TRNG I HC KINH T TP.

H CH MINH
VIN O TO SAU I HC
KHOA TI CHNH

MN QUN TR RI RO TI CHNH

CHNG 19
C TNH XC SUT V N
ESTIMATING DEFAULT PROBABILITIES
Ging vin: PGS TS Nguyn Khc Quc Bo

Nhm 5:
Hunh Ngc Dung
Nguyn Phan Thy Dng
Dng nh Thanh

Thnh ph H Ch Minh, 10/2016

19 c tnh xc sut v n
Nh gii thch trong Chng 15, nh qun l trong mt thi gian di yu cu cc ngn hng
phi m bo an ton vn trc ri ro tn dng. Theo Basel II ngn hng c th, vi s chp
thun t gim st ngn hng, s dng d ton ring v xc sut v n xc nh tng s vn
h c yu cu cn phi m bo. iu ny khin cc ngn hng tm kim nhng cch
thc tt hn cho d ton cc kh nng ri ro ny.
Trong chng ny, chng ta tho lun v mt s phng php khc nhau c tnh xc sut
v n v gii thch s khc bit gia bng quan vi ri ro v thc t c tnh. Nhng ti liu
chng ti cp s c s dng trong Chng 20 khi chng ti tnh ton lm sao gi ca cc
cng c phi sinh trong cc giao dch song phng trn th trng phi tp trung c th iu
chnh trc cc ri ro tn dng i tc, v trong Chng 21, khi chng ti tho lun v cch
tnh ton gi tr ri ro tn dng.
19.1 Xp hng tn nhim
Nh gii thch trong Phn 1.7, t chc xp hng nh Moody, S& P, v Fitch cung cp m t
mc tn nhim ca tri phiu doanh nghip. Bi v mt xp hng tn nhim c xy dng
cung cp thng tin v cht lng tn dng, v iu ny cng c th thay i bi cc thng tin
tch cc v tiu cc trn th trng. Trong thc t, cc xp hng ny t bi bin ng trong thi
gian ngn. Mt trong nhng mc tiu ca t chc xp hng khi h n nh xp hng l cc xp
hng ny s mang tnh cht n nh. V d, h mun trnh xp hng thay i, khi m tri phiu
ca mt cng ty ang h bc v sau li nng bc tn nhim ch mt vi tun sau. Thay vo
, cc xp hng ch thay i khi c l do tin rng s thay i ny n t thay i mc tn
nhim trong di hn ca cng ty. L do cho iu ny l cc nh u t tri phiu l ngi s
dng chnh cc xp hng ny. Thng th h c cc nguyn tc qun l theo cc xp hng tri
phiu m h nm. V d, nhiu qu tri phiu ch c php nm gi cc tri phiu u t. Nu
nhng xp hng thay i thng xuyn, h c th phi lm thc hin s lng giao dch kh
ln (v phi chu chi ph giao dch cao) ch p ng cc nguyn tc ny.
Mt im c lin quan l cc t chc xp hng c gng "xp hng theo cc chu k." Mc ch
l khi nn kinh t suy gim v iu ny lm tng kh nng v n ca cng ty trong su thng
ti, nhng li t c s tc ng n kh nng v n ca mt cng ty trong vng t 3 n 5 nm

tip theo. Mt t chc xp hng s khng thng thay i xp hng tn dng ca cng ty trong
nhng nhng tnh hung nh th.
Cc cng ty nh KMV v Kamakura Moody cung cp c tnh kh nng v n ca mt cng ty
da trn gi vn ch s hu v cc bin s khc. Nhng c tnh ny khng c s n nh l
mt trong nhng mc tiu ca h v c xu hng phn ng nhanh vi cc thng tin th trng
hn xp hng tn dng. Cc loi m hnh c s dng a ra cc c tnh s c tho
lun trong mc 19.8.
Xp hng tn nhim ni b
Hu ht cc ngn hng u a cc xp hng tn nhim cho cc khch hng doanh nghip v
th nhn. y l mt iu cn thit. Vic xp hng c cng b bi cc t chc xp hng ch
dnh cho cc cng ty c pht hnh cc chng khon n. V th, nhiu cng ty va v nh
khng c xp hng tn nhim t cc t chc xp hng ny. Nh gii thch trong chng 15,
cc xp hng ni b (IRB) da trn cch tip cn trong Basel II cho php cc ngn hng s
dng xp hng ni b ca h trong vic xc nh xc sut v n, PD.
phng php tip cn ni xp hng da trn cc c tnh PD thng lin quan n cc t sut
sinh li- nh li nhun trn ti sn v t l thanh khon nh ti sn hin ti chia cho n ngn
hn (t l hin hnh) v n trn vn ch s hu. Cc ngn hng nhn thy rng dng tin mi l
iu cn thit hn xem xt cc t l trong vic tr n vay. H thng ly cc thng tin ti chnh
c cung cp bi cng ty v chuyn i thnh bo co lu chuyn tin t. iu ny cho php
chng c tnh d dng hn khi mt cng ty khi mun i vay.
Altmans Z-Score (H s nguy c v n)
Edward Altman i tin phong trong vic s dng cc t s k ton d on s v n.
Nm 1968, ng pht trin cng thc m chng ta c bit n l Z-score. Bng cch s
dng k thut thng k c gi l phn tch bit thc, ng c gng d on s v n
thng qua 5 t s ti chnh sau:
X1: Vn lu ng / Tng ti sn
X2: Li nhun / Tng ti sn
X3: Li nhun trc li vay v thu / Tng ti sn
X4: Gi tr th trng ca gi tr vn c phn / Gi tri s sch ca tng n phi tr

X5: Doanh thu / Tng ti sn

i vi cng ty sn xut giao dch cng khai, Z-score ban u l
z = 1.2X1 + 1.4X2 + 3.3X3 + 0.6X4 + 0.999X5

(19.1)

Nu Z-score ln hn 3,0, cng ty c coi l kh v n. Nu l gia 2.7 v 3.0, c l do

"cnh bo." Nu l gia 1.8 v 2.7, c kh nng v n cao. Nu n c t hn 1.8,
kh nng ri ro ti chnh rt cao. Phng trnh (19.1) c c lng t mt mu ca 66 cng
ty sn xut giao dch cng khai. Trong s ny, 33 cng ty v n trong vng mt nm v 33
khng v n trong vng mt nm. M hnh ny c kim nh l kh chnh xc khi kim
tra trn tt c cc mu (tc l,thit lp cc cc cng ty khc nhau t c s dng c
lng phng trnh 19.1). C hai sai lm loi I (cng ty c d on khng ph sn nhng
ph sn) v Type II li (cng ty c d on s ph sn, nhng khng ph sn) l rt nh.
Cc bin trn m hnh c pht trin cho cc cng ty sn xut khng c giao dch cng
khai v cho cc cng ty phi sn xut.
V D 19.1
Hy xem xt mt cng ty vi vn lu ng l 170.000, tng ti sn l 670.000, EBIT l
60.000, doanh thu l 2.200.000, gi tr th trng ca vn c phn l 380.000, tng n phi tr
l 240.000, v li nhun gi li l 300.000. Trong trng hp ny, ta tnh c X1 = 0,254, X2
= 0,448, X3 = 0,0896, X4 = 1,583, v X5 = 3,284. Z-score l
1.2 X 0,254 + 1,4 X 0,448 + 3,3 X 0,0896 + 0,6 X 1,583 + 0,999 X 3,284 = 5.46
Z-score ch ra rng cng ty khng c nguy c v n trong tng lai gn.
Cc phng php Z-score c sa i v m rng t nghin cu t nghin cu ca Altman
cch y hn 45 nm trc v by gi c th c s dng xy dng xc sut v n cho cc
ng dng nh Basel II.
19.2 Xc sut v n theo lch s
Bng 19.1 l in hnh ca cc d liu c xy dng bi t chc xp hng. N cho thy
nhng lch s v n qua cc thi gian ca cng ty t lc bt u vi mt nh gi tn dng chc
chn hn. V d, Bng 19.1 cho thy mt tri phiu vi mt xp hng tn nhim ban u ca
Moody ca Baa l 0,174% c hi v n vo cui nm nht, mt xc sut v n l 0,504 vo
cui nm th hai, v c tip tc nh vy. Xc sut v n ca tri phiu trong tng nm c th
c tnh ton trong bng. V d, xp hng ban u ca m tri phiu l baa trong nm hai ca

