturi analizis
Catarebis da maTi reitingis gansazRvrisaTvis;
X 4 - erToblivi momgebianoba: ganawilebuli mogebis fardoba
aqtivebis jamTan. es maCvenebeli iTvaliswinebs iseT faqtorebis,
rogoricaa, kompaniis xnovanoba, dividenduri politika da
arsebobis manZilze Semosavloanobis zogadi done;
X 5 - mimdinare likvidobis koeficienti: mbrunavi kapitalis
fardoba kompaniis moklevadian sakredito davalianebasTan;
X 6 - sabazro kapitalizaciis fardoba kapitalis sabalanso
RirebulebasTan, amasTan kapitalizacia fasdeba saSualod bolo
xuTi wlis ganmavlobaSi;
X7 - kompaniis zoma, romelic fasdeba rogorc kompaniis
erToblivi aqtivebis logariTmi.
Z - modelis da ZETA modelis gamoyenebis sferoebi
 bankis sakredito politikis formirebisas. am modelebis
saSualebiT SesaZlebelia finansuri institutis sakredito
politikaze gansazRruli SezRudvebis daweseba, kerZod
dakreditebaze limitebis SemoRebis gziT.
 sakredito kontrolis ganxorcieleba. modelebi iZlevian
signals msesxeblis defoltis albaTobis momatebis an Semcirebis
Sesaxeb, miuTiTeben ra amiT eqstremaluri zomebis miRebis
aucileblobaze.
 kreditis Rirebulebis gansazRvra. modelebi SeiZleba
gamoyenebuli iyos im riskisTvis premiis gamosaTvlelad, romelic
axdens defoltis SemTxvevaSi mosalodneli danakargis
kompensirebas, aseve kreditis Tanxebis gauTvaliswinebeli
danakargebis prognozis gaTvaliswinebiT.
 sakredito riskis Sefaseba, im aqtivebis klasifikacia da
struqturizacia romlebsac sekuritizacia exebaT. magaliTad,

369
finansuri instituti, romelic flobs ipoTekuri kreditebis did
portfels axdens maT gamoyvanas balanss gareT da maT mier
garantirebuli obligaciebis gamoSvebas, romlebzec kuponuri
ganakveTi ipoTekur kreditebis dafarvis angariSze gadaxdebis
proporciulia. aseTi operaciebi saSualebas iZleva miRebuli iqnas
damatebiTi dafinanseba sakredito portfelis realizaciis xarjze,
rac zrdis brunvas da misaReb mogebas.
Z - modelis da ZETA modelis naklovanebebi
am modelebis susti mxareebi SemdegSi mdgomareobs:
 orive modeli wminda empiriuls warmoadgens da ar emyareba
raime Teoriul koncefcias;
 modelebSi gamoyenebulia finansuri angariSgebis monacemebi,
romlebsac SeuZliaT mxolod nawilobriv an dagvianebiT asaxon
sawarmos realuri mdgomareoba;
 orive modeli wrfivs warmoadgens.

5.10. sakredito riskis ZiriTadi mdgenebi

Tumca sakredito riski unda gangvexila, rogorc aqtivebis
nebismieri sabazro Rirebulebis cvlileba momavalSi
mosalodneli defoltis Sesaxeb bazris monawileTa azris
cvlilebis gamo, Cveni Semdgomi analizis sagans warmoadgens
mxolod defoltis gamoxcadebis Semdgomi Sedegebi. `Siga~
midgomis Tanaxmad, defoltis riski SeiZleba ganvixiloT rogorc
Semdegi parametrebis funqcia:
 defoltis dadgomis albaToba (probability of default - PD),
romelic fasdeba, msesxeblis finansuri mdgomareobis analiziT an
mis mier brunvaSi gamoSvebuli obligaciebis da aqciebis sabazro
RirebulebiT. sakredito riskis modelirebisas defoltis
albaTobis prognozi da portfelis mdgenebisaTvis defoltebs
Soris korelaciis Sefaseba warmoadgens centralur amocanas;
 sakredito riskis qveS yofna (credit exposure – CE; exposure at
default - EAD), romelic warmoadgens im aqtivebis Rirebulebebis
ekonomikur Sefasebas, romlebic ganicdian riskis defoltis
gamocxadebis momentSi. SedarebiT martivi instrumentebisaTvis,
rogorebicaa krediti an Cveulebrivi aqciebi, sakredito riskis
370
qveS yofna mudmivadaa miCneuli da maTi nominaluri Rirebulebis
tolia, magram warmoebuli instrumentebisaTvis sakredito riskis
qveS yofnis ganawilebas droSi eqneba SedarebiT rTuli saxe;
 defoltis SemTxvevaSi danakargebi (loss diven default - LGD),
romelic asaxavs danakargebis dones aqtivebis nawilobrivi
aRdganis gaTvaliswinebiT, magaliTad giraos realizaciis,
garantiis Sesrulebis gziT da a.S. magaliTad, Tu aRdgenis done
tolia kreditis saerTo Tanxis 30%-is, maSin defoltis SemTxvevaSi
sakredito riskis qveS yofnis gamo danakargi Seadgens 70%-s.
davalianebis aRdgenis done aseve SeiZleba mniSvnelovnad
gansxvavdebodes kontragentis kategoriebis da sakredito
produqtis mixedviT.
sakredito riski gamoisaxeba sakredito danakargebis (credit loss -
CL) sididiT, romelic SeiZleba Sefasdes zemoT CamoTvlili
sakredito riskis sami mdgenis meSeobiT. sakredito riskis Sedegad
danakargi erTi aqtivisaTvis formalurad SeiZleba warmodgenili
iyos rogorc CamoTvlili parametrebis namravli:
CL  b  CE  LGD  b  CE  (1  R ) , (5.3)
sadac b _ orobiTi SemTxveviTi cvladia, romelic 1-is tol
mniSvnelobas iRebs defoltis dadgomis SemTxvevaSi PD albaTobiT,
da winaaRmdeg SemTxvevaSi 0-is tola;
CE - sakredito riskis qveS yofna defoltis gamocxadebis
momentSi;
R - davalianebis aRdgenis done;
LGD  (1  R ) - defoltis SemTxvevaSi daubrunebeli danakargebi.
zogad SemTxvevaSi (5.3) formulaSi Semavali yvela cvladi
SeiZleba ganxiluli iyos rogorc SemTxveviTi sidide. davuSvaT,
rom maTi erToblivi ganawileba aRiwereba raime albaTobebis
simkvrivis f (b, CE , LGD ) funqciis meSveobiT. maSin CL SemTxveviTi
sididis, romelsac uwodeben sakredito riskis Sedegad
mosalodnel danakargebs, maTematikuri lodini ganisazRvreba
Semdegnairad:
E (CL )   b  CE  LGD  f (b, CE , LGD ) dbdCEdLGD . (5.4)
Tu sakredito riskis yvela parametri damoukidebelia, maSin
albaTobebis ganawilebaTa erToblivi simkvrive SeiZleba
warmodgenili iyos TiToeuli am sidideTa ganawilebebis
371
simkvriveTa namravlis saxiT, xolo (5.4) gamosaxuleba daiyvaneba
Semdeg saxeze:
E (CL )   b  g (b) db  CE   (CE ) dCE  LGD   ( LGD ) dLGD . (5.5)
sadac g (b) ,  (CE ) ,  ( LGD ) Sesabamisi SemTxveviTi sidideebis
albaTobebis ganawilebebis simkvrivis funqciebia.
aqedan gamomdinareobs, rom mosalodneli danakargebi SeiZleba
Sefasdes rogorc defoltis albaTobebis namravli saSualo
sakredito riskis qveS yofnaze da defoltis SemTxvevaSi saSualo
daubrunebel danakargebze:
ECL  PD  E (CE )  E ( LGD ) . (5.6)
qvemoT dawvrilebiT SevCerdebiT TiToeul CamoTvlil
sakredito riskis mdgenze.

5.11. defolti
defoltis dadgomis albaToba mWidro kavSirSia dargis,
regionis da zogadad qveynis ekonomikur ganviTarebasTan – rogorc
cnobilia, ekomonikuri zrdis tempis dawevas mosdevs gakotrebebis
ricxvis zrda. am kuTxiT defoltis albaTobis prognozi unda
ganxorcieldes rogorc sawarmo-kontragentis ise im qveynis
analizis gziT, romelSic is awarmoebs Tavis saqmianobas.

5.11.1. sawarmo-kontragentis defolti

kontragentis defoltis albaToba SeiZleba Sefasdes
gamoqveynebuli sakredito reitingebis safuZvelze, romlebic Tavis
mxriv, warmodgenilia saagentoebis mier sawarmos finansuri
angariSgebis analizis Sedegebis mixedviT. sabuRaltro monacemebiT
gaangariSebuli mniSvnelovani analitikuri koeficientebi Cvens
mier zemoT iyo ganxiluli 5.6 da 5.9 paragrafebSi. unda gvaxsovdes,
rom buRaltruli informacia (maTi saimedoobis pirobebSi) asaxavs
mxolod kompaniis mimdinare finansur mdgomareobas, e.i. mis
safuZvelze sakredito riskis Sefaseba SeiZleba mxolod
postfaqtum.
sawarmos finansuri mdgradobis mTavar indikatorebs
warmodgenen finansuri damokidebulobis koeficienti da
procentuli dafarvis koeficienti. cxadia, rom msgavsi Tanabari
pirobebis dros im kompaniis gakotreba, romelic xasiaTdeba
372
maRali finansuri damokidebulebiT da dabali saprocento
dafarvebiT, SedarebiT ufro mosalodnelia.
sawarmos sakredito reitingi damokidebulia aseve iseT `gare~
faqtorebze, rogoricaa:
 bazirebis qveynis finansuri mdgomareoba, misi sabanko sistemis
stabiluroba, finansuri bazrebis regulirebis saxelmwifo fulad-
sakredito da sabiujeto politika;
 gakotrebis wessa da procedurebSi da kreditorebis
uflebebis dacvis nawilSi sxvadasxva qveynis iuridiul sistemebSi
gansxvaveba;
 dargobrivi kuTvnileba, ramdenadac sawarmoebs, romlebic
sxvadasxva samrewvelo seqtorebs ekuTvnian, SeiZleba hqondeT
defoltis gansxvavebuli albaToba erTidaigive sakredito
reitingis dros.
sakredito riski damokidebulia ara marto mimdinare
mdgomareobaze, aramed sawarmos saqmianobis samomavlo
perspeqtivazec. iseTi informaciaze, rogoricaa zrdis
mosalodneli tempi, mdgomareoba bazarze, finansuri riskebis
mimarT mgrZnobeloba da a.S. gaTvaliswineba xdeba finansur
bazarze mbrunavi kompaniis aqciebis da sasexo valdebulebebis
fasebSi, romelic warmoadgens sakredito riskis winmswreb
indikatorebs. `sabazro~ cvladebis analizma SeiZleba mogvces
defoltis albaTobis ufro zusti prognozi, Tu, ra Tqma unda,
sawarmo axdens Tavisi instrumentebis ganTavsebas kapitalis
bazarze.

5.11.2 saxelmwifos defolti

qveynis sakredito riskis DSefasebisadmi midgomebi
mniSvnelovnad gansxvavdeba sawarmos sakredito riskis
Sefasebisagan. rogorc cnobilia, kerZo an korporatiuli
msesxeblis gakotrebis dros kreditors ufleba eZleva daayadaRos
mevalis aqtivebi, axdens ra amiT Tavis danakargis nawilobriv
kompesorebas. umetes qveyanaSi gakotrebis oficialuri procesi
warmoadgens kompania-bankrotis mimarT wayenebuli yvela miTxovnis
gadawyvetis process, romelic daiyvaneba sasamarTlos
gadawyvetilebiT mevalis qonebis dayadaRebaze, aqtivebis
373
sakonkurso masad gaerTianebaze da am aqtivebis kreditorebs Soris
gadawilebaze kanoniT dadgenili rigiTobis Sesabamisad.
am saxis gakotrebis procesi miuRebelia saxelmwifos mier
gamocxadebuli defoltis SemTxvevaSi, ramdenadac qveyana-mevalis
qonebis dayadReba Tavis teritoriaze praqtikulad SeuZlebelia.
ukeTes SemTxvevaSi kreditorebma SeiZleba miaRwion qveynis gareT
ganTavsebuli saxelmwifo aqtivebis dayadaRebas, uZravi qonebis da
ucxour bankebSi Cadebuli fuladi saxsrebis CaTvliT. yovelive es
saxelmwifos mier ucxouri valis mimarT defoltis gamocxadebis
saSualebas iZleva ara imitom rom ar SeuZlia faqtobrivad Tavisi
valdebulebis Sesruleba, aramed imitom rom mas es ar surs.
aqedan, kerZod, gamomdinareobs, rom saxelmwifo valis aRdgenis
done unda iyos korporatiul davalianebis aRdgenis doneze
dabali.
sawarmosagan gansxvavebiT saxelmwifos ar gaaCnia zogadi
gagebiT `finansuri angariSgeba~, romlis gamoyenebac SesaZlebeli
iqneboda defoltis prognozirebisaTvis. am SemTxvevaSi
aucilebelia Catardes qveynis ekonomikis srulyofili
fundamentaluri analizi, romlis drosac gansakuTrebuli
yuradReba unda mieqces erovnul da ucxour valutaSi
valdebulebebis fardobas, valis Tanxis (da calkeuli saprocento
gadaxdebis) fardobas wliur eqsportTan, dafarvis vadebis
mixedviT davalianebis swraf struqturebs, aseve iseT sabaziso
makroekonomikur indikatorebs, rogoricaa mSp-s zrda an dawevas,
inflaciis temps da oqro-savaluto rezervebs. aseTi analizis
Catarebisas oficialuri statistikuri monacemebis sizuste ufro
mwvaved dgas, vidre korporatiuli msesxeblis sabuRaltro
angariSgebis analizis dros, gansakuTrebiT mkafiod es vlindeba
ganviTarebadi da gardamavali ekonomikis mqone qveynebis mimarT.
am faqtorebis gamo qveynis sakredito riskis Sefaseba ufro
subieqturadaa miCneuli korporatiul valdebulebebis riskis
SefasebasTan SedarebiT, qveynis sakredito reitingi warmoadgens
SedarebiT ufro saimedo maCvenebels korportiul reitingTan
SedarebiT. amave dros saxelmwifos defoltis riskis
Sesafaseblad SeiZleba gamoyenebuli iyos sabazro midgoma,
romelic am qveynis da ganviTarebadi qveynebis saxelmwifo

374
obligaciebis Semosavlianobebis spredebis analizzea dafuZnebuli
(dawvrilebiT ixileT 5.20.2 paragrafi).

5.11.3 defoltis albaTobebis Sefasebis meTodi

defoltis riskis Sefasebis yvela xerxi SeiZleba daiyos or
jgufad:
1) aqtuaruli meTodebi, romelic saSualebas iZlevian
obieqturad gaiTvalos (rogorc riskis sawinaaRmdego neitraluri)
defoltis dadgomis albaTobebis Sefaseba defoltebis Sesaxeb
statistikuri monacemebis safuZvelze;
2) meTodebi aqciis, obligaciis an warmoebuli finansuri
instrumentebis, sabazro Rirebulebis safuZvelze, romelTa
saSualebiTac ganisazRvreba defoltis riskis mimarT neitraluri
riskis da riskisaTvis premiis Sefaseba.

5.12. defoltis albaTobis Sefasebis aqtuaruli meTodebi

defoltis albaTobebis aqtuaruli Sefasebebi gamoiTvleba
reitinguli saagentoebis mier, romlebic axdenen sawarmoebis da
maT savalo valdebulebebis klasifikacias defoltis albaTobebis
mimarT maTTvis sxvadasxva sakredito reitingis miniWebis gziT.
gareSe reitingis ar arsebobisas kreditors, romelsac gaaCnia
sakuTari statistika, SeuZlia gansazRvros Siga sakredito
reitingi eqspertTa daskvnebis gziT am zemoT ganxiluli
statistikuri modelebiT, romlebic iyeneben kompaniebis
buRaltrul angariSgebebs finansuri maCveneblebsa da defoltis
SesaZleblobas Soris empiriuli uerTierTkavSirebis dasadgenad
(ix. 5.9). monacemTa did moculobaze dafuZnebuli aseTi saxis
modelebs iyeneben TavianT saqmianobaSi sareitingo saagentoebic.
viRebT ra msesxebelTaA klasifikacias sakredito reitingebis
mixedviT rogorc mocemuls, ZiriTad yuradRebas vuTmobT
defoltis obieqturi albaTobebis gamoTvlas, romlebic
damaxasiaTebelia sxvadasxva sakredito reitingis mqone
msesxeblebisaTvis.

375
 5.12.1.
obligaciebis defoltebis statistikis safuZvelze
defoltis albaTobebis Sefaseba
gadarCenaze analizze (survival analysis) dafuZnebuli sxvadasxva
sakredito reitingis mqone obligaciebis mimarT defoltis
albaTobebis Sefasebis sferoSi yvelaze cnobilia gamokvlevebi,
romlebic Caatares altmanma 1988-1997 wlebSi da sareitngo
saagentoebma Moody’s da Standerd & Poor’s 90-ian wlebSi.
Moody’s da Standerd & Poor’s-is gamoTvlebi efuZneboda farTe
standartul monacemebs, romlebic Segrovebuli iyo msxvili
reitinguli saagentoebis mier, da mdgomereobda mocemuli
sakredito reitingis mqone emitentebis saerTo raodenobidan im
kompania-emitentis wilis gansazRvraSi, romelmac mocemul wels
gamoacxada defolti. tradiciulad isini Tvlidnen obligaciebis
mixedviT defoltis albaTobebis saSualo mniSvnelobas
obligaciis `dabrunebis~ gaTvaliswinebis gareSe, e.i. obligaciis
emisiis momentidan mis ganaRdebamde periodis gaTvaliswinebis
gareSe. praqtika gviCvenebs, rom obligaciis dabruneba mniSvnelovan
gavlenas axdens defoltis albaTobaze, ramdenad im obligaciebis
mixedviT defolti, romlis emiterebac SedarebiT exlaxans moxda,
nakleb mosalodnelia, maTi dabali reitingisac miuxedavadac ki. es
faqti aixsneba emitentebis mier pirveli ori weli im saxsrebis
qoniT, romelic obligaciis realizebiT miiReba, da romlebic
amaRleben kompaniis likvidurobas da uzrunvelyofen emitentebis
mier TavianTi valdebulebebis Sesrulebas, kerZod mimdinare
kuponuri gadaxdebis mimarT.
Moody’s da Standerd & Poor’s saagentoebisagan gansxvavebiT,
altmani axdenda mxolod im obligaciebis analizirebas, romlebic
mimdinare wels iyo emitirebuli (e.i. romelTa brunvis periodi erT
wels ar aRemateboda), iTvaliswinebda ra amiT obligaciis
xnovanebas. garda amisa, altmani ar ixilavda sakredito reitingis
mqone bazarze mbrunav yvela korporatiul obligacias, aramed
mxolod maRali Semosavlianobis mqone, aSS-s kompaniebis mier
gamoSvebul `pirdapir~ obligaciebs17 (straight bond). Tavis

17 fiqsirebuli saprocento ganakveTis mqone obligacia vadamdeli dafarvis uflebis

gareSe, romelic ar konventirebs emitentis aqciebSi.
376
gamokvlevebSi is axdenda aseve defoltis albaTobebis da
obligaciis reitingis gaanalizebas erT welze meti xangrZlivobis
drois periodisaTvis imisaTvis, rom aRericxa sawarmos sakuTar
ekonomikur ciklebSi makroekonomikuri cvlilebebis konturebi.
kidev erTi mniSvnelovani gansxvaveba imaSi mdgomareobs, rom
altmani iyenebda obligaciebis bazris moculobiT maxasiTeblebs,
e.i. pirdapiri maRalSemosavliani obligaciebis moculobis (ajamul
nominalur Rirebulebebis), romlis mixedviTac moxda defolti,
fardobebs bazarze am saxis obligaciebis saerTo moculobasTan.
piriqiT, Moody’s da Standerd & Poor’s saagentoebi eyrdnobodnen
raodenobriv maxasiaTeblebs, romlebic gamoiTvleboda im kompania-
emitentebis ricxviT, romlebmac gamoacxades defolti, fardobiT
im emitentebis saerTo raodenobasTan, visi obligaciebic
brunavdnen bazarze, sakredito reitingebis WrilSi.
altmanis midgomis upiratesoba mdgomareobda defoltis
albaTobebis saSualoSewonilis miRebaSi, sadac wonad gamodis
gamoSvebuli obligaciebis fardobiTi moculobebi, romelTa
mixedviTac gamocxadebuli iyo defolti. magaliTad, Tu orma
kompaniam ganaTavsa Tavisi obligaciebi bazarze, maSin sxvadasxva
msgavsi SemTxvevis dros bazarze brunvaSi upiratesoba eqneba im
kompaniis obligaciebs, romelmac is meti raodenobiT gamouSva, da
Sesabamisad, meore kompaniis defolti ar iqoniebs iseTive Zlier
zemoqmedebas bazarze. meores mxriv, calkeulma msxvilma
defoltebma SeiZleba mniSvnelovani gavlena iqonion bazris
koniunqturaze da daamaxinjon mocemuli periodisaTvis defoltis
albaTobis Sefaseba, rac warmoadgens amgvari midgomis nakls.
sakredito reitingis WrilSi obligaciebis mixedviT defoltis
albaTobebis Sesafaseblad gamoiyeneba Semdegi maCveneblebi:
1. defoltis zRvruli albaToba (marginal mottality rate - MMR)
brunvaSi obligaciis gamoSvebis momentidan t –uri wlis
ganmavlobaSi. es maCvenebeli Semdegnairad gamoiTvleba:
ობლიგაციის ღირებულება,რომლის მიხედვითაცაა გამოცხადებული დეფოლტი წელს
MMR(t ) . (5.7)
ობლიგაციების ჯამური მოცულობა წლის დასაწყისში
defoltis zRvruli albaToba asaxavs gansazRvruli reitingis
mqone obligaciebis mixedviT defoltis albaTobis statistikur
Sefasebas brunvaSi misi gamoSvebis momentidan t –uri wlis
ganmavlobaSi. es maCvenebeli gamoiTvleba rogorc saSualo n wlis
377
ganmavlobaSi SerCeulebis mixedviT. magaliTad, Moody’s da Standerd
& Poor’s saagentoebi aqveyneben bolo 20 wlis da meti xnis
ganmavlobaSi monacemebs.
2. gadarCenaze albaToba (survival rate) t –uri wlis ganmavlobaSi:
SRt  1  MMRt . (5.8)
3.gadarCenaze albaToba T wlis manZilze:
T
SRT   SRt . (5.9)
t 1

4. t wels defoltis albaToba wina wlebSi `gadarCenaze~

pirobebSi:
MRt  MMRt  SRt 1 . (5.10)
es maCvenebeli asaxavs imis albaTobas, rom emitenti mocemuli
sakredito reitingiT acxadebs defolts brunvaSi obligaciis
gamoSvebis momentidan t -uri wlis ganmavlobaSi misi wina t  1 wlis
ganmavlobaSi `gadarCenaze~ pirobebSi.
5. defoltis kumulatiuri albaToba (cumulative mortality rate -
CMR) drois T wlis periodSi:
T T
CMRT   MRt  1   SRt . (5.11)
t 1 t 1

defoltis kumulatiuri albaToba – es aris imis albaToba, rom

moceuli sakredito reitingis mqone emitenti gamoacxadebs
defolts mocemuli obligaciis brunvaSi gamoSvebis TariRsa ( t =0)
da T nomris mqone bolo wels Soris drois nebismier momentSi.
rogorc (5.11)-dan gamomdinareobs, defoltis kumulatiuri
albaToba gamoiTvleba rogorc erTamde damateba imis albaTobisa,
rom emitenti `gadarCeba~ (e. i. ar gamoacxadebs defolts) T drois
mTeli periodis ganmavlobaSi (ix. nax. 5.1).
6. defoltis saSualo albaToba (average mortality rate - AMR);
AMR  1  T 1  CMRT . (5.12)
unda aRiniSnos, rom defoltis kumulatiuri albaTobis
gamoTvlisas warmoiSoba statistikuri monacemebis droiTi
araerTgarovnebis problema. n wlis manZilze moculobiT
erTidaimave SerCevis dros defoltis kumulatiuri albaTobis
Sefaseba 1 wlis ganmavlobaSi gamoTvlili iqneba n dakvirvebis
mixedviT, 2 wlis ganmavlobaSi – ( n  1 ) dakvirvebiT da a.S., T wlis
ganmavlobaSi ( n  T ) dakvirvebiT. Tu T Zalian didia da Tavsebadia
378
sididiT
T SerCevvis mocculobas sTan, maS Sin def
foltis kumulaatiuri
albaTobis mi
iRebuli Sefaseeba damyyarebuli i iqnebaa dakvirrvebaTa
mcire raodenob
r baze, xo
olo mis si saimed dooba Zalian
Z d
dabali iqneba.
iseve rogorc
c sabaazro riskisaaTvis, SedarebiT i
iSviaTi
xdomilobebis (iseTebi is, rogo oric defolti
d ia) albaaTobis zusti
statist
tikuri Sefaseba
S probleematuri aRmoCndeba xol lme.

mocemuli maCveneb
blis mixedviT
T staatistiku
uri an
nalizi
metyvel
lebs imaaze, romm defoltis zRvruli z i albaT Toba iz zrdeba
obligacciis brunvaSi gamoS Svebidan pirvel li rammdenime wlis
ganmavlobaSi (gansakuT
( TrebiT mkafiod es vlindeb
v a BBB , BB
B da B
reitingis mqone oblig saTvis), Semdeg xdeba stabili
gaciebis s izireba
da iwyeebs dawwevas SeedarebiT T dabal li sawyyisi reitingis mqone
obligacciebisaT
Tvis d
da aw
wvas maRali reitingis mqone
obligac Tvis (ix cxrili 5.6). es kanonzo
ciebisaT omiereba imiT aiixsneba,
rom Zallian maRali saw wyisi reiitingis mqone mssesxebliisaTvis droTa
ganmavlobaSi mosalo odneliaa sakr
redito xarisx
xis mx
xolod
SenarCuneba ann dawevva, maSi in roca dabal li rei itingis mqone
msesxebl
lisTvis,, romel lic `g gadarCa~~ obli igaciis gamoSvvebidan
pirvelii ramdenime wl lis ganmavlobaaSi, def foltis gamocx xadebis
tendeciia ar gamomJR Ravndeba zrdis s mimarTTulebiT T dafaarvamde
darCenilli wlebbis ganmaavlobaS Si.

379
 defooltis kumulatiuri donis s SefaasebebSi gansxvaveba
TrebiT Zlierad
gansakuT d vlinddeba baz zarze obligac
o ciebis brunvis
pirvelii 4-5 wleebisaTvi
is (cxril
li 5.7).

1) oblligaciebis emissiis ful ladi moculobebis gamo oyeneba da

d ara
im emiteentebisa, romleb bmac deffolti gamoacxa
g ades;
2) mxo
olod aS SS-s kommpaniebis
s `pirdaapiri~ obligaci
o iebis mixedviT
monacemeebis gammoyeneba, konvertirebad di obligaciebis s da uc cxouri
kompanieebis obl ligaciebbis gamokklebiT;
3) deffoltis albaTobebis gaangari iSeba faqtobri
f ivi sakrredito
reitingis Wril lSi obligacieebis emi isiis moomentidaan bazarrze 10
wlis gaanmavlob baSi bru
unvamde;
4) oblligaciis `xnovaanebis~ gaTvalis
g swineba defolt tis albaaTobis
gamoTvl lisas;
5) sikkvdiliannobis donis analoogiis mixedviT
T defoltis
albaTobis gaaangariSeeba gamo oxmobis da dafarvis SemTxvevebis
gaTvali iswinebiT
T;
6) drois Sed darebiT xangrZl livi periodis statisti
s ikis gamo
oyeneba
(1971 wllidan 19996 wlamdde).
380
 CamoT
Tvlili Taviseburebeebis f
fonze altmanis midgoma
rekomind
debuliaa gamooyenebulli iyyos o
obligacciebis axal
gamoSveb
bebTan dakavSir
d rebuli riskebis s SefaseebisaTvis. obliigaciis
riskis analizis d
dros, SeiZleba daveeyrdnoT
T sareitingo
saagento
oebis mier gamoqqveynebul
l monac
cemebs.

altmmanis gamoTvl
lebi i
iZlevian defooltis albaTTobebis
gacileb re Moodyy’s da Sttandard & Poor’s
biT dabaal mniSvvnelobebs, vidr
saagento
oebi, gaamokveleevebis Semdegi
S gansaxvvavebebis
sa da sawyisi
s
statisttikuri monacemeb
bis ZaliiT:

381
 5.13. defoltis albaTobis Sefasebis sabazro meTodebi
aqtuaruli meTodebisagan gansxvavebiT, am midgomaSi sakredito
riskis indikators warmoadgens bazarze mbrunavi obligaciebis,
aqciebis da sakredito warmoebuli instrumentebis sabazro
Rirebuleba, romelic asaxavs bazris monawileTa molodins
sawarmo-emitentis SesaZlo defoltis mimarT. navaraudevia, rom
sabazro Sefaseba unda iyos ufro zusti vidre defoltis
aqtuaruli albaTobebi, ramdenadac bazari nebismier momentSi
iTvaliswinebs masSi Semosuli makro- mikroekonomikuri,
politikuri da fsiqologiuri xasiaTis didi moculobis
informacias urTierTkavSirSi. sabazro fasis safuZvelze SeiZleba
moxdes riskis mimarT neitraluri (risk-neutral) defoltis
albaTobis Sefasebis gaangariSeba, romelic SeiZleba
mniSvnelovnad gansxvavdebodes aqtuaruli Sefasebisagan.

5.13.1.
defoltis albaTobis Sefaseba obligaciebis
sabazro fasebis safuZvelze
garigebis mixedviT kontragentis sakredito riskis Sefaseba
SeiZleba dayvenili iyos mis mier gamoSvebuli savalo
valdebulebebis (obligaciebis) analizze.
ganvsazRvroT Cveulebrivi ukupono obligaciis sakredito
riski, romlis mixedviTac xorcieldeba mTeli periodis
ganmavlobaSi mxolod erTi gadaxda. amisaTvis aucilebelia
gamoiTvalos am obligaciis mixedviT moTxovnili Semosavlianoba
misi sabazro Rirebulebidan gamomdinare:
100
P ,
1 r
sadac r - obligaciis mixedviT moTxovnili Semosavlianobaa,
P - obligaciis sabazro Rirebuleba.
Tu dafarvis momentSi emitenti acxadebs defolts, maSin
obligaciis Rirebuleba Seadgens 100 R , sadac R- aRdgenis
koeficientia. im SemTxvevaSi Tu obligaciis dafarva Cveulebriv
moxdeba, misi Rirebuleba Seadgens 100 (nax. 5.2)
Tu dafarvis momentSi defoltis albaToba Seadgens d -s, maSin
obligaciis mimdinare fasi SeiZleba gamosaxuli iyos obligaciis
am ori mdgomareobis Rirebulebis maTematikuri lodiniT,
romlebic diskontirebuli arian procentis urisko ganakveTiT:
382
 1000 100 1000 R
P  (1  d )  d, (5.13)
1  r 1  rf 1  rf
sadaac r f - urisko
u s
saprocen
nto ganaakveTia.
aqedaan gamomd dinareobs, rom defolt tis albaaToba Seeadgens:
1  1  rf  r  rf
d 1   . (5.14))
1  R  1  r  1  R

amgvaarad, sakredit
s to sprredi (credit sp
pread) – moTx xovnil
Semosavl ris sxvaaoba ( r  r f ) –
lianobasa da urisko ganakveeTs Sor
asaxavs im sakr redito risks, romeli ic miaxl loebiTaaa Sefas sebuli
rogorc c defol ltis alb baToba, gamravl lebuli defolt d is SemTx xvevaSi
danakarggze.
T -s toli periodis rao odenobis mraval lperiod
dian mod delSi,
ukuponoo oblig gaciis Rirebul leba, ro omelic (5.13)-is s safuZvvelzea
gamoTvllili, Seeadgens:

P
100

100

1  d T

100 R

1  (1  d ) T , 
1  r  1  r f  1  r f 
T T T (5.15)

sadac c d - defolti saSulowliuri albaTo obaa.

(5.15) gamosaxulebis gamartivebiT mi
iviRebT:
1  r 
f
T
 
 (1  r ) (1  d ) T  R(1  (1  d ) T ) . (
(5.16)
uris
sko sapr rocento
o ganakvveTiT diskonti
d ireba riskis
r mimarT
neitral
luri deefoltis s albaTTobis gaamoTvli is saSuaalebas iZleva,
i
romelic c SeiZZleba ar daaemTxves faqto
obrivad dakvirvebad
(aqtuaruul) alb baTobas. Tu bazris monaawileebi i Tavs arideben risks,
maSin (55.14) gamosaxuleebaSi diskontir rebis ganakveTz
g ze gadassvliT,

383
romelic risks iTvaliswinebs (risk-adjusted discount rate), miviRebT,
rom sakredito spredi unda moicavdes rikisaTvis premias:
R  r f  d r (1  R )  p  d r LGD  p , (5.17)
sadac d r - defoltis aqtuaruli albaTobaa;
p - riskisaTvis premia;
LGD - defoltis SemTxvevaSi danakargi.
(5.17) formula gviCvenebs, rom analogiuri maCveneblebis
(dafarvamde vada, kuponuri gadaxdebis sixSire da zoma da a.S.)
mqone korporatiul obligaciebsa da urisko obligaciebis
Semosavlinobebs Soris sxvaoba asaxavs mosalodnel aqtuarul
dankargebs, romlebic gamoiTvleba rogorc defoltis albaTobebis
namravli defoltis SemTxvevaSi danakargebis zomaze plus
riskisaTvis premia.
riskisaTvis damateba Sedgeba sakuTriv sakredito riskisaTvis
premisagan, romlis sidide asaxavs mocemuli obligaciis mixedviT
defoltis risks, da aseve likvidurobis riskisaTvis premiisagan,
romelic ganpirobebulia urisko aqtivebis bazarTan SedarebiT
savalo valdebulebebis bazris naklebi likvidurobiT.
cxril 5.8-Si mocemulia msesxeblebis, romelTa reitingebia AAA
–dan B –mde (Standerd & Poor’s saagentos Skalis mixedviT)
obligaciebis SemosavlianobebSi sxvaobebis mniSvnelobebi. spredis
gaangariSeba xdeba urisko aqtivis Semosavlianobebis mimarTebaSi,
romlebadac aRebulia dafarvamde Sesabamisi vadis mqone aSS-s
saxazino obligaciebi.
rogorc cxrilidan Cans, yvelaze maRali AAA reitingis mqone
obligaciisaTvis spredi arc Tu ise maRalia – 50-dan 60 s.p.-mde
mcirediT maRalia (30-dan 50 s.p.-mde) A reitingis mqone
valdebulebebis mixedviT. magram B reitingis mqone obligaciebis
mixedviT SemosavlianobebSi sxvaoba mkveTrad izrdeba amasTan
swrafad izrdeba dafarvamde vadis gazrdasTan erTad 275-dan 450
60 s.p.-mde. maSin roca SedarebiT dabali sakredito reitingis
mqone kreditebis mixedviT spredebs aqvT didi gansxvavebebi,
magaliTad, BBB reitingis mqone kreditebis mixedviT spredi
gansxvavdeba B reitingis mqone sakredito spredisagan 160-dan 270
s.p.-mde.

384
 zogaad SemTx xvevaSi sakredi ito spredis si idide da droS Si misi
cvlilebebi as saxaven obligaaciis baazris monawile
m eTa proognozs
emitenttis defoltis albaTo obis mimarT. Cveeulebri iv obliigaciis
sabazro o fasebbis cvllileba win us swrebs sakredito rei itingis
cvlilebas, ami itom SemmosavliaanobebSi
i sxvaobba ganixiileba rogorc
sakredi ito riskkis winmswrebi indikato
i ori.
sakreedito riskis
r ar warmoadgens s mudmiiv sidid des; emitentis
finansu uri md dgomareoobis cvvlilebaasTan erTad,
e mis droiTi
d
dinamikis faqto orebs asseve warmoadgeneen:
 makkroekono
omikuri koniunqt tura: reecesiis periodebSi sakrredito
spredi amJRavnebs zrdi isaken teendencias, da pirriqiT;
 obliggaciebis bazris volat tiloba: rac uf fro araamyaria
bazari, miT ufr ro maRallia likkvidurobisaTvis s premia da sakr
redito
spredi;
 obl ligaciebis gamo
oSvebis pirobebi
p i: vadamd
deli daf farvis Sesaxeb
S
SeTanxmeebis arssebobisass sakred
dito sprredi SeiiZleba gaizardo os.
385
 5.13.2. defoltis albaTobebis Sefaseba aqciebis sabazro
fasebis safuZvelze
5.13.2.1. saaqcionero kapitalis Rirebulebis Sefasebis mertonis
modeli
defoltis albaTobebis Sefaseba sakredito spredis safuZvelze
SeiZleba ganxorcieldes mxolod korporaciuli obligaciebis
ganviTarebiuli bazris arsebobos pirobebSi, romelsac
faqtobrivad marto aSS-Si, da SedarebiT naklebad eropul
qveynebSi, aqvs adgili. Tu kompaniam ar ganaTavsa Tavisi sasexo
valdebulebebi bazarze an Tu gamoSvebuli obligaciebiT ar
mimdinareobs aqtiuri vaWroba, mocemuli midgoma aseve nakleb
misaRebi aRmoCndeba. am SezRudvebis gaTvaliswinebiT yuradReba
unda mieqces defoltis albaTobebis Sefasebis aqciis sabazro
fasebze dafuZnebul modelebs, romlebic asaxaven kompania-
emitentebis ufro farTo wres.
safondo bazris dinamikaSi winmswreb makroekomonikur
indikatorebad iTvleba tendenciebi, romlebic `iTvaliswineben~
sxvadasxva Semosuli informaciis Zalian did moculobas.
politikur sferoSi, ekonomikaSi da savaWro korporaciebSi da
finansur dawesebulebebSi mimdinare cvlilebebis Sesaxeb axali
ambebi dauyovnebliv aisaxeba aqciis Rirebulebaze. swored amitom
aqciis sabazro kursis rxeva ganixileba rogorc erT-erTi yvelaze
adreuli signali kompania-emitentis finansuri mdgomareobis
cvlilebis Sesaxeb.
aqciis fasze dafuZnebuli sakredito riskis Sefasebis meTodebi
eyrdnoba firmis kapitalis struqturis Teorias, romelic
SemuSavebulia modelianis da mileris mier da ofcionebis
faswarmoqmnis bleqis, Soulzis da mentonis models.
modiliani-mileris Teoremis (Modigliani-Miller theorem) Tanaxmad,
kompaniis sabazro Rirebuleba araa damokidebuli misi pasivebis da
sxva valdebulebebis struqturaze. kompaniis sabazro Rirebuleba
ganisazRvreba generirebuli fuladi nakadiT, xolo pasivebis
struqtura mxolod valdebulebebis mflobelebs (kreditorebs) da
kompaniis aqcionerebs Soris fuladi nakadis ganawilebas axdens.
vali ufro maRli rigiTobisaa kapitalTan SedarebiT, ramdenadac

386
mogebis miRebisas sawarmom aucileblad Tavidan unda gaasworos
angariSi Tavis kreditorebTan, da mxolod amis Semdeg darCenili
sasxrebi nawildeba aqcionerebis gadawyvetilebis Sesabamisad.
SesaniSnavi Sedegi, romelic mertonma 1974 wels pirvelad miiRo,
imaSi mdgomareobs, rom Tu firma (saaqcio sazogadoeba an
SezRuduli pasuxismgeblobis sazogadoeba) Tavis aqtivebs
afinansebs ara marto Tavisi kapitalis xarjze, aramed moizidavs
agreTve sasesxo saxsrebsac, maSin finansuri Teoriis
TvalsazrisiT valdebulebebis mixedviT kompaniis SesaZleblobebis
SezRudvis principi misi aqcionerebisaTvis firmis aqtivebis
Sesrulebis fasad yidvaze im ofcionis ekvivalenturia., romelic
valdebulebis sididis tolia, am SemTxvevaSi firmis mflobelTa
(ofcionebis myidvlTa) mogeba, romelic aqtivebis sabazro
Rirebulebasa da valdebulebebis jamis tolia, principSi araa
zemodan SemosazRvruli, xolo maTi maqsimaluri danakargi
daiyvaneba maTi kuTvnili aqciebis sabazro Rirebulebaze, rac
zustad Seesabameba `qol~ ofcions. piriqiT, kreditorTa
(ofcionebis gamyidvlTa) mogeba zemodan iqneba SemosazRvruli
valdebulebeTa mixedviT procentis sididiT, magram firmis
gakotrebis SemTxvevaSi misma danakargma SeiZleba mniSvnelovnad
gadaaWarbos mogebas da yvelaze uares SemTxvevaSi Seadginos valis
ZiriTad Tanxas plus procentebi.
SegasxenebT, rom `qol~ ofcionis mixedviT gadaxdebi
Semdegnairad ganisazRvreba:
− , თუ აქტივის მიმდინარე ფასი მეტია შესრულების ფასზე,
0, თუ აქტივის მიმდინარე ფასი დაბალია შესრულების ფასზე.
im SemTxvevaSi Tu aqtivebis sabazro Rirebuleba ecema valis
Rirebulebaze dabla aqcionerebisaTvis momgebiania ar gamoiyenon
ofcioni da `miscen~ kompania kreditors, xolo Tu aqtivebis
Rirebuleba gadaaWarbebs valdebulebebs, maSin aqcionerebisaTvis
momgebiania gamoiyenon ofcioni da droulad gadaixadon valis
dasafarad gankuTvnili Tanxa.
aqedan gamomdinareobs, rom firmisaTvis SeTavazebuli sesxebi
SezRuduli SesaZleblobebiT sakredito riskis arsebobisas
SeiZleba warmovadginoT rogorc kreditorebis mier firmis
aqtivebis SeZena erTdroulad maT mflobelebze am aqtivebis
SeZenaze ofcionebis gayidvis dros.
387
 amgvarad, aqcionuri kapitali Seesabameba sawarmos aqtivebze
`qol~ ofcions Sesrulebis fasiT, romelic valis nominaluri
Rirebulebis tolia, da Sesrulebis vadiT, romelic valis
dafarvamde vadis tolia, maSin kapitalis Rirebuleba am ofcionis
Rirebulebis tolia. Teoriulad kompaniis aqciis rogorc kompaniis
aqtivebisagan `warmoebuli~ instrumentis Rirebuleba SeiZleba
warmodgenili iyos aqtivis RirebulebiT agreTve misi volatiloba,
valdebulebaTa nominaluri Rirebuleba da maT dafarvamde vada.
evropuli `qol~ da `fuT~ ofcionebis paritetis Teoremis
Tanaxmad, X Sesrulebis fasad `qol~ ofcionis yidva
ekvivalenturia X zomiT gadaxdebiT sasesxo saxsrebis miRebis da
X Sesrulebis fasad `fuT~ ofcionis yidviT miRebuli aqtivebis
flobisa. jamSi miiReba, rom aqcionerebi floben P aqtivebs da D
zomis sasesxo saxsrebs, aseve `fuT~ ofcionebs, romlebic maT
uflebas aZlevT `gayidon~ aqtivebi D fasad. Tavis mxriv,
kreditori, romelic iZleva sesxs da aRiarebs defoltis
SesaZleblobas, yidis `fuT~ ofcionebs aqcionerebze.
kreditorebisaTvis kompaniis savalo valdebuleba nulovani
sakredito riskiT msgavsia D sididis urisko kreditis `fuT~
ofcionis Rirebulebis gamoklebiT, xolo defolti Seesabameba
kompaniis aqcionerebis mier `fuT~ ofcionis Sesrulebas.
SevniSnoT, rom `fuT~ ofcionis gayidvasTan dakavSirebuli
damatebiTi operaciis gamo, kompaniis vali yovelTvis ufro
naklebi Rirs, vidre urisko krediti: rac ufro maRalia kompaniis
gakotrebis riski, miT ufro metia `fuT~ ofcionis Rirebuleba da
naklebia valis Rirebuleba. aqedan gamomdinare, sakredito riskis
analizis procesi SeiZleba dayvanili iyos `fuT~ ofcionis
mimdinare Rirebulebis da misi gamoyenebis analizze.
ofcioneruli midgomis upiratesoba imaSi mdgomareobs, rom is
saSualebas iZleva gamoviyvanoT defoltis albaToba da aRdgenis
koeficienti bazarze dakvirvebadi fasebis mniSvnelobebsa da
saprocento ganakveTebidan (SegaxsenebT, rom `sabazro~ midgomis
CarCoebSi SeuZlebelia Sefasdes riskis am faqtorebis gavlena
calk-calke, iseve rogorc moxdes danakargis volatilobisaTvis
premiis gamocalkeveba). sabazro informaciis gamoyeneba miznad
isaxavs Semcirdes droiTi lagi, romelic warmoiSoba aqtuarul

388
midgomaSi defoltis albaTobis gadafasebis dros, ramdenadac
eqspertebs esaWirebaT garkveuli dro imisaTvis, rom moaxdinon
TavianTi Sefasebis koreqtireba axali informaciis Semosvlis
dros. garda amisa, dReisaTvis mxolod ofcionuri midgoma iZleva
davukavSiroT erTmaneTs aqciis Rirebulebis da kreditis
Rirebulebis Sefaseba erTiani modelis CarCoebSi.
Tavidan ganvixiloT mertonis modelis yvelaze martivi
varianti. es modeli emyareba Semdeg xuT daSvebas:
1) kompania-msesxebels gaCnia mxolod erTi saxis savalo
valdebulebebi – obligaciebi nulovani kuponebiT (veqsilebi),
amasTan is ar warmoqmnis nebismieri saxis axal sesxebebs am
obligaciis dafarvamdec ki;
2) valdebulebebis mixedviT defolti SeiZleba dadges mxolod
obligaciebis dafarvis vadis dadgomis momentSi;
3) sasesxo valdebulebis mixedviT defoltis gamocxadeba
niSnavs kompaniis gakotrebas;
4) kompaniis qceva, misi aqtivebis riskis donis CaTvliT, araa
damokidebuli imaze, ramdenad axlos mdebareobs defoltisagan
misi mimdinare mdgomareoba;
5) aqcionerebze Sualeduri gadaxdebi, rogoricaa, magaliTad,
dividendebi, ar xdeba savalo valdebulebis Sesrulebis vadis
dadgomamde.
amis gamo gamartivebul models eqneba mxolod oTxi Semavali
parametri:
 obligaciis dafarvamde vada ( T );
 kompaniis valdebulebaTa mimdinare Rirebulebebi ( D)
dafarvis T vadiT, romelic gamoTvlilia urisko saprocento
ganakveTis diskontirebis gziT;
 kompaniis aqtivebis sabazro Rirebuleba ( V );
 kompaniis aqtivebis RirebulebaTa volatiloba ( sV ), romelic
gaTvlilia T -ze nakleb `erTeul~ droiT horizontze (magaliTad,
1 weli).
am parametrebis codniT SeiZleba gamoiTvalos cxadi saxiT
kompaniis defoltis albaToba, daubrunebeli danakargebis done
(davalianebis aRdgena) defoltis SemTxvevaSi, urisko

389
ganakveTisadmi moTxovnili premia (sakredito spredi), kapitalis da
kompaniis savalo valdebulebebis sabazro Rirebuleba.
ganvixilavT ra aqcionerul kapitals rogorc `qol~ ofcions
Sesrulebis fasiT, romelic valdebulebebis nomimaluri
Rirebulebebis tolia, SevafasoT misi mimdinare sabazro
Rirebuleba bleq-Soulzis formulis gamoyenebiT (ix. paragrafi
2.22):
E  V  N ( d1 )  D  N ( d 2 ) , (5.18)
sadac E - aqciis sabazro fasia (ofcionis Rirebuleba);
N ( z ) - standartuli normaluri ganawilebisaTvis albaTobebis
funqciaa;
V T
ln   V2
d1  D 2 ;
V T
d 2  d1   V T .
kompaniis valdebulebaTa mimdinare sabazro Rirebuleba
ubralod toli iqneba aqtivebis da kapitalis Rirebulebebs Soris
sxvaobis: D  V  E .
bleq-Soulzis formulaSi N (d 2 ) parametric asaxavs imis
albaTobas, rom drois T momentSi `qol~ ofcionisaTvis
Sesrulebis fasi aweuli iqneba. e.i. ofcioni Sesrulebuli iqneba.
magram es xom imis albaTobac iqneba, rom defolti ar dadgeba,
aqedan gamomdinare, defoltis albaToba toli iqneba:
PD  1  N (d 2 ) . (5.19)
Tu defolto ar xdeba, obligaciebis mflobelebs SeuZliaT
miiRon valis nominaluri Rirebuleba, winaaRmdeg SemTxvevaSi maT
gadaexdebaT mxolod davalianebis raRac nawili, romlis zoma
Semdegnairad ganisazRvreba:
1  LGD  R  V ,
sadac R - davalianebis aRdgenis koeficientia (aqtivebis Tanxis
mimarTebaSi).
amgvarad, kompaniis valdebulebebis sabazro Rirebuleba
SeiZleba warmodgenili iyos Semdegi saxiT:
V  E  (1  PD ) D  PD  R  V . (5.20)
Tu (5.18)-dan E mniSvnelobas CavsvavT (5.20) gamosaxulebaSi,
miviRebT:

390
 V (1  N (d1 ))  D  N (d 2 )  N (d 2 )  D  (1  N (d 2 ))  R  V
saidanac
1  N (d1 )
R . (5.21)
1  N (d 2 )
axla ganvsazRvroT kompaniis valdebulebaTa mixedviT
sakredito spredis sidide. Tu es valdebulebebi absoluturad
uriskoebi iqnebodnen, maTi sabazro Rirebuleba Seadgenda D -s.
magram realurad maTi sabazro Rirebuleba naklebi iqneba,
ramdenadac kreditorebi moiTxoven defoltis riskisaTvis premias
(e.i. diskontireba moxdeba ganakveTiT, romelic risks
iTvaliswinebs). aranulovani sakredito riskis mqone warmoebuli
instrumentisaTvis gvaqvs:
P  Fe T ( r  s ) .
sadac P - instrumentis sabazro fasia;
s - sakredito spredis sidide.
aqedan gamomdinare,
P
 ln
s Fe  rT .
T
ramdenedac valdebulebaTa sabazro Rirebuleba V  E -s tolia,
xolo urisko ( Fe  rT ) ganakveTiT diskontirebis gziT gamoTvlili
maTi mimdinare Rirebuleba D –s tolia, amdenad
V E D
 ln ln
s D  V E . (5.22)
T T
modelis oTxi Semavali parametridan am oris ( T da D )
mniSvneloba SeiZleba ganisazRvros uSualod kompaniis
gamoqveynebuli finansuri angariSgebis monacemebis mixedviT (im
pirobiT, rom am angariSgebaSi warmodgenilia kompaniis yvela
valdebulebis Sesaxeb informacia). es martivi modeli SeiZleba
gamoyenebuli iyos aproqsimaciisaTvis da im SemTxvevisaTvis, roca
obligaciebs SeiZleba hqondeT dafarvamde sxvadasxva vadebi da
maTze xorcieldeba kuponuri gadaxdebi. am SemTxvevaSi T –s saxiT
SeiZleba aRebuli iyos kompaniis yvela valdebulebis mixedviT
saSualoSewonili duracia.
Teoriulad aqtivebis sabazro Rirebulebis V mniSvneloba
SeiZleba miRebuli iyos kompaniis yvela aqciis da yvela
391
valdebulebebis sabazro Rirebulebebis ajamvis gziT, xolo misi
V volatilobis Sefasebis saxiT SeiZleba aviRoT am jamis
SerCeviTi standartuli gadaxra, romelic gamoTvlilia
istoriuli monacemebis mixedviT. magram realobaSi, firmebis
umetesobas gaaCnia sasesxo valdebulebebi, romelTa mixedviT
finansur bazarze ar xdeba vaWroba da, amdenad, ar gaaCniaT
sabazro Rirebulebebi. uSualod dakvirvebad sidideebs
warmoadgens kompaniis aqciis sabazro Rirebuleba (kapitalizacia)
E Eda aqciis sabazro fasis volatiloba  E (istoriuli an
savaraudo volatiloba, romelic gamoTvlilia aqciaze ofcionebis
fasis mixedviT). (5.18) formulis gamoyenebiT vpoulobT
daukvirvebadi parametrebis V da  V Sefasebebs, rogorc Semdegi
wrfivi gantolebaTa sistemis amonaxsns:
 E  V  N (d1 )  D  N (d 2 ),
 (5.23)
 E E  N (d1 )   V V .
imisaTvis rom Tavidan aviciloT ararealuri gamartiveba,
romelic ganxilul models udevs safuZvlad, SesaZlebelia
mivmarTod monte-karlos meTods, romelic SesaZleblobas iZleva
avagoT ara erTi, aramed droSi kompaniis aqtivebis Rirebulebebis
cvlilebebis sxvadsxva traeqtoriebis simravle (riskis mimarT
neitralur samyaroSi aqtivebis zrdis tempi toli iqneba procentis
urisko ganakveTis). monte-karlos meTodi saSualebas iZleva
movaxdinoT dafarvamde sxvadasxva vadis mqone valdebulebebis
mixedviT Sualeduri kuponuri gadaxdebis modelireba, moices
defoltis dadgomis kriteriumebi (magaliTad, kompaniis sakuTari
saxsrebis dadgenili barieruli donis qvemoT vardna), moTxovnebis
dakmayofilebis sxvadasxva rigiTobis mixedviT defoltis
gamocxadebis momentSi aqtivebis RirebulebaTa ganawileba,
sakuTari saxsrebis zomaze damokidebulebis mixedviT kompaniis
qcevis SesaZlo strategiebi (magaliTad, defoltis wertilTan
miaxloebis mixedviT aqtivebis RirebulebaTa volatilobis zrda)
da kompaniis dividenduri politika. yvela agebuli
fsevdoSemTxveviTi traeqtoriebis agregirebis Semdeg adviladaa
SesaZlebeli kompaniis defoltis albaTobis da drois nebismieri
momentisaTvis nebismieri rigiTobiT valdebulebaTa aRdgenis
donis gansazRvra, aseve saaqcionero kapitalis da sasesxo
392
saxsrebis sabazro Rirebulebis (dafarvamde vadebis da
moTxovnebis dakmayofilebis rigiTobis kveTaSi). maTi sabazro
Rirebulebebis codniT, SesaZlebelia moxdes riskisaTvis
moTxovnili premiis gaangariSeba urisko ganakveTis mimarT
(sakredito spredi) dafarvamde sxvadasxva vadebiT da rigiTobiT
kompaniis valdebulebaTa mixedviT. cxadia, rom Tu monte-karlos
generatoris SesasvlelSi SevitanT daSvebebs da parametrebs
romelic zemoT mertonis modelSi iyo ganxiluli, gamosasvlelSi
Cven miviRebT imave Sedegs, rogorsac am martiv modelSi.
unda aRiniSnos, rom amgvari modelis realizebis dros
warmoiSoba erTi seriozuli problema. Tu defoltis wertili
dgas im doneze, roca kompaniis sakuTari saxsrebi jer nulis
toli araa, xolo droSi aqtivebis Rirebulebis cvlilebebi
eqvemdebareba `naxtomebis~ gareSe ASemTxveviT process, maSin
urisko ganakveTze rikisaTvis danamati nulisaken miiswrfis
aqtivebis Rirebulebaze dakvirvebebis sixSiris zrdasTan erTad.
dakvirvebaTa sixSiris zrda adidebs defoltis albaTobas, magram
amavdroulad defoltis SemTxvevaSi danakargebic nuls
miuaxlovdeba, ramdenadac kompaniis aqtivebi SeiZleba
ganawilebuli iyos kreditorebs Soris, sanam isini sakmarisi iqneba
valis srulad dasafaravad. es magaliTi gviCvenebs, rom
danakargebis ZiriTadi determinantebi defoltis dadgomis
SemTxvevaSi mdebareoben ufro `qcevis~ vidre finansur sibrtyeSi,
e.i. isini mniSvnelovnad damokidebulni arian, ramdenad
`gamWirvales~ warmoadgens kompaniis saqmianoba kreditorebisaTvis
da ra doneze SeuZliaT maT aiZulon kompanias drouli gakotreba.
aseTi gamWirvalobis xarisxi da kontroli kreditorebis mxridan,
aseve saxelmwifos mxrdan im sawarmos mxardaWera, romlebic
gakotrebis zRvarze imyofebian, Zalze varirebs qveynis
kanonmdeblobis sistemaze damokidebulebiT.
amrigad, defoltis albaTobis Sefasebis modelis praqtikuli
faseuloba da defoltis SemTxvevaSi danakargebis sidide,
romlebic efuZneba ofcionebis faswarmoqmnis Teorias, sadaos
warmoadgens. amavdroulad aseTi evristikuli modelebi SeiZleba
sasargeblo aRmoCndes defoltis dadgomis procesis kargad
gagebisaTvis.

393
 5.13.2.2.. defoltis albTobi
a is Sefas deli ED
sebis mod DF
aqcii is Rireb bulebis Sesaxebb informmaciis gamoyeneb
g biT sakr redito
riskebis s Sefaasebis yvelaze naTeel mag
galiTs warmo oadgens
defolt tis mosalodnel li alb baTobis Sefaseb bis moddeli (exxpected
default frrequency - EDF), romelic
r c SemuSavebulia KMVCorppora tion –is mier.
aqciis Rirebul lebaSi Cadebulli info ormaciis gamoyenebiT modeli
axdens defolt
d tis albaTobis prognozi irebas.

EDF modeli SemuS Savebuli i iqna 1995 wel ls korpo oracia KMV -s
rtonis midgomis
mier mer m s safuZvvelze daa realizebuli iyo KM MV Credit
Monitor prograamuli produqt tis sax xiT. Tavdapirveelad modeli
gankuTvnili iyo mxol lod defolti is albaaTobis Sesafaseblad,
Semdeg misi gaamoyenebis sfer ro gafaarTovdaa da mi isi gamooyeneba
daiwyes sakrediito portfelis marTvis saTvis.
roggorc naax. 5.3-daan Cans EDF modelSi i sawarrmos aqt tivebis
Rirebulleba waarmodgen nilia albaTob baTa gaanawileb biT, ro omelic
xasiTdeeba Riirebuleb bis mo
osalodneli sididiTT da misi
standarrtuli gadaxriT. bo
olo paarametriic araacxadi saxiT
iTvalisswinebs yvela
y rgobriv da specifikur risks, romlis
saaxis dar r
qveSac imyofebaa mocemu uli kommpania. valdebul
v lebaTa wrfis qvemoT
394
ganawilebis grafikis qveS mdebare are asaxavs sawarmos sabalanso
valdebulebebs da defoltis albTobas. albaTobis Sefaseba
damokidebulia valdebulebaTa wrfis mdebareobaze, aqtivebis
Rirebulebebis albaTobebis ganawilebis saxeze da mis
parametrebze. sawarmos aqtivis sabazro Rirebulebis gansazRvrul
doneze qvemoT dawevisas dgeba misi valdebulebebis mixedviT
defolti.
EDF modelis mixedviT gamoTvlebi xorcieldeba ramdenime
etapad.
Tavdapirvelad (5.18) da (5.23) gantolebebis safuZvelze aqciis
sabazro RirebulebiT (romelic ganixileba rogorc sawarmos
aqtivebze `qol~ ofcioni) xdeba sawarmos aqtivebis Rirebulebebis
Sefasebebis da misi volatilobis gaangariSeba, aseve maTi
Semosavlianebebis volatiloba. amave etapze ganisazRvreba savalo
valdebulebebis sabalanso Rirebuleba. models SeuZlia imuSaos
sxvadasxva klasis aqciebiT, hibriduli instrumentebis CaTvliT:
priviligirebuli aqciebiT da konvertirebadi obligaciebiT.
meore etapze ganisazRvreba valdebulebebis dafarvis vadis
dasrulebisas sawarmos aqtivebis mosalodneli Rirebuleba da
defoltis wertili (default point - DP). amisaTvis sawarmos
mosalodneli rentabeloba, romlis prognozireba xdeba
istoriuli monacemebiT, koreqtirdeba sistematuri riskis
gaTvaliswinebiT, romlis qveSac imyofeba aqtivi, da mas akldeba
kompaniis mier gadaxdili savalo valdebulebebis da dividendebis
mixedviT Semosavlianobis sidide. Sedegad miRebuli sidide
warmoadgens aqtivebis mosalodnel zrdis temps, romlis maT
mimdinare Rirebulebaze gamravlebiT gvaZlevs aqtivebis
FRirebulebis momavalSi mosalodnel Sefasebas.
zemoT ganxilul mertonis modelSi kompaniis gakotreba
mxolod maSin xdeba, rodesac aqtivebis sabazro Rirebuleba ecema
sawarmos yvela valdebulebebis sabalanso Rirebulebebze dabla.
magram realurad sawarmo SeiZleba iZulebuli iyos adre
gamoacxados defolti aqtivebis Rirebulebis momavalSi
moTxovnili gadaxdebis Rirebulebaze dabla dacemis SemTxvevaSi.
es gaTvaliswinebulia EDF modelSi – masSi defoltis wertili
Seesabameba situacias, rodesac aqtivebis Rirebuleba toli xdeba

395
misi mimdinare valdebulbebis da 50% grZelvadiani
valdebulebebis jamis. es Tanafardoba emyareba empiriuli
gamokvlevebis Sedegebs, romelic Caatara kompania KMV -m.
Semdeg EDF modeli iTvlis aqtivebis Rirebulebis Semcirebis
sidides, romlis drosac moxda gakotreba, rogorc `manZils~
aqtivebis mosalodnel Rirebulebasa da defoltis wertils Soris
(procentebSi). magaliTad, Tu sawarmos mosalodneli Rirebuleba
erTi wlis Semdeg Seadgens 100 erTeuls, xolo defoltis wertili
– 20 erTeuls, maSin sawarmos aqtivebis Rirebuleba unda daeces
80%-iT vidre moxdeba gakotreba. aqtivebis Rirebulebis 80%-iT
dawevis albaToba damokidebulia mis volatilobaze. EDF modelSi
xdeba aqtivebis Rirebulebis procentis mis volatilobaTan
fardobis gaangariSeba. magaliTad, sawarmos aqtivebis
Rirebulebebis wliuri volatiloba Seadgens 20%-s, maSin aqtivebis
Rirebulebebis mosalodnel mniSvnelobasTan SedarebiT 80%-iT
daweva Seesabameba oTx standartul gadaxras.
defoltis wertilamde manZili (distance to default) gviCvenebs, ra
raodenobis standartul gadaxramde unda daeces aqtivebis
mosalodneli Rirebuleba, vidre kompania iZulebuli iqneba
gamoacxados defolti. defoltis wertilamde manZili
ganisazRvreba Semdegnairad :18

E (V )  DP
S , (5.24)
E (V ) V
sadac S- defoltis wertilamde manZilia (standartuli
gadaxrebis raodenobaSi);
E (V ) - aqtivebis mosalodneli Rirebuleba erTi wlis amowurvis
Semdeg;
DP - defoltis wertili.
mesame, daskvniT etapze defoltis mosalodneli sixSiris
defoltis wertilamde manZilze empiriuli damokidebulebis
safuZvelze EDF modeli iZleva defoltis albaTobis Sfasebas. es
damokidebuleba fasdeba statistikurad defoltis wertilamde

18 advili SesamCnevia, rom zemoT ganxilul mertonis modelSi manZili defoltis

V D
wertilamde toli iqneba -is.
V V T

396
sxvadasxva manZilis mqone kompaniis gakotrebebis sixSiris
monacemebiT. kompania KMV -is monacemTa bazaSi mravali qveynidan
daaxloebiT 25 00 kompaniaa CarTuli. defoltis mosalodneli
sixSire ase gamoiTvleba:
n default
EDF  , (5.25)
n
sadac n default - sawarmoebis raodenobaa mocemuli manZiliT
defoltis wertilidan, romlebic gakotrdnen erTi wlis
ganmavlobaSi;
n - defoltis wertilidan mocemuli manZilis mqone sawarmoTa
saerTo raodenobaa.
aqciis sabazro Rirebulebaze dafuZnebuli EDF modeli ar
SeiZleba gamoyenebuli iyos im kompaniebis gakotrebis albaTobis
Sesafaseblad, romlebic Tavis aqciebs ar uSveben brunvaSi. aseTi
kerZo kompaniebis mimarT KMV iyenebs aqtivebis da maTi
volatilobis Sefasebis Ria saaqcio sazogadoebebis finansur
angariSgebebs. mocemuli meTodi gulisxmobs, rom aqtivebis
realuri sabazro Rirebuleba meryeobs operaciul Rirebulebasa
da kompaniis likvidaciur Rirebulebas Soris diapazonSi.
operaciuli Rirebuleba (operating value) gamoiTvleba rogorc
gadasaxadebis gadaxdamde mogebis, procentebis, amotrizaciuli
gadaricxvebis (earning before interest, taxes, depreciation and amortization -
EBITDA) da garkveuli koeficientis namravli, romelic asaxavs
sawarmos bazirebis dargobriv mikuTvnebas da qveyanas.
likvidaciuri Rirebuleba (liquidation value) fasdeba kompaniis
valdebulebebis sabalanso RirebulebiT.
rodesac kompania iRebs SedarebiT maRal mogebas gadasaxadebis,
procentebis da amotrizaciis gadaxdamde, misi sabazro Riebuleba
uaxlovdeba operaciuls, xolo EBITDA-s dawevis periodebSi
aqtivebis Rirebuleba, piriqiT, axlos iqneba sawarmos
likvidaciur RirebulebasTan.
aqtivebis Rirebulebis volatiloba statistikurad
modelirdeba rogorc gayidvebis moculobis, aqtivebis zomis da
mocemuli sawarmos dargobrivi mikuTvnebulobis funqcia. gamSveb
wertilad gamoiyeneba Ria saaqcionero kompaniebis Sesaxeb

397
monacemebi, romlebic Semdeg koreqtirdeba aRniSnuli parametrebis
gamoyenebiT.
sawarmos aqtivebis Rirebulebebis da maTi volatilobebis
miRebuli Seafasebis gamoyenebiT, mocemuli modeli gansazRvravs
manZils defoltis wertilamde originaluri EDF modelis
analogiurad (meTodSi mcire gansxvaveba dakavSirebulia
Sefasebuli da ara uSualod sabazro monacemebis gamoyenebasTan).

5.13.2.3 EDF modelis upiratesoba da nakli

warmoadgens ra defoltis prognozirebisaTvis sasargeblo
instruments, defoltis albaTobis Sefasebis EDF models gaaCnia
Semdegi Rirsebebi:
 seriozuli Teoriuli dasabuTeba – mertonis midgoma
saaqcionero kapitalis Rirebulebis rogorc aqtivebze ofcionis
Sefasebisadmi;
 defoltis albaTobebis indikatorad gamoiyeneba aqciis fasebi,
da ara korporatiuli obligaciebis fasebian buRaltuli
angariSgebis monacemebi, rac praqtikulad nebismieri im kompaniis
defoltis albaTobis prognozirebis saSualebas iZleva, romelTa
aqtivebi brunavs bazarze;
 defoltis mosalodneli albaToba warmoadgens uwyvet
SemTxveviT sidides, romelic aqciis fasTan erTad icvleba,
sakredito reitingisagan gansxvavebiT, romelic diskretulad
icvleba (saSualod erTxel weliwadSi);
 defoltis albaTobis prognozi xorcieldeba drois
SedarebiT mokle periodis ganmavlobaSi, rac saSualebas iZleva
ufro zustad Sefasdes defoltis riski sareitingo saagentoebTan
SedarebiT;
 defoltebis korelaciis Sefaseba xorcieldeba aqciebis
fasebis korelaciis safuZvelze;
 modeli iTvaliswinebs rogorc pasivebis risks (kapitalis
stuqturis saxiT), aseve aqtivebis riskebsac (dargobrivi da
specifikuri riskebi), romlebic aisaxeba aqtivebis Rirebulebis
volatilobaSi.

