{"id":30072,"date":"2023-12-07T08:55:39","date_gmt":"2023-12-07T08:55:39","guid":{"rendered":"https:\/\/masterskills.org\/blog\/thoi-gian-dao-han-binh-quan-dieu-chinh-modified-duration-la-gi-dac-diem.html"},"modified":"2023-12-23T06:11:40","modified_gmt":"2023-12-22T23:11:40","slug":"thoi-gian-dao-han-binh-quan-dieu-chinh-modified-duration-la-gi-dac-diem","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/thoi-gian-dao-han-binh-quan-dieu-chinh-modified-duration-la-gi-dac-diem.html","title":{"rendered":"Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh (Modified Duration) l\u00e0 g\u00ec? \u0110\u1eb7c \u0111i\u1ec3m"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Investopedia<\/p>\n<\/figcaption><\/figure>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh<\/font><\/h2>\n

Kha\u0301i ni\u00ea\u0323m<\/b><\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Modified Duration.<\/b><\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh <\/b>l\u00e0 th\u1eddi h\u1ea1n trung b\u00ecnh c\u00f3 tr\u1ecdng s\u1ed1 \u0111\u1ebfn\u00a0ng\u00e0y \u0111\u00e1o h\u1ea1n,\u00a0th\u1ec3 hi\u1ec7n s\u1ef1 thay \u0111\u1ed5i c\u00f3 th\u1ec3 \u0111o l\u01b0\u1eddng \u0111\u01b0\u1ee3c trong gi\u00e1 tr\u1ecb c\u1ee7a ch\u1ee9ng kho\u00e1n nh\u1eb1m \u0111\u00e1p \u1ee9ng v\u1edbi s\u1ef1 thay \u0111\u1ed5i trong l\u00e3i su\u1ea5t.\u00a0<\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh d\u1ef1a tr\u00ean quan \u0111i\u1ec3m l\u00e3i su\u1ea5t v\u00e0 gi\u00e1 tr\u00e1i phi\u1ebfu s\u1ebd d\u1ecbch chuy\u1ec3n theo h\u01b0\u1edbng\u00a0ng\u01b0\u1ee3c nhau.\u00a0<\/p>\n

\u0110\u1ea1i l\u01b0\u1ee3ng n\u00e0y \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh \u1ea3nh h\u01b0\u1edfng c\u1ee7a vi\u1ec7c thay \u0111\u1ed5i 100 \u0111i\u1ec3m l\u00e3i su\u1ea5t c\u01a1 b\u1ea3n (1%) l\u00ean gi\u00e1 c\u1ee7a tr\u00e1i phi\u1ebfu. \u00a0 \u00a0 \u00a0\u00a0<\/p>\n

\u0110\u1eb7c \u0111i\u1ec3m Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh\u00a0<\/font><\/h3>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh<\/b> \u0111o l\u01b0\u1eddng th\u1eddi h\u1ea1n trung b\u00ecnh c\u00f3 tr\u1ecdng s\u1ed1 \u0111\u1ebfn ng\u00e0y \u0111\u00e1o h\u1ea1n c\u1ee7a tr\u00e1i phi\u1ebfu.\u00a0<\/p>\n

\u0110\u00e2y l\u00e0 m\u1ed9t con s\u1ed1 r\u1ea5t quan tr\u1ecdng \u0111\u1ec3 c\u00e1c\u00a0nh\u00e0 qu\u1ea3n l\u00ed\u00a0danh m\u1ee5c \u0111\u1ea7u t\u01b0, c\u1ed1 v\u1ea5n t\u00e0i ch\u00ednh v\u00e0 c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 c\u00e2n nh\u1eafc khi l\u1ef1a ch\u1ecdn \u0111\u1ea7u t\u01b0 v\u00e0o m\u1ed9t tr\u00e1i phi\u1ebfu.\u00a0<\/p>\n

V\u1edbi th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh, t\u1ea5t c\u1ea3 c\u00e1c y\u1ebfu t\u1ed1 r\u1ee7i ro kh\u00e1c \u0111\u1ec1u b\u1eb1ng nhau, tr\u00e1i phi\u1ebfu c\u00f3 th\u1eddi h\u1ea1n cao h\u01a1n s\u1ebd c\u00f3 bi\u1ebfn \u0111\u1ed9ng gi\u00e1 l\u1edbn h\u01a1n tr\u00e1i phi\u1ebfu c\u00f3 th\u1eddi h\u1ea1n th\u1ea5p h\u01a1n.\u00a0 <\/p>\n

