GII BI TAP

ARBITRAGE
Arbitrage dja phuong
Phuong php
Mua NH bn gi r ri bn lai cho NH mua gi cao
Thuc hin Arbitrage
Mua CHF ngn hng A vi gi $0.5
Bn CHF cho ngn hng B vi gi $0.505
==> Hung chnh lch $0.005 / 1 CHF
Tc dng Arbitrage
Mua CHF NH A nhiu --> Cu CHF NH A tng ln --> CHF NH A tr nn khan him --> NH A tng gi bn CHF
Bn CHF cho NH B nhiu --> Cung CHF cho NH B tng ln --> CHF NH B tr nn du tha --> NH B ha gi mua CHF
==> Chnh lch gi s gim xung
Arbitrage 3 bn
Phuong php
1. Tnh ton t gi cho thch hop
2. So snh t gi cho thch hop v t gi cho nim yt
Nu t gi cho thch hop khc vi t gi
cho nim yt th arbitrage 3 bn kh thi
3. i mua dng tin duoc djnh gi cao
T gi A/B ==> Gi mua nim yt cao hon gi mua
tnh ton ==> dng A dang duoc djnh gi cao
T gi A/B ==> Gi mua nim yt thp hon gi mua
tnh ton ==> dng B duoc djnh gi cao hon
Thuc hin Arbitrage
Tnh ton t gi cho thch hop
GBP/SEK = 9.48 / 10
So snh
V t gi cho thch hop khc vi t gi cho nim yt
(9.48 / 10 v 10.8 / 11) nn arbitrage 3 bn kh thi
Mua dng tin duoc djnh gi cao
Gi mua nim yt GBP/SEK = 10.8
Gi mua tnh ton GBP/SEK = 9.48
==> ng GBP dang duoc djnh gi cao hon
Chu trnh: USD --> GBP --> SEK --> USD
Dng USD mua GBP
Bn GBP ly SEK
Bn SEK ly USD
Arbitrage kh thi l do t gi di tin qua trung gian
(GBP --> SEK --> USD) > t gi di tin truc tip (GBP --> USD)
Xc djnh t gi trao di GBP --> USD: t gi a
USD --> GBP: t gi 1/b
Tc dng Arbitrage
USD --> GBP: mua GBP nhiu ==> NH tng gi bn GBP bng dng USD ln
GBP --> SEK: bn GBP nhiu ==> NH ha gi mua GBP bng dng SEK xung
SEK --> USD: bn SEK nhiu ==> NH ha gi mua SEK bng dng USD xung
==> Chnh lch gi s gim xung
TESSUARAI - TCQT - ARBITRAGE.mmap - 5/14/2011 -