Quan Tri Rui Ro Ngan Hang

8/2/2019 Quan Tri Rui Ro Ngan Hang

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RI RO TN DNG TRONG

HOT NG KINH DOANH

NGN HNG

HC VIN NGN HNGKHOA NGN HNG


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Ni dung chng trnh

Bui 1: Khi nim v cc nh hng ca RRTD

Cc ch tiu tnh ton RRTD Nguyn nhn gy ra RRTD (khch quan)

Bui 2 :

Nguyn nhn gy ra RRTD (ch quan) Qun tr RRTD (trit l chin lc chnhsch)


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Ni dung chng trnh Bui 3.

Cc du hiu nhn bit RRTDNhng tnh hung c bit !!!!!!!!

o lng RRTD khch hng c nhndoanhnghip

Bui 4: S dng cng c phi sinh phng nga

v hn ch Gii thiu cc cng c phi sinh S dng cng c hon i, cng c quyn chn, cng

c tng lai

Nghin cu cc tnh hung


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Ni dung chng trnh

Bui 5: Cc bin php phng nga ri ro tn dng khc

Cc bin php x l RRTDNghin cu cc tnh hung


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Nhng vn c bn v RRTD

Khi nim RRTD

Cc loi RRTD

nh hng ca RRTD i vi hot ng NH

Cc ch s nh gi RRTD

Nguyn nhn gy ra RRTD Cc du hiu nhn bit RRTD


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Tnh trng kh x ca khon vayT xa, nhng ngi chovay lun i hi nhng

bo m chc chn cho s

hon tr n vay. Kh khn lmc d h c quyn ng kkhi thng lng trc khik hp ng cho khon vay,

nhng ngi vay th c lihn mt khi tin c giingn.


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Ri ro tn dng l g? Khon l tim tng vn c c to

ra khi ngn hng cp tn dng

Nhng thit hi, mt mt m NH

gnh chu do ngi vay vn hayngi s dng vn khng tr nghn, khng thc hin ng ngha vcam kt trong hp ng TD v bt k

l do g


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Cc loi RRTD v nh hng

Ri ro ng vn

Ri ro mt vn

nh hng n KH s dng vn

Gy cn tr v kh khn cho vicchi tr ngi gi tin

Tng chi phNQH v n kh i

Chi gim st

Chi ph php lCF gim st VTDgim

DT chm li hoc mt

Kh nng SL gim Mt gc

Thc hin d tr


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Phi thc hin nhiu khon cho vay mi

to thu nhp thay th cho vn gc mtS tin cho vay ban u 3000

Thi hn cho vay tnh theo tun 46

S tr n hng tun 75

Thu n thc t (14 tun) 1050

S n kh i (32 tun) 2400

Tng s thu b mt 2400

Thu t li b mt 312

N gc b mt 2088

Thu nhp kim t mi khon vay 1000 cho 46 tun 150

S mn vay cn thit b p khon vay mt 2400/150 =16khon vay 1000


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Cc ch s nh gi RRTD

Tnh hnh n qu hn

T l NQH =S d NQH

Tng d n

T l KH c NQH = S KH qu hn

Tng s KH c d n


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N qu hn!!!

N qu hn l thc o

quan trng nht nh gis lnh mnh th ch. Ntc ng ti tt c cc lnhvc hot ng chnh cangn hng


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Cc ch s nh gi RRTD

Tnh hnh RR mt vn

T l d phng RRTD =D phng RRTD c trch lp

D n cho k bo co

Mt vn xa cho k bo coT l mt vn =

D n trung bnh cho k bo co


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Cc ch s nh gi RRTD

Kh nng b p ri ro

D phng RRTD c trch lp

HS kh nng b p cc khon

CV b mt

D phng RRTD c trch lp

D n b tht thot

HS kh nng b p RRTD =NQH kh i

=


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Ti sao ngn hng cn thu n nhanh chng v kp thi

365

ngy

240 ngy

120 ngy

90 ngy

60 ngy

30 days

89%

10%

50%

70%

80%

95%

0 100 200 300 400

# ngy qu hn T l hon tr


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Cc nguyn nhn gy ra

RRTDNguyn nhn khch quan

Nguyn nhn t phangn hng

Nguyn nhn t TSB

Nguyn nhn t phakhch hng


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Nguyn nhn khch quan (PEST) Politics: nguyn nhn t chnh tr -

php lut Trng hp Suharto Indonesia

Cc khon cho vay chnh sch c thchin bi NHTM

Lut php thng xuyn thay i

Lut khng nht qun, mu thun, khng

r rng: Lut t ai,


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Nguyn nhn khch quan (PEST) Economics: Mi trng kinh t

Vn chu k kinh t

Vn lm pht

Vn tht nghip Vn t gi .

Hot ng ca doanh nghip KH c

nhn

ng vn hoc mt vn


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Tho lun tnh hung

Vit Nam ang giai on no ca chu kkinh t????


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Nguyn nhn t pha khch hng

Khch hng

Ngnhng

Nh cungcp

KhchHng

tiu dng

Khng

thanh tonhoc thanhton chm

Rt cc khon cho vay.

Tht bi ngn hng

Khng thanh ton Khng thanh ton

Khng giao hngGiao hnh chmHng ha di tiu chun

Khng giao hngGiao hnh chmHng ha di tiu chun


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Nguyn nhn t pha ngn hng

Chnh sch tn dng khng hp l

Vn trong thm nh tn dng

vn o lng RRTD Vn trong gim st tn dng

Vn ri ro o c ca cn b tn

dng Vn trong p dng cc cng c

phng chng ri ro tn dng


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Nguyn nhn t pha bo m tn dngGi c bin ng

Kh nh gi

Tnh kh mi thp, tisn chuyn dng

Tranh chp v php l


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Nguyn nhn t pha bo m tn

dngMt kh nng ti chnh

Ti sn gim gi tr, thayi hin trng ..


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Nhng trng hp qu hn phc tpV d minh ha


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Kinh doanh/Cng nghip: 4 khch sn lnan Mch

Thi gian: 1989

Vn : V tr khng thch hp T l t phng thp Chi ph cao (tng i so vi cc mc chun) Hot ng qun l khng tp trung vo li nhun Khng c li nhun trc li vay Khng c kh nng tr n vay


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Kinh doanh/Cng nghip: 4 khch sn lnan Mch

Nhng hnh ngcthchinbi ngn hngTtc cc khch snc ngn hng mua li qua u gibtbucThnh lpmt cng ty iu hnh hotngca 4 khch snThay i ban qun lThitlpchcnngtch v chcnng muaTham gia m phn vi cc cng tybohim, nh thudnv sinh,nh cung cpvi lanh.

Thchink ton tp trungTham gia tipth trong nc v ngoi nc

KtquCithinngktlt phng, gim chi ph v doanh thu tngKhnng sinh lic nng cao ngk

Cng ty qun l khch snc bn cho ban qun l sau 2 nmSau b sung cmts khch sn vo chui khch snNm 1999, chui khch snc bn cho mtthp khch snquctln.Gii php thchin lm gimngklca ngn hng


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Kinh doanh/Cng nghip:Khu ngh mt The 7 Islands

"The 7 Islands"Khu ngh mt, 350 nh tranh, nh hng, nhngphngtinhitho,ca hng, khu ht thuc, sn th thao, cng, sn golf, etc.s xy dng trn 7 hn o nhn to

Thi gian: 1989

Vn : Nhng ngi nh tranh khng th bn nh d kin ban u ca

ngi vay T l t phng thp hn nhiu so vi k hoch C thm i th cnh tranh gia nhp th trng

Chi ph hot ng cao hn so vi k hoch Chi ph bo dng cao hn nhiu so vi k hoch Hng nm, cn phi gia c rt tn km do cht lng xy dng ca

khu ngh mt ti. Nh thu xy dng b ph sn Hu qu l: b l hng nm v cc khon vay ca ngn hng khng

c thanh ton


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Kinh doanh/Cng nghip:Khu vc ngh mt The 7 Islands

Cc hng ngcthchinVai tr qun l cchuyn giao cho ngn hng qua vic thnhlpmt cng ty iu hnhbtngsn khng cchuyn giaoCculihotng: tp trung tipth trong v ngoi nc, muat bn ngoi tonb cc lnhvc kinh doanh ngoitrchcnng

bn bng v chcnngt phngC hai giai on di, ton b khu vcc cho thu lm nh cho ngitnn v lm trnghcNgn hng c mtidin tham gia Hingquntr

Ktqu

CithinktquhotngTuy nhin, do chi ph gia c v chi phbodng chung, tronghuht cc nmhotng,ny sinh thiuhtNgn hng mt tonbsdn


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Kinh doanh/cng nghip: Hu ht cc loi Thailand

Thi gian: 1997Vn: Trong cuc khng hong Chu c s gim st gh

gmv doanh s bn hng Cc cng ty thng khng sdngstin vay ngn hng

theo ng qui nh, m dng vo vicucbtngsnHotngcthchin: Cc ngn hng chuyn nghip trgip khc hng ca

h trong vic ti ccu ti chnh v hotng, bao gmvicgim qui m.

nh gi hotngqun l v nu c th th thay i banqun lKtqu:

Trong nhiutrnghptngckhnng sinh li, vnng lc tr n ca khch hng tng v v vy gimcthithitim tng


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Cc du hiu nhn bit RRTD

Cc du hiuphi ti chnh

Khon cho vay

Cc du hiuti chnh


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Cc du hiu ti chnhCc ch s thanh khon

cho thy du hiu suy yu

C cu vnkhng hp l

Cc vng quay hot ngth hin s suy yu

Cc ch s kh nng sinh licho thy du hiu suy yu


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Cc du hiu phi ti chnh

Du hiu lin quan n ngn hng

Gim st mnh s d tin gi

Cng n gia tng Mc vay thng xuyn

Yu cu khon vay vt qu nhu cu d kin

Chp nhn s dng ngun ti tr li sut cao Chm thanh ton n gc v li cho ngn hng


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Cc du hiu phi ti chnhDu hiu lin quan n phng php qun l vi KH

C s thay i v c cu NS trong h thng qun tr

Xut hin s bt ng trong h thng iu hnh

t kinh nghim, xut hin nhiu hnh ng nht thi Thuyn chuyn nhn vin qu thng xuyn

Tranh chp trong qu trnh qun l

Chi ph qun l bt hp php Qun l c tnh gia nh


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Du hiu vn k thut v thng mi

Kh khn trong pht trin sn phm mi, hockhng c sn phm thay th

Nhng thay i chnh sch ca NN

Sn phm c tnh thi v cao

C biu hin ct gim chi ph

Thay i trn th trng v li sut, t gi, mt KHln, vn th hiu


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Du hiu v x l thng tin ti chnh

S gia tng t l khng cn i n Chun b s liu ti chnh khng , tr hon np

bo co Kh nng tin mt gim Phi thu tng nhanh v thi hn thanh ton n ko

di

Kt qu KD l C tnh lm p BCTS bng TS v hnh


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Du hiu phi ti chnh khc

C s xung cp ca c s kinh doanh

Hng tn kho tng do khng bn c, h hng,

lc hu C s k lut vi cn b ch cht


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Qun tr RRTD Trit l v vn ha qun tr RRTD

Chin lc qun l RRTD

Chnh sch cho vay v th tc cho vay

Kim sot tn tht cho vay Chnh sch nh gi khon vay

Nhng vn v o c v mu thun

li ch o lng RRTD


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o lng RRTD

M hnhnh lng

o lngRRTD

M hnhnh tnh


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M hnh nh tnh

Phn tch tn dng Kim tra tn dng


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5 Yu t xem xt trong phn tch Tn dng

Vn Danh ting

Ti snm bo

iu kin

Nng lc


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Nm ch C

T cch (Character) Ting tm ca cng ty, thin tr n v lch s tn

dng ca cng ty. Tui i ca cng ty l mt thco tt nhng khng th da hon ton vo iu ny.

Vn (Capital) ng gp ca cc ch s hu v cc t s n Nng lc (Capacity)

Nng lc tr n.

Ti sn th chp (Collateral) Gi tr ca ti sn th chp l bao nhiu trong trnghp khng tr c n.