n l 0,504-0,174 = 0,330%.
Bng 19.1 cho thy, i vi tri phiu mc im u t, kh nng v n trong mt nm c xu
hng c mt tng theo thi gian. (V d, xc sut ca mt tri phiu vi xp hng ban u
Aa vi ri ro v n trong nm mt, hai, ba, bn, v nm ln lt l 0,022%, 0,046%, 0,068%,
0.124% v 0,150%, tng ng). iu ny l bi v cc nh pht hnh tri phiu xem xt mc
tn dng thi gian u v khi thi gian tri qua, kh nng cao hn cho sc khe ti chnh s
gim i. i vi tri phiu c mc xp hng tn dng thp,kh nng v n thng s ln nhanh
hn. (V d, xc sut v n m mt tri phiu ban u loi xp hng thp nht (CAA-C) trong
nm mt, hai, ba, bn, v nm ti s ln lt l 15,894%, 11,109%, 8,797%, 6,996% v
6,032%, tng ng.) L do c a ra l i vi mc xp hng tn nhim, nm ti hoc 2 nm
na c th s ti gii hn ca n. Cc nh pht hnh pht hnh trong giai on ny, sc khe ti
chnh ca n c kh nng c ci thin.
Xp hng Hazard
T bng 19.1, chng ti c th tnh ton kh nng v n ca tri phiu xp hng t Caa n C
trong sut nm th ba l 35,800-27,003 = 8,797%. Chng ti s goi iu ny l xc sut v n
khng iu kin. l kh nng v n trong sut nm th ba t thi im 0. Xc sut tri
phiu XH CAA s tn ti cho n cui nm hai l 100-27,003 = 72,997%. Xc sut v n trong
nm th ba trong iu kin l khng v n xy ra cho nm trc l 0,08797 / 0,72997 hay
12,05%.
Con s 12,05% m chng ta tnh ton l kh nng v n c iu kin cho mt khong thi
gian mt nm. Khi chng ta xem xt xc sut iu kin v n cho mt khong thi gian ngn l
t, chng ti c ra mt cch tnh c bit n nh l t l ri ro hoc cng v n. V
T l nguy c v n, (t), ti thi im t ta c (t)t l xc sut v n trong sut thi im t v t
+ t

trn iu kin l khng c s v n xy ra gia thi gian khng v thi gian t. Nu V

(t) l xc sut tch ly ca cng ty khi cng ty cn tn ti n thi im t (tc l khng c s v

n n thi im t), xc sut khng v n gia thi im t v t + t
t

)]. Xc sut v n gia thi gian t v t + t

l [V (t) V(t + t

l [V (t) V(t +

vi iu kin cha xy ra v n trc

)]. / V (t).

V th ta c:
V ( t) V (t+ t )
V (t)

= (t)t

hoc

V ( t+ t )V ( t)
t

= - (t)V(t)

Ly gi tr bin ta c:
dV (t )
dt

= - (t)V(t)

T :
t

V(t) =

( ) d

nh ngha Q(t) l xc sut v n cho ti thi im t, do Q(t) = 1 V(t), hay

t

Q(t) = 1 Trong

( ) d

hoc

Q(t) = 1 - e (t ) t

(19.2)

( t ) l t l ri ro bnh qun gia thi im 0 v thi im t.

V D 19.2
Gi s rng t l nguy c l mt hng s 1,5% mi nm. Xc sut v n vo cui nm nht l
1-

e0.0151 = 0,0149. Xc sut v n vo cui nm th hai l 1 - e0.0152 = 0,0296. Xc

v n vo cui nm th ba, th t v nm th nm tng t l 0,0440, 0,0582, v 0.0723.

Xc sut khng v n trong sut nm th 4 l 0,0582 -0. 0440 = 0,0142. Xc sut v n vo
cui nm th 4, vi iu kin khng v n trc l 0,0142 / (1-0,0440) = 0,0149.
19.3 T l thu hi:
Khi mt cng ty v n, cc ch n ca cng ty sp t cc yu cu chng li cng ty . i khi,
n l mt s t chc li, trong nhng ngi cho vay cho php thanh ton tng phn cc yu
cu ca h. Trong cc trng hp khc, cc ti sn b bn bi ngi thanh ton v s tin thu
c dng thc hin cc khon n cng nhiu cng tt. Mt vi yu cu thng thng l s
u tin trc cc yu cu khc v p ng y hn.
T l thu hi cho mt tri phiu thng thng c nh ngha nh mt mc gi, ti n
c giao dch khong 30 ngy sau v n tng ng vi t l phn trm ca mnh gi. Nh
trong Chng 15, cc cng thc Basel II c din t trong cc thi k ca tn tht c tnh
(Loss Given Default LGD). T l thu hi theo phn trm bng 100 tr i t l tn tht c tnh
theo phn trm.Ngun: Moody.
Bng 19.2 T l thu hi ca cc tri phiu cng ty tnh theo phn trm so vi mnh gi, 19822013, trng s theo t chc pht hnh.
Loi Tri phiu

T l thu hi bnh qun (%)

Tri phiu u tin c bo m

52.2
Senior secured bond
Tri phiu u tin khng c bo m
37.2
Senior unsecured bond
Tri phiu u tin th cp
31.0
Senior subordinated bond
Tri phiu th cp
31.4
Subordinated bond
Tri phiu th cp khng c u tin
24.7
Junior subordinated bond
Ngun: Moodys
Bng 19.2 cung cp cc d liu lch s v t l thu hi bnh qun cho cc loi tri phiu trn th
trng M. N bin ng t 52.2% cho cc tri phiu c xp hng cao cp v c bo m
xung 24.7% cho cc tri phiu c xp hng thp hn.
T l thu hi c tng quan m mt cch ng k vi t l ri ro . iu ny c ngha l mt
nm c t l v n xu thng thng s ti t gp i nu t l thu hi ca cng ty thp. V
d, khi t l v n ca tri phiu hng phi u t trong mt nm l 1%, t l thu hi c xu
hng cao tng ng (bnh qun khong 55%), khi t l v n l 10%, t l thu hi c xu
hng thp tng ng (bnh qun khong 30%)..
19.4 Hon i ri ro tn dng (credit default swap)
Mt phi sinh tr nn rt quan trng trong th trng tn dng l hon i ri ro tn dng
(CDS). Nh nu trong 19.1, th trng cho sn phm ny c s tng trng rt ln k t
cui nhng nm 1990. Loi n gin nht ca CDS l mt cng c cung cp bo him chng
li nguy c ri ro v n cho mt cng ty c th. Cng ty ny c bit n nh l i tng
tham kho v ri ro cho cng ty c gi l s kin ri ro. Ngi mua bo him c c
quyn bn tri phiu ca cng ty cho gi tr mnh gi ca tri phiu khi s kin tn dng xy ra
v ngi bn bo him ng mua cc tri phiu cho gi tr mnh gi tri phiu ca h khi

mt s kin tn dng xy ra. Tng mnh gi ca tri phiu c th c bn i gi l phn gc

danh ngha ca hon i ri ro tn dng.
Ngi mua CDS lm cho thanh ton ph nh k cho ngi bn cho n cui thi gian tt ton
ca CDS hoc cho n kdhi mt s kin tn dng xy ra. Cc khon thanh ton thng c
thc hin hng qu.

Ngi mua
bo lnh v
n

90 im c bn

Thanh ton nu cng

ty c s v n

Ngi bn
bo lnh v
n

Mt v d s gip minh ha mt giao dch c trng c thit lp nh th no. Gi s rng hai

bn tho thun mt hon i ri ro tn dng k hn 5 nm vo ngy 20 thng 12 nm 2015. Gi
nh rng vn khi ton l 100 triu USD v ngi mua ng tr 90 im c bn mi nm
(thanh ton hng qu) phng nga li s v n t cng ty c s(i tng tham chiu).
CDS th hin nh hnh 19.1. Nu cng ty c s khng v n (c ngha l khng c s kin tn
dng xy ra), ngi mua khng nhn c phn n b v phi tr khon xp x 225,000 USD
(= 0.25 0.0090 100,000,000) vo ngy 20 thng 3, 20 thng 6, 20 thng 9 v 20 thng 12
cho mi qu trong nm 2016, 2017, 2018, 2019, 2020 . Nu s kin tn dng xy ra, c kh
nng s l mt khon tin n b ng k. Gi s rng ngi mua s thng bo cho ngi bn
mt s kin tn dng vo ngy 20 thng 5 nm 2018 (sau 5 thng ca nm th ba). Nu hp
ng quy nh c th gii quyt theo thc t, ngi mua bo lnh c quyn bn cho ngi bn
bo lnh tri phiu c pht hnh bi cng ty c s c mnh gi 100 triu USD vi gi 100
triu USD. Nu nh by gi l bnh thng, c mt thanh ton tin mt, mt qu trnh u gi
hai giai on c s dng xc nh gi tr th trng ca tri phiu cheapest deliverable
vi ngy sau s kin tn dng. Gi s cc cuc u gi cho thy rng cc tri phiu cheapest
deliverable c gi tr 35 USD cho mi 100 USD mnh gi. Vic hon tr tin s l 65 triu
USD.
Cc khon thanh ton thng xuyn t ngi mua CDS ny cho ngi bn CDS chm dt khi
c s kin tn dng xy ra. Tuy nhin, bi v cc khon thanh ton ny cho k ny xy ra s
kin tn dng vn cha c chi tr, nn khon thanh ton tch ly ca ngi mua s c yu
cu chi tr. Trong v d ca chng ti, khi xy ra v n vo ngy 20 thng 5 nm 2008, ngi