398
 amavdroulad mocemul models, romelic dafuZnebulia aqciis
sabazro fasebze, gaaCnia mTeli rigi nakli, romelTagan ZiriTadebs
warmoadgenen:
 qveynis riskisaTvis gamouyenebloba, ramdenadac saxelmwifos
SeuZlia ganaTavsos mxolod savalo da araviTari ara `savalo~
instrumenti. yvela Zlier es SezRudva vlindeba warmoebuli
sakredito instrumentebis Rirebulebis Sefasebisas;
 iseTi damaxasiaTebeli valdebulebebis ignorireba, rogoricaa
moTxovnaTa dakmayofilebis sxvadasxva rigiToba, garigebebis
uzrunvelyofa da dacva, mniSvnelovnad arTulebs pasivebis
struqturas;
 im kerZo sawarmoebis mixedviT monacemTa bazis SezRuduloba,
romlebsac ar gaaCniaT brunvaSi Tavisi aqciebi.
garda amisa EDF modeli iziarebs aseve yvela konceptualur
xarvezs, romelic Zevs mis safuZvlad myof mertonis midgomaSi,
kerZod:
 mertonis modeli ar xsnis ra akavebs kompaniis aqcionerebs
maRali riskis miRebisagan19. amiT SesaZlebeli xdeba aqcionerebis
qceva, romelic mimarTulia maTi kuTvnili aqciebis Rirebulebis
gazrdisaken, romlebsac Tan unda axldes sakredito spredis
gazrda, maSin roca mertonis modelSi aracxadad navaraudevia
aqciis Rirebulebasa da defoltis albaTobas (da sakredito
spredis sidides) Soris uaryofiTi urTierTdamokidebuleba;
 beq-Soulzis modelSi gamoyenebul varauds, aqtivebis
Semosavlianobebis normaluri ganawilebis Sesaxeb, mivyavarT
defoltis albaTobis Seufaseblobamde moklevadiani droiTi
horizontisTvis, rac daiyvaneba aqtivebis Rirebulebebis sxva
ganawilebis gamoyenebis aucileblobamde;
 moklevadiani droiTi horizontebisTvis sakredito spredis
sididis prognozis problematuroba.
sabolood unda SevniSnoT, rom EDF modeli, romelsac gaaCnia
seriozuli Teoriuli dasabuTeba da wminda empiriul ZETA
modeli, romelic agebulia statistikuri monacemebis analizze

19 sinamdvileSi, ofcionis Rirebuleba riskis gazrdasTan erTad gaizrdeba, ramdenadac

vega koeficienti dadebiTia `fuT~ da `qol~ ofcionebisaTvis.
399
aCveneben gakotrebis albaTobebis sakmaod axlo Sedegebs.
magaliTad testirebis Sedegad daaxloebiT gakotrebis
albaTobebis fardobiTi Sefasebis dispersiebis naxevari SeiZleba
aixsnas ZETA modeliT. aseTi mWidro korelacia aixsneba imiT, rom
orive es modeli amaTu im saxiT iTvaliswinebs finansuri
damokidebulebis dones da kompaniis aqtivebis Rirebulebis
volatilobas.

5.14. sakredito riskis zemoqmedeba

sakredito riskis SefasebisTvis defoltis dadgomis
albaTobasTan erTad (an sxva sakredito xdomilobis) aucilebelia
aseve defoltis dadgomisas sakredito riskis zemoqmedebis codna
– fulad gamosaxulebaSi miRebuli riskis zoma.
klasikuri dakreditebis sabanko operaciis SemTxvevaSi
sakredito riskis zemoqmedeba tolia sesxis an valdebulebis
nominaluri Rirebulebis. magram warmoebuli instrumentebiT
garigegbis dros, gansakuTrebiT svopebiT da ofcionebiT, mxareebze
sakredito riskis zemoqmedeba ar SeiZleba gavaigivoT maT
safuZvelSi Cadebul aqtivebis nominalur RirebulebasTan,
ramdenadac warmoebuli instrumentis realuri sabazro
Rirebuleba Cveulebriv mniSvnelovnad mcirea garigebis pirobiT
(notional) Rirebulebaze. magaliTad, saprocento an savaluto svopis
Rirebuleba garigebis monawileTaTvis misi Sesrulebamde vadis
ganmavlobaSi SeiZleba iyos dadebiTic da uaryofiTic (saprocento
ganakveTebos Sefardebebze an savaluto kursebze damokidebulebiT
Sesabamisad), aqedan gamomdinare, erT-erT mxares danakargebi
defoltis gamocxadebisas SeiZleba warmoeSvas mxolod maSin Tu
svopis sabazro fasi misTvis drois am momentisTvis dadebiTi
iqneba.
amis gamo sakredito riskis zemoqmedeba SeiZleba ganisazRvros
rogorc drois gansazRvrul t momentSi aqtivis dadebiTi sabazro
(farTe gagebiT, ekonomikuri) Rirebuleba:
CEt  max(Vt ,0) , (5.26)
sadac CEt - sakredito riskis zemoqmedebaa;
Vt - aqtivebis ekonomikuri Rirebuleba, romlebic sakredito
riskis zemoqmedebas ganicdian.
400
 drois ganxilul mometze damokidebulebiT ganixilaven
mimdinare (current exposure) da potenciur zemoqmedebas (potential
exposure). ukanaskneli SeiZleba warmoiSvas momavalSi garigebis
vadis moqmedebis damTavrebamde da mimdinare zemoqmedebisagan
gansxvavebiT, SemTxveviT xasiaTs atarebs. samomavlo sakredito
riskis zemoqmedebis Sefaseba bevrad analogiuria sabazro riskis
Sefasebis da moiTxovs sakredito riskis Sedegad danakargebis
albaTobebis ganawilebebis povnas.
sakredito riskis mosalodneli zemoqmedeba (expected credit
exposure - ECE) – es aris aqtivebis Canacvlebis Rirebulebis (Tu is
dadebiTia) maTematikuri lodini, romelic SemTxveviTi sididis
uwyveti ganawilebisas Semdegnairad SeiZleba ganisazRvros:

ECE   max( x,0) f ( x)dx ,

(5.27)

sadac x - Canacvlebis Rirebulebaa (SemTxveviTi cvladi);

f ( x ) - albaTobebis ganawilebis simkvrivis funqcia.
sakredito riskis maqsimaluri zemoqmedeba (worst credit exposure -
WCE)- es aris sakredito riskis zemoqmedebis mcire sidide
mocemuli ( 1   ) ndobis donis dros, romelic akmayofilebs
tolobas:

1   f ( x)dx .
WCE
(5.28)

sakredito riskis maqsimaluri zemoqmedebis algoriTmi sabazro

riskisTvis VaR maCveneblis gamoTvlis analogiuria, imis
gamoklebiT, rom mogebis da zaralis agrerireba Tavidan xdeba
kontragentis doneze, xolo Semdeg zogadad mTlianad portfelis
mixedviT.
drois TiToeuli momentisaTvis mosalodneli da maqsimaluri
sakredito riskis zemoqmedebis mniSvnelobebis safuZvelze
momavalSi SeiZleba gamoiTvalos saSualo mosalodneli da
maqsimaluri sakredito riskis zemoqmedeba im drois ganmavlobaSi,
romelic darCenilia garigebis damTavrebamde - sakredito riskis
zemoqmedebis saSualo maTematikuri lodini drois T periodis
ganmavlobaSi:
T
1
ECE   ECEt dt , (5.29)
T 0
401
 T
1
WCE   WCEt dt , (5.30)
T0
sadac ECE - sakredito riskis saSulo mosalodneli
zemoqmedebaa;
WCE - sakredito riskis maqsimaluri mosalodneli zemoqmedeba.
ganvixiloT sxvadasxva tipis finansuri instrumentebisaTvis
rogori iqneba sakredito riskis zemoqmedeba.
sesxebi, komerciuli kreditebi, problematuri obligaciebi da
debitoruli davalianebebi warmoadgenen sabalanso muxlebs,
romlebic ganicdian sakredito riskis zemoqmedebas maTi sruli
nominaluri Rirebulebis mixedviT.
garantiebi, aqceptebi, sakredito xazebi da sarezervo
akreditivebi warmoadgenen bankebis balansgareSe (Cveulebriv
gamouxmobad) valdebulebebs mesame piris valdebulebebis Tavis
Tavze aRebaSi maTi Seusruleblobis SemTxvevaSi. valdebulebebis
mixedviT sakredito riskis mimdinare zemoqmedeba miiReba maTi
nominaluri Rirebulebis zomiT, ramdenadac defoltis
gamocxadebis SemTxvevaSi mesame mxaris banki ra Tqma unda
valdebuli iqneba Seasrulos Tavis Tavze aRebuli valdebuleba.
pirobiTi balansgareSeE valdebulebebi, es is valdebulebebia,
romelTa saSualebiTac banki Tavis Tavze iRebs samomavlo
garigebebis mixedviT valdebulebebs, romelTa Sedegad
SesaZlebelia ganicados sakredito riskis zemoqmedeba momavalSi
gansazRvruli TariRisaTvis. magaliTad, maT miekuTvneba bankis
mxardaWeriT msesxeblis mier valdebulebis gamoSvebis programebi,
romelic mdgomareobs bankis valdebulebaSi gamoisyidos
fiqsirebul minimalur fasad kompania-msesxebli mier bazarze
ganTavsebuli savalo valdebulebebi im SemTxvevaSi Tu am fasis
miReba bazarze SeuZlebeli iqneba.
sakredito riskis zemoqmedebam momavalSi SeiZleba
mniSvnelovnad daiwios, Tu bankis pirobiTi valdebulebebi
gamoxmobadi iqneba, e.i. SesaZlebelia maTi anulireba gansazRvruli
sakredito xdomilobis dadgomisas.
svopebi, forvarduli kontraqtebi da repo garigebebi
warmoadgenen balansgareSe muxlebs, romlebic SeiZleba ganxiluli
iyos rogorc gamouxmobadi valdebulebebi momavalSi SeTanxmebul
402
fasad gansazRvruli aqtivebis SeZenaze. aseT kontraqtebze
sakredito riskis zemoqmedeba (Tu is dadebiTia) SeiZleba
mniSvnelovnad meryeobdes faqtorebis riskze damokidebulebaSi.
ofcionebi aseve warmoadgenen balansgareSe muxlebs, romelTa
Siga Rirebulebam ofcionis safuZvlad mdebare faqtorebis riskze
damokidebulebaSi SeiZleba miiRos mxolod arauaryofiTi
mniSvneloba. aqedan sakredito riskis zemoqmedeba aseve Seicvleba
ofcionis Siga Rirebulebis SecvlasTan erTad. ofcionebis
mixedviT mokle poziciebisaTvis mimdinare da momavali sakredito
riskis zemoqmedeba nulis toli iqneba, ramdenadac maTze
myidvelisagan premiis miRebis Semdeg SesZlebelia mxolod didi
gadaxdebi, e.i. uaryofiTi fuladi nakadi. ofcionebze sakredito
riskis zemoqmedeba aseve damokidebuli iqneba maT struqturaze
(sxva Tanabar pirobebis dros `mogebiT~ amerikuli ofcionis
mflobels ufleba aqvs Seasrulos is sakredito xdomilobis
dadgomisas da ar daelodos amowurvis vadas, rac amcirebs
sakredito risks).
warmoebuli instrumentebiT garigebeze sakredito riskis
zemoqmedebis angariSsworeba iseve rogorc garigebebiT fuladi
nakadebis Canacvlebis Rirebuleba moiTxovs sabazro da sakredito
riskebis erTdroul analizs. danakargebi SeiZleba warmoiSvas
mxolod sakredito riskis realizaciis dros, e.i. defoltis dros,
xolo sabazro riskebis faqtorebis gaTvaliswineba aucilebelia
instrumentis Rirebulebis swori SefasebisaTvis defoltis
gamoxcadebis momentisaTvis. Cveulebriv monte-karlos meTodis
meSveobiT xorcieldeba warmoebuli instrumentis samomavlo
Rirebulebebis modelireba mimdinare momentis mniSvnelobidan
prognozirebis horizontis bolomde SemTxveviTi procesis Sesaxeb
varaudis safuZvelze, romelsac emorCilebian sabazro riskis
faqtorebi.
ase magaliTad, svopebisaTvis, romlebic ar varaudoben
garigebis ZiriTadi Tanxis gacvlas, SesaZlebelia droSi maTi
Rirebulebis Secvlis ori sabazo traeqtoria. savaluto svopebze
sakredito riskis zemoqmedeba droTa ganmavlobaSi mxolod
gaizrdeba (difuziis efeqti) tempiT, romelic proporciulia
operaciis dawyebidan drois periodidan kvadratuli fesvis, rac

403
aixsneba sabazro riskis sabaziso faqtoris ganusazRvrelobis
(volatilobis) gazrdiT. piriqiT, saprocento svopebze sakredito
riskis zemoqmedebas eqneba damaxasiaTebeli `gumbaTis msgavsi~
profili: Tavidan is jer izrdeba, xolo Semdeg mcirdeba ori
sxvadasxva mimarTulebis efeqtis gavleniT – difuziiT da
amortizaciiT. difuziis efeqti mdgomareobs sabaziso faqtorebis
riskis volatilobis drodan kvardratuli fesvis proporciuli
siCqariT zrdaSi, xolo amortizaciis efeqti vlindeba daaxloebiT
im drois proporciuli siCqariT duraciis SemcirebaSi, romelic
kontraqtis amowurvamdea darCenili. am ori efeqtis
gaTvaliswinebiT, SeiZleba ganisazRvros drois is momeneti, roca
mocemuli instrumentiT Canacvlebis Rirebuleba maqsimaluri
iqneba.
magaliTisaTvis ganvixiloT defoltis riskis zemoqmedeba
procentuli svopis mixedviT im mxaris Tvalsazrisidan
gamomdinare, romelic iRebs fiqsirebul da mcocav ganakveTs.
drois TiToeul t momentSi svopis sabazro Rirebuleba
ganisazRvreba rogorc obligaciis mimdinare Rirebulebasa da
mudvim da mcocav kuponebs Soris sxvaoba:
Vt  PV (t , T , c, rt )  PV ( FRN ) ,
sadac c kuponis wliuri zomaa;
T - svopis moqmedebis vada;
FRN - obligaciebis mixedviT gadaxdebis nakadi mcocavi
kuponuri ganakveTiT.
svopis mixedviT mxarisaTvis sabazro riski imaSi mdgomareobs,
rom sabazro saprocento ganakveTma SeiZleba gadaaWarbos
fiqsirebul kuponur Semosavlianobas. Tu davuSvebT, rom
saprocento ganakveTebi gamoiTvleba geometriuli brounis
moZraobis Semdegi saxis mixedviT:
drt  art dt  rt dz t ,
xolo kuponuri obligaciis modificirebuli duracia
proporciulia svopis Sesrulebamde darCenili drois (
D  k (T  t ) ), SeiZleba vaCvenoT, rom svopis Rirebulebis volatiloba
gamoisaxeba Semdegi gamosaxulebiT:
 V  k (T  t ) t .

404
 volatilobis maqsimumis Sesabamisi wertilis povna, romelic
yvelaze metad ganicdis riskis zemoqmedebas, adviladaa
SesaZlebeli Tu moyvanili tolobis marjvena mxares
gavadiferencirebT t -Ti. amis Sedegad miviRebT, rom:
T
t max  .
3
im kontragentis mimarT, romelTanac dadebulia ramdenime
pozicia warmoebuli instrumentebiT, sakredito riskis maqsimaluri
zemoqmedebis Sefasebis dros aucilebelia gaTvaliswinebuli iyos
am zemoqmedebis dawevis sxvdasxva xerxi defoltis dadgomis
momentSi, romelsac miekuTvneba ormxrivi netingi, uzrunvelyofis
Setana da naRdi saxsrebiT angariSsworebis moTxovna.
sabazro da sakredito riskebis faqtorebis analizis
safuZvelze sakredito riskis zemoqmedebis Sefasebis mimarT
msgavsi midgomis sizuste mniSvnelovnadaa damokidebuli
damoukideblobis Sesaxeb Semdegi daSvebebis dacvaze:
 kontragentis defoltis albaToba araa damokidebuli sabazro
riskis faqtorebze, romlebic gansazRvraven warmoebuli
instrumentis sabazro Rirebulebas. sxva sityvebiT, ganxiluli
warmoebuli instrumentebiT poziciebi ar unda adgendnen
kontragentis aqtivebis mniSvnelovan wils;
 defoltis dadgomis dro araa damokidebuli finansuri bazris
ryevebis masStabebze.
 praqtikaSi es varaudebi xSirad irRveva, kerZod:
zogierT warmoebul aqciaze da sakredito warmoebulze
arsebobs mWidro korelacia kontragentis kreditunarianobasa da
sabazro faqtorebs Soris, romlebic warmoebuli instrumentis
sabazro Rirebulebas gansazRvravs. am saxis yvelaze `wminda~
magaliTs warmoadgens kompania, romelic yidis `fuT~ ofcions
sakuTar aqciaze. am ofcionis sabazro fasi, da maSasadame,
sakredito riskis zemoqmedebac myidvelisaTvis udidesi iqneba
swored maSin, roca kompania yvelaze axlos iqneba defoltis
gamocxadebasTan. meore magaliTad moviyvanoT erTi qveynis or banks
Soris dadebuli sakredito svopi. am bankebis finansuri
mdgomareoba mosalodnelia rom mWidrod iyos korelirebuli,
xolo es zrdis imis albaTobas, rom gamyidvelis didi riskis

405
zemoqmedebisagan dacva SeiZleba droSi emTxveodes kontragentis
defolts;
 xandaxan garigebis mixedviT kontragentze qveynis riskis
zemoqmedeba iseTi Zlieri SeiZleba iyos, rom sabazro da
sakredito riskis faqtorebis damoukidebloba ar Sesruldeba
saprocento ganakveTebze da savaluto kursebze Cveulebrivi
warmoebulebisaTvisac ki.
damoukidebleobaze daSvebebis darRvevisas ise unda moxdes
sakredito riskis Sefasebis modelis koreqtireba, rom
gaTvaliswinebuli iyos defoltis albaTobasa da defoltis
dadgomis SemTxvevaSi riskis zemoqmedebis zomebs Soris korelacia.
faqtobrivad es niSnavs warmoebuli instrumentebiT
garigebebisaTvis sakredito da sabazro riskebis Sefasebis
integrirebuli modelis SemuSavebas.
rTuli garigebebis mixedviT sakredito riskis maqsimaluri
zemoqmedebis SefasebisaTvis SeiZleba Catardes stres-testireba
sabazro riskebis analogiurad. minimalur variantSi aseTi stres-
testireba unda Seicavdes sakredito riskis zemoqmedebis mqone
poziciis mimdinare sabazro Rirebulebis mimarT sabazro
krizisebis scenarebis gamoyenebas (ZiriTadad obligaciebiT da
warmoebuli instrumentebiT), aseve am garigebis uarunvelyofis
sabazro Rirebulebebis mimarT. uzrunvelyofis gaTvaliswinebiT
poziciebis sabazro Rirebulebis gangariSebisas, albaT,
gamoyenebuli unda iyos SedarebiT maRali volatiloba, vidre
Cveulebriv `sabazro~ scenarebis dros, aseve gaTvaliswinebuli
unda iyos SesaZlo korelacia riskis zemoqmedebis sidides da
kontragentis reitingis dawevas Soris korelacia. aseTi stres-
testireba warmoadgens im riskis Seafsebis erT-erT xerxs,
romelic dakavSirebulia e.w. `araswor~ warmoebulebTan (wrong way
derivatives) – instrumentebTan, romlebsac gaaCniaT dadebiTi
korelacia riskis zemoqmedebis sididesa da kontragentis
defoltis albaTobas Soris.

5.15. defoltis dros danakargebi. aRdgenis done

defoltis albaToba, sakredito riskis zemoqmedeba da
defoltis SemTxvevaSi danakargebis done warmoadgenen sam yvelaze

406
mniSvnelovan maCveneblebs, romlebic gamoiyeneba sakredito
riskTan dakavSirebul operaciis moTxovnili Semosavlianobis
gansazRvrisTvis.
defoltis dadgomisas kreditoris wminda zarali, rogorc wesi,
ufro naklebi aRmoCndeba xolme, vidre mocemuli garigebis
mixedviT misi sakredito riskis sruli zemoqmedeba. es imiT
aixsneba, rom defoltis gamocxadebis dros kreditors eZleva
uzrunvelyofis realizaciis gziT davalianebis vadamdeli
amoRebis, garantorisagan (Tavmdebisagan) valis amoRebis,
davalianebaze restruqturizaciis SeTavazebis, an, ukidures
SemTxvevaSi mevalis mier gakotrebis gamocxadebis da misi
kuTvnili qonebidan valis dafarvis moTxovnis ufleba. amgvarad,
defoltis Sedegebi izomeba aRdgenili fuladi saxsrebis TanxiT
da davalianebis danarCeni nawilis dakargviT.
davalinebis (nawilobrivi) SesaZlebloba ganisazRvreba im
RirebulebiT, romliTac SeiZleba gaiyidos bazarze savalo
valdebuleba (magaliTad, obligacia) masze defoltis gamocxadebis
Semdeg, an reorganizaciis periodis bolos kompania-mevalis
aqtivebis RirebulebiT. konkretuli saxis valdebulebis aRdgenis
done (recovery rate) damokidebulia rogorc mevalis daxasiTebebze,
ise mocemuli saxis (gamoSvebis) savalo valdebulebze gadaxdebis
rigiTobaze (seniorety) kreditorebis da mflobelebis winaSe
kompaniis sxva valdebulebebis mimarT damokidebulebiT.
aRdgenis doneze gavlenis momxden faqtorebs miekuTvnebian:
1) valdebulebis saxe (sesxis an obligaciis): zogierTi
monacemiT, sabanko sesxebis mixedviT aRdgenis koeficientebi
saSualod obligaciebis mixedviT ufro maRali aRmoCndeba xolme,
Tumca sabanko kreditebis mixedviT aRdgenis Sesaxeb statistikuri
monacemebi Zalian mwiria;
2) sawarmos dargobrivi kuTvniloba;
3) garigebis uzrunvelyofa da valdebulebebis mixedviT
gadaxdebis rigiToba: cxadia, rom sxvadasxva Tanabari pirobebis
dros dafarvis maRali rigiTobis mqone valdebulebebis
uzrunvelyofa (dafarva) xasiTdeba aRdgenis koeficientis ufro
maRali mniSvnelobiT;

407
 4) ekonomikis mdgomareoba: aRdgenis koeficienti daiwevs
ekonmikuri vardnis periodSi.
msesxeblis dargobrivi kuTvniloba gansazRvravs misi aqtivebis
Semadgenlobas da stuqturas, maTi likvidurobis xarisxs, da
aqedan gamomdinare, mocemuli sawarmos likvidaciurobis
Rirebulebas. rac ufro meti aqvs sawarmos likviduri
materialuri aqtivebi da rac ufro gansazRvruls warmoadgens misi
mosalodneli Semosavlebi, kreditorebisaTvis miT ufro maRali
iqneba sxvadasxva msgavsi pirobebis dros misi davalianebis
aRdgenis done. bunebrivi iqneboda gvevarauda, rom komunaluri
momsaxurebis sawarmoebs da bunebrivi monopoliebs, romlesac
gaCniaT mniSvnelovani materialuri aqtivebi da fuladi nakadebi,
eqnebaT ufro maRali aRdgenis koeficienti, vidre mcire inovaciur
firmebs, romelTa balansze aramaterialuri aqtivebi Warbobs.
cxadia, rom es aprioruli Tvalsazrisebi gaTvaliswinebuli unda
iyos am kompaniebis mier gamoSvebul sacalo valdebulebebSi.
aSS-Si aTwleulebis ganmavlobaSi davalianebis aRdgenis done
tradiciulad Sefasebuli iyo valis nominaluri Rirebulebis erT
dolarze 40 centi. amis dadastureba gaxda altmanis da kiSoris
gamokvlevebi, romlebmac gaanalizes defoltis 750 SemTxvevaze
meti 1978-1996 wlebis ganmavlobaSi, Seafases obligaciebis
(obligaciebi 100 dolari an masTan axlos nominalis fasiT)
mixdviT aRdgenis saSualo done 40,11 dolaris zomiT, anu
daaxloebiT 40%. magram es done SeiZleba mniSvnelovnad meryeobdes
saSualo donis garSemo savalo valdebulebebis dafarvis
rigiTobaze damokidebulebiT. maTi SefasebiT, pirveli rigis
kreditorebs (giraoTi uzrunvelyofili `maRali~ valdebulebebis
mflobelebs) SeeZloT nominaluri Rirebulebis saSualod 58%-is
aRdgena, meores (uzrunvelyofis gareSe `maRal~ valdebulebebs) –
48%, mesames (subsudurebul `maRal~ valdebulebebs) – 35% da
meoTxes (subsudurebul `dabal~ valdebulebebs) – daaxloebiT 32%.
altmanma da kiSorma gaanalizes aSS-s sawarmoTa obligaciebis
mixedviT defoltis TiTqmis Svidasi SemTxveva 1971 wlidan 1995
wlamde periodSi. uzrunvelyofis gareSe obligaciebis mixedviT
maT mier gamoTvlili davalianebebis aRdgenis saSualo doneebi
dafarvis maRal rigoTobaSi moyvanilia cxril 5.9-Si

408
 cxriili 5.9-d
dan gamomdinareo obs, romm sawarmoo darggebis mix
xedviT
saSualood davalianebi is aRdg gena mer
ryeobs 30-40%-iis diapaazonSi
saSualoo stan ndartul li gadaaxriT 20-30%-s donez ze (zog gierTi
jgufisTTvis Sefasebaa cxaadad araprezeentatiul
lia). aqedan
gamomdimareobs,, rom mocemul
m i aqtivis mixeddviT aRRdgenis donis
SefasebiisaTvis araa sakmar
risi m
mxolod saSuaalodarggobriv
monacemeebze dayrdnob
d ba, auccilebel
lia Catardes konkr
retuli
msesxebl
lis fi inansurii mdgommareobis s da garigebis pir robebis
dawvrillebiTi analizi.
a

ian axlo Sedeg

Zali gebi iyo li Mood
o gamoqqveynebul dy’s saag
gentos
mier, romlis Sefasebis Tanaxmad obl
ligaciebbis mixedviT
davaliaanebis aRdgenis
a s saSual lo don dgina 42,24%, amasTan
nem Sead a
standar
rtuli gadaxra sakmaod
s RmoCnda – 23,41%..
didi aR
Tu viciT
v defotis
d zRvrulli albaToba da d aRdg genis saSualo
done, SeiZleba ganvsazzRvroT defolt tis Sedeegad yovvelwliu uri da
saSualoowliuri i danakaargebis done, ZiiriTadi Tanxis danakar rgi da
gadauxd
deli, kuponulli gaadaxdebi
i, rommelic gamoTvlilia
409
davalianebis ZiriTadi Tanxis daubrunebel danakargebis mimarT. am
gamoTvlebis Sedegebi aSS-s korporatiuli obligaciebis bazris
monacemebis mixedviT 1996 wels, romelic miRebulia altmanis da
kiSoros mier, warmodgenilia cxril 5.10-Si.

5.16. defoltis riskis Sefaseba aqtivebis portfelisaTvis

sakredito riskis erTi instrumentze zemoqmedebidan aqtivebis
portfelze zemoqmedebze gadasvlisas, aucilebelia movaxdinoT
agrerireba rogorc mosalodneli danakargebis, ise maTi
volatilobis ganxiluli kontraqtebis mixedviT. sabazro riskis
msgavsad, am SemTxvevaSi sakredito riski unda ganvixiloT
poziciebis mixedviT ara izolirebulad, aramed portfelis saerTo
riskSi maTi wvlilis TvalsazrisiT diversifikaciis efeqtis
gaTvaliswinebiT. sakredito riskis cvlilebisadmi portfeluri
midgoma saSualebas mogvcems SevamciroT rezrvirebuli kapitalis
zoma instrumentebis da kontragentebis mixedviT ubralo
410
ajamvasTan SedarebiT, romelic ar iTvaliswinebs maT Soris
korelaciur urTierTkavSirs.
sakredito riskis Sedegad N Nkontragentisagan Semdgari
portfelis danakargi SeiZleba ganisazRvros (5.3) gamosaxulebis
analogiurad Semdegnairad:
N
CL   bi  CE i  LCDi , (5.32.1)
i 1

sadac CEi - i kontragentis mixedviT defoltis riskis jamuri

zemoqmedebaa (riskis wminda zemoqmedeba moTxovnis
urTierTangariSsworebis Semdeg im pirobiT, rom aseTi
urTierTangariSsworeba iuridiulad samarTliania da faqtiurad
xorcieldeba mocemul kontragentTan).
SevniSnoT, rom sakredito riskis wminda zemoqmedeba portfelis
mixedviT (Canacvlebis wminda Rirebuleba, romelic asaxavs
defoltis SemTxvevaSi yvelaze uares danakargs yvela
kontragentisas erTdroulad aRdgenis gareSe) SeiZleba
ganisazRvros kontragentebis mixedviT Sejamebis gziT:
N
CE   CE i . (5.32)
i 1

martiv SemTxvevaSi SeiZleba ganvixiloT rogorc SemTxveviTi

sidide mxolod b cvladi, maSin defoltis mixedviT danakargebi
damokidebuli iqneba mxolod defoltis albaTobaze:
N
E (CL )   PDi  CE i  LGDi . (5.33)
i 1

magram portfelis mixedviT danakargis gabneva damokidebuli

iqneba portfelis Semadgeneli kontragentebis mixedviTY
defoltebs Soris korelaciaze. binomialuri ganawilebis Tvisebis
gamoyenebiT SeiZleba vaCvenoT, rom ori msesxeblis SemTxvevaSi
maT mier defoltis erTdrouli gamocxadebis albaToba toli
iqneba
P( AB)  P( A) P( B)   AB P( A)(1  P( A)) P( B)(1  P( B)) , (5.34)
sadac  AB - korelaciis koeficientia A da B msesxeblebis
defoltebs Soris.
(5.34)-dan gamomdinareobs, rom
P ( AB)  P ( A) P ( B)
 AB  .
P ( A)(1  P ( A)) P ( B)(1  P( B))

411
 am xdomilobebis damoukideblobis daSveba (e.i. maT Soris
korelaciis nulTan toloba) mniSvnelovnad amartivebs analizs,
dahyavs ra (5.34) gamosaxuleba defoltis albaTobebis namravlze,
magram praqtikaSi is TiTqmis arasodes ar sruldeba.
radganac erTi garigebis SemTxvevaSic, romelic erT
kontragentTanaa dadebuli, (5.31) gamosaxulebaSi sakredito riskis
yvela paramerti iqneba SemTxveviTi sidideebi, riskis
gamosaTvlelad Cven SegviZlia mosalodneli danakargebis
SefasebisaTvis gamoviyenoT igive (5.4) da maTi gabnevisaTvis (5.28)
midgoma, ganvazogadebT ra mravali kontragentis SemTxvevisaTvis.
amgvarad, aucilebelia mTeli portfelis mixedviT danakargebis
albaTobebze avagoT mravalganzomilebiani ganawileba, romelSic
gaTvaliswinebuli iqneboda misi Semadgeneli elementebis
`urTierTqmedebis~ Semdegi efeqtebi:
 defoltebs Soris korelacia;
 sabazro riskis faqtorebis erToblivi dinamika, romlebzec
damokidebulia drois TiToeul momentSi instrumentebze da
kontragentebze sakredito riskis zemoqmedebis done;
 sxvadasxva kontragentebisaTvis davalianebis aRdgenis donis
SemTxveviTi xasiaTi da maT Soris da sxva parametreebs Soris
korelacia.
cxadia, didi diversificirebuli portfelisaTvis amocanis
maRali sirTule saSualebas ar iZleva analitikurad aRiweros
saZiebeli ganawileba (SesaZloa martivi SemTxvevebis garda), magram
misi modelireba SeiZleba monte-karlos meTodiT. sakredito
riskis Sedegad mogebis da zaralis ganawilebis tipiuri saxe
naCvenebia nax. 5.4-ze.
sakredito riskis Sedegad mogebis da zaralis ganawilebas
gaaCnia mkveTrad marcxena mxriani asimetria (e.i. wanacvlebulia
zaralis areSi), sabazro riskis faqtorebis sakmao
simetriulobisagan gansxvavebiT. ganawilebis aseTi saxe imiT
aixsneba, rom operaciebis mixedviT daugegmavi mogebebi, romlebic
dakreditebasTanaa dakavSirebuli, praqtikulad nulis tolia,
maSin roca uaress SemTxvevaSi zaralma SeiZleba gadaaWarbos
sasesxo portfelis nominalur Rirebulebas. marTlac, Tu sesxSi
TiToeuli Tanxa mozidulia, maSin maTi daubrunebloba TviTon
412
kreditors emuqreba gadaxdisuunarobiT, ramac SeiZleba migviyvanos
davalianebis ZiriTad Tanxaze met damatebiT danakargamde TviTon
kreditoris defoltis SemTxvevaSi jarimebis saxiT. mertonis
modelis Tanaxmad, savalo valdebulebis yidva, romelic
defoltis riskTanaa dakavSirebuli, ekvivalenturia urisko
aqtivebis yidvasa da erTdroulad ofcionebis gayidvasTan, amitom
sakredito riskis gamo danakargebis ganawileba hgavs mogebisa da
zaralis ganawilebas ofconebiT mokle poziciis mixedviT.
sakredito riskis gamo mosalodneli danakargebi warmoadgens
danakargebis saSualo zomas, romelic Seesabameba nax. 5.4-ze
ganawilebis centrs. rogorc zemoT iyo aRniSnuli, sakredito
riskis Sefasebisadmi `Siga~ midgoma mocemul danakargebs
ganixilavs rogorc saerTi xarjebis Semadgenels, romelic unda
iqnas kompesirebuli mTlianad klientis xarjze `gadatanis~
faswarmoqmnis meqanizmis meSveobiT, e.i. instrumentis RirebulebaSi
SetaniT (obligaciebis mixedviT Semosavlianoba, sesxze
saprocento ganakveTi, sakredito warmoebuli instrumentis
kotirebadi fasi). aseTi praqtikis tipiur magaliTad SeiZleba
gamodges sesxebze danakargis sabanko rezervebi, romelTa
formireba xdeba gadaricxvebis xarjze rogorc aucilebloba, da
romelic gamoyofilia bankis xarjebisaTvis.
sakredito produqtebis faswarwmoqmnisaTvis ganvsazRvroT
sakredito riskis Sedegad mosalodneli danakargebis dayvanili
Rirebuleba (present value of expected losses - PVECL ) mTeli periodis
ganmavlobaSi, romelic darCenilia dabrunebis operaciamde,
rogorc mosalodneli sakredito danakargebis erToblioba:
E (CLt ) PDt  ECEt  (1  R)
PVECL    , (5.35)
t 1  rt t 1  rt
sadac PDt  MRt  SRt 1 MMRt - wina periodebSi defoltis ar
arsebobis pirobebSi t periodis ganmavlobaSi defoltis
albaTobaa;
rt - t periodisaTvis diskontirebis ganakveTia.

413
 (5.35) gamosaaxuleba SeiZlebba gavamaartivoT droze damokiddebuli
cvladiaani deefoltiss albaTobebis da sakred
dito riskis
zemoqmed debis maTi
m saS
Sulo mniSvnel
m lobebiT Secvli iT, rommlebic
gamoTvl lilia Sesabamisad (5.12) da (5.29)) formul
lebiT:
1
PECL  PD  ECE  (1  R )   . (5.336)
t 1  rt
aucilebeliaa imis gaTvalis
g swineba, rom (5.336) formmula gvaZlevs
mosalodneli danakarrgebis dayvaniili Ri irebuleebis mx
xolod
miaxloeebul mniSvnel
m lobas, ramdened dac is s ar iTvalis swinebs
gasaSuallebuli cvladeebis erT Tdroul li cvlil lebis SesaZleb
S lobas.
magaliTTad, svopebisaTvvis, romlebic dadebul
d lia maRali sakr redito
reitingis mqonee kontraagentTan n, defolltis al lbaToba da sakr redito
riskis zemoqmmedeba droTa ganmavl lobaSi gaizrdeba, da d am
korelac ciis ignorire
i eba saS
Sualo mniSvnelobis gamoyen
nebisas
migviyvans mocemul
m li o
operacieb bis sakredito riskis
Seufaseblobamdde.
sakreedito produqt
p is an saafinansoo instru umentis Rirebul lebaSi
mosalodneli sakredit to danaakargebis CarTvva SesaZZlebeli ia ori
xerxiT. didi erTgvar
e ovani portfel lebis SeemTxvevaS Si (magaliTad
mosaxleeobaze sesxi), roca winaswar
w r SeuZl lebelia ganisaz zRvros
msesxebl
lebidan momaavalSi vin gamoaacxadebs deffolts,

414
mosalodneli danakargebi fasdeba mTlianad portfelisaTvis da
Tanabrad nawildeba masSi Semaval kontragentebs Soris. msxvili
erTjeradi garigebebis SemTxvevaSi, romelsac Tan axlavs
sakredito riski (magaliTad, korporatiuli sesxebis, svopebis an
sakredito warmoebuli instrumentebis mixedviT), mosalodneli
danakargebi unda gamoiTvalos TiToeuli kontragentisaTvis da
srulad Caidos instrumentis RirebulebaSi.
sakredito riskis Sedegad gauTvaliswinebeli danakargebi
(unexpected credit loss - UCL) asaxaven maTi mosalodneli mniSvnelobis
garSemo gabnevas. am danakargebis zoma ganiszRvreba yvela
SemTxveviTi cvladi modelis erToblivi ganawilebebiT, umartives
SemTxvevaSi – sxvadasxva kontragentis mixedviT defoltebis
sixSireebis ganawilebiT (5.33). rogorc sabazro riskisaTvis,
danakargebis volatiloba daiklebs kontragentebis ricxvis
gazrdiT da defoltebis dadgomis korelaciis SemcirebiT.
mosalodneli danakargebisagan gansxvavebiT, gauTvaliswinebeli
danakargebi ukve veRar Sevlen instrumentis RirebulebSi, aramed
unda moxdes maTi kompensacia sakuTari kapitalis rezervis xarjze,
romelic asrulebs `usafrTxoebis baliSis~ rols. amasTan
navaraudevia, rom darezervebuli kapitalis zoma unda iyos iseTi,
rom srulad aanazRauros albTobis mocemuli xarisxiT
warmoqmnili gauTvaliswinebeli zarali.
formalurad kreditebis mixedviT gauTvaliswinebeli danakargi
SeiZleba ganisazRvros rogorc mosalodnelze gadaWarbebuli
danakargebi, e.i. rogorc sxvaoba maqsimalurad SesaZlo
danakargebsa (romlebic SesaZloa Zalian didi iyos sididiT,
magram sasruli) da mosalodnel danakargebs Soris:
UCL  MCL  ECL , (5.37)
sadac MCL (maximum credit loss) – mocemuli paramterebis da
daSvebebis dros maqsimalurad SesaZlo zaralia, romelic models
udevs safuZvlad.
cxadia, rom kapitalis darezerveba maqsimalurad SesaZlo
danakargebis zomiT mizanSewonilia, ramdenadac TiTqmis
SeuZlebelia maRali xarjebis gamo kapitalis mozidva da
momsaxureba. banks unda gaaCndes kapitali im moculobiT,
romeliTac mTlianad moaxdens mosalodneli gadaWarbebuli

415
zaralis kompesirebas, magram ara yvela SemTxvevisaTvis, aramed
mxolod mocemuli albaTobiT (ndobis doniT). amisaTvis
aucilebelia Sefasdes sakredito riskis Sedegad maqsimaluri
danakargebi (worst credit loss - WCL) gansazRvrul droiT horizontze
mocemuli  albaTobiT (5.28) gamosaxulebis analogiurad:

1   f (CL)dCL ,
WCL
(5.38)

sadac f (CL ) - sakredito riskis Sedegad danakargebis

albaTobebis ganawilebaTa simkvrivis funqciaa.
mocemuli albaTobiT gauTvaliswinebeli danakargebis, anu
sakredito VaR (credit VaR), ganisazRvreba rogorc maqsialuri
danakargebis sidides, romelic akmayofilebs (5.38) gantolebas da
mosalodnel danakargebs Soris sxvaoba:
CreditVaR  WCL  ECL . (5.39)
sakredito VaR asaxavs mocemuli ndobis donis mqone
gauTvaliswinebeli danakargebis dasafaravad sakuTari saxsrebis
rezervis moTxovnil zomas, romelsac `ekonomikuri kapitali~
(economic capital) ewodeba. Tu gaviTvaliswinebT, rom sabanko
kapitali warmoadgens yvelaze Zvirs dafinansebis alternatiul
saxsrebs Soris, misi Rirebuleba, romelic asaxavs mflobelebis
mier moTxovnil dabandebis wminda rentebelobas, unda iyos
CarTuli sakredito instrumentis RirebulebaSi. sxvadasxva
erTnairi pirobebis SemTxvevaSi, rac ufro riskians warmoadgens
operacia, miT ufro meti ekonomikuri kapitalia saWiro mis
uzrunvelsayofad da miT ufro meti unda iyos riskis
gaTvaliswinebiT operaciis Semosavlianoba, romelic dafaravda
amoqmedebuli kapitalis Rirebulebas. es, kerZod, sxnis, Tu ratomaa
sakredito spredebis sidide realurad ufro didi, vidre es
saWiroa defoltis aqtuaruli albaTobis kompesaciisaTvis.
sakredito VaR gamoiTvleba gacilebiT didi droiTi
horizontisaTvis, vidre sabazro VaR , Cveulebriv erT welze
(naxevarwelze, kvartalze). navaraudevia, rom am drois
ganmavlobaSi riskis miuRebeli zrdisas banks eqneba saSualeba
marTos is riskis zemoqmedebis Semcirebis gziT an ekonomikuri
kapitalis gazrdiT.

416
 bolos, aucilebelia aRiniSnos, rom sakredito VaR -is
maCvenebeli asaxavs mxolod portfelis mixedviT erTobliv riskis,
magram misi efeqturi marTvisaTvis aucilebelia imis codna, Tu
riskis faqtorebs an kontragentebs SeaqvT yvelaze meti wvlili
portfelis saerTo riskSi. danakargebis ganawilebis monte-karlos
meTodiT modelireba aseve SeiZleba gamoyeneuli iqnas
kontragentebis mixedviT portfeluri riskis dekompoziciisaTvis
savaraudo garigebebis portfelis mTlian riskze gavlenis
analizisaTvis.

5.17. sakredito reitingebis migracia

sakredito reitingebis migracias (credit rating migration) uwodeben
diskretul process, romelic mdgomareobs drios gansazRvrul
intervalSi sakredito reitingebis cvlilebaSi.
warmoadgens ra sakredito xdomilobis erT-erT saxes,
sakredito reitingis cvlileba mniSvnelovan gavlenas axdens
finansuri instrumentis Rirebulebaze, gansakuTrebiT
obligaciebis, aseve sxva sakredito produqtebis. YTumca sakredito
reitingis cvlileba aucileblad ar niSnavs defolts, mas
mivyavarT pirdapir danakargebTan an mogebebasTan am movlenaze
bazris reaqciis gamo. reitingis cvlileba ganuyreladaa
dakavSirebuli sabazro RirebulebiT finansuri instrumentebis
gadafasebasTan. garda amisa, sakredito reitingis migraciam
SeiZleba migviyvanos jgufebis mixedviT kontragentis riskis
dadgenili limitis darRvevamde, rasac zogadad mosdevs bankis
sakredito politikis Secvlis aucilebloba. sakredito reitingis
migraciis analizi warmoadgens sakredito riskebis marTvis
ganuyofel nawils. magaliTad, CreditMertics modelSi sakredito
reitingebis gadasvlis matrica warmoadgens sakredito portfelis
VaR -is gamosaTvlelad sawyisi monacemebis mniSvnelovan elements
(ix. 5.18.2).
sakredito reitingis migraciis procesi xasiaTdeba gadasvlis
matriciT (transition matrix), romlis elementebs warmoadgenen
msesxeblis sakredito reitingis erTi mniSvnelobidan meoreze
cvlilebis albaTobebi drios mocemuli periodis bolos. es
albaTobebi SeiZleba iyos rogorc istoriuli monacemebis

417
analizzze stattistikur
rad gans sazRvru uli, isee modellis meSveobiT
Teoriullad gamoTvlil li. bol lo SemT TxvevaSi xSirad d gamoiyeneben
xolme markovi is proc cesebs20, romlebSic sakredit to rei itingis
cvlileeba miRebbulia damoukideblebad d.
dia, rom gadasvl
cxad lis mat tricis albaTob bebis jami TiT Toeuli
striqonnis mixed
dviT to
oli und da iyos 1-is. cxr ril 5.11--Si moyvanilia
gadasvl
lis mat tricis magaliT Ti (miaqqcieT yuradRe
y ba imass, rom
gadasvl
lis matrrica simeetriuli i araa).
gadassvlis matricaa SeiZl leba gammoyenebu uli iyo os defoltis
kumulattiuri albaTobis gamosaTvlel lad dro ois diddi inter rvalis
ganmavlobaSi, maSin
m rooca statistikuri monaacemebi sakmaris
s i araa
aqtuaruuli meToodiT al
lbaTobis s sarwmu uno SefaasebisaTvis.

amgvaarad, ZirriTadi probleema mdgo s drois gansazR

omareobs Rvrul
periodi is gan
nmavlobaaSi s
sakreditto reitingebi
is mat
tricis
elementtebis gammoTvlaSSi.

20 markovis pro
ocesi – es SemTxveviT
Ti procesia, romlis ganviTarebba drois nebismieri
n
mocemuli momentis Semdeg damokidebulia mxolod mi is mniSvnel
lobaze am momentSi
m daa ara mis
nelobaze.
wina mniSvn
418
 sakredito reitingis migraciis gamokvlevis sferoSi yvelaze
cnobili gamokvlevebad iqca altmani da kaos Sromebi (romelic
efuZneboda 1971-dan 1989 wlamde periodis ganmavlobaSi
S tan dard & Por ' s –is satandartul monacemebs), Moody ' s sareitingo
saagentoebis (1920-1996 wlebis monacemebis mixedviT) da
S tan dard & Por ' s –is (1981-1996 wlebis monacemebis mixedviT) mier
gamoqveynebuli angariSebi.
iseve rogorc aqtuaruli defoltis albaTobis dros, es
gamokvlevebi gansxvavdebian gamoyenebuli meTodologiis rig
aspeqtebSi, rac xsnis miRebuli Sedegebis gansxvavebas. altmani da
kao akvirdebodnen obligaciebis reitingis cvlilebas maTi emisiis
Tavdapirveli momentidan 10 wlis ganmavlobaSi. piriqiT, Moody ' s da
S tan dard & Por ' s –is saagentoebi axdendnen sakredito reitingis
migraciis analizs raRac saerTo sawyisi momenetis mimarT im
obligaciebis xnovanebisagan damoukideblad, romlebic sawyis
SerCeulebs Seadgendnen. sxva sityvebiT, am saagentoebis sawyis
arCeulebSi aRmoCndnen rogorc axlaxans gamoSvebuli obligaciebi,
ise garkveuli drois manZilze brunvaSi ukve myofi obligaciebic.
es gansxvaveba Zalian mniSvnelovania. rogorc cnobilia,
SedarebiT Zveli obligaciebi moklevadian periodSi reitingis
Secvlis didi albaTobiT xasiaTdeba, vidre axlaxans gamoSvebuli
obligaciebi, ramdenadac sareitingo saagentoebi da bankebSi
sakredito kontrolis ganyofilebebi rogorc wesi obligaciebis
gamoSvebidan an sesxis gacemidan minimum erTi welis amowurvamde
ar axdenen msesxeblebis reitingis gadamowmebas. amitom msesxeblis
sakredito xarisxis cvlileba unda iyos Zalian mniSvnelovani da
SesamCnevi, rom es gaxdes pirveli ramdenime wlis ganmavlobaSi
sakredito reitingis Secvlis mizezi.
amasTan erTad, altmani da kao TavianT gamokvlevebSi
iTvaliswinebdnen erTi msesxeblis sxvadasxva gamoSvebebis
maxasiaTeblebSi gansxvavebebs, maSin roca sareitingo saagentoebi
iyenebdnen obligaciebis yvelaze `xandazmul~ (moTxovanaTa
dakmayofilebis TvalsazrisiT) gamoSvebas rogorc yvela savalo
valdebulebis eqvivalents kontretuli gamoSvebis moculobis da
brunvaSi mocemuli emitentis obligaciebis raodenobisagan
damoukideblad.

419
 kidev erT, mniSvnelovan meTodologiur gansxvavebas
warmoadgens is, rom Moody ' s da S tan dard & Por ' s –is saagentoebis
gamokvlevebSi gaTvaliswinebuli iyo obligaciebisaTvis reitingis
gamoxmoba maTi vadamdeli dafarvis an emitentis mier gamoSvebis
SemTxvevaSi, magaliTad kompaniebis SerwymiT am STanTqmiT, aseve
reitingis gansazRvrisaTvis arasakmarisi informaciis qoniT. am
saagentoebis SefasebiT 25%-dan 40%-mde emitentebi SeiZleba
moxvdnen am kategoriaSi obligaciis brunvaSi gamoSvebidan xuTi
wlis gasvlis Semdeg.
am gamokvlevebis Sedegad miRebuli sakredito reitingis
migraciis albaTobis Sefasebebi mniSvnelovnad gansxvavdeba
erTmaneTisagan, rac aixsneba gamoyenebuli meTodologiebis
CamoTvlili gansxvavebebiT. magaliTad, altmanis da kaos Sedegebis
Tanaxmad, 93,7% obligaciebisa, romlebmac B reitingi miiRes
emisiis momentSi, erTi wlis Semdeg SeinarCunes es reitingi, magram
am obligaciebis mxolod 53,3%-ma SenarCuna es reitingi 5 wlis
Semdeg. Moody ' s da S tan dard & Por ' s –is monacemebiT, erTi wlis Semdeg
reitingis SenarCunebis albaTobam Seadgina 76,3 da72,8% da 5 wlis
Semdeg 32,1 da 16,6% Sesabamisad. amasTan Moody ' s da S tan dard & Por ' s
saagentoebma daadgines, rom sawyisi B reitingis mqone im
obligaciebis wili, romlebsac is moexsnaT erTi wlis Semdeg
Seadgens 10,5 da 12,2%-s, xolo 5 wlis Semdeg – 38,2 da 45,4%-s
Sesabamisad. mocemul SemTxvevaSi miRebuli Sedegebis mniSvnelovani
gansxvaveba aixsneba, albaT, obligaciebis `xandazmulobis~
efeqtiT, ramdenadac emisiebis umetesoba Seicavs garigebas pirveli
3-5 wlis ganmavlobaSi grZelvadiani dafarvis an obligaciis
brunvaSi gamoSvebis akrZalvis Sesaxeb.
Moody ' s da S tan dard & Por ' s –is SefasebebSiYyvelaze mniSvnelovani
gansxvavebebi SeiniSneboda 5-wliani horizontis mqone reitingis
migraciis albaTobebSi, rac, rogorc Cans, warmoadgens drois
sxvadasxva periodisaTvis statistikis gamoyenebis Sedegs. altmanis
da kaos Sefasebebi gansxvavdeba sareitingo saagentoebis
Sefasebebisagan reitingis yvela kategoriis mixeviT, magram
gansakuTrebiT – SedarebiT dabali sakredito reitingebis
mixedviT. rogorc cxril 5.12-dan Cans, altmani da kao, romlebic
iTvaliswinebdnen TavianT analizSi obligaciebis xandazmulobas

420
da ar ganixil lavdnen sakredi ito rei itingis gawvevaas, miuT TiTeben
yvela SemTxvev
S aSi 1 wlis
w Seemdeg reitingis s SenarCCunebis maRal
albaTobas, vidr re sareiitingo saagento
s oebi.
sakreedito reitingis mi
igraciis s albaaTobebis s Seaf
fsebaSi
gansxvavvebebis damatebi iTi magaaliTis saxiT moviyvano
m oT gadaasvlis
matricaa, romel lic ag gebulia EDF mo odeliT yvela im kompaniis
mixedviTT, romlebic Car rTulia kompaniaa KMV –s s monacemmTa bazaaSi (ix.
cxrili 5.13).
reittingis migracii
m is dros s sakred dito ris skis cvllileba iwvevs
valdebu ulebebis s sabazrro Rireebulebis an Seemcirebas s an gaazrdas.
arsebobbs sakredito reitingis
r s cvlil lebis finansur
f instruumentis
Rirebullebaze gavlenis
g s Sefasebbis ramddenime meeTodi.
pirvveli meT Todis Tanaxmad
T d, aseTi Sefaseb ba SeiZl
leba miR Rebuli
iyos moodificirebuli duraci iis sakr redito spredis s cvlil lebaze
gamravl
lebiT reeitingis migraci iis dros s. es meTTodi iyeenebs dafarvis
mimarT saSuaalo S
Semosavl
lianobas s an spreds ofcionis
gaTvali iswinebiTT (Cveul e aris `qol~ ofcioni
lebriv es o obligaaciebis
gawvevis
s SemTxvevaSi). cxril 5.14--Si mooyveniliaa monacemebi,
romlebi ic aucillebeliaa aseTi gaTvleb
g bis Casat tareblad d.

magal liTis saxiTs SevafasoT T am cx xrilis monacemmebis mix xedviT

sakredito rei itingis BBB –d
dan BB –mde
– d
dawevis mosaloodneli
gavlena.
saSualo duracia BBB B reitiingisaTvi gens 6,22 wels, BB
is Seadg B –mde
dawevisaas Semo osavlianobis mosalodneli cvlil leba Seeadgens
6,2  (139,79
7  326,13)  1155 s.p. altman nis da kaos gamoTvleebis Tanaxmad,
reitingis BBB –dan – BB –mde daawevis albToba 5 wlis s ganmvl
lobaSi
421
Seadgens
s 7,6%
%-s. amg
gvarad, sakred dito r
reitingi is migraciis
mosalodneli gavlena
g s 0,076  11155 s.p.  888 s.p.
Seadgens
sakreedito reiting gis mig graciis oblig gaciis Rirebul lebaze
gavlenis Sefaasebis meore meTodi i gamo oiyeneba CreditM
Mertics -is
sistemaS
Si. is mdgomar reobs obligac
o ciebis Sefaseba
S aSi rei itingis
SesaZloo cvli ilebze damokid debuleb baSi Semdgomi period debisas,
magaliT
Tad erTi i wlis Semdeg, fuladi i saxsreb bis diskkontireb baSi am
periodiis gannmavlobaaSi u
ukupono obl ligaciebi is mixedviT
forvardduli Semosavllianobeebis mrrudis mixedviT
T sakrredito
reitingis axali mniSvn nelobisaaTvis. wi ina midg gomisagan n gansxvavebiT,
romelic c ignorirebas ukeTebs
u diskont tirebis ganakveT
g is cvli ilebas,
mocemulli meT
Todi saSualeebas iZleva ufro koreqt tulad
liswinoT sakreedito reitinge
gaviTval r ebis mig gracia, gansakuT TrebiT
obligacciebis didi
d porrtfelis s Sefaseb bisaTvis s.

mesamme meTod
di mdgommareobs obligaaciis saabazro fasis
f uSualo
dakvirveebaSi sakredit
s to reit tingis cvlileb
c bis droos sxvaadasxva
sakredito reitingis mqone didid raaodenobis gamooSvebebis
sas. am
midgomis real lizaciis ZiriTadi sir rTule mdgomar reobs fasebis
f
422
cvlileebis fi iqsirebissaTvis drois zusti moment tis Ser rCevaSi,
ramdenaddac reeitingis ofici ialuri awevis an daawevisas adre
miRebulli inf
formacii is saf
fuZvelzze baz
zari u
ukve aswrebs
mniSvnel
lovnad moaxdi inos reagirebaa am xdomilo
x obaze (albaT
(
saWiroaa fasebis s cvlil lebis gaaanalizeba dro ois im momentSi,, roca
sareitingo saag gento jer
j mxollod acx xadebs reitingi
r is gadassinjvis
an reitiingis gauaresebi is progn nozis SeesaZlebl
lobas).
bolo os, meo oTxe mi idgoma mdgomar reobs dakvirveb
d badi saabazro
spredis sxvadsx xva reit
tingis mqqone obl ligaciebbis mixedviT gavlenis
mqone faqtore
f bad `dayofaSi~~ da maTganm iseTebiss gamoyyofaSi,
romlebi ic SeZllebdnen aesaxaT sakred dito rei itingis mosalo odneli
cvlileeba. am faqtori is reit tingis migracii
m is Sesaxxeb isto oriul
monacemeebTan Seedareba SesaZl lebels gaxdida
g swored Sefaseb buliyo
reitingis cvlilebi is mo
osalodnneli Sedegi. Teo
oriuli
mimzidveelobis miuxeedavad CamoT
Tvlili midgoomebidann es
dakvirveebebi rTTulia pr raqtikaS Si realiizaciis Tvalsaz zrisiT.

porttfelis Semosaavlianob baze saakredito o riskkis migraciis

gavlenis komppleqsuri i anal lizi as seve un nda iT Tvaliswiinebdes
portfellis Seemadgenel li sxvvadasxva instr rumentebis rei itingis
cvlileebebs Sooris koorelaciias. kor relaciur ri matrrica SeiZleba
Sefasdees rogoorc pirdapir, sakred dito reitingeb bSi migraciis
istoriuuli korrelaciebis mixeedviT, ise
i iribbad, aqciebis saabazro
fasebis qcevis dinamikaaSi korelaciebbze dakvirvebebi is mixedviT an
kidev im Teoriul
T li mo
odelebiss safuZvelzee, rommlebic
winaswar
rmetyvel
leben aqqciebis fasebis s qcevas. pirveli mid dgomis
upiratesobas warmoadggens reit s migraciis procesis uSualo
tingebis
423
dakvirveba da maTi maxasiaTeblebis Seswavla, magram unda
gvaxsovdes, rom reitingebi, rogorc wesi, sakredito riskis
cvlilebaze dagvianebiT reagireben. aqciebis fasebi warmoadgenen
sakredito riskis winmswreb indikatorebs, magram maT Soris
gansazRvruli korelaciis arseboba ar niSnavs sakredito
reitingebis cvlilebebs Soris aseTive korelacis.

5.18. portfelis sakredito riskis Sefasebis modelebi

cxadia, rom bankebi da sxva finansuri institutebi, romlebic
dakreditebiT arian dakavebulebi, saWiroeben iseT instrumentebs,
romlebic maTi sakredito politikis ganxorcielebis,
danaxarjebis, romlebic dakavSirebuli aris sakredito analizis
sferoSi specielistebis Sromis maRal anazRaurebasTan, Semcirebis
da aqtivebis portfelis efeqturi marTvis saSualebas iZlevian.
am miznebis misaRwevad 1990-ian wlebSi SemuSavda da didi
praqtikuli gamoyeneba hqonda sxvadasxva finansuri instrumentis
da im garigebebisagan, romelebic dadebuli iyo sxvadasxva
kontragentTan saqmianobis sxvadsxvagvari mimarTulebiT, Semdari
portfelis sakredito riskis Sefasebis sxvadasxva models.
mocemuli midgoma ganixilavs portfelis riskis ara rogorc
izolirebuli poziciebis ariTmetikul jams, aramed rogorc
erTians, romlis analizis dros gaTvaliswinebuli unda iyos misi
mdgenebis diversifikaciebis da urTierT hejirebis efeqtebi.
portfelis marTvis procesi mdgomareobs amaTu im aqtivebis
SeZenis da maTi flobis pirobebis Sesaxeb gadawyvetilebis
miRebaSi gaumarTlebeli riskisagan Tavis daRwevis mizniT,
romelic dakavSirebulia erT kontragentTan, sawarmoo dargTan an
regionelur (erovnul) riskTan. mTavari kriteriumi axlis arCevis
an arsebuli aqtivis gayidvisas unda iyos am operaciebis mTeli
portfelisaTvis `Semosavlianoba/riski~ fardobaze gavlena.
portfelisa sakredito riskis Sefasebis da marTvis modelebis
Seqmna ganpirobebuli iyo Semdegi faqtorebiT:
 meTodologiuri da teqnikuri miRwevebi, romlebmac
SesaZlebeli gaxada realobasTan axlos droiT reJimSi finansuri
riskebis agregireba;

424
  riskebis diversifikaciisagan potenciuri sargebeli, romelmac
SesaZlebeli gaxada klientisaTvis ufro xelsayreli sakredito
ptroduqtis Rirebulebis dadgena;
 optimizacia, risi meSveobiTac ganisazRvreba sasexo
portfelis optimaluri struqtura;
 warmoebuli sakredito instrumentebis bazris zrda, romelTa
faswarmoqmna da hejireba unda Catardes portfeluri midgomis
safuZvelze;
 evropul qveynebSi korporatiuli obligaciebis bazris swrafi
ganviTareba.
sasesxo portfelis riskis Sefasebis modelebis SemuSavebis da
danergvis procesi moiTxovs kvalificirebuli specialistebis
disciplinaTaSoriso jgufebis Seqmnas saqmianobis sxvadasxva
sferoebidan, romlebic moicaven:
 finansebs da kreditebs, ramdenadac modelebi dafuZnebulni
arian msesxeblis finansuri mdgomareobis analizze da sakredito
resursebis SeTavazebis kriteriumebis SemuSavebaze;
 maTematikur statistikas, ramdenadac modelebi agebulia
sakmaod rTul maTematikur aparatze dayrdnobiT da iyeneben
sxvadasxva statistikur monacemebs, romelTa sizuste uSualo
gavlenas axdens saboloo Sedegis xarisxze;
 sainformacio teqnologiebs, romlebic aucilebelia
programuli danarTis saxiT modelebis realizaciisaTvis da maTi
uwyveti muSaobis uzrunvelsayofad.
Semdeg am ganyofilebaSi ganixileba sakredirto portfelebis
riskis Sefasebis modelebis muSaobis ZiriTadi cnebebi da
principebi, aseve mocemulia am modelebidan yvelaze cnobilebis,
romlebic ukve dargobriv standartebad iqcnen, SedarebiTi
analizi.

5.18.1 portfelis sakredito riskis Sefasebis modelebis

ZiriTadi maxasiaTeblebi
dReisaTvis cnobili portfelis sakredito riskis Sefasebis
yvela modelis klasificireba SeiZleba Semdegi niSnebiT:
1) midgomiT modelirebis mimarT: `zemodan qvemoT~ da `qvemodan
zemoT~;
425
 2) sakredito riskis saxis mixedviT: defoltis riskis Sefaseba
da sabazro Rirebulebis gadafaseba;
3) defoltis albaTobis Sefasebis meTodiT: pirobiTi da
pirobiTobis gareSe modelebi;
4) defoltebis korelaciis Sefasebis meTodebiT: struqturuli
da `Semcirebuli~ modelebi.
sakredito riskis Sefasebebi SeiZleba miRebuli iyos
kontragentis maxasiaTeblebze damokidebulebiT `zemodan qvemoT~
an `qvemodan zemoT~ modelirebis gziT. pirveli tipis modelebi
gamoiyeneba msesxeblebis erTgvarovani didi jgufisaTvis,
magaliTad sakredito baraTebis mflobelebisaTvis an mcire
biznesis sawarmoebisTvis. sakredito riskis sidide fasdeba
mTliani portfelisaTvis zaralis albaTobaTa ganawilebis agebis
gziT TiToeuli erTgvarovani msesxeblis mixedviT istoriuli
monacemebis safuZvelze. es Sefasebebi SemdgomSi gamoiyeneba sesxis
gacemis dros riskis Sesafaseblad msesxeblis riskis parametrebis
damatebiTi dazustebis gareSe. aseTi midgomis mniSvnelovan nakls
warmoadgens misi simartive da aramgrZnobeloba TandaTanobiTi
cvlilebebis mimarT erTgvarovani jgufebis struqturaSi.
rodesac aqtivebis portfels gaaCnia araeTgvarovani struqtura,
maSin bankebi sakredito risks afaseben `qvemodan zemoT~ meTodiT.
msxvili da saSualo msesxebel- sawarmoebisaTvis, aseve finanasuri
bazris sxvadasxva instrumentisaTvis mocemuli meTodi warmoadgens
sakredito riskis Sefasebis ZiriTad saSualebas. `qvemodan zemoT~
modelirebisas sakredito riskis Sefaseba xdeba konkretuli
instrumentis da individualuri msesxeblis doneze misi
maxasiaTeblebis analizis, finansuri mdgomereobis da
perspeqtivebis gziT. portfelis erToblivi riskis SefasebisaTvis
xdeba individualuri msesxeblebis riskebis agrerireba
korelaciis efeqtis gaTvaliswinebiT. sakredito riskebis `qvemodan
zemoT~ modelireba sabazro riskis SemTxvevaSi portflis VaR -is
gamoTvlis analogiuria, ramdenadac is erTobliv riskSi
portfelis elementebis `wvlilis~ Sefasebis da calkeuli
kontragentebis an riskis faqtorebis doneze portfelis riskis
marTvis saSualebas iZleva.

