Mc lc sch

QUN TR RI RO
TRONG NGN HNG

Nhm dch: Trn Hong Ngn

inh Th Hin
Nguyn Thanh Huyn

VIN NGHIN CU TIN HC & KINH T NG DNG

Institute of Information and Business Research (IIB)

Mc lc i cng:

Mc 1

Cuc khng hong ti chnh --------------------------------------------------------------------- 3

Chng 1: Cuc khng hong ti chnh 2007 2008 ----------------------------------------------3

Mc 2

Nghip v ngn hng, ri ro v qun l ri ro ----------------------------------------------- 4

Chng 2: Nghip v ngn hng----------------------------------------------------------------------------4

Chng 3: Ri ro v qun l ri ro -------------------------------------------------------------------------4
Chng 4: Qun l ri ro----------------------------------------------------------------------------------------4

Mc 3

Cc sn phm ti chnh ---------------------------------------------------------------------------- 4

Chng 6: Nhng iu cn bn v cc sn phm phi sinh -----------------------------------5

Chng 7: Ri ro li sut v phi sinh li sut -------------------------------------------------------5
Chng 8: Ri ro giao dch ngoi hi v phi sinh giao dch ngoi hi ------------------5
Chng 9: Phi sinh tn dng --------------------------------------------------------------------------------5

Mc 4

nh gi ---------------------------------------------------------------------------------------------- 5

Chng 11: Li nhun ri rc v lin tc -----------------------------------------------------------------6

Chng 12: Qu trnh ngu nhin ----------------------------------------------------------------------------6
Chng 13: nh gi v nh gi ri ro --------------------------------------------------------------------6
Chng 14: Mt s ng dng ca k thut nh gi ------------------------------------------------6

Mc 5

M phng ri ro ------------------------------------------------------------------------------------- 6

Chng 15: nhy ------------------------------------------------------------------------------------------------6

Chng 16: bin ng ----------------------------------------------------------------------------------------6
Chng 17: o lng gi tr gp ri ro --------------------------------------------------------------------6
Chng 18: VaR v Vn -------------------------------------------------------------------------------------------6

Mc 6

Cc quy nh ----------------------------------------------------------------------------------------- 7

Chng 19: Cc quy nh ngn hng: Basel 1 v ri ro th trng---------------------------7

Chng 20: Cc quy nhngn hng: Hip c Basel 2 -------------------------------------------7
Mc lc sch Qun tr ri ro trong ngn hng

Page 1

VIN NGHIN CU TIN HC & KINH T NG DNG

Institute of Information and Business Research (IIB)

Chng 21: Cc tiu chun k ton -------------------------------------------------------------------------7

Mc 7

Qun l n ti sn (ALM) ------------------------------------------------------------------------- 7

Chng 22: Qun l tnh thanh khon v khe h tn thanh khon ----------------------------7
Chng 23: Khe h li sut -------------------------------------------------------------------------------------8
Chng 24: ALM v cc chnh sch phng h ---------------------------------------------------------8
Chng 25: Ri ro la chn n --------------------------------------------------------------------------------8
Chng 26: Gi tr kinh t ca bng cn i k ton ------------------------------------------------8
Chng 27: Gi tr kinh t v ri ro li ----------------------------------------------------------------8
Chng 28: H thng nh gi chuyn khon ----------------------------------------------------------8
Chng 29: Gi chuyn khon kinh t ---------------------------------------------------------------------8

Mc 9

Tnh ph thuc v ri ro danh mc u t --------------------------------------------------- 9

Chng 30: Tng quan v hip phng sai ----------------------------------------------------------9

Chng 31: Xc sut iu kin --------------------------------------------------------------------------------9
Chng 32: M hnh nhn t------------------------------------------------------------------------------------9
Chng 33: Tnh ph thuc v cc hm COPULA ----------------------------------------------------9
Chng 34: M phng vi m hnh nhn t hoc phng php Copula ------------------9

Mc 10 Ri ro th trng ------------------------------------------------------------------------------------ 9
Chng 35: VaR Delta chun --------------------------------------------------------------------------------9
Chng 36: M phng lch s v m phng gi thuyt ------------------------------------------ 10
Chng 37: M phng li sut ------------------------------------------------------------------------------- 10
Chng 38: Back test, t tiu chun v Stress test ---------------------------------------------- 10

