Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 MJC LJC LI MO DAU ....................................................................................................... 1 CHUONG I:RUI RO CUA CO PHIEU V M HINH VaR ............................. 4 1.1. RUIRO TI CHINH V QUAN TRJRUI RO TI CHINH ................ 4 1.1.1. Khi nim rui ro v rui ro ti chnh .................................................... 4 1.1.2. Phn loi rui ro .................................................................................... 4 1.1.3. Tn tht ti chnh ................................................................................. 5 1.1.4. Quan tr| rui ro ( Risk management) ................................................... 6 1.2. VaR V CC PHUONG PHP UC LUNG....................................... 7 1.2.1. Ngun gc ra di v qu trnh pht trin ........................................... 7 1.2.2. Khi nimVaR .................................................................................... 8 1.2.3. M hnh VaR ........................................................................................ 8 -1ip cn m hnh ............................................................................ 8 -M hnh JaR ................................................................................... 9 1.2.4. M hnh VaR trong thc hnh ...........................................................10 4-M hnh JaR cho li sut v ti san ..............................................10 4-M hnh JaR cho danh mc ..........................................................11 4-M hnhJaR -RisMetrics .........................................................11 44-M hnh JaR phi tham s ..............................................................11 CHUONG II:PHUONG SAI C DIEU KIJN THAY DOI ..............................13 2.1. PHUONG SAI CUA LI SUT TI SAN ..............................................13 2.2. MT S M HINH PHUONG SAI C DIEU KIN THAY DOI .......13 2.2.1. M hnh ARCH ...................................................................................13 2.2.2. M hnh GARCH ................................................................................14 2.2.3. M hnh EGARCH .............................................................................15 CHUONG III:SU DJNG M HINH GARCH PHAN TICH MT S CO PHIEU NGNH CHE BIEN THUY SAN TRN SN HOSE ..........................16 3.1. CO PHIEU NGNH CHE BIEN THUY SAN .........................................16 3.2. M TA D LIJU 2 CO PHIEU AGF vFMC ......................................16 3.2.1. M ta chui gi c phiu AGF v FMC .............................................16 3.2.2. M ta chui li sut cua c phiu AGF vFMC ..............................18 3.3. KIEM DJNH CC GIA THIET DI VI LI SUT AGF V FMC .......21 3.3.1. Kim d|nh gia thit phn phi chun .................................................21 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 3.3.2. Kim d|nh tnh dng ...........................................................................22 3.4. UC LUNG PHUONG SAI THAY DOI CUA 2 CO PHIEU .............23 3.4.1. Luc d tuong quan, tuong quan ring cua chui li sut c phiu 23 3.4.2. Su dngm hnh GARCH vi chui li sut c phiu .....................24 4- M hnh CARCH vi chui li sut c phiu ACF ......................24 4- M hnh CARCH vi chui li sut c phiu FMC .....................28 3.5. VaR CUA CO PHIEU ...............................................................................30 3.5.1. Tnh VaR cho c phiu .......................................................................30 - 1inh JaR cho c phiuACF ........................................................30 - 1inh JaR cho c phiu FMC ........................................................31 - 1inh JaR cho danh mc ...............................................................32 3.5.2. Tin hnh hu kim m hnh VaR .....................................................34 - Hu kim vi c phiu ACF..........................................................34 - Hu kim JaR vi c phiu FMC .................................................35 - Hu kim m hnh JaR vi danh mc ..........................................36 3.6. M PHONG QUY DAO GI CO PHIEU ...............................................37 3.6.1. M phong qu do gi c phiu AGF.................................................37 3.6.2. M phong qu do gi c phiu FMC ................................................39 KET LUAN ..........................................................................................................41 TI LIJU THAM KHAO ...................................................................................42 TIENG VIJT ....................................................................................................42 TIENG ANH .....................................................................................................42 PHJ LJC .............................................................................................................43 Ph lc 1 ...........................................................................................................43 Thc hin kim d|nh nghim don v| trong phn mm EVIEWS ...................43 Ph lc 2 ...........................................................................................................45 Kt qua uc lungtrn phn mm EVIEWS ........................................................45 Ph lc 3 ...........................................................................................................51 Hukim VaR.....................................................................................................51 Ph lc 4 ...........................................................................................................62 M phong qu do gi ......................................................................................62 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 DANH MJC HINH V Hnh 1.1: Biu din thay di gi tr| ti san sau khoang thi giant . ................ 9 Hnh 1.2: D th| mt d xc sut biu din mc phn v| o. ................................ 9 Hnh 1.3: Ngung VaR xc d|nh trn hm mt d phn phi chun. ...............10 Hnh 3.1: Gi c phiu AGF giai don t 5/1/2007 -15/9/2009...........................17 Hnh 3.2: Gi c phiu FMC giai don t 5/1/2007 -15/9/2009. .........................17 Hnh 3.3: D th| chui li sut c phiu AGF .....................................................18 Hnh 3.4 : D th| chui li sut c phiu FMC ...................................................19 Hnh 3.5 : Biu d tn sut v m ta thng k li sut c phiu AGF ...............19 Hnh 3.6: Biu d tn sut v m ta thng k li sut c phiu FMC ...............20 Hnh 3.7. Luc d tuong quan v tuong quan ring cua rAGF ........................23 Hnh 3.8. Luc d tuong quan v tuong quan ring cua rFMC .......................24 Hnh 3.9. Luc d tuong quan bnh phuong phn du rAGF ............................25 Hnh 3.10. Phuong sai li sut c phiu AGF tnh theo phuong php tinh ......26 Hnh 3.11. Phuong sai li sut c phiu AGF theo phuong php dng ............27 Hnh 3.12. Phuong sai li sut c phiu FMC theo phuong php tinh .............29 Hnh 3.13. Phuong sai li sut c phiu FMC theo phuong php dng ............29 Hnh 3.14. D th| P&L thc t v uc lung theo VaR cua c phiu AGF .......35 Hnh 3.15. D th| P&L thc t v uc lung theo VaR cua c phiu FMC ......36 Hnh 3.16. D th| P&L thc t v uc lung theo VaR cua danh mc .............37 Hnh 3.17. Gi bnh qun m phong v gi thc t c phiu AGF ....................39 Hnh 3.18. Gi bnh qun m phong v gi thc t c phiu FMC ...................40 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 DANH MJC CC BANG BIEU Bang3.1 : Kim d|nh tnh dng chui li sut AGF .........................................43 Bang3.2 : Kim d|nh tnh dng chui li sut FMC ........................................44 Bang3.3. Uc lungchui li sut c phiu AGF theo m hnh AR(1) ..........45 Bang 3.4. Uc lung chui li sut c phiu AGF theo m hnh ARIMA(0,0,0) - GARCH(1,1).........................................................................................................46 Bang 3.5. Kim d|nh hiu ng ARCH trong m hnh ARIMA(0,0,0) - GARCH(1,1) vi chui li sut c phiu AGF ...................................................47 Bang 3.6. Uc lung chui li sut c phiu FMC theo m hnh ARIMA(1,0,0) ..............................................................................................................................48 Bang 3.7. Uc lung chui li sut c phiu FMC theo m hnhARIMA (0,0,0 )- GARCH(1,1) ...........................................................................................49 Bang 3.8. Kim d|nh hiu ng ARCH trong m hnh ARIMA(0,0,0) - GARCH(1,1) vi chui li sut c phiu FMC ...................................................50 Bang 3.9. Tng kt gi tr| VaR ................................................................................. 33 Bang 3.10. Kt qua hu kim VaR vi c phiu AGF .....................................................51 Bang 3.11. Kt qua hu kim VaR vi c phiu FMC .......................................54 Bang 3.12. Kt qua hu kim VaR vi danh mc P ...........................................58 Bang 3.13. Kim chng m hnh GBM vi chui lnAGF] ...............................62 Bang 3.14. Kim chng m hnh GBM vi chui lnFMC] ...............................63 Bang 3.15. Kt qua m phong gi c phiu AGF................................................64 Bang 3.16. Kt qua m phong gi c phiu FMC ...............................................65 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 1 LI MO DAU $radoicuathitruongchungkhoanVitNam10nmtruocdanhdu1 buocphattrinmoicuannkinht.Cngtudothitruongchungkhoancng khngngungphattrinmanhmcungvoisphattrinchungcuannkinht. Nghidinh48/1998/ND-CPngay11/7/1998dquydinhchungkhoanbaogmc phiu,traiphiu,chungchiqudutuvacacloaichungkhoankhac.Tuynhin trn thc t thi sau 10 nm phat trin thi thi truong chung khoan nuoc ta chi co thi truongc phiula phat trinmanhmhonca va do do cngco vai tro quan trong honca.Ngaycangco nhiucng tynimyt c phiucuaminh trncacsan giao dich. Nu tinh dn thoi dim hin tai thi trn san H Chi Minh (HO$ co 269 cng ty nim yt c phiu cua minh con di voi san Ha Ni (Ha$TC la 349 cng ty. Cac cng ty nay thuc nhiu nganh ngh khac nhau nhu : xy dng, ngn hang, bt dng san,xng du,vntai,chbinthuysan,baobidonggoi.Mt khactnggia tri giao dich cac ngay cng khng ngungtng. Nhu vy co th noi thi truong c phiu d thc s tro thanh knh huy dng vn quan trong va lamt phn khng th thiu trong nn kinh t hin dai. Thi truong c phiu lun ham chua rt nhiu rui ro. Cuc khung hoang bung phat tu cui nm 2008ma bt du tu Hoa Ky d dn toi nhung s d v tai chinh, suy thoai kinh t, suy giam tc d tng truong kinh t o rt nhiu quc gia trn th gioimaVitNamkhngphailangoail.Nhungtacdngnayphnnaocngd gy ra nhung tn tht cho nn kinh t va thi truong chung khoan Vit Nam. Gia cac c phiu dng loat sut giam nghim trong gy ra nhung tn tht khng nho cho cac nha du tu va toan b nn kinh t. Diu nay th hin rt r qua s sut giam lin tuc cua chi s VNIndex, tu ch 1158,3 dim ngay 13/3/2007 thi dn ngay 3/3/2009 chi s VNIndex chi con 241,5 dim,mt 916,8 dim, tuong duong voi 79,15 so voi muc cao nht. Giacphiugiammanhdgyranhungthithaikhngnhodivoicac cngtynimyt,cactchuctaichinh,ngnhang,vadcbitlacacnhadutu. Nhung thithainaynunhu duoc d tinhva do luong tu truoc thisco th giam thiu duoc tn tht xay ra. Vn d do luong rui ro d duoc d cp tu rt lu trn th Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 2 gioitrongcaclinhvc thngk,kinhtvataichinh.ThutnguVaR(Valueat Risk d duoc su dung rng ri trong khoa hoc kinh t k tu sau s kin thi truong chungkhoansupdnm1987.MhinhVaRduocxemlamttrongnhung phuong phap do luong rui ro thi truong cua tai san va danh muc trong linh vc quan tri rui ro. M hinh VaR da trn d dao dng (phuong sai cua c phiu hoc co th mo rng ra voi cac loai tai san tai chinh khac nhau d do luong gia tri rui ro nay hay noicachkhacgiatricuaVaRtinhduocphuthucrtlonvaogiatricuaddao dng (phuong sai uoc luong duoc. Tuy nhin d dao dng (phuong sai cua tai san tai chinh cng co th thay di theo thoi gian, do vy voi nhung tai san co hin tuong phuongsaithaydi thiduocluongchinhxactaphaidungcacmhinhphuong saithayditrongkinhtluong.Dtai'SudngmhnhGARCHuclung VaRvmphonggicphiungnhthuysantrnsnHOSEgioithiu1 cach tinh VaR va m phong qu dao gia trong tuong lai gn da trn gia tri phuong sai uoc luong duoc theo m hinh GARCH cua 1 nhom c phiu ma cu th o dy la nhom c phiu nganh thuy san. Qua do nha du tu co th d bao muc d tn tht va gia cua c phiu trong tuong lai ri tu do dua ra cac quyt dinh hop ly. Phuongphpnghincu:$udungcacphuongphapphntichkinht luong, ly thuyt xac sut, cacm hinh dinh