426
 gansazRvrebis Tanaxmad erTaderT sakredito xdomilobas,
ganxilul defoltis riskis Sefasebis modelebSi (default-mode
models), warmoadgens mxolod kontragentis mier defoltis
gamocxadeba, amasTan sxvadasxva sakredito xdomilobebis Sedegad,
magaliTad sakredito reitingis migraciis Sedegad aqtivebis
sabazro Rirebulebis cvlileba mxedvelobaSi ar miiReba. sabazro
RirebulebiT gadafasebis modelebSi (mark-to-market models)
analizis obieqtebs warmoadgenen aqtivebis sabazro Rirebulebebis
cvlilebebi, romlebic gamowveulni arian rogorc sabazro ise
sakredito riskebis faqtorebiT, sakredito reitingis cvlilebis
da defoltis CaTvliT. modelebis es tipi iZleva riskis ufro
obieqtur suraTs gaTvlis im horizontiT, romelic aqtivis
likvidaciis periodis tolia.
pirobiT (conditional) modelebi kontragentis defoltis
albaTobas afaseben dargobrivi da makroekonomikuri faqtorebis
gaTavaliswinebiT, romlebic mniSvnelovan gavlenas axdenen
gakotrebis sixSireze. pirobis gareSe (unconditional) modelebSi
defoltis albaToba Cveulebriv araa damokidebuli garemoze da
ZiriTadad ganisazRvreba msesxeblis da sakredito produqtis
`Siga~ maxasiaTeblebiT.
`struqturul~ (stuctueal) modelebSi defoltis dadgomis
procesi endogenurs warmoadgens, e.i. warmodgenilia cxadi saxiT.
defolti maSin xdeba, rodesac kompania-msesxeblis aqtivebi
valdebulebebis mimarT ecema gansazRvrul SeTanxmebul donemde,
amasTan droSi aqtivebis Rirebulebis cvlilebis procesi
aRiwereba raime SemTxveviTi procesiT. defoltebs Soris
korelacia fasdeba aqtivebis Rirebulebebis cvlilebebis
safuZvelze, magaliTad, im aqciebis an obligaciebis fasis,
romlebic, rogorc navaraudevia, yvelaze ufro mgrZnobiared
reagirebebad msexeblis gakotrebis albaTobis cvlilebaze. e.w.
`Semcirebuli~ (reduced-form) modelebi iyeneben defoltis
aqtuaruli albTobebis ukve mza Sefasebebs da aRdgenis
koeficientebs, ganixilaven ra defoltis dadgomis process
rogorc egzogenurs. am modelebSi korelacia uSualod fasdeba,
defoltis albaTobis raime riskis faqtorebis nakrebze funqciuri
damokidebulebiT, magaliTad safondo da dargobriv indeqsebze.
427
`sturqtturuli~~ model lebi saSualebas s iZlevi ian moxd
des sakr
redito
riskis hejireba pozic ciis gaxxsnis meSSveobiT rogorc am baazarze,
ise sxxva baz
zrebzec, maSin
n roca `Semmcirebul
li~ mo
odelis
gamoyeneebisas riskis hejireba xd
deba mxxolod am baazarze
sawinaaR
Rmdego poziciis
p s dakaveb
bis saSu
ualebiT.

bolo o wlebSi msxvilma saz

zRvargar reTulma finansurma
institu utebma SeimuSave
S es port tfelis sakredi ito ris skis Sef fasebis
mTeli rigi gamoyenebu uli meT Todolog giiT daa sirTulis xar risxiT
gansxvavvebuli modeleebi, ro omlebmac c didi i aRiar reba mo oipoves
msoflioSi da faqtob brivad dargobr
d riv stan ndartebaad gamoi iyeneba.
maT So oris yvelaze cnobil lia Semdegi modeleb bi: CredditMertics
gan Chas
(J.P.Morg se), Cred
ditRisk+(C
Credit Suissse), Porrtfolio Man
nager (KM
MV) da
Credit Po
ortfolio Vie
ew (McKin
nsey&Co., Inc.). zeemoT moyyvenili kriteri iumebis

428
mixedviT am modelebis SedarebiTi analizi mocemulia cxril 5.15-
Si.
5.18.2 CreditMertics modeli
bank J.P.Morgan Chase –is mier SemuSavebuli CreditMertics modeli,
romlis aRwera gamoqveynebuli iyo 1997 wels, gaxda VaR
maCvenebelis safuZvelze `qvemodan zemoT~ principiT sakredito
riskis Sefasebisadmi pirveli midgoma. modelSi riskis faqtorebs
warmoadgenen obligaciebis sakredito reitingis cvlelebebi,
romlebic Tavis mxriv, gavlenas axdenen maT sabazro Rirebulebaze.
CreditMertics modelis sqema warmodgenilia nax. 5.5-ze. modelis
mixedviT gamoTvlebi etapobrivad Semdegnairad xorcieldeba:
1. pirvel etapze xdeba riskis ZiriTadi faqtorebis mixedviT
klientis portfelis dekompozicia da fasdeba is gavlena,
romelsac es faqtorebi axdenen sakredito riskis zemoqmedebis
ganawilebaze. CreditMertics sistemaSi SeiZleba Sefasdes instrumentebis
farTe speqtris mixedviT, romelic moicavs obligaciebs, svopebs,
sesxebs, sakredito xazebs da debetur davalianebebs, riskis
zemoqmedeba.
2. meore etapis mizans warmoadgens sakredito riskis Sedegad
mogebebis da zaralis ganawilebaTa ageba portfelis TiToeuli
instrumentisaTvis. Tavidan TiToeuli aqtivisaTvis (magaliTad,
obligaciisaTvis) ganisazRvreba sakredito reitingi. ramdenadac
modelSi sakredito xdomilobad miiCneva reitingis daweva, misi
albaToba fasdeba sakredito reitingebis migraciis mocemuli
matricis meSveobiT (ix. 5.17). amavdroulad CreditMertics modelSi
kontragentis defoltis albaTobis cvlileba diskretulia, da ara
uwyveti procesi, rogorc es EDF modelSia. TiToeuli sakredito
xdomilebisaTvis (momavalSi mosalodneli sakredito
reitingisaTvis) iTvleba aqtivis dayvanili Rirebuleba Semdegi
parametrebis safuZvelze: a) mimdinare reitingis migracia da b)
forvarduli ganakveTebi, romlebic gaTvlilia droiT horizontze,
romelic reitingis migraciis periodis Sesabamisia, momavali
reitingisaTvis sakredito spredis gaTvaliswinebiT. defoltis
dadgomis SemTxvevaSi danakargis Sesafaseblad gamoiyeneba maT
dasakmayofileblad sxvadasxva rigiTobis mqone
valdebulebebisaTvis aRdgenis koeficientebis mixedviT monacemebi.

429
Sedegad
d miiRebba aqtivis Rireebulebis s ganawiileba misi
m rei
itingis
cvlileebisas, fasdeba
f misi par
rametrebbi (saSuaalo da dispers sia). es
saSualeebas iZl
leva Sefasdes TiToeuli aqtivi is mixedvviT sakr
redito
riskiT gamowveu
uli pot tenciurii mogebeb
bi da zaarali.

3. mes
same etaapze gannisazRvr
reba por rtfelSi Semavaali aqt tivebis
mixedviTT sakrredito reitiingebis cvlilebebSi koreelacia
Sesabamiisis kontragent tebis aqciebis
a fasebs
s Soris s korellaciis
safuZvel lze. TiToeul
T li aqci iisaTvis s igebaa faseb bis dinamikis
faqtoru uli moddeli, romelSic
r c faqto orebi assaxaven mis
m darggobriv
kuTvnil lobas (dargobrivi safondo
s indeqs
si) da geogr refiul
430
mdebareobas (qveynis safondo indeqsi). aqciis fasebs Soris
korelacia fasdeba ara uSualod, aramed iribad, moqmed faqtorebs
(indeqsebs) Soris korelaciis meSveobiT. CreditMertics sistema Seicavs
152 erovnul dargobriv indeqss, 28 qveynis indeqss da 19 msoflio
dargobriv indeqss Soris korelaciis Sesaxeb monacemebs. aqciis
fasebis dinamikaSi amgvarad Sefasebuli korelaciebi gamoiyeneba
portfelis mixedviT erToblivi sakredito reitingebis migraciis
modelirebisaTvis.
4. wina etapebze miRebuli monacemebis safuZvelze monte-karlos
meTodis gamoyenebiT igeba portfelis mixedviT mogebebis da
zaralis erToblivi ganawileba. mdgomareobebis saerTo ricxvi,
romlis mixedviTac xorcieldeba modelireba, Seadgens n m -s, sadac
n - SesaZlo sakredito xdomilobebis raodenobaa, romlebic
dakavSirebulia sakredito reitingis cvlilebasTan, m -
kontragentebis raodenobaa. ramdenadac bevri am xdomilebidan
nakleb mosalodnelia, sarwmuno Sefasebebis misaRebad
aucilebelia gamoyenebuli iyos Zalian didi raodenobis scenari.
5. ganawilebis ageba saSualebas iZleva moZebnili iqnas
maqsimaluri zarali, romelic SeiZleba gadaWarbebuli iyos
mxolod 1% SemTxvevebSi, da ganisazRvros sakredito VaR sabazros
analogiurad rogorc mocemuli ganawilebisaTvis miRebul
mniSvnelobasa da saSualo mniSvnelobebs Soris sxvaoba.
CreditMertics modelis mniSvnelovani nakli imaSi mdgomareobs, rom
yvela insrtumentis mixedviT riskis zemoqmedebis Sefasebisas
zarali SeiZleba warmoiSvas mxolod sakredito xdomilobis
dadgomisas, amasTan mTlianadaa ignorirebuli sabazro riskis
faqtorebi, iseTebi rogoricaa saprocento ganakveTis SemTxveviTi
cvlileba da savaluto kursi. rogorc zemoT iyo aRniSnuli,
saprocento da savaluto svopebis SemTxvevaSi zemoqmedeba droTa
ganmavlobaSi Seicvleba sabazro riskis faqtorebis gavleniT,
maSin roca CreditMertics sistemaSi gamoiyeneba mxolod riskis
zemoqmedebis saSualo mniSvneloba drois yvela periodisaTvis.

5.18.3. KMV Portfolio Manager modeli

KMV Portfelio Manager –is sistema SemuSavebuli iqna kompania KMV–
is mier, da, iseve rogorc CreditMertics modeli, gankuTvnilia aqtivebis

431
portfelis sakredito riskis Sefasebisa da marTvisTvis. misi
aRwera gamoqveynebuli iyo 1998 wels. sakredito riski araa
gaigivebuli mxolod defoltTan, aramed ganisazRvreba rogorc
aqtivebis momavali sabazro Rirebulebebis cvlileba, amitom
sakredito riskis Sefasebis midgoma sruliad Seesabameba im
meTodebs, romlebic gamoiyeneba sabazro riskis Sesafaseblad.
sistema saSualebas iZleva moxdes sakredito riskTan, sesxebis
CaTvliT, ganaxlebad kreditTan, sxvadasxva sakredito xazebTan
obligaciebTan da warmoebul instrumentebTan, dakavSirebuli
instrumentebis didi portfelebis riskebis gaanalizeba. aqtivebis
didi erTgvarovani jgufebisaTvis, iseTebis rogoricaa sakredito
baraTebis mixedviT davalianebebi an mcire sawarmoebis sesxebi,
KMV Portfelio Manager –is sistemaSi gaTvaliswinebulia maTi
agregirebuli warmodgenis saSualeba, rogorc mocemuli jgufis
tipiuri aqtivis aseTive saxis aqtivebis raodenobaze namravli.
magaliTad, tipiuri subportfelebi mocaven msxvil da
korporatiuli msesxeblebis mixedviT sesxebs, mcire biznesis
mixedviT kreditebs, ipoTekur sesxebs da a.S. es saSualebas iZleva
moxdes praqtikulad im aqtivebis Semcveli portfelebis
SeuzRudavi simravlis modelireba, romlebic ganicdian riskis
zemoqmedebas.
KMV Portfolio Manager sistemis mTavar ganmasxvavebels
warmoadgens is, rom igi dafuZnebulia defoltis empiriul
mosalodnel sixSiris ( EDF ) gamoyenebaze, romelic Tavis mxriv,
gamoiTvleba am kompaniis mierve Seqmnili KMVCreditMonitor saprogramo
produqtis saSualebiT (ix. 5.13.2.2). sxvadasxva msesxebelis
defoltebs Soris korelacia gamoiTvleba arapirdapiri gziT, maTi
aqciebis sabazro fasebSi korelaciiT, romlebic miiReba aqtivebis
RirebulebebSi korelaciis Sesafaseblad (aradakvirvebadi).
defoltebs Soris korelaciebs da albaTobebis aqtivebze riskis
zemoqmedebis da aRdgenis doneebis monacemebis safuZvelze aigeba
mogebebis da zaralis kerZo ganawilebebi da ganisazRvrebs
mosalodneli da gauTvaliswinebeli danakargebi ndobis mocemuli
doniT. portfelis sakredito VaR gamoiTvleba ganawilebis
centridan (mosalodneli danakargebis) standartuli gadaxrebis
raodenobiT. amgvarad, KMV Portfolio Manager sistema saSualebas

432
iZleva ganisazRvros kapitalis mimarT erToblivi moTxovnebi da
ganawildes ekonomikuri kapitali kontragentebsa da aqtivebs
Soris.
am modelis mniSvnelovani upiratesoba imaSi mdgomareobs, rom
defoltis albaToba da defoltebs Soris korelacia gamoiTvleba
kompaniis Sesaxeb xelmisawvdomi informaciis safuZvelze – bazarze
misi aqciebis fasebis meSveobiT. korporacia KMV amtkicebs, rom
EDF modeli axorcielebs defoltis albaTobebis prognozs ufro
zustad da Tanamedroved, vidre sakredito reitingebis cvlilebebi.
rogorc KMV Portfolio Manager sistemis, ise mis safuZvlad mdebare
EDF modelis ZiriTadi nakli mdgomareobs mis finansur angariSze
damokidebulebaSi kompaniis valdebulebaTa Tanxis Sefasebisas,
ramdenadac uzustobebi da damaxinjebebi angariSebSi
mniSvnelovnad aisaxeba defoltis albaTobis SefasebaSi.

5.18.4. CreditRisk+ modeli

CreditRisk+ modeli SemuSavebuli iqna bank Credit Suisse First Boston
–is Svilobili kompaniis Credit Suisse Financial Products–is mier; mis
Sesaxeb teqnikuri dokumentacia gamoqveynda 1997 wlis oqtomberSi.
gamoyenebuli meTodikiT es modeli Zireulad gansxvavdeba
CreditMertics -sgan da dafuZnebulia sakredito riskisadmi aqtuarul
midgomaze.
CreditRisk+ modeli Seqmnilia mxolod defoltis riskis
gamoTvlis mizniT; is ar iTvaliswinebs sxva sakredito
xdomilobebis dadgomis dros miRebul danakargebs. am modelis
gamoyenebis Tavisebureba imaSi mdgomareobs, rom defoltis
albaToba ar warmoadgens mudmiv sidides, aramed SeuZlia
Seicvalos droTa ganmavlobaSi faqtorebis nakrebis gavleniT.
Tu sxvadaxva kontragentTan defoltis SemTxveva iTvleba
damoukideblad, maSin danakargis albaToba modelirdeba puasonis
diskretuli ganawilebidan gamomdinare. modelSi SeiZleba
gaTvaliswinebuli iyos korelacia, magram marto portfelis
erTgvarovan segmentebs Soris (subportfelebs Soris), romelTac
miekuTvnebian sistemuri riskis saerTo faqtorebis zegavlenis qveS
myofi msesxeblebi.

433
 defoltis Sedegad danakargis masStabi CreditRisk+ modelSi
miaxloebiT fasdeba aqtivebis gamartivebuli klasifikaciis gziT
maTi zomis mixedviT (magaliTad, 20 000 dolaramde Tanxis
sakredito produqtebi miekuTvneba pirvel diapazons, 40 000
dolaramde aqtivebi – meores da a.S.). TiToeuli diapazonisaTvis
defoltis albaTobebi eqvemdebarebian gama-ganawilebas, romlebic
Semdeg agreridebian yvela diapazonis mixedviT defoltis riskis
Sedegad danakargebis erTobliv ganawilebaSi.
CreditRisk+ modelis upiratesobas warmoadgens sakredito VaR -is
gamoTvlis analizuri meTodi, romlis realizaciisaTvis saWiroa
SedarebiT cota Semavali monacemi, aseve defoltis albTobebis
Sefasebisas makroekonomikuri faqtorebis gaTvaliswineba.
amavdroulad mocemuli modeli warmoadgens sakmaod
gamartivebuls da, iseve rogorc CreditMertics modeli, ar iZleva
sakredito riskis sabazrosTan integrirebis saSualebas.

5.18.5 Credit Portfolio View modeli

Credit Portfolio View modeli SemuSavebuli iqna da gamoqveynebuli
auditoruli da sakonsultacio kompania McKinsey&Co., Inc.–is mier
1997 wels. mocemuli modeli agebulia `zemodan qvemoT~ midgomis
safuZvelze; mis ganmasxvavebel Taviseburebas warmoadgens
makroekonomikuri maCveneblebis gavlenis gaTvaliswineba im
portfelis sakredito riskze, romelic upiratesad dabali
reitingis mqone spekulatiuri instrumentebisagan Sedgeba,
romlebic Cveulebriv gansakuTrebiT mgrZnobiareebi arian
ekonomikis cvlilebebis mimarT zogadad.
mocemul modelSi sakredito riskis Sdegad danakargebis
ganawileba aigeba im subportfelebSi aqtivebis raodenobidan da
moculobidan gamomdinare, romlebic aerTianeben dargobrivi da
erovnuli kuTvnilebis TvalsazrisiT erTgvarovan klientebis
jgufebs. zemoT ganxiluli modelebisagan gansxvavebiT, sakredito
reitingis migracia ukve aRar warmoadgens mudmivs, aramed
damokidebulia im cvladebze, romlebic asaxven qveynis ekonomikur
mdgomareobas, kerZod saprocento ganakveTis mniSvnelobebze da
savaluto kursebze, ekonomikis zrdis tempze, umuSavrobis doneze,
saxelmwifo xarjebis doneze da mosaxleobis saSualo danazogis
434
doneze. navaraudevia, rom defoltis albaToba izrdeba
ekonomikuri dacemebis periodebSi.
Credit Portfolio View modelSi drois t momentSi defoltis
albaToba warmoadgens x j maCvenebelebis nakrebis funqcias, romelic
gamoTvlilia TiToeuli qveynisTvis da ekonomikis dargisaTvis da
eqvemdebareba logistikur ganawilebas:
1
pt  , yt      j xk , j , (5.40)
1  e  yt j

sadac k - msesxeblis mgrZnobelobis koeficientia

makroekonomikuri da dargobrivi faqtorebis mimarT.
Credit Portfolio View modeli agebulia `zemodan qvemoT~ principiT
da amitom ar iZleva calkeuli kontragentis mixedviT sakredito
riskis detaluri gaanalizebis saSualebas, magram is sasargeblod
gansxvavdeba sxva modelebisagan imiT, rom masSi gaTvaliswinebulia
kontragentis defoltis albaTobaze makroekonomikuri da
dargoblivi koniuqturebis gavlena.

5.19. sakredito produqtebis faswarmoqmna

sakredito riskTan dakavSirebuli aqtivebis Rirebulebis
gansazRvra warmoadgens dakreditebis da sakredito riskebis
marTvis procesis mniSvnelovan nawils. rogorc zemoT iyo
aRniSnuli, sakredito produqtis Rirebulebam unda
gaiTvaliswinos is riski, romelis zemoqmedebasac ganicdis. sxva
sityvebiT, kreditis Rirebulebam unda dafaros sakredito riskiT
gamowveuli Sualeduli danakargebi.
sesxis faswarmoqmnis trdiciuli midgoma riskis
gaTvaliswinebiT, e.w. `xarjs plus mogeba~, gamosaxulia nax. 5.6-ze.
rogorc moyvanili sqemidan Cans, kreditis fasis ganzRvrisadmi
tradicionaluri midgoma iseT finansur maCveneblebze,
rogorebicaa msesxeblis riskis jgufi, dakreditebis vada da
sesxad gasacemi saxsrebis Rirebuleba, uzrunvelyofa, garantiebi
da xelSekrulebis damcavi pirobebi. sarezervo kapitalis
Rirebuleba, romelic iqmneba gauTvaliswinebeli danakargebis
dasafarad, gamoiTvleba `kapitali/aqtivis~ fardobis safuZvelze
bankis mixedviT zogadad da garkveuli minimaluri an kapitalis
`barieruli rentabelobis~ (hurdle rate of return) mixedviT.
435
faswarmmoqmnis mimarT es mid
dgoma s
sakmaod martivia da aqamde
mravalii bankis iyenebs mas.

`xarj
js plus s mogebaa~ meTod diT kred ditis Rirebul
R ebis mag
galiTi
moyvanillia cxril 5.16-S Si.
sakr
redito produqt
p tebis faaswarmoqqmnisadmi i es sakmaod martivi
m
midgoma efeqtu uri iqneb ba mxol lod im zomiT, rogori zusti iqneba
sawyisi monaceemebi daa daSveebebi, gansakuT
g rebiT konkr
retuli
msesxebllis deefoltis s albaT Tobis mimarT. mis mTavar m nakls
warmoaddgens is, room mseesxeblis s riskkis realuri done
gaTvali iswinebulia mx
xolod kredit tis mixedviT mosalodnel
(saSuallo) danaakargebS Si, maSin n roca im amo oqmedebul li kapi italis
zomac da `fas sic~, ro omeliTaac undaa moxdees gauTvaliswinebeli
danakarggebis daafarva, pirobiT Tad gamo oiTvleba (pirveelad dg gindeba
maregullirebeli organ noebis minimalu
m ur moTx xovnebTaan Sesab bamisad
kapitallis sakmarisoba,, xolo meored d – kapi italuiss minimallurad
misaRebii rent
tabelobaa bankiis mixeedviT zogadad
d). moccemuli
msesxebllisTvis danakar rgis jgu ufis mixxedviT saSualo volati ilobis
gamoyeneebisas amoqmed
debuli kapitalis R
Rirebulleba rogorc
436
kreditiis mixedvviT sapr
rocento ganakveT
Tebis mddgenisa SeiZleba
S a mainc
dadablebuli aRmoCnde
a es. mocemmuli ms
sesxebliis defoltis Sedegad
danakarggebis an
nazRaureba mogviwevs sxva
s sxebidan Semosavvlebis
ses
xarjze.

gardaa amisa, `xarjs

` plus moogeba~ mi
idgoma iTvaliswwinebs mx
xolod
defolt tis SeemTxvevaS
Si dan
nakargs da i
ignorereebas u
ukeTebs
kontraggentis finansu uri mdg gomareobis gauaresebi isas saabazro
Rirebullebebis Secvli is gamoo danakaargebs. rogorc c zemoT T iyo
ganxiluuli, aseTi
a gamarti
iveba d
dasaSveb ia daballikvviduri
isaTvis, iseTeb
aqtivebi bis rogoricaaa sesxeebi, romlebisaTvisac
problemmuria saamarTli iani sabaazro Riirebuleb sazRvra drois
bis gans
437
TiToeul momentSi, magram is miuRebelia finansuri bazris
instrumentebis faswarmoqmnisaTvis.
amasTan dakavSirebiT finansuri institutebi dainteresebuli
arian iseTi meTodikis SemuSavebiT da danergviT, romelic
kapitalis klientebis mixedviT, sakredito produqtebis da
realurad sakredito da sxva saxis riskebis zemoqmedebis
gaTvaliswinebiT saqmianobis mimarTulebiT ganawilebis
saSualebas miscemT. ekonomiis mizniT sasxrebis wyaroebidan
yvelaze Zviri kapitalis saWiroebis racionaluri dagegmva
finansuri mdgradobisaTvis zianis miyenebis gareSe warmoadgens
rentabelobis amaRlebis instruments da wonad konkurentul
upiratesobas Tanamedrove finansur biznesSi.
RAROC meTodiT gamoTvlebi Semdegnairad xorcieldeba:
1. ganisazRvreba riskis ZiriTadi faqtorebi (sabazro, sakredito,
operaciuli), romlis zemoqmedebasac ganicdis mocemuli sakredito
produqti an saqmianobebis mimarTuleba.
2. xdeba riskis TiToeuli faqtoris raodenobrivi Sefaseba im
maCvenebliT, romelsac gaaCnia `sabazro~ buneba.
3. xdeba wina sami wlis ganmavlobaSi istoriuli monacemebis
mixedviT sabazro maCveneblebis kvireuli volatilobis Sefaseba
da ganisazRvreba kapitalis moTxovnili zoma 99%-is toli
sandoobis intervalisaTvis sabazro riskis analogiurad (riskis
faqtorebis normaluri ganawilebisa daSvebis dros):
RC RAROC  V  2,33   Week  52  (1  T ) , (5.41)
sadac RC (riskcapita l ) - eknomikuri kapitalis moTxovnili zomaa;
V - poziciis zoma (Tanxa);
 week - riskis faqtoris kvireuli volatiloba;
T - kapitalis nazrdze dabegvris ganakveTia.
4. riskis yvela faqtoris, kontragentis da saqmianobebis
mimarTulebebis mixedviT xdeba kapitalis mimarT moTxovnaTa
agrerireba ajamvis gziT.
RAROC warmoadgens faswarmoqmnis SedarebiT ufro progresul
meTods tradiciul midgomasTan SedarebiT, ramdenadac saSualebas
iZleva Seudardes erTmaneTs riskis sxvadasxva donis mqone
saqmianobebis mimarTulebebi. es meTodi aseve SeiZleba efeqturad

438
gamoyenebuli iyos sakredito produqtebis da finansuri
instrumentebis faswarmoqmnaSi.
RAROC meTodis nakls warmoadgens misi gamouyenebloba iseTi
aqtivebis riskis Seafaseblad, romlebsac sabazro Rirebulebebi ar
gaaCniaT, aseve sxvadasxva finansuri riskebs, kontragentebs da
saqmianobebis mimarTulebebs Soris korelaciuri
urTierTdamokidebulebis ignorirebaSi.

5.20. qveynis riski

`qveynis riskis~ (country risk) qveS igulisxmeba msesxeblis
qveyanasTan dakavSirebuli mizeziT (romelSic is aris
daregistrirebuli, rogorc iuridiuli piri da/an axorcielebs
Tavis ZiriTad saqmianobas) saporocento gadaxdebis da/an valis
ZiriTadi nawilis gadaxdis Seferxebis, moculobaSi Semcirebis am
mTlianad gadaxdaze uaris Tqmis SesaZlebloba.
qveynis riskTan kompleqsuri midgoma gulisxmobs politikuri,
ekonomikuri, socialuri da ekologiuri riskebis gaTvaliswinebas,
riskebis, romlebic dakavSirebulia saxelmwifo regulirebasTan
(tarifebis da gadasaxadebis CaTvliT) da riskis sxva saxeebs,
romelTa ganxilva aucilebelia konkretuli kontraqtis mixedviT
zogad sakredito riskis konteqstSi. aucilebelia aseve
gaTvaliswinebuli iyos `dasnebovnebis~ SesaZlo efeqtebi –
sakriziso movlenebis gavrceleba erTi qveynidan meore qveyanaze da
regionze, rac gansakuTrebiT aqtualuria globalizaciis kuTxiT
msoflio meurnebisaTvis.

5.20.1 politikuri riski

qvynis riski umetesad gansazRvrulia politikuri faqtorebiT,
pirvel rigSi institucionaluri safuZvlebiT: saxelmwifos
konstituciuri mowyobiT, misi sakanonmdeblo da sasamarTlo
sistemebiT da samarTlebrivi normebis da gadawyvetilebebis
Sesrulebis efeqturobiT.
la portam, lopes-da-silanesma da viSnma Caatares statistikuri
analizi 49 qveynis mixedviT samarTleblivi sistemis Tavisaburebasa
da aqcionerebisa da kreditorebis dacvis xarisxs Soris
damokidebulebis gamovlenis mizniT. maT daadgines, rom qveynebSi,

439
sadac miRebulia anglo-saqsonuri Cveulebrivi samarTali, kanonebi
kreditorebis uflebas ufro maRali xarisxiT uzrunvelyofen,
vidre romauli, germanuli da skandinaviuri samarTlebrivi
tradiciebis mqone qveynebSi. romauli samoqalaqo samarTali
zogadad icavs kreditoris uflebas dabali xarisxiT. qveynis
kanonebis Sesrulebis TvalsazrisiT romauli samarTlebrivi
memkvidreoba gamoirCeva dabali discipliniT, maSin roca
germanuli da skandinaviuri samarTlebrivi tradiciebis mqone
qveynebi kanonebis da kontraqtebis praqtikaSi Sesrulebis mxriv
saukeTesoebs warmoadgenen.
es sxnis imas, Tu im qveynebSi, sadac samarTlebrivi kodeqsebi
aqcents akeTeben kreditorebis uflebebze, sabanko sistemis
ganviTarebis xarisxi, romelic izomeba kerZo seqtorze kerditiebis
wiliT mSp-Si, ufro maRali aRmoCndeba xolme im qveynebTan
SedarebiT, sadac kanonmdebloba ar iZleva kreditorebis
uflebebis maRali prioritetebis garantias gakotrebis an
msesxebeli-kompaniebis reorganizaciis SemTxvevaSi. garda amisa,
didi mniSvneloba aqvs sakanonmdeblo normebis Sesrulebis
praqtikas. qveynebSi, sadac sakanonmdeblo sistema uzrunvelyofs
kanonebis da kontraqtebis mkacr Sesrulebas, sabanko sistema ufro
kargadaa ganviTarebuli, vidre iq sadac aseTi Sesruleba naklebad
mkacrad xdeba.
politikuri riskis pirdapir kavSirSi imyofeba ara marto
samarTlebriv institutebTan, aramed politikuri procesis
konkretul monawileebTan, ZiriTad politikur moRvaweebTan,
romlebsac calkeul situaciaSi SuZliaT moaxdinon mniSvnelovani
zegavlena qveynis politikaze, vidre moqmed samarTlebriv normebs
an politikuri partiebis da gaerTianebebis ideologiebs.
politikuri riskis meore mniSvnelovan maCvenebels warmoadgens
aRmasrulebeli xelisuflebis saqmianoba – saxelmwifos
administraciul-marTvelobiTi aparatis, centraluri mTavrobis da
adgilobrivi organoebis CaTvliT. gansakuTrebuli yuradReba am
SemTxvevaSi unda mieqces qveyanaSi korufciis dones.
politikuri riskis Sefasebas Cveulebriv xarisxobrivi xasiaTi
aqvs, magram farTod gamoiyeneba raodenobrivi maCveneblebic,
rogorebicaa ganaTlebis done, urbanizaciis xarisxi, Semosavlebis

440
ganawilebis xasiaTi, mTliani Siga produqti erTsul mosaxleze,
Sobadobis done da sxva. qveynebs Soris am maCveneblebis
SedarebiTi analizi da maTi dinamikis gamokvleva saSualebas
iZleva gakeTdes daskvna mocemul qveyanaSi mokle da grZel
perspeqtivaSi politikuri riskis donis Sesaxeb.
cxril 5.17 mocemulia ZiriTad `subieqtur~ maCveneblebs Soris
empiriuli gamokvlevebis Sedegebi, romelebic asaxulia politikur
riskis, ekonomikuri zrdis da investiciebis meSveobiT. es
gamokvlevebi mowmoben politikuri riskis faqtorebis
gansakuTrebul mniSvnelobaze gardamavali ekonomikis mqone
qveynebisaTvis. ganxilul parametrebs SeiZleba mxolod inflacia
Sedardes ekonomikur zrdaze gavlenis xarisxis mixedviT, da aqedan
gamomdinare, grZelvadian periodSi saxelmwifoebis da
korporatiuli msexeblebis kreditunarianobaze.
im politikuri riskebis daweva, romlebic dakavSirebulia
pirdapir ucxour investiciebTan da gare vaWrobasTan, SeiZleba
moxdes dazRvevis gziT. politikuri riskebis dazRveviT Cveulebriv
dakavebulebi arian specialuri erovnuli da saerTaSoriso
saagentoebi, romlebic dainteresebuli saxelmwifoebis mieraa
Seqmnili.

5.20.2 ekonomikuri riski

ekonomikuri riski, romelsac aseve saxsrebis gadagzavnis riski
(transfer risk) ewodeba, ganisazRvreba im qveynis ekonomikuri da
finansuri maCveneblebiT, romlis teritoriazec imyofeba am
garigebis msesxebeli an kontragenti. am riskis Sefasebis procesi
bevrad hgavs msesxeblis sakredito analzs da mimdinareobs didi
raodenobis maCveneblebis CamonaTvalis mixedviT, romelTa analizi
xdeba rogorc sxva qveyanasTan SedarebiT, ise maT sakuTar
dinamikaSi21.
qveynis ekonomikuri riskis Sefaseba moicavs qveynis
sagadasaxado da savaWro balansis muxlebis da saldos, sagareo
valis moculobis da struqturis da oqro-savaluto rezervis

21 am analizs xSirad fundamentalurs (fundamental analysis) uwodeben, ramdenadac masSi

gamokvlevis obieqts warmoadgens fundamentaluri makroekonomikuri faqtorebi.
441
zomis analizs. ukanasknelTa mniSvnelovani sidide mowmobs qveynis
unarze moaxdinos sagareo valis momsaxureba, aseve daareguliros
erovnuli valutis gacvliTi kursis rxevebi. sxvadasxva msgavsi
pirobebis dros qveynis kreditunarianoba imdenad maRali iqneba,
ramdenadac ufro dadebiTia sagadasaxado balansis saldo da
Tavisufalad konvertirebadi valutis rezervebis, Zvirfasi
liTonebis da qvebis moculoba.
erovnuli valutis stabiluroba da saxelmwifos mxridan
sagareo valis momsaxurebis unari damokidebulia didi raodenobis
faqtorebze, romelTagan mniSvnelovans warmoadgens: inflaciis
tempi, savaluto regulirebis da rezervebis marTvis sferoSi
politika, fulad-sakredito da sabiujeto politika, eqsportis da
importis stuqtura, sagareo vaWrobaSi damcavi da mastimulirebeli
zomebi. nedleulze (gansakuTrebiT navTobze) msoflio fasebi,
bunebriv-klimaturi pirobebi da a.S. aucilebelia qveynis mier
sazRvargareT iseTi specialurad Seqmnil saerTaSoriso
organizaciebisagan, rogoricaa saerTaSoriso savaluto fondi da
msoflio banki, ucxouri saxelmwifoebis mTavrobebisagan,
saerTaSoriso finansur bazrebze da arasaxelwifoebriv
institucionaluri investorebisagan sesxis aRebis gziT savaluto
rezervis Sevsebis SesaZleblobis gaTvaliswineba. yvela am
faqtoris kompleqsuri analizi rTuli da Zvirad Rirebulia,
magram imis saSualebas iZleva, rom gakeTdes ekonomikuri
ganviTarebis zusti prognozi da srulad iqnas miRebuli damcavi
zomebi qveynis riskis zemoqmedebis dasawevad.
qveynis riskis eqspres-SefasebisaTvis gamoiyeneba ramdenime
sakvanZo maCvenebeli, romelic Tavisi SinaarsiT sakredito
analizSi gamoyenebuli koeficientebis analigiuria (ix. paragrafi
5.6).
qveynis riskis mniSvnelovan maCvenebels warmoadgens valis
momsaxurebis koeficienti (debt-service ratio), romelic drois
ganszRvruli periodisaTvis Semdegnairad gamoiTvleba:
საპროცენტო გადახდები ვალის ძირითადი თანხის ამორტიზაცია
(5.42)
საექსპორტო შემოსავალი
valis momsaxurebis koeficienti asaxavs qveyana-msesxeblis
`likvidurobas~. Tu am maCveneblis mniSvneloba 10%-ze dabalia, es
kargis niSania, magram misi kritikuli 25-30%-is donis gadaWarbeba
442
ukve mettyvelebs arasaxarbiel lo ekonoomikur mdgomar reobaze. ufro
sruli suraTis misaRebad aucilebelia valis struqqturis
analiziis detaalizeba kredit torebis, valut tis, moc
culebebbis da
gadaxdeebis gaanxorcieelebis WrilSSi, aseeve val
lis SeesaZlo
refinansirebis Seswavlla.

valiis momsaaxurebis
s koefi
icients gaaCnia rigi naklovaanebebi,
iseTebi rogor ricaa, magaliTTad, (5.42) fo ormulaSi mniSvnelis
mricxvellTan Sedarebi
S iT didi volaatilobaa, aseve ofici ialuri
statist
tikaze damokide
d ebuleba,, romel
lic Sei iZleba mniSvnel
lovnad
maxinjd
debodes da qvveyndebod des daagvianebiT. garda amissa, es
443
maCvenebeli asaxavs mxolod mTavrobis mier sakuTari valis
momsaxurebis mxolod mimdinare SesaZleblobas. statikurobis
Tavidan asacileblad rekomendirebulia gamoiTavlos gadaxdebis
balansis mimdimare angariSis saldos fardoba valis momsaxurebis
koeficientTan da moxdes mis dinamikaze dakvirveba.
qvemoT moyvanilia kidev erTi koeficienti, romelic gamoiyeneba
qveyana-msesxeblebis gadaxdisunarianobis SefasebisaTvis:
გრძელვადიანი საგარეო ვალი ლივიდური უცხოური აქტივები
(5.43)
შიგაეროვნული პროდუქტი
sadac grZelvadian sagareo valis qveS igulisxmeba davalianeba,
romlis dafarvis vadamde erT welze metia darCenili.
sagangaSo niშans warmoadgens am maCveneblis mniSvneloba,
romelic 50%-s aRemateba, xolo dasaSvebi done Sadgens 30%-s da
ufro naklebs.
zogierTi sxva maCveneli, romelic qveyana-msesxeblis
ekonomikuri mdgomareobis SefasebisaTvis gamoiyeneba moyvanilia
cxril 5.18-Si.
qveynis riskis analizisaTvis ucxoeli kreditorebi da
investorebi iyeneben statistikuri monacemebis sxvadasxva wyaros
da xarisxian informacias. qveynebis Sesaxeb farTo statistikur
monacemTa baza grovdeba da qveyndeba iseTi saerTaSoriso
organizaciebis mier, rogoricaa saerTaSoriso savaluto fondi,
msoflio banki, saerTaSoriso angariSsworebis banki, gaero, euTo
da sxva, magram maTi forma, decentralizaciis xarisxi da
ganaxlebis sixSire SeiZleba ar awyobdeT kerZo investorebs.
amitom analitikosebis udidesi yuradReba mipyrobilia umsxvilesi
saerTaSoriso sareitingo სaagentobis Sefasebebis da
prognozebisadmi, romlebic axorcieleben pirveladi informaciis
Segrovebas msoflios mraval qveyeneSi warmomadgenlobiTi
qselebis meSveobiT. garda amisa, arsebobs arcTu ise cota kerZo
saageto, sakvlevi centri da firma, romlebic qveynis riskis
SefasebiTaa dakavebuli, romelTa monacemebs SeuZliaT iTamaSon
damatebiTi faqtorebis roli mocemuli qveynis riskis integraluri
Sefasebis gansazRvraSi. qvemoT moyvanilia yvelaze cnobili aseTi
organizaciebi:
 Busness Environmemt Risk Intelligence (BERI);
 Comtrol Risk Information Services;
444
  Ecoonomist In ntelligen Unit;
U
 Eurromoney;
 Insttitutional Investor;
I
 Pollitical Risk
k Servicess: Internattional Cou
untry Riskk Guide (IR
RCG);
 Sta
andard & Poor’s
P Raating Grou
up;
 Moody’s Inve estor Servvices.

korporatiul li obl ligaciebis riskkebis an nalogiuurad SeiZleba

gamoyeneebuli iyos
i qvveyana-mseesxebliss riski is sabaz zro Sefaseba,
romelic c gamosaaxulia spredis
s – bazarrze mbruunavi moccemuli qveynis
saxelmwwifo obligciebis (rog
gorc wesi ganix
xileba
evrooblligacieb bi) da ganviTar
g rebuli qveynis (Cveuleebriv aS SS-s an
evrokavSSiris) obligac
o ciebis Semosavl
S lianobebbSi sxvaaobebis saxiT,
romelic c gamosaxulia erTi da d imave dafarvamde vad dis mqonne erT
valutaS Si. reittingebisaagan gan nsxvavebi
iT, es Sefasebaa warmo oadgens
absoluturs im i azriT, rom igi gamosaxug lia Semosavli ianobis
erTeullebSi. saakredito o spred di praqt tikulad d maSinaTTve reaagirebs
qveynaSi makrooekonomi ikuri mdgomarreobis da/an polittikuri

445
viTarebis cvlilebaze, amitom iTvleba qveynis riskis winmswreb
indikatorad.
5.20.1. qveynebis sareitingo sistemebi
sxvadasxva reitingis saxiT fardobiTi Sefasebebi sasargebloa
riskis donis mixedviT qveynebis Sesadareblad. arsebobs aseTi
reitingebis agebis midgomebis didi mrvalferovneba. magaliTad,
saagento Credit Risk International iyenebs kriteruimebis nakrebs,
romlebic warmodgenilia cxril 5.19-Si.
TiToeuli parametri, romelic mocemulia cxril 5.19-Si,
eqspertebis mier Sefasebulia kriteriumebis nakrebiT da
Sefasebebis gansazRvruli sistemiT. saeqsperto gamokiTxvis
Catarebisas saagento Credit Risk International iyenebs delfis meTods,
romlis mixedviTac eqspertebis jgufi TiToeuli kriteriumis
Sefasebis mimarT unda mivides saerTo azramde. yvela parametric
waemoadgens xarisxobrivs. damaxasiTebelia, rom im operaciis tipze
damokidebulebiT, romlis ganxorcielebasac gegmavs ucxoeli
investori, SeiZleba qveynis daskvniTi reitingis koreqtireba.
Euromoney reitinguli sistema moicavs rogorc xarisxobriv,
ise raodenobriv maCveneblebs Semdegi proporciiT: 25%-s Seadgens
ekonomikuri maCvenebelebi, romlebic Sefasebulia eqspertuli
gziT; 25% - Seadgens politikuri riskis faqtorebs, romlebic aseve
eqspertuladaa Sefasebuli; 10%-s _ msoflio bankis monacemebis
mixedviT gamoTvlili finansuri koeficientebi; 10%-s –
saxelmwifos savalo valdebulebebis reitingi da 5%-s – gareSe
sasesxo dafinansebis xelmisawvdomi wyaroebi.
moyvanili reitinguli sistemis upiratesobas warmoadgens im
sxvadasxvagvari riskis faqtoris gaTvaliswineba, romlebic
Sefasebulia reprezentatiuli eqspertTa jgufebis mier. maT nakls
SeiZleba mivkuTvnoT Semdegi:
 anketebis cnobili gamartivebuloba;
 gamoyenebuli parametrebisaTvis da kriteriumebisaTvis wonebis
Tavisufali arCevani;
 im eqspertTa Sefasebebis gasaSualeba, romlebic axdenen
gamokiTxvis monawileTa azris nivelirebas, romelTa azri ar
korelirebs umravlesobis azrTan (unda gvaxsovdes, rom ukiduresi
Sefasebebi yovelTvis ar warmoadgens mcdars).
446
 amasTan dakavSirebiT saagento Credit Risk International-is
eqspertebi iZlevian rekomendacias ganaxorcieldes tendenciebis
gamokvleva qveynis reitingTan dinamikaSi da Sefasdes maTi
saSualo mniSvneloba da dispersia.
belzakma SemogvTavaza qveynis riskis Sefasebis mizniT
22
gamogveyenebina CAMEL –is modificirebuli meTodika, amasTan
reitingis gamoTvlaSi Semavali parametrebma miiRes Semdegi
interpretacia:

 `mimdinare Semosulobebi~ xasiaTdeba gadaxdebis balansis

mimdinare saldos dinamikiT;
 `aqtivebis xarisxi~ gulisxmobs bunebriv da ekonomikur
resursebs, aseve adamianur potencials. am resursebis xarisxis

22 CAMEL(Capital, Assets, Management,Earning, Lequidity) _ bankis finansuri mdgomareobis

qulebiT (1-dan 5-mde) Sefasebis sistemaa, romelic gamoiyeneba sabanko zedamxedvelobis mier
aSS-Si. am SemTxvevaSi kapitalis nacvlad gamoiyeneba mimdinare Semosulobebi (current earnings),
xolo mogebis nacvlad _ `potencialuri Semosulobebi~ (earnings potential).
447
ZiriTad maCveneblebs warmoadgenen mSp da misi zrdis tempi,
investiciebis moculoba da mosaxleobis danazogi, Sromis
nayofiereba da inflacia;
 `marTvis xarisxi~ miekuTvneba saxelmwifos fulad-sakredito,
biujetur da socialur politikas, aseve mis unars gadawyvitos
krizisuli situaciebi socialur da politikur cxovrebaSi;
 `potencialuri Semosulobebi~ niSnavs gadaxdebis balansis
saldos prognozs iseTi faqtorebis gaTvaliswinebiT, rogoricaa
vaWrobis pirobebi, nedleulze msoflio fasi, gare bazarze
konkurencia, teqnologiebis progresi da a.S.;
 `likviduroba~ niSnavs qveyanaSi Tavisufalad mbrunavi
valutis (ZiriTadi wyaros) rezervis arsebobas da sasexo saxsrebis
xelmisawvdomobas, romelsac sxva centraluri bankebi gascemen,
msoflio sabanko fondi da msoflio banki.
riskis fardobiT (rangobriv) SefasebebTan erTad sasurvelia
iyos qveynis riskis uSualo raodenobrivi Sefasebis modelic. es
gansakuTrebiT aqtualuria ganviTarebadi da gardamavali
ekonomikis mqone qveynebisaTvis, romlebic SeiZleba aRmoCndnen
sareitingo saagentoebis mier asarCevTa CarCoebs miRma. zemoT ukve
ganxiluli iyo altmanis, hartcelis da pekas EMS modeli,
romlebic SemuSaebuli iyo korporaciuli msesxeblebis riskis
Sesafaseblad meqsikaSi qveynis (savaluto) riskis gaTvaliswinebiT.
ekonomikuri modelebis maRali sizusties miuxedavad, romlebic
agebulia Znelad prognozirebad makroekonomikur cvladebze,
qveynis kreditunarianobis raodenobrivi modelis SemuSavebis
mravali mcdeloba iyo. midgomebis umetesoba iyenebda Z -modelis
amaTuim variants an ofcionebis faswarmoqmnis modelebs, romlebic
EDF -is analogiurebia. magaliTad 1997 wels dimma SemogvTavaza
Semdeg eqvs makroekonomikur maCvenebelze dafuZebuli qveynis
riskis Sefasebis modeli:
 Tviuri importis rezerviT dafarvis koeficienti;
 gadaxdebis balansis deficitis fardoba mSp-sTan;
 gareSe sesxebis moculobis fardoba mSp-sTan;
 biujetis deficitis fardoba mSp-sTan;
 mep-s realuri zrda;

448
  inflaciis tempi.
qveynis riskis integraluri Sefaseba miiReba TiToeuli
moyvanili cvladisaTvis gamoTvlili Z indeqsis ajamviT. es
modeli saSualebas iZleva aixsnas ganviTarebadi qveynebisaTvis
`breidi~ (brady-bonds) obligaciebis mixedviT sakredito spredis
sidide.

5.21. sakredito riskebis marTva

5.21.1 sakredito riskebis marTvis procesi
finansur institutebs unda SeeZloT sakredito riskebis marTva
rogorc aqtivebis erToblivi portfelis doneze, ise calkeuli
msesxeblebis, operaciebis da sakredito produqtebis. sabanko
saqmeSi sakredito riskebis marTva warmoadgens mTeli risk-
menejmentis sistemis qvakuTxeds.
sazogadod sakredito riskebis marTva mdgomareobs riskis
Tavidan acilebasa, riskis mTeli moculobiT miRebasa (SesaZlo
dazRveviT an rezervirebiT) an riskis aqtiur marTvaSi misi
warmoSobis an Secvlis procesSi.
riskis Tavidan acileba niSnavs im moqmedebaze uaris Tqmas,
romelic dakavSirebulia miuRebelad maRal riskTan. riskis miReba
niSnavs qmedebis im dromde ganxorcielebas, vidre realizebuli
riskebis Sedegi ar mogviyvans aRudgenel danakargebamde. riskis
marTva gulisxmobs riskis Semcirebis an gazrdis gamo aqtiur
qmedebas misi albaTobis da zaralis zomis winaswari Sefasebis
safuZvelze. sakredito riskebis marTvis procesi moicavs Semdeg
etapebs:
 riskis idenTifikacia;
 riskis raodenobrivi Sefaseba;
 riskis monitoringi;
 riskis donis Secvlaze gadawyvetilebis miReba;
 riskis dasawevad (gasazrdelad) zomebis arCeva da realizacia;
 rikis zomis da miRebuli zomebis efeqturobis kontroli.
sakredito riskebis marTvis mTavar mizans warmoadgens aqtivebis
Semosavlianobis maqsimizacia riskis gaTvaliswinebiT misaRebi
parametrebis CarCoebSi mosalodneli danakargebis sididis
SenarCunebis da am danakargebis volatilobis Semcirebis gziT.
449
sasurvelia, rom risk-menejmentis sistema iTvaliswinebdes
sakredito riskis urTierTkavSirs finansuri riskebis sxva
saxeebTan, gansakuTrebiT sabazro riskTan.
sakredito riskis iseTi parametri, rogoricaa msesxeblis
defoltis albaToba, Cveulebriv warmoadgens kreditorisaTvis
egzogenurs (e.i. ar gaaCnia masze uSualo zemoqmedebis saSualeba),
magram mas SeuZlia efeqturad marTos sakuTari sakredito riskis
zemoqmedeba da davalianebis aRdgenis done, romlebic ufro
xSirad endogenur faqtorebs warmoadgenen.
am mxriv erT-erT mTavar problema – es aris sakredito riskis
koncefcia, romelmac SeiZleba sxvadasxva forma miiRos, da
Cveulebriv im SemTxvevaSi warmoiSoba, Tu finansuri institutis
portfelSi valdebulebaTa mniSvnelovani wili xasiaTdeba riskis
erTnairi zemoqmedebiT, aseve Tu SedarebiT didi raodenobis
kontragenti ekonomikis erTidaimave dargs, regions da qveyanasac ki
miekuTvneba. formaluri TvalsazrisiT sakredito riskis koncefcia
niSnavs kontragentebs Soris defoltebis korelaciis gazrdas an
sakredito reitingebis daqveiTebas, ramac SeiZleba migviyvanos
sakredito xdomilobis dadgomisas Zalian did zaralamde.

5.21.2 sakredito strategia

sakredito riskebis marTvis procesi mWidrodaa dakavSirebeuli
finanasuri institutis strategiasTan da im TanamSromlebis mier
mis dacvasTan, romlebic monawileoben sakredito riskebis marTvis
procesSi. am strategiaSi mkafiod unda iyos gansazRvruli
sakredito riskis mimarT bankis miznebi da politika, aseve
Sesabamisi wesebi da biznesis warmoebis procedurebi.
strategia asaxavs bankis damokidebulebas sakredito riskTan
zogadad da awesebs Semdegs:
 kontragentebis da zogadad portfelis mimarT sakredito
limitebs;
 sakredito dokumentaciis warmoeba;
 garigebis iuridiuli Tanxleba;
 msesxeblebTan kontraqtebis ganxorcieleba;
 garigebis sakredito pirobebis Sesrulebaze da
uzrunvelyofis mdgomareobaze kontroli da a.S.;
450
  firmis Sida informaciuli marTvelobis sistemebze
informaciis gadacema.
finansurma institutebma unda SeimuSavon da danergon
sakredito kontrolis sistema. sakredito kontroli mowodebulia
analizis gziT droulad moaxdinon potenciurad problemuri
savalo valdebulebebis identificireba:
 msesxeblis mimdinare finansuri mdgomareoba;
 msesxeblis mier sakredito garigebis pirobebis Sesruleba;
 sakredito resursebis miznobrivi gamoyeneba;
 valis momsaxurebis SesZleblobis prognozireba msesxeblis
fuladi saxsrebis moZraobis gegmaze dayrdnobiT da sxva.

5.21.3. sakredito riskis marTvis ZiriTadi xerxebi

defoltis dadgomisas SeiZleba gamoiyos sakredito riskis
zemoqmedebis, misi koncetraciis dawevis da danakargebis donis
marTvis Semdegi ZiriTadi xerxebi:
 sabazro RirebulebiT aqtivebis gadafaseba;
 valdebulebaTa uzrunvelyofa, kerZod marJis an giraos
SetaniT;
 mosalodneli da gauTvaliswonebeli danakargis dasafarad
saxsrebis rezervireba;
 limitireba;
 portfelis diversifikacia;
 Semxvedri moTxovnebis urTierTCaTvla (netingi);
 davalianebis Tanxis vadamdeli dabrunebisTvis pirobebis
SemuSaveba da valdebulebis moqmedebebis SeCereba;
 dazRveva;
 savalo valdebulebebis sekuritizacia;
 warmoebuli sakredito instrumentebis meSveobiT hejireba.
sakredito riskebis marTvis CamoTvlili xerxidan zogierTs
dawvrilebiT qvemoT ganvixilavT.
sabazro RirebulebiT gadafaseba
sabazro RirebulebiT aqtivebis Sefaseba (marking to market - MTM)
warmoadgens sakredito riskis zemoqmedebis dawevis erT-erT

451
yvelaze efeqtur xerxs. is varaudobs sabazro fasebis rxevis
Sedegad regularul safuZvelze gaxsnili poziciis mixedviT
mogebebis an zaralis fiqsacias, magaliTad, yoveldRiurad
(sabirJo garigebebisaTvis) an drois ufroxangrZlivi periodis
Semdeg (birJisgareT instrumentebisaTvis). Tu garigebis mixedviT
orive mxare simetriulad iTvaliswinebs mogebas an zarals, amas
uwodeben sabazro RirebulebiT ormxriv gadafasebas (two-way MTM),
xolo Tu mxolod erTi mxaris zaralia gaTvaliswinebuli, maSin
aseT meTods miRebulia ewodos sabazro RirebulebiT erTmxrivi
gadafaseba (one-way MTM).
sabazro RirebulebiT yoveldRiuri gadafaseba farTod
gamoiyeneba birJebis saaRricxvo palatebis mier rogorc
kontragentis riskis dawevis ZiriTadi xerxi. es ganasxvavebs
organizebul (sabirJo) bazrebs birJis gareTasagan, sadac ufro
xSirad ar arsebobs Suamavali, romelic SeZlebda mxareebis mier
garigebis valdebulebebis Sesrulebis uzrunvelyofas da
moaxdenda sabazro RirebulebiT poziciebis gadafasebas.
yoveldRiuri gadafasebis ganxorcielebiT sakredito riskis
mimdinare zemoqmedeba nulamde daiyvaneba. magram amasTan rCeba
sakredito riskis potencialuri zemoqmedeba, romlis realizeba
SeiZleba moxdes poziciebis mixedviT mogebis da zaralis momdevno
gadaangariSebis momentamde. sakredito riskis potencialuri
zemoqmedeba damokidebulia sabazro RirebulebiT gadafasebis
monentebs Soris droiTi intervalis xangrZlivobaze, aseve im
droze, romelic aucilebelia kontragentis defoltis SemTxvevaSi
poziciis salikvidaciod. rac ufro didia poziciis zoma, miT meti
dros daikavebs misi likvidacia, amasTan ar SeiZleba mTlianad
gamoiricxos birJis saangariSo palatis defoltis SesaZlebloba
ramdenime bazris monawilis mier poziciebis erTdrouli
likvidaciis SemTxvevaSi.
birJisgareT bazarze SesaZlebelia sakredito riskis
zemoqmedebis marTvis aseTi xerxi, rogorc sakupuno ganakveTis
gadasinjva (recouponing). am SemTxvevaSi xdeba instrumentis sabazro
RirebulebiT gadafaseba (magaliTad, svopis) drois garkveuli
periodis Semdeg kuponuri ganakveTis an gacvliTi kursis

452
erTdrouli SecvliT Seqmnili sabazro koniunkturis
gaTvaliswinebiT.
unda gvaxsovdes, rom sakredito riskis daweva sabazro
RirebulebiT Ria poziciis gadafasebis gziT TviTonaa
dakavSirebuli riskis axali saxeebis gaCenasTan, kerZod
operaciuli (poziciis Rirebulebis aRricxvis da yoveldRiuri
urTierT gaangariSebis ganxorcielebis gamo) da likvidurobis
(danakargis dasafaravad fuladi saxsrebis rezervis qonis gamo)
riskis.
sagarantio giraosadmi (marJisadmi) moTxovnebis dadgena
fiuCersuli kontraqtebiT momavalSi garigebebisas sakredito
riskis potencialuri zemoqmedeba SeiZleba daifaros marJis
(margin) xarjze, romelic warmoadgens kontragentis mier dadebuli
garigebis mixedviT valdebulebebis nawilobrivi uzrunvelyofis
formas.
birJaze axali poziciebis gaxsnisa monawilem mis mier
defoltis gamocxadebis SemTxvevaSi uzrunvelyofis mizniT unda
Seitanos klirigul mosakrebelSi sawyisi marJa. vaWrobebis
Sedegebis saangariSo palata yoveldRiurad gansazRvravs
monawileTa finansur Sedegebs (mogebas da zarals), romelsac
variaciuli marJa ewodeba. saangariSo palata Camowers im mxaris
angariSidan fuls, romelmac miiRo uaryofiTi Sedegi (romelsac
uaryofiTi variaciuli marJa gaCnia), da ricxavs im mxaris
angariSze romelsac dadebiTi Sedegi aqvs (romelsac dadebiTi
variaciuli marJa gaaCnia). am process zogjer `marJis
gadaangariSebas~ (remargining) uwodeben Tu gadatanili zaralis
Sedegad marJis sidide daecema gansazRvrul molaparakebiT
SeTanxmebul doneze dabala, bazris monawilem saangariSo
palataSi Tavis angariSze unda Seitanos damatebiTi saxsrebi,
winaaRmdeg SemTxvevaSi birJis mier misi pozicia iZulebiT iqneba
daxuruli.
marJis zoma dgindeba bazris volatilobaze da garigebi mizanze
damokidebulebiT: is Cveulebriv naklebia hejerebisTvis, vidre
spekuliantebisaTvis. zogierT birJaze marJis zoma gamoiTvleba
VaR meTodis safuZvelze rogorc 99% albaTobiT dRis
ganmavlobaSi fasis yvelaze uaresi cvlileba.

453
 uzrunvelyofa
uzrunvelyofis (aqtivebis giraos) Setana warmoadgens
sakredito riskis mimdinare da potencialuri zemoqmedebisagan
damcav zomas. uzrunvelyofis saxiT SeiZleba gamodges fuladi
saxsrebi, fasiani qaRaldebi an sxva likviduri aqtivebi, romelTa
realizeba SeiZleba kontragentis defoltis SemTxvevaSi
dakarguli aqtivebis asanazRaureblad. Cveulebriv aqtivebis
sabazro Rirebuleba, romlebic uzrunvelyofaSia gadacemuli unda
aRematebodes valdebulebeTa Tanxas, amasTan maT Soris
warmoSobili sxvaoba (haircut) gankuTvnilia kreditoris sabazro
riskis dasawevisaTvis. magaliTad, uzrunvelyofis saxiT naRdi
fulad saxsrebs eqnebaT nulovani sxvaoba, xolo saxelmwifo
fasiani qaRaldebisaTvis misi rxeva iqneba 1-dan 8%-mde diapazonSi
dafarvamde vadaze damokidebulebiT.
kontragentis sakredito riskis zemoqmedebis Sefasebisas
uzrunvelyofis arseboba unda gaviTvaliswinoT cxadi saxiT.
magaliTad, xuTwliani forvardisaTvis riskis potenciuri
zemoqmedebis gaangariSeba unda moxdes xuTi wlis ganmavlobaSi
savaluto kursis volatilobis safuZvelze. magram Tu garigebis
mixedviT kontragenti iRebs uzrunvelyofis Setanis valdebulebas,
da amasTan SeTanxmebis Tanaxmad gaTvaliswinebulia, rom Tu
uzrunvelyofa ar iqneba Setanili an misi sabazro Rirebuleba
daecema gansazRvul doneze dabla, da damatebiTi uzrunvelyofa
ar iqneba warmodgenili, maSin aseTi garigeba avtomaturad iqneba
Sewyvetili naRdi angariSworebis gziT 30 dRis ganmavlobaSi. am
dros riskis potencialuri zemoqmedebis gaangariSebisas unda
gamoviyenoT 30 dRiani volatiloba.
ormxrivi netingi
sakredito riskis zemoqmedebis dawevis erT-erT yvelaze moqmed
meTods warmoadgens moTxovnaTa orxmrivi urTierTCaTvla (netingi),
romelic saerTaSoriso bazrebze svopebiT garigebebis
standartuli piroba gaxda.
ormxrivi netingi warmoadgens ramdenime kontraqtis mixedviT
garigebebiT mxareebs Soris uerTierTSeTanxemebuli moTxovnaTa
CaTvla, romelic akmayofilebs garkveul moTxovnebs. defoltis
dadgomis SemTxvevaSi kontragents ar SeuZlia SeaCeros uaryofiTi

454
mimdinare Rirebulebis mqone kontraqtis mixedviT gadaxdebi, da
amave dros moiTxovos dadebiTi Rirebulebis mqone kontraqtis
mixedviT Canacvlebidan gadaxdebis miReba. amgvarad, netingis mizani
mdgomareobs imaSi, rom Semcirdes sakredito riskis zemoqmedeba
wminda davalianebis zomamde (neto-davalianebamde) yvela garigebis
mixedviT, romlebsac netingis Sesaxeb SeTanxmeba moicavs.
zemoT moyvanili (5.26) ganmartebis Tanaxmad sakredito riskis
zemoqmedeba netingis Sesaxeb SeTanxmebis ar arsebobisas, anu
bruto-zemoqmedeba (gross exposure - GE), gamoiTvleba Semdenairad:
N
GE   max(Vi ,0) , (5.44)
i 1

sadac N - mocemul kontragentTan kontraqtebis raodenobaa,

romlebic netings eqvemdebarebian.
netingis gamoyenebisas sakredito riskis wminda zemoqmedeba, anu
neto-zemoqmedeba (net exposure - NE), ganisazRvreba Semdenairad:
N
NE  max  (Vi ,0) , (5.45)
i 1

rogorc moyvanili gamosaxulebebidan Cans, NE  GE . netingis

Sedegad sakredito riskis zemoqmedebis dawevis efeqti imdenad
ufro mniSvnelovani iqneba, ramdenadac ufro metad xdeba
sxvadasxva kontragentebis kompesireba da rac ufro dabalia maT
sabazro Rirebulebebis cvlilebebSi korelacia.
sabanko zedamxedvelobis bazeris komiteti iseTi samarTlebrivi
reJimis arsebobisas, romelic mocemul kontragentTan
urTierTCaTvlebis Catarebis uflebas iZleva, bankebs nebas rTavs
garigebis mixedviT sakredito riskis gamoTvlisas gaiTvaliswinon
ormxrivi netingi. mimdinare sakredito riskis zemoqmedeba netingis
Catarebis gareSe gamoiTvleba rogorc yvela kontragentis
mixedviT Canacvlebis saerTo Rirebuleba (gross replacement value -
GRV), Tu yvela erTdroulad gamoacxadebs defolts:
K Nk
GRV   max(Vi ,0) , (5.46)
k 1 i 1

sadac K - kontragentebis raodenobaa.

valdebulebaTa uzrunvelyofis da netingis Sesaxeb SeTanxmebis
arsebobisas, Canacvlebis wminda Rirebuleba (net replacement value -
NRV) gamoiTvleba rogorc netingis gaTvaliswinebiT yvela

455
kontragentis mixedviT Canacvlebebis dadebiTi Rirebulebebis jami
uzrunvelyofis Rirebulebis gamoklebiT:
K Nk
NRV   (max  Vi ,0  C k ), (5.47)
k 1 i 1

sadac C k - k kontragentTan garigebis mixedviT uzrunvelyofis

sabazro Rirebulebaa.
limitireba
sakredito riskebis marTvis erT-erT ZiriTad xerxs warmoadgens
riskis zemoqmedebis limitireba, e.i. TiToeul msesxebelze,
msesxeblebis jgufze, calkeuli dargze, an ekonomikis seqtorze,
regionze, kokretuli saxis finansur produqtze da mTlianad
sakredito portfelze zogadad limitebis dawesebis sistema.
limitebis dawesebis sistema unda pasuxobdes Semdeg moTxovnebs:
 limitis moqmedeba vrceldeba yvela saxis saqmianobaze,
romelic sakredito riskTanaa dakavSirebuli;
 limitebis gamoTvlisas xdeba yvela saxis savaraudo
danakargis agrerireba;
 limitebi wesdeba konkretul msesxebelTan an maT jgufebTan
dakavSirebul Sida sakredito reitingebis sistemis safuZvelze;
 ar unda moxdes limitebis gadaxedva klientis moTxovniT;
 limitebi unda dawesdes stres-testirebis Sedegebis
gaTvaliswinebiT;
 limitebi unda wesdebodes kontragentis defoltis
SemTxvevaSi grZelvadiani poziciebis likvidaciis dros
warmoSobili riskebis gaTvaliswinebiT.
amis garda banki unda axorcielebdes mudmiv kontrols
faqtobrivad gadatanil danakargebze da adarebdes dadgenil
limitebs sakredito riskis Semcirebis zomebis miTiTebis mizniT.
limitebis dawesebisas aucilebelia gTvaliswinebuli iyos
Semdegi SezRudvebi:
 vadebis mixedviT;
 uzrunvelyofis mixedviT;
 valutis mixedviT.

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 finansuri institutebi sxvadasxvanairad wyveten limitebis
ganawilebas, magram Cveulebriv sakredito limitebi nawildeba
Semdeg jgufebad:
 regionuli (qveynis) limitebi;
 dargobrivi limitebi;
 erT msesxebelze limitebi.
regionuli (qveynis) riski warmoiSoba regionis an qveynis gareT
fuladi sasxrebis gatanisas. qveynis riskis CarCoebSi gamoiyofa
ori mdgeni: ucxoeli kontragentis sakredito riski, romelic
mdgomareobs qveynis gareT myofi garigebis mxaris mier Tavis
valdebulebebis SeusruleblobaSi, da fuladi erTeulis riski,
romelic saxelmwifos mier Tavisi valis momsaxurebis
SeuZleblobaSi mdgomareobs ucxouri valutis deficitis gamo.
sxvadasxva regionSi am qveyanaSi saqmianobis ganmaxorcielebelma
finansurma institutebma aucileblad unda SeimuSavon
regioneluri riskebis Sefasebis sistema da gansazRvron qveynebis
mixedviT valdebulebebSi Cadebis limiti. aseTi limitebis
dawesebisas gaTvaliswinebulia finansuri institutis damyarebuli
urTierTobebi adgilobriv klientebTan, markentingis strategiis
miReba da sakredito portfelis dabalansebisaken swrafva.
dargobrivi limitis gansazRvrisas aucilebelia ganxorcieldes
sakmaod didi raodenobis riskis dargobrivi faqtorebis analizi,
romelTagan yvelaze mniSvnelovans warmoadgenen:
 dargis mimdinare mdgomareoba da misi ganviTarebis
perspeqtivebi;
 dargis ganviTarebis cikluroba;
 konkurenciis done;
 teqnologiebis cvlilebebis mimarT mgrZnobeloba;
 dargebis mixedviT saSualod xarjebis struqtura;
 zrdis tempebi;
 gamoSvebuli saqonlis da moxmareblebis mixedviT
diversifikacia;
 dargobrivi SezRudvebi;
 maregulirebeli organoebis moTxovnebi;
 savaluto kursebis mimarT mgrZnobeloba.
457
 CamoTvlili faqtorebis kompleqsuri analizis Sedegad xdeba
dargobrivi riskis saboloo Sefaseba dargis Sida sakredito
reitingis saxiT. dargobrivi limitebi wesdeba Sida reitingebis
safuZvelze da SeiZleba gamosaxuli iyos, magaliTad, rogorc
kapitalidan gansazRvruli procenti an sasesxo davalianebis
erToblioba an kidev absoluturad gamosaxuli davalianebis Tanxa.
erTi msesxeblis limitebis gansazRvrisas aucilebelia
gaTvaliswinebuli iyos Semdegi faqtorebi:
 finansuri institutis im kapitalis wili, romlis
gasariskavadac is mzadaa;
 msesxeblis dargobrivi kuTvnileba;
 msesxeblis aqtivebis zoma;
 msesxeblis finansuri mdgradoba;
 potenciuri msesxeblis marTvis xarisxi;
 msesxeblis ganviTarebis perspeqtivebi;
 finansuri institutis urTierTdamokidebuleba mocemul
msesxebelTan;
 mocemul msesxebelTan operaciebis mixedviT riskis
gaTvaliswinebiT mosalodneli Semosavlianoba;
 ekonomikis saerTo mdgomareoba;
 maregulirebeli organoebis moTxovnebi.
erT msesxebelze limitebi SeiZleba dawesdes rogorc erT
calkeul operaciaze an momsaxurebis saxeze, ise mocemul
klientTan yvela saxis garigebze erTobliobaSi.
erT msesxebelze, dargze da regionze dawesebuli limitebis
dros bankma unda gaiTvaliswinos erToblivi davalianebis
maqsimalur zomis mixedviT SezRudvebi, imitom rom ar daarRvios
aqtivebis kapitaliT dafarvis Sesaxeb maregulirebeli organoebis
moTxovnebi. bankebs SeuZliaT TviTon daweson sakredito riskis
koncentaciis da davalianebis erToblivi zomis ufro mkacri
limitebi, vidre es gaTvaliswinebulia moqmedi zedamxedvelobis
organoebis minimaluri normativebiT.
davalianebis vadamdeli dabrunebis da valdebulebis
moqmedebebis SeCerebis pirobebi

458
 garkveuli sakredito xdomilobis dadgomisas SeTanxmebis
moqmedebis vadamdeli Sewyvetis pirobebi (credit triggers) warmoadgenen
defoltis riskisagan dacvis zomebs. isini mimarTulia ara imdenad
sakredito riskis zemoqmedebis dawevisaken, ramdenadac SeTanxmebis
moqmedebis periodis ganmavlobaSi kontragentis defoltis
albaTobisaken. kerZod, tipiur pirobas warmoadgens SeTanxmeba
msesxeblidan mTeli Tanxis vadamdeli moTxovna an svopis
dauyovnebliv gauqmeba da naRdi fuliT angariSsworeba
kontragentis sakredito xarixis gauaresebis SemTxvevaSi,
magaliTad, misi sakredito reitingis gansazRvrul doneze dabla
dawevis dros. meore magaliTad SeiZleba gamodges moTxovna
msesxeblis sakredito reitingis dawevisas gadasaxadeli
saprocento ganakveTis (sakredito spredis) gazrda. msgavsi
SeTanxmebebi ar uzrunvelyofen sakredito riskisagan srul dacvas,
ramdenadac maTi Sesruleba gamoiwvevs mxolod kontragentis
finansuri mdgomareobis gauaresebas.
gamoiyeneba aseve damcavi SeTanxmebebi SeTanxmebis upirobo
Sewyvetis Taobaze erT-erTi mxaris iniciativiT drois erT an
ramdenime winaswar gansazRvrul momentSi. isini iZlevian rogorc
sakredito riskis zemoqmedebis, ise kontragentis defoltis
albaTobis riskis dawevis saSualebas.
specialur Svilobil kompaniebTan garigebis dadeba, romlebic
`izorilebulni~ arian mSobeli kompaniebis defoltis riskisagan
sazRvargareTis praqtikaSi aseTi kompaniebi Cveulebriv
specialurad iqmneba warmoebuli instrumentebiT (derivatives product
company - DPC) vaWrobisaTvis an struqturirebuli finansuri
operaciebis Casatareblad. ukanasknel SemTxvevaSi maT xSirad
`specialur iuridiul pirebs~ (special purpose vehicle – SPV; special
purpose entity - SPE) uwodeben. aseT kompaniebs Cveulebriv maRali
sakredito reitingi aqvT da warmoadgenen mSobeli kompaniebis
gakotrebis riskisagan (bankruptcy-renote) `izolorebulebs~
sawesdebo dokumentebSi sxvadasxva iuridiuli SeTanxmebebis da
dadebuli garigebebis meSveobiT.