mua s phi tr tin thanh ton cho ngi bn s tin tch ly hng nm t ngy 20 thng 3
nm 2018 n ngy 20 thng 5 nm 2018 ( xp x 150,000 USD), nhng khng yu cu thanh
ton thm.
Tng s tin thanh ton mi nm, nh l mt t l phn trm ca tin vn khi ton, mua s
m bo ri ro tn dng gi l CDS spread. (Trong v d ca chng ti, CDS spread l 90 im
c bn). Vi ngn hng ln l ngi to lp th trng trong th trng CDS. Vi mt CDS 5
nm trn mt cng ty, ngi to lp th trng c th bo gi: mua 250 im c bn - bn 260
im c bn. C ngha l ngi to lp th trng sn sng mua bo lnh bng cch tr 250
im c bn mi nm (v d 2.5% trn vn khi ton mi nm) v bn bo lnh vi 260 im
c bn mi nm (v d 2.6% trn vn khi ton mi nm).
Th trng giao dch CDS da trn nhng gi quy chun l 10 triu USD/hp ng. Ph
CDS (CDS spread) c chia theo cc chun 1, 2, 3, 5, 7, v 10. Thng thng, thi hn ca
hp ng vo nhng ngy chun sau y: ngy 20 thng ba, ngy 20 thng 6, ngy 20 thng 9,
v ngy 20 thng 12. nh hng ca n ln thi gian thc hin n ngy o hn hp ng
c xut l gn vi cc ngy chun, nhng khng nht thit phi bng, s nm n k hn
c xc nh c th. Gi s bn gi mt i l vo ngy 15 thng 11 nm 2015, mua mt
hp ng bo him cho 5 nm trn mt cng ty c s. Hp ng c th s ko di n ngy 20
thng 12 nm 2020. Khon thanh ton u tin ca bn vo ngy 20 thng 12 nm 2015, v s
tng ng vi gi tr bo him trong khon thi gian t ngy 15 Thng 11 nm 2015, n
ngy 20 thng 12 nm 2015. Sau , thanh ton s c thc hin hng qu.
Mt kha cnh quan trng ca mt hp ng CDS c xy dng bi mt s kin tn dng
(v d, v n). Thng thng, mt s kin tn dng c xc nh l vic khng thc hin
ngha v thanh ton khi n hn, c cu li n, hoc ph sn.
Tng quan v th trng Hon i ri ro tn dng

im nhanh kinh t 19.1

Th trng CDS
Vo nm 1998 v 1999, Hip hi hon i v phi sinh quc t
(ISDA) pht trin mt hp ng tiu chun cho giao dch hon i
ri ro tn dng trn th trng OTC. Th trng pht trin rt nhanh sau

. Ngn hng thanh ton quc t (BIS) bt u thng k ln ca th

trng phi sinh tn dng vo thng 12 nm 2004. Ti thi im y,
tng vn khi ton cho cc hp ng c c tnh khong 6 nghn t
USD. N tng vt ln 58 nghn t USD vo thng 12 nm 2007 v gim
cn 21 nghn t USD vo thng 12 nm 2013. Cc ngn hng v nhng
nh ch ti chnh khc ng vai tr va l ngi mua va l ngi bn
bo lnh. Cc ngn hng c xu hng tr thnh ngi mua rng cc
bo lnh v cc cng ty bo him c xu hng tr thnh ngi bn
rng cc bo lnh. Cc ngn hng thng xuyn s dng CDS phng
nga ri ro t ngi i vay. Trong trng hp ny cc nh ch ti chnh
chu ri ro tn dng t mt khon vay l khc bit so vi nh ch ti
chnh c kim tra tn dng ban u.
Trong cuc khng hong tn dng bt u t thng 08 nm 2007,
cc nh qun l quan tm hn n CDS nh l mt ngun ca ri ro
h thng ( Xem im nhanh ti chnh 15.1 cuc tho lun v ri ro h
thng.). Nhng nghi ngi ca h pht sinh mt phn v nhng s tn
tht va tri qua bi cng ty bo him AIG. AIG l mt t chc bn bo
lnh ln c xp hng AAA cho cc khon thanh ton nh k pht
sinh t cc khon th chp (xem Chng 6). Vic bo lnh rt tn km
v mt s tht bi ca AIG s dn n mt thit hi v cng to ln cho
c h thng ti chnh. AIG c gii cu bi Chnh ph M vo thng 9
nm 2008.
CDS vng phi nhng ch trch trong cuc khng hong n
cng Chu u. Mt s nh lp php cm thy hoi nghi v hot ng
trn th trng CDS lm t hi thm cho cc vn n n cng ti cc
quc gia nh Hy Lp; cc v th CDS cng khai trn khon n cng (ni
bo lnh tn dng trn mt quc gia c mua khng c ri ro c bn)
b cm Chu u vo nm 2013.
Trong nm 2007 v 2008, cc giao dch ngng li trong nhiu loi
phi sinh tn dng, nhng cc CDS thun nht c cung cp bo

lnh chng li mt cng ty c lp hay mt quc gia v n li tip tc

c giao dch rt tch cc (mc d vi mc spreads tng ng k). Cc
li th ca CDS so vi cc cng c phi sinh tn dng khc l cch lm
vic r rng. Cc cng c phi sinh khc nh ABS, CDOs ( xem chng
6) th thiu minh bch.
C mt lng ln hp ng CDS hin hu ca Lehman Brothers nh
l cng ty c s khi Lehman Brothers tuyn b v n vo thng 9 nm
2008. T l thu hi (xc nh bi qu trnh u gi) ch khong 8 cent
trn 1 USD, v vy s phi tr cho ngi mua bo lnh bng khon 92%
tin vn danh ngha. C nhng d on mt vi nh bn bo lnh
khng th thanh ton v v n xy ra nhiu hn, nhng n ngy
thanh ton (21 thng 10 nm 2008), mi th u din ra sun s.

im nhanh kinh t 19.2

Th trng CDS l mt tr chi cng bng?
C mt s khc bit quan trng gia giao dch hon i ri ro tn dng v hu ht
cc giao dch phi sinh khc trn sn OTC. Cc giao dch phi sinh khc trn sn OTC
ph thuc vo li sut, t gi hi oi, ch s c phiu, gi c hng ha, v nh vy,
khng c l do cho rng ngi ny s c thng tin tt hn so vi nhng ngi khc
tham gia th trng v cc bin s ny.
CDS spread ph thuc vo xc sut m cng ty c s s v n trong mt giai on
c th. C th cho rng, mt s ngi tham gia th trng s c thm thng tin c
tnh xc sut ny hn nhng ngi khc. Mt nh ch ti chnh s lm vic cht ch
vi mt cng ty c s bng vic cung cp t vn, cho vay, v x l cc thng tin pht
hnh mi ca cc chng khon c kh nng c thm thng tin ng tin cy hn so
vi cc nh ch ti chnh m khng c giao dch vi cc cng ty c s. Cc nh kinh t
gi iu ny l mt vn v bt i xng thng tin.
Tm quan trng ca thng tin bt cn xng trong th trng hon i tn dng ang
gy tranh ci. T chc ti chnh nhn mnh rng quyt nh mua cng c phng nga

ri ro v n ca mt cng ty thng c thc hin bi mt ngi qun l ri ro v

khng da trn bt k thng tin hoc phn tch c bit c th tn ti u trong cc
t chc ti chnh v cng ty.

The Cheapest-to-Deliver Bond

Thng thng mt CDS c th xc nh mt lng tri phiu khc nhau c th c
giao nhn trong cc s kin v n. Cc tri phiu ny c k hn nh nhau, nhng n
khng th bn cho cng mt t l gi tr ngay lp tc sau khi v n. iu ny cho php
ngi nm gi mt CDS c quyn chn tri phiu Cheapest to Deliver. Nh cp,
mt qu trnh u gi thng c s dng xc nh gi tr ca tri phiu Cheapest
to Deliver v xc nh phn b n cho ngi mua bo lnh.
nh gi CDS: CDS nh gi bng cch c tnh xc sut v n
(bng quan vi ri ro).
Cho v d: Gi s rng t l ri ro ca cng ty tham chiu l 2%/nm
cho giai on 5 nm. Bng K.1 cho thy xc sut tn ti v xc sut v n
khng iu kin (ngha l xc sut v n xt ti thi im 0) cho mi nm .
T phng trnh 19.2, xc sut tn ti ti thi gian t l e-0.02t. Xc sut v n
trong mt nm bng xc sut tn ti u nm tr xc sut tn ti cui nm.
V d, xc sut tn ti n cui nm 2 l e -0.02x2 = 0.9608 v xc sut tn ti
n cui nm 3 l e-0.02x3 = 0.9418. Xc sut v n trong nm th 3 l
0.9608 0.9418 = 0.0190.

Chng ta gi s rng v n lun lun xy ra vo gia mi nm v

khon thanh ton trn CDS 5 nm c thc hin 1 nm 1 ln vo cui

mi nm. Chng ta cng gi nh rng li sut phi ri ro l 5%/nm ghp

li lin tc v t l thu hi l 40%. y c 3 phn tnh ton, chng c
th hin trong cc bng K.2 K.3, v K.4.
Bng K.2 cho thy cc tnh ton hin gi ca gi tr cc thanh ton k
vng ca CDS gi nh rng cc thanh ton hng k l s/nm vi gi tr
vn khi ton l $1. V d, vi xc sut 0.9418, khon thanh ton th 3 s
l 0.9418s v gi tr hin ti ca n l 0.9418*s*e -0.05*3 = 0.8106s. Tng gi
tr hin ti ca ca cc khon thanh ton k vng trong bng K.2 l
4.0728s.

Bng K.3 cho thy cc tnh ton hin gi ca cc khon thanh ton
khi s kin tn dng xy ra (payoff) vi gi nh vn khi ton l $1. Nh
cp, chng ta gi nh v n lun lun xy ra vo gia mi nm. V
d, vi xc sut 0.0190 cho s kin xy ra vo gia nm th 3. Vi t l
thu hi l 40%, payoff k vng ti thi im l 0.0190x0.6x1 = 0.0114.
Hin gi ca n l 0.0114e -0.05*2.5 = 0.0101. Tng hin gi ca cc khon
payoff k vng trong bng K.3 l $0.0506.

