NG DNG VALUE AT RISK

TRONG VIC CNH BO V GIM ST RI RO TH TRNG

I VI H THNG NHTM VIT NAM
Trn Mnh H
Khoa Ngn hng Hc vin Ngn hng

Value at risk (VaR) c pht trin da trn nhng k tha t nhng phng
php o lng ri ro trc . Li ch ln nht ca VaR chnh l vic i hi phi thay
i suy ngh v qun l ri ro th trng i vi nhng t chc ti chnh p dng n.
nh ch ti chnh m thng qua quy trnh tnh ton VaR s buc phi chp nhn vic
phi by nhng ri ro ti chnh v do s phi thit lp chc nng qun tr ri ro thch
hp vi bn thn.
Bi vit nhm tm hiu khi qut v VaR v vic ng dng VaR trong vic cnh bo
v gim st ri ro th trng i vi h thng ngn hng thng mi (NHTM) Vit Nam.
1. Khi qut v ri ro th trng
Nh chng ta bit, ri ro th trng (market risk) l ri ro khi gi tr ca mt
danh mc u t hoc danh mc kinh doanh s b suy gim bi s thay i trong cc
nhn t ca th trng, v d nh gi chng khon, li sut, t gi, gi hng ha trong
, ch yu v cng l quan trng nht, l do 2 tc nhn: bin ng li sut v t gi.
1.1
Ri ro li sut, l nhng tn tht tim tng m ngn hng phi gnh chu khi
li sut th trng bin ng. Khi li sut th trng thay i, n nh hng n ngn

hng trn 2 kha cnh: v thu nhp (kh nng suy gim thu nhp li rng) v v gi tr
th trng ca ti sn.
Ri ro li sut c 2 nguyn nhn chnh, l do do ngn hng duy tr s khng

cn xng v k hn ti sn c v ti sn n, ng thi c s bin ng ca li

sut th trng.
S khng cn xng v k hn ti sn c v ti sn n:

Do s a dng v nhu cu ca khch hng gi tin v vay tin. Trn
thc t iu ny xy ra l hon ton tt yu v cc khch hng gi tin cng nh
vay tin ca ngn hng ht sc a dng, mi ngi trong s h c nhng nhu cu
khc nhau khi gi tin hoc vay tin ngn hng dn n s a dng v k hn ca
cc khon vn huy ng v cc khon cho vay

Cc ngn hng c khuynh hng duy tr thi hn ti sn c ln hn
thi hn ti sn n nhm c c li th v li nhun. Chng hn, cc ngn hng
thng s dng mt phn ngun vn ngn hn vi li sut thp cho vay thi
hn di hn vi mc li sut cao hn.

Ngn hng thng khng quy nh khch hng bt buc phi thc hin
cam kt trong hp ng. Chng hn, cc khch hng gi tin ngn hng vi thi
hn ban u l 5 nm nhng c th rt sm trc thi hn m khng b ngn hng
ngn cm, cc khch hng vay tin cng c th tr n trc hn, v ngc li c
trng hp c ngn hng cho gia hn n. Tn s xut hin s vi phm tha
thun v thi hn ca cc khch hng gi tin v vay tin thng khng tng
xng vi nhau v thc t ny cng lm tng kh nng mt cn xng v k hn ca
cc khon cho vay v cc khon vn huy ng ca ngn hng. Chnh v vy, s
chnh lch v k hn ca TSC v TSN ca ngn hng l iu khng th trnh
khi.
1.2
Ri ro hi oi: l nhng tn tht tim tng trong hot ng kinh doanh ca
ngn hng khi c s bin ng ca t gi hi oi.

C 2 nguyn nhn chnh lm pht sinh ri ro ngoi hi, l:

Ngn hng duy tr s khng cn bng trng thi ngoi hi: do ngn hng
mua bn ngoi t phc v khch hng v mua bn cho chnh mnh, v ngn hng
u t vo ti sn c v huy ng vn bng ngoi t. C 2 nguyn nhn ny to ra
mt xu hng trng thi ngoi t rng (trng hoc on) i vi hu ht cc
NHTM hin i.
S bin ng ca t gi hi oi. Nu ngn hng duy tr trng thi trng
(hoc on) v ngoi t m khng c thay i v t gi, ngn hng s khng gp

phi ri ro hi oi. Chng ta s thy rng, nu t gi bin ng cng mnh th ri

ro ngoi hi s cng ln, v ngc li.
1.3

S cn thit phi qun l ri ro th trng

Nh chng ta bit, cc nhn t ca th trng nh li sut, t gi lun lun

bin ng, do cc NHTM lun phi gnh chu ri ro th trng. Lch s chng
kin rt nhiu ngn hng b sp do tc ng ca ri ro th trng, nh Northern
Rock ti Anh vo nm 2007 (do s thay i ca li sut th trng, khi li sut Libor ln
ti nh im ~7% vo thng 7/2007) hay nh s thua l ca mt lot cc NHTM ti
M vo nhng nm 1990s:
Bng 1: Tc ng ca bin ng li sut n kt qu kinh doanh ca cc t chc
tn dng ti M giai onh 1978 - 1982
Ch tiu

1978

1979

1980

1981

1982

T l thu nhp li bnh qun

8,5

8,86

9,34

9,91

10,68

T l chi ph tr li bnh qun

6,9

7,47

8,94

10,92

11,38

T sut li nhun vn ch s hu

14,21

12,11

2,45

-15,39

-16,2

Ngun: Tng hp ca tc gi t Bo co ti chnh ca cc ngn hng

Ti Vit Nam hin nay, chng ta ang gim st ri ro vi cc NHTM da trn

Q457/2005 ca NHNN, trong ch yu tun theo Basel 1 nm 1998 vi cc quy nh
v T l an ton vn ti thiu (CAR), cc t l v m bo kh nng thanh ton, v gii
hn cho vay v cha cp ti bt k mt ch tiu hay cng c gi no cho cc
NHTM o lng v gim st ri ro th trng. Tuy nhin trong nm 2008, khi li sut
th trng v t gi bin ng mnh, rt t cc NHTM c mt h thng d bo v tn tht
c th xy ra c th c mc vn d tr hp l, hoc iu chnh hot ng kinh doanh
ca mnh sao cho ph hp.
Qua thi gian, Basel 1 bc l rt nhiu im yu ca mnh, vic p dng Basel
1 cha th gip cc nc ngn chn khng hong ti chnh tin t, m c th l nc M
tri qua hng lot tht bi trong lnh vc ngn hng vo nhng nm 1980s, v cc ngn
hng lp ti Nht phi chu ng nhiu kh khn trong nhng nm 1990.
Hip c Basel 2 c ra i vo nm 2001 nhm thay th Basel 1, a ra mt
lot cc chun mc v la chn, a ra quyn t quyt rt ln trong hot ng gim st
ngn hng. Hin ti, cc NHTM trn th gii ang trin khai cc h thng gim st ngn

