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GVHD. PGS. TS Nguyn Th Ngc Trang

TRNG I HC KINH T TP-HCM

QUN TR RI RO TI CHNH
TI: KINH T HC V TI CHNH CU TRC

GVHD: PGS.TS Nguyn Th Ngc Trang

Sinh vin thc hin:
TCDN- CHCQ K23- NHM 10

Nin kha 2013- 2015

GVHD. PGS. TS Nguyn Th Ngc Trang

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GVHD. PGS. TS Nguyn Th Ngc Trang

MC LC
Tm tt............................................................................................................................... 1
1. Gii thiu.................................................................................................................... 3
2. Tng quan cc nghin cu trc y.......................................................................5
3. Phng php nghin cu..........................................................................................8
3.1.

To ra chng khon xp hng AAA...........................................................................................................8

3.2.

Thch thc ca vic xp hng ti sn ti chnh cu trc........................................................................12

3.3.

Phng php nghin cu..........................................................................................................................13

4. Kt qu nghin cu.................................................................................................15
4.1.

Kt qu nghin cu....................................................................................................................................15

4.2.

Tho lun...................................................................................................................................................20

TI LIU THAM KHO................................................................................................34

GVHD. PGS. TS Nguyn Th Ngc Trang

Tm tt
Bn cht ca hot ng ti chnh cu trc l s tng hp cc ti sn kinh t (vay
n, tri phiu, cm c) v nhng t pht hnh k tip ca cu trc vn u tin, c gi
nhng phn khc, da vo vic tng hp nhng ti sn th chp. L kt qu ca cc k
hoch u tin c s dng trong cc cu trc tri quyn, nhiu phn khc chng khon
an ton hn nhiu so vi cc ti sn trung bnh trong danh mc c s Kh nng ny ca
ti chnh cu trc gip ti ng gi ri ro v to ra cc ti sn an ton t cc ti sn
m bo c ri ro khc, iu ny dn n s m rng ng k trong vic pht hnh cc
chng khon cu trc, m hu ht trong s chng c nhn nhn l hon ton phi ri ro
bi cc nh u t v c chng thc bi cc t chc xp hng. Tm im ca cuc
khng hong trn th trng ti chnh gn y cho thy cc chng khon ny thc s
ri ro nhiu hn so vi nhng g c qung co ban u..
Trong bi nghin cu ny, chng ta kim tra lm th no tin trnh ca vic
chng khon ha cho php hng t dollar ca nhng ti sn ri ro c chuyn thnh
chng khon ci c cho l an ton, v tranh lun rng hai yu t chnh thc y
ti chnh cu trc tng trng ngon mc. u tin, chng ti ch ra rng hu ht cc
chng khon ch c th nhn c th hng tn dng cao nu cc t chc xp hng t tin
qu mc v kh nng c lng ri ro v n (default risk) ca cc chng khon c s, v
kh nng m cc cuc v n tng quan vi nhau. Bng cch S dng cu trc ti chnh
nguyn mu ngha v n c ti sn m bo (CDO) nh v d. c bit, chng ti ch
ra s thiu chnh xc nh nht trong cc c lng tham s cng c th dn n s thay
i trong ri ro v n (default risk) ca cc chng khon ti chnh cu trc nh th no,
v d nh, ri ro v n thay i khin cho mt chng khon c xp hng AAA i
n v n vi mt xc sut hp l. Th 2, yu t b b qun ca qu trnh chng khon
ha l n thay th ri ro m ch yu l a dng ha ri ro c tnh h thng cao. Kt qu
l, chng khon c to ra bi cc hot ng ti chnh cu trc c t c hi sng st
hn so vi chng khon ca cng ty c cng xp hng bi s khc lit ca mt cuc suy
thoi kinh t nghim trng. Hn na, bi v ri ro v n ca cc phn khc cp cao tp
1

GVHD. PGS. TS Nguyn Th Ngc Trang

trung cc nc c h thng kinh t bt li, nh u t nn yu cu phn b ri ro ln
hn nhiu gi cc khon n cu trc l nm gi tri phiu ca cng ty c cng xp
hng. Tc gi tranh lun rng c 2 c trng ny ca sn phm ti chnh cu trc - tnh
cht cc k d b tc ng ca kt qu xp hng cc sn phm ti chnh cu trc chnh i
vi s thiu chnh xc nh nht trong vic nh gi cc ri ro tim n, v nhy cm
cao i vi ri ro h thng - gp phn quan trng trong vic gii thch s thng trm ca
ti chnh cu trc.

GVHD. PGS. TS Nguyn Th Ngc Trang

1. Gii thiu
Hn mt th k trc, Nhng t chc nh l Moodys, S&P v Fitch tp trung
v phn tch mt lot cc ngnh cng nghip ti chnh v cc thng tin kinh t i n
nh gi c lp v mc tin cy ca cc thc th khc nhau, dn n m rng s ph
bin nh gia tn nhim ( AAA, AA,A, BBB ). Cho n gn y cc t chc tp trung
phn ln vic kinh doanh ca h trong nhng cng ty ti chnh n l - cc vn v
tin cy ca cng c ti chnh c th c gn r rng cho mt cng ty duy nht. Trong vi
nm tr li y, m hnh kinh doanh ca cc t chc xp hng tn dng m rng vt
qu vai tr lch s ca h bao gm c lnh vc ti chnh cu trc non tr.
Ngay t lc khi im, th trng chng khon cu trc pht trin nh l mt
th trng c xp hng, ni m ri ro cc phn khc c nh gi bi cc t chc
xp hng tn dng. Nhng nh pht hnh sn phm ti chnh cu trc ho hc mong
mun sn phm ca h s c xp hng trn cng mt thang o nh vi tri phiu
cc nh u t da trn c s xp hng c th mua cc loi chng khon ny. Bng cch
cho cc chng khon mi ny c xp hng, cc t chc pht hnh to ra mt o gic
v kh nng c th so snh vi cc chng khon n l ang lu hnh. Cch tip cn ny
n vi mt tp hp ln nhng ngi mua tim nng nhng g khc vi cc chng
khon c xp hng ny s c nhn thc nh l nhng loi chng khon phi sinh rt
phc tp.
Trong sut mt thp k qua, tt c cc loi ri ro c gp li to ra mt s
lng ln cc chng khon c nh gi AAA vi sut sinh li cnh tranh. Vo gia
nm 2007, c hn 37000 sn phm ti chnh cu trc pht hnh ch ring nc M vi
th hng cao nht (Scholtes and Beales 2007). Theo Fitch (2007), 60% ca tt c sn
phm cu trc ton cu c xp hng AAA, ngc li vi t hn 1% tri phiu doanh
nghip. Bng cch cung cp nh gi AAA cng vi sut sinh li hp dn trong giai
on li sut tng i thp, nhng sn phm ny thu ht cc nh u t trn ton th
3

GVHD. PGS. TS Nguyn Th Ngc Trang

gii. Ln lt, cc hot ng ti chnh cu trc pht trin chim phn ln doanh thu
ca ph Wall v doanh thu ca cc t chc xp hng tn dng mt thi gian ngn . Nm
2006, s pht hnh ca cc cu trc ti chnh lm cho Ph Wall t c doanh thu v
mc li nhun k lc. Trong cng nm, Moodys cho bit 44% doanh thu ca h n t
vic nh gi cc sn phm ti chnh cu trc , vt 32% ca doanh thu t cc sn phm
truyn thng ca h l nh gi tri phiu cng ty.
Vo nm 2008, mi th thay i. S pht hnh ton cu ca cc ngha v n
th chp din ra rt chm. Cc ngn hng Ph Wall buc phi gim bt. Doanh thu
ca cc t chc xp hng t nh gi cc sn phm ti chnh cu trc bin mt trong
mt m v gi c phiu ca nhng cng ty ny gim hn 50%, cho thy vin cnh
doanh thu trn th trng st gim lu di. Mt phn ln cc sn phm hin c cho
thy xp hng ca chng b h xung, vi s h bc c bit ph bin trong nhng g
c gi l asset-back security chng khon c m bo bng ti sn - bao gm
cc tp hp khon vay th chp, th tn dng, vay mua t. V d, 27/30 phn khc CDO
m bo bng ti sn (asset-backed) c bo lnh bi Merrill Lynch trong nm 2007,
chng kin s st gim th hng t AAA xung hng ph phm (Craig, Smith, and
Ng, 2008). Nhn chung trong nm 2007, Moodys h bc xp hng 31% trong tt c
phn khc CDO m bo bng ti sn m t chc ny xp hng v 14% trong s
ban u c xp hng AAA (Bank of International Settlements, 2008). Vo khong gia
nm 2008, hot ng ti chnh cu trc thc s chm dt, v ch tch ca Standard &
Poors, Deven Sharma mong i cc hot ng ny c th duy tr c trong vi
nm (S&P President,, 2008).
Bi nghin cu ny iu tra s thng trm ca cu trc ti chnh. Chng ta bt u
bng cch kim tra s hot ng ca ti chnh cu trc nh th no. Tc gi xy dng mt
s v d n gin v cc ngha v n c m bo bng ti sn th chp (CDO) v qua
cho thy vic tng hp v phn khc tp hp cc ti sn cho php nng cao cht lng
tn dng ca cc khon n cao cp nh th no. Sau tc gi phn tch chi tit v nhng
thch thc m cc t chc xp hng tn dng phi i mt, c bit, xem xt cc thng s
4

