TL_Quản trị rủi ro

8/3/2019 TL_Qun tr ri ro

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MC LCPHN 1. C SL LUN ................................................................................................................... 2

CHNG 1. TNG QUAN VTH TRNG ............................................................................... 2

CH NG KHON ............................................................................................................................... 21. nh ngha th tr ng chng khon ............................................................................................ 22. S l c lch s ra i v pht trin ca th tr ng chng khon thgi i ................................... 23.Th tr ng chng khon Vit Nam .............................................................................................. 5

CHNG 2. RI RO TRN TH TRNG .................................................................................. 11CH NG KHON ............................................................................................................................. 11

1. nh nghari ro ....................................................................................................................... 112. Cc loi ri ro trong u t chng khon................................................................................. 113. Cc loi ri ro m nh u t phi gnh chu ........................................................................... 12

CHNG 3. CC M HNH NH GI RI RO ....................................................................... 181. Phng sai v lch chun ..................................................................................................... 182. M hnh nh gi ti sn vn CAMP ........................................................................................ 19

CHNG 4. CC CNG CPHNG NG A .............................................................................. 23RI RO ............................................................................................................................................. 23

1. Mt tch cc ca cng cphi sinh: .......................................................................................... 23

2. Mt tiu cc ca cng cphi sinh: .......................................................................................... 233. Cc loi hp ng phi sinh ...................................................................................................... 23

PHN II TH C TIN ....................................................................................................................... 271. Tng quan vtnh hnh th tr ng chng khon ........................................................................... 272. La chn m hnh nh gi ri ro ................................................................................................. 28

2.1. Sdng dliu qu kh nh gi ri ro bng m hnh phn phi xc sut ..................... 292.2. nh gi ri ro u t chng khon thng qua hsBeta .................................................... 33

PHN 3. NHN XT, NH GI..................................................................................................... 35

1.Nhn xt vcc cng ty trong ngnh. ............................................................................................ 352. hn chri ro, nh u t cn ch : ....................................................................................... 35


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PHN 1. C S L LUN

CHNG 1. TNG QUAN V TH TR NG

CH NG KHON

1. nh ngha th tr ng ch ng khonTh tr ng chng khon l mt bphn quan trng ca Th tr ng vn, hot

ng ca n nhm huy ng nhng ngun vn tit kim nh trong x hi tp trungthnh ngun vn l n ti tr cho doanh nghip, cc t chc kinh tv Chnh ph pht trin sn xut, tng tr ng kinh thay cho cc d n u t.

Th tr ng chng khon (securities market) l ni trao i cc chng khon.Th tr ng chng khon gip nhng ng i thiu vn huy ng c vn v ng i cdnh chuyn dnh ca mnh thnh vn u t. Vth, th tr ng chng khoncn c gi l th tr ng vn.

Theo i tng trao i, th tr ng chng khon c thphn lm hai loi c bn, l th tr ng cphiu (stock market) vth tr ng tri phiu (bond market).Vmt khng gian, khng c s phn bit hai th tr ng ny.S giao dch chngkhonv cccng ty chng khonu tchc trao i ccphiu ln tri phiu vcc loi chng khon khc.

Theo loi chng khon mi hay c, th tr ng chng khon c thphn lmloi :

Th trng s cp: ngi mua mua c chng khon ln u t nhngng i pht hnh;

Th tr ng th cp: ni din ra s mua i bn li cc chng khon c pht hnh th trng s cp.

Hng ha giao dch trn Th tr ng chng khon bao gm: cc cphiu, triphiu v mt scng cti chnh khc c th i hn trn 1 nm.

2. S l c lch s ra i v pht trin ca th tr ng ch ng khon thgi i2.1. S ra i ca cc S giao dch trn thgi i

Th tr ng chng khon ban u pht trin mt cch t pht v rt s khai,xut pht tmt scn thit n lca bui ban u.

Vo gia thk15 ti nhng thnh ph trung tm bun bn phng Ty,cc thng gia th ng ttp ti cc qun c ph trao i vic mua bn trao i cc
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vt phm hng ho. Lc u chmt nhm nh, dn dn sau tng dn v hnh thnhmt khu ch ring.

Cui th k 15, thun tin hn cho vic lm n, khu ch tr thnh th trng v i vic h thng nht cc quy c v dn dn cc quy c c sa ihon chnh thnh nhng quy tc c gi tr bt buc chung cho mi thnh vin tham gia th trng.

Phin ch ring u tin c din ra vo nm 1453 ti mt l im ca gianh Vanber Bruges B, ti c mt bng hiu hnh ba ti da v i mt ting Php lBourse tc l mu dch th trng hay cn gi l S giao dch.

Vo nm 1547, thnh ph Bruges Bmt i sphn thnh do eo bin Even b ct lp nn mu dch th tr ng y bsp v c chuyn qua th trn AuversB, y th tr ng pht trin rt nhanh v gia thk16 mt quan chc i thn ca

Anh quc n quan st v vthit lp mt mu dch th tr ng ti London Anh, nim sau ny c gi l S giao dch chng khon London. Cc mu dch th tr ngkhc cng ln lt c thnh lp ti Php, c v Bc u.

S pht trin ca th tr ng ngy cng pht trin cv l ng v cht v i s thnh vin tham gia ng o v nhiu ni dung khc nhau. V vy theo tnh cht t nhin n li c phn ra thnh nhiu th tr ng khc nhau, vi c tnh ring catng th tr ng thun l i cho giao dch ca ngi tham gia trong , nh:

Th tr ng giao dch hng ho

Th tr ng hi oi

Th tr ng giao dch cc hp ng tng lai

Th tr ng chng khon

Qu trnh cc giao dch chng khon din ra v hnh thnh nh vy mt cch t pht cng tng t Php, H Lan, cc n c Bc u, cc n c Ty u v Bc M.Cc phng thc giao dch ban u c din ra s khai ngay ckhi ngoi tr i v inhng k hiu giao dch bng tay v c th k nhn lnh ca khch hng.Mchon nm 1921, khu ch ny c chuyn t ngoi tr i vo trong nh, S giao dchchng khon chnh thc c thnh lp.

2.2. S pht trin ca cc giao dch trn th tr ng:

Ngy nay, theo spht trin ca cng nghkhoa hc kthut, cc phng thcgiao dch cc S giao dch chng khon cng c ci tin dn theo tc v khil ng yu cu nhm em li hiu quv cht l ng cho giao dch, cc S giao dch dn dn sdng my vi tnh truyn cc lnh t hng v chuyn dn tgiao dchthcng kt h p v i my vi tnh sang sdng hon ton hthng giao dch in t

thay cho th cng tr c kia.


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Lch s pht trin cc th tr ng chng khon Thgi i tri qua mt s phttrin thng trm lc ln, lc xung.

Vo nhng nm 1875-1913, th tr ng chng khon Thgi i pht trin huyhong cng v i s tng tr ng ca nn kinh tThgii lc

n ngy th nm en ti tc ngy 29/10/1929 lm cho th tr ngchng khon Ty, Bc u v Nht bn khng hong mt lng tin.

n chin tranh thgi i th 2 kt thc, cc th tr ng chng khon cnghi phc dn v pht trin mnh.

n nm 1987 mt ln na lm cho cc th tr ng chng khon Thgi iin o vi ngy th hai en ti do hthng thanh ton km ci khngm ng c yu cu ca giao dch, st gi chng khon gh g m, mt

lng tin v phn ng dy chuyn m hu quca n cn nng hn cuckhng hong nm 1929.

Theo quy lut t nhin, sau gn hai nm mt lng tin, th tr ng chngkhon Thgi i li i vo giai onn nh v pht trin n ngy nay.

Cmi ln khng hong nh vy, gi chng khon ca tt ccc th tr ngchng khon trn Thgi i st kinh khng tuy mi khu vc v mi n c nhngmc khc nhau gy ra sngng trcho th tr ng chng khon ton cu v cngnh h ng trc tip t i nn kinh tmi n c.

Cho n nay, phn ln cc n c trn Thgii c khong trn 160 S giaodch chng khon phn tn khp cc chu lc bao gm ccc n c trong khu vcng nam pht trin vo nhng nm 1960-1970 vo cc n c ng u nhBalan, Hunggari, Sc, Nga, v Chu nh Trung quc vo nhng nm 1980- unm 1990.

Lch shnh thnh v pht trin ca th tr ng chng khon trn Thgi i chothy thi gian u, th tr ng hnh thnh mt cch t pht, i t ng tham gia chyul cc nh u c, dn dn vsau m i c s tham gia ngy cng ng o ca cngchng.

Khi th tr ng bt u xut hin s trc trc v bt n, chnh phbuc phi canthip bng cch thnh lp cc c quan qun l nhm bo vquyn l i ca cng chngu t v sau dn dn hthng php l cng bt u c ban hnh.

Kinh nghim i v i nhng th tr ng m i hnh thnh vsau ny cho thy th tr ng sau khi thit lp ch c thhot ng c hiu qu, n nh v nhanh chng nuc schun b chu o vmi mt vhng ho, lut php, con ng i, bmy qun lv c bit sgim st v qun l nghim ngt ca Nh n c.

Song cng c mt s th tr ng chng khon c s trc trc ngay t ban unh th tr ng chng khon Thi Lan, Innsia, hot ng tr trmt th i gian di


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do thiu hng ho v do khng c quan tm ng mc, th tr ng chng khonPhilippine km hiu qudo thiu sch o v qun l thng nht hot ng ca haiS giao dch chng khon Makita v Manila, th tr ng chng khon Balan, Hungarigp trc trc do vic ch o gi cqu cao hoc qu thp.

C thni, Th tr ng chng khon l mt nh ti chnh khng ththiu ctrong i sng kinh tca nhng nc theo c chth tr ng v nht l nhng n cang pht trin ang cn thu ht lung vn l n di hn cho nn kinh tquc dn.