hng da trn 3 tr ct ca Hip c Basel 2: (i) Yu cu vn ti thiu, (ii)Gim st v

(iii) Tun th k lut th trng nng cao tnh n nh ca h thng ti chnh:
Tr ct (i) lin quan ti vic duy tr vn bt buc. Lng vn duy tr c tnh
ton theo ba yu t ri ro chnh m ngn hng phi i mt: ri ro tn dng, ri ro vn
hnh v ri ro th trng. Nhng loi ri ro khc khng c coi l c th lng ho
hon ton bc ny.
Tr ct (ii) lin quan ti vic hoch nh chnh sch ngn hng, cung cp cho cc
nh hoch nh chnh sch nhng cng c tt hn so vi Basel I. Tr ct ny cng
cung cp mt khung gii php cho cc ri ro m ngn hng i mt, nh ri ro h thng,
ri ro chin lc, ri ro danh ting, ri ro thanh khon v ri ro php l, m hip c tng
hp li di ci tn ri ro cn li (residual risk).
Tr ct (iii) lm gia tng mt cch ng k cc thng tin m mt ngn hng phi
cng b. Phn ny c thit k cho php th trng c mt bc tranh hon thin hn
v v th ri ro tng th ca ngn hng v cho php cc i tc ca ngn hng nh gi v
tham gia chuyn giao mt cch hp l.
Trong tr ct 2, Basel a ra mt s khung gii php cho cc ri ro m ngn
hng i mt, c bit l ri ro th trng, l vic p dng m hnh Value at risk (gi
tr ti ri ro ) gim st nhng ri ro do s thay i cc tc nhn th trng gy ra.

2. Khi qut v Value at Risk

2.1

Khi qut v s pht trin ca cc phng php phn tch & qun tr ri ro
Nm
Phng php
1938

Thi lng tri phiu

1952

Khung k vng phng sai ca Markowitz

1963

M hnh nh gi ti sn vn (CAPM) ca Sharpe

1966

M hnh a nhn t

1973

M hnh nh gi quyn chn Black- Scholes

1988

Ti sn theo trng s ri ro i vi NHTM

1993

Value at risk

1994

Thc o ri ro

1997

Thc o tn nhim , Ri ro tn dng +

1998

S kt hp ca ri ro tn dng v ri ro th trng

1998

Phn b ngn qu cho ri ro

2.2 S pht trin ca thc nghim Value at Risk

Value at Risk c pht trin da trn nhng k tha t nhng phng php o
lng ri ro trc . Ri ro c hiu nh l bt nh ca gi. qun l tt hn ri
ro (v qua l li nhun), cc cng c o lng nh lng ri ro c pht trin mnh
m t nhng nm 1990. Thay v c lng bt nh ca gi mt cch nh tnh, v d
cn d phng 8% gi tr th trng cho mt danh mc c phiu, ngi ta mun tnh ra
mt con s c th c trng cho ri ro c th xy ra ca danh mc , cp nht lin tc
nhm ti u ha dng tin. Tng t nh vy cho tt c cc danh mc chng khon khc
nh tri phiu, ngoi t, giy t c gi... C rt nhiu m hnh o lng ri ro, nhng ci
c s dng ph bin vt xa nhng m hnh khc l VaR - vit tt ca Value at Risk.
Xy dng trn nhng c s l thuyt xc sut v thng k t nhiu th k, VaR c pht
trin v ph bin u nhng nm 1990. V T nm 1994, vi s ra i ca RiskMetric,
mt gi sn phm ng dng VaR mang thng hiu ca mt cng ty tch ra t JP
Morgan Chase, Value at risk c p dng rng ri v tr thnh mt tiu chun trong
vic o lng v gim st ri ro ti chnh, c bit l ri ro th trng, trn ton th gii.
Trong ton ti chnh v qun tr ri ro ti chnh, Value at Risk (VaR) c s dng
rng ri trong o lng ri ro b tn tht ca mt danh mc c th. Vi mt danh mc
cho trc xc sut v khong thi gian, VaR c xem nh l mt ngng gi tr m kh
nng b tn tht trn gi tr iu chnh theo th trng ca danh mc trong khong thi
gian nh trc vt qu gi tr ny (vi gi nh din bin th trng nh bnh thng v
khng c giao dch mua bn danh mc ) chnh l mc xc sut c cho trc.
S cun ht ln nht ca VaR, l n biu din ri ro di dng mt con s duy
nht. VaR c nh ngha l s tin ln nht mt danh mc c th b thua l vi mt
tin cy xc nh, thng thng mc 95%. V d, mt danh mc chng khon vi 95%
VaR trong 1 ngy l 1 triu USD, ni ln rng xc sut m danh mc gim gi tr trn 1
triu $ trong khong thi gian 1 ngy, vi gi nh rng din bin th trng nh bnh
thng v khng c giao dch mua bn. Thc cht, khon tn tht 1 triu $ hoc cao trn