459
 5.22. sakredito warmoebuli instrumentebi
5.22.1 sakredito warmoebuli instrumentis cneba
sakredito warmoebuli instrumentebi23 (credit dirivatives)
warmoadgenen finansur bazarze maTi hejirebis meSveobiT
sakredito riskis marTvis SedarebiT axal instruments, e.i.
aqtivebis riskis nawilis an mTeli moculobis mesame pirze
gadacemas. sakrdito warmoebulebis bazris ganviTareba daiwyo 90
wlebis meore naxevarSi: magaliTad, Tu 1966 wels am bazris
moculoba fasdeboda 40 mlrd. dolarad, 1997 wlis bolos
brunvaSi myofi sakredito warmoebulebis saerTo pirobiTi
Rirebuleba ukve daaxloebiT 200 mlrd. dolars Seadgenda, 1998
wels is gaizarda 350 mlrd. dolaramde, 1999 wels – 500 mlrd.
dolaramde, 2000 wels gadaaWarba 700 mlrd, dolars, xolo 2002
wlis bolos miaRwia rekordul maCvenebels, 2,15 trilion dolars
(!).
sakredito warmoebuli instrumentebis swrafi zrdis tendencia
ganpirobebulia, pirvel rigSi, axal finansur instrumentze
moTxovnis mkveTri zrdiT, romlebic SesaZlebels gaxdidnen
mogebis da kompaniis saaqcionero kapitalis Rirebulebis
maqsimizacias arasasurveli sakredito riskis zemoqmedebis Tavidan
acilebis gziT da sasesxo portfelis riskis aqtiuri marTviT. es
produqtebi warmoadgenen `hibridul~ instrumentebs, romlebic
konstruqtireba xdeba klasikuri warmoebuli instrumentebis
safuZvelze, rogorebicaa svopi, fiuCersi da ofcioni, da SeuZliaT
erTdroulad moicvan riskis ramdenime sxvadasxva saxe.
tradiciuli warmoebuli instrumentebisaTvis likviduri da Rrma
bazrebis da maTi Rirebulebis Sefasebis modelebis arsebobisas
SesaZlebels xdis ganxorcieldes `samarTliani~ faswarmoqmna
axali finansuri produqtebisaTvis (romlebic, rogorc wesi,
brunaven birJis gareT bazarze da SeiZleba arc xdebodes maTi
saSualebiT vaWroba saerTod). sabolood, sakredito warmoebuli
instrumentebis bazaris ganviTareba birJis gareT safinanso bazris
yvela segmentis likvidurobis gazrdis saSualebas iZleva
kontragentis sakredito riskis dawevis xarjze.

23 literaturaSi aseve gamoiyeneba sxva saxelwodebac – sakredito derivativebi

460
 rogorc zemoT iyo aRniSnuli, sabanko saqmeSi yvelaze didi
(danakargebis moculobis mixedviT) sakredito riski warmoiSoba
sasesxo operaciebis Catarebis dros. sesxebi zogadad
aralikviduri aqtivebia, romelTa meoradi bazari sakmad sustadaa
ganviTarebuli (zogierTi gamonaklisiT: magaliTad, ipotekuri
giravnobis gamoklebiT). obligaciebisagan da sxva savalo fasiani
qaRaldebisagan komerciuli sesxebis mTavari gansxvaveba
mdgomareobs imaSi, rom bankebisaTvis am sesxebis faseuloba
gamoixateba banksa da msesxebels Soris xangrZlivi urTierTobis
Sedegad Tavisi msesexeblis Sesaxeb kerZo (bazrisTvis
xelmiuwvdomeli) informaciis xelmisawvdomobaSi. rogorc wesi,
Cveulebriv TviTon msesxeblebi negatiurad udgebian bankis mier
maTi davalianebis mesame pirze gadacemas (gayidvas), ramdenadac es
iwvevs maTze kerZo saxis finansuri informaciis gadacemasac.
swored aqedan warmoiSoba regionebis mixedviT an mrewvelobis
dargebis mixedviT is konkurencia, romelic ase xSirad gvxvdeba
sabanko sferoSi, miuxedavad, riskis TvalsazrisiT, sasesxo
portfelis diversifikaciis aSkara upiratesobisa. Tu bankebs ar
gaCniaT im aqtivebis gayidvis saSualeba an survili, romlebic
maRal sakredito riskTanaa dakavSirebuli, isini Zalian iqnebian
dainteresebuli im instrumentebiT, romlebic saSualebas
miscemdaT am aqtivze sakuTrebis uflebis SeenarCunebiT
nawilobriv mainc gadaecaT mocemuli riski mesame pirebisaTvis.
bankebi yidian da yiduloben sakredito warmoebul
instrumentebs ara marto sakredito riskis hejirebisaTvis, aramed
Tavisi portfelis diversificirebis mizniTac, (mosalodnel
Semosavlianobasa da gauTvaliswinebel danakargebs Soris
fardobis gazrda), aseve arbitraJuli mogebis misaRebad sxvadasxva
klasis aqtivebs, regionebs, dafarvamde vadebs, sakredito
reitingebs da bazris segmentebs Soris safaso Seusabamobisagan.
sakredito warmoebulebi warmoadgenen dabalansirebul
finanasur instrumentebs, romlebic erT-erT mxares, sakredito
dacvis myidevelebs (protection buyer), aZleven saSualebas aqtivebis
mixedviT sakredito riski gadaitanon sxva mxareze, romlebsac am
aqtivze sakuTrebis gadasvlis gareSe sakredito dacvis
gamyidvelebi (protection seller) warmodgenen. sakredito warmoebulebi

461
instumentebis winamorbedebs warmoadgenen iseTi kargad cnobili
finansuri instumentebi, rogorica garantiebi, Tavdebebi, sarezervo
akreditivebi da sadazRvevo xelSekrulebebi. sakredito
warmoebulebi sakredito riskis sxvadasxva saxis sakredito
produqtebis (sesxebis, obligaciebis, svopebis da sxva) flobis
raodenobrivi da xarisxovani aspeqtebidan `gamoyofis~ da
garkveuli gasamjelos fasad mis spekulatiurad ganwyobil
finansuri bazris monawileebze gadacemis saSulebas iZlevian.
sakredito warmoebulebi saSualebas iZlevian moxdes sakredito
riskis hejireba praqtikulad nebismieri misi mdgenis mixedviT:
sakredito xdomilobis saxis, sabaziso aqtivis Rirebulebis,
aRdgenis donis da dafarvamde vadis mixedviT. sakredito riskis
faswarmoqmna warmoadgens sakredito warmoebulebis mniSvnelovan
funqcias, amasTan misi sizuste izrdeba am instrumentebis bazris
ganviTarebasTan erTad.
sakredito warmoebulebi instrumentis Sesruleba niSnavs
garkveuli gadaxdis ganxorcielebas sakredito xdomilobis
dadgomisas: defoltis, sakredito reitingis dawevis an sakredito
spredis gazrdisas (sabazro fasis dawevisas bareieruli donis
dabla). bazarze SesaZlebelia sakredito warmoebulebiT rogorc
damoukidebeli an romelime sxva finansur instrumentSi
`CaSenebuli~ instrumentiT vaWroba.

5.22.2 sakredito warmoebuli instrumentebis saxeebi

zogad saxiT sakredito warmoebuli instrumenti warmoadgens
svops, ofcions, varants an forvards an sxva pirobiT
valdebulebas, romelic iTvaliswinebs fuladi nakadebiT gacvlas,
romlebic damokidebulia drois dadgenil periodSi garkveuli
sakredito xdomilobis dadgomaze. Cveulebriv aseT sakredito
xdomilebas warmoadgens defolti, sakredito reitingis daweva an
sabaziso aqtivis sabazro Rirebulebis mniSvnelovani dacema.
sakredito warmoebulebis klasificireba Semdegi niSnebis
mixedviT SeiZleba:
1) sabaziso aqtivis saxe, romelic SeiZleba iyos rogorc
garkeuli sesxi, ise kreditebis (fuli) jufi;

462
 2) xdomiloba, romelsac instrumentis Sesrulebamde mivyavarT:
sakredito xdomiloba (defolti an sakredito reitingis daweva) an
sakredito spredis zrda;
3) gadaxdebis xasiaTi, romelic SeiZleba iyos rogorc
fiqsirebuli, ise cvalebadi (wrfivi da arawrfivi).
cnobilia sakredito warmoebuli imstrumentebis Semdegi
saxeebi:
 sakredito svopi;
 pirvel defoltamde svopi;
 saindeqso svopi;
 sakredito notebi;
 sakredito spredze forvardi;
 sakredito spredze ofcioni.
sakredito svopi24 (credit default swap – CDS, credit swap, default swap)
warmoadgens SeTanxmebas, romlis Tanaxmad dacvis myidveli
periodulad uxdis dacvis gamyidvels fiqsirebul premias
garkveul aqtivze (reference asset) mis mier aRebuli riskis
sanacvlod, e.i. warmoadgens pirobas sakredito xdomilobis
dadgomis SemTxvevaSi gansazRvruli gadaxdebis ganxorcielebis
Sesaxeb.
zogad SemTxvevaSi am gadaxdebis zoma unda asaxavdes aqtivis
nominalur Rirebulebasa da mis realur sabazro Rirebulebas
Soris sxvaobas defoltis gamocxadebis Semdeg. radgan praqtikaSi
xSirad warmoiSoba uTanxmoeba bazarze arasavaWro aqtivebisaTvis
ukanasknelis gansazRvris meqanizmis gamo, SesaZlebelia
gaangariSebis sxvadsxva forma, maT Soris:
 fiqsirebul zomaSi erTdrouli gadaxda, romelic asaxavs
sabaziso aqtivis mixedviT mosalodnel danakargebis dones
aRdgenis gaTvaliswinebiT;
 naRdi fuliT gadaxda (cash settlement), e.i. Sesrulebis fasis
toli gadaxda svopis safuZvlad mdebare obligaciis an sxva
aqtivis mimdinare sabazro fasis gamoklebiT;

24 am instrumentis meore dasaxeleba: defoltze svopi, valdebulebebis

Seusruleblobaze svopi.
463
  aqt
tivis fizikuri
f i miwod deba (p physical settlemennt ), romlis
r
mixedviTTac gamocxadeebulia defolti, zo ogierTi fiqsirrebuli
gadaxdi is sanacvvlod (maagaliTaad, aqtivvis nomin naluri Rirebul
lebis).
iseve rogorc pot tenciurii anu savaluto o svopis
s SemTx
xvevaSi,
garigebi is mixed
dviT mxar
reebs Sooris SeT Tanxmebis s Sesruleba SeiZleba
uzrunveelyos Suamavalma (dileerma). st tandartu redito svopis
uli sakr
mixedviTT gadaxddebis sqema moceemulia nax.
n 5.7-ze.

sakr
redito svopi warmmoadgens
s sakr
redito warmo
oebuli
instrummentebis klasikkur sax xes, ramd denadac masze ar moqqmedebs
sabazisoo aqtivis sabazro Ri irebuleb bis cvllileba manmade, sanam
misi mix
xedviT ar r dgeba sakredi ito xdoomileba.
vTqvvaT, magaaliTad, sakredi ito dacvis myid dveli deebs erTw wliani
vadiT dad 100 mln. do olari Rirebul lebis sakredit
s to svops s ABC
kompaniiis xuTTwlian obligaciebze. dacviis myid
dvelma unda
gadaixaddos yovvelwliu urad svo opis pirrobiTi Tanxidan 50 s.p.. wlis
dasawyissSi is dacvis gamyidveels uxd dis 500 aTas dolars.
d wlis
bolos ABC ko ompania acxadeb bs defo olts Taavisi vaaldebul lebebis
mixedviTT, romel lTa Rir rebuleb ba dolaarze 40 centiT ecema. dacvis
gamyidveeli er
rTdoulad uxd dis myyidvels 60 m
mln. dolars
kompensaaciis saxiT sakrediito ri iskis Sedegad gamowwveuli
danakarg gisaTviss.
redito svopebi xSirad `CaSeneebulebi~~ aRmoCn
sakr ndebian xolme
sxva fiinansur instrummentebSi.. magali iTad, SeeiZleba vaCvenoT T, rom
sakredito riskTan
r dakaavSirebu
uli obligac ciis SeZena
eqvivaleenturia urisko o oblig gaciis yidvasa
y da sakrredito svopis
gayidviss.
sakr
redito svopis nairsax xeobas warmoad dgens e..w. `sakaalaTe~
svopi25 (basket default
d sw
wap), romelSic sabazis so aqtivs warmo oadgens

25 sxvva saxelwodebaa: defo

oltze sakalaTe svopi
i
464
sesxebis an obligaciebis nakrebi (`kalaTa~). aseTi svopis mixedviT
gadaxdebs SeiZleba hqondeT sxvadasxva struqtura da zogadad ar
warmoadgenen aqtivebis `kalaTis~ Semadgenel aqtivebze sakredito
svopis mixedviT gadaxdebis martiv jams. magaliTad, sakredito
dacvis moculoba SeiZleba SemosazRvruli iyos zemodan raRac
fiqsirebuli TanxiT, romlic sruli gadaxdisas `kalaTidan~
nebismieri aqtivis mixedviT Semdgomi defoltebi ukve aRar
daifareba dacviT. sakalaTe svopis sxva saxe iTvaliswinebs
anazRaurebis gadaxdas nebismieri magram mxolod `kalaTidan~
erTi aqtivis mixedviT defoltis dadgomis SemTxvevaSi, romlis
Semdegac svopis moqmedeba wydeba. aseT svops uwodeben pirvel
defoltamde `sakalaTe~ svops (first-of-basket-to-dafault swap, first-to-
default swap). sxvadasxva Tanabari pirobebis dros pirveli
defoltis svopi ufro Zviri eRireba dacvis myidvelisaTvis, vidre
calkeuli sakredito svopi `kalaTidan~ romelime aqtivze, magram
amave dros is ufro iqneba ufro iafi, vidre sakredito svopebis
portfeli `kalaTidan~ TiToeul aqtivze calk-calke. dacvis
myidveli cdiloba aseTi svopi dados SedarebiT ufro
korelirebuli aqtivebis mimarTebiT, amasTan misi Rirebuleba
iqneba ufro maRali, rac ufro dabalia sxvadasxva aqtivebis
mixedviT defoltis dadgomebs Soris korelacia.
unda gvaxsovdes, rom sakredito svopebi ar iZlevian sakredito
riskis srulad Tavidan acilebis saSualebas. dacvis myidveli
mniSvnelovnad dabla swevs sabaziso aqtivis mixedviT sakredito
rikis zemoqmedebas, magram amavdroulad ganicdis dacvis
gamyidvelis valdebulebebis Seusruleblobis risks. amis gamo
aseTi hejireba efeqturi iqneba mxolod sabaziso aqtivis mixedviT
defoltsa da svopis mixedviT kontragentis defolts Soris
dabali korelaciis dros.
erTobliv Semosavalze svopi26 (total rate of return swap, total return
swap - TRS) warmoadgens ormxriv SeTanxmebas, romlis mixedviT
gasazRvruli aqtivis mixedviT yvela Semosavali drois
SeTanxmebuli periodis ganmavlobaSi icvleba sxva periodul
gadaxdebze. sakredito dacvis myidveli iRebs miTiTebuli aqtivis

26 sxva saxelwodebaa: srul Semosavlianobaze svopi, yvela fulad nakadze svopi.

465
mixedviT
T saerT To Semo osavlian nobis toli
t peeriodul li gadaaxdebis
ganxorccielebiss valdeb bulebas s (sabazrro Rireebulebis s namats s plus
kuponurri gadaaxdebi). Tavis mxriv, dacvis s gamyi idveli iRebs
TavisTavze winaswar gansazRvrul li saprrocento o ganakveTiT
gadaxdeebis valldebuleebas, magaliTad d saxel lmwifo obligaaciebis
Semosavllianobis ekvivaalentur ganakveeTs (an LIBOR gaanakveTs)) plus
sakredito spredi. Tu u aqtivi is Rireebuleba ecema, maSin dacvis
myidvel
li iRebs gadaxdeebs kont tragenti isagan, Tu
T aqtivi is Rireb buleba
izrdebaa, maSin gadaxd debi uku umimarTu ulebiT xdeba, e.i. myid dvelis
sasargebblod gamyidve
g lis mi ier. erT Tobliv Semosavalze svopis
mixedviT
T angari iSsworeb bis sqemaa gamosaxxulia nax. 5.8-zee.
zemo
oT ganxi iluli sakredit
s to svopi isagan errTobliv Semosaavalze
svopis gansxvaaveba immaSi mdgomareo obs, rom sakreedito svopSi
gadaxdeebi ganpirobebul lia konkkretuli i xdomil lobis dadgomiT T, maSin
roca erToblliv Seemosaval
lze svvopis gadaxdeebiT g
gacvla
kontraggentebs Soris xorcieeldeba mis sabazro
s Rirebu ulebis
cvlileebaze daamokideb bulebiT,, da ar ra svopis safuZZlvad mdebare
aqtivis mixedvviT sakkredito xdomi ilebis dadgommiT. amg gvarad,
erToblliv Semosavalzee svopi uzrunve
u lyofs ara mart to sakr redito,
aramed romelime aqtivvis flo obsTan dakavSir
d rebul (ra Tqmaa unda,
sakredito dacvis g
gamyidvel lis saaimedoob bis dr
ros) saabazro
riskisaggan dacvvas. es miiRweva am aqtivvis pird dapiri gaayidvis gareSe
sabazroo Rireebulebis s gadaafasebiss safuuZvelze. TavissTavad,
erToblliv Semmosavalze svo
opis d
dadeba eqvival
lenturiaa mis
safuZvlldad mdebare aqtivis s yvelaa ekono omikuri riskis s misi
pirdapirri gayid
dvis gareSe.

466
 erTobliv Semosavalze svopis moTxovna xSirad warmoiSoba
saerTaSoriso safinanso bazarze operaciebis dros. vTqvaT A banks
surs miiRos Semosavlebi raRac aqtivis mixedviT, romelic
dakavSirebulia sakredito riskTan. A banki Tanaxmaa Tavis Tavze
aiRos Sesabamisi riski, magram amaTuim mizezis gamo ar surs an ar
gaaCnia saSualeba SeiZinos es aqtivi an iyos misi mflobeli
(magaliTad, maregulirebeli organoebis akrZalvis gamo). am
SemTxvevaSi A banks SeuZlia mocemuli aqtivis SeZenis
Rirebulebis kompesirebiT dados B bankTan erTobliv Semosavalze
svopi da periodulad gadauxados mas garkveuli SeTanxmebuli
premia. B banki, Tavis mxriv, A bankis sasargeblod agzavnis am
aqtivis flobiT miRebul mTel Semosavals (procentebs,
dividendebs, Rirebulebis nazrds). rogorc wesi, A banki svopis
mixedviT Tavisi poziciis hejirebas axdens sabaziso aqtivis an
`sinTetikuri~ aqtivis SesyidviT – warmoebuli instrumentebiT
poziciiT, romlebic qmnian moTxovnil fulad nakads.
moviyvanoT erTobliv Semosavalze svopis mixedviT
angariSsworebis magaliTi. davuSvaT, rom banki aZlevs ABC
kompanias 100 mln. dolaris sesxs wliur 10%-ad. banki Tavisi
sakredito da sabazro riskebis hejirebas axdens erTobliv
Semosavalze svopis dadebiT dacvis gamyidvelTan, romlis
mixedviTac ukanaskneli iRebs valdebulebas banks gadauxados
svopis pirobiTi Rirebulebidan LIBOR  50 s.p. ganakveTiT kreditis
mixedviT miRebuli procentebis da misi sabazro Rirebulebis
cvlilebis sanacvlod. vTqvaT LIBOR mimdinare ganakveTi 9%-is
tolia, xolo kreditiT Rirebuleba erTi wlis Semdeg daeca 95
mln. dolaramde. Sedegad bankis wminda valdebulebebi Seadgenen:
1) sesxze saprocento gadaxdebis gadaxdas:
100 mln. dlr.  10% = 10 mln. dlr.
2) dacvis gamyidvelisagan fiqsirebuli gadaxdebis Semosvla:
100 mln. dlr.  9,5% =9,5 mln. dlr.
3) sesxis sabazro Rirebulebis cvlilebis gadaxda
(95 -100)/100  100 mln.dlr. = -5 mln. dlr.
bankis saerTo Semosavali Seadgens: -10 + 9,5 – (-5) = 4,5
(mln.dlr.). amgvarad, erTobliv Semosavalze svopis gamoyenebam

467
svopis mixedviT mogebis xarjze banks aqtivis sabazro Rirebulebis
dacemis kompesaciis saSualeba misca.
sakredito noti27 (credit-linked note - CLN) ar warmoadgens
damoukidebel warmoebul instruments, aramed is aris kombinacia
fasiani qaRaldis Cveulebrivi procentis (notis) raime pirobasTan,
romelic sakredito riskTanaa dakavSirebuli. aseTi garigebis
mizans warmoadgens ufro maRali Semosavlianobis miReba
SeTanxmebuli aqtivis mixedviT sakredito riskis nawilis
TavisTavze aRebis xarjze.
sakredito notis gamoSveba Cveulebriv gulisxmobs satrasto
kompaniis formaSi specialuri iuridiuli piris dawesebas (special
purpose vehicle - SPV), romelic investorebze yidis sakredito
notebs, amasTan yidvis momentSi gadaxdili Tanxa iTvleba am
instrumentis nominalur Rirebulebad. naRdi fuladi saxsrebis
Tanxa, romelic amoiReba sakredito notis gayidviT qmnis trastSi
gadasagzavn uzrunvelyofas, romelic Seadgens myidvelisaTvis
aucilebel sakredito dacvas. trasti gamodis dacvis nominaluri
gamyidveli da ikavebs sakredito svopis mixedviT mokle pozicias.
fuladi sasxrebis Cadeba xdeba pirveli klasis fasian qaRaldebSi,
xolo miRebuli Semosavali plus premia, romelsac dacvis
myidveli ixdis trastis saSualebiT gadaecema sakredito notebis
mflobels. defoltis dadgomis SemTxvevaSi uzrunvelyofa
gamoiyeneba dacvis myidvelis asanazRaurebeli gadaxdisTvis, xolo
saxsrebis naSTi investorebs Soris gadanawildeba (nax. 5.9).
investori axorcielebs sakredito notis nominaluri
Rirebulebis tol gadaxdas. romlis Tanxa Seadgens trastSi
gadasagzavn uzrunvelyofas. satrasto kompania axdens miRebuli
fuladi saxsrebis investirebas AAA reitingis mqone fasian
qaRaldebSi da debs bankTan, dacvis myidvelTan, sakredito svops.
fasiani qaRaldebs LIBOR  10 s.p ganakveTis zomis Semosavlianoba
moaqvT. bankze gayiduli sakredito svopi uzrunvelyofs damatebiT
20 s.p. zomis Semosavlianobas. maSin investorze perioduli
gadaxdebi Seadgens noti nominaluri Rirebulebidan LIBOR  (10  20
s.p.)-s. SeTanxmebuli aqtivis mixedviT defoltis dadgomis

27 sxva saxelwodebaa: sakredito (warmoebuli) fasiani qaRaldi.

468
SemTxvevvaSi sat
trasto kompani
ia bank-mmyidvels
s uxdis
s kompen
nsacias
uzrunveelyofaSSi gadac
cemuli sasxrebidan, xo olo naSSTi gad
daecema
investors.

sakr
redito spredzee forvaardebi da ofc cionebi warmoaadgenen
warmoebul ins strument tebs, ro omelTa Rirebu uleba damokide
d ebulia
sabazisoo aqtivvsa da eqvivalentur (dafarva ( amde vaddiT) aqtivebs,
yvelazee xSirad d saxelmwifo obligac o iebs Soris SemosavliaanobaSi
sxvaobazze. sakr redito spredz ze for rvardi (credit spreads f
forward)
warmoaddgens ormxriv
o finansu ur kont traqts, romli is Tanaxmadac
myidvel
li Sesr rulebis moment tSi iRebs sakkredito o spred ds da
kontraqqtSi daf fiqsirebul spreeds Soris sxvao obas, Tu is dadebiTia,
an TviT Ton ixd dis mas s, Tu is i uaryyofiTia. sakred dito sppredze
forvard dis mixedviT
m gadaaxdebi SeiZleeba gaanxorcieldes,
magaliTTad, Semddegi for rmuliT:
gadaaxda = ( S  F )  D  N , (5..48)
sadaac S - faaqtiuri sprediaa;
F - kontraqt
k tSi dafiqsirebu uli spredi;
D - sabaziso
s o aqtivis s modificirebuli duracia;
N - kontraqtis piro obiTi Tanxa.
gadaaxdis zoma
z aseeve SeiZZleba gamoisaxo g os aqti ivebis fasebis
f
mixedviTTac:
gadaaxda = ( P ( y  F , t )  P ( y  S , t )))  N , (5.49)

469
 sadac y - eqvivalenturi saxelmwifo obligaciis dafarvis
mimarT Semosavlianobaa;
P - dafarvamde darCenili t wlis vadiT sabaziso aqtivis
mimdinare Rirebulebaa, romelic gamoTvlilia Sesabamisad y  S an
y  F toli ganakveTis mixedviT diskontirebis gziT.
Tu S  F , maSin sakredito spredze forvardis myidvelis
gadaxda iqneba dadebiTi, xolo Tu F  S _ uaryofiTi.
sakredito spredze ofcioni (credit spread option) warmoadgens
ormxriv kontraqts, romelic uflebas aZlevs mis myidvela
`gayidos~ an `iyidos~ kontragentis sakredito spredis nebismieri
nazrdi gansazRvruli premiis gadaxdis sanacvlod. sakredito
spredze `fuT~ ofcionis mixedviT gadaxdis zoma Semdegnairad
ganisazRvreba:
gadaxda = max( S  F ,0)  D  N , (5.50)
sadac F - `Sesrulebis fasia~ (sakredito kontraqtSi
dafiqsirebuli).
amgvarad gansazRvruli `fuT~ ofcioni iqneba `mogebiT~, Tu
faqtobrivi sakredito spredi gadaaWarbebs kontraqtiT
SeTanxmebul dones.
Sesabamisad, sakredito spredze `qol~ ofcionis mixedviT
gadaxda toli iqneba:
gadaxda = max( F  S ,0)  D  N , (5.51)
sakredito spredze `qol~ ofcionis Siga Rirebuleba dadebiTi
iqneba (ofcioni `mogebiT~), Tu realuri sakredito spredi naklebi
iqneba, vidre Sesrulebis spredi.
saindeqso svopi (index swap) warmoadgens obligaciis da
sakredito spredze ofcionis kombinacias. obligaciebis mixedviT
kuponuri gadaxdebi da ZiriTadi Tanxis dafarva yoveljerze
gadaiTvleba ofcionis pirobidan gamomdinare. davuSvaT, rom bankma
gamouSva fiqsirebuli ganakveTis kuponis mqone obligacia
mosaxleobis sesxis dafinansebis mizniT. ofcioni saSualebs
iZleva Semcirdes saprocento ganakveTi x s.p.-iT mocemuli qveynis
sabanko sistemis mixedviT aseT kreditze gadavadebuli
davalianebebis saerTo Tanxis y %-iT gadidebisas. amiT ofcioni
kompania-emitents icavs maRali kuponuri ganakveTis gadaxdisagan

470
gadavadebuli samomxmarebli sesxebis moculobis gazrdis
SemTxvevaSi.

5.22.3. sakredito warmoebuli instrumentebis Rirebulebis

Sefasebis meTodebi
sakredito warmoebulebi rTul instrumentebs warmoadgenen,
romlebic ganicdian sakredito riskis zemoqmedebas rogorc maT
safuZvlad arsebuli ZiriTadi aqtivis mixedviT, ise garigebiT
kontragentis mixedviT, aseve sabazro riskis mixedviTac. sakredito
warmoebulebis Siga Rirebuleba zogadad mraval faqtorzea
damokidebuli, maT Soris:
 sabaziso aqtivis da dacvis gamyidvelis defoltis
albaTobebis erTobliv ganawilebaze;
 defoltis dadgomis droze;
 sabaziso aqtivis mixedviT davalianebis aRdgenis koeficientis
ganawilebaze;
 davalianebis aRdgenisaTvis aucilebel droze;
 sabaziso aqtivis mixedviT valdebulebebis Sesrulebis
rigiTobaze;
 urisko aqtivebis, sabaziso aqtivis da mocemul kontragenTTan
garigebebis mixedviT saprocento ganakveTebis droebiT sruqturaze;
 sabaziso aqtivis mixedviT davalianebis amortizaciis
grafikze;
 sabaziso aqtivis mixedviT davalianebis vadamdeli dafarvis
albTobaTa ganawilebaze;
 instrumentiT gadaxdebis daxasiaTebaze (fiqsirebuli an
mcuravi saprocento ganakveTis safuZvelze)
 sakrdito dacviT daufaravi sabaziso aqtivis mixedviT
danakargebze;
 defoltis, vadamdel dafarvas, aRdgenis koeficients da
saprocento ganakveTs Soris korelaciaze.
praqtikaSi Cveulebriv sakredito warmoebulebis Rirebulebebis
miaxloebiT Sefasebas iyeneben, romlis drosac CamoTvlili
faqtirebidan erTi an ramdenime faqtoris ignorireba xdeba,
magaliTad, kontragentis defoltis.

471
 sakredito warmoebulebis Rirebulebebis SefasebisTvis
gamoiyeneba igive ZiriTadi midgomebi, rac defoltis albaTobis
SefasebisaTvis: aqtuaruli midgoma da obligaciebis an aqciebis
fasebis sakredito spredze dafuZnebuli midgoma.
aqtuaruli midgoma saSualebas iZleva miviRoT sakredito
warmoebulebis mixedviT mosalodneli danakargis Sesaxeb
obieqturi Sefaseba defoltis, sakredito reitingebis migraciis da
davalianebis aRdgenis koeficientebis mixedviT monacemebis
statistikuri analizis gziT. aqtuaruli Sefaseba asaxavs im
rezervis saSualo zomas, romelic aucileblad unda Seiqmnas
mocemuli instrumentebis mixedviT danakargebis winaRmdeg, xolo
misi sizuste unda gvesmodes mxolod statistikuri azriT, e.i.
sakmaod didi moculobis SerCevebisaTvis.
am midgomis ilustrirebisTvis ganvixiloT gamartivebuli
magaliTi. vqTvaT, aucieblad gvWirdeba moqmedebis 2 wliani vadis
mqone 10 mln. pirobiTi Tanxis sakredito spredis Rirebulebis
Sefaseba, romlis mixedviTac dacvis myidveli mis gamyidvels uxdis
fiqsirebul wliur gadaxdebs ABC kompaniis obligaciebis mixedviT
defoltisagan dazRvevis sanacvlod. defoltis SemTxvevaSi
gadaxdis zoma Semdegnairad ganiszRvreba:
gadaxda = N  max(100  B,0) ,
sadac N - svopis pirobiTi Tanxaa;
B - svopis moqmedebis damTavrebis momentSi obligaciis fasia.
ABC kompaniis obligaciebs gaaCniaT A reitingi da 6,6%-iani
wliuri Semosavlianobebi, xolo orwliani saxelmwifo
obligaciebis Semosavlianoba Seadgens 6%-s.
sakredito reitingis migraciis albaTobebi mocemulia
gamartivebuli gadasvlis marticis saxiT (cxrili 5.20).
ABC kompaniam SeiZleba pirvel wels gamoacxados defolti
P( D | A0 )  0,01 albaTobiT an meore wels P( D2 | A1 ) P( A1 )  P( D2 | B1 )  P( B1 ) 
 P( D2 | C1 ) P(C1 )  0,01 0,90  0,02  0,07  0,05  0,02  0,0114 albaTobiT.
Tu aRdgenis koeficienti 40%-is tolia, maSin sakredito dacvis
saSualowliuri Rirebuleba (diskontirebis gareSe) Seadgens:
10 mln.dol.  (1 – 0,4)  (1% + 1,14%) / 2 = 64 200 dol.

472
 miRebuli sidide imdenad iqneba zusti, ramdenadac zustia
Semavali parametrebis Sefasebebi: sakredito reitingis, misi
migraciis albaTobis da aRdgenis donis.

meore midgoma, im obligaciebis sabazro fasebis safuZvelze,

romlebic riskis mimarT neitraluri sakredito warmoebuli
instrumentebis safuZvlad Zevs an miRebulia sabaziso aqtivis
eqvivalenturad, am instrumentebis Rirebulebis gamoTvlis
saSualebas iZleva. am midgomis CarCoebSi SeiZleba SeirCes riskis
hejirebis strategia warmoebuli instrumentebis poziciebis
mixedviT mis safuZvlad mdebare obligaciebiT.
zemoT ganxiluli magaliTis mixedviT am meTodiT gamoTvlili
sakredito dacvis wliuri Rirebuleba Seadgens:
10 mln. dlr.  (6,6% - 6,0%) = 60 000 dlr.
pirvel midgomasTan SedarebiT sakredito dacvis RirebulebaSi
gansxvaveba SeiZleba ganpirobebuli iyos, kerZod, riskisaTvis
sabazro premiiT, aseve sxva (defoltis riskisagan gansxvavebuli)
faqtorebiT, romlebic gavlenas axdenen spredis sidideze,
magaliTad mocemuli obligaciebis likviduroba.
sakredito dacvis gamyidvelma Tavisi riskis hejirebisaTvis
aucilebelia daikavos mokle pozicia ABC kompaniis obligaciebis
mixedviT da grZeli pozicia saxelmwifo obligaciebis mixedviT.
sakredito warmoebulebis Rirebulebis gansazRvris mesame
midgoma eyrdnoba saaqcionero kapitalis Rirebulebis Sefasebis
mentonis models da sabaziso aqtivis emitentis aqciebis fasebs (ix.
473
paragrafi 5.13.2.1). Tu sakredito dacvas ganvixilavT rogorc
ofcions, es midgoma aseve riskis mimarT neitraluri sakredito
warmoebuli instrumentebis Rirebulebis gamoTvlis da sakredito
dacvis gamyidvelisaTvis hejirebis strategiis SerCevis saSualebas
iZleva.
am midgomis gamoyeneba moiTxovs kompania-emitentis sabazro
kapitalizaciis, misi valdebulebebis zomis da aqciebis fasebis
volatilobis codnas. sakredito dacvis Rirebuleba miRebulia
bleq-Soulzis formuliT gamoTvlili `fuT~ ofcionis fasis
tolad. sakredito dacvis gamyidvelis riskis hejireba
xorcieldeba sabaziso aqtivis emitentis aqciebis mixedviT mokle
poziciis da urisko aqtivebis (saxelmwifo obligaciebis) mixedviT
grZeli poziciis dakavebis gziT.
ramdenadac sakredito warmoebuli instrumentebiT garigebebi
ideba birJis gareT bazrebze, sabazro RirebulebiT maTi
gadafaseba Cveulebriv xorcieldeba obligaciebis sakredito
spredis safuZvelze `modelis mixedviT~. zogierTi sakredito
warmoebuli SeiZleba warmodgenili iyos rogorc obligaciebis an
sesxebis ekvivalenturi portfelebi: magaliTad, erTobliv
Semosavalze svopis mixedviT fuladi nakadebi eqvivalenturia mis
safuZvlad mdebare aqtivis (sesxebis an obligaciebis) SeZenis,
romelic dafinansebulia gansazRvruli vadiT sasesxo saxsrebis
mozidvis gziT. magram aseTi instrumentebis gadafaseba, rogorc
`sakalaTe~ svopebis, ukve uSualod aRar daiyvaneba arsebuli
obligaciebis da sesxebis Rirebulebebze – is moiTxovs defoltis
albaTobis Sefasebis modelis gamoyenebas, romelic iTvaliswinebs
`kalaTis~ yvela elementis mixedviT defoltebs Soris korelacias.
es Sefasebebi SeiZleba miRebuli iyos, kerZod, obligaciebis da
aqciebis fasebis sakrdito spredebis safuZvelze zemoT ganxiluli
modelebis meSveobiT (magaliTad, EDF ), magram im modelebisTvisac,
romlebic erTidaimave monacemebs iyeneben, mniSvnelobaTa gabneva
gamoyenebul meTodze damokidebulebiT SeiZleba Zalian didi
aRmoCndes.

474
 5.22.4. sakredito warmoebuli instrumentebis riskebi
Tumca sakredito warmoebulebi TviTon warmoadgenen
sakredito riskis dawevis instrumentebs, maTi saSualebiT
operaciebs Tan axlavs riskebis mTeli kompleqsi, romlebic
moicaven sakredito da sabazro riskebs, likvidurobis da
iuridiul risks.
sakredito warmoebuli instrumentis saSualebiT gadascems ra
sabaziso aqtivis mixedviT sakredito risks, dacvis myidveli
faqtobrivad ucvlis mas am aqtivis da garigebis mixedviT
kontragentis defoltis erTobliv riskze – dacvis gamyidvels.
cxadia, rom dacvis myidvels ar elis danakargi, Tu moxdeba
mxolod am ori SesaZlebeli defoltidan mxolod erT-erTi.
sabaziso aqtivis mixedviT da dacvis gamyidvelis erTdrouli
defoltis albaToba SeiZleba uSualod gamoiTvalos (5.34)
formulis mixedviT, Tu, ra Tqma unda, SesaZlebeli iqneba sakmarisi
sizustiT Sefasdes calk-calke TiToeuli defoltis albaToba da
maT Soris korelaciis xarisxi. praqtikaSi am xdomilobebs xSirad
damoukideblebad Tvlian, magram sinamdvileSi garkveuli dadebiTi
korelacia mainc arsebobs, magaliTad, kontragentis da emitentis
sabaziso aqtivis erTidaimave qveyanaSi an erTidaimave dargSi
arsebobis ZaliT. korelaciuri riskis efeqturi hejirebisTvis
mniSvnelovania imis uzrunvelyofa, rom es korelacia sakmarisad
dabali iyos.
korelaciuri riski gansakuTrebiT Zlierad moqmedebs im
sakredito warmoebulebiT gariugebebisas, romlebic mocaven
sabaziso aqtivebis nakrebs – sabaziso aqtivebidan erT-erTis
mixedviT sakredito xdomilebam SeiZleba iqonios gavlena
`kalaTaSi~ Semavali erT an ramdenime sxva aqtivis Rirebulebaze.
es riski Cveulebriv gaTavliswinebulia TviTon sakredito
warmoebulis struqturaSi (magaliTad, pirvel defoltamde svopSi),
amasTan aseTi dacvis Rirebuleba miT ufro maRali iqneba, rac
ufro dabalia `kalaTis~ Semadgenel aqtivebis mixedviT defoltebs
Soris korelacia.
rogorc saprocento da savaluto svopebis, forvardebis da
repo garigebebis SemTxvevaSi sakredito warmoeuli instrumentebis
mixedviT defoltis SemTxvevaSi sakredito riskis zemoqmedeba araa

475
tolfasi garigebis pirobiTi Tanxis da SeiZleba mniSvnelovnad
meryeobdes sabazro da sakredito riskis faqtorebis gavleniT.
sakredito warmoebulebisaTvis Canacvlebis Rirebulebis Sefaseba
unda xdebodes rogorc mimdinare momentisaTvis, ise instrumentis
Sesrulebamde mTlianad darCenili vadis ganmavlobaSi.
sasargebloa aseve Canacvlebis maqsimaluri Rirebulebis Sefaseba,
romelic movlenis ganviTarebis yvelaze uares scenars Seesabameba.
aseve aucilebelia aRiniSnos sakredito riskis gavlena
sakredito warmoebulebis sabazro riskze. bazris mier am
instrumentebis Sefaseba pirdapiraa damokidebuli sabaziso
aqtivebis emitentis kreditunarianobze. reitingis dawevas
Cveulebriv mivyavarT sakredito spredis gazrdamde da fasis
dacemamde, xolo zogierT SemTxvevaSi SeiZleba CaiTvalos
sakredito xdomilobad. Sesabamisad, sakredito dacvis Rirebuleba
gaizrdeba sabaziso aqtivis mixedviT defoltis riskis gazrdisas.
zogierTi sakredito warmoebulebs, magaliTad sakredito
spredze ofcionebs, gaaCniaT gadaxdebis arawrfivi funqcia, rac
aseve arTulebs sabazro riskis analizs.
sakredito warmoebulebis hejirebisas SeiZleba warmoiSvas e.w.
sabaziso riski (basis risk), Tu garigebis pirobebis Tanaxmad aqtivi
romelic warmoebuli instrumentis safuZvlad Zevs, ar (mTlianad)
emTxveva im aqtivs, romlis riskis hejirebac surda dacvis
myidvels. Tu sakredito xdomilobis dadgomisas angariSsworebis
xerxad gamoyenebulia sabaziso aqtivis fizikuri miwodeba, dacvis
gamyidveli TavisTavze iRebs im risks, romelic dakavSirebulia am
aqtivis Semdgom flobasTan.
sakredito warmoebulebiT garigegebis mixedviT iuridiuli
riski warmoiSoba im SemTxvevebSi, roca SeTanxmebebSi arasrulad
an arasakmarisad cxadaa gansazRvruli skredito xdpmilobis
dadgomis piroba, kerZod iseT SemTxvevebSi rogoricaa, saxelmwifo
valdebulebebis mixedviT defolti, valis restuqturizacia an
Serwymul kompaniasTan ganawileba. sakredito xdomilobis
iuridiuli maxasiaTeblebis SeuTavsebloba, romelsac dokumenturi
asimetria ewodeba, dacvis myidvels ayenebs sakredito warmoebulis
mixedviT anazRaurebis miuReblobis riskis winaSe mis safuZvlad
mdebare aqtivis mixedviT defoltis SemTxvevaSi.

476
 bolos, aucilebelia imis gaTvaliswineba, rom dResdReobiT
sakredito warmoebulebiT garigebebi birJis gareT bazarze ideba,
romelsac mokle istoria aqvs da vaWrobis SedarebiT mcire
moculoba, da Sesabamisad dabali likviduroba.
bankebi xSirad xvdebian interesebis konfliqts sakredito
warmoebulebis mimarTebaSi. erTis mxriv, maTTvis aucilebelia
msesxeblis mdgomareobis Sesaxeb konfidencialobis dacva kanonis
an kontraqtis farglebSi, xolo meores mxriv – kontragenrs
SeiZleba dasWirdes informacia sakredito xdomilobis Sesaxeb
sakredito dacvis valdebulebis Sesasruleblad.
sakredito warmoebulebiT operaciebis Sesrulebisas
kontragentis riskis Semcirebis ZiriTad saSualebas warmoadgens
ormxrivi retingi, aseve garkveuli xdomilobebis dadgomis dros
SeTanxmebis vadamdeli gauqmebis Sesaxeb sxvadasxva damcavi
SeTanxmebebi, kerZod kontragentis finansuri mdgomareobis
gauaresebisas. iuridiuli riskis Semcirebas xeli Seuwyo 1999 wels
ISDA -is mier miRebulma gansazRvruli terminebis nakrebma,
romlebic gamoiyeneba sakredito warmoebulebiT garigebebis dros,
aseve sakredito svopebiT garigegebisaTvis dokumentaciis
standartulma formebma.

5.22.5. sakredito warmoebuli instrumentebis upiratesobebi da

naklovanebebi
sakredito warmoebulebis bazris zrdadobis swrafi tempi
warmoadgens maTi rogorc sakredito riskebis marTvis axali
instrumentebis moTxovnadobis da efeqturobis saukeTeso
mtkicebas.
SeiZleba gamovyoT sakredito warmoebuli instrumentebis
Semdegi gansakuTrebulobebi, romlebic sasargeblod ganasxvaveben
maT sakredito dacvis tradiciuli meqanizmebisagan, rogorebicaa
dazRveva an sesxebis pirdapiri gayidva:
1. sakredito warmoebulebiT garigebebi xorcieldeba birJis
gareT bazrebze im satandartuli dokumentaciis safuZvelze
ormxrivi SeTanxmebebis dadebiT, romeliuc SemuSavebulia 1997-2003
wlebSi ISDA -is mier. kerZod, es saSualebas iZleva ganxorcieldes
sakredito warmoebulebis mixedviT poziciebis ormxrivi retingi
477
da amiT daweuli iqnas xelSekrulebis TiToeuli monawile mxareze
riskis zemoqmedeba.
2. bevr SemTxvevaSi sakredito warmoebulebi warmoadgenen
angariSsworebis instrumentebs. es niSnavs, rom SeTanxmebuli
sakredito xdomilobis dadgomisas mocemuli instrumentis
gamyidveli axorcielebs gansazRvruli zomis gadaxdebs myidvelis
sasargeblod, amave dros gamyidveli, rogorc wesi, ar unda Sevides
defolts gamomcxadebel mxaresTan aranair urTierTobaSi.
3.sakredito warmoebulebiT operaciebi ar axdenen mniSvnelovan
gavlenas banksa, riskis gamyidvels da mis klientebs Soris
urTierTdamokidebulebaze. kreditebis dazRvevisagan gansxvavebiT,
msesxebeli araa valdebuli warmoadgendes xelSekrulebis
mixedviT mxares da saerTod icodes sakredito riskis hejirebis
faqtis Sesaxeb. Tavis mxriv, dacvis arc gamyidveli da arc
myidveli araa valdebuli acnobos msesxebels misze gacemuli
krditis riskis meorad bazarze gayidvis Sesaxeb.
4. sakredito warmoebulebs gaaCniaT droSi upiratesoba
dazRvevis kreditTan SedarebiT, ramdenadac uzrunvelyofen
faqtobrivad fuladi sesxebis swraf gadaxdas sakredito
xdomilobis dadgomis dros, magaliTad msesxeblis mxridan
gadaxdebis SeCerebis dros. iRebs ra sakredito warmoebuli
instrumentebis mixedviT gadaxdebs praqtikulad maSinaTve, banki
ufro Seecdeba molaparakebebi gamarTos msesxebelTan davalianebis
restuqtuzaciis Sesaxeb, vidre moiTxovos sadazRvevo anazRaureba
da amiT moaxdinos msesxeblis gakotrebis procesis gamocxadebis
inicireba.
5. sakredito warmoebulebi saSualebas iZlevian moxdes riskis
hejireba im aqtivis moqmedebis mTeli vadis nebismier periodSi,
romelic maT safuZvlad Zevs.
6. sakredito warmoebulebis meSveobiT sakredito riskis
gayidva SeiZleba gacilebiT sasargeblo aRmoCndes bankisTvis,
vidre bazarze TviTon im kreditis pirdapiri gayidva, romelic
dakavSirebulia rogorc maRal transaqcinur xarjebTan (aqtivebis
dabali informaciuli gamWirvalobis da meoradi bazris dabal
likvidurobis gamo), ise klientTan urTierTobis vadamdeli
gawyvetis safrTxesTan.

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 amavdroulad sakredito warmoebulebis bazari amJamad,
finansuri svopebis bazris, fiuCersebis da ofcionebisagan
gansxvavebiT, warmoadgens daballikvidurs. amis mizezi
mdgomareobs ara marto TviTon instrumentebis siaxleSi, aramed
sabaziso aqtivebis standartizaciis sirTuleSi, gansakuTrebiT
sesxebis, romlebic Cveulebriv asaxaven msesxeblis specifikur
maxasiTeblebs. mniSvnelovani gansxvavebebi daikvirveba aseve
sakredito warmoebulebis Rirebulebebis Sefasebis midgomebSic,
rac ganpirobebulia defoltis Sesaxeb da davalianebis aRdgenis
Sesaxeb arasakmarisi statistikuri monacemebiT.
aucilebelia vaRiaroT, rom sakredito warmoebulebi
gamoiyeneba ara mxolod pirdapiri daniSnulebiT svopebis mixedviT,
e.i. rogorc sakredito riskis dawevis saSualeba, aramed rogorc
kapitalis saWiroebisaTvis maregulirebebli organoebis moTxovnis
dasawevadac. aseTi sakredito instrumentebis axali klasis
gamoCena unda ganvixiloT rogorc bankebis mier Tavisi aqtivebis
sekuritizaciis forma, romelic gaxda 1988 wels miRebuli da
amJamad moqmedi kapitalis Sesaxeb bazelis SeTanxmebaze reaqcia. am
SeTanxmebis Sesabamisad sakredito riskis myidvelisaTvis
sakredito warmoebuli instrumenti ganixileba rogorc
Cveulebrivi krediti (obligacia an sxva sabaziso aqtivi), xolo
riskis gamyidvelisaTvis – garigebis mixedviT kontragentis
saimedoobaze damokidebulebiT (Tu is warmoadgens ekonomikuri
TanamSromlobisa da ganviTarebis organizaciis wevri qveynis
teritoriaze daregistrirebul banks) riskis koeficienti Seadgens
20%-s, yvela danarCen SemTxvevaSi wonis koeficienti 100%-is toli
iqneba.

479
 Tavi 6
sabanko saqmianobis riskebis reulireba
6.1 Sesavali
nebismieri sabanko sistemis evoluciis procesSi SeiZleba
Tvalyuri vadevnoT ori gansxvavebuli mimarTulebis tendenciis
gavlenas: sistemis monawileTa mxridan yvelaze didi
efeqturobisaken swrafvas (komerciuli bankebis mflobelTa saxiT)
da sazogadoebis mxridan (saxelmwifos saxiT) zogadad maRali
stabilurobisaken swrafva. funqcionirebis stabiluroba
warmoadgens umTavres moTxovnas, romelsac sazogadoeba uyenebs
sabanko sisitemas, rac mas ekonomikis nebismieri sxva dargisagan
ganasxvavebs. saxelmwifos mxridan safinanso-sabanko seqtoris
specialuri regulireba ganpirobebulia rogorc sabanko saqmis
specifikiT, romelic dakavSirebulia gansakuTrebuli saxis
momsaxurebis warmoebasTan (sesxebis depozitebSi transformacia,
likvidurobis instrumentebis gamoSveba da msesxeblebze
informaciis dagroveba), ise mravalferovan uaryofiT SedegebTan,
romlebsac sabanko krizisebs moqvT erovnuli ekonomikisaTvis da
socialuri stabilurobisaTvis.
cxadia, rom bankebs gansakuTrebuli adgili ukaviaT sxva
specializirebul finansur Suamavlebs Soris maT mier
Sesrulebuli funqciebis unikaluri `orsaxeobis~ gamo: pasiuri
(menaabreebis saxsrebis mozidva) da aqtiuri (maTi sesxebSi
ganTavseba). bankebs saqme aqvT im finansur kontraqtebTan (sesxebTan
da depozitebTan), romlebic iseve advilad ar iyideba bazarze,
rogorc aqciebi, obligaciebi, an sxva fasiani qaRaldebi.
ukanasknelTa likviduroba maTi `anonimurobiT~ aixsneba im gagebiT,
rom maTi mimdinare mflobelis pirovnebas ar aqvs mniSvneloba
maTi sabazro Rirebulebis gansazRvrisaTvis. Sedegad bankebs,
rogorc wesi ar aqvT SesaZlebloba gayidon es kontraqtebi
bazarze da iZulebulebi arian datovon isini balansze maTi
moqmedebis vadis amowurvamde. garda amisa, firma-msesxeblis mier
gamoSvebuli finansuri kontraqtebi (sasexo xelSekrulebebi),
Cveulebriv gansaxvavedebian moculobiT da moqmedebis vadiT
investorisaTvis aucilebeli kontraqtebisagan (swrafi
depozitebisagan an moTxovnamde anabrebisagan).

480
 amgvarad, bankebi da sxva finansuri Suamavlebi (rogorebicaa
sadazRvevo kompaniebi da sainvesticio fondebi) aucilebelia
moculobis, vadebis da riskis xarisxis mixedviT finansuri
kontraqtebis da fasiani qaRaldebis transformaciisaTvis.
idealur samyaroSi sruli da informaciulad efeqtur finansur
bazrebze individualur investorebs da msesxeblebs SeeZlebodaT
daubrkolebriv mieRwiaT riskis optimaluri ganawilebisaTvis
TavianTi portfelebis diversifikaciiT, magram realurad
arsebuli SezRudvebis arsebobis gamo (magaliTad, dabandebebis
moculobis mixedviT) diversifikaciis ganxorcieleba miuRwevadi
aRmoCndeba xolme. finansuri Suamavlebi am problemis nawilobriv
gadaWris saSualebas iZlevian investorebis saxsrebis gaerTianebis
gziT sul cota zogierTi miTiTebuli SezRudvis Tavidan acilebis
mizniT da dabandebis yvela monawilisaTvis miaxloebiT riskis
iseTi diversifikaciis miRweviT, romlic miRebac maT SeeZlebodaT
damoukideblad sruli finansuri bazrebis arsebobisas.
nebismier finansur bazarze yovelTvis arsebobs informaciis
asimetriis (information asymmetry) problema, rodesac misi erT-erTi
monawile ukeTaa gaTviTcnobierebuli konkretuli operaciebis an
instrumentebis potenciuri riskis Sesaxeb, vidre danarCenebi.
finansuri bazris arasrulyofileba miRebulia ganvixiloT
rogorc informaciuli asimetriis gamovlenis sxvadsxva forma:
winaswari – e.w. `araxelsayreli arCevis~ (adverse selection) saxiT,
Sualeduri - `moraluri riskis~ (moral hazard) saxiT da faqtobrivi
- `ZviradRirebuli saxelmwifo kontrolis~ (costly state verification)
saxiT.
`araxelsayreli arCevis~ cnebis arsi dakreditebisas
mdgomareobs imaSi, rom ekonomikuri agentebi (rogorc
dambandeblebi, ise bankebic) aqtiuri operaciis Catarebisas
awydebian arasruli an arazusti informaciis dros resursebis
ganTavsebis SesaZlo simravlidan optimaluri arCevis problemas,
maSin roca msesxeblebi ukeT erkvevian TavianTi proeqtrebis
riskebSi, vidre kreditorebi. Sedegad kreditors ar Seswevs unari
daawesos diferencirebuli saprocento ganakveTi sxvadasxva donis
riskis mqone msesxeblebisaTvis, rasac saboloo jamSi mivyavarT

481
kreditorisaTvis gauTvaliswinebel danakargebamde da damatebiT
xarjebamde saSualostastistikuri msesxeblisaTvis.
sabanko seqtoris regulirebis saxelmwifo politikis
gansazRvrisaTvis centralur problemas warmoadgens e.w.
`moraluri riski~, romlis qveSac sabanko saqmeSi igulisxmeba
bankis mflobelebis da/an mmarTvelebis miswrafeba Caataron
operacia momatebuli SemosavlianobiT, gadascemen ra TavianT risks
mesame mxares, romlebic SeiZleba iyvnen meanabreebi, sxva
kreditorebi an saxelmwifo. moraluri riski SeiZleba gamovlindes
rogorc sabanko pasivebis (moziduli sasexebis wilis zedmetad
gazrda) ise aqtivebTan (maRali riskis mqone anabrebis wilis
gazrda, maT Soris rogorc zedamxedvelobis organoebis kapitalis
gazrdis moTxovnaze `kompensacia~) struqturasTan dakavSirebiT.
bankis aqcionerebis SezRuduli pasuxismgeblobis ZaliT orive
SemTxvevaSi maTi kuTvnili aqciebis mixedviT danakargis riski
Cveulebriv `gadadis~ meanabreebze an bankis valdebulebebis sxva
mflobelebze. aseve kargadaa cnobili `riskis gadatanis~ meqanizmi
fiqsirebuli ganakveTebiT (sabanko riskis donis mimarT
aramgrZnobiare) depozitebis saxelmwifo dazRvevis sistemis
meSveobiT.
sabanko saqmeSi moraluri riskis stimulebis daweva da
araxelsayreli SerCevis Sedgebis Semcireba Seadgens sabanko
riskebis saxelmwifo regulirebisaTvis mTavar motivs.
sabanko sistemis riskebis regulirebis meqanizmebi
mravalferovania, da maTi ganxilva mosaxerxebelia miRebis
ierarqiul donis da moqmedebis sferos mixedviT. unda aRiniSnos,
rom mocemuli meqanizmebi izolirebulad ar moqmedeben, aramed
imyofebian erTmaneTTan rTul uerTierTqmedebaSi. praqtikaSi isini
SeiZleba gamoyenebuli iyos sxvadasxva SexamebiT da sxvadasxva
efeqturobiT, amasTan ganmsazRvrel rols sistemuri riskis
daregulirebaSi TamaSoben swored is meqanizmebi, romlebic
moqmedeben saxelmwifo da dargobriv doneze.
makrodoneze regulirebis meqanizmebi muSavdeba da miiReba
umaRlesi samTavrobo organoebis mier da adgens sabanko sistemis
agebis fundamentalur principebs. sabanko seqtoris sistemuri
riskis regulirebis fuZemdeblur institutebs miekuTvnebian:

482
 1) sabanko portfelebis Semadgenlobaze SezRudva (e.w.
`komerciuli~ sabanko sistemis CarCoebSi komerciuli da
sainvesticio bankebis operaciebis gamijvnis CaTvliT, aucilebeli
sarezervo saxsrebis normis da a.S.);
2) komerciul bankebSi mosaxleobis da organizaciebis anabrebis
saxelmwifo garantiebi (dazRveva);
3) bankis valdebulebebis mixedviT bankis mflobelTa
pasuxusmgeblobis moculoba kreditorebis winaSe;
CamoTvlil ZiriTad meqanizmebTan erTad msoflio praqtikaSi
aseve cnobilia sabanko sistemis riskebis makro deneze
regulirebis damxmare meqanizmebi:
4) dargSi Sesvlaze, gafarToebaze, Serwymaze da STanTqmaze
SezRudva;
5) depozituri ganakveTebis da sakomisioebis maqsimaluri zomis
mixedviT SezRudva.
mezodoneze (sabanko sistemis doneze) sabanko riskebis
regulirebis ZiriTad institutebs warmoadgens saxelmwifo
zedamxedvelobis organoebis normatiuli aqtebi (Cveulebriv
centraluri bankis), aseve mdgomareobebi da standartebi, romelic
SemuSavebulia da nebayoflobiT aris miRebuli TviTon dargis
monawileTa mier (magaliTad, TviTregulirebadi organizaciebis
CarCoebSi). saxelmwifo zedamxedvelobis organoebi xSirad
mWidrod TanamSromloben erovnebaTaSoriso stuqturebTan,
romlebsac miekuTvneba, magaliTad, sabanko zedamxedvelobis
bazelis komiteti, am doneze sabanko riskebis regulirebis
institucionalur meqanizmebs warmoadgenen:
6) axlad Seqmnili bankebisaTvis kapitalis minimaluri zoma,
Semadgenlobis mimarT moTxovna da sabanko kapitalis
sakmarisobaze normativebi;
7) sabanko balansis likvidurobaze da sasesxo portfelebis
koncentraciaze normativebi;
8) aucilebeli normativebis maregulirebeli organoebis
prudenciuli (sazedamxedvelo) kontrolma, riskis Sefasebis
sabanko modelebis verifikaciam (sinamdvilis dadgena), migviyvana
bankis likvidaciis proceduramde da a.S.

483
 9) moTxovna bankis finansuri mdgomareobisa da riskebis
informaciis gaxsnisadmi;
10) sabanko riskebis raodenobrivi Sefasebis zogadad miRebuli
zomebi, maTi gamoTvlis meTodebi an/da normatiuli moTxovnebi
bankebSi gamoyenebuli meTodebisadmi;
11) bankebSi Siga kontrolisa da riskebis marTvis samsaxurebis
organizaciisa da saqmianobis standartebi, romelic dawesebulia
zedamxedvelobis organoebis mier.
mikrodoneze, e.i. calkeuli bankebis doneze, zemoT CamoTvlil
gareSe SezRudvebTan erTad SeiZleba gamoiyenon aseve sakuTari,
riskebis marTvis Siga meqanizmebi. es meqanizmebi warmoadgenen
dargSi zogadad miRebul riskis Sefasebis da kontrolis meTodebs
da modelebs, romelTa konkretuli forma ganisazRvreba TviTon
bankis mier. mikrodoneze sabanko riskebis marTvis yvelaze
gavrcelebul institucionalur meqanizmebs miekuTvnebian:
12) msesxeblis kreditunarianobis Sefasebis meTodebi da
sasesxo portfelebis sakredito riskis Sefasebis Siga modelebi;
13) bankis savaWro portfelebis sabazro riskis raodenobrivi
Sefasebis Siga modelebi;
14) sabazro, sakredito, operaciuli da sxva saxis riskis
SezRudvis gamoyenebadi strategiebi (limitireba, hejireba, Siga
kontroli da sxva).
dasavleTis ganviTarebul qveynebSi xangrZlivi evoluciis
Sedegad damkvidrebuli riskebis saxelmwifo regulirebis sistema
efuZneba sam fundamentalur meqanizms: sabanko kapitalis
sakmarisobis minimalur normativebs, depozitebis saxelmwifo
dazRvevas da valdebulebebis mixedviT bankis aqcionerebis
SezRuduli pasuxismgeblobas kreditorebis winaSe. Semdgomi
ganxilvis sagani iqneba sabanko kapitalis sakmarisobaze moTxovnis
rogorc sabazo instrumentis regulireba, romelic mimarTulia
TiToeuli bankis gakotrebis albaTobis dawevisaken da, rogorc
Sedegi, zogadad sistemis mdgradobis amaRlebisaken.
sabanko sferoSi krizisTan dakavSirebul komentarebis
umetesobis damaxasiTebeli Taviseburebas warmoadgens sabanko
kapitalis zedmetad xSiri xmareba. iTvleba, rom finansuri
krizisis ganviTarebis SeufaseblobaSi aranaklebi roli iTamaSa

484
zedamxevelobis organoebis mxridan arasrulma angariSebma,
romlebmac droulad ar miaqcies yuradReba axali riskebis gaCenis
SesZleblobas sabanko saqmianobaSi da ar gaamkacres kontroli
riskis am saxis mimarT, kerZod sabanko kapitalis ufro mkacri
moTxovnis gziT. sabanko saqmis amerikeli specialist j. sinki
aRniSnavda: `rogori unda iyos bankis sakuTari kapitali, rom mas
endobodnen meanabreebi, kreditorebi, investorebi da
maregulirebeli organoebi? sabanko da finansur literaturaSi es
kiTxva cnobilia rogorc sakuTari kapitalis adekvaturobaze
kiTxva. is visTvisac cnobilia am kiTxvaze pasuxi, daimsaxurebs
sabanko, finansitebis da maregulirebeli organoebis
biurokratebis wreebSi did pativs. unda gagafrTxiloT, rom
sabanko da safinanso samyaroSi saukeTeso moazrovneebi didi xania
fiqrobdnen am kiTxvaze magram uSedegod. cxadia, ar unda velodoT
martiv gadawyvetas~.

6.2 sabanko kapitalis saerTaSoriso standartebi. kapitalis

mixedviT bazelis 1988 wlis SeTanxmeba
1980-iani wlebis dasawyisidan sabanko kapitalis sakmarisobis
problema da misi Sefasebis meTodologia gaxda cxare diskusiebis
sagani saerTaSoriso finansur organizaciebSi. sabanko kapitalis
mimarT saxelmwifo maregulirebeli organoebis interesi cxadi
xdeba imasTan dakavSirebiT, rom swored kapitali asrulebs
SesaZlo danakargebisagan meanabris dacvis funqcias. kapitalis
zoma warmoadgens meanabreebis da klientebis danakargebis
kompesirebis bankis unarisadmi ndobis sakvanZo faqtors. amis
Sedegad win wamoweuli iyos koncefcia kapitalis sakmarisobis
donis Sesaxeb, romelic warmoadgens danakargebis kompesaciis
wyaros da morluri riskis Sekavebis meqanizms.
problema mdgomareobs kapitalis sakmarisobis zogadi
kriteriumebis SemuSavebaSi, romelic misaRebi iqneboda sabanko
sazogadoebis sxvadasxva subieqtisaTvis maTi sadazRvevo
kuTvnilebisagan damoukideblad. 1988 wlis ivlisSi jgufi 10-is
qveynebis mier miRebuli iyo sabanko zedamxedvelobis bazelis
komitetis mier SemuSavebuli zogadi midgoma bankebis kapitalis
sakmarisobis Sefasebis Sesxeb (International convergence of capital

485
measures and capital standards), romelic cnobili gaxda rogorc
kapitalis mixedviT 1988 wlis bazelis SeTanxmeba (Basel Capital
Accord). amJamad am SeTanxmebas amaTu im formiT 100-ze meti qveyana
SeuerTda.
kapitalis mixedviT bazelis SeTanxmeba (SemdgomSi _ SeTanxmeba)
Sedgeba sami nawilisagan:
1. kapitalis Semadgeneli elementebi.
2. riskis wonis koeficientebi.
3. kapitalis sakmarisobis miznobrivi standartuli koeficienti.

