Trng i hc Cng nghip Tp.

HCM
Khoa Thng mi - Du lch

15-Apr-13

3.1. Gii thiu chung

Chng 3. o lng ri ro

Nhn

dng ri ro mi ch l bc khi u ca
qun tr ri ro.
Ri ro c nhiu loi, mt t chc khng th
cng mt lc kim sot, phng nga tt c mi
loi ri ro. V vy, doanh nghip
Cn phn loi ri ro, t c bin php
qun tr ri ro thch hp.
Cn tin hnh o lng mc nghim
trng ca ri ro i vi t chc.

Ni dung nghin cu:

3.1. Gii thiu chung v o lng ri ro
3.2. Cc khi nim c bn
3.3. Phng php o lng ri ro
3.3.1. o lng ri ro thun ty
3.3.2. o lng ri ro suy on
H Vn Dng

15-Apr-13

15-Apr-13

H Vn Dng

3.1. Gii thiu chung (tt)

3.1. Gii thiu chung (tt)

3.1.1. Mc tiu ca o lng ri ro

hiu bit v ri ro
tnh chi ph ri ro: xc nh c phng php x
l ri ro tit kim nht v nh gi chi ph ri ro.
Kim sot ri ro: chn phng php c chi ph ri
ro nh nht.

3.1.2. Kim sot v qun tr ri ro

Mi ri ro phi c kim sot v qun tr cht ch.
Kt qu o lng ri ro s cho php nh QTRR ra cc
quyt nh hp l:

o lng ri ro nhm xc nh cc ri ro cn c u tin

kim sot v ti tr khi cn thit.
o lng ri ro gip cng ty nhn r cc ri ro c lin quan
n s sng cn ca cng ty.

15-Apr-13

H Vn Dng

15-Apr-13

Ri ro no c chp nhn, ri ro no s chuyn giao?

Phng php kim sot tn tht nh th no?
Loi tn tht no c ti tr? Hnh thc ti tr? Mc ti
tr?
Hnh thc ti tr c th bng vn vay hay vn c phn?

H Vn Dng

3.2. Cc khi nim c bn

3.2. Cc khi nim c bn

Tn tht trc tip v tn tht gin tip

3.2.1. Chi ph n ca tai nn

Tn tht trc tip l hu qu trc tip nguy him gy ra cho

ngi hay vt. V d khi la thiu ri mi nh ca mt ca
hng bn l th tn tht trc tip l chi ph sa cha hay thay
phn mi nh b h hng.
Tn tht gin tip lin h n s h hng trc tip gy ra do
mi nguy him, nhng cc hu qu v ti chnh khng phi l
hu qu trc tip t tc ng ca nguy him ln ngi hay vt.
Chng hn tht thu ca ch ca hng bn l khi ca hng phi
ng ca sa cha l tn tht gin tip. Cc tn tht gin
tip thng kh thy, mc du hu qu ca n c th ln hn
cc tn tht trc tip nhiu.

15-Apr-13

H Vn Dng

H Vn Dng

Theo Heinrich, cc chi ph tai nn cng nghip

thng ch c thy qua cc khon bi thng cho
cng nhn v cc chi ph thuc men trong thi gian
iu tr. Tuy nhin chi ph n tht s ln hn cc
khon bi thng rt nhiu v ng thy chi ph n >
gp 4 ln cc khon bi thng. Cc chi ph n bao
gm:
Chi ph thi gian b mt ca ngi b nn
Chi ph thi gian b mt ca cc cng nhn khc do
phi ngng vic gip ngi b nn.

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

3.2. Cc khi nim c bn

3.2. Cc khi nim c bn

3.2.1. Chi ph n ca tai nn (tt)

3.2.2. Cc yu t ca ri ro
S dng phng php chuyn gia o
lng cc ri ro c th xy ra.
S dng thang o nh hng, thang o kh
nng xy ra v sp xp u tin cc ri ro.
Cc yu t cn o lng:

Chi ph thi gian b mt ca cc qun c v cc vin

chc khc chun b bo co v o to ngi thay th.
Chi ph do nguyn liu, my mc, dng c v cc ti sn
khc b hng.
Chi ph ca ngi ch do phi tip tc tr lng y
cho ngi b nn khi h tr li lm vic, trong khi nng
sut ca h do cha hi phc, c th ch ng gi phn
na gi tr so vi trc kia.
Cc chi ph xy ra nh l hu qu v mt tinh thn ca tai
nn (s lo s, cng thng).
H Vn Dng

