1.

Khi nim v VAR Nh chng ta bit khi nim v trc gic l rt r rng tuy nhin vic chnh thc ha n th gp nhiu kh khn. Mi th trng ring l u c mt cc hiu qu 5 nh lng ri ro nhng khi p dng cho th trng khc li t ra km hiu qu. Chng ta tng bit n nhiu cng c o lng ri ro chnh nh sau: Asset Risk measure Tri phiu Thi gian, m hnh cu trc Tn dng nh gi m hnh xp hng tn dng C phiu Bin ng, tng quan , beta Phi sinh Delta, gamma,... Ngoi hi Mc tiu khu vc Gi tr ri ro (VAR- Value at risk) l mt cch i ph vi tt c cc th trng khc nhau, cc ri ro khc nhau, kt hp tt c cc yu t, l mt ch s tt v mc ri ro tng th VAR c xy dng trn c s l thuyt xc sut thng k t nhiu th k, pht trin v ph bin u nhng nm 1990. T nm 1994, vi s ra i ca RiskMetric, mt gi sn phm ng dng VaR mang thng hiu ca cng ty tch ra t JP Morgan Chase, VaR c p dng rng ri v tr thnh mt tiu chun trong vic o lng v gim st ri ro ti chnh, c bit l ri ro th trng, trn ton th gii. VAR c th p dng c vi mi danh mc c tnh lng (danh mc m gi tr c iu chnh theo th trng). VaR khng th p dng c vi cc ti sn khng c tnh lng (BS, tc phm ngh thut). Tt c mi ti sn lng u c gi tr khng c nh, c iu chnh theo th trng vi mt quy lut phn b xc sut nht nh - mi nguyn nhn ri ro ca th trng hnh thnh nn quy lut phn b xc sut ny hu dng vi tt c ti sn lng cha ng mi ngun ri ro th trng, do VaR l phng php o lng ton din i vi ri ro th trng. Hin nay, theo hip c Basel II ra i nm 2001 cho php cc ngn hng s dng cc m hnh ni b, trong cc ngn hng t do la chn v pht trin m hnh o lng gi tr chu ri ro (VAR) ph hp vi t chc mnh.Trong ngn hng tn ti 2 s: banking book v trading book. Vi banking book l cc hot ng ni

bng ca ngn hng: cc hot ng qun l ti sn n v c o lng bng phng php Earning at risk. Vi trading book, l cc hot ng mua bn t doanh cc ti sn ti chnh, ngn hng s dng VAR o lng ri ro v gim gi tr ca ti sn ny. Tuy nhin vn c th s dng VAR cho c banking book v trading book bi v khi cc iu kin th trng thay i nh li sut n s nh hng n c thu nhp v gi tr ca ti sn. Do vy, vi banking book ngn hng s dng VAR o lng ri ro v thu nhp i vi ti sn n, cn trading book, ngn hng s dng o lng ri ro gim gi tr i vi danh mc ti sn u t. Trong phm vi nghin cu ny th bi tho lun s i nghin cu trn phm tr s giao dch (tc l s dng VAR o lng ri ro gim gi tr i vi danh mc u t). VAR l tn tht hay khon l ti a c d on khi tnh hung xu nht xy ra vi mt tin cy no trong mt khon thi gian nht nh. nh ngha ny c th c hiu qua v d sau: Mt danh mc u t c gi tr 100.000 USD, c VAR hng ngy l 5000 USD vi tin cy 99%, c ngha l nu danh mc u t ny khng thay i trong vng mt ngy v nu khng tn ti tnh hung xu nht, th khong 99% cc trng hp khon l thp hn 5000 USD v ch c xc sut 1% kh nng NH mt s tin vt qu 5000 USD. Xut pht t nh ngha th VAR ca mt danh mc ti sn ti chnh ph thuc vo 3 thng s: - tin cy c (v d tin cy l 95% th c 5% trng hp xu nht c th xy ra) - Khong thi gian o lng VAR - S phn b li/l trong khong thi gian ny. VAR c tnh theo cng thc P(L > VAR) <= 1-c

Nh u t s ri ro th h s hoch nh mt chin lc nhm gim xc sut xy ra cc trng hp xu nht. 2. La chn cc tham s Thng thng VAR s tng khi thi gian o lng tng ln hoc tin cy ln hn. S la chn ny ph thuc ch yu vo mc tiu ca vic s dng VAR. - Khi dng VAR tnh ton gi tr mt mt ln nht m cng ty c th chu, th khong o lng ri ro ph thuc vo bn cht ca danh mc u t. Khong thi gian o lng ri ro ph thuc vo thi gian thanh khon ca cc ti sn trong danh mc u t. Cc ngn hng thng mi ly thi gian o lng ri ro l mt ngy v tnh thanh khon nhanh chng, cn qu hu tr li ly thi gian l mt thng. - Mt ng dng na ca VAR l dng ct l. Khi l vt qu gi tr VAR th c th dn n mt ht ti sn dn n ph sn. Do vy mt s nh u t thn trng s thc hin vic ct l khi m thua l hin ti vt qu gi tr VAR. Vi mc ch ny th vic la chn tin cy th hin mc lo ngi ca nh u t vi ri ro. Nh u t cng c cm vi ri ro s cng chn tin cy cao do dn n VAR cng cao.