3.Th tr ng ch ng khon Vit Nam3.1. Quyt nh thnh lp Th tr ng ch ng khon Vit Nam

Sau nhiu nm chun b v ch i , ngy 11/07/1998 Chnh ph k Ngh nh s48/CP ban hnh vchng khon v th tr ng chng khon chnh thc khaisinh cho Th tr ng chng khon Vit Nam ra i.

Cng ngy, Chnh ph cng k quyt nh thnh lp Trung tm Giao dchChng khon t ti thnh phHCh Minh v H Ni. Vic chun b cho th tr ngchng khon Vit Nam thc ra do UBan Chng khon Vit Nam ra i bngNgh nh 75/CP ngy 28/11/1996.

Trung tm Giao dch Chng khon thnh ph H Ch Minh (TTGDCKTP.HCM) c thnh lp theo Quyt nh s 127/1998/Q-TTg ngy 11/07/1998 vchnh thc i vo hot ng thc hin phin giao dch u tin vo ngy 28/07/2000.

Trung tm Giao dch chng khon (TTGDCK) H Ni chnh thc cho ivo ngy 8/3/2005. Khc v i TTGDCK TP.HCM (vn l ni nim yt v giao dchchng khon ca cc cng ty l n), TTGDCK H Ni s l sn chi cho cc doanhnghip nhv va (v i vn iu lt 5 n 30 t ng).

3.2. Ch sVN Index:

VN - Index l k hiu ca ch schng khon Vit Nam. VN - Index xy dngcn cvo gi tr th tr ng ca tt ccc cphiu c nim yt. V i hthng ch s ny, nh u t c th nh gi v phn tch th tr ng mt cch tng qut..

Ch sVN -Index so snh gi tr th tr ng hin hnh v i gi tr th trng c s vo ngy gc 28-7-2000, khi th tr ng chng khon chnh thc i vo hot ng.Gi tr th trng c s trong cng thc tnh ch s c iu chnh trong cc tr nghp nh nim yt m i, hunim yt v cc tr ng hp c thay i vvn nim yt.

Cng thc tnh ch sVN - Index:

Trong :


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Gi th tr ng hin hnh ca cphiu i

: S l ng nim yt hin hnh ca cphiu i

: Gi th tr ng vo ngy gc ca cphiu i

: S l ng nim yt vo ngy gc ca cphiu

Th tr ng chng khon Vit Nam tri qua nhiu giai on thng trm t khi c hnh thnh n nay. Do Vit Nam l mt t nc ang pht trin, sc ht vtm hiu bit vchng khon cha thc s ph bin. Ch tp trung vo tng l p tr thc v th ng lu m i c kh nng u t vo th tr ng chng khon cn non tr ca Vit Nam.

3.3. Cc giai on pht trin:

3.3.1. Giai on 2000-2005

y l giai on chp chng bit i ca th tr ng chng khon.

S ra i ca th tr ng chng khon Vit Nam c nh du bng vic avo vn hnh trung tm giao dch chng khon TP.HCh Minh ngy 20/07/2000 vthc hin phin giao dch u tin vo ngy 28/07/2000.thi im lc by gi , ch c 2 doanh nghip nim yt 2 loi cphiu (REE v SAM) v i svn 270 t ng vmt s t tri phiu Chnh ph c nim yt giao dch. T cho n 2005, th tr ng lun trong trng thi g gt, loi tr cn st vo nm 2001. Trong 5 nm utin, dng nh th tr ng khng thc s thu ht c s quan tm ca ng ocng chng v cc din bin tng gim ca th trng cha to ra tc ng x hi m rng c th nh h ng t i svn hnh ca nn kinh t cng nh t i cuc sng cami ng i dn.

Ta c thnhn nh r c iu thng qua bng sliu sau:

B ng 1. Th ng k tnh hnh giao d ch c a th trng trong 5 nm u

Nm 2000 2001 2002 2003 2004 2005

Scng ty nim yt/KGD 5 5 20 22 26 32

M c vn ho TTCP (% GDP) 0.28 0.34 0.48 0.39 0.64 1.21

S l ng cng ty ch ng khon 3 8 9 11 13 14

Sti khon khch hng 2.908 8.774 13.520 15.735 21.616 31.316


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Theo thng k ca Uban Chng khon Nh nc, tnh n ht nm 2005:

Tng gi tr th tr ng chng khon vit Nam t gn 40.000 t ng,chim 0,69% tng thu nhp quc ni (GDP).

Th tr ng chng khon Vit Nam hin c 4.500 t ng cphiu, 300 t ng chng ch qu u t v gn 35.000 t ng tri phiu chnh ph, triphiu chnh quyn a phng, thu ht 28.300 ti khon giao dch.

Trong nm 2005, tc tng tr ng ca th tr ng chng khon gp i sovi nm 2004, huy ng c 44,600 t ng, hin gi gi tr cphiu sov i GDP ca c nc t gn 1%.

3.3.2.Giai on 2006

y l giai on pht trin t ph ca TTCK Vit Nam.Mc th i gian kt u nm 2006 c coi l mang tnh cht pht trin t

ph, to cho th tr ng chng khon Vit Nam mt din mo hon ton m i v i hotng giao dch si ng ti c 3 sn: S giao dch Tp.HCh Minh, Trung tm Giaodch H Ni v th tr ng OTC

V i mc tng trng t t i 60% t u n gia nm 2006 th tr ng chngkhon Vit Nam tr thnh "im" c tc tng tr ng nhanh th2 thgi i, ch sauDim-ba-bu. V sbng dy ca th tr ng non tr ny ang ngy cng "ht hn" ccnh u t trong v ngoi n c.

Khng thphnhn nm2006 va qua th tr ng chng khon Vit Nam nontr ny c mn trnh din tuyt v i v c thskhng bao gi c li c v ikhi l ng vn ho tng gp 15 ln trong vng 1 nm.

Scng ty nim yt tng gn 5 ln, t 41 cng ty nm 2005 ln t i 193 cngty, s ti khon giao dch t hn 10 vn gp 3 ln nm 2005 v 30 ln so vi 6 nmtr c. Trong vng mt nm, chsVn-Index tng hn 500 im, t hn 300 imcui 2005 ln 800 im cui 2006.

Trong khong t gia n cui nm 2006, tnh trng u t vo cphiu nc ta mang tm l m ng, c ng i c kin thc v hiu bit, cnhng ng imua, bn theo phong tro, qua y TTCK vo tnh trng nng, hin tng bong bng l c tht. Trong nm ny klc m i ca VN-Index c xc lp mc 809,86im. V i HASTC-Index l n lc chm mc 260 im. Tnh chung, so vi u nm,ch sVN-Index c mc tng tr ng t i 146% v HASTC-Index tng t i 170%.y l nhng mc tng m cc th tr ng trn thgi i phi tha nhn l qun t ng.

Tnh n phin 29/12/2006, Trung tm Giao dch Chng khon TP.HCM csgp mt ca 106 cphiu, 2 chng ch quv 367 tri phiu v i tng gi tr nim

yt theo mnh gi l trn 72 nghn t ng. Cn ti Trung tm Giao dch Chng khonH Ni, s l ng chng khon tham gia ln n 87 cphiu v 91 tri phiu v i


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tng mc ng k giao dch theo mnh gi t 29 nghn t ng. Xt ring vmcvn ho c phiu, ton b th tr ng chng khon chnh thc Vit Nam v i 193 c phiu vo phin cui nm, ln t i 220 nghn t ng, tng ng v i 13,8 t USD.

3.3.3.Giai on 2007Giai on ny, th tr ng chng khon bng n.

Nhn nhn khch quan t gc th tr ng, bn cnh nhng thnh cng, TTCKqua mt nm hot ng cng ghi li du n cho nhng giai on thng trm nht nhkhi th tr ng tri qua nhng bin ng tri st tht thng: giai on th tr ng bngn trong 3 thng u nm, th tr ng bt u hnhit v iu chnh mnh vo 5 thnggia nm, tip n l mt t phc hi trc khi i vo thoi tro trong 4 thng cuinm .

3.3.4.Giai on 2008

Cng trong xu thchung ca nn kinh t, th tr ng chng khon Vit Namkhp li nm 2008 v i sst gim mnh.

Nhn li th trng sau 01 nm giao dch, nhng im ni bt ca th tr ng:

VN Index gim im, th gi cc loi cphiu st gim mnh (nhiu m cphiu rixung d i mnh gi), tnh thanh khon km, s thoi vn ca khi ngoi, s canthip ca cc c quan iu hnh v s m m trong tm l cc nh u t.

Trong nm ny, l ng cung tip tc c b sung ng kthng qua vicChnh ph y mnh c phn ho doanh nghip nh nc, c bit l cc doanhnghip quy m l n, kinh doanh hiu quv vic bn b t cphiu Nh n c trong ccdoanh nghip cphn ha, cha khng lot ngn hng, Cng ty chng khon,doanh nghip... pht hnh tri phiu, cphiu tng vn iu l, dn n tnh trngth tr ng chng khon c nguy c tha "hng".

Nhm mc ch ngn chn suy gim ca th trng, cc c quan iu hnhbt u a ra nhng ch trng v bin php htr :

UBCKNN thu hp bin giao dch;

SCIC tham gia mua vo cphiu;

Ngn hng thng mi c vn ng ngng gii chp;

Tchc nim yt c khuyn khch mua vo cphiu qu.