Mc 11 Ri ro tnh dng: Ri ro ring l --------------------------------------------------------------- 10

Chng 39: D liu ri ro tnh dng ---------------------------------------------------------------------- 10
Chng 40: H thng xp hng ----------------------------------------------------------------------------- 10
Chng 41: Cc m hnh thng k v tnh im----------------------------------------------------- 10
Chng 42: Cch tip cn quyn chn vi v n v chuyn hng ------------------------ 10
Chng 43: Xc sut v n v cng v n ---------------------------------------------------- 11
Chng 44: Nguy c tim nng ri ro tn dng ------------------------------------------------------ 11
Chng 45: M phng s hi phc------------------------------------------------------------------------ 11

Mc lc sch Qun tr ri ro trong ngn hng

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Institute of Information and Business Research (IIB)

Chng 46: nh gi ri ro tn dng v chnh lch tn dng --------------------------------- 11

Mc 12 Ri ro danh mc u t tn dng ------------------------------------------------------------- 11

Chng 47: Cc tnh ph thuc ca s kin tn dng -------------------------------------------- 11
Chng 48: V d v phn phi thua l danh mc u t--------------------------------------- 11
Chng 49: Phn phi thua l phn tch ---------------------------------------------------------------- 12
Chng 50: M phng phn phi thua l danh mc u t tn dng ---------------------- 12
Chng 51: M hnh danh mc u t tn dng ----------------------------------------------------- 12

Mc 13 Phn b vn ---------------------------------------------------------------------------------------- 12
Chng 52: Vn Kinh t v VaR ri ro tn dng ------------------------------------------------------ 12
Chng 53: Phn b vn v ng gp ri ro---------------------------------------------------------- 12
Chng 54: Cc ng gp ri ro l ------------------------------------------------------------------------ 12

Mc 14 Hot ng iu chnh theo ri ro ------------------------------------------------------------- 12

Chng 55: RaRoC v gi tr gia tng c ng ------------------------------------------------------ 12
Chng 56: Cc bo co thu nhp kinh t ------------------------------------------------------------- 13

Mc 15 Qun l danh mc u t tn dng----------------------------------------------------------- 13

Chng 57: Phn tch danh mc tn dng -------------------------------------------------------------- 13
Chng 58: Chng khon ha v qun l vn ------------------------------------------------------- 13
Chng 59: Qun l danh mc u t tn dng ----------------------------------------------------- 13

Mc 16 Kt lun v ci cch ti chnh ------------------------------------------------------------------ 13

Chng 60: H thng ti chnh v ci cch ------------------------------------------------------------ 13

Mc lc chi tit:

Mc 1

Cuc khng hong ti chnh

Chng 1:
1.

Cuc khng hong ti chnh 2007 2008

Cuc khng hong di chun

Mc lc sch Qun tr ri ro trong ngn hng

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Institute of Information and Business Research (IIB)

2.
3.
4.
5.
6.
7.
8.
9.
10.
Mc 2

Nghip v ngn hng, ri ro v qun l ri ro

Chng 2:
1.
2.
3.
Chng 3:
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
Chng 4:
1.
2.
3.
4.
Mc 3

Nhng c ch ly lan c in
Nhng ri ro ti chnh
Cc quy nh
S ly lan thng qua chng khon ha
Ly lan tnh thanh khon
S ly lan v tnh ng chu k thng qua nhng lut v gi tr cng bng
S ly lan do tt hng tnh dng
S ly lan v tnh ng chu k trong mt ngnh cng nghip n by
Nhng h qu

Nghip v ngn hng

Nhng hng mc kinh doanh chnh trong ngnh cng nghip ngn hng
Nhng phng thc qun l khc nhau ca nhng nghip v khc nhau
Nhng quy nh v nghip v ngn hng v tiu chun k ton
Ri ro v qun l ri ro
Bt trc, ri ro v nguy c
Cc loi ri ro
Ri ro tn dng
Ri ro thanh khon
Ri ro li sut
Ri ro lch hn
Ri ro thanh khon th trng
Ri ro th trng
Ri ro t gi
Ri ro kh nng thanh ton
Ri ro hot ng
Qun l ri ro
Nhng thch thc theo di ri ro
Cc quy trnh qun l ri ro
Xc lp gii hn
Qun l ri ro ton doanh nghip (ERM)

Cc sn phm ti chnh

Chng 5:
1.
2.
3.
4.
5.
6.
7.
8.