Ngn hng ly tin cy l 95% v thi gian o lng ri ro l 1 ngy tng thch vi quy tc ca t chc Basel. 3. Phng php o lng VAR C 2 phng php: phng php tham s v phng php phi tham s Phng php tham s da trn gi thit v phn b xc sut v li nhun bit trc. Khi gi tr VAR c th c tnh trc tip t lch chun hay tin cy. Ngc li phng php phi tham s khng c gi thit no v phn phi li nhun m ch yu da vo d liu thc t Hin nay c 3 phng php thng dng : + M phng lch s (phng php phi tham s) + Phng php m phng Monte- Carlo (phng php phi tham s) + Phng php JPM RiskMetrics (phng php tip cn theo hip phng sai v phng sai) 3.1 Phng php m phng lch s nh gi danh mc u t da trn thu nhp ca ti sn tnh theo thi gi lch s (thng thng l 500 ngy trc ) c im : - Gi nh hnh vi th trng trong tng lai s ging hnh vi trong qu kh c v tn sut ln m cc s kin xy ra. - Kt qu ph thuc vo khon thi gian qu kh c la chn V d: NH cn chuyn mt lng ngoi t khc sang ng la theo t gi giao ngay ca ngy hm nay. tnh ri ro t gi m NH chu, ta thc hin theo cc bc: o lng nhy o lng s thay i cu gi tr ng ddoola khi ng tin khc gim gi o lng ri ro Xc nh phn trm thay thc t trong t gi hi oi cho mi ngy trong giai on 500 ngy trc

 Sp xp theo th t ngy c ri ro cao nht cho n ngy c ri ro thp nht. Gi s vi tin cy 95%, tnh 5% cc kt cc c iu kin xu nht 3.2 Phng php m phng Monte-Carlo. Phng php ny tng t nh phng php m phng lch s, ngoi tr s thay i cc tc nhn ri ro c to ra t cc quy lut phn phi khc v c xy dng da trn phn mm m phng tng thch vi tng ngn hng. Trong 3 phng php ny, nhm nhn mnh vo phng php th 3, phng php JP Morgan RiskMetrics. 3.3 Phng php JP Morgan RiskMetrics Gi nh s thay i trong thu nhp l mt i lng tun theo quy lut phn phi chun. Cng thc xc nh gi tr chu ri ro (VAR): Xc nh trong thi gian o lng l 1 ngy: VAR = V0 * SigmaV0 * Z Trong : V0: gi tr ti sn hin ti SigmaV0: s bin ng trong thu nhp hng ngy ca TSTC Z: mc tin cy c s dng C th cn lu cc tham s SigmaV0 v Z. + i vi SigmaV0 l mc bin ng trong thu nhp hng ngy ca TSTC nn n thay i ph thuc vo TSTC - i vi mc bin ng gi chng khon SigmaV0 = (-MD) * lch chun MD = D/(1+YTM) - S bin ng t gi hi oi SigmaV0 = S/S0 + Mc tin cy Z c xc nh tng ng vi tin cy ng vi tin cy 95% th Z=1.65 Gi tr ca Z c th hin c th trong bng phn phi tng ng vi tng tin cy c mt gi tr Z nht nh.

 Xc nh VAR cho giai on di hn 1 ngy: VARn days =VARday * n 4. V d c th V d 1: Gi s ngn hng mua mt tri phiu zero-coupon c k hn 7 nm v gi tr th trng l 1 triu la.Li sut th trng hi ti l 7.243%.Khi li sut tng ln mt n v c s, xc nh gi tr chu ri ro m ngn hng phi gnh chu trong 5 ngy sau ? Gi nh v phn phi chun c tha mn v tin cy l 95%. Gii: p dng cng thc: VARn days =VARday * n VARday =V0 * SigmaV0 * Z Ta c : V0 =1,000,000 $ SigmaV0 = (-MD)* 0.01% MD = D/(1+YTM) = 7/(1+1.243%) = 6.527 SigmaV0= (-6.527)* 0.01% VAR1= 1,000,000* (-6.527)* 0.01% = -1,077 VAR5= -1,077*5 = -2,408.2 V d 2: (Bi 1 SBT trang 38) Ngn hng Salt xc nh rng trong danh mc ti sn ca h c 37 triu Euro chu s iu chnh ca ri ro th trng.Mc t gi giao ngay hin ti l USD/EUR l 0.62. lch chun ca s thay i ca t gi giao ngay gia USD/EUR l 45 n v c s. Hy xc nh gi tr chu ri ro trong giai on 6 ngy m ngn hng phi chu vi tin cy 95% v gi thit v phn phi chun c tha mn.

Gii: p dng cng thc:

VARn days =VARday * n VARday =V0 * SigmaV0 * Z Ta c : VAR1 ngy= (37,000,000/0.62)*0.45%*1.65 =$443,104 VAR6 ngy=$443,104*6 =$1,085,379 5. So snh gia cc phng php 5.1 Phng php m phng lch s u im: - n gin - Khng cn gi nh v phn phi chun nh khi s dng RiskMetrics - Khng cn quan tm n h s tng quan hay lch chun ca thu nhp trung bnh ca cc ti sn ring l. Nhc im: - S lng quan st l 500 cha ln ng trn quan im thng k. - Tng s lng quan st ln bng cch li thi im quan st th khng phi l la chn ti u - Nhng g xut hin trong qu kh c th khng lp li trong tng lai v ngc li 5.2 Phng php m phng Monte-Carlo u im - L phng php hiu qu nht tnh VAR - Thch hp cho nhiu loi ti sn khc nhau Nhc im: - Thi gian tnh ton ln v gi thnh ln - Ph thuc vo m hnh ngu nhin. 5.3 Phng php phng sai- hip phng sai u im - D tnh ton cho danh mc u t ln v tng i nhanh - Phng php ny da trn gi thit v phn phi cc yu t ri ro nn rt hu ch cho vic bo co cng nh qun l danh mc u t

 Nhc im: Ch thch hp cho danh mc u t gm cc ti sn nh gi c phiu, chng khon m khng thch hp cho cc ti sn khc nh quyn chn, th chp,...