LI M U

Cuc khng hong ti chnh th gii giai on 2007-2010 gy ra s

v hng lot cc h thng ngn hng, tn dng, tnh trng st gi chng khon
trm trng v mt gi tin t quy m ln bt ngun t Hoa K v lan rng
ra nhiu nc trn th gii.
Cuc khng hong ny phn no cng gy ra nhng tn tht cho nn
kinh t v th trng chng khon Vit Nam; gy ra nhng thit hi khng
nh i vi cc cng ty nim yt, cc t chc ti chnh, ngn hng, v c bit
l cc nh u t, nhng thit hi ny nu nh c d tnh v o lng t
trc phn no c th gim thiu c tn tht xy ra.
ng trc nhng tn tht, mt mt nh vy cc tc nhn lm th no
c th nhn dng, o lng, kim sot c ri ro c th phng nga v
gim thiu nhng ri ro ny, l vn qun tr ri ro.
ti Qun tr ri ro bng m hnh VaR v phng php s dng
Copula iu kin gii thiu VaR nh mt cng c c lng trc gi
tr tn tht th trng ca danh mc v ti sn, trong c s dng hm
Copula iu kin trong xc sut mang li tnh chnh xc cao so vi cc
phng php tnh VaR truyn thng, gip cc t chc v nh u t c th d
bo mc tn tht ca danh mc v thc hin phng h ri ro.
VaR l mt gi tr o mc tn tht rt ph bin, c vai tr trung tm
trong qun tr ri ro, l mt o n gin nhng kh c lng.
L thuyt Riskmetrics a ra tnh VaR tha nhn cc chui li sut
ti sn tun theo quy lut phn phi chun. Tuy nhin, trong ti chnh, iu
kin hm phn phi ca li sut ti sn tun theo quy lut phn phi chun l
him khi xy ra.
L thuyt Copula l mt cng c ton hc rt mnh cho hm xc sut
phn phi ng thi do n khng bt buc cc phn phi bin duyn phi l
phn phi chun, cho php m rng xc nh phn phi ng thi cho n bin
t cc hm phn phi bin duyn ca chng v mt hm Copula.
Mc tiu nghin cu:
+ Trnh by m hnh VaR trn phng din l thuyt cng nh ng
dng trong qun tr ri ro ti chnh.
+ Trnh by mt s phng php c lng m hnh VaR trong nhn
mnh phng php s dng Copula iu kin, ng thi p dng tnh ton trn
nhm c phiu REE v SAM trn Th trng chng khon Vit Nam.
Phng php nghin cu:
S dng cc phng php m hnh ton kinh t, phn tch kinh t
lng, l thuyt xc sut, thit lp code trong phn mm MATLAB tip

cn v c lng v mt nh lng m hnh VaR.

i tng nghin cu:
Qu trnh phn tch v c lng m hnh VaR i vi hai c phiu
REE v SAM s dng trong qun tr ri ro danh mc.
Phm vi nghin cu:
Din bin c phiu REE v SAM trong giai on 16/2/2006 n thi
im quyt nh nm gi danh mc(20/2/2009) v c lng m hnh VaR
trong giai on 23/9/2009 n 12/2/2010.

CHNG I:
QUN TR RI RO CA DANH MC V PHNG PHP
QUN TR RI RO BNG M HNH VaR
1.1-RI RO TI CHNH V QUN TR RI RO TI CHNH
1.1.1- KHI NIM RI RO V RI RO TI CHNH

Khi nim v ri ro c th c hiu n gin l nhng kt cc c th

xy ra trong tng lai m khng c mong i.
Ri ro ti chnh c quan nim l hu qu ca s thay i, bin ng
khng lng trc c ca gi tr ti sn hoc gi tr cc khon n i vi
cc t chc ti chnh v cc nh u t trong qu trnh hot ng ca th
trng ti chnh.
1.1.2-PHN LOI RI RO
Trong ti chnh, ri ro c th xy ra do nhiu nguyn nhn, ty thuc
vo nguyn nhn xy ra ri ro c th phn loi cc hnh thc ri ro ti chnh.
Trong ti ny, chng ta tp trung vo ri ro ti chnh lin quan n nhng
thay i ca gi c phiu.
1.1.3-TN THT TI CHNH
Nhng thit hi i vi nh u t do ri ro ti chnh gi l tn tht ti
chnh (Financial Loss).
1.1.4-QUN TR RI RO (RISK MANAGEMENT)
Qun tr ri ro l qu trnh tip cn ri ro mt cch khoa hc ton din
v c h thng nhm nhn dng, kim sot, phng nga v gim thiu nhng
tn tht, mt mt, nhng nh hng bt li ca ri ro.
Qun tr ri ro bao gm cc ni dung:
- Nhn dng phn tch o lng ri ro;
- Kim sot phng nga ri ro;
- Ti tr ri ro trng hp xut hin ri ro.
M hnh VaR - (Value at Risk) l mt trong nhng phng php o
lng ri ro th trng ca ti sn, danh mc. ti quan tm n ri ro trong
mt danh mc u t pht sinh t s thay i gi c phiu trn th trng,
thay i ny l ngu nhin khi gi nh th trng l hiu qu khi tt c nhng
thng tin u phn nh trn gi tr ca c phiu. S dng m hnh VaR nh
mt cch o lng v cnh bo sm nhng tn tht v mt gi tr ca danh
mc khi gi ca mi c phiu bin ng gip nh u t c lng mc
tn tht v thc hin phng h ri ro.
1.2-VaR V CC PHNG PHP C LNG

1.2.1-Ngun gc ra i v qu trnh pht trin

Thut ng VaR (Gi tr ri ro - Value at Risk) c s dng rng ri
v thc s tr thnh mt lnh vc quan trng trong khoa hc kinh t t sau s

kin th trng chng khon sp nm 1987.

