THU NHP K VNG CA TRI PHIU MT NM

VI S IU CHNH KH NNG V N
Mnh gi, F
Gi, P
Li sut coupon hng nm, Q
Kh nng khng v n,
Phn trm hon n,
Dng tin k vng
Thu nhp k vng

100
98
16%
90%
80%
112.40 <--=B7*(1+B6)*B4+(1-B7)*B8*B4
14.69% <--=B10/B5-1

Ma trn xc sut chuyn hng mt k

0.9900
0.0100
0.0000
0.0300
0.9600
0.0100
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

0.0000
0.0000
1.0000
1.0000

t=
3
Ma trn xc sut chuyn hng hai k
0.9804
0.0195
0.0001
0.0585
0.9219
0.0096
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

0.0000 <--=MMULT(A4:D7,A4:D7)
0.0100
1.0000
1.0000

Ma trn xc sut chuyn hng ba k

0.9712
0.0285
0.0002
0.0856
0.8856
0.0092
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

0.0001 <--=MMULT(A4:D7,A11:D14)
0.0196
1.0000
1.0000

#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!

S DNG HM MATRIXPOWER
Ma trn chuyn v mt k
0.9900
0.0100
0.0300
0.9600
0.0000
0.0000
0.0000
0.0000
t=

0.0000
0.0100
0.0000
0.0000

0.0000
0.0000
1.0000
1.0000

10

Ma trn chuyn v t k
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE! <--=matrixpower(A4:D7,B9)
#VALUE!
#VALUE!
#VALUE!

TNH THU NHP K VNG CA TRI PHIU

Gi tri phiu
Li sut coupon, Q
T l hon n,
K hn tri phiu, N
Xp hng ban u

98%
16%
80%
5

F4:F7
c tnh
"khon hon n 1"
dng 19

B
A

Ma trn chuyn hng

Vc t ban u

Nm
Khon hon n k vng
Li sut k vng

A
B
D
E

B
0.9900
0.0300
0.0000
0.0000

D
0.0100
0.9600
0.0000
0.0000

0
<--=IF(B7="B",1,0)

0.0000
0.0100
0.0000
0.0000

0
1
2
3
-0.9800
#VALUE!
#VALUE!
#VALUE!
#VALUE! <--=IRR(B19:J19,0)
<--=IF(C18>$B$6,0,IF(C18=$B$6,MMULT($B$15:$E$15,MMULT(
MMULT($B$15:$E$15,MMULT(matrixpower($C$10:$

Khon hon n (t<N)

16%
16%
80%
0

Khon hon n (N)

116%
116%
80%
0

I4:I7
c tnh
"khon hon n 2"
dng 19

E
0.0000
0.0000
1.0000
1.0000

4
#VALUE!

5
#VALUE!

6
0

LT($B$15:$E$15,MMULT(matrixpower($C$10:$F$13,C18),$I$4:$I$7)),
MULT(matrixpower($C$10:$F$13,C18),$F$4:$F$7))))

7
0

8
0

TNH THU NHP K VNG S DNG MA TRN CHUYN HNG LCH S

Gi tri phiu
Li sut coupon, C
T l hon n,
K hn tri phiu, N
Xp hng ban u
Thi gian n k thanh ton

105%
14%
36%
7
B
0.5

AAA
AA
A
BBB
BB
B
CCC
D
E

Ma trn chuyn hng

Xp hng ban u
AAA
AA
A
BBB
BB
B
CCC
D
E

AAA

AA
0.9050
0.0076
0.0009
0.0003
0.0003
0.0000
0.0015
0.0000
0.0000

AAA
Vc t ban u

Nm
Khon hon n k vng
Thu nhp k vng

A
0.0859
0.9074
0.0262
0.0027
0.0016
0.0008
0.0000
0.0000
0.0000

BBB
0.0074
0.0762
0.9069
0.0615
0.0070
0.0034
0.0046
0.0000
0.0000

AA
0

A
0
<--=IF(UPPER($B$8)=B28,1,0)

0
1
#VALUE!
#VALUE!
#VALUE! <--=IRR(B34:J34)
<--=-B4/(1+B35)^(1-B9)

0.0006
0.0064
0.0547
0.8653
0.0738
0.0053
0.0109
0.0000
0.0000
BBB

2
#VALUE!