15-Apr-13

Tn sut
Mc
7

Thang o tn sut xut hin (kh nng xy ra)

xut hin ri ro (probability)

nghim trng ca ri ro (impact)
H Vn Dng

15-Apr-13

Thang o nh hng (mc nghim trng)

nh gi

Xc sut

Mc

nh hng

nh gi

Mc

Hu nh chc chn
xy ra

C th xy ra nhiu ln trong mt
nm

Nghim trng

Tt c cc mc tiu u khng t

Nhiu

Hu ht cc mc tiu u b nh hng

D xy ra

C th xy ra mt ln/ nm

Trung bnh

C th xy ra

C th xy ra trong thi gian 5 nm

Mt s ch tiu b nh hng, cn c s n
lc iu chnh

Kh xy ra

C th xy ra trong thi gian 5-10

nm

t (nh)

Cn t n lc iu chnh cc mc tiu

Khng ng k

nh hng rt nh, iu chnh bnh thng

Him khi xy ra

C th xy ra sau 10 nm

Da vo thang o nh hng DN phi nhn dng c tt c

cc s c ri ro c th xy ra trong hot ng SXKD ca DN,
nh gi s c no l nghim trng, bnh thng hoc c nh
hng khng ng k, c quyt nh x l ri ro hiu qu
nht.

T thang o kh nng xy ra trn, DN cn xc nh cc s

c ri ro c th xy ra trong hot ng ca DN s bc no.
15-Apr-13

H Vn Dng

nh lng ri ro

15-Apr-13

2.

Ri ro = Xc sut xut hin * Mc nghim trng

3.
4.

H Vn Dng

10

Sp xp th t u tin ca ri ro
1.

15-Apr-13

H Vn Dng

H Vn Dng

11

nh gi mc tn tht theo n v tin t.

Tnh kh nng xy ra ri ro theo n v phn
trm.
Nhn kh nng xy ra ri ro vi mc tn
tht s c gi tr mong i ca ri ro.
Sp xp th t u tin theo gi tr mong i
gim dn.

15-Apr-13

H Vn Dng

12

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

Ma trn mc ri ro
Khng
ng k

t (nh)

Trung
bnh

Nhiu

Nghim
trng

Hu nh chc chn xy ra

10

15

20

25

D xy ra

12

16

20

C th xy ra

12

15

Kh xy ra

10

Him khi xy ra

15-Apr-13

H Vn Dng

Th t u tin gii quyt

Mc nghim trng
(mc tn tht)

Kh nng xy ra

Khng ng k
(thp)

13

Phn cp cc yu t

(tn s ca tn tht)

nh hng
Xc sut

Thp

Cao

Nghim trng
(cao)

(I) Khng cn hnh

ng

(II) Yu cu hnh
ng

(III) Hnh ng nu
hiu qu v chi ph

(IV) Hnh ng
ngay

H Vn Dng

15-Apr-13

14

Ma trn quyt nh phng php x l ri ro

(I) din t cc ri ro c tn s v nghim trng

thp; nhng ri ro ny t khi gy ra tn tht, v nu
tn tht c xy ra cng tng i thp.
(II) din t cc ri ro c tn s thp v nghim
trng cao; tn tht t khi xy ra nhng nu xy ra th
nghim trng.
(III) din t cc ri ro c tn s cao v nghim
trng thp; tn tht thng xy ra nhng tng tn tht
th tng i thp.
(IV) din t cc ri ro c tn s v nghim trng
cao; tn tht xy ra thng xuyn v mi ln u
nghim trng.

Mc nghim trng

Kh nng xy ra

(tn s ca tn tht)

(mc tn tht)

THP
I
THP

- Lu gi

CAO

III
- Lu gi
- BHBP

CAO
II
- BHBP
- BHTP
IV
- BHTP

BHBP: bo him bn phn

15

16

BHTP: bo him ton phn

Quy trnh chung ca cc phng php nh

gi ri ro

Cc s liu c s dng o lng ri ro

S liu

thng k v: t l sn phm h hng,

sai li, khiu ni ca khch hng, s lng
cng nhn/ nhn vin b vic, doanh s hng
thng/nm
S liu thng k v n hng, mu m phi sn
xut
Lu hot ng ca cng ty
Cc bo co ti chnh (t nht 2 nm gn nht)
15-Apr-13

H Vn Dng

H Vn Dng

17

Nhn dng cc him ha v tn tht tim nng lin quan n

sn phm hay quy trnh.
Nhn dng ri ro ca sn phm v xp hng mc nghim
trng.
Nhn dng nguyn nhn v xp hng kh nng xy ra.
Ma trn mc ri ro phn bit cc ri ro c th chp nhn
vi ri ro khng th chp nhn da trn nghim trng ca
tn tht xy ra.
Xp hng ri ro trong tng th cho mi ri ro tim nng c
nhn ra.

