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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 AAA AAM ABT ACC ACL
1 -1.72% -0.75% -5.37% 2.80% -5.30%
2 0.00% 0.00% 2.70% -6.82% 3.85%
3 1.05% -4.92% 3.95% 2.44% 6.73%
4 -1.39% 5.98% 2.91% 0.00% 4.10%
5 2.46% 0.00% 5.54% 0.00% 3.03%
6 -1.03% -2.26% 0.12% 0.00% -4.71%
7 -0.35% -1.54% 0.00% -2.38% -0.46%
8 -1.05% 1.56% -1.05% 6.34% -2.02%
9 2.82% 0.00% 1.18% 0.00% 2.85%
10 1.71% 2.69% 0.00% -0.46% -3.23%
11 -1.68% 0.00% 0.00% -0.92% 1.43%
12 -1.37% 0.00% 2.33% 0.93% 3.76%
13 0.00% 0.37% -2.27% -0.92% 0.45%
14 0.69% -1.49% 4.65% 0.00% 6.92%
15 -0.69% -3.41% 0.00% -0.47% 6.89%
16 0.35% 3.53% 0.00% 0.00% 6.97%
17 -0.69% 1.89% -1.11% -4.21% 1.35%
18 -0.70% 0.00% 1.12% 0.00% -6.31%
19 0.00% 0.37% -1.11% 6.34% 6.99%
20 0.35% 1.85% 0.00% -5.50% 1.33%
21 1.40% 0.00% -3.15% 4.37% -1.67%
22 1.38% -2.55% 0.00% -0.23% 0.85%
23 1.02% 0.00% 2.09% 4.90% 1.20%
24 3.70% 0.00% 4.55% -3.11% -3.10%
25 0.97% -2.24% -1.09% 0.00% 6.39%
26 -0.32% 0.76% 0.00% 0.92% -4.16%
27 -0.32% 0.76% -1.10% -4.55% -0.24%
28 0.00% 3.38% 0.00% 2.38% -1.45%
29 -2.91% 0.36% 0.00% 0.93% 0.74%
30 0.00% 1.09% -3.33% 1.38% -1.46%
31 0.33% 0.00% -1.15% -0.45% -4.20%
32 1.33% -0.36% 2.21% -2.28% -0.13%
33 -0.33% 0.72% 0.00% -2.10% 3.74%
34 -0.99% 0.00% -2.16% 1.67% -4.23%
35 1.66% -5.71% 2.33% 0.47% 3.12%
36 -1.63% 5.30% -3.41% 1.40% -1.01%
37 2.33% -2.88% 1.18% 0.23% 0.38%
38 6.82% 3.70% 0.00% 0.46% 0.13%
39 0.91% 0.00% 1.05% 0.00% -0.76%
40 0.30% -5.71% -1.04% -0.23% -0.38%
41 -1.20% 4.55% -0.12% -0.23% 0.38%
42 -3.95% -1.45% -0.12% 0.00% -2.81%
43 3.48% 2.94% -3.26% -0.23% -3.67%
44 0.61% 0.00% 0.00% -0.46% 1.36%
45 -1.52% 0.00% 0.00% 0.00% 0.40%
46 0.00% 0.00% 0.00% -0.46% -0.94%
47 0.62% 1.43% 2.41% 1.63% 0.27%
48 0.61% 1.41% 0.00% -1.14% 5.93%
49 -2.44% -6.94% -3.41% 0.00% -0.76%
50 -0.31% 5.97% -2.31% -1.39% -0.64%
51 0.94% 2.11% 1.25% 0.94% -3.10%
52 1.24% -5.86% 0.99% -0.93% 0.67%
53 -1.53% 4.03% -0.49% 0.00% -1.59%
54 0.62% 2.82% 6.62% 0.00% -0.67%
55 0.93% 1.37% -2.30% 0.00% -0.41%
56 3.07% -0.68% -3.53% 1.41% -0.82%
57 0.30% 0.68% 3.66% 0.46% -0.55%
58 2.67% 0.00% -5.88% 0.00% -2.20%
59 -0.58% 0.00% 1.75% -3.23% 2.25%
60 1.16% 0.00% -1.72% -6.90% 0.00%
61 -0.29% 3.72% 0.00% 1.79% 6.61%
62 2.02% 6.84% 0.00% -1.76% -1.29%