Ngi tip cn gi tr VaR u tin l Harry Markowitz vo nm
1952.
1.2.2-Khi nim VaR
VaR ca danh mc ti sn th hin mc tn tht c th xy ra i
vi danh mc, ti sn trong mt khong thi gian nht nh vi mc tin
cy nht nh.
VaR c nh ngha nh mt gi tr ngng sao cho xc sut tn
tht danh mc trong khong thi gian nht nh khng vt qu gi tr ny l
mt xc sut cho trc.
1.2.3-M hnh VaR
1.2.3.1-Tip cn m hnh
Gi s rng mt nh u t quyt nh u t mt danh mc ti sn P.
Ti thi im t, gi tr ca danh mc u t l . Sau mt khong thi gian
, tc l ti thi im
th gi tr ca danh mc u t l . Khi , gi
tr
cho bit s thay i gi tr ca danh mc P trong khong
thi gian .
Hnh 1.1: Biu din thay i gi tr ti sn sau khong thi gian
Vt

Vk

t
l mt bin ngu nhin khi
cng l mt bin ngu
nhin. Fk(x) l hm phn phi xc sut ca bin ngu nhin
. Nu ta
xem xt P(
x) = , vi 0 < < 1, th gi tr x gi l Phn v mc
ca hm phn b Fk.
1.2.3.2-M hnh VaR
Hnh 1.2: th mt xc sut biu din mc phn v .
fk(x)

---------=

Ngng gi tr m ny chnh l VaR. Nh vy VaR ca mt danh mc

vi chu k k v tin cy (1- )100% l mc phn v ca hm phn b

Fk(x). Khi i lng ny c k hiu l VaR(k, ) v mang gi tr m.
P(
VaR(k, )) = .
1.2.3.3-Cc gi thit
Tnh dng: Mt chui c gi l dng nu k vng, phng sai v
hip phng sai khng thay i theo thi gian. iu ny cng c ngha l
phn b xc sut ca chui l khng thay i theo thi gian.
Bc ngu nhin: Vi gi thit ny, ngi ta tin rng gi tr tng lai
khng ph thuc vo gi tr trong qu kh.
Gi tr khng m: Cc ti sn nht thit phi l cc gi tr khng m.
Thi gian c nh: Gi thit ny cho rng, iu g ng cho mt
khong thi gian th cng ng cho nhiu khong thi gian. Chng hn, nu
cho khong thi gian mt tun th cng c th m rng cho mt nm.
Phn phi chun: Trong mt s phng php tnh VaR, gi thit rng
li sut ti sn tun theo quy lut phn phi chun, ch tr mt s phng
php tip cn VaR phi tham s nh Monte Carlo.
1.2.4-Cc m hnh VaR trong thc hnh
Trong thc t cc gi thit tnh VaR thng xuyn b vi phm.
Ngi ta lun mun tm gi tr VaR, c tnh c gi tr ny cng gn gi tr
tn tht trong thc t nht. Di y l cc m hnh VaR dn c ci thin
dn ci thin cho cc gi thit b vi phm.
Li sut danh mc trong chu k k c nh ngha l:

iu

ny suy ra
. Do l xc nh trc nn tm VaR ca danh mc
ta ch cn tnh VaR ca li sut .
1.2.4.1-M hnh VaR cho li sut v ti sn
Vi gi thit chui li sut ca ti sn
l chui dng v c phn b
chun, chng ta ch cn s dng hai tham s k vng ( ) v lch chun (
) (hoc s dng cc c lng ca chng) c th tnh c gi tr VaR.
T gi thit

suy ra

. Cng thc tnh VaR c

xc nh nh sau:
(1)
Trong vi cc mc ngha
= -1,96;

= -1.65.

: 1%; 2,5%; 5% ta c

= -2,33;

Hnh 1.3: Ngng VaR xc nh trn hm mt phn phi chun.

Pr(rt < VaR)

ri

VaR

1.2.4.2-M hnh VaR cho danh mc

i vi vic xc nh VaR li sut cho mt danh mc P cng c cng
thc tng t:
(2)
nu li sut tng ti sn ca danh mc tun theo quy lut phn phi chun
vi i = 1 N th li sut danh mc cng tun theo quy lut phn
phi chun
ta xc nh c

. Gi s
;

l t trng danh mc khi

;

1.2.4.2.a-M hnh RisMetris

M hnh VaR-Riskmetrics c ngn hng JP Morgan cng b vo nm
1995. M hnh ny quan tm n cc chui li sut khng dng (vi mt mc
ngha) v tn ti phng sai khng thun nht. Phng php ny gi nh
rng :
1. Chui li sut vi iu kin bit cc thng tin ti thi im (t-1) tun
theo quy lut phn phi chun:
.
2.
tun theo m hnh ARMA( 1,1).
3.

tun theo m hnh GARCH(1,1).

; vi

~ IID(0,1)

(3)

Ty vo thc t tnh ton, chng ta cng c th s dng mt s m hnh

nh : ARMA( 1,1) - GARCH(1,1); AR(1) - GARCH(1,1); ARMA( 1,1) IGARCH(1,1) ; AR(1) - GARCH(1,1)...
1.2.4.2.b-M hnh VaR phi tham s
Trong trng hp gi thit phn phi chun b vi phm, c mt lp cc
m hnh cho php c lng VaR cho danh mc ti sn ny goi l m hnh
VaR phi tham s.
Trong ti ny, chng ta s tip cn vi mt phng php khc tm
hm phn b xc sut ca
da trn tnh cht ca hm Copula iu kin.
Sau tin hnh m phng Monte Carlo c tnh VaR ca danh mc.
1.3-COPULA V NGHA

1.3.1-Tip cn hm Copula
1.3.2-nh ngha
Copula c th c nhn nhn t 2 im: Copula l phn phi ng thi
hay hm phn phi a bin t cc hm phn phi bin duyn ca cc bin
ngu nhin 1 chiu.
1.3.2.1- nh ngha 1
1.3.2.2- nh ngha 2
Hm phn phi C gi l mt hm Copula ca vc t ngu nhin X=( X
t
,X ) nu n l hm phn phi ng thi ca vc t ngu nhin U=( U ,U ))t
vi U = F (X ) v F l hm phn phi bin duyn ca X , i = 1, 2.
C ngha l:
F(x , x ) = C( F (x ), F (x ))

(4)

Hm F l hm phn phi ng thi ca (X ,X ). Nu F , F lin tc th C s

tn ti duy nht. Chng ta c th gii thch hm Copula l mt hm hp t cc
hm phn phi bin duyn ca mt vc t ngu nhin n hm phn phi
ng thi ca cc hm phn phi bin duyn .
1.2.4- Copula Student-t
Mt Copula Student- t (ngn gn l copula t) l hm sau:

