{"id":31449,"date":"2023-12-07T10:39:22","date_gmt":"2023-12-07T10:39:22","guid":{"rendered":"https:\/\/masterskills.org\/blog\/gia-tri-chiu-rui-ro-co-dieu-kien-conditional-value-at-risk-cvar-la-gi-cong-thuc-tinh-cvar.html"},"modified":"2023-12-23T08:17:39","modified_gmt":"2023-12-23T01:17:39","slug":"gia-tri-chiu-rui-ro-co-dieu-kien-conditional-value-at-risk-cvar-la-gi-cong-thuc-tinh-cvar","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/gia-tri-chiu-rui-ro-co-dieu-kien-conditional-value-at-risk-cvar-la-gi-cong-thuc-tinh-cvar.html","title":{"rendered":"Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n (Conditional Value at Risk – CVaR) l\u00e0 g\u00ec? C\u00f4ng th\u1ee9c ti\u0301nh CVaR"},"content":{"rendered":"
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H\u00ecnh minh h\u1ecda. Ngu\u1ed3n: Michael Kapler’s Home Page – Yola<\/p>\n<\/div>\n<\/div>\n

Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n\u00a0<\/font><\/h2>\n

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

Gi\u00e1 tr\u1ecb\u00a0ch\u1ecbu\u00a0r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n<\/b>, c\u00f2n \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 m\u01b0\u0301c t\u00f4\u0309n th\u00e2\u0301t ki\u0300 vo\u0323ng<\/b>, trong ti\u00ea\u0301ng Anh la\u0300\u00a0Conditional Value at Risk, <\/b>vi\u1ebft t\u1eaft l\u00e0\u00a0CVaR <\/b>hay Expected Shortfall<\/b>.<\/p>\n

Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n, l\u00e0 m\u1ed9t bi\u1ec7n ph\u00e1p \u0111\u00e1nh gi\u00e1 r\u1ee7i ro nh\u1eb1m xa\u0301c \u0111i\u0323nh m\u1ee9c r\u1ee7i ro \u0111u\u00f4i m\u00e0 danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3. CVaR \u0111\u01b0\u01a1\u0323c ti\u0301nh b\u1eb1ng c\u00e1ch l\u1ea5y trung b\u00ecnh c\u00f3 tr\u1ecdng s\u1ed1 c\u1ee7a c\u00e1c kho\u1ea3n l\u1ed7 l\u01a1\u0301n tr\u00ean c\u01a1 s\u1edf ph\u00e2n ph\u1ed1i ca\u0301c l\u1ee3i nhu\u1eadn c\u00f3 th\u1ec3 c\u00f3, c\u00e1c gi\u00e1 tr\u1ecb v\u01b0\u1ee3t qu\u00e1\u00a0gia\u0301 tri\u0323 ch\u1ecbu r\u1ee7i ro\u00a0(VaR). Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng trong t\u1ed1i \u01b0u h\u00f3a danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u1ec3 qu\u1ea3n l\u00ed r\u1ee7i ro hi\u1ec7u qu\u1ea3 h\u01a1n.<\/p>\n

Hi\u1ec3u v\u00ea\u0300 gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n\u00a0<\/font><\/h3>\n

N\u00f3i chung, n\u1ebfu m\u1ed9t kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111\u00e3 cho th\u1ea5y s\u1ef1 \u1ed5n \u0111\u1ecbnh theo th\u1eddi gian, th\u00ec gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 th\u1ec3 \u0111\u1ee7 \u0111\u1ec3 qu\u1ea3n l\u00ed r\u1ee7i ro trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 ch\u1ee9a kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111\u00f3. Tuy nhi\u00ean, \u0111\u1ea7u t\u01b0 c\u00e0ng k\u00e9m \u1ed5n \u0111\u1ecbnh thi\u0300 c\u01a1 h\u1ed9i VaR s\u1ebd kh\u00f4ng \u0111\u01b0a ra m\u1ed9t b\u1ee9c tranh \u0111\u1ea7y \u0111\u1ee7 v\u1ec1 c\u00e1c r\u1ee7i ro ca\u0300ng cao, v\u00ec n\u00f3 kh\u00f4ng xem x\u00ea\u0301t t\u00e2\u0301t ca\u0309 nh\u01b0\u0303ng ru\u0309i ro v\u01b0\u1ee3t qu\u00e1 ng\u01b0\u1ee1ng c\u1ee7a n\u00f3.<\/p>\n