6.2.1 sabanko kapitalis Semadgenloba da stuqtura

SeTanxmebaSi mocemulia kapitalis sakmaod farTo ganmarteba,
romelic SeiZleba TavisTavSi moicavdes Semdeg elementebs:
a. ZirTadi kapitali:
a) mudmivi aqcionoruli kapitali;
b) gamoqveynebuli rezervebi, romelic Seqmnilia gaunawilebeli
mogebis xarjze.
b. damatebiTi kapitali:
i dafaruli rezervebi;
ii gadafasebis rezervebi;
iii saerTo rezervebi/saerTo sabanko rezervebi kreditebis
mixedviT danakargebis dafarvisaTvis;
iv hibriduli instrumentebi;
v grZelvadiani subordinirebuli davalianeba.
SeTanxmebaSi kapitalis elementebi or doned iyofa. ZiriTadi
kapitali, anu pirveli donis kapitali (Tier 1/core capital), moicavs:
aqcionerul kapitals (equity), gamoSvebul da mTlianad
anazRaurebul Cveulebriv aqciebs da dividendebis kumulatiuri
darixcvebis ar mqone uvado priviligirebul aqciebs, aseve
gamoqveynebul (disclosed) rezervebs (damatebiTi anazRaurebuli
kapitali, gaunawilebeli mogeba,
gauTvaliswinebeli/araidentificirebuli zaralis dasafaravi
saerTo rezervi da sxva rezervebi, romlebic iqmneba bankebis mier
erovnuli kanonmdeblobis Sesabamisad).
damatebiTi kapitalis, anu meore donis kapitalis (Tier
2/supplementary capital) SemadgenlobaSi CaTulia calkeuli saxis
486
rezervebi: dafaruli rezervebi (zogierT qveyanaSi –
gaunawilebeli mogebis nawili), aqtivebis gadafasebis rezervebi
(uZravi qoneba da fasiani qaRaldebi, romlebic bankis portfelebSi
mdebareoben). ararealizebuli fasiani qaRaldebis mixedviT
kapitalis dafaruli nazrdis formaSi aqtivebis Rirebulebis
gadafasebis rezervebi meore donis kapitalSi gaTvaliswinebulia
55%-is daklebiT.
sesxis mixedviT SesaZlo danakargebze saerTo rezervebis CarTva
meore donis kapitalSi im SemTxvevaSi xdeba, Tu isini konkretul
aqtivebTan an araa dakavSirebuli jgufebTan (e.i. ar asaxaven
konkretuli aqtivebis Rirebulebebis mosalodnel Semcirebas),
aramed Seqmnilia amJamad araindentificirebuli zaralis
asanazRaureblad. meore donis kapitalSi CarTuli momavali
periodebis zaralis dasafaravi saerTo sarezervo anaricxebis
maqsimaluri zoma (kreditis mixedviT zaralis dafarvaze saerTo
rezervebi) ar unda aRematebodes aqtivebis 1,25%, romelic
Sewonilia riskis gaTvaliswinebiT.
meore donis kapitalis elementebs SeiZleba miekuTvnebodnen e.w.
`hibriduli~ instrumentebi, romlebic TavisTavSi axameben
kapitalis da valis maxasiaTeblebs, maT Soris uvado
priviligirebuli kumulatiuri (e,i. dagrovili fiqsirebuli
dividendebis gadaxdiT) aqciis, grZelvadiani priviligirebuli
aqciebis (kanadaSi), wilobrivi monawileobiT fasian qaRaldebis da
subordinirebul uvado savalo fasian qaRaldebis (safrangeTSi),
monawilebis serTifikatebis, romlebic mflobelebs dividendebze
an mogebaSi monawileobis uflebas aZleven, magram ara sakuTrebis
uflebas (germaniaSi), uvado savalo valdebulebebis da
priviligirebul aqciebis (did britaneTSi), konvertirebul
obligaciebis (aSS-Si).
meore donis kapitalis SemadgenlobaSi nebadarTulia aseve
CarTuli iyos grZelvadiani subordinirebuli davalianeba im
pirobiT, rom is ar aRemateba pirveli donis kapitalis 50%-s.
saxsrebis am kategorias miekuTvneba Cveulebrivi uzrunvelyofis
gareSe subordinirebuli savale valdebulebebi da dasafarad
gankuTvnili vadiani priviligirebuli aqciebi, romelTa sawyisi
dasafari vada Seadgens ara nakleb 5 wels. kapitalis elementis

487
saxiT am instrumentebis Rirebulebebis dawevis asaxvisaTvis
ukanaskneli xuTi wlis manZilze dafarvis vadis dadgomamde xdeba
maTi CarTva magram ara sruli RirebulebiT, aramed amortizaciis
20%-iani koeficientiT weliwadSi, amasTan isini SeiZleba CarTuli
iyvnen meore donis kapitalSi ara umetes pirveli donis kapitalis
50%-is zomiT amoitizaciis CaTvliT.
damatebiTi kapitali erTobliobaSi Tavisi zomiT ar unda iyos
ZiriTad kapitalze meti.
SeTanxmebis Tanaxmad, kapitalidan unda moxdes Semdegi
anaricxebi:
 pirveli donis kapitalidan – bankis aramaterialuri aqtivebis
Rirebuleba (goodwill);
 erToblivi kapitalidan (ZiriTadi da damatebiTi kapitalis
Tanxebi) – arakonsoldirebul sabanko da finansur Svilobil
kompaniebSi investiciebi sabanko gjufis sxvadasxva wevris mier
erTidaimave kapitaluri resursebis mravaljeradi aRricxvis
Tavidan asacileblad da – zedamxedvelobis erovnuli organoebis
gadawyvetilebiT – sxva bankebSi da finansur organizaciebSi
kapitaldabandebebi.
unda aRiniSnos, rom kapitalis zemoT moyvanili ganmarteba,
romelic sabanko zedamxedvelobis organoebis mier gamoiyeneba,
gansxvavdeba kapitalis im buRaltruli ganmartebisagan, romelic
dafiqsirebulia finansur angariSebis saerTaSoriso standartebSi.
am standartebis Sesabamisad bankis kapitals Sedagens Semdegi
muxlebi:
 sawesdebo kapitali;
 saemisio Semosavali;
 wina wlebis mogeba;
 fondebi;
 sakuTari gamosyiduli aqciebi an wilebi (gamoSvebis
momentidan erTi wlis ganmavlobaSi gaTvaliswinebiT).
am or gansazRvrebas Soris ZiriTadi gansxvaveba mdgomareobs
SemdegSi:
1) sabuRaltro aRricxvaSi ara arsebobs kapitalis doneebad
dayofa (Ziriadad da damatebiTad);

488
 2) sabuRaltro aRricxvaSi da angariSgebaSi kapitalis sididis
gansazRvrisas misgan ar xdeba iseTi maCvenebelebis gamoricxva
rogoricaa, magaliTad, aramaterialuri aqtivebi, Svilobil da
damokidebul kompaniebSi sainvesiticio dabandebebi, da SesaZloa
zogi sxva muxli, romlebic sabanko zedamxedvelobis organoebis
mieraa gaTvaliswinebuli;
3) zogierTi muxli, romelic sabuRalrto aRricxvis da
angariSgebaSi kapitalis SemadgenlobaSi Sedis, araa CarTuli im
kapitalSi, romelic sabanko zedamedvelobis miznebisaTvis aris
gaangariSebuli (kerZod, kumulatirebuli privilegirebuli aqciebi
da sawesdebo kapitalis nawili, romelic warmoqmnilia
gadafasebisas qonebis Rirebulebis nazrdis kapitalizaciis
xarjze, araa CarTuli ZiriTad kapitalSi; fondebi, romelTa
gamoyeneba amcireben sakredidto organizaciebis qonebas, araa
CarTuli arc ZiriTad da arc damatebiT kapitalSi);
4) sabuRaltro aRricxvaSi da angariSgebaSi kapitalSi araa
CarTuli zogierTi is muxli, romelis CarTvac nebadarTulia
kapitalSi sabanko zedemxedvelobis miznebisaTvis, magaliTad
moziduli subordinirebuli kreditebi da sesxebi.

6.2.2 aqtivebis da dabalansebuli muxlebis riskis mixedviT

Sewonva
SeTanxmebaSi kapitalis sakmarisobis mTavar ganmazogadebel
maCvenebels warmoadgens riskis gaTvaliswinebiT kapitalis zoma
(capital-to-risk ratio). romelic ganisazRvreba rogorc riskis xarisxis
mixedviT Sewonili bankis kapitalis fardoba aqtivebis sididesTan
da balansgareSe muxlebTan.
riskebis mixedviT `Sewonvis~ procedura mdgomareobs aqtivis
sabalanso Rirebulebebis gamravlebaSi riskis Sesabamis
koeficientebze da miRebuli mniSvnelobebis SejamebaSi.
SeTanxmebiT dadgenili iyo aqtivebis riskis koeficientebis Skala,
e.i. sakredito riskis Sedegad aqtivebis ZiriTadi saxeebis mixedviT
daubrunebeli danakargebis `albaTobaTa~ da donis Sefasebebi.
mocemuli Skala warmoadgens maqsimalurad gamartivebuls da
Seicavs mxolod riskis xuT koeficients: 0, 10, 20, 50 da 100%-s.

489
sabalanso aqtivebisaTvis riskis koeficientebi Semdegi Skalis
mixedviT dgindeba:
0 – urisko aqtivebi: salaro, qveynebis da centraluri bankebis
saxelmwifo savalo valdebulebebi, rolebic dominireben da
dafarvadi arian erovnul valutaSi, ekonomikuri TanamSromlobisa
da ganviTarebis organizaciis (OECD) wevr qveyebis da am qveynebis
centraluri bankebis sxva saxelmwifo valdebulebebi;
valdebulebebi, romlebic uzrinvelyofilia ekonomikuri
TanamSromlobisa da ganviTarebis organizaciis (OECD) wevr
qveyebis fasiani qaRaldebiT an garantirebulia qveynebis
saxelmwifoebis mier;
0, 10, 20 an 50% - dabali riskiani aqtivebi: adgilobrivi
saxelmwifo dawesebulebebis valdebulebebi (centraluri
xelisuflebis gamoklebiT) da sesxebi, romlebic garantirebulia
an uzrunvelyofilia am dawesebulebebis mier gamoSvebuli fasiani
qaRaldebiT;
20% _ ganviTarebis da valdebulebebis saerTaSoriso bankebis
savalo valdebulebebi, romlebic uzrunvelyofilia am bankebis
fasiani qaRaldebiT; ekonomikuri TanamSromlobisa da ganviTarebis
organizaciis (OECD) wevr qveyebis bankebis valdebulebebi da
valdebulebebi, romlebic an bankebis mieraa garanitrebuli; mesame
qveynis bankebis savalo valdebulebebi romelTa dafarvamde erT
welze naklebia darCenili da sesxebi erT welze naklebi dafarvis
vadiT, romlebic mesame qveynis bankebis mieraa garantirebuli;
fuladi sasxrebi gzaSi;
50% _ sacxovrebeli uZravi qonebiT giraoTi mTlianad
uzrunvelyofili kreditebi, romelsac TviTon msesxebeli qiraobs
an gacems ijariT;
100% - absoluturi riskiT aqtivebi: kerZo seqtoris sawarmoebis
savalo valdebulebebi; dafarvamde erT welze meti vadis mqone
mesame qveynis bankebis valdebulebebi; mesame qveynis saxelmwifo
savalo valdebulebebi, romlebic ucxour valutaSia gamosaxuli;
saxelmwifo dawesebulebis kuTvnili komerciuli sawarmoebis
valdebulebebi; ZiriTadi kapitali (Senobebi, saTavsoebi,
aRWurviloba da sxva); uZravi qoneba da sxva investiciebi (sxva

490
sawarmoebis sawesdebo kapitlSi arakonsolidrebuli monawileobis
CaTvliT); bankis kapitalSi minawileoba; sxva aqtivebi.
aTvlis wertilad riskis koeficientis arCevisas, saerTaSoriso
standartebis Tanaxmad, arCeuli iyo klientebis dakreditebis
mixedviT operaciebi, romlebic Seadgenen bankebis ZiriTad aqtiur
operaciebs. SeTanxmebis mixedviT, aseTi tipis operaciis
Catarebisas danakargis riski sabazo saxiT miRebuli iyo kreditis
nominaluri Rirebulebidan 100%-is zomad. ipoTekuri dakreditebis
riskianoba iTvleba dadablebulad standartul sesxebTan
SedarebiT, amitom aseTi saxis sakredito operaciebis riskis
dadgenilia 50%-is zomiT. sxva sabanko dawesebulebebis mier
warmodgenili kreditebi, romlebic imyofebian erovnuli
zadamxedvelobis organoebis mudmivi kontrolis qveS,
saerTaSoriso standartebiT iTvleba SedarebiT ufro nakleb
sarisko dabandebad. am jgufis sabanko aqtivebis riskis
koeficienti dadgenilia 20%-is tolad. nawilobriv
gaTvaliswinebulia fiqsirebuli saprocento ganakveTis mqone
saxelmwifo fasiani qaRaldebis mixedviT sainveticio riskic.
bolos, cantraluri bankebis da saxelmwifoebis yvela
valdebuleba erovnul valutaSi, maT mier garantirebuli
kreditebis da maT mier gamoSvebuli fasiani qaRaldebis CaTvliT,
ganixileba rogorc praqtikulad uriskoebi, e.i. romlebic ar
moiTxoven sabanko kapitaliT dafarvas.
Zalian rTuls warmoadgens balansgareSe opreaciebis mixedviT
riskis Sefasebis problema. rogorc cnobilia, balansis gareT
bankebi ZiriTadad gulisxmoben pirobiT da garantirebul
operaciebs. ramdenadac am SemTxvevaSi bankis pasuxismgeblobis
dadgomis momenti atarebs saTuo xasiaTs, SeTanxmebaSi
gaTvaliswinebuli iyo am operaciebis mixedviT riskis Sefasebis
Semdegi procedurebi. Tavidan balansgareSe operaciebis
nominaluri Tanxa gadaitaneba Sesabamis konversiis koieficientze
(credit conversion factor - CCF) gamravlebis gziT e.w. sakredito riskis
ekvivalentSi (credit risk equivalent), xolo Semdeg xdeba miRebuli
Tanxis Sewonva sabalanso operaciebis mixedviT msesxeblis
kategoriis Sesabamisad. magaliTad, kreditis Semcvleli
instrumentebis mixedviT (davalianebebis mixedviT garantiebi,

491
sarezero akrditivebi da sxva), gamoiyeneba 100%-is toli
konversiis koeficienti. balansgareSe muxlebisaTvis konversiis
koeficientebi moyvanilia cxril 6.1-Si.
sakredito eqvivalenti aseve gansazRvruli unda iyos
gaTvaliswinebuli balansgareSe warmoebuli
instrumentebisaTvisac, svopebis, forvardebis, fiuCersebis da
SeZenili ofcioenebis CaTvliT. am instrumentebiT garigebebis
dros bankebi ganicdian sakredito risks ara maT srul
Rirebulebaze, aramed mxolod fuladi saxsrebis Canacvlebis
potenciur Rirebulebaze (replacement value) dadebiTi mimdinare
Rirebulebis mqone kontraqtebisaTvis kontragentebis mier
valdebulebebis Seusruleblobis SemTxvevaSi. aseTi
instrumentebis sakredito eqvivalentis sidide damokidebulia
kontraqtis Sesrulebamde vadaze, da im sabaziso aqtivebis fasebis
ryevaze, rimlebic safuZvlad udevs kontretuli tipis warmoebul
instruments.
warmoebuli instrumentebis konversia da maTi sakredito
eqvivalentebi SeiZleba iwarmebodes ori alternatiuli meTodidan
erT-erTiT: moimdinare riskis Sefasebis meTodiT an Tavdapirveli
riskis Sefasebis meTodiT.
mimdinare riskis Sefasebis meTodSi (current exposure method)
sakredito eqvivalenti gamoiTvleba rogorc Canacvlebis saerTo
Rirebulebis (gross replacement value - GRV) Tanxa, romelic tolia
instriumentis mimdinare sabazro Rirebulebis (Tu is dadebiTia),
da sakredito riskisTvis danamatis (add-on), romelicSeiZleba
warmoiSvas momavalSi kontraqtis Sesrulebis momentamde.
sakredito riskisaTvis danamatis zoma miiReba kontraqtis
nominaluri Rirebulebis Sesabamis koeficientze gamravlebiT,
romelic mocemuli kontraqtis saxeze da darCenil vadaze
damokidebulebiTaa dadgenili (cxrili 6.2).

492
 SevniSnoT, rom Canacvlebis saerTo RirebulebaSi CarTulia
mxolod dadebiTi mimdinare Rirebulebis instrumentebi, amasTan
sakredito riskis sidide gamoiTvleba rogorc dadebiTi, ise
uaryofiTi mimdinare Rirebulebis mqone instrumentebisaTvis.
erovnuli zedamxedvelobis organoebs SeuZliaT bankebs neba
darTon gamoiyenon Tavdapirveli riskis Sefasebis gamartivebuli
meTodi (original exposure method) saprocento da savaluto
warmoebuli instrumentebis sakredito eqvivalentis
gamosaTvlelad. mocemuli meTodis Tanaxmad, TiToeuli
instrumentisaTvis misi nominaluri Rirebuleba ubralod
mravldeba Sesabamis konversiis koeficientze, romelic kontraqtis
saxeze da misi Sesrulebamde Tavdapirvel (an darCenil) vadaze
damokidebulebiT dgindeba (cxrili 6.3). swored miRebuli sidide
iqneba mocemuli instrumentis sakredito eqvivalenti.

493
 bankebs ufleba eZlevaT awarmoon ormxrivi netingi (bilateral
netting) – erTidaimave kontragentTan warmoebuli instrumentebis
mixedviT poziciebis urTierTCaTvla sakredito riskis
gamosaTvlelad wminda poziciis gansazRvris mizniT. poziciis
urTierTCaTvla dasaSvebia mxolod Sesabamisi sakanonmdeblo
reJimis arsebobisas, romelic iZleva mocemul kontragentTan
urTierTCaTvlis warmoebis uflebas.

netingis Catarebisas bankebma unda gamoiyenon zemoT ganxiluli

mimdinare riskis Sefasebis meTodi (instrumentebis mimdinare
sabazro Rirebulebis safuZvelze) cxrili 6.2-dan konversiis
koeficientebis Skalis gamoyenebiT. poziciis sakredito
eqvivalenti, romlis mixedviTac xorcieldeba netingi, toli iqneba

494
Canacvlebis wminda Rirebulebis Tanxis da sakredito riskisTvis
danamatis jamis.
Canacvlebis wminda Rirebuleba (net replacement value - NRV) im
poziciisaTvis, romlis mixedviTac netingi xorcieldeba,
ganisazRvreba rogorc wminda poziciis sidide, Tu is dadebiTia
(winaaRmdeg SemTxvevSi Canacvlebis wminda Rirebuleba nulis toli
iqneba). poziciisaTvis sakredito riskisaTvis danamati, romlis
mixedviTac xorcieldeba netingi ( Anet ), ganisazRvreba kontraqtis
nominaluri Rirebulebis cxrili 6.2-dan Sesabamis koeficientze
gamravlebiT meSveobiT, romelic mocemuli kontraqtis saxeze da
darCenil vadaze damokidebulebiTaa dadgenili, Semdeg miRebuli
sidide mravldeba koeficientze, romelic asaxavs netingis
gavlenas:
Anet  Agross (0,4  0,6 NGR ) ; (6.1)
sadac Agross - sakredito riskisaTvis danamatia poziciis
netingamde;
NGR (net/gross ratio) – Canacvlebis wminda Rirebulebis (netingis
Semdeg) fardobaa Canacvlebis saerTo RirebulebasTan (netingamde).
NGR koeficienti SeiZleba gamoiTvalos ori xerxiT: an rogorc
saSualo mTliani garigebebis portfelis mixedviT, romelTa
mixedviTac Catarebuli iyo netingi, an TiToeuli
kontragentisaTvis calk-calke. ukanasknel SemTxvevaSi sakreedito
riskisaTvis danamati gamoiTvleba (6.1) formulis mixedviT
TiToeuli kontragentisaTvis calk-calke, xolo Semdeg jamdeba.
yvela danarCeni pozociisaTvis sakredito eqvivalenti
Cveulebriv gamoiTvleba: Canacvlebis saerTo Rirebulebis ( NGR ) da
sakredito riskisaTvis danamatis ajamviT.
magaliTi 6.1. vTqvaT im poziciis Canacvlebis saerTo
Rirebuleba, romlis mixedviTac xorcieldeba netingi, Seadgens 1,0
mlrd. dolars, xolo yvela danarCeni poziciis Canacvlebis
saerTo Rirebuleba Seadgens 2 mlrd. dolars. urTierTCaTvlis
Catarebis Semdeg im poziciebis Canacvlebis saerTo Rirebuleba,
romlebzedac is vrceldeba, Seadgens 0,5 mlrd. dolars. im
poziciebis mixedviT sakredito riskis danamatebis jamuri sidide,
romelTa mimarTac xorcieldeba netingi Seadgens 800 mln.

495
dollars, xolo yvela danarCeni poziciis mixedviT – 600 mln.
dolars. ganvsazRvroT am poziciebis sakredito eqvivalenti.
im poziciis sakredito eqvivaleti, romlis mixedviTac
xorcieldeba netingi, gamoiTvleba Canacvlebis wminda Rirebulebis
( NRV ) da am poziciis mixedviT sakredito riskis danamatis
Sekrebis gziT. ukanaskneli SeiZleba gamoiTvalos (6.1) formuliT
Semdegi fardobis gaTvaliswinebiT ( NGR  0,5 / 1  0,5 ): Anet =
800  (0,4+0,6  0,5) = 560 mln. dolr. Sedegad viRebT, rom sakredito
eqvivalenti Seadgens 500 mln. dolr. + 560 mln.dolr. = 1,06 mlrd.
dolr. yvela danarCeni poziciebis sakredito eqvivalenti tolia
maT Canacvlebis saerTo Rieebulebis da sakredito riskisaTvis
erToblivi danamatebis sidideebis jamis: 2000 mln. dolr + 600
mln. dolr. = 2,6 mlrd. dolr. jamuri sakredito eqvivalenti
Sedgeba poziciebis sakredito eqvivalentebisagan, romelTa
mixedviT ganxorcielda netingi, da yvela danarCeni poziciisagan:
1,06 mlrd. dolr. + 2,6 mln. dolr.= 3,66 mlrd. dolr.
iseve rogorc sxva balansgareSe muxlebisaTvis, warmoebuli
instrumentebis mixedviT sakredito eqvivalentebis sidideebi unda
gamravldes sabalanso aqtivebisaTvis riskis Sesabamis
koeficientebze garigebis mixedviT kontragentis saimedoobaze
damokidebulebiT, xolo Sedegi – miematos aqtivebis saerTo
Rirebulebas, romelic Sewonilia riskis gaTvaliswinebiT.

6.2.3 kapitalis sakmarisobis minimaluri normativi

kapitalis mixedviT bazelis 1988 wlis SeTanxmebis qvakuTxeds
warmoadgens saerTaSoriso arenaze moqmedi bankebisaTvis kapitalis
sakmarisobis minimaluri donisadmi moTxovna. SeTanxmeba adgens,
rom ZiriTadi kapitalis minimaluri done ar unda iyos 4%-ze
naklebi, xolo erToblivi kapitalis minimaluri zoma – 8%-ze
naklebi riskis gTvaliswinebiT Sewonili bankis sabalanso
kapitalis da balansgareSe dabandebebis mimarT.
es moTxovnebi gamoiyeneba konsolidirebul safuZvelze bankebis
da sabanko jgufebis mimarT, e.i. Svilobili organizaciebis
balansebis gaTvaliswinebiT.
unda aRiniSnos, rom riskis gaTavliswinebiT kapitalis mimarT
bazelis moiTxovnis Sesabamisad SesaZlebelia sabanko balansis

496
warmoebis ori xerxi: `kosmetikuri~ da `efeqturi~. `kosmetikuri~
xerxi varaudobs balansis struqturaSi iseT cvlilebebs,
romlebic Tumca banks saSualebas aZlevs formalurad miaRwios
kapitalis minimalur normativs, magram ar amcirebs misi gakotrebis
albaTobas. aseTi cvlilebebi SesaZlebelia grdauvalobis ZaliT
informaciis asimetriulobis pirobebSi zedamxedvelobis
organoebis mier gamoyenebuli kapitalis zomis da riskis
arasrulyofilobis gamo.
`kosmetikur~ gaumjobesebes miekuTvnebian aqtivebis portfelis
saerTo riskis gazrda rogorc `kompensacia~ kapitalis gazrdaze
(magaliTad, 100%-iani riskis mqone dabandebebis gazrdis gziT)
aqtivebis sekuritizacia (securutuzation) maRali sakredito reitingis
mqone sesxebis balanss gareT gatanis gziT (romelTaTvisac
SeTanxmebiT dadgenilia momatebuli riskis koeficienti, da
Sedegad rezervirebuli kapitalis zomac), aseve kapitalis
buRaltrul da ekonomikur Sefasebebs Soris sxvaobaze TamaSi
(sesxebis mixedviT zaralis xangrZlivi auRiarebloba da fasini
qaRaldebis gadafasebidan dadebiTi sxvaobis naCqarevi aRiareba).
efeqturi xerxi piriqiT, bankis gakotrebis albaTobis dawevis
saSualebas iZleva da moicavs iseT zomebs, rogoricaa riskiT
Sewonili aqtivebis Tanxis Semcirebas (maRali riskis mqone
aqtivebis portfelis Semcirebis gziT, kerZod sesxebis, da
likvidur fasian qaRaldebSi dabandebebis gazrdiT), da/an sakuTari
kapitalis gazrdas (gaunawilebeli mogebis gazrdis da/an
damatebiTi aqciebis gamoSvebis gziT).
magaliTi 6.2 kapitalis minimaluri zomis gamoTvla riskis
gaTvaliswinebiT hipitetiuri agrerirebuli sabanko
portfelisaTvis, romelic axdens zemoT aRwerili bazelis
komitetis midgomas moyvanilia cxril 6.4-Si.

497
 6.2.4 kapitalis mixedviT 1988 wlis bazelis SeTanxmebis kritika
1988 wels miRebuli SeTanxmeba asaxavda drois im momentSi
damyarebul `dargobriv konsesuss~ sakredito riskis Sefasebis
meTodikis mimarT da sabanko kapitalis misaRebi zomis mimarT,
romelic formirebuli iyo sakredito riskis Sedegad danakargis
SesaZleblobiT. sakredito riskis Sefasebis normatiuli meTodika
savsebiT Seesabameboda tradiciul sabanko praqtikas, romelic
dafuZnebuli iyo riskis xrisxis mixedviT aqtivebis ubralo
klasifikaciaze. miuxedavad amisa, swored Tavisi ukiduresad
gamartivebis da riskis realur gradaciebis mimarT dabali
mgrZnobelobis gamo, bazelis komitetis standartuli meTodika
warmoadgenda arc Tu ise unaklos, gamoqveynebidan gavlili drois
Semdeg man gamoiwvia mravali kritikuli SeniSvna sabanko
sazogadoebis mxridan.
kerZod, yvelaze meti kritika gamoiwvia riskis wonis
koeficientebma, romlis dabalma mgrZnobelobam riskis realur
gradaciebis mimarT SesaZlebeli gaxada kapitalis sakmarisobis
uzrunvelyofis mravali CamoTvlili `kosmetikuri~ xerxi.
normatiuli Skala mxolod mkacrad mocemul riskis xuT
koeficients moicavs (0, 10, 20, 50 da 100%) da araa Tavisufali
damaxinjebisagan, romelTagan yvelaze seriozuls warmoadgens
yvela sesxis korporatiul msexeblebze mikuTvneba maTi 100%-iani

498
riskis mqone aqtivebis mimarT sakredito xarisxis miuxedavad.
magaliTad umaRlesi AAA Areitingis mqone msesxeblis dakreditebam
SeiZleba moiTxovos iseTive normis sarezervo kapitali, rogoric
venCuruli fondis kreditorebma, magram samxreTkoreul bankebis
sesxebze, romlebic 90 wlebis bolos ganicdidnen niSvnelovan
finansur siZneleebs, saWiroa 4/5-iT naklebi rezervi, vidre sxva
ganviTarebadi bazrebis firmebisaTvis, ramdenadac samxreT korea
OECD-s wevria.
aqtivebis riskis Skalis am naklma praqtikaSi migviyvana
arasasurvel Sedegebamde, sabanko portfelis riskis dawevis
Tavdapirveli miznis sawinaaRmdegod. sazogadod cnobilia is
faqti, rom kapitalis mixedviT bazelis SeTanxmebam Seqmna
bankebisaTvis antistimuli, romelTagan mravalma gamoiyena
`kosmetikuri~ gaumjobesebebi sasexo portfelis sekiuritizaciis
xarjze. finansuri bazrebis ganviTarebam migviyvana TandaTanobiTi
pirveli klasis msesxeblis gadaorientaciebamde pirdapiri
dafinansebis mosazidad obligaciuri sesxebis gamoSvebis gziT,
romelTaTvisac bazars SeeZlo SeeTvazebina mniSvnelovnad
xelsayreli pirobebi. Sedegad mxvili bankebis balansebSi
momravlda dabali reitingis mqone emitentebis sesxebi, Tumca
bankebis sabalanso poziciebis `xarisxis~ daweva arafriT ar
Sedioda sabanko zedamxedvelobis bazelis komitetis miznebSi.
garda amisa aseTi Skala absoluturad statikuria, ramdenadac
riskis koieficientebi mkacrad fiqsirebulia da SesaZlebelia maTi
gadaxedva (Teoriulad) mxolod maregulirebeli organoebis
gadawyvetilebiT.
sarezervo kapitalis sididis gamosaTvleli bazelis ganakveTma
(8%) aseve ganicada sariozuli kritika samecniero dasabuTebis ar
qonis gamo.
bolos, kapitalis mixedviT bazelis 1988 wlis SeTanxemebis
SezRuduloba mdgomareobda sabanko portfelebis mxolod
sakredito riskis gaTvaliswinebaSi (kontragentis da qveynis
riskis). miuxedavad imisa, rom es riski mniSvnelovans warmoadgens,
finansuri bazrebis mzardi arastabilurobis da bankebis am
bazrebSi operaciebSi CarTulobis pirobebSi ufro da ufro

499
mzardi roli SeiZina sabazro riskma, kerZod savaluto,
saprocento da warmoebuli instrumentebiT operaciebis riskebma.

6.3 kapitalis mixedviT bazelis SeTanxmebaze damatebebi masSi

sabazro riskis CarTvis mizniT
1993 wlis aprilSi bazelis komitetma sabanko sazogadeobas
SesTavaza e.w. kapitalis zomis gansazRvrisadmi `standartuli~
midgoma (standardized approach), romelic sabazro riskis Sedegad
danakargebis winaaRmdeg rezervirdeba. es midgoma dafuZnebulia
1988 wlis STanxmebis principebze da savsebiT Seesatyviseboda
riskis regulirebis `xist~ praqtikas.
saerTaSoriso finansur bazarze aqtiurad opirirebadi bankebis
mier sabazro riskebis gaangariSebis sakuTari modelebis farTo
gamoyenebam SesaZlebeli gaxada tradiciuli xisti regulirebidan
principulad axal sabanko riskebis regulirebis `mastimulirebel~
(incentive-compatible) midgomaze gadasvla, romelic efuZneba bankebis
Siga modelebis gamoyenebas. dargobrivi praqtikis da tendenciebis
gaTvaliswinebiT, 1995 wlis aprilSi bazelis komitetma
SemogvTavaza kapitalis zomis gaangariSebis axali meTodika,
sabazro riskebis Sedegad SesaZlo danakargebisagan Tavdasacavad
rezervebis Seqmna, romelmac miiRo `midgoma Siga modelebis
safuZvelze~ saxelwodeba. sabanko sazogadoebaSi winaswari
ganxilvis Semdeg 1996 wlis ianvarSi bazelis komitetma miiRo
`kapitalis mixedviT bazelis SeTanxmebaze damatebebi masSi
sabazro riskis CarTvis mizniT~, romelSic asaxva hpova orive
miTiTebulma midgomam kapitalis sakmarisobis zogadi sqemis
CarCoebSi sabazro riskis Sefasebis Sesaxeb. es damateba jgufi 10-
is qveynebSi ZalaSi Sevida 1998 wlis 1 ianvridan.
kapitalis mixedviT bazelis 1988 wlis SeTanxemebaze damateba
(SemdgomSi damateba) Sedgeba Semdegi ganyofilebebisagan:
a) Sesavali. riskis Sefasebisadmi CarCo midgoma. kapitalis
mimarT moTxovna. sabazro riskis Sefasebis meTodebi. gardamavali
xasiaTis zomebi.
b) sabazro riskis Sefasebis standartuli meTodi. saprocento
riski. safondo riski. savaluto riski. sasaqonlo riski.
ofcionebis riskis Sefaseba.

500
 g)sabazro riskis Sefasebis Siga modelebis gamoyeneba.
d)samuSao magaliTebi.
damatebebiT neba darTulia sabazro riskis dasafarad mesame
donis kapitalis gamoyeneba. mesame donis kapitalis (tier III capital)
qveS moiazreba moklevadiani subordinirebuli davalianeba,
romelic:
 warmoadgens arauzrunvelyofils, subordinirebuls da
srulad anazRaurebuls;
 ar SeiZleba iqnas dafaruli dadgenili vadis dadgomamde im
SemTxvevebis gamoklebiT, rodesac amaze arsebobs zedamxedvelobis
organos Tanxmoba;
 ganicdis gayinvis mdgomareobis zemoqmedebas, romelic
gulisxmobs, rom neba araa darTuli davalianebis procentis an
ZiriTadi Tanxis gadaxda (gadaxdis vadis dadgomis SemTxvevaSic
ki), Tu aseTi gadaxdis Sedegad bankis kapitali aRmoCndeba (an
darCeba) dadgenili minimaluri normativze dabla.
mesame donis kapitali gamoiyeneba mxolod sabazro riskis
winaaRmdeg rezervis Sesaqmnelad pirveli donis kapitalis ara
umetes 25%-is sididis zomiT, romelic rezervirebulia sabazro
riskis winaaRmdeg.
sabazro riski ganisazRvreba rogorc sabalaso da balans
gareSe poziciebis mixedviT zaralis riski, romelic warmoiSoba
sabazro fasebis rxevebis Sedegad. am gansazRvrebis qveS xvdebian:
1) bankis savaWro portfelSi myofi instrumentebis mixedviT
saprocento da safondo riski; 2) bankis yvela operaciis mixedviT
savaluto da savaWro riski da 3) bankis savaWro portfelSi myofi
yvela ofcionis mixedviT sabazro riski.
bazelis komitetis gansazRvrebis Tanaxmad, savaWro portfeli
(trading book) Sedgeba bankis sakuTari finansuri poziciebisagan
(warmoebuli fasiani qaRaldebis da sxva balansgareSe
instrumentebis CaTvliT), romlebic SeZenilia moklevadian
periodSi specialurad maTi gadayidvis mizniT da/an gaxsnilia
bankis mier moklevadian periodSi mogebis miRebis mizniT yidva
gayidvis fasebs Soris namdvili da mosalodneli sxvaobebisagan an
fasebis da saprocento ganakveTebis sxva cvlilebebiT, aseve im
poziciebiT, romlebic dakavSirebulia bankis dileris an market-
501
meikeris funqciasTan, da poziciebi, romlebic gasxnilia savaWro
portfelis sxva elementebis hejirebisaTvis.
bankebs, kapitalis minimaluri zomis gamoTvlis mizniT TavianTi
sabazro riskebis SefasebisaTvis, aqvT SesaZlebloba (erovnuli
maregulirebeli organoebis Tanxmobis pirobebiSi) SearCion ori
alternatiuli midgomidan romelime erTi:
a) standartuli midgoma;
b) bankis Siga modelebis safuZvelze midgoma.
standartuli midgoma (standardized approach), romelic emyareba
xist SefasebiT CarCoebs, warmoadgens sabazos da gamoiyeneba yvela
bankis mier `defoltisas~. standartuli meTodika iyenebs e.w.
`mSenebare blokebis~ pirincips (bulding blocks approach), romelic
varaudobs specifiuri da zogad sabazro riskebis gancalkevebul
Sefasebas. specifiuri sabazro riski (specific risk) – es aris
danakargis riski, romelic ganpirobebulia bazris dinamikidan
zogadad gansxvavebuli kontretuli finansuri instrumentis fasis
ryeviT da mocemuli emitentTan kavSirSi, xdomilobis (magaliTad
dafarvaze moTxovnis) da emitentis defoltis riskebis CaTvliT.
misgan gansxvavebiT, zogadi sabazro riski (general market risk)
ganpirobebulia zogadad finansuri bazris rxeviT da asaxavs
portfeli rogorc erTini instrumentis ERirebulebis rxevas.
SeniSvna. n sxvadasxva aqtivisagan Semdgari portfelisaTvis i -
uri aqtivis saerTo Rirebulebis  i –is toli wiliT, erToblivi
sabazro riski, romelic izomeba portfelis Semosavlianobis
dispersiiT, SeiZleba warmovadginoT zogadi da specifikuri
riskebis jamis saxiT Semdegnairad:
1 2  1
 p2    n  1  Cov n , (6.2)
n  n
1 n 2
sadac  n2   i -
n i 1
portfelis elementebis Semosavlianobebis

saSualo dispersiaa;
1
Cov n   i j i j  ij -
n  n i , j 1,i  j
2
portfelis elementebis

Semosavlianobebis saSualo kovariaciaa.

(6.2) gamosaxulebaSi pirveli Sesakrebi warmoadgens specifikur
(arasistematur, diversificirebul) risks, romelic SeiZleba

502
daiwios portfelis diversifikaciis meSveobiT (usasrulod didi
n –sTvis nulamde). meore Sesakrebi gvaZlevs saerTo sabazro
(sistematur, aradiversificirebul) risks, romlis sidide roca
miiswrafis kovariaciis saSualo mniSvnelobisaken, romelic ar
udris nuls realur bazrebze aqtivebis fasebSi (aqciebSi da
saprocento ganakveTebSi) dadebiTi korelaciis gamo.
sabazro riskebis sxva nairsaxeobebi, romlebic am midgomis
CarCoebSia Sefasebuli, moicavs:
 saprocento instrumentebisaTvis: sabaziso riski28 (basis risk),
xazobrivi sturqturis wyvetis riski29 (gap risk);
 aqciebis indeqsebze dafuZnebuli instrumentebisaTvis:
garigebis Sesrulebis riski30 (execution risk);
 sasaqonlo instrumentebisaTvis: spot-fasis rxevis riski
(directional risk); sabaziso riski, saprocento riski31 (interest rate risk),
forvarduli fasebis wyvetis riski32 (foeward gap risk);
 ofcionebisaTvis: delta-, gama- da beta-riski.
sabazro riskis sididis da mis mimarT sawinaaRmdego
rezervirebadi kapitalis zomis gamoTvla, damatebis Tanaxmad, unda
xorcieldebodes vaWrobis TiToeuli dRis damTavrebisas mudmivad.
amasTan mosalodnelia, rom TviTon bankebi ganaxorcieleben riskis
marTvis mkacr procedurebs, Tvalyurs miadevneben, rom riskis done
dRis ganmavlobaSi gonivrul zRavrs ar gadacdes.

6.4 standartuli midgoma

6.4.1 saprocento riski
saprocento riskis (interest risk)QqveS moiazreba bankis savaWro
portfelis savalo fasiani qaRaldebiT da sxva sarocento

28 momavalSi msgavsi, magram araidenturi insrtumentebi an riskis indikatorebi fasebs

Soris mimdanare Tanafardobis cvlilebis riski.
29bankis aqtivebis da pasivebis saprocento rxevebis mimarT mgZnobelobis
arabalansirebis Sedegad wminda procentuli Semosavlis Semcirebis riski.
30 imis riski, rom mocemuli garigeba ar SeiZleba Sesruldes mimdinare sabazro
koniunqturis pirobebSi (finansuri Suamavlis gareSe).
31 vadiani finansuri instrumentebis mixedviT sainveticio poziciis SenarCunebis
Rirebulebis rxevis riski.
32 saprocento ganakveTis cvlilebisagan gansxvavebuli faqtorebis moqmedebis ZaliT
forvarduli fasis cvlilebis riski.
503
ganakveTebis mqone instrumentebiT poziciebis mixedviT SesaZlo
danakargebi,
kapitalis mimarT monimaluri moTxovna gamoisaxeba or calk-
calke gamoTvlili Sesakrebis saxiT, romelTgan erTi miekuTvneba
TiToeuli calke poziciis specifikur risks, xolo meore –
MmTliani portfelis zogad saprocento risks (romelsac `zogadi
sabazro riski~ ewodeba). specifikuri riski gamoiTvleba sakredito
riskis gamoTvlis meTodikis analogiurad instrumentebis sabazro
Rirebulebis riskis koeficientze gamravlebis gziT, romlebic
iyofian Semdeg kategoriebad:
I. saxelmwifo fasiani qaRaldebi (government):
0% _ saxelmwifo obligaciebis yvela saxe.
II. Sesabamisi fasiani qaRaldebi, romlebic garkveul moTxovnebs
pasuxoben (qualifying securities): fasiani qaRaldebi, romlebic
gamoSvebulia sxvadasxva saxelmwifo dawesebulebebis (garda
centraluri mTavrobisa) an saerTaSoriso ganviTrebis bankebis
mier, aseve sxva fasiani qaRaldebi, romlebsac erovnuli
zedamxedvelobis organoebis mier akreditirebuli aranakleb ori
sareitingo saagentos mier miniWebuli aqvs `sainvesticio xarisxis~
sakredito reitingi ( BBB / Baa da meti), an ar gaaCniaT sakredito
reitingi magram, bankis azriT, edrebian sainvesticio xarisxs,
amasTan maTi emitenti unda iyos CarTuli romelime cnobili
safondo birJis listingSi:
0,25% - dafarvamde darCenili araumetes 6 Tvis vadiT;
1,00% - dafarvamde darCenili 6 Tvidan 2 wlamde vadiT;
1,60% - dafarvamde darCenili 6 Tvidan 2 welze meti vadiT.
III. sxva:
8% - sxva fasiani qaRaldebi.
zogadi saprocento riskis sawinaaRmdego kapitalis zoma
SeiZleba gamoiTvalos oridan erT-erTi meTodiT: dafarvamde vadis
safuZvelze meTodiT an duraciis safuZvelze meTodiT.
dafarvamde vadis safuZvelze meTodis (maturity method)
gamoyenebisas savalo fasiani qaRaldebis da sxva instrumentebis
mixedviT grZeli da mokle poziciebi, romlebic mgrZnobiareebi
arian saprocento riskis mimarT, warmoebuli instrumentebis
CaTvliT, nawildebian dafarvamde vadebis (maturity ladder) `kibis~
504
saxiT, romelic Sedgeba 13 an 15 mocemuli droiTi intervalisagan
(ix. cxrili 6.5). fiqsirebuli gankveTis mqone instrumentebi
nawildebian dafarvamde darCenili vadis Sesabamisad, xolo mcocavi
ganakveTis mqone instrumentebi – Semdeg gadafasebis TariRamde
darCenili vadaze damokidebulebiT. nulovani kuponebis mqone
obligaciebi da didi diskontis mqone obligaciebi33 (deep discount
bonds) nawildebian droiT intervalebze, romlebic moyvenilia
cxrilis meore svetSi.
gamoTvlis pirvel safexurs warmoadgens TiToeul droiT
intervalSi yvela poziciis Sewonva im koeficientze gamravlebis
gziT, romelic asaxavs fasebis savaraudo cvlilebas, romelic
gamowveulia saprocento ganakveTebis savaraudo rxeviT (igi
moyvanilia cxril 6.5-is mesame da meoTxe svetebSi Sesabamisad).
Semdegi safexuri mdgomareobs TiToeul droiT intervalSi
Sewonili grZeli da mokle poziciebis urTierTkompesaciaSi niSnis
gaTvaliswinebiT maTi ajamvis gziT. Sedagad ganisazRvreba
TiToeul droiT intervalSi mokle an grZeli poziciis daxurva
(matched) da gaxsna (net/open). magram Tu gaviTvaliswinebT, rom
TiToeuli droiTi intervali moicavs sxvadasxva gadaxdis TariRis
(mocemuli intervalis SigniT) mqone sxvadasxva instrumentebs,
daxuruli poziciis mimarT (kompesirebuli poziciebidan yvelaze
umciresis mimarT), iqneba is mokle Tu grZeli – kapitalis
moTxovnis mimarT gamoiyeneba 10%-iani zoma (vertical disallowance), rac
asaxavs sabaziso da xazis struqturis wyvetis risks. magaliTad, Tu
konkretul droiT intervalSi grZeli poziciebis Sewonili jami
100 mln. dolaris tolia, xolo Sewonili mokleebis – 90 mln.
dolaris, maSin e.w. `vertikaluri gadaxra~ mocemuli intervalis
mixedviT tolia 90 mln. dolaridan 10%-is, e.i. 9 mln. dolaris.
ganxorcielebuli gamoTvlebis Sedegad ganisazRvreba gasxnili
Sewonili poziciebis sidide TiToeuli droiTi intervalisTvis
(zemoT moyvanil magaliTSi – es aris 10 mln. dolaris zomis
grZeli pozicia).

33 kuponebis mqone fasiani qaRaldebi, romlebic meorad bazarze iyideba 20%-ze meti
diskontiT. mocemul meTodSi maT miekuTvnebaT 3%-ze naklebi kuponebis mqone obligaciebi.
505
 amas damatebuli bankebs ufleba eZlevaT Caataron
`horizontaluri kompoziciebis~ kidev ori raundi: Tavdapirvelad
wminda gaxsnili poziciebis mixedviT sami zonidan TiToeulis
SigniT, romelTa mixedviT xdeba droiTi intervalebis dajgufeba
(nulidan wlamde, erTi wlidan 4 wlamde da 4 welze zeviT), xolo
Semdeg am sam zonas Soris wminda gaxsnili poziciebis mixedviT.
kompesaciebisaTvis gamoiyeneba kapitalis moTxovnisaTvis Skala e.w.
`horizontaluri gadaxris~ (horizontal disallowances) winaaRmdeg,
romelic gamoisaxeba daxuruli poziciebis wilis saxiT, rogorc es
cxril 6.6-zea naCvenebi. sami zonidan TiToeulis SigniT Sewonili
grZeli da mokle poziciebi SeiZleba kompesirdes, amasTan daxuli
poziciis sididiT miiReba gadaxris Sesabamisi koeficienti,
romelic warmoadgens kapitalis mimarT moTxovnis nawils.
TiToeul zonaSi narCeni wminda pozicia SeiZleba dakompersirdes

506
sxva zonebSi sapirispiro poziciiT – gadaxris meore jgufis
koeficientebis gamoyenebis pirobebSi.
saerTo saprocento riskis winaaRmdeg rezervirebuli kapitalis
zoma gamoTvleba Semdegi sidideebis dajamvis gziT:
1) `vertikaluri gadaxrebis~ (yvela droiTi intervalis mixedviT
daxurul poziciebis jamis 10%);
2) `horizontaluri gadaxrebi~ zonis SigniT (zona 1-is Sewonili
daxuruli poziciebis sidideebis 40% da zona 2 da 3-is Sewonili
daxuruli poziciebis sidideebis 30%);
3) zonebs Soris `horizontaluri gadaxrebi~ (1 da 2, 2 da 3
zonebs Soris Sewonili daxuruli poziciebis sidideebis 40-40%
Sesabamisd da 1 da 3 zonebs Soris Sewonili daxuruli poziciebis
sidideebis 100%);
4) narCeni Ria Sewonili poziciebi (100%-is zomiT).
magaliTi 6.3. vTqvaT banks gaaCnia Semdegi mimdinare
poziciebi, romlebic Semdeg sabazro RirebulebaSia asaxuli:
1) 13,33 mln. dolaris mimdinare Rirebulebis 8%-iani kuponuri
ganakveTis mqone `Sesaferisi obligaciebi~, romelTa dafarvamde 8
welia darCenili;
2) 75 mln. dolaris mimdinare Rirebulebis mqone saxelmwifo
obligaciebi dafarvamde 2 Tvis vadiT da 7%-iani kuponuri
ganakveTiT;
3) 150 mln. dolaris mimdinare Rirbeulebis mqone saprocento
svopi: bankiiRebs mcuravi ganakveTiT gadaxdebs da ixdis
fiqsirebuli ganakveTs; Semdegi gadaxdis miRebamde darCenili vada
Seadgens 9 Tves, svopis damTavrebamde darCenili vada – 8 welia;
4) grZeli pozicis saperocento ganakveTze fiuCerdebis mixedviT
mimdinare RirebulebiT 50 mln. dolari, 6 Tvis Semdeg miwodebiT da
sabaziso saxelmwifo obligaciebis 3,5 welSi dafarvis vadiT.
mocemuli portfelis mixedviT saerTo saprocento riskis da
kapitalis mimarT moTxovnis gamoangariSebis etapebi moyvanilia
cxril 6.7-Si.
bankebs zadmxedvelobis organoebis nebarTviT SeuZliaT
gamoiyenon saerTo saprocento riskis Sefasebis ufro zusti xesxi
– meTodi duraciis safuZvelze (duration method), romelic varaudobs
safaso mgrZnobelobis gaangariSebas TiToeuli cakleuli

507
poziciisaTvis. bankma, romelic duraciis safuZvelze meTods
airCevs, is unda miiRos mudmiv safuZvlad (im SemTxvevebis garda,
rodesac zedamxedvelobis organoebi sxva meTodikis gamoyenebis
nebas darTaven).

am meTodiT zogadi saprocento riskis gamoTvlis teqnika bevr

ramiT dafarvamde vadis safuZvelze meTodis analogiuria:
1) Tavidan fasdeba yvela instrumentisaTvis safaso mgrZnobeloba
saprocento ganakveTis mimarT misi Rirebulebis winaswar
gaangariSebul duraciaze gamravlebis gziT da Semosavlianobis
savaraudo cvlilebaze 0,6-dan 1,0%-mde (gadaxdamde darCenili
vadaze an TiToeul instrumentis dafarvamde vadaze
damokidebulebiT – ix. cxrili 6.8);
2) mgrZnobelobis Sefasebis miReba (wina meTodSi `Sewonili
poziciebis~ analogiuri) ganlagebulia `duraciis kibis~ saxiT,
romelic dafarvamde vadis safuZvelze meTodisaTvis cxril 6.6-dan
15 droiT intervals iTvlis;

508
 3) Sewonoli poziciis daxurva TiToeul droiT intervalSi
mravldeba 5%-ze sabaziso riskis gaTvaliswinebisaTvis
(`vertikaluri gadaxris~ gamoTvla);

4) TiToeuli zonis SigniT da zonebs Soris Sewonoli poziciis

daxurva mravldeba koeficientebze, romlebic dafarvamde vadis
safuZvelze meTodSia dadgenili (`horizontaluri gadaxris~
gamoTvla);
5) ganisazRvreba erToblivi gaxsnili pozicia, romlisaTvisac
kapitalis zoma Seadgens 100%-s.
saprocento riski gamoiTvleba yvela warmoebuli da
balansgareSe instrumentebisaTvis savaWro portfelSi, romlebic
mgrZnobiareebi arian iseTi saprocento ganakveTebis mimarT,
rogorebic arian samomavlo saprocento ganakveTis Sesaxeb
SeTanxmeba ( FRA ), sxva forvarduli kontraqtebi, obligaciebze
fiuCersebi da savaluto forvardebi.

509
 warmoebuli instrumentebi unda warmovidginoT Sesabamis
sabaziso aqtivebis mixedviT poziciis saxiT, Semdeg maT mimarT
gamoiyeneba zogadi da specifikuri riskebis dasafaravad kapitalis
mimarT moTxovna.
bankebs SeuZliaT mTlianad gamoricxon saprocento riskis
gamoTvlidan (rogorc zogadi, ise specifikuri) grZeli da mokle
poziciebi (rogorc realuri ise pirobiTi) identuri instrumentebis
mixedviT, romlebsac hyavT erTidaigive emitenti, aqvT erTnairi
kuponebi, valuta da gadaxdis vadebi.
saprocento da savaluto svopebis, samomavlo saprocento
ganakveTis Sesaxeb SeTanxmebebis, forvarduli savaluto
kontraqtebis da saprocento fiuCersebis mimarT, aseve saprocento
ganakveTis indeqsebze fiuCesebis (magaliTad LIBOR ) mimarT
specifikuri riskebis dasafaravad kapitalis mimarT moTxovna ar
gamoiyeneba.
yvela sabaziso aqtivebiT saerTo saprocento riski poziciebis
mixedviT gamoiTvleba sakaso operaciebis analogiurad, meTodiT
romlic efuZneba dafarvamde vadas an duracias.
6.4.2 safondo riski
safondo riskis (equity risk) qveS damatebaSi igulisxmeba bankis
savaWro portfelis SemadgenlobaSi myofi aqciebis da maTi
warmoebulebis mixedviT poziciebis Rirebulebis rxevis riski.
510
 safondo riskis dafarvis minimaluri kapitalis zoma gamoisaxeba
ori cakleuli Sesakrebis saxiT: specifikuri riskis, romelic
dakavSirebulia kontretuli aqciis mixedviT poziciasTan, da
zogadi sabazro riskis, romelic warmoiSoba bazris rxeviT
zogadad. specifikuri riskis dasafarad kapitalis mimarT moTxovna
tolia 8%-is safondo instrumentebis mixedviT yvela grZeli da
mokle poziciebis absoluturi mniSvnelobidan (magram, Tu
zedamxedvelobis organoebis azriT, safondo instrumentebis
portfeli likviduria da kargad diversificirebuli, mis mimarT
SeiZleba gamoyenebuli iyos 4%-iani maCvenebeli).
saerTo sabazro riskis gamosaTvlelad ganisazRvreba
erToblivi gaxsnili pozicia rogorc yvela grZel poziciebis
jamsa da mokle poziciebis jams Soris sxvaoba. saerTo sabazro
riskis winaaRmdeg kapitalis minimaluri zoma dadgenilia 8%-is
doneze wminda gaxsnili poziciebis sidididan.
safondo indeqsebze warmoebulebisaTvis, romelic agebulia
aqciebis portfelis diversifikaciis mixedviT, kapitalis mimarT
dadgenilia damatebiTi moTxovna 2%-is zomiT wminda gaxsnili
poziciebidan, romlebic gankuTvnilia garigebis Sesrulebis riskis
dasafaravad.

6.4.3 savaluto riski

savaluto riski (currency risk) damatebaSi gansazRvrulia rogorc
ucxour valutaSi, oqros CaTvliT, poziciebis Rirebulebis rxevis
riski. saprocento an safondo riskebisagan gansxvavebiT, savaluto
riski ukve gamoiTvleba mTliani bankis mixedviT (rogorc savaWro
ise sabanko portfelebisaTvis).
kapitalis mimarT moTxovnis gamosaTvlelad, romelic
rezervirebulia savaluto riskis winaaRmdeg, aucilebelia
ganxorcieldes ori operacia. maTgan pirveli mdgomareobs
TiToeuli valutis mixedviT poziciis riskis SefasebaSi, xolo
meore – mTliani portfelis grZeli da mokle poziciebis riskis
SefasebaSi sxvadasxva valutaSi.
bankis wminda gaxsnili pozicia (net open position) TiToeul
valutaSi gamoiTvleba wminda spot-poziciebis, wminda forvarduli
poziciebis, gacemuli garantiebis, wminda samomavlo Semosulobebis

511
an gasavlebis, romlebic jer araa daricxuli, magram ukve
mTlianad hejirebulia, mTliani savaluto ofcionebis portfelis
wminda `delta-eqvivalentis~, aseve yvela sxva muxlebis, romlebic
asaxven mogebas an zarals ucxour valutaSi, Sejamebis gziT.
vexebiT ra savaluto riskis Sefasebas, unda SevniSvnoT, rom
damateba saSualebas aZlevs bankebs, zedamxedvelobis organoebis
nebarTviT, airCios ori alternatiuli meTodidan erT-erTi:
`gamartivebuli~ meTodi (shorthand method), romlis drosac yvela
valuta damoukideblad ganixileba, da Siga modelebze dafuZnebuli
meTodi, romlis gamoyenebis drosac mxedvelobaSi miiReba riskis
faqtobrivi done, romelic damokidebulia sabanko portfelis
Semadgenlobaze (ix. paragrafi 6.5).
gamartivebuli meTodis Tanaxmad, nominaluri Rirebuleba (an
wminda dayvanili Rirebuleba) wminda gaxsnili poziciis TuToeuli
valutis mixedviT daiyvaneba balansis valutaSi mimdinare gacvliTi
spot kursis mixedviT. valutis mixxedviT zogadi wminda gaxsnili
pozicia (overall net open position) ganisazRvreba rogorc Semdegi ori
mniSvnelobidan udidesi:
 wminda grZeli poziciebis Tanxa yvela valutis mixediT;
 wminda mokle poziciebis Tanxa yvela valutis mixediT.
calke gamoiTvleba wminda pozicia oqros mixedviT (misi
niSnisagan damoukideblad).
kapitalis mimarT moTxovna miiReba 8%-is tolad zogadi wminda
gaxsnili savaluto poziciebis sidididan plus oqros mixedviT
wminda poziciidan.
magaliTi 6.4 kapitalis mimarT moTxovna savaluto portfelis
agrerirebisaTvis moyvenilia cxril 6.9-Si.

kapitalis mimarT moTxovna Sedgeba 8% absolituri

mniSvnelobiT meti mokle an grZeli poziciidan (300) plus 8%
oqros mixedviT poziciidan (35) : 8%  335  26,8 .

512
 6.4.4 sasaqonlo riski
damatebaSi moyvenili ganmartebis Tanaxmad, sasaqonlo risks
(commodity risk) warmoadgens saqonelze kontraqtis mixdviT poziciis
Rirebulebis rxevis riski, oqros garda Zvirfasi liTonebis
CaTvliT. aucilebelia aRiniSnos, rom sasaqonlo riskis ufro
rTul da cvalebad xasaiTs atarebs, vidre savaluto da
saprocento riskebi, sasaqonlo bazrebis ufro maRali
volatilobis da naklebi likvidurobis ZaliT.
sasaqonlo riskis winaaRmdeg darezervebuli kapitalis zoma
SeiZleba gamoiTvalos kontraqtis Sesrulebamde vadebis `kibis~
safuZvelze meTodiT (maturity ladder appoach), gamartivebuli meTodiT
(simplified method) an bankis Siga modelis saSualebiT (ix. paragrafi
6.5).
aris ra bevriT kontraqtis Sesrulebamde vadebis `kibis~
safuZvelze meTodi saerTo saprocento riskis gamoTvlis
dafarvamde vadaze dafuZnebuli meTodis msgavsi TavisTavSi
moicavs moqmedebebis Semdeg mimdevrobebs.
1. sasaqonlo kontraqtis mixedviT yvela spot- da forvarduli
poziciebi gamosaxuli unda iyos zomis standartul naturalur
erTeulebSi (tonebSi, barelebSi da a.S.), ris Semdegac
ganisazRvreba TiToeuli saxis saqonlis mixedviT wminda gaxsnili
pozicia, romelic fasdeba valutis balansSi mimdinare sabazro
Rirebulebis mixedviT.
2. calk-calke yvela saqonlis mixedviT mokle da grZali
poziciebi ganlagdebian kibis saxiT Sesabamisi kontraqtis
Serulebamde darCenil vadaze damokidebulebiT (cxrili 6.10).
3. TiToeul droiT intervalSi ganisazRvreba daxuruli (matched)
da wminda gaxsnili poziciebis sidideebi.
4. wina droiTi intervalis wminda pozicia `gadaitaneba~ win
Semdegi droiT intervalebSi poziciebiT kompensaciis mizniT.
5. gamoiTvleba `kumulatiuri~ erToblivi daxuruli poziciis
sidide (yvela droiTi intervalis mixedviT daxuruli poziciebis
CaTvlis gziT).

513
 kapitalis minimaluri zoma Sedgeba:
a) forvarduli gepis da saprocento riskis dafarvis mizniT
yvela droiT intervalSi erTmaneTis srulad kompesirebadi
poziciebis (grZelic da moklec) sididis 1,5%-isagan;
b) wminda gaxsnili poziciis zomidan 0,6%, romelic gamoTvlilia
wina periodebis gaTavliswinebiT, am poziciis TiToeuli
`gadatanisaTvis~ erTi droiTi periodiT win sabaziso riskis
dasafaravis mizniT;
g) darCenili wminda poziciebis sidididan 15%.
gamartivebuli meTodis Tanaxmad, kapitalis minimaluri zoma
gamoiTvleba Sejamebis gziT:
a) saqonlis TiToeuli saxis mixedviT wminda (net) poziciis
(mokle an grZeli) sidididan 15%;
b) saqonlis TiToeuli saxis mixedviT saerTo (gross) poziciis
zomidan (mokle da grZeli poziciebis jami niSnis
gauTvaliswineblad) 3%.
aucileblad unda aRiniSnos, rom sxvadasxva sasqonlo
qvedajgufebebis mixedviT poziciebi SeiZleba CaiTvalos urTierT
kompesirebadebad, Tu isini warmoadgenen erTmaneTis axlo
Semcvlelebs da Tu maTma fasebma sul mcire erTi wlis
ganmavlobaSi gamoamJRavnes minimaluri korelacia 0,9-Si. magram Tu
banks gadawyvetili aqvs kapitalis miamarT moTxovna sasaqonlo
riskis winaaRmdeg gamoiTvalos korelaciis safuZvelze, man
aucileblad unda daumtkicos zedamxedvelobis organoebs mis mier
aRebuli meTodis sizuste da miiRos maTi Tanxmoba.

514
 6.4.5 ofcionebiT operaciebis riski
ofcioebisaTvis sabazro riskis SefasebebTan dakavSirebuli
sirTulebis gamo bazelis komitetma neba darTo bankebs erovnuli
zedamxedvelobis organoebTan SeTanxmebiT miiRon ramdenime
alternatiuli midgoma kapitalis zomis gamosaTvlelad, romelic
rezervirebulia ofcionebis mixedviT poziciebis winaaRmdeg.
bankebisaTvis, romlebic mxolod ofcionebis SeZeniTaa
dakavebuli, neba darTulia e.w. gamartivebuli midgoma (simplified
approach). am midgomebis Sesabamisad ofcionebis mixedviT da maTi
Sesabamisi sabalanso aqtivebis (spot an forvard) mixedviT yvela
pozicia unda gamoyofili iqnas sabazro riskis gamoTvlis
standartuli sqemidan; maTTvis gmoiyeneba kapitalis mimarT
specialuri moTxovnebi, romelic erTdroulad asaxavs saerTo da
specifikur sabazro risks. miRebuli sidide Semdeg emateba
kaptalis mimarT erTobliv moTxovnas sabazro riskis Sesabamisi
saxisaTvis (saprocento, forvarduli, savaluto an sasaqonlo).
`fuT~ ofcionis mixedviT grZeli poziciis da sabaziso aqtivis
mixedviT grZeli poziciis (`qol~ ofcionis mixedviT grZeli da
sabaziso aqtivis mixedviT mokle pozicia Sesabamisad)
rezervirebuli kapitalis zoma gamoiTvleba rogorc sabaziso
aqtivis sabazro Rirebulebebis specifikuri da saerTo sabazro
riskebis koeficientebze namravlis da ofcionis Siga Rirebulebis
(TuU is arsebobs) sxvaoba, Tu mocemuli sidide dadebiTia. sxva
sityvebiT, kapitalis rezervireba xdeba riskis standartuli
meTodikiT gamoTvlili riskis im nawilis mimarT, romelic
dakavSirebulia sabaziso aqtiviT poziciasTan, romelic ar ifareba
misi hejirebadi ofcionis Siga RirebulebiT.
magaliTi 6.5. ganvixiloT situcia, roca 100 aqciis mflobelma,
romelTagan TiToeulis mimdinare Rirebuleba 10 dolaris tolia,
SeiZina Sesrulebis 11 dolaris fasis eqvivalenturi `fuT~
ofcioni. am SemTxvevaSi kapitalis mimarT moTxovna toli iqneba:
100  10 dolr.  (8% specifikuri riskis + 8% saerTo sabazro
riskis) – 100  (11 dolr. – 10 dolr.) = 60 dolr.
`qol~ an `fuT~ ofcionebis mixedviT grZeli poziciebisaTvis
kapitalis zoma gamoiTvleba rogorc Semdegi ori minSvnelobidan
mcire:

515
  sabaziso aqtivis mimdinare sabazro Rirebuleba gamravlebuli
specifikuri da saerTo sabazro riskis koeficientebze;
 ofcionis mimdinare sabazro Rirebuleba.
analogiuri meTodika gamoiyeneba ofcionebis, sabaziso aqtivebis
romelSic ucxouri valutaa, instrumentebis, romlebic
dakavSirebulia saprocento ganakveTTan an saqonelTan, mimarT.
bankebs, romlebic aseve hyidian ofcionebs, bazelis komiteti
rekomendacias aZlevs gamoiyenon Sualeduri midgomebi an sabazro
riskis Sefasebis sakuTari yovlismomcveli modeli. rac ufro
didia ofcionebiT bankis operaciebis moculoba, man miT ufro
srulyofili midgoma unda gamoiyenos.
Tu banki ofcionebis gamyidvelia, maSin mas ukve aRar SeuZlia
gamoiyenos gamartivebuli midgoma da unda gamoiyenos oridan erT-
erTi Sualeduri midgoma: `delta-plus~ modeli an scenaruli
midgoma.
`delta-plus~ meTodSi (delta-plus method) darezervebuli
kapitalis zoma Sedgeba sami mdgenisagan: delta-, gama- da vega-
risksagan. ofcionebis mixedviT poziciebi warmodgenilia e.w.
delta-eqvivalentis saxiT, romelic warmoadgens sabaziso aqtivis
sabazro RiRebulebis namravls delta ofcionis koeficientze:
delta-eqvivalenti = sabaziso aqtivis sabazro ERirebuleba   (6.3)
xdeba ofcionis miRebuli delta-eqvivalenti CarTviT kapitalis
zomis gamoTvlis zemoT ganxilul standartul sqemaSi sabaziso
aqtivis Sesbamisad, romelic Zevs mis safuZvelSi. SevniSnoT, rom
aqtivze ofcionebisaTvis, romlebic mgrZnobiareebi arian
saprocento ganakveRis cvlilebis mimarT, delta-eqvivalenturi
pozicia unda iyos gaangariSebaSi orjer CarTuli (ofcionis
Sesrulebis momentSi da sabaziso aqtivis dafarvis momentSi), iseve
rogorc saprocento svopebis, forvardebis da fiuCersebis
SemTxvevaSi.
ramdenedac delta koeficienti srulad ar asaxavs ofcionebis
Rirebulebis risks, bankebma aseve unda gamoiTvalon kapitalis zoma
romelic rezervirebulia ofcionis gama- da vega-riskebis
winaaRmdeg. bankis savaWro portfelSi TiToeuli calkeuli
ofcionisaTvis gama-riski gamoiTvleba formuliT, romelic

516
warmoadgens teiloris mwkrivSi ofcionis Rirebulebis daSlis
meore wevrs:
gama-riski = 0,5    VU 2 (6.4)
sadac  - gama ofcionis koeficientia;
VU (variation of the underlying) - sabaziso aqtivis fasis cvlileba.
VU parametris mniSvneloba (6.4) miiReba Semdegis tolad:
 saprocento aqtivebze ofcionebisaTvis: sabaziso aqtivis
sabazro Rirebuleba gamravlebuli cxril 6.5-dan riskis Sesabamis
koeficientze;
 aqciebze da forvardul indeqsebze ofcionebisaTvis: sabaziso
aqtivebis Rirebulebis 8%-is;
 valutaze da oqroze ofcionebisaTvis: sabaziso aqtivebis
Rirebulebis 8%-is;
 saqonelze ofcionebisaTvis: sabaziso aqtivebis Rirebulebis
15%-is.
erTnairi sabaziso aqtivebidan yvela ofcionis mixedviT gama-
riskis miRebuli sidideebi jamdeba niSnis gaTvaliswinebiT.
damatebiT dadgenilia, rom ofcionebis mixedviT Semdegi poziciebi
iTvleba erTnair sabaziso aqtivebis mqoned:
 saprocento aqtivebisaTvis: TiToeuli droiTi intervali
cxrili 6.5-dan;
 aqciebisaTvis da safondo indeqsebisaTvis: TiToeuli erovnuli
safondo bazari;
 ucxouri valutis da oqrosTvis: TiToeuli valuta da oqro;
 saqonlisaTvis: saqonlis TiToeuli saxe.
TiToeuli sabaziso aqtivis mixedviT saboloo gama-riski
gamoiyeneba rezervirebuli kapitalis sididis gaangariSebisaTvis
mxolod im SemTxvevaSi, Tu mas gaCnia uaryofiTi mniSvneloba34. gama-
riskis winaaRmdeg rezervirebuli kapitalis zoma ganisazRvreba
rogorc yvela sabaziso aqtivis mixedviT uaryofiTi gama-riskebis
absoluturi mniSvnelobebis jami.
vega-riskis winaaRmdeg kapitalis rezervi yvela ofcionis
mixedviT gamoiangariSeba rogorc vega koeficientebis sabaziso

34 ix. (3.48) formula

517
aqtivis ofcionis mimdinare mniSvnelobis mixedviT ofcionis
savaraudo volatilobidan +/- 25%-iT volatilobaze cvlilebaze
namravlebis jami (`+~ - ofcionis mixedviT mokle poziciis
SemTxvevaSi da `-~ - grZeli poziciis SemTxvevaSi).
magaliTi 6.6. vTqvaT gvaqvs evropuli `qol~ ofcionis mixedviT
mokle pozicia sasaqonlo kontraqtze Sesrulebis 490 dolari
fasiT, Sesrulebamde vadiT 12 Tve da sabaziso aqtivis mimdinare
sabazro 500 dolaris toli RirebulebiT. urisko saprocento
ganakveTi Seadgens wliur 8%-s, xolo mimdinare volatiloba – 20%-
s. delta koeficienti, romelic gamoTvlilia bleq-Soulzis
formuliT, tolia -0,721-is, xolo gama koeficienti tolia -0,0043-is.
ofcionis mimdinare fasi Seadgens 65,48-s.
pirvel safexurze sabaziso aqtivis sabazro Rirebuleba
mravldeba delta koeficientze:
500  0,721 = 360,5 dolr.
Tu banki iyenebs Sesrulebamde vadis safuZvelze meTods da ar
arsebobs sxva gaxsnili poziciebi, delta-riskis sidide
gamoiTvleba rogorc
360,5  0,15 = 54,075 dolr.
gama-riskis sidide tolia
0,5  0,0034  (500  0,15)2 = 9,5625 dolr.
bolos `qol~ ofcionis mixedviT mokle poziciisaTvis vega-
riski ganpirobebulia mxolod volatilobis SesaZlo zrdiT,
ramdenadac es zrdis ofcionis Rirebulebas. aqedan gamomdinare,
aucilebelia Sefasdes vega-riski, romelic warmoiSoba ofcionis
volatilobis 255-iT gazrdisas – 20-dan 25%-mde. vega koeficientis
mniSvneloba, romelic gamoTvlilia bleq-Soulzis formuliT,
tolia 168-is (e.i. volatilobis 1%-iT zrdas miyavarT ofcionis
Rirebulebis 1,68%-iT gazrdemde). aqedan vega-riski tolia
5  1,68 = 8,4 dolr.
kapitalis jamuri zoma, romelic rezervirebulia ofcionis
sabazro riskis winaaRmdeg, Seadgens:
54,075 + 9,5625 + 8,4 = 72,0375 dolr.
scenaruli analizis (scenario matrix analysis) dros, romelic
zedamxedvelobis organoebis nebarTviT gamoiyeneba, ofcionebis
sabazro riskis gamoTvla xdeba TiToeuli saxis sabaziso

518
aqtivisaTvis scenarebis matricis meSveobiT. scenarebi asaxaven
ofcionebis portfelis Rirebulebis cvlilebas sabaziso aqtivis
sididis (fasis an saprocento ganakveTis) da volatilobis
(Semosavlianobis standartuli gadaxris) erTdrouli cvlilebisas.
`delta-plus~ meTodSi moyvanili TiToeuli saxis sabaziso aqtivis
klasifikaciisaTvis aucilebelia sakuTari matricis gamoyeneba.
scenaruli matricas (grid) aqvs ori ganzomileba:
horizontalurad – sabaziso aqtivis fasis cvlilebis fiqsirebuli
diapazoni, vertilkalurad – sabaziso aqtivis volatilobis
cvlileba mimdinare mniSvnelobidan +25% da -25%-iT. matricis
elementebs warmoadgenen wminda mogebebi an zarali ofcionebis
portfelis Rirebulebis cvlilebidan da sabaziso aqtivebis
mixedviT maT mier hejirebadi poziciebi. sabaziso aqtivebis fasis
cvlilebis sidideebad miiReba Semdegi:
 saprocento ganakveTebisaTvis: riskis koeficientebi cxril 6.5-
dan;
 aqciebisaTvis: sabazri fasis 8%;
 valutis da oqrosTvis: sabazri fasis 8%;
 saqonlisaTvis: sabazri fasis 15%.
sabaziso aqtivis TiToeuli saxisaTvis aucilebelia Catardes
aranakleb Svidi sxvadasxva scenaruli Sefaseba, romlebic
dayofdnen fasebis cvlilebis mTel normatiul diapazons tol
intervalebad.
ofcionebis sabazro riskis winaaRmdeg rezervirebuli kapitalis
zoma TiToeuli saxis sabaziso aqtivis mixedviT miiReba matricebis
scenarebSi yvelaze didi zaralis tolad.