gi tr danh mc ny c k vng ch xy ra trn 1 ngy trong 20 ngy (5%). Khon tn

tht vt qu ngng VaR c gi l VaR break.
khi qut ha, tc gi xin a ra mt s c im c bn v VaR nh sau:
VaR l tn tht ti thiu trong mt khong thi gian nht nh vi iu kin xc
sut xy ra tn tht thc s ln hn l rt thp. Hay ni cch khc, VaR l s tin ln
nht c kh nng b mt ca danh mc trong mt khong thi gian cho trc, vi mt
tin cy nht nh.
VaR thng thng c tnh cho tng ngy trong khong thi gian nm gi ti
sn, v thng c tnh vi tin cy 95% hoc 99%. tin cy 95%: vi xc sut
khong 95% tn tht ca danh mc s thp hn so vi VaR c tnh ton. Thng
thng, VaR c xem nh l s thit hi ln nht ca danh mc trong vng 24h, vi
tin cy 95%
VaR c th p dng c vi mi danh mc c tnh lng (danh mc m gi tr
c iu chnh theo th trng). VaR khng th p dng c vi cc ti sn khng c
tnh lng (BS, tc phm ngh thut). Tt c mi ti sn lng u c gi tr khng c
nh, c iu chnh theo th trng vi mt quy lut phn b xc sut nht nh - mi
nguyn nhn ri ro ca th trng hnh thnh nn quy lut phn b xc sut ny. Hu
dng vi tt c ti sn lng, cha ng mi ngun ri ro th trng, do VaR l phng
php o lng ton din i vi ri ro th trng
VaR c xc nh da trn quy lut phn b xc sut cho gi tr th trng ca
danh mc. Thng thng, s bin ng gi tr ca cc ti sn lng c tun theo quy
lut phn phi chun, vi 2 gi tr c trng l mc ngha (k vng) v phng sai.
Tuy VaR l chun mc mi trong o lng v gim st ri ro th trng (Philippe
Jorion), n vn bao hm nhng hn ch nht nh:
Hn ch u tin, cng l hn ch ln nht ca VaR, l gi nh cc yu t ca
th trng khng thay i nhiu trong khong thi gian xc nh VaR. y l mt hn
ch rt ln, v trong nm 2007, 2008 dn n s ph sn ca mt lot ngn hng u
t trn th gii, do iu kin th trng c nhng bin ng t ngt vt xa so vi trong
qu kh.
Hn ch th hai, l hiu ng ui chung. Nh chng ta bit, do tun theo
quy lut phn phi chun, hm mt phn phi ca danh mc c hnh dng qu chung,
v nhng mc tn tht ln nht, ngoi d on, thng nm phn ui bn tri ca
th hnh chung ny. V d khi o lng VaR cho mt danh mc trading vi tng quy m
640tr $ cho 252 ngy, vi tin cy 99%, ngn hng xc nh c ngng tng tht ln
nht l 50tr$. Tuy nhin, ch cn trong 2 ngy nm ngoi mc tin cy (1% ui cn li

trong 252 ngy lm vic), c 1 ngy mc tn tht ca ngn hng ln ti mt gi tr qu

ngng, chng hn 300tr $, ngay lp tc s y danh mc ph sn. chnh l hn
ch ca VaR, vi nhng tn tht nm ngoi d on (ngoi khong tin cy), khin cho
hng lot ngn hng u t ph sn khi qu tin tng vo VaR c c.
Cc phng php o lng VaR
Hin ti, cc NHTM trn th gii ang s dng 3 phng php chnh o lng
VaR, l:
Phng php Delta Gamma (VCV)
Phng php m phng lch s
Phng php Monte Carlo
o
Phng php Delta Gamma
y l phng php ng dng VaR n gin nht. N gi nh rng ri ro ca
danh mc l tuyt tnh v cc nhn t ri ro tun theo phn phi chun.
Bi v li nhun ca danh mc l s kt hp tuyn tnh gia cc bin chun, do
n tun theo phn phi chun, vi hm mt phn phi theo hnh thp chung. Tuy
nhin, cng chnh v gi nh mi quan h gia VaR v cc bin v tuyn tnh, do
phng php Delta Gamma tr nn km chnh xc hn so vi 2 phng php tip theo.
o
Phng php m phng lch s
Phng php m phng lch s l phng php nh gi y . N bao gm qu
trnh quay ngc thi gian, v d trong vng 250 ngy tr li y, v p dng trng s
trong hin ti cho li nhun ca ti sn theo dy thi gian trong lch s. N c xem
nh vic xem xt li lch s vi trng s hin ti.
Gi s thi gian hin ti l t, v chng ta c d liu quan st trong khong thi
gian t 1 ti t. Gi tr hin ti ca danh mc l Pt, l hm s ca cc nhn t ri ro hin
ti:
Pt = P[f1,t, f2,t,fn,t]
Chng ta s ly mu nhng s thay i ca cc nhn t trong phn phi lch s,
m khng c s thay th:
fki = (f1,t, f2,t, fn,t)
T chng ta c th dng gi tr m phng c tng nhn t, bt u t nhn
u tin:
fki = f1,t + f1,t
cc nhn t ny c s dng dng nn gi tr m phng ca danh mc hin ti
trong bi cnh mi, da trn biu thc:
pk = p[fk1, fk2, fkn]

By gi chng ta c th tnh ton c s thay i trong gi tr danh mc t trng

thi hin ti Rk = (pk pt)/ pt
Chng ta s sp xp t khon li nhun v chn mt gi tr tng ng vi cth vi
phn, Rp(c). VaR c xc nh t s khc bit gia gi tr trung bnh v vi phn.
VaR = AVE(Rp) - Rp(c).
o
Phng php m phng Monte Carlo
Phng php ny tng t nh m phng lch s, ngoi tr vic s thay i trong
cc tc nhn ri ro c to ra t cc quy lut phn phi khc v c xy dng da trn
phn mm m phng tng thch vi tng ngn hng.
Trong 3 phng php ny, tc gi nhn mnh vo phng php m phng lch s,
v xut p dng phng php ny cho cc NHTM VN cnh bo v gim st ri ro
th trng.

3. ng dng VaR trong qun tr ri ro

o p dng VaR nh th no?
Ti nhng nc c h thng ti chnh pht trin, cc c quan c thm quyn
thng bt buc cc ngn hng phi tnh ton VaR vi mt tin cy nht nh, v d
nh ti c, NHTW yu cu cc NHTM phi tnh ton VaR trong 10 ngy vi tin cy
99%, ng thi nh k NHTW s kim tra s chnh xc trong h thng VaR ca ngn
hng thng qua php th Backtest, nu qua php th c s tn tht ln hn VaR nhiu
hn mc d kin, s cho thy h thng VaR ni b ca ngn hng cha chnh xc, v
s phi iu chnh sao cho nhng kt qu thc t sau ny ph hp vi gi tr VaR m h
thng a ra.
Trong hot ng ngn hng tn ti 2 s: banking book v trading book. Vi
banking book, l cc hot ng ni bng ca ngn hng: cc hot ng qun l ti sn
- n (ALM) v c o lng bi phng php Earning at risk. Vi trading book, l
cc hot ng mua bn t doanh cc ti sn ti chnh, v ngn hng s s dng Value at
risk o lng ri ro v gim gi tr ca cc ti sn ny. Tuy nhin, VaR cng c th
c p dng cho c 2: banking book v trading book, bi v khi cc iu kin th trng,
chng hn nh li sut thay i, n s nh hng n c thu nhp (earning) v gi tr
(value) ca ti sn. Vi banking book, ngn hng p dng VaR o lng ri ro v thu
nhp i vi ti sn - n, cn vi trading book, ngn hng s dng o lng ri ro
gim gi tr i vi danh mc ti sn u t.