Tuy nhin, phn l n cc bin php ny ch pht huy hiu qu trong ngn hn,v th tr ng tip tc st gim, cn bo gii chp cphiu khng ngng tc ng t itm l cc nh u t. Trong lch s hot ng ca TTCK, cha c nm noUBCKNN phi can thip vo th tr ng bng cc bin php mnh tay nhiu nh nm


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9

2008. Tng cng trong nm 2008, UBCKNN c 04 ln thay i bin dao nggi trn chai sn chng khon. Nhm h tr thm cho sc cu trn th trng, ngn suy gim mnh ca cc ch schng khon, ngy 04/03/2008, Chnh ph a ranhm 19 gii phpng cu th tr ng: Cho php SCIC mua vo c phiu trn th tr ng,ku gi v to iu kin cho cc doanh nghip nim yt mua vo c phiuqu....

Chu nh h ng trc tip ca t l lm pht tng cao trong n c v s binng mnh ca gi chng ha trn thgi i, th tr ng hng ha v th tr ng tin t Vit Nam tip tc c nhng bin ng mnh.

Trn th trng hng ha, xng du - loi hng ha c bn thuc skim sotca Chnh ph c iu chnh mnh. Trn th tr ng tin t, li sut tngn hngthng mi v ngn hng Nh n c lin tip xc nh cc mt bng m i.

Chu tc ng sc p t lm pht, li sut t cc ngn hng thng mi tngmnh trong cui qu II, dao ng t 16 -18% i vi huy ng tin gi v 20-21%i v i cc khon vay. c bit cc sn phm huy ng vn v i k hn ngn, li sutcao l tiu im ca hthng ngn hng trong giai on ny. S cng thng vthanhkhon v sxo trn vdng chy ca tin gi huy ng l ni lo ca cc ngn hngthng mi trong giai on ny. Thm ht thng mi cao nht vo trong nm thngu nm v i mc trung bnh l khong 2,6 tUSD/thng.

3.3.5.T nm 2009 n nay :

Lm pht nh h ng gin tip n th tr ng chng khon thng qua tcng n tnh hnh sn xut hng ho, dch vca cc doanh nghip ni chung v ccdoanh nghip nim yt ni ring. Lm pht l biu hin ca s tng ln v ko di camc gi cchung trong nn kinh t; v mt trong nhng nguyn nhn dn t i lm phtl do chi ph tng cao (lm pht chi ph y). Do vy, lm pht tng thng ngngha v i vic chi ph u vo cho hot ng sn xut kinh doanh ca cc doanhnghip tng ln.

V d: Lm pht khin chi ph li vay ca doanh nghip t hn b i v cctchc chovay nh ngn hng thng mi phi nng li sut huy ng ln mbo li sut thc dng cho ng i gi tin. Khi chi ph sn xut tng cao, gi thnhcc sn phm, dch vca doanh nghip sphi tng theo m bo sn xut kinhdoanh hoc c l i nhun.

Tuy nhin, sc tiu thsn phm dch vca doanh nghip sst gim dogi bn cao, c bit trong ngn hn v khi ng i tiu dng tm t i cc sn phm thayth. iu ny khin cho l i nhun mc tiu ca doanh nghip kh c m bo vthm ch st gim, dn t i l i nhun k vng ca doanh nghip trong tng lai b nhgi thp.

Kt qul gi cphiu ca doanh nghip nim yt trn th tr ng b nh h ngtheo h ng suy gim v i cc mc khc nhau. Nu lm pht cng tng mnh th h quny din ra cng nhanh v gi cphiu cng b nh h ng mnh. Nu lm pht


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tng qu cao li din ra trong mi tr ng chnh sch tin t- ti kho tht cht th huqucn nng n hn v thanh khon trn th tr ng b co hp ng kdo lung vnlu thng trn th tr ng st gim.

Lm pht tc ng trc tip n tm l nh u t v gi trca cc khon ut trn th tr ng chng khon. Lm pht tng l mt trong nhng biu hin bt nca nn kinh t. Do vy, lm pht tng cao c thdn ti nguy c khng hong nimtin vo nn kinh t, nht l khi Chnh ph t ra bt lc trong vic kim chlm phtleo thang. Trong mi trng ny, tm l nh u t trn th tr ng chng khon cngb nh h ng nghim trng v th tr ng chng khon skhng cn l mt a ch thuht vn u t bi n cng chnh l mt phong v biu ca nn kinh t. Nu iuny xy ra, sxut hin tm l by n trong vic bn tho c phiu do khnghong nim tin. Hu qu s l cung c phiu l n gp nhiu ln so v i cu v th tr ng din ra tnh trng km thanh khon nghim trng. iu ny cng tr nn hinthc khi cc nh u t cm thy smt mt trn th tr ng chng khon do gi tr cc khon vn u t vo chng khon ca h bgim i vmt gi tr tng iso vi mi tr ng khi lm pht cha tng. Str tru trong hon cnh ny l th tr ng chng khon cng tr nn km hp dn hn so v i cc hnh thc u t khcnh gi tit kim do li sut c tng m bo li thc trn h thng ngnhng, hoc so v i u t vo vng do sc tng gi ca vng ln hn vi vai tr l nitrn an ton trong mi tr ng bt n kinh t. C lhin thc ny din rang v igiai on 4 nu trn v i nhng biu hin rt r nh lm pht tng ng k, li sut trnth tr ng tin t tng cao, gi vng leo ln cc mc klc lch sv th tr ng chngkhon nhn chung i xung. Nu cha k n cc yu tkinh t khc c tc ng nhnh h ng ca th tr ng thgi i, cung tin, tnh cht ma v, v.v

Ni chung s gia tng lm pht lm cho th tr ng chng khon Vit Namri vo tnh trng im lm, cc hot ng giao dch mua bn chng khon din ra t.Bn cnh , li sut huy ng vn ca cc ngn hng tng cao, lm cho cc nhu t c tm l ngi ri ro khng dm u t mua cphiu na m g i tin vo ngnhng h ng li sut.


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CHNG 2. RI RO TRN TH TR NG

CH NG KHON

1. nh ngha ri roRi ro (risk) l mt skhng chc chn hay mt tnh trng bt n. Tuy nhin,

khng phi bt c s khng chc chn no cng l ri ro. Ch c nhng tnh trngkhng chc chn no c th c on c xc sut xy ra mi c xem l ri ro.Nhng tnh trng khng chc chn no cha tng xy ra v khng th c on cxc sut xy ra c xem l sbt trc , chkhng phi l ri ro. Cch nh ngha riro trn y c xem nh l nh ngha nh tnh, n gip chng ta c thphn bit c ri ro v sbt trc, nhng khng cho php o lng c ri ro.

c th o l ng, ri ro c nh ngha nh l skhc bit gia gi tr thctv gi tr k vng. Gi tr k vng chnh l gi tr trung bnh c trng sca mtbin no v i trng schnh l xc sut xy ra gi tr ca bin . Skhc bit giagi tr thc tso v i gi tr k vng c o l ng bi lch chun. Do vy, lchchun hay phng sai chnh l thc o ca ri ro. Ni n ri ro tc l ni n quanhgia gi tr ca mt bin no so v i k vng ca n.

2. Cc loi ri ro trong u t ch ng khon2.1. Ri ro hthng

Ri ro hthng l ri ro tc ng n ton bhoc hu ht cc chng khon.S bp bnh ca mi tr ng kinh t ni chung nh sst gim GDP, bin ng lisut, tc lm pht thay i... l nhng minh chng cho ri ro hthng, nhng bini ny tc ng n s dao ng gi cca cc chng khon trn th tr ng.

2.1.1. Ri ro th tr ng

Trong ri ro hthng tr c ht phi k n ri ro th tr ng. Ri ro th tr ngxut hin do phn ng ca cc nh u t i v i cc hin t ng trn th tr ng.Nhng sst gim u tin trn th tr ng l nguyn nhn gy s hi i v i cc nh

u t v hscgng rt vn. Phn ng dy chuyn ny lm tng s l ng bn, gicchng khon s ri xung thp so v i gi tr c s .

2.1.2. Ri ro li sut.

Gi cchng khon thay i do li sut th trng dao ng tht th ng gi lri ro li sut. Gia li sut th tr ng v gi cchng khon c mi quan h t l nghch. Khi li sut th trng tng, ngi u t c xu h ng bn chng khon lytin gi vo ngn hng dn n gi chng khon gim v ng c li.

Ngoi hqu trc tip i v i gi chng khon, li sut cnnh h ng gintip n gi cphiu (CP) th ng. Khi li sut tng lm gi CP gim v cc nh uc vay mua k qusb nh h ng. Nhiu cng ty kinh doanh chng khon hot


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ng ch yu bng vn i vay th v i mc li sut tng cng lm cho chi ph vntng.

2.1.3. Ri ro lm pht hay cn gi l ri ro s c mua

Ri ro lm pht l tc ng ca lm pht t i cc khon u t. L i tc thc t ca chng khon em li l kt qugia l i tc danh ngha sau khi khu tr i lm pht. Nh vy, khi c tnh trng lm pht th l i tc thc tgim. Gii thch theo lthuyt hin ti ho, mt ng l i tc ca hm nay th trong tng lai khng cn gi tr mt ngdo tc ng ca lm pht.

V d:

Nu mt tri phiu tr li 7%/nm, lm pht bnh qun 5% th li sut thc catri phiu l 2%. Nu lm pht gim xung cn 3% th li sut thc sl 4%.

2.2. Ri ro phi hthng

Ri ro phi hthng l ri ro ch tc ng n mt loi ti sn hoc mt nhmti sn, ngha l ri ro ny ch lin quan n mt loi chng khon cth no . Riro phi hthng bao gm ri ro kinh doanh v ri ro ti chnh.

2.2.1. Ri ro kinh doanh:

Trong qu trnh kinh doanh, nh mc thc t khng t c nh theo k hoch gi l ri ro kinh doanh, chng hn l i nhun trong nm ti chnh thp hn mc

dkin. Ri ro kinh doanh c cu thnh b i yu tbn ngoi v yu tni ti trongcng ty. Ri ro ni ti pht sinh trong qu trnh cng ty hot ng. Ri ro bn ngoibao gm nhng tc ng nm ngoi skim sot ca cng ty lmnh hng n tnhtrng hoi ng ca cng ty nh chi ph tin vay, thu, chu k kinh doanh...