Chu k hoc cc iu kin kinh t (Cycle) Trng thi ca chu k kinh doanh


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Kim tra tn dng Tin hnh kim tra tt c cc loi tn dng theo nh k nht nh 30, 60, 90 ngy Xy dng k hoch, chng trnh, ni dung qu trnh kim tra thn trng v chi tit,

bo m nhng kha cnh quan trng nht c kim tra Kim tra cc thng xuyn cc khon tn dng ln Kim tra thng xuyn cc khon tn dng c vn Kim tra nhng ngnh ngh c du hiu suy thoi


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M hnh im s

M hnh xc sut tuyn tnh

M hnh phn bit tuyn tnh


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M hnh xc sut tuyn tnh Chia cc khon vay c thnh 2 nhm: nhm ri ro

mt vn (Zi=1) v nhm khng ri ro (Zi=0)

Thit lp mi quan h gia nhm ny vi nhn tnh hng tng ng (Xij)

M hnh: Zi= BjXij+ sai s

BJ: phn nh mc quan trng ca ch tiu th j


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M hnh phn bit tuyn tnhZ = 1,2X1 + 1,4X2+3,3X3+0,6X4+0,99X5

X1= TSL/Tng TSC

X2= Li nhun tch ly/tng TSC X3=LNTT&L/Tng TSC X4=gi th trng VTC/gi tr k ton ca khon n

X5= doanh thu/Tng TSC


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M hnh phn bit tuyn tnh

Z>3: ngi vay khng c kh nng v n

1,8>Z>3: khng xc nh c

Z


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V d h thng im s caNHTM ti Vit Nam


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Cc ch tiu mc 1:

1.Tin n, tin s

Khng 25

Ch vi phm lut l giao thng 20 C, trong vng 20 nm 0

C, ngoi 20 nm 15


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Cc ch tiu mc 1

2.Tui 18-25 0

25-55 20 >55 103.Trnh hc vn Trn i hc 20 i hc 15 Trung hc 5 Di trung hc -5


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Cc ch tiu mc 1

4. Thi gian cng tc Di 6 thng 5 6 thng1 nm 10 15 nm 15 > 5 nm 205.Thi gian lm cng vic hin ti Di 6 thng 5 6 thng1 nm 10 15 nm 15 > 5 nm 20


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Cc ch tiu mc 1

6.Ngh nghip Chuyn mn 25 Th k

15 Kinh doanh 5 Ngh hu 07.Tnh trng c tr Ch/t mua 30 Thu

12 Vi gia nh khc 5 Khc 0


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Cc ch tiu mc 1

8.c cu gia nh Ht nhn 20 Sng vi cha m 5

Sng cng 1 gia nh ht nhn khc 0 Sng cng nhiu gia nh ht nhn -59.S ngi n theo c thn 0 Di 3 ngi 10 T 3 5 ngi 5 Trn 5 ngi -5


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Cc ch tiu mc 1

10.Thu nhp hng nm ca c nhn Trn 120 triu ng 30 36-120 triu ng 20 1236 triu ng 5 Di 12 triu ng -511.Thu nhp hng nm ca gia nh Trn 240 triu ng 30 72-240 triu ng 20 2472 triu ng 5 Di 24 triu ng -5


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Quyt nh TD

CBTD s dng bng trn chm KH < 0 im -> b loi

KH > 0 im -> tip tc chm bc 2

C h ti 2


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Cc ch tiu mc 2

1.T trng vay vn: 0%

25 020%

10 20-50% 5 Trn 50% -52.Tnh hnh tr n vi NH Khng p dng 0 Cha bao gi chm tr

20 Cha ln no chm tr trong 2 nm 5 c ln chm tr trong 2 nm -5


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Cc ch tiu mc 2

3.Tnh hnh chm tr li Khng p dng 0 Cha bao gi chm tr 20 Cha ln no chm tr trong 2 nm 5 c ln chm tr trong 2 nm -54.Tng d n hin ti Di 100 triu ng 25 100200 triu ng 10 5001000 triu ng 5 Trn 1000 triu ng -5

C h ti 2


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Cc ch tiu mc 2

5.Cc dch v khc Ch gi tit kim 15 Ch s dng th 5 Tit kim v th 25 Khng c g -56.Loi ti sn th ch Ti khon tin gi 25 Bt ng sn 20 Xe c, my mc, c phiu 10 Khc 5

C h ti 2


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Cc ch tiu mc 27. Kh nng thay i gi tr TSTC 0% 25 1%-20% 5 21-50% 0 Trn 50% - 208. Gi tr TSTC so vi gi tr vn xin vay >150% 20 120150% 10

100-120% 5


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M hnh im s doanh nghip

Bc 1: thu thp thng tin Bc 2: phn loi doanh nghip theo ngnh Bc 3: phn loi theo quy m

Bc 4: xy dng ch tiu phn tch c bn Bc 5: xy dng bng tnh im Bc 6: tng hp kt qu tnh im Bc 7: a h thng xp hng ri ro tn dng doanh

nghip Bc 8: so snh kt qu phn tch, xp hng qua cc nm


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Bng theo quy mTT Tiu thc Tr s im

1 Vn kinh doanh T 50 t ng tr ln 30

T 40 t n 50 t 25

T 30 t n 40 t 20

T 20 t n 30 t 15

T 10 t n 20 t 10

Di 10 t 5


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2 Lao ng T 1500 ngi tr ln 15

T 1000 ngi n 1500 12

T 500 n 1000 9

T 100 n 500 6

T 50 n 100 3

Di 50 1


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3 Doanh thu thun T 200 t ng tr ln 40

T 100 t n 200 t 30

T 50 t n 100 t 20

T 20 t n 50 t 10

T 5 t n 20 t 5

Di 5 t 2


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4 Np ngn sch T 10 t ng tr ln 15

T 7 t n 10 t 12

T 5 t n 7 t 9

T 3 t n 5 t 6

T 1 t n 3 t 3

Di 1 t 1

Bng tnh im theo ngnh cng nghip quy m ln


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g g g g p q yCh tiu A B C D

Kh nng thanh ton ngn hn 2 1,4 1 0,5

Kh nng thanh ton nhanh 1,1 0,8 0,4 0,2

Vng quay hng tn kho 5 4 3 2,5

K thu tin bnh qun 45 55 60 65

Hiu qu s dng ti sn 2,3 2 1,7 1,5

N phi tr/tng ti sn (%) 45 50 60 70

N phi tr /VCSH (%) 122 150 185 233

NQH/tng d n NH 0 1 1,5 2

Tng thu nhp trc thu/doanh thu (%) 5,5 5 4 3

Tng thu nhp trc thu/ TSC (%) 6 5,5 5 4

Tng thu nhp trc thu/ VTC (%) 14,2 13,7 13,3 13


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Cch tnh im

T A v pha tri 5 im

Sau A n B 4

Sau B n C 3

Sau C n D 2

T sau D v pha phi 1


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im trng s

Ch tiu

Kh nng thanh ton ngn hn 2

Kh nng thanh ton nhanh 1

Vng quay hng tn kho 3

K thu tin bnh qun 3

Hiu qu s dng ti sn 3

N phi tr/tng ti sn (%) 3

N phi tr /VCSH (%) 3

NQH/tng d n NH 3

Tng thu nhp trc thu/doanh thu (%) 2

Tng thu nhp trc thu/ TSC (%) 2

Tng thu nhp trc thu/ VTC (%) 2


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H thng xp hng RRTD

im Loi Ni dung

117135

AA Loi ti u: hot ng rt tt, c trin vng rt cao v ri ro thp

98116

A Loi u: kinh doanh c hiu qu, ti chnh lnh mnh, c tim nng phttrin

7997

BB Loi cao: c hiu qu tuy nhin c hn ch nht nh v ngun lc tichnh v nhng nguy c tim n

6078

B Loi trung bnh: hot ng cha hiu qu, kh nng t ch ti chnhthp, nguy c tim n

4159 CC Loi di trung bnh: hot ng thp, ti chnh yu km, thiu kh nngt ch ti chnhDi41

C Loi yu km: thua l ko di, c nguy c ph sn


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Cc bin php ngn nga v hn ch ri ro

Nng cao cht lng cng tc thm nh vPTTD

S dng bo m ti sn chc chn

Ch trng cng tc thu thp thng tin Thc hin tt vic gim st tn dng v xp

hng khch hng

Phn tn ri ro S dng cc nghip v phi sinh


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Phn tn ri ro

Thu nhp d tnhRP= XiRi

Ri ro d tnh

p2=Xi2i2+XiXjijTrong : Ri: thu nhp ca doanh nghip I

Xi: t trng ca khon vay th I ij:mc lin quan ca bin ng thu nhp ca doanh nghip

I v doanh nghip j

V d minh ha


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V d minh ha

Yu cu:

Xc nh mc sinh li ca hai cng ty trn trong tng lai

Xc nh mc ri ro ca hai cng ty trn

Xc nh ri ro ca danh mc cho vay bao gm hai cng ty trn

Xc nh danh mc cho vay ti u gm 2 cng ty trn

T gi l 17000 T gi l 16500 T trng

Cng ty xut khu A 15 t 7 t 50%

Cng ty nhp khu B 9 t 13 t 50%

Kh nng t gi thay i 50% 50%


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Xc nh danh mc ti u

E(RA) = 0.5 x 15 + 0.5 x 7 = 11 t

E(RB) = 0.5 x 9 + 0.5 x 13 = 11 t

A2= 0.5 x(1511)2+0,5x(7-11)2=16 B2=0.5 x(911)2+0,5x(13-11)2=4


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Xc nh danh mc ti u

E(Rp) = 0.5 x 11 + 0.5 x 11 = 11 t

Cov (RA,RB) = 0,5(15-11)(9-11)+0,5(7-11)(13-11)=-8

p2= 0.52 x42+0,52x22+0,5x0,5x(-8)=3


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Danh mc ti u


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S dng cc cng c phi sinh phng nga v hn ch ri ro

Gii thiu cc cng c phi sinh

S dng hon i tng thu nhp S dng hon i tn dng S dng hp ng quyn chn tn dng S dng hp ng tng lai ch s gi c phiu

S dng hp ng quyn chn tri phiu


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Gii thiu cc hp ng phi sinh

Hp ng k hn (forward)

Hp ng tng lai (future)

Hp ng quyn chn (option) Hp ng hon i (swap)


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S dng hp ng hon i tng thu nhp

Ngimua bohim tn

dng

Ngi bnbo himtn dng

Tr khon ph theonh k

T l tham chiu +mc chnh lch


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Gii thch quy trnh

Ngi mua bo himchi tr da vo thu nhp c t vic gi mtkhon n c nhiu ri ro

Tng thu nhp ca cc khon n RR bng tng thu nhp LS v nhng

thay i v gi tr TT ca khon n . LS khon n thay i tng ng vi kh nng v n Ngi bn bo himtr tin da vo khon thu nhp ca mt tri

phiu khng chu ri ro v n, tr i khon n b nhn c do phichu s ri ro ca bn mua bo him.

Kt qu ca s hon i ny l ngi mua bo him c hng dngthu nhp tng xng vi vic nm gi khon n y ri ro. Vic hon i cc dng thu nhp c thc hin theo hp ng ch

khng trao i quyn s hu.


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Credit default swap: Hon i ri ro v n

NH cn phngchng ri ro

Ngi bn bohim

Thanh ton 0.9%

Thanh ton nu xy

ra v n


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Credit default swap: Hon i ri ro v n

Gii thch s : Hp ng han i tn dng 5 nm vo thng 3

nm 2002 vi tr gi 100 triu $ NH s tr cho ngi bn bo him ph 0.9% trn

khon tin 100 triu $ Tc l 900000$ vo 1 thng 3 nm

2002,2004,2005,2006,2007 Nu xy ra tn tht tn dng, NH s c nhn bi

hon 100 triu $


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V d minh ha thc t

Thi hnCng ty Xp hng 3 nm 5 nm 7 nm 10 nm

Toyota AAA 16/24 20/30 26/37 32/53

MerrillLynch

AA- 21/41 40/55 41/83 56/96

Ford Co A 59/80 85/100 95/136 118/159

Enron BBB+ 105/145 115/135 117/158 182/233

Nissan BB+ 115/145 125/155 200/230 244/274


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83

Cc iu kin thc hin CDS

ti NHTM Vit NamNH cn c h thng gim st tn dng v xp hngKH vay

NH cn lp ra b phn chuyn mn thc hin nghipv CDS.