S 1: Cu trc hot ng ca mt NHTM hin i

Qua phn tch v VaR v cc iu kin ca ngnh ti chnh ngn hng Vit Nam,
tc gi nhn thy rng:
Phng php Delta-Gamma tng i n gin nhng cho kt qu c chnh
xc khng cao, v gi thuyt rng mi quan h gia cc bin th trng v VaR l tuyn
tnh, do c nhng hn ch nht nh.
Phng php Monte Carlo c chnh xc cao nhng tng i phc tp, yu cu
phi xy dng c chng trnh m phng ring bit i vi tng ngn hng.
Do , bi vit xut s dng phng php m phng da trn s liu lch s
o lng, cnh bo v gim st ri ro th trng ti cc NHTM Vit Nam, bi v:
Cc NHTM Vit Nam bc u xy dng s liu lch s cho bn thn tng
ngn hng, v cc gi tr ti sn n - c, cc hot ng t doanh
Cc tc nhn th trng, nh li sut, t gi u c th c c s liu trong
khong 10 nm tr li y.
Phng php m phng lch s cho kt qu tng i chnh xc, d thit lp, v
ang c rt nhiu cc nc c nn ti chnh ngn hng pht trin p dng nh M,
c, Luxembourg.
o lng VaR theo phng php m phng lch s, tc gi xut nhng bc
thc hin tun t nh sau:
Xc nh nhng bin th trng khi bin ng s gy nh hng n thu nhp (ti
trading book) hay gi tr rng (ti banking book) ca ngn hng. Hay ni cch khc, xc
nh nhng tc nhn gy nn ri ro th trng cho ngn hng.
Thu thp v xy dng vng d liu lch s trong thi gian di tin hnh m
phng (vng d liu cng ln, ngng VaR s cng chnh xc).
Thc hin m phng s bin ng ca cc bin th trng trong tng lai, vi gi
nh chng s bin ng c xu hng ging nh trong qu kh.

Thng qua vic m phng cc bin th trng, ngn hng s xy dng c cc

kch bn m phng v nhng ri ro th trng ca ngn hng s gp phi ng vi tng
kch bn ca bin m phng, qua xc nh c tng mc tn tht d kin.
S dng hm thng k, ngn hng s xc nh c VaR vi mt tin cy cho
trc, c xy dng trn c s nhng ri ro c m phng trn.
p dng php th Stress-test (th mc chu ng) bng cch a ra nhng s
bin ng vt xa d kin ca cc bin th trng, t xy dng nhng kch bn xu
nht cho danh mc.
nh k p dng php th Back-test (ti kim nh) xem xt rng h thng VaR
ang p dng cho kt qu chnh xc hay cha, c th a ra nhng khuyn ngh
hay sa i.
3.2
p dng VaR m phng lch s tnh ton s tn tht ln nht trn mt
danh mc kinh doanh (tradinh book) vi mt tin cy cho trc:
Gi s ngy 20/12/2009, ngn hng ang nm gi mt danh mc gm 1000 chng
khon X vi mc gi 24.3; ngn hng mun xc nh mc tn tht ln nht, vi tin
cy 95%, ca danh mc vo ngy hm sau, ngy 21/12/2009, c th a ra mc d
phng hp l cho chng khon ny. Ngn hng s tin hnh thu thp d liu lch s ca
chng khon vi vng d liu t ngy 12/9/2009, sau tin hnh m phng s bin
ng gi chng khon vo ngy mai, nu n bin ng ging nh trong qu kh, s l
bao nhiu. Thng qua , ngn hng s thng k c nhng tn tht ln nht a trn
tin cy 95%, v tnh ton VaR ca danh mc theo bng tnh:
Bng 3: Tnh ton VaR ca 1.000 c phiu X, mc gi 24.63 da trn tin cy 95%
Ngy
12/09/2009
13/09/2009
14/09/2009
15/09/2009
16/09/2009
17/09/2009
18/09/2009
19/09/2009
20/09/2009
21/09/2009
22/09/2009
23/09/2009
24/09/2009
25/09/2009
26/09/2009
27/09/2009
28/09/2009

Gi
26.91
27.2
26.74
26.12
26.14
26.68
26.07
26.1
26.23
26.1
26.001
25.8
25.98
25.69
25.5
25.15
25.15

% thay i
1.13%
1.08%
-1.69%
-2.32%
0.08%
2.07%
-2.29%
0.12%
0.50%
-0.50%
-0.38%
-0.77%
0.70%
-1.12%
-0.74%
-1.37%
0.00%

M phng
277.68
265.43
-416.54
-571.08
18.86
508.81
-563.13
28.34
122.68
-122.07
-93.42
-190.40
171.84
-274.93
-182.16
-338.06
0.00

Ngy
02/11/2009
03/11/2009
04/11/2009
05/11/2009
06/11/2009
07/11/2009
08/11/2009
09/11/2009
10/11/2009
11/11/2009
12/11/2009
13/11/2009
14/11/2009
15/11/2009
16/11/2009
17/11/2009
18/11/2009

Gi
27.66
27.57
27.43
27.7
27.54
27.81
28.1
28.3
28.01
28.48
28.8
28.25
27.71
27.91
27.65
27.4
27.29

% thay i
-1.7756%
-0.3254%
-0.5078%
0.9843%
-0.5776%
0.9804%
1.0428%
0.7117%
-1.0247%
1.6780%
1.1236%
-1.9097%
-1.9115%
0.7218%
-0.9316%
-0.9042%
-0.4015%

M phng
-437.322
-80.141
-125.071
242.4389
-142.267
241.4706
256.8393
175.3025
-252.392
413.2845
276.7416
-470.365
-470.804
177.7698
-229.445
-222.694
-98.8796

29/09/2009
30/09/2009
01/10/2009
02/10/2009
03/10/2009
04/10/2009
05/10/2009
06/10/2009
07/10/2009
08/10/2009
09/10/2009
10/10/2009
11/10/2009
12/10/2009
13/10/2009
14/10/2009
15/10/2009
16/10/2009
17/10/2009
18/10/2009
19/10/2009
20/10/2009
21/10/2009
22/10/2009
23/10/2009
24/10/2009
25/10/2009
26/10/2009
27/10/2009
28/10/2009
29/10/2009
30/10/2009
31/10/2009
01/11/2009

25.35
25.1
25.11
25.73
25.4
25.45
25.71
25.84
25.66
25.67
26.2
25.98
26.24
26.38
26.59
26.61
26.65
26.74
27.06
27.04
27.4
27.36
27.18
27.15
27.04
27.21
27.46
27.52
27.37
27.45
28.14
28.24
28.21
28.16