Bc cui cng, chng ta c tnh trong bng K.4 khon thanh ton
tch ly t s kin v n. Cc khon thanh ton tch ly ny sinh v cc
chnh lch thanh ton s c tnh trn s n cn li, do , khi v n xy
ra, mt phn ca chnh lch thanh ton b n li. Xem xt nm th 3, vi
xc sut v n xy ra vo gia nm l 0.0190. Mt khon thanh ton tch
ly ca 0.5s l b n li nu v n xy ra. Do , khon thanh ton tch ly
k vng vo gi nm th ba l 0.0190*0.5s = 0.0095s. Hin gi ca n l
0.0095*s*e-0.05*2.5 = 0.0084s. Tng hin gi ca cc khon thanh ton tch
ly k vng l 0.0422s.

T bng K.2 v K.4, hin gi ca cc khon thanh ton k vng l:

4.0728s + 0.0422s = 4.4150s
T bng K.3, hin gi ca cc khon payoff k vng l 0.0506. Hai gi
tr ny tng ng nn CDS spread cho mt CDS mi c tnh bi:
4.1150s = 0.0506 hay s = 0.0123

Trn th trng tm trung (mid-market) spread c th bng 0.0123 ln

vn gc hay 123 im c bn/nm. (N gn bng vi gi tr chng ta k
vng t mi tng quan trong phng trnh 19.3: T l thu hi l 40% v
t l ri ro l 2%, ta tnh c spread bng 0.02*0.06 = 0.012).
V d ny c thit k minh ha phng php tnh ton. Trong
thc t, chng ta c th tm thy cc cch tnh chi tit, su rng hn so
vi bng K.2 n K4 v (a) cc thanh ton c cung cp mt cch thng
xuyn hn 1 nm 1 ln v (b) chng ta mun gi nh rng cc v n c
th xy ra nhiu hn 1 ln 1 nm.
Marking-to-market mt CDS
Mt CDS, ti thi im ny ang c m phn cng ging nh cc hon
i khc, chng phi c gi tr bng 0 khi kt thc. Nhng ln giao dch
sau , n c th nhn gi tr m hoc dng. Gi s, v d vi mt CDS
c m phn trc vi spread l 150 im c bn, hin gi ca
cc khon thanh ton ca ngi mua s l 4.1150 * 0.0150 = 0.0617 v
hin gi ca payoff l 0.0506 nh trong bng K.3. Do , gi tr ca CDS
ny dnh cho ngi bn l 0.0617 0.0506 = 0.0111 ln vn gc. Tng
ng vi, gi tr marking-to-market ca CDS ngi mua chu l -0.0111
ln vn gc.

Ch s tn dng
*Th trng ch s tn dng:
Nhng ngi tham gia th trng tn dng c pht trin ch s theo CDS
spread. Trong nm 2004, cc nh cung cp khc nhau a cc ch s v thng nht.
Hai danh mc tiu chun quan trng c s dng bi cc nh cung cp ch s l:
1. CDX NA IG, mt danh mc ca 125 cng ty xp hng u t Bc M
2. iTraxx Europe, mt danh mc ca 125 cng ty xp hng cng ty u t chu u
Nhng danh mc u t c cp nht vo ngy 20 thng 3 v 20 thng 9 hng nm.
Cc cng ty khng cn xp hng u t c ct gim trong danh mc v thm vo
cc loi Cng ty u t mi.
Gi s rng 5 nm ch s CDX NA IG c bo gi bi mt nh to lp th trng vi
gi mua 165 im c bn, gi bn l 166 im c bn. Gi tham kho c ngha l mt
nh kinh doanh c th mua mt hp ng hon i CDS trn tt c 125 cng ty vi ch
s gi l 166 im c bn cho mi cng ty. Gi s mt nh u t mun thc hin $
800.000 bo h cho mi cng ty. Tng chi ph l 0,0166 x 800.000 x 125 hoc
1.660.000 $ mi nm. (Ch u t c th bn tng ng gi tr $ 800.000 ca hp
ng bo him trn mi 125 cng ty vi tng s 1.650.000 $ mi nm.) Khi mt cng ty
v n, cc nh u t nhn c tin chi tr CDS thng thng v thanh ton hng nm
gim xung mt gi tr l 1.660.000 / 125 = $ 13,280.
*Th trng mua bn CDS index:
C mt th trng nng ng trong vic mua v bn ch s hp ng bo him CDS cho
k hn 3, 5, 7, v 10 nm. Thi gian o hn i vi cc loi hp ng v cc ch s ny
thng l vo ngy 20 thng 12 v ngy 20 thng 6. (iu ny c ngha l mt hp
ng "5 nm" th ko di gia 4

3
4

nm v 5

1
4

i nm.) Ni khi qut, ch s trung

bnh ca bin cc CDS ln cc cng ty nm trong danh mc u t cp di 17.

17 Chnh xc hn, ch s ny thp hn so vi mc trung bnh ca cc bin hon
i ri ro tn dng cho cc cng ty trong danh mc u t. hiu c l do cho
iu ny, hy xem xt mt danh mc u t bao gm hai cng ty, mt vi mt bin

S dng cc chit khu c nh (Fixed coupons)

to thun li cho giao dch, cch chnh xc m hp ng CDS v giao dch ch s
CDS vn hnh l mt cht phc tp hn so vi m t t trc n nay. Trong thc t,
CDS v CDS index c giao dch ging nh tri phiu. i vi mi giao dch chun
c thc hin bao gm mt t l chit khu c nh v mt t l thu hi c xc nh.
Cc khon thanh ton bo lnh nh k bng vi t l chit khu. CDS spread (tng t
nh li sut tri phiu) c bo gi trn th trng. Khi c mt giao dch, hin gi ca
khon chnh lch gia cc khon thanh ton tng ng vi spread v cc thanh ton
tng ng vi t l chit khu cho thi gian cn li n khi o hn c c tnh
bng cch s dng mt th tc quy nh. Nu spread c bo gi l t hn vi t l
chit khu, ngi bn bo lnh thanh ton hin gi ny cho ngi mua bo lnh ti thi
im giao dch. Nu spread l ln hn so vi t l chit khu, ngi mua bo lnh thanh
ton phn hin gi ny n ngi bn bo lnh ti thi im giao dch. Sau , ngi
mua bo lnh thanh ton cc ln chit khu trn vn gc c p dng cho cc cng ty
trong ch s m cha v n cho ngi bn.
Credit spreads
Credit spreads l t l tng thm li sut yu cu mi nm ca cc nh u t cho vic
nm gi mt mc ri ro tn dng, chnh l khon chnh lch li tc gia tri phiu kho
bc (M) v tri phiu doanh nghip c cng k hn. CDS spread cung cp mt thc
o ca credit spreads. Mt cch khc l bin li tc tri phiu. y l s tin m li
tc tri phiu ca cng ty vt qu li sut ca tri phiu phi ri ro (s dng tri phiu
kho bc M).
CDS spreads v bond yields

ca 1.000 im c bn v khc vi mt bin l 10 im c bn. mua

phng h cho cc cng ty s c chi ph thp hn mt cht so vi 505 im c bn
cho mi cng ty. iu ny l do 1.000 im c bn khng c d kin phi np
cho min l 10 im c bn v do nn mang theo trng lng t hn. Mt bin
chng cho CDX NA IG, nhng khng iTraxx Europe, l cc xc nh ca v n
p dng i vi cc ch s bao gm ti c cu trong khi gii hn cho cc hp ng
CDS v cc cng ty tim n c th khng.

CDS spread cung cp cho th trng mt phng php c lng li sut phi ri ro.
Bi v, khi mt nh u t mua mt tri phiu doanh nghip v ng thi mua mt hp
ng bo him cho tri phiu doanh nghip , iu tng ng anh ta ang u t
vo mt tri phiu vi li sut phi ri ro.
Vai tr ca mt CDS c th c s dng l cng c phng nga mt tri phiu doanh
nghip. Gi s mt nh u t mua tri phiu doanh nghip 5 nm c li sut 7% mi
nm cho mnh gi ca n v ng thi tham gia vo mt CDS thi hn 5 nm phng
h cc t chc pht hnh tri phiu v n. Gi s rng bin CDS l 200 im c bn
hoc 2% mi nm. Hiu qu ca CDS l chuyn i cc tri phiu doanh nghip thnh
mt tri phiu phi ri ro (xp x). Nu t chc pht hnh tri phiu khng v n, cc
nh u t kim c 5% mi nm (khi CDS spreads n mn vo li sut tri
phiu). Nu t chc pht hnh tri phiu v n, cc nh u t kim c 5% ti thi
im v n. Theo cc iu khon ca CDS, cc m u t sau c th trao i cc tri
phiu vi cc mnh gi ca n. Mnh gi ny c th c u t vi li sut phi ri ro
cho thi gian cn li ca 5 nm.
Lp lun ny cho thy rng cc CDS spread ca n-nm nn c c tnh bng s
chnh lch gia li tc danh ngha trn mt tri phiu doanh nghipk hn n-nm so vi
li tc danh ngha trn mt tri phiu phi ri ro n-nm18. Ta gi s:
A : Li tc danh ngha ca tri phiu doanh nghip.
B : Li tc danh ngha ca tri phiu phi ri ro.
C : CDS preads.
Nu C < A B: nh u t c th kim c nhiu hn so vi li sut phi ri ro bng
cch mua tri phiu doanh nghip v mua hp ng bo him.
Nu C > A B: nh u t c th vay mn thp hn li sut phi ri ro bng cch bn
tri phiu doanh nghip v bn bo him CDS. S c tho lun sau ny, y khng
phi c hi kinh doanh chnh lch gi hon ho, v gii hn m h c th s dng trong
thc t cn xem xt n nhng hn ch thanh khon v cn nhc.
18Li sut danh ngha trn mt tri phiu n-nm l li sut mi nm do tri phiu bn vi mnh gi
dnah ngha ca n (tc l mnh gi)