NH cn xy dng quy trnh thc hin nghip v

CDS mt cch hp l trn c s nhng l thuyt vCDS.


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Quy trnh CDSNH vi t cch l ngi mua bo him: Bc 1: Phn loi v xp hng khch hng vay vn Bc 2: Cn c kt qu bc 1, chnh sch tn dng v chin

lc ca NH, xc nh cc khon vay s c bn

Bc 3: Xc nh mc ph s thanh ton cho bn bn ty vohng ca khon vay v tnh hnh th trng

Bc 4: Cho bn cc khon cho vay Bc 5: K hp ng CDS v nh k thanh ton khon ph

cho bn mua v gim st cht ch tnh hnh khch hng vay Bc 6: Yu cu bn bn bo him thanh ton gi tr khon

vay nu Ngi i vay khng tr c n (sau khi xc nhc gi tr thu hi)

Bc 7: Kt thc lu h s


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85

Quy trnhNH vi t cch l ngi bn bo him: Bc 1: Tip xc cc ngn hng c nhu cu bn khon cho

vay hay mua bo him Bc 2: Thu thp thng tin v khch hng vay vn trong hp

ng tn dng m Ngn hng i phng nh bn v xc

nh kh nng thu hi, gi tr thu hi ca khon vay. Bc 3: Xc nh mc ph s thu ty vo hng ca khon vay

v tnh hnh th trng Bc 4: K kt hp ng CDS Bc 5: nh k thu cc khon ph v gim st cht ch tnh

hnh khch hng vay trong hp ng tn dng Bc 6: Thanh ton gi tr khon vay nu Ngi i vay trong

hp ng tn dng khng tr c n (sau khi xc nhc gi tr thu hi)

Bc 7: Kt thc lu h s


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86

Li ch ca hon i tn dng

Qun l danh mc ri

ro ch ng NH d dng chuyn

i danh mc.


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87

Ngi muabo him

tn dng

T chckinh doanh

quyn chntn dng

Tr khon ph cho hpng

Thanh ton nu chiph tn dng tng qu

mc tha thun hay

CLTD gim dimc quy nh

Hp ng quyn chn tn dng


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Quyn chn tn dng Hp ng quyn chn tn dng l cng c bo v gip NH

b p nhng tn tht trong gi tr ti sn TD, gip b pmc vn cao hn khi cht lng tn dng ca NH gim st.

V d, ICB lo lng v cht lng TD ca khon cho vay trgi 10 t ng, ICB c th k hp ng quyn chn TD viTCKD quyn chn. Hp ng ny s ng thanh ton ton b khon vay nu nh

khon vay ny gim gi ng k hoc khng th c thanh tonnh d tnh.

Nu KH vay vn tr n y nh k hoch, ICB s thu cnhng khon thanh ton nh d tnh v hp ng quyn chn s

khng c s dng


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Quyn chn tn dng

Hp ng quyn chn cng bo v NH trc ri rochi ph vn tng do cht lng tn dng ca NH

gim st. V d, ACB lo lng rng mc xp hng tn dng ca n

s c th gim trc khi ACB pht hnh cc tri phiu

di hn huy ng vn -> ACB s phi huy ng triphiu vi LSH cao hn.


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Quyn chn tn dng

Gii php: ACB s mua quyn chn bn vi mc chnh lch lisut c bn cam kt trong hp ng c xc nh l mc ph bintrn th trng hin ti p dng i vi mc RRTD hin ti caNH.

Hp ng quyn chn s thanh ton ton b phn chnh lch lisut c bn thc t ( so vi mt chng khon phi ri ro) vt trn

phn chnh lch LSCB c tha thun. ACB d tnh chi ph huy ng s cao hn TPCP l 1%.

Do s gim st cht lng tn dng, mc chnh lch LS m NH s phithanh ton ln ti 2% so vi li sut TPCP -> NH s c li v n m boACB ch phi thanh ton gn vi mc chnh lch.

Hp ng quyn chn s khng cn hiu lc nu tnh hung ngc li

Mua quyn chn bn tri phiu


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91

Mua quyn chn bn tri phiu

Quyn chn bnThunhp

Danh mcu t

Trng thinn kinh t

Xu Tt


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92


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93

Bn hp ng tng lai ch s gi c phiu

Giao dch tnglai

Thunhp

Danh mcu t

Trng thi

nn kinh tXu Tt


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94

Tnh hung minh ha s dng hp ngtng lai ch s gi c phiu

Tng danh mc cho vay: 480 triu USD Ti thi im thanh ton, gi tr 1 HTL = 290 $ x ch s chng khan Ch s chng khan ti thi im hin ti: 1000 im Theo d bo, nn kinh t suy thoi, Ch s chng khan gim l 20%

iu kin Phn trm tn dngkhng thu hi c

Kinh t pht trin bnh thng 0%

Kinh t suy thoi 60%


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Chng khon ha cc khon cho vay


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96

Nhng vn c bn

Lch s hnh thnh cng ngh chng khonha

Thc tin p dng ti mt s nc Khi nim chng khon ha

c im ca chng khon ha

Quy trnh chng khon ha Phn loi chng khon ha

Lch s hnh thnh cng ngh


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g g chng khon ha

Ln u tin ti M nm 1968 nhm tng cng tnh thanh khoncho th trng BS. Mt khon vay th chp ring l c tnh lng thp hn so vi mt

t hp cc khon vay th chp Nhm cc khon vay th chp ring l thnh hng trm nghn t

hp vay th chp t pht hnh ra cc chng khon c mbo bng chnh nhng t hp vay th chp MBS

V d: t hp vay c gi tr 1 triu $, mi chng khon c mnh gi25 ngn $

Nm 1983: CMO: a dng hn v li sut, thi hn v mc riro Cc loi mi: ABS, MBB, RMBS, CDO vi khi lng hng trm

ngn t $

Khi i h kh h


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98

Khi nim chng khon ha

Chng khon ha l qu trnh nhm cc ti snti chnh c tnh lng km thnh t hp ti sn t pht hnh ra cc chng khon c th tra ic trn th trng.

Cc chng khon ny c m bo bng chnht hp ti sn ti chnh trn.


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99

c im ca chng khon ha

Tnh th trng: vic mua bn phi din ra hp php, c hthng v c th trng ring

p ng cc yu cu v cht lng ca nh u t c phn phi rng ri Tnh ng nht C s tham gia ca t chc trung gian c bit


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100

Quy trnh chng khon ha

Cc ch th tham gia quy trnh chngkhon ha

Quy trnh pht hnh


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102

Cc ch th tham gia (tip theo)

n v qun l ti sn: qun l t hp cc ti sn ti chnhv mua bn cc ti sn ti chnh

T chc tn thc: theo di vic chi tr gc v li cho nhu t v kim tra tnh hp php ca chng t ti chnh mnh u t nm gi

Nh bo lnh ti chnh : cam kt thanh ton gc v li chonh u t nu ngi i vay khng thc hin c ngha

v tr n C quan nh mc tn nhim Nh u t


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103

Quy trnh chng khon ha

SPVTi sn Ngun vn

C quan xphng tn nhim

n v qunl ti sn

Nh Bolnh

T chcpht hnh Nh u t

i l dch v T chc tn thc

Nh titr

Mua bnti sn

Tin

Quyni n

Tin Quyni n

Tp hp cc

khon thanhton

Kim tra


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104

Phn loi chng khon

MBSMortgage backed Security: chng khon c bo

m bng th chp: c c quan NN bo lnh pht hnhli sut c nh CMO: - Collateralized Mortgage Obligation: tri phiu a

hng c bo m bng th chp: t hp cc khon tndng a c th chp lm TSB a dng v thi hn v

li sut


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105

Phn loi chng khon ( tip theo)

ABSAsset Backed Security: chng khon cbo m bng ti sn ti chnh: cho vay SV, chovay t ng, cho thu ti chnh, thu t th tndng

MBB: Mortgage Backed Bond: tri phiu c bom bng th chp: tri phiu c bo m

Vai tr ca chng khon ha


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106

Vai tr ca chng khon hai vi th trng ti chnh

Tng cng tnh thanh khon trn th

trng ti chnh Cung cp hng ha cht lng cho th

trng chng khon



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107

Vai tr ca chng khon hai vi nh u t

M rng c hi u t a dng ha danh mc u t

p ng cc yu cu v k hn v mc ri

ro



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108

Vai tr ca chng khon hai vi ngn hng

Ci thin tnh lng ca bng cn i ti sn Qun tr ri ro

Gip NH chuyn hng kinh doanh mt

cch nhanh chng


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109

iu kin chng khon ha

iu kin php l v chnh sch v m thch hp Xy dng khung php l nhm khi to hot ng

chng khon ha

Chun ha vic nh gi ti sn ti chnh c s vi tcch l cc ti sn bo m cho cng c chng khonha.

Khun kh php l dn ti s ra i ca cc t chcnh mc tn nhim

Xy dng lut cng b thng tin


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S tham gia ca cc nh ch ti chnh ng vai

tr trung gian v cung cp cc dch v h tr

Hnh thnh cc SPV

T chc tn thc nh mc tn nhim

i l dch v

C ch cung cp thng tin v tng


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111

C ch cung cp thng tin v tngcng tn nhim

Pht hnh chng khon hng cao v cc chngkhon hng thp hn lm tng cho chngkhon hng cao

Pht hnh vi tng gi tr thp hn so vi t hpti sn ti chnh c s

Tng ph dch v S dng kh c bo lnh Bo lnh ca bn th ba S dng LC S dng khon k qu tin mt


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112

Cc iu kin khc Nng cao cht lng ca ti sn ti chnh c s Nng cao nng lc qun tr ti sn ca NH Mc chuyn nghip ca TTCK:

Thng tin phi cp nht v lun phn nh gi chngkhon Phi c b phn ln nh u t chuyn nghip Khng c s phn on th trng Khng c s can thip trc tip v mang tnh hnh

chnh vo gi chng khon


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113

Bin php gii quyt ri ro tn dng

Kim tra h s khon vay c vn

Gp g v tho lun vi KH

Lp k hoch hnh ng Thc hin k hoch

Qun l v theo di thc hin k hoch

Cc bin php x l n vay c vn v xl tn tht tn dng


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114

Cc bin php x l n vay c vn v x l

tn tht tn dng Hnh thc x l khai thc

Cho vay thm

B sung ti sn bo m Chuyn NQH

Thc hin khoanh n, xa n

Ch nh i din tham gia qun l doanhnghip

C bi h l l


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Cc bin php x l n vay c vn v x ltn tht tn dng

Hnh thc s dng cc bin php thanh l X l n tn ng

C TSB Khng TSB v khng cn i tng thu Khng TSB, cn hot ng

Thanh l doanh nghip

Khi kin Bn n S dng d phng RRTD

Phn 2


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RI RO HI OI TRONG

HOT NG KINH DOANH

NGN HNG

Phn 2


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117

KT CU CHUYN Gii thiu chung v t gi hi oi L lun chung v ri ro t gi trong kinh doanh ngn hng.

- Khi nim

- Nguyn nhn

- o lng v nh gi ri ro- Bin php phng nga

- Ri ro ca cc giao dch tin t phi sinh

Ri ro t gi v phng nga ri ro t gi ti cc NHTM Vit Nam.- H thng vn bn php l.- Cc bin php phng nga ti NHTM Vit Nam

Mt s tnh hung ri ro t gi ca cc ngn hng

Bi tp luyn tp

T i hi i


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118

T gi hi oi T gi hi oi (Exchange Rate): l gi c ca mt tin t nyc biu th thng qua mt tin t khc.

VD: VND/USD = 15920.

Tin t yt gi (Commodity Currency) v tin t nh gi (TermCurrency).