Trong :

l hm ngc ca phn phi Student mt bin v

l bc t do.

c trng ca hm Copula cho php ng dng xc sut hu hiu trong

lnh vc ti chnh l khng cn quan tm n phn phi xc sut ca tng
bin m ch quan tm n phn phi ng thi ca hm cha cc bin .
Copula tn ti mt b tham s c trng khi qut c mi quan h
gia cc bin vi nhau trong hm phn phi ng thi, chng hn nh dao
ng, mc tng quan.
Khc vi Riskmetrics tng quan gia cc bin l tng quan tuyn
tnh, Copula th hin tng quan l phi tuyn tnh gia cc bin, iu ny c
ngha l ngoi phn nh s rng buc gia bin ny v bin khc, cn phn
nh s rng buc gia nhm bin ny v nhm bin khc trong phn phi a
bin. Nh th, v mt l thuyt khi s lng bin tng ln, Copula tr nn hu
hiu hn khi m t mc rng buc gia cc bin trong phn phi ng thi
ca chng

CHNG II:
M HNH VaR CA DANH MC
Chng ta xem xt mt danh mc gm hai c phiu trn Sn giao dch
chng khon Thnh ph H Ch Minh l REE (Cng ty c phn C in lnh)
v SAM (Cng ty c phn Cp v Vt liu Vin thng) thi im nm gi
ngy 20/2/2009.
n gin trong tnh ton gi s t trng ca hai ti sn trong danh
mc l bng nhau v bng 50%, gi tr danh mc ti thi im quyt nh
nm gi l 1.000.000.000 VND, tip cn li sut danh mc ca hai c phiu
REE v SAM bng

Trong ti ny, chng ta xc nh VaR li sut 1 ngy (k=1) v phn

tch trn chui li sut

vi hai c phiu REE v SAM. Xc

nh VaR 1 ngy bng VaR li sut 1 ngy nhn vi gi tr danh mc ti thi

im c lng.
2.1-M T D LIU

2.1.1-M t chui gi c phiu REE v SAM

Thu thp s liu gi ng ca ca REE v SAM trong 3 nm, giai on
16/2/2006 n thi im quyt nh nm gi danh mc (20/2/2009), m t
chui gi ca 2 ti sn trong giai on ny.

Quan st biu gi hai c phiu REE, SAM v ton cnh Th trng

chng khon Vit Nam giai on 2006 - 2008, chng ta c th chia chui gi
thnh 3 giai on: 16/2/2006-15/2/2007; 16/2/2007-15/2/2008; 16/2/200820/2/2009.
Giai on 16/2/2006-15/2/2007: C th nh gi y l giai on Th trng
chng khon Vit Nam pht trin thng hoa v y bt n.
Giai on 16/2/2007-15/2/2008: Giai on ny Th trng chng khon Vit
Nam din bin ht sc bt thng v y ry ri ro tim n. Sau giai on
thng hoa nm 2006, giai on nm 2007, gi cc c phiu trn th trng tri
st lin tc, xu hng gim nhanh.
Giai on 16/2/2008-20/2/2009: y l giai on Th trng chng khon
Vit Nam suy gim nghim trng, hu qu ca rt nhiu cc tc nhn trong
nc v th gii.
2.1.2-M t chui li sut ca c phiu REE v SAM
T chui s liu gi REE v SAM trong giai on 16/2/2006 20/2/2009 thu c 750 quan st u tin cc chui li sut ca hai ti sn,
theo cng thc

, vi i = 1, 2.

Quan st th li sut ca hai c phiu REE v SAM cho thy, gi tr

li sut dao ng khng vt qua khong - 0.05 n 0.05, l do Sn giao dch
chng khon Thnh ph H Ch Minh p dng bin gi 5%. C mt s gi
tr ca li sut hai c phiu vt qua khong ny, do y l thi im chi tr
c tc ca cc ti sn, c gi l ngy giao dch khng hng quyn. REE
giao dch khng hng quyn vo ngy 8/5/2007, 13/8/2008; SAM giao dch
khng c quyn vo ngy 18/8/2006, 14/5/2007, 23/1/2008.

2.2-KIM NH CC GI THIT I VI LI SUT TI SN REE V SAM

2.2.1-Kim nh gi thit phn phi chun

kim nh chui li sut

c phn phi chun hay khng ngi ta

c th s dng phn phi . Ngy nay, hu ht cc phn mm kinh t lng

thng s dng kim nh Jarque-Bera(JB):
(25)

trong S l h s bt i xng, K l h s nhn. Vi n kh ln JB c phn

b xp x (2). Xt cp gi thit :
H :

c phn b chun.

H :

khng c phn b chun.

H s b bc b nu JB >
JB <

, vi

l mc ngha cho trc. Ngc li, nu

th khng c c s bc b H .

Vi mc ngha

=5% ,

(2) = 3.84. Kt qu t hnh 2.5, 2.6 - Ph lc

cho thy :
i vi : JB = 7728.704 >
khng c phn phi chun.
i vi : JB = 719.8371 >
khng c phn phi chun.

(2) = 3.84. Bc b gi thit H . Nh vy

(2) = 3.84. Bc b gi thit H . Nh vy

2.2.2-Kim nh tnh dng

kim nh tnh dng, chng ta s dng kim nh nghim n v
(Unit Root Test). Xt m hnh sau:
,
Nu

, khi

- nhiu trng.

l bc ngu nhin, v

l mt chui khng

dng. Ngc li, nu

,
l mt chui dng.
Dickey-Fuller (DF) a ra tiu chun kim nh sau y:
H :
H :
Ta c lng m hnh

c phn phi DF. Nu

nh :
th bc b H . Trong trng hp ny chui l chui
dng.
Kt qu kim nh vi chui
trn hnh 2.7- Ph lc (Eviews k hiu D l
ton t sai phn) cho thy, gi tr
= - 23.10319, vi
=3.438854 ;

= - 2.865183 ;

= - 2.568766. V

vi

=1%; 5% ; 10% , nh vy l chui dng.