3
#VALUE!

=IF(D33>$B$7,0,IF(D33=$B$7,MMULT($B$29:$J$29,MM

Khon hon n (t<N)

Khon hon n (N)

14%
14%
14%
14%
14%
14%
14%
36%
0

Xp hng vo cui nm
BB

AAA
AA
A
BBB
BB
B
CCC
D
E

B
0.0011
0.0007
0.0078
0.0536
0.8040
0.0658
0.0163
0.0000
0.0000

BB

114%
114%
114%
114%
114%
114%
114%
36%
0

CCC
0.0000
0.0014
0.0028
0.0131
0.0924
0.8384
0.1148
0.0000
0.0000

D
0.0000
0.0002
0.0001
0.0014
0.0096
0.0370
0.6730
0.0000
0.0000

CCC

E
0.0000
0.0000
0.0006
0.0020
0.0113
0.0494
0.1790
0.0000
0.0000

0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
1.0000
1.0000
E

4
#VALUE!

5
#VALUE!

6
#VALUE!

7
#VALUE!

8
0.000%

(D33>$B$7,0,IF(D33=$B$7,MMULT($B$29:$J$29,MMULT(matrixpower($B$17:$J$25,D33),$I$4:$I$12)),
MMULT($B$29:$J$29,MMULT(matrixpower($B$17:$J$25,D33),$F$4:$F$12))))

TNH B TA CA TRI PHIU

Phn b ri ro th trng
Li sut phi ri ro
Thu nhp k vng
Bta tri phiu

10.00%
6%
8%
0.2000 <--=(B5-B4)/B3

ng SML Benninga-Sarig c iu chinh thu

Phn b ri ro th trng
10.00%
Li sut phi ri ro
6%
Thu sut cng ty
25%
Thu nhp k vng
8%
Bta tri phiu
0.1739 <--=(B12-B10)/(B9+B10*B11)

T l hon n
Quan st theo
S quan st Trung bnh trng s
490
56
70.47
65.48

Ngnh
Dch v cng cng

M SIC

Ho cht, xng du, cao su v cc sn

phm nha

280, 290,
300

35

62.73

80.39

My mc, thit b, v cc sn phm lin

quan

350, 360,
380

36

48.74

44.75

Dch v-kinh doanh v nhn s

470, 632,
720, 730

14

46.23

50.01

18

45.28

37.4

Thc phm v sn phm tng t

200

Kinh doanh bn bun v bn l

Sn xut a ngnh
Casino, khch sn, v gii tr

500, 510,
520
390, 998
770, 790

12
20
21

44
42.29
40.15

48.9
29.49
39.74

Vt liu xy dng, kim loi v cc sn

phm xy dng

320, 330,
340

68

38.76

29.64

Vn ti v thit b vn ti

370, 410,
420, 450

52

38.42

41.12

Truyn thng, truyn hnh, phim, in n,

xut bn

270, 480,
780

65

37.08

39.34

Cc nh ch ti chnh
Xy dng v bt ng sn

600, 610,
620, 630,
670
150, 650

66
35

35.69
35.27

35.44
28.58

Kho hng ho ni chung

Hm m v khoan du

530, 540,
550, 560,
570, 000
100, 103

89
45

33.16
33.02

29.35
31.83

Dt may v cc sn phm thi trang

220, 230

31

31.66

33.72

G, giy, v sn phm da thuc

240, 250,
260, 310

11

29.77

24.3

22
696

26.49
41

19.61
39.11

Nh ngh, bnh vin, v cc dch v y t

Tng s

700, n 890

T l hon n

Trung bnh ca trung v

lch
chun trng
s
79.07
19.46
71.88

29.1

47.5

20.13

41.5

25.03

41.5

21.67

37.32
33.88
28

22.14
24.98
25.66

37.75

22.86

37.13

27.98

34.5

20.79

32.15
24

25.72
28.69

30
32

20.47
18.01

32.13

15.24

18.25

24.38

16
36.25

22.65
25.56