Ty gia giao
Ouyilt Lgi ich T6ng Tong lgi
ngay (cfmg T6ng thu cho
Tnv6'ng
la chi phi djnh thl,J'C
CHF1 (c6 tinh cua thu cua ich cua hgp nilu khong hien
chi phi quytm) phong hgp phong
phong ho) quyen hQ d6ng hQ
1 1 C6 1.15 0.15 1150000 150000
2 1.05 C6 1.15 0.1 1150000 100000
3 . 1.1 C6 1.15 0.05 1150000 50000
4 1.15 C6 1.15 0 1150000 0
5 1.2 Khong 1.15 -0.05 1150000 -50000
6 1.25 Khong 1.2 -0.05 1200000 -50000
7 1.3 Khong 1.25 -0.05 1250000 -50000
Trong trumng hop dau tin, neu gia giao ngay tai thi diem ngan hang nhan CHF ve la CHF1=USD1.00, ngan hang se thrc hien quyen vi ngan hang co the ban gia giao dich theo quyen la 1.20. Tong thu ve cho CHF1 bao gom gia ban tru quySn phi:
1.20-0.0S=USD 1.15
So voi ty gia giao ngay (1.00), ngan hang c6 lqi 0.15 m6i CHF. T6ng lgi nhuan cua viec phong ho la USD150.000. Ngan hang se thrc hien quyen khi gia giao ngay thap hon gia ban theo quySn. Gia CHF cang tang. !qi nhuan mang lai tr hop dong quyen cang gim. Khi gia giao ngay giam xuong bang gia giao dich theo quyen, ngan hang se khong thre hien quyen va tong ton that trong trun g hop nay dung bang chi phi mua quyen:
1.000.000x0.05 = USDS0.000
Day cung chinh la mre 1 toi da ma hop dong quyen gay ra cho ngan hang. Dieu nay co the duye thy ro trong bieu do duoi day ve gia tri ni te cua trang thai khi gia giao ngay thay doi.
ffinh 4.11. H(J'p il6ng quyin ch(Jn khi tNpig tluii rimg duãung
Phong
hQ
Vl
,,cii 1. 150.000 i=
o~ ---~ ---
giagiao dich theoquyen= 1.20
4.2.3.5.Sud1;1ng h(Jp il6ng /wan il6ingo(li tr(Swap)
Hoat dong cua ngan hang thuong mai luon an chra nhmng bat can di gifra tai san va ngu6n v6n. C6 nhfrng b&t can d6i nhu du truc k han hay du true lai su&t thu<)c vS ban chat hoat dong. c6 nhfrng b&t can d6i t?m thai ngan hang co the dieu chinh. Khi ngan hang c6 nhieu trang thai ngoai te khac nhau, ngan hang co the tim cac d6i tac c6 nhu cu de "trao d6i" cac dong thanh toan hoc thu nhp nham lap lai can bang ngoai hoi gira tai san va ngu6n v6n, VS ban ch&t, hqp d6ng hoan doi ngoai te giong nhu m9t danh mue cac hop dongk han co nhieuk han khac nhau va nhieu ty gia k han khac nhau (ho?c gi6ng nhau). Hgp d6ng hoan d6i r&t linh hoat ve ky han, keo dai tr vai thang den 20 nam.
Vi du mot ngan hang Anh c6 chi nhanh tai Canada va Nh?t Ban. Ngan hang co trang thai ngoai te nhu sau:
- Trang thai rang duong CAD 100.000.000 do thi trnCY11g Canada c6 nhu du tiSn gfri cao.
- Trang thai rang am JPY 11.878.346.724 do nhu du vay von tai Nh?t Ban cao.
- V&i ty gia hien tai, GBPI=IPYI 18.7835 thi co the noi lm;mg v6n cho vay t?i thi trnCY11g Nh?t Ban dugc dap mng bi von huy d<)ng tu thi truCY11g Canada.
Trang tinh hu6ng nay ngan hang d6i m?t voi rui ro ty gia do S\f b&t can xung cua tai san va ngu6n v6n. TrnCY11g hgp x&u nh&t la d6ng JPY m&t
G iJ giao nga•y
gia v&i d6ng CAD, khi d§.y chi phi huy d<)ng v6n tang tuang d6i so v&i thu nh?p lai tu cho vay. De lap lai can d6i, ngan hang co the tim m9t t6 chrc tai chinh c6 nhu du nguqc l;;ii, tuc la co trang thai rong am v&i d6ng CAD va duang v&i d6ng JPY. Khi d6 2 t6 chuc se l?p hqp d6ng trao d6i cac dong tien de loai bo chenh l@ch trong cac trang thai ngoai te.
