{"id":23962,"date":"2023-12-06T09:01:49","date_gmt":"2023-12-06T09:01:49","guid":{"rendered":"https:\/\/masterskills.org\/blog\/rui-ro-duoi-tail-risk-trong-tai-chinh-la-gi.html"},"modified":"2023-12-22T09:29:51","modified_gmt":"2023-12-22T02:29:51","slug":"rui-ro-duoi-tail-risk-trong-tai-chinh-la-gi","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/rui-ro-duoi-tail-risk-trong-tai-chinh-la-gi.html","title":{"rendered":"R\u1ee7i ro \u0111u\u00f4i (Tail risk) trong t\u00e0i ch\u00ednh l\u00e0 g\u00ec?"},"content":{"rendered":"
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H\u00ecnh minh h\u1ecda. Ngu\u1ed3n: static.seekingalpha.com<\/p>\n<\/figcaption><\/figure>\n

R\u1ee7i ro \u0111u\u00f4i<\/font><\/h2>\n

Kh\u00e1i ni\u1ec7m<\/b><\/p>\n

R\u1ee7i ro \u0111u\u00f4i<\/b> trong ti\u1ebfng Anh l\u00e0 Tail risk<\/b>.<\/p>\n

R\u1ee7i ro \u0111u\u00f4i<\/b> l\u00e0 m\u1ed9t d\u1ea1ng r\u1ee7i ro c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0, ph\u00e1t sinh khi kho\u1ea3n \u0111\u1ea7u t\u01b0 di chuy\u1ec3n nhi\u1ec1u h\u01a1n ba l\u1ea7n\u00a0\u0111\u1ed9 l\u1ec7ch chu\u1ea9n\u00a0t\u00ednh t\u1eeb\u00a0gi\u00e1 tr\u1ecb trung b\u00ecnh\u00a0(l\u1edbn h\u01a1n so v\u1edbi\u00a0ph\u00e2n ph\u1ed1i chu\u1ea9n).\u00a0<\/p>\n

R\u1ee7i ro \u0111u\u00f4i bao g\u1ed3m c\u00e1c s\u1ef1 ki\u1ec7n c\u00f3 x\u00e1c su\u1ea5t x\u1ea3y ra nh\u1ecf v\u00e0 x\u1ea3y ra \u1edf c\u1ea3 hai \u0111\u1ea7u c\u1ee7a \u0111\u01b0\u1eddng cong ph\u00e2n ph\u1ed1i chu\u1ea9n.<\/p>\n

N\u1ed9i dung<\/font><\/h3>\n

Chi\u1ebfn l\u01b0\u1ee3c danh m\u1ee5c \u0111\u1ea7u t\u01b0 truy\u1ec1n th\u1ed1ng th\u01b0\u1eddng theo gi\u1ea3 \u0111\u1ecbnh r\u1eb1ng l\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng tu\u00e2n theo\u00a0ph\u00e2n ph\u1ed1i chu\u1ea9n. Tuy nhi\u00ean, kh\u00e1i ni\u1ec7m r\u1ee7i ro \u0111u\u00f4i \u0111\u01b0a ra gi\u1ea3 thuy\u1ebft r\u1eb1ng ph\u00e2n ph\u1ed1i l\u1ee3i nhu\u1eadn kh\u00f4ng theo ph\u00e2n ph\u1ed1i chu\u1ea9n: b\u1ecb\u00a0l\u1ec7ch\u00a0v\u00e0 c\u00f3 “\u0111u\u00f4i m\u1eadp” (fat tail).<\/p>\n

C\u00e1c \u0111u\u00f4i b\u00e9o ch\u1ec9 ra r\u1eb1ng c\u00f3 m\u1ed9t x\u00e1c su\u1ea5t nh\u1ecf r\u1eb1ng m\u1ed9t kho\u1ea3n \u0111\u1ea7u t\u01b0 s\u1ebd v\u01b0\u1ee3t ra ngo\u00e0i ba l\u1ea7n \u0111\u1ed9 l\u1ec7ch chu\u1ea9n. C\u00e1c ph\u00e2n ph\u1ed1i c\u00f3 \u0111u\u00f4i b\u00e9o ti\u00eau bi\u1ec3u l\u00e0 l\u1ee3i nhu\u1eadn c\u1ee7a\u00a0qu\u0129 ph\u00f2ng h\u1ed9.<\/p>\n