GVHD. PGS. TS Nguyn Th Ngc Trang

v gi nh m hnh c yu cu c c cc kt qu xp hng chnh xc ca cc sn
phm ti chnh cu trc. Sau chng ti kt thc vi mt nh gi v nhng sai lm v
tm quan trng tng i v nhng sai st ca t chc xp hng, s c tin ca nh u t,
cc ng c mang tnh c hu v hnh vi ng ng ca mt b phn nh pht hnh, t
chc xp hng v ngi i vay.
2. Tng quan cc nghin cu trc y.
Altman, Edward, 2006, Default Recovery Rates and LGD in Credit Risk Modeling
and Practice: An Updated Review of the Literature and Empirical Evidence,
Bi nghin cu ny trnh by mt nh gi chi tit ca m hnh ri ro tn dng
pht trin trong sut ba mi nm qua, mi quan h gia t l thu hi n vi xc sut v
n ca bn i vay. Tc gi cng xem xt cc n lc ca cc c quan xp hng chnh
thc kt hp vic xp hng t l thu hi n vo nh gi ca h v cng ty cho vay v ri
ro tn dng tri phiu v nhng n lc gn y ca y ban Basel v gim st ngn hng
xem xt tc ng ca "suy thoi LGD (LGD loss given default - tn tht do v n "
trong cc yu cu ngh ca h theo Basel II. Bng chng thc nghim gn y lin
quan n nhng vn ny v cc d liu mi nht v li tc tri phiu v nguy c v n
ca cc khon vay n by cng c trnh by v tho lun. Kt qu nghin cu cho
thy t l thu hi n (RR recovery rate) v xc xut v n (probability of default) c
mi quan h nghch bin, ng thi ri ro trong vic thu hi n l mt phn ca ri ro h
thng, do cc nh u t s yu cu phn b ri ro cao hn, v th t l thu hi n nn
c xem xt trong cc ng dng qun l ri ro tn dng.
Bank of International Settlements. 2005. The role of ratings in structured
finance: issues and implications. January.
Thng 5 nm 2003, y ban v cc h thng ti chnh ton cu (CGFS) quyt nh
thnh lp Nhm cng tc v nh gi sn phm Ti chnh c cu trc tm hiu vai tr
ca cc t chc xp hng cc th trng sn phm ti chnh cu trc pht trin nhanh
chng . to iu kin cho mt s hiu bit tt hn v vai tr ny, nhm cng tc c
giao nhim v xc nh v gii thch phng php khc nhau gia vic xp hng ca
5

GVHD. PGS. TS Nguyn Th Ngc Trang

cc cng c ti chnh c cu trc v cc sn phm tn dng truyn thng, khm ph
nhng thch thc khc nhau v phng php v t chc tham gia vo vic xp hng cc
sn phm ti chnh cu trc. Bo co ny c thu tp t cc nhm cng tc, b sung cho
bo co trc ca CGFS v cc din n chnh thc khc (chng hn nh CGFS
(2003) v Forum (2004b)). N lm ni bt mt s cc c tnh ca sn phm c cu trc,
thch thc pht sinh i vi cc t chc xp hng, v tc ng i vi cc ngn hng
trung ng v cc nh u t. Bo co ny da trn cc cuc tho lun ca cc nhm
nghin cu v ng gp ca cc thnh vin nhm, v hng lot cc cuc phng vn vi
cc quan chc ca cc t chc xp hng v tham gia trong th trng ti chnh c cu
trc. Kt qu nghin cu cho thy t chc xp hng ng mt vai tr quan trng trong th
trng ti chnh c cu trc. Ging nh trong cc th trng ti chnh khc, t chc xp
hng ng vai tr l nh cung cp cc kin ca bn th ba v mc ri ro ca cc
cng c n, t gip gii quyt vn thng tin bt cn xng, nng cao hiu qu v
minh bch thng tin. Tuy nhin, hot ng cc t chc xp hng l c bit c gi tr
trong cc tnh hung m cc nh u t phi i mt vi chi ph tng i cao trong vic
nh gi cu trc v ri ro ca mt cng c nht nh trong th trng ti chnh cu trc.
Vic xp hng xut hin ng mt vai tr quan trng hn trong th trng ti chnh
cu trc hn cc th trng tn dng truyn thng.
Heitfield, Erik, 2008, Parameter Uncertainty and the Credit Risk of
Collateralized Debt Obligations,
Bi nghin cu ny xem xt nhng kh khn vn c trong vic xp hng cht
lng tn dng ca cc ngha v n c ti sn m bo (CDO). nh gi kh nng v
d kin mc nghim trng ca tn tht trong mt t CDO, chng ta cn phi bit s
phn b cc khon l cho cc ti sn ti sn th chp ca cc CDO, cng nh s ph
thuc ca l vo ti sn m bo. T chc xp hng v cc thnh phn khc trn th
trng hu nh ch da trn cc m hnh copula n gin m t s phn b nhng tn
tht ti sn th chp ca CDO. hiu thm v phn khc CDO cao cp, s liu ri ro tn
dng theo tiu chun nh kh nng v n v tn tht d kin s rt nhy cm vi cc
thng s m hnh copula m khng phi trc tip quan st c. Gi thit c a ra v
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GVHD. PGS. TS Nguyn Th Ngc Trang

nhng d liu c sn phn tch tn dng, tc gi tnh ton gii hn v chnh xc ca
m hnh c lng tham s copula v cho thy rng trong rng buc d liu c thit
lp c nhiu kh nng p t cc hn ch nghim trng v kh nng ca mt nh phn
tch nh gi chnh xc phn khc CDO . Kt qu nghin cu cho thy s khng chc
chn lin qua n vic xp hng cc sn phm ti chnh c cu trc cht lng cao s ln
hn nhiu so vi vic xp hng cc chng khong n cht lng cao ca doanh nghip.
M hnh nh lng thng c s dng b cc t chc xp hng xp hng cc phn
khc CDO c th cung cp cc cng c hu ch xp hng cc loi chng khong n
tng t. Nhng v cc thng s c bn ca m hnh c c tnh b li, do c kh
nng m hnh ny s a ra mt sai st ng k trong xc xut v n, tn tht d kin
ca chng khon ny.
Tarashev, Nikola and Haibin Zhu, 2007, Modelling and Calibration Errors in
Measures of Portfolio Credit Risk,
Bi nghin cu ny pht trin mt quy trnh thc nghim phn tch tc ng
ca cc m hnh thng s sai lch v hiu chnh sai s o lng ri ro tn dng ca danh
mc u t . Trn c s danh mc tn dng c m phng vi c im thc t, kt qu
cho thy rng s vi phm cc gi nh quan trng m hnh ASRF (Asymptotic SingleRisk Factor ) hu nh khng quan trng, c bit l i vi danh mc u t c a
dng ho ln. Ngc li, sai st trong s ph thuc ln hiu chnh ri ro tn dng qua ri
ro, c thc y bi cc sai s c lng mu nh chnh, c th dn n khng chnh
xc ng k trong c tnh ri ro tnh dn ca danh mc u t.
U.S. Securities and Exchange Commission, 2008, Summary Report of Issues
Identified in the Commission Staffs Examination of Select Credit Rating Agencies.
Trong thng 8 nm 2007, nhn vin y ban chng khon ca cc khi xng cuc
kim tra ba t chc xp hng tn dng - Fitch Ratings, Ltd ("Fitch"), Moody ca dch v
u t, Inc ("Moody") v Standard & Poor Ratings Services ("S & P ") -. xem xt li vai
tr ca h trong cuc khng hong gn y trong th trng chng khon th chp di
chun. Cc doanh nghip ng k vi y ban quc gia cng nhn l t chc thng k gi
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GVHD. PGS. TS Nguyn Th Ngc Trang

trong thng 9 nm 2007 (gi chung l cng ty kim tra c cp n trong bo co
ny l "t chc nh gi" hay "NRSROs"). Nhng cng ty khng tun theo o Lut Ci
cch C quan xp hng tn dng ca nm 2006 hoc cc quy nh ca y ban cho cc c
quan xp hng tn dng cho n thng Chn nm 2007. Trng tm ca vic kim tra l
hot ng cc t chng xp hng "trong nh gi