Hqp d6ng c6 thS duqc c§.u true nhu sau:
- Dinh k 6 thang, ngan hang Anh se chuySn cho doi tac JPY 400.000.000, tuang duang vm 1 phfu1 thu nh?p laitukhoan cho vay d6ng JPY.
- D6ng thoi d6i tac chuySn cho ngan hang GBP 3.000.000.
- Nhu vay ty gia ngftm djnh trong giao dich hoan di nay la GBPI =JPY133.33.
- Ty gia ngftm dinh nay c6 hi?u làc thao thu?n trong vong 2 nam.
V&i giao djch hoan doi nay, trong thoi gian 2 nam, thu nhap tr khoan cho vay JPY co the dam bao du thanh toan cho chi phi huy d<)ng v6n. Ro rang rui ro ngoai hoi cua ngan hang phftn nao giam bat b&i dong tien vao va ra cua 2 ngoai te can d6i. Cà thS:
- Dong tien tra lai tien gui CAD du e bu dap boi dong thanh toan bing CAD cua d6i tac.
- Dong thu nh?p tu cho vay JPY duqc dung de thanh toan cho di tac.
Mc du hqp d6ng hoan doi giup ngan hang phong he) hi?u qua rui ro ngoai hi, do vi@c tim kiem va ket ni cc to chrc co nhu cau khac nhau kha phuc t;;ip nen bi?n phap nay khong duqc SU dàng r<)ng rai nhu 3 cong Cl,l
phong ho da de cap.
4.2.3.6. Sudl!,ng ctic congC(lgiui h<Jn
Rui rot gia lun gan lien voi hai yu to: sr bien dong cua ty gia va trang thai ngo;;ii t? d6i vm tun g dong tin/danh muc dong tien. Cac cong Cl,lphai sinh duqc ngan hang SU dung de han che anh huang cua sr bien dong cua ty gia toi ket qua kinh doanh. Ben c?nh cac cong Cl,l phai sinh , de kiem soat rui roty gia, cac ngan hang thucmg tuan thu cac cong Cl,l gioi han. Cac cong Cl,l gim han chu yeu ma ngan hang sr dung de giam sat rui ro ty gia gom:
- Giui h<Jn d6i tac: Ngan hang co the dua ra cac gioi han giao dich doi v6i tmng doi tac/nhom doi tac Cl,l thS. Cac gi6i h;;in nay bao g6m gioi han thanh toan hang ngay (s6 ngoai te toi da duqc giao dich), gioi han k han
(so ngoai te t6i da duqc giao djch k han) gioi han nhom d6i tac (gioi han so ngoai te toi da giao djch v&i m(>t nhom d6i tac cu the)...
- Gi6'i luJn trt,111g tluii (NOP):D6i v&i tung NHTM, khi duy tri trang thai ngoai te mo (duong ho4c am) bang bat k ngoai te nao, du chju rui ro ty gia. Thong throng. trang thai cua moi ngoai te hay tong trang thai ngoai t~ duqc guy djnh biing ty I~ % nhit djnh tren v6n tv c6 cua NHTM. Ngoai ra, m9t phuong phap khac cilng co the dung do la quy dinh trang thai ngoai t? theo nguyen t? (s6 luqng tuy?t d6i) cua tr g ngoai t. Tuy nhien, ve mat
lthuyet thi co thJ quy dinh trang thai ngoai te biing % tren t6ng tai san n6i chung, tai sin co bang ngoai te.... Gioi han trang thai co the gom:
• H?n muc trong ngay (Intra-day limits): La gi&i h?n tr?ng thai trong gia lam vi?c binh tlmang khi ma thi truang dja phuang ma, cac giao djch vien co thJ dong trang thai cua minh m(>t each kh6ng kho.khan gi.
• H?n muc qua dem (Overnight limits): La s6 luong ngoai te cua trang thai macho phep khi thj truang dja phuang dong cra. Han mrc trang thai nay thong thucmg nh6 hon han mrc trang thai trong ngay dJ phong tranh sv mit
mat trong khoang thm gian ma ta khong the lam gi de dong trang thai lai.
- Gi6'i lu;m ct'itiJ (stop- loss limits): H?n muc ciit 16 dam bao riing cac giao djch vien dong trang thai cua minh v&i m9t muc 16 khong vuqt qua m(>t muc nao d6, de dam bao gioi han ton thit khong di qua gioi han cho phep.
- Gioihan tong tr(lng tluii tren sJ stich (Total book Limits): La t6ng han mrc cua tiit ca cac loai ngoai te v&i tiit ca cac nghi?p Vl,I pbat sinh cua ngan hang. Han mrc nay thiet lap tong mre trang thai cua tat ca cac san pham nghiep vu vi hai ldo chinh sau:
• M9t ngan hang chi c6 m(>t s6 luqng v6n nhl1t djnh ma can de dam bao cho cac rui ro trong va ngoai bang tong ket ti san. Neu mot tong trang thai qua 16n thi phai dn m(>t luqng v6n 16n.