63 6.78% 5.18% 0.00% -0.77% -0.79%
64 -2.12% -1.45% 0.00% 1.29% -2.37%
65 0.00% 4.71% 0.00% -3.31% 6.89%
66 2.16% -18.54% 0.00% 0.53% 5.69%
67 2.38% 0.00% 0.00% 0.26% 6.46%
68 -6.98% -2.76% -1.00% -0.78% 3.37%
69 -1.11% 0.71% 0.00% 1.58% -6.96%
70 1.40% -4.23% -4.04% -1.55% -1.64%
71 -3.60% 2.94% 0.00% 1.05% 0.00%
72 1.15% -1.43% 0.00% 1.30% -2.49%
73 2.84% 0.00% 0.00% -2.31% -0.12%
74 -1.10% -0.36% 0.00% 1.84% 2.44%
75 3.35% -0.73% 1.18% 0.00% -0.95%
76 -1.62% -1.10% 0.00% 0.00% 0.96%
77 -2.47% 0.00% 0.00% 0.00% -2.38%
78 -3.66% 0.00% 1.43% 0.52% -2.44%
 79 2.05% -1.48% 4.62% 0.77% 3.75%
80 -0.86% -3.01% 0.00% 5.10% -1.57%
81 -2.31% -3.88% -6.74% -1.46% -2.20%
82 1.78% 0.40% 0.00% -0.99% 0.00%
83 0.00% 0.80% 2.50% 0.00% 2.00%
84 1.45% -1.99% -1.28% 0.00% 1.10%
85 0.00% -3.25% 0.00% -0.50% -2.79%
86 0.57% 6.72% 0.00% -5.00% -0.87%
87 0.85% 5.12% 3.64% 0.00% 0.00%
88 -0.85% 0.37% 0.00% 1.05% -0.76%
89 -1.42% -1.87% -2.26% 3.13% -1.02%
90 2.31% 0.76% -1.28% 0.00% 0.00%
91 -1.69% -0.38% -3.90% 2.02% 0.00%
92 1.15% -6.82% 6.76% -0.99% 5.00%
93 0.57% 4.07% 0.00% 0.00% -2.32%
94 3.67% -1.56% -3.29% 0.00% 1.25%
95 -1.09% -2.38% 2.62% 0.00% 0.12%
96 -2.20% -3.25% 0.00% 2.25% -0.37%
97 -2.54% 3.36% -0.51% 1.71% -1.49%
98 0.29% -2.44% -0.51% -2.40% -3.27%
99 0.29% 6.25% -1.55% 0.00% -5.06%
100 -0.57% -5.88% -0.52% 0.00% 2.60%
101 2.60% 5.00% 0.00% -0.74% -0.80%
102 1.13% -5.95% 0.00% -5.21% 0.00%
103 -0.84% 0.00% 0.00% 0.26% 2.42%
104 -1.40% 5.49% 3.95% 6.01% -1.97%
105 1.71% -6.80% -0.25% 2.46% 1.20%
106 1.40% 1.29% 0.13% 0.00% -0.79%
107 -0.28% -4.24% 0.00% 0.00% -1.33%
108 3.05% 4.42% 6.72% -0.48% 0.00%
109 -1.34% 0.00% -0.71% -0.48% -1.76%
110 0.00% 0.00% 0.00% 0.00% -2.06%
111 0.27% -5.93% -6.70% 0.00% 0.28%
112 -0.27% 6.76% 0.00% 0.00% 0.00%
113 0.00% -0.42% 0.00% -2.91% 2.24%
114 -1.91% -2.97% 2.56% 0.00% -0.27%
115 1.94% 0.44% 0.00% -1.50% 5.77%
116 2.18% -0.87% 0.00% 1.02% -1.43%
117 -0.80% 6.58% 0.00% 0.00% 0.53%
118 0.27% -4.12% 0.00% 1.51% -3.01%
119 0.00% 4.72% 0.00% -0.50% -1.08%
120 2.14% 0.82% 0.00% 3.98% -0.55%
121 0.52% -5.28% 2.00% -1.91% 0.00%
122 0.52% 0.00% -0.25% 0.49% 0.55%
123 -1.82% 2.15% 0.00% 1.94% 0.96%
124 -1.06% -2.10% -0.12% -0.24% 1.22%
125 0.53% 0.00% -3.57% -0.24% -2.41%
126 0.27% -1.29% 3.95% 0.00% 0.55%
127 0.00% 0.00% -2.82% -0.96% 3.00%