- Tin t yt gi: l tin t c n v c nh, thng l 1, 10 hoc

100.

- Tin t nh gi: l tin t c n v thay i

T i hi i (C )


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T gi hi oi (Cont.)

Cc phng php yt t gi:

- Phng php trc tip (Direct Quotation): th hin s n v ni ttrn mt n v ngoi t. Ngoi t l tin t yt gi, ni t l tin t

nh gi.V d: Ti Tokyo 1USD = 120,34 -120,38 JPYJPY/USD = 120,34120,38JPY/USD = 120,34/38

- Phng php gin tip (Indirect Quotation): th hin s n v ngoit trn mt n v ni t. Ni t l tin t yt gi, ngoi t l tin tnh gi.

V d: Ti London: USD/GBP = 1,8323 -1,8329

T gi hi oi (Cont )


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T gi hi oi (Cont.) Cc loi t gi:

- T gi chnh thc

- T gi ch en.

- T gi mua bn.

- T gi c nh, t gi th ni.

- T gi tin mt, t gi chuyn khon.

- T gi ng ca, t gi m ca.

- T gi danh ngha, t gi thc (song phng v a phng).

- T gi nghch o.

- T gi cho.

T i hi i (C t )


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T gi hi oi (Cont.)

K hiu t gi hi oi:

- Cch 1: VND/USD = 16020

1USD = 16020 VND

- Cch 2: USD/VND = 160201USD = 16020 VND.

Thng nht cho ton b bi ging cch k hiu t gi hioi th nht. C ngha l tin t yt gi ng pha di,cn tin t nh gi ng pha trn.

Khi i i t i hi i


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122

Khi nim ri ro t gi hi oi

Ri ro: l nhng tn tht, sai lch so vi d tnh xy ra nm ngoi mun ca con ngi.

Ri ro t gi hi oi:

+ Peter S. Rose: ri ro hi oi l kh nng thit hi (tn tht) mngn hng phi gnh chu do s bin ng gi c tin t th gii.

+ Hennie Van Greunung v Soja Brajovic Bratanovic: Ri ro hi oil ri ro xut pht t s thay i t gi hi oi gia ni t v ngoi t.

N h


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Nguyn nhn Hot ng ni bng (On balance sheet activities):

TS rng bng ngoi t = TSC bng ngoi t - TSN bng ngoi t.

TS rng bngngoi t

T gi tng T gi gim

> 0 Li L

< 0 L Li

= 0 Khng ri ro Khng ri ro

N h (C t )


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124

Nguyn nhn (Cont.)

Hot ng ngoi bng (Off balance sheet activities).

Trng thi ngoi t rng = Ngoi t mua vo Ngoi t bn ra

Trng thi ngoi trng

T gi tng T gi gim

> 0 Li L

< 0 L Li


N h (C t )


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125

Nguyn nhn (Cont.) Trng thi ri ro hi oi rng (Net Position Exposure

NPE)

NPE i = TS rng bng ngoi t i + Trng thi ngoi t rng i= (TSC bng ngoi t i - TSN bng ngoi t i) + (Doanh s ngoi t

mua vo i - Doanh s ngoi t bn ra i)

NPE i T gi tng T gi gim

> 0 Li L

< 0 L Li


N h (C t )


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126

Nguyn nhn (Cont.)

Cng thc xc nh mc ri ro:

P/L = NPEi . E

Trong : P/L: mc li/l i vi 1 loi ngoi t khi t gi thay i

E = E1 E0: l s thay i t gi E ca ni t so vi ngoi t ca k sau so vi k trc.

O LNG V NH GI RI RO TGI HI OI DO HOT NG NI


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GI HI OI DO HOT NG NI

BNG V d 1: C bng tng kt ti sn ca NHTM A nh sau:

Ti sn c (Ti sn) Ti sn n (Ngun vn)

1. Tn dng trong nc: 1.000 tVND

(bng VND, k hn 1 nm, 10%)

Chng ch tin gi (CDs):2.000 t VND

(bng VND, k hn 1 nm, 8%)

2. Tn dng nc ngoi: 1.000 t

VND(bng USD, k hn 1 nm, 12%)

V d 1 (C t )


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V d 1 (Cont.) Tnh thu nhp ca NHTM A:

- B1: Ti thi im u nm, NHTM A mua USD bng s tin 1000 t VND theot gi giao ngay S0(VND/USD) = 15900.

S USD thu c l: = 62,893 triu USD

- B2: Cho cc cng ty vay 62,893 triu USD, k hn 1 nm vi li sut 12%

- B3: Ti thi im hon tr (sau 1 nm), khon gc v li thu c bng USD sl:

62,893 * (1 + 12%) = 70,44025 triu USD.

- B4: Bn li s USD gc v li thu c ti thi im cui nm theo t giS1(VND/USD).

V d 1 (C t )


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V d 1 (Cont.) Kh nng 1: S1(VND/USD) = S0(VND/USD) = 15900S VND thu c s l: 70,44025 tr. USD * 15900 = 1120 t VND

T sut li nhun do hot ng cho vay bng ngoi t : 12%T sut li nhun ca c danh mc u t:

50% * 10% + 50% * 12% = 11%

Chnh lch gia li sut u vo v u ra l 11% - 8% = 3%. Kh nng 2: S1(VND/USD) = 16200 > S0(VND/USD) = 15900

T sut li nhun ca c danh mc u t:50% * 10% + 50% * 14,1% = 12,05%

Chnh lch gia li sut u vo v u ra l 12,05% - 8% = 4,05%.

Kh nng 3: S1(VND/USD) = 15500 < S0(VND/USD) = 15900T sut li nhun ca c danh mc u t:

50% * 10% + 50% * 9,18% = 9,6%Chnh lch gia li sut u vo v u ra l 9,6% - 8% = 1,6%

V d 1 (Cont )


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130

V d 1 (Cont.)

Cng thc tng qut xc nh li tc do nmgi cc ti sn ghi bng ngoi t:

Gi Rf: li tc thu c khi nm gi ti sn bng ngoi tRd: li tc ca bn thn ti sn Rc: li tc thu c ca bn thn ng ngoi t

(1+ Rf) = (1+Rd)(1+Rc)

Rf = Rd + Rc + RdRc Rf Rd + Rc

O LNG V NH GI RI RO TGI HI OI DO HOT NG NGOI


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GI HI OI DO HOT NG NGOI

BNG V d 2: NHTM A c trng thi i vi USD v GBP nhsau:

So(VND/USD) = 15.500 S1(VND/USD) = 16.000 So(VND/GBP) = 28.000 S1(VND/GBP) = 29.000

STT Ngoi t Lng mua vo Lng bn ra Trng thingoi t

1 USD +2.000.000 -1.500.000 +500.000

2 GBP +1.000.000 -1.200.000 -200.000

V d 2


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132

V d 2 (Cont.)

Xc nh ri ro ca NHTM A: i vi USD: Ngn hng s c 1 khon li l:

500.000 (16.00015.500) = 250.000.000 triu VND

i vi GBP: Ngn hng ny s b thua l:

-200.000 (29.00028.000) = -200.000.000 triu VND

Ri ro i vi c danh mc ngoi t nm gi l:

250.000.000200.000.000 = 50.000.000 VND

ri ro ca c danh mc ngoi t


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2 2 2

1 1

n n n

p i i i j i j iji i q jw w w

Trong : i j

,i jw w : t l ca ngoi t trong danh mc u t

,i j

: lch chun ca ngoi t i, j, hay mc ri ro ca t gi gia ngoi t i, j v ni t.

ij : h s tng quan gia t gi ca ngoi t i, j v ni t.

p : mcri ro cac danh mcut

ri ro ca c danh mc


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ngoi t (Cont.)

p dng i vi danh mc ngoi t ch bao gm 2 ngoi t:

+ Kh nng 1: Nu = 1

+ Kh nng 1: Nu = -1

+ Kh nng 1: Nu -1<


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g p p(VaR)

M hnh VaR s xc nh mc thua l ti a m ngn hng sphi i mt trong mt khong thi gian nht nh no vi tin cy l cao nht (c th l 95% hoc 99%).

T kt qu thu c t m hnh VaR, NHTW s tnh ton v quynh mc vn ti thiu m NHTM cn phi duy tr c th bp c ri ro.

Cc phng php xac nh gi tr VaR:- Phng php lch s (Historical Simulation)

- Phng php phng sai hip phng sai (Variance Covariance Method)

- Phng php Monte Carlo

Phng php lch s


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Phng php lch s

Cch xc nh VaR theo phng php lch s:

+ Cn c vo dy s liu trong qu kh, tnh ton li nhun ca tonb danh mc u t bng cch so snh gi tr ca danh mc u t thiim to so vi thi im t1.

+ Sp xp li nhun ca danh mc u t theo th t t nh nht nln nht

+ Cn c vo mc ngha ca vic nghin cu (bng 100%- tin

cy) v tng s cc s liu quan st n. Gi tr VaR s chnh l linhun ca s th t = n* mc ngha.

Phng php lch s


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Phng php lch s (Cont.)

V d 3: C cc thng s trn th trng nh sau:

Ngn hng Credit Lyonnais nm gi :- 10 triu USD ch s S&P 500;

- 7 triu USD FTSE 100;

- 8 triu USD ch s CAC 40.

Hy xc nh gi tr ri ro VaR tnh bng FRF theo phng php lchs

Phng php lch s C


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Phng php lch s (Cont.)

Cch xc nh gi tr ri ro VaR:

+Step 1: Tnh gi tr ca ti sn bng FRF:Gi tr TS bng FRF = Gi tr TS bng USD * t gi

+ Step 2: Tnh ton li nhun ca cc ch s chng khon v cc t gi.

+ Step 3: Tnh ton s thay i trong gi tr ca tng ti sn (S&P, FTSE,CAC) ri tnh tng cho c danh mc u t

Thay i trong gi tr ca TS = Li nhun * gi tr ti sn tnh bng FRF

+ Step 4: Sp xp s thay i theo th t t nh n ln

+ Step 5: Tnh ton gi tr VaR vi tin cy l 95%

Phng php lch s (C )


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Phng php lch s (Cont.)Date S&P500 FTSE100 CAC40 GBP FRF FRF/GBP FRF/USD

Change inportfolio Sort

5-Jul-94 446.37 2965 1878.73 1.484 0.1693 8.7629 5.905

6-Jul-94 446.13 2946.7 1888.99 1.4875 0.1693 8.7836 5.905 0.0714 3.8466

7-Jul-94 448.38 2964.4 1920.75 1.485 0.169 8.7894 5.9189 1.5684 1.5684

8-Jul-94 449.55 2962.4 1920.78 1.4905 0.1697 8.7823 5.8923 -0.1803 1.5362

11-Jul-94 448.06 2983.8 1949.75 1.492 0.1692 8.8174 5.9098 1.2042 1.2042

12-Jul-94 447.95 2963.9 1942.08 1.491 0.169 8.8214 5.9163 -0.4087 0.704313-Jul-94 448.73 3005.3 1974.59 1.502 0.1695 8.8598 5.8986 1.5362 0.6455

18-Jul-94 455.22 3082 2025.13 1.497 0.1683 8.8925 5.9402 3.8466 0.4935

19-Jul-94 453.86 3091.3 2052.33 1.4915 0.1683 8.8636 5.9428 0.4935 0.3935

20-Jul-94 451.6 3077.2 2043.72 1.492 0.168 8.8814 5.9526 -0.5219 0.3755

21-Jul-94 452.61 3095.1 2053.78 1.4965 0.1686 8.8769 5.9319 0.3935 0.2747

22-Jul-94 453.11 3114.7 2041.41 1.4915 0.1685 8.8497 5.9335 -0.0726 0.0714

25-Jul-94 454.25 3106.1 2059.84 1.5005 0.1693 8.8638 5.9071 0.2747 -0.0726

26-Jul-94 453.36 3117.2 2076.84 1.4955 0.1686 8.8688 5.9303 0.7043 -0.1803

27-Jul-94 452.57 3082.3 2055.69 1.4945 0.1684 8.8768 5.9397 -0.954 -0.4087

28-Jul-94 454.24 3095.9 2053.43 1.493 0.1683 8.8727 5.9429 0.3755 -0.5219

29-Jul-94 458.26 3082.6 2074.99 1.494 0.1687 8.8569 5.9282 0.6455 -0.954

Phng php phng sai


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hip phng sai Gi thit:

+ Hm phn phi ca cc bin s ti chnh l phn phi chun vcc bin s ny hon ton c lp vi nhau.+ Tt c cc cng c kinh t ti chnh trong danh mc u t u cth phn tch thnh mt tp hp cc cng c ti chnh n gin hnv ch chu mt loi ri ro duy nht l ri ro th trng.