Li sut phi ri ro
CDS cung cp mt c tnh trc tip cho credit spread. tnh ton mt credit spreads
t mt li sut tri phiu, cn phi gi nh v t l ri ro. Khi bin li sut tri phiu
c tnh bi cc nh u t tri phiu, li sut phi ri ro c s dng thng l li
sut ca tri phiu kho bc c k hn tng t. V d, mt nh kinh doanh tri phiu c
th bo gi li sut tri phiu doanh nghip c th vi bin l 250 im c bn so vi
tri phiu kho bc.
Mt s nh nghin cu so snh li sut tri phiu vi CDS spreads gi mt t l
ri ro. iu ny lin quan ph hp vi thi gian o hn ca cc CDS v tri phiu v
tnh ton li sut phi ri ro t cc i s chnh lch nh trn. V d, nu li tc tri
phiu 5 nm l 4,7% v bin CDS 5 nm l 80 im c bn, t l ri ro 5 nm c
gi l 3,9% (4,7% - 0,80%).
Nh tho lun trong Phn 9.2, cc nh giao dch c truyn thng s dng gi
LIBOR/swap nh i din cho t l phi ri ro khi nh gi sn phm phi sinh. Nghin
cu ch ra rng thc nghim ny mnh m hn trn th trng tn dng. Li sut phi ri
ro gi l gn vi cc mc li sut LIBOR / swap so vi li sut Kho bc. Mt c tnh
c ng li sut phi ri ro vo khong 10 im c bn thp hn mc LIBOR/ hon
i li sut. c tnh ny l hp l. Nh gii thch trong Phn 9.2, ri ro tn dng
trong mt t l hon i l ri ro tn dng t thc hin mt lot cc khon vay ngn hn
nh gi i tc AA v 10 im c bn l mt credit spreads hp l cho mt thi
gian ngn cng c nh gi AA.
Hon i ti sn
Hon i ti sn cung cp mt im tham chiu ph hp cho cc
trader trong th trng tn dng bi v chng cung cp cc c lng
trc tip chnh lch gia li sut tri phiu so vi li sut LIBOR/swap.
gii thch hon i ti sn hot ng nh th no, xem xt
tnh hung khi mt spread hon i ti sn cho mt tri phiu c th
c yt 150 im c bn. C 3 tnh hung c th:

1. Tri phiu bn bng mnh gi ca n, l 100. Hon i bao gm

mt bn (cng ty A) thanh ton li coupon tri phiu v bn
khc (cng ty B) tr LIBOR cng vi 150 im c bn.

19

2. Tri phiu bn di mnh gi ca n, l 95. Hon i c xy

dng cng ty A thanh ton $5 trn $100 mnh gi thi im
ban u. Sau , cng ty A tr li coupon tri phiu v cng ty B
tr LIBOR cng 150 im c bn.
3. Tri phiu c bn bn trn mnh gi, l 108. Hon i c xy
dng rng cng ty B tr $8 trn $100 mnh gi thi im ban
u. Sau , cng ty A tr li coupon tri phiu v cng ty B tr
LIBOR cng 150 im c bn.
Kt qu ca vic xy dng hon i ti sn trong cch ny l hin gi
ca spread hon i ti sn (150 im c bn trong v d ca chng
ta) l bng chnh lch gi gia tri phiu doanh nghip vi gi ca
mt tri phiu phi ri ro tng ng khi li sut phi ri ro c gi
nh cho bi ng cong li sut LIBOR/swap. (xem vn 19.16).
CDS-bond basic
CDS-bond basic l chnh lch gia CDS spread so vi chnh lch li
sut tri phiu (Bond yield spread) ca mt cng ty.
CDS-bond basic = CDS spread Chnh lch li sut Tri phiu
V tc ng ca hot ng arbitrage, nn CDS spread v li sut tri phiu tin v
gi tr 0. Trong thc t, c mt s l do ti sao n lch t s khng. V d :
1. Cc tri phiu c th bn vi gi chnh lch ng k so vi mnh gi. (Gi tri phiu
trn gi trung bnh c xu hng lm gim, gi tri phiu di mnh c xu hng lm
tng.)
2. C ri ro i tc v n trong hp ng CDS (tc ng mang du m)
3. C c quyn chn tri phiu cheapest to deliver dnh cho ngi mua trong CDS.
(tc ng ln basis mang du dng).
19 Ch rng n c ha rng li sut coupon c th c giao dch. Giao dch
din ra bt k tri phiu v n.

4. Thanh ton rng cho mt CDS khng bao gm li sut tch ly trn tri phiu c
giao (tc ng mang du m.).
5. Ti cu trc trong mt hp ng CDS c th dn n khong thanh ton rng khi
khng c v n. (tc ng mang du dng.)
6. LIBOR l ln hn li sut phi ri ro c gi nh bi th trng. (tc ng mang du
dng)
19.6 C LNG XC SUT V N T CHNH LCH TN DNG
By gi chng ta tho lun bng cch no xc sut v n c th c
c lng t chnh lch tn dng.
Tnh ton gn ng
Gi s rng mt chnh lch tn dng 5 nm (CDS spread, chnh lch
li sut tri phiu, hoc chnh lch hon i ti sn) cho mt cng ty
l 240 im c bn v t l thu hi k vng trong trng hp v n l
40%. Ngi nm gi tri phiu ca doanh nghip c pht hnh bi
cng ty k vng mt 240 im c bn (hoc 2.4% mt nm) t v n.
Ni chung, chnh lch tn dng c th c xem xt l mt t l mt
mt trung bnh. Cho t l thu hi 40%, a ti mt c lng xc sut
v n trung bnh mt nm trn chu k 5 nm, iu kin l khng c v
n sm hn, ca 0.024/(1-0.4) hay 4%. Tng qut:

- s(T) l credit spread (trong l thuyt c xc nh bi li kp lin tc) cho mt thi

k o hn T.
- R l t l thu hi
- l t l ri ro trung bnh gia thi im 0 v thi im T.
Nu credit spreads c bit n vi mt s k hn khc nhau, cu trc k hn ca t l
ri ro c th l bc m (xp x) nh v d minh ha sau y.
V d 19.3
Gi s rng CDS spreads cho nhng cng c 3-, 5-, v 10-nm l 50,
60, v 100 im c bn v t l thu hi k vng l 60%. T l ri ro
trung bnh trong 3 nm tng ng 0.005/(1-0.6) = 0.0125. T l ri
ro trung bnh trong 5 nm tng ng 0.006/(1-0.6) = 0.015. T l
ri ro trung bnh trong 10 nm tng ng 0.01/(1-0.6) = 0.025. T
chng ta c th c lng rng t l ri ro trung bnh gia nm 3
v nm 5 l (5*0.015 3*0.0125)/2 = 0.01875. T l ri ro trung bnh
gia nm 5 v nm 10 l (10*0.025 5*0.015)/5 =0.035.
Mt cch tnh chnh xc hn
Cch tnh chng ta va a ch hot ng hiu qu i vi CDS
spread. N cng hot ng tt i vi chnh lch li sut tri phiu v
spread hon i ti sn khi tri phiu c s c bn gn vi mnh
gi ca n. By gi chng ta xem xt mt cch tnh chnh xc hn cho
tnh hung khi gi tri phiu c s bn khng gn mnh gi.
Gi s rng mt tri phiu doanh nghip 5 nm vi mnh gi l
100 cho mt li sut coupon l 6%/nm (tr na nm mt ln) v li
sut trn tri phiu l 7%/nm (ghp li lin tc). Li sut trn mt
tri phiu phi ri ro tng t l 5% (mt ln na ghp li lin tc). Li
sut hm rng gi ca tri phiu doanh nghip l 95.34 v gi ca
tri phiu phi ri ro l 104.09. Mc thua l k vng t v n trong 5

nm i sng ca tri phiu l 104.09 - 95.34, hay $8.75. n

gin, chng ta gi s rng xc sut v n khng c iu kin trn
nm l nh nhau mi nm v bng Q. Hn na, chng ta gi nh v
n c th xy ra ch thi im 0.5, 1.5, 2.5, 3.5, v 4.5 nm (ngay
trc ngy thanh ton li coupon). Li sut phi ri ro c gi nh 5%
(ghp li lin tc) cho ton b k hn v t l thu hi (i.e., thu hi
bng mt t l phn trm trn mnh gi) c gi nh l 40%. (Phn
tch c th c m rng rng v n c th thng xuyn hn.)
Bng 19.3 tnh thua l k vng t v n trong cc k hn ca Q.
minh ha cch tnh, xem xt hng 3.5 nm trong bng 19.3. Gi
tr k vng ca tri phiu phi ri ro thi im 3.5 nm (c tnh s
dng li sut phi ri ro k hn) l
3 + 3e-0.05*0.5 + 3e-0.05*1.0 + 103e-0.05*1.5 = 104.34
nh ngha t l thu hi cho trong phn 19.3, gi tr thu hi
nu c v n l 40% do mt mt do v n l 104.34 40 hay
$64.34. Gi tr hin ti ca thua l l 54.01 v thua l k vng l
54.01Q.

