Bài giảng môn quản trị rủi ro tài chính

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Ngày đăng: 22/08/2014, 21:12

Bài giảng môn quản trị rủi ro tài chính Tổng quan về rủi ro Rủi ro tài chính và rủi ro kiệt giá tài chính Sựxuất hiện và phát triển của các công c...................................................................    1                     2   !"#$%    &'()*+    , /-0 1 2)345 6,7)8-                   !"#        • ).1.5  • 9:0;*<;1.=-.5  • 9:0>21.=.5  • ,7).).1.>.;);5  • ?'@<;1).7>.;);5    3 "A BBBBBBBBBBBBBBBB    CD  ?EFA  G 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&U.+"2')*3.) .#&++/7T*)?&+".+//2/ )?03+/.)'+?2+"#7/*'#.*/3,&5 ").'#)*+)&+.+5+#J  ?+,)&,7)*77%&5,).+//2&' 2 22,+ '? 5 ) +#7 *  #   .+/ 7 / 2   7)*77%&?)?0.+/',)*.'3,&## '#)* 22,+U*37"%5. %*0@)+'+%.+%.,+/77,& 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,/)).#.+%&+.+#5+&&+ 5+"8"#C'0'",988+"6+8)?)*%& /')*88'?5-0)?)* %&8*")5 • N0*7'% • N0#,+/"# • N)*77&,X • N0X      10 ?E[VA !E %  T[   U  \    ]8--,2-* UF* '/  ,)    ! =    ]8--, UF* +%    &+"  2+"    ! =   \ 28^)I00-4 5!%   .#   =   ] )I0^)I00-4 5%.3&#T+/ 5&   &  M# =    28^)I0?) 75! %    D =   Z )I0^)I0?) 75.3&#T+/ 5&   &  M# =    _3,>9,-4RZ1!5 ,?!+% ^[_! =  II. ` &`   !" *  !"    )?*.#!" *  !"   \ '#!  2  F*   [...]... 14 R 15 R &u tiên thanh toán khi phát mãi tài s n c a công ty b phá s n * Chi phí tòa án, lu t s * N ti n l ng công nhân viên (có gi i h n t i a) * N thu Nhà n c * Ch n có th ch p, b o m * Ch n không cb o m * C ông c phi u u ãi * C ông c phi u th ng i ro tài chính i ro thanh kho n i ro do mua l i ch(ng khoán i ro do chuy'n i ch(ng khoán i ro chính tr i ro trong ngành ho t )ng II CÁC PH NG PHÁP PHÂN... gi m b t r i ro, n càng l n m c gi m r i ro càng l n nh ng cu i cùng portfolios c(ng còn ph!n r i ro không th gi m c b)ng cách phân tán, ta g i ó là r i ro h th ng R i ro có th phân tán T ng r i ro R i ro h th ng (không th phân tán) S c phi u trong portfolios 2 Phân tán qua nhi"u ngành Nhi u nhà t v n cho r)ng ch n danh m c !u t g*m nhi u ngành thì có th phân tán c r i ro t t h n ch ch n trong m t ngành... su t phá s n nh sau L* − µp L − µp 1 n =P > ≤ σp σp L* − µp n σp 33 2 = 1 z2 1 k2 PHÂN TÁN I 1 2 3 4 5 6 NGU N C A S B T UT NH TRONG UT R R R R R R • i ro do thi!u thông tin v" công ty i ro do lãi su t i ro t# giá i ro do l$a ch%n i ro do nh th&i i'm i ro v" s(c mua X y ra do l m phát, khi cùng s ti n nh ng không mua c l ng hàng hóa nh tr c ây • Ch s giá c (Consumer price index -CPI) là giá c a m t gi... +ng Wagner và Lau ã nghiên c u v n gi m thi u r i ro khi phân tán !u t n gi n ch trong m t m c ch t l ng (ph n ánh r i ro do v" n ), k t qu nghiên c u cho th y: • V-n có th gi m thi u r i ro nh khi phân tán !u t n gi n qua các m c ch t l ng khác nhau • V i các m c ch t l ng khác nhau r i ro t i thi u có th t n khác nhau M c ch t l ng càng cao thì r i ro có th t n càng th p và l i su t c(ng th p t ng... su t danh ngh a ph i là e= − + = = e 7 R i ro do bi!n )ng th tr &ng 8 R i ro do qu n lý 9 R i ro do v* n+ (Default risk) • Khi công ty t m th i không tr c n do thi u h t ti n m t ta nói công ty b m t kh n#ng chi tr v m t k$ thu t %i u này có th x y ra cho c nh ng công ty ang có l i nhu n cao • Khi tài s n c a công ty ít h n n , công ty b m t kh n#ng chi tr trong tình tr ng phá s n M t công ty m t kh... R I RO TRONG M T DANH M C B O HI M 31 CÁC R I RO 1 Các C L P VÀ KHÔNG NG NH T c tr ng c a t n th t trung bình L () L1 + L 2 + + L n M(L1 ) + M(L 2 ) + + M(L n ) = = n n () L1 + L 2 + + L n D(L1 ) + D(L 2 ) + + D(L n ) = = σ2 P 2 n n ML =M DL =D p 2 Xác su t phá s n Xác su t phá s n: P L > V OL L* n NG M C 1 Hi p ph L* − µp n =P z> σp T NG QUAN GI A CÁC R I RO ng sai (Covariance) N u các r i ro ph... = M[(X 1 − µ1 )(X 2 − µ 2 )] = M (X 1 X 2 ) − µ1µ 2 2 H s t ng quan (Correlation) H s t ng quan c a hai bi n ng u nhiên X1 và X2 chính là hi p ph l i n v o, c nh ngh a nh sau r1, 2 = ng sai sau khi ch nh σ1 , 2 σ1σ 2 VI GI M THI U R I RO TRONG M T DANH M C B O HI M CÁC R I RO PH THU C L N NHAU 1 Các () ML =M c tr ng c a t n th t trung bình L L1 + L 2 + + L n M(L1 ) + M(L 2 ) + + M(L n ) = = n n 32... L T +/ # )2 #' L T +/ 3 ' % ) 2 0 * -: +# " % ( /7 3 &? 2) 7 &+" 9 +"8 + 0 V G M) 2 ' X & 0 1W N 0 7 0 # A ' # # 2 + 4 0 , ,+.+ 30 +4 LÝ THUY T PORTFOLIO VÀ QU N TR R I RO III GI M THI U R I RO TRONG M T DANH M C B O HI M CÁC R I RO C L P VÀ NG NH T 1 nh lý gi i h n trung tâm Phân ph i c a giá tr trung bình c a n bi n ng u nhiên c l p và chung phân ph i, m i bi n có trung bình µ và ph ng sai σ 2 ,... t qu !u t cho trong b ng d i ây Th&i gian và th&i ti!t t=1 t=2 t=3 t=4 M a N.ng & M a N.ng & M a R i ro N.ng L i su t c a H -10% 35% 20% 15% 0.263 L i su t c a D 30% -15% 0 5% 0.263 L i su t c a dm t 10% 10% 10% 10% 0 2 L+i su t và r i ro c a danh m-c ,u t N u ta phân b !u t trên n ch ng khoán, m,i ch ng khoán có l i su t ri và r i ro σ i , h s t ng... các r i ro không c l p, phân ph i c a L không th x p x chu n Trong tr ng h p này mu n tính xác su t phá s n ta ph i dùng b t ng th c Chebyshev, phát bi u nh sau X − µx V i m i bi n ng u nhiên X có phân ph i b t k , P V n d ng b t P L> L* n ng th c trên cl σx >k ≤ ng xác su t phá s n nh sau L* − µp L − µp 1 n =P > ≤ σp σp L* − µp n σp 33 2 = 1 z2 1 k2 PHÂN TÁN I 1 2 3 4 5 6 NGU N C A S B T UT NH TRONG
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