{"id":30089,"date":"2023-12-07T08:56:33","date_gmt":"2023-12-07T08:56:33","guid":{"rendered":"https:\/\/masterskills.org\/blog\/chenh-lech-khong-bien-dong-zero-volatility-spread-z-spread-la-gi-dac-diem.html"},"modified":"2023-12-23T06:11:41","modified_gmt":"2023-12-22T23:11:41","slug":"chenh-lech-khong-bien-dong-zero-volatility-spread-z-spread-la-gi-dac-diem","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/chenh-lech-khong-bien-dong-zero-volatility-spread-z-spread-la-gi-dac-diem.html","title":{"rendered":"Ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (Zero-Volatility Spread – Z Spread) 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

Ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng<\/font><\/h2>\n

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

Ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Zero-Volatility Spread <\/b>hay Z-Spread.<\/b><\/p>\n

Ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (Z-spread) <\/b>l\u00e0 m\u1ee9c ch\u00eanh l\u1ec7ch c\u1ed1 \u0111\u1ecbnh, \u1edf \u0111\u00f3 gi\u00e1 c\u1ee7a ch\u1ee9ng kho\u00e1n b\u1eb1ng v\u1edbi\u00a0gi\u00e1 tr\u1ecb hi\u1ec7n t\u1ea1i\u00a0d\u00f2ng ti\u1ec1n \u0111\u01b0\u1ee3c c\u1ed9ng th\u00eam v\u00e0o m\u1ee9c l\u1ee3i su\u1ea5t t\u1ea1i m\u1ed7i \u0111i\u1ec3m tr\u00ean \u0111\u01b0\u1eddng cong l\u1ee3i su\u1ea5t giao ngay tr\u00e1i phi\u1ebfu kho b\u1ea1c.\u00a0<\/p>\n

N\u00f3i c\u00e1ch kh\u00e1c, m\u1ed7i d\u00f2ng ti\u1ec1n s\u1ebd \u0111\u01b0\u1ee3c chi\u1ebft kh\u1ea5u theo\u00a0l\u1ee3i su\u1ea5t\u00a0giao ngay tr\u00e1i phi\u1ebfu kho b\u1ea1c c\u1ed9ng v\u1edbi ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (Z-spread)<\/i>. \u00a0 \u00a0\u00a0<\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh Ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng\u00a0<\/font><\/h3>\n

\u0110\u1ec3 t\u00ednh to\u00e1n ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (Z-spread)<\/b>, nh\u00e0 \u0111\u1ea7u t\u01b0 ph\u1ea3i l\u1ea5y l\u1ee3i su\u1ea5t giao ngay\u00a0tr\u00e1i phi\u1ebfu kho b\u1ea1c\u00a0t\u1ea1i m\u1ed7i k\u00ec h\u1ea1n t\u01b0\u01a1ng \u0111\u01b0\u01a1ng, c\u1ed9ng th\u00eam ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng.\u00a0<\/p>\n

Sau \u0111\u00f3 s\u1eed d\u1ee5ng t\u1ec9 l\u1ec7 g\u1ed9p n\u00e0y l\u00e0m\u00a0m\u1ee9c chi\u1ebft kh\u1ea5u\u00a0\u0111\u1ec3 t\u00ednh gi\u00e1 c\u1ee7a tr\u00e1i phi\u1ebfu. C\u00f4ng th\u1ee9c \u0111\u1ec3 t\u00ednh to\u00e1n ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng l\u00e0: \u00a0 \u00a0<\/p>\n

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Hi\u0300nh minh ho\u0323a.<\/p>\n<\/figcaption><\/figure>\n

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

\u00a0– P l\u00e0 gi\u00e1 tr\u00e1i phi\u1ebfu hi\u1ec7n h\u00e0nh c\u1ed9ng v\u1edbi t\u1ea5t c\u1ea3 c\u00e1c kho\u1ea3n l\u00e3i \u0111\u00e3 t\u00edch l\u0169y \u0111\u01b0\u1ee3c.\u00a0<\/p>\n

\u00a0– Cx<\/sub> l\u00e0 kho\u1ea3n thanh to\u00e1n l\u00e3i\u00a0coupon\u00a0c\u1ee7a tr\u00e1i phi\u1ebfu.<\/p>\n

\u00a0– rx<\/sub> l\u00e0\u00a0l\u1ee3i su\u1ea5t giao ngay\u00a0\u1edf m\u1ed7i th\u1eddi h\u1ea1n \u0111\u00e1o h\u1ea1n.\u00a0<\/p>\n

\u00a0– Z l\u00e0 ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng.\u00a0<\/p>\n

\u00a0– n l\u00e0 s\u1ed1 k\u00ec h\u1ea1n thanh to\u00e1n c\u00f3 li\u00ean quan.\u00a0<\/p>\n

Gi\u1ea3 s\u1eed m\u1ed9t tr\u00e1i phi\u1ebfu hi\u1ec7n c\u00f3 gi\u00e1 104,9 USD. N\u00f3 s\u1ebd c\u00f3 ba d\u00f2ng ti\u1ec1n trong t\u01b0\u01a1ng lai l\u00e0: kho\u1ea3n thanh to\u00e1n l\u00e3i 5 USD v\u00e0o n\u0103m t\u1edbi, kho\u1ea3n thanh to\u00e1n l\u00e3i 5 USD hai n\u0103m k\u1ec3 t\u1eeb b\u00e2y gi\u1edd v\u00e0 t\u1ed5ng s\u1ed1 ti\u1ec1n thanh to\u00e1n cu\u1ed1i c\u00f9ng g\u1ed3m g\u1ed1c v\u00e0 l\u00e3i l\u00e0 105 USD trong ba n\u0103m t\u1edbi.\u00a0<\/p>\n