TABLE 19.3 tnh ton khon l t tri phiu v n trong gi nh kh nng v n mi

nm, Q
Thi
gian

Xc sut
v n

Gi tr thu hi
($)

Default-Free
Value ($)

L ($)

H s chit
khu

Hin gi ca khon
l k vng ($)

0.5

40

106.73

66.73

0.9753

65.08Q

1.5

40

105.97

65.97

0.9277

61.20Q

2.5

40

105.17

65.17

0.8825

57.52Q

3.5

40

104.34

64.34

0.8395

54.01Q

4.5

40

103.46

63.46

0.7985

50.67Q

Tng cng
Notional Principal = $100.
288.48Q
Bng 19.3 th hin rng tng thua l k vng l 288.48Q. Thit
lp ny bng vi 8.75 k vng thua l c tnh trc , chng ta t
c mt gi tr cho Q ca 8.75/288.48, hay 3.03%. Cch tnh chng
ta gi nh rng xc sut v n l tng t trong mi nm v v n
xy ra ch thi im gia nm. Chng ta c th m rng cch tnh
vi gi nh rng v n xy ra thng xuyn hn. Mc d, gi nh
mt xc sut v n khng iu kin khng i, chng ta c th gi
nh mt t l ri ro c nh hoc gi nh mt m hnh ring cho bin
ng ca xc sut v n theo thi gian. Vi vi tri phiu, chng ta c
th c lng vi thng s m t cu trc k hn ca xc sut v n.
V d, gi s chng ta c cc tri phiu o hn trong 3, 5, 7 v 10
nm v chng ta gi nh mt hm bc thang cho xc sut v n.
Chng ta c th s dng tri phiu u tin c lng xc sut v
n trn mt nm cho ba nm u tin, tri phiu th hai c lng
xc sut v n mt nm cho nm 4 v 5, tri phiu th 3 c lng
xc sut v n mt nm cho nm 6 v 7, v tri phiu th 4 c

lng xc sut v n trn mt nm cho nm 8, 9 v 10 (xem vn

19.15 v 19.24). Cch tip cn ny tng t cc nn tng ban u
cho c lng cu trc k hn ca li sut trong Ph lc B.
19.7 So snh cc xc sut c tnh v n
By gi chng ta so snh cc c tnh xc sut v n tnh t d liu lch s vi nhng tnh ton
t chnh lch tn dng. Bng 19.4 cho thy:
-

By nm xc sut trung bnh v n cho cc cng ty c xp hng tn dng khc nhau.

iu ny c ly t s liu c cng b bi Moody. l ct by nm ca Bng

19.1.
Cc tn dng trung bnh ca tri phiu vi xp hng tn dng khc nhau gia thng 12
nm 1996 v thng Su nm 2007. iu ny c ly t s liu v sn lng tri phiu
pht hnh bi Merrill Lynch v mt gi nh rng t l ri ro t hn so vi t l hon i
by nm l 10 im c bn. (Xem tho lun tc ri ro trong Mc 19.5.) Cc tri
phiu c thi hn o hn trung bnh khong by nm.

Bng d liu xem xt v li sut tri phiu t lc bt u ca cuc khng hong tn dng.
Trong cuc khng hong tn dng, ly lan tn dng tng vt. Nu bao gm thi gian bt thng
, kt qu chng ti trnh by, cho thy t l nguy him tnh t chnh lch tn dng cao hn so
vi nhng tnh ton t lch s xc sut v n.

TABLE 19.4 Cumulative Default Probabilities Compared with Credit Spreads

Rating

Cumulative 7-Year Default

7-Year Credit Spread (bp)

Probabilities (%), 1970-2013

1996-2007

Aaa

0.241

35.74

Aa
A
Baa
Ba
B
Caa

0.682
1.615
2.872
13.911
31.774
56.878

43.67
68.68
127.53
280.28
481.04
1,103.70

TABLE 19.5 Average Seven-Year Hazard Rates

Rating

Historcal Hazard Rate (%)

Hazard Rate from

Ratio

Difference

Credit Spread (%)

Aaa

0.034

0.596

17.3

0.561

Aa
A
Baa
Ba
B
Caa

0.098
0.233
0.416
2.140
5.462
12.016

0.728
1.145
2.126
4.671
8.017
18.395

7.4
5.8
5.1
2.2
1.5
1.5

0.630
0.912
1.709
2.531
2.555
6.379

% per annum.

Bng 19.5 cho thy c tnh v t l ri ro trung bnh by nm 20. T l ri ro lch s by nm

c tnh ton sao cho n ph hp vi t l v n tch ly trong Bng 19.4. Gi s rng Q l
kh nng v n tch ly by nm. T phng trnh (19.2)

trong

l t l ri ro trung bnh

Hy xem xt v d mt cng ty v Cng ty xp hng A. Theo t l ri ro v n tch ly by nm

l 1.615% hoc 0,01615 do vy tc nguy him trung bnh l:

hoc 0,233%. Mc ri ro c tnh t chnh lch tn dng trong Bng 19.5 da trn phng
trnh (19.3). T l thu hi c gi nh l 40%. Hy xem xt mt ln na tri phiu A c
nh gi li. Cc truyn dn tn dng trung bnh by nm trong Bng 19.4 l 68,68 im c bn
hoc 0,006868. Do , t l ri ro trung bnh by nm l:

0.006868/(1 - 0.4) = 0.01145

20 Cc phn tch y cng tng t nh trong J. Hull, M. Predescu, and A. white, Bond Prices,
Default Probabilities, and Risk Premiums, Journal of Credit Risk 1, no. 2 (Spring 2005): 5360.

TABLE 19.6 Expected Excess Return on Bonds

Bond Yield Spread

Spread of Risk-Free Spread for

over Treasuries

Rate over Treasuries Historical

(bp)
Aaa

78

(bp)
42

Aa
A
Baa
Ba
B
Caa

86
111
169
322
523
1,146

42
42
42
42
42
42

Deaults (bp)
2
6
14
25
128
328
721

Expected
Excess
Return (bp)
34
38
55
102
152
153
383

Bng 19.5 cho thy rng t l ri ro tnh t truyn dn tn dng trc khi cuc khng hong tn
dng cao hn so vi nhng tnh ton ca d liu lch s trong mt thi gian di. T l gi ca
tri phiu ri ro tnh t d liu lch s cao hn i vi tri phiu u t v c xu hng gim
do s st gim cht lng tn dng. Ngc li, s khc bit gia hai t l ri ro c xu hng
tng nh cht lng tn dng t chi21
Bng 19.5 cung cp mt cch khc nhn vo nhng kt qu ny. N cho thy s tr li d
tha so vi mc ri ro (vn gi nh l t l hon i by nm tr i 10 im c bn) thu c
ca cc nh u t vo tri phiu vi xp hng tn dng khc nhau. Hy xem xt li mt tri
phiu xp hng A. S truyn dn trung bnh trn tri phiu l 111 im c bn. Trong s ny,
42 im c bn ang chim bi s truyn dn trung bnh gia by nm v cho t l ri ro. S
truyn dn ca 14 im c bn l cn thit b ri ro d kin. (iu ny tng ng vi t
l ri ro lch s trong Bng 19.5 nhn mt t l phc hi gi 0.4.) iu ny lm cho li nhun
k vng tng thm (sau khi v n mong i c a vo ti khon) l 55 im c bn22
Bng 19.5 v 19.6 cho thy mt s khc bit t l ln gia c tnh xc sut v n chuyn
thnh li nhun vt d kin tng i nh trn tri phiu. i vi tri phiu xp hng Aaa, t
l gia hai mc ri ro l 17.2, nhng li nhun k vng tng thm ch l 34 im c bn. S
tr li vt qu d kin s c xu hng tng nh cht lng tn dng t chi.

21 Cc nghin cu khc xc nh c mt s khc bit tng t gia hai loi d ton xc sut v n. Xem, v
d: J. s. Fons, The Default Premium and Corporate Bond Experience, Jouma ofFinance 42, no. 1 (March 1987):
81-97, and E. I. Altman, Measuring Corporate Bond Mortality and Performance, ]ournal of Finan.ee 44, no. 4
(September 1989): 909-922.

22 trnh cc tnh ton ny b bin i, khng thc hin bt k iu chnh cho cc tc ng ca cc

vn tn s kp s ly lan (spreads), returns, v t l nguy him.