128 -1.86% 0.00% 0.00% -6.28% 2.91%
129 0.54% -0.87% -5.30% 0.00% 1.80%
130 1.08% 0.44% 0.80% 0.00% 0.51%
131 -1.06% 2.18% 0.53% -0.52% -1.01%
132 0.54% -4.27% -1.97% 1.04% -1.65%
133 0.00% 0.89% 0.00% 0.51% -3.74%
134 1.34% 0.88% 2.01% -0.51% 0.54%
135 -3.17% 3.51% -5.26% 2.05% -2.67%
136 -0.54% -4.24% 2.36% -1.76% 0.27%
137 -1.92% 3.98% 0.14% 0.26% 1.37%
138 0.28% -2.98% -0.81% 0.00% -0.67%
139 -0.56% 0.00% 0.00% 0.00% -0.95%
140 -1.68% 0.00% 0.00% 0.00% -0.96%
141 -0.85% -5.26% 0.00% -0.51% -2.63%
142 0.29% 0.46% 0.14% 0.00% -2.56%
143 0.29% 5.99% 0.00% 0.00% -6.71%
144 0.57% -6.09% 2.32% 6.67% 4.69%
145 -1.14% 6.48% 0.27% -6.01% 5.37%
146 0.00% -4.35% 0.00% 0.26% -0.28%
147 -1.15% 6.82% -0.27% 0.00% -0.85%
148 0.00% 0.85% 0.00% 1.53% -1.15%
149 -0.87% 0.00% 1.20% 1.51% 0.29%
150 -0.59% 0.00% -2.50% -0.25% -1.16%
151 -0.59% 6.75% 0.00% 0.00% 0.29%
152 0.30% 1.19% 0.00% -4.71% 1.46%
153 0.00% -2.34% 1.35% 1.04% 0.00%
154 0.30% -2.40% 0.27% 0.77% -2.30%
155 -2.65% 2.46% 2.13% -0.26% -0.88%
156 -1.52% -4.00% 1.30% 0.00% 0.00%
157 -1.23% -1.67% -1.03% 0.00% 0.00%
158 -1.56% 2.54% 0.52% 0.00% -0.89%
159 3.80% 5.79% -0.52% 0.00% -0.15%
160 -2.74% -2.34% 0.00% 0.00% -0.45%
161 -0.31% -4.80% -1.30% 0.51% 1.81%
162 0.63% 0.00% -0.53% 0.00% 0.00%
163 -0.31% -3.78% 0.00% -1.53% 5.03%
164 0.00% 3.93% -6.61% 1.30% 0.28%
165 0.00% 4.62% 0.00% -2.30% 0.00%
166 0.31% 1.20% 0.00% 0.52% -0.28%
167 2.19% -0.79% 0.00% -0.52% -1.41%
168 0.00% 0.00% 1.42% -0.52% 0.86%
169 -2.45% 0.00% 0.00% 6.84% -1.42%
170 0.31% 0.00% -3.63% 0.00% -0.86%
171 -0.31% -4.00% 0.00% -0.49% 0.00%
172 0.31% 2.50% 0.00% -6.93% 0.00%
173 0.00% -0.81% 1.74% 1.06% -1.45%
174 -0.31% -0.41% 1.14% -5.26% 1.76%
175 -0.94% -0.41% -0.14% 5.56% -0.29%
176 -0.63% -0.83% -0.99% 5.26% -2.03%
177 -0.32% 0.00% -1.71% 0.00% 1.18%
178 -3.19% 6.67% 2.90% -1.00% 0.00%
179 1.32% -6.64% 0.00% 0.00% 0.58%
180 -0.65% -2.93% 0.00% -0.51% -2.91%
181 -0.66% 3.02% 0.00% 0.00% 0.00%
182 -0.33% -5.44% 0.00% 0.00% -2.40%
183 0.66% 6.19% 0.00% 1.52% -4.91%
184 -1.64% -5.00% 0.00% -1.00% 6.45%
 185 -1.00% -4.39% 0.00% -0.25% 2.42%
186 0.00% 6.88% -2.54% 6.33% -0.30%
187 0.68% 3.43% -0.29% 4.76% 0.89%
188 0.34% -0.41% 2.90% 0.00% -0.88%
189 1.67% -2.50% 0.00% 0.00% -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.