2.2.2. Ri ro ti chnh

Ri ro ti chnh lin quan n nby ti chnh, hay ni cch khc lin quann c cu n ca cng ty. S xut hin cc khon n trong cu trc vn s to rangha vtrn trli ca cng ty. Cng ty phi thc hin ngha vtrn (gm trn

ngn hng v trn tri phiu) tr c vic thanh ton ctc cho c ng. iu nynhh ng khng nh n gi cCP cng ty. Ri ro ti chnh c th trnh c nu cngty khng vay n cht no.

3. Cc loi ri ro m nh u t phi gnh chu3.1. Ri ro t tnh thanh khon thp ca ch ng khonu t

Tnh thanh khon thp ca chng khon m nh u t ang s hu c thdochng khon kh v thm ch khng th bn c hoc khng c php bn haychuyn nh ng nhm thu hi vn u t. Hng ha thng th ng khng th bn c

phn nhiu do: cht l ng v tin ch ca hng ha khng p ng nhu cu; khng


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ph h p vi gu ca ngi mua; cung v t qu cu; c hng ha khc thay th tngng, thm ch c sc hp dn hn.

i v i chng khon, tnh thanh khon ca n thp do mt s nguyn nhnsau:

Tnh tr ng ti chnh v tri n vng th tr ng ca cng ty, t ch c pht hnhch ng khon khng t t.

Tht khng may cho nh u t chng khon, khi v mt l do no , chngkhon m h mua l ca mt cng ty, t chc c tnh trng ti chnh thiu lnhmnh v trin vng cung cp cc yu t u vo, cng nh kh nng tiu thsnphm u ra ca cng ty, tchc khng m bo hiu quvng chc. Ri ro ivi nh u t sl ti a khi cng ty, tchc pht hnh chng khon b ph sn hocn gin l lng l bin mt trn thng tr ng sau nhng pha t nh bng

kh chuyn nghip, git gn nhm thu ht, dn dnhng nh u t. Trn th tr ngchng khon hin nay, vn ang tip tc din ra tnh trng cng khai v n nc ugi mua c phiu ca cnhng cng ty trn thc t bph sn v trnh trng tichnh m, khng th trn , hoc ca nhng cng ty, qu u t thm ch m i cquyt nh thnh lp, cha htrin khai hot ng trn thc t

L a ch n khng ng c c u ch ng kh on u t.

Nh u t chng khon c thchu ri ro tvic bht trng vo mt gi.Vic s hu thun ty cc cphiu u i m khng c chuyn nh ng trong th i

hn nht nh (th ng t3-5 nm) cng c thkhin nh u t gp ri ro lin quann tnh thanh khon thp ca cc chng khon ny, nht l khi hcn tin trlivay ngn hng hoc mun rt vn v u t vo ni khc c li hn, an ton hn

S cnh tranh kh c lit v bi n ng khn l ng ca th tr ng.

Ngay cnhng chng khon tt nht c sc hp dn nht, hot nht thucdng blue-chip cng c thkhng givng c v thca mnh mt cchn nh,lu di tr c s cnh tranh v bin ng t i chng mt ca th tr ng trong xu th ton cu ha. iu ny cng ng nghav i vic cc nh u t chng khon c th phi hng chu chai dng thit hi khu hao hu hnh v khu hao v hnh gitr v tnh thanh khon ca cc chng khon m hnm gi.

3.2. Ri ro t thng tin ch ng khon v th tr ng

Ra i cch y trn 200 nm, bt chp nhng thng trm ca cc ngnh, ngh,sn phm kinh doanh khc, kinh doanh chng khon ngy cng tr thnh mt bphnkhng ththiu c ca nn kinh thin i vi c trng c bn l kinh tthngtin. Him c hot ng kinh doanh no m s thnh bi ca nh u t li gn b mtthit, thm ch ph thuc vo s a dng, hthng, ton din, cp nht v chnh xccc thng tin c lin quan trc tip v gin tip nh u t chng khon.


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Pha cht hm hnh, khi hi, nhng khng phi khng c l khi c ngi phc ha chn dung nh u t chng khon: lun ho hc tr c mi tin n v hnghi gp phn vo tin n; lun cnh gic phng nhng cng dnhd, ctin; tinhkhn v nhy cm; quen bit nhiu, nhng khng kt thn v i ai trong lng chngkhon (!). Trong sh, ai l ng i nm c nhiu, nhanh, chnh xc thng tin, ng i sddng chin thng v chim th th ng phong, gim thiu nhng ri ro chtngi do m m thng tin.

Kh nng lng nghe, phn tch c v cc chiu thc v cngh thuttung tin n, gy nhiu trn th tr ng chng khon ca c cc i gia hoc ibm kinh doanh chng khon, hay ca bn thn cc cng ty, t chc pht hnhchng khon, l bin php c hiu nh u t tbo vmnh, trnh nhng cmby v ri ro gn v i cc loi thng tin m o trn th trng c th ny.

Mt bo co ti chnh hoc co bch cha c kim ton, thm nh b i cctchc c lp, chuyn nghip, c uy tn v trnh chuyn mn cao; mt thng tinn chm hoc b ct xn khng y , khng chnh xc vhot ng kinh doanh cacng ty pht hnh c phiu, v mi tr ng php l v v cc nh u t khc trncng sn chi, hoc n gin l vtnh hnh th i tit hay dch bnh no u cthtr thnh u mi trc tip gy ra cc thit hi khn lng cho nh u t chngkhon.

3.3. Ri ro t cc quy nh v cht l ng dch vca cc sn, trung tm giaodch v cng ty ch ng khon

V yu cu c th i hi bt buc phi thng qua cc tchc trung gian, migi i trong kinh doanh chng khon, nn cc nh u t chng khon c thphi chunhng ri ro lin quan n cc quy nh, quy trnh nghip vv cht l ng dch v ca cc tchc trung gian ny, in hnh l cc ri ro lin quann vic tchc kh plnh v phn l giao dch cphiu trn th tr ng chng khon c tchc.

3.3.1. Hnh th c kh p lnh nh k

Hnh thc kh p lnh nh k gy ri ro cho nh u t v hkhng thhyngang lnh t mua hng bn tr c khi kt thc phin kh p lnh, bt chp nhngbin ng m i bt l i trn th tr ng cho h, nu hkhng mun chu pht vs thayi quyt nh ny.

Kh p lnh nh k cng c thgy ri ro cho nh u t v dgy tnh trngcung cu o trn th tr ng v ctnh trng nghn mch, qu ti hoc phn bit ixtheo kiu b ri nh u t nh cc sn, trung tm v cng ty chng khon.

Tuy vy, vic kh p lnh nh k c thto c hi nh u t gim b t thithi khi hy lnh t sau khi kh p lnh i v i cc chng khon cn d cha xlht trong phin giao dch gn nht m htham d.

3.3.2. Kh p lnh lin tc


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Kh p lnh lin tc l giao dch trn c s kh p lin tc cc lnh mua bnchng khon ngay khi lnh c nhp vo h thng giao dch, khng phi ch nthi im nh k nh kiu kh p lnh nh k. Trong nguyn tc x l kh p lnh lintc ny th quyn u tin lun dnh cho cc lnh mua c mc gi cao hn v cc lnhbn c mc gi thp hn.

Tr ng h p cc lnh mua v bn c ng mc gi th quyn u tin sdnhcho lnh nhp vo hthng giao dch tr c. Vic tchc kh p lnh lin tc cho phpcc nh u t t lnh thn trng, chnh xc hn, c gii quyt nhu cu mua bnnhiu hn, nhanh chng, bnh ng hn v gim thiu tnh trng cung cuo trn th tr ng chng khon.

Bn cnh nhng u im trn, vic kh p lnh lin tc c thgy ri ro cho nhu t theo 2 cch:

Hoc ri ro v lnh mua bn ca hb nhp vo h thng chm hn so v icc nh u t khc c lnh tng tnn khng thc hin c s m hoc htcc lnh t (thc t Thnh phH Ch Minh khi kh p lnh nh k th ng ch khp c khong 60% slnh c nhp vo hthng);

Hoc ri ro v hbuc phi mua bn bng ht cc chng khon t lnhtheo mc gi th tr ng thi im hin hnh cao (khi mua vo) hoc thp hn(khi bn ra) so v i mc lnh t. S d c sri ro ny l v trong quy trnhkh p lnh lin tc sdng loi lnh th trng gi tt l MP. Lnh ny cngha l lnh mua ti mc gi thp nht (sn) hoc lnh bn ti mc gi cao

nht (trn) trn th tr ng. Nu sau khi so kh p lnh theo nguyn tc trn mkhi lng t lnh ca lnh MP vn cha thc hin ht, th MP s c xeml lnh bn ti mc gi thp hn tip theo hin hnh trn th tr ng. Do thchin nguyn tc u tin khi kh p lnh l: bn mc gi thp, mua mc gicao, nn thit hi cho nh u t t lnh bn scng l n nu gi bn cngy mt gim trong qu trnh kh p lnh ny v lnh mua skh p s l ng bnv i bt k gi no cho n khi s lng. Khi , nh u t db lm votnh trng mua vo gi trn v bn ra gi sn.

Trong kh p lnh lin tc, hiu lc lnh ca nh u t trong nc c tnh t

khi lnh c nhp vo hthng cho n khi kt thc ngy giao dch, hoc b hy b.Ring i vi nh u t n c ngoi, nu lnh mua nhp vo h thng khng ckh p, hoc ch c kh p mt phn vo thi im, th sb hy, sau nh u tmun mua th phi tip tc t lnh tr li.