C\u00e1c lo\u1ea1i th\u1eddi h\u1ea1n kh\u00e1c nhau v\u00e0 t\u1ea5t c\u1ea3 c\u00e1c th\u00e0nh ph\u1ea7n c\u1ee7a tr\u00e1i phi\u1ebfu nh\u01b0 gi\u00e1, l\u00e3i coupon, ng\u00e0y \u0111\u00e1o h\u1ea1n v\u00e0 l\u00e3i su\u1ea5t, \u0111\u1ec1u \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 t\u00ednh th\u1eddi h\u1ea1n \u0111\u00e1o h\u1ea1n trung b\u00ecnh. \u00a0 \u00a0<\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh<\/font><\/h3>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh <\/b>l\u00e0 kh\u00e1i ni\u1ec7m m\u1edf r\u1ed9ng c\u1ee7a\u00a0\u0111\u1ed9 co gi\u00e3n Maculay, cho ph\u00e9p c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 \u0111o l\u01b0\u1eddng m\u1ee9c \u0111\u1ed9 nh\u1ea1y c\u1ea3m c\u1ee7a tr\u00e1i phi\u1ebfu v\u1edbi nh\u1eefng thay \u0111\u1ed5i trong l\u00e3i su\u1ea5t.\u00a0<\/p>\n

\u0110\u1ec3 t\u00ednh th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh, tr\u01b0\u1edbc ti\u00ean ph\u1ea3i t\u00ednh \u0111\u1ed9 co gi\u00e3n Maculay. C\u00f4ng th\u1ee9c t\u00ednh \u0111\u1ed9 co gi\u00e3n Maculay l\u00e0: \u00a0 \u00a0 \u00a0\u00a0<\/p>\n

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\n<\/figcaption><\/figure>\n

Trong \u0111\u00f3:\u00a0<\/p>\n

\u00a0– PV * CF l\u00e0 gi\u00e1 tr\u1ecb hi\u1ec7n t\u1ea1i c\u1ee7a kho\u1ea3n thanh to\u00e1n l\u00e3i coupon \u1edf giai \u0111o\u1ea1n t.\u00a0<\/p>\n

\u00a0– T l\u00e0 th\u1eddi gian gi\u1eefa m\u1ed7i d\u00f2ng ti\u1ec1n thanh to\u00e1n l\u00e3i t\u00ednh theo n\u0103m.\u00a0<\/p>\n

\u00a0– n l\u00e0 s\u1ed1 k\u00ec tr\u1ea3 l\u00e3i coupon m\u1ed7i n\u0103m.\u00a0<\/p>\n

T\u00ednh \u0111\u01b0\u1ee3c \u0111\u1ed9 co gi\u00e3n Maculay, s\u1eed d\u1ee5ng c\u00f4ng th\u1ee9c sau \u0111\u1ec3 t\u00ednh th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh: \u00a0\u00a0<\/p>\n

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\n<\/figcaption><\/figure>\n

Trong \u0111\u00f3:\u00a0<\/p>\n

\u00a0– YTM l\u00e0\u00a0l\u1ee3i su\u1ea5t \u0111\u00e1o h\u1ea1n\u00a0c\u1ee7a tr\u00e1i phi\u1ebfu.\u00a0<\/p>\n

\u00a0– n l\u00e0 s\u1ed1 k\u00ec tr\u1ea3 l\u00e3i coupon m\u1ed7i n\u0103m. \u00a0\u00a0<\/p>\n

V\u00ed d\u1ee5 v\u1ec1 Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh<\/font><\/h3>\n

Gi\u1ea3 s\u1eed tr\u00e1i phi\u1ebfu X c\u00f3 th\u1eddi gian \u0111\u00e1o h\u1ea1n 3 n\u0103m, l\u00e3i coupon 10% v\u00e0 l\u00e3i su\u1ea5t hi\u1ec7n h\u00e0nh l\u00e0 5%. Tr\u00e1i phi\u1ebfu n\u00e0y, theo c\u00f4ng th\u1ee9c \u0111\u1ecbnh gi\u00e1 tr\u00e1i phi\u1ebfu c\u01a1 b\u1ea3n s\u1ebd c\u00f3 gi\u00e1 th\u1ecb tr\u01b0\u1eddng l\u00e0: \u00a0\u00a0<\/p>\n