6.4.6 standartuli midgomis upiratesobebi da nakli

sabazro riskis gamoTvlis standartuli midgomis mTavar
Rirsebas warmoadgens misi ubraloeba da universaloba, ramdenadac
misi gamoyeneba SeiZleba Tanabrad efeqturi iyos (adgilobrivi
pirobebis mixedviT CasworebiT) bankebis da arasabanko finansuri
organizaciebis mimarT umetes qveynebSi sabanko sistemis tipis da
ganviTarebis xarixisagan damoukideblad.
magram standartul midgomaSi informaciis asimetriis da riskis
Sefasebis meTodebis problema banksa da zedamxedvelobis
519
organoebs Soris mwvaved vlindeba. standartuli midgoma zRudavs
bankebis riskebis operatiuli marTvis SesaZleblobebs Zalian
gamartivebuli sqemebis CarCoebiT, romlebic ar iTvaliswineben
informaciaSi da riskebis marTvis teqnologiebSi bankebis arsebul
upiratesobas, aseve potencialurad qmnian stimuls maCveneblebiT
manipulirebis da moTxovnili kapitalis zomis dawevis, imis
analogiurad, rac zemoT iyo ganxiluli SeTanxmebis teqstis
analizis dros.

6.5 midgoma bankebis Siga modelebis safuZvelze

90 wlebis mijnaze risk-menejmentSi rogorc mecnierul da
praqtikul disciplinaSi moxda namdvili revolucia, value at risk
(VAR) koncefciis gaCenis gamo. VaR maCvenebelSi pirvelad iyo
agrerirebuli riskis RirebulebiTi, albaTuri da droiTi
`gazomva~, rac sargeblianobiT ganasxvavebda mas riskis
tradiciuli zomebisagan (magaliTad, Semosavlainobis standartuli
gadaxra, variaciis koeficinti da sxva).
VaR maCvenebelma myarad moipova aRireba finansur samyaroSi ara
marto rogorc sabazro riskis Seafsebis gavrcelebulma
meTodologiurma standartma, aramed kompaniis erToblivi riskis
Sesaxeb informaciis warmodgenis standartma. 90 wlebis SuaSi es
maCvenebeli, romelic ukve gaxda am droisaTvis de-faqto
dargobrivi standarti, moxvda evropis da aSS-s finansuri
institutebis saxelmwifo zegamxedvelobis organoebis mxdvelobis
areSi. TviTon bazris monawileTa mier SemuSavebuli VaR
maCvenebeli, saxelmwifosTvis aRmoCnda Zalian mosaxerxebeli
instrumenti bankis savaWro portfelis sabazro riskis
kontrolisaTvis. VaR maCveneblis unificirebam da simartivem
ganapiroba jgufi 10-is qveynebSi misi swrafi SemoReba ukve de-iure
normatiul standartis saxiT. es standarti damagrebuli iyo
damatebaSi meore midgomis CarCoebSi, romelic cnobilia rogorc
Siga modelebis safuZvelze midgoma (internal models approach).
am midgomebis Sesabamisad bankebs eZlevaT saSualeba
zedamxedvelobis organeobis nebarTviT gamoiyenon sakuTari (Siga)
modelebi sabazro riskis raodenobrivi SefasebisaTvis, romelic
warmoadgens yvela bankisaTvis erTiani meTodikiT rezervirebadi

520
kapitalis zomis gansazRviris safuZvels. Tavis mxriv,
zedamxedvelobis organo adgens gansazRvrul xarisxobriv (zogadad
bankebisaTvis) da raodenobriv (gamoyenebuli modelis mimarT)
kritriumebs, romelTa dacvac aucilebelia bankebisaTvis. is aseve
axorcielebs kontrols sakuTari kapitalis normativis
Sesrulebaze da Siga modelebis adeqvaturobis dacvaze banki-
damrRvevis mimarT dajarimebis sanqciebis gamoyenebis uflebiT.

6.5.1 xarisxobrivi kriteriumebi

Siga modelebis safuZvelze midgomis gamoyenebaze ufleba
SeiZleba gascen zedamxedvelobis organoebma bankis mier garkveuli
xarisxobrivi miTxovnebis Sesrulebis SemTxvevaSi. xarisxobrivi
kriteriumebi, ZiriTadad, bankSi risk-menejmentis organizaciul da
procedural aspeqtebis reglamentirebas axdens. magaliTad, bankma
unda Seqmnas riskebze kontrolis damoukidebeli qveganyofileba,
romlis funqciaSic Sedis risk-menejmetis sistemis SemuSaveba da
danergva, aseve sabazro riskis donis Sesaxeb yoveldRiuri
angariSebis da bankis zemdgomi xelmZRvanelobisaTvis poziciuri
limitebis Sesaxeb rekomendaciebis momzadeba. risk-menejmentis
qveganyofileba unda iyos organizaciurad damoukidebeli savaWro
ganyofilebisagan da unda eqvemdebarebodes uSualod bankis
zemdgom xelmZRvanelobas.
banks unda gaaCndes dawvrilebiTi dokumentacia, romelic aRwers
riskebis marTvis Sesaxeb politikis Siga meTodikas, wesebs da
procedurebs. aseTma dokumentaciam unda Seqmnas risk-menejmentis
safuZvlad mdebare principebis Sesaxeb warmodgena, aseve unda
Seicavdes ZiriTad empiriul meTodebs, romlebic gamoiyeneba
sabazro riskebis SefasebisaTvis.
Siga VaR -modeli gamoyenebuli unda iqnas ara marto kapitalis
sididis regularuli gamoTvisaTvis, romelic rezervirebulia
sabazro riskis winaaRmdeg, aramed aseve rogorc bankSi mTliani
risk-menejmentis procesis Semadgeneli nawili. modelis gamomavali
monacemebi realurad unda iqnas gamoyenebuli bankis sabazro
riskebis kontrolis yovedRiuri analizis procesSi, kerZod
savaWro limitebis dadgenisas.

521
 sabazro riskebis yoveldRiuri Sefasebis mimarT aucilebel
damatebad sabazro koniuqturis eqstremaluri cvlilebebis mimarT
mdgradobaze bankebebs moeTxovebaT Siga modelebis meSveobiT
regularuli Semowmeba – stres-testireba (stress testing). stres-
testirebis CatarebisaTvis gamoyenebuli scenarebi unda moicavdes
riskis yvela saxes, sabazro, sakredito da likvidurobis riskis
CaTvliT. bankebma, romlebic iyeneben Siga modelebis safuZvelze
midgomas, unda warudginon zedamxedvelobis organoebs Sedegebis
da stres-testirebis meTodikis Sesaxeb dawvrilebiTi informacia,
maT Soris scenarebis identifikaciis da formalizaciis meTodikis
Sesaxeb. stres-testirebis Sedegebi aucileblad unda gaanalizdes
bankis xelmZRvanelobis mier da gaTvaliswinebuli iqnas risk-
menejmentis ganyofilebis mier riskebis da limitebis marTvis
politikis SerCevis dros, romelic damtkicebulia bankis
direqtorTa sabWos mier.
risk-menejmentis ganyofileba regularulad unda axorcielebdes
istoriuli monacemebis mixedviT bankis Siga modelebis
verifikacias (backtesting) bazelis meTodikis Sesabamisad, romelic
gulisxmobs warsulis drois didi periodis ganmavlobaSi
portfelis Rirebulebis faqtobrivi cvlilebis riskis
prognozirebuli Sefasebebis gadaxris analizs.
bolos, weliwadSi ara nakleb erTxel mimdinareobs mTeli risk-
menejmentis sistemis kompleqsuri Semowmeba bankis regularuli
Siga auditis dros, romelic Semdeg aspeqtebs moicavs:
 risk-menejmentis sistemis procesis adekvaturoba da masTan
Tanmxlebi dokumentacia;
 risk-menejmentis samsaxuri uzrunvelyofa;
 riskis yoveldRiuri monitoringis sistemaSi sabazro riskis
Sefasebis meTodebis integraciis xarisxi;
 front- da beq-ofisebis mxridan poziciebis Rirebulebis
gamoTvlis da riskis Sefasebis sistemebis gamoyenebis mimarT
sanqcionirebis procesi;
 risk-menejmentis procesSi mniSvnelovani gadaxrebis
gansazRvra;
 risk-menejmentis saSualebiT sabazro riskebis speqtri;
 risk-menejmentis informaciis sandooba;
522
  savaWro portfelis mixedviT monacemTa sizuste da sisrule;
 bankis Siga modelSi gamoyenebuli monacemTa wyaroebis
Tavsebadobis, saimedoobis da operatiulobis Semowmeba;
 instrumentebis korelaciis da volatilobis xasiaTis Sesaxeb
varaudebis sizuste da dasabuTebuloba;
 monacemTa gardaqmnis algoriTmebis da meTodebis sizuste da
dasabuTebuloba;
 modelebis regularuli verifikacia istoriuli monacemebis
mixedviT.

6.5.2 raodenobrivi kriteriumebi

ar zRudavs ra banks modelis tipis ( VaR -is gamoTvlis meTodis)
arCevaSi, raodenobrivi kriteriumebi aZleven mas ZiriTad
parametrebs.
modeliT gaTvaliswinebuli riskis faqtorebis raodenoba unda
iyos sakmarisi sabalanso da ara sabalanso savaWro poziciebis
mixedviT riskis Sefasebis sizustisaTvis, kerZod:
 saprocento instrumentebisaTvis sistemam unda moaxdinos
TiToeuli valutis mixedviT Semosavlebis mrudis modelireba,
amasTan amisTvsi gamoyenebuli riskis faqtorebi ar unda iyos
eqvsze naklebi. garda amisa, risk-menejmentis sistema unda moicavdes
riskis calkeul fqatorebs spredis riskis aRsarixcavad
(magaliTad obligaciebsa da svopebs Soris);
 savaluto instrumentebisaTvis sistema unda moicavdes
TiToeuli valutis Sesabamis riskis faqtorebs, romlebSic
gamosaxulia bankis savaWro poziciebi;
 safondo instrumentebisaTvis sistema unda moicavdes rogorc
minimum TiToeuli erovnuli safondo indeqsisaTvis Sesabamis
riskis faqtorebs (poziciis riski ganisazRvreba beta-eqvivalentis
saxiT) an, rogorc maqsimumi, TiToeuli calkeuli aqciis
volatilobisaTvis;
 ofcionebisTvis modelma unda gaiTvaliswinos maTi wrfivi
safaso maxasiaTeblebi da CarTos riskis is faqtorebi, romlebic
asaxaven sabaziso aqtivebis fasebis volatilobas da saprocento
ganakveTebs (vega-riski); amasTan bankebs, romlebsac aqvT ofcionebis

523
didi da/an rTuli portfeli, sabaziso aqtivebis volatiloba unda
Seafason sxvadasxva droiTi intervalebis mixedviT calk-calke.
VaR maCveneblis gamoTvla unda xorcieldebodes bankis risk-
menejmentis ganyofilebis mier yoveldRiur safuZvelze,
prognozirebis 10 dRiani minimaluri horizontiT ( VaR sididis
masStaburobis gazrdis SesaZleblobiT misi SedarebiT mokle
horizontebis gamoyenebisas droiTi intervalebis fardobidan
fesvze gamravlebis gziT), 99%-iani erTmxrivi sandoobis
intervaliT da retrospeqtivis siRrmiT aranakleb savaWro 250
dRisa, e.i. daaxloebiT erTi weli.
sabazro riskis yvela faqtoris mixedviT istoriuli monacemebis
nakrebi, romelic gamoiyeneba VaR sididis gamosaTvlelad, unda
ganaxldes yovelkvartalurad da yovelTvis gadaixedos, rodesac
xdeba sabazro fasebis Zlieri rxeva. zedmxedvelobis organom
bankisagan SeiZleba moiTxovos VaR maCveneblis gamoTvla erT
welze ufro mokle dakvirvebis periodisaTvisac, Tu
zedamxedvelobis organos azriT, es dasabuTebulia bazris
volatilobis mkveTri zrdiT.
yoveldRiurad bankis kapitalis zoma, romelic rezervirebulia
sabazro riskis winaaRmdeg (market risk capital - MRC), ganisazRvreba
rogorc (6.5)-is ori mniSvnelobidan udidesi:
1) VaR -is mimdinare mniSvneloba (e.i. vaWrobis wina dRis VaR );
2) VaR -is dRiuri mniSvnelobis saSualo ariTmetikuli gasuli 60
savaWro dRis ganmavlobaSi gamravlebuli gansazRvrul ( k )
mamravlze.
sxva sityvebiT:
 1 t 60 
MRCt  max VaRt 1 ; k 


60 i t 1
VaRi  ;

(6.5)

k  k min   . (6.6)
am mamravli minimaluri mniSvneloba 3-is tolia, magram
zedamxedvelobis organom, sajarimo danamatiT verifikciis
Sedegebis mixedviT bankis Siga modelis sizusteze
damokidebulebiT, sanqciis saxiT SeiZleba daadginos mamravlis
didi mniSvneloba (  ).
damatebaSi gansakuTrebiTaa miTiTebuli, rom Tu sistema ar
iTvaliswinebs specifikur sabazro risks saprocento an safondo

524
instrumentebis mixedviT, maSin kapitalis zoma, romelic
rezervirebulia am saxis riskis winaarmdeg, ganisazRvreba
standartuli midgomis meTodikiT. im SemTxvevaSi Tu mocemuli
riski gaTvaliswinebulia bankis Siga modeliT, kapitalis zomam,
romelic rezervirebulia mocemuli instrumentisaTvis specifikuri
riskebis winaaRmdeg, unda Seadginos sakuTari kapitalis sididis
aranakleb 50%, romelic gaangariSebulia standartuli meTodis
saSualebiT.

6.5.3 istoriuli monacemebis mixedviT VaR -is gamoTvlis

modelebis verifikacia
risk-menejmentis mTavar analitikur funqcias warmoadgens
istoriuli monacemebis mixedviT bankis Siga modelebis verifikacia
(backtesting) (adekvaturobis Sefaseba) mis prognozebis sizustis
Semowmebis mizniT da aucilebeli cvlilebebis Setana. modelebis
adekvaturobis Semowmebis mimarT zogadi moTxovnebi mocemulia
bazelis komitetis specialur instruqciaSi.
istoriuli monacemebis mixedviT VaR modelis verifikacia
xorcieldeba respeqtiuli analizis gziT, romelic mdgomareobs
warsulSi drois periodis ganmavlobaSi VaR -is mier
prognozirebuli faqtobrivi dRiuri zaralis mniSvnelobis
gadaWarbebis SemTxvevebis sixSiris daTvlaSi (nax. 6.1). modelis
testirebis mTeli periodis ganmavlobaSi VaR sidide unda
aRematebodes miyenebul zarals fardobiTi sixSiriT, romelic
mocemulia modelis mier sandoobis intervaliT. mocemuli
proceduris stndartizaciis mizniT bazelis komiteti bankebs
avalebs yovelkvartalurad Caataron Siga modelebis sizustis
Sefaseba wina 250 savaWro dRidan SerCevis mixedviT sandoobis 99%-
iani intervalis gamoyenebiT da prognozirebis horizontiT erTi
dRe VaR –is gamoTvlisas normatiuli parametrebis saxiT.
istoriuli monacemebis mixedviT modelis specialuri
verifikaciSi aucilebloba imis gamo warmoiSva, rom bankebs ar
SeuZliaT am mizniT gamoiyenon uSualod Tavisi 10 dRiani VaR -is
Sefasebebi, romlebsac isini yoveldRe iTvlian rezervirebadi
kapitalis zomis gansazRvrisaTvis. es imiT aixsneba, rom 10 dReze
gaTvlili VaR -is prognozirebuli sididis Sedareba drois imave

525
periodis finansur SedegebTan arakoreqtuli iqneboda portfelis
struqturaSi mniSvnelovani cvlilebebis gamo, romlebic, albaT,
moxdeba am 10 dRis ganmavlobaSi. swored amitom bankma xelaxla
unda gamoTvalos imave Siga modelis gamoyenebiT VaR -is sidide wina
250 savaWro dRRebidan yovel dRe, magram axla prognozirebis erTi
dRiani horizontiT.

magram portfelis sruqturaSi cvlileba SesaZlebelia erTi

savaWro dRis ganmavlobaSic, xolo savaWro operaciebidan finansur
Sedegebs SeuZliaT gavlena iqonion brokerebis mier miRebul
sakomisio gasamrjelos Tanxaze (kerZod, axali finansuri
instrumentebis gayidviT), romlebsac ara aqvT damokidebuleba
ucvleli portfelis struqturasTan da riskTan VaR maCvenebliT
asaxul riskTan. amis gamo bazelis komiteti aZlevs bankebs
rekomendacias erT dReze gaTvlili VaR -is sididis Sedarebis gziT
moaxdinon modelebis verifikacia, rogorc savaWro saqminobidan
miRebuli realuri mogebebis da zaralis, ise Teoriuli finansuri
SedegebiT, romlebic gamoTvlilia rogorc portfelis sabazro
Rirebulebis cvlileba dRis ganmavlobaSi misi struqturis
ucvlelobis pirobebSi. aRniSnuli midgomebidan pirveli asve
cnobilia rogorc `WuWyiani~ verifikacia (dirty backtesting), xolo
meore – rogorc `sufTa~ verifikacia (clean backtesting). `sufTa~
verifikaciis meTodi warmoadgens ufro misaRebs VaR modelis

526
adekvaturobis statistikuri Sefasebis TavalsazrisiT, magram
SemTxveviTi araa, magaliTad germaniaSi, zedamxedvelobis organos
SeuZlia normatiul mamravlis mimarT SemoiRos maqsimaluri
danamati (   1 ), Tu banki moTxovnili kapitalis gamosaTvlelad
gamoyenebuli Tavisi VaR modelis mxolod `WuWyian~ verifikacias
axorcilebs.
bazelis komitetis meTodikis mixedviT modelis sizustis
Semowmebis procedura warmodgens statistikur tests mocemuli
albaTobidan dRiuri VaR maCveneblis faqtobrivi sixSiridan 1%-iT
gadaxraze, romelic dafuZnebulia albaTobebis I saxis Secdomis
(adekvaturi modelis gadaxra) da II saxis Secdomis (araadekvaturi
modelis miReba) gamoTvlaze. modelis prognozuli sizustis
Sesafaseblad xorcieldeba im dReebis ricxvis daTvla, rodesac
portfelis Rirebulebis cvlilebidan zarali aWarbebs VaR
prognozul mniSvnelobebs bolo 250 savaWro dRis ganmavlobaSi.
magaliTad, 99%-iani sandoobis intervalis dros da 250 dRiani
testirebisas sruliad adekvaturma modelma unda aCvenos saSualod
2,5 VaR mniSvnelobis gadaWarbeba, romlebic SeiZleba aixsnas
bazris `normaluri~ rxeviT. mosalodnelTan SedarebiT
gadaWarbebis ricvis zrdis dros izrdeba imis albaToba, rom
gmoyenebuli modeli araadekvaturs warmoadgens, e.i. saSualod
dabla wevs VaR sidides.
ramdenadac testirebis intervalidan TiToeuli dRisaTvis
SesaZlebelia mxolod ori gamosavali (realuri zarali an
aWarbebs prognozul VaR sidides, an ara), Secdoma I da II-is
albaTobebis gamosaTvlelad gamoiyeneba binomialuri kriteriumi
(bernulis sqema). Tu n –iT avRniSnavT testirebis intervalSi
dReebis saerTo raodenobas, k -Ti testirebis intervalSi ( 0  k  n )
gadaWarbebis SemTxvevaTa raodenobas, p - nebismieri cakleuli
gadaWarbebis SemTxvevis albaTobas, maSin albaToba imisa, rom
testirebis mTel intervalSi adekvaturi modelisaTvis ( p  1% )
gadaWarbebis saerTo raodenoba ( X ) tolis iqneba zustad k -s toli
Seadgens:
n!
P ( X  k | n, p)  C nk  p k  (1  p) n  k   p k  (1  p ) n  k . (6.7)
k!(n  k )!

527
 analogiurad, imis albaToba, rom adekvaturi modeli mogvcems k
an nakleb gadaWarbebas, tolia:
k
P ( X  k | n, p )   P ( X  i ) . (6.8)
i 0

amgvarad, albaToba imisa, rom testirebis intervalSi adekvaturi

modeli gviCvenebs k an met gadaWarbebas da amis safuZvelze iqneba
gadaxra (I saxis Secdoma – type I error). Sedagens:
k 1
P ( X  k | n, p )  1   P ( X  i ) . (6.9)
i 0

araadekvaturi modelebisaTvis, romelis reluri sandoobis

intervali cnobilia (e.i. 1%-sagan gansxvavebuli calkeuli
nebismieri p gadaWarbebis SemTxvevis albaToba), SeiZleba
ganisazRvros aseTi modelis SecdomiT gamoyenebis albaToba k -ze
naklebi gadaWarbebisas. am sidides ewodeba II saxis Secdomis (type II
error) albaToba da Semdegnairad ganisazRvreba:
k 1
P ( X  k | n, p )   P ( X  i ) . (6.10)
i 0

SevniSnoT, rom statistikuri kriteriumis simZlavre

ganisazRvreba rogorc:
power=1-P(type II error). (9.11)
modelebis maTi adekvaturobis mixedviT klasifikaciis bazelis
komitetis midgomis safuZvlad Zevs e.w. `SuqniSnis principi~.
gadaWarbebaTa raodenobaze damokidebulobiT modeli SeiZleba
mikuTvnebuli iyos sami zonidan erT-erTis: mwvane – adekvaturi
modelebisaTvis (250 dRis ganmavlobaSi araimetes 4 gadaWarbeba),
yviTeli – saeWvo modelebisaTvis (5-dan 9-mde gadaWarbeba) an
wiTeli – araadekvaturi modelebisaTvsi (10-ze meti gadaWarbeba).
yviTeli zona iwyeba 5 gadaWarbebidan, amasTan adekvaturi
modelisaTvis gadaWarbebis didi ricxvis akumulatiuri albToba
Seadgens 5%-ze naklebs, xolo wiTeli zonisaTvis, romelic 10
gadaWarbebidan iwyeba, es albToba ar aRemateba 0,01%-s (nax. 6.2).
modelis bolo or zonaSi moxvedra aRniSnavs, rom misi realuri
sandoobis intervali gaweril 99%-ze naklebia.
mwvane zonaSi moxvedrisas sabazro riskis sawinaaRmdegod
rezervirebuli kapitalis zomis gamosaTvleli mamravli 3-is toli
rCeba. yviTeli zonidan modelebisaTvis mamravls emateba sajarimo

528
danamati (  ). romelic mis mniSvnelobas 3,4-dan 3,85-mde zrdis
gadaWarbebis ricxvis SesZleblobidan gamomdinare (cxrili 6.11). Tu
modeli rCeba wiTel zonaSi, maSin sajarimo danamati Seadgens 1-s,
xolo mamravli izrdeba maqsimalur mniSvnelobamde, romelic 4-is
tolia. am SemTxvevaSi zedamxedvelobis organos SeuZlia gamoiyenos
sxva sanqciebic, modelis gadaxedvis, bankis savaWro portfeliT
operaciebze SezRudvis da a.S. CaTvliT.

SeniSvna. cxrilSi moyvanilia VaR modelebis adekvaturobis zonebi, romlebSic

istoriuli monacemebis moxedviT verifikaciis meTodSi gamoiyeneba, aseve kapitalis zomis
gamosaTvlelad minimalur mamravlze danamatebi, romelic gadaWarbebis SemTxvevebis
raodenobas Seesabmeba.
529
 gadaWarbebis ricxvze damokidebulebiT normatiul mamaravlze
danamatis dadgenis azri mdgomareobs modelis `koreqtirebaSi~
sakuTari kapitalis im zomamde gazrdis gziT, romelic
Seesabameboda 99%-iani sandoobis intervalis mqone adekvatur
models35. rogorc cnobilia, kovariaciul bazaze adekvaturuli
modelisaTvis sandobis 99%-iani intervaliT VaR -is dRiuri sidide
tolia portfelis Rirebulebis 2,326 saSualo kvadratuli
gadaxris. magaliTad, Tu modelis testirebisas aRniSnuli iyo VaR
sididis gadaWarbebis 7 SemTxveva vaWrobis bolo 250 dRis
ganmavlobaSi, maSin am modelis faqtobrivi sandoobis intervali
Seadgens 1 - 7/250 = 97,2%, rac mxolod 1,911 saSualo kvadratul
gadaxrebs Seesabameba. imisaTvis, rom gamoiTvalos 99-e procentilis
Sesabamisi VaR sidide, aucilebelia araadekvaturi modelis VaR
sidide gavamravloT makoreqtirebebl a koeficientze, romelic
2,326/1,911 = 1,22-is tolia. ramdenadac adekvturuli modelisaTvis
sakuTeri kapitalis zoma dgindeba VaR sididis 3-ze gamravlebiT,
araadekvaturi modelebisaTvis 7 gadaWarbebisas am koeficientze
saboloo danamati Seadgens:
  a  mmin  mmin  1,22  3  3  0,65 .

6.5.4 Siga modelebis safuZvelze midgomis upiratesobebi da

nakli
bankebis Siga modelebis safuZvelze bazelis komitetis midgomam
sabanko sistemis `mastimulirebel~ ganviTarebaSi gaxsna
principulad axali Tavi. Teoriuli TvalsazrisiT mocemuli
midgoma warmoadgens mniSvnelovn win gadadgmul nabijs riskis
Sesaxeb infrmaciis asimetriis problemis gadawyvetaSi, romlebic
bankis mmarTvelebs da zedamxedvelobis organoebs gaaCniaT. savaWro
portfelis riskis Siga sabanko Sefasebis VaR maCveneblis saxiT
kapitalis sididesTan mibma minimalurad moTxovnili
(`regulatiuri~) kapitalis zomis `ekonomikuri~ kapitalis
sididesTan daaxloebis saSualebas iZleva, prudencialuri
regulirebis erT-erT mTavar mizans warmoadgens. midgomis
CarCoebSi Siga modelebis safuZvelze riskis sidide ufro

35 cxadia, aseTi masStaburoba koreqtuli iqneba mxolod normaluri ganawilebis da

riskis faqtorebis Semosvlianobebis avtokorelaciis ar qonis dros
530
endogenur parameters warmoadgens, maSin roca mis safuZvelze
kapitalis sididis gamoTvlis meTodi moicema yvela bankisaTvis
egzogenurad gamoyenebuli modelis sizustis xarisxis
gaTvaliswinebiT. standartuli midgomisgan gansxvavebiT
zedamxedvelobis organo Tavs ar axvevs banks sabazro riskis erT
romelime xist da Zalian gamartivebul sqemas, romelic ar
iTvaliswinebs arc savaWro portfelis Taviseburebebs, arc bankis
mier miRweul risk-menejmentis teqnologiebis dones. VaR
maCveneblis saxiT sabazro riskis Sefaseba warmoadgens SedarebiT
ufro zusts, vidre `samSeneblo blokebis~ safuZvelze midgoma,
ramdenadac is efuZneba riskis faqtorebis realur dinamikas da
iTvaliswinebs diversifikaciis efeqts, romelic warmoiSoba
sxvadasxva aqtivis fasebis arasrulyofili korelirebulobiT.
amasTan Siga modelebis safuZvelze midgoma bankebs aZlevs sabazro
riskis Sefasebis yvelaze Tanamedrove meTodebis gamoyenebisaTvis
ekonomikur stimuls.
amave dros es midgoma ar warmoadgens iseTive universalurs,
rogorc standartuli midgomaa, ramdenadac misi gamoyeneba
SesaZlebelia mxolod im bankebis mimarT, romlebsac sabazro
riskis Seafsebis sakuTari modeli aqvT. kapitalis mimarT
moTxovnis gamoTvla VaR Sefasebis sizustis gaTvaliswinebiT
aucilebels xdis zedamxedvelobis organos ZviradRirebul
verifikaciis models, rac xarjebis gazrdasTan erTad bankebis
mxridan moraluri riskis warmoSobis pirobas aCens. magaliTad,
banks savsebiT SeuZlia gamoiyenos ori modeli: erTi –
zedamxedvelobis organoebisTvis, romelic kapitalis mimarT
moTxovnis minimalizaciis saSualebas iZleva, xolo meore -
`samsaxurebrivi gamoyenebisaTvis~, romelTa monacemebi realurad
iqneba riskis SefasebisTvis da savaWro portfelis samarTavad. es
SesaZlebloba Rrmavdeba imiT, rom zedamxedvelobis organos ara
aqvs aranairi SesaZlebloba darwmundes imaSi, rom misTvis
wardgenili sabanko portfelis riskis Sefaseba marTlac
gamoiyeneba bankis xelmZRvanelobis mier sainvesticio
gadawyvetilebis miRebisas. amgvarad, modelis `xarisxianobaze~
zedamxedvelobis kontroli warmoadgens mocemuli midgomis
seriozul nakls.

531
 teqnikuri TvalsazrisiT Siga modelebze dafuZnebuli bazelis
komitetis midgoma ukve misi SemuSavebis dros miiRo rigi
seriozuli SeniSvna sabanko sazogadoebis mxridan. kerZod,
kritikosebi miuTiTebdnen imaze, rom sakuTari kapitalis
gamosaTvlelad koeficientis minimaluri mniSvnelobas, romelic 3-
is tolia, ar gaaCnia mkacri mecnieruli dasabuTeba da mravali
bankisaTvis warmoadgens gaumarTlebel namats. VaR - modelis
verifikaciis modeli istoriuli monacemebis mixedviT gamoirCeva
simartiviT da sakmaod maRali efeqturobiT, magram isic araa
unaklo. magaliTad, 99-iani procentili mis mniSvnelobas afasebs
SedarebiT nakleb saimedod, dabal procentialebTan SedarebiT,
ramac SeiZleba gavlena iqonios modelis adekvaturobis daskvnaze.
garda amisa, siZneleebi warmoiSoba prognozirebuli VaR -ebis
Sedarebisas, romlebic gamoTvlilia periodis dasawyisSi ucvleli
portfelebisaTvis, da realuri mogebis da zaralis, romlebic
aseve warmoadgenen portfelis struqturis da Semadgenlobis
cvlilebis Sedegebs pognozorebis horizontis ganmavlobaSi.
bolos, Siga modelebis safuZvelze midgomis cxadi upiratesoba
jer kidev ar niSnavs, rom bankebisaTvis is aucieblad ufro
momgebiani iqneba standartul midgomasTan SedarebiT rezervirebul
kapitalis mniSvnelobis (da e.i. Rirebulebis) TvalsazrisiT. Tumca
Siga modelebis safuZvelze midgoma warmodgenili iyo rogorc
standartuli midgomis nebayoflobiTi alternativa, es alternativa
mainc atarebs SezRudul xasiaTs: bankebs romlebic gadadian
rezervirebuli kapitalis Siga modelebis safuZvelze midgomiT
gamoTvlaze, ukve ar SeuZliaT TviTon daubrundnen sabazro riskis
gamoTvlis standartul meTodikas, garda zedamxedvelobis organos
moTxovnisa. amis gamo mocemuli midgomebis erToblivi gamoyenebis
centralur problema xdeba bankebisaTvis da zedamxedvelobis
organebisaTvis maTi SedarebiTi mimzidveloba.
huoltdorfis da rudolfis Tavis arc Tu ise didi xnis
winandel gamokvlevebi, emyarebian ra diversificirebuli
portfelisaTvis da warmoebuli instrumentebisaTvis sabazro
riskebis SedarebiTi gamoTvlebis Sedegebs, aCveneben, rom
rezervirebuli kapitalis zoma, romelic gamoTvlilia Siga VaR
modeliT RiskMetrics -is meTodikis mixedviT, SeiZleba iyos ufro

532
maRali, vidre standartuli midgomis gamoyenebiT. isini aRniSnaven,
rom 2000 wlis mdgomareobiT germaniaSi savaWro portfelis
sabazro riskis winaaRmdeg rezervirebuli kapitalis zomis
gamosaTvlelad mxolod 9 banki iyenebda sakuTar modelebs, isic
mxolod prestiJidan gamomdinare, rom moexdinaT imis
demonstrireba, rom `isini iyeneben risk-menejmentis yvelaze
Tanamedrove teqnologias~. Tumca germaniaSi bevri banki iyenebs
Siga models sabazro riskis kontrolisaTvis, maTi erTguleba
kapitalis gamoTvlisTvis standartuli midgomis mamarT aixsneba
ara marto modelebis SemuSavebis didi sirTulis da maRali
RirebulebiT da kapitalis gamoTvlis mizniT maTi gamoyenebisaTvis
zedamxedvelobis organodan nebarTvis miRebis rTuli
procedurebiT, aramed imiTac, rom standartuli midgomis gamoyeneba
maT saSualebas aZlevT moaxdinon ekonomia rezervirebuli
kapitalis zomaze.
Sedegebi mowmoben, rom misi axlandeli saxiT Siga modelebis
safuZvelze midgoma ufro xelsayrelia maregulirebeli
organoebisaTvis, vidre TviTon bankebisaTvis, ramdenadac iseT
ganviTarebul da SedarebiT stabilur finansur bazarzec, rogoric
germaniis safondo bazaria, Siga modelebis safuZvelze midgoma
SeiZleba ufro konservatuli iyos kapitalis mimarT moTxovnis
TvalsazrisiT standartul midgomasTan SedarebiT. miuxedavad
amisa, gamoyenebuli riskis SefasebaSi bankebisadmi miniWebuli didi
Tavisufleba Siga modelebis safuZvelze midgomis CarCoebSi ar
niSnavs sabanko sistemis `mdgradobis maragis~ avtomatur dawevas,
romelic arsebuli kapitalis sidideSia gamoxatuli.

6.6 kapitalis sakmarisobisadmi minimaluri moTxovna sakredito

da sabazro riskebis gaTvaliswinebiT
navaraudevia, rom TiToeuli banki, romelic damatebis moqmedebis
qveS xvdeba, YyoveldRiurobis safuZvelze gamoingariSebs da
miuTiuTebs Tavis yovelkvartalur angariSSi riskis im dones,
romlis mimarTac ganisazRvreba moTxovnili kapitalis zoma.
bazelis komiteti uSvebs im kapitalis zomis kombinirebul
gamoTvlas, romelic rezervirebulia sabazro riskis winaaRmdeg,
Siga modelis safuZvelze da standartuli meTodikis gziT im

533
sidideebis ubralo SejamebiT, romlebic miiReba sxvadasxva
meTodikiT bankis mier Semdegi pirobebis dacviT:
1) banks, romelmac daiwyo erTi an ramdenime modelis gamoyeneba,
ar SeuZlia SemdgomSi damoukideblad daubrundes sabazro riskis
gamoTvlisaTvis im standartuli meTodikis gamoyenebas, romlebsac
Siga modelebi moicaven;
2) riskis faqtorebis TiToeuli jgufisaTvis (saprocento
ganakveTebisaTvis, savaluto kursebisaTvis, aqciebis kursebisaTvis
da saqonelze fasisaTvis) sabazro riskis gaTvla unda
xorcieldebodes mxolod SemoTavazebuli midgomebidan erT-erTis
safuZvelze, e.i. riskis erTidaimave kategoriis CarCoebSi ori
midgomis SeTanxmeba dauSvebelia;
3) bankis Siga modeli unda pasuxobdes yvela xarisxobriv da
raodenobriv kriteriums;
4) sxvadasxva midgomis erToblivi gamoyeneba ar unda axdendes
sabazro riskis romelime faqtoris ignorirebas, e.i. riskis yvela
faqtori gaTvaliswinebuli unda iyos gamoyenebuli midgomisagan
damoukideblad: standartuli meTodikis an Siga modelis.
bankis kapitalis mimarT erToblivi minimaluri moTxovnebi amis
gamo Semdegnairad gamoiyureba:
a) sakredito riskis winaaRmdeg rezervirebuli kapitalis zoma,
romlebic gamoTvlilia yvela sabalanso aqtivis da balansgareSe
valdebulebebis mimarT savaWro portfelSi sasexo da sasesxo
fasiani qaRaldebis da sasaqonlo kontraqtebis mixedviT yvela
poziciis gamoklebiT, magram yvela birJisgareSe im warmoebuli
instrumentebis mimarT kontragentis riskis CaTvliT, romlebic
imyofebian rogorc savaWro, ise sabanko portfelebSi;
plus
b) sakredito riskis winaaRmdeg rezervirebuli kapitalis zoma,
romlebic gamoTvlilia standartuli midgomis Tanaxmad da
Sekrebilia ariTmetikuli gziT;
an
g) an modeluri midgomis safuZvelze sakredito riskis
winaaRmdeg rezervirebuli kapitalis zoma;
d) an b) da g) puqtebis Sexameba, romelic Sekrebilia
ariTmetikuli gziT.

534
 bankis kapitalis sakmarisobis donis gansasazRvravad unda
Sesruldes Semdegi moqmedebebi:
1) gavamravloT sabazro riskis jamuri sidide 12,5-ze an,
ekvivalenturad, gavyoT 0,08-ze (`normaluri~ ekvivalenturi aqtivis
misaRebad, romelic Sewonilia Sesabamisi sididis Sesadari im
riskis gaTvaliswinebiT, romelic gamoiyeneba sakredito riskis
winaaRmdeg rezervirebuli kapitalis zomis gamosaTvlelad);
2) SevkriboT miRebuli sidide riskis gaTvaliswinebiT Sewonili
aqtivebis jamTan;
3) ganvsazRvroT `dasaSvebi~ kapitalis sidide (eligible capital)
Sesabamisi struqturuli SezRudva jer sakredito Semdeg sabazro
riskisaTvis;
4) `dasaSvebi~ kapitalis sidide gavyoT riskis gaTvaliswinebiT
aqtivebis jamur zomaze, kapitalis sakmarisobis koeficientis
misaRebad (capital ratio);
5) gavyoT gamouyenebeli `dasaSvebi~ kapitalis sidide (Tu is
arsebobs) riskis gaTvaliswinebiT Sewonili aqtivebis jamur
zomaze, gamouyenebeli kapitalis koeficientis (unused capital ratio)
misaRebad.
magaliTi 6.7. vTqvaT banks gaaCnia kapitalis Semdegi struqtura:
I donis kapitali – 700 erT., II donis kapitali – 100 erT., III donis
535
kapitali – 600 erT. riskis gaTvaliswinebiT Sewonili aqtivebis
jami Seadgens 7500 erT. sabazro riskis jamuri sidide Seaadgens 350
erT. kapitalis sakmarisobis koeficientis gamoTvla moyvanilia
cxril 6.12-Si.

6.7 aSS-s federaluri sarezervo sistemis winaswari

valdebulebebis safuZvelze midgoma
sabanko saqmianobis saxelmwifo regulirebis Semdgomi
liberizaciis tendenciam, zemoqmedebis xistidan (direqtiuli) iribi
(ekonomikuri) berketebisaken gadasvlam, Tavisi asaxva hpova e.w.
`winaswari valdebulebebis safuZvelze midgomaSi~ (precommitment
approach), romelic SeTavazebuli iyos 1995 wels federaluri
sarezervo sistemis ekonomistebis p. kiupikos da j. o braienis mier.
midgomaSi winaswari valdebulebebis safuZvelze maregulirebeli
organo mTlianad eyrdnobian ara marto riskis Siga sabanko
Sefasebs, aramed bankis gamocdilebas da teqnologiebs riskebis
uwyveti marTvis mixedviT, iqidan gamomdinare, rom savaWro dRis
manZilze sabazro riskebis marTvisTvis bankSi miRebuli zomebs
mivyavarT saSualod arasasurveli riskebis da masTan
dakavSirebuli danakargebis dawevamde. amiT mocemuli midgoma
gansxvavdeba Siga modelebis safuZvelze midgomisagan, romelic
aracxadad gulisxmobs, rom prognozirebuli VaR sidide SeiZleba
gadaWarbebuli iyos mxolod 10 dRiani prognozirebis horizontis
ganmavlobaSi da riskis marTvis erTaderT saSualebas warmoadgens
kapitalis rezervireba im zomaSi, romelic sakmarisia saSualo
zaralis sammagi dafarvisaTvis.
winaswari valdebulebebis safuZvelze midgomis arsi Zalze
martivia, Tumca misi formaluri dafuZnebisaTvis avtorebs
dasWiraT specialuri ekonomikur-maTematikuri modelis SemuSaveba.
am midgomis Sesabamisad banki iRebs uflebas damoukideblad
gansazRvros Tavisi savaWro portfelis mixedviT zaralis
maqsimaluri zoma, romelic man SeiZleba ganicdos momavalSi drois
gansazRvruli periodis manZilze. kapitalis zomis mimarT moTxovna
dgindeba zomaSi, romelic bankis mier gamoTvlili maqsimaluri
erToblivi danakargis tolia gegmiuri periodis ganmavlobaSi,
magaliTad kvartalSi. amiT banki TavisTavze iRebs `valdebulebas~

536
ar gamovides winaswar SeTanxmebuli zaralis farglebs gareT. arc
ise umniSvneloa, rom midgoma prognozirebuli zaralis da masze
rezervirebuli kapitalis Sesaxeb informaciis gafarToebis nebas
iZleva. im SemTxvevaSi, Tu vadis amowurvisas zaralis sidide
aRemateba adreul dones, zedamxedvelobis organoebs ufleba
eZlevaT gamoiyenon sajarimo sanqciebi am bankis mimarT, amasTan
jarimis zoma unda iyos imdenad maRali, ramdenadac didia riskis
donis mixedviT bankis Secdoma. jarimebis sistema ise unda iqnas
gaTvlili, rom bankebs SeeZloT nebayoflobiT airCion rikis done
Tavisi portfelisaTvis da daaginon kapitalis zoma
maregulerebeli organoebis Carevis gareSe.
amgvarad, bankebs eZlevaT Tavisufleba finansur bazrebze
operaciebSi im pirobiT, rom maTi kapitalis zoma, romelic
gamoTvlilia maTive Sefasebis safuZvelze, ar iqneba maT mier
miRebul riskis zomaze dabali. winaswari valdebulebebis
safuZvelze midgoma SeiZleba Sedardes erTgvar `kontraqts~
bankebsa da maregulirebel organoebs Soris, romlis Sesabamisadac
banki TavisTavze iRebs valdebulebas ar gamovides winaswar
SeTanxmebuli zaralis sazRvrebs gareT, romelic mTlianad
uzrunvelyofilia kapitaliT. zedamxedvelobis organoebis roli am
SemTxvevaSi daiyvaneba bankis mier riskis marTvis sistemis
xarisxobriv moTxovnebis dacvis zedamxedvelobamde zogadad da
bankis misi savaWro portfelis mixedviT mogebis da zaralis
Sesaxeb angariSebis periodul Semowmebamde.
`stimulirebadi regulirebis~ koncefciis peaqtikaSi
realizebiT, winaswari valdebulebebis safuZvelze midgoma akeTebs
uprecedento nabijs sabanko saqmianobis liberizaciis gzaze, da
sakvirveli araa, rom is dadebiTad iqna Sefasebuli sabanko
sazogadoebis, gansakuTrebiT umsxvilesi transnacionaluri bankebis
mier. winaswari valdebulebebis safuZvelze midgoma aprobirebuli
iyo praqtikaSi `sapilote~ eqsperimentis CarCoebSi, romelic
Catarda niuorkis kliringis palatis mier aTi msxvili amerikuli
da sazRvargareTuli bankis monawileobiT 1996-1997 wlebis
periodSi. Semowmebis Sedegebi sakmaod damaimedebeli aRmoCnda:
testerebis ganmavlobaSi masSi monawile arc erT banks ar
daurRvevia winaswari valdebuleba zaralis zomis mixedviT.

537
 6.7.1 winaswari valdebulebebis safuZvelze midgomis
upiratesobebi da nakli36
winaswari valdebulebebis safuZvelze midgomas gaCnia mravali
upiratesoba da amitom is Zalian mimzidvelia TviTon bankebisaTvis.
standartuli da modeluri midgomebisagan gansxvavebiT is bankebs
saSualebas aZlevs ekonomia gaswion kapitalis zomaze, Seamciron
ra amiT mis momsaxurebaze xarjebi. zedamxedvelobis organoebis
winaSe valdebulebebis dacvisTvis banki iRebs riskis marTvis
nebismieri meTodis arCevis SesaZleblobas. ufro rTuli hejirebis
strategiis gamoyenebiT rezervirebuli kapitalis arCevasa da
portfelis jamuri riskis Semcirebas Soris arCevisas banki
gamoiyenebs riskis marTvis misTvis ufro nakleb xarjian meqanizms.
arc Tu umniSvneloa is, rom es midgoma ar ganasxvavebs zarals,
romelic sabazro fasebis rxeviT, gamoTvlebis an iuridiuli
siZneleebis gamo operaciuli SeferxebebiTaa gamowveuli, riTac
axalisebs bankebs sxvadasxva riskebis integrirebul Sefasebis da
kompleqsuri marTvisaken.
sakontraqto midgomis sxva upiratesoba mdgomareobs imaSi, rom
xels uwyobs portfelis riskis Sefasebis yvelaze Tanamedrove
meTodebis SemuSavebas da praqtikaSi danergvas. Tu riskis Sefaseba
Zalian konservatuli iqneba, banki iZulebuli iqneba moaxdinos
zedmeti raodenobis kapitalis rezervireba, da Tu zedmetad
optimisturi aRmoCndebs, maSin banki xSirad daarRvevs mis mier
aRebul valdebulebebs zaralis zRvruli zomis Sesaxeb da,
Sesabamisad, daekisreba maRali jarima. nebismier SemTxvevaSi riskis
araszusti Sefasebebi zedmet xarjebTanaa dakavSirebuli, da amitom
bankebi iReben pirdapir stimuls riskis Sefasebis sakuTari Siga
modelebis srulyofisaTvis.
sakontraqto midgoma mimzidvelia sabanko seqtorisaTvis
zogadad. misi realizacia nakleb damamZimebelia da dakavSirebulia
bankis yoveldRiur saqmianobaSi saxelmwifos nakleb CarevasTan,
vidre standartuli midgomis dros. zedamxedvelobis organoebi
moqmedebas iwyeben mxolod maSin, rodesac bankis kapitalis zoma

36 magram aRniSnulma midgomam TiTqmis maSinaTve gamoiwvis seriozuli opozicia

evropuli qveynebis maregilirebeli organoebois saxiT.
538
arasakmarisi aRmoCndeba xolme. Siga modelis safuZvelze
midgomisagan gansxvavebiT sakontraqto midgoma ar adgens
fiqsirebul koeficients, romelzedac mravldeba bankis mier
gamoTvlili VaR sidide, is saSulebas aZlevs banks airCios
kapitalis optimaluri zoma, romelic gamoTvlilia rogorc
kapitalis Rirebulebis, ise zedamxedvelobis organos mier jarimis
dawesebis albaTobis gaTvaliswinebiT. ufro meti, sakontraqto
midgoma ar adebs aranair xarisxobriv da raodenobriv SezRudvebs
bankebSi gamoyenebul riskis Sefasebis Siga modelebs. banks gaaCnia
praqtikulad SeuzRudavi SesZleblobebi riskis Sefasebis da
marTvis axali meTodebis SemuSavebisaTvis im pirobiT, rom is
iTvaliswinebs saxelmwifos mxridan sajarimo sanqciebis gamoyenebis
SesaZleblobas.
bolos, sakontraqto midgoma bankebs mniSvnelovnad
aTavisuflebs damamZimebeli angariSebisagan. is informacia,
romelic bankebma unda miawodon zedamxedvelobis saxelmwifo
organoebs, dadis finansur bazarze operaciebis mixedviT mogebasa
da zaralis Sesaxeb periodul angariSebis wardgenaze. es
monacemebi regularulad iTvleba TviTon bankebSic riskze
kontrolis mizniT.
Tumca winaswari valdebulebebis safuZvelze midgomis
realizeba navaraudevi iyo jer mxolod aSS-Si, xolo misi
cakleuli mdgomereoba jer kidev zustdeba, skeptikosebma is ukve
seriozulad gaakritikes. yvelaze meti eWvi gamoiwvia am midgomaSi
sanqciebis meqanizmis qmediTobam. sanqciis umartives formas
warmoadgens fuladi jarima, magram im bankis mimarT misi gamoyeneba,
romelmac mis mier gacxadebul maqsimalur zarals gadaaWarba, da
SesaZlebelia imyofeba krizisul situaciaSi, mxolod mis
finansuri mdgomareobis gauareseba SeuZlia. am SemTxvevaSi
zedamxedvelobis organos SeuZlia dabla dawios zoma an saerTod
uari Tqvas jarimis dawesebaze, ris Sedegadac sanqciis safrTxe
dakargavs Tavis disciplinirebad mniSvnelobas sxva bankebisaTvis.
Cixidan gamosavali SeiZleba iyos fuladisagan gansxvavebuli
jarimis formebi, maT Soris momavalSi bankis kapitalis zomisdmi
moTxovnis gazrda, finansur bazarze operaciebis mixedviT
SezRudva da gancdili zaralis Sesaxeb informaciis sajarod

539
gaxsna. arc Tu umniSvneloa, rom sanqciebis CamoTvlili saxeebma
SeiZleba Seavson erTmaneTi.
sxva problema mdgomareobs imaSi, rom skontraqto midgomam
SeiZleba arasakmarisi kapitalis mqone bankebisaTvis Seqmnas
gaukuRmarTebuli stimulebi. Tu aseTi banki ganicdis zarals
finansur bzarze operaciebisgan, maSin is SeiZleba ukve imyofebodes
gakotrebis zRvarze. am SemTxvevaSi sanqciebis safrTxe kargavs
qmediTobas, ramdenadac misi Sesrulebis momentSi banks
praqtikulad dasakargi araferi eqneba. aseT mgdomareobaSi
aRmoCenili bankebs SeuZliaT `wavidnen va-bankze~ am sityvis sruli
mniSvnelobiT da CaiTrion danarCeni aqtivebi Zalian riskian
operaciebSi Tavisi finansuri mdgomareobis erTbaSad gamosworebis
imedad. aseTi qcevis SesaZlebloba, romelsac `aRzevebaze TamaSi~
(gamble for resurrection) ewodeba, amtkicebs Teoriul modelebSi
moralur risks. am problemebis Tavidan asacileblad navaraudevia
sakontraqto midgomis mxolod sakmarisi zomis sakuTari kapitalis
mqone bankebisaTvis gamoyeneba.
zedamxdvelobis organos moqmedeba zaralis zomaze
kontrolis da SesaZlo sabanko krizisebis Tavidan acilebis mxriv
aseve SeiZleba eWvis qveS dadges. winaswari valdebulebebis
safuZvelze midgomis Tanaxmad, zedamxedvelobis organo iRebs
informacias bankis faqtobrivi zaralis gancxadebuli kapitalis
Sesabamisobis Sesaxeb yovelkvartalurad finansur angariSTan
erTad, ramac SeiZleba migviyvanos Siga modelis safuZvelze
midgomisagan gansxvavebiT operatiuli Carevis zomebis miRebis
SeferxebsTan, sadac riskis da mis winaaRmdeg rezervirebuli
kapitalis zomis gadaTvla xorcieldeba yoveldRiurobis
safuZvelze. garda amisa, erTdroulad mravali bankis mier
kapitalis kvartaluri `koreqtirebebi~, Tavis mxriv, aZlierebs
finansur bazarze fasebis rxevas, ramac SeiZleba gamoiwvios maTi
mniSvnelovani destabilizacia.
bolos, bankebis mxridan seriozuli winaaRmdegoba gamoiwvia im
garemoebam, rom winaswari valdebulebebis safuZvelze midgomis
miReba ar igegmeboda arasabanko finansuri dawesebulebebis mimarT.
saqme imaSia, rom sabanko seqtors gaaCnia ganviTarebuli da
efeqturi `usafrTxoebis qseli~ (safety net), romlis elementebs

540
warmoadgens depozitebis dazRvevis sistema, veqsilebis da rigi
sxva SesaZleblobebis rediskontirebis gziT refinansireba, da
sruliad safuZvliani iqneboda bankebis mimarT sxva standartebis
gamoyeneba, vidre arasabanko finansuri sawesebulebebis mimarT.
magram, sabanko sazogadoebis azriT, aman SeiZleba Seqmnas
araTanaswori `TamaSis wesebi~ finansur seqtorSi da konkurentebs
misces dausabuTebeli upiratesoba. rogorc cnobilia, aSS-Si
msxvili sainvesticio, sasesxoSemnaxveli dawesebulebebi da sxva
arasabanko finansuri institutebi sargebloben saxelmwifos
mxridan aracxadi garantiebiT, romlebic mxars uWeren
gavrcelebul rwmenas, rom es kompaniebi imisaTvis rom gakotrdnen,
Zalian didebi arian. amis gamo kontraqtuli midgoma SeiZleba
gavrceldes am msxvil arasabanko finansur dawesebulebebzec.

6.8. kapitalis sakmarisobaze evrokavSiris direqtivebi

msoflio sabanko sazogadoeba enTuziazmiT Sexvda bazelis
standartebis miRebas. pirvelad mis mimarT interesi evropaSi
gamoamJRavnes. evropuli ekonomikuri sazogadoebis marTvelma
organoebma 1989 wels miiRes direqtiva gadaxdisunarianobis
koeficientis Sesaxeb (Solvency Ratio) da direqtiva sakuTari
saxsrebis struqturis Sesaxeb (Own Funds Directive), romlebmac
gansazRvres Tanamegobrobis wevri yvela qveynisaTvis _ bankebis
sakuTari kapitalis minimaluri zomisadmi erTiani moTxovnebi.
Seqmnili bankis minimaluri sawesdebo kapitali gansazRvruli iyo 5
mln. ekiu (SemdgomSi – 5 mln. evro) zomiT, amasTan bankis
funqcionirebis dros sakuTari saxsrebis (kapitalis) zoma ar unda
daeSvas am sidideze qvemoT.
finansuri seqtoris regulirebis sferoSi zogadevropuli
normatiuli bazis ganviTarebis Semdgomi nabiji gaxda 1993 wels
evropuli ekonomikuri sazogadoebis mier miRebuli direqtiva
kapitalis sakmarisobis Sesaxeb (Capital Adequacy Directive - CAD),
romelmac gaafarTova da daazusta adre miRebuli direqtivebi
evropuli ekonomikuri sazogadoebis CarCoebSi erTiani finansuri
bazris momsaxurebis Seqmnis sferoSi. kapitalis sakmarisobis
Sesaxeb direqtivis mdgomreoba bevri ramiT axlosaa an identuria
bazelis standartebTan, amasTan mocemuli direqtivis ukanaskneli

541
damateba (CAD II) aseve rTavs nebas finansur organizaciebs
gamoiyenon sakuTari VaR modeli sabazro riski winaaRmdeg
rezervirebuli kapitalis yovedRiur gamoTvlaSi. aucilebelia
aRiniSnos, rom kapitalis sakmarisobis Sesaxeb evropuli direqtiva
gamoiyeneboda ukve 1996 wlidan kapitalis mixedviT bazelis
SeTanxmebis damatebisagan gansxvavebiT, romelic jgufi 10-is
qveynebSi ZalaSi mxolod 1998 wlis dasawyisSi Sevida. garda amisa,
kapitalis sakmarisobis Sesaxeb evropuli ekonomikuri sazogadoebis
direqtivis moqmedeba vrceldeba ara marto bankebze, aramed
sainvesticio kompaniebzec.

6.9 sabanko asaqmianobis Tanamedrove problemebi da

regulirebis perspeqtivebi. kapitalis mixedviT bazelis axali
SeTanxmeba
ukanaskneli aTwleulis saerTo tendencia sabanko kapitalis
saxelmwifo regilirebis sferoSi xdeba TandaTanobiT uaris Tqma
yvela bankis mimarT erTgvarovan moTxovnaze (one-size-first-all approach)
e.w. alternatiuli midgomebis `menius~ sasargeblod, romlebic
gansxvavdebian riskis Sefasebis sirTulis xarixis, sizustis da
ekonomikuri mimzidvelobis mixedviT. kapitalis sakmarisobis
meTodis arCevis ufleba TviTon bankebs aqvT miniWebuli garkveuli
kriteriumebis Sesrulebis pirobiT, romlebic dawesebulia
sakontrolo midgomis CarCoebSi zedamxedvelobis organoebis mier.
sakredito, sabazro da operaciuli riskebis Sefasebisadmi swored
alternativobis es principi devs kapitalis mixedviT bazelis
axali SeTanxmebis safuZvlad, romelic rogorc mosalodnelia,
miscems magistralur mimarTulebas uaxloesi wlebis ganmavlobaSi
sabanko regulirebis ganviTarebas.
bazelis komitetis axali winadadebebis gaCena ganpirobebuli
iyo pirvel rigSi kapitalis mixedviT 1988 wlis SeTanxmebis zemoT
ganxiluli bankebis mxridan, maregulirebeli organebis da
samecniero sazogadoebis kritikiT, aseve bankTaSiga meTodikaSi da
sakredito riskis Sefasebis teqnologiebSi progresiT da
operaciuli riskis sabanko saqmianobaSi ufro meti mniSvnelobis
gazrdiT.

542
 1999 wlis aprilSi bazelis komitetma Ria ganxilvisaTvis
warmoadgina dokumenti saxelwodebiT `kapitalis sakmarisobis
axali sqema~. es winadadebebi misdevdnen Semdeg axal miznebs:
1) bankebis stimulirebas sakredito riskebis Sefasebis da
marTvis sakuTari meTodebis da procedurebis mudmivi
srulyofisaken;
2) sabanko kapitalis sakmarisobis normativebSi moqnilobis da
sizustis amaRleba;
3) kapitalis sakmarisobis minimalur moTxovnasa (regulatory capital)
da kapitalSi (economic capital) bankis moTxovnis ekonomikur
Sefasebas Soris sxvaobis Semcireba.
bazelis axali SeTanxmebis SemuSavebis mTavari piroba
mdgomareobda imaSi, rom riskis Sefasebis axal midgomebze
gadasvlam ar unda gamoiwvios kapitalis sakmarisobis mimarT
minimaluri moTxovnebis gazrda saSualod jgufi 10-is im qveynis
bankebi mixedviT, romlebic aqtiurad muSaoben saerTaSoriso
bazrebze.
bazelis axali SeTanxmebis am pirvelma proeqtma
profesionaluri sazogadoebebis, samecniero wreebis da sabanko
zedamxedvelobis erovnuli organoebisagan mravali sapirispiro
Sefaseba miiRo. ganvlili doris manZilze sawyisma variantma Ria
ganxilvis dros mniSvnelovani cvlilebebi ganicada bazelis
komitetis axali midgomebis oTxi aprobaciis Sedegebis mixedviT
(Quantutatuve Impact Study - QIS), romelic xorcieldeboda 2000-2002
wlebSi. axali SeTanxmebis saboloo saxiT miReba igegmeba 2003 wlis
bolos, jgufi 10-is qvynebSi misi ZalaSi Sesvlis 2006 wlis bolos
vadiT. kapitalis mixedeviT bazelis axali SeTanxmebebi pirvel
rigSi gavrceldeba jgufi 10-is im qveynis msxvil bankebze,
romlebic aqtiurad muSaoben saerTaSoriso bazrebze, aseve
erovnuli organoebis gadawyvetilebis mixedviT, sxva mniSvnelovan
bankebze an SeiZleba mTlianad sabanko sistemaze. imis
gaTvaliswinebiT, rom kapitalis mixedviT bazelis axali
SeTanxmebis ganxilvis procesSi aqtiur monawileobas iReben im
qveynebis bankebi da zedamxedvelobis organoebi, romlebic ar
warmoadgenen bazelis komitetis wevrebs.

