BỘ GIÁO DỤC VÀ ĐÀO TẠO
TRƯỜNG ĐẠI HỌC QUỐC TẾ HỒNG BÀNG
Các chủ đề:
1. …
2. …
3. MÔ HÌNH ĐO LƯỜNG RỦI RO: ĐỘ LỆCH CHUẨN, GIÁ TRỊ CHỊU RỦI
RO (VALUE AT RISK)
GVHD: TS. Lê HoàngVinh
MÃ LỚP: VS22CH3-NH1
NHÓM SINH VIÊN THỰC HIỆN
1. LƯƠNG DUY TRƯỜNG
MSHV: 2226050001
2. PHAN THỊ THANH MAI
MSHV: 2226050005
3. HÀ THỊ YẾN
MSHV: 2326050002
TIỂU LUẬN TÀI CHÍNH PHÁI SINH
Năm 2024
PHẦN ĐÁNH GIÁ CỦA GIẢNG VIÊN
 Hình thức, trình bày:
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 Nội dung:
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Điểm tiểu luận:
Bằng số
Bằng chữ
Chữ ký giảng viên
LÊ HOÀNG VINH
Chủ đề 3: MÔ HÌNH ĐO LƯỜNG RỦI RO: ĐỘ LỆCH CHUẨN, GIÁ TRỊ
CHỊU RỦI RO (VALUE AT RISK)
Mỗi học viên lựa chọn danh mục đầu tư tối thiểu 5 cổ phiếu niêm yết tại Việt
Nam, hoặc Danh mục cho vay tại ngân hàng đang công tác. Dữ liệu có thể tham
khảo và sử dụng theo bên dưới, hoặc tự thu thập cho trường hợp khác.
(1) Đo lường rủi ro của danh mục bằng độ lệch chuẩn, giá trị chịu rủi ro.
Nếu sử dụng dữ liệu do GV cung cấp, anh/chị tính giá trị chịu rủi ro (VaR)
theo ngày với xác suất (1+x)% trong đó x là số cuối cùng của mã số học viên.
Biết rằng tỷ trọng từng cổ phiếu và giá trị danh mục đầu tư tùy ý (học viên tự
cho số liệu).
(2) Căn cứ khẩu vị rủi ro của cá nhân, học viên tự đưa ra độ lệch chuẩn và giá trị
chịu rủi ro mục tiêu; từ đó phân tích/thảo luận chiến lược điều chỉnh rủi ro của
danh mục đầu tư.
Bài làm
Theo bài ra ta có 5 danh mục đầu tư như sau:
Ngày
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
AAA
-1.72%
0.00%
1.05%
-1.39%
2.46%
-1.03%
-0.35%
-1.05%
2.82%
1.71%
-1.68%
-1.37%
0.00%
0.69%
-0.69%
0.35%
-0.69%
-0.70%
0.00%
0.35%
1.40%
1.38%
1.02%
3.70%
0.97%
AAM
ABT
-0.75%
0.00%
-4.92%
5.98%
0.00%
-2.26%
-1.54%
1.56%
0.00%
2.69%
0.00%
0.00%
0.37%
-1.49%
-3.41%
3.53%
1.89%
0.00%
0.37%
1.85%
0.00%
-2.55%
0.00%
0.00%
-2.24%
ACC
-5.37%
2.70%
3.95%
2.91%
5.54%
0.12%
0.00%
-1.05%
1.18%
0.00%
0.00%
2.33%
-2.27%
4.65%
0.00%
0.00%
-1.11%
1.12%
-1.11%
0.00%
-3.15%
0.00%
2.09%
4.55%