0.80%
-0.99%
0.04%
2.47%
-1.28%
0.20%
1.02%
0.51%
-0.70%
0.04%
2.06%
-0.84%
1.00%
0.53%
0.80%
0.08%
0.15%
0.34%
1.20%
-0.07%
1.33%
-0.15%
-0.66%
-0.11%
-0.41%
0.63%
0.92%
0.22%
-0.55%
0.29%
2.51%
0.36%
-0.11%
-0.18%

195.86
-242.90
9.81
608.15
-315.89
48.48
251.62
124.54
-171.57
9.60
508.53
-206.82
246.49
131.41
196.07
18.53
37.02
83.18
294.75
-18.20
327.91
-35.96
-162.04
-27.19
-99.79
154.85
226.30
53.82
-134.25
71.99
619.11
87.53
-26.17
-43.65

19/11/2009
20/11/2009
21/11/2009
22/11/2009
23/11/2009
24/11/2009
25/11/2009
26/11/2009
27/11/2009
28/11/2009
29/11/2009
30/11/2009
01/12/2009
02/12/2009
03/12/2009
04/12/2009
05/12/2009
06/12/2009
07/12/2009
08/12/2009
09/12/2009
10/12/2009
11/12/2009
12/12/2009
13/12/2009
14/12/2009
15/12/2009
16/12/2009
17/12/2009
18/12/2009
19/12/2009
20/12/2009
21/12/2009

27.01
26.96
27.08
26.9
27.02
27.15
26.95
26.59
26.99
26.77
26.46
26.57
26.61
26.88
26.7
26.5
26.53
26.7
26.39
26.37
26.37
26.35
25.83
25.72
25.37
25.09
25.38
25.16
25.18
25.13
24.89
24.63

-1.0260%
-0.1851%
0.4451%
-0.6647%
0.4461%
0.4811%
-0.7366%
-1.3358%
1.5043%
-0.8151%
-1.1580%
0.4157%
0.1505%
1.0147%
-0.6696%
-0.7491%
0.1132%
0.6408%
-1.1610%
-0.0758%
0.0000%
-0.0758%
-1.9734%
-0.4259%
-1.3608%
-1.1037%
1.1558%
-0.8668%
0.0795%
-0.1986%
-0.9550%
-1.0446%
VaR

-252.708
-45.5942
109.6291
-163.715
109.8736
118.5011
-181.436
-329.009
370.5152
-200.763
-285.219
102.3923
37.07941
249.9098
-164.933
-184.494
27.88302
157.8251
-285.966
-18.6662
0
-18.6803
-486.057
-104.89
-335.167
-271.833
284.6831
-213.499
19.5787
-48.9079
-235.225
-257.284
-438.975

Nh vy, vi tin cy 95%, mc tn tht ln nht ca danh mc vo ngy mai,

21/12/2009, s nh hn ngng VaR 438.975, v ngn hng phi c mc d tr ph hp
cho VaR ny nu tnh hung ngoi d on xy ra.
Trn y l m phng VaR vi mt loi chng khon. i vi mt danh mc gn
n chng khon, ngn hng s tin hnh m phng tng t i vi tng chng khon, sau
VaR s c xc nh da trn mc li l tng hp ca n chng khon . Qua ,
ngn hng s bit c ngng tn tht ln nht m danh mc t doanh ca mnh
(trading book) c th phi gnh chu a ra cc bin php iu chnh danh mc, ng
thi cng l cng c cc c quan c thm quyn a ra cc quyt nh gim st hay

nhng khuyn ngh v vn ca ngn hng, c th bao qut c ton b mc ri ro

trn.
3.3
p dng VaR m phng lch s tnh ton s tn tht ln nht trn mt
danh mc ti sn vi mt tin cy cho trc
Cc NHTM c th c cu cc ti sn c ca mnh, gp thnh nhm nhng ti sn
c k hn tng ng, v bin mt danh mc gm rt nhiu ti sn nh thnh cc nhm
ti sn vi quy m v k hn ring bit. Gi s mt NHTM sau khi cu trc ti sn c,
hnh thnh nn mt danh mc ti sn gin n vi 4 nhm ti sn chnh (bng 4):
Bng 4: Cu trc ti sn gin n ca NHTM
Nhm TS1
Nhm TS2
Nhm TS3
Nhm TS4

Quy m TB
10.000.000
15.000.000
18.000.000
10.000.000

Li sut TB
12%
13%
14%
11%

K n hn TB
2010
2012
2013
2030

ng thi, qua phn tch th trng, ti ngy 20/12/2009 ngn hng c c mc

li sut vi cc k hn nh bng 5:
Bng 5: K hn v li sut th trng tng ng
K hn (nm)
1
2
3
4
5

Li sut th trng
4.250%
4.213%
4.246%
4.277%
4.282%

Sau khi c cu thnh cc nhm ti sn nh trn, ngn hng c th d on c

cc dng tin pht sinh t ti sn ny nh bng 6.
Bng 6: Dng tin pht sinh t ti sn ca ngn hng xc nh theo gi th trng
Nm
Discount factor
Ti sn 1
Ti sn 2
Ti sn 3
Ti sn 4
Tng dng tin

1
0.959232614
1200000
1950000
2520000
11100000
16770000

2
0.920780691
11200000
1950000
2520000

3
0.88271763

4
0.84575756

5
0.8108737

1950000
2520000

16950000
2520000

20520000

15670000

4470000

19470000

20520000

Market Value
11463822.88
19722915.92
25732520.33
10647482.01
67566741.15

Tuy nhin, iu m ngn hng lo s, l s thay i ca li sut th trng trong

tng lai. Bt k s bin ng no ca li sut s nh hng ngay lp tc n gi tr th
trng ca tng ti sn, v n gi tr ca ton b ti sn c ca ngn hng (banking

book). Chng ta bit rng, gi tr ca ngn hng = gi tr th trng ca ti sn c gi

tr th trng ca n. Do , khi li sut c nhng din bin xu, lm suy gim gi tr ca
ti sn c, v nu tnh hung xu nht xy ra, s lm bin mt hon ton vn t c ca
ngn hng. Do , ngn hng phi tnh ton c kh nng tn tht ln nht ca mnh,
vi mt tin cy nht nh, c th a ra nhng gii php v vn thch hp.
c th tnh ton c VaR, ngn hng phi xc nh c tc nhn gy ra suy
gim gi tr ca ngn hng, l bin li sut, do ngn hng cn xy dng m phng
v li sut trong tng lai, nhm a ra cc gi nh khc nhau v gi tr ti sn ca ngn
hng. Qua thu thp, ngn hng s c c vng s liu v li sut th trng ng vi tng
k hn t ngy 5/4/2009 n 20/12/2009. Da vo nhng s liu lch s ny, ngn hng
s xy dng m phng li sut trong tng lai, qua c tnh c nhng khon tn
tht ln nht m ngn hng phi gnh chu khi li sut bin ng ging nh trong qu
kh (bng 7).
Bng 7: M phng VaR ca ngn hng khi li sut th trng thay i
DF = 1/(1+i)t, trong i l li sut th trng ng vi thi im t
1Y
rate