gia c phiu d uoc luong vmt dinh luong VaR va m phong duoc qu dao gia c phiu. Ditungnghincu:Quatrinhphntich,uocluong,hukimvam phong duoc thc hin voi nhom gm 2 c phiu nganh thuy san la AGF va FMC. Phmvinghincu:Dinbin3cphiuAGF,FMCvaICFtronggiai doantungay5/1/2007dnngay10/9/2010(922phingiaodich.Trongdo672 phingiaodichdutungay5/1/2007dnngay15/9/2009dungdphntichcon 250phingiaodichconlaitungay16/9/2009dnngay10/9/2010dungdhu kim m hinh VaR. Kt cu d ti: LI MO DAU CHUONG I: RUI RO CUA CO PHIEU VA M HINH VaR CHUONG II: PHUONG $AI CO DIEU KIEN THAY DOI CHUONG III: $ DUNG M HINH GARCH PHN TICH MOT $ CO PHIEU NGANH CHE BIEN THUY $N TRN $AN HO$ KET LUAN TI LIJU THAM KHAO Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 3 PHJ LJC Phnphuluccuanghincuugmtoanbquatrinhkimdinh,uocluong m hinh bng cac phn mm kinh t luong, kt qua uoc luong 250 gia tri VaR trong khoang thoi gian 16/9/2009 - 10/9/2010 va bang kt qua m phongqu dao gia cua c phiu. Chuyndduochoanthanhlanhocoshuongdntntinhcuathy PG$.T$. Hoang Dinh Tun. Du d c gng hoan thanh chuyn d mt cach tt nht song do kin thuc con han ch nn bai lam cua em vn con nhiu thiu sot. m rt mong nhn duoc s gop y cua cac thy c v bai chuyn d nay. m xin chn thanh cam on! Ha Ni , ngay 15 thang 12 nm 2010 $inh vin Nguyn Hai Dng Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 4 CHUONG I RUI RO CUA CO PHIEU V M HINH VaR 1.1. RUIRO TI CHINH V QUAN TRJRUI RO TI CHINH 1.1.1. Khi nim rui ro v rui ro ti chnh Ruirocothduochiulanhungktcuccothxayratrongtuonglaima khng duocmong doi, cac kt cuc nay dn dn nhung thit hai cho nguoi nm giu cphiunoiringhaytaisantaichinhnoichung.Divoitunglinhvcnghin cuu, rui ro duoc dinh nghia theo tung cach khac nhau.Trong linh vc tai chinh, rui ro la mt khai nim danh gia muc d bin dng hay bt n cua giao dich hay danhmuc du tu. Rui ro tai chinh duoc quan nimla hu qua cua s thay di, bin dng khng luong truoc duoc cua gia tri tai san hoc gia tri cac khoan no di voi cac t chuc tai chinh va cac nha du tu trong qua trinh hoatdngcuathitruongtaichinh.Nhuvyttcanhungsthay,dibindng khngluongtruocduocdulanhungruiro, cothnhungsthaydinaylagy thithaihoccoloidivoi nhadu tuhay t chuc taichinhmanmgiu taisan. Rui ro tiu cc la nhung s thay di, bin dng khng duoc mong cho gy nn thit hai.Con rui ro tichcclanhung kt cuc khngluong truoc duocnhunglaimang lai loi ich cho nguoi nm giu tai san. 1.1.2. Phn loi rui ro Trongtaichinh,ruirocothxayradonhiunguynnhn,tuythucvao nguyn nhn, ngun gc gy ra rui ro - nhn t rui ro ( Risk Factor - taco th phn loai cac hinh thuc rui ro tai chinh nhu sau: - Rui ro h thng ($ystematic Risk: Rui ro lin quan dn toan b thi truong hay toan b nn kinh t. - Ruiro k toan (AccountingRisk:Rui rolin quan dnnghipvu k toan khng phu hop voi mt giao dich, co th xay ra khi quy trinh va quy dinh v k toan thay di hay chua duoc xy dng. -Ruirokinhdoanh(BusinessRisk:Ruirolinquandnhoatdngdc trung cua doanh nghip. - Rui romhinh(ModelRisk:Rui rolin quan dn vicsu dungmhinh khngdunghockhngphuhop,hoctrongmtmhinhtntaicacsaishoc Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 5 cac gia tri du vao khng dung. - Rui ro phap ly (Regulatory Risk: Rui ro xay ra do cac cac giao dich khng dung phap lut. - Rui ro quym (Quantity Risk: Rui ro cua mt chinluoc phong ngua rui rotrongdonhaphongnguaruirokhngbitduocminhssohuuhocbanbao nhiu don vi tai san giao ngay. -Ruirothitruong:Ruirophatsinhdosbindngvgiacatrnthi truong tai chinh. - Rui ro thanh khoan (Liquidity Risk: Rui ro xay ra do tinh thanh khoan cac tai san khng duoc thc hin. - Rui ro tin dung (DeIault Risk: Rui ro xay ra do di tac trong hoat dng tin dung khng co kha nng thanh toan. -Ruirohoatdng:Ruirophatsinhdoconnguoihocdokthutgyra cac s c. Khidcpdnruirotaichinhnguoitathuongquantmdnruirothi truong, rui ro thanh khoan va rui ro tin dung. Trong d tai nay, ta tp trung vao rui ro thi truong tuc rui ro do s bin dng gia c phiu trn thi truong. 1.1.3. Tn tht ti chnh Khixayraruirotaichinh,huquartkholuongvanucactchuctai chinh, chinh phu khng co di sach huu hiu s gy ra anh huong tiu cc dn hoat dng cua toan b nn kinh t. Nhung thit hai di voi nha du tu do rui ro tai chinh goi la tn tht tai chinh (Financial Loss. Nu cac tn tht xay ra di voi nhiu nha du tu thi co th dn dn khung hoang, d v cua cac dinh ch va ti t hon la cua chinh thi truong tai chinh (Financial Crash, Crisis. Trnthgioidtungxayranhiuvutnthtlonthmchidndnkhung hoang tai chinh ma ta co th k ra nhu : - Ngay thu hai den ti - 19/10/1987- Vu pha san cua ngn hang Baring (Anh - 26/2/1995 - Khung hoang tai chinh Dng Nam A 1996- 1999 -$dvcuacngty"Quanlyqudutuvndaihan"(LongTern Capital Management1998 - Khung hoang tai chinh va suy giam kinh t toan cu nm 2008 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 6 1.1.4. Quan tr| rui ro ( Risk management)Khi xay ra tn tht do rui ro tai chinh thit hai la rt lon va co tinh lan truyn manh nhu hiu ung domino. Boi vy vic quan tri rui ro la cn thit voi tt ca cac ca nhn, t chuc khiho nmgiucac taisan taichinh.Quan tri rui rola qua trinh tip cn rui ro mt cach khoa hoc toan din va co h thng nhm nhn dang, kim soat, doluong,danhgia,canhbaosom,phongnguavagiamthiunhungtntht,mt mat, nhung anh huong bt loi cua rui ro.Quan tri rui ro bao gm cac ni dung: - Nhn dang- Phn tichdo luongcanh bao som (Risk Measurment, arly Warning - Kim soatphong ngua rui ro; - Tai tro rui ro truong hop xut hin rui ro; Nhn dngruiro (RiskAssessing )la qua trinhxac dinhlin tucvaco h thng cac hoat dng kinh doanh cua t chuc. Hoat dng nhn din rui ro nhm phat trincac thng tin v ngun gc rui ro, cacyu t mao him, him hoa, di tuong ruirova cacloaitn tht.Nhndangruirobaogmcaccngvictheodi,xem xetnghincuumi truonghoat dngva toan bmoihoat dngcua t chuc nhm thng k duoc tt cacac rui ro, khng chinhungloai rui ro dva dangxay ra,ma con d bao duoc cac dang rui ro moi co th xut hin voi t chuc, trn co so do d xut cac giai phap kim soat va tai tro rui ro thich hop. Phn tch rui ro la qua trinh xac dinh nguyn nhn gy ra rui ro, trn co so docothtimraduocbinphapphongngua.Khngphaimiruirochidomt nguynnhngyra,mathuongladonhiunguynnhn,vivyquatrinhnayla mt qua trinh phuc tap. Dolungruiro:la qua trinh danh gia,uocluong do dacmuc thithai khi rui ro xay. Cng vic trong tm cua quan tri rui ro la kim sot rui ro. Dy la qua trinh sudungcacbinphap,kthut,cngcu,chinluoc,cacchuongtrinhhoat dng.dngnngua,netranhhocgiamthiunhungtntht,nhunganhhuong khng mong doi co th xay ra voi cac t chuc. Cac bin phap kim soat rui ro duoc chia thanh cac nhom sau: - Phong tranh rui ro: la vic ne tranh cac hoat dng hoc nhung nguyn nhn la phat sinh tn tht, mt mat co th co. - Ngn ngua tn tht: la su dung cac bin phap d giam thiu s ln xut hin Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 7 cac rui ro va giam muc d thit hai do rui do mang lai. - Giamthiutntht:lacacbinphapgiamthiunhungthithai,mtmat do rui ro mang lai. -Chuyngiaoruiro:laquatrinhchuyngiaotaisanhochoatdngcho nguoikhachoc t chuc khac;laqua trinhchuynrui ro thng quacon duong ky hop dng voi t chuc khac, trong do quy dinh chi chuyn giao rui ro, khng chuyn giao tai san cho nguoi nhn rui ro (chng han nhu hoat dng bao him. - Da dang hoa rui ro: la hoat dng gn ging phn tan rui ro, da dang hoa rui rothuongduocsudungtronghoatdngcuadoanhnghip,nhadutu,nhu:da danghoa thi truong, da danghoamthang, da danghoa di tac.d phongchng rui ro. Phuongphap(Mhinh"Giatriruiro"PhuongphapVaR(Valueat Risklamttrong nhungphuongphapquantri ruirothitruongcua taisan,danh muc. D tai quan tm dn rui ro trong truong hop nha du tu nm giu tung c phiu hay danh muc c phiu. Rui ro phat sinh tu s thay di gia c phiu trn thi truong, thay di nay la ngu nhin khi gia dinh thi truong la hiu qua khi tt ca nhung thng tin du phan anh trn gia tri cua c phiu. $u dungmhinh VaRnhumt cach do luong va canh bao som nhung tn tht v mt gia tri cua danh muc khi gia cua mi c phiu bin dng giup nha du tu uocluong muc d tn tht va thc hin phong h rui ro. 1.2. VaR V CC PHUONG PHP UC LUNG 1.2.1. Ngun gc ra di v qu trnh pht trin NguoidtipcngiatriVaRdutinlaHarryMarkowitzvaonm1952. Trong bai bao tai chinh '$ la chon danh muc du tu (PorIolio $election, ng d davaomatrnhipphuongsailoisutdphattrinphuongphaptiuudanh muc du tu. Trongnhungnmduthpnin80,UybanChungkhoanvaNgoaihilin bang Hoa Ky ($C - $ecurities and xchange Commisson d thng qua d do VaR d rang buc yu cu v vn cac cng ty tai chinh cho cac khoan l co th phat sinh, voi d tin cy 95 trong khoang thoi gian 30 ngay, va o cac muc d khac nhau, chui loi sutquakhuduocsudungdtinhtoancackhoanltimnng.Trongkhoangthoi giannay,NgnhangTrustdtrinkhaisudungmtddoVaRchomththng phn b vn du tu cua minh (RAROC. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 8 Trongthoigiancuithpnin80vaduthpnin90,mtstchucd thc hin tinh toan VaR d h tro cho vic phn b vn du tu va han ch rui ro cua thi truong. Nm1996tchuc'NgnhangthanhtoanquctBI$(BankIor International$ettlementcngb'HipdinhBasel2trongdoquydinh:cact chuc tai chinh ngn hang va phi ngn hang phai lp qu d phong (phong h rui ro tin dungvoiquym ti thiubng 8vnan toan(vn diuchinhrui ro. Tyl 8goilatysCook(CookRatio.Tyl8cothlacaohocthpdivoicac ngnhangcngnhucac taisan khacnhau (TaisanCovaNo,cu truc taisan.. Dthitlpqudphongchinhxaccacngnhangvanhadutuphaiuoctinh duoc tn tht cua taisanhoc danhmuc dang nm giu do rui ro thi truong. Do do VaR duoc khuyn nghi su dung. 1.2.2. Khi nimVaR VaRcuadanhmuchoctaisanthhinmucdtnthtcothxayradi voi danh muc, tai san trong mt khoang thoi gian nht dinh voi muc d tin cy nht dinh. VaRcua danhmuc taisan taichinh duoc dinhnghiala khoan tinl tida trongmt thoi giannht dinh,nu taloai tru nhung truonghopxunhthim khi xay ra. Trong toan tai chinh va quan tri rui ro tai chinh, VaR duoc su dung rng ri do d rui ro muc d tn tht trn mt danh muc tai san tai chinh nht dinh. Cho mt danh muc hay tai san, voi d tin cy cho truoc va khoang thoi gian khng di, VaR duoc dinh nghia nhumt gia tri ngung sao cho xac sut d tn tht danh muc hay tai san trong khoang thoi gian nht dinh khng vuot qua gia tri nay nho hon d tin cy d cho. XacdinhVaRsgiupchocacnhahoachdinhchinhsachquanlytthon hoat dng thi truong,concacnha du tu, t chuc taichinh uoc tinh duoc nguyco tn tht tai chinh cua ho. 1.2.3. M hnh VaR -1ip cn m hnh Gia su rng mt nha du tu quyt dinh du tu mt danh muc tai san P. Tai thoi dim t,giatricuadanhmucdutula tJ .$aumtkhoangthoigiant ,tuclataithoi dimt tthi gia tri cua danh muc du tu la kJ. Khi do, gia tri t kJ J k J (cho Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 9 bitsthaydigiatricuadanhmucPtrongkhoangthoigiant .AV(kgoilaham l - li (ProIit&LossP&L(k k chu ky cua danh muc.Hnh 1.1: Biu din thay di gi tr| ti san sau khoang thi giant . ttt t kJlamtbinngunhinkhido t kJ J k J ( cnglamtbinngu nhin. Fk(x la ham phn phi xac sut cua bin ngu nhin (k J. Nu ta xem xet P((k J _ xu u, voi 0 u 1, thi gia tri xu goi la 'Phan v mc o cua ham phn b Fk. -M hnh JaR Xemxetnhadutuovithtruongvi,khi0( k J tuclanhadutus chiutntht.P((k J_xuutanoirngxacsutdnhadutuchiutntht duoi muc xu (xu 0 la u. Nguoclai,nha du tuovi th doanvi,0( k Jtucla nha du tuschiu tn tht. P((k J K xu 1 - P((k J _ xu 1 - u ta noi rng xac sut d nha du tu chiu muc tn tht trn muc xu (xu ~0 la 1- u. Hnh 1.2: D th| mt d xc sut biu din mc phn v| o. Dung trn ca hai vi th cho nha du tu, khi nha du tu chiu tn tht tuc la gia tridanhmucsutgiam(giatrim.Trongcahaitruonghop trn, uduocchonhu xacsutdmuctnthtkhngvuotquagiatrimnay.Ngunggiatrimnay --------- x Ik(x x- - Vt Vk Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 10 chinhlaVaR.NhuvyVaRcuamtdanhmucvoichukykvadtincy(1- u100lamucphnviucuahamphnbFk(x.Khidodailuongnayduocky hiu la VaR(k, u va mang gia tri m. NhuvytacoP((k J_VaR(k,uu.Tudiunayrutraynghiacua VaR(k, u - nha du tu nm giu mt danh muc P va sau mt chu ky k, voi d tin cy (1- u100, nha du tu kha nng tn tht mt khoan s bngVaR(k, utrong diu kin hoat dng binh thuong. 1.2.4. M hnh VaR trong thc hnhTrongthctcacmhinhVaRduduoctinhtheochukingay(1hay10 ngay 4-M hnh JaR cho li sut v ti san Gia thit: Chui loi sut cua tai san trla chui dung va co phn b chun. Voi gia thitnay,chung tachicnsu dunghai thams kyvong ( 3vad lchchun(9 (hocsudungcacuocluongcuachungcothtinhduocgiatri VaR. Tugiathit , ( ~29 3rtsuyra 1 , 0 ( ~rt93 .CngthuctinhVaR duoc xac dinh nhu sau:9 - 3 -( 1001 ( , 1 (1 ngay JaR Trongdo voicacmucynghia- :1;2,5;5taco 01 , 0 (1 -2,33; 025 , 0 (1 -1,96; 05 , 0 (1 -1.65. Hnh 1.3: Ngung VaR xc d|nh trn hm mt d phn phi chun. Pr(rt VaR VaR ri Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 11 4-M hnh JaR cho danh mc Di voi vic xac dinh VaR loi sut cho mt danh muc P cng co cng thuc tuong t: 5 5 r ngay JaR59 - 3 -( 1001 ( , 1 (1