Kt qu kim nh vi chui
trn hnh 2.8 - Ph lc cho thy, gi tr
= - 19.89697, vi
= - 3.438854 ;
= - 2.865183 ;
=
- 2.568766. V
chui dng.

vi

=1%; 5% ; 10% , nh vy

2.3-C LNG VaR

T chui s liu gi REE v SAM trong giai on 16/2/2006 20/2/2009 thu c 750 quan st u tin cho mi chui li sut ca hai ti
sn. Sau y chng ta s c lng VaR theo 3 phng php khc nhau cho
quan st th 751(tc l c lng gi tr tn tht ngy 23/2/2009). Sau ,
c lng VaR cho 249 ngy tip theo, tin hnh hu kim VaR trong 250
ngy (t 23/2/2009 n 12/2/2010).
2.3.1-c lng VaR vi gi thit li sut ti sn phn phi chun v dng
Theo gi thit li sut theo ngy ca ti sn:
l chui dng v c
phn phi chun. Ta tm c chui li sut ca danh mc theo cng thc :
.
Trung bnh mu :
Phng sai mu :
Trong
l cc c lng khng chch ca
. S dng
thay cho
k vng ( ) v thay cho lch chun ( ) ca 2 chui li sut ti sn.
Trong k vng v phng sai ca li sut ti sn i xc nh nh sau:
(26)

, vi

(27)

Chui
,
thu c t vic s dng cc hm trn
c th gip tnh c gi tr VaR li sut ti thi im t = 751+j vi
theo cng thc (2):
.
Trong vi cc mc ngha : 1% ; 2,5% ; 5% ta c
= - 2,33 ;
= - 1,96 ;
= - 1.65.
Trong ti thi im t = 750+j; k vng v phng sai danh mc xc nh bi:
;

(28)
COV

(29)

Ti thi im t = 750 xc nh c gi tr k vng v phng sai cho

tng li sut ti sn theo cng thc (26), (27) trng hp j = 0:
= - 0.00057,

= 0.00101.

= - 0.00137,

= 0.000952.

COV

= 0.000585.

Suy ra gi tr k vng v phng sai cho li sut danh mc 2 ti sn theo cng

thc (28), (29):
= - 0.00097;
= 0.000783

= 0.027989.

Ti thi im t = 751(ngy 23/2/2009), vi cc mc ngha

5% ta c:
= - 0.06618;
= - 0.05583 ;

: 1% ; 2,5% ;

= - 0.04715.
Nh vy mc tn tht c lng ti thi im t = 751(ngy 23/2/2009) xc
nh vi V = 1.000.000.000 :
= - 66.184.761 VND ;
= - 55.828.975 VND ;
= - 47.152.506 VND.
Gi tr tn tht thc t ngy 23/2/2009

= - 44.617.812 VND.

2.3.2-c lng VaR theo m hnh Riskmetrics vi gi thit li sut ti

sn phn phi chun v khng dng
Trong trng hp ny chui li sut ca 2 ti sn l chui khng dng
c bit l phng sai l khng thun nht.
Theo phng php RiskMetris, chng ta bit cc gi thit nh trnh
by trn l
tun theo m hnh AR(1) v
tun theo m hnh
GARCH(1, 1).
Ly 750 quan st u tin tin hnh c lng m hnh AR(1) GARCH(1, 1) :
;

~ IID(0,1)

Kt qu c lng m hnh (Hnh 2.10 - Ph lc):

= - 0.003491 + 0.129190*

= 6.86e-005 + 0.567368*

+ 0.5036178*

+ 0.674378*

= - 0.001887 + 0.3056*

= 4.86e-005 + 0.3174278*

Eviews cho php xut ra chui phn d v chui phng sai theo cch

tip cn trn bng dng cng c Make Residual Series, Make GARCH
variance Series,
;
l gi tr cui cng trong cc chui nhn c.
xc nh

ta tin hnh quy t gi tr ban u theo cng thc:

:

= 0.000806.
= 0.001618.
COV
= 0.000899

= 0.000585.
= 0.029977.

Thc t tnh ton, phng php Riskmetrics cho

0.
Ti thi im t = 751(ngy 23/2/2009), vi cc mc ngha
5% theo cng thc (2) ta c:

: 1% ; 2,5% ;

= - 0.06985;
= - 0.05875 ;
= - 0.04946.
Mc tn tht c lng ti thi im t = 751(ngy 23/2/2009) xc nh nh
sau :
= - 69.846.184 VND ;
= - 58.754.730 VND ;
= - 49.461.890 VND ;
Gi tr tn tht thc t ngy 23/2/2009

= - 44.617.812 VND.

2.3.3-c lng VaR theo m hnh Copula Student t iu kin vi gi

thit li sut ti sn khng phn phi chun
2.3.3.1-Xc nh phn phi bin duyn ca hm Copula
xc nh hm phn phi ng thi, chng ta phi xc nh phn
phi bin duyn v dng ca Copula iu kin. M hnh xc nh phn phi

bin duyn th hin c cc c trng ca tng bin. Cc chui li sut c

mt m hnh rt tt xc nh cc c trng ca bin l m hnh ARMA
GARCH. Trong thc t, AR( 1) GARCH(1,1) cho php xc nh phn phi
bin duyn :

Vi i = 1, 2;
v
l cc nhiu trng vi trung bnh bng 0 v
phng sai khng i, cc phn d l c lp v tun theo mt quy lut phn
phi. iu kin trong m hnh GARCH:
vi i = 1, 2. Phn d
chun ha

, i = 1,2 c xem xt tun theo quy lut phn

phi chun hoc phn phi Student.

Ta k hiu : GARCH-N l m hnh AR( 1) GARCH(1,1) c
tun theo
phn phi chun.
GARCH-T l m hnh AR( 1) GARCH(1,1) c
tun theo
phn phi Student.
n gin ta s la chn m hnh tng dng GARCH-T + Student-t
tin hnh c lng VaR ca danh mc hai ti sn.
Nu nh chng ta quy i
,
, vi
v
l cc hm phn phi bin duyn iu kin
(thng tin xc nh
n thi im t-1). Nu nh m hnh xc nh l chnh xc th hai chui quy
i trn tun theo quy lut phn phi u trong on [0,1] (v
v
l
cc hm phn phi xc sut).
Kt qu nhn c t hnh 2.13 Ph lc c lng GARCH-T
cho bin v :