Cng thc xc nh:

Trong : U: l phn v chun vi mc tin cy cho trc.Sp: lch tiu chun ca s thay i gi tr ca c danh

mc ngoi t .

tsUVaR pp

Phng php phng sai


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hip phng sai (Cont.) V d 4:

Ngn hng VCB c 1 danh mc ngoi t vi lch tiu chun ca n l 100triu VND, khong thi gian duy tr gi tr n nh ca danh mc ngoi t l 9ngy.

Vi tin cy l 95%, (tng ng vi phn v chun U0,95 = 1,645),khi ri ro i vi danh mc ngoi t l:

VARp = 1,645 * 100 *= 493,5 triu VND.

Kt lun: Vi tin cy l 95%, ngn hng VCB s khng b thua l qu 493,5tru VND trong vng 9 ngy ti.

Nu mc tin cy ln 99,9% tc l U0,999 = 3,09 th VARp = 3,09 *100 *`= 927 triu VND, tc l trong 1000 giai on 9 ngy nh gi li th chc mt giai on 9 ngy xy ra ri ro vt qu hocbng 927 triu VND. y, xc sut xy ra ri rob l khng t hn 927 triu VND l 1/1000

CC BiN PHP PHNG NGA


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RI RO Bin php phng nga ni bng:

- Lm cn xng TSC v TSN bng ngoi t

Bin php phng nga ngoi bng:- Phng nga bng hp ng k hn.

- Phng nga bng hp ng tng lai.- Phng nga bng hp ng quyn chn.- Phng nga bng hp ng hon i

Bin php phng nga ni bng


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Tr li v d 1:

lm cn xng TSC v TSN bng ngoi t, khon tn dng ncngoi bng USD c ti tr t ngun vn do ngn hng pht hnhCDs trc tip bng USD c gi tr tng ng 1.000 t VND. Cc

thng s khc khng thay i:

Ti sn c (TSC) Ti sn n (TSN)

1. Tn dng trong nc: 1000 tVND

(bng VND, k hn 1 nm,10%)

1. Chng ch tin gi (CDs): 1000 tVND

(bng VND, 1 nm, 8%)

2. Tn dng nc ngoi: 1000 tVND

(bng USD, k hn 1 nm,

12%)

2. Chng ch tin gi (CDs): 1000 tVND

(bng USD, 1 nm, 8%)



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144

p p p g g g(Cont.)

Li nhun ca danh mc u t c xc nh ging nhv d 1 (vi kh nng).

Xc nh chi ph i vay ca danh mc u t:

- Pht hnh chng ch tin gi bng USD vi s tin tng ng l:1.000 t VND / 15.900= 62,893 triu USD

-Ti thi im cui nm, NHTM A phi thanh ton c gc v li bngUSD:

62,893 triu * (1 + 8%) = 67,9245 triu USD

Bin php phng nga ni bng (Cont.)


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Kh nng 1: S1(VND/USD) = S0(VND/USD) = 15900S VND phi b ra c c 67,9245 tr. USD s l:

67,9245 tr. USD * 15900 = 1080 t VNDNh vy mc chi ph pht hnh CDs bng USD s l 8%.Mc chi ph i vay ca c danh mc TSN:

50% *8 % + 50% * 8% = 8%Chnh lch gia li sut u vo v u ra l 11% - 8% = 3%.

Kh nng 2: S1(VND/USD) = 16200.Mc chi ph pht hnh CDs bng USD s l 10%.Mc chi ph i vay ca c danh mc TSN:

50% *8 % + 50% * 10% = 9%Chnh lch gia li sut u vo v u ra l 12,05% - 9% = 3,05%.

Kh nng 3: S1(VND/USD) = 15500Mc chi ph pht hnh CDs bng USD s l 5,3%. Mc chi ph i vay ca c danh mc TSN:

50% *8 % + 50% * 5,3% = 6,65%Chnh lch gia li sut u vo v u ra l 9,6% - 6,65% = 2,95%.

Cc bin php phng nga


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146

ngoi bng

Phng nga bng hp ng k hn.

Phng nga bng hp ng tng lai.

Phng nga bng hp ng quyn chn.

Phng nga bng hp ng hon i

Phng nga bng hp ng ngoi hik h (C F d)


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k hn (Currency Forward).

Hp ng ngoi hi k hn (Currency Forward Contract): l stha thun gia 2 bn ch th ng mua hoc bn mt s lngngoi t nht nh ti mt mc t gi nht nh vo mt thiim nht nh trong tng lai.

Giao dch ngoi hi k hn (Currency Forward Transaction) lnhng giao dch ngoi hi c ngy gi tr xa hn ngy gi tr giaongay tc l hn 2 ngy lm vic. Giao dch ny c thc hintrn th trng phi tp trung (Over The Counter OTC).

T gi k hn l t gi c tha thun ngay t ngy hm nay lm c s cho vic trao i tin t ti mt ngy no trongtng lai.

Phng nga bng hp ng ngoi hi


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k hn (Currency Forward) (Cont.) Cng thc xc nh t gi k hn:

Trong :

F: t gi k hnS: t gi giao ngayR: li sut ca tin t nh giRC: li sut ca tin t yt gi

t: thi hn ca hp ng k hn (tnh theo ngy)dpyT: c s li sut ca tin t nh gidpyC: c s li sut ca tin t yt gi

1

1

T

T

C

C

tR

dpyF S

tR

dpy

Phng nga bng hp ng ngoi


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hi k hn (Currency Forward) (Cont.)

im k hn: l chnh lch gia t gi k hn v t gi giaongay

P = F - S

T gi k hn mua t gi k hn bn

1

T C

C

tR R

dpyP S

tR

dpy

1

TB CO

B B B

CO

tR R

dpyF S S

tRdpy

1

TO CB

O O O

CB

tR R

dpyF S S

tRdpy

Phng nga bng hp ng ngoi hi


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k hn (Currency Forward) (Cont.)

Nim yt t gi k hn:

K hn Nim yt t gi kiu Outright Nim yt t gi kiu Swap

T gi Chnh lch TG T gi Chnh lch TGTG giao ngay 1,72141,7219 0,0005 1,72141,7219 0,0005

3 thng 1,72361,7248 0,0012 22-29 0,0007

6 thng 1,71691,7179 0,0010 45-40 - 0,0005

9 thng 1,7282 - 1,7294 0,0012 68-75 0,0007

12 thng 1,7122 - 1,7131 0,0009 92-88 - 0,0004

Phng nga bng hp ng ngoi hik hn (Currency Forward) (Cont.)


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( y ) ( )

Quay tr li v d 1:- B1: Ti thi im u nm, NHTM A mua USD bng s tin 1000 t VND theo t gi

giao ngay So(VND/USD) = 15900.S USD thu c l: 1000 t/ 15900 = 62,893 triu USD

- B2: Cho cc cng ty vay 62,893 triu USD, k hn 1 nm vi li sut 12%

- B3: ti thi im hon tr (sau 1 nm), khon gc v li thu c bng USD s l:62,893 * (1 + 12%) = 70,44025 triu USD.

- B4: K hp ng bn k hn ton b s USD gc v li thu c ti thi im cui nm

theo t gi k hn F1(VND/USD) = 16000.S VND thu c l: 70,44025 tr. * 16.000 = 1127,044 t VNDT sut li nhun thu c t u t: 12,7%T sut li nhun ca c danh mc u t:

50% * 10% + 50% * 12,7% = 11,35%Chnh lch gia li sut u vo v u ra l 11,35% - 8% = 3,35%

Phng nga bng hp ng ngoi hik hn (Currency Forward) (Cont )


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k hn (Currency Forward) (Cont.)

V d 5:Do d tnh rng t gi s tng trong tng lai, NHTM A mua 1

triu USD ti mc TGGN S0(VND/USD) = 15910 trn th trng. Tuynhin, NHTM A khng chc chn lm v s bin ng ca t gi, nut gi tng theo ng d tnh th h s thu c li nhun. Ngc lai,nu t gi bin ng theo chiu khng thun (t gi gim) thi h s bri ro. V vy, c th phng nga mt phn ri ro , NHTM A sk hp ng k hn bn 1 triu USD cho NHTM B ti mc t gi k

hn l F1/4(VND/USD) = 15945.S0 = 15910 F1/4 =15945

Phng nga bng hp ng ngoi hik hn (Currency Forward) (Cont )


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k hn (Currency Forward) (Cont.) Kh nng 1: S1(VND/USD) = 15890 .

Khon l ca NHTM A do nm gi 1 triu USD s l:1 triu * (15890 -15910) = - 20 triu VND

Khon li ca NHTM A do bn k hn 1 triu USD s l:1 triu * (15945 - 15890) = 55 triu VND

Li nhun ca NHTM A: 55 triu - 20 triu = 35 triu VND

Kh nng 2: S1(VND/USD) = 15925Khon li ca NHTM A do nm gi 1 triu USD s l:

1 triu * (15925 -15910) = 15 triu VNDKhon li ca NHTM A do bn k hn 1 triu USD s l:

1 triu * (15945 - 15925) = 20 triu VNDLi nhun ca NHTM A: 15 triu + 20 triu = 35 triu VND

Kh nng 3: S1(VND/USD) = 15960Khon li ca NHTM A do nm gi 1 triu USD s l:

1 triu * (15960 -15910) = 50 triu VNDKhon l ca NHTM A do bn k hn 1 triu USD s l:

1 triu * (15945 15960) = - 15 triu VNDLi nhun ca NHTM A: 50 triu - 15 triu = 35 triu VND

Phng nga bng hp ng ngoi hil i (C F )


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tng lai (Currency Futures) Hp ng ngoi hi tng lai: l s tha thun gia 2bn ch

th ng mua hoc bn mt s lng tin t nht nh ti mt mc tgi nht nh vo mt thi im nht nh trong tng lai.

Hp ng tng lai Hp ng k hn

- Giao dch trn th trng tp trung - Giao dch trn th trng phi tp trung- c chun ha - Khng c chun ha

- Phi k qu - Khng cn k qu

- C th tt ton bt k thi im no - Ch tt ton ti thi im hp ng o hn

- Khng c ri ro tn dng - C ri ro tn dng

-

Phng nga bng hp ng ngoi hitng lai (Currency Futures) (Cont.)


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tng lai (Currency Futures) (Cont.)

Th trng phi tp trung (OTC) Th trng tp trung (OrganisedExchange)

- Thc hinbi cc trung gian tichnh (Ngn hng).

- Thchinvislng giao dchbtk v ngy gi trbt k.

- Thc hin vibt k loi hng hav ti sn ti chnh.

- C th gp ri ro tn dng t phai tc.

- Kh c thtt ton hpng

- Thchinbi cc Sgiao dch.- Chun ha v s lng giao dch v

ngy gi tr.- Chthchinvimtsloi hng ha

v ti sn ti chnh.- Loibri ro tn dng do c 2 bn i

tc uphi kqutiSGiao dch.- D dng tt ton hpng (Closing out

position.

Phng nga bng hp ng ngoi hitng lai (Currency Futures) (Cont )


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Mt s S giao dch hp ng tng lai:CBOT: Chicago Board of Trade

CME: Chicago Merchantile Exchange.

IMM: International Money Market

PHLX: Philadelphia Exchange

PSE: Pacific Stock Exchange

LIFFE: London International Financial Futures Exchange

MATIF: March Terme International de France (Paris)

EUREX: Frankfurt

Singapore (SIMEX), Hongkong, Tokyo, Osaka

Sydney Futures Exchange (SFE)



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Hp ng tin t tng lai trn s giao dch IMM(International Money Market) thuc CME (ChicagoMerchantile Exchange).