Ngy

% change

m phng

5Y
rate

% change

m phng

3.812

0.77%

4.315%

0.80960

06/04/2009

3.78

-0.84%

4.246%

0.81227

0.95880

07/04/2009

3.747

-0.87%

4.245%

0.81233

4.257%

0.95917

08/04/2009

3.744

-0.08%

4.279%

0.81101

0.20%

4.258%

0.95916

09/04/2009

3.737

-0.19%

4.274%

0.81119

3.522

-0.45%

4.231%

0.95941

10/04/2009

3.689

-1.28%

4.227%

0.81302

3.466

-1.59%

4.182%

0.95985

11/04/2009

3.617

-1.95%

4.198%

0.81413

12/04/2009

3.476

0.29%

4.262%

0.95912

12/04/2009

3.637

0.55%

4.306%

0.80995

13/04/2009

3.474

-0.06%

4.248%

0.95926

13/04/2009

3.622

-0.41%

4.264%

0.81156

14/04/2009

3.466

-0.23%

4.240%

0.95932

14/04/2009

3.608

-0.39%

4.265%

0.81152

15/04/2009

3.466

0.00%

4.250%

0.95923

15/04/2009

3.603

-0.14%

4.276%

0.81110

16/04/2009

3.488

0.63%

4.277%

0.95898

16/04/2009

3.647

1.22%

4.334%

0.80884

17/04/2009

3.481

-0.20%

4.241%

0.95931

17/04/2009

3.623

-0.66%

4.254%

0.81197

18/04/2009

3.486

0.14%

4.256%

0.95918

18/04/2009

3.588

-0.97%

4.241%

0.81248

19/04/2009

3.497

0.32%

4.263%

0.95911

19/04/2009

3.581

-0.20%

4.274%

0.81120

20/04/2009

3.508

0.31%

4.263%

0.95911

20/04/2009

3.588

0.20%

4.290%

0.81055

21/04/2009

3.529

0.60%

4.275%

0.95900

21/04/2009

3.629

1.14%

4.331%

0.80897

22/04/2009

3.548

0.54%

4.273%

0.95902

22/04/2009

3.681

1.43%

4.343%

0.80849

04/04/2009

3.468

05/04/2009

3.491

0.66%

4.278%

06/04/2009

3.486

-0.14%

07/04/2009

3.525

08/04/2009

Ngy
04/04/2009

3.783

0.95897

05/04/2009

4.244%

0.95929

1.12%

4.298%

3.531

0.17%

09/04/2009

3.538

10/04/2009
11/04/2009

DF

DF

23/11/2009

4.374

0.21%

4.259%

0.95915

23/11/2009

4.554

0.89%

4.320%

0.80940

24/11/2009

4.396

0.50%

4.271%

0.95904

24/11/2009

4.598

0.97%

4.323%

0.80927

25/11/2009

4.43

0.77%

4.283%

0.95893

25/11/2009

4.631

0.72%

4.313%

0.80968

26/11/2009

4.431

0.02%

4.251%

0.95922

26/11/2009

4.622

-0.19%

4.274%

0.81120

27/11/2009

4.405

-0.59%

4.225%

0.95946

27/11/2009

4.543

-1.71%

4.209%

0.81373

28/11/2009

4.419

0.32%

4.264%

0.95911

28/11/2009

4.542

-0.02%

4.281%

0.81091

29/11/2009

4.43

0.25%

4.261%

0.95914

29/11/2009

4.587

0.99%

4.324%

0.80923

30/11/2009

4.436

0.14%

4.256%

0.95918

30/11/2009

4.591

0.09%

4.286%

0.81073

01/12/2009

4.425

-0.25%

4.239%

0.95933

01/12/2009

4.556

-0.76%

4.249%

0.81214

02/12/2009

4.428

0.07%

4.253%

0.95921

02/12/2009

4.58

0.53%

4.305%

0.81000

03/12/2009

4.413

-0.34%

4.236%

0.95937

03/12/2009

4.537

-0.94%

4.242%

0.81244

04/12/2009

4.419

0.14%

4.256%

0.95918

04/12/2009

4.542

0.11%

4.287%

0.81069

05/12/2009

4.394

-0.57%

4.226%

0.95945

05/12/2009

4.432

-2.42%

4.178%

0.81492

06/12/2009

4.4

0.14%

4.256%

0.95918

06/12/2009

4.434

0.05%

4.284%

0.81080

07/12/2009

4.396

-0.09%

4.246%

0.95927

07/12/2009

4.416

-0.41%

4.265%

0.81155

08/12/2009

4.384

-0.27%

4.238%

0.95934

08/12/2009

4.393

-0.52%

4.260%

0.81174

09/12/2009

4.345

-0.89%

4.212%

0.95958

09/12/2009

4.302

-2.07%

4.193%

0.81433

10/12/2009

4.338

-0.16%

4.243%

0.95930

10/12/2009

4.298

-0.09%

4.278%

0.81103

11/12/2009

4.323

-0.35%

4.235%

0.95937

11/12/2009

4.272

-0.60%

4.256%

0.81188

12/12/2009

4.352

0.67%

4.279%

0.95897

12/12/2009

4.319

1.10%

4.329%

0.80904

13/12/2009

4.336

-0.37%

4.234%

0.95938

13/12/2009

4.311

-0.19%

4.274%

0.81118

14/12/2009

4.358

0.51%

4.272%

0.95903

14/12/2009

4.349

0.88%

4.320%

0.80941

15/12/2009

4.333

-0.57%

4.226%

0.95946

15/12/2009

4.294

-1.26%

4.228%

0.81298

16/12/2009

4.32

-0.30%

4.237%

0.95935

16/12/2009

4.29

-0.09%

4.278%

0.81103

17/12/2009

4.337

0.39%

4.267%

0.95908

17/12/2009

4.317

0.63%

4.309%

0.80983

18/12/2009

4.375

0.88%

4.287%

0.95889

18/12/2009

4.404

2.02%

4.368%

0.80753

19/12/2009

4.316

-1.35%

4.193%

0.95976

19/12/2009

4.341

-1.43%

4.221%

0.81326

20/12/2009

4.25

-1.53%

4.185%

0.95983

20/12/2009

4.282

-1.36%

4.224%

0.81314

Sau khi m phng v li sut, ngn hng s c th a ra cc gi nh v gi tr th

trng ca ti sn c ca ngn hng, vi gi nh li sut trong tng lai s bin ng
tng t nh trong qu kh (bng 8).
Bng 8: M phng v gi tr th trng TSC ca ngn hng
Year 1