chng khon th chp di

chun("RMBS") v cc ngha v n th chp ("CDO") lin quan n cho vay di chun

chng khon th chp nh . Mc ch ca vic kim tra l pht trin mt s hiu bit
v thc hnh ca cc t chc xp hng xung quanh vic xp hng RMBS v CDO. y l
mt bo co tm tt ca nhn vin ca y ban v cc vn c xc nh trong nhng
cuc kim tra. Kt qu cho thy mi t chc xp hng c nhng bin php khc nhau
xp hng RMBS v CDO, ng thi trong qua trnh xp hng cc kha cnh quan trng
khng phi lc no cng c cng b rng ri, cc t chc xp hng khng lun lun
ghi li nhng bc i quan trng trong qu trnh lm vic, quy trnh c s dng cc
t chc xp hng dng nh km cht ch hn nhiu so vi thi im trc v vic kim
ton ni b ca cc t chc xp hng khc nhau, do dn n nhiu sai st v s khc
bit trong qu trnh xp hng ca cc t chc. Cng theo bi nghin cu, cc t chc xp
hng l mt b phn trong qu trnh kim tra, v h cam kt thc hin cc bin php khc
phc i vi nhng vn sai st c xc nh.
3. Phng php nghin cu.
3.1. To ra chng khon xp hng AAA
Vic ch to ra cc chng khon vi mt th hng tn dng nht nh i hi phi
tng xng vi ri ro dng tin ca cc chng khon ny c o lng bi kh nng
v n v ln ca tn tht phi gnh chu khi v n tha cc nguyn tc c thit
lp bi cc t chc xp hng tn dng. Ti chnh cu trc cho php cc nh to lp t
c mc tiu ny bng th tc 2 bc lin quan n tp hp (pooling) v phn khc
(tranching).
Trong bc u tin, mt tp hp ln cc ti sn thun tn dng c sp t vo
trong mt danh mc, t chc qun l danh mc ny thng c ni n nh l mt t
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chc chuyn nhim (special purpose vehicle SPV). Danh mc ng vi t chc chuyn
nhim c tch ra khi bng cn i k ton ca nh to lp tch bit ri ro tn dng
ca cc ngha v phi tr cc phn khc (tranches) khi bng cn i k ton. Nu t
chc chuyn nhim pht hnh cc khon phi i m khng c s u tin ha v n
gin ch l cc khon t l vi gi tr thanh ton ca danh mc ti sn c s, th cu trc
s c bit n nh l chng khon ha dn xut (pass-through securitization). Ti giai
on ny, bi v tn tht d kin ca danh mc bng vi tn tht d kin trung bnh ca
cc chng khon c s, nn th hng tn dng ca danh mc s c gn bi th hng
trung bnh ca cc chng khon trong danh mc c s. Cc khon phi i ng vi
chng khon ha dn xut s tha k th hng ny, v th s khng t c s gia tng
cht lng tn dng (credit enhancement).
Ngc li, ch to ra mt loi chng khon vi ri ro dng tin khc nhau, ti
chnh cu trc c thc hin bng cch pht hnh cc khon phi i c s u tin ha,
c bit n nh l cc phn khc (tranches), da trn danh mc ti sn m bo c s.
Cc phn khc c u tin ha theo cch m chng hp th cc tn tht t danh mc c
s. V d, cc phn khc cao cp ch hp th tn tht sau khi cc khon phi i gnh
chu ht, nh m cc phn khc cao cp t c th hng tn dng vt qu th hng
trung bnh xt trn bnh qun ton b tp hp ti sn m bo. Mc bo v c cung
cp bi cc khon phi i cp thp, hoc gi l overcollateralization, ng vai tr then
cht trong vic xc nh th hng tn dng cho phn khc cao cp; bi v n xc nh tn
tht danh mc ln nht c th chu ng trc khi khon phi i cao cp phi gnh chu.
Quy trnh tp hp (pooling) v phn khc (tranching), chung cho tt c cc chng
khon cu trc, c th c minh ha vi v d hai ti sn. Xem xt hai chng khon
ging ht nhau gi chng l cc tri phiu (bonds) c hai c xc sut v n l p D, v
tr 0$ trong trng hp v n v 1$ nu khng v n. Gi nh chng ta tp hp cc
chng khon ny vo trong mt danh mc, tng gi tr danh ngha ca s vn c s l
2$, sau pht hnh hai phn khc 1$ da trn gi tr c s ny:

GVHD. PGS. TS Nguyn Th Ngc Trang

Phn khc cp thp (junior) c th c to ra n chu 1$ tn tht u tin
i vi danh mc; v th, phn khc cp thp tr 1$ nu c hai tri phiu trnh
c v n v 0$ nu mt trong hai tri phiu v n.
Phn khc cao cp (senior), ci m gnh chu tn tht nu vn ca phn khc
cp thp b cn kit, ch v n nu c hai tri phiu v n.
R rng l tnh ton cc dng tin d kin (hoc xc sut v n) cho cc phn
khc, chng ta s cn bit kh nng c hai tri phiu v n ng thi. Trong v d ny,
cu trc ph thuc v n c th c m t mt cch c ng bi cc thng s n l,
hoc l xc sut v n ng thi, hoc tng quan v n1.
Nhng g lm cho cu trc ny th v chnh l nu vic v n ca hai tri phiu
tng quan khng hon ho, th phn khc cao cp s tr hoc 1$ hoc 0$ - ch nh cc
tri phiu n l - ngoi tr l s t kh nng v n hn so vi trng hp tng tri phiu
c s. V d, nu c hai tri phiu c 10% xc sut v n v vic v n khng tng
quan nhau, th phn khc cao cp s ch c 1% kh nng v n. Th tc c bn ny cho
php cc chng khon c ri ro cao c th c ti ng gi, vi mt s phn khc kt
qu c bn cho nh u t ang tm kim cc khon u t an ton.
Mt nhn thc mang tnh cht trung tm ca ti chnh cu trc l bng vic s
dng mt s lng ln cc chng khon trong tp hp c s, th phn ln dn hn ca
cc phn khc c pht hnh c th kt thc vi cc th hng tn dng cao hn th hng
trung bnh ca tp hp ti sn c s. V d, xem xt m rng v d v hai tri phiu bng
cch thm vo mt tri phiu th ba 1$, ba khon phi i 1$ gi y c th c pht
hnh da trn cu trc vn c s ny. By gi, phn khc th nht (the first tranche) v
n nu bt k mt trong ba tri phiu v n, phn khc th hai (the second tranche) v
n nu hai hoc nhiu hn cc tri phiu v n, v sau cng, phn khc cao cp nht (the
senior-most tranche) ch v n khi c ba tri phiu v n. Nu cc tri phiu v n 10%
thi gian v vic v n khng tng quan nhau, th phn khc cao cp nht by gi s v
1 Nu chng ta gi nh
10

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n ch 0,1% thi gian, phn khc trung bnh v n 2,8% thi gian, v phn khc cp thp
v n 27,1% thi gian. V th, bng cch bao gm tri phiu th ba trong tp hp, hai
phn ba gi tr vn c o lng bi cc gi tr danh ngha ca phn khc c th
c ti ng gi vo trong cc khon phi i t ri ro hn cc tri phiu c s.
Cch khc gia tng tng gi tr danh ngha ca cc chng khon c th hng
cao c sn xut l ti p dng c my chng khon ha cho cc phn khc cp thp
c to ra trong vng u tin. V d, trong trng hp hai tri phiu m vic v n l
khng tng quan nhau, phn khc cp thp 1$ v n vi xc sut 19%. Tuy nhin, nu
chng ta kt hp phn khc cp thp 1$ ny vi mt phn khc cp thp 1$ tng t
c to ra t tp hp hai tri phiu khc, chng ta c th mt ln na phn kt qu vn
2$ vo trong hai khon phi i 1$ vi th t u tin khc nhau. Nu khng c s tng
quan gia cc ti sn c s, phn khc cao cp xut pht t ln chng khon ha th hai
phn khc m v n nu t nht mt tri phiu v n trong mi hai tp hp c s c
xc sut v n 3,6%, mt ln na thp hn ng k cc tri phiu c s. Cc ngha v n
c th chp bng ti sn m bo (collateralized debt obligation) t cc phn khc
ca cc ngha v c th chp bng ti sn m bo khc (other collateralized debt
obligation) c gi l CDO-cp 2 (CDO2).
Nhn t then cht xc nh kh nng to ra cc phn khc an ton hn ti sn m
bo c s l mc m cc cuc v n tng quan gia cc ti sn c s. Tng quan
v n thp hn, cng t kh nng tt c ti sn v n ng thi v do khon phi i
cao cp nht an ton hn c th c to ra. Chng hn, xem xt trng hp hai tri
phiu c tng quan v n hon ho vi nhau. Bi v by gi c hai tri phiu hoc tn
ti hoc v n ng thi, nn cu trc khng t c s gia tng cht lng tn dng
cho phn khc cao cp. Trong khi, ri ro v n khng tng quan cho php khon phi
i cao cp c xc sut v n 1%, th ri ro v n tng quan hon ho s ng ngha vi
vic khon phi i cao cp s chu ri ro ca ti sn c s, ti mc 10% xc sut v n.
Sau cng, cc mc tng quan trung bnh cho php cu trc to ra khon phi i cao
cp vi ri ro v n gia 1% v 10%.
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GVHD. PGS. TS Nguyn Th Ngc Trang

3.2.

Thch thc ca vic xp hng ti sn ti chnh cu trc

Xp hng tn dng c thit k nh gi kh nng ca t chc pht hnh hoc cc

ch th trong vic p ng cc cam kt ti chnh trong tng lai ca h, chng hn nh
tin gc hoc li sut. Ty thuc vo cc t chc xp hng v cc ch th c mc tn
nhim ang c nh gi, xp hng l mt trong hai cn c vo kh nng d on nguy
c v n xy ra, hoc trn c s thit hi kinh t d kin tch ca xc xut v n v
mc nghim trng ca nhng tn tht khi v n. Nh vy, mt nh gi tn dng trc
gic c th c coi nh l mt thc o dng tin d kin ca chng khon. Trong bi
cnh tri phiu cng ty, chng khon nh gi BBB-hoc cao hn c bit n nh l
hng u t v l i din cho mc ri ro v n thp n trung bnh, trong khi nhng
chng khon c nh gi BB + di y c gi l hng u c v c nguy c v n
hoc v n.