-1.09%
ACL
2.80%
-6.82%
2.44%
0.00%
0.00%
0.00%
-2.38%
6.34%
0.00%
-0.46%
-0.92%
0.93%
-0.92%
0.00%
-0.47%
0.00%
-4.21%
0.00%
6.34%
-5.50%
4.37%
-0.23%
4.90%
-3.11%
0.00%
-5.30%
3.85%
6.73%
4.10%
3.03%
-4.71%
-0.46%
-2.02%
2.85%
-3.23%
1.43%
3.76%
0.45%
6.92%
6.89%
6.97%
1.35%
-6.31%
6.99%
1.33%
-1.67%
0.85%
1.20%
-3.10%
6.39%
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
-0.32%
-0.32%
0.00%
-2.91%
0.00%
0.33%
1.33%
-0.33%
-0.99%
1.66%
-1.63%
2.33%
6.82%
0.91%
0.30%
-1.20%
-3.95%
3.48%
0.61%
-1.52%
0.00%
0.62%
0.61%
-2.44%
-0.31%
0.94%
1.24%
-1.53%
0.62%
0.93%
3.07%
0.30%
2.67%
-0.58%
1.16%
-0.29%
2.02%
6.78%
-2.12%
0.00%
2.16%
2.38%
-6.98%
-1.11%
1.40%
-3.60%
1.15%
2.84%
-1.10%
3.35%
-1.62%
-2.47%
-3.66%
0.76%
0.76%
3.38%
0.36%
1.09%
0.00%
-0.36%
0.72%
0.00%
-5.71%
5.30%
-2.88%
3.70%
0.00%
-5.71%
4.55%
-1.45%
2.94%
0.00%
0.00%
0.00%
1.43%
1.41%
-6.94%
5.97%
2.11%
-5.86%
4.03%
2.82%
1.37%
-0.68%
0.68%
0.00%
0.00%
0.00%
3.72%
6.84%
5.18%
-1.45%
4.71%
-18.54%
0.00%
-2.76%
0.71%
-4.23%
2.94%
-1.43%
0.00%
-0.36%
-0.73%
-1.10%
0.00%
0.00%
0.00%
-1.10%
0.00%
0.00%
-3.33%
-1.15%
2.21%
0.00%
-2.16%
2.33%
-3.41%
1.18%
0.00%
1.05%
-1.04%
-0.12%
-0.12%
-3.26%
0.00%
0.00%
0.00%
2.41%
0.00%
-3.41%
-2.31%
1.25%
0.99%
-0.49%
6.62%
-2.30%
-3.53%
3.66%
-5.88%
1.75%
-1.72%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-1.00%
0.00%
-4.04%
0.00%
0.00%
0.00%
0.00%
1.18%
0.00%
0.00%
1.43%
0.92%
-4.55%
2.38%
0.93%
1.38%
-0.45%
-2.28%
-2.10%
1.67%
0.47%
1.40%
0.23%
0.46%
0.00%
-0.23%
-0.23%
0.00%
-0.23%
-0.46%
0.00%
-0.46%
1.63%
-1.14%
0.00%
-1.39%
0.94%
-0.93%
0.00%
0.00%
0.00%
1.41%
0.46%
0.00%
-3.23%
-6.90%
1.79%
-1.76%
-0.77%
1.29%
-3.31%
0.53%
0.26%
-0.78%
1.58%
-1.55%
1.05%
1.30%
-2.31%
1.84%
0.00%
0.00%
0.00%
0.52%
-4.16%
-0.24%
-1.45%
0.74%
-1.46%
-4.20%
-0.13%
3.74%
-4.23%
3.12%
-1.01%
0.38%
0.13%
-0.76%
-0.38%
0.38%
-2.81%
-3.67%
1.36%
0.40%
-0.94%
0.27%
5.93%
-0.76%
-0.64%
-3.10%
0.67%
-1.59%
-0.67%
-0.41%
-0.82%
-0.55%
-2.20%
2.25%
0.00%
6.61%
-1.29%
-0.79%
-2.37%
6.89%