Gi\u00e1 tr\u1ecb\u00a0ch\u1ecbu\u00a0r\u1ee7i ro\u00a0c\u00f3 \u0111i\u1ec1u ki\u1ec7n (CVaR)<\/b> c\u1ed1 g\u1eafng gi\u1ea3i quy\u1ebft nh\u1eefng thi\u1ebfu s\u00f3t c\u1ee7a VaR, \u0111\u00e2y l\u00e0 m\u1ed9t k\u0129 thu\u1eadt th\u1ed1ng k\u00ea \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 \u0111o l\u01b0\u1eddng m\u1ee9c \u0111\u1ed9 r\u1ee7i ro t\u00e0i ch\u00ednh trong m\u1ed9t c\u00f4ng ty ho\u1eb7c danh m\u1ee5c \u0111\u1ea7u t\u01b0 trong khoa\u0309ng th\u1eddi gian c\u1ee5 th\u1ec3.\u00a0<\/p>\n

Trong khi VaR \u0111\u1ea1i di\u1ec7n cho t\u1ed5n th\u1ea5t trong tr\u01b0\u1eddng h\u1ee3p x\u1ea5u nh\u1ea5t d\u01b0\u0323a va\u0300o x\u00e1c su\u1ea5t v\u00e0 kho\u1ea3ng th\u1eddi gian, CVaR l\u00e0 t\u1ed5n th\u1ea5t d\u1ef1 ki\u1ebfn n\u1ebfu ng\u01b0\u1ee1ng tr\u01b0\u1eddng h\u1ee3p x\u1ea5u nh\u1ea5t \u0111\u00f3 \u0111\u01b0\u1ee3c v\u01b0\u1ee3t qua. Hay n\u00f3i c\u00e1ch kh\u00e1c, CVaR \u0111\u1ecbnh l\u01b0\u1ee3ng c\u00e1c t\u1ed5n th\u1ea5t d\u1ef1 ki\u1ebfn x\u1ea3y ra ngo\u00e0i \u0111i\u1ec3m d\u1eebng VaR, hay nh\u01b0\u0303ng t\u00f4\u0309n th\u00e2\u0301t nha\u0300 \u0111\u00e2\u0300u t\u01b0 kh\u00f4ng nghi\u0303 la\u0300 no\u0301 xa\u0309y ra nh\u01b0ng la\u0323i co\u0301 th\u00ea\u0309 xa\u0309y ra.<\/p>\n

C\u00f4ng th\u1ee9c ti\u0301nh CVaR<\/font><\/h3>\n

Do c\u00e1ch ti\u0301nh CVaR \u0111\u01b0\u1ee3c l\u1ea5y t\u1eeb c\u00f4ng th\u01b0\u0301c c\u1ee7a VaR, c\u00e1c gi\u1ea3 \u0111\u1ecbnh m\u00e0 VaR co\u0301 nh\u01b0 h\u00ecnh d\u1ea1ng ph\u00e2n ph\u1ed1i l\u1ee3i nhu\u1eadn, m\u1ee9c gi\u1edbi h\u1ea1n \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng, t\u00ednh \u0111\u1ecbnh k\u00ec c\u1ee7a d\u1eef li\u1ec7u v\u00e0 c\u00e1c gi\u1ea3 \u0111\u1ecbnh v\u1ec1 bi\u1ebfn \u0111\u1ed9ng ng\u1eabu nhi\u00ean<\/b>\u00a0s\u1ebd \u1ea3nh h\u01b0\u1edfng \u0111\u1ebfn k\u00ea\u0301t qua\u0309 c\u1ee7a CVaR. Vi\u1ec7c t\u00ednh to\u00e1n CVaR r\u1ea5t \u0111\u01a1n gi\u1ea3n khi VaR \u0111\u00e3 \u0111\u01b0\u1ee3c xa\u0301c \u0111i\u0323nh. \u0110o\u0301 l\u00e0 gi\u00e1 tr\u1ecb trung b\u00ecnh c\u1ee7a c\u00e1c gi\u00e1 tr\u1ecb n\u1eb1m ngo\u00e0i VaR:<\/p>\n