543
 kapitalis mixedviT bazelis SeTanxmeba, cnobili rogorc `bazel
II~ (Basel II), warmoadgens ufro mravalspreqtrian da detalizirebul
dokuments, vidre misi winamorbedi 1988 wlis SeTanxmeba. axali
SeTanxmeba Sedgeba sami ZiriTadi `safuZvlisagan~ (pillars) (nax. 6.3):
1) kapitalis mimarT minimaluri moTxovna: bankis sakredito da
operaciuli riskebis winaaRmdeg rezervirebuli kapitalis
gamoTvlis sirTulis xarisxis mixedviT gansxvavebuli
alternatiuli midgomebis nakrebi;
2) prudencialuri zedamxedveloba: kapitalis sakmarisobis da
sabanko riskis Sefasebis sistemis mimarT maregulirebeli organos
mxridan kontrolis principebi, maT Soris stre-testirebis
Catarebis Sesaxeb rekomendaciebi, bankis sabalanso aqtivebis
saprocento riski Sefasebis, sabanko portfelebis koncentraciis
riskis;
3) sabazro disciplina: bankis kapitalis da riskis Sesaxeb
informaciis gaxsnis moTxovna.

bazelis axal SeTanxmebaSi sabazro disciplinis rogorc

samidan erT-erTi `svetis~ gaCena asaxavs bazelis komitetis mier im
faqtis aRiarebas, rom cakle aRebuli rogorc zedamxedvelobis,
ise sabazro disciplinebi, warmoadgenen sabako riskis mimarT
arasrulyofil meqanizmebs, magram erTobliobaSi isini
urTierTqmedeben da aZliereben erTmaneTs. sabazro disciplinis
544
stimulirebis saSualebis saxiT SemuSavebulia moTxovna bankis
mier informaciebis riskis mixedviT detalizirebuli sakuTari
kapitalis sididis da stuqturis xrisxobrivi da raodenobrivi
sajaro gaxsnis Sesaxeb. kapitalis sakmarisobis Sesaxeb
informaciis gaxsna unda xorcieldebodes naxevarweliwadSi
erTxel, xolo msxvili bankebi amas unda akeTebdnen aranakleb
kvartalSi erTxel.
maregulirebeli organoebis funqcia da uflebamosileba
prudencialuri zedamxedvelobis nawilSi aseve mniSvnelovnad
gafarTovda. zedamxedvelobis organoebis mTavar mizans
warmoadgens bankebis mier ara marto kapitalis sakmarisobaze
minimaluri normativis dacvaze kontroli, romlis drosac bankebs
eqnebodaT sakmarisi kapitali maT mier normatiul moTxovnaze meti
miRebuli riskebis dasafaravad.
kapitalis mixedviT bazelis axali SeTanxmebis mixedviT
zedamxedvelobis erovnuli organoebs gadaecemaT Semdegi sakiTxebi:
1) im riskebis mimarT kontroli, romlebic saerTod araa
gaTvaliswinebuli (magaliTad, sabanko portfelis saprocento
riski, biznes-riski da strategiuli riski) an arasruladaa asaxuli
kapitalis sakmarisobis normativebSi (magaliTad, portfelis
koncetraciis riski). garda amissa, sabanko zedamxedvelobis
kompetencias miekuTvneba sistemuri, cakleuli bankis mimarT gareSe
riskebi, romlebic dakavSirebulia ekonomikaSi da finansur
seqtorSi saqmiani aqtivobis ciklebTan;
2) bankebis mier riskis Sefasebis ufro rTuli meTodebis
gamoyenebis xarisxobriv da raodenobriv kriteriumebis dacvaze
kontroli, rogoricaa sabazro riskisaTvis Siga modelis
safuZvelze midgoma (ix. paragrafi 6.5), sakredito riskisTvis Siga
reitingebis safuZvelze midgoma da operaciuli riskebis Sefasebis
mimarT mowinave midgomebi. bankebma unda daakmayofilon Sesabamisi
kriteriumebi rogorc zedamxedvelobis organoebis nebarTvis
saWiro kapitalis gaangariSebis meTodikaze gadasvlis momentSi,
ise mudmivobis safuZvelze SemdgomSi.
formaluri niSniT zedamxedvelobidan, romelic bankebis mier
dadgenili normativebis Sesrulebis kontrolSi mdgomareobs,
xarisxobrivi kriteriumebiT zedamxedvelobaze, romelic emyareba

545
bankis mdgradobis Sesaxeb motivirebul msjelobas. gadasvlis
tendenciam Tavisi asaxva hpova bazelis komitetis mier
Camoyalibebul oTx sabazo principSi:
1. bankebma unda ganaxorcielon erToblivi kapitalis
sakmarisobis Sefaseba Tavisi riskis profilis mimarT da kapitalis
aucilebel doneze SenarCunebis strategia.
Tavis mxriv aseTi Sefasebis aseTi procesi moicavs Semdeg
mdgenebs:
 direqtorTa sabWos da xalmZRvaneli maRali rgolebis mxridan
kapitalis moTxovnisadmi riskis donis Sefasebis da identifikaciis
dagegmili strategiis saerTo kontrols;
 kapitalis utyuari Sefaseba, romelic moicavs riskis
erToblivi donidan gamomdinare kapitalis zomis gansazRvris
wesrigs, aseve kapitalis sakmarisobis mimarT bankis miznebs;
 kapitalis sakmarisobis mizniT bankis mier yvela arsebuli
riskis yovlismomcveli Sfaseba, maT Soris sakredito, operaciuli,
sabazro riskebis, sabanko portfelis saprocento riskis,
likvidurobis riskis da sxva saxis riskebis, iseTebis rogoricaa
reputaciis dakargvis riski da strategiuli riski;
 bankis riskis portfelis cvlilebebis da kapitalis
moTxovnaze maTi gavlenis Sesaxeb monitoringi da regularuli
angariSi;
 Siga kontrolis qveganyofilebis mxridan riskis Sefasebaze da
kapitalis sakmarisobaze Semowmeba.
2. zedamxedvelobis organoebma unda Seamowmon da xarisxobrivad
Seafason kapitalis sakmarisobis gamoTvla da maTi strategiuli
marTva, aseve bankis unari daakmayofilos normativiT dadgenili
kapitalis sakmarisoba. naklovanebebis aRmoCenis SrmTxvevaSi
zedamxedvelobis organoebma unda miiRon bankebis mimarT
zemoqmedebis Sesabamisi zomebi.
zedamxedvelobis orgamoebma gansakuTrebuli yuradReba unda
miaqcion bankis mier kapitalis sakmarisobis mizniT gamoyenebuli
riskis Sefasebis meTodebis adekvaturobas, aseve am meTodikis da
maCveneblebis gamoyenebis xarisxs bankis marTvis procesSi,
riskebze kontrolis, limitebis ganawilebis da saqmianobis
mimarTulebebis Sedegebis Sefasebis CaTvliT.
546
 3. bankebi unda iyvnen uzrunvelyofili minimaluri normativze
maRali kapitaliT, xolo zedamxedvelobis organoebs unda hqondeT
saSualebebi moaxdinon bankebze zemoqmedeba normativs zemoT
kapitalis rezervis formirebis survilis aRZvris mizniT.
bazelis komiteti aRniSnavs, rom kapitlis mixedviT axal
SeTanxmebaSi dadgenili riskebis dasafaravi kapitalis
sakmarisobisadmi moTxovna es is moTxovnaa, romelsac awydeba
sabanko sistema zogadad. sxva sityvebiT, es riskebi atareben zogad,
sistemur xasiaTs, maSin roca specifikuri, konkretuli bankis
individualuri riskebi gadaecema sabanko zedamxedvelobis
organoebs, romlebic TavianTi Sexedulebisamebr wyveten am sakiTxs.
swored sprcifikuri riskebis dasafarad, da aseve im zogadi
riskebis, romlebic araa gaTavaliswinebuli kapitalis sakmarisobis
normativebSi, zadamxedvelobis organoebma unda warudginon
bankebis moTxovna an Seqmnan maTTvis stimuli uzrunvesayofi
kapitalis donis misaRwevad, romelic aRemateba minimalur
normativs.
4. zedamxedvelobis organoebi unda miiswrafodnen adreuli
Carevis zomebis gamoyenebisaken kapitalis minimalurad dasaSvebi,
kontratuli bankis riskis dasafaravad moTxovnilze saWiro doneze
dabla dawevis aRsakveTis mizniT. im SemTxvevaSi Tu banks ar
SeuZlia SeinarCunos an aRadginos kapitalis moTxovnili done,
zedamxedvelobis organoebma mis xelmZRvanelobas unda moTxovos
dauyovnebeli qmedeba arsebuli situaciis gamosasworeblad.
zedamxedvelobis zemoqmedebis zomebs miekuTvneba, kerZod, ufro
detaluri (da xSiri) sainspeqcio Semowmebebi, bankisadmi kapitalis
donis aRdegnis gegmis ganxorcielebis moTxovna da damatebiTi
saxsrebis dauyovnebeli mozidvis moTxovna. ukanaskneli niSnavs,
rom zedamxedvelobis organebi iReben uflebas zogierTi
bankisaTvis daaweson kapitlisadmi moTxovnis ufro maRali done,
vidre es gaTvaliswinebuli iyo kapitalis sakmarisobis minimaluri
koeficientiT. konkretuli zomebis arCeva da maTi gamoyenebis
mimdevroba xdeba zedamxdvelobis organoebis Sexedulebisamebr.
bazelis komiteti aRniSnavs, rom kapitalis momatebis moTxovna ar
SeiZleba warmoadgendes problemis samudamod gadaWris saSualebas,
da amitom igi unda gamoyenebodes droebiTi zomis saxiT, vidre

547
banki ar Seitans sakuTari riskis Sefasebis da marTvis sistemaSi
gaumjobesebas. SemdgomSi zedamxedvelobis organom SeiZleba
moxsnas kapitalis sakmarisobis ufro maRali donis moTxovna.
kapitalis mixedviT bazelis axali SeTanxmebis Tanaxmad im
mniSvnelovan sakiTxebs, romlebic unda gadawyviton
zedamxedvelobis organoebma bankebTan erTad miekuTvneba, kerZod,
sabanko portfelis (pirvel rigSi, sesxebis da fasiani qaRldebis,
romlebic SeZenilia sainvesticio miznebisTvis) saprocento riskis
Sefaseba. Tumca es riski mdebareobs rogorc standartuli, ise 1996
wels miRebuli da dRemde moqmedi sabazro riskebis Sefasebis
modeluri midgomis CarCoebs miRma, is aseve moiTxovs kapitalis
rezervirebas. magram mocemuli riskis Sefasebis da marTvis
meTodikis didi mravalferovnebis gamo bazelis komitetma
rekomendacia gauwia zedamxedevelobis organoebs daeyrdnon bankis
Siga Sefasebis sakuTar midgomebs, romelic gamoisaxeba
`ekonomikuri Rirebulebis~ cvlilebis kapitalTan SefardebiT
saprocento ganakveTebis gansazRvruli erTmomentiani cvlilebisas
(interest tate shock). aseTi `Sokis~ standartuli mniSvneloba tolia
200 sabaziso punqtis (2%), amasTan zedamxedvelobis organiebma unda
miaqcion yuradReba im bankebs, romelTa ekonomikuri Rirebuleba
ecema I da II doneebis kapitalis jamuri sididis 20%-ze metad.
sabanko portfelis saprocento riskTan erTad kapitalis
mimarT damatebiTi moTxovna zedamxdvelobis organeobis mier
SeiZleba dadgindes sxva saxis riskis winaaRmdegac, kerZod `narCeni
riskis~ (residual risk). romelic warmoiSoba iseTi sakredito riskebis
dawevis meqanizmebis gamoyenebisas, rogoricaa uzrunvelyofa,
garantiebi da sakredito warmoebuli instrumentebi, aseve im riskis,
romelic dakavSirebulia sabanko aqtivebis sekiuritizaciasTan.
sakredito portfelis koncentraciis riski unda
kontrolirdebodes msxvili sakredito riskebis limitirebis
saSualebiT (erT kontragentze an urTierTdakavSirebuli
kontragentebis jgufze, ekonomikis dargebis an geografiuli
regionebis mixedviT, ekonomikurad urTierTdakavSirebuli
kontragentebis da zurunvelyofis saxeobebis mixedviT), aseve
perioduli stres-testirebiT.

548
 bazelis komiteti gansakuTrebul aqcents akeTebs imaze, rom
kapitalis sakmarisobis nebismieri kriteriumi, romelic dadgenlia
zedaxevelobis organoebis mier, da maTi Sesrulebis zomebi
gamoqveynebuli iyos da dayvanili bankebamde.

amavdroulad yvelaze radikaluri siaxleebi, SemoTavzebuli

axali SeTanxmebis pirveli safuZvlebis CarCeobSi, iyo minimaluri
moTxovna sabanko kapitalis sakmarisobis Sesaxeb. 1988 wlis
SeTanxmebidan ucvleli saxiT iyo aRebuli kapitalis ganmarteba da
misi sakmarisobis erToblivi minimaluri normativis 8%-iani done.
bazelis komitetis mier 1996 wels SemoTavazebuli savaWro
portfelis sabazro riskis Sefasebis orive midgoma – standartuli
da Siga modelis safuZvelze – aseve Sevidnen praqtikulad
ucvlelad kapitalis mixedviT axal SeTanxmebaSi. aseve ucvleli
darCa maTi gamoyenebis alternatiulobis principic, romelic
kapitalis mixedviT axal bazelis SeTanxmebaSi gavrcelebulia
aseve sakredito da operaciul riskebzec (cxrili 6.13).
sakredito riski mimarT bazelis komitetma bankebs SesTavaza
rezervirebuli kapitalis zomis gamosaTvleli ori alternatiuli
midgomidan arCevanis SesaZlebloba:
a) standartuli midgoma (standardized approach), romelic
dafuZnebulia 1988 wlis kapitalis mixedviT bazelis SeTanxmebis
meTodikaze, kontragentis sakredito reitingze damokidebulebiT
aqtivebis riskis mixedviT modificirebuli Sewonvis sqemiT.
b) Siga reitingebis safuZvelze midgoma (imternal rating-based
approach), romlis Tanaxmadac rezervirebuli kapitali gamoiTvleba
sakredito riskis oTxi mdgenis bankis sakuTari Sefasebis
549
safuZvelze: defoltis albaTobebi (probability of default - PD),
sakredito riskis zemoqmedeba defoltis dadgomis momentSi
(exposure at default - EAD), defoltis dadgomisas danakargebis done
(loss diven default - LGD) da garigebis dasrulebamde vada (maturity -M).
am midgomis SesrulebisaTvis bankebma unda Seasrulon garkveuli
moTxovnebi da miiRon zedamxedvelobis organos nebarTva.
amave dros bazelis komitetma ar gaiziara msxvili bankebis
daJinebuli moTxovnebi da samomavlod gadado portfelis
sakredito riskis Siga modelebis safuZvelze midgomis SemoReba,
romelSic kapitalis zoma gamoiTvleba portfelis sabazro riskis
winaaRmdeg rezervirebuli kapitalis analogiurad portfelis
sakredito VaR –is gamoTvlis Siga modelebis saSualebiT,
rogorebicaa CreditMetrics , CreditRisk  , CreditPort folioView , PortfolioM anager .
bazelis axali SeTanxmebis kidev erT mniSvnelovan aspeqts
warmoadgens sakredito riksi dawevis (credit risk mitigant - CRM)
instrumentebis wris mniSvnelovani gafarToveba, romelic
kapitalis mimarT moTxovnis Semcirebis saSualebas iZleva. Tu 1988
wlis SeTanxmeba kapitalis sakmarisobis miznebisaTvis mxolod
uzrunvelyofis ramodenime saxes aRiarebda (evropis ekonomikuri
TanamSromlobis ganviTarebis qveynebis saxelmwifo savalo
valdebulebebs, mmarTvelobis adgilobrivi organoebis savalo
valdebulebebs da ganviTarebis saerTaSoriso bankebs), axali
SeTanxmeba ukve moicavs finansuri insrtumentebis umravlesobas
romlebic asruleben sakredito riskis dawevis funqcias,
giravnobis uzrunvelyofis, garantiebis, Tavdebobis, sakredito
warmoebuli instrumentebis (kerZod, sakredito svopebi da svopebi
erTobliv Semosavalze) saxiT, aseve netings. am
instrumentebisaTvis maTTvis damaxasiaTebeli riskebisaTvis da
standartuli da Siga retingebis safuZvelze midgomebisas
kapitalisadmi moTxovnisas maTi gaTvaliswinebisaTvis bazelis
komitetis mier SemoTavazebulia Sefasebis ramdenime sxvadasxva
meTodi.
kapitalis mixedviT bazelis axal SeTanxmebaSi mniSvnelovani
yuradReba eTmoba sakredito riskis marTvis iseT saSualebas,
rogoricaa aqtivebis sekiurizacia, romelic SeiZleba
ganxorcieldes TviTon bankebis (msesxebebisagan saprocento
550
gadaxdebis Segrovebis funqciis SenarCunebiT) an sxva
organizaciebis mier (am SemTxvevaSi bankebi gamodian rogorc
investorebi). Tumca sekiurizacia gankuTvnilia bankis sakredito
riskis sakuTari zemoqmedebis dawevisaTvis aqtivebze sakuTarebis
uflebis da/an maTTan dakavSirebuli riskebis mesame pirze
gadacemis gziT, mas arc YTu ise iSviaTad iyeneben mxolod
kapitalis mimarT moTxovnis (capital arbitrage) dasawevad, rac
SesaZlebelia amJamad moqmedi 1988 wlis SeTanxmebis CarCoebSi.
amgvari praqtikis aRkveTis mizniT bazelis komitetma SeimuSava
kapitalis zomis gamosaTvleli ramdenime midgoma, romlebic
asaxaven am operaciebis ekonomikur arss.
qvemoT mokled ganvixilavT sakredito riskis Sefasebis axali
midgomebis ZiriTad mdgomareobebs.

6.9.1 modificirebuli standartuli midgoma

kapitalis mixedviT 1988 wlis SeTanxmebSi mocemuli
standartuli midgoma axal SeTanxmebaSi Seclilia aqtivebis
kontragentebis saxeebis mixedviT klasifikaciiT da maTi sabalanso
Rirebulebis riskis mixedviT `SewonvaSi~ Seqmnili rezervebis
gamoklebiT. magram 1988 wels kapitalis mixedviT bazelis
SeTanxmebiT Semotanili aqtivis riskis koeficientebis xisti
Skalisagan gansxvavebiT, romelSic klasifikaciis ZiriTadi
kriteriumi `geografiuli~ niSani iyo, ufro zustad kontragentis
ekonomikuri TanamSromlobis da ganviTrebis organizaciis wevri
qveynis teritoriuli kuTvnileba, axal SeTanxmebaSi
SemoTavazebulia kreditunarinobis gareSe reitingis gamoyeneba,
romelic iTvleba, sareitingo saagentoebis mier gansazRvruli
moTxovnebis dakmayofilebis SemTxvevaSi, amaTu im aqtivis riskis
amaTuim jgufisadmi mikuTvnebis kriteriumad (ix. cxrili 6.14). am
midgomaSi navaraudevia, rom is reitingi, romelic emitents aqvs
miniWebuli, vrceldeba mxolod rigiTobis mixedviT mis adreul
arauzrunvelyofil valdebulebebze, winaaRmdeg SemTxvevaSi aqtivi
miekuTvneba `ureitngo~ kategorias. Tu aqtivs mikuTvnebuli hqonda
sakuTari sakredito reitingi, romelic gansxvavdeba misi emitentis
reitingisagan, kapitalis sakmarisobis miznisaTvis gamoyenebuli
iqneba am aqtivis reitingi.

551
 bazelis komiteti adgilobrivi marTvelobis organoebs aZlevs
uflebas daaweson 100%-ze meti riskis koeficienti calkeuli
korporaciis valdebulebebisaTvis, romlebsac ar gaaCniaT
sakredito reitingi. garda amisa, bankebs moTxovnili kapitalis
gamosaangariSeblad zedamxedvelobis organos nebarTviT SeuZliaT
miiRon yvela korporaciisaTvis erTiani woniTi 100%-iani
koeficienti maTi reitingis miuxedavad.
standartuli midgomis CarCoebSi Semodis aqtivebis axali klasi
– e.w. `sacalo moTxovnebi~ (retail claims), romelic moicavs kerZo
pirebze da mcire sawarmoebze sxvadasxva saxis sesxebs. aseTi
aqtivebis portfelebisaTvis, romelic mTel rig kriteriumebs
akmayofileben (kerZod, erTi msesxeblis davalianeba saerTo
moculobiT ar unda aRematebodes 1 mln. evros da portfelis
FsaerTo Rirebulebis 0,2%-s), dadgenili riskis 75%-iani
koeficienti. axal SeTanxmebaSi daweulia koeficienti ipoTekuri
sesxebisTvisac, romlebic mTlianad uzrunvelyofilia
sacxovrebeli uZravi qonebiT, da is axla toli iqneba 35%-is.
90 dReze metad gadacilebuli uzrunvelyofis gareSe
debitoruli davalianebis mimarT (ipoTekuri sesxebis
davalianebebis garda) riskis koeficienti dgindeba maTTan
dakavSirebuli danakargebis dasafaravad Seqmnili rezervebis
sidideze damokidebulebiT: 150%, Tu rezervi Seadgens daufaravi
davalianebis 20%-s, da 100% _ danarCen SemTxvevebSi (Tu rezervi
Seqmnilia davalianebis Tanxis 50%-ze aranaklebi zomiT,
zedamxedvelobis organos mier koeficienti SeiZleba daweuli iyos
50%-mde).

552
 SeniSvna:
1 kontrolis erovnul organoebs ufleba aqvT daaweson riski dabali
koeficientebi bankebisaTvis, romlebic abandeben maTi bazirebis saxelmwifos savalo
valdebulebebSi, denomirebuli an erovnul valutaSi dafarvadi.
2 riskis nulovani koeficienti SesaZloa mieniWos saerTaSoriso
angariSsworebis bankis, saerTaSoriso savaluto fondi da evrokavSiris
valdebulebebs.
3 saxelmwifo sawarmoebi da dawesebulebebi (centraluri mTavrobis garda) aseve

miekuTvneba mocemul jgufs. igi agreTve vrceldeba sainvesticio kompaniebze, Tu am

ukanasknelis mimarT gamoiyeneba riskis gaTvaliswinebiT kapitalis sakmarisobisadmi
bazelis msgavsi moTxovna; winaaRmdeg SemTxvevaSi sainvesticio kompaniebi
miekuTvnebian jguf `korporacia~-s.
4bankis valdebulebebs eniWebaT Sesabamisi saxelmwifo (romelSic
daregistrirebulia banki) riskis koeficientze erTi doniT maRali koeficienti.
5 konkretuli bankis kreditunarianobaze dafuZnebuli riskis koeficientebi. igi

agreTve moicavs saerTaSoriso ganviTarebis bankis valdebulebebs (imaT gamoklebiT,

romlebsac mikuTvnebuli aqvT rikis koeficienTi 0%).
6bankis valdebulebebs mokle sawyisi dafarvamde vadiT (3 Tvemde) eniWebaT

riskis koeficienti erTi doniT dabla am bankis sxva valdebulebebis riskis

Cveulebriv koeficientTan SedarebiT (magram, ara nakleb 20%).
7sakredito reitingis gareSe bankebis da korporaciebisriksis koeficienti ar

unda iyos saxelmwifos (romelSic isini arian daregistrirebuli) valdebulebebis

riskis koefcientze dabali.
8maT Soris sadazRvevo kompaniebis valdebulebebi.

553
 modificirebuli standartuli midgomis CarCoebSi
gaTvaliswinebulia rigi sirTuls mixedviT gansxvavebuli
sakredito riski dawevis aRricxvis sxvadasxva saSulebebis
meTodika, romelic daSvebulia kapitalis sakmarisobis miznisaTvis.
kerZod, giraod Setanili uzrunvelyofis aRsawerad
gaTvaliswinebulia ori alternatiuli midgoma: martivi da
yovlismomcveli. martiv midgomaSi (simple aproach) aqtivis
Rirebulebis im nawilSi, romelic mTlianad ifareba giraoSi
gadacemuli uzrunvelyofis sabazro RirebulebiT, miiReba
uzrunvelyofis saxis Sesabamisi riskis koeficienti. aqtivis
Rirebulebis darCenili nawili iRebs moicemuli msesxeblisaTvis
gansazRvrul riskis koeficients. yovlismomcveli midgoma
(comprehensive approach) bankebs saSualebas aZlevs moaxdinos
sakredito riski zemoqmedebis koreqtireba uzrunvelyofis sabazro
Rirebulebis, misi volatilobis da TviTon aqtivis Rirebulebis
volatilobis gaTvaliswinebiT. amisaTvis gamoiyeneba damwevi
koeficientebis nakrebi (haircuts) romelTa standartuli
mniSvnelobebi dadgenilia bazelis komitetis mier, magram
SesaZlebelia iyos gamoTvlili bankebis mierac aqtivis sabazro
Rirebulebis volatilobis analizis gziT (kerZod, repo
garigebebis dros dasaSvebia VaR gaangariSebebis Siga modelebis
gamoyeneba) maT mier garkveuli xarisxobrivi da raodenobrivi
moTxovnebis dacvis pirobebSi (romlebic TiTqmis 6.5 paragrafSi
ganxiluli kriteriumebis analogiuria). giraoTi uzrunvelyofis
mixedviT sakredito riskis zemoqmedeba Semdegnairad gamoiTvleba:
E *  max0.E  (1  H E )  C  (1  H c  H fx )  , (6.12)
sadac E * _ uzrunvelyofis gaTvaliswinebiT garigebis mixedviT
sakredito riskis zemoqmedebaa;
E _ mimdinare sakredito riskis zemoqmedebaa (uzrunvelyofis
gaTvaliswinebis gareSe);
H E _ mocemuli saxis aqtivisaTvis damwevi koeficientia;
C _ uzrunvelyofis giraos saxiT miRebuli Rirebulebaa;
H C - mocemuli saxis uzrunvelyofisaTvis damwevi koeficientia;

554
 H fx - damwevi koeficienti, romelic gamoiyeneba im SemTxvevaSi, Tu
aqtivi misi uzrunvelyofis gamomxatveli valutisagan gansxvavebul
valutaSia gamosaxuli.
uzrunvelyofis gaTvaliswinebiT (6.12) formuliT gamoTvlili
aqtivis Rirebuleba gamravlebuli unda iyos Sesabamisi msesxeblis
(garigebis mixedviT kontragentis) riskis koeficientze.
amgvarad, modificirebuli standartuli midgomis 1988 wels
SemoRebuli riskis mixedviT aqtivebis Sewonvis wesisagan
gansxvaveba SemdegSi mdgomareobs.
pirveli, sruliad uriskod CaiTvleba mxolod umaRlesi
sakredito reitingis mqone saxelmwifo valdebulebebSi
dabandebebi, da ara saxelmwifoebis mimarT nebismieri moTxovna,
romelic maT erovnul valutaSia gamosaxuli rogorc es iyo 1988
wlis SeTanxmebaSi.
meore, riskis mixedviT Sewonis bankebisadmi moTxovnis asarCevad
erovnuli zedamxedvelobis organoebs miecaT ori alternatiuli
varianti: maTgan pirvelSi riskis koeficiebi dgindeba erTi
gradaciiT maRla, vidre gaaCnia es bank-msexeblis bazirebul
qveyanas, xolo meoreSi – wonis koeficienti damokidebulia
mxolod kontragentis sakredito reitingze. bolo SemTxvevaSi
pirvelad dgeba iseTi situaciis SesaZlebloba, rodesac bankis
moklevadiani valdebulebebisaTvis riskis koeficienti iqneba ufro
dabla, vidre maTi bazriebis qveynis saxelmwifo
valdebulebebisaTvis Sesabamisi koeficienti.
mesame, mrewvelobis, vaWrobis an momsaxurebis sferos msesxeblis
kreditebi axla mniSvnelovnad gansxvavdebian riskis xarisxis
mixedviT. sabazo 100%-is zomis sabazo ganakveTi ucvleli darCa
umetesoba riskis jgufisaTvis, is mainc SeiZleba daweuli iqnas
pirveli klasis msesxeblebisaTvis 20%-mde an SedarebiT naklebi
riskis mqone msesxeblebisaTvis – 50%-mde. piriqiT, yvelaze riskiani
korporatiuli sesxebi gaTvaliswinebuli iqneba riskis
koeficientiT 150% kapitalis gamoTvlisas.
cxadia, rom modificirebuli standartuli midgomis qmediToba
pirdapiraa dakavSirebuli gareSe reitinguli Sefasebebis
cvlilebebis xarisxze da operatiulobaze ris mimarTac mravali
specialisti eWvs gamoTqvams. sabanko sazogadoebis mxridan ufro

555
didi interesi gamoiwvia am alternatiuli midgomebidan meore
midgomam, romelic kapitalis sakmarisobis gansazRvrisaTvis Siga
sabanko reitinguli sistemis gamoyenebaSi mdgomareobs. am midgomis
safuZvels warmoadgens zogadi azri imis Sesaxeb, rom aravin icis
operaciis namdvili riski, im bankebze ukeTsad, romlebsac gaaCniaT
detaluri da aqtualuri informacia Tavisi klientebis Sesaxeb.
magram es midgoma jer kidev saWiroebs mniSvnelovan dazustebebs
da damuSavebas, aseve prqtikaSi yovelmxriv aprobacias.

6.9.2 Siga reitingebis safuZvelze midgoma

Siga reitingebis safuZvelze midgoma gansxvavebuli sirTulis
mixedviT or variantad arsebobs: sabazo (foundation IRB approach) da
mowinave (advanced IRB approach). ramdenadac es orive varianti
efuZneba sakredito riskis ZiriTadi parametrebis Sigasabanko
Sefasebebs, isini riskis mimarT ufro mgrZnobiare kapitalis
mimarT moTxovnis gaangariSebis saSualebas iZlevian, vidre
standartuli midgomis gamoyeneba. Siga reitingebis safuZvelze
midgomaSi bankebs ar SeuZliaT damoukideblad gansazRvron
moTxovnili kapitalis gamosaTvlelad aucilebeli yvela mdgeni.
TiToeuli saxis aqtivisaTvis riskis koeficientebi, da e.i.,
kapitalis mimarT moTxovnac ganisazRvreba `Sereuli~ saxiT: maTi
gamoTvlisaTvis formulebs iZleva bazelis komiteti, xolo
bankebi Siga monacemebis mixedviT iTvlian Semaval parametrebs. am
or variants Soris ZiriTadi gansxvaveba mdgomareobs sakredito
riskis gamoTvlebis parametrebSi, romelsac erTi mxriv TviTon
banki afasebs, da meores mxriv gamcemi zedamxedvelobis organo
(cxrili 6.15).
Siga reitingebis safuZvelze midgomaSi msesxeblis statusis
SesZleblobaze damokidebulebiT gamoyofen sasexo operaciebis
Semdeg tipebs:
1) korporaciebis dakrediteba, romelic Tavis mxriv moicavs
xuTi saxis specializirebul sasexo operacias (sprcialised lendimg -
SL):
 saproeqto dafinanseba (project finance);
 obieqturi dafinanseba (object finance): msesxeblis mier
materialuri aqtivebis SeZenis mizniT dakrediteba;
556
  sasaqonlo dafinanseba (commodity finance): msesxeblis mier
standartuli sabirJo saqonlis SeZenis mizniT moklevadiani
dakrediteba;
 uZravi qonebis Semosavlis momtani giravnobiT dakrediteba
(income-producimg real estate);
 maRali riskis mqone komerciuli uZravi qonebis giravnobiT
dakrediteba (high-volatility commercial real estate - HVCRE)37;
2) saxelmwifo valdebulebebSi dabandebebi;
3) bankebis dakrediteba;
4) sacalo dakrediteba, romlebSic gamoyofen:
 mosaxleobis ipeTekur dakreditebas, romelic sacxovrebeli
uZravi qonebiTaa uzrunvelyofili;
 mosaxleobis ganaxlebadi sacalo dakrediteba (revolving retail
exposure)38;
 sxva sacalo kreditebi (maT Soris mcire sawarmoebis
dakrediteba, romelTa jamuri davalianeba ar aRemateba 1 mln.
evros);
5) mesame piris kapitalSi arakonsolidirebuli dabandebebi
(aqciebis, wilebis an sxva instrumentebis saxiT, romlebic
sakuTrebis uflebas akmayofileben da axasiaTebT gakotrebis
SemTxvevaSi maTi mflobelebis moTxovnebis yvelaze dabali
rigiToba);
6) mesame pirisagan sacalo da korporatiul debetorebisadmi
moTxovnis uflebis SeZena.
sacalo dakreditebis operaciebisTvis rezervirebuli kapitalis
moTxovnisadmi gamoTvla dasaSvebia mxolod Siga reitingis
safuZvelze mowinave midgomis CarCoebSi. sxva sityvebiT, bankebma
damoukideblad unda Seafason riskis samive ZiriTadi mdgeni: PD ,
EAD Pda LGD erT welze gaTvliT.

37 am SemTxvevaSi riskis maRali done niSnavs defoltis dadgomis albaTobis maRal

volatilobas.
38 ganaxlebad sacalo sesxebs miekuTvneba mxolod is aqtivebi, romelta mixedviT
wliuri saprocento Semosavali aRemateba mosalodnel danakargs plus saSualo
mniSvnelobidan ori standartuli gadaxra.
557
 msesxeblis pirveli sami jgufisaTvis darezervebuli kapitalis
zomisadmi minimaluri moTxovna (capital requirement - CR ) Semdegi
formuliT gamoiTvleba:
 N 1 ( PD)   ( PD) N 1 (C ) 
CR  LGD  N    EAD  1  ( M  2,5)b( PD) , (6.13)
 1   ( PD)  1  1,5b( PD)
 
sadac N ( x) _ standartuli normaluri ganawilebis funqciaa;
N 1 ( x ) _ standartuli normaluri ganawilebis Sebrunebuli
funqciaa;
 ( PD ) _ korelaciis koeficientia, romelic defoltis albaTobis
funqcias warmoadgens;
C _ sandoobis intervalia (bazelis komitetis mier yvela saxis
sesxebze dadgenilia C =0,999 mniSvneloba);
b( PD ) _ garigebis damTavrebamde vadis Sesworebaa:
b( PD)  (0,08451  0,05898 ln( PD)) 2 .
konkretuli msesxeblis defoltis albaTobis garda, (6.13)
formulaSi sakredito riski aseve gaTvaliswinebulia korelaciis
koeficientSic, romelic am aqtivebis klasisTvis damaxasiaTebel
riskis dones asaxavs. rac ufro maRalia korelaciis koeficienti,
miT ufro didia defoltis mocemuli albaTobis dros
gauTvaliswinebeli danakargebi.

558
 korelaciis koeficientebi gamoiTvleba Semdegi formulebiT,
romlebic dadgenili bazelis komitetis mier sxvadasxva tipis
msesxeblisaTvis:
 kreditebi korporaciebs, saxelmwifo dawesebulebebs da
bankebs:
 1  e 50 PD   1  e 50 PD 
  0,12   50
  0,24  1   ; (6.14)
 1 e   1  e 50 
 5 mln.-dan 50 mln. evromde wliuri brunvis ( S ) mqone mcire da
saSualo sawarmoebze kreditebi:
 1  e 50 PD   1  e 50 PD   S 5
  0,12   50
  0,24  1    0,04  1  ; (6.15)
 1 e   1  e 50   45 
 maRli riskis mqone komerciuli uZravi qonebis giraoTi
kreditebi:
 1  e 50 PD   1  e 50 PD 
  0,12   50
  0,30  1   . (6.16)
 1 e   1  e 50 
(6.13) formulaSi bolo mamravli, romelic operaciis
damTavrebamde vadas gamoxatavs, gamoiyeneba mxolod korporaciebis,
saxelmwifo dawesebulebebis da bankebis mimarT. zedamxedvelobis
organos ufleba aqvs yvela aqtivisaTvis daawesos 2,5 wlis toli
M sidide an moiTxovos bankebisagan gamoiTvalon dafarvamde
`efeqturi~ vada cxadi saxiT Semdegi formuliT:
 t  CF t
M  t
, (6.17)
 CF t
t

sadac CFt _ drois t momentSi msesxeblis mier

ganxorcielebuli gadaxdis sididea.
im SemTxvevaSi rodesac banki ar akmayofilebs kriteriums,
romelic saWiroa korporatiuli dakreditebis mixedviT defoltis
albaTobis damoukidebeli gamoTvlisaTvis, man unda daadginos
Sesabamisoba sakuTari sakredito reitingebis sistemasa da
sakredito xarisxis normatiul Skalas Soris (cxrili 6.16).
normatiuli Skalis gamoyenebisas riskis mixedviT Sewonva
xorcieldeba standartuli midgomis analogiurad. Siga
reitingebis safuZvelze am gamartivebul midgomas kapitalis
mixedviT axal SeTanxmebaSi `sazedamxedvelo kriteriumebis

559
klasifikaciis safuZvelze midgoma~ (supervisory slottimg criteria
appeoach) ewodeba.
Siga reitingebis safuZvelze sabazo midgomaSi nebismieri rigiT
maRli uzrunvelyofis gareSe saxelmwifo, korporatiuli da
sabanko valdebulebebis mixedviT davalianebis aRdgena tolia 45%-
is, xolo amave msesxeblebis subordinirebuli
valdebulebebisaTvis – 75%. bankebs ufleba eZlevaT
gaiTvaliswinon uzrunvelyofis arseboba da riskis dawevis sxva
dasaSvebi meqnizmebi LGD parametris sididis gansazRvris Semdeg.
kerZod, giraos arseboba LGD sididis koreqtirebis saSualebas
iZleva Semdegi formulis meSveobiT:
 E* 
LGD *  max 0, LGD   , (6.18)
 E 
sadac LGD * _ davalianebis aRdgenis donea uzrunvelyofis
gaTvaliswinebiT;
LGD _ davalianebis aRdgenis donea, romelic gamoyeneba
`valdebulebebis Seusruleblobisas~ (uzrunvelyofis gareSe);
E* _ (6.12) formuliT gamoTvlili uzrunvelyofis
gaTvaliswinebiT garigebis mixedviT sakredito riskis zemoqmedeba;
E _ sakredito riskis mimdinare zemoqmedeba (uzrunvelyofis
gaTvaliswinebis gareSe).
mowinave midgomis CarCoebSi bankebs ufleba eZlevaT
damoukideblad Seafason LGD sidide rigi kriteriumebis dacvis
pirobebSi.
operaciebis mixedviT sakredito riskis zemoqmedebis sidide
sabalanso aqtivebisaTvis ganisazRvreba rogorc bankis winaSe
msesxeblis davalianebebis serTo jami (Seqmnili rezervebis
gaTvaliswinebis gareSe) da rogorc sakredito ekvivalenti –
balansgareSe muxlebisaTvis. Siga reitingebis safuZvelze sabazo
midgomis CarCoebSi dadgenilia konversiuli koeficientebis axali
mniSvneloba da maTi gamoyeneba, romelic gansxvavdeba 1988 wlis
SeTanxmebiT miRebulisagan.
sacalo msesxeblebTan operaciebisaTvis rezervirebuli
kapitalis minimaluri moTxovnili zoma ganisazRvreba Semdegi
formulis meSveobiT:

560
  N 1 ( PD)   ( PD) N 1 (C ) 
CR  LGD  N    EAD . (6.19)
 1   ( PD ) 
 
korelaciis koeficientebi gamoiTvleba Semdegnairad:
 sacxovrebeli uZravi qonebis giravnobiT sacalo kreditebi:
  0,15 ;
 ganaxlebadi sacalo kreditebi:
 1  e 50 PD   1  e 50 PD 
  0,02   50
  0,11  1   ; (6.20)
 1 e   1  e 50 
 sxva sacalo kreditebi:
 1  e 50 PD   1  e 35 PD 
  0, 02    50
  0,17  1   . (6.21)
 1 e   1  e 35 

SevniSnoT, rom sacalo dakreditebis operaciebisaTvis araa

dadgenili PD , LGD , Pda EAD parametrebis normatiuli
mniSvneloba, e.i. isini gamoTvleba bankebis mier damoukideblad
yvela im pirobis da kriteriumebis dacvisas, romlebic
aucilebelia Siga reitingebis safuZvelze mowinave midgomis
gamoyenebisas.
bolos, sxva kompaniebis kapitalSi arakonsolidirebuli
dabandebebis riskis Sesafaseblad bazelis komitetma bankebs
561
asarCevad SesTavaza ori alternatiuli midgoma: `sabazro~ da e.w.
` PD / LGD modgoma~. Tavis mxriv, sabazro midgomis (market-based
approach) CarCoebSi arsebobs ori varianti: riskis mixedviT martivi
Sewonvis meTodi da Siga modelebis safuZvelze riskis mixedviT
Sewonvis meTodi. riskis mixedviT martivi Sewonvis meTodis (simple
risk weight method) Tanaxmad, aqciebis da misi msgavsi insrtumentebis
dabandebebi mravldeba 300%-ze fasiani qaRaldebisaTvis, romlebic
organizebul safondo birJebze brunavs, da 400%-ze – yvela
danarCeni fasiani qaRldebisaTvis. Siga modelebis safuZvelze
meTodi bankebs nebas rTavs kapitalis mimarT moTxovna gamoTvalon
VaR maCveneblis saxiT, romelic gamoTvlilia 99%-iani sandoobis
SualediT aqtivebis kvadratuli Semosavlianobis da drois didi
intervalis ganmavlobaSi Sefasebuli urisko normatiuli
Semosavlianoebebis sxvaobebisaTvis. ` PD / LGD modgoma~ ( PD / LGD
approach) analogiuria zemoT ganxiluli Siga reitingebis
safuZvelze mowinave midgomis, romelic savalo valdeblebebis
mimarT gamoiyeneba. savalo instrumentebis ( PD ) emitentis
defoltis albaToba imave moTxovnebs unda pasuxobdes, rasac
msesxeblebis defoltis albTobebis Sigasabanko Sefaseba. Tu banki
mocemuli kompaniis mxolod Tanamflobelia da ara kreditori,
maSin defoltis mocemuli albaTobisaTvis riskis koeficienti,
romelic savalo instrumentebisaTvis gamoiyeneba, gamoiTvleba
mocemuli kompaniis savalo instrumentebisTvis Sesabamisi
koeficientis 1,5-ze gamravlebiT. wilobriv instrumentebSi yvela
dabandebisaTvis davalianebis aRdgenis donis sabazo mniSvneloba
dgindeba 90%-is zomiT, es maSin roca aseTi saxis operaciisaTvis
riskis maqsimaluri koeficienti 1250%-is tolia (rac kapitalis
sakmarisobis 8%-iani normativis dros aqtivebis kapitaliT 100%-ian
dafarvas Seesabameba).
zogadad, aucilebelia vaRiaroT, rom kapitalis mixedviT axali
bazelis SeTanxmebis SemmuSaveblebma SeZles mniSvnelovnad
aemaRlebinaT aqtivis riskis koeficientebis Skalis mgrZnobeloba,
romelic gamosaxulia riskis sxvadasxva raodenobis gradaciaSi –
axla moqmedi SeTanxmebis Tanaxmad xuTi donidan ocamde: 0, 20, 35,
50, 75, 100, 150% _ sabazo SkalaSi, romelic modificirebul
standartul midgomaSi gamoiyeneba; 125, 175, 300, 350, 400, 650, 1250% _
562
aqtivebis riskis mixedviT Sewonvisas Siga reitingebis safuZvelze
midgomSi da 7, 12, 15, 250, 425, 650% _ sekiuritirebuli aqtivebis
riskis mixedviT Sewonvisas. amave dros SkalaSi gamoCnda axali
Sewonvis koeficientebi, romlebic 100%-s aRemateba da misaRebia
yvelaze riskiani aqtivebis mimarT. unda aRiniSnos, rom
ekvivelenturi `ekonomikuri~ kapitalis gaangariSebaze dafuZnebuli
axali SeTanxmebis kritikosebi, didixnis win miuTiTeben yvelaze
maRali riskis mqone aqtivebisaTvis ufro maRali woniTi
koeficientebis (400%-mde da ufro maRla) Semotanis
aucileblobaze, ramdenadac kapitalis sakmarisobis normativebi
ucvlelad 8%-is toli darCa. magram am SemTxvevaSi Cndeba riskis
im koeficientebis interpretaciis sirTule, romlebic 100%-s
aRematebian, rogorc mocemul klasSi dabandebis mixedviT
danakrgebis saSualo albaToba aRdgenis gaTvaliswinebiT. aqedan
gamomdinaeobs, rom riskis koedficientis amgvari gazrda iqneba
kapitalis mimarT moTxovnis faruli gazrda.

6.10 daskvna
ideaSi, sabanko kapitalis regulirebam, cxadia, unda
obieqturad gaiTvaliswinos kareditebis da aqtivebis riskianoba
zogadad. magram samwuxarod, amJamad arc ise cxadia, Tu rogor
unda iqnes es mizani miRweuli praqtikaSi. aSS-Si mraval msxvil
bankSi optimalurad Tvlian im sqemas, romelic bankebs saSualebas
aZlevs gamoiyenon Siga modelebi yvela ZiriTadi riskis
Sesafaseblad. evropis qveynebis regulirebad zedamxedvelobis
organoebis umetesoba, piriqiT, ar ganicdis optimizms riskebis
marTvis yvelaze Tanamedrove da rTuli modelebis mimarT. amJamad
araa sruli darwmuneba imaSic ki, rom msgavsi modelebi vargisia
sabazro riskebis adekvaturi SefasebisTvis, gansakuTrebiT
ganviTarebadi bazrebis pirobebSi.

563
 Tavi 7
sakredito organizaciebis saqmianobaSi makroekonomikuri
riskebi
7.1 makroprudencialuri indikatorebi
sabanko saqmianobis zedamxedvelobis bazelis komitetis mier
miRebuli sabanko riskebis regulirebis standartuli midgomis
problemas arc Tu ise didi xnis win warmoadgenda sabanko riskebsa
da makroekonomikur indikatoerebis dinamikas Soris
urTierTkavSiris analizis ar qona. am midgomis Tanaxmad,
kapitalis sakmarisobis (romelic warmoadgens sabanko riskebis
regulirebis koncefciis birTvs) gamoTvlisas aqtivebis riskis
xarisxi statikurad miiReba, romelic araa damokidebuli sabanko
saqmianobis makroekonomikur pirobebze, rac mniSvnelovnad zRudavs
riskebis aRricxvis efeqturobas.
am problemis aqtualobam stimuli misca iseTi saerTaSoriso
maregulirebeli organebis interesis zrdas, rogoricaa sabanko
zedamxedvelobis bazelis komiteti, saerTaSoriso savaluto fondi
da sxva, rom dawyebuliyo e.w. makroprudencialuri indikatorebis
(macroprudentila indicators) mosaZebni samuSaoebi, romelebic
warmoadgenen garkveullad sabanko sistemebis riskebTan da
mdgradobasTan dakavSirebul maCveneblebis kompleqss (sakuTriv
sabankos da makroekonomikurs).
makroprudencialuri analizis meqanizmi moicavs sxvadasxva
indikatorebis agebas da gamoyenebas, romlebic dafuZnebulia
centraluri bakebidan da zedamxedvelobis organoebidan miRebul
sabanko sistemis agrerirebul maCveneblebze, aseve im
makroekonomikur da finansur maCveneblebze, romlebic axasiaTeben
sabanko seqtoris mdgradobas. es indikatorebi sabanko sistemis
SigniT riskebis gazrdis tendenciis, mis gareT ryevis potenciuri
wyaroebis gamovlenis saSualebas iZlevian, aseve `infeqciis
gadatanis~ arxebis, romlebiTac erTi sakredito institutis
problemebs SeuZliaT swrafad gavrceldnen sxva qveynis sabanko
dawesebulebebze. sistemuri analizis gamoyenebuli teqnika
eyrdnoba raodenobriv indikatorebs da im informaciis
xarisxobriv intepretacias. romelic miiReba sabanko

564
zedamxedvelobis procesSi. ZiriTadi makroprudencialuri
indikatorebi moyvanilia cxril 7.1-Si.

565
 moyvanili CamonaTvalidan Cans, rom sabanko sistemis
mdgradobaze, rogorc navaraudevia, moqmedebs mniSvnelovani
raodenobis indikatori, da savsebiT cxadia, rom es CamonaTvali
SeiZleba gagrZeldes. Semdgomi samuSao mdgomareobs sabanko
sistemis mdgradobis agregirebuli maCveneblebis sistemis agebaSi
da maTi dinamikis gamokvlevaSi, maTi `zRvruli~ mniSvnelobebis
testirebsa da gamovlenaSi, romlis Semdegac dgeba krizisi da a.S.
amJamad rTulia imis prognozireba warmatebiT dasruldeba Tu ara
im makro- da mikroekonomikuri maCveneblebis farTo wris Zebna,
romelic gavlenas axdenen sabanko sistemaze, da maT safuZvelze
zogierTi indikatoris konstruireba, romelic aRwers sabanko
sistemebis mdgradobas. ufro SesaZlebelia iseTi
mravalfaqtoriani modelebis Seqmna, romelic damakmayofileblad
aRwers sabanko sistemis mdgomareobas. amasTan aseTi modelebis
prognozirebadi mniSvnelobis problema Riad rCeba. samwuxarod
qveynis riskebis sferoSi analogiuri samuSaoebma, romlebic
mimdinareobs saerTaSoriso reitinguli saagentoebis mier, jer
jerovan Sedegebamde ver migviyvana.

7.2 finansuri krizisebis warmoqmnis modelebi

makroprudencialuri indikatorebis gamokvlevis amJamad
miRebuli Sedegebis SezRudulobis gamo, sabanko saqmianobis
makroekonomikuri riskebis analizisaTvis aucilebelia mivmarToT
finansuri krizisis warmoSobis Tanamedrove modelebs.
finansuri krizisebis mizezebis Seswavla aqtiurad
mimdinareobs bolo wlebis ganmavlobaSi, magram rogorc mizezebis
ise gamovlenis mxriv krizisebis mravalgvarobis gamo
DdResdReisobiT ar arsebobs mdgradi yvelasTvis misaRebi
Tvalsazrisi mravali sakiTxis irgvliv. ar arsebobs konsesusi imis
mimarTac ki, Tu rogor ganisazRvros finansuri krizisis cneba.
amis gamo erTidaimave qveynis erTidaimave drois periodSi
finansuri bazrebis qcevis mkvlevari ekonomistebi, iTvlian
krizisuli epizodebis sxvadasxva ricxvs, amasTan Sefasebebi 1,5-2
jer SeiZleba gansxvavdebodes.

566
 savaluto da sabanko krizisebis gansazRvreba Camoayalibes
Sesabamisad frankelma da rouzma, da demirgiuk-kuntma da
detragiCma.
frankelma da rouzma SemogvTavazes savaluto krizisis qveS
gvesmodes erovnuli valutis 25%-iani nominaluri gaufasureba,
romelsac Tan axlavs bolo 5 wlis donesTan SedarebiT valutis
kursis gaufasurebis tempis saSualod 10%-iani zrda.
demirgiuk-kuntis da detragiCis kvlevis Tanaxmad, situacia
sabanko sistemaSi SeiZleba Sefasdes rogorc krizisuli, Tu
sruldeba qvemoT CamoTvlili pirobebidan erTi mainc:
1) saerTo aqtivebis moculobaSi aramomuSave aqtivebis wili
aWarbebs 10%-s;
2) sabanko sistemis aRdgenaze danaxarjebi aWarbebs mTliani Siga
produqtis 2%-s;
3) sabanko seqtoris problemebs mivyavarT sabanko seqtoris
mniSvnelovani nawilis (10%-ze meti) nacionalizaciamde;
4) xdeba depozitebis masobrivi amoReba an maT gadaxdaze
SezRudvis daweseba, cxaddeba `sabanko ardadegebi~.
sabanko da savaluto krizisebis erToblivi ganxilva
ganpirobebulia ori mizeziT: 1) kvlevisTvis gamoiyeneba msgavsi
meTodebi, xolo erTida imave analizis sistemis gamoyeneba
saSualebas iZleva gamovlindes rogorc sabanko sistemis krizisis
warmoqmnis safrTxe, ise erovnuli valutis mniSvnelovani
devalvaciis riski; 2) rogorc SemdgomSi iqneba naCvenebi, sabanko
da savaluto krizisebi mWidrodaa dakavSirebuli erTmaneTTan, da
erovnuli valutis devalvacia mniSvnelovnad zrdis sabanko
krizisis warmoSobis risks, da piriqiT.
finansur bazarze krizisuli situaciis formirebaSi
mniSvnelovani rolis Semsrulebeli faqtorebis (e.w. krizisis
`wimnswrebi~ indikatorebis) Zebna ekonomikuri kvlevis meTodebis
gamoyenebiT aqtiurad daiwyo 90 wlebSi. Teoriuli muSaobis mimarT
empiriuli gamokvlevebSi Seferxebebis warmoqmna SeiZleba aixsnas
ori mizeziT. pirveli, maTematikur-statistikuri meTodebis
saSualebiT krizisis mizezebis analizi moiTxovs rigi xangrZlivi
dakvirvebebis arsebobas. meore, winaswar aucilebeli iyo
gamokvlevebis Sesabamisi meTodikis SemuSaveba.

567
 SemuSavebuli iyo finansuri krizisebis faqtorebis gansazRvris
sami sxvadasxva midgoma. pirveli mdgomareobs stanartuli
regresiuli analizis meSveobiT finansuri krizisis warmoqmnaSi
sxvadasxva faqtorebis wvlilis gamovlenaSi.

7.2.1 regresiuli analizis safuZvelze midgoma

standartuli regresia gamoiyeneba savaluto krizisis mizezebis
gamosavlenad. aseTi modgoma saSualebas ar iZleva ganisazRvros
krizisis dawyebis dro, magram misi saSualebiT SeiZleba dadgindes
romelma qveynebma SeiZleba ganicado erovnul valutaze
spekulaciuri Seteva sitiuaciis negatiuri cvlilebebisaas
finansur da sasaqonlo bazrebze.
pivelad mocemuli meTodi gamoyenebuli iyo saqsis, torneis da
velakos mier 1994-1995 wlebSi meqsikuri savaluto krizisis
mizezebis kvlevisas (SemdgomSi _ STV Dmodeli). STV Dmodeli
varaudobs, rom faqtorebs gaaCniaT savaluto krizisis
winaswarmetyvelobis Zala, Tu i paramertis TiToeuli
individualuri mniSvneloba da maTi jami statistikurad
gansxvavdeba nulisagan Semdeg gantolebaSi:
n
ln d   0    i Fi , (7.1)
i 1

sadac ln d - krizisis indeqsis mniSvnelobaa39,

F1 - ganmmartebeli cvladebis mniSvneloba (faqtoris
konkretuli mniSvneloba an `fiqtiuri~ (binaruli) cvladi,
romelic iRebs mniSvnelobebs 0-s an 1-s imaze damokidebulebiT,
aWarbebs Tu ara faqtoris mniSvneloba dadgenil kritikul dones).
STV DmodelSi naCvenebi iyo, rom qveynis midrekileba savaluto
krizisisaken im periodSi iyo ufro meti, romelSic ufro dabali
iyo oqrosavaluto rezerviT fulis masis ( M 2 ) dafarvis done, rac
ufro metad iyo gadafasebuli erovnuli valuta trendis donis
mimarT realur gamosaxvasTan da wina wlebSi rac ufro maRali
iyo kerZo seqtoris komerciuli davalianebebis zrdis tempi
bankebis winaSe.

39 krizisis indeqsi krizisis periodSi oqrovalutis rezervebis cvlilebis da

trenduli mniSvnelobidan valutis kursis faqtobrivi gadaxris Sewonili jamis tolia, roca
wonebi iseTia, rom uzrunvelyofilia indeqsis komponentebis pirobiTi dispersiebis toloba.
568
 garda amisa, saksma da sxvebma aCvenes, rom im SemTxvevaSi, Tu
saxelmwifos gaaCnia dabali rezervebi da gadafasebuli valuta,
krizisis warmoSobis albaTaoba da misi fardobiTi Zala imdenad
meti iqneba, rac ufro maRalia moklevadiani saxsrebis wili
moziduli kapitalis struqturaSi da maRali saxelmwifo xarji
mTlian Siga produqtSi.
analogiuri Sedegebi iqna miRebuli tornelis mier aziuri
krizisis gamokvlevisas 1997 wels. man aCvena, rom STV DmodelSi
gamoyofil sam faqtors (fardoba M 2 /oqrosavaluto rezervebi,
trendis dones gadaWabebuli realuri gacvliTi kursi da sabanko
kreditebis zrdis tempi) SeuZliaT axsnan krizisis indeqsebis 44%-
iani rxeva im qveynebSi, romlebic dazaraldnen 1997-1998 wlebSi
aziuri krizisiT. krizisis indeqsis faqtobriv mniSvnelobebsa da
statistikuri regresiiT gamoTvlils Soris korelacia ar
gansxvavdeboda 1-isgan.
unda aRiniSnos, rom bankebis winaSe kerZo seqtoris komerciul
davalianebasa da savaluto krizisis warmoSobis albaTobas Soris
gamovlenili damokidebuleba xsnis, Tu ratom uZRvis win xSirad
finansur krizisebs sagadamxdelo balansis kapitaluri angariSebis
mixedviT saxsrebis moZraobis liberalizacia.
rogorc praqtika gviCvenebs, ganviTarebad bazarze kapitalis
modinebas mivyavarT fardoba `krediti/mSp~-is mkverT zrdamde.
mocemuli fardobis mniSvnelovani zrda, rogorc mraval naSromSi
iyo naCvenebi, SeiZleba gamodiodes krizisis indikatorad.
SeiZleba moviyvanoT msgavsi urTierTkavSiris logikuri axsna.
realuri seqtoris sawarmoebis informaciuli Caketilobis
pirobebSi, romelic SeimCneva mraval ganviTarebad bazarze, bankebs
xSirad ar ZaluZT adekvaturad Seafason sakredito ganacxadebis
xarisxi. amitom maT mier moziduli ucxouri saxsrebis
dabandebebis efeqturoba aRmoCndeba xolme arasakmarisad maRali.
realuri seqtoris informaciuli Caketiloba aseve ganapirobebs
kreditebis maRal koncentracias: sasxrebi ZiriTadad miemarTeba
bankTan mWidro kavSirSi myof sawarmoebSi (aqcionerebTan, msxvil
klientebTan). garda amisa, sakredito resursebis maRal
Rirebulebas mivyavarT e.w. araxelsayreli SerCevis (adverse
selection) situaciis warmoqmnamde, rodesac moTxovnis mniSvnelovani

569
nawili warmodgenilia kompaniebiT, romlebic ver SeZleben sesxis
gadaxdas.
amis gamo krditebis moculobis zrdas, pirveli, SeiZleba Tan
axldes gadavadebuli davalianebis gazrda, meore, bankis finansuri
mdgomareobis calkeuli msesxebis keTildReobaze damokidebulebis
amaRleba (dabandebebis koncentraciis riskis zrda). aseve unda
aRiniSnos, rom informaciuli Caketiloba damaxasiaTebelia ara
marto warmoebis aramed sabanko seqtorisTvisac. amis Sedegad
zedamxedvelobis organos ar ZaluZs droulad gamoamJRavnos
sabanko seqtorSi cvlilebebi, gamoavlinos gadaxdisuunaro
sakredito organizaciebi da droulad moaxdinos maTi likvidacia,
aseve SezRudos bankebis mier miRebuli Warbi riskebi.

7.2.2 signalebis meTodi

ori sxva modeli, romelzedac qvemoT visaubrebT, erTnairadaa
gamosadegari rogorc sabanko ise savaluto krizisebis mizezebis
gamosavlenad.
kaminskis, lizomdos da reihartis mier SemoTavazebuli ( KLR
) modeli – signalebis modeli – saSualebas iZleva, STV DmodelTan
SedarebiT, gafarTovdes ganxiluli faqtorebis raodenoba,
romlebic krizisis SesaZlo indikatorebs warmoadgenen. am meTodis
ZiriTad amocanas warmoadgens 24 Tvis ganmavlobaSi krizisis
SesaZlo dadgomis maniSnebeli maCveneblebis moZebna (adreuli
indikatorebis sistema).
ganmmartebeli cvladi agzavnis signals, roca misi mniSvneloba
aWarbebs kritikul dones. amasTan signali ganixileba rogorc
`kargi~, Tu krizisi xdeba amis Semdeg 24 Tvis ganmavlobaSi. KLR
modeli imiTaa sainterso, rom xmauris minimizaciis principiT
gansazRvruli kritikuli mniSvneloba yvela qveynisaTvis
unikaluria.
Tavis mxriv, xmauris sidide Semdegnairad gamoiangariSeba.
sistemaSi SesaZlebelia ori tipis Secdomis arseboba (cxrili 7.2):
pirveli, krizisi SeiZleba momxdariyo, magram amasTan egzogenurma
cvladma ar gadaaWarba kritikul dones (I saxis Secdoma _ C );
meore, egzogenur cvlads SeeZlo gadaeWarbebina kritikuli

570
mniSvnelobisaTvis magram krzisis ar momxdariyo (II saxis Secdoma
_ B ).

am SemTxvevaSi xmauri tolia `mSvidi~ SemTxvevebis saerTo

raodenobaSi meore saxis Secdomis wilis fardobisa krizisis
SemTxvevebis saerTo raodenobaSi kargi signalebis kuTr wonasTan:
B A
/ . cvladi SeiZleba miCneuli iyos rogorc krizisis
B D AC
adreuli indikatori im SemTxvevaSi, Tu xmauris mniSvneloba 1-ze
naklebi iqneba.
1970 wlidan 1995 wlamde periodSi 20 ganviTarebul da
ganviTarebad qveyanaSi momxdari savaluto krizisis magaliTze
kaminskim da sxvebma aCvenes, rom savaluto krizisis adreuli
indikatoris saxiT SeiZleba ganxiluli iyos Semdegi faqtorebi:
 mSp-s mimarT maRali Siga kreditis moculoba;
 fulis miwodebis swrafi zrda;
 bankidan meanabreebis saxsrebis gadineba;
 saeqsporto Semosavlebis daweva;
 realur gamosaxvaSi erovnuli valutis gadafaseba;
 kapitalis saerTaSoriso bazarze maRali saprocento
ganakveTebi;
 mniSvnelovani sagareo vali;
 dabali oqrosavaluto rezervi;
 moklevadiani valdebulebebis rezervebiT susti dafarva;
 ekonomikis zrdis dabali tempebi;
 safondo bazarze negatiuri rxevebi.
garda amisa, erT qveyanaSi savaluto krizisi zemoT wevs misi
sxva qveyneSi warmoSobis albaTobas, upirvelesad iseTebSi,
romlebic imave regionSia da/an aqtiuradaa masTan savaWro arxebiT
dakavSirebuli (`dasnebovnebis~ efeqti).
571
 sabanko krizisis gamomwvev faqtorTa CamonaTvali umniSvnelod
gansxvavdeba savaluto krizisis faqtorebisagan. 12 savaluto
krizisis indikatoris da 14 sabanko krizisidan 11 saerTos
warmoadgens. savaluto krizisagan gansxvavebiT sabanko seqtorSi
araxelsayreli xdomilobis warmoSobis albaToba izrdeba
erovnul bazarze kapitalis gadinebis da realuri saprocento
ganakveTebis zrdis SemTxvevaSi. es kidev erTxel aCvenebs sabanko
da savaluto krizisebis mWidro urTierTkavSirs da maTi
warmoSobis meqanizmis sirTules.

7.2.3 albaTuri midgoma

krizisis formirebis meqanizmis analizisaTvis yvelaze xSirad
gamoiyeneba albaTuri midgoma. am meTodis upiratesoba imaSi
mdgomareobs, rom is, pirvel rigSi, krizisis warmoSobaSi
TiToeuli faqtoris wvlilis Sefasebis saSualebas iZleva, meore,
krizisis arsebobis Sesaxeb monacemTa ganxilvisas TiToeul
qveyanaSi drois sxvadasxva periodebSi gamosakvlevi faqtorebis,
rogorc damoukidebeli xdomilobebis, raodenobaze SezRudvas
xsnis. albaTuri analizisaTvis Cveulebriv gamoiyeneba wliuri
statistikuri monacemebi.
am meTodis Tanaxmad, imis albaToba, rom krizisi moxdeba
gansazRvrul dros calke aRebul qveyanaSi, warmoadgns X (i, t )
ganmmartebeli cvladebis n veqtoris funqcias. ganmmartebeli
cvladi P (i, t ) iRebs 1-is tol mniSvnelobas im SemTxvevaSi, Tu
savaluto krizisi warmoiSva i qveyanaSi drois t momentSi, xolo
danarCen SemTxevaSi 0-is tolia. krizisuli situaciis formirebaSi
egzogenuri cvladebis wvlilis gansazRvrisaTvis iyeneben
maqsimaluri dasajereblobis meTods. am SemTxvevaSi gamosakvlev
funqcias eqneba Semdegi saxe:
T n
ln L   P (i, t ) lnX (i, t )  1  P (i, t )ln1  F X (i, t ), (7.2)
t 1 i 1

sadac T - dakvirvebebis periodebis raodenobaa,

F - albaTuri ganawilebis kumulatiuri funqciaa,
 - ganmmartebeli cvladebis dros Sesafasebeli koeficientebis
veqtoria.

572
 unda aRiniSnos, rom egzogenuri cvladebisas koeficientebi
gviCveneben ganmmartebeli cvladebis mniSvnelobaTa erTi erTeuliT
cvlilebis zemoqmedebas krizisis warmoSobis albaTobaze.
1957 wlidan 1991 wlamde laTinoamerikul qveynebSi erovnuli
valutis devalvaciis 80 SemTxvevis mixedviT monacemebis
gamoyenebiT kleinma da marionma aCvenes, rom dadgenili koridoris
sazRvrebs gareT valutis kursis gasvlis albaToba dadebiTad
damokidebulia erovnuli valutis realuri kursis gadafasebis
xarisxze da uaryofiTad – oqrosavaluto rezervis sidideze.
struqturuli faqtorebi, rogoricaa ekonomikis gaxsniloba (mSp-Si
garevaWrobis brunvis wili), politikuri stabiluroba, eqsportis
diversificirebuloba, aseve axdens gavlenas krizisis warmoSobis
albaTobaze da valutis devalvaciis xarisxze.
ganviTarebadi qveynebis farTo wris mixedviT 1971 wlidan 1992
wlamde wliuri monacemebis kvleva, romelic Caatara frankelma da
rouzma, daasabuTa varaudi, rom mSp-sTan mimarTebaSi saxelmwifo
seqtoris maRali sagareo vali, dabali oqrosavaluto rezervebi,
realur gamosaxvaSi gadafasebuli valuta zrdis savaluto
krizisis albaTobas. garda amisa, maT aCvenes, rom krizisis
albaToba izrdeba im SemTxvevaSi Tu qveyena ganicdis ekonomikur
recesias da gaaCnia Siga kreditis zrdis maRali tempi (fardoba
M 2 /rezervebi).
ganviTarebad qveynebSi savaluto bazris mdgomareobaze
mniSvnelovan gavlenas axdens kapitalis Rirebuleba saerTaSoriso
bazarze: ganviTarebul bazarze saprocento ganakveTis 1%-iT
gazrda iwvevs gaviTarebad bazrze 1%-is savaluto krizisis
warmoSobis albaTobas. amasTan, frankelma da rouzom ver
aRmoCines sagadamxdelo balansis mimdinare angariSis mixedviT
defoltis sidides, sagareo valis struqturaSi moklevadian
sesxebas da krizisis warmoSobis albaTobas Soris damokidebuleba.
rodrikma da valaskom gaanalizes ganviTarebad bazrebze 90
wlebSi krizisebi da aRmoaCines moklevadian sesxebis kuTr wonasa
da finansur bazarze kapitalis gadinebis albaTobas Soris
statistikurad mniSvnelovani dadebiTi damokidebuleba. garda
amisa, maT mier naCvenebi iyo, rom grZelvadiani sesxebebi axdenen
stabilizirebul gavlenas finansur sistemaze: erovnuli finansuri

573
bazridan mniSvnelovani (mSp-s 5%-ze meti) kapitalis gadinebis
albaToba miT ufro naklebi iqneba, rac ufro metia grZelvadiani
sesxebis wili sagareo valis struqturaSi.
rodrikma da valaskom daadgines, rom kapitalis gadinebis
albaToba miT ufro metia rac ufro didia valis tvirTis done da
sagadamxdelo balansis mimdinare angariSis deficiti. amave dros
fuladi masis oqrosavaluto rezerviT dafarvis dabali done ( M 2 )
ar SeiZleba iyos krizisis indikatori maT mier ganxilul
SemTxvevebSi.
amgvarad, SeiniSneba mniSvnelovani gansxvavebebi frankelis da
rouzisa, da rodrikis da valaskos mier gamovlenil krzisis
warmoSobis albaTobebze moqmedi ekonomikur cvladebSi. Cveni
azriT, es gansxvavebebi mowmoben imas, rom finansuri krizisebis
formirebis meqanizmebi 70-80–ian da 90-ian wlebSi sxvadasxva iyo.
unda aRiniSnos, rom albaTuri modeliT analizi aseve aCvenebs
savaluto da sabanko krizisebis formirebis meqanizmebis
mniSvnelovan msgavsebas.
magaliTad, hardma da fasarbasioRlim, ikvlevdnen ra sabanko
krizisebs ganviTarebul da ganviTrebad qveynebSi, daadgines, rom
isini xSirad aris gamowveuli ekonomikuri zrdis tempis
SenelebiT, erovnuli valutis devalvaciiT da realuri
saprocento ganakveTebis gazrdiT. sabanko krizisebis adreul
indikatorebad SeiZleba ganixilebodes inflaciis tempis maRali
volatiloba (tipiuri niSani – weliwadSi inflaciis daweva,
romelic krizis win uswrebs, da manmade ori wliT adre misi
zrda), mSp-s mimarT kerZo seqtorze kreditebis zrda, saeqsporto
bazarze fasebis araxelsayreli rxevebi da ucxouri kapitalis
Semodineba.
avtorebma gamoyves SemTxvevebi, rodesac sabanko seqtori
ganicdis seriozul problemebs, WeSmariti sabanko krizisebisagan.
Caatares ra ekonomikuri analizi maT daadgines, farTomasStabiani
sabanko krizisis warmoSobisaTvis Cveulebriv saWiroa Sokuri
xasiTis rxevebi saerTaSoiriso finansur da sasaqonlo bazrebze.
garda amisa, sabanko krizisis warmoSobisas mniSvneloba aqvs
savaluto kursis araxelsayrel cvlelebebs da sawarmo-
msesxeblebis gadaxdisuunarobas. SedarebiT naklebad seriozuli

574
problemebi sabanko seqtorSi dakavSirebulia Siga saprocento
ganakveTebis rxevebTan da valis dabrunebis problemasTan
samomxmareblo seqtorSi.
ganviTarebadi bazrebis analizis safuZvelze demirgiuk-kuntis
da detragiCis mier miRebuli Sedegebi, amtkiceben hardis da
fasarbasioRlis daskvnebs sabanko krizisebis makroekonomikuri
faqtorebis mimarT. erTaderTi gamonaklisi, demirgiuk-kuntis da
detragiCis Tanaxmad, imaSi mdgomareobs, rom krizisis warmoSobis
albaToba izrdeba oqrosavaluto rezervebiT fuladi masis
uzrunvelyofis dawevis mixedviT. winaT fardoba M 2 /rezervebi
iTvleboda mxolod savaluto kursis mdgradobis indikatorad.
demirgiuk-kuntis da detragiCis naSromebi sainteresoa
imTvalsazrisiT, rom masSi pirvelad moxda krizisis warmoSobis
albaTobaze bankebis finansebisa da instituciuri faqtorebis
gavlenis gaanalizeba. avtorebis mier naCvenebi iyo, rom sabanko
krizisis warmoSobis albaToba miT ufro maRali iqneba, rac ufro
naklebia kapitalis da bankis aqtivebis Tanafardoba, rac ufro
sustia sabanko saqmianobis regulirebis da zedamxedvelobis
sakonanmdeblo sistema. garda amisa, demirgiuk-kuntis da
detragiCis azriT, fizikuri pirebis dabandebebze garantirebis
(dazRvevis) sistemis Semotana ki ar amcirebs, piriqiT, zrdis
sabanko krizisis waromoSobis albaTobas. es SeiZleba
dakavSirebuli iyos imasTan, rom dabandebebis garantirebis
sistema, romelic dabla wevs panikis albaTobas, bankebs aZlevs
momatebuli riskebis aRebis stimuls (depozitebis dazRvevasTan
dakavSirebuli `moraluri~ riski).
amgavarad, am sferoSi ukanaskneli Sromebis analizis, aseve
ganviTarebadi qveynis ekonomikebis ganviTarebis istoriis
safuZvelze, SeiZleba gakeTdes daskvna, rom finanasuri krizisebi
SeiZleba gamowveuli iyos mravali sxvadasxva faqtoriT, amasTan,
rogorc gamokvlevebi aCveneben finansuri krizisebis formirebis
meqanizmebi 70-80–ian da 90-ian wlebSi mniSvnelovnad
gansxvavdebodnen ermaneTisagan.
70-80–ian wlebSi krizisi SeiZleba ganisazRvros rogorc
saxelmwifo finansebis krizisi – maT formirebaSi mniSvnelovani
roli iTamaSa saxelmwifos uunarobam swored gaenawilebina

575
Semosuli finansuri saSualebebi, gadasaxadebis akrefaSi misma
uniaTobam da ekonomikis realur SesaZleblobaSi madis
mouTokaobam, mis mier gatarebuli fulad-sakredito politikis
araadekvaturobam. ufro gviandeli pirvel rigSi gamowveuli iyo
kerZo seqtoris warmoebis dafinansebis politikaSi SecdomebiT,
bankebis uunarobiT adekvaturad SeefasebinaT finansuri riskebi,
ekonomikuri gadawyvetilebis mimReb agentebisaTvis xarisxiani
informaciis ukmarisoba. xSirad liberalur savaluto
regulirebasTan dakavSirebuli kapitalis modinebas erTdroulad
mihyavda bankebi `cudi~ kreditebis dagrovebasTan da finansuri
nakadebis recipienti qveynis erovnuli valutis realur
gaZvirebasTan. swored 90-ian wlebSi gamoCnda zemoT aRniSnuli
sabanko da savaluto krizisebis didi urTierTkavSiri.
krizisebi SeiZleba daiyos ara mxolod warmoSobis drois
TavlsazrisiT, aramed regionaluri niSniTac. magaliTad,
ganviTarebd bazrebze krizisebi 90 wlebis bolos – aziis
(1997weli), ruseTis (1998 weli) da braziliis (1999 weli) –
mniSvnelovnad gansxvavdebian erTmaneTisagan maTi ganmapirobebeli
faqtorebis TvalsazrisiT. magaliTad, aziuri qveynebis SemTxvevaSi
mTavari roli krizisis warmoSobaSi iTamaSa kerZo seqtoris didma
sagareo davalianebam (ZiriTadad moklevadiani) da aSS-s dolaris
gaZvirebis gamo savaWro pirobebis gauaresebam, romelsac iyvnen
mibmuli umetesoba qveynebisa evropul valutas da Cinur ienTan
mimarTebiT.
finansuri krizisebis regionaluri xasiaTi dasturdeba
empiriuli gamokvlevebiTac. takma, glikma da rouzma empiriulad
daamtkices `dasnebovnebis~ efeqtis regionuli xasiaTi savaluto
krizisis SemTxvevaSi da axsnes misi sasaqonlo kontaqtebis maRali
regionizacia. meores mxriv, hardma da fasarbasioRlim aCvenes
regionuli `fiqtiuri~ cvladebis mniSvneloba im gantolebebSi,
romelic makroekonomikuri cvladebis dinamikas da sabanko
krizisebis warmoSobis albaTobebs erTmaneTTan akavSirebs. kerZod,
maT daadgines, rom erTdroulad ganxorcielebuli sabanko
krizisis faqtorebi samxreT-aRmosavleT aziis da nedleulis
eqsportis mimarTulebis mqone qveynebis ekonomikaSi mniSvnelovnad
gansxvavdebian.