5.69%
6.46%
3.37%
-6.96%
-1.64%
0.00%
-2.49%
-0.12%
2.44%
-0.95%
0.96%
-2.38%
-2.44%
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
2.05%
-0.86%
-2.31%
1.78%
0.00%
1.45%
0.00%
0.57%
0.85%
-0.85%
-1.42%
2.31%
-1.69%
1.15%
0.57%
3.67%
-1.09%
-2.20%
-2.54%
0.29%
0.29%
-0.57%
2.60%
1.13%
-0.84%
-1.40%
1.71%
1.40%
-0.28%
3.05%
-1.34%
0.00%
0.27%
-0.27%
0.00%
-1.91%
1.94%
2.18%
-0.80%
0.27%
0.00%
2.14%
0.52%
0.52%
-1.82%
-1.06%
0.53%
0.27%
0.00%
-1.86%
0.54%
1.08%
-1.06%
-1.48%
-3.01%
-3.88%
0.40%
0.80%
-1.99%
-3.25%
6.72%
5.12%
0.37%
-1.87%
0.76%
-0.38%
-6.82%
4.07%
-1.56%
-2.38%
-3.25%
3.36%
-2.44%
6.25%
-5.88%
5.00%
-5.95%
0.00%
5.49%
-6.80%
1.29%
-4.24%
4.42%
0.00%
0.00%
-5.93%
6.76%
-0.42%
-2.97%
0.44%
-0.87%
6.58%
-4.12%
4.72%
0.82%
-5.28%
0.00%
2.15%
-2.10%
0.00%
-1.29%
0.00%
0.00%
-0.87%
0.44%
2.18%
4.62%
0.00%
-6.74%
0.00%
2.50%
-1.28%
0.00%
0.00%
3.64%
0.00%
-2.26%
-1.28%
-3.90%
6.76%
0.00%
-3.29%
2.62%
0.00%
-0.51%
-0.51%
-1.55%
-0.52%
0.00%
0.00%
0.00%
3.95%
-0.25%
0.13%
0.00%
6.72%
-0.71%
0.00%
-6.70%
0.00%
0.00%
2.56%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
2.00%
-0.25%
0.00%
-0.12%
-3.57%
3.95%
-2.82%
0.00%
-5.30%
0.80%
0.53%
0.77%
5.10%
-1.46%
-0.99%
0.00%
0.00%
-0.50%
-5.00%
0.00%
1.05%
3.13%
0.00%
2.02%
-0.99%
0.00%
0.00%
0.00%
2.25%
1.71%
-2.40%
0.00%
0.00%
-0.74%
-5.21%
0.26%
6.01%
2.46%
0.00%
0.00%
-0.48%
-0.48%
0.00%
0.00%
0.00%
-2.91%
0.00%
-1.50%
1.02%
0.00%
1.51%
-0.50%
3.98%
-1.91%
0.49%
1.94%
-0.24%
-0.24%
0.00%
-0.96%
-6.28%
0.00%
0.00%
-0.52%
3.75%
-1.57%
-2.20%
0.00%
2.00%
1.10%
-2.79%
-0.87%
0.00%
-0.76%
-1.02%
0.00%
0.00%
5.00%
-2.32%
1.25%
0.12%
-0.37%
-1.49%
-3.27%
-5.06%
2.60%
-0.80%
0.00%
2.42%
-1.97%
1.20%
-0.79%
-1.33%
0.00%
-1.76%
-2.06%
0.28%
0.00%
2.24%
-0.27%
5.77%
-1.43%
0.53%
-3.01%
-1.08%
-0.55%
0.00%
0.55%
0.96%
1.22%
-2.41%
0.55%
3.00%
2.91%
1.80%
0.51%
-1.01%
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
0.54%
0.00%
1.34%
-3.17%
-0.54%
-1.92%
0.28%
-0.56%
-1.68%
-0.85%
0.29%
0.29%
0.57%
-1.14%
0.00%