Cc sn phm ngn hng v ti chnh

Phn loi cc sn phm cho vay v tiu chun Basel 2
Nhng kh nng ri ro quc gia, ngn hng v c phn
Danh mc u t bn l trong Basel 2
Ri ro tn dng c th vi giao dch
Cho vay v i vay chng khon
Cho vay chuyn dng
Chng khon ha
Nhng khon ngoi bng cn i

Mc lc sch Qun tr ri ro trong ngn hng

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Institute of Information and Business Research (IIB)

Chng 6:
1.
2.
3.
4.
5.
Chng 7:
1.
2.
3.
4.
5.
6.
7.
Chng 8:
1.
2.
3.
4.
Chng 9:
1.
2.
3.
4.
5.
Mc 4

Nhng iu cn bn v cc sn phm phi sinh

Ti sn v v th
Phi sinh: nhng nh ngha v nguyn tc c bn
Hp ng giao sau
Hp ng giao sau so snh vi hp ng quyn chn
Hp ng quyn chn
Ri ro li sut v phi sinh li sut
Ri ro li sut i vi ngi vay v cho vay
Li sut v cu trc k hn
Li sut giao sau: nh ngha
Hp ng hon i li sut (IRS)
Quyn chn li sut: trn v sn
Phng h ri ro li sut bi doanh nghip i vay
Li sut n t u?
Ri ro giao dch ngoi hi v phi sinh giao dch ngoi hi
T gi hi oi v hp ng giao sau
Quyn chn giao dch ngoi hi
Phng h nguy c v ngoi t cho doanh nghip
Th trng v t gi giao dch ngoi hi
Phi sinh tn dng
nh ngha phi sinh tn dng
Hon i r, v n u tin, v n th N
Phi sinh tn dng ca ri ro quc gia
Nhng iu c bn v nhng thut ng chnh
nh gi phi sinh tn dng

nh gi

Chng 10:
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
14.
15.

Cc hm phn phi
Bin ngu nhin v hm phn phi xc sut
Hm ngc
Moment ca phn phi
Phn phi u
ng dng ca phn phi thua l v bch nh phn thua l
Bin Bernoulli
Hm ch th
Phn phi Bernoulli
Phn pi nh thc ca tng cc bin Bernoulli
Phn phi chun
Phn phi logarit chun
Phn phi Poisson
Phn phi m v thi gian v n
Phn phi Beta
Phn phi Student

Mc lc sch Qun tr ri ro trong ngn hng

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Institute of Information and Business Research (IIB)

16.
17.
Chng 11:
1.
2.
3.
4.
Chng 12:
1.
2.
3.
4.
5.
Chng 13:
1.
2.
3.
Chng 14:
1.
2.
3.
Mc 5

Tm tt
Ph lc tnh ton lch tr t chui thi gian
Li nhun ri rc v lin tc
Thu nhp ri rc v lin tc
M hnh dng tin chit khu
nh gi trong trng hp chc chn
Ph lc: Cng thc khai trin Taylor
Qu trnh ngu nhin
Cc qu trnh ngu nhin
Cc qu trnh ngu nhin ph bin
ng dng: phn phi gi c phiu
Nhng qu trnh li sut
Chi tit cc qu trnh ngu nhin v b Ito
nh gi v nh gi ri ro
To ra mt danh mc u t khng ri ro
nh gi trung tnh ri ro: trng hp gi c phiu
nh gi: nhng kt qu cui cng
Mt s ng dng ca k thut nh gi
nh gi n ri ro t chnh lch tn dng v xc sut trung tnh ri ro
nh gi mt quyn chn vi xc sut trung tn ri ro
M hnh Vasicek