• Co rui ro khi giao djch vien giao djch qua han mre, dieu nay r&t nguy hiem doi v&i cac giao djch vien it kinh nghiem, co the gay ra nhfrng t6n th.it l&n cho ngan hang.
TOM TAT CHUONG
Chuong 4 da gii thieu nhmng van de co ban ve khai niem rui ro t
gia, khai niem trang thai ngoai te, trang thai dong tien va cac bien phap nhan di?n, do lucmg, giam sat, kiem soat rui ro ty gia. Tuy vao khau vi rui ro va quy mo ma cac ngan hang co the dua ra cac chi~n luqc quan tri rui ro ty gia khac nhau, dam bao an toan va hi?u qua ho;;it d9ng.
T' KHOA
Tieng Viet Tieng Anh
1. Rui ro ty gia 1. Exchange rate risk 2. Gia tri rui ro 2. Value at Risk (VaR)
3. Kyvong 3. Mean
4. D9 l?ch chu§.n 4. Standard Deviation 5. Phuong phap tham s6 5. Parametric method
6. Phuong phap phurong sai - hiep 6. Variance - covariance method
phuong sai 7. Historical simulation
7. Mo ph6ng lich sfr 8. Monte Carlo simulation 8. Mo phc'mg Monte Carlo
CAU H I VA BAI TAP
Bai 4.1
Cho ket qua kiem dinh ADF voi chuoi ty gia USD/VN. T ket qua sau day co the ket lun chu i dmg voi mre ynghia 5% khong?
ADF Test Statistic -0.1508 5% Crihcal Value -2.8734 a. Tr bang ket qua sau day hay viet phuong trinh dr bao sai lech ty gia k han I ngy cua ngay hom nay voi ngay hom qua, v6i D(USD) la chu6i sai phan ty gia USD.
Dependent Variable: D(USD) Method Least Squares
Sample{adjusted): 12/05/2014 11/17/2015
Included observations: 248 after adjusting endpoints Backcast: 12/04/2014
Variable Coefficient Std. Error t-Statistic Prob.
C 4.451339 2.274538 1.957030 0.0515
AR(1) 0.239809 0.412795 1.580938 0.0418
MA(1) -0.374794 0.394261 -1.950624 0.0427
b. Hay dl,.I' bao mre ty gia USD/VND cho ngly 18/11/2015. Thu thap ket qua thre te va so sanh.
B i 4.2
Danh muc dau tr ngoai hoi P dau tr vao hai ngoai t la USD va
EUR voi mre ty trong tuang t'.rng la 0.7 va 0.3. Cho bang vec to trung binh va ma tran hiep phuong sai cua hai chuoi li suat ty gia theo ngay RUSD va REUR:
Trung binh Ma tran hiep phvong sai
RUSO REUR
0.000207 RUSO 0.0000039 0.0000049
-0.000348 REUR 0.0000049 0.0000636
Gia thiet RUSD va REUR c6 phan phoi chuan. Biet N'(0.01)= -2.33 a. Tinh VaR(l ngay, 99%) cua danh muc P. Neu y nghia cua gia tri tinh duqc.
b. Tinh toan lqi su.it cua danh m1,1c P cho 120 ngay, ta lay ra 10 gia tri
!qi suat nho nhat:
- 0.01309431 - 0.00650357 - 0.00632913 - 0.00612323 - 0.00478468 - 0.0047728 - 0.00466189 - 0.00461453 - 0.00355352 - 0.00339870 Tinh VaR(I ngay, 95%) cua danh muc P bang phuong phap mo phong lich su.
Bai 4.3
Danh muc dau tu ngoai hoi P dau tr vao hai ngoai te la SGD va JPY voi mrc ty trong tuong ung la 0.6 va 0.4. Cho bang vec ta trung binh va ma tran hi@p phuong sai cua hai chu i li suat ty gia theo ngay RJPY va RSGD:
Trung binh Ma tran hi@p phuong sai
RJPY RSGD
0.000150 RJPY 0.0000366 0.0000140
-0.000061 RSGD 0.000014 0.0000194
Gia thi€t RJPY va RSGD co phan phoi chuan. Biet N'(0.01)= -2.33 a. Tinh VaR(l ngay, 99%) cua danh mg P. Neu y nghia cua gia tri tinh duqc.
b. Tinh toan !qi suat cua danh muc P cho 100 ngay, ta lay ra 10 gia tri
!qi su.it nho nh.it:
- 0.01085753 - 0.01025799 - 0.00898879 - 0.00685889 - 0.00646083 - 00643605 - 0.00631170 - 0.00597853 - 0.00572187 - 0.00491836 Tinh VaR(l ngay, 95%) cua danh mgc P bang phuong phap mo phong lich su.