Ph\u00e2n ph\u1ed1i chu\u1ea9n v\u00e0 l\u1ee3i nhu\u1eadn<\/font><\/h3>\n

Ng\u01b0\u1eddi ta cho r\u1eb1ng vi\u1ec7c ph\u00e2n ph\u1ed1i l\u1ee3i nhu\u1eadn c\u1ee7a m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 s\u1ebd tu\u00e2n theo ph\u00e2n ph\u1ed1i chu\u1ea9n. Theo gi\u1ea3 \u0111\u1ecbnh n\u00e0y, x\u00e1c su\u1ea5t l\u1ee3i nhu\u1eadn s\u1ebd di chuy\u1ec3n gi\u1eefa gi\u00e1 tr\u1ecb trung b\u00ecnh v\u00e0 ba l\u1ea7n \u0111\u1ed9 l\u1ec7ch chu\u1ea9n (c\u1ea3 gi\u00e1 tr\u1ecb d\u01b0\u01a1ng v\u00e0 \u00e2m) x\u1ea5p x\u1ec9 99,7%. \u0110i\u1ec1u n\u00e0y c\u00f3 ngh\u0129a l\u00e0 x\u00e1c su\u1ea5t l\u1ee3i nhu\u1eadn di chuy\u1ec3n nhi\u1ec1u h\u01a1n ba l\u1ea7n \u0111\u1ed9 l\u1ec7ch chu\u1ea9n t\u00ednh t\u1eeb gi\u00e1 tr\u1ecb trung b\u00ecnh l\u00e0 0,3%.<\/p>\n

L\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng tu\u00e2n theo ph\u00e2n ph\u1ed1i chu\u1ea9n l\u00e0 gi\u1ea3 \u0111\u1ecbnh ch\u00ednh cho nhi\u1ec1u m\u00f4 h\u00ecnh t\u00e0i ch\u00ednh, nh\u01b0\u00a0l\u00ed thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i\u00a0(MPT) c\u1ee7a Harry Markowitz v\u00e0 m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 quy\u1ec1n ch\u1ecdn Black-Scholes Merton.<\/p>\n

Tuy nhi\u00ean, gi\u1ea3 \u0111\u1ecbnh n\u00e0y kh\u00f4ng ph\u1ea3n \u00e1nh \u0111\u00fang l\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng. C\u00e1c s\u1ef1 ki\u1ec7n \u0111u\u00f4i (tail event) m\u1eb7c d\u00f9 x\u00e1c su\u1ea5t x\u1ea3y ra nh\u1ecf nh\u01b0ng c\u00f3 \u1ea3nh h\u01b0\u1edfng l\u1edbn \u0111\u1ebfn l\u1ee3i nhu\u1eadn c\u1ee7a th\u1ecb tr\u01b0\u1eddng.<\/p>\n

\u0110\u1ed9 nh\u1ecdn c\u1ee7a ph\u00e2n ph\u1ed1i<\/font><\/h3>\n

L\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng ch\u1ee9ng kho\u00e1n c\u00f3 xu h\u01b0\u1edbng tu\u00e2n theo m\u1ed9t ph\u00e2n ph\u1ed1i c\u00f3\u00a0\u0111\u1ed9 nh\u1ecdn\u00a0l\u1edbn h\u01a1n (excess kurtosis)\u00a0ph\u00e2n ph\u1ed1i chu\u1ea9n. \u0110\u1ed9 nh\u1ecdn l\u00e0 m\u1ed9t ph\u01b0\u01a1ng ph\u00e1p th\u1ed1ng k\u00ea m\u00f4 t\u1ea3 h\u00ecnh d\u1ea1ng ph\u00e2n ph\u1ed1i c\u1ee7a d\u1eef li\u1ec7u \u0111\u01b0\u1ee3c quan s\u00e1t c\u00f3 ph\u00e2n ph\u1ed1i \u0111u\u00f4i n\u1eb7ng trong m\u1ed1i quan h\u1ec7 v\u1edbi ph\u00e2n ph\u1ed1i chu\u1ea9n.<\/p>\n