Bng 1 bo co gi nh ca Fitch v xc sut v n 10-nm ca tri phiu doanh

nghip nh l mt chc nng nh gi ca h khi pht hnh v t l v n hng nm
12

GVHD. PGS. TS Nguyn Th Ngc Trang

tng ng. Nhng c tnh ny c ngun gc t mt nghin cu ca cc d liu lch s
v c s dng trong m hnh ca Fitch cho ngha v n th chp (Derivative Fitch,
2006) . ng ch l trong phm vi cp u t, c mi loi nh gi khc nhau (t
AAA n BBB -) mc d t l v n hng nm ch dao ng trong khong 0,02 v
0,75%. Vi phm vi hp ca t l n trong qu kh, vic phn bit gia cc xp hng
c gn cho chng khong hng u t i hi mt mc n tng v chnh xc
trong vic c tnh kh nng v n ca chng khon. Ngc li, trong mi th hng
trong phm vi hng u c (t BB+ ti C) c xc xut v n khc nhau t 1,07-29,96%.
Trong xp hng chng khong n l, ni m cc t chc xp hng tn dng
c pht trin chuyn mn ca h, chng khon c nh gi c lp vi nhau, cho
php cc t chc xp hng c th khng th bit v mc v n c th tng quan hay
khng. Nhng, gn xp hng chng khon cu trc ti chnh, cc t chc xp hng b
buc phi xc nh nhng thch thc ln hn trong vic m t ton b phn phi chung
v cc thnh qu ca tp hp ti sn m bo c s. Nh phn trc chng minh,
nhng ri ro ca cc phn khc CDO l nhy cm vi mc tng quan v n gia
cc ti sn c s, bi CDO da vo sc mnh ca s a dng ha t c tng
cng tn dng.
Cu trc ca CDO khuch i tc ng ca cc c tnh khng chnh xc v kh
nng v n, cc khon thu hi trong cc trng hp v n, tng quan v n, cng nh,
li m hnh do cc thng s sai lch tim n trong vic xc nh s tng quan v n
(Tarashev v Zhu, 2007; Heitfield, 2008). Nhng vn c nhn mnh hn na thng
qua vic p dng tun t ca cu trc vn to ra cc ngha v n th chp t cc phn
khc CDO , thng c gi l CDO-squared (CDO2). Vi nhiu vng ca cu trc,
thm ch li nh cp ca cc chng khon c s, ci m cha lm thay i th
hng ca chng khon c s, cng c th th nhanh chng thay i xp hng ca cc
chng khon ti chnh cu trc.
3.3.

Phng php nghin cu

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GVHD. PGS. TS Nguyn Th Ngc Trang

minh ha cho s nhy cm ca cc ngha v n th chp v th h sau ca
chng, CDO2, i vi sai st trong c lng tham s, tc gi tin hnh mt php m
phng. u tin, tc gi m phng cc li nhun cho 40 tp hp CDO, mi tp hp bao
gm 100 tri phiu vi mt xc sut mc nh 5 nm l 5% v t l thu hi l 50% ca
gi tr mnh gi trong iu kin khng tr n ng k hn. S dng t l n hng nm
c bo co trong Bng 1 nh mt hng dn, mi tri phiu trong tp hp ti sn th
chp theo gi thuyt ca chng ta s t c th hng va di hng u t l BB+.
Cui cng, tc gi sa cha tng quan v n ca cc cp tri phiu ti 0.20 trong mi
tp hp ti sn m bo, v gi nh cc gi tr v n ca tri phiu thuc tp hp ti sn
m bo khc nhau l khng tng quan. Phng php m phng ca chng ti da trn
mt phin bn n gin ca m hnh l cc tiu chun ngnh cho vic xc nh tn
tht ca danh mc u t.
Trong mi tp hp ti sn m bo, chng ta xy dng mt c cu vn gm ba t
u tin theo cp bc. Cc "phn khc cp thp" l ci u tin hp th thit hi t cc
tp hp ti sn m bo c s v lm nh vy cho n khi danh mc u t vt mc
6%, im ny cc phn khc cp thp tr nn v gi tr. Cc "phn khc cp trung" bt
u hp th thit hi khi tn tht danh mc u t vt mc 6% v tip tc lm nh
vy cho n khi tn tht danh mc u t t t 12%. Cui cng, cc t cp cao hp th
tn tht danh mc vt qu 12. Chng ti cng xy dng mt CDO2 mt bng cch pht
hnh mt cu trc vn th hai ca cc khon phi i da trn mt tp hp kt hp cc
phn khc cp trung t 40 CDO ban u
Trong khi cc gi tr tham s c s dng trong m hnh ca chng ta khng lin
quan ti bt k th trng no, chng c la chn tng t cc loi ti sn th chp

14

GVHD. PGS. TS Nguyn Th Ngc Trang

v cc chng khon c quan st ti cc th trng ti chnh cu trc 2. Sau khi m
phng cc li nhun cho cc ti sn th chp c s, bc u tin ca chng ta l ch
nh xp hng cho cc phn khc. Chng ti lm iu ny bng cch so snh cc kh
nng m phng v s suy gim ngun vn ca mi phn khc vi xc sut v n 5 nm
theo t l v n hng nm bo co trong Bng 1.
4. Kt qu nghin cu
4.1. Kt qu nghin cu
Theo cc thng s c bn ca chng ti, cc phn khc cp trung ca cc CDO ban u
thu ht c s nh gi u t cp thp nht BBB-, trong khi cc phn khc cp cao chim 88 phn trm ca c cu vn - nhn mt nh gi AAA. Cc ngha v n th chp
to thnh t trung, biu hin bng CDO 2 ([6, 12]) trong bng 2, c cc phn khc cp
trung v phn khc cp cao c kh nng t c mt xp hng AAA. Bng 2 m t xc
sut v n v thnh qu d kin (nh l mt phn ca gi tr danh ngha) cho cc phn
khc m phng cc CDO ban u v cc CDO 2 xy dng t cc phn khc cp trung. Tt
nhin, cc c tnh ri ro ph thuc rt nhiu vo vic tng quan v n c c
tnh mt cch chnh xc hay khng. Hnh 1 khm ph s nhy cm ca cc phn
khcCDO ban u v cc phn khc CDO 2 vi nhng thay i trong tng quan v n
ca tri phiu trong tng CDO. Cc mi tng quan v n tri phiu thuc cc tp hp
ti sn m bo khc nhau c c nh mc 0. Con s ny s hin th cc thnh qu
d kin l mt hm ca s tng quan v n, c th ha bng cc thnh qu chi tr d
kin di chun c s. Nhng gi tr ny c th c coi nh l minh ha tc ng ca

2 V d, trch nhim cho vay th chp c xu hng c pht hnh trong mt cu trc ba t vi im
lin kt ca 0-5 phn trm, 5-15 phn trm v 15-100 phn trm. Trch nhim th chp n tham kho mt
ch s thng c s dng trong giao dch hon i tn dng trn tri phiu doanh nghip c mt c cu
vn cht ch hn vi hai tuyn b kiu c s (0-3 phn trm, 3-7 phn trm), tuyn b cp trung (7-10
phn trm, 10-15 phn trm) v tuyn b cp cao (15-30 phn trm, 30-100 phn trm). c da trn
mt ch s th chp c chng khon ho dn c c cu trc tng t vi tuyn b c s (0-3 phn trm,
3-7 phn trm), tuyn b cp trung(7-12 phn trm, t 12-20 phn trm) v cao cp khiu ni (20-35 phn
trm, 35-100 phn trm).
15

GVHD. PGS. TS Nguyn Th Ngc Trang

mt trong hai sai lm thng dng trong cc gi nh m hnh hoc mt bi thc hin c
cc kinh nghim mc nh trn gi tr ca mt khon u t 1 la trong mi phn khc.
Bng 2 cho thy thnh qu d kin ca cc tp hp ti sn th chp c bn khng
ph thuc vo s tng quan v n. Khi gi tr v n tng quan tng t ng c s
ca n l 0,20, cho thy ri ro v n l t a dng hn so vi d kin, thay i ri ro t
cc khon i c s cho cc khon i cp cao. Do , thnh qu d kin trn phn khc
cp thp tng tng i so vi gi tr ban u, trong khi thnh qu d kin vo cc phn
khc cp trung gim. Tc ca nhng thay i trong tng quan v n ln cc phn khc
CDO trung l khng u.

Thnh qu s gim cho n khi tng quan v n t n mt gi tr 0,80, ni cc

phn khc mt i khong 10 phn trm ca gi tr tng i ca n hiu chnh c
bn, v sau tng ln khi v n tr thnh hon ton tng quan hon ho v ri ro c
dch chuyn cho cc phn khc cp cao. Trong gii hn ca s tng quan v n hon
16

GVHD. PGS. TS Nguyn Th Ngc Trang

ho, mi phn khc phi i mt vi cng mt c hi 5 phn trm v n trong 5 nm nh
tng chng khon ring l trong danh mc u t c bn.
Cc bng iu khin pha di ca Hnh 1 cho thy s thay i trong vic nh gi
cc phn khc cp trung ca CDO c khuch i bi cu trc vn th h th hai ca
CDO2. V d, nh cc mi tng quan v n theo cp trong tp hp sn ti sn m bo
ca tri phiu tng t 20% n 60 %, thnh qu d kin v cc khon phi i phn khc
cp trung ca CDO2, chng khon hng u t theo cc thng s c bn, gim mnh
xung 25%.