nu loisuttungtaisancuadanhmuctuntheoquylutphnphichun , ( ~2

r 9 3 voii1 Nthiloisutdanhmuccngtuntheoquylutphn phichun , ( ~25 5 5 r 9 3 . Gia su nw w w ,..., ,2 1la ty trong danhmuc khi do ta xac dinh duoc

5r w r1 ;

5r w r1 ;JW W5' 2 9 . Trongtruonghopcacchuiloisutlacacchuidung,cothxacdinhky vong va phuong sai danh muc theo cng thuc trn d tim gia tri VaR loi sut.4-M hnhJaR -RisMetrics M hinhVaR-Risk duoc ngnhangJPMorgancngbvao nm 1995.M hinh nay quan tm dn cac chui loi sut khng dung (voi mt muc y nghia va dc bit la tn tai phuong sai khng thun nht. Phuong phap nay gia dinh rng : 1. Chui loi sut tr voi diu kin bit cac thng tin tai thoi dim (t-1 tun theo quy lut phn phi chun: (rt/t-1 ~ N(3t, 92t 2. t3 tun theo m hinh ARMA( 1,1. 3. 2t9tun theo m hinh GARCH(1,1.2121 02 1 (

t t tt t tt t tuur u 9 - 91 93 ; voi t1 ~ IID(0,1 Nhu vy chui rt tun theo m hinh IGARCH (1,1 . Trong thc t tinh toan, RiskMetrics cho t 0. 44-M hnh JaR phi tham s Nhu trn, chung ta d trinh bay cac m hinh tinh VaR cho danh muc tai san, co th cac chui loi sut tai san la dung, hoc khng dung, nhung cacm hinh nay du tn trong gia thit chui loi sut tai san la tun theo quylut phn phi chun. Trongtruonghopgiathitnaybivi pham,comtlopcacmhinhchophepuoc luong VaR cho danh muc tai san nay goi la m hinh VaR phi tham s. M hinh su dung s liu quan sat cua rt va cac phuong phap uoc luong trong Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 12 kinh t luong hoc bng m phong d : - Uoc luong phn b xac sut - Uoc luong phn viM hinh Historical $imulation (M phong tu gia tri qua khu la dai din ph bincuacachtipcnnay.Giadinhquantrongnhtcuacachtipcnnaylaqua khu gn dy lamt ngun d bao tin cy cua dao dng tuong lai. Theo do, loi sut tai san rt duoc sp xp theo thu t tng dn, va VaR la gia trima tai do rt nm trn muc-thp nht. Trn dy la mt s m hinh VaR thng dung, ngay nay co rt nhiu m hinh VaRkhacnhau duocxydngdquanlyruiro.Mitchuctaichinhlaitxy dng chominhmhinhVaR ring tuynhinho cng thuongxuyn thchinhu kim m hinh VaR d bit m hinh VaR do co phu hop hay khng. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 13 CHUONG IIPHUONG SAI C DIEU KIJN THAY DOI 2.1. PHUONG SAI CUA LI SUT TI SAN Trong chuong I ta d thy rng vic nha du tu nm giu tai san tai chinh noi chunghaycuthlavicnmgiucphiu,danhmuccphiuthiducoruiro. Nhu vy co th noi rui ro la 1 nhn t quan trong trong phn tich kinh t , trong la choncacchinluocphattrin.Trongquanlydanhmucdutu,trongdinhgiatai san,trongdutuchungkhoan,tronggiaodichquynchon,.vndruiroduoc xemxetmt cachnghimngt, nu thiu thng tinv rui ro thikhng th dxut duocchinluocdutu.Khainimruiroodyduochiulaphuongsaicualoi sut tai san. Chinh vi vy ma vic xac dinh chinh xac gia tri phuong sai cua tai san la cc ki quan trong. D don gian, nguoi ta da trn chui loi sut cua c phiu ri dua ra uoc luong v phuong sai va coi no la mt gia tri c dinh. Tuy nhin phuong sai cua loi sut tai san cng co th thay di theo thoi gian. Diu nay ham y rng d rui ro cua tai san o cac thoi dim khac nhau co th khng ging nhau. Ta cn chu y rng rui ro la yu t khng quan sat trc tip duoc nhung nococactinhcht chungdivoiloisutcuataisan.Thunhtlatntaiquanh by dan, tuc la d rui ro co th cao di voi cac thoi ki nht dinh va thp voi cac thoi ki khac. Thu hai, d rui ro bin dng theo thoi gian theo co ch lin tuc, tuc la it co cac buoc nhay cua d rui ro. Thu ba, d rui ro khng phn ki dn v cung, tuc la d rui ro bin thin trongmtminxac dinhnao do. Vmt thng k thi diunayco nghia la loi sut, d rui ro thuong la chui dung. Thu tu, d rui ro co tinh cht don by, duong nhu co phan ung khac nhau di voi gia tng va gia giam nhiu. Ttcanhungdiutrnddndnsradoivaphattrincacmhinhv phuongsaithaydimatacothktoinhumhinhARCH,GARCH,IGARCH, MGARCH, GARCH.2.2. MT S M HINH PHUONG SAI C DIEU KIN THAY DOI2.2.1. M hnh ARCHNm 1982 ngle d d xut m hinh ARCH. Dy la m hinh du tin dua ra co so ly thuyt d m hinh hoa d rui ro. Tu tuong co ban cua m hinh la cac cu sc ut cua mt loai tai san khng tuong quan chui, nhung phu thuc; s phu thuc cua ut co th duoc m ta bng mt ham bc 2 cua cac gia tri tr. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 14 M hinh ARCH(m co dang :rt t ut ; ut ot ct; 219 0- 1-21tu . m-2m tu

Trong do ct lachui cacbinngu nhin dclpvaco phn b chun dng nht (i.i.d voi trung binh bng 0 va phuong sai bng 1, 0-~ 0,

-K0 voi i ~ 0 va m 1

-1.ut thuongduocgiathitlacophnbchunhoahocphnbt-$tudent. M hinh ARCH m hinh hoa dng thai cua phuong sai co diu kin. Nho do cothdtinhduocdruiroloisutcuamtloaitaisan.Tuynhinmhinhco mt s nhuoc dim nhu: - M hinh gia thit rngcaccu sc duongva cuscmco cunganhhuong dndruiro,vitrongphuongtrinhphuongsaicacut-iduduocbinhphuong. Trong thc t giacuamt taisan taichinh phan ung khacnhau divoicaccusc m va duong. - M hinh co diu kin rng buc. Cac diu kin rng buc s phuc tap hon trong m hinh ARCH bc cao. -MhinhARCHchiduaracochbindicuaphuongsaicodiukin, khng dua ramt giai thichvisaolaico cochnhuvy, khngcho chung rabit duoc ngun gc bin thin cua cac chui tai chinh. - M hinh ARCH thuong d bao cao d rui ro vi m hinh phan ung chm voi nhung cu sc lon c lp. 2.2.2. M hnh GARCH Nm1986,BollerslevdmorngmhinhARCHvadttnlamhinh ARCH tng quat ( GARCH. M hinh GARCH( m, s co dang : rt t ut ; ut ot ct;

2 2 201 15 6t f t f f t ff fu 9 - - 9

Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 15 Trong do ct ~IID(0,o2; 0-~ 0,

-K0 voi i ~ 0 va , max(18 m

( - 1; m la d dai cua tr ung voi bin ut2 ; s la d dai cua tr ung voi ot2 . Cac diu kin trn nhm dam bao cho phuong sai co diu kin va phuong sai khng diu kin duong. TrongthctthuongapdungmhinhGARCH(1,1,GARCH(1,2, GARCH(2,1 cho chui loi sut cua tai san.2.2.3. M hnh EGARCH M hinh GARCH tng quat o trn khng phn bit duoc anh huong cua cac cuscm,cuscduongtoiphuongsaidngthoicachscuaphuongtrinh phuong sai du doi hoi khng m. D khc phuc hai nhuoc dim nay ta co m hinh GARCH ( m hinh GARCH dang m . M hinh GARCH(m,s: rt t ut ; ut ot ct; (((1 1202

8f f tf tff tf tfm

ttu uLn Ln9

9- 9 - 9ct ~IID(0,o2 Cac h s trong phuong trinh phuong sai co th m hoc duong. Dc bit ta cngthytheophuongtrinhphuongsainaythianhhuongcuacacthngtinxu (cu sc m va cac thng tin tt (cu sc duong toi phuong sai la khac nhau nu h sthcskhackhng.VtraicuaphuongtrinhlaLncuaphuongsaicodiu kin nguy rng tac dng don by la dangm ma khng phai la dang bc hai va d bao phuong sai co diu kin la khng m. Nhu vy m hinh GARCH thuc vao lop m hinh bt di xung. Ngoai ra con comt s dang khac cua GARCH nhu IGARCH, GARCH-M, TGARCH. Ni dung chi tit v dinh dang va uoc luong cua cacm hinh nay duoc trinhbaytrongcun"Phntichchuithoigiantrongtaichinh"cuaG$.T$. Nguyn Quang Dong . Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 16 CHUONG IIISU DJNG M HINH GARCH PHAN TICH MT S CO PHIEU NGNH CHE BIEN THUY SAN TRN SN HOSE 3.1. CO PHIEU NGNH CHE BIEN THUY SAN Nhungnmgndynghnuitrng,danhbtthuyhaisanphattrinrt manh o nhiu dia phuong trn khp ca nuoc dc bit la cac tinh ven bin va cac tinh dng bng sng Cuu Long. Co duoc diu nay la do nuoc ta co diu kin thin nhin di dao phong phu khincho vicnui trng, danhbt tro nn d dang.Mtly do khac la vic nui trng, danh bt thuy hai san con dem lai thu nhp khng nho cho nguoidn, gopphnxoadoigiamngheonhanhchong.Dikemtheosphat trin cua nghnui trng, danhbt thuysanlavic ra doiva phat trincua caccng ty ch bin thuy san. Cho toi nay chi tinh ring san giao dich thanh ph H Chi Minh - HO$ -dcotoi17cngtychbinthuysannimytcphiucuaminh.Diu nay d phn nao chung to tm quan trong cua nganh ch bin thuy san voi nn kinh t dt nuoc. Tuy nhin trong khun kh d tai nay ta chi xet 2 c phiu trong tng s 17 c phiu cua nganh la: - AGF: Cng ty c phn Xut nhp khu thuy san An Giang; - FMC: Cng ty c phn thc phm $ao Ta . Ca 2 cng ty nay du d nimyt tu lu diu nay nhm dam bao cho s luong cac phin giao dich du lon cho vic phn tich va tin hanh hu kim VaR. 3.2. M TA D LIJU 2 CO PHIEU AGF vFMC3.2.1. M ta chui gi c phiu AGF v FMC Thu thp s liu gia dong cua cua AGF vaFMC giai doan 5/1/2007 dn thoi dim ngay 10/9/2010 (922 quansattrong do 672 quansat du (tungay5/1/2007 dn ngay 15/9/2009 dung d phn tich con 250 quan sat con lai ( tu ngay 16/9/2009 dn ngay 10/9/2010 dung d hu kim m hinh VaR. Quan sat biu d gia 2 c phiu AGF va FMCta co th chia chui gia thanh 2 giai doan: 5/1/2007-15/2/2008; 16/2/2008-15/9/2009. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 17 Hnh 3.1: Gi c phiu AGF giai don t 5/1/2007 -15/9/2009. 03060901201501801/5/20073/5/20075/5/20077/5/20079/5/200711/5/20071/5/20083/5/20085/5/20087/5/20089/5/200811/5/20081/5/20093/5/20095/5/20097/5/20099/5/2009AGF Hnh 3.2: Gi c phiu FMC giai don t 5/1/2007 -15/9/2009. 0204060801001201/5/20073/5/20075/5/20077/5/20079/5/200711/5/20071/5/20083/5/20085/5/20087/5/20089/5/200811/5/20081/5/20093/5/20095/5/20097/5/20099/5/2009FMC Giai don mt : 5/1/2007-5/3/2008:GiaidoannayThitruongchungkhoanVitNamdinbinhtsucbt thuong va dy ry rui ro tim n, gia c phiu lin tuc tng giam rt bt thuong va co xu huong giam. Quan sat d thi gia cua hai c phiu trong giai doan nay cho thy, duong d thi di xung, rt dc va gy khuc lin tuc. Gia c phiu AGF co luc ln toi trn 150 nghin/1cphiunhungvaocuigiaidoandtutxungkhoang60nghin/1c phiu tuc la chi sau khoang 1 nm gia c phiu AGF d giam toi 60. Tuong t thi giacphiuFMCcngcolucdatgn120nghin/1cphiunhungdnnhung Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 18 thang du nm 2008 thi gia chi con vao khoang 40 nghin/ 1 c phiu, muc giam ln toi 66,7 .Giai don hai : 6/3/2008-15/9/2009:Tronggiaidoannaygiacphiuvntiptucbindngtuynhinbind bindngthinhohonvavictnggiamlnxungduongnhucoxuhuongxoay quanh mt gia tri nao do. Vic gia c phiu bin dng tht thuong nhu trn co th hiu la do tac dng cua cuc khunghoang kinh t th gioi dunm2008. Trong giai doanmt thi nn kinh t phat trin qua nong , tin duoc dua vao thi truong chung khoanmt cach atvoisluonglonlamxuthinhintuongbongbonggia.Vanhuvygiac phiu tng ln rt cao. Tuy nhin dn cui nm 2007 du nm 2008 thi cuc khung hoangkinhtxayraoMrinhanhchonglanrngranhiunuoc,vungkinht khacnhauvaVitNamcngkhngthtranhkhoitacdngnay.Dovygiac phiutrongvaocui nm2007toidu2008bigiammanh,lintuc.Tugiuanm 2008 tro di thi gia c phiu thay di khng lon lm do luc nay tinh trang bong bong gia d khng con va cac nha du tu cng d thn trong hon trong quyt dinh du tu cua minh. 3.2.2. M ta chui li sut cua c phiu AGF vFMCTu chui s liu gia AGF va FMC trong giai doan 5/1/2007 - 15/9/2009 thu duoc671quansatdutincacchuiloisutcua2cphiutheocngthuc '+

'