-1.15%
0.00%
-0.87%
-0.59%
-0.59%
0.30%
0.00%
0.30%
-2.65%
-1.52%
-1.23%
-1.56%
3.80%
-2.74%
-0.31%
0.63%
-0.31%
0.00%
0.00%
0.31%
2.19%
0.00%
-2.45%
0.31%
-0.31%
0.31%
0.00%
-0.31%
-0.94%
-0.63%
-0.32%
-3.19%
1.32%
-0.65%
-0.66%
-0.33%
0.66%
-1.64%
-4.27%
0.89%
0.88%
3.51%
-4.24%
3.98%
-2.98%
0.00%
0.00%
-5.26%
0.46%
5.99%
-6.09%
6.48%
-4.35%
6.82%
0.85%
0.00%
0.00%
6.75%
1.19%
-2.34%
-2.40%
2.46%
-4.00%
-1.67%
2.54%
5.79%
-2.34%
-4.80%
0.00%
-3.78%
3.93%
4.62%
1.20%
-0.79%
0.00%
0.00%
0.00%
-4.00%
2.50%
-0.81%
-0.41%
-0.41%
-0.83%
0.00%
6.67%
-6.64%
-2.93%
3.02%
-5.44%
6.19%
-5.00%
-1.97%
0.00%
2.01%
-5.26%
2.36%
0.14%
-0.81%
0.00%
0.00%
0.00%
0.14%
0.00%
2.32%
0.27%
0.00%
-0.27%
0.00%
1.20%
-2.50%
0.00%
0.00%
1.35%
0.27%
2.13%
1.30%
-1.03%
0.52%
-0.52%
0.00%
-1.30%
-0.53%
0.00%
-6.61%
0.00%
0.00%
0.00%
1.42%
0.00%
-3.63%
0.00%
0.00%
1.74%
1.14%
-0.14%
-0.99%
-1.71%
2.90%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
1.04%
0.51%
-0.51%
2.05%
-1.76%
0.26%
0.00%
0.00%
0.00%
-0.51%
0.00%
0.00%
6.67%
-6.01%
0.26%
0.00%
1.53%
1.51%
-0.25%
0.00%
-4.71%
1.04%
0.77%
-0.26%
0.00%
0.00%
0.00%
0.00%
0.00%
0.51%
0.00%
-1.53%
1.30%
-2.30%
0.52%
-0.52%
-0.52%
6.84%
0.00%
-0.49%
-6.93%
1.06%
-5.26%
5.56%
5.26%
0.00%
-1.00%
0.00%
-0.51%
0.00%
0.00%
1.52%
-1.00%
-1.65%
-3.74%
0.54%
-2.67%
0.27%
1.37%
-0.67%
-0.95%
-0.96%
-2.63%
-2.56%
-6.71%
4.69%
5.37%
-0.28%
-0.85%
-1.15%
0.29%
-1.16%
0.29%
1.46%
0.00%
-2.30%
-0.88%
0.00%
0.00%
-0.89%
-0.15%
-0.45%
1.81%
0.00%
5.03%
0.28%
0.00%
-0.28%
-1.41%
0.86%
-1.42%
-0.86%
0.00%
0.00%
-1.45%
1.76%
-0.29%
-2.03%
1.18%
0.00%
0.58%
-2.91%
0.00%
-2.40%
-4.91%
6.45%
185
186
187
188
189
-1.00%
0.00%
0.68%
0.34%
1.67%
-4.39%
6.88%
3.43%
-0.41%
-2.50%
0.00%
-2.54%
-0.29%
2.90%
0.00%
-0.25%
6.33%
4.76%
0.00%
0.00%
2.42%
-0.30%
0.89%
-0.88%
-5.04%
(1) Ta có: Đo lường rủi ro của danh mục bằng độ lệch chuẩn, giá trị chịu rủi ro.
Tính giá trị chịu rủi ro (VaR) theo ngày với xác suất (1+1)% =2% với tỷ trọng từng
cổ phiếu và giá trị danh mục đầu tư như trên.