576
 mizanSewonilia sabanko krizisebis ufro wvrili dayofa –
qveynebis mixedviT. Tumca Tanamedrove maTematikuri statistikuri
meTodebiT SeuZlebelia gamovyoT krizisis saqveyno faqtorebi,
martivi analizi gviCvenebs, rom faqtorebis CamonaTvali, romelic
ganapirobebs kriziss, rogorcaa geografiuli mdebareoba ise
qveynebis ekonomikuri ganviTareba, gansxvavebuli iqneba. pirvel
rigSi, qveynebs SeuZliaT saqonlisa da momsaxurebis sxvadasxva
nakrebis eqsportireba (importireba) da Sesabamisad ganicadon
sxvadasxava savaWro `Soki~. meore, rogorc naCvenebia, qveynis
finansuri mdgradoba Zlier aris damokidebuli politikuri
sistemis mdgradobaze da gansakuTrebiT im sakanonmdeblo bazaze,
romelic aregulirebs ekonomikur saqmianobas. magaliTad,
indoneziaSi finanasuri krizisis simZime 1997 wels mniSvnelovan
wilad ganpirobebuli iyo politikuri situaciis destabilizaciiT
da qveyanaSi gamokvleuli gakotrebis meqanizmis ar qoniT.
aqedan gamomdinare, TiToeuli qveynisTvis unda airCes sakuTari
specifikuri nakrebi romelic eqvemdebareba finansuri,
makroekonomikuri da institucionaluri cvladebis regularul
monitorings, romelTa qcevazea damokidebuli sabanko seqtoris
mdgomaeoba da savaluto kursis mdgradoba.
krizisis regionaluri da saqveyno specifikuri faqtorebis
garda yuradReba unda mivaqcioT imas, rom isini finansur bazris
situaciaze zemoqmedeben sxvasdasxva droiTi lagebiT. erTi
faqtori SeiZleba mivakuTnoT mimdinares, meore – krizisis adreul
indikatorebs, amasTan zogierTi faqtorisaTvis (magaliTad,
inflacia an kapitalis moZraoba), rogorc es zemoT moyvanili
faqtebidan Cans, SeiZleba damaxasiaTebeli iyos qcevis specifikuri
Taviseburebani. sxva sityvebiT, romeliRac faqtori iZleva signals
krizisis dadgomis Sesaxeb mxolod im SemTxvevaSi, roca misi zrda
icvleba daweviT an piriqiT.
analizis dros mocemuli Taviseburebebis gaTvaliswineba ori
xerxiT SeiZleba. pirveli, krizisis indeqsis (krizisis warmoSobis
albaTobis maCvenebeli) gamoTvlisas SeiZleba gamoyenebuli iyos
rogorc mimdinare, ise lagirebuli maCveneblebi, xolo
indikatorebs mivaniWoT sxvadasxva wonebi. meore, raodenobrivi
analizi (krizisis indeqsis gamoTvla) SeiZleba Seivsos

577
xarisxobrivi analiziT, romlis msvlelobisas SeiZleba
gamovavlinoT winasakriziso periodebisaTvis damaxasiaTebeli
savaluto da sabanko krizisebis indikatorebis dinamikis
Taviseburebani.
xasixobrivi analizi SeiZleba sasargeblo iyos sxva
mizezebiTac, kerZod:
1) indikatoris sididis erTidaigive gadaxra SeiZleba
ganpirobebuli iyos rogorc finansuri bazris funqcionirebis
fundamenturi maxasiaTeblebiT an qveynis ekonomikis cvlilebiT,
ise SemTxveviTi statistikuri gabneviTac;
2) `mSvid~ mdgomareobaSi indikatoris mniSvnelobis kidura
mniSvnelobidan faqtobrivi gadaxris zrda finanasuri bazris
mdgradobisaTvis warmodgens imaze did saSiSroebas, vidre
analogiuri cvlileba krizisis Semdgom periodSi.
bolos unda iTqvas, rom savaluto da sabanko krizisebis
warmoSobis safrTxis adreuli identifikaciis efeqturi sistemis
Seqmnas gaaCnia komerciuli faseuloba. es dakavSirebulia imasTan,
rom winasakriziso situaciis identifikaciam, banks saSualeba unda
misces droulad moaxdinos Tavisi aqtivebis da valdebulebebis
gadawyoba imgvarad, rom SeZlos finanasuri danakargebis
minimizacia.

578
 Tavi 8
finansuri instrumentebis portfelis optimizacia
8.1. Sesavali
mogebis miRebis mizniT, investorma ise unda moxdinos
finansuri instrumentebis portfelis formireba, rom daculi iyos
sxvadasxva saxis riskisagan. arsebobs portfelis riskebis marTvis
ori ZiriTadi saSualeba. calkeul finanasuri instrumentebis an
maTi jgufebis riskebi (arasistematuri riskebi) SeiZleba Semcirdes
sainveticio portfelis diversifikaciis gziT. im SemTxvevaSi, roca
calkeuli instrumentebis riskebi erTmaneTTan Zlier
korelirebulni arian (sistematuri riskebi), diversifikacias
mivyavarT mxolod riskebis gasaSualebamde. imisaTvis rom Tavi
davicvaT sistematuri riskebisagan, ise unda movaxdinoT
portfelis formireba, rom is ar iyos mgrZnobiare riskis amaTuim
faqtoris cvlilebis mimarT. magaliTad, warmoebuli finanasuri
instrumentebis portfeli SeiZleba gavxadoT aramgrZnobiare
(neitraluri) sabaziso aqtivebis fasebis volatilobis cvlilebis
mimarT. riskebis marTvis aseT midgomas uwodeben hejirebas an
imunizacias.
sabazro wonasworobis mdgomareobaSi riskisagan mTlianad
Tavisufali portfelis Semosavlianoba Seesabameba urisko
instrumentebis Semosavlianobas, romelsac Cveulebriv miakuTvneben
saxelmwifo obligaciebs. investori, romelsac surs mets miaRwios,
iZulebulia gariskos. sainvesticio portfelis formirebisas man
unda miiRos gadawyvetileba, finansuri riskebis rogori xarisxis
zemoqmedebiT SeiZleba iyos es portfeli. am pirobis Sesrulebis
Semdeg SeiZleba daisvas sakiTxi iseTi portfelis agebis Sesaxeb,
romelic maqsimalur Semosavlianobas uzrunvelyofs.
Tanamedrove finansuri instrumentebis speqtri Zalian farToa.
riskis faqtorebTan erTad portfelis formirebisas investorma
unda gaiTvaliswinos operaciis Sesrulebaze sabirJo SezRudvebi
(magaliTad, warmoebuli instrumentebiT portfelis mixedviT
aucilebeli giraos SenarCuneba), dabegvra da maregulirebeli
organoebis SezRudvebi. am pirobebSi sainvesticio portfelis
formirebis amocana xdeba rTuli da Sromatevadi. mis

579
gadasaWrelad aucilebel aparats warmoadgens maTematikuri
programirebis meTodebi.
am TavSi ganixileba sxvadasxva saxis finansuri instrumentebis
Semcveli portfelis optimizaciis tipiuri modelebi da meTodebi.
ase magaliTad, paragrafi 8.2 eZRvneba fiqsirebuli gadaxdebis
valdebulebebisagan formirebul portfels, romelic daculia
sistematuri riskebisagan. 8.3 paragrafSi ganxilulia portfelis
diversifikacia, romelic aseve Seicavs aqciebs da warmoebul
finansur instrumentebs, xolo 8.4 Seicavs portfelis optimizaciis
dinamiuri modelebis analizs.

8.2 fiqsirebuli valdebulebebis portfelis imunuzacia

gavrcelebul midgomas warmoadgens sabazro saprocento
ganakveTebis cvlilebis riskis mimarT fiqsirebuli gadaxdebis
valdebulebebis portfelis imunuzacia. investirebis Sesabamisi t
periodis ganmavlobaSi sabazro rt saprocento ganakveTis qveS
gulisxmoben urisko dabandebebis Semoavalianobis ganakveTs drois
am periodSi, romelic gamosaxulia wliur procentebSi. aseT
ganakveTad, rogorc wesi, gamoiyeneba ukupono saxelmwifo
obligaciis Semosavlianoba dafarvamde Sesabamisi vadiT.
ganvixiloT fiqsirebuli gadaxdebis valdebulebebis portfeli,
romelic unda ganxorcieldes drois momentebSi T  {1,2,..., Tmax } . rt t  T
cvladebis mniSvnelobebi qmnian Semosavlianobebis mruds.

8.2.1 Semosavlianobebis mrudis paraleluri wanacvlebis mimarT

imunizacia
fiqsirebuli gadaxdebis valdebulebebis portfelis
mniSvnelovan maxasiaTebelad iTvleba gadaxdebis wminda dayvanili
Rirebuleba (net present value - NPV), romelic Semdegi formuliT
gamoiTvleba:
C ti
NPV   xi , (8.1)
tT iI 1  rt i
sadac I - ganxiluli finansuri instrumentebis raodenobaa;
Cti - i -uri finansuri instrumentis mixedviT drois t momentSi
gadaxdebis an Semosuli saxsrebis zomaa (pirvel SemTxvevaSi am
cvlads aqvs `minus~ niSani, meore SemTxvevaSi _ `plusi~);
580
 xi - portfelSi i -uri tipis finansuri instrumentebis raodenoba
(es sidide dadebiTia yidvisas da uaryofiTia finansuri
instrumentebis mokle gayidvis SemTxvevaSi);
t - wlebSi gamoxatuli dro.
dayvanili Rirebuleba axdens ganxorcielebuli gadaxdidan
TiToeulis akumilerebas urisko investirebis ganakveTis
gaTvaliswinebiT Sesabamisi vadiT. Tu gadaxdis romelime vadis
Sesabamisi urisko ganakveTi izrdeba, maSin am gadaxdis fardobiTi
faseuloba mcirdeba. investori, romelic axdens fiqsirebuli
gadaxdebis portfelis formirebas dainteresebulia, rom am
portfelis dayvanili Rirebuleba ar Semcirdes Semosavlianobis
mrudis gadanacvlebiT da formis SecvliT, e.i. rom ar ganicados
sabazro riskis zemoqmedeba.
SesaZlebelia Semosavlianobis mrudis sxvadasxva cvlileba
(deformacia). yvelaze martivi deformacia – es aris
Semosavlianobis mrudis paraleluri wanacvleba. Tu h –iT
avRniSnavT wanacvlebis sidides, maSin dayvanili RirebulebisaTvis
gamosaxuleba ase Caiwereba:
C ti
NPV (h)   xi . (8.2)
tT iI 1  rt  h i
imisaTvis, rom movaxdinoT portfelis imunizireba
Semosavlianobis mrudis wanacvlebis mimarT, misi formireba ise
unda movaxdinoT, rom mcire h –isTvis NPV (h)  NPV (0) sxvaoba iyos
mcire. amisaTvis sakmarisia, rom MPV (h) -is warmoebuli h –iT h =0
wertilSi iyos nulis toli:
Cti
NPV (0)   t xi  0 . (8.3)
t T i  I 1  rt i 1
miRebul warmoebuls literatraSi miRebulia ewodos fiSer-
vailis dolaruli duracia (Fisher-Weil dollar duration).
(8.3) SezRudvis Sesrulebis pirobebSi SeiZleba davayenoT
portfelis optimizaciis sakiTxi. optiizaciis kriteriumis saxiT
gamoviyenebT formirebuli portfelis dayvanili Rirebulebis
maqsimums. avRniSnoT X i –iT i -uri tipis finansuri instrumentebis
raodenoba, romlebic SeiZleba SeZenili iyos bazarze portfelis
formirebis momentSi. analogiurad, vTqvaT X i _ aris i -uri tipis

581
finansuri instrumentebis raodenoba, romlebic SeiZleba gayiduli
iyos bazarze . miviRebT optimizaciis Semdeg amocanas:
C ti
I1: max  xi ,
x ,iI
tT iI 1  rt t
C ti
 t 1  r 
tT iI
t 1
xi  0 ,
t

X  xi  X i .
i


SeiZleba portfelis ise formireba, rom uzrunvelyoT

Semosavlianobis mrudis mcire wanacvlebisas dayvanili
Rirebulebis arakleba. amisaTvis unda davumatoT NPV (h) funqciis
minimumis sakmarisi piroba h =0 wertilSi:
C ti
NPV (0)   t t  1 xi  0 . (8.4)
tT iI 1  rt (t  2)
im SemTxvevaSi, roca Semosavlianobis mruds brtyeli saxe aqvs,
NPV (0) -s Cveulebriv uwodeben dolarul amozneqilobas (dollar
convexity). mocemul pirobebSi portfelis optimizaciis amocana
iRebs Semdeg saxes:
C ti
I2: max  xi ,
x ,iI
tT iI 1  rt t
C ti
 t 1  r 
tT iI
t 1
xi  0
t

C ti
 t t  1 1  r 
tT iI
(t  2)
xi  0
t

X i  xi  X i .

8.2.2 faqtoruli imunizacia

Semosavlianobis mrudis ufro rTuli deformaciis dros
portfelis dayvanili Rirebuleba, romelic Sesabameba I1 da I2
amocanebis amoxsnas, SeiZleba Semcirdes. imisaTvis rom davwioT
riskis mocemuli saxe, iyeneben e.w. faqtoruli imunizacias. rogorc
amerikuli obligaciebis Semoavlianobis empiriulma analizma
gviCvena, arsebobs sami faqtori, romlebic aRweren 98%-s
saprocento ganakveTebis struqturebia cvlilebas. pirveli
faqtoris vcvlileba iwveves Semosavlianobis mrudis TiTqmis
paralelur wanacvlebas. meore faqtoris cvililebas mivyavarT
mrudis mobrunebisaken misi formis SeuCvlelad. mesame faqtori
582
moqmedebs mrudis simrudeze. ganvixiloT faqtoruli portfelis
imnuzaciis amocanis zogadi dasma. avRniSnoT rtj –iT t wertilSi j
faqtoris mixedviT Semosavlianobis mrudis warmoebulis
mniSvneloba. j faqtoris mixedviT portfelis dayvanili
Rirebulebis warmoebuli Semdegi saxiT Caiwereba:
C ti
f j   trtj xi . (8.5)
tT iI 1  rt (t 1)
vTqvaT, J _ aris faqtorebis simravle, romlebic moqmedeben
Semosavlianobis mrudis formaze. viRebT optimizaciis Semdeg
amocanas:
C ti
F1: max  xi ,
x ,iI
tT iI 1  rt t
C ti
 tr  1  r 
tT iI
tj ( t 1)
xi  0, j  J ,
t
 
X  xi  X .
i i

8.2.3 portfelis dinamiuri restruqturizacia. arasistematuri

riskebi
sabazro saprcento ganakveTebis cvlilebisas I1, I2 da F1
amocanebSi imunizaciuri SezRudvebi dairRveva. portfelis
sabazro riskisagan dacvis uzrunvalsayofad, drodadro unda
moxdes misi restruqturizacia. magvarad, imunizacia warmoadgens
dinamikur strategias. portfelis restruqturizaciis
aucileblobas mivyavarT ganxiluli fiqsirebuli valdebulebebis
portfelisaTvis volatilobis da likvidurobis riskebis
warmoSobamde.
fiqsirebuli valdebulebebis portfelisaTvis volatilobis
riski dakavSirebulia saprocento ganakveTebsa da portfelis
dayvanil Rirebulebas Soris arawrfiv damokidebulebasTan.
saprocento ganakveTebis rxevisas dayvanili Rirebulebis
mniSvneloba SeiZleba sawyisi portfelis dayvanil Rirebulebaze
dabla aRmoCndes. am SemTxvevaSi portfelis dinamiuri
restruqturizaciis dros misi Rirebuleba TandaTan Semcirdeba.
aseTi riskisagan dacvas uzrunvelyofs portfelis formireba I2
modelis safuZvelze, radgan am SemTxvevaSi saprocento
ganakveTebis cvlilebisas portfelis Rirebuleba ar Semcirdeba.
583
 likvidurobis riskisagan dacvis zomad xandaxan
rekomindebulia moxdes gadaxdis valdebulebaTa lotebis
minimaluri zomis SezRudva, romelic portfelis
restruqturizaciis dros gamoiyeneba. magram aseTi midgoma ar
SeiZleba iyos efeqturi ganxiluli problemis gadasawyvetad.
birJebze fasiani qaRaldebis patara lotebi ufro likviduria,
vidre didi. rac Seexeba birJis gareT bazrebs, krizisuli
situaciis warmoqmna iwvevs rogorc patara ise did lotebze
moTxovnis ar qonas. fiqsirebuli valdebulebebis portfelis
likvidurobis riskebis marTvis Sesaxeb sakiTxi, Cveni azriT, Riad
unda davtovoT. misi gadaWris erT-erT SesaZlo gzas warmoadgens
portfelis maxasiaTebeli amozneqilobis gamoyeneba, rogorc es I2
amocanaSi gakeTda. aseTi portfeli ufro mdgradia saprocento
ganakveTebis cvlilebebis mimarT, da aqedan gamomdinare, moiTxovs
nakleb restruqturizaciebs.
I1, I2 da F1 warmoadgenen wrfivi programirebis amocanebs,
romelTa amoxsna sabazro riskis gakontrolebis saSualebas
iZleva, xolo I2–is SemTxvevaSi volatilobis riskisac. imisaTis,
rom vakontroloT dargobrivi riskic unda davumatoT portfelis
divesifikaciaze SezRudva, e.i. mis SemadgenlobaSi SevitanoT is
gadaxdis valdebulebebi, romlebic dakavSirebulia sxvadasxva
finansur da sawarmoo seqtorebTan. diversifikacia aseve
arasistematuri riskebis Semcirebis saSualebas iZleva, e.i.
cakleuli gadaxdis valdebulebis riskis. dargebis da
instrumentebis arCeva, romlebsac gaaCniaT sakmarisad maRali
sakredito reitingi, saSualebas iZleva miRweuli iqnas sakredito
riskis SezRudva.
valdebulebebis yidva-gayidvasTan dakavSirebuli transaqciuri
xarjebis arsebobisas mivyavarT damatebiTi saxis riskebis
wamoSobasTan, romlebic araa gaTvaliswinebuli I1, I2 da F1
amocanebSi. Tu saprocento ganakveTebis volatiloba maRali iqneba,
maSin portfelis restruqturizacia ufro xSirad mogviwevs.
transaqciur xarjebTan dakavSirebuli danakargebis sididis
Sefaseba SeiZleba Sesruldes portfelis dinamiuri optimizaciis
modelis CarCoebSi.

584
 8.3 calkeuli finansuri instrumentis riskis marTva
8.3.1 markovicis modeli
wina ganyofilebaSi ganxiluli modelebi ZiriTadad
orientirebulebi iyvnen sistematur riskis marTavze.
arasistematuri riski, e.i. cakleul finansur instrumentTan
dakavSirebuli riski, kontrolirdeboda portfelis
divesifikaciaze damatebiTi SezRudvebis dawesebiT.
arasistematuri riskis marTvisadmi yvelaze gavrcelebuli midgoma
efuZneba portfelis aRweras maxasiaTeblebiT saSualo
Semosavlianoba da Semosavlianobis dispersia (mean-variance
amalysis). optimaluria is portfeli, romelsac gaaCnia mocemuli
dispersiis donis dros yvelaze maRali Semosavlianoba da riskis
mocemuli donis dros yvelaze dabali Semosavlianobis dispersia.
portfelis mdgenebi SeiZleba iyvnen fiqsirebuli Semosavlianobis
mqone instrumentebi da aqciebi. portfelis optimizaciis
ganxiluli midgomis fuZemdebelia nobelis premiis lauriati g.
markovici.
imisaTvis rom CavweroT optimizaciis Sesabamisi amocana,
SemoviRoT Semdegi aRniSvnebi:
Q _ finansuri instrumentebs Soris kovariaciebis matrica
{q ij }, i, j  I ;
i _ i -uri finansuri instrumentis mosalodneli
Semosavlianoba i  I ;
 p _ portfelis moTxovnili saSualo Semosavlianoba;
xi _ i -uri tipis instrumentebisagan Sedgenili portfelis wili,
iI .
im situaciaSi portfelis formireba roca daSvebulia
SeuzRudavi sesxebebi, xorcieldeba optimizaciis Semdegi amocanis
amoxsnis gziT:
1
M 1 : min
xi , jI 2

iI jI
q ij xi x j ,

 x
iI
i i  p ,

x
iI
i  1.

optimizaciis kriteriums warmoadgens portfelis

Semosavlianobis dispersia. M 1 amocanis amoxsna SeiZleba miviRoT
585
analitikuri gziT optimalurobis pirveli rigis pirobebis
gamoyenebiT:
x *  Q 1e  Q 1  ,
sadac e _ aris veqtori, romlis yvela komponenti erTis
tolia;
 _ finansuri instrumentebis Semosavlianobis maTematikuri
molodinis veqtori,   ( 1,  2 ,...,  I ) T ;
 ,  _ M 1 amocanis SezRudvebis Sesabamisi lagranJis mamravlebi.
Tu finanasuri instrumentebis mokle gayidvebi akrZalulia,
maSin M 1 amocanaSi emateba xi  0, i  I SezRudva. am SemTxvevaSi
optimizaciuri amocanis amosaxsnelad gamoiyeneba ricxviTi
meTodebi.
 p -s sxvadasxva mniSvnelobisaTvis amocanis amoxsna iZleva
portfelebis simravles, romelTagan TiToeuli xasiaTdeba
saSualo Semosavlianobis da Semosavlianobis dispersiis
ganszRvruli mniSvnelobebiT. Tu avagebT damokidebulebas
saSualo Semosavlianobasa da Semosavlianobis saSualo
kvadratul gadaxras  p Soris optimizirebuli portfelebisaTvis,
maSin miviRebT mruds, romelic warmodgenilia nax. 8.1-ze.
AB Amrudis monakveTis wertiliT warmodgenili TiToeuli
portfelisaTvis, arsebobs portfeli imave sSualokvadratuli
gadaxriT da meti saSualo SemosavlianobiT, romelsac Seesabameba
wertili BC monakveTze. amgvarad, BC mrudis monakveTi warmoadgens
saukeTeso portfelebis simravles, an, rogorc amboben, efeqtur
simravles.
ori X da Y portfelidan, romlebic BC monakveTs ekuTvnian,
Tu X Y -ze misaRebia saSualo Semosavlianobis TavlsazrisiT,
maSin Y X -ze ukeTesia dispersiis mixedviT da piriqiT. efeqturi
simravlidan portfelis arCeva damokidebulia investoris riskis
mimarT damokidebulebaze. imisTvis, rom ganvsazRvroT kontretuli
investoris riskis mimarT damokidebuleba, gamoiyeneba e.w.
gulgrilobis mrudebi (indifference curves). gulgrilobis mrudebis
magaliTi warmodgenilia nax. 8.2-ze.
yvela portfeli, romelic erT mrudzea erTnairad awyobs
invetors. invetors gaCnia ususrulo simravle erTmaneTis
paraleluri gulgrilobis mrudebisa. Tu gulgrilobis mrudi
586
amozneqilia, maSin investori mzadaa wavides riskis gazrdaze
mxolod im SemTxvevaSi, Tu es gazrdis saSualo Semosavlianobas.
aseT investors uwodeben riskisadmi aramidrekils (risk-averse).

imisaTvis, rom airCios efeqturi simravlidan yvelaze

Sesaferisi portfeli, investorma unda gamosaxos grafikze Tavisi
gulgrilobis mrudebi efeqturobis simravlesTan erTad. yvelaze
saukeTeso portfeli Seesabameba wertils, romelSic
gulgriloebis mrudi exeba efeqtur simravles (nax.8.3).
urisko finansuri instrumentebis arsebobisas ganxiluli
amocana SeiZleba gamartivdes. buijeturi SezRudva  xi  1 SeiZleba
iI

moixsnas, ramdenadac darCenili saxsrebis investireba yovelTvis

SesaZlebelia urisko instrumentebSi.
garda amisa SeiZleba moxdes urisko instrumentebis gayidva
sxva instrumentebSi investiciebis dafinansebisaTvis. optimizaciis
Sesabamisi amocanis dasmas aqvs Sedegi saxe:
1
M2 : min
xi , jI 2

iI jI
q ij xi x j ,

 (
iI
i  r ) i xi  p  r .

sadac r _ urisko instrumentis Semosavlianoba.

587
 M2 amocanis analitikuri amoxsna Caiwereba Semdegi saxiT
x *  Q 1 (   re) ; urisko instrumentebSi investiciebis moculoba
Seadgens x0*  1  ex * .
SeiZleba vaCvenoT, rom urisko instrumentebis gamoyenebisas
opitmizirebuli ori portfelis kombinacias warmoadgens: riskiani
instrumentebisagan da urisko instrumentebisagan Sedgenil
optimalur portfelebs. portfelis sxvadasxva moTxovnil  p
Semosavlianobebs Seesabameba dabandebebis sxvadasxva ganawileba

588
riskiani instrumentebis da urisko instrumentebis optimalur
portfelebs Soris.
avRniSnoT M1 da M2 optimizirebis medelebisTvis ori
mniSvnelovani SezRudva. orve modeli akontrolebs portfelis
arasistemur risks da ar iTvaliswinebs sistemur sabazro risks.
Tu ganvixilavT i -uri finansuri instrumentis regresiis  i
koeficients bazris indeqsze, maSin portfelis sabazro riski
SeiZleba SeizRudos damatebiTi SezRudvis Semotanis gziT:
  i xi   p ,
iI
(8.6)

sadac p - bazris indeqsze mTeli portfelis regresiis

koeficientis moTxovnili sididea.
meores mxriv, M 1 da M 2 modelebi efuZneba daSvebas imis
Sesaxeb, rom gamoyenebuli riskiani finansuri instrumentebis
Semosavlianobebs aqvT erToblivi normaluri ganawileba. am
SemTxvevaSi portfelis Semosavlianobasac normaluri ganawileba
aqvs da mTlianad aRiwereba Tavisi maTematikuri molodiniT da
dispersiiT. ganxiluli daSveba misaRebia im SemTxvevaSi, roca
riskiani istrumentebis saxiT gamoiyeneba aqciebi.
Semosavlianobebis normaluri ganawilebis daSveba ar
sruldeba arawrfivi instrumentebisaTvis, magaliTad, ofciuri
kontraqtebisTvis. or portfels SeiZleba hqondes erTnairi
saSualo da dispersia sruliad sxvadasxva Semosavlianobis
ganawilebis simkvriveebisaTvis (nax. 8.4). cxadia, rom portfeli `b~
ufro mimzidvelia investorisaTvis, roimelic dainteresebulia
Semosavlianobis garkeveuli donis uzrunvelyofiT. amitom M 1 da
M2 modelebi araa misaRebi im portfelebisaTvis, romlebis
ofcionebs Seicaven.
arawrfivi instrumentebis portfelebis optimizacia ufro
xSirad xorcieldeba sargeblinobis funqciis gamoyenebiT.

589
 8.3.2 mosalodneli sargeblianobis Teoria
sargeblianobis Teoria Seiswavlis adaniamTa upiratesobebs
arCevis da gadawyvetilebis miRebis sferoSi. investorisaTvis
mogebis sargeblianoba zogad SemTxvevaSi sargebelis porporciuli
araa. arsebobs, magaliTad, siWarbis efeqti, romlis Sedegadac
didi, magram mniSvnelobis mixedviT sxvadasxva sargebeli mcirediT
gansxvavdebian investoris upiratesobis TvalsazrisiT. meores mxriv
mcire zaralic (uaryofiTi mogeba) ki mtkivneulad aRiqmeba
investoris mier. zaralis miRebis SemTxvevaSi investoris `wuxili~
ufro mniSvnelovania, vidre misi `kmayofileba~ igive absoluturi
mniSvnelobis mogebis SemTxvevaSi. garkveul pirobebSi
investorebis upiratesobebi SeiZleba warmodgenili iyos funqciis
saxiT.
im SemTxvevaSi, roca saubaria SemTxveviT sidideebze,
upiratesobaTa formalizaciisaTvis gamoiyeneba mosalodneli
sargeblianobis (expected utility) koncefcia. mosalodneli
sargeblianobis Teoriis fuZemdebelebi arian amerikeli mecnierebi
fon naimani da morgenSteini.
investoris upiratesoba am koncefciis CarCoebSia
warmodgenili, Tu arsebobs aseTi funqcia u , rom ori SemTxveviTi
sididisTvis p da q sruldeba
E[u ( p )]  E[u ( q )] (8.7)

590
 mxolod da mxolod maSin, roca investorisaTvis SemTxveviTi
sidide p araa ufro cudi, vidre SemTxveviTi sidide q (utolobaSi
simbolo E aRniSnavs maTematikur lodins).
vTqvaT, aris ganxiluli SemTxveviTi sidideebis simravle,
romelTa mniSvnelobebs gansazRvravs miRebuli mogeba. erTi
SemTxveviTi sididis meoreze investoris upiratesobis aRsaniSnavad
sargeblianobis TeoriaSi iyeneben  niSans. simbolo  niSnavs
mkacr upiratesobas. SemTxveviTi sidideebis ekvivalentoba
aRiniSneba  simboloTi. upiratesobebis damokidebulebas ewodeba
tranzitiuli, Tu p  q da q  r -dan gamomdinareobs, rom p  r .
upiratesobebis damokidebulebas ewodeba sruli, Tu nebismieri ori
ganawilebisaTvis adgili aqvs p  q an q  p .
im SemTxvevaSi, roca SemTxveviTi sidideebis simravle R
sasrulia, investoris upiratesobis warmodgena yovelTvis SeiZleba
mosalodneli sargeblianobis saSualebiT. igive samarTliania Tu
R _ Tvladi simravlea. Tu R simravlis simZlavre Seesabameba
namdvil ricxvTa simZlavres, maSin zogagad es ase araa. fon
neimanis da morgenSteinis mier Camoyalibebuli iyo sami aqsioma,
romelTa Sesruleba aucilebeli da sakmarisia imisaTvis, rom
investoris upiratesoba warmodgenili iyos mosalodneli
sargeblianobis saSualebiT.
vTqvaT yvela SemTxveviTi sidide R -dan gansazRvrulia
mniSvnelobaTa erTidaimave simravleze.
aqsioma 1.  damokidebuleba tranzitulia da sruli.
aqsioma 2. yvela p,q,r  R da a  (0,1) -sTvis p  q -dan
gamomdinareobs, rom
ap  (1  a ) r  aq  (1  a ) r .
aq gamosaxulebebi aRniSnaven albaTuri ganawilebebis narevebs.
magaliTad, SemTxveviTi sidide SeiZleba miRebuli iyos
Semdegnairad. Tavidan xdeba gamocda ori SedegiT, romelTa
albaTobebi a da 1  a tolia Sesabamisad. pirveli Sedegis dros
xdeba SemTxveviTi p sididis generireba, xolo meoris dros _
SemTxveviTi q sididis. mocemul aqsiomas ewodeba damoukideblobis
aqsioma. misi azri imaSi mdgomareobs, rom investoris arCevani
ap  (1  a ) r da aq  (1  a ) r SemTxveviT sidideebs Soris ganisazRvreba misi

591
p da q SemTxveviT sidideebs Soris upiratesobaze
damokidebulebiT.
aqsioma 3. yvela p , q , r  R -sTvis , Tu p  q  r , arsebobs iseTi
a, b  (0,1) , rom ap  (1  a ) r  q  bp  (1  b) r .
es aris e.w. arqimedes aqsioma. Sinaarsobrivad is amtkicebs, rom
ramdenad `kargic~ ar unda iyos SemTxveviTi p sidide, nebismieri
p  q -sTvis moiZebneba iseTi didi a albaToba, rom ap  (1  a ) r  q .
umetesoba praqtikul SemTxvevSi 1-3 aqsiomebi sruldeba
realuri investoris upiratesobebisaTvis. arsebobs mTeli rigi
funqciebisa, romelic tradiciulad gamoiyeneba mosalodnel
sargebloanobis safuZvelze invetoris upiratsobis warmosadgenad.
am funqciaTa ricxvs miekuTvneba Semdegi kvadratuli funqciac:
br 2
u (r )  r 
, (8.8)
2
sadac r _ Semosavlianobaa. sargeblianobis kvadratuli
funqciis grafiki gamosaxulia nax. 8.5-ze. sargeblianobis
1
kvadratuli funqcia ganixileba r  pirobis dros, ramdenadac am
b
SezRudvis gareT kvadratuli funqcia mcirdeba r -is gazrdasTan
erTad. SeiZleba vaCvenoT, rom M 1 da M 2 modelebi aRweren
investoris qmedebas sargeblianobis kvadratuli funqciiT.
meore gavrcelebuli sargeblianobis funqcia –
eqsponencialuria:
u ( r )   e  , (8.9)
sadac c >0. am funqciis grafiki warmdgenilia nax. 8.6-ze.

592
 1960 wels greisonma gamoaqveyna mewarmeTa sargeblianobis
funqciebis agebis Sesaxeb gamokvelevebis Sedegebi. dadegnili iyo,
rom mraval SemTxvevaSi investoris upiratesoba kargad aRiwereba
sargeblianobis logariTmuli funqciiT. (nax.8.7):
u ( r )  log( r  b) , (8.10)
sadac r  b . avRniSnoT p –iT p SemTxveviTi sididis
maTematikuri lodini. sargeblianobis TeoriaSi investors ewodeba
riskisadmi aramidrekili (risk-averse), Tu is upiratesobas aniWebs
garantirebul p mogebis miRebas im latareaSi monawileobas,
romelic aRiwereba p SemTxveviTi sididiT. es niSnavs, rom
investorisaTvis p mogebis sargeblianoba ufro maRalia, vidre
latareaSi monawileobis sargeblianoba:
u ( p )  E[u ( p )] . (8.11)
damtkicebulia, rom riskisadmi aramidrekili investoris
sargeblianobis funqcia Cazneqilia (concave). Tu investori ar
warmoadgens riskisadmi aramidrekils, misi sargeblianobis funqcia
amozneqili (convex) iqneba. sargeblianobis kvadratuli,
eqsponencialuri da logariTmuli funqcia warmoadgebs
amozneqils. aqedan gamomdimare, es funqciebi warmoadgenen
riskisadmi aramidrekili investoris upiratesobas.

593
 latariis, romlis mogeba p SemTxveviTi sididea,
determinirebuli ekvivalenti ewodeba p sidides iseTs, romelis
drosac investori gulgrilia latareaSi monawileobasa da p -s
aucileblad miRebas Soris arCevanis mimarT. p -s sidide
ganisazRvreba tolobiT u ( p )  E[u ( p )] an
p  u 1 E[u ( p )] . (8.12)
latareaSi mosalodnel mogebasa da mis determinirebul
ekvivalents Soris sxvaobas uwodeben riskisaTvis namats:
H  p  p. (8.13)
sargeblianobis funqciis mniSvnelovan maxasiTebels
warmoadgens lokaluri riskisadmi aramidrekiloba, romlis zomad
aRebulia fardoba
 u * (r )
P (r )  . (8.14)
u (r )
damtkicebulia, rom ori sargeblianobis funqcia erTnairad
awesrigebs latareas maSin da mxolod maSin, roca maT erTidaimave
P ( r ) funqciamde mivyavarT. Tu P ( r ) dadebiTia yvela r -sTvis, maSin
u ( r ) amozneqilia, xolo gadawyvetilebis mimRebi piri _ riskisadmi
aramidrekilia.
ganvixiloT latarea, romlis mogeba aRiwereba r  h SemTxveviTi
sididiT, sadac r _ mudmivia, xolo h _ nulovani saSualos mqone
SemTxveviTi sidide, romelic iRebs mniSvnelobebs mniSvnelobaTa
SezRuduli intervalidan. avRniSnoT H ( r , h) –iT ganxiluli
latariis riskisaTvis namati. sargeblianobis TeoriaSi mtkicdeba,
594
rom lokaluri riskisadmi aramidrekilobis P funqcia klebadia,
mudmivia da zrdadi maSin da mxolod maSin, riskisaTvis H (r , h)
namati – Sesabamisad klebadi, mudmivi da zrdadi funqciaa r -is
mimarT nebismieri h -sTvis.
lokaluri riskisadmi aramidrekilobas sargeblianobis
kvadratuli funqciisaTvis Semdegi saxe aqvs:
b
P (r )  . (8.15)
1  br
1
r -sTvis P funqcia dadebiTia da zrdadi.
b
sargeblianobis eqsponencialuri funqciisaTvis –
c 2 e 
P(r )   c. (8.16)
ce 
lokaluri riskisadmi aramidrekiloba mudmivia da dadebiTi,
ramdenadac c  0 .
logariTmuli funqciis SemTxvevaSi sargeblianobas aqvs
Semdegi saxe:
1

P(r )  
r  b 2 
1
. (8.17)
1 r b
r b
ramdenadac r  b , P ( r )  0 yvela r -isTvis. ganxululi
sargeblianobis funqcia axasiaTebs investors klebadi riskisadmi
aramidrekilobiT.

8.3.3 ofcionebiT portfelis optimizacia

rogorc ukve aRiniSna, optimizaciis is modelebi, romlebic
operireben mxolod mosalodnel Semosavlianobaze da
Semosavlianobis dispersiaze, araa gamosadegari ofcionebiTi
kontraqtebis Semcveli portfelebisaTvis. karonom da ternerma
SemogvTavazes sargeblianobis iseTi funqcia, romlis maTematikuri
lodini SeiZleba gamoyenebuli iyos aseTi portfelebois
optimizaciis kriteriumis saxiT. avRniSnoT WT –iT portfelis max

Rirebuleba gansaxilveli drois ukanasknel momentSi. modelis

avtorebi ganixilaven SesaZlo arasasurvel efeqtebs
(embarrassments), romlebic SeiZleba warmoiSvas portfelis marTvis
Sedegad. aseTi arasasurveli efeqtis magaliTs warmoadgens
595
portfelis Rirebulebis daweva romeliRac cnobil kritikul
doneze dabla. amocanis aseTi dasma gansakuTrebiT aqtualuria im
SemTxvevaSi, roca investors gaaCnia pasuximgebloba im pasivebis
mixedviT, romlebic aucileblad unda Sesruldes. M k –iT
aRvniSnoT SemTxveviTi sidide, romelic axasiaTebs k –uri
arasasurveli efeqtisagan zarals. vTqvaT c k ( M k ) _ amozneqili
funqciaa, romelic gansazRvravs k –ur arasasurveli efeqtTan
dakavSirebul danakargis Rirebulebas. sargeblianobis funqcias
aqvs Semdegi saxe:
1
u  WTmax 

c
k
k (M k ) , (8.18)

sadac  _ investoris riskisadmi aramidrekilobis amsaxveli

koeficientia.
fiuCersebis da ofcionebis portfelisadmi midgoma, romelic
ar ukavSirdeba sargeblianobis funqciis gamoyenebas kriterumis
saxiT iyenebs portfelis mogebis maTematikuri lodinis maqsimums
ofcionuri kontraqtebis uaxloesi dafarvis momentisaTvis.
optimizaciis modeli moicavs uamrav SezRudvas, rimlebic
uzrunvelyofen misi mimdinare Rirebulebis mimarT portfelis
Rirebulebis araklebas im pirobiT, rom drois ukanasknel momentSi
sabaziso aqtivis Rirebuleba ekuTvnis miniSvnelobaTa mocemul
intervals.
8.3.4 meTodika SPAN
warmoebuli finansuri instrumentebis yidva-gayidvas Tan
axlavs kontragentis valdebulebebis Seusruleblobis riski.
imisaTvis rom Tavidan iqnas acilebuli es riski, sabirJo
praqtikaSi miRebulia aseTi instumentebis mixedviT gaTvlebi
yoveldRiurad xorcieldebodes, ara mxolod maTi dafarvis
momentSi. birJis sakliringo palata gaTvlebs axorcielebs
vaWrobis damTavrebisTanave. Semdegi vaWrobis dawyebamde bazris
monawileebma unda Sesarulon Sesabamisi gadaxdebi. TiToeuli
warmoebuli instrumentisaTvis savaWro dRis Sedegebis mixedviT
e.w. saangariSsworebo fasi (settlement price) ganisazRvreba. mis
safuZvelze fiuCersebisaTvis dairicxeba variaciuli marJa (variation
margin), romelic axasiaTebs portfelSi Semavali yvela fiuCersis
mixedviT dRiur mogebas an wagebas. grZeli (`nayidi~)
596
fiuCersisaTvis, romelic portfelSi erT dReze met xans imyofeba,
variaciuli marJa es aris sxvaoba dRevandel saangariSsworebo
fassa da wina savaWro dRis saangariSsworebo fass Soris. Tu
fiuCersi dResaa nayidi, maSin aiReba dRis saangariSsworebo fassa
da garigebis fass Soris sxvaoba. Tu grZeli fiuCersuli pozicia
daxuruli iyo savaWro dRis ganmavlobaSi, maSin garigebis fasidan
unda gamoiricxos guSindeli dRis saangariSsworebo fasi. dRis
ganmavlobaSi vaWrobisas (inraday) variaciuli marJa – es aris
grZeli fiuCesrsuli poziciis mixedviT daxurvis fassa da gaxsnis
fass Soris sxvaoba. fiuCersis mixedviT mokle poziciis
SemTxvevaSi (`gayiduli~ fiuCesi) yvela CamoTvlili sxvaoba
Sebrunebuli niSnis iqneba.
ofcionebisaTvis iangariSeba e.w. salikvidacio Rirebuleba
(option liquidation value). ofcionis salikvidacio Rirebuleba aris
fulis is raodenoba, romelis gadaxdac saWiroa ofcionebis
mixedviT poziciis dasaxurad. mocemuli Tanxis deponireba xdeba
investoris mier specialur angariSze giraos erT-erT mdgenis
saxiT. salikvidacio Rirebulebis gaangariSebisas ofcionebis
mixedviT grZeli poziciebis fasebi `minus~ niSniT iReba, xolo
mokle poziciebisa - `plus~ niSniT. sxva sityvebiT, ofcionebis
gayidva migviyvans mocemuli ofcionis saangariSsworebo fasis
odenobiT salikvidacio Rirebulebis gazrdamde. piriqiT,
ofcionuri kontraqtebis yidva Seamcirebs portfelis
salikvidacio Rirebulebas Sesabamisi sididiT.
variaciuli marJis gadaxda da portfelis salikvidacio
Rirebulebis deponireba faravs defoltis risks, magram am
gadaxdebis mixedviT gaangariSebebi dReSi mxolod erTxel xdeba.
imisaTvis, rom gaTvaliswinebuli iyos portfelis Rirebulebis
SesaZlo dRiuri rxevebi, salikvidacio Rirebulebis sidides
emateba e.w sawyisi marJa (inirial matgin). variaciuli marJis,
salikvidacio Rirebulebis da sawyisi marJis Tanxa gansazRvravs
fiuCersebis da ofcionebis portfelisaTvis saWiro giraos (net
margin) sidides. rogorc wesi, birJa uflebas iZleva mocemuli
girao Setanili iyos fuliT an fasiani qaRaldebiT, amasTan
TiToeuli saxis fasiani qaRaldisaTvis ganisazRvreba maTi

597
mimdinare sabazro Rirebulebis ra maqsimaluri wili SeiZleba
iqnas gamoyenebuli sagiravno valdebulebebis dafaravad.
sawyisi marJis gaangariSeba ufro rTulia, vidre salikvidacio
Rirebulebis da variaciuli marJis gansazRvra. gamoTvlis
procedura emyareba ofcionebis faswarmoqmnis modelebs (bleq-
Soulzis, bleqis da kokis-rosis-rubenSteinis) da iTvaliswinebs
fiuCersebis da ofcionebis urTierTdamokidebulebas. sxvadasxva
dros mravalma msxvilma birJam SeimuSava sawyisi marJis
gaangariSebis sakuTari meTodi. 1988 wels Cikagos savaWro birJam
(Chicago Mercantile Exchange - CME) SeimuSava da daafuZna sawyisi
marJis gaangariSebis sistema, romelmac SPAN -is (Standard portfolio
Analysys of Risk) saxelwodeba miiRo. SPAN meTodika farTod
gavrcelda da amJamad araoficialur standartad iqca. axla
praqtikulad msoflios yvela msxvili birJa iyenebs am meTodikas.
SPAN iTvlis kliringuli wevrebis, wevr-brokerebis da sajaro
momxmareblebis giraos. bazris monawileTa portfelebi SeiZleba
moicavdes fiuCersebs da indeqsebze da saqonelze ofcionebs,
ofcionebs fiuCesul kontraqtebze, ofcionebs aqciebze.
SPAN meTodikis ZiriTad daniSnulebas portfelis fiuCersebis
da ofcionebis sawyisi marJis gansazRvra warmoadgens. sawyisi
marJis sidide gamoiTvleba rogorc portfelis Rirebulebis is
maqsimaluri danakargi, romelic SeiZleba moxdes erTi savaWro
dRis ganmavlobaSi. amasTan is birJa, romelic SPAN meTodikas
iyenebs, TviTon adgens, danakargebis romeli wili dafaros sawyisma
marJam. Cveulebriv SPAN -s patametrebis iseTnairad dgindeba, rom
sawyisma marJam dafaros 95-dan 99%-mde dRiuri danakargebi drois
ukanaskneli istoriuli monakveTis ganmavlobaSi.
faswarmoqmnis standartuli modelebi moicavs sam faqtors,
romelic gavlenas axdens ofcionos Rirebulebaze. esenia sabaziso
aqtivis Rirebuleba, misi fasis volatiloba da dafarvamde dro.
SPAN ganixilavs sabaziso aqtivis fasebis SesaZlo cvlilebis da
misi savaraudo volatilobis scenarebs. birJa adgens am
parametrebis SesaZlo cvlilebebis intervalebs. sul miRebuli 16
scenaris ganxilva.
birJis kliringuli palata iTvlis danakargs (an mogebas)
TiToieuli scenaris Sesabamis yoveli warmoebuli instrumentis

598
seriisaTvis. gamoTvlebi xorcieldeba instrumentebis mixdviT
grZeli poziciebisaTvis. Semajamebel cxrilebs miRebulia ewodos
riskis masivebi (risk arrays). Tumca fiuCersis kursi araa
damokidebuli volitilobis sidideze, erTgvarovnebisaTvis
fiuCersebisaTvis sarisko masivebi zustad iseve formdeba, rogorc
masivebi ofcionebisaTvis. sarisko masivebi gamoTvleba
yoveldRiurad finansuri instrumentebis saangariSsworebo fasis
safuZvelze da waredgineba investorebs failebis saxiT (risk
parameter files). riskis masivebis garda es failebi Seicaven
saangariSsworebo fasebs, spredis mixedviT ganakveTebs da giraos
gamoTvlisaTvis saWiro sxva parametrebs. nebismieri portfelis
sawyisi marJis gamoTvla amgvarad momzadebuli parametrebis
gamoyenebiT daiyvaneba ariTmetikuli operaciebis martiv
mimdevrobaze.
sawyisi marJis gamoTvlis pirvel bijze ganisazRvreba e.w
skanirebis riskis (scanning risk) sidide. amisaTvis Tavdapirvelad
gamoiTvleba 16 scenaridan TiToeulisaTvis kontraqtis mixedviT
danakargebi. am dros sarisko masivis elementebi mravldeba
Sesabamisi poziciebis sidideebze (mokle pozicebis sidideeeb
aiReba `minus~ niSniT). skanirebis riski ganisazRvreba rogorc
miRebuli 16 ricxvisagan da nulisgan maqsimaluri.
SPAN meTodikaSi fiuCersis mimdinare Rirebulebebis cvlileba
ganixileba rogorc sabaziso aqtivis spot-fasis cvlileba.
fiuCersis mixedviT grZeli poziciis RirebulebaSi aseTi
gauxeSebuli cvlilebisas mTlianad ifareba Sesrulebis sxva vadis
mqone fiuCersis mixedviT mokle poziciis RirebulebaSi
cvlilebebiT. ramdenedac sinamdvileSi es ase araa, portfelis
sawyisi marJis gamoTvlaSi CarTulia damatebiTi sidideebi,
romlebic axasiaTeben fiuCesruli spredis risks. sawyisi marJis am
mdgenebis gamoTvlisaTvis gamoiyeneba e.w. `kompozitiuri delta~.
Cveulebriv `delta maCvenebeli – es aris sabaziso aqtivis fasis
mixedviT instrumentis Rirebulebis warmoebuli. amis gamo SPAN
sistemaSi fiuCersebis fasis cvlileba ganixileba rogorc spot
fasis cvlileba, fiuCersebis mixedviT grZeli poziciebis delta
yovelTvis 1-is tolia. ofcionebis delta mdebareobs -1-dan 1-mde
sazRvrebSi. kompizituri delta – es aris SPAN -Si ganxiluli
599
yvela scenaris albaTobebis mixedviT saSualoSewonili delta.
SevniSnoT, rom spredisaTvis Senatani gamoiTvleba zogierTi saxis
ofcionsaTvisac, magaliTad fiuCesrebze ofcionebisaTvis da
FTSE  100 indeqsze evropuli ofcionebisaTvis.
dadebuli fiuCersuli kontraqtis Sesabamisad saqonlis
miwodebis vadis moaxloebisas izrdeba defoltis riski, romelic
provocirdeba fasebis rxeviT. es faqtori aseve gaTvaliswinebulia
SPAN sistemaSi, amasTan sawyisi marJis Sesabamis mdgens uwodeben
mimdinare TveSi miwodebisaTvis Senatans (spot month charge/delivery
charge).
instrumentebis zogierTi saxe, romlebsac safuZvlad udevT
erTidaigive sabaziso aqtivi, SeiZleba ganixilebodes rogorc erTi
mTliani sagiravni moTxovnis SPAN meTodikiT gamoTvlisas.
magaliTad, FTSE  100 indeqsze evropuli da amerikuli ofcionebi
ganixileba rogorc erTi mTliani SPAN sistemaSi gamoTvlis yvela
bijze. am Tvisebis matarebel warmoebuli instrumentebis
simravles SPAN -Si ewodeba instrumentebis klasi (combined
commodity). skanirebis riskis gamoTvla SPAN -is pirvel bijze
TiToeuli klasisTvis xorcieldeba calke portfelSi Semavali
instrumentebis mixedviT.
Tu ori sxvadasxva klasis instrumentis fasebi erTmaneTTan
korelirebulebi arian, maSin erTi instrumentis mixedviT danakargi
SeiZleba dakompensirdes meore poziciis mixedviT mogebiT.
amgvarad, portfelis jamuri riski aRmoCndeba am klasis
instrumentebis mixedviT riskebis jamze naklebi. imisaTvis, rom
gaTvaliswinebuli iyos sagiravno miTxovnebis Sesabamisi
Semcirebebi, SPAN sistemaSi ganixilebs e.w. `sxvadsxva klasis
instrumentebs Soris spredis gamo fasdakleba~ (inter commodity spred
credits). spredebi formirdeba im instrumentebs Soris, romelebic
sxvadasxva klasebs miekuTvnebian. erTi klasis instrumentebisaTvis
sagiravno moTxovnis saerTo Semcireba ganisazRvreba rogorc im
fasdaklebebis jami, romelebic warmoSobilia yvela sxva klasis
mier am klasisaTvis.
SPAN meTodikis Sesabamisad, yovel mokle ofcions unda
Seesabamebodes sawyisi marJis raRac minimaluri done. portfelis
TiToeuli instrumentebis klasis mixedviT sawyisi marJa ar
600
SeiZleba iyos am klasis yvela mokle ofcionis mixedviT
minimaluri ganakveTebis jamze naklebi. Tu es piroba ar sruldeba,
maSin am kontraqtebis klasis mixediT sawyisi marJis saxiT airCeva
portfelSi arsebuli am klasis yvela mokle ofcionis mixedviT
ganakveTebis jami.
ganxiluli bijebis Sesrulebis Semdeg TiToeuli klasis
instrumenTisaTvis sawyisi marJa SPAN -Si ganisazRvreba skanirebis
riski sididis, mimdinare TveSi miwodebisaTvis Senatanis da am
klasis instrumentebis Soris spredisaTvis Senatanis Sejamebis
gziT. am Tanxidan gamoiqviTeba sxvadasxva klasis instrumentebs
Soris spredis gamo yvela fasdakleba, romlebic ganxiluli
klaszea daricxuli. miRebuli sidide dardeba mocemuli klasis
ofcinebis mixedviT mokle poziciebis mixedviT minimaluri
giraoebis Tanxas. instrumentebis klasis sawyis marJad aiReba
Sesadarebeli ricxvebidan udidesi. portfelis sawyisi marJa aris
TiToeuli im klasis instrumentis sawyisi marJebis mniSvnelobaTa
jami, romlebic warmodgenilia portfelSi.

8.4 protfelis dinamiuri optimizacia

8.2 da 8.3-Si ganxiluli oprimizaciis modelebi ar
iTvaliswineben portfelis samomavlo restruqturizaciis
SesaZleblobas, e.i. erTperiodianebs warmoadgenen. portfelis
imunizaciis teqnika varaudobs portfelis sruqturis koreqcias
riskis faqtorebis sididis cvlilebisas. portfelis
restruqturizacia dakavSirebulia transaqciur xarjebTan,
romelTa erToblivi sidide damokidebulia restruqturizaciis
sixSireze, e.i. riskis faqtorebis volatilobaze. es garemoeba,
romelic mniSvnelovan gavlenas axdens portfelis marTvis
Sedegebze, ar SeiZleba gaTvaliswinebuli iyos erTperiodiani
modelis CarCoebSi.
diversifikaciebis modelebi, romlebic cakleuli finansuri
riskebis gakontrolebis saSualebas iZlevian, aseve mniSvnelivnad
ver gaZliardebian portfelis momavali restruqturizaciis
SesaZleblobis gaTvaliswinebis gziT. magram, amasTan, portfelis
Semosavlianobebis ganawileba gansxvevebuli aRmoCndeba
normalurisagan da SeuZlia hqondes mniSvnelovani eqscesi, rac

601
saSualebas ar iZleva SemovifargloT portfelis saSualos da
Semosavlianobis dispersiis analiziT. am situaciaSi
mizanSewonilia gamoyenebuli iyos portfelis optimizaciisaTvis
Sesaferisi saxis sargeblianobis funqcia.

8.4.1 aqtivebis da pasivebis marTvis modeli ( ALM )

finansuri insrumentebis portfelis momavali
restruqturizaciebis gamTvaliswinebeli modelis asagebad iyeneben
midgomas, romelic efuZneba mravalbijian stoqastur
programirebas (Multystage stochastic programming). am midgomam miiRo
`aqtivebis da pasivebis marTvis~ (asset and liability management - ALM)
saxelwodeba.
ALM koncefcia varaudobs, rom portfelis mdgomareoba
ganixileba drois fiqsirebul t  {1,2,..., Tmax } momentebSi. pirveli
momenti Seesabameba mimdinare TariRs; drois bolo Tmax moments
uwodeben dagegmvis horizonts. rogorc wesi, ramdenime pirvelad
SerCeuli momentebi erTmaneTTan axlos mdebareoben, vidre
danarCenebi. magaliTad, SeiZleba SerCeuli iyos drois Semdegi
momentebis simravle: mimdinare dRe, mimdinare Tvis bolo, mimdinre
kvartlis bolo, mimdinare wlis bolo, xuTwledis bolo.
drois TiToeul t  {1,2,..., Tmax  1} momentebSi investori iRebs
portfelis struqturasTan aseve mis finansur miznebTan
dakavSirebul gadawyvetilebas. arsebobs ganusazRvrelobis
faqtorebi, romlbmac SeiZleba miiRon SemTxveviTi mniSvneloba
drois TiToeul t  {1,2,..., Tmax } momentebSi. am faqtorebs miekuTvnebian
finansuri instrumentebis Semosavlianobebi, saprocento
ganakveTebi, valutis kross-kursebi, saxsrebis Semosulobebi da
finansuri insrumentebis mixedviT gadaxdebi. ALM modelSi xdeba
SemTxveviTi faqtorebis cvlilebebis scenarebis generireba,
romelTac xisebri sturqtura gaaCniaT (nax. 8.8).
scenarebis generacia – Zalian mniSvnelovani aspeqtia aqtivebis
da pasivebis marTvis modelSi, romelzedac aris damokidebuli
optimizaciis Sedegebis adekvaturoba. optimizaciis dros
gamoyenebuli scenarebi ar ganixileba momavali prognozis
sukeTeso saSualebad. magram scenarebis SerCeulma simravlem
obieqturad unda asaxos ekonomikuri situaciis SesaZlo momavali
602
cvlilebebi, gaiTvaliswinos yvela SesaZlo garemoeba, romelbmac
SeiZleba gavlena iqonion portfelis dinamikaze. rogorc wesi,
scenarebis generirebisaTvis muSavdeba strategiuli modeli,
romelic istoriul monacemes eyrdnoba. garda amisa, SesaZlebelia
eqspertuli informaciis gamoyenebac. ukanasknel SemTxvevaSi
eqsperti awesebs drois TiToeul t  {1,2,..., Tmax } -idan momentisaTvis
riskis faqtorebis mniSvnelobebis albaTobebs an uSualod iZleva
romeliRac scenars.

scenarebis generaciis modeli unda iTvaliswinebdes ganxiluli

ekonomikur cvladebs Soris damokidebulebas. magaliTad,
obligaciebis mixedviT mogeba SeTanxmebuli unda iyos Sesabamis
saprocento ganakveTebis donesTan. scenarebis simravlis mimarT
mniSvnelovan moTxovnas warmoadgens arbitraJuli SesaZleblobebis
ar arseboba. Tu es moTxovna ar sruldeba, maSin optimizaciis
Sedegad miiReba portfeli, romelic orientirebulia SerCuli
scenarebis simravlis SemTxveviT efeqtebze.
scenarebis generaciis albaTuri modeli unda iTvaliswinebdes
istoriuli monacemebis statistuikur Taviseburebebs, kerZod
ganawilebaSi mZime `kudebs~. aqciebis Semosavlianobebs aqvT mZime
`kudebi~, romlebic kargad aRiwereba freSes modeliT
(ganzogadebuli gama-ganawileba   1 parametriT). jekverTma da
rubinSteinma SeimuSaves ganawilebis kudebis Sesaxeb bazris

603
warmodgenisaTvis Sefasebis meTodi drois erTidaimave momentSi
sxvadasxva Sesrulebis fasis mqone ofcionebis kotirebis
safuZvelze. S & P500 indeqsisaTvis am meTodis gamoyenebam aCvena am
indeqsis momavali SesaZlo mniSvnelobebisaTvis `mZime~ `kudebis
maRali xarisxi.
portfelis marTvis TiToeul nabijze ganusazRvrelobis
faqtorebis mniSvneloba gavlenas axdenen Sesabamisi sainvesticio
gadawyvetilebis arCevaze. amocanis amoxsnis dros
gaTvliswinebulia saxsrebis Semodinebac da aseve aucilebeli
gadaxdebic. avRniSnoT portfelSi x sj ,t –iT j –uri instrumentis
jamuri Rirebuleba drois t momentSi s -uri scenaris realizaciis
SemTxvevaSi.B x sj ,t sidide dadebiTia instrumentis yidvis SemTxvevaSi
da uaryofiTi misi gayidvis dros.
portfelis optimizaciis dinamiur modelSi aucileblad unda
iyos ori ZiriTadi gantoleba. finansuri instrumentis mixedviT
poziciis RirebulebamUunda daakmayofilos Semdegi Tanafardoba:
x sj ,t 1  x sj ,t (1  r js,t )  p sj ,t (1  k sj ,t )  q sj ,t (1  k sj ,t ) j , t , s , (8.19)
sadac r js,t - j instrumentis mixedviT t –dan t  1 -mde periodis
ganmavlobaSi saprocento ganakveTia;
p sj ,t - j instrumentis gayidvaa;
q sj ,t - j instrumentis yidvaa;
k sj ,t - finansuri instrumentebiT operaciebis transaqciuri
xarjia.
vTqvaT, u ts _ aris t momentSi s scenaris realizaciis dros
saxsrebis Semodinebasa da gadinebas Soris sxvaoba. naRdi fuladi
sasxrebis nakadisaTvis unda Sesruldes toloba:
x0s,t 1  x 0s,t (1  r0s,t )   p sj ,t (1  k sj ,t )   q sj ,t (1  k sj ,t )   v sj ,t  u ts t , s (8.20)
j j j

sadac x s
0,t 1 da x s
0 ,t _ drois t  1 da t momentebSi naRdi sasxrebis
raodenoba Sesabamisad;
v sj ,t _ j -uri instrumentis mixedviT drois t momentSi gadaxdebia
(maT miekuTvnebaT, magaliTad, obligaciebis mixedviT kuponuri
gadaxdebi, aqciebis mixedviT dividendebi, procentebis gadaxdebi da
kreditebis dafarva).

604
 ramdenadac scenarebis nakrebs xismagvari stuqtura aqvs, amitom
unda Sesruldes aseve Semdegi damokidebuleba
x sj ,t  x sj ,t j
1 2
(8.21)
nebismieri ori s1 da s2 scenarisaTvis romlebic erTmaneTs
emTxvevian t momentis bolomde.
ALM modelSi portfelis optimizaciis amocanis miznis saxiT,
rogorc wesi, aiReba (8.18) saxis sargeblianobis funqciis
maTematikuri lodinis maqsimumi, sadac WT _ portfelis
max

Rirebulebaa dagegmvis horizontis bolos. am funqciis mniSvneloba

damokidebulia cvladebze, romlebic warmoadgenen momavalSi
drois sxvadasxva SerCeul momentSi investoris gadawyvetilebas.
sxvadasxva scenarebis ganxorcielebis albaTobebis gamoyenebiT,
SeiZleba amocanis detemirebulamde dayvana. drois ganxiluli
raodenobis gazrdiT amocanis cvladebis ricxvi eqsponencialurad
izrdeba.
paragraf 8.2 da 8.3-Si ganxiluli riskebis marTvis meTodebi
aseve gamoiyeneba ALM modelis CarCoebSic. portfeli SeiZleba
imunizirebuli iyos riskis romelime faqtoris cvlilebis mimarT,
amasTan misi qceva unda akmayofilebdes drois t  {1,2,..., Tmax }
momentebSi mocemul moTxovnebs. am SemTxvevaSi saubaria scenarul
imunizaciaze. dinamikuri modelis CarCoebSi SeiZleba
gaTvaliswinebuli iyos transaqciuri xarjebi, romlebic saWiroa
riskis faqtoris mimarT portfelis imunizaciisaTvis. ALM -s
amocanebis amoxsna uzrunvelyofs arasistemuli riskebisagan
dacvisaTvis portfelis aucilebel diversifikacias. amasTan
SesaZlebelia maregulirebeli organoebis SezRudvebis, sabegaro
gadaxdebis gaTvliswineba, zemdgomi organoebis keTili neba.
ALM -s amocanis amoxsnis meTodebi SeiZleba daiyos sam jgufad.
pirvel maTgans Seadgens pirdapiri algoriTmebi, romlebic,
ZiriTad, dafuZnebulia Sida wertilebis meTodebze. meore jgufs
miekuTvneba bendersis dekompoziciaze dafuZnebuli meTodebi. mesame
jgufis meTodebi emyareba gafarTovebul lagranJianebs. yvela
algoriTmi iyenebs gadarCevis SemcirebisaTvis scenarebis xismagvar
struqturas. amJamad SesaZlebeli xdeba ALM -s amocanebis amoxsna,
romelic Seicavs 10 000 scenarze mets. mTavaria, rom amoxsnis
drois damokidebuleba scenarebis ricxvze aRmoCndes wrfivi.
605
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