1lntttSSr , voi $t la gia dong cua cua c phiu ngay t. Hnh 3.3: D th| chui li sut c phiu AGF 0.20.150.10.0500.050.11275379105131157183209235261287313339365391417443469495521547573599625651rAGF Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 19 Hnh 3.4 : D th| chui li sut c phiu FMC 0.150.10.0500.050.11275379105131157183209235261287313339365391417443469495521547573599625651rFMC Quansatd thiloisut cuahaicphiuAGFvaFMC (Hnh3.3vaHnh 3.4tathyloisutcphiuthaydilintuctuynhingiatriloisutdaodng khngvuotquakhoang-0,05dn0,05,lado$angiaodichchungkhoanThanh phHChiMinhapdungbindgia5.Comtsgiatricualoisuthaic phiu vuot qua khoang nay, do dy la thoi dim chi tra c tuc cua cac tai san, duoc goi la ngay giao dich khng huong quyn.Mt nhnxet khacco th thy tu d thi 2chuiloisut nay dolachuiloi sut cua ca 2 c phiu co th la dung va phuong sai cua loi sut 2 c phiu nay thay di theo thoi gian. Hnh 3.5 : Biu d tn sut v m ta thng k li sut c phiu AGF 0204060801001201400.15 0.10 0.05 0.00 0.05Series: RAGFSample 1 671Observations 671Mean 0.001931Median0.000000Maximum 0.048790Minimum0.152839Std. Dev.0.029401Skewness 0.086137Kurtosis3.037413Jarqueera0.868897Probability0.647622 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 20 BiudtrnthhintnsutcuacacgiatrirAGFspxptheothuttng dn. Cac gia tri cua rAGF chu yu tp trung trong khoang (- 0,05; 0,05. Tn sut cua cac gia tri trong khoangnaylakhng dng du, dao dng trong khoang tu 20 dn gn140.Mtathngkconchobitmtsthngtinvchuiloisutc phiu AGF nhu : - Gia tri trung binh : -0,001931; - Gia tri trung vi : 0 ; - Gia tri lon nht : 0,048790 ; - Gia tri nho nht : -0,152839 ; - D lch chun : 0,029401; - H s nhon la : -0,086137 ; - H s bt di xung la 3,037413 . Hnh 3.6: Biu d tn sut v m ta thng k li sut c phiu FMC 0204060801001200.100 0.075 0.050 0.025 0.000 0.025 0.050Series: RFMCSample 1 671Observations 671Mean 0.002557Median0.000000Maximum 0.048790Minimum0.108214Std. Dev.0.028655Skewness 0.069688Kurtosis2.531848Jarqueera6.670636Probability0.035603

Trong biu d nay cho thy gia tri rFMC cng chu yu tp trung trong khoang (- 0,05; 0,05, tn taimt s gia tri nmngoai khoangnay. Tacng thu duoc 1s thng tin thng k tuong t v chui loi sut c phiu FMC : - Gia tri trung binh : -0,002557; - Gia tri trung vi : 0 ; - Gia tri lon nht : 0,048790; - Gia tri nho nht : -0,108214 ; Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 21 - D lch chun : 0,028655; - H s nhon la: -0,069688; - H s bt di xung : 2,531848. 3.3. KIEM DJNH CC GIA THIET DI VI LI SUT AGF V FMC 3.3.1. Kim d|nh gia thit phn phi chunD kim dinh chui loi sut

rco phn phi chun hay khng nguoi ta co th sudungphnphi 2/ .Ngaynay,huhtcacphnmmkinhtluongthuongsu dung kim dinh Jarque-Bera(JB:

24 3 (62 2 Sn JB trong do $ la h s bt di xung, K la h s nhon. Voi n kha lon JB co phn b xp xi 2/(2. Xet cp gia thit : H0 :

r co phn b chun. H1 :

r khng co phn b chun. H0 sbibacbonuJB~ 2-/ ,voi-lamucynghiacho truoc.Nguoc lai, nu JB 2-/ thi khng co co so bac bo H0. Voi muc y nghia- 5 , 205 . 0/(2 5,99; - 1 , 201 . 0/ (2 9,21. Kt qua tu Hnh 3.5, 3.6 cho ta thy : Di voi rAGF : JB 0,868897 205 . 0/ (2. Voi muc y nghia la 5 thi khng du cosobacbogiathitH0.NhuvyrAGFcophnphichunvoimucynghiala 5. Divoi rFMC : 201 . 0/(2~ JB 6,670636 ~ 205 . 0/(2. Voimucynghiala 1 thi khng du co so bac bo H0. Nhu vy rFMC co phn phi chun voi muc y nghia la 1. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 22 3.3.2. Kim d|nh tnh dng Dkimdinhtinhdung,chungtasudungkimdinhnghimdonvi(Unit Root Test. Xet m hinh sau:t t tu Y Y18 , tu- nhiu trng. Nu18 , khi do tY la buoc ngu nhin, va tYlamt chui khng dung. Nguoc lai, nu18 , tY la mt chui dung. Dickey-Fuller (DF d dua ra tiu chun kim dinh sau dy: H0 :18H1 :18Ta uoc luong m hinh t t tu Y Y18 , ( / 8 8 : Seco phn phi DF. Nu nhu :-: 8 8 :( / Se thi bac bo H0.Kt qua kim dinh voi chui rAGF trn Bang 3.1 - Ph lc 1 (views ki hiu D la toan tu sai phn cho thy: - ( / 8 8 : Se -19,35388 ; - 01 , 0: -3,4426; -05 , 0: -2,8662 ;- 1 , 0: -2,5693 .Vi -: 8 8 :( / Sevoi- 1;5 ;10,nhuvyrAGFlachui dung. Kt qua kim dinh voi chui rFMC trn Bang 3.2- Ph lc 1 cho thy: - ( / 8 8 : Se -21,54781 ; - 01 , 0: -3,4426; - 05 , 0: -2,8662 ; - 1 , 0: -2,5693 .Vi -: 8 8 :( / Sevoi- 1;5 ;10,nhuvyrFMClachui dung.Nhuvycothcoichuiloisutcuaca2cphiuAGFvaFMCduco phn phi chun va dung. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 23 3.4. UC LUNG PHUONG SAI THAY DOI CUA 2 CO PHIEU 3.4.1. Luc d tuong quan, tuong quan ring cua chui li sut c phiu Luoc d tuong quan va t tuong quan ring la phuong phap hiu qua d xac dinh d p va q trongmhinhARMA(p,q. Luoc d vACFva PACF theo d dai cuatr.Dngthoicngvduongphngiaichikhoangtincy95chogiatri0 cuahsttuongquanvahsttuongquanring( I 1,96n .NuACF (PACFnmngoaikhoangtincynaythicothnoiACF(PACFkhac0coy nghia voi muc u 5. Nguoc lai nu ACF (PACF nm trong khoang tin cy nay thi co th coi nhu no bng 0 voimucy nghia u 5. Da trn cacluoc d nay ta co th bit duoc cac h s tuong quan nao va cac h s t tuong quan nao la khac 0. Do vyvic quansat luoc d tuong quanva tuong quan ringla cn thit d dua ra cac doan nhn v p va q cua qua trinh ARMA( p, q. Hnh 3.7. Luc d tuong quan v tuong quan ring cua rAGF Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 24 Quan sat hinh 3.7ta thy p1, q1 tuc chui loi sut cua c phiu AGF co th tun theo m hinh ARIMA(1, 0, 1 . Hnh 3.8. Luc d tuong quan v tuong quan ring cua rFMC Quansat hinh3.8 ta thy p1, q1 tucchuiloisut c phiuFMCco th tun theo m hinh ARIMA( 1, 0, 1. 3.4.2. Su dngm hnh GARCH vi chui li sut c phiu 4- M hnh CARCH vi chui li sut c phiu ACF Thc hin uoc luong chui loi sut c phiu AGF bng phn mm VIW$, m hinh ARMA(1,0 duoc chp nhn. Kt qua uoc luong trong Bang 3.3 - Ph lc 2. Khi do ta co phuong trinh uoc luong duoc co dang : rAGFt 0,285504* rAGFt-1 et Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 25 Tuynhinkhixetluocdtuongquanbinhphuongchuiphnducua phuongtrinhuocluongnaytathycohintuongphuongsaithaydidodocn phai tin hanh uoc luong lai phuong trinh bng cac m hinh phuong sai thay di. Hnh 3.9. Luc d tuong quan bnh phuong phn du rAGF Nhin vaoluoc d ta thybccuam,scuamhinh phuong sai thay di kha lon, m co th bng 15 con s co th bng 5. UocluonglaichuiloisutcphiuAGFtheomhinhARIMAkthop voi GARCHthim hinh ARIMA(0,0,0 - GARCH( 1,1 duoc chp nhn. Kt qua uoc luongduoc trinh bay trong Bang 3.4 - Ph lc 2. Tu kt qua uoc luong cho ta bit : - Phuong trinh trung binh : rAGFt -0,002762 et Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 26 - Phuong trinh phuong sai: 21212` 757015 , 0 23385 , 0 000022 , 0 `

t t te 9 9 - Phuong sai khng diu kin: o2 0,000022/(1-0,23385-0,757015 0,0024 TathyloisutcuacphiuAGFtronggiaidoantungay5/1/2007dn ngay15/9/2009manggiatrim(mthcs.Diunayladotacdngcuacuc khung hoang kinh t toan cu d anh huong toi gia c phiu AGF va lam cho gia c phiu nay giam lin tuc. Phuong trinh phuong sai cho ta thy phuong sai thoi ki nay phu thuc vao sai s cua phuong trinh trung binh va phuong sai 1thoi ki truoc . Tu phuong trinh phuong sai cua chui loi sut c phiu AGF ta d bao duoc phuongsaicuacphiutaitungthoidimbngphuongphaptinhhocphuong phap dng. Phuong phap tinh dua ra gia tri cua phuong sai theo dung phuong trinh phuong sai : 21212` 757015 , 0 23385 , 0 000022 , 0 `

t t te 9 9Trong do :t9`lagia tri phuong sai d bao tai thoi dim t

1` t9la gia tri phuong sai d bao tai thoi dimt-1 et-1 la phn du tai thoi dim t-1. Khi do voichui phn du tu 1 dn 671cuaphuong trinh trungbinhva gia tri ban du o21 ta co th uoc luong duoc chui phuong sai cualoi sut c phiu tu quan sat thu 2 dn quan sat 671. Hnh 3.10. Phuong sai li sut c phiu AGF tnh theo phuong php tinh 00.0010.0020.0030.0040.0050.0060.0071 31 61 91121151 181211 241 271301 331 361 391421 451 481 511541 571601 631 661ps_s_AGF Ta thy phuong sai d bao theo phuong phap nay thay di lin tuc tuy nhin nhuoc dimcua phuong phapnaylachi dbao duoc phuongsaico diu kinsau Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 27 mu 1 thoi ki tuc la no chi d bao duoc gia tri phuong sai tai quan sat thu 672. D co th d bao duoc phuong saicho khoang thoi gian daingoaimu ta co th dung phuong phap d bao dng. Gia tri phuong sai duoc tinh d quy theo cng thuc : Gia su phuong sai o thoi ki h d bit la oh2 , dt oh2 (k 2h k9

ta co oh2 (10,000022 (0,23385 0,757015*oh2 oh2 (2 0,000022 (0,23385 0,757015* oh2 (2 oh2 (k 0,000022 (0,23385 0,757015* oh2 (k-1 Nhu vyta co th thy gia tri ban du oh2 co anh huong rt lon dn vic d baophuongsai.TheoBollerslev(1986,p.316thilygiatritrungbinhbinh phuong phn du cua phuong trinh trung binh, theo Tsay (2005,p.119 thi gia tri ban du co th ly la 0 hoc phuong sai khng diu kin con phnmm views ly gia tri ban du theo cng thuc san m : 209 12 1 20` (1 nn fn ffe 29 2 2

Trong do e la phn du tu phuong trinh trung binh va 2 21` /ntte n 9

. Theocachnay ta d dangdbao duoc phuongsaicualoisut c phiu tai tung thoi dim tu quan sat thu nht dn quan sat thu 671. Hinh 3.10 biu din gia tri phuong sai naytheo thoi gian. Hnh 3.11. Phuong sai li sut c phiu AGF theo phuong php dng 00.00050.0010.00150.0020.00250.0031 34 67 100 133 166 199 232 265 298 331 364 397 430 463 496 529 562 595 628 661ps_d Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 28 Ta thy gia tri phuong sai cua loi sut c phiu AGF vao cac thoi dim khac nhau la khac nhau. Tuy nhin khi phuong sai nay dang hi tu v muc 0,0024 va dy cng chinh la gia tri cuaphuong sai khng diu kin . Dbithintuongphuongsaisthaydicocontrongmhinhkhng thi ngoaicachtrcquanlaquansatluocdtuongquanchuibinhphuongphndu nhutrntacngcoththchinkimdinhhiuungARCH.Ktquakimdinh xemcoconhiuungARCHtrongmhinhARIMA(0,0,0 -GARCH(1,1duoc th hin trong Bang 3.5 - Ph lc 2. Cpgia thit cua kim dinh la : - H0 : khng co hiu ung ARCH trong m hinh - H1 : co hiu ung ARCHtrong m hinh. Kt qua kim dinh cho ta h sProb 0,875718 ~0,05 nn ta khng du co sobacbogiathitH0 .Diunayconghiamhinh khngconhintuongphuong sai s thay di nua.4- M hnh CARCH vi chui li sut c phiu FMC TatinhanhcacbuoctuongtnhutrnvoichuiloisutcphiuFMC. $au khi chinh sua thi m hinh ARIMA( 1,0,1 duoc chp nhn voi chui loi sut c phiu FMC. Kt qua uoc luong duoc trinh bay trong Bang 3.6 - Ph lc 2. Phuong trinh ARIMA(1,0,0 co dang : rFMCt -0,002599 0,179998 rFMCt-1 et . Tuy nhin m hinh cng co hin tuong phuong sai sai s thay di cho nn ta cngphaiuocluonglaibngcacmhinhphuongsaisaisthaydi.Mhinh ARIMA ( 0,0,0 - GARCH(1,1 duoc chp nhn. kt qua uoc luong trinh bay trong Bang 3.7- Ph lc 2. Tu kt qua uoc luong cho ta bit : - Phuong trinh trung binh : rAGFt -0,002856 et - Phuong trinh phuong sai: 21212` * 487424 , 0 * 223303 , 0 000237 , 0 `