Li nhun trong Bng 19.6 khng duy tr trong sut thi gian. Truyn dn tn dng v li
nhun tng thm u mc cao trong nm 2001, 2002, v na u nm 2003. Sau kh thp

Thc t vi Xc sut ri ro trung tnh

i s nh gi ri ro trung tnh c gii thch trong Phn 7.2. N cho thy rng chng ta c
th nh gi dng tin trn gi nh rng tt c cc nh u t c nguy c trung tnh (c ngha
l, trn gi nh rng h khng yu cu mt ph bo him chu ri ro). Khi chng ta lm iu
ny, chng ti nhn c cu tr li ng trong thc t cng nh trn th gii c nguy c trung
lp.
Cc c s l thuyt xc sut v n ri ro trung tnh c gii thch trong Phn 7.2. Nhng xc
sut v n ng l ci thu c khi s dng chnh lch tn dng c lng. Ngc li, cc
xc sut v n c tnh t d liu lch s l xc sut v n thc t (i khi cn c gi l xc
sut v n vt l). S tr li vt qu d kin trong Bng 19.6 pht sinh trc tip t s khc
bit gia thc t v xc sut v n ri ro trung tnh. Nu khng c li nhun vt d kin, thc
t v xc sut v n ri ro trung tnh s l nh nhau, v ngc li.
Ti sao chng ta thy s khc bit ln gia thc t v xc sut v n ri ro trung tnh? Nh
chng ta va lp lun, iu ny cng ging nh hi ti sao u t tri phiu ca cng ty kim
li c nhiu hn so vi t l ri ro trn trung bnh.
Mt l do l tri phiu doanh nghip tng i km thanh khon v li nhun ca tri phiu
cao hn nu khng s phi bi thng cho vic ny. Nhng y l mt phn nh ca nhng g
ang xy ra. cc th trng bnh thng, n gii thch 25 im c bn ca s tr li d tha
trong Bng 19.6. Mt l do khc c th l xc sut v n ch quan ca nh u t tri phiu l
cao hn nhiu so vi nhng g c a ra trong Bng 19.1. u t tri phiu c th lm cho
cc kch bn suy thoi ti t hn nhiu so vi bt c iu g nhn thy trong khong thi gian
bao ph bi d liu ca h. Tuy nhin, rt kh xem lm th no iu ny c th gii thch
mt phn ln ca s tr li d tha m c quan st23
Bi n nay cc l do quan trng nht i vi cc kt qu trong bng 19.5 v 19.6 l tri phiu
khng v n c lp vi nhau. (Ni cch khc, tng quan v n l mt tnh nng ca th
trng ti chnh.) Bng chng cho iu ny l gi v n thay i ng k t nm ny sang nm
23 Ngoi vic to ra Bng 19.1 da trn khong thi gian t 1970-2013, Moody to ra mt bng tng
t da trn thi k 1920-2013. Khi bng ny c s dng, mc u t tri phiu theo t l v n
lch s trong Bng 19.4 tng thm mt cht. Tuy nhin, mc u t tri phiu khng theo t l v n
lch s suy gim

khc. Thng k ca Moody (xem bng 11.4) cho thy t nm 1970 n nm 2013 t l v n
mi nm cho tt c cc cng ty nh gi dao ng t mc thp 0,087% trong nm 1979 ln
mc cao 5,422% trong nm 2009. iu ny bin i t nm ny sang nm mc v n cho
tng n ri ro h thng (tc l ri ro khng th a dng ha). Nh u t tri phiu kim c
mt li nhun k vng qu mc t nhng ri ro ny. kha cnh ny, u t tri phiu l
khng c khc nhau t ch s hu. Trung bnh li nhun kim c ca ch s hu chu ri
ro h thng thng c gi nh l 5% hoc 6% mi nm. T bng 19.6, chng ta thy rng
li nhun vt mc (excess return) thu c t u t tri phiu l t hn nhiu hn cho cc
tri phiu cht lng cao. Tuy nhin, khi cht lng tn dng ca tri phiu gim, n ging nh
c phiu v vt mc li nhun thu c c xu hng tng
iu g gy ra s tng quan v n v kt qu ri ro h thng? Mt cch gii thch l nn kinh
t. iu kin kinh t v m tt lm gim xc sut v n cho tt c cc cng ty; iu kin kinh t
v m xu lm tng xc sut v n cho tt c cc cng ty. (Trong m hnh Vasicek, m c
tho lun trong chng 11, cc yu t F c th c coi l i din cho sc khe tng th ca
nn kinh t.)

19.7 SO SNH CC C TNH XC SUT V N

By gi chng ta so snh cc c tnh xc sut v n tnh t d liu
lch s vi nhng tnh ton t chnh lch tn dng.
Xc sut v n tch ly trung bnh 7 nm ca cc cng ty c xp
hng tn nhim khc nhau. iu ny c ly t s liu c
cng b bi Moody.
Chnh lch tn dng trung bnh ca cc tri phiu vi xp hng
tn dng khc nhau t thng 12 nm 1996 n thng Su nm
2007. iu ny c ly t s liu v li tc tri phiu pht hnh
bi Merrill Lynch v mt gi nh rng li sut phi ri ro l thp
hn 10 im c bn so vi li sut hon i 7 nm. Cc tri
phiu c thi hn o hn trung bnh khong by nm.
Bng kho st s liu v li tc tri phiu khi cuc khng hong tn
dng bt u xy ra. Trong sut cuc khng hong tn dng, chnh

lch tn dng tng vt. Kt qu chng ta trnh by, nu bao gm giai

on bt thng , t l ri ro tnh t chnh lch tn dng cao hn
vic c tnh t xc sut v n qu kh, s tr nn r rt hn.
Bng 19.4 So snh xc sut v n tch ly v chnh lch tn dng

Bng 19.5 T l ri ro trung bnh 7 nm

Bng 19.5 cho thy c tnh t l ri ro trung bnh 7 nm. T l

ri ro trung bnh 7 nm qu kh c tnh sao cho ph hp vi t l
v n tch ly trong bng 19.4. Gi s Q l xc sut v n tch ly 7
nm. Ta c :

Q=1e7

trong

l t l ri ro trung bnh sao cho:

=1 ln (1Q)
7

Hy xem xt 1 v d cng ty xp hng A. T l v n tch ly 7

nm l 1.615% hay 0.01615 do t l ri ro trung bnh l:
1
ln ( 10.01615 )=0.00233
7

hay 0.233%.. T l thu hi c gi nh l 40%. Xem xt li tri phiu

xp hng A. Chnh lch tn dng trung bnh 7 nm trong Bng 19.4 l
68.68 im c bn hay 0.006868. Do , t l ri ro trung bnh 7 nm
l
0.006868 / (1-0.4) = 0.01145
Bng 19.5 cho thy rng t l ri ro tnh t chnh lch tn dng
trc khng hong tn dng th cao hn so vi tnh trong khong thi
gian di ca s liu qu kh.
Bng 19.6 Li nhun thng d k vng trn tri phiu

Bng 19.5 cung cp mt cch khc xem xt nhng kt qu.

N cho thy li nhun thng d ln hn li sut phi ri ro (vn gi
nh li sut hon i 7 nm l -10 im c bn) kim c bi cc
trader tri phiu vi cc xp hng tn dng khc nhau. Xem xt li tri
phiu xp hng A. Chnh lch trung bnh ln hn tri phiu kho bc l
111 im c bn. Trong s ny, 42 im c bn c tnh bi chnh

lch trung bnh gia tri phiu kho bc by nm v li sut ri ro i

din. Chnh lch 14 im c bn l cn thit b p v n d kin.
(iu ny tng ng vi t l ri ro lch s trong Bng 19.5 nhn vi
mt tr t l thu hi gi nh l 0.4.) T l li nhun thng d k
vng (sau khi v n d kin c a vo tnh ton) ca 55 im
c bn.
Bng 19.5 v 19.6 cho thy mt s khc bit ln gia cc c
tnh xc sut v n chuyn sang chnh lch li nhun thng d k
vng tng i nh trn tri phiu. i vi tri phiu xp hng Aaa, t
l gia hai t l ri ro l 17.3, nhng li nhun thng d k vng ch l
34 im c bn. Li nhun thng d k vng s c xu hng tng bi
s st gim cht lng tn dng.
Li nhun thng d trong Bng 19.6 khng cn c nh qua thi
gian. Chnh lch tn dng, v do c li nhun thng d, u mc
cao trong nm 2001, 2002, v na u 2003. Sau n kh thp
cho n khi bt u cuc khng hong tn dng vo gia nm 2007
khi n bt u tng nhanh.
Real-world vs. Risk-Neutral Probabilities
Lp lun nh gi s bng quang vi ri ro cho thy rng chng ta
c th nh gi dng tin vi gi nh rng tt c cc nh u t bng
quang vi ri ro ( l, vi gi nh rng h khng yu cu phn b
cho cho vic chu ri ro). Khi chng ta lm iu ny, chng ta nhn
c cu tr li ng trong thc t cng nh trn th gii bng quang
vi ri ro.
Cc l thuyt c s v xc sut bng quang vi ri ro v n i
khi cn c gi l xc sut v n hm , l nhng xc sut v n
c c tnh da trn chnh lch tn dng. Ngc li, cc xc sut v
n c tnh t s liu qu kh l xc sut v n thc t (i khi cn
c gi l xc sut v n vt l). Li nhun thng d k vng trong

Bng 19.6 pht sinh trc tip t s khc bit gia xc sut v n thc
t v xc sut v n bng quang vi ri ro. Nu khng c li nhun
thng d k vng, xc sut v n thc t v xc sut v n bng
quang vi ri ro s l nh nhau, v ngc li.
Ti sao chng ta thy s khc bit ln gia xc sut v n thc t
v xc sut v n bng quang vi ri ro?