15-Apr-13

H Vn Dng

18

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

3.3. Cc phng php nh lng o lng ri ro

3.3.1.1. Phng php trin khai tn tht

Mc tiu

Phng php

ca nh lng ri ro l thay th cc
khi nim m h bng cc din gii xc thc
v s liu c th.
3.3.1. o lng ri ro thun ty: c lng
khiu ni bi thng
Phng php trin khai tn tht
Phng php d bo da trn nguy c ri ro
Lch thanh ton khiu ni bi thng
c lng chnh xc

H Vn Dng

15-Apr-13

trin khai tn tht l k thut da

trn s liu tn tht trong qu kh c
lng cc tn tht c th xy ra trong tng lai
(nu tnh hnh chung khng thay i ng k
th quy lut tn tht c th vn cn ph hp).
H s trin khai k nm = Tng khiu ni/ S
khiu ni pht sinh sau k nm
S dng h s trin khai c lng tng s
khiu ni

19

20

Cc v d v phng php trin khai tn tht

3.3.1.1. Phng php trin khai tn tht (tt)

Bc 1. Xc nh h s trin khai

Phn tch tn tht trong qu kh nhm xc nh h s trin

khai. H s trin khai tng k bng tng s khiu ni c th
c chia cho khiu ni cng dn ca k

Bc 2. D bo khiu ni c th c

Khiu ni c th c ca tng l hng s bng s khiu ni

bo co nhn vi h s trin khai tng ng

Bc 3. D bo dng khiu ni bi thng theo thi

gian
Bc 4. D bo dng tin thanh ton v hin gi v
thi im d bo

V d 1: Mt ca hng bn my vi tnh c bo hnh 3

thng k t lc bn my. S liu thng k cho thy
thng th nht sau khi bn hng nhn c 50%
khiu ni, thng th 2 nhn c 30%, 20% cn li l
vo thng th 3. Mi khiu ni chi ph ht 50USD,
thanh ton lm 2 ln, ngay khi nhn khiu ni 60%,
40% cn li vo thng k tip. Khiu ni bo co
ca l hng bn thng 9/2010 l 40 v l hng bn
thng 10/2010 l 35. D bo s khiu ni c th c
cho 2 l hng trn, dng tin bi thng v hin gi
v thi im u thng 9/2010 vi li sut 1% thng.

21

Cc v d v phng php trin khai tn tht

22

Cc v d v phng php trin khai tn tht

V d 1:
Bc 1: Xc nh h s trin khai

V d 1:
Bc 2: D bo khiu ni c th c

(1)

(2)

(3)

(4)

50%

50%

= 100% : 50%

30%

80%

1,25

= 100% : 80%

20%

100%

= 100% : 100%

L hng
(1)
Thng 9

Khiu ni
bo co
(2)

S thng
H s
Khiu ni c
bn hng trin khai
th c
(3)
(4)
(5)=(2)x(4)

40

1,25

Thng 10

35

Tng

75

50
70

Ghi ch: + Ct (1): Thi gian c quyn khiu ni bi thng

+ Ct (2): S khiu ni c bo co tng thng
+ Ct (3): Tng s khiu ni c cng dn tng thng
+ Ct (4): H s trin khai bng tng s khiu ni chia cho s
khiu ni cng dn tng thng.

H Vn Dng

23

120

Lu : Cc h s trin khai ln nht c p dng cho nhng

nm gn y nht, v cc h s trin khai gim dn khi li v
qu kh.