17

GVHD. PGS. TS Nguyn Th Ngc Trang

Trong hnh 2, chng ta xem xt nh hng ca cc sai st trong cc c tnh ca

xc sut v n trn cc chng khon c s v cc thnh qu d kin cho cc phn khc,
khi gi tng quan v n c nh gi tr ban u l 0,20. Khi tng (gim) xc sut v
n so vi c tnh ban u l 5 phn trm, thnh qu d kin ca ti sn m bo c s
CDO gim (tng) u u, v hiu ng ny c chuyn giao cho cc phn khc CDO.
nhy ca cc phn khc vi cc sai s c tnh trong xc sut v n c xc nh
mc u tin ca chng. V d, s gia tng xc sut v n t 5 ln 10% lm suy gim
55% trong thnh qu d kin cho phn khc c s, mt s suy gim 8% cho cc phn
khc cp trung, v gim 0,01 phn trm cho cc phn khc cp cao.
Cc bng pha di ca hnh 2 mt ln na minh ha vic thay i cc thng s
c bn c tc ng mnh vo CDO 2 gm phn khc cp trung t cc CDO ban u.
Trong trng hp ny, khi xc sut v n tng, gi tr ca cc phn khc c s v phn
khc cp trung nhanh chng h xung 0, v gi tr ca cc phn khc cp cao gim ng
k.

18

GVHD. PGS. TS Nguyn Th Ngc Trang

Bng 3 l mt minh ha b sung v cch xp hng b nh hng bi nhng thay

i trong tng quan v n v xc sut v n cc ti sn c bn. Mc d thnh qu d
kin ca phn khc CDO cp cao phn ngtng i mnh m vi nhng thay i trong
cc tham s m hnh, nhng iu ny l sai. Do vic phn chia th hng u t tt, thm
ch thay i trong cc tham s m hnh c th thc y mt s st gim th hng c
ngha cho cc phn khc cp cao. V d, s nh gi ca cc phn khc CDO cp cao ban
u gim xung A + khi xc sut v n t 10 phn trm, v t ti ranh gii hng u t
19

GVHD. PGS. TS Nguyn Th Ngc Trang

BBB-, khi xc sut v n t 20 phn trm. Mt ln na, c cu CDO 2 khuch i ng
k cc thay i trong thnh qu d kin. Khi xc sut v n l tng ln n 10%, cc yu
cu bi thng phn khc cp trung ca CDO 2, ci m ban u c nh gi AAA, mt
i 50% thnh qu d kin v hng ca h xung di ht cc hng trong thang o. Ngay
c mt s gia tng nh trong xc xut v n ca cc chng khon c s ln 7,5 phn
trm, iu ny s ch y cc chng khon c s gim t BB + n BB-, l h cc
khon phi i cp trung CDO2 xp hng ban u l AAA- xung BBB-. Vi s bt n
trong c tnh ca cc thng s m hnh c bn, cc h s iu chnh xp hng ".SF" gn
y c ngh bi cc c quan qun l xp hng cc cng c ti chnh c cu trc
(y ban Chng khon v Hi oi Hoa K, 2008; Cng nghip Chng khon v Hip hi
th trng ti chnh, nm 2008) l mt tiu chun cnh bo tt nht.

Cui cng, cc m phng cho thy rng vi ln ca ti sn m bo, 12% trong

v d ca tc gi, thnh qu d kin v mt phn khc CDO cp cao ban u cng c
bo v t nhng thay i ln trong xc sut v n v tng quan. Trong khi th hng
20

GVHD. PGS. TS Nguyn Th Ngc Trang

ca n c th thay i, suy yu ng k trong gi tr ca cc khon phi i ny c v
khng hp l. Mt khc, tt c cc phn khc ca th hchng khon ha th hai, cc
CDO2, rt nhy cm vi nhng thay i trong cc thng s c bn. Ngay c nhng thay
i nh trong xc sut v n v mi tng quan c th c mt tc ng ng k trn
thnh qu d kinv xp hng ca phn khc CDO2 , bao gm cc khon phi i cp cao
nht.
4.2.

Tho lun.

Nh chng ta thy trong cc phn tip theo, mt phn ln cc ngha v th chp

n ban hnh trong sut mt thp k qua c m bo bng cc khon vay th chp
nh (MBS) di chun l ti sn c s ca chng. Quan trng hn, nhiu trong s cc
chng khon th chp nh c to t mt phn khc chng khon ban u ca mt
nhm ln cc khon th chp, nh vy CDOs ca cc cc chng khon c m bo
bng khon vay th chp nh (MBS) tr thnh CDO 2. Hn na, cho khch hng vay
di chu l mt hin tng gn y, do d liu lch s v xc xut v n v chm
thanh ton ca lnh vc ny trn th trng l khan him. Cc kh nng sai st trong vic
nh gi cc mi tng quan v n, xc sut v n, v t l thu hi cho cc chng khon
ny l ng k. Cc li ny, khi phng i bi qu trnh ti chng khon ha, gip gii
thch cc tn tht m cc chng khon gnh chu gn y.
Mi quan h ca ti chnh cu trc v cho vay di chun
m bo mt ngun tn dng cung cp lin tc cho ngi mua nh, cc c quan
chnh ph ti tr nh Fannie Mae, Freddie Mac v Ginnie Mae c thu mn mua
cc khon th chp gc ca cc ngn hng a phng, min l h p ng yu cu nht
nh v quy m v cht lng tn dng . Cc khon th chp ph hp vi cc yu cu ny
tp hp li bi t chc vo trong cc chng khon c m bo bng cc khon vay th
thp, v bn li trn th trng vn vi s bo lnh ngm ca chnh ph M. Ngc li,
th chp m khng ph hp vi cc rang buc quy m hoc cht lng tn dng, khng
iu kin mua bi cc nh ti tr v hoc l t chc, chng c nm gi b t
21

GVHD. PGS. TS Nguyn Th Ngc Trang

chc pht hnh hoc bn trc tip trong th trng th cp 3. Trong nhng nm gn y,
vic pht hnh ci gi l th chp "khng iu kin" tng ln ng k. V d, ngun
gc ca vay th chp di chun cung cp cc khong vay cho cho nhng ngi di
tiu chun cp tn dng sau chuyn cho cc t chc c chnh ph ti tr - tng t
96.8 t nm 1996 ln khong 600 t USD nm 2006, chim 22% ca tt c cc khon
vay th chp ban hnh nm (Chng khon v Hi oi y ban Hoa K, 2008). Trong
cng thi gian, cht lng tn dng trung bnh ca khch hng vay di chun gim st
gim, bng chng l cc thc o nh t l tng vay th chp so vi gi tr nh tng, tng
t l cc khon vay th hai, v pht hnh cc khon vay th chp vi mc thp hoc
khng c chng t (Ashcraft v Schuermann, 2008). Khi gi nh gim, cng l giai on
c mt s gia tng ng k v t l v n bi nhiu ngi vay nm gi cc khon vay th
chp vt qu gi tr th trng cn nh ca h.
V th chp di chun khng iu kin cho cc chng khon bi cc c quan chnh
ph bo tr, chng tm cch vo th trng vn bng cc chng khon th chp nhn
hiu ring, bt ngun t cc ngn hng ph Wall (FDIC Outlook, 2006). Cc chng
khon mang n mt ri ro kp do t l v n cao v cht lng tn dng thp ca khch
hng vay; v mc cao ca s tng quan v n nh l mt kt qu ca s tng hp
cc khon th chp t cc khu vc a l tng t. i li, nhiu tri phiu th chp di
chun l mnh li c chng khon ha vo nhng g c gi l ngha v th chp c
ti sn m bo, c hiu qu to ra mt CDO2. Theo Moody, nhng chia s ca ngha v
n th chp m c ti sn "c cu trc" khc nh ti sn th chp ca h m rng t 2,6%
trong nm 1998 ln 55%trong nm 2006 nh l mt phn nh trong tng gi tr danh

3 Th chp Jumbo c gi tr danh ngha vt qu gii hn cho vay thng thng, $ 417,000 cho mt h nh vay
2008. Ngi cho vay Sub-prime c nh ngha l nhng ngi c im tn dng FICO di 620, tn dng b hn
ch lch s, hoc mt s hnh thc khc ca s suy gim tn dng. Ngi cho vay Alt-A c im s tn dng cht
lng cho mt ph hp th chp, nhng khng c cc giy t cn thit chng minhr ng cc ti sn v thu nhp
cah c th h tr s tin vay c yu cu.

22

GVHD. PGS. TS Nguyn Th Ngc Trang

ngha ca tt c cc c phiu . Ch ring nm 2006, ban hnh CDO ti chnh cu trc t
350.000.000.000 $ gi tr danh ngha (Hu, 2007).
Nh vy, tt c cc yu t xc nh tn tht d kin trong cc phn khc ca CDO
c m bo bng MBS lm chch hng cc nh u t. u tin, s chng cho
trong cc v tr a l v c trng trong tp hp cc khon vay th chp a ra vin cnh
ca tng quan v no cao hn so vi d kin. Th hai, c 2 xc sut v n v cc gi tr
thu hi d kin tr nn ti t hn d kin do s suy gim cht lng tn dng ca khch
hng vay di chun v v ti sn c bn ra di p lc ti chnh trong t "bn tho"
dn n s gim gi mnh ca cc ti sn lin quan. Cui cng, s ph bin ca cc cu
trc CDO2 thm phng i cc tc hi ca cc sai st trong cc c tnh tn tht d kin
v cc khon th chp tim n i vi cc nh u t. Bng trc gic, mi chng khon
c h tr th chp c bn c th c ngh nh l mt cch lng lo tng ng vi
nhm phn khc CDO cp trung trong m phng ca chng ti. Mc d ch s
ABX.HE.BBB 07- 01 c giao dch cao nh 98.35, vo thng Tm nm 2008, nhng n
c th hng trung bnh CCC v gi th trng khong 5 cent trn ng la. Vi hiu
sut km ca th trng vay th chp nh , CDO c h tr bi loi ny hu nh chc
chn tht bi. Nh c minh ha bng cch m phng ca chng ti, mt CDO ca
phn khc cp trung hng u t , tc l mt CDO2, c th duy tr tn tht rt ln ngay
c vi nhng thay i nh trong cc xc sut v n v tng quan v n thc t.
Gi ca ri ro h thng trong nhng sn phm c cu trc
Khi cc c quan xp hng tn dng bt u xp hng c ti chnh cu trc v chng
khon n l trn cng thang o, n cng c th thu ht cc nh u t tm kim cc
khon u t an ton vo cc th trng ti chnh cu trc, mc d h khng nh gi bn
cht ca ri ro kinh t tim n. Trong logic ca m hnh nh gi ti sn vn, chng
khon c tng quan vi cc th trng nn cung cp li nhun d kin cao hn cho cc
nh u t, v do c t sut sinh li cao hn, so vi chng khon c thnh qu d kin
tng t (hoc xp hng tn dng) nhng t tng quan vi ton b th trng. Tuy
23