M phng ri ro

Chng 15:
1.
2.
3.
4.
Chng 16:
1.
2.
3.
4.
5.
6.
Chng 17:
1.
2.
3.
Chng 18:
1.
2.
3.

nhy
nh ngha nhy
Nhng nhy ph bin
nhy v cc nhn t ri ro
nhy v kim sot ri ro
bin ng
bin ng
bin ng lch s gia quyn ng u
M hnh trung bnh gia quyn ng ly tha (EWMA)
M hnh GARCH
Phng php kh nng cc i
c lng bin ng EWMA
o lng gi tr gp ri ro
M hnh phng thay i tim nng v bch phn v
Phng php VaR: ri ro th trng
VaR ri ro tn dng
VaR v Vn
Nhng ng gp ca cc php o da trn VaR
Cc phn phi thua l
Thc o thua l tim nng

Mc lc sch Qun tr ri ro trong ngn hng

Page 6

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Institute of Information and Business Research (IIB)

4.
5.
Mc 6

VaR v vn kinh t
Thu nhp gp ri ro (EaR)

Cc quy nh

Chng 19: Cc quy nh ngn hng: Basel 1 v ri ro th trng

1. Cc vn v lut nh
2. Thch thc ca nhng nh lm lut
3. Vn tha ng
4. Hip c Basel 1 v ri ro tn dng
5. Hip c v ri ro th trng
Chng 20: Cc quy nhngn hng: Hip c Basel 2
1. Hip c Basel mi
2. Cc hng mc ti sn
3. Cc thnh phn ca ri ro tn dng
4. Cch tip cn tiu chun
5. Cu trc khung da trn xp hng ni b
6. Gim bt ri ro tn dng
7. Ri ro tn dng i tc
8. Lu hnh vn
9. So snh gia vn cho ri ro tn dng hng mc ti sn doanh nghip trong
Basel 1 v Basel 2
10. Cho vay chuyn dng
11. Chit khu
12. Ri ro li sut
13. Ri ro vn hnh
14. Tr 2: qu trnh gim st kim tra
15. Tr 3: k lut th trng
16. Nhng xut b sung
Chng 21: Cc tiu chun k ton
1. bo co ti chnh ngn hng
2. S cng nhn ban u ti sn v n ti chnh
3. Cc quy tc nh gi
4. S suy yu ti sn ti chnh
5. K ton phng h
6. So snh cc phn loi: quy nh ri ro v IFRS
Mc 7

Qun l n ti sn (ALM)

Chng 22:
1.
2.
3.
4.
5.

Qun l tnh thanh khon v khe h tn thanh khon

nh ngha tnh thanh khon
H s thi gian khe h thanh khon
Cc php tnh khe h thanh khon
Qun l tnh thanh khon
D tha tnh thanh khon cu trc

Mc lc sch Qun tr ri ro trong ngn hng

Page 7

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Institute of Information and Business Research (IIB)

6. Cc vn trong vic xc nh h s thi gian ca khe h thanh khon
7. Cc tnh hung tnh thanh khon
Chng 23: Khe h li sut
1. nh ngha khe h li sut
2. Cc php tnh khe h li sut
3. M hnh khe h
4. Thu nhp li thc v khe h li sut
5. Khe h ng v tnh
6. Hn ch ca khe h li sut
7. T khe h ti m hnh
Chng 24: ALM v cc chnh sch phng h
1. Qun l khe h: t ra cc gii hn
2. Phng h: ng cc khe h li sut
3. Phng h s thay i trong cu trc k hn ca li sut (nghin cu trng
hp)
4. Phng h ri ro kinh doanh v ri ro li sut
Chng 25: Ri ro la chn n
1. Ri ro la chn
2. M phng tr trc
3. Li ch ca tr trc
4. Gi tr ca quyn chn n
5. Phng php cy nh thc p dng cho li sut
Chng 26: Gi tr kinh t ca bng cn i k ton
1. Gi tr kinh t (EV)
2. Gi tr kinh t v thu nhp li thc cho mt ngn hng khng c vn
3. NII v EV
4. Lin h gia EV v dng tin bao gm tt c (vn v li)
Chng 27: Gi tr kinh t v ri ro li
1. Cc tnh cht ca duration
2. nhy ca gi tr kinh t v khe h duration
3. Gi tr kinh t, duration v li
4. Khe h li v quyn chn
5. Ri ro quyn chn v khe h quyn chn
Mc 8

Cc h thng nh gi chuyn khon

Chng 28:
1.
2.
Chng 29:
1.
2.
3.