24

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

Cc v d v phng php trin khai tn tht

Cc v d v phng php trin khai tn tht

V d 1:
Bc 3: D bo dng khiu ni

V d 1:
Bc 4: D bo dng tin bi thng

L hng Khiu ni Thng 9 Thng 10 Thng 11 Thng 12

bn
c th c
Thng 9
50
25
15
10
Thng 10
Tng

70
120

35
25

21

50

31

Tng

T.9

T.10

T.11

T.12

31

14

120

25

50

14

Dng
khiu ni
TT 60%

3.600 $

750 $

1.500 $

930 $

420 $

14

TT 40%

2.400 $

500 $

1.000 $

620 $

Tng

6.000 $

1/(1+k)t
Hin gi

25

V d 2: Sau khi phn tch cc d liu nh qun tr

ri ro nhn thy 40% khiu ni c thng bo
trong nm 1, 40% khiu ni c thng bo trong
nm 2 v 20% cn li trong nm 3. Chi ph khiu
ni l 15 USD. Khiu ni bo co trong nm
2008 l 20 v trong nm 2009 l 24.
D bo khiu ni c th c;
S tin bi thng;
Hin s tin bi thng v u nm 2008 vi li
sut chit khu 9%/nm.

b.
c.

H Vn Dng

15-Apr-13

280 $

750 $

2.000 $ 1.930 $ 1.040 $

280 $

0,9901

0,9803

0,9706

0,9610

0,9515

742,58

1.960,60

1.873,26

999,44

266,42

5.842,30 $

Cc v d v phng php trin khai tn tht

V d 2:

Cc v d v phng php trin khai tn tht

a.

T.1

27

Bc 1: Xc nh h s trin khai

Nm

Khiu ni
cng dn

H s
trin khai

2008

%
khiu
ni
40%

40%

2.5

= 100% : 40%

2009

40%

80%

1.25

= 100% : 80%

2010

20%

100%

= 100% : 100%

H Vn Dng

15-Apr-13

28

Cc v d v phng php trin khai tn tht

Cc v d v phng php trin khai tn tht

V d 2 - Bc 2

V d 2 - Bc 3

a. D bo khiu ni c th c

Nm

Khiu ni S nm H s
Khiu ni
bo co bn hng trin khai c th c
(3)
(4)
(1)
(2)
(5)=(2)x(4)
2008
20
2
1.25
25
2009

24

Tng

44

15-Apr-13

H Vn Dng

2.5

60
85

H Vn Dng

29

b. D bo dng khiu ni bi thng theo thi gian

Nm
2008

Khiu ni
c th c
25

2009

60

Tng

85

15-Apr-13

2008

2009

2010

10

10

24

24

12

34

29

12

10
H Vn Dng

2011

30

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

Cc v d v phng php trin khai tn tht

3.3.1.2. Phng php d bo da trn nguy c

ri ro

V d 2 - Bc 4

c. D bo dng tin bi thng v hin gi

Nm

Tng

2008

2009

2010

2011

Dng khiu
ni

85

10

34

29

12

Thanh ton

1.275 $

150 $

510 $

435 $

180 $

0,9174

0,8417

0,7722

0,7084

1/(1+9%)^t
Hin gi
15-Apr-13

1.030,30 $ 137,61 $ 429,27 $ 335,91 $ 127,51 $

H Vn Dng

31

3.3.1.2. Phng php d bo da trn nguy c

ri ro (tt)

V d di y minh ha vic s dng phng php

d bo da trn nguy c ri ro c lng s tai
nn trung bnh mt cng ty xy dng. Cng ty c
s dng cng nhn vin nhiu lnh vc nghip v
khc nhau khng trc tip lin quan n xy dng
nh: nhn vin vn phng, c cng, qun l, v
cc hot ng h tr nh vn chuyn nguyn vt
liu

15-Apr-13

H Vn Dng

33

3.3.1.2. Phng php d bo da trn nguy c

ri ro (tt)
Gi s:
i vi cng nhn xy dng: trung bnh 1 cng nhn
xy dng gp 1 tai nn/1,5 nm; lng trung bnh 30
triu/nm.
Mt nhn vin vn phng trung bnh kim c 20
triu/nm; 30 nm b mt tai nn.
Ta coi 1 nm tuyn dng 1 cng nhn xy dng l n
v chun tnh tai nn lao ng v mi n v chun
ny trung bnh s gy ra 2/3 khiu ni bi thng, mi
khiu ni bi thng trung bnh phi chi tr 12 triu.
15-Apr-13

H Vn Dng

Phng php ny dng c lng cc chi tr da

trn cc hot ng c th c quy theo mt n v
chun.
Phng php ny gi nh rng cc khiu ni bi
thng pht sinh t cc hot ng tng t ging
nhau c th c nhm li theo mt n v nguy c
ri ro chun.