GVHD. PGS. TS Nguyn Th Ngc Trang

nhin, xp hng tn dng, theo thit k, ch cung cp mt nh gi ri ro d kin ca
khong li nhun chng khon, khng c thng tin lin quan n vic liu chng khong
c v n cng mt lc hay khng khi c s st gim ln trong th trng chng khon
hoc cc nn kinh t ang suy thoi.
Bi v vic xp hng tnh dng ch phn nh thnh qu d kin, v mt l thuyt
chng khon vi mt nh gi tn dng nht nh c th chi phi mt lot chnh lch li
nhun , iu ny c ngha l li nhun vt qu li nhun tri phiu kho bc M trong
cng thi gian, ty thuc vo tip xc vi ri ro h thng. V d, xem xt mt chng
khon c nguy c v n l khng i, v khng ph thuc tnh trng kinh t, nh vy li
nhun ca n khng ph thuc vo vic nn kinh t suy thoi hay ang pht trin bng
n, cho d li sut ang tang ln hay gim xung, hay hnh vi ca bt k thay i no
khc ca ch s kinh t. Mt v d v loi hnh ny l tri phiu gn vi thm ha
truyn thng. Tri phiu thm ha thng c pht hnh bi cc cng ty bo him,
cung cp mt khon li nhun nh ha tr khi c mt thm ha t nhin xy ra, nh
mt cn bo hay trn ng t, trong trng hp tri phiu b v n. Di gi nh
mt thm ha t nhin duy nht khng th c mt nh hng trng yu n nn kinh t
th gii, mt tri phiu thm ha truyn thng s kim c mt chnh lch li tc ph
hp vi khong bi thng thit hi d kin. Cc nh u t sn sng tr mt mc gi
tng i cao i vi tri phiu ri ro thm ha, v chng khng tng quan vi cc ch
s kinh t khc v do c th c loi b thng qua a dng ha.
pha bn kia ca bng xp hng, chnh lch li sut ti a ca mt chng khon
vi th hng cho trc c xc nh bng cch so snh vi mt chng khon m nguy
c v n ca n c gii hn cc quc gia c nn kinh t km pht trin. Nu chng ta
gi nh rng th trng chng khon cung cp ch bo v tnh trng kinh t ca cc quc
gia - l, nu ch s ca Standard and Poor 500 l 800, nn kinh t ang trong tnh trng
ti t hn nu cng mt ch s l 900 - sau chng khon vi tip xc ti a vi ri ro
h thng l mt quyn chn mua k thut s trn th trng chng khon. Mt quyn
chn mua k thut s tr $ 1 nu th trng ang trn mt mc nh trc (gi l
24

GVHD. PGS. TS Nguyn Th Ngc Trang

mt "gi thc hin") ti ngy o hn v $ 0 nu ngc li. Bi v v n chng khon v
khng chi tr chi xy ra khi gi th trng trc thp hn gi thc hin, n i din cho
cc chng khon tip xc nhiu nht vi ri ro h thng. Bng cch chn gi thc thch
hp, xc sut m cc quyn chn mua khng thc hin thanh ton c th c iu chnh
ph hp vi bt k nh gi tn dng mong mun. Tuy nhin, v mt s quyn chn
mua v n tp trung cc quc gia c nn kinh t km pht trin nht , cc nh u t s
nhn mnh vo nhn li sut cao nh khon bi thng cho ri ro h thng, v i hi
phi c nhng quyn chn cung cp chnh lch li sut ln nht i vi tt c cc
chng khon vi xp hng tn dng .
Qu trnh tng hp v phn khc mt cc c hiu qu to ra chng khon c h s
li nhun tng t nh ca mt quyn chn mua k thut s da trn cc ch s th
trng. Mt cch trc quan, vic tp hp cho php s a dng ha rng hn i vi
nhng ri ro v n phi h thng (idiosyncratic defaults risks), trong gii hn ca mt
danh mc c s quy m ln c a dng ha, cc tn tht c to ra hon ton bi
mc phi nhim ri ro h thng.
Kt qu l, nhng phn khc (tranches) c to ra da vo tp hp ti sn bo
m c a dng ha cao nht thit phi c c im thanh ton tng ng vi mt
chng khon phi sinh c to ra da vo mt ch s rng ca nn kinh t (a broad
economic index).
Trn thc t, ti chnh cu trc gip cc nh u t bo him i vi s st gim
ln trong tng nn kinh t. Nhng nh u t phn khc cao cp ca CDO gnh chu
ri ro h thng to ln, bi v h hu nh phi gnh chu cc tn tht nghim trng gia
tng khi ton b nn kinh t hay th trng st gim. c im ri ro ny c d kin
ng vi mt t sut sinh li cao hn so vi vi nhng ri ro gn vi mt loi tri phiu
n l m kh nng v n chu nh hng t kt qu kinh doanh ti t ca mt cng ty c
th. Nu nhng nh u t c quyn phi i ng vi phn khc cao cp ca CDO,
khng nh gi y bn cht ca nhng khon phng nga m h ang thit lp, th
25

GVHD. PGS. TS Nguyn Th Ngc Trang

nhng nh u t y dng nh s kim c mt khon li sut hp dn hn so vi li
sut ca cc chng khon vi cng mc xp hng tn dng (tc l, nhng chng khon c
cng xc sut v n), nhng thp hn nhiu so vi mc li nhun m nh u t c th
kim c t vic thc hin phng nga trc tip - tc l, qua vic to ra khon u t
ph hp bng cc quyn chn da trn nhng ch s rng hn v th trng c phiu.
Coval, Jurek, v Stafford (2008) cung cp bng chng v gi nh ny, cho thy cc phn
khc cao cp trong CDO khng cung cp cho nhng nh u t ca h mt khon chnh
lch li sut b p cho nhng ri ro h thng thc s m h phi gnh chu.
S tht l tri phiu cng ty (corporate bond) v cc chng khon ti chnh cu
trc cha ng nhng ri ro m v mt nguyn tc ln thc t, rt khc bit t quan im
nh gi, to nn nhng nghi ng ln v vic liu tri phiu cng ty v cc chng khon
ti chnh cu trc c th thc s c a ra so snh, bt k nhng g m cc c quan xp
hng tn dng c th chn thc hin iu .
S thng trm th trng ti chnh cu trc
S thng trm ca cc sn phm ti chnh cu trc rt ng lu . Gn mt thp k
va qua, vic pht hnh cc sn phm ti chnh cu trc ny trong nn kinh t M gia
tng hn 10 ln. Theo s liu t Hip hi Cng Nghip Chng khon v Th Trng Ti
Chnh, trong 3 qu u tin ca nm 2005, $25- $40 t cc sn phm ti chnh cu trc
c pht hnh trong mi qu. Trong qu 4 nm 2006 v hai qu u nm 2007, vic
pht hnh nhng cc sn phm ti chnh cu trc t nh im, vo khong 100 t USD
trong mi qu. Tuy nhin, hai qu u nm 2008, s lng pht hnh nhng sn phm ti
chnh cu trc ny gim xung cn t hn 5 t USD trong mi qu.
D dng nhn thy c cc s kin trong nm 2007 v 2008 buc cc nh
u t nh th no trong vic nh gi li ri ro m h ang gnh chu t cc sn phm
cu trc. Nhng li t r rng thy c lm th no m ti chnh cu trc t c
tc tng trng ng kinh ngc ch trong mt thi gian ngn nh vy. Ti sao nhng

26

GVHD. PGS. TS Nguyn Th Ngc Trang

nh u t li ho hc mua cc sn phm cu trc, v cc t chc pht hnh cng ho
hng cung cp chng?
Nh tc gi nhn nh, cha kha hiu c s thng trm ca th trng l
phi nhn ra c khuynh hng tp hp (pooling) v phn khc (tranching) s lm
khuch i nhng sai lm trong vic nh gi tng quan v ri ro v n ca ti sn c
s cng nh kh nng lm tp trung ri ro h thng trong cc phn khc cao cp nht.
S tng trng nhanh chng ca th trng sn phm cu trc trng khp vi s
tng trng mnh m ca nn kinh t v t v n, iu ny lm cho nhng ngi tham gia
th trng t c l do nghi ng v tnh lnh mnh ca cc sn phm ny.
Trong thc t, tt c cc bn tin rng u tin rng h ang c c mt giao dch
tt. Nhiu chng khon ti chnh cu trc vi xp hng AAA cung cp sut sinh li
hp dn hn so vi sn phm u t thay th khc c cng kt qu xp hng, chng hn
nh cc tri phiu doanh nghip. Bn cht c xp hng ca nhng chng khon ny,
cng vi u th sut sinh li cao, to ra s quan tm ng k ca cc nh u t. Tuy
nhin, nhng sut sinh li hp dn ny ca sn phm ti chnh cu trc trong thc t
dng nh l qu thp, so vi nhng ri ro tim n thc s.
u tin, kt qu xp hng tn dng ca cc chng khon cu trc phn nh ci nhn
thin lch theo hng gim ri ro v n thc t ca cc chng khon ny, bi v
chng c da trn php ngoi suy th (nave extrapolation) v cc iu kin kinh
t thun li.
Th hai, sut sinh li khng c tnh c mc nhy cm c bit ca cc sn
phm cu trc, i vi s st gim trong cc iu kin kinh t tng hp (tc l ri ro
h thng).
Li tc thp gi to nhng quyn truy i cao cp, n lt mnh, li cho php
nhng ngi nm gi cc phn khc quyn truy i cn li c b p qu mc, qua