Tin t S lng tin t/1hp ng tng lai

Tick size(value)

Thng gitr

Lng kqu ban u

Lng k quduy tr ti thiu

GBP 62.500 0,02 / ($12,50)

A $ 2.000 $1.500

CHF (SF) SF 125.000 0,01 / SF($125)

A $ 2.000 $1.500

JPY (JY) JY12.500.000 0,01 / 100JY

($12,50)

A $ 1.500 $1.000

CAD (CD) CD100.000 0,001$ / CD($100)

A $ 900 $700

EUR 125.000 0,01 /($12,50)

A Varies Varies

Phng nga bng hp ng ngoi hit l i (C F t )


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Cc ti sn ti chnh c giao dch trn S Giao dch tng laiTin t Hp ng tng lai v li sut Ch s chng khon

GBPCAD

JPYEURCHF (SF)AUDMXNBrazillian Real

EurodollarsEuroyen

Euro-denominated bondEuroswissSterlingTriphiu Chnhph AnhTriphiu ChnhphcTriphiu Chnhph Triphiu KhobcM

Triphiu Chnhph Canada.Tnphiu KhobcMLIBOREURIBORChs triphiuthChpphiu ngn hng

S&P 500Chschng khon DowJones

S&P Mipcap 400Nasdaq 100Chs NYSEChs Russell 2000Nikkei 225FTSE 100CAC 40 (Php)

DAX 30 (c)Chschng khon cToronto 35 (Canada)DowJones Euro STOXX 50



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Mt s thut ng:- Tick size v tick value

- Initial Margin (Khon k qu ban u) v Maintenance Margin (Khon k qu duy trti thiu).

- Marking to market (iu chnh gi tr hp ng theo th trng)

- Clearing House (Trung tm thanh ton)

- Open Interest

- Tt ton hp ng (Closing out the contract)

- Chnh lch c bn (Basis) v Ri ro c bn (Basis Risk)



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Tick size: l n v o lng mc bin ng trong gi ca ti snti chnh. Thng thng l s bin ng nh nht trong gi c cati sn ti chnh.

Tick value: l s thay i trong gi tr ca hp ng tng lai khi gi

c ca ti sn ti chnh bin ng 1 tick.

V d:i vi hp ng GBP tng lai th mc bin ng nh nht

cho php l 0,02 / = 0,0002 $ / . V vy tick value trong trnghp ny s l:

0,0002 $ / * 62.500 = $12,5.



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161

V d 6:Gi s NHTM A mua 1 hp ng GBP tng lai giao thng 6vo ngy 27/3/2006. Ti thi im , t gi Fo = 1,7407, s lngGBP giao dch tiu chun cho mt hp ng l 62.500 GBP. Lng kqu ban u l $2.000, lng k qu ti thiu l $1.500

Ngy T gi MTM S tin thanh ton kqu

S d kqu

27/3/06 1,7407 2.000 2.000

28/3/2006 1,7447 250 2.250

29/3/2006 1,7385 -387,5 1.862,530/3/2006 1,7315 -437,5 1425

575 2.000



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Vai tr ca trung tm thanh ton (Clearing House)

Ngi mua

Ngi muaNgi bn

Ngi bn

Tin

Ti sn ti chnh

Tin

Ti sn tichnh

Tin

Clearing House

Ti sn ti chnh

A

B



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Open Interest:

Ngy Cc giao dch Open Interest

1 Nh kinh doanh A mua 1 hp ng,nh kinh doanh B bn 1 hpng

1

2 Nh kinh doanh C mua 3 hp ng,nh kinh doanh D bn 3 hpng

4

3

Nh kinh doanh A bn 1 hpng, nhkinh doanh D mua 1 hpng 3

4 Nh kinh doanh C bn 1 hpng, nhkinh doanh E mua 1 hpng

3



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g ( y )

Open Interest:

Nh kinh doanh Trng thi trng Trng thi on

Nh kinh doanh A

Nh kinh doanh B 1

Nh kinh doanh C 2

Nh kinh doanh D 2

Nh kinh doanh E 1

Tng 3 3



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Open High Low Settle Change LifetimeHigh

LifetimeLow

OpenInterest

JAPAN YEN (CME)12.5 million yen; $/yen (.00)Jun .8304 .8400 .8303 .8347 .0040 .8800 .7769 83,876Sept .8382 .8401 .8330 .8372 .0040 .8815 .8220 590

Est vol 4,009; vol Mon 14,229 open int 84,584, -733CANADIAN DOLLAR (CME)100,000 dlrs; $/Can $Jun .6722 .6757 .6720 .6742 .0016 .6818 .6197 87,087Sept .6692 .6711 .6688 .6704 .0016 .6785 .6185 3,324Dec .6655 .6671 .6655 .6668 .0016 .6730 .6160 1,033

Mar 04 .6627 .6630 .6620 .6631 .0016 .6690 .6150 578

Est vol 5,050; vol Mon 20,827 open int 93,286, -4,936

BRITISH POUND (CME) - 62,500; $/June 1.5566 1.5714 1.5600 1.5636 - .0020 1.6416 1.5000 19,833

Est vol 1,557; vol Mon 6,656 open int 20,339, -1,195



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T gi ca hp ng ngoi hi tng lai:

- T gi ny c xc nh da trn cch tip cn chi ph nm gi (costof carry approach). Phng php ny tng t nh cch tip cn iu

kin ngang gi li sut c bo him (CIP).

1

1

T

T

C

C

tR

dpyF S

tR

dpy



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g ( y ) ( )

Chnh lch c bn (Basic) v ri ro c bn (Basic Risk)

Chnh lch c bn = F - S

Trong : F: Gi ca hp ng tng lai

S: Gi giao ngay ca ti sn c bo him

+ Nu F > S c ngha l chnh lch c bn > 0, nh vy th trngtng lai ang trong giai on tng trng (future market is incontango).

+ Nu F < S c ngha l chnh lch c bn < 0, nh vy th trngtng lai ang trong giai on suy thoi (future market is inbackwardation).



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Backwardation

T gi giao ngay

Contango


S


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Xc nh h s phng nga ri ro (hedge ratio)

+ H s phng nga ri ro, h, cho bit c mi 1 n v ti sn cs, chng ta cn nm gi h hp ng tng lai.

+ H s phng nga ri ro l mt s lun lun m v nu chng

ta ang c trng thi trng i vi ti sn c s th chng ta s phibn (sell short) i vi hp ng tng lai; v ngc li.

+ Thng thng ngi ta coi mi tng quan gia S v F(h s ) trong qu kh l d on tt nht ca h s phng ngari rotrong tng lai.

Sh

F



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g ( y ) ( )

Xc nh h s theo phng php bnh phng nh nht(OLS)

= = h

Nu mi tng quan gia v l ng bin v hon ho th

= v =1

iu c ngha l = h = 1 Nu mi tng quan gia v l khng hon ho th

-1< =h < 1

,Cov S F

Var F

* * ,S F r S F

Var F

S F ,r S F



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Xc nh s hp ng tng lai phng nga ri ro:

+ Phng php 1: Xc nh da trn ngoi t:

+ Phng php 2: Xc nh da trn ni t:

Trong : TVSo: l gi tr hin ti ca ti sn cn phng nga ri ro bng ngoi t.

Z : s lng tin t c quy nh cho mt hp ng tng lai.So : Gi giao ngay ca ti sn ti chnh c s ti thi im t 0.Fo : Gi tng lai ca ti sn ti chnh c s ti thi im t 0.

0 *f

TVSN h

z

0 0

0

**

*f

TVS SN h

z F



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V d 7:

Gi s, ngy 25/9/2005, ngn hng Citibank (tr s ti M) c khon

tn dng bng EUR tr gi 62,5 triu EUR (bao gm khon gc l 60triu v tin li l 2,5 triu tng ng vi mc li sut l 4,166%/nm). phng nga ri ro t gi cho khon tn dng ny trong trng hpGBP gim gi trn th trng FOREX, thay v s dng hp ng ngoihi k hn, Citibank c th s dng hp ng ngoi hi tng lai:

- Hp ng tng lai trn EUR giao thng 12/2005

- Hp ng tng lai trn EUR giao thng 3/2006



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Trng hp 1: Gi ca hp ng tng lai trn EUR bin ng cng chiu vging ht nh s bin ng trn t gi giao ngay:

Gi s, t The Wall Street Journal ngy 25/9/2005 cng b cc thng tin nhsau:

St ($/) = 1,2134 1EUR = 1,2134 USDFt ($/) = 1,2197 1EUR = 1,2197 USDGi s Citibank d tnh t gi giao ngay v tng lai ti thi im sau 1 nm na

(25/9/2006) s l:S(t+1) ($/) = 1,2034 1EUR = 1,2034 USDF(t+1) ($/) = 1,2097 1EUR = 1,2097 USD

S = 1,2034 - 1,2134 = - 0,01$/ = - 1 cent/

F= 1,2097 - 1,2197 = - 0,01$/ = - 1 cent/= 1

F

Sh



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174

S lng hp ng tng lai cn phi bn l:

= = 500 hp ng.

Tnh khon l do EUR gim gi i vi khon tn dng bng EUR:62.500.000 (1,20341,2134) = - 625.000 USD.

Tnh khon li do EUR gim gi thu c t vic bn cc hp ng tng lai:

- Cch 1: 500 hp ng * 125.000 * (1,2197 1,2097) = 625.000 USD.

- Cch 2: 500 hp ng * 100 ticks * 12,5 = 625.000 USD

0 *fTVS

N hz

62.500.000

*125.000

h



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175

Trng hp 2: Gi ca hp ng tng lai trn EURv t gi giao ngaybin ng cng chiu nhng mc bin ngkhng ging nhau.

Gi s, t The Wall Street Journal ngy 25/9/2005 cng b cc thng tin nhsau:

St ($/) = 1,2134 1EUR = 1,2134 USDFt ($/) = 1,2197 1EUR = 1,2197 USD

Gi s Citibank d tnh t gi giao ngay v tng lai ti thi im sau 1 nmna (25/9/2006) s l:

S(t+1) ($/) = 1,2034 1EUR = 1,2034 USDF(t+1) ($/) = 1,2147 1EUR = 1,2147 USDS = 1,2034 - 1,2134 = - 0,01$/ = - 1 cent/

F= 1,2147 - 1,2197 = - 0,005$/ = - 0,5 cent/

= -2S

hF



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176

S lng hp ng tng lai cn phi bn l:

= = 1.000 hp ng.

Tnh khon l do EUR gim gi i vi khon tn dng bng EUR:62.500.000 (1,20341,2134) = - 625.000 USD.

Tnh khon li do EUR gim gi thu c t vic bn cc hp ng

tng laiCch 1: 1.000 * 125.000 * (1,21971,2147) = 625.000 USD.Cch 2: 1.000 * 50 ticks * 12,5 = 625.000 USD

0 *fTVS

N hz

62.500.000

*125.000

h



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177

V d 8:Gi s ngy 1/ 4 /2005 mt nh NK M c tnh s phi tr 1 khontin tr gi 500.000 SF trong vng 6 thng (1/ 10/ 2005) do NK hngha t Thy s. C cc thng s trn th trng nh sau:

So($/SF) = 0,6700S1($/SF) = 0,7200Fo($/SF) = 0,6738 (giao thng 10)F1($/SF) = 0,7204

F1($/SF)Fo$/SF) = 0,0466 = 466 ticksz = 125.000 SFTick size (value) = 0,0001$/SF (12,5$)



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Xc nh s hp ng tng lai cn mua l:

Cch 1: = 4 hp ng.

Cch 2: 4 hp ng.