H thng nh gi chuyn khon

T chc h thng FTP
Tnh ton thu nhp trong mt h thng FTP
Gi chuyn khon kinh t
Chnh lch thng mi v chnh lch k hn
Gi chuyn giao kinh t vi cc khon vay
Gi chuyn giao kinh t vi cc ngun tin

Mc lc sch Qun tr ri ro trong ngn hng

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Institute of Information and Business Research (IIB)

4. Chuyn giao ri ro thanh khon v ri ro li sut cho ALM thng qua h
thng FTP
5. nh gi cho vay
Mc 9

Tnh ph thuc v ri ro danh mc u t

Chng 30:
1.
2.
3.
4.
Chng 31:
1.
2.
3.
4.
Chng 32:
1.
2.
3.
4.
5.
6.
Chng 33:
1.
2.
3.
4.
5.
6.
Chng 34:
1.
2.
3.
4.
5.
6.
7.

Tng quan v hip phng sai

Tng quan v hip phng sai
Ma trn hip phng sai hip phng sai
Ri ro thu nhp danh mc u t v tng quan
Ph lc: cc k hiu v cng thc ma trn
Xc sut iu kin
nh ngha xc sut iu kin v xc sut kt hp
Xc sut v n ca mt cng ty ph thuc vo tnh trng nn kinh t
Danh mc u t hai ngi vay v xc sut iu kin
Ph lc: iu phi, k vng v phng sai
M hnh nhn t
M hnh nhn t
Dng chung ca m hnh nhn t
Ri ro ca danh mc u t hai c phiu vi m hnh mt nhn t
Ri ro danh mc u t vi cc m hnh nhiu nhn t
Ri ro cho mt ti sn ring l v m hnh hai nhn t
Danh mc u t hai ti sn v m hnh hai nhn t
Tnh ph thuc v cc hm COPULA
Nhng li ch chnh ca tnh ph thuc Copula
Cc k hiu
nh ngha hm Copula
Phn phi chun chun ha hai bin
Xc sut iu kin t mt Copula
Ph lc: hm Copula v mt Copula
M phng vi m hnh nhn t hoc phng php Copula
M phng v hm ngc
M phng cc bin chun tng quan vi m hnh nhn t
M phng cc bin ph thuc vi phng php Copula
M phng hai bin chun ha u ph thuc
M phng hai bin chun chun ha ph thuc
M phng hai thi gian v n ph thuc
Ph lc: phng php phn tch Cholesky

Mc 10 Ri ro th trng
Chng 35:
1.
2.
3.

VaR Delta chun

VaR Delta chun ca danh mc u t
ng mt cng c vi cc nhn t ri ro
v d ca t gi hi oi giao sau

Mc lc sch Qun tr ri ro trong ngn hng

Page 9

VIN NGHIN CU TIN HC & KINH T NG DNG

Institute of Information and Business Research (IIB)

4.
5.
6.
Chng 36:
1.
2.
3.
Chng 37:
1.
2.
3.
4.
5.
Chng 38:
1.
2.
3.

nn tng khi nim ca VaR Delta chun

bin ng v VaR Delta chun ca gi tr giao sau
Delta VaR ca hp ng giao sau: tm tt
M phng lch s v m phng gi thuyt
M phng lch s
M phng Monte Carlo
M rng phng php VaR th trng
M phng li sut
Li sut v m hnh nhn t
Phn tch thnh phn chnh (PCA) v cu trc k hn ca li sut
M phng li sut vi PCA
ng dng cho VaR th trng
ng dng ALM
Back test, t tiu chun v Stress test
Back test
t chun so snh, nhng tnh hung gi nh v phn tch nhy
Kim nh