Hm filtReturnsGARCH.m tr v cc kt qu ca phn d chun ha residuals,

bin quy i UnResiduals. Chng ta quy i
,
,
vi
v
l cc hm phn phi bin duyn iu kin
(thng tin xc
nh n thi im t-1) v phi phn phi u trong on [0,1] (Kt qu kim nh
hnh 2.14, 2.15 - Ph lc).
2.3.3.2-c lng tham s Copula
Xc nh cc tham s ca Copula ng ngha vi vic xc nh c
hm phn phi ng thi ca
v
tc l xc nh c dng c trng
ca hm Copula. Trong ti ny chng ta chn Copula dng Student-t, cc
tham s ca dng ny l h s tng quan tuyn tnh
v l bc t do. B
hai tham s ny gi chung l tham s theta.
Hm cmlstat.m tr v kt qu theta = [ 0.7285 5.2970], trong :
=
0.7285 v = 5.2970.
2.3.3.3-M phng Monte Carlo
Chng ta s thc hin m phng 5000 Copula Student t tun theo dng
trn ( = 0.7285 v = 5.2970) cho b chui li sut hai ti sn.
Chui li sut ca danh mc theo cng thc :

. Gi tr

VaR li sut c xc nh bng cch sp xp chui

theo chiu tng dn.
Vi mc ngha cho trc, gi tr VaR li sut nhn c chnh l gi tr
quan st th 5000x %. VaR cc mc ngha 1% , 2,5% v 5%, th
gi tr VaR tng ng nhn l cc gi tr
c ti cc quan st th 50, 125
v 250.
Ti quan st th 751(ngy 23/2/2009) vi cc mc ngha :1% ; 2,5% ; 5%
:
= - 0.04951
= - 0.04836
= - 0.04593

(Quan st th 50).
(Quan st th 125).
(Quan st th 50).

Mc tn tht c lng ti thi im t = 751 vi cc mc ngha 1% ; 2,5% ;

5% xc nh bi V = 1.000.000.000 :
= - 49.510.000 VND ;
= - 48.360.000 VND ;
= - 45.930.000 VND ;
Gi tr tn tht thc t ngy 23/2/2009 = - 44.617.812 VND.
Hnh 2.19: c lng VaR danh mc REE v SAM trong giai on t
23/2/2009 n 12/2/2010 dng phng php c lng khng chch

Hnh 2.20: c lng VaR danh mc REE v SAM trong giai on t

23/2/2009 n 12/2/2010 dng phng php Riskmetrics

Hnh 2.21: c lng VaR danh mc REE v SAM trong giai on t

23/2/2009 n 12/2/2010 dng Copula Student t

CHNG III:
PHN TCH, SO SNH KT QU C LNG
3.1-PHN TCH KT QU NHN C T CC PHNG PHP
C LNG

T kt qu gi tr VaR danh mc ti cc mc ngha 1%; 2,5%; 5%

vi 3 phng php trnh by trn trong 250 ngy (t 23/2/2009 n
12/2/2010), tin hnh phn tch theo cc thng s sau y: Khong dao ng;
lch trung bnh so vi tn tht thc t; s quan st vt ngng VaR;
lch trung bnh ti cc quan st vt ngng VaR, s gi tr VaR vt ngng
- 0.05; mc ch l phn tch mc ph hp ca cc gi tr VaR c tnh t
cc phng php so vi mc tn tht thc t.

3.1.1-Khong dao ng
Nh trnh by trn, trong qu trnh m t chui li sut cc ti sn
thy rng, chui li sut dao ng trong khong [- 0,05; 0,05], ch tr mt s
trng hp c bit nm ngoi khong ny, do Sn giao dch Thnh ph H Ch
Minh p dng bin gi 5%, cc gi tr vt bin ny thuc vo cc ngy
giao dch khng hng quyn. Nh th, chui li sut danh mc ca hai ti sn

REE v SAM cng dao ng trong khong [- 0,05; 0,05]. Chng ta khng th
ni rng, s chu mt mc tn tht di - 0,05 vo cc ngy giao dch khng
hng quyn, v do cc ngy giao dch ny c xc nh t trc v phn tn
tht ny c b p bi s chi tr c tc. Theo cch tip cn , chng ta s
ni rng, mc tn tht ti a ca danh mc trong mt ngy l - 0,05 (hay 5%),
s gi l mc tn tht bin. Mt khi danh mc chu tn tht, th li sut danh
mc ch c th t gi tr trong khong [- 0,05; 0).
Thy rng cc gi tr VaR 99%, VaR 97,5% c lng t phng php th
nht (s dng cc c lng khng chch - gi thit chui li sut ti sn phn
phi chun v dng) v t phng php th hai ( Riskmetrics) nm vt hn ra
khi khong [- 0,05; 0) v cch rt xa khong ny, cc kt qu cho nh ct
Khong dao ng hnh 3.1. Cc gi tr VaR 95% t hai phng php ny cng c
tn ti cc quan st nm ngoi khong [- 0,05; 0). Ct S gi tr VaR vt ngng
- 0,05 hnh 3.1 cho thy, ti gi tr VaR 99% c hai phng php u, VaR
97,5% phng php s dng cc c lng khng chch, tt c 250 gi tr u
vt ngng - 0,05. c tnh VaR 97,5% t phng php Riskmetrics c ti 237
quan st vt ngng - 0,05. gi tr VaR 95% tnh theo c lng khng chch,
cc quan st vt ngng - 0,05 l t hn hn ( 56 quan st). Tnh theo
Riskmetrics, VaR 95% vt ngng - 0,05 l qu na (179 quan st).
Quan st th hu kim VaR li sut hnh 3.3, 3.4, 3.5 d dng thy
rng, cc gi tr VaR c tnh theo phng php Copula cc mc ngha
1%; 2,5%; 5% khng c mt gi tr no vt gi tr tn tht bin, cc kt qu
cho nh ct Khong dao ng hnh 3.1, khng c bt k VaR li sut no
vt ngng - 0,05.
Theo cch tip cn trn v khong tn tht ca li sut danh mc, ta c
th ni rng, sau mt ngy gi tr tn tht ti a l - 0,05 vi tin cy 100%.
Theo cch nh ngha ny, bc u chng ta cng c th thy r mc sai
lch ca hai phng php u tin khi p dng gi thit phn phi chun, bi
vi tin cy nh hn 100% (c th l 99%, 97,5%, 95%), cc gi tr VaR li
sut c tnh c vt qua - 0,05 l khng hp l. Hnh 3.3, 3.4 cho thy
hu ht cc gi tr VaR c tnh vi tin cy 99%; 97,5% theo c lng
khng chch v Riskmetrics u vt gi tr tn tht bin.
i vi nhng chui ti sn khng p dng bin gi, vic so snh cc
phng php thng thng ch da vo mc sai lch gia gi tr VaR c
lng vi gi tr tn tht thc t, s quan st m mc tn tht thc t vt mc
gi tr VaR c tnh, trung bnh mc sai lch vt mc VaR ny. th trng
chng khon Vit Nam, gi c phiu hin ti p dng bin gi, tuy vy, phng
php Copula vn t ra l chnh xc hn c v cc mc ngha khc nhau, cc gi
tr VaR c tnh u khng vt qua mc gi tr tn tht bin ny.