t t te 9 9- Phuong sai khng diu kin: o2 0,000237/(1-0,223303-0,487424 0,00082. Loi sut c phiu FMC trong phuong trinh cng mang gia tri m. Diu nay la dokhunghoangkinh ttacdngdnttcacaccphiu,lamchogiacuachung giam sut mt cach manh m. Tin hanh uoc luong chui phuong sai cua loi sut c phiu FMC theo 2 phuong phap tinh va dng ta cng thu duoc 2 chui phuong sai Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 29 d bao khac nhau Hnh 3.12. Phuong sai li sut c phiu FMC theo phuong php tinh 00.00050.0010.00150.0020.00250.0030.00351 31 61 91 121151 181211 241271 301331 361 391 421 451 481 511 541 571 601 631 661ps_s_FMC Hnh 3.13. Phuong sai li sut c phiu FMC theo phuong php dng 00.00020.00040.00060.00080.0010.00120.00141 31 61 91 121151 181 211 241 271 301 331 361 391421 451 481 511 541 571 601 631 661ps_FMC Ta nhn thychisau 1 khoang thoi gianngn gia tri phuongsailoisutc phiu FMC d hi tu v gn toi gia tri phuong sai khng diu kin . Ta cng tinhanh kimdinhhiuungARCHvoimhinhARIMA(0,0,0 - GARCH(1,1dxemcoconhintuongphuongsaisaisthay ditrongmhinh hay khng. Kt qua kim dinh duoc th hin trong Bang 3.8 - Ph lc 2. Gia tri Prob o dy bng 0,977605 ~ 0,05 nnkhng du co so bac bo gia thit H0 tuc d khng con hin tuong phuong sai sai s thay di trong m hinh. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 30 3.5. VaR CUA CO PHIEU3.5.1. Tnh VaR cho c phiu -1inh JaR cho c phiuACF Theo kt qua uoc luong duoc o trnta co :671` u 0,036549; 2671` 9 0,001063 ~ 2672` 9 0,000022 0,233850 * ( 0,0365492 0,757015* 0,001063 0,001139. ~ 672` 9 0,03375. Ngay 15/9/2009 ( t 671 c phiuAGFco giala30.100 VND / 1c phiu. GiasukhinaynhadutunmgiucphiuAGFnayvoitnggiatrila V0100.000.000 VND ( tuong duong 3322 c phiu . Tai thoi dim t 672 (ngay 16/9/2009, voi cac muc y nghia- : 1 ; 2,5 ; 5 theo cng thuc tinh VaR o trn ta co:9 301 , 0 ( 99 , 1 (1 ngay JaRAGF- 0,0786375; 9 3025 , 0 ( 5 , 97 , 1 (1 ngay JaRAGF- 0,0661500 ; 9 305 , 0 ( 95 , 1 (1 ngay JaRAGF- 0,0556875. Trong do :N-1(0,01 -2,33;N-1(0,025 -1,96; N-1(0,05 -1,65; la loi sut 1 ngay nn kha nho va duoc gia dinh bng 0. Muc tn tht uoc luong tai thoi dim t 672(ngay 16/9/2009 xac dinh nhu sau : 0* 99 , 1 ( 99 , 1 ( J ngay JaR ngay JaRAGF - 7.864.750 VND ; 0* 5 , 97 , 1 ( 5 , 97 , 1 ( J ngay JaR ngay JaR5AGF - 6.615.000 VND ; 0* 95 , 1 ( 95 , 1 ( J ngay JaR ngay JaRAGF - 5.568.750VND ; Diunayconghianunhadutunmgiu100triuVNDcphiuAGFvao ngay 15/9/2009 thi voimucy nghia 1 thi nha du tu co th bi tn tht la 7,8 triu VND vao ngay 16/9/2009, tuong t voi mucy nghia 2,5 thimuc tn tht la Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 31 hon 6,6 triu va voi muc y nghia 5 la hon 5,5 triu VND. Thc tngay 16/9/2009 giac phiuAGFla29.900 VND / 1c phiu, khi do nha du tu bi l :3322 * ( 30.100 - 29.900 664.400 VND. Nhuvycoththymuclthctthphonca3giatriVaRuocluong duoc. - 1inh JaR cho c phiu FMC Theo kt qua uoc luong duoc o trnta co :671` u - 0,016688 ; 2671` 9 0,000702 ; ~ 2672` 9 0,000237 0,223303 * ( - 0,0166882 0,487424* 0,000702 0,000641. ~ 672` 9 0,025326. Ngay 15/9/2009 ( t 671 c phiu FMC co gia la 15.200 VND / 1c phiu. Giasukhinaynhadutunmgiuc phiuFMCvoitnggiatrila100.000.000 VND ( tuong duong 6579 c phiu . Tai thoi dim t 672 (ngay 16/9/2009, voi cac muc y nghia- : 1 ; 2,5 ; 5 theo cng thuc tinh VaR o trnta co:9 301 , 0 ( 99 , 1 (1 ngay JaRFMC- 0,059010; 9 3025 , 0 ( 5 , 97 , 1 (1 ngay JaRFMC- 0,049639 ; 9 305 , 0 ( 95 , 1 (1 ngay JaRFMC- 0,041788 . Trong do :N-1(0,01 -2,33;N-1(0,025 -1,96; N-1(0,05 -1,65; la loi sut 1 ngay nn kha nho va duoc gia dinh bng 0. Muc tn tht uoc luong tai thoi dim t 672(ngay 16/9/2009 xac dinh nhu sau : 0* 99 , 1 ( 99 , 1 ( J ngay JaR ngay JaRFMC - 5.901.000 VND ; 0* 5 , 97 , 1 ( 5 , 97 , 1 ( J ngay JaR ngay JaRFMC - 4.963.900 VND ; Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 32 0* 95 , 1 ( 95 , 1 ( J ngay JaR ngay JaRFMC - 4.178.800VND ; Diu nay co nghia nu nha du tu nm giu 100 triu VND c phiu FMC vao ngay15/9/2009thivoimucynghia1thinhadutucothbitnththon5,9 triu VND vao ngay 16/9/2009, tuong t voi mucy nghia 2,5 thimuc tn tht la hon 4,9 triu VND va voi muc y nghia 5 la hon 4,1 triu VND. Thc tngay 16/9/2009 giac phiuAGFla15.100 VND / 1c phiu, khi do nha du tu bi l :6.579 * ( 15.200-15.100 657.900 VND. Nhuvycoththymuclthctthphonca3giatriVaRuocluong duoc. - 1inh JaR cho danh mcO trn ta d tinh VaR cho tung c phiu ngoai ra ta cng co th tinh VaR cho danhmuc duoclp tu 2 c phiunay. Ta giasu tai thoi dim 15/9/2009 ( t 671 nhadutunmgiudanhmucP:(1/2 ,1/2lptu2c phiuAGFvaFMCvoi tng gia triXcua danhmuc la 100.000.000VND.Diunay tuong duongvoivic nha du tu nm giu 1661 c phiu AGF va 3289 c phiu FMC.Theo tinh toan o trn ta co : 2, 672`AGF9 0,001139 ; 2, 672`FMC9 0,000641 ; cov (rAGF, rFMC 0,000294. ~ 2P9 0,000592 ; P9 0,024331 Tai thoi dim t 672 (ngay 16/9/2009, voi cac muc y nghia- : 1 ; 2,5 ; 5 theo cng thuc tinh VaRta co:9 301 , 0 ( 99 , 1 (1 ngay JaRP- 0,056691 ; 9 3025 , 0 ( 5 , 97 , 1 (1 ngay JaRP- 0,047689 ; 9 305 , 0 ( 95 , 1 (1 ngay JaRP- 0,040146 . Trong do :N-1(0,01 -2,33;N-1(0,025 -1,96; N-1(0,05 -1,65; la loi sut 1 ngay nn kha nho va duoc gia dinh bng 0. Muc tn tht uoc luong tai thoi dim t 672 (ngay 16/9/2009 xac dinh nhu Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 33 sau : 0* 99 , 1 ( 99 , 1 ( J ngay JaR ngay JaRP - 5.669.100 VND ; 0* 5 , 97 , 1 ( 5 , 97 , 1 ( J ngay JaR ngay JaRP - 4.768.900 VND ; 0* 95 , 1 ( 95 , 1 ( J ngay JaR ngay JaRP - 4.014.600VND . Nu nha du tu nm giu danhmuc P cotri gia 100 triu duoc lp tu hai c phiulaAGFvaFMCvaongay15/9/2009thivoimucynghia1thivaongay 16/9/2009nhadutucothbitnththon5,6triuVND,tuongtvoimucy nghia 2,5 thimuc tn tht la hon 4,7 triu VND va voimucy nghia 5 la hon 4 triu VND. Ngay16/9/2009giac phiuFMCla29.900VND/1cphiuconAGFla 15.100 VND / 1 c phiu, khi do nha du tu bi l :1661* ( 30.100 - 29.900 3289* ( 15.200-15.100 661.100 VND. Muc thua l thc t nay vn nho hon ca 3 gia tri VaR uoc luong duoc. Bang 3.9. Tng kt gi tr| VaR on v . J Tai sanVaR( 1 ngay, 99VaR( 1 ngay, 97,5VaR( 1 ngay, 95 AGF- 7.864.750- 6.615.000- 5.568.750 FMC- 5.901.000- 4.963.900- 4.178.800 P- 5.669.100- 4.768.900- 4.014.600

Ca 3 tai san du co cung 1 gia tri la 100.000.000 VND tuy nhin gia tri VaR uoc luong cua chung lai rt khac nhau. Diu nay la do d dao dng cua cac tai san khacnhaulakhacnhau.Mtkhactaconnhnthydanhmuc Pduoclptu2c phiuAGFvaFMCnhunggiatriVaRuocluongduoccuanolainhohonhn chung to vic da dang hoa co th lam giam rui ro. Vicuocluongduocgiatnthtlartcoynghiavoinhadutuboida trngiatritnthtuocluongnaynhadutuco thcotrichlpmtkhoandd Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 34 phong rui ro hoc dua ra mt bin phap nao do . va qua do s giam thiu duoc tn tht cho nha du tu khi ma rui ro xay ra. 3.5.2. Tin hnh hu kim m hnh VaR Theo hip dinhBasle 2nm 1996, BI$ khuyn cao cac t chuc taichinhco thxydngcacmhinhVaRringcuaminhduocluongtnthtdungtrong quan ly rui ro nhung phai thuong xuyn hu kim tinh chinh xac cua m hinh. OtrntadtinhraduocVaR(1ngay,ucuaca2cphiu.Nu VaR(1ngay, u chun xac thi trung binh trong n ngay se co khoang |nu| ngay tn thtthctvuotquaVaR(1ngay,u.(|nu|laphnnguyncuanu.Nucois ngayma tn tht thc t vuotVaR(1ngay, u trongnngaylabinngunhinX thi X ~ B(n,u. Khi do ta co ky vong cua X:Xnuva phuong sai Var(X nu (1- u. Voi n tuong di lon (n ~ 30 ta co khoang tin cy voi d tin cy (1-u cho ky vong cua X: / 2 / 2(1 , (1n : n n : n- -- - - - - -Voi zu/2: gia tri toi han muc u/2 cua phn phi chun hoa N(0,1. Voi s quan sat n 250 thi khoang tin cy (1-u cho ky vong cua X la : - u 0,05 thi cn trn la 19, cn duoi la 6 ; - u 0,025 thi cn trn la 11, cn duoi la 1; - u 0,01 thi cn trn la6, cn duoi la 0. - Hu kim vi c phiu ACF Voichuigia thc tc phiuAGF tungay16/9/2009 dnngay10/9/2010 (250 phin giao dichta tin hanh hu kim m hinh VaR.Vic hu kim duoc tin hanh qua 3 buoc : Buc1:$udungcngthucVaR(P&LtinhP&Ltungngaycuacphiu B82 (P&L ly thuyt theo VaR. Chu y khi tinh VaR(P&L cua tung ngay ta phai su dung gia tri thc t cua c phiutrong ngay truoc do. Buc 2: Tinh P&L thc t cua tung ngay. Buc 3: $o sanh P&Lly thuytva thc t cua tungngay d tim s ngayco P&L thc t (P&L m: ngay l vuot qua P&L ly thuyt. Gia su vao ngay 16/9/2009 ta dang nm giu 1000 c phiu AGF, s luong c phiunaylakhngthayditrongsut250phingiaodichnnkhidochicos thay di gia c phiu AGF lam thay di gia tri thc t cua c phiu. Kt qua hu kim duoc ghi trong Bang 3.10 - Ph lc 3.Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 35 Hnh 3.14. D th| P&L thc t v uc lung theo VaR cua c phiu AGF 400030002000100001000200030001 41 81 121 161 201 241P&L thuc t VaR( 5%) VaR(2,5%) VaR(1 %) Trong ca 250 phin giao dichcua c phiuAGF thi khng co phinnao gia triP&LthctcaohongiatricuaVaR(1ngay;95,VaR(1ngay;97,5va VaR (1 ngay; 99uoc luong duoc. Nhu vy co th noi m hinh VaR xy dng o trn la chp nhn duoc. Tuy nhin duong nhu muc VaR uoc luong nay hoi cao nn ngay ca o muc u 5 thi cng khng co phin nao gia tri P&L thc t cao hon gia tri VaR uoc luong. - Hu kim JaR vi c phiu FMC VoichuigiadongcuacuacphiuFMCtungay16/9/2009dnngay 10/9/2010 ( 250 phin quan sat ta tin hanh hu kim m hinh VaR. VichukimdinratuongtnhuvoicphiuAGF,giasuothoidim 16/9/2010tacngnmgiu1000cphiuFMC.$luongcphiucngkhng duoc diu chinh trong sut 250 phin giao dich tip theo, nhu vy s bin dng v gia cua c phiu s lam thay di gia tri cua c phiu ma nha du tu nm giu. Kt qua cua vic hu kim duoc trinh bay trong Bang 3.11 - Ph lc 3. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 36 Hnh 3.15. D th| P&L thc t v uc lung theo VaR cua c phiu FMC 25002000150010005000500100015001 41 81 121 161 201 241P&L thuc t VaR ( 5%) VaR (2,5%) VaR (1 %) Trong250phingiaodichthico25lngiatriP&Lthctvuotgiatri VaR(1 ngay,95 lon hon gioi han trn la 19; 2 ln P& L thc t vuot gia tri VaR( 1ngay, 97,5; 1 ln P&L thc t vuot gia tri VaR(1 ngay, 99. Nhu vy ta co th xem m hinh trn la chp nhn duoc voi muc y nghia 2,5 va 1. - Hu kim m hnh JaR vi danh mcTuong t nhu c phiu, ta co th thc hin hu kimm hinh VaR voi danh muc cac c phiu.Vic hu kim m hinh VaR voi danh muc cng duoc tin hanh qua 3 buoc : Buc1:$udungcngthucVaR(P&LtinhP&Ltungngaycuatungc phiu(P&LlythuyttheoVaRriquadoxacdinhduocVaR(P&Lcuadanh muc. Chu y khi tinh VaR(P&L cua tung ngay ta phai su dung gia tri thc t cua c phiutrong ngay truoc do. Buc 2: Tinh P&L thc t tung ngay cua tung c phiu ri qua do cng tinh duoc gia tri P&L thc t cua danh muc. Buc 3: $o sanh P&Lly thuytva thc t cua tungngay d tim s ngayco P&L thc t (P&L m: ngay l vuot qua P&L ly thuyt. O dy ta s tin hanh hu kim voi danh muc P voi vectoti trong(1/2, 1/2 dxetotrn.VicnmgiudanhmucPtuongduongvoivictai thoidimngay 16/9/2009 nha du tu nm giu 1661 c phiu AGF va 3289 c phiu FMC. Gia dinh rng trong sut thoi gian tin hanh hu kim nha du tu khng thay di s luong c Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 37 phiumiloaimaminhnmgiu.Khido ham P&L thc tcua danhmucsbng tng P&L cua tung c phiu. Vic tinh toan cho ta kt qua o Bang 3.12 - Ph lc 3. Hnh 3.16. D th| P&L thc t v uc lung theo VaR cua danh mc 12000100008000600040002000020004000600080001 41 81 121 161 201 241P&L thuc t VaR ( 5%) VaR (2,5%) VaR (1 %) Kt qua hu kim cho thy trong 250 phin giao dich co 11 lnP&L thc t cao hon VaR(1 ngay; 95, 4 ln gia tri P&L thc t cao hon VaR (1 ngay; 97,5. Nhu vy co th thy m hinh VaR xy dng o trn voi danh muc nay la chinh xac. 3.6. M PHONG QUY DAO GI CO PHIEU 3.6.1. M phong qu do gi c phiu AGF Ni dung co ban cua m phong qu dao gia c phiu la da vao cac m hinh magiadinhgiacphiutuntheolamhintrncacphuongdintinhtoanqua trinhbindnggiacuacphiu,quaphntichktqua tinhtoanduaracacnhn dinh, d doan danh gia va dua ra giai phap. OdygiadinhgiacphiuAGFtuntheomhinhGBMkthopvoi GARCH( 1, 1. Theo do qua trinh loi sut c phiu co dang : t t tr 3 91 trong do 3: loi sut ky vong,(0,1t 1 ~ va qua trinh 92t} co dang GARCH(1,1: 21212

t t tu 9 -9

voi~ 0, - K 0. Nhuvyd dao dngcuac phiuvua phu thucvao d dao dng truoc do (9t-1 vua phu thuc vao nhiu gy ra bin dng trong gia (ut-1. Nhu vy co th coi qua trinh nhiu ut} cung chi phi qua trinh $t} va qua Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 38 trinh phuong sai o2t }. Khi do :