Mc 11 Ri ro tnh dng: Ri ro ring l

Chng 39: D liu ri ro tnh dng
1. Thng k v n
2. Thng k hi phc
3. Ma trn chuyn i
Chng 40: H thng xp hng
1. Xp hng tn dng
2. Xp hng tn dng v s lin h gia cc bn i tc
3. Xp hng tn dng ni b v cc nguyn tc kinh doanh
4. Nhng thnh phn ca h thng xp hng tn dng ni b
5. Li xp hng
6. ng dng xp hng vi xc sut v n
7. Ph lut: thang xp hng ca cc n v xp hng
Chng 41: Cc m hnh thng k v tnh im
1. Tnh im
2. Kinh t hc ca h thng tnh im
3. M hnh Logit
4. Tnh im trong dch v ngn hng bn l: m hnh hnh vi so vi m hnh
pht hnh n th chp
5. Thc hin tnh im trong dch v ngn hng bn l
6. Tnh chnh xc ca m hnh tnh im
7. ng m hnh tnh im vi thang xc sut v n
Chng 42: Cch tip cn quyn chn vi v n v chuyn hng
1. Cc cng ty v n nh th no
2. Nn tng l thuyt quyn chn ca nh gi c phn v n
Mc lc sch Qun tr ri ro trong ngn hng

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Institute of Information and Business Research (IIB)

3.
4.
5.
6.
7.
8.
9.
Chng 43:
1.
2.
3.
4.
Chng 44:
1.
2.
3.
4.
5.
6.
Chng 45:
1.
2.
3.
4.
5.
Chng 46:
1.
2.
3.
4.

Thc thi m hnh cu trc ca v n

M phng xc sut v n v uy tnh tn dng
Thc thi m hnh EDF
Gi tr l thuyt ca quyn chn v n v EDF
Php tnh mu ca EDF v ca gi tr quyn chn bn v quyn chn mua
Nhng bin dng ca m hnh Merton
ng xc sut v n vi khong cch ti v n chun chun ha
Xc sut v n v cng v n
Xc sut v n v sng st tch ly
Xc sut v n v sng st tng lai
Ma trn chuyn hn
Ph lc: cho ha ma trn
Nguy c tim nng ri ro tn dng
Nguy c danh mc u t ngn hng
Cc cng c th trng v nguy c tng lai tim nng (PFE)
Nhng b sung quy nh cho phi sinh
Ri ro tn dng cho phi sinh: phng php
Tn PFE cho mt hp ng hon i li sut
Nguy c ri ro tn dng cho danh mc u t ca phi sinh
M phng s hi phc
Vay/cho vay th chp bng c phiu
nh gi cc bo m ri ro tn dng, bo him hoc phi sinh tn dng
H tr
Phn phi nhng phc hi ngu nhin
Cc giao ko
nh gi ri ro tn dng v chnh lch tn dng
Chnh lch tn dng, cng v n n v t l phc hi
VaR tn dng v nh gi ma trn
Chuyn hng v VaR theo m hnh cu trc
nh gi tng lai v chnh lch d tha

Mc 12 Ri ro danh mc u t tn dng
Chng 47:
1.
2.
3.
4.
5.
Chng 48:
1.
2.
3.
4.

Cc tnh ph thuc ca s kin tn dng

M hnh chuyn hng v v n ng thi vi m hnh cu trc
Xc sut v n ng thi s dng cc bin ri rc
Xc sut iu kin v tng quan
Ma trn chuyn hng ng thi
M phng v n v chuyn hng ng thi
V d v phn phi thua l danh mc u t
Danh mc u t hai ngi i vay
Danh mc u t ca ngi i vay c lp
Cc s kin v n ph thuc
So snh cc trng hp c lp v ph thuc

Mc lc sch Qun tr ri ro trong ngn hng

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Institute of Information and Business Research (IIB)