Cc nh u t nhltrn th tr ng chng khon cn c thphi i din v icc ri ro gn v i s iu chnh quy nh vs l ng giao dch cphiu thc hin, c thtmc 10 cphiu trc y, nng ln ti thiu 100 cphiu mi l giao dchtrong qu trnh kh p lnh lin tc Thnh phHCh Minh. Cc ri ro i v i nhu t nhlsc thgm:


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Khng thx nhcc khon u t nh trc, v bht trng vomt gi.

Khng c c hi mua cc hng - chng khon tt v chng ch c giaodch theo l l n.

Chu thit hi do phi l ngi bn l, mua l v i gi thp hn (t i10%) so vi cc nh u t c s l ng cphiu l quy nh, trongkhi h cng khng c c hi mua lthm cphiu (gis c 90)lm trn 100 cphiu cho l theo quy nh.

Chu nhiu cnh phn bit i xkhc khi th h ng cc dch vchngkhon nu vn mun l ng i trc tip u t, khng mun thng quacc qu u t i chng, qutn thc v cc cng ty chng khon

3.4. Ri ro t cc chn ng th tr ng trong v ngoi n cCc nh u t chng khon (nht l cc nh u t nh, l) c thphi gnh

chu nhiu ri ro lin quan n cc chn ng th trng trong n c hoc n c ngoi,b i :

Cc tro lu mua, bn chng khon theo tm l m ng, y cm tnhv xc cm, lm ph v cc quy lut vn ng bnh th ng ca th tr ng.

Cc hot ng u c, tung tin n tht thit, gy nhiu thng tin v t nh bng, thi gi hoc thm ch la o v thng ng c t chcca mt s nh u t chuyn nghip c tim lc ti chnh v sc mnhkhc to nn ng thi thng, trm ca th trng trc l i.

Cc chn ng th tr ng khc t n c ngoi (cuc khng hong tichnh tin lnhng nm cui thp k80 ca thkXX chu lmt th d in hnh).

Ngoi ra, cc nh u t cn chu cc ri ro lin quan n ng thichnh sch ca Chnh ph, chng hn nh:

Chnh sch 2 gi trong pht hnh cphiu (gim gi t20-40% cho ccnh u t chin l c hoc cn b, cng nhn vin ca cng ty cphnha ln u);

Nhng thay i trong chnh sch tgi, lm pht, t lnm gicphntrong cng ty c phn ca cc nh u t chin lc, cc nh u tn c ngoi; chnh sch xut nhp khu, c quyn hoc cc quan h quc t song phng- a phng v.v..

Ngoi ra cn phi ni n ri ro l n nht v cng l ngun ci ca mi ri rotrong u t chng khon l sai lm do thiu hiu bit, thiu k nng tng h p, phn


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tch v phn ng th tr ng mt cch nhy bn, chnh xc ca bn thn nh u tSpht trin ca kinh tthng tin, kinh ttri thc i hi v cho php phi tri thcha cc hot ng kinh doanh, trong c kinh doanh chng khon, u t chngkhon thc s em li l i nhun cho nh u t.


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CHNG 3. CC M HNH NH GI RI RO

1. Phng sai v lch chunPhng sai ca bin ngu nhin l k vng ton ca bnh phng sai lch ca

bin ngu nhin so v i k vng ton ca n.

Khi nghin cu phng sai, ngi ta thng lu t i 3 tnh cht sau:

Phng sai ca mt hng sbng khng

Phng sai ca tch gia mt hng sv mt bin ngu nhin bng tch gia bnh phng hng s v phng sai ca bin ngu nhin

Phng sai ca tng hai bin ngu nhin c lp bng tng cc phng saithnh phn.

Tm li, xut pht t nh ngha ca phng sai, vmt bn cht phng saichnh l trung bnh shc ca bnh phng cc sai lch gia cc gi tr c thc cabin ngu nhin so v i gi tr trung bnh ca cc gi tr . Do , n phn nh mcphn tn ca cc gi tr ca bin ngu nhin xung quanh gi tr trung tm ca n lk vng ton. Cng v i k vng ton, phng sai c nhng ng dng to l n trongnhiu lnh vc thc tin. Nu nh trong kthut, phng sai c trng cho mc phn tn ca cc chi tit gia cng hay sai s ca thit b th trong qun l v kinhdoanh n c trng cho mc ri ro ca cc quyt nh.

Bn cnh khi nim phng sai, lch chun ca bin ngu nhin cngthng xuyn c s dng. lch chun l cn bc hai ca phng sai. R rng,n v o ca phng sai bng bnh phng n v o ca bin ngu nhin. V vy,khi cn phi nh gi mc phn tn ca bin ngu nhin theo n v o ca n,ngi ta thng tnh lch chun chkhng phi l phng sai v lch chun ccng n v o v i bin ngu nhin cn nghin cu.

V i : Cng thc xc nh phng sai :

( )2 lch chun c tnh bng cch ly cn bc hai ca phng sai :

( )2Trong :

: phng sai


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: xc sut xy ra

: l i tc bnh qun ca chng khon

: l i tc k vng ca chng khon

V d: Gis, nh vo cc dkin qu kh ta bit l i tc sinh l i ca cphiu A nhsau:

Trng thi ca nn kinh t Xc sut xy ra L i t c sinh l i ca cphiu A(%)

Tng tr ng cao 0,2 40

Tng tr ng 0,5 30

Khng tng tr ng 0,2 20

Suy thoi 0,1 10

Ta tnh c phng sai da theo bng sau :

Xc sutxy ra

(P)

Mc sinh l i cacphiu A

(X) P * X X - (X - )2 P*(X - )2

0,2 0,4 0,08 0,12 0,0144 0,00288

0,5 0,3 0,15 0,02 0,0004 0,00020

0,2 0,2 0,04 -0,08 0,0064 0,001280,1 0,1 0,01 -0,18 0,0324 0,00324

Tng = 0,28 0,0076

2. M hnh nh gi ti sn vn CAMP

M hnh nh gi ti sn vn (Capital Asset Pricing Model) c coi l ct lica l thuyt kinh t ti chnh hin i. Harry Markowitz l ngi u tin t nn


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mng cho l thuyt u t hin i vo nm 1952. Mi hai nm sau , m hnhCAPM c pht trin b i Wiliam Sharpe, John Lintner v Jan Mossin. M hnh chochng ta kh nng d on c mi quan hgia ri ro v l i sut c tnh. Vicnghin cu CAPM c nhng ngha quan trng nh sau:

N cung cp cho chng ta mt li sut chun dng nh gi v la chn cc phng n u t.

M hnh gip chng ta c th phn on c l i sut k vng i v i nhngti sn cha giao dch trn th tr ng. V d: lm thno chng ta c th nhgi c c phiu ln u tin pht hnh ra th tr ng. nh h ng ca mtquyt nh u t i v i thu nhp ca nh u t thhin trn gi cphiu cacng ty nh thno?

M hnh CAPM c sdng gii thch vmi quan hgia ri ro v l itc k vng ca mt chng khon hay mt danh mc u t. Khi chng ta nghin cuvri ro ca mt cphiu, th ng th c rt nhiu php o ri ro ca cphiu . Tuynhin, phng sai v lch chun (ca l i tc cphiu so v i gi tr trung bnhca n) l hai php o ri ro phbin nht.

Trong thc tnhiu khi ch xc nh k vng ton ca bin ngu nhin th cha xc nh bin ngu nhin . Ta cn phi xc nh mc phn tn ca cc gitr ca bin ngu nhin xung quanh gi tr trung bnh ca n. Ng i ta cho rng ctrng cho mc phn tn th n gin nht l tm tt ccc sai lch ca cc gi tr ca bin ngu nhin so v i k vng ton ca n v ly trung bnh shc ca cc sai

lch . Song cch lm ny khng mang li kt quv c thddng chng minh c rng v i mi bin ngu nhin th trung bnh shc ca cc sai lch lun bngkhng. S d c iu v cc sai lch dng v sai lch m xung quanh gi tr k vng ton bao gi cng b tr cho nhau, do gi trtrung bnh ca cc sai lch s bng khng. khc phc iu ny, ng i ta khng tnh trc tip trung bnh ca ccsai lch m tnh trung bnh ca cc gi tr tuyt i hoc bnh phng ca cc sai lch.Song n gin hn l tm trung bnh ca bnh phng cc sai lch.

M hnh CAPM c xy dng trn nhng gi nh :

Th tr ng vn l th tr ng hiu qu va hon ho : Nh u t ccung cp thng tin y , kp th i, chi ph giao dch khng ng k, khngc nhng hn chv u tu v khng c nh u t no c kh nngu c lm nh hng n gi cphiu.

Nh u t nm gi ch ng khon trong th i hn mt nm v c hai c hi u t : u t vo chng khon khng ri ro v u t vo danh mccphiu trn th tr ng ( Portfolio) u t vo danh mc ny strit tiu c nhng ri ro khng hthng.

Nh u t ngi ri ro : Mun u t th l i nhun t c phi b pri ro.


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Xc nh li sut k vng ca c ng thng theo phng php CAPM quacc b c :

B c 1 : Xc nh li sut phi ri ro ( ) : c thxem li sut tri phiu chnh phlphi ri ro.

B c 2 : Xc nh li sut bnh qun trn th tr ng ( , trn c s xc nh lisut n b ri ro th tr ng ( .

B c 3 : Xc nh mc ri ro hthng ca cphiu cng ty so v i ri ro bnh qunca th tr ng thng qua hs bta ()

L i nhun k vng ca mt chng khon c quan h ng bin v i ri ro cachng khon , ngha l nh u t kvng chng khon ri ro cao sc l i nhuncao v ng c li. Hay ni khc i, nh u t gichng khon c ri ro cao ch khi

no l i nhun k vng b p ri ro lm cho nh u t v t qua tm l ngi riro.