H Vn Dng

35

H Vn Dng

15-Apr-13

32

3.3.1.2. Phng php d bo da trn nguy c

ri ro (tt)

V d: Mt nh qun tr ri ro mt cng ty xy
dng ang phi d bo ri ro v tai nn lao ng
cng ty trong nm ti. ng ta phn ton b lc
lng lao ng ca cng ty thnh 5 nhm v tnh
c s liu h s quy i cng nh nhu cu lao
ng nm ti.

H Vn Dng

15-Apr-13

34

3.3.1.2. Phng php d bo da trn nguy c

ri ro (tt)
Ngh nghip

S tai nn

Lng trung
bnh

Bi thng
mi tai nn

Cng nhn xy dng

1 tai nn/1.5 nm

30tr/nm

12 triu

Nhn vin vn phng

30 nm b 1 tai nn

20tr/nm

Kt qu quy i cc nghip v khc thnh cng nhn xy dng

nh sau:

Nu ch xem v phng din tai nn: 20 nhn vin vn phng s

tng ng vi 1 cng nhn xy dng.
Kt hp thm mc lng th 20 nhn vin vn phng nhn 400
triu/nm.
Kt hp tai nn v mc lng th 400/30 = 13.33 nhn vin vn
phng tng ng vi 1 cng nhn xy dng.
36

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

3.3.1.2. Phng php d bo da trn nguy c ri

ro (tt)
3.3.1.3. Lch thanh ton khiu ni bi thng

Bng c lng s khiu ni bi thng da trn n v chun

Ngh nghip

H s quy i Nhu cu nm ti

S n v c lng

Cng nhn xy dng

1,00

300

300 (= 300 : 1)

Nhn vin vn phng

13,33

50

3,8 (= 50 : 13,33)

c cng

4,27

20

4,7 (= 20 : 4,27)

Qun l

6,55

0,6 (= 4 : 6,55)

H tr

2,13

150

70,4 (= 150 : 2,13)

Tng

Bi ton: Gi s ngi ch doanh nghip c th phi

tr tng s tin bi thng tai nn lao ng l 50 triu
trong nm ti, nhng nu cc chi tr ny c th c
phn b trong 10 nm (chi tr phn b nh trong ct
2) v li sut ngn hng l 6%/nm th s tin hin
nay phi gi vo ngn hng l bao nhiu?

379,5

S tai nn trung bnh: (2/3) * 379,5 = 253

Chi ph bi thng trung bnh: 12tr * 253 = 3.036 triu (chi ph bi thng tai nn
trong nm ti)
15-Apr-13

H Vn Dng

37

3.3.1.3. Lch thanh ton khiu ni bi thng (tt)

Lch chi tr cc khon khiu ni v Hin gi vi li sut 6%/nm

3.3.1.3. Lch thanh ton khiu ni bi thng (tt)

Nm th
(1)

T l chi tr
(2)

Hin gi ca 1$
(3)

D ton cho 1$ chi tr

(4) = (2) x (3)

M hnh chit khu dng tin (Discounted Cash

Flows Model DCFM)

0.30

0.9434

0.2830

0.20

0.8900

0.1780

0.10

0.8396

0.0840

0.10

0.7921

0.0792

0.08

0.7473

0.0598

0.07

0.7050

0.0494

0.05

0.6651

0.0333

0.04

0.6274

0.0251

0.03

0.5919

0.0178

10

0.03

0.5584

0.0168

Tng

1.00

n
CF0
CF1
CFn
CFt
PV

....

0
1
n
(1 k ) (1 k )
(1 k )
(1
k )t
t 0

15-Apr-13

H Vn Dng

39

0.8264

3.3.1.3. Lch thanh ton khiu ni bi thng (tt)

3.3.1.4. c lng chnh xc

Tng ca ct 4 l 0,8264 l s tin cn gi vo ngn

hng by gi chi tr cho 1$ bi thng tai nn.
Nu vy, nh qun tr ri ro s phi dnh sn
41.320.000 ng (50tr x 0.8264) trang tri cho cc
tai nn trong nm nu tng s tin bi thng c
c lng l 50 triu.