Chng 49: Phn phi thua l phn tch
1. Cc s kin v n c lp: phn phi nh thc
2. M hnh cu trc c lp chun ha
3. M phng v n trong mt danh mc u t u: phn phi gii hn
Chng 50: M phng phn phi thua l danh mc u t tn dng
1. Cc nguyn tc ca m phng mu
2. M phng Monte Carlo ca cc s kin v n da trn m hnh cu trc ca
v n
3. M phng thi gian ti v n
Chng 51: M hnh danh mc u t tn dng
1. Tng quan m hnh danh mc u t tn dng
2. Moodys KMV Credit Monitor v Moodys KMV Portfolio Manager
3. Cc thc o tn dng
4. Credit Portfolio View: cc m hnh kinh t lng
5. CreditRisk+ v cc phn phi tch
6. Ph lc: phn phi Gamma
Mc 13 Phn b vn
Chng 52: Vn Kinh t v VaR ri ro tn dng
1. Khong thi gian cho vn tn dng
2. T phn phi gi tr danh mc u t ti vn tn dng
3. Php tnh RaRoC cp danh mc u t v khong vay
Chng 53: Phn b vn v ng gp ri ro
1. Phn b quy phm v s dng vn hiu qu
2. nh ngha ng gp ri ro
3. Cc thua l ring l c lp
4. Nhng ng gp ri ro v ng gp ri ro l vo bin ng thua l danh
mc u t v vn
5. Nhng tnh cht c bn ca ng gp ri ro
6. M hnh phn b vn v ng gp ri ro
7. Ph lc: php tnh ng gp ri ro tuyt i t ma trn phng sai hip
phng sai
Chng 54: Cc ng gp ri ro l
1. Cc ng gp ri ro l vo bin ng thua l
2. Cc ng gp ri ro l vo vn
3. Cc tnh cht chung ca cc ng gp ri ro v ng gp ri ro l
4. Cc ng gp ri ro l vo bin ng so vi cc ng gp ri ro
5. ng gp ri ro l vo kch c mt nguy c hin ti
Mc 14 Hot ng iu chnh theo ri ro
Chng 55: RaRoC v gi tr gia tng c ng
1. Cc thc o hot ng iu chnh theo ri ro
2. nh gi da trn ri ro v ng gp ri ro l
Mc lc sch Qun tr ri ro trong ngn hng

Page 12

VIN NGHIN CU TIN HC & KINH T NG DNG

Institute of Information and Business Research (IIB)

3.
4.
5.
6.
Chng 56:
1.
2.
3.
4.

Cc php tnh RaRoC

L ph ri ro n trong nh gi da trn ri ro
Php o SVA
Gi tr ri ro v ac-bit
Cc bo co thu nhp kinh t
Php tnh RaRoC v SVA cho ri ro tn dng
nh gi da trn ri ro
Hot ng, nh gi v phn b da trn ri ro
Theo di pht hnh n v sau pht hnh n

Mc 15 Qun l danh mc u t tn dng

Chng 57:
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
Chng 58:
1.
2.
3.
4.
Chng 59:
1.
2.
3.
4.

Phn tch danh mc tn dng

Danh mc u t mu v m phng
Phn phi thua l danh mc u t
Tng qut danh mc u t
Bo co thc o khc nhau ca ri ro
Bo co hot ng iu chnh theo ri ro v nh gi sai
Bo co ri ro v thu nhp v cc kha cnh kinh doanh
Ph lc 1: u vo danh mc u t mu
Ph lc 2: kt qu danh mc u t mu
Ph lc 3: cc vn phn tch danh mc u t v bo co
Cc thch thc phn tch danh mc u t v bo co
Chng khon ha v qun l vn
Kinh t hc ca chng khon ha
Cu trc v c ch thc nc
Kinh t hc ca chng khon ha cho ngn hng
nh gi ri ro ca tri phiu trn ti sn
Qun l danh mc u t tn dng
L do cho qun l danh mc u t tn dng
Trao i ri ro tn dng
Qun l ri ro tn dng danh mc u t (nghin cu trng hp)
c bt gia gi kinh t v gi da trn xp hng

Mc 16 Kt lun v ci cch ti chnh

Chng 60: H thng ti chnh v ci cch
1. Cc khuyn ngh din n n nh ti chnh
2. Ti liu trng t Nh Trng
3. Cc lnh vc ang c cc c quan chc nng ti chnh kim tra gt gao:
tm tt

Mc lc sch Qun tr ri ro trong ngn hng

Page 13