'+

'

t ttt tEx5 S S 1 9932*21 21212

t t tu 9 -9t t tu 1 9 Bng xcel ta d dang tao ra duocchui(0,1t 1 ~ , khi do taco thm phong duoc gia tricua ut , kt hopvoiot tam phong duoc ot1 va qua do sm phong duoc gia c phiu . Kim chng c phiu AGF tun theo m hnh GBM Thc hin kim dinh tinh dung ADF di voi chui loga gia AGF takt qua Bang 3.13 - Ph lc 4. Theo do : - ( / 8 8 : Se -1,116822; - 01 , 0: -3,4426 ; -05 , 0: -2,8662 ;- 1 , 0: -2,5693 .Vi -: 8 8 :( / Sevoi- 1;5 ;10,nhuvylogagiaAGFkhngla chui dung. Vy gia c phiu AGF tun theo m hinh GBM. M phongTheo kt qua trn ta co cac gia tri uoc luong : -0,002762 ; e 0,000022 ; u 0,23385 ; 0,757015 ;

671u 0,036549;

26719 0,001063. Xut phat tu muc gia dong cua cua c phiu AGFngay 15/9/2009la 31.100 VND/ 1 c phiu. Da trn xcel tam phong 100 chui gia tri(0,1t 1 ~ , qua dom phong100qudao giaAGFtrong55 phingiaodich(tungay16/9/2009 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 39 dnngay 1/12/2009. Tinh trungbinhmuc giacua 100m phongnaycho tabang kt qua trong Bang 3.15 - Ph lc 4. Hnh 3.17. Gi bnh qun m phong v gi thc t c phiu AGF 2024283236409/16/09 9/23/09 9/30/09 10/7/0910/14/09 10/21/09 10/28/0911/4/0911/11/09 11/18/09 11/25/09AGF thuc t Gi bnh qun Ta co th thy gia thc t rt khac so voi gia binh qun m phong duoc. Tuy nhinchisau17phingiaodichgiacphiuthctlaicoxuhuonggnvoigia m phong binh qun, sai lch giua 2 muc gia chi la 0,79. $au do gia c phiu vn co xu huong quay tro lai gn voi gia binh qun m phong. Nhu vy co th thy vic m phong qu dao gia co th dung nhu 1 cach d bao gia c phiu trong tuong lai gn ( d bao trong ngn han.3.6.2. M phong qu do gi c phiu FMC Vicm phong qu dao gia c phiu FMC duoc thc hin tuong t qua cac buoc nhu voi c phiu AGF.Kim chng m hnh GBM vi c phiu FMC Thc hin kim dinh tinh dung ADF di voi chui loga gia AGF takt qua Bang 3.14 - Ph lc 4. Theo do : - ( / 8 8 : Se -1,322815; - 01 , 0: -3,4426 ; -05 , 0: -2,8662;- 1 , 0: -2,5693 .Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 40 Vi -: 8 8 :( / Sevoi- 1;5 ;10,nhuvyloga giaFMCkhngla chui dung. Vy gia c phiu FMC tun theo m hinh GBM. M phongTheo kt qua trn ta co cac gia tri uoc luong : -0,002856; e 0,000237; u 0,223303; 0,487424; 671` u - 0,016688 ; 2671` 9 0,000702; XutphattumucgiadongcuacuacphiuFMCngay15/9/2009la 15.200VND/1cphiu.Datrnxceltamphong100chuigiatri (0,1t 1 ~ , qua do m phong 100 qu dao gia FMC trong 110 phin giao dich (tu ngay16/9/2009dnngay24/2/2010.Tinhtrungbinhmucgiacua100mphong nay cho ta bang kt qua trongBang 3.15 - Ph lc 4. Hnh 3.18. Gi bnh qun m phong v gi thc t c phiu FMC 81216202428329/16/0910/1/0910/16/0910/31/0911/15/0911/30/0912/15/0912/30/091/14/101/29/102/13/10FMC thuc t Gi bnh qun GiathctcuacphiuFMCthaydilnxunglintuctuynhinsau1 khoang thoi gian thilaico xuhuong tro lai gn voi giabinh qunm phong.Nhu vy co th thy m phong qu dao gia c phiu la 1 phuong phap tt d d bao gia c phiu trong tuong lai. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 41 KET LUAN Ruiro cua taisanlavn d dcbit quan trong va do do no duoc rt nhiu nguoi quan tm tim hiu. Thc t tn tai rt nhiu cach xac dinh rui ro cua tai san, tu nhung cach don giannhu xac dinh d dao dng cua taisan tu 1mu cu thnao do dn cac m hinh phuong sai thay di ht suc phuc tap. Nhung du nha du tu xac dinh rui ro theo cach nao thi muc dich cui cung cua ho cng vn la da trn gia tri rui ro uocluong duoc do ddua raquyt dinh du tu. Nuhai taisanco cungloi sut ki vong thi nha du tu s chon tai san nao ma co d rui ro nho hon hay noi cach khac tai san nao co d rui ro lon hon thi loi sut ki vongma nha du tuyu cu s phai cao hon. Nhu vy rui ro tai san trc tip tac dng dn vicmua, ban hay nm giu cua nha du tu. M hinh phuong sai thay di la lop m hinh xac dinh phuong sai cua tai san qua cac cng thuc da trn vic cho rng phuong sai cua tai san tai thoi dim khac nhaula khacnhau.Qua nhiunm phat trinthihinnaydco rt nhiumhinh phuongsai thaydi khacnhau,cacmhinhnaydua racac giadinh khacnhau tu do dn dncac phuong trinhxac dinh phuong sai taisanhoan toan khacnhau. Ta co th phn chung thanh 2 loai : loai thu nht la cacm hinh su dung 1 ham chinh xac d danh giav d rui ro;loai thuhailasu dung 1 phuong trinhngunhin d mtaphuongsai.MhinhGARCH(1,1sudungtrongchuyndnaythuclop m hinh thu nht. Ngaynaythivicsudungcacmhinhphuongsaithaydivaouocluong d rui ro cua tai san duoc thc hin rt rng ri va tuong lai cac m hinh nay s con duoc ung dungnhiuhonnua.Da trn gia tri rui ro tinh duoc ta co th tinhanh tinhVaRcho taisanhocm phong qu dao giacua taisan. Dylahai ung dung rt quan trong va co y nghia ma nha du tu thu duoc tu phuong sai uoc luong duoc cua tai san. Ngoai ra da trn gia tri cua phuong sai uoc luong duoc nha du tu co thxydngdanhmuccphiutiuuhayxacdinhgiaquynchonmua,quyn chon ban c phiu .Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 42 TI LIJU THAM KHAO TIENG VIJT |1|. PG$.T$. Hoang Dinh Tun, Giao trinh M hinh phn tich va dinh gia tai san tai chinh. |2|. G$.T$. Nguyn Quang Dong, Phn tich chui thoi gian trong tai chinh. |3|. T$. Ng Vn Thu, Bai giang Thng k toan. TIENG ANH |4|.$imone Manganelli and Robert F.ngle (2001, Value at Risk Models in Finance |5|.$imon Benninga and Zvi Wiener (1998, Value -at-Risk. |6|.Robert F.ngle , $ergio M.Focardi and Frank J.Fabozzi (2007,ARCH/GARCH Models in Applied Financial conometrics. |7|.Christoph Hartz, $teIan Mittnik, and Marc $. Paolella (2006, Accurate Value-at-Risk Forecasting Based on the ( good old Normal - GARCH Model. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 43 PHJ LJC Ph lc 1 Thc hin kim d|nh nghim don v| trong phn mm EVIEWS Bang3.1 : Kim d|nh tnh dng chui li sut AGF ADF Test $tatistic-19.353881 Critical Value*-3.4426 5 Critical Value-2.8662 10 Critical Value-2.5693 *MacKinnon critical values Ior rejection oI hypothesis oI a unit root. Augmented Dickey-Fuller Test quation Dependent Variable: D(RAGF Method: Least $quares Date: 12/09/10 Time: 16:16 $ample(adjusted: 2 671 Included observations: 670 aIter adjusting endpoints VariableCoeIIicient$td. rrort-$tatisticProb. RAGF(-1-0.7177950.037088-19.353880.0000 C-0.0014410.001092-1.3195030.1875 R-squared0.359277Mean dependent var-1.59-05 Adjusted R-squared0.358318$.D. dependent var0.035196 $.. oI regression0.028194Akaike inIo criterion-4.296436 $um squared resid0.530993$chwarz criterion-4.282982 Log likelihood1441.306F-statistic374.5728 Durbin-Watson stat1.958192Prob(F-statistic0.000000 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 44 Bang3.2 : Kim d|nh tnh dng chui li sut FMC ADF Test $tatistic-21.547811 Critical Value*-3.4426 5 Critical Value-2.8662 10 Critical Value-2.5693 *MacKinnon critical values Ior rejection oI hypothesis oI a unit root. Augmented Dickey-Fuller Test quation Dependent Variable: D(RFMC Method: Least $quares Date: 12/09/10 Time: 16:27 $ample(adjusted: 2 671 Included observations: 670 aIter adjusting endpoints VariableCoeIIicient$td. rrort-$tatisticProb. RFMC(-1-0.8200020.038055-21.547810.0000 C-0.0021310.001094-1.9471580.0519 R-squared0.410055Mean dependent var-5.54-05 Adjusted R-squared0.409171$.D. dependent var0.036712 $.. oI regression0.028219Akaike inIo criterion-4.294681 $um squared resid0.531926$chwarz criterion-4.281226 Log likelihood1440.718F-statistic464.3082 Durbin-Watson stat1.979387Prob(F-statistic0.000000 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 45 Ph lc 2 Kt qua uc lungtrn phn mm EVIEWS Bang3.3. Uc lungchui li sut c phiu AGF theo m hnh AR(1) Dependent Variable: RAGF Method: Least $quares Date: 12/12/10 Time: 09:30 $ample(adjusted: 2 671 Included observations: 670 aIter adjusting endpoints Convergence achieved aIter 2 iterations VariableCoeIIicient$td. rrort-$tatisticProb. AR(10.2855040.0370247.7113330.0000 R-squared0.077362Mean dependent var-0.002001 Adjusted R-squared0.077362$.D. dependent var0.029368 $.. oI regression0.028210Akaike inIo criterion-4.296818 $um squared resid0.532377$chwarz criterion-4.290091 Log likelihood1440.434Durbin-Watson stat1.959199 Inverted AR Roots .29 Kim dinh gia thit: H0: 0* H1: 0