3.1.2- lch tuyt i trung bnh so vi tn tht thc t

Trong 250 quan st trong giai on t 23/2/2009 n 12/2/2010 c n
116 quan st li sut danh mc
t gi tr m, tc l danh mc chu tn
tht. Chng ta ch xem xt sai lch VaR li sut ti cc mc ngha trong
trng hp danh mc thc s chu tn tht. sai lch so vi tn tht thc t
c tnh bng li sut danh mc chu tn tr i gi tr VaR li sut c tnh.
lch tuyt i trung bnh so vi tn tht thc t c tnh bng tng tt c
cc sai lch tuyt i trong 116 quan st chia cho 116. Mc sai lch cng
nh phn nh gi tr VaR c tnh cng gn gi tr thc t. lch trung bnh
th hin mc sai lch bnh qun trn mt chui quan st.
Kt qu ct lch tuyt i trung bnh so vi tn tht thc t
hnh 3.1, cho thy, mc ngha nh hn lch trung bnh t gi tr ln
hn. Nh th, trong c 3 phng php, lch tuyt i trung bnh tnh c
t cc gi tr VaR li sut cc mc 1%; 2,5%, 5% l gim dn.
Mc sai lch tuyt i trung bnh khi chng ta tnh VaR li sut
danh mc theo phng php Riskmetrics (gi thit li sut ti sn phn phi
chun v khng dng) l ln nht, sau l phng php s dng c lng
khng chch (gi thit li sut ti sn phn phi chun v dng), tnh VaR li
sut theo phng php Copula cho mc sai lch tuyt i trung bnh l nh
nht ti tt c cc mc ngha cho.
Theo phng php Copula, sai lch tuyt i trung bnh so vi tn tht thc
t tnh ti cc gi tr VaR 99%; VaR 97,5%; VaR 95% ln lt l 0,024481;
0,023697; 0,022339 nh hn hn so vi khi tnh bng hai phng php cn li.
i vi phng php Riskmetrics cc gi tr ny ln lt l 0,049867; 0,03839;
0,028922. i vi phng php s dng c lng khng chch cc gi tr ny
ln lt l 0,043873; 0,033034; 0,024095. Nh th, lch tuyt i trung bnh
khi tnh VaR 99%; VaR 97,5% hai phng php ny l ln hn hn so vi s
dng phng php Copula. Gi tr lch tuyt i trung bnh tnh ti VaR 95%
ca Riskmetrics vn ln hn gi tr lch tuyt i trung bnh tnh ti VaR 99%
ca Copula, gi tr lch tuyt i trung bnh tnh ti VaR 95% theo phng
php s dng c lng khng chch vn ln hn gi tr tr lch tuyt i
trung bnh tnh ti VaR 97,5% theo Copula. Gi tr lch tuyt i trung bnh
tnh ti VaR 95% theo Copula t gi tr nh nht trong c 3 phng php.
Bng 3.2 - ct Tng sai lch tuyt i i vi mc tn tht thc t
cho bit tng gi tr sai lch ca gi tr VaR danh mc vi tn tht thc t
trong 1 nm (250 quan st), ct Trung bnh sai lch tuyt i i vi mc
tn tht thc t cho bit gi tr sai lch trung bnh ca 116 thi im danh
mc chu tn tht. Vi cc mc ngha cho trc, phng php Copula
Student t cho mc sai lch so vi mc tn tht thc t l nh nht.
Nh vy theo kt qu hnh 3.1, 3.2, phng php Copula cho gi tr
VaR danh mc gn gi tr tn tht thc t nht so vi hai phng php cn li
trong 250 quan st hu kim.
3.1.3-Gi tr vt ngng VaR
Gi tr vt ngng VaR l gi tr tn tht thc t m ti VaR li

sut c tnh c ln hn n. Gi tr ny phn nh s lng VaR c tnh

khng th phn nh c tn tht thc t trong mt khong thi gian.
Ct S quan st vt ngng VaR hnh 3.1cho thy, khng c quan
st no vt ngng VaR 99% v VaR 97,5% phng php s dng c
lng khng chch v phng php Riskmetrics, do khong dao ng ca cc
gi tr VaR li sut ny phn ln nm ngoi khong [- 0,05; 0), tc l khng
c quan st no c gi tr nh hn cc VaR li sut ti cc tin cy ny. VaR
95% theo phng php u tin c 11 quan st vt ngng ny, VaR 95%
theo Riskmetrics c 5 quan st vt ngng ny.
Theo phng php Copula, c 1 quan st vt ngng VaR 99%, 7
quan st vt ngng VaR 97,5%, 9 quan st vt ngng VaR 95%, s cc
quan st vt ngng l nh trong 250 quan st c tnh. Theo phng php
Copula, s lng quan st vt ngng l t hn khi tnh VaR li sut theo
phng php s dng c lng khng chch, trong khi quan st hnh 3.2
VaR 95% theo phng php c lng khng chch nm xa hn chui li
sut thc t so vi VaR 95% tnh theo Copula.
Chng ta thy rng, khi tnh VaR 95% theo Riskmetrics c n 179 gi tr
vt khi mc, nh vy trong 71 gi tr VaR cn li thuc khong [ - 0,05; 0) c
n 5 gi tr m ti tn tht thc t vt ngng VaR. Trong khi c 250 gi tr
VaR thuc khong [ - 0,05; 0) tnh theo Copula tc l gp hn 3,5 ln so vi tnh
theo Riskmetrics (71 gi tr), c s quan st vt ngng VaR ch l 9, tc l ch
gp 1,8 ln s quan st vt ngng VaR 95% tnh theo Riskmetrics.
Nh vy, khi tnh VaR theo phng php Copula cng c th nhn thy rng
s quan st vt ngng VaR t hn so vi tnh theo hai phng php cn li.
Chng ta s dng thm thng s lch trung bnh ti quan st vt
ngng VaR, c tnh bi tng sai lch ti cc quan st vt ngng chia
cho s quan st vt ngng.
Kt qu t ct lch trung bnh ti quan st vt ngng VaR hnh 3.1 cho
thy, s dng phng php Copula, lch trung bnh ti quan st vt ngng
VaR 99%; VaR 97,5%; VaR 95% ln lt l 0,00014; - 0.0006, - 0.00152,
khng ng k v cng nh hn lch trung bnh ti cc quan st vt ngng
VaR 95% theo Riskmetrics (- 0.00172) v theo phng php s dng c lng
khng chch (- 0.00075). Kt qu t ct Trung bnh sai lch tuyt i ti quan
st vt ngng VaR hnh 3.2 cho bit gi tr sai lch trung bnh ti cc quan
st m gi tr VaR danh mc c tnh nh hn mc gi tr tn tht thc t ca
danh mc. Theo phng php Copula Student t, sai lch ny ti cc mc
ngha cho trc l khng ng k (xem kt qu hnh 3.2).