27

GVHD. PGS. TS Nguyn Th Ngc Trang

khuyn khch nhng ngi tham gia th trng nm gi nhng phn khc cp thp c
hi.
Nh mt h qu ca vic nh gi sai lm ny, nhu cu i vi cc khon phi i
cu trc theo tt c phn khc quyn u tin gia tng mt cch bng n. Cc ngn
hng ho hc gia nhp vo thu ph hp dn t vic khi to v cu trc. Sau cng, nhu
cu ngy cng tng i vi cc ti sn m bo c s dn n s st gim cha tng
c trong chi ph vay mn ca nhng ngi nm gi nh cng nh ca cc cng ty, lm
thc y bong bng bt ng sn bng n.
Dng nh t nh u t lo lng rng cc ti sn c s c nh gi qu cao,
v h c khuyn khch b qua kh nng ny. iu ny thay i nhanh chng khi cc
cuc v n ca cc khon vay th chp di chun bt u gia tng. Nh tc gi trnh
by trn, sai s trong xc sut v n tc ng tiu cc n tt c cc phn khc, trong
, cc phn khc cp thp chu tn tht u tin. Hn na, cu trc CDO cp 2 (CDO2),
ci c bit ph bin trn th trng ny, phng i nhng sai s ny, theo ngay c
cc phn khc cp cao nht ca cc CDO2 ny cng c th b gim st nghim trng.
Tht hp dn phn ln li v s gia tng v st gim t ngt ca ti chnh
cu trc cho cc t chc xp hng tn dng, bi v chnh cc t chc ny nh gi v
cho rng cc ti sn c to ra bi cc ngha v n c m bo bng ti sn th chp
(CDO) l "an ton". C bng chng chc chn cho thy cc t chc xp hng mc mt
s sai lm nghim trng. V d, vo thng 5 nm 2008, Moodys tha nhn rng xp
hng AAA cho hng t la cc sn phm ti chnh cu trc ch v mt li trong mt m
hnh xp hng ca t chc ny (Jones, Tett, v Davies, 2008). Vo thng 3 nm 2007,
First Pacific Advisors pht hin ra rng Fitch s dng mt m hnh vi gi nh
rng gi nh s tng lin tc, b qua kh nng gi nh c th gim. Robert Rodriguez
(2007), Gim c iu hnh ca First Pacific Advisors m t nhng pht hin ca
mnh:

28

GVHD. PGS. TS Nguyn Th Ngc Trang

Chng ti trong mt cuc gi vi Fitch vo 22/03 lin quan nhng kh khn ca
th trng chng khon ha di chun. Trong cch ni chuyn, h rt t tin v cc m
hnh v kt qu xp hng ca mnh. Mt s cu hi lin quan c hi:
FPC:

"u l cc nhn t chnh trong m hnh xp hng ca bn?"

Fitch: "im s FICO v s gia tng gi nh mc thp mt con s hoc mc

trung bnh mt con s, tng t s gia tng gi nh tng din ra trong 50
nm qua."
FPC:

"iu g xy ra nu gi nh tng u trong mt thi gian di?"

Fitch: "M hnh ca chng ti s bt u b ph v."

FPC:

"iu g xy ra nu gi nh st gim t 1% n 2% trong mt thi gian di?"

Fitch: "Cc m hnh s ph v hon ton."

FPC:

"Vi 2% gim gi, phm vi no trong thang o xp hng s b tn hi?"

Fitch: "C th tc ng n cc phn khc cao nh cc AA hoc AAA."

Chc chn rng cc t chc xp hng khng nh gi y tnh d thay i trong
cc c tnh ca h, hoc nhng nh hng c th c do cc sai s nh nht trong cc gi
nh v tng quan v xc sut v n trong cc kt qu xp hng tn dng ca h. Nhng
s thiu hiu bit c ny dng nh c chia s bi cc nh lm lut gn vi cc yu
cu v vn ca ngn hng i vi kt qu xp hng, cng nh bi cc nh u t thu
ngoi cc t chc xp hng thc hin vic thm nh, m khng xem xt y liu
kt qu xp hng tn dng ca cc sn phm ti chnh cu trc c cng ngha vi cc
chng khon n l hay khng. c bit, khng c cc bn tham gia chnh no nhn ra
c cc sai st nh trong vic xp hng cc chng khon ring l mc d khng c nh
hng trng yu trong th trng chng khon n l (single-name market) nhng li c
th b phng i ng k trong cc phn khc ca mt cu trc CDO, v c th b tip tc
phng i khi CDO2 c to ra t cc CDO ban u, mang tnh ph bin nh trong qu
trnh chng khon ha khon vay th chp (the mortgage-backed securitizations).
Cng c mt s bng chng cho thy nhiu ng c cm d xui khin hnh vi
ng ng ca mt b phn nhng ngi tham gia th trng. Mt vn ni tri trn ht
29

GVHD. PGS. TS Nguyn Th Ngc Trang

l kh nng xung t li ch c th pht sinh bi cc t chc pht hnh, hn l cc nh
u t, khi chi tr cho vic xp hng. Mason v Rosner (2007) lp lun rng, quy trnh v
s phc tp trong vic to ra cc sn phm ti chnh cu trc i hi cc t chc xp hng
nht thit phi "tr thnh mt phn ca i bo lnh pht hnh (underwriting team)," ch
khng phi hnh ng nh l trung gian cho cc nh u t bn ngoi. Mt khc, y ban
H thng Ti chnh Ton cu thuc Ngn hng Thanh ton Quc t (2005, tr. 26)
nghin cu vn ny v kt lun rng khng c g nghim trng i vi cc sn phm
ti chnh cu trc hn l so vi cc sn phm tn dng n l, v tranh lun rng danh
ting l mt ng lc mnh m chng li hnh vi xu trong c hai th trng: "Trong thc
t, khng xut hin nhiu khc bit c bn trong qu trnh xp hng cc sn phm ti
chnh cu trc v cc tri phiu truyn thng. Nhng xung t li ch tim tng pht sinh
trong ti chnh cu trc v th hu nh khng khc bit trng yu so vi cc phn khc
truyn thng trong lnh vc kinh doanh ca cc t chc xp hng." Nhn vo cc bo co
ca Ngn hng Thanh ton Quc t (2005) vi nm sau , chng ta c th thy c v
d v s a dng nh th no trong s cc thnh phn quan trng tham gia th trng
xem cc sn phm ti chnh cu trc v tri phiu truyn thng tng t nhau mc cao.
iu ny cng truyn t mt quan im rng ri cho rng cc lc lng th trng s
gii quyt cc vn tim tng. S ln ln v bn cht ca cc sn phm cu trc kt hp
vi nim tin v s ph thuc vo tnh hiu qu th trng chng t s kt hp c hiu
qu cao.
y ban Giao dch & Chng khon M (2008) gn y tng kt cc pht hin t
mt cuc kho st mt s t chc xp hng tn dng. y ban tm thy nhiu yu t c th
c ci thin trong quy trnh xp hng, v cc nh phn tch cng nh cc nh qun l
nhn chung s hiu c hnh ng ca h c th tc ng n li nhun v c th mu
thun vi mc tiu nh gi chnh xc ri ro tn dng nh th no (tr. 12.):
V d, trong mt trao i thng tin ni b gia hai nh phn tch ti mt t chc
xp hng tn dng, cc nh phn tch bn tm v vic liu h c nn xp hng mt giao
dch c th. Mt nh phn tch th hin rng m hnh xp hng ca cng ty mnh
30