S tin USD m nh NK phi b ra c 500.000 SF trn th trng giao ngay l: 500.000SF * 0,72 = 360.000 USD S tin li thu c t hp ng tng lai l:

Cch 1: 500.000 * (0,72040,6738) = 23.300 USDCch 2: 4 hp ng * 466 ticks * 12,5 = 23.300 USD

S tin USD rng m nh NK phi b ra l:360.000 - 23.300 = 336.700 USD

T gi thc s s l:

= 0,6734 ($/SF)

0

f

TVSN

z 500.000

125.000F

N

0 0

0

*

*f

TVS SN

z F

500.000*0,6700

125.000*0,6738F

N

336.700

500.000

Phng nga bng hp ng ngoihi quyn chn (Currency Options)


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179

Hp ng ngoi hi quyn chn (Curency Options contract): l 1 cng c ti chnh

cho php ngi mua hp ng c quyn (ch khng phi ngha v) mua hoc bn

mt tin t ti mt t gi c nh tha thun trc (Exercise Price or Strike Price

- Gi thc hin) trong mt khong thi gian nht nh.

Hp ng quyn chn khc vi hp ng k hn v tng lai ch n cho php

ngi mua quyn chn c mt s la chn:

+ Hoc l tin hnh giao dch (thanh ton) theo t gi tha thun t trc

nu t gi l c li cho h (exercise the contract).

+ Hoc cho hp ng t ht hn m khng tin hnh bt c mt giao dch

no nu t gi khng c li cho h.

Hp ng quyn chn c giao dch trn th trng OTC v trn S Giao dch

Phng nga bng hp ng ngoi hiquyn chn (Currency Options)- (Cont )


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quyn chn (Currency Options) (Cont.) Cc ch th tham gia hp ng quyn chn:

+ Ngi bn hp ng quyn chn (Writer, Seller, or Grantor).+ Ngi mua hp ng quyn chn (Buyer, Taker)+ Trung tm thanh ton b tr ca hp ng quyn chn (Option

Clearing Corporation - OCC). Cc loi hp ng quyn chn:+ Quyn chn kiu Chu u: ch cho php thc hin giao dch ti

thi im hp ng o hn.+ Quyn chn kiu M: cho php thc hin giao dch vo bt k

thi im no trong thi gian hiu lc ca hp ng.

Phng nga bng hp ng ngoi hiquyn chn (Currency Options)- (Cont.)


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181

Quyn chn mua v quyn chn bn tin t:+ Quyn chn mua tin t (Call Option): l 1 cng c

ti chnh cho php ngi mua hp ng c quyn (chkhng phi ngha v) mua mt tin t (mua tin t yt gi)ti mt t gi c nh tha thun trc trong mtkhong thi gian nht nh

+ Quyn chn bn tin t (Put Option) : l 1 cng cti chnh cho php ngi mua hp ng c quyn (chkhng phi ngha v) bn mt tin t (bn tin t yt gi)ti mt t gi c nh tha thun trc trong mtkhong thi gian nht nh.

Ph quyn chn (Option Premium): l khon tin m ngimua hp ng quyn chn phi tr cho ngi bn



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182

Li/l i vi hp ng quyn chn mua tin t (Call Option):

Gi S: l gi ca tin t trn th trngE: l gi thc hin ca hp ng quyn chn: Ph quyn chn.

+ Nu S > E: ngi mua quyn chn mua s thc hin hp ng (exercise the

contract)Li t hp ng quyn chn = S - E - .

+ Nu S < E: ngi mua quyn chn mua s khng thc hin hp ng (donot exercise the contract).

L t hp ng quyn chn = - .

Cng thc tng qut:Li/l = [Max (S-E, 0)]



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183

Li/l i vi hp ng quyn chn bn tin t (Put Option):Gi S: l gi ca tin t trn th trng

E: l gi thc hin ca hp ng quyn chn: Ph quyn chn.

+ Nu S < E: ngi mua quyn chn mua s thc hin hp ng (exercise thecontract)Li t hp ng quyn chn = E S - .

+ Nu S > E: ngi mua quyn chn mua s khng thc hin hp ng (donot exercise the contract).

L t hp ng quyn chn = - . Cng thc tng qut:

Li/l = [Max (E - S, 0)]

Phng nga ri ro t gi bng hp ngquyn chn bn (Protective Put)


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184

quyn chn bn (Protective Put) L chin lc kt hp gia trng thi trng i vi ti sn ti

chnh c s v mua quyn chn bn (long in underlying assetand long in put option).

V d 9:Gi s ngy 27/3/2006 ngn hng Eximbank c trng thi

trng i vi EUR, t gi S0(VND/EUR) = 19.400. phng nga ri ro, Eximbank s mua hp ng quyn

chn bn EUR theo t gi E(VND/EUR) = 19.400 (at the moneyprotective put), thi hn 3 thng (27/6/2006), ph quyn chnbng VND/ EUR.

Phng nga ri ro t gi bng hp ngquyn chn bn (Protective Put)-(Cont.)


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185

Kh nng 1: St(VND/EUR) E(VND/EUR) = 19.400.

+ Gi tr ca EUR ti thi im n hn hp ng s l:St(VND/EUR)

+ Do St(VND/EUR) E(VND/EUR) nn Eximbank s thc hinhp ng quyn chn bn ny. Khon li thu c do mua hp ngquyn chn bn s l:

E(VND/EUR) - St(VN/EUR) -

+ Gi tr ca chin lc phng nga ri ro bng hp ng quynchn bn s l:

St(VND/EUR) + E(VND/EUR) - St(VND/EUR) - = E(VND/EUR) -



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186

Kh nng 2: St(VND/EUR) > E(VND/EUR) = 19.400.


+ Do St(VND/EUR) > E(VND/EUR) nn Eximbank s khngthc hin hp ng quyn chn bn ny v khon l do mua hp ngquyn chn bn s l:

-

+ Gi tr ca chin lc phng nga ri ro bng hp ng quynchn bn s l:St(VND/EUR) -



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Option premium

Put pay-off withpremium

St

Protective put withpremium

Currencypay-off

Pay-off

0

S0 = E

Phng nga ri ro t gi bng hp ngquyn chn mua (Covered Call)


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L chin lc kt hp gia trng thi trng i vi ti snti chnh c s v bn quyn chn mua (long in underlyingasset and short in call option).

V d 10:Gi s ngy 27/3/2006 ngn hng Eximbank c trng

thi trng i vi EUR, t gi S0(VND/EUR) = 19.400. phng nga ri ro, Eximbank s bn hp ng

quyn chn mua EUR theo t gi E(VND/EUR) = 19.400,thi hn 3 thng (27/6/2006), ph quyn chn bng VND/ EUR

Phng nga ri ro t gi bng hp ngquyn chn mua (Covered Call) (Cont.)


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189

Kh nng 1: St(VND/EUR) E(VND/EUR) = 19.400.


+ Do t gi : St(VND/EUR) E(VND/EUR): ngi mua hpng quyn chn mua s khng thc hin hp ng. Khon li thuc do bn hp ng quyn chn mua i vi Eximbank s chnh lkhon ph ca quyn chn:

+ Gi tr ca chin lc phng nga ri ro bng hp ng quynchn mua s l:

St(VND/EUR) +


(Cont.)


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190

( )

Kh nng 2: St(VND/EUR) > E(VND/EUR) = 19.400.


+ Do t gi : St(VND/EUR) > E(VND/EUR): ngi mua hpng quyn chn mua s thc hin hp ng quyn chn. Khon l dobn hp ng quyn chn mua i vi Eximbank s l:

E(VND/EUR) - St(VND/EUR) +

+ Gi tr ca chin lc phng nga ri ro bng hp ng quynchn bn s l:

Et(VND/EUR) +


(Cont.)


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( )

Option premium

Call pay-off withpremium

S

Covered callwith premium

Stockpay-off

Pay-off

0

Reduction in downside

Phng nga ri ro t gi bng cch kt hp 1quyn chn mua v 1 quyn chn bn ccng gi thc hin hp ng (Straddles)


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192

cng gi thc hin hp ng (Straddles)

Long Straddle: l s kt hp mua 1 quyn chnmua v 1 quyn chn bn c cng gi thc hinhp ng (Bottom Straddle).

Short Straddle: l s kt hp bn 1 quyn chn

mua v 1 quyn chn bn c cng gi thc hinhp ng (Top Straddle).

Phng nga ri ro t gi bng cch kthp 1 quyn chn mua v 1 quyn chn

bn c cng gi thc hin hp ng


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193

g g p g

(Straddles)

S S

0 0

Pay-off to topstraddlePay-off to bottom

straddle

Phng nga bng cch kt hp mua 1 quyn chnmua v bn 1 quyn chn mua, gi thc hin hp

ng v ph quyn chn khc nhau (Put Spread)


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194

ng v ph quyn chn khc nhau (Put Spread)

y l chin lc c s dng vi mc ch lm gim chi ph phng ngari ro (gim mc ph quyn chn).

V d 11:

Gi s Ngn hng Eximbank ang trng 1.000.000 USD v ngn hngcn mua GBP trong 3 thng ti. phng nga ri ro t gi do s bin ngca t gi, ngn hng tin hnh mua 1 quyn chn mua GBP bng1.000.000 USD (tng ng vi mua quyn chn bn USD) ti t giUSD/GBP = 1,6100, vi mc ph quyn chn l 0,63%, nh vy, mc phquyn chn s l 6300USD = 3.937,5GBP.

ng thi Ngn hng cng tin hnh bn 1 quyn chn mua GBP (stin tng ng 1.000.000 USD) - ti t gi USD/GBP = 1,6500, vi mcph quyn chn l 0,166%, nh vy ph quyn chn s l 1.660 USD =1.037,5GBP.

Phng nga bng cch kt hp mua 1 quynchn mua v bn 1 quyn chn mua, gi thchin hp ng v ph quyn chn khc nhau


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195

(Put Spread) Kh nng 1: USD/GBP = 1,5800 < 1,6100:

S GBP thu c =

Kh nng 2: 1,6100< USD/GBP = 1,6400 < 1,6500

S GBP thu c = Bn USD theo gi giao ngay + Li nhun do muaquyn chn mua GBP Ph quyn chn

=

Kh nng 3: USD/GBP = 1,6700 > 1,6500

S GBP thu c = Bn USD theo gi giao ngay + Li nhun do muaquyn mua GBP - Khon l do bn quyn muaPh quyn chn

=

1.000.0002.900 630.011

1, 58GBP

1.000.000 1 11.000.000 2.900 618.218

1, 64 1, 61 1, 64GBP

1.000.000 1 1 1 11.000.000 1.000.000 2.900 610.960

1, 67 1, 61 1, 67 1, 65 1, 67GBP

Phng nga bng cch kt hp mua 1 quyn muav bn 1 quyn bn cng gi thc hin hp ng vph quyn chn, nhng s lng tin t 2 hp

ng khc nhau (Participating Forward)


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196

ng khc nhau (Participating Forward)

y l chin lc c s dng vi mc ch lm chi ph phng nga ri robng 0.

V d 12:Gi s S giao dch Ngn hng T&PTVN ang trng 1.000.000 USD

v ngn hng cn mua GBP trong 3 thng ti. phng nga ri ro t gi dos bin ng ca t gi, ngn hng tin hnh mua 1 quyn chn mua GBPbng 1.000.000 USD (tng ng vi mua quyn chn bn USD) ti t giUSD/GBP = 1,6100.

ng thi Ngn hng cng tin hnh bn 1 quyn chn bn GBP (s tintng ng 500.000 USD) - ti t gi USD/GBP = 1,6100.

Phng nga bng cch kt hp mua 1 quynmua v bn 1 quyn bn cng gi thc hinhp ng v ph quyn chn, nhng s lngtin t 2 hp ng khc nhau (Participating


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197

tin t 2 hp ng khc nhau (Participating

Forward) Kh nng 1: USD/GBP = 1,5800 < 1,6100:

S GBP thu c = Bn USD theo gi giao ngay - L do bn hpng quyn chn bn Ph quyn chn.

=

Kh nng 2: 1,6100< USD/GBP = 1,6300S GBP thu c = Bn USD theo gi giao ngay + Li nhun do

mua quyn chn mua GBP Ph quyn chn.

=

1.000.000 1 1500.000 0 627.0141, 58 1, 58 1, 61

GBP

1.000.000 1 11.000.000 0 621.118

1, 63 1, 61 1, 63GBP

Phng nga bng cch kt hp mua 1 quynmua v bn 1 quyn bn c gi thc hin khcnhau, nhng cng ph quyn chn v s lng


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tin t (Range Forward Cyclinder Option)

y l chin lc c s dng vi mc ch lm chi ph phng ngari ro bng 0.