3.2-SO SNH CC KT QU NHN C T CC PHNG PHP

C LNG

Trong phn ny, tin cho vic phn tch chng ta s chn mc
ngha = 5% m t cc gi tr VaR li sut (1 ngy, 95%) trong 3 m hnh
nu trn.

Trong :

- li sut thc t ca danh mc ti t = 751+j,

.
VaR95%C - Gi tr VaR li sut c tnh theo phng php
Copula (gi thit chui li sut khng phn phi chun).
VaR95%R - Gi tr VaR li sut c tnh theo phng php
Riskmetrics (gi thit chui li sut phn phi chun v khng dng).
VaR95%D - Gi tr VaR li sut c tnh theo phng php s
dng c lng khng chch (gi thit chui li sut phn phi chun v
dng).
Bc u quan st th cho thy, chui VaR95%D l mt chui kh
trn v khong dao ng nm di khong dao ng ca chui VaR95%C.
Chui VaR95%R dao ng rt ln ( - 0.069310; - 0.037129) v phn ln kh
xa so vi gi tr thc t . Chui VaR95%C dao ng nh xung quanh gi tr
- 0.047 l chui nm gn gi tr tn tht thc t nht.
S d chui VaR95%D l mt chui kh trn v khong dao ng l

hon ton khng ng k v trong m hnh c lng gi tr ny gi thit

rng chui l chui dng v phng sai thun nht. Khi c lng cc gi
tr k vng v phng sai, chng ta s dng cc c lng khng chch
ca chng l trung bnh mu v phng sai mu. Cc mu quan st k nhau
hu nh l nh nhau ch khc nhau 1 gi tr quan st. Chng hn c
lng VaR li sut ti thi im 751 chng ta s dng mu quan st t 1 n
750; c lng VaR li sut ti thi im 752, chng ta s dng mu quan
st t 2 n 751... Nh th, cc gi tr k vng v phng sai l gn bng
nhau ti cc gi tr VaR lin k.
Chui VaR95%R l mt chui khng trn v rt dao ng bi v trong m
hnh c lng gi tr ny c gi thit chui l khng dng v phng sai l
khng thun nht, phng sai ny ph thuc vo c lng ca m hnh AR(1) GARCH(1,1), gi thit rng chui
l mt bin ngu nhin. Mi mu quan st
khc nhau th cc gi tr k vng v phng sai nhn c l khc nhau:
; vi
Trong
thi c

, nh vy
v

ln s dn n

~ IID(0,1).
hoc

hoc ng

ln.

Chui VaR95%C cng l mt chui khng trn v dao ng nh v

tham s hm Copula xy dng trn chui
i=1,2 l bin ngu nhin, s
liu m phng l rt ln (5000 quan st) nn cc gi tr VaR95%C l sai lch
nhau khng ln.
T cc kt qu phn tch s liu hnh 3.1 trn cho thy, tt c cc gi
tr VaR li sut c tnh theo phng php Copula ti mc ngha 5% u
nm trong khong gi tr tn tht [ - 0,05; 0) l ph hp thc t hn so vi
thc hin bng 2 phng php cn li; lch tuyt i trung bnh so vi tn
tht thc t l nh nht so vi 2 phng php cn li cho thy cc gi tr VaR
95% phn nh gn gi tr tn tht thc t nht trong 250 quan st hu kim, s
lng gi tr vt ngng VaR l t hn tng i v sai lch khng ng k
so vi tn tht thc t. Nh vy, c lng VaR theo m hnh Copula iu
kin Student t cho kt qu chnh xc hn nhiu so vi m hnh VaR theo
phng php Riskmetris (gi thit li sut ti sn c phn phi chun v
khng dng) v m hnh c lng VaR s dng c lng khng chch (gi
thit li sut ti sn c phn phi chun v dng).

3.3.MT S VN T C LNG VaR THEO M HNH COPULA

IU KIN

3.3.1-u im
M hnh ny c im mnh nht l cho php xc nh VaR danh mc
rt chnh xc m khng cn quan tm n phn phi ca cc ti sn trong
danh mc.
Mt gi thit na trong cc m hnh c lng VaR thng thng l
tnh dng. Bng cch tip cn Copula iu kin, gi thit ny cng s c b
qua, v phng php ny ch quan tm n phn phi ng thi ca cc chui
ti sn.
Phng php Copula iu kin khng ch dng li c lng VaR
cho cc danh mc c phiu (chng khon tuyn tnh) m cn c th c
lng VaR cho cc chng khon phi sinh nh Quyn chn (chng khon phi
tuyn).
Vi danh mc gm nhiu hn hai ti sn, Copula cng cho php m
rng bin vi s chiu tng ng.
3.3.2-Nhc im
Qu trnh c lng m hnh VaR bng phng php Copula iu kin
l ht sc cng knh. M hnh phi thng qua rt nhiu bc: Xc nh phn
phi bin duyn bng m hnh AR(1)-GARCH(1,1), la chn m hnh tng,
c lng tham s Copula t phn d chun ha, M phng Monte Carlo mu
N quan st cho dng Copula tm c, Sp xp cc quan st, Tm VaR. Mi
mt bc lm l mt giai on xy dng code i hi nhiu thi gian. Chng ta
phi thc hin li cc bc ny tm VaR cho cc thi k tip theo.
Mt nhc im m m hnh Copula iu kin cng khng ngoi l
nh cc phng php truyn thng, l ch tin hnh phn tch trong mi
trng kinh t bnh thng trong khng tn ti trng hp xu nht.
3.3.3-Pht trin phng php c lng VaR