\u0110\u01b0\u1eddng cong ph\u00e2n ph\u1ed1i chu\u1ea9n c\u00f3 \u0111\u1ed9 nh\u1ecdn l\u00e0 3. Do \u0111\u00f3, n\u1ebfu ph\u00e2n ph\u1ed1i c\u1ee7a ch\u1ee9ng kho\u00e1n c\u00f3 \u0111\u1ed9 nh\u1ecdn l\u1edbn h\u01a1n 3, n\u00f3 \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 ph\u00e2n ph\u1ed1i c\u00f3 \u0111u\u00f4i b\u00e9o.<\/p>\n

Ph\u00f2ng h\u1ed9 ch\u1ed1ng l\u1ea1i r\u1ee7i ro \u0111u\u00f4i<\/font><\/h3>\n

M\u1eb7c d\u00f9 c\u00e1c s\u1ef1 ki\u1ec7n \u0111u\u00f4i \u1ea3nh h\u01b0\u1edfng ti\u00eau c\u1ef1c \u0111\u1ebfn danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 x\u00e1c su\u1ea5t x\u1ea3y ra r\u1ea5t th\u1ea5p, nh\u01b0ng ch\u00fang c\u00f3 th\u1ec3 d\u1eabn \u0111\u1ebfn l\u1ee3i nhu\u1eadn \u00e2m r\u1ea5t l\u1edbn. Do \u0111\u00f3, c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 n\u00ean ph\u00f2ng ng\u1eeba r\u1ee7i ro nh\u1eefng s\u1ef1 ki\u1ec7n n\u00e0y. B\u1ea3o hi\u1ec3m r\u1ee7i ro \u0111u\u00f4i nh\u1eb1m m\u1ee5c \u0111\u00edch t\u0103ng l\u1ee3i nhu\u1eadn trong d\u00e0i h\u1ea1n, nh\u01b0ng c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 ph\u1ea3i ch\u1ecbu chi ph\u00ed ng\u1eafn h\u1ea1n.<\/p>\n

C\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 c\u00f3 th\u1ec3 t\u00ecm c\u00e1ch \u0111a d\u1ea1ng h\u00f3a danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a h\u1ecd \u0111\u1ec3 ph\u00f2ng ng\u1eeba r\u1ee7i ro \u0111u\u00f4i. V\u00ed d\u1ee5: n\u1ebfu m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 l\u00e0 c\u00e1c\u00a0qu\u0129 ETF\u00a0theo Ch\u1ec9 s\u1ed1 Standard & Poor’s 500 (S&P 500), nh\u00e0 \u0111\u1ea7u t\u01b0 c\u00f3 th\u1ec3 ph\u00f2ng ng\u1eeba r\u1ee7i ro \u0111u\u00f4i b\u1eb1ng c\u00e1ch mua c\u00e1c c\u00f4ng c\u1ee5 ph\u00e1i sinh tr\u00ean s\u00e0n giao d\u1ecbch quy\u1ec1n ch\u1ecdn “Chicago Board Options Exchange (CBOE)”, t\u01b0\u01a1ng quan ngh\u1ecbch v\u1edbi S&P 500.<\/p>\n

(Ngu\u1ed3n tham kh\u1ea3o: Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n R\u1ee7i ro \u0111u\u00f4i (ti\u1ebfng Anh: Tail risk) l\u00e0 m\u1ed9t d\u1ea1ng r\u1ee7i ro c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0, c\u00f3 x\u00e1c su\u1ea5t x\u1ea3y ra nh\u1ecf nh\u01b0ng c\u00f3 \u1ea3nh h\u01b0\u1edfng l\u1edbn \u0111\u1ebfn l\u1ee3i nhu\u1eadn, ph\u00e1t sinh khi kho\u1ea3n \u0111\u1ea7u t\u01b0 di chuy\u1ec3n nhi\u1ec1u h\u01a1n ba l\u1ea7n \u0111\u1ed9 l\u1ec7ch chu\u1ea9n t\u00ednh t\u1eeb gi\u00e1 tr\u1ecb trung b\u00ecnh.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[414],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/23962"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=23962"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/23962\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=23962"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=23962"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=23962"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}