Theo m hnh CAPM, mi quan hgia l i nhun v ri ro c din tb icng thc sau :

: Li sut th tr ng

: Hs o l ng mc bin ng l i nhun cphiu c bit so v i mcbin ng l i nhun danh mc cphiu th tr ng (hs o l ng ri roca chng khon). Do , li sut k vng ca mt chng khon c quan h dng v i hs ca n .

Cch xcnh hsbeta :

V i : = hip phng sai gia t sut sinh l i chng khon A v t sut

sinh l i ca th tr ng

: phng sai ca tsut sinh l i th tr ng.

Phng trnh biu din ni dung m hnh CAPM, c dng hm s bc nht. Mi quan hgia l i nhun k vng v cphiu v hsri ro bta c

biu din bng ng thng c tn gi l ng th tr ng chng khon SML (


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Sercurity Market Line). Hnh di y m tquan hgia l i nhun k vng cachng khon v i hs ca n.

Nhn xt :

Nu = 0 th = . Khng c ri ro trong u t Nu = 1 th = . Ri ro ca cng ty (u t) bng v i ri ro th tr ng

Nu < 1 th < . Ri ro ca cng ty (u t) thp hn ri ro th tr ng

Nu > 1 th > . Ri ro ca cng ty (u t) cao hn ri ro th tr ng.

Ri ro

Khon gia tng b p ri ro

Li su t phi ri ro

ng th trng ch ng khon(SML)

rf

rM

T sut li nhu n i hi


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CHNG 4. CC CNG CPHNG NG A

RI RO

Mc ch sdng cc chng khon phi sinh: phng nga ri ro (hedging) dobin ng ca gi c ti sn c s trong tng lai. u c (speculation): kim l inhun da trn bin ng gi ca ti sn c s trong tng lai. Kinh doanh chnh lchgi (arbitrage): nhm tn dng cc c hi chnh lch gi kim l i nhun.

1. Mt tch c c ca cng cphi sinh: Thc y vic mua bn ri ro, v th to ra mt tc ng tch cc trong nn

kinh t. Trong iu kin bnh th ng, giao dch cc chng khon phi sinh khng tcng nghim trng n hthng kinh tv n khng phi l mt tr chi c tng bngkhng vtnh hu dng, gim tc ng khi c suy gim kinh txy ra, gip tng tnhthanh khon ca cc cng c c s ; cho php sdng n by nng cao l i nhun.

2. Mt tiu c c ca cng cphi sinh:C thgy ra thua l l n do vic sdng cc cng c nby hay vay m n;

ri ro do i tc khng thc hin ngha vhp ng (c bit l trong hp ngswaps); timn ri ro rt ln i v i nhng nh u t nh, thiu kinh nghim.

Gi tr danh ngha qu l n: ri ro dn n thua l ln m nh u t khng th

b p c. Kh nng dn n phn ng dy chuyn ph hy hng lot khi c khnghong kinh t. Gi tr danh ngha qu l n dn t i vic lm mo m th tr ng vnthc. Nh u t bt u nhn vo th tr ng cc cng c phi sinh quyt nh muahoc bn chng khon, nh vy ci m ban u c xem l th trng l chuynri ro tr thnh mt ch s h ng dn th tr ng.

n by n trong nn kinh t: vic gia tng n by n trong nn kinh tlmnn kinh t thc khng kh nng ti tr cho ngh a vn v iu chnh nhnghot ng kinh tthc, iu ny c thgy ra suy thoi hay khng hong kinh t.

3. Cc loi hp ng phi sinh3.1. Hp ng quyn chn

3.1.1. Quyn chn mua

Ng i mua quyn chn trmt khon tin (gi l ph quyn chn) cho ng i bn. Ng i mua sc quyn c mua (khng bt buc mua) mt l ng ti sn nhtnh theo mt mc gi tho thun tr c, ti mt thi im xc nh trong tng lai. Ng i bn nhn ph quyn chn c trch nhim phi bn mt l ng ti sn nh thothun cho ng i mua, theo mc gi thothun, vo thi im xc nh trong

tng lai (hoc tr c thi im ) khi ng i mua mun thc hin quyn chn mua.


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3.1.2. Quyn chn bn

i v i quyn chn bn th ng c li, ng i thc hin quyn sc l i nu gibn thc hin quyn cao hn gi th tr ng ca hng ho c s v sb mt tin nugi thc hin quyn thp hn gi th tr ng ca hng ho c s .

Gi tr m ng i nm gi quyn la chn snhn c bng cch thc hinquyn c gi l gi tr ni ti (intrinsic value). Nu quyn trng thi b mt tin,gi tr ni ti bng 0. Gi th tr ng ca mt quyn th ng t nht l bng gi tr niti. Gi bn quyn c gi l phn phtri, chnh lch gia gi bn quyn v i gi tr ni ti (trong tr ng h p quyn ang c tin) c gi l phn phtri gi tr theoth i gian.

Ni cch khc, khi :

Gi tr ca quyn chn mua = Gi quyn - (gi th tr ng - gi th c hin).3.1.3. Phn loi:

Quyn chn c phn ra lm 2 loi, l quyn chn kiu Chu u v quynchn kiu M

S khc bit c bn gia quyn chn chu u v quyn chn Hoa K l th iim quyn chn c thc hin:

Quyn chn kiu chu u (European option) ch c th c thc hin vongk hn (expiry date), tc l vo mt ngy c nh tr c.

Quyn chn kiu M (American option) c th c thc hin vo bt klc no.

V i chai quyn chn trn, l i nhun (pay-off) khi quyn chn c thc hin c tnh bng:

Quy n ch n mua: max[(S-K), 0]

Quy n ch n bn: max[(K-S), 0]

V i S l gi giao ngay ca ti sn gc v K l gi im.

3.2. Hp ng quyn mua tr c (right)

Quyn mua tr c l mt quyn la chn mua c th i hn rt ngn, c khi ch vi tun. Quyn ny c pht hnhkhi cc cng ty tng vn bng cch pht hnhthm cc cphiu th ng. Quyn cho php mt c ng mua cphiu m i pht hnhv i mc gi n nh trong mt khong thi gian xc nh.


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Loi quyn ny thng c pht hnh theo tng t, mi cphiu ang luhnh c km theo mt quyn. S quyn cn mua mt c phiu mi c quynh tu theo tng t pht hnh m i.

Gi cphiu ghi trn quyn th ng l thp hn gi hin hnh ca cphiu. Gica quyn tnh bng chnh lch gia gi th tr ng hin hnh ca cphn ang luhnh v gi mua cphn m i theo quyn, chia cho s l ng quyn cn c mua mtcphn m i.

3.3. Ch ng quyn (warrants)

Chng quyn l quyn cho php mua mt s c phn xc nh ca mt c phiu, v i mt gi xc nh, trong mt th i hn nht nh. Quyn ny c pht hnhkhi tin hnh t chc li cc cng ty, hoc khi cng ty mun khuyn khch cc nhu t tim nng mua nhng tri phiu hay cphiu u i nhng c nhng iu kin

km thun li. chp nhn nhng iu kin , nh u t c c mt la chni v i sln gi c thxy ra ca cphiu th ng.

c im ca chng quyn:

Chng quyn c th i hn di hnquyn mua tr c, do cng ty pht hnhcng c c s pht hnh ng th i v i cng c c s . Khc v i quyn lachn (option), khi chng quyn c thc hin, n to thnh dng tin vocho cng ty v tng thm l ng cphiu lu hnh trn th tr ng.

Chng quyn c th c giao dch tch r i v i tri phiu hay cphiu mn i km.

Cc iu kin ca chng quyn c ghi r trn t chng ch: scphiu c mua theo mi chng quyn (th ng l 1:1); gi thc hin cho mi c phiu; ti thi im chng quyn c pht hnh, gi ny bao gi cng caohn gi th tr ng ca cphiu c s, v gi c thc nh, c th ctng ln nh k; v th i hn ca quyn, a s tr ng hp l 5 n 10 nm.

3.4. Hp ng k hn (forwards contract)

H p dng k hn l mt thothun trong mt ng i mua v mt ng i bnchp thun thc hin mt giao dch hng ho v i khi lng xc nh, ti mt th iim xc nh trong tng lai v i mt mc gi cn nh vo ngy hm nay.

Hng ho y c thl bt k thhng ho no; tnng sn, cc ng tin,cho t i cc chng khon.

Theo hp ng ny th ch c hai bn tham gia vo vic k kt, gi cdo haibn t tho thun v i nhau, da theo nhng c tnh mang tnh cc nhn. Gi hngho trn th tr ng giao ngay vo thi im giao nhn hng ho c th thay ,

tng ln hoc gim xung so v i mc gi kkt trong hp ng. Khi , mt trong


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hai bn mua v bn sb thit hi do cam kt mt mc gi thp hn (bn bn) hoccao hn (bn mua) theo gi th tr ng.

Nh vy bng vic tham gia vo mt hp ng k hn, c hai bn u gi i hn c ri ro tim nng cng nh hn chl i nhun tim nng ca mnh. V ch c haibn tham gia vo hp ng, cho nn mi bn u ph thuc duy nht vo bn kiatrong vic thc hin hp ng. Khi c thay i gi ctrn th tr ng giao ngay, ri rothanh ton s tng ln khi mt trong hai bn khng thc hin hp ng. Ngoi ra, v imc gi t ra mang tnh c nhn v chquan nn rt c thkhng chnh xc.

3.5. Hp ng tng lai (Futures Contract)

Cng c ny tng t nh cng ck hn nhng khc phc c ri ro cachnh cng cphng chng ri ro c thxy ra hp ng k hn (nh mt kh nngthanh ton, chi ph tm i tc cth...). Theo d, cng chp ng tng lai c

chun ho cao hn, gi c, s l ng v cc chi tit ca hp ng c m bo b itrung tm thanh ton b tr, hoc b i mt nh ch ti chnh ng vai tr ny.Cchp ng c chun ho v cc thnh vin tham gia th tr ng phi tun thcc quinh gi i hn v gi hn chsbin ng mnh gy bt n cho th tr ng.