GVHD. PGS. TS Nguyn Th Ngc Trang

khng nm bt "phn na" ri ro ca giao dch, nhng m "m hnh c th c cu trc
bi nhng mn hiv chng ta s xp hng n." Email s 1: Nhn vin phn tch gi cho
Nhn vin phn tch (ngy 05 thng t 2007, 01:13 PM).
Trong mt email khc, mt nh qun l phn tch trong nhm CDO ca cng t
chc xp hng tn dng vit cho mt nh qun l phn tch cp cao hn rng cc t
chc xp hng tip tc to ra mt "mt con qui vt ngy cng ln hn - th trng CDO.
Chng ta hy hy vng tt c u giu c v ngh hu trc thi im m tr chi xp nh
ny v, ;o)." Email s 2: Qun l phn tch gi Qun l phn tch cao cp (ngy 15
Thng 12 nm 2006, 8:31 PM).
Cc ngn hng u t ng mt vai tr kp va l nh u t v va l nh giao
dch trong th trng ti chnh cu trc. Ngnh kinh doanh ny cung cp thnh qu
ngn hn khng l, m dng nh qu hp dn nn khng th b qua d cho c s suy
gim gi tr trong di hn. Cc ngn hng ni chung khao kht gi mng kinh doanh ti
chnh cu trc tin trin ngay c khi cc tiu chun bo lnh pht hnh i xung. S
kt hp gia cc yu cu v vn thp i vi cc ti sn hng AAA v nhn thc chung
ang tn ti rng chng "an ton" cho php cc ngn hng nm gi bt k phn khc
cao cp no m cha c bn cho cc nh u t. Nhng khi th trng ti chnh cu
trc sp vo cui nm 2007, cc ngn hng u t mi thy rng chnh h ang nm
gi hng trm t la cc tp hp ti sn cht lng thp, nhiu trong s bao gm
cc khon vay n by cao c mua li, cc khon vay th chp di chun, v cc tri
phiu t cc ngha v n c m bo bng ti sn th chp - l, nhng phn khc
vn cha c phn phi cho cc nh u t khc.
Mt vi bng chng cho thy cc nh iu hnh Wall Street nhn ra th trng
s chm dt vo mt ngy, nhng trong thi im y, h c t ng c ng ngoi
cuc chi. Trong thng 7 nm 2007, CEO khi ca Citigroup, Chuck Prince, tha nhn
rng s bng n mua bn cc cng c ti chnh t tn dng gi r sau cng s kt thc,
nhng vo thi gian , cng ty ca ng vn tip tc tham gia vo hot ng ti chnh
31

GVHD. PGS. TS Nguyn Th Ngc Trang

cu trc (nh bo co ca Nakamoto v Wighton, 2007): "Khi m nhc dng li, xt v
kha cnh thanh khon, mi th s tr nn phc tp. Cn khi nhc vn ang chi, bn
phi ng ln v v nhy ma. Chng ti vn ang nhy ma."
Cui cng, cc yu cu v vn ti thiu i vi cc ngn hng theo quy nh trong
Basel I v II, c th ng mt vai tr quan trng trong s pht trin ca th trng ti
chnh cu trc. Theo cc hng dn ny, cc ngn hng ang nm gi chng khon hng
AAA c yu cu ch cn nm gi phn na s vn cn thit nhm h tr cho cc
chng khon hng u t khc. Nh l mt h qu t nhu cu sn c ca cc ngn hng
i vi cc chng khon hng AAA, ch cn mt li th nh v sut sinh li ca cc
chng khon ti chnh cu trc cng c th dn n s gia tng ln trong lng cu.
Nh tho lun trong phn trc, c my ti chnh cu trc cho php to ra cc chng
khon hng AAA c li th v sut sinh li hn cc chng khon ring l hng AAA,
nhng ch bng cch lm cho cc chng khon ny hon ton ch c ri ro h thng, hoc
bng cch xp hng chng khng chnh xc.
5. Kt lun
Trong sut giai on khng hong t nm 2007 cho n nm 2008, nh u t
mua nhng sn phm ti chnh cu trc c xp hng cao nhanh chng ngng vic
mua vo. Nguyn nhn u tin ca s thay i ny chnh l nhng chng khon lin
quan n cc khon n di chun (subprime- related securities) tri qua cc tn tht
ln, lm cho cc vn v nhng sn phm ti chnh cu trc ngy cng ph bin hn.
Mt s ngi hot ng thc tin tin rng khng hong tn dng nm 2007 v
2008 ch l t do bn thn n to ra, tc l theo chu k phi nh th, v th trng tn
dng cu trc s tr v trng thi nh trc . Tc gi gi quan im thn trng hn,
l th trng tn dng cu trc xut hin nhiu vn nghim trng mang tnh cu trc
m kh c th khc phc c.
Nh tc gi gii thch, nhng khon phi i (claims) nhy cm cao i vi cc
gi nh v:
32

GVHD. PGS. TS Nguyn Th Ngc Trang

(i) Xc sut v n v gi tr thu hi,
(ii) Tng quan v n, v
(iii) Mi quan h gia thnh qu ca cc chng khon cu trc vi tnh trng nn kinh
t m cc nh u t quan tm nht.
Bt u t cui nm 2007 v tip tc trong nm 2008, ngy cng tr nn r rng
i vi cc nh u t sn phm ti chnh cu trc xp hng cao rng mi mt iu trong
3 gi nh trn b nhn nhn sai lch mt cch h thng i vi cc nh u t. Nhng
nh u t ny gi y khng sn lng cho vic u t vo nhng chng khon m h
hon ton khng hiu.
Kh nng to ra s lng ln nhng chng khon c xp hng AAA t mt tp
hp cc ti sn c s hu nh b gim thiu vnh vin, v quy trnh xp hng tin trin
tt hn trong vic tnh ton cc thng s v s khng chc chn ca m hnh. iu chnh
yu cn nhn din l cc sai st nh c th khng b tr gi t trong th trng n l,
nhng li b phng i nghim trng bi cu trc CDOs, v cng b khuch i hn na
khi cc CDOs li c to ra t nhng phn khc ca CDOs khc, tng t nh quy trnh
chng khon ha m bo bng cc khon vay th chp (MBS). Mt tin tc tt lnh l
khim khuyt ny c th c sa cha.
Chng hn, cch tip cn Bayesian th hin mt cch r rng rng cc tham s
khng chc chc s t bc tin di trong vic gii quyt vn ny. D nhin, vic theo
ui quan im Bayesian v s khng chc chn ca tham s nht thit l c ngha t
hn i vi vic cc chng khon xp hng AAA c pht hnh, v do c t c hi
hn cung cp cho cc nh u t sut sinh li hp dn.
Thm vo , cc nh u t cn nhn ra s khc bit cn bn gia v cc chng
khon n l v chng khon cu trc, di kha cnh nhy cm i vi ri ro h
thng.

33

GVHD. PGS. TS Nguyn Th Ngc Trang

Khng nh cc tri phiu doanh nghip truyn thng c cc thnh qu xut pht ch yu
t vic xem xt c th v doanh nghip, thnh qu ca cc chng khon m c to ra
t vic phn khc cc tp hp ln ti sn s chu tc ng tng th t hin trng ca nn
kinh t. c bit, cc khon phi i cu trc cao cp c cc c trng ca tri phiu
thm ha kinh t (catasphone bonds), trong chng c thit k ch v n trong s
kin tiu cc bt kh khng ca nn kinh t.
Bi v cc kt qu xp hng khng cp g n tnh hung th gii c kh nng
v n xy ra, nn chng khng nm bt c mc nhy cm i vi nhng ri ro h
thng. Vic thiu xem xt v nhng loi nhy cm ri ro ny lm gim tnh hu ch
ca vic nh gi xp hng, bt k chng c c thc hin chnh xc n u.

TI LIU THAM KHO

Altman, Edward, 2006, Default Recovery Rates and LGD in Credit Risk Modeling and
Practice: An Updated Review of the Literature and Empirical Evidence, NYU working
paper.
Altman, Edward and Jeffrey Swanson, 2007, The Investment Performance and Market
Size of Defaulted Bonds and Bank Loans, NYU Stern working paper.
Ashcraft, Adam and Til Schuermann, 2008, Understanding the Securitization of
Subprime Mortgage Credit, Federal Reserve Bank of New York working paper.
Bank of International Settlements, Basel Committee on Banking Supervision, The Joint
Forum. 2008. Credit Risk Transfer; developments from 2005-2007. July. Available at
<http://www.bis.org/publ/joint21.htm>.
Bank of International Settlements. 2005. The role of ratings in structured finance: issues
and implications. January. Committee on the Global Financial System Publications No
23. Available at <http://www.bis.org/publ/cgfs23.htm>.
Beales, Richard, Saskia Scholtes and Gillian Tett. 2007. Failing grades? Why Regulators
Fear Credit Ratings may be out of their depth. Financial Times. May 17.
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Benford, James and Erlend Nier, 2007, Monitoring cyclicality of Basel II capital
requirements, Bank of England, Financial Stability Paper No. 3.
Benmelech, Effi and Jennifer Dlugosz, 2008, The alchemy of CDO credit ratings,
Harvard University working paper.
Bhanota, Karan, and Antonio S. Mello, 2006, Should corporate debt include a rating
trigger? Journal of Financial Economics 79, pp. 69-98.
Bharath, Sreedhar and Tyler Shumway, 2007, Forecasting Default with the Merton
Distance to Default Model, Review of Financial Studies.
Coval, Joshua, Jakub Jurek, and Erik Stafford, 2008, Economic Catastrophe Bonds,
American Economic Review, forthcoming.
Craig, Susanne, Randall Smith And Serena Ng. 2008. Merrill Aims to Raise Billions
More: Firm Dumps Mortgage Assets as Crisis Drags On; Another Big Write-Down,
Wall Street Journal, July 29.
Derivative Fitch, 2006, Global Criteria for Collateralized Debt Obligations.
Dichev, Ilia D. and Joseph D. Piotroski, 2001, The Long-Run Stock Returns Following
Bond Rating Changes, Journal of Finance 56, pp. 173-203.
Ederington, Louis H., and Jeremy Goh, 1998, Bond Rating Agencies and Stock
Analysts: Who Knows What When? The Journal of Finance and Quantitative Analysis
33, 569-85.
Fama, Eugene F. & French, Kenneth R., 1993. Common risk factors in the returns on
stocks and bonds, Journal of Financial Economics 33, pp. 3-56.
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