Year 2

Year 3

Year 4

Year 5

16.770.000

15.670.000

4.470.000

19.470.000

20.520.000

16.081.983
16.087.270
16.078.997
16.085.215
16.085.031
16.089.297
16.096.765
16.084.439
16.086.708
16.087.841
16.086.331
16.082.169
16.087.647
16.085.389
16.084.262
16.084.268
16.082.406
16.082.801

14.418.301
14.432.797
14.432.169
14.426.055
14.427.669
14.438.601
14.455.250
14.423.991
14.430.946
14.432.607
14.429.962
14.415.672
14.434.226
14.431.278
14.427.640
14.424.001
14.415.786
14.413.321

3.941.548
3.948.353
3.947.974
3.945.090
3.945.748
3.950.611
3.957.047
3.943.846
3.947.237
3.947.785
3.946.429
3.940.429
3.948.314
3.947.920
3.946.021
3.944.520
3.941.261
3.940.091

16.445.229
16.486.278
16.485.694
16.466.172
16.469.809
16.498.241
16.524.475
16.455.616
16.477.396
16.477.436
16.469.921
16.435.181
16.483.351
16.486.464
16.469.930
16.460.835
16.439.692
16.433.985

16.612.966
16.667.836
16.668.985
16.641.865
16.645.518
16.683.078
16.705.965
16.620.253
16.653.226
16.652.340
16.643.864
16.597.474
16.661.628
16.672.170
16.645.796
16.632.453
16.600.148
16.590.265

SUM
95%
67.500.027
67.622.534
67.613.820
67.564.397
67.573.774
67.659.828
67.739.501
67.528.145
67.595.513
67.598.009
67.576.508
67.470.925
67.615.167
67.623.221
67.573.647
67.546.078
67.479.293
67.460.463

Value at Risk
89.406
-66.714
55.793
47.079
-2.344
7.033
93.087
172.760
-38.596
28.771
31.268
9.767
-95.816
48.426
56.480
6.906
-20.663
-87.448
-106.278

16.084.979
16.083.033
16.081.260
16.086.183
16.090.180
16.084.247
16.084.699
16.085.443
16.087.957
16.085.886
16.088.553
16.085.439
16.090.042
16.085.435
16.086.927
16.088.121
16.092.167
16.087.388
16.088.599
16.081.933
16.088.742
16.083.004
16.090.094
16.088.299
16.083.751
16.080.587
16.095.180
16.096.366

14.419.454
14.419.526
14.423.210
14.431.462
14.442.304
14.427.329
14.420.561
14.426.564
14.435.351
14.423.440
14.437.171
14.424.466
14.448.643
14.429.954
14.433.130
14.433.413
14.453.453
14.432.447
14.434.646
14.414.638
14.432.433
14.416.390
14.442.654
14.431.634
14.419.069
14.406.423
14.452.079
14.451.199

3.941.769
3.941.695
3.943.209
3.946.906
3.952.192
3.945.213
3.941.904
3.945.006
3.948.712
3.943.513
3.949.460
3.944.253
3.954.919
3.946.182
3.947.595
3.947.930
3.955.734
3.947.090
3.948.554
3.939.886
3.947.197
3.940.720
3.951.840
3.946.645
3.942.045
3.936.736
3.954.730
3.954.677

16.444.181
16.442.594
16.450.444
16.473.916
16.508.574
16.466.304
16.442.524
16.463.951
16.485.174
16.453.858
16.488.757
16.461.545
16.524.633
16.467.506
16.477.830
16.479.704
16.522.740
16.471.902
16.483.823
16.434.792
16.473.754
16.440.073
16.503.433
16.470.661
16.446.829
16.416.528
16.511.011
16.509.248

16.608.891
16.606.162
16.614.633
16.645.770
16.697.642
16.639.881
16.605.325
16.636.151
16.665.197
16.621.145
16.671.240
16.635.365
16.722.111
16.637.588
16.653.004
16.656.933
16.710.075
16.642.306
16.659.810
16.601.596
16.645.458
16.609.050
16.682.399
16.642.312
16.617.646
16.570.454
16.688.084
16.685.637

67.499.274
67.493.010
67.512.757
67.584.237
67.690.892
67.562.975
67.495.013
67.557.115
67.622.392
67.527.842
67.635.181
67.551.068
67.740.348
67.566.666
67.598.486
67.606.101
67.734.169
67.581.133
67.615.432
67.472.845
67.587.585
67.489.238
67.670.421
67.579.550
67.509.339
67.410.728
67.701.085
67.697.128

S 2: Phn phi cc mc gi th th trng m phng ca TSC

-67.467
-73.731
-53.985
17.496
124.151
-3.766
-71.728
-9.627
55.651
-38.900
68.440
-15.673
173.607
-75
31.745
39.360
167.428
14.392
48.690
-93.896
20.844
-77.504
103.680
12.809
-57.402
-156.013
134.344
130.386