KT LUN

T sau s kin th trng chng khon sp 1987, VaR tr thnh

mt gi tr o mc tn tht rt ph bin trong ti chnh, kinh t v thng
k. Ngi ta lun t ra cu hi: Lm th no c th o c gi tr tn tht
mt cch chnh xc nht?.
Trong hn hai thp nin qua, cng c rt nhiu phng php tnh
VaR xut hin, mang li nhng ng dng ln trong th trng ti chnh,
nghin cu thng k kinh t, nhng bn cnh cng lun phi da trn mt
s gi thit, i khi l khng ph hp vi thc t.
Hu ht cc phng php c lng VaR u da trn gi thit li sut
cc ti sn c phn phi chun. Gi thit ny nh mt tiu chun c hu v
ph bin khng ch trong khoa hc ti chnh m c trong khoa hc k thut.
Chng ta cng nhn thy rng, trn thc t gi thit ny him khi c i vi
cc chui s liu theo thi gian. khc phc iu ny, kt hp vi m
phng Monte Carlo, phng php s dng Copula iu kin tnh gi tr tn
tht. Phng php ny khng quan tm n phn phi ca tng bin c l
phn phi chun hay khng, m ch tp trung vo c im ca hm phn
phi ng thi ca cc bin.
Qua thc nghim cho thy, phng php s dng Copula iu kin em
li tnh chnh xc cao, c th phn nh c gi tr tn tht thc t. Tuy nhin,
qu trnh thc hin phng php ny li phc tp hn cc phng php
truyn thng, i hi nhiu thi gian v chi ph nn phng php ny cha
c ng dng ph bin nh Risk-Metrics, hay phng sai- hip phng sai.
Trong thi gian va qua, ngy cng nhiu cc cch tip cn tnh ton
gi tr tn tht mi, cc phng php ngy mt c hon thin khi c th b
i nhng gi thit khng ph hp vi thc t. Phng php Copula iu kin
l mt cch tip cn nh th. Chng ta cng hy vng rng trong tng lai gn,
phng php ny s c ng dng rng ri.

MC LC
LI M U..................................................................................................1
CHNG I:.....................................................................................................3
QUN TR RI RO CA DANH MC V PHNG PHP QUN
TR RI RO BNG M HNH VaR............................................................3
1.1-RI RO TI CHNH V QUN TR RI RO TI CHNH...........3
1.1.1- KHI NIM RI RO V RI RO TI CHNH.......................3
1.1.2-PHN LOI RI RO.....................................................................3
1.1.3-TN THT TI CHNH...............................................................3
1.1.4-QUN TR RI RO (RISK MANAGEMENT)...........................3
1.2-VaR V CC PHNG PHP C LNG.................................3
1.2.1-Ngun gc ra i v qu trnh pht trin.....................................3
1.2.2-Khi nim VaR................................................................................4
1.2.3-M hnh VaR....................................................................................4
1.2.3.1-Tip cn m hnh.......................................................................4
1.2.3.2-M hnh VaR..............................................................................4
1.2.3.3-Cc gi thit...............................................................................5
1.2.4-Cc m hnh VaR trong thc hnh................................................5
1.2.4.1-M hnh VaR cho li sut v ti sn.........................................5
1.2.4.2-M hnh VaR cho danh mc.....................................................6
1.2.4.2.a-M hnh RisMetris...............................................................6
1.2.4.2.b-M hnh VaR phi tham s...................................................7
1.3-COPULA V NGHA.......................................................................7
1.3.1-Tip cn hm Copula......................................................................7
1.3.2-nh ngha........................................................................................7
1.3.2.1- nh ngha 1.............................................................................7
1.3.2.2- nh ngha 2.............................................................................7
1.2.4- Copula Student-t............................................................................7
CHNG II:...................................................................................................9
M HNH VaR CA DANH MC...............................................................9
2.1-M T D LIU..................................................................................9
2.1.1-M t chui gi c phiu REE v SAM.........................................9
2.1.2-M t chui li sut ca c phiu REE v SAM........................10

2.2-KIM NH CC GI THIT I VI LI SUT TI SN REE

V SAM......................................................................................................10
2.2.1-Kim nh gi thit phn phi chun..........................................10
2.2.2-Kim nh tnh dng.....................................................................11
2.3-C LNG VaR..............................................................................12
2.3.1-c lng VaR vi gi thit li sut ti sn phn phi chun v
dng.........................................................................................................12
2.3.2-c lng VaR theo m hnh Riskmetrics vi gi thit li sut
ti sn phn phi chun v khng dng...............................................14
2.3.3-c lng VaR theo m hnh Copula Student t iu kin vi gi
thit li sut ti sn khng phn phi chun.......................................15
2.3.3.1-Xc nh phn phi bin duyn ca hm Copula..................15
2.3.3.2-c lng tham s Copula.....................................................17
2.3.3.3-M phng Monte Carlo...........................................................17
CHNG III:................................................................................................20
PHN TCH, SO SNH KT QU C LNG..................................20
3.1-PHN TCH KT QU NHN C T CC PHNG
PHP C LNG...............................................................................20
3.1.1-Khong dao ng..........................................................................20
3.1.2- lch tuyt i trung bnh so vi tn tht thc t..................22
3.1.3-Gi tr vt ngng VaR..............................................................23
3.2-SO SNH CC KT QU NHN C T CC PHNG
PHP C LNG.................................................................................25
3.3.MT S VN T C LNG VaR THEO M HNH
COPULA IU KIN...............................................................................27
3.3.1-u im..........................................................................................27
3.3.2-Nhc im....................................................................................27
3.3.3-Pht trin phng php c lng VaR.....................................27
KT LUN....................................................................................................29