Do hp ng c chun ho cao, cc thnh vin c th c lng c khil ng hng ho giao dch nn m bo tnh thanh khon ca th tr ng. Hu ht cchp ng tng lai c thc hin qua trung tm thanh ton b tr v phi trph.Cc bn tham gia phi c tin t cc/k qu m bo thc hin hp ng. B li,hai bn mua v bn hp ng khng nht thit phi bit nhau (tit kim c chi

ph tm nhau) m chcn trao i qua trung gian.3.6. Hp ng hon i (swaps)

L vic mua v bn ng th i ti sn gc tng thoc ngha v tng ngv i s tin vn m vic hon i cc giao dch ti chnh cho php chai bn tham giacc iu kin thun li hn mong mun. Thc cht ca hp ng ny l hai bn tho thun trao i dng tin trong tng lai. c im ca hp ng hon i l giao dchtrn th trng OTC v khng c qui nh chun.


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PHN II TH C TIN

1. Tng quan vtnh hnh th tr ng ch ng khon Nm 2007, th trng chngkhonVitNam phttrinsi scv v cng

mnh m,VN Index c lct nh cao 1.000imvo thi im u nm. Gungquay huyng vnngy cngmnh m, y th trng chngkhon nng lntheotngphin giaodch.Tuy nhin, v tnh nontr ca th trng cng vi snngvipht trin cadoanhnghip lm th trnghnh thnhnhng bongbnggi thay v phnnhng thc trng ca th trng vn.

Nm2008,th trngti chnhth gii rivo trngthikhng hong. Trong

nc, ch s lmpht ca VitNam lp k lc mi(26,8% trong thng 6),s thmht thng mi ln dn n s mtcnitrong ti chnhv mkhinChnh ph phi tht cht tin t,ngn hngsit vn, th trngkhng c thmsn phm mi nhgiaodch k qu hay bn khng, trong khi giaodch Repo (Sale and RepurchaseAgreement nh u tvay tinv dngchngkhon th chp) cyu cutrinkhaimtcchhn ch. ngthi bn thotrc lc cu yu t y ch s chng khontut dckhng phanh.

n nm2011,nnkinht ca VitNam vth gii c nhng chuyn bin tch cc hn nhng vn cha sc vc dy th trng chngkhonca VitNam.

Vi bi cnhny, nhu t cncnnhcv thn trngkhiquyt nhdanhmc u t chngkhoncamnh. Trongnm2011, theo Cng ty TNHHChngkhon Ngnhngu tv phttrin VitNam (BSC),nhngngnhxut khu nh dtmay, dagiy v thy sn,tiu dngni a, vt liuxydng, khai khong kimloiqu, thanl nhngngnhng ccnnhc u t.

Trong su thngu nm2011,i a scc doanhnghip thy sn VitNamvn tip tc t li nhun tngcao. Theos liu ca Hip hi Ch bin xut khu thy sn VitNam (VASEP),na u nm 2011,xut khu thy snmangv hn2,5 t USD,t mccaonht t trc nnay. khngch l tnhiuvui cho ngnhthy

snm cn lng lcthcy nnkinh t c nc gthi nhngthnh cng trongnhngthngcui nm.

Ti Hi tho v C hi, riro ca th trng chngkhon (TTCK)VitNam &Trin vng u tngnh do BSCt chcvo ngy 21/12/2010, b phnphn tchBSC t ra tin tng hn v bctranhv m qua y v khhn ca nnkinh t nm 2011. Chin lc u tm BSC khuyn nhu tnn cnnhctrongnm 2011 lcn cn muac mcgihpl. Thhai ltn dng lc cu canhu t ncngoi,chn nhngm c phiu c bn,c vnha lnv roomncngoinhiu.

Trc thc trngtrn chng tichncc mchngkhoncangnhch bin thy sn nghincuv xcnh nhng riro cangnh.S liugi lch s c


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la chn ngunhint10 cng tych bin thy snnimyttrn th trng chng khon Thnh ph HCh Minh HOSE,thigian theo di l 52tun (t20/09/2010n19/09/2011).

Bng1. Danhmc c phiungnhthy sn

STT M c phiu Tn cng ty1 AAM Cng ty c phn thu sn Mkong

2 ABT Cng ty c phn xut nhp khu thy sn Bn Tre

3 ACL Cng ty CP xut nhp khu thy sn Cu Long An Giang

4 AGF Cng ty c phn xut nhp khu thy sn An Giang

5 FBT Cng ty c phn xut nhp khu lm thy sn Bn Tre 6 HVG Cng ty c phn Hng Vng

7 MPC Cng ty c phn tp on thy hi sn Minh Ph

8 TS4 Cng ty c phn thy sn s 4

9 VHC Cng ty c phn Vnh Hon

10 VTF Cng ty c phn thy sn Vit Thng

2. L a chn mhnh nh gi ri ro

Riro (Risk)c nh nghal mt minguyhi,nguyc gy rathit hi hoc tn thng.V vykhi nin riro, a phn ngita ucho rng l kh nng xyra nhng s kin bt li.Tuy nhin, cc nhu t u athchli nhunvkhng thch criro, chnh vth h skhngu tvo cc tisn riro trkhi ccti sn ha hnmangli mc t sut li nhun cao.

Riro cth o lng bng nhiucch khc nhau v cth i n nhiu kt lunkhc nhauv mc riro ca mtti snty theo phngphps dng.Phn tchriro lmtqu trnhht sc phc tpv chng tacn c onv gi nh mtcchchnh xcv nhng bin cc th xyra i vi nnkinhttrongtnglai yu t nh hngtrc tip n s botonhocgia tng s vn canhu t.

nhgi an tonca mt c phiu,ta nn dngnhium hnhnhgiriro c th ara nhng nhn nhchnh xcnhttrongquyt nh u t.


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2.1. S dng d liu qu kh nh gi ri ro bng m hnh phn phixc sut

Ta nghincugi lch s ca10 c phiungnhthy sntrong thigian 52tun, bt u tngy 20/09/2010nngy 19/09/2011.Mcgi giaodchhng ngyca c phiuc thtm thy ddng trn cc websitecacc cng tychngkhon.Ta s chnra mcgi cacc c phiu tng ngtrongtngngyca52 tun.Saukhi cs liugi c phiutrongtngngy th gitunl mcgi trung bnhcaccphin giaodchtrongtun.

Bng2. Minhhatnh phn phixcsut c phiuAAM

STT Tun Gi STT Tun Gi1 19/09/2011 24.14 0.3462 27 21/03/2011 18.26 0.05522 12/09/2011 24.02 0.3267 28 14/03/2011 18 0.07373 05/09/2011 23.96 0.3171 29 07/03/2011 18.06 0.06924 29/08/2011 23.3 0.2216 30 28/02/2011 19 0.01735 22/08/2011 22.88 0.1697 31 21/02/2011 18.88 0.0226 15/08/2011 22.2 0.1003 32 14/02/2011 18.92 0.02037 08/08/2011 22.08 0.0899 33 08/02/2011 19 0.01738 01/08/2011 22.88 0.1697 34 24/01/2011 18.82 0.02459 25/07/2011 21.46 0.0454 35 17/01/2011 19.1 0.013810 18/07/2011 20.02 0.0001 36 10/01/2011 19.4 0.005711 11/07/2011 19.775 0.0005 37 04/01/2011 19.63 0.001912 04/07/2011 19.08 0.0144 38 27/12/2010 19.92 013 27/06/2011 18.94 0.0195 39 20/12/2010 19.88 0.000114 20/06/2011 18.6 0.0351 40 13/12/2010 20.04 0.000215 13/06/2011 18.42 0.0452 41 06/12/2010 20.1 0.000516 06/06/2011 18.3 0.0526 42 29/11/2010 20.42 0.004517 30/05/2011 18.3 0.0526 43 22/11/2010 20.1 0.000518 23/05/2011 18.18 0.0606 44 15/11/2010 20.18 0.001119 16/05/2011 18.58 0.0362 45 08/11/2010 20.42 0.0045

20 09/05/2011 18.38 0.0476 46 01/11/2010 20.6 0.008621 04/05/2011 18.1 0.0663 47 25/10/2010 20.96 0.020522 25/04/2011 18.14 0.0634 48 18/10/2010 21.04 0.023823 18/04/2011 18.18 0.0606 49 11/10/2010 21.16 0.029324 13/04/2011 18.433 0.0444 50 04/10/2010 20.62 0.009125 04/04/2011 18.66 0.032 51 27/09/2010 20.32 0.002926 28/03/2011 18.34 0.0501 52 20/09/2010 20.62 0.0091

Gi bnh qun 19.94Phng sai 2.9

lch chun 1.7H s ri ro(CV) 0.09


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Sau khi tnh tonc mcgi bnh qun hngtun ca c phiu,ta cth tip tctnhc mcgi bnh qun sau 52tun ca tng c phiu(theo Bng1 l minhhachoc phiuAAM).

Ta tmc phngsai v lch chun cagi c phiutrongtng tunsovigic phiubnh qunca52 tun bngcc cngthc bit.