L\u1ee3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c t\u1ea1i c\u00e1c m\u1ed1c m\u1ed9t, hai, v\u00e0 ba n\u0103m l\u00e0 2,5%, 2,7% v\u00e0 3%. C\u00f4ng th\u1ee9c s\u1ebd \u0111\u01b0\u1ee3c vi\u1ebft nh\u01b0 sau: \u00a0 \u00a0\u00a0<\/p>\n

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\"Ch\u00eanh<\/div>
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Hi\u0300nh minh ho\u0323a.<\/p>\n<\/figcaption><\/figure>\n

Sau khi gi\u1ea3i ph\u01b0\u01a1n tr\u00ecnh tr\u00ean, ch\u00fang ta s\u1ebd thu \u0111\u01b0\u1ee3c ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (Z-spread) l\u00e0 0,5%. \u00a0\u00a0<\/p>\n

Ch\u1ee9c n\u0103ng c\u1ee7a Ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng\u00a0<\/font><\/h3>\n

T\u00ednh to\u00e1n ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (Z Spread)<\/b> kh\u00e1c v\u1edbi t\u00ednh to\u00e1n ch\u00eanh l\u1ec7ch l\u1ee3i su\u1ea5t danh ngh\u0129a<\/i>.\u00a0<\/p>\n

Ch\u00eanh l\u1ec7ch l\u1ee3i su\u1ea5t danh ngh\u0129a<\/i> ch\u1ec9 s\u1eed d\u1ee5ng m\u1ed9t \u0111i\u1ec3m tr\u00ean\u00a0\u0111\u01b0\u1eddng cong l\u1ee3i su\u1ea5t tr\u00e1i phi\u1ebfu\u00a0kho b\u1ea1c (kh\u00f4ng ph\u1ea3i \u0111\u01b0\u1eddng cong l\u00e3i su\u1ea5t tr\u00e1i phi\u1ebfu kho b\u1ea1c giao ngay) \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh m\u1ee9c ch\u00eanh l\u1ec7ch t\u1ea1i m\u1ed9t \u0111i\u1ec3m, sao cho gi\u00e1 tr\u1ecb hi\u1ec7n t\u1ea1i c\u1ee7a d\u00f2ng ti\u1ec1n c\u1ee7a ch\u1ee9ng kho\u00e1n b\u1eb1ng v\u1edbi v\u1edbi gi\u00e1 ch\u1ee9ng kho\u00e1n \u0111\u00f3. \u00a0\u00a0<\/p>\n

M\u1ee9c ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (Z Spread) gi\u00fap c\u00e1c nh\u00e0 ph\u00e2n t\u00edch x\u00e1c \u0111\u1ecbnh xem li\u1ec7u c\u00f3 s\u1ef1 kh\u00f4ng \u0111\u1ed3ng nh\u1ea5t trong gi\u00e1 tr\u00e1i phi\u1ebfu hay kh\u00f4ng.\u00a0<\/p>\n

M\u1ee9c ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng \u0111o l\u01b0\u1eddng m\u1ee9c ch\u00eanh l\u1ec7ch m\u00e0 nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1ebd nh\u1eadn \u0111\u01b0\u1ee3c v\u1edbi to\u00e0n b\u1ed9 c\u00e1c \u0111i\u1ec3m tr\u00ean \u0111\u01b0\u1eddng cong l\u1ee3i su\u1ea5t tr\u00e1i phi\u1ebfu kho b\u1ea1c.\u00a0<\/p>\n

V\u00ec v\u1eady, c\u00e1c nh\u00e0 ph\u00e2n t\u00edch s\u1ebd \u0111\u1ecbnh gi\u00e1 ch\u1ee9ng kho\u00e1n th\u1ef1c t\u1ebf h\u01a1n khi ch\u1ec9 s\u1eed d\u1ee5ng m\u1ed9t th\u00f4ng s\u1ed1 duy nh\u1ea5t, ch\u1eb3ng h\u1ea1n nh\u01b0 ng\u00e0y \u0111\u00e1o h\u1ea1n c\u1ee7a tr\u00e1i phi\u1ebfu. \u00a0 <\/i><\/p>\n

(Theo Investopedia)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n Ch\u00eanh l\u1ec7ch kh\u00f4ng bi\u1ebfn \u0111\u1ed9ng (ti\u1ebfng Anh: Zero-Volatility Spread) l\u00e0 m\u1ee9c ch\u00eanh l\u1ec7ch c\u1ed1 \u0111\u1ecbnh, \u1edf \u0111\u00f3 gi\u00e1 ch\u1ee9ng kho\u00e1n b\u1eb1ng v\u1edbi gi\u00e1 tr\u1ecb hi\u1ec7n t\u1ea1i d\u00f2ng ti\u1ec1n \u0111\u01b0\u1ee3c c\u1ed9ng th\u00eam v\u00e0o m\u1ee9c l\u1ee3i su\u1ea5t t\u1ea1i m\u1ed7i \u0111i\u1ec3m tr\u00ean \u0111\u01b0\u1eddng cong l\u1ee3i su\u1ea5t giao ngay tr\u00e1i phi\u1ebfu kho b\u1ea1c.\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\/30089"}],"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=30089"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/30089\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=30089"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=30089"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=30089"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}