Qua php thng k, chng ta tnh ton ra VaR ca danh mc ti sn c ca ngn

hng, vi tin cy 95%, l 89.406, cho thy rng trong 20 ngy sp ti, ch c 1 ngy l
tn tht v gi tr ti sn (banking book) vt qu ngng 89.406. V gi tr VaR ny s
l c s cc c quan c thm quyn c th a ra cc quyt nh v khuyn ngh v
vn ca ngn hng, buc ngn hng phi tng thm vn c th gnh chu ri ro , hoc
iu chnh danh mc ti sn lm cho km nhy cm hn vi li sut
i vi ri ro hi oi, chng ta tin hnh tng t nh vi ri ro li sut, trong
bin t gi c m phng hon ton ging vi bin li sut trong bng trn.
3.4
Php th Backtest
Ti cc nc c nn ti chnh ngn hng pht trin, cc ngn hng, c bit l
ngn hng u t, u xy dng cho mnh mt m hnh VaR ni b, xc nh mc tn
tht ln nht trn vn m mt danh mc c th gy ra cho ngn hng. Tuy nhin, m hnh
ny i khi cho nhng kt qu sai lch vi thc t.
Do vic gim st tn tht ca cc ngn hng da trn h thng VaR ni b ca h,
ngn hng trung ng buc phi tin hnh cc php th nghim li (Backtest) m bo
rng, h thng VaR ca ngn hng ang thanh tra cho c kt qu chnh xc. V d
NHTM A p dng h thng VaR vi tin cy 95%, v trong 252 ngy lm vic trong 1
nm va ri, ngn hng xc nh c VaR ca danh mc. Khi tin hnh php th
Backtest, NHTW thy rng trong 252 ngy:
Nu s ngy tn tht vt qu gi tr VaR l trn 13 ngy (5% ca 252
ngy lm vic) th cho thy h thng VaR ni b ca ngn hng vn cha cho kt qu
chnh xc, v ngn hng buc phi iu chnh cch thc nh gi VaR.
Nu s ngy tn tht vt qu gi tr VaR l di 13 ngy, chng t h
thng VaR ca ngn hng l chp nhn c.
3.5
Hn ch ca VaR v ng dng php th Stress-test
Chng ta bit rng, nhc im ln nht ca VaR, c bit l phng php m
phng lch s, l s bin ng ca cc tc nhn ri ro trong tng lai s ging nh
trong qu kh, v l iu kin bt buc tin hnh m phng. Tuy nhin gi nh
ny hon ton phi thc t. Nhng v d kinh in v vic p dng VaR m khng thc
hin hoc thc hin cha y Stress-test, l s sp ca mt lot cc ngn hng
u t, do h thc hin VaR da trn s liu bin ng rt m m trong qu kh. Tuy
nhin khi nhng iu kin th trng bin i t ngt, nh li sut, khin cho gi tr
VaR tr nn khng chnh xc, v s tn tht vt qu VaR khin cho cc ngn hng
ny chu nhng khon thit hi khng l, do khng d tnh ng c kh nng tn tht
ln nht khi iu kin th trng bin i t ngt. Do vy, vic p dng php th Stresstest (th kh nng chu ng) c ngha c bit quan trng trong thi k hin nay.

Vi php th Stress-test, ngn hng s a ra nhng bi cnh ca cc nhn t ri

ro, nh li sut, t gi bin ng khc xa so vi iu kin bnh thng, qua xc nh
VaR ng vi tng bi cnh . Nh trong v d xc nh VaR trn, chng ta thy rng
li sut m phng ch dao ng trong khong t 3.3%  4.3%, l vi nhng iu kin
bnh thng trong qu kh. Vi Stress test, ngn hng s a ra nhng bi cnh bin
ng rt mnh ca li sut, nh gim xung 1.5% hay 2%, hoc tng ln ti 5% hay 6%,
qua tnh ton VaR ng vi tng bi cnh ny, v a ra nhng khuyn ngh ph hp
v vn.
Mt hn ch na ca VaR, l v khong tin cy. Gi s mt danh mc c VaR
l 50 triu USD vi tin cy 99% trong 252 ngy giao dch, iu khng ni ln
nhiu v s lng tn tht ln nht c th xy ra trn thc t. V d nu trong 2 ngy
trong 252 ngy lm vic (1% cn li), tn ti 2 khon tn tht l 52 v 60 triu USD, th
gi tr VaR 50 triu USD l hu hiu. Tuy nhin, nu ch cn c 1 ngy, ngn hng b
thua li 600 triu USD, gi tr VaR 50 triu USD vn chnh xc, tuy nhin ngn hng da
vo VaR s ph sn, v phn tn tht ngoi d kin vt xa rt nhiu so vi gi tr
VaR. chnh l nhng bin c him hoi m ngn hng thng l i, coi rng vic c
m bo n 99% thi gian l . VaR ch tip cn cc bin c ln trn phng din tn
s xut hin (nh hn 1%) ch khng phi trn phng din ln ca n.Hn na, VaR
thng thng c tnh ton trn cc d liu lch s hn ch, thng l 2-3 nm, khi m
cc bin c ln khng xy ra. V VaR c dng tin on ri ro cho khong thi
gian ngn n ngc nhin, 1 ngy hoc nhiu hn l 10 ngy, l mt ci nhn rt ngn
hn. Do , vic p dng cc php th Stress test c ngha c bit quan trng, gip
ngn hng c th hnh dung ra c s tn tht vt qu VaR nm trong khong gi tr l
bao nhiu (nhng gi tr nm pha ui ca thp chung hm mt phn phi), t
a ra nhng quyt nh v vn ph hp.
S 3: Phn phi gi tr ca danh mc (theo quy lut phn phi chun)

3.6
Nhng xut cho vic p dng VaR ti cc NHTM Vit Nam
Ti c, NHTW yu cu cc NHTM phi xc nh VaR vi tin cy 99%, v
tnh ton cho 10 ngy lm vic tip theo. Tuy nhin, trn quan im ca NHTM, tin
cy 95% l c th chp nhn c, do cc NHTM c th xy dng h thng VaR ni
b ca mnh, vi tin cy 95%.
Cc NHTM cn phi xy dng ngn hng d liu lch s trong tng nm, v trong
252 ngy lm vic trong 1 nm. Do , vi tin cy 95%, NHTM cn thu thp 13 ngy
vi nhng iu kin xu nht ca th trng. Qua vng d liu ny, cc ngn hng c th
xy dng m phng lch s, v tnh ton c VaR cho tng ngy lm vic tip theo.
Cc NHTM phi tin hnh cc php th Stress test, do iu kin th trng lin tc
c s bin ng bt thng, v cng khng nn qu tin tng vo VaR, do nhng bin
ng xu nht hay xy ra li thng nm ngoi khong tin cy, l nhng gi tr nm
ti ui ca hm mt phn phi.
Cc c quan c thm quyn phi nh k kim tra h thng VaR ni b ca ngn
hng (Back test) m bo rng h thng VaR ti ngn hng cho nhng kt qu
chnh xc, s l c s c quan ny a ra nhng khuyn ngh hay quyt nh v
vn cng nh v hot ng kinh doanh ca ngn hng .
TI LIU THAM KHO
1. Value at Risk 3rd Philippe Jorion 2003
2. Workshop 1 - Assets & Liabilities Management, Risk Management Dr. Guy
Mertern, ATTF Luxembourg.
3. www.investopedia.com , value at risk