{"id":30205,"date":"2023-12-07T09:03:18","date_gmt":"2023-12-07T09:03:18","guid":{"rendered":"https:\/\/masterskills.org\/blog\/do-loi-am-cua-trai-phieu-negative-convexity-la-gi-cong-thuc-tinh.html"},"modified":"2023-12-23T06:12:19","modified_gmt":"2023-12-22T23:12:19","slug":"do-loi-am-cua-trai-phieu-negative-convexity-la-gi-cong-thuc-tinh","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/do-loi-am-cua-trai-phieu-negative-convexity-la-gi-cong-thuc-tinh.html","title":{"rendered":"\u0110\u1ed9 l\u1ed3i \u00e2m c\u1ee7a tr\u00e1i phi\u1ebfu (Negative Convexity) l\u00e0 g\u00ec? C\u00f4ng th\u1ee9c t\u00ednh"},"content":{"rendered":"
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(\u1ea2nh minh h\u1ecda: Finance Numericals )<\/p>\n<\/figcaption><\/figure>\n

\u0110\u1ed9 l\u1ed3i \u00e2m c\u1ee7a tr\u00e1i phi\u1ebfu<\/font><\/h2>\n

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

\u0110\u1ed9 l\u1ed3i \u00e2m c\u1ee7a tr\u00e1i phi\u1ebfu<\/b> (hay \u0110\u1ed9 l\u00f5m tr\u00e1i phi\u1ebfu<\/b>) trong ti\u1ebfng Anh l\u00e0 Negative Convexity.<\/b><\/p>\n

\u0110\u1ed9 l\u1ed3i \u00e2m c\u1ee7a tr\u00e1i phi\u1ebfu<\/b> t\u1ed3n t\u1ea1i khi h\u00ecnh d\u1ea1ng c\u1ee7a \u0111\u01b0\u1eddng cong l\u1ee3i t\u1ee9c c\u1ee7a tr\u00e1i phi\u1ebfu b\u1ecb l\u00f5m.<\/p>\n

\u0110\u1ed9 l\u1ed3i c\u1ee7a tr\u00e1i phi\u1ebfu l\u00e0\u00a0t\u1ec9 l\u1ec7 thay \u0111\u1ed5i\u00a0(ROC) trong th\u1eddi gian c\u1ee7a tr\u00e1i phi\u1ebfu v\u00e0 n\u00f3 \u0111\u01b0\u1ee3c t\u00ednh l\u00e0 \u0111\u1ea1o h\u00e0m th\u1ee9 hai c\u1ee7a gi\u00e1 tr\u00e1i phi\u1ebfu trong m\u1ed1i li\u00ean quan v\u1edbi l\u1ee3i t\u1ee9c c\u1ee7a tr\u00e1i phi\u1ebfu.<\/p>\n

H\u1ea7u h\u1ebft h\u00ecnh d\u1ea1ng \u0111\u01b0\u1eddng cong l\u1ee3i t\u1ee9c c\u1ee7a tr\u00e1i phi\u1ebfu th\u1ebf ch\u1ea5p \u0111\u1ec1u c\u00f3 h\u00ecnh d\u1ea1ng l\u00f5m, v\u00e0 tr\u00e1i phi\u1ebfu mua l\u1ea1i th\u01b0\u1eddng th\u1ec3 hi\u1ec7n \u0111\u1ed9 l\u00f5m \u1edf m\u1ee9c l\u00e3i su\u1ea5t th\u1ea5p h\u01a1n.<\/i><\/p>\n

Gi\u1ea3i th\u00edch v\u1ec1 \u0110\u1ed9 l\u1ed3i \u00e2m c\u1ee7a tr\u00e1i phi\u1ebfu<\/b><\/font><\/h3>\n

\u0110\u1ed1i v\u1edbi tr\u00e1i phi\u1ebfu c\u00f3 \u0111\u1ed9 l\u1ed3i \u00e2m<\/b>, gi\u00e1 gi\u1ea3m khi l\u00e3i su\u1ea5t gi\u1ea3m trong khi th\u00f4ng th\u01b0\u1eddng, khi l\u00e3i su\u1ea5t gi\u1ea3m, gi\u00e1 tr\u00e1i phi\u1ebfu t\u0103ng.<\/p>\n

V\u00ed d\u1ee5, v\u1edbi m\u1ed9t tr\u00e1i phi\u1ebfu c\u00f3 th\u1ec3 mua l\u1ea1i\u00a0(Callable Bond), khi l\u00e3i su\u1ea5t gi\u1ea3m, s\u1ebd khuy\u1ebfn kh\u00edch tr\u00e1i phi\u1ebfu mua t\u1ea1i m\u1ec7nh gi\u00e1 t\u0103ng cao h\u01a1n.<\/p>\n