Tngqut cho 10c phiunghincutrong ngnh, tac bngsau:

Bng3. M hnh phn phixcsutcho 10c phiu

AAM ABT ACL AGF FBT MPC HVG TS4 VHC VTF

Rbq 19.94 37.08 25.17 19.94 8.38 25.57 18.66 16.05 28.36 14.84

2.90 2.27 3.17 4.72 1.83 15.35 5.55 15.31 9.20 4.48 1.70 1.51 1.78 2.17 1.35 3.92 2.36 3.91 3.03 2.12

CV 0.09 0.04 0.07 0.11 0.16 0.15 0.13 0.24 0.11 0.14

Yu t gi bnh qun: R bq

Ta c biu gi bnh qunca10 c phiungnhthy sntrong 52tun nh sau:

Xut nhp khu thy snc th ccoi l mt trong nhngngnh cngnghip nh ch cht ca VitNam. Trongnm 2010,xut nhp khu thy sn t mc4,9 tUSD, tng 17,6% sovicngk nm ngoi.Vi v thquan trng ca mnh, cng ngy, ngnhch binv xut nhp khu thy sncng cNh nc quan tmu t nhiu hn, tomitrngkinh doanh lnhmnhvn nhgip cc

doanhnghiptrong ngnh phttrin ddng.

19.94

37.08

25.17

19.94

8.38

25.57

18.6616.05

28.36

14.84

0

5

10

15

20

25

30

35

40


Gi trung bnh


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Do mc t thngxuyn v t chnh xchn, ta c th s dngRbqtronglch s ctnh mcgi trongtnglai ca c phiungnhthy sn.Tuynhin,nhc im ca phngphpc lngny l cth dnnh u t i n kh nng k vngqu mc i vi nhng c phiublue-chiphocquay lng vi nhng c phiuc tim nng nhng chaphttrin n nh.

H s ri ro (CV Coefficient of Variation)

Ta c th biu din ch tiu h s binthin (h s riro) vgi cacc c phiu bng biu sau:

Bng 4. Biu h s bin thin(CV)v gi ca tng c phiu

Ch tiuh s binthins ch ra mc riro trnmt n v t sut li nhun, v cng l ch tiu dng nh gi riro tt hn trong trng hp t sut li

nhun cacc khon u tm chng ta phi la chnl khng bngnhau. Hay nicch khc,nu mtnhu tc tm l thchriro th anh ta cth chp nhn mc riro caohn c n p bng t sut li nhun ln hn t c phium anh tau t.

i vi10 c phiu ctheo di, mc phiuc h s binthin caonhtlTS4=0,24;thp nhtl c phiuABT=0,04. Ta cth thy c c phiuTS4 cmc riro caogp6 lnso vi c phiu caABT.

Mi quan hb tr gi a ri ro v l i nhun

Cc nhu t u athchli nhunv khng thchriro, vth h skhngu tvo cc tisnc riro cao,trkhi cc tisn manglichoh mt ngun

0.09

0.04

0.07

0.11

0.160.15

0.13

0.24

0.11

0.14

0

0.05

0.1

0.15

0.2

0.25

0.3


H s ri ro


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likhcln hn b pvo phn riro mh phignhchu. T ta cth thy rng, gia riro vli nhunc miquanhb tr vinhau. cngl l dotisaophn lncckhon u tc riro cng caolicng ckh nngmangli mcsinhlicng lncho cc nhu t.Ni cch khc,nuta munc nhiu li nhun,ta phi chp nhn nhiu riro.

Miquanh gia li nhunv riro c biu dinr rng trong biu mi quanh giagic phiuvh s binthin:

Ct th nhttrn biu biu dinchomcgi trung bnhca c phiu

Ct thhai trn biu biu dinchoh s binthincagic phiu(%)

Vi mc riro thp nht camnh (4%) thc phiuABT lc phiuc mc

gi trung bnh caonht(37,08 nghnng).V TS4vi mc riro cao (24%) nn gicaTS4ch l 16,05 nghnng.

Nh vy,cc nhu t thngc khuynhhng chn c phiuABT do c riro thp, dn n lcmuas ygic phiuABT ln cao. Ngc li i viTS4,do riro ca c phiucao, nnnhng ngi nm gi sc xuhngbn rath trng, dn np lcbn s ygi TS4xung thp. Vnc nhu t chpnhn mua TS4 vh k vngtrongthigianticng tyspht trin n nhv t sut li nhun s tngcaohntrongnm2010 (ROEnm2010caTS4 l -59%)ng ngha vi h phi chp nhn t l riro thayigica c phiul 24%.

19.94

37.08

25.17

19.94

8.38

25.57

18.66

16.05

28.36

14.84

9

4

7

11

1615

13

24

11

14

0

5

10

15

20

25

30

35

40


Gi

CV (%)


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2.2. nh gi ri ro u t ch ng khon thng qua hsBeta

H s c nh ngha nhl h s o lng mc bin ng li nhun c phiuc bitso vi mc bin ng li nhundanhmc c phiu th trng.

Do ta cth vit:

Trong:

rE l sut sinh l i ca chng khon rM l sut sinh l i ca th tr ng ni chung

Ta cthtnh tonc mt sgi tr tiu biu nh:

= 0,5 cnghal c phiuc mc bin nghaymc riro ch bng mt naso vi mc bin ng catonth trng

= 1,0 cnghal c phiu c chnc mcrui ro trung bnh = 2,0tcl c phiu c chnc mc riro caogp2 lnso vi mc

bnh qun ton ngnh.Ta c bng s liu h s cacc cng ty vcangnhnhsau:

Bng3. H s

cng tyAAM ABT ACL AGF FBT MPC HVG TS4 VHC VTF

0,13 0,27 0,1 0,43 1,1 1.03 0,82 1,59 0,27 0,08

ton ngnh 0,6

Ngnhthy snc H s l 0,6 cnghal khith trng tnggi 10%, ccc phiu cangnhs tnggi 6% vngc li.Ni cch khct h s cangnhc th thy y l ngnhch c mc bin ng vgi c tng i chm hnso vi mc bin nggic catonth trng.

Phn tchh sBetacacng ty:


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Trong nhm 10 cng tyc chn, h s cacng tyc phn thy hi s4 lc gitr cao nht(1,59),iu ny c ngha l nu nh nn kinh tbin ngtt th l i nhun cphiu TS4tng nhanh hn l i nhun th trng, nhng khinn kinh t xu th l i nhun c phiu TS4 gim nhanh hn l i nhun th tr ng. y c nh ngha l hs o l ng sbin ng ca l i nhun.Cho nn, c xem nh l hs o l ng ri ro u t chng khon. Do ,l i nhun k vng ca mt loi chng khon c quan h dng v i hs can. iu ny cng hon ton tng ng khi m hnh phn phi xc sut ta xc nh c hsbin thin ca TS4 cao hn hn so v i 9 cng ty cnli.

Khi xt n nhm cng ty c hs < 0,5nhAAM, ABT,ACLth y ul nhm cng ty ch s binthinthp hnso vicc cng ty cnli,vi km theo lmcgi s hu mt c phiu cacc cng ty trong nhm nycaohn hn.

Nhnxt:

Nh vy,sau khi dng m hnh phn phi thc nghimv dngh s nh gi riro ca th trngta u nhn c nhng kt qu tng ngnhauv miquanh gia li nhunv mc riro ca c phiu.

Riro ca u t c phiucn ph thucvo khong thigiand kin nm gi canhu t. Chng hn,trongngn hn,gica nhng c phiuc CV cao hay > 1 criro vgi caohn hn.Tuy nhin, trong dihn nhng bin ng vgica c phiuc thb tr lnnhau, vthlm choc phiut riro hn.

0.13

0.27

0.1

0.43

1.11.03

0.82

1.59

0.27

0.08

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8


Beta

Beta


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PHN 3. NHN XT, NH GI

1. Nhn xt vcc cng ty trong ngnh.

Khi nhu t quyt nh b vnvo ngnhthy sn,c th gp phicc loi riro c bnsau:

Ri ro th tr ng:

Cc mt hng thy sn ca nc ta ang xut sang cc th trng c iu kinhn vcng ngh nh M, chu uTrong khi, cc nh my chbin thy sntrong n c cn nhb, manh mn, cn yu km v nng lc sn xutcho nn thysn Vit Nam s ri vo thyu khi phi sn xut hng ha v i khi l ng ln v ihi cht l ng cao.

Th trng xut khu kh ri ro, trong khi cc doanh nghiptrong ngnhliang b qun th trng ni a. Do vic xy dng thng hiu, xm nhp thtrng ni a cng khng phi mt sm mt chiu cho cc doanh nghip.

Ri ro tgi:

Hu ht cc sn phm ca ngnh thy sn u c xut bn ra th trng n c

ngoi nn cc doanh nghip tt yu sphi chu s nh h ng rt l n t ca chnhsch tgi.

Ri ro vngun nguyn liu:

Hin nay quy m nui trng thy sn Vit Nam vn cha tht smang lihiu qu u t cao nht, quy m nui trng cn nh lv theoxu hng. Chnh iuny dn n vic lm cho th trng ri vo trng thi mt n nh, khi th tha khi lithiu nguyn liu u vo.

Hn na, vic ci tin cng nghsn xut ging, nui trng v chbin thyhi sn cha c cc doanh nghip ch . Nu iu ny khng c u tin, ccdoanh nghip skhng c l i thcnh tranh trn th trng trong v ngoi n c.

2. hn chri ro, nh u t cn ch :Ngnh thy sn c tim nng pht trin tt v th tr ng rng l n. Tuy nhin,

cc cng ty li phthuc rt nhiu vo ngun nguyn liu. V vy, nu cng ty no t chc tt vic nui trng, thu mua nguyn liu m bo u vo p ng c cciu kin vsinh an ton thc phm th cng ty spht trin tt. Do , nh u tnn la chn nhng cng ty c tc tng tr ng tt hn l chnhn ring bit vomt ch s ti chnh no nh chsP/E hin ti hay trong qu kh.


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Nh u t cng nn theo di cht chnhng bin ng tgi v chnh schtin tca Chnh ph, kp th i c bin php iu chnh cho ph h p v hn ch c mc ri ro ca cphiu.

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