15-Apr-13

H Vn Dng

H Vn Dng

41

3 phng php o lng ri ro cp bn trn cho

php nh qun tr ri ro chun b cc c lng im,
chnh l cc c lng gi tr trung bnh ca chi
ph qun tr ri ro.
Vn th hai nh qun tr ri ro cn quan tm l
mc chnh xc hay tin cy ca d bo. iu
ny cng quan trng khi c lng ngn sch dnh
cho qun tr ri ro.

15-Apr-13

H Vn Dng

42

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

3.3.1.4. c lng chnh xc

3.3.1.4. c lng chnh xc

i vi ri ro ca doanh nghip ta khng ch quan

tm ti cc tn tht trung bnh m cn phi ch n
tn tht ln nht c c lng l bao nhiu
(Maximum Probable Cost MPC). MPC l gi tr tn
tht ln nht nh qun tr ri ro tin l c kh nng xy
ra v kh nng chi ph thc vt qu gi tr ny c
gi l dung sai ca ri ro. Nu bit c phn phi
xc sut ca chi ph, ta c th c lng ngay MPC.

Maximum Probable Cost MPC (tn tht ln nht c th c)

Tn tht trung bnh:
lch chun (dung sai ri ro):
Tn tht ln nht theo phn phi chun s c tnh:
MPC = + t*

15-Apr-13

H Vn Dng

43

15-Apr-13

H Vn Dng

44

3.3.1.4. c lng chnh xc (tt)

3.3.2. o lng ri ro suy on

V d: gi s chi ph thc c phn phi chun vi gi

tr trung bnh = 120 triu, lch tiu chun =
18,2371 triu. Ta mun xc nh MPC sao cho ti a
l 5% chi ph thc vt qu gi tr ny.
Tn tht ln nht theo phn phi chun s c tnh:
MPC = + t*
/2 = 5% ttt = 1.645
MPC = 120 + 1.645 * 18.2371
MPC = 150 tr

o lng ri ro ti chnh ca mt doanh nghip

15-Apr-13

H Vn Dng

45

Khi nim: Ri ro ti chnh l ri ro ca cc doanh nghip s

dng vn vay trong c cu ti chnh ca mnh.
Ri ro ti chnh c lin quan n vic s dng cc loi chng
khon c thu nhp c nh nh tri phiu, c phiu u i
trong c cu vn ca cng ty. Vic s dng cc vn thnh
phn ny lm tng thm ri ro cho cc c ng ca cng ty.
Ri ro ti chnh l ri ro phi gnh thm ca cc c ng c
phiu thng do kt qu s dng n cn n ca doanh
nghip.

15-Apr-13

H Vn Dng

3.3.2. o lng ri ro suy on

3.3.2. o lng ri ro suy on

o lng ri ro ti chnh ca mt doanh nghip

o lng ri ro ti chnh ca mt doanh nghip

1.

cu vn ca mt doanh nghip c gi l
ti u khi th gi c phiu ca n t gi tr ln
nht. xc nh c cu vn ti u ca mt
doanh nghip chng ta s phn tch tc ng
ca n cn n n thu nhp trn mt c phiu
(EPS) v sut sinh li trn vn c phn thng
(ROE).

2.

3.
4.
5.
6.

15-Apr-13

H Vn Dng

H Vn Dng

47

15-Apr-13

46

Gi tr s sch c phiu (book value):

$200.000/10.000 CP = $20/CP
Th gi c phiu (market value): P0 = $20 (c phiu
bn bng gi tr s sch, M/B = 1)
T s P/E = 8.33 ln (= 20/2.4)
Thu thu nhp DN 40%
Bin ph bng 60% doanh thu
Cng ty c 10.000 c phiu thng ang lu hnh
H Vn Dng

48

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

3.3.2. o lng ri ro suy on (tt)

2. Bo co thu nhp (VT: USD)

3. Cc s liu khc

nh hng ca c cu vn n ROE & EPS ca DN:

Bng 1: Cc s liu v DN X nh sau:
1. Bng cn i ti sn (31/12/20XX). VT: USD

Doanh thu

200,000

P0 = 20$

nh ph

40,000

Bin ph

120,000

P/E = 8.33

Tng chi ph

160,000

Bin ph = 60% DT

TI SN C
TSL

N V VN CH S HU
100,000 N

EBIT
0

40,000

Li vay

TSC rng

100,000 Vn CPT

200,000

EBT

40,000

Tng TS c

200,000 Tng N v VCP

200,000

Thu thu nhp DN (40%)