V d 13:Gi s Ngn hng Eximbank ang trng 1.000.000 USD v

ngn hng cn mua GBP trong 3 thng ti. phng nga ri ro t gido s bin ng ca t gi, ngn hng tin hnh mua 1 quyn chnmua GBP bng 1.000.000 USD (tng ng vi mua quyn chn bnUSD) ti t gi USD/GBP = 1,6200.

ng thi Ngn hng cng tin hnh bn 1 quyn chn bn GBP(s tin tng ng 1.000.000 USD) - ti t gi USD/GBP = 1,5800.

Phng nga bng cch kt hp mua 1 quynmua v bn 1 quyn bn c gi thc hin khcnhau, nhng cng ph quyn chn v s lng


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199

tin t (Range Forward Cyclinder Option) Kh nng 1: USD/GBP = 1,5600 < 1,5800:S GBP thu c = Bn USD theo gi giao ngay - L do bn hp ng quyn

chn bn Ph quyn chn.

=

Kh nng 2: 1,5800< USD/GBP = 1,6000 < 1,6200S GBP = Bn USD theo gi giao ngay Ph quyn chn.

=

Kh nng 3: USD/GBP = 1,6500 > 1,6200:S GBP thu c = Bn USD theo gi giao ngay + Li nhun do mua quyn

chn mua GBP Ph quyn chn

=

1.000.000 1 11.000.000 0 632.911

1, 56 1, 56 1, 58GBP

1.000.000 625.000

1, 6GBP

1.000.000 1 11.000.000 617.284

1, 65 1, 62 1, 65GBP

Phng nga bng hp nghon i (Curency Swaps)


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200

Hp ng hon i ngoi hi l hp ng din ra vic ng thi mua vo v bnra mt tin t nht nh i vi mi bn, trong ngy gi tr mua vo v ngy gitr bn ra l khc nhau.

c im ca hp ng hon i ngoi hi:+ L hp ng mua vo v bn ra mt tin t nht nh c k kt ng thi

ti ngy hm nay.+ S lng tin t yt gi mua vo v bn ra l bng nhau cho mi bn.+ Ngy gi tr ca giao dch mua vo v ngy gi tr ca giao dch bn ra l

hon ton khc nhau

Phn loi hp ng hon i ngoi hi:

+ Loi hp ng bao gm 1 giao dch giao ngay v 1 giao dch k hn (Spot-Forward Swap).+Loi hp ng gm 2 giao dch k hn c k kt ng thi ti ngy hm

nay, nhng c ngy gi tr khc nhau (Forward Forward Swap).

Phng nga bng hp nghon i (Curency Swaps)-


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201

(Cont.) Hp ng hon i tin t thuc loi hp ng hon i ngoi hi c thi hndi (thng t vi nm tr ln) v li sut pht sinh c thanh ton nh ktrong thi gian hiu lc ca hp ng, khon gc ch c hon i khi hpng o hn.

S khc nhau:

+ Trong hp ng hon i ngoi hi, gc v li c thanh ton 1 lnti thi im hp ng n hn; cn trong hp ng hon i tin t, li cthanh ton nh k cn gc c thanh ton mt ln ti thi im hp ng nhn

+ Hp ng hon i ngoi hi c giao dch trn FOREX, cn hpng hon i tin t c giao dch trn th trng hon i (Swap Market).



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202

(Cont.) T gi hon i (swap rate) chinh l im k hn (forwardpoint) hay im hon i (swap point) m ti ngn hngyt gi sn sng hon i 2 tin t nht nh thng qua giao

dch giao ngay v giao dch k hn. do , t gi hon ic xc nh theo cng thc:

T gi hon i = im k hn = T gi k hn - Tgi giao ngay

= P = F - S



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203

(Cont.) Hon i ng nht (Pure Swap) v hon i ghp (Engineered Swap):- Hon i ng nht l giao dch trong v giao ngay v v k

hn thuc 1 hp ng hon i.

- Hon i ghp l giao dch trong v giao ngay v v k h

thuc 2 hp ng c lp. V d:

Gi s cng ty A c tnh hnh ti chnh nh sau:

- D tha 10.000.000 EUR vo thi im hin ti nhng s sdng sau 1 thng.

- C nhu cu 20.000.000 USD vo thi im hin nay nhng sau1 thng na mi c.



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204

(Cont.) Cng ty c th x l trng thi ngoi hi ny nh sau:

- Gi EUR d tha v i vay USD thiu ht.

- Bn giao ngay EUR i khon USD p ng nhu cu USD.

- Bn giao ngay EUR ly USD, ng thi bn k hn USD s nhn c(Engineered Swap)

- K 1 hp ng hon i gm (Pure Swap):

+ V giao ngay: Bn EUR mua USD

+ V k hn: Mua EUR bn USD

Phng nga bng hp nghon i (Curency Swaps)-(Cont.)


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(Cont.)

Hp ng hon i loi c nh/c nh:

V d 17:

Ngn hng Chase Mahattan (M) huy ng 5 tr.USD vi li sut 8%/nm,thi hn 3 nm sau cho vay Vinaconex (Vit Nam) 80 000 tr.VND vi t giE(VND/USD) = 16 000 , li sut 12%/nm, thi hn 3nm, li tr hng nm.Ngn hng s gp ri ro t gi nu sau khi cho vay, t gi c xu hng tng.

Ngn hng VCB (Vit Nam) huy ng 80 000 tr.VND vi li sut10%/nm, thi hn 3 nm sau cho vay cng ty ABC (M) 5 tr.USD vi t giE(VND/USD) =16 000, li sut 10,5%/nm, thi hn 3nm, li tr hng nm.Ngn hng s gp ri ro t gi nu sau khi cho vay, t gi c xu hng gim.

Hp ng hon i loi c nhc nh (Cont.)


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206

Hai ngn hng s k hp ng SWAP c nh-c nh:- Thi hn 3 nm,

- T gi E(VND/USD) = 16.000,

- Ngn hng Chase Mahattan (CM) s chuyn 5 tr.USD huy ng c chongn hng VCB,

- Ngn hng VCB s chuyn 80000 tr.VND huy ng c cho ngn hngCM,

- Ngn hng CM thanh ton (chuyn) tin li VND cho ngn hng VCB,

- Ngn hng VCB s thanh ton (chuyn) tin li USD cho ngn hng CM.

Hp ng hon i loi c nh


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207

c nh (Cont.)

Ngn hng Chase

Mahattan

Ngn hng VCBHuy ng 5 tr. USD

Chuyn gc v th.ton li


Cho vay 80.000 tr. VND Cho vay 5 tr. USDE(VND/USD) = 16.000

Huy ng 80.000 tr. VND

Hp ng hon i loi c nhc nh (Cont.)


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( ) Lung tin thanh ton:

Cuinm

Ngn hng ChaseMahattan

thanh ton (tr.VND)

Ngn hng VCBthanh ton

(tr.USD)

Ngn hngVCB

thanhton tng

ng(tr.VND)

Lungtin rng

(tr.VND)

1

23

80 000*12% = 9

6009 60080 000 + 9 600 = 89

600

5*10,5% = 0,525

0,5255 + 0,525 = 5,525

8 400

8 40088 400

1 200

1 2001 200

Hp ng hon i loi c nhth ni

V d 18


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209

V d 18:

Ngn hng Chase Mahattan (M) huy ng 5 tr.USD vi li sut Liborth ni tng nm, thi hn 3 nm sau cho vay mt cng ty Vinaconex (VitNam) 80 000 tr.VND vi t gi E(VND/USD) = 16 000 , li sut 12%/nm,thi hn 3 nm, li tr hng nm. Ngn hng ny s gp ri ro t gi v li sutnu sau khi cho vay, t gi v li sut c xu hng tng.

Ngn hng VCB (Vit Nam) huy ng 80 000 tr.VND vi li sut10%/nm, thi hn 3 nm sau cho vay cng ty ABC (M) 5 tr.USD vi tgi E(VND/USD) = 16 000, li sut (Libor + 4/8) th ni tng nm, thi hn 3nm, li tr hng nm. Ngn hng s gp ri ro t gi v li sut nu sau khicho vay, t gi v li sut c xu hng gim

Hp ng hon i loi c nhth ni (Cont.)


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210

( ) Hai ngn hng s k hp ng SWAP c nh-th ni:

- Thi hn 3 nm,

- T gi E(VND/USD) = 16.000,

- Ngn hng Chase Mahattan (CM) s chuyn 5 tr.USD huy ng c chongn hng VCB,

- Ngn hng VCB s chuyn 80000 tr.VND huy ng c cho ngn hngCM,

- Ngn hng CM thanh ton (chuyn) tin li VND cho ngn hng VCB,

- Ngn hng VCB s thanh ton (chuyn) tin li USD cho ngn hng CM.



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th ni (Cont.)

Ngn hng

ChaseMahattan

Ngn hng VCB

Huy ng 5 tr. USDLibor



Cho vay 80.000 tr. VND12%

Cho vay 5 tr. USDLibor + 4/8

E(VND/USD) = 16.000

Huy ng 80.000 tr. VND10%



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212

th ni (Cont.)Cuinm

Ngn hng ChaseMahattan thanhton (tr.VND)

(1)

Libor%

Ngn hng VCB thanhton (tr.USD)

Ngn hng VCBthanh ton

tng ng(tr.VND)(2)

Lungtin rng(tr.VND)

(1)-(2)

123

80 000*12% = 9 6009 600

80000+9600= 89 600

10,51112

5*(10,5%+0,5%) = 0,555*(11%+0,5%) = 0,575

5+5*(12%+0,5%)=5,625

8 8009 200

90 000

800400

-400

Ri ro ca cc giao dch ngoihi phi sinh


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p Ma trn xp hng mc ri ro ca cc giao dch ti chnh phi sinh

theo loi hp ng v mc ch s dng.

Li sut

T gi

Vn, hngha v khc

Hedging Dealing Speculating

Mc ri ro

Cc loihp ng

Mc ch sdng

Ri ro ca cc giao dch ngoihi phi sinh (Cont.)


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Ri ro th trng (Market Risk).

Ri ro tn dng (Credit Risk).

Ri ro hot ng (Operation Risk).

Ri ro c bn

H thng cc vn bn php quyv phng nga ri ro hi oi


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215

Vn bn v qun l ngoi hi:

-Ngh nh 63/1998/N-CP ngy 17/8/1998 ca CP v qun l ngoi hi.

- Thng t ca NHNH Vit Nam s 01/1999/TT-NHNN 7 ngy 16/4/1999

hng dn thi hnh Ngh nh s 63/1998/N-CP ngy 17/8/1998 ca CP vqun l ngoi hi.

-Ngh nh s 05/2001/N-CP ngy 17/01/2001 sa i, b sung mt siu ca Ngh nh s 63/1998/N-CP ngy 17/8/1998 ca CP v qun l ngoihi.

-Ngh nh 131/2005/N-CP ngy 18/10/2005 ca CP v sa i Nghnh 63.

H thng cc vn bn php quyv phng nga ri ro hi oi


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(Cont.) Vn bn v quy nh trng thi ngoi hi ca cc NHTM- Quyt nh s 18/1998/Q-NHNN7 ngy 10/01/1998 v trng

thi ngoi t i vi cc t chc tn dng c php kinh doanh ngoihi.

- Quyt nh s 1081/2002/Q-NHNN ngy 07/10/2002 v trngthi ngoi t i vi cc t chc tn dng c php kinh doanh ngoihi.

- Quyt nh s 1168/2003/Q-NHNN ngy 02/10/2003 v vicsa i iu 1 Quyt nh s 1081/2002/Q-NHNN ngy 07/10/2002ca Thng c NHNN v trng thi ngoi t i vi cc t chc tndng c php kinh doanh ngoi hi.

Vn bn php quy v giao dchngoi hi k hn


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T gi k hn ti a = T gi giao ngay ti a + % bin daong.

Quyt nh s 648/2004 ca T

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