Bai 4.4
Danh muc dau tu ngoai hoi P dau tu vo hai ngoai te la EUR va SGD voi mrc ty trong tuong ung la 0.8 va 0.2. Cho bang vec to trung binh va ma tran hi@p phuong sai cua hai chuoi lgi suat t gia theo ngay REUR va RSGD:
Trung binh Ma tran hi@p phuong sai
REUR RSGD
-0.000348 REUR 0.0000636 0.0000209
-0.000061 RSGD 0.0000209 0.0000194
Gia thiet REUR va RSGD c6 phan phoi chuan. BietN'(0.01)=-2.33 a. Tinh VaR(I ngay, 99%) cua danh mu P. Neu y nghia cua gia tri tinh duge.
b. Tinh toan lgi suat cua danh muc P cho 140 rgay, ta lay ra 10 gia tri loi suat nho nhat:
- 0.016504 - 0.01602259 -0.01309170 -0.01203626 - 0.01072985
0.0106956- 0.0105901 -0.01038293 -0.01037498 -0.01035943 Tinh VaR(I ngay., 95%) cua danh muc P bang phuong phap mo phong lich st.
Bi 4.5
Cho ket qua kiem dinh ADF va luge do trtuong quan cua cac chui sau:
R_EUR/GBP
ADF Stat -12.77 1% Critical Value 5% Critical Value
10% Critical Value
-3.4587 -2.8735 -2.5731
Autocorrelation Partial Correlation AC PAC 0-Stat Prob
1 -0.436 -0.436 47.946 0.000 2 -0.073 -0.326 49.309 0.000 3 0.001 -0.253 49.309 0.000 4 0.054 -0.133 50.055 0.000 5 -0.109 -0.231 53.086 0.000 6 0.146 -0.035 58.545 0.000 7 -0.146 -0.182 64.045 0.000 8 0.073 -0.108 65.416 0.000
I I I I 9 0.036 -0.028 65.746 0.000
R_EUR/JPY
ADF Stat -11.26 Critical Value
5% Critical Value 10% Critical Value
-3.4587 -2.8735 -2.5731
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
1-0.556 -0.556 77.815 0.000 2 0.055 -0.367 78.592 0.000 3 0.084 -0.130 80.381 0.000 4-0139 -0.200 85.323 0.000 5 0.083 -0.143 87.102 0.000 6 0.000 -0.077 87.102 0.000 7 -0.083 -0.159 88.894 0.000 8 0.028 -0.220 89.094 0.000 9 0.111 -0.016 92.319 0.000
4n n420 nn22 072 nnnn
ADF Stat -11.26
Autocorrelation
Critical Value -3.4587 5% Critical Value -2.8735 10% Critical Value -2.5731
Partial Correlation AC PAC 0-Stat Prob
1-0.556 -0.556 77.815 0.000 2 0.055 -0.367 78.592 0.000 3 0.084 -0.130 80.381 0.000 4-0.139 -0.200 85.323 0.000 5 0.083 -0.143 87.102 0.000 6 0.000 -0.077 87.102 0.000 7-0.083 -0.159 88.894 0.000 8 0.028 -0.220 89.094 0.000 9 0.111 -0.016 92.319 0.000
1n n120 nn92 07 2 n nnn
a. Kiemdinh tinh dmng cua cac chuoi
b. Vi luge do trtuong quan cua cac chuoi D(EPI), hay neu mot mo hinhphudedrbao cho D(EPI), giai thich tai sao?
TAI LIEU THAM KH AO
1. Phan Thi Thu Ha (2013), Gio trinh Ngan hang thuong mai, Nha xuat ban Dai hoc Kinh te quoc dan.
2. Hoang Dinh Tuan (2012). Cc m hinh phan tich va dinh gia ti san tai chinh, Tap I, Nha xuat ban Khoa hoc va Ky thuat.
3. Peter Rose, Sylvia C.Hudgins (2013), Bank Management and Financial Services, McGraw Hill, International Edition
4. Michael Papaioannou. Exchange Rate Risk Measurement andManagement: Issues and approaches for Firms, IMF Working Paper, WP/06/255.
5. Rasmus Mikkelsen & Jesper Dahlgaard (2013). Foreign Exchange Rate RiskMeasurement and Management of a Group of Companies headquarted in Germany and doing Business in US and China, master thesis, Aarhus University.
6. Ali Habibnia (2013). Exchange Rate Risk Measure and Management, LSE Risk and Stochastic Group, UK.
7. Thong tr so 07/2012/TT-NHNN quy dinh ve trang thai ngoai te.
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