\u0110\u00e2y l\u00ed do t\u1ea1i sao \u0111\u01b0\u1eddng cong c\u1ee7a gi\u00e1 tr\u00e1i phi\u1ebfu c\u00f3 th\u1ec3 mua b\u00e1n \u0111\u01b0\u1ee3c \u0111\u1ed1i v\u1edbi l\u1ee3i t\u1ee9c c\u00f3 h\u00ecnh d\u1ea1ng l\u00f5m.<\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh to\u00e1n \u0110\u1ed9 l\u1ed3i c\u1ee7a tr\u00e1i phi\u1ebfu<\/font><\/b><\/h3>\n

V\u00ec th\u1eddi gian (duration) l\u00e0 m\u1ed9t c\u00f4ng c\u1ee5 \u01b0\u1edbc t\u00ednh thay \u0111\u1ed5i gi\u00e1 kh\u00f4ng ho\u00e0n h\u1ea3o, c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0, nh\u00e0 ph\u00e2n t\u00edch v\u00e0 nh\u00e0 giao d\u1ecbch t\u00ednh to\u00e1n \u0111\u1ed9 l\u1ed3i c\u1ee7a tr\u00e1i phi\u1ebfu hay \u0111\u1ed9 l\u00f5m gi\u00fap t\u0103ng \u0111\u1ed9 ch\u00ednh x\u00e1c c\u1ee7a d\u1ef1 \u0111o\u00e1n trong thay \u0111\u1ed5i gi\u00e1.<\/p>\n

M\u1eb7c d\u00f9 c\u00f4ng th\u1ee9c ch\u00ednh x\u00e1c cho \u0111\u1ed9 l\u1ed3i kh\u00e1 ph\u1ee9c t\u1ea1p, ta c\u00f3 th\u1ec3 s\u1eed d\u1ee5ng c\u00f4ng th\u1ee9c \u0111\u01a1n gi\u1ea3n sau:<\/p>\n

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(\u1ea2nh minh h\u1ecda: Investopedia)<\/p>\n<\/figcaption><\/figure>\n

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

P(+) = gi\u00e1 tr\u00e1i phi\u1ebfu khi l\u00e3i su\u1ea5t gi\u1ea3m<\/p>\n

P(-) = gi\u00e1 tr\u00e1i phi\u1ebfu khi l\u00e3i su\u1ea5t t\u0103ng<\/p>\n

P(0) = gi\u00e1 tr\u00e1i phi\u1ebfu<\/p>\n

dy = thay \u0111\u1ed5i l\u00e3i su\u1ea5t \u1edf d\u1ea1ng th\u1eadp ph\u00e2n<\/p>\n

V\u00ed d\u1ee5:<\/b>\u00a0Gi\u1ea3 s\u1eed m\u1ed9t tr\u00e1i phi\u1ebfu c\u00f3 gi\u00e1 hi\u1ec7n t\u1ea1i l\u00e0 $1.000. N\u1ebfu l\u00e3i su\u1ea5t gi\u1ea3m 1%, gi\u00e1 m\u1edbi c\u1ee7a tr\u00e1i phi\u1ebfu l\u00e0 $1,035. N\u1ebfu l\u00e3i su\u1ea5t t\u0103ng 1%, gi\u00e1 m\u1edbi c\u1ee7a tr\u00e1i phi\u1ebfu l\u00e0 $970.<\/p>\n

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(\u1ea2nh minh h\u1ecda: Investopedia)<\/p>\n<\/figcaption><\/figure>\n

Cu\u1ed1i c\u00f9ng, b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng th\u1eddi gian v\u00e0 \u0111\u1ed9 l\u1ed3i \u0111\u1ec3 c\u00f3 \u0111\u01b0\u1ee3c \u01b0\u1edbc t\u00ednh gi\u00e1 tr\u00e1i phi\u1ebfu khi thay \u0111\u1ed5i l\u00e3i su\u1ea5t nh\u1ea5t \u0111\u1ecbnh, nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1eed d\u1ee5ng c\u00f4ng th\u1ee9c:<\/p>\n

\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0Thay \u0111\u1ed5i gi\u00e1 tr\u00e1i phi\u1ebfu = Th\u1eddi gian x Thay \u0111\u1ed5i l\u1ee3i t\u1ee9c + \u0110i\u1ec1u ch\u1ec9nh \u0111\u1ed9 l\u1ed3i<\/b><\/i><\/p>\n

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

\n \u0110\u1ed9 l\u1ed3i \u00e2m c\u1ee7a tr\u00e1i phi\u1ebfu (ti\u1ebfng Anh: Negative Convexity) t\u1ed3n t\u1ea1i khi h\u00ecnh d\u1ea1ng c\u1ee7a \u0111\u01b0\u1eddng cong l\u1ee3i t\u1ee9c c\u1ee7a tr\u00e1i phi\u1ebfu b\u1ecb l\u00f5m.\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\/30205"}],"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=30205"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/30205\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=30205"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=30205"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=30205"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}