Min bac bo H0: (2 / 2 /k n t t5 -hoc-~ p, trong do t la gia tri toi han muc y nghia-cho truoc cua phn phi $tudent, n la s quan sat, k la bc t do, p la gia tri Prob. Ct Prob cho bit tt ca cac gia tri p 0.05 nhu vy bac bo cac gia thit H0, co th chp nhn H1. Ta kt lun rng cac tham s cuam hinh la khac 0 omucy nghia 5. Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 46 Bang 3.4. Uc lung chui li sut c phiu AGF theo m hnh ARIMA(0,0,0) - GARCH(1,1) Dependent Variable: RAGF Method: ML - ARCH (Marquardt Date: 12/12/10 Time: 08:32 $ample: 1 671 Included observations: 671 Convergence achieved aIter 11 iterations Variance backcast: ON CoeIIicient$td. rrorz-$tatisticProb. C-0.0027620.000878-3.1467280.0017 Variance quation C2.20E-059.24-062.3815200.0172 ARCH(10.2338500.0579104.0381440.0001 GARCH(10.7570150.05074714.917490.0000 R-squared-0.000798Mean dependent var-0.001931 Adjusted R-squared-0.005300$.D. dependent var0.029401 $.. oI regression0.029479Akaike inIo criterion-4.392509 $um squared resid0.579634$chwarz criterion-4.365631 Log likelihood1477.687Durbin-Watson stat1.429768 TuongttathyhsProbcuacacthamsuocluongduocdunhohon 0,05 nn ta co th kt lun cac thamscua m hinh la khac 0 omucy nghia la 5 . Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 47 Bang 3.5. Kim d|nh hiu ng ARCH trong m hnh ARIMA(0,0,0) - GARCH(1,1) vi chui li sut c phiu AGF ARCH Test: F-statistic0.024480Probability0.875718 Obs*R-squared0.024552Probability0.875488 Test quation: Dependent Variable: $TDR$ID`2 Method: Least $quares Date: 12/12/10 Time: 10:29 $ample(adjusted: 2 671 Included observations: 670 aIter adjusting endpoints VariableCoeIIicient$td. rrort-$tatisticProb. C1.0052340.07347513.681320.0000 $TDR$ID`2(-1-0.0060530.038686-0.1564600.8757 R-squared0.000037Mean dependent var0.999182 Adjusted R-squared-0.001460$.D. dependent var1.615836 $.. oI regression1.617015Akaike inIo criterion3.802021 $um squared resid1746.645$chwarz criterion3.815476 Log likelihood-1271.677F-statistic0.024480 Durbin-Watson stat2.000625Prob(F-statistic0.875718 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 48 Bang 3.6. Uc lung chui li sut c phiu FMC theo m hnh ARIMA(1,0,0) Dependent Variable: RFMC Method: Least $quares Date: 12/12/10 Time: 20:50 $ample(adjusted: 2 671 Included observations: 670 aIter adjusting endpoints Convergence achieved aIter 3 iterations VariableCoeIIicient$td. rrort-$tatisticProb. C-0.0025990.001329-1.9547380.0510 AR(10.1799980.0380554.7299380.0000 R-squared0.032406Mean dependent var-0.002587 Adjusted R-squared0.030958$.D. dependent var0.028666 $.. oI regression0.028219Akaike inIo criterion-4.294681 $um squared resid0.531926$chwarz criterion-4.281226 Log likelihood1440.718F-statistic22.37232 Durbin-Watson stat1.979387Prob(F-statistic0.000003 Inverted AR Roots .18 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 49 Bang 3.7. Uc lung chui li sut c phiu FMC theo m hnhARIMA (0,0,0 )- GARCH(1,1) Dependent Variable: RFMC Method: ML - ARCH (Marquardt Date: 12/12/10 Time: 21:00 $ample: 1 671 Included observations: 671 Convergence achieved aIter 25 iterations Variance backcast: ON CoeIIicient$td. rrorz-$tatisticProb. C-0.0028560.001033-2.7653150.0057 Variance quation C0.0002370.0001072.2155550.0267 ARCH(10.2233030.0897052.4893130.0128 GARCH(10.4874240.1854852.6278410.0086 R-squared-0.000109Mean dependent var-0.002557 Adjusted R-squared-0.004608$.D. dependent var0.028655 $.. oI regression0.028721Akaike inIo criterion-4.311537 $um squared resid0.550208$chwarz criterion-4.284659 Log likelihood1450.521Durbin-Watson stat1.638753 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 50 Bang 3.8. Kim d|nh hiu ng ARCH trong m hnh ARIMA(0,0,0) - GARCH(1,1) vi chui li sut c phiu FMC ARCH Test: F-statistic0.000789Probability0.977605 Obs*R-squared0.000791Probability0.977563 Test quation: Dependent Variable: $TDR$ID`2 Method: Least $quares Date: 12/12/10 Time: 22:32 $ample(adjusted: 2 671 Included observations: 670 aIter adjusting endpoints VariableCoeIIicient$td. rrort-$tatisticProb. C1.0004030.06636415.074560.0000 $TDR$ID`2(-10.0010860.0386900.0280820.9776 R-squared0.000001Mean dependent var1.001491 Adjusted R-squared-0.001496$.D. dependent var1.393570 $.. oI regression1.394612Akaike inIo criterion3.506090 $um squared resid1299.222$chwarz criterion3.519545 Log likelihood-1172.540F-statistic0.000789 Durbin-Watson stat1.996115Prob(F-statistic0.977605 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 51 Ph lc 3 Hukim VaR Bang 3.10. Kt qua hu kim VaR vi c phiu AGF ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 9/17/2009-900-1665-1978-235111/3/2009100-1982-2355-2799 9/18/2009-100-1615-1918-228011/4/2009-1700-1988-2362-2807 9/21/20091000-1609-1912-227311/5/2009-1700-1893-2249-2674 9/22/20091100-1665-1978-235111/6/2009-1100-1799-2137-2540 9/23/20091500-1726-2051-243811/9/20091500-1737-2064-2453 9/24/20091000-1810-2150-255611/10/20090-1821-2163-2571 9/25/2009-1000-1866-2216-263411/11/2009-1200-1821-2163-2571 9/28/2009-800-1810-2150-255611/12/20090-1754-2084-2477 9/29/2009300-1765-2097-249311/13/2009900-1754-2084-2477 9/30/2009-500-1782-2117-251611/16/2009600-1804-2143-2548 10/1/20091500-1754-2084-247711/17/2009-400-1838-2183-2595 10/2/2009700-1838-2183-259511/18/20091600-1815-2156-2564 10/5/2009-1600-1877-2229-265011/19/20091700-1905-2262-2689 10/6/2009-400-1788-2123-252411/20/2009-600-1999-2375-2823 10/7/2009-1200-1765-2097-249311/23/20091700-1966-2335-2776 10/8/2009-200-1698-2018-239811/24/2009600-2060-2448-2910 10/9/20091500-1687-2004-238311/25/2009-1800-2094-2487-2957 10/12/2009600-1771-2104-250111/26/2009-1600-1994-2368-2815 10/13/20091600-1804-2143-254811/27/2009-1700-1905-2262-2689 10/14/20091700-1893-2249-267411/30/2009-1600-1810-2150-2556 10/15/20091700-1988-2362-280712/1/20091100-1721-2044-2430 10/16/20091400-2083-2474-294112/2/2009500-1782-2117-2516 10/19/2009-200-2161-2567-305112/3/2009100-1810-2150-2556 10/20/2009400-2150-2553-303512/4/2009-1600-1815-2156-2564 10/21/2009-1400-2172-2580-306712/7/20091000-1726-2051-2438 10/22/2009500-2094-2487-295712/8/2009200-1782-2117-2516 10/23/2009100-2122-2520-299612/9/2009100-1793-2130-2532 10/26/2009-400-2127-2527-300412/10/20090-1799-2137-2540 10/27/2009-800-2105-2500-297212/11/2009-300-1799-2137-2540 10/28/2009-100-2060-2448-291012/14/2009-100-1782-2117-2516 10/29/2009-1800-2055-2441-290212/15/2009-1500-1776-2110-2509 10/30/20091500-1955-2322-276012/16/20091500-1693-2011-2391 11/2/2009-1000-2038-2421-287812/17/20091500-1776-2110-2509 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 52 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 12/21/2009-300-1771-2104-25012/12/20101200-1810-2150-2556 12/22/20091500-1754-2084-24772/22/2010-200-1877-2229-2650 12/23/20091600-1838-2183-25952/23/20101000-1866-2216-2634 12/24/2009400-1927-2289-27212/24/20100-1921-2282-2713 12/25/2009-1200-1949-2315-27522/25/2010-1000-1921-2282-2713 12/28/2009800-1882-2236-26582/26/2010-400-1866-2216-2634 12/29/20091500-1927-2289-27213/1/2010800-1843-2190-2603 12/30/2009-800-2010-2388-28393/2/2010700-1888-2242-2666 12/31/2009-400-1966-2335-27763/3/2010300-1927-2289-2721 1/4/20100-1943-2309-27443/4/2010-800-1943-2309-2744 1/5/2010-1700-1943-2309-27443/5/2010300-1899-2256-2682 1/6/20101600-1849-2196-26113/8/20100-1916-2276-2705 1/7/2010-300-1938-2302-27373/9/2010300-1916-2276-2705 1/8/2010100-1921-2282-27133/10/2010300-1932-2295-2729 1/11/20101700-1927-2289-27213/11/20101000-1949-2315-2752 1/12/20101800-2021-2401-28553/12/2010-400-2005-2381-2831 1/13/20100-2122-2520-29963/15/2010-200-1982-2355-2799 1/14/2010-1900-2122-2520-29963/16/2010-100-1971-2342-2784 1/15/2010-300-2016-2395-28473/17/20100-1966-2335-2776 1/18/2010100-1999-2375-28233/18/2010-300-1966-2335-2776 1/19/2010-700-2005-2381-28313/19/2010-100-1949-2315-2752 1/20/2010-1000-1966-2335-27763/22/2010300-1943-2309-2744 1/21/20101000-1910-2269-26973/23/2010-200-1960-2328-2768 1/22/2010-300-1966-2335-27763/24/20100-1949-2315-2752 1/25/2010-1000-1949-2315-27523/25/2010-500-1949-2315-2752 1/26/20100-1893-2249-26743/26/2010100-1921-2282-2713 1/27/20100-1893-2249-26743/29/2010-1000-1927-2289-2721 1/28/20101000-1893-2249-26743/30/2010-500-1871-2223-2642 1/29/2010-1000-1949-2315-27523/31/20101600-1843-2190-2603 2/1/2010-1200-1893-2249-26744/1/2010100-1932-2295-2729 2/2/20101200-1827-2170-25794/2/2010400-1938-2302-2737 2/3/2010-700-1893-2249-26744/5/20101500-1960-2328-2768 2/4/2010-300-1854-2203-26194/6/2010300-2044-2428-2886 2/5/2010400-1838-2183-25954/7/2010-700-2060-2448-2910 2/8/2010600-1860-2209-26264/8/2010-600-2021-2401-2855 2/9/2010-200-1893-2249-26744/9/2010-300-1988-2362-2807 2/10/2010-800-1882-2236-26584/12/2010-300-1971-2342-2784 2/11/2010-500-1838-2183-25954/13/2010100-1955-2322-2760 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 53 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 4/14/2010-200-1960-2328-27686/10/20100-1893-2249-2674 4/15/20100-1949-2315-27526/11/20100-1893-2249-2674 4/16/2010200-1949-2315-27526/14/2010200-1893-2249-2674 4/19/2010300-1960-2328-27686/15/2010200-1905-2262-2689 4/20/2010-200-1977-2348-27926/16/2010-100-1916-2276-2705 4/21/20101200-1966-2335-27766/17/2010-600-1910-2269-2697 4/22/20101000-2033-2414-28706/18/2010600-1877-2229-2650 4/26/20100-2088-2481-29496/21/2010200-1910-2269-2697 4/27/2010100-2088-2481-29496/22/2010400-1921-2282-2713 4/28/2010700-2094-2487-29576/23/2010300-1943-2309-2744 4/29/2010-300-2133-2534-30126/24/2010-700-1960-2328-2768 5/4/2010-1800-2116-2514-29886/25/2010-600-1921-2282-2713 5/5/20101000-2016-2395-28476/28/2010600-1888-2242-2666 5/6/20101400-2072-2461-29256/29/2010-800-1921-2282-2713 5/7/20101400-2150-2553-30356/30/20100-1877-2229-2650 5/10/20100-2228-2646-31467/1/2010100-1877-2229-2650 5/11/2010-1700-2228-2646-31467/2/2010100-1882-2236-2658 5/12/2010-1300-2133-2534-30127/5/2010-400-1888-2242-2666 5/13/20100-2060-2448-29107/6/2010200-1866-2216-2634 5/14/2010-1300-2060-2448-29107/7/20100-1877-2229-2650 5/17/2010800-1988-2362-28077/8/2010-200-1877-2229-2650 5/18/2010700-2033-2414-28707/9/2010700-1866-2216-2634 5/19/2010-1200-2072-2461-29257/12/2010-700-1905-2262-2689 5/20/20100-2005-2381-28317/13/2010400-1866-2216-2634 5/21/2010-1200-2005-2381-28317/14/2010-100-1888-2242-2666 5/24/2010200-1938-2302-27377/15/2010100-1882-2236-2658 5/25/2010-1000-1949-2315-27527/16/2010200-1888-2242-2666 5/26/2010800-1893-2249-26747/19/20100-1899-2256-2682 5/27/2010-900-1938-2302-27377/20/2010-300-1899-2256-2682 5/28/20101400-1888-2242-26667/21/2010-200-1882-2236-2658 5/31/2010-800-1966-2335-27767/22/20100-1871-2223-2642 6/1/2010800-1921-2282-27137/23/2010-200-1871-2223-2642 6/2/2010-500-1966-2335-27767/26/2010-400-1860-2209-2626 6/3/20100-1938-2302-27377/27/2010400-1838-2183-2595 6/4/20100-1938-2302-27377/28/2010-300-1860-2209-2626 6/7/20100-1938-2302-27377/29/2010-100-1843-2190-2603 6/8/2010100-1938-2302-27377/30/2010-100-1838-2183-2595 6/9/2010-900-1943-2309-27448/2/20101100-1832-2176-2587 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 54 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 8/3/2010-500-1893-2249-26748/24/2010-500-1626-1932-2296 8/4/2010-900-1866-2216-26348/25/2010-600-1598-1899-2257 8/5/2010100-1815-2156-25648/26/2010-1300-1565-1859-2210 8/6/2010-200-1821-2163-25718/27/2010700-1492-1773-2107 8/9/20100-1810-2150-25568/27/20100-1531-1819-2163 8/10/2010-700-1810-2150-25568/27/2010-700-1531-1819-2163 8/11/20101200-1771-2104-25018/27/2010400-1492-1773-2107 8/12/2010-1600-1838-2183-25958/30/20101200-1515-1799-2139 8/13/2010-400-1749-2077-24698/31/2010400-1582-1879-2233 8/16/2010-1500-1726-2051-24389/1/20100-1604-1905-2265 8/17/2010-400-1643-1951-23209/6/2010200-1604-1905-2265 8/18/2010200-1621-1925-22889/7/2010-500-1615-1918-2280 8/19/2010-200-1632-1938-23049/8/2010-200-1587-1885-2241 8/20/2010-900-1621-1925-22889/9/2010200-1576-1872-2225 8/23/20101000-1570-1865-22189/10/2010-500-1587-1885-2241 