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\"Th\u1eddi<\/div>
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\n<\/figcaption><\/figure>\n

Sau \u0111\u00f3, t\u00ednh \u0111\u1ed9 co gi\u00e3n Maculay cho tr\u00e1i phi\u1ebfu X l\u00e0:<\/p>\n

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\n<\/figcaption><\/figure>\n

K\u1ebft qu\u1ea3 n\u00e0y cho th\u1ea5y ph\u1ea3i m\u1ea5t 2,753 n\u0103m \u0111\u1ec3 nh\u00e0 \u0111\u1ea7u t\u01b0 thu l\u1ea1i chi ph\u00ed th\u1ef1c s\u1ef1 c\u1ee7a tr\u00e1i phi\u1ebfu. V\u1edbi con s\u1ed1 n\u00e0y, gi\u1edd c\u00f3 th\u1ec3 t\u00ednh th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh<\/b> l\u00e0:\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0<\/p>\n

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\n<\/figcaption><\/figure>\n

K\u1ebft qu\u1ea3 n\u00e0y cho th\u1ea5y r\u1eb1ng c\u1ee9 m\u1ed7i 1% thay \u0111\u1ed5i trong l\u00e3i su\u1ea5t, gi\u00e1 tr\u00e1i phi\u1ebfu X s\u1ebd d\u1ecbch chuy\u1ec3n theo h\u01b0\u1edbng ng\u01b0\u1ee3c l\u1ea1i v\u1edbi t\u1ec9 l\u1ec7 2,621%.\u00a0 \u00a0\u00a0<\/p>\n

Nguy\u00ean t\u1eafc Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n\u00a0<\/font><\/h3>\n

D\u01b0\u1edbi \u0111\u00e2y l\u00e0 m\u1ed9t s\u1ed1 nguy\u00ean t\u1eafc v\u1ec1 th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n\u00a0m\u00e0 c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 c\u1ea7n ghi nh\u1edb.\u00a0<\/p>\n

\u00a0– \u0110\u1ea7u ti\u00ean, khi th\u1eddi gian \u0111\u00e1o h\u1ea1n gia t\u0103ng l\u00ean, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n s\u1ebd t\u0103ng l\u00ean v\u00e0 tr\u00e1i phi\u1ebfu tr\u1edf n\u00ean bi\u1ebfn \u0111\u1ed9ng h\u01a1n.\u00a0<\/p>\n

\u00a0– Th\u1ee9 hai, khi coupon c\u1ee7a tr\u00e1i phi\u1ebfu t\u0103ng, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n c\u1ee7a n\u00f3 gi\u1ea3m xu\u1ed1ng v\u00e0 tr\u00e1i phi\u1ebfu tr\u1edf n\u00ean \u00edt bi\u1ebfn \u0111\u1ed9ng h\u01a1n.\u00a0<\/p>\n

\u00a0– Th\u1ee9 ba, khi l\u00e3i su\u1ea5t t\u0103ng, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n gi\u1ea3m v\u00e0\u00a0\u0111\u1ed9 nh\u1ea1y\u00a0c\u1ee7a tr\u00e1i phi\u1ebfu \u0111\u1ed1i v\u1edbi s\u1ef1 gia t\u0103ng trong l\u00e3i su\u1ea5t s\u1ebd gi\u1ea3m xu\u1ed1ng. \u00a0 <\/p>\n

(Theo Investopedia)<\/p>\n

\u00a0<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh (ti\u1ebfng Anh: Modified Duration) l\u00e0 th\u1eddi h\u1ea1n trung b\u00ecnh c\u00f3 tr\u1ecdng s\u1ed1 \u0111\u1ebfn ng\u00e0y \u0111\u00e1o h\u1ea1n th\u1ec3 hi\u1ec7n s\u1ef1 thay \u0111\u1ed5i c\u00f3 th\u1ec3 \u0111o l\u01b0\u1eddng \u0111\u01b0\u1ee3c trong gi\u00e1 tr\u1ecb c\u1ee7a ch\u1ee9ng kho\u00e1n, nh\u1eb1m \u0111\u00e1p \u1ee9ng v\u1edbi s\u1ef1 thay \u0111\u1ed5i trong l\u00e3i su\u1ea5t.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/30072"}],"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=30072"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/30072\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=30072"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=30072"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=30072"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}