16,000

Li rng (NI)

24,000

15-Apr-13

H Vn Dng

49

3.3.2. o lng ri ro suy on

o lng ri ro ti chnh ca mt doanh nghip

Gi s rng doanh nghip X vay vn t nht l

$20,000 (chim 10% tng vn) v nhiu nht l
$120,000 (chim t l 60% tng vn).
Nhn xt: lng vn vay cng tng th li sut vay
vn cng cng tng (do lng vn vay tng, ri ro v
n tng, v vy cc nh u t cho doanh nghip vay
vn phi i hi li sut cao hn b p ri ro m
h phi gnh chu).

15-Apr-13

H Vn Dng

51

Thu thu nhp DN =

40%
S CPT (c phiu
thng) = 10,000

H Vn Dng

15-Apr-13

50

Bng 2. T l li vay cho

cc mc n khc nhau
ca DN

Bng 3. Bng phn phi xc sut

v doanh thu

Lng
vn vay

Doanh 100,000 200,000 300,000

thu

T l
D/A

Li sut
KD

0%

0%

20,000

10%

8%

40,000

20%

8.3%

60,000

30%

9%

80,000

40%

10%

100,000

50%

12%

120,000

60%

15%

15-Apr-13

Xc
sut

0.2

0.6

0.2

VT: USD

H Vn Dng

52

Bng 4. Tnh EPS trong tnh trng hin ti (D=0)

1. Xc sut phn phi cho doanh thu

0.2

0.6

0.2

2. Doanh thu

100,000

200,000

300,000

3. nh ph

40,000

40,000

40,000

4. Bin ph

3.3.2. o lng ri ro suy on

60,000

120,000

180,000

o lng ri ro ti chnh ca mt doanh nghip

5. EBIT

40,000

80,000

6. Li vay

7. EBT

40,000

80,000

8. Thu thu nhp

16,000

32,000

9. Li rng

24,000

48,000

11. EPS = LR/S CPT

2.4 $/CP

4.8 $/CP

12. ROE = LR/Vn CPT

0.12

s bin thin ch ra ri ro/ 1 n v li

nhun trung bnh. N l c s cho vic so snh
sut sinh li k vng ca 2 d n khng ging
nhau.

10. S c phiu = 10,000 CP

0.24

13. EPS k vng = 0.2*0 + 0.6*2.4 + 0.2*4.8

= 2.4

14. EPS = [(0 2.4)2*0.2 + (2.4 2.4)2*0.6 + (4.8 2.4)2*0.2]1/2

= 1.52

15. H s bin thin CV = /EPS k vng = 1.52/2.4

= 0.63

H Vn Dng

15-Apr-13

H Vn Dng

54

Trng i hc Cng nghip Tp.HCM

Khoa Thng mi - Du lch

15-Apr-13

ROEKV = 0.2*0 + 0.6*0.12 + 0.2*0.24 = 0.12

ROE = [(0 0.12)2*0.2 + (0.12 0.12)2*0.6 + (0.24 0.12)2*0.2]1/2 = 0.076

Bng 5. Bng tm tt kt qu ca EPS theo t l vn vay

CV = 0.076/0.12 = 0.63

T l
vay

EPS k
vng

EPS

CV

0%

2.4

1.52

0.63

10%

2.56

1.69

0.66

20%

2.751

1.9

0.69

30%

2.97

2.17

0.73

40%

3.2

2.53

0.79

50%

3.36

3.04

0.90

60%

3.3

3.79

1.15

15-Apr-13

Bng 6. Bng tm tt kt qu ca ROE theo t l n

ROE
(TB)

ROE

CV

0%

0.12

0.076

0.63

10%

0.128

0.084

0.66

20%

0.138

0.095

0.69

30%

0.148

0.108

0.73

Ri ro tng dn khi t
l vay tng t 0% n
60%.

T l vay
(D/A)

EPSMax = 3.36 ti mc
vay 50%

H Vn Dng

55

40%

0.16

0.126

0.79

50%

0.168

0.152

0.90

60%

0.165

0.190

1.15

ROEMax = 0.168 ti
mc vay 50%.
Kt lun: c cu vn
ti u ca DN l 50%.

56

KT THC CHNG 3

15-Apr-13

H Vn Dng

H Vn Dng

57

10