Tri phiu doanh nghip l tng i km thanh khon - gii

thch khong 25 im c bn ca li nhun thng d.

Cc xc sut v n ca tri phiu l cao hn.

Cc tri phiu c tng quan v n vi nhau => li nhun thng

d cc trader tri phiu thu c t cc tri phiu cht lng
cao l thp hn nhiu so vi cc tri phiu cht lng thp

iu kin kinh t v m tt lm gim xc sut v n cho tt c

cc cng ty; iu kin kinh t v m xu lm tng xc sut v n
cho tt c cc cng ty (ri ro h thng)

Ri ro phi h thng do kh thc hin a dng ha. Cc thnh

phn phi h thng ca ri ro ny l kh khn "a dng ha
c tnh no nn c s dng?

Cu tr li ph thuc vo mc ch ca phn tch.

Khi nh gi phi sinh tn dng hoc tnh ton tc ng ca ri ro
v n trn gi ca cc cng c, chng ta nn s dng xc sut
v n bng quang vi ri ro
Khi thc hin tnh hung phn tch tnh ton tn tht tim n
trong tng lai t v n chng ta nn s dng xc sut v n
trong thc t. V d, xc sut v n c s dng tnh ton
c vn iu l l mt xc sut v n trong thc t.

19.8 S DNG GI C PHN C TNH XC SUT V N

Nm 1974, Merton a ra 1 m hnh m c phn ca cng ty l mt
quyn chn trn ti sn ca cng ty24. Gi s, n gin, cng ty c
1 tri phiu zero-coupon tt v tri phiu o hn ti thi im T.
nh ngha nh sau:
V0: Gi tr ca ti sn cng ty hm nay.
VT: Gi tr ca ti sn cng ty ti thi im T.
E0: Gi tr ca c phn cng ty hm nay.
ET: Gi tr ca c phn cng ty ti thi im T.
D: S tin bao gm vn vay v li vay n hn phi tr ti thi
im T.
V: Bin ng ca ti sn (gi s l hng s).
E: Bin ng tc thi ca c phn.
Nu VT < D, s l c c s (t nht l trong l thuyt) ni rng cng
ty tin ti v n v khng tr c n vo thi im T. Gi tr ca vn
ch s hu khi l 0. Nu VT > D, cng ty s tr li vn vay ti thi
im T v gi tr ca vn ch s hu khi l V T - D. M hnh ca
Merton, do , a ra ga tr ca vn ch s hu ti thi im T l:
ET =max ( V T D ,0)

iu ny cho thy vn ch s hu ca cng ty nh 1 quyn chn

ca gi tr ti sn cng ty vi gi thc hin bng vi khon vay phi
tr. Cng thc Black-Scholes-Merton a ra gi tr ca vn ch s hu
ngy hm nay l:
E0 = V0N(d1) De-rTN(d2)

(19.4)

Vi:

24 Xem R. Merton, nh gi n cng ty: Cu trc ri ro ca li sut: Journal of Finance 29

(1974): 449-470.

( )(

ln 0 + r + V T
D
2
d 1=
V T
d 2=d 1 V T

V N l hm phn phi chun tch ly.

Di m hnh ca Merton, cng ty v n khi quyn chn khng
c thc hin. Kh nng ca vic ny c th c th hin di dng
N(-d2). tnh ton, chng ta cn bit V 0 v V. Khng c ci no l
c th quan st trc tip. Tuy nhin, nu cng ty c giao dch cng
khai, chng ta c th quan st E 0. iu ny c ngha cng thc (19.4)
cung cp mt iu kin cn phi tha mn bi V 0 v V. Chng ta
cng c th tnh E. T kt qu tnh ton ngu nhin:

E E 0=

E
V
V V 0

E/V y chnh l delta ca vn ch s hu. T ph lc E, n chnh

l N(d1) do :
E E0=N (d 1) V V 0

(19.5)

iu ny b sung mt cng thc khc cn tha mn bi V 0 v V.

Cng thc (19.4) v (19.5) cung cp mt cp cng thc tng ng
m c th dng tnh V0 v V.
V d 19.4
Gi tr vn ch s hu cng ty l 3 triu v bin ng l 80%. N
phi tr trong 1 nm l 10 triu . Li sut phi ri ro l 5%/nm.
Trong trng hp ny, E0 = 3, E = 0.80, r = 0.05, T = 1, v D = 10.
Gii cng thc (19.4) v (19.5) suy ra V 0 = 12.40 v V = 0.2123.
Tham s d2 l 1.1408 nn xc sut v n l N(-d2) = 0.127 hay

12.7%. Gi th trng ca n l V0 E0 hay 9.40. Hin gi ca khon

n phi tr l 10e-0.05x1 = 9.51. Gi tr tn tht k vng ca khon n l
(9.51 - 9.40)/9.51 hay l khong 1.2% ca gi tr khng v n. Gi tr
tn tht k vng l xc sut v n tr i t l thu hi. T l thu hi
(tnh theo t l phn trm da trn gi tr khng v n) do l 11.2/12.7 hay l khong 91%.

M rng ca m hnh c bn
Hull v cc cng s (2004) ch ra rng bin ng ng ca vn ch s hu c thc
hin bi cng ty l mt cng c d on xc sut v n ph hp vi m hnh ca
Merton.
H cung cp mt cch vn hnh m hnh Merton bng cch s dng 2 mc bin ng
ng ca vn ch s hu v ch ra rng kt qu ca m hnh cung cp mt kt qu c
th so snh vi nhng kt qu c cung cp bi m hnh c vn hnh 1 cch thng
thng.
Hiu qu ca m hnh
Mt chuyn i n iu c th c c tnh chuyn i xc sut
v n bi m hnh ca Merton thnh mt c tnh tt ca xc sut v
n thc hay xc sut v n bng quan vi ri ro.
Moody's KMV v Kamakura cung cp mt chuyn i xc sut v n
c tnh bi m hnh ca Merton thnh xc sut v n trn thc t.
CreditGrades s dng m hnh ca Merton c tnh cc chnh lch
tn dng, n c mi lin kt cht ch vi xc sut v n bng quan vi
ri ro
Xc sut v n thc v bng quan vi ri ro
M hnh ca Merton cung cp mt cch thc hiu ti sao xc sut
v n bng quan vi ri ro li cao hn so vi thc t.
Trong th gii bng quan vi ri ro, t l tng trng ca gi tr ti sn
cng ty k vng chnh l li sut phi ri ro.
Trong thc t, t l tng trng ca gi tr ti sn cng ty thng cao
hn (phn nh mt phn b ri ro c yu cu bi th trng)
Kh nng ca vic gi tr ti sn thp hn mnh gi ca khon n ti
mt thi im trong tng lai do cng l cao hn ti th gii bng
quan vi ri ro so vi thc t.

Khong cch ti v n
Thut ng Khong cch ti v n c t ra m t u ra ca
m hnh Merton. y l lch chun m gi ti sn cn thay i v
v n xy r ti thi im T trong tng lai. N l 1 nh ngha v
khong cch ti v n chnh l d2 hay:
2V
ln V 0lnD+ r
T
2
V T

Khi khong cch ti v n gim, cng ty c xc sut v n ln hn.

Trong v dng 19.4, khong cch ti v n trong 1 nm l 1.14 lch
chun.

TM TT:
nh gi v kh nng ca vic v n v t l hi phc l mt hot ng rt quan trng
cho vic qun l nhng ri ro. Nu mt cng ty cng b cc khon n thng mi mt cch
cng khai, cc nh mc tn nhim l mt ngun cung cp thng tin. cc cng ty nh gi vic
xp hng tn nhim nh Moody cung cp cc thng k bao qut v t l v n cho cc cng ty.
Moody m c vinh danh l nh gi tn nhim rt chi tit, tng tn. T l phc hi l gi tr
ca tri phiu sau vic khng tr n ng k hn nh l phn trm ca gi tr thc. Cc cng ty
nh gi tn nhim cung cp nhng s liu thng k cho t l phc hi ca nhng ni dung
khc nhau ca nhng tri phiu.
C rt nhiu ngun thng tin v chi ph giao dch tn nhim. Th trng hon i ri ro
tn dng (CDS) l mt trong nhng ngun nh vy. CDS l mt cng c m mt cng ty
mua s bo him t mt cng ty khc chng li cng ty th ba (mt hnh thc tham kho)
m khng tr n ng k hn da trn bn phn ca cng ty . Chi ph giao dch CDS l
khon tin phi tr mi nm cho vic bo him cng nh phn trm ca tin vn. Hai ngun
khc ca ph giao dch tn nhim ca cng ty l s vt qu ca li nhun trn nhng tri phiu
c cng b bi cng ty trn li xut phi ri ro v ph giao dch trao i ti sn.
Kh nng v n da trn s liu trc y, cng nh s liu m cc cng ty xp hng
cung cp, cho l thc t hay kh nng v n t nhin. Bng quang n kh nng v n th cao
hn kh nng v n thc t. Kh nng v n trung lp nn c s dng cho vic c tnh,
nh gi. Kh nng v n thc t nn c s dng cho nhng phn tch cho vin cnh. Mi
hnh thc c tnh ton dng cho m hnh c pht trin bi Robert Merton vo nm
1974, ni rng m hnh c kim tra rt chnh xc.