Bang 3.11. Kt qua hu kim VaR vi c phiu FMC ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 9/17/20090-713-848-100710/12/20091100-1039-1235-1468 9/18/2009200-713-848-100710/13/20091100-1091-1297-1541 9/21/2009400-723-859-102110/14/20091200-1143-1358-1615 9/22/2009700-742-881-104810/15/20091200-1200-1426-1695 9/23/2009800-775-920-109410/16/20091300-1257-1493-1775 9/24/2009800-813-965-114810/19/20091300-1318-1566-1862 9/25/2009900-850-1010-120110/20/20091300-1380-1639-1948 9/28/2009900-893-1061-126110/21/2009400-1441-1712-2035 9/29/2009500-936-1111-132110/22/2009-1500-1460-1734-2062 9/30/2009-1000-959-1139-135410/23/2009-900-1389-1650-1962 10/1/2009-200-912-1083-128810/26/20091200-1347-1600-1902 10/2/2009900-902-1072-127410/27/2009-400-1403-1667-1982 10/5/20091000-945-1123-133410/28/2009-1400-1384-1644-1955 10/6/2009-400-992-1179-140110/29/2009-1300-1318-1566-1862 10/7/2009-600-973-1156-137410/30/2009-1300-1257-1493-1775 10/8/20091000-945-1123-133411/2/2009-1200-1195-1420-1688 10/9/20091000-992-1179-140111/3/2009400-1139-1353-1608 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 55 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 11/4/2009500-1158-1375-163512/28/2009200-699-831-987 11/5/2009-1200-1181-1403-166812/29/2009700-709-842-1001 11/6/2009-1100-1125-1336-158812/30/2009700-742-881-1048 11/9/2009-1100-1073-1274-151512/31/20090-775-920-1094 11/10/2009200-1021-1212-14411/4/2010-700-775-920-1094 11/11/2009700-1030-1224-14551/5/2010500-742-881-1048 11/12/2009-1100-1063-1263-15011/6/2010-200-765-909-1081 11/13/2009-1000-1011-1201-14281/7/2010800-756-898-1068 11/16/2009600-964-1145-13611/8/2010700-794-943-1121 11/17/2009500-992-1179-14011/11/2010800-827-982-1168 11/18/2009700-1016-1207-14351/12/2010900-865-1027-1221 11/19/2009-300-1049-1246-14811/13/2010800-907-1078-1281 11/20/2009-1000-1035-1229-14611/14/2010-1000-945-1123-1334 11/23/2009-1000-988-1173-13941/15/2010-900-898-1066-1268 11/24/2009900-940-1117-13281/18/2010-900-855-1016-1208 11/25/20091000-983-1167-13881/19/20100-813-965-1148 11/26/2009-1000-1030-1224-14551/20/2010-700-813-965-1148 11/27/2009-800-983-1167-13881/21/2010-800-780-926-1101 11/30/2009-1000-945-1123-13341/22/20100-742-881-1048 12/1/2009-900-898-1066-12681/25/2010-700-742-881-1048 12/2/2009-600-855-1016-12081/26/2010-700-709-842-1001 12/3/2009-500-827-982-11681/27/2010500-676-803-954 12/4/2009800-803-954-11341/28/2010500-699-831-987 12/7/2009-800-841-999-11881/29/2010700-723-859-1021 12/8/2009800-803-954-11342/1/2010-800-756-898-1068 12/9/20090-841-999-11882/2/2010-200-718-853-1014 12/10/20090-841-999-11882/3/2010200-709-842-1001 12/11/2009-800-841-999-11882/4/2010-200-718-853-1014 12/14/2009-800-803-954-11342/5/2010100-709-842-1001 12/15/2009-600-765-909-10812/8/2010600-713-848-1007 12/16/2009-700-737-876-10412/9/2010300-742-881-1048 12/17/2009500-704-836-9942/10/2010-500-756-898-1068 12/18/2009100-728-864-10282/11/2010-500-732-870-1034 12/21/2009-700-732-870-10342/12/2010-200-709-842-1001 12/22/2009-700-699-831-9872/22/2010500-699-831-987 12/23/2009700-666-791-9412/23/2010200-723-859-1021 12/24/2009700-699-831-9872/24/2010600-732-870-1034 12/25/2009-700-732-870-10342/25/2010-100-761-904-1074 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 56 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 2/26/20100-756-898-10684/21/2010400-794-943-1121 3/1/2010-300-756-898-10684/22/2010300-813-965-1148 3/2/2010100-742-881-10484/26/2010700-827-982-1168 3/3/2010100-747-887-10544/27/2010700-860-1021-1214 3/4/2010400-751-892-10614/28/2010-800-893-1061-1261 3/5/2010-300-770-915-10884/29/2010400-855-1016-1208 3/8/2010800-756-898-10685/4/2010-900-874-1038-1234 3/9/2010-300-794-943-11215/5/2010800-832-988-1174 3/10/2010700-780-926-11015/6/2010200-869-1033-1228 3/11/2010100-813-965-11485/7/2010600-879-1044-1241 3/12/2010800-817-971-11545/10/2010900-907-1078-1281 3/15/2010-100-855-1016-12085/11/20101000-950-1128-1341 3/16/2010-500-850-1010-12015/12/2010-1200-997-1184-1408 3/17/2010-200-827-982-11685/13/2010-900-940-1117-1328 3/18/2010200-817-971-11545/14/2010-800-898-1066-1268 3/19/2010-500-827-982-11685/17/2010-900-860-1021-1214 3/22/2010-200-803-954-11345/18/2010-600-817-971-1154 3/23/2010300-794-943-11215/19/2010800-789-937-1114 3/24/2010800-808-960-11415/20/2010-800-827-982-1168 3/25/2010-400-846-1005-11945/21/2010100-789-937-1114 3/26/2010-300-827-982-11685/24/2010-500-794-943-1121 3/29/2010-200-813-965-11485/25/2010200-770-915-1088 3/30/2010-400-803-954-11345/26/2010-800-780-926-1101 3/31/2010200-784-932-11085/27/20100-742-881-1048 4/1/2010100-794-943-11215/28/2010-600-742-881-1048 4/2/20100-799-949-11285/31/2010400-713-848-1007 4/5/2010-200-799-949-11286/1/20100-732-870-1034 4/6/2010300-789-937-11146/2/2010600-732-870-1034 4/7/2010-300-803-954-11346/3/2010-100-761-904-1074 4/8/2010200-789-937-11146/4/20100-756-898-1068 4/9/2010100-799-949-11286/7/20100-756-898-1068 4/12/2010200-803-954-11346/8/20100-756-898-1068 4/13/20100-813-965-11486/9/2010-200-756-898-1068 4/14/2010100-813-965-11486/10/2010-600-747-887-1054 4/15/2010-400-817-971-11546/11/20100-718-853-1014 4/16/20100-799-949-11286/14/2010300-718-853-1014 4/19/2010-100-799-949-11286/15/2010100-732-870-1034 4/20/20100-794-943-11216/16/2010200-737-876-1041 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 57 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 6/17/2010300-747-887-10547/30/2010-300-780-926-1101 6/18/2010300-761-904-10748/2/2010-800-765-909-1081 6/21/2010-400-775-920-10948/3/20100-728-864-1028 6/22/2010800-756-898-10688/4/2010200-728-864-1028 6/23/2010-100-794-943-11218/5/2010-200-737-876-1041 6/24/2010100-789-937-11148/6/2010-300-728-864-1028 6/25/2010-200-794-943-11218/9/2010-300-713-848-1007 6/28/2010-300-784-932-11088/10/2010-100-699-831-987 6/29/2010200-770-915-10888/11/2010100-695-825-981 6/30/2010-200-780-926-11018/12/2010-300-699-831-987 7/1/20100-770-915-10888/13/2010-700-685-814-967 7/2/20100-770-915-10888/16/2010500-652-775-921 7/5/2010-100-770-915-10888/17/2010-700-676-803-954 7/6/2010-100-765-909-10818/18/2010-100-643-763-907 7/7/2010600-761-904-10748/19/2010600-638-758-901 7/8/2010-100-789-937-11148/20/2010-100-666-791-941 7/9/20100-784-932-11088/23/2010-300-661-786-934 7/12/20100-784-932-11088/24/2010200-647-769-914 7/13/2010300-784-932-11088/25/20100-657-780-927 7/14/2010-100-799-949-11288/26/2010-300-657-780-927 7/15/20100-794-943-11218/27/2010-1400-643-763-907 7/16/2010100-794-943-11218/27/2010400-576-685-814 7/19/20100-799-949-11288/27/2010-200-595-707-841 7/20/2010-100-799-949-11288/27/2010600-586-696-827 7/21/2010100-794-943-11218/30/2010-200-614-730-867 7/22/20100-799-949-11288/31/2010600-605-718-854 7/23/2010-200-799-949-11289/1/2010400-633-752-894 7/26/20100-789-937-11149/6/2010600-652-775-921 7/27/20100-789-937-11149/7/2010300-680-808-961 7/28/20100-789-937-11149/8/2010-200-695-825-981 7/29/2010-200-789-937-11149/9/20100-685-814-967 7/30/2010-300-780-926-11019/10/2010-500-685-814-967 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 58 Bang 3.12. Kt qua hu kim VaR vi danh mc P ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 9/17/2009-1495-3988-4737-563111/6/2009-5445-5296-6292-7479 9/18/2009492-3928-4666-554611/9/2009-1126-5078-6032-7171 9/21/20092977-3947-4689-557411/10/2009658-5033-5978-7107 9/22/20094129-4067-4831-574311/11/2009309-5059-6009-7144 9/23/20095123-4233-5028-597711/12/2009-3618-5071-6024-7161 9/24/20094292-4438-5272-626711/13/2009-1794-4926-5852-6956 9/25/20091299-4611-5477-651111/16/20092970-4854-5766-6855 9/28/20091631-4663-5539-658411/17/2009980-4973-5908-7023 9/29/20092143-4728-5617-667711/18/20094960-5013-5955-7079 9/30/2009-4120-4814-5719-679811/19/20091837-5212-6191-7360 10/1/20091834-4649-5522-656511/20/2009-4286-5286-6279-7464 10/2/20094123-4723-5610-666911/23/2009-465-5114-6074-7221 10/5/2009631-4888-5806-690211/24/20093957-5095-6052-7195 10/6/2009-1980-4913-5836-693811/25/2009299-5254-6241-7419 10/7/2009-3967-4834-5742-682611/26/2009-5947-5266-6255-7436 10/8/20092957-4675-5553-660111/27/2009-5455-5027-5971-7099 10/9/20095781-4793-5694-676911/30/2009-5947-4808-5711-6789 10/12/20094615-5025-5970-709612/1/2009-1133-4569-5428-6452 10/13/20096275-5211-6190-735812/2/2009-1143-4524-5374-6388 10/14/20096771-5463-6489-771412/3/2009-1478-4478-5319-6323 10/15/20096771-5734-6812-809812/4/2009-26-4419-5249-6240 10/16/20096601-6006-7135-848212/7/2009-970-4417-5247-6238 10/19/20093944-6271-7449-885612/8/20092963-4379-5201-6183 10/20/20094940-6430-7638-907912/9/2009166-4498-5342-6351 10/21/2009-1010-6628-7873-935912/10/20090-4504-5350-6360 10/22/2009-4103-6587-7825-930212/11/2009-3130-4504-5350-6360 10/23/2009-2794-6423-7629-907012/14/2009-2797-4379-5201-6183 10/26/20093282-6310-7496-891112/15/2009-4465-4266-5068-6024 10/27/2009-2644-6442-7653-909712/16/2009189-4087-4855-5771 10/28/2009-4771-6336-7526-894712/17/20094136-4095-4864-5782 10/29/2009-7265-6145-7299-867712/18/2009-2329-4261-5061-6017 10/30/2009-1784-5853-6952-826512/21/2009-2801-4167-4950-5885 11/2/2009-5608-5781-6867-816412/22/2009189-4055-4817-5726 11/3/20091482-5556-6600-784612/23/20094960-4062-4826-5736 11/4/2009-1179-5616-6671-793012/24/20092967-4261-5062-6018 11/5/2009-6771-5568-6614-786312/25/2009-4296-4381-5204-6186 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 59 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 12/28/20091987-4208-4999-59422/26/2010-664-4347-5163-6138 12/29/20094794-4288-5093-60553/1/2010342-4320-5131-6100 12/30/2009973-4480-5322-63273/2/20101492-4334-5148-6120 12/31/2009-664-4519-5368-63823/3/2010827-4393-5219-6204 1/4/2010-2302-4493-5337-63443/4/2010-13-4427-5258-6251 1/5/2010-1179-4400-5227-62143/5/2010-488-4426-5258-6250 1/6/20102000-4353-5171-61473/8/20102631-4407-5234-6223 1/7/20102133-4433-5266-62603/9/2010-488-4512-5360-6372 1/8/20102468-4519-5368-63813/10/20102801-4493-5337-6344 1/11/20105455-4618-5486-65213/11/20101990-4605-5470-6503 1/12/20105950-4837-5746-68303/12/20101967-4685-5565-6616 1/13/20102631-5076-6029-71683/15/2010-661-4764-5659-6727 1/14/2010-6445-5181-6155-73173/16/2010-1811-4737-5627-6690 1/15/2010-3458-4923-5848-69513/17/2010-658-4665-5541-6587 1/18/2010-2794-4784-5683-67553/18/2010160-4638-5510-6550 1/19/2010-1163-4672-5549-65973/19/2010-1811-4645-5517-6559 1/20/2010-3963-4625-5494-65313/22/2010-159-4572-5431-6456 1/21/2010-970-4466-5305-63063/23/2010654-4566-5423-6447 1/22/2010-498-4427-5259-62513/24/20102631-4592-5454-6484 1/25/2010-3963-4407-5235-62233/25/2010-2146-4697-5580-6633 1/26/2010-2302-4248-5046-59983/26/2010-821-4611-5478-6512 1/27/20101645-4155-4936-58683/29/2010-2319-4578-5438-6465 1/28/20103306-4221-5015-59613/30/2010-2146-4485-5328-6334 1/29/2010641-4354-5172-61493/31/20103315-4399-5226-6212 2/1/2010-4624-4380-5203-61854/1/2010495-4532-5384-6400 2/2/20101335-4194-4982-59234/2/2010664-4552-5407-6428 2/3/2010-505-4248-5046-59984/5/20101834-4579-5439-6466 2/4/2010-1156-4228-5022-59704/6/20101485-4652-5526-6570 2/5/2010993-4181-4967-59044/7/2010-2149-4712-5597-6654 2/8/20102970-4221-5014-59614/8/2010-339-4626-5495-6532 2/9/2010654-4340-5156-61294/9/2010-169-4612-5479-6513 2/10/2010-2973-4367-5187-61664/12/2010160-4605-5470-6503 2/11/2010-2475-4247-5045-59984/13/2010166-4612-5478-6512 2/12/20101335-4148-4927-58574/14/2010-3-4618-5486-6522 2/22/20101312-4201-4991-59334/15/2010-1316-4618-5486-6521 2/23/20102319-4254-5053-60074/16/2010332-4565-5423-6447 2/24/20101973-4347-5164-61394/19/2010169-4579-5439-6466 2/25/2010-1990-4426-5258-62514/20/2010-332-4586-5447-6475 Chuyn d thc tpAguyn Hai Dng1on 1i chinh - 49 60 ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 )ngy P&L thc t VaR ( 5) VaR (2,5) VaR (1 ) 4/21/20103309-4572-5431-64566/17/2010-10-4373-5195-6176 4/22/20102648-4705-5589-66446/18/20101983-4373-5195-6175 4/26/20102302-4811-5715-67946/21/2010-983-4453-5289-6288 4/27/20102468-4904-5825-69256/22/20103296-4413-52