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Hi\u0300nh minh ho\u0323a<\/i><\/p>\n<\/div>\n<\/div>\n

Trong \u0111o\u0301:<\/p>\n

p(x) dx la\u0300 m\u1eadt \u0111\u1ed9 x\u00e1c su\u1ea5t nh\u1eadn \u0111\u01b0\u1ee3c l\u1ee3i nhu\u1eadn v\u1edbi gia\u0301 tri\u0323 “x”<\/p>\n

c la\u0300 \u0111i\u1ec3m gi\u1edbi h\u1ea1n tr\u00ean ph\u00e2n ph\u1ed1i co\u0301 \u0111\u1eb7t \u0111i\u1ec3m d\u1eebng VaR<\/p>\n

VaR la\u0300 m\u1ee9c VaR theo th\u1ecfa thu\u1eadn<\/p>\n

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Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n v\u00e0 h\u00f4\u0300 s\u01a1 \u0111\u1ea7u t\u01b0<\/font><\/h3>\n

C\u00e1c kho\u1ea3n \u0111\u1ea7u t\u01b0 an to\u00e0n h\u01a1n nh\u01b0 ca\u0301c c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a l\u1edbn c\u1ee7a My\u0303 ho\u1eb7c tr\u00e1i phi\u1ebfu c\u1ea5p \u0111\u1ea7u t\u01b0 hi\u1ebfm khi v\u01b0\u1ee3t qu\u00e1 VaR m\u1ed9t l\u01b0\u1ee3ng \u0111\u00e1ng k\u1ec3. C\u00e1c lo\u1ea1i t\u00e0i s\u1ea3n d\u1ec5 bi\u00ea\u0301n \u0111\u1ed9<\/span>ng h\u01a1n, nh\u01b0 c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a nh\u1ecf, c\u1ed5 phi\u1ebfu th\u1ecb tr\u01b0\u1eddng m\u1edbi n\u1ed5i ho\u1eb7c c\u00e1c c\u00f4ng c\u1ee5 ph\u00e1i sinh, c\u00f3 th\u1ec3 co\u0301 CVaR <\/b>l\u1edbn h\u01a1n nhi\u1ec1u so v\u1edbi VaR. Trong ki\u0323ch ba\u0309n li\u0301 t\u01b0\u1edfng nh\u1ea5t, c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 c\u00e2\u0300n co\u0301 CVaR ca\u0300ng nh\u1ecf ca\u0300ng t\u00f4\u0301t. Tuy nhi\u00ean, c\u00e1c kho\u1ea3n \u0111\u1ea7u t\u01b0 c\u00f3 ti\u1ec1m n\u0103ng t\u0103ng t\u01b0\u01a1\u0309ng nh\u1ea5t th\u01b0\u1eddng c\u00f3 CVaR l\u1edbn.<\/p>\n

C\u00e1c kho\u1ea3n \u0111\u1ea7u t\u01b0 t\u00e0i ch\u00ednh th\u01b0\u1eddng d\u1ef1a v\u00e0o VaR nhi\u00ea\u0300u h\u01a1n v\u00ec n\u00f3 kh\u00f4ng b\u1ecb sa l\u1ea7y v\u00e0o d\u1eef li\u1ec7u ngo\u1ea1i lai trong c\u00e1c m\u00f4 h\u00ecnh. Tuy nhi\u00ean, c\u00f3 nh\u1eefng th\u1eddi \u0111i\u1ec3m m\u00e0 c\u00e1c m\u00f4 h\u00ecnh \u0111\u01b0\u1ee3c s\u01b0\u0309 du\u0323ng c\u00f3 th\u1ec3 t\u1ed1t h\u01a1n v\u00e0 \u0111em la\u0323i hi\u00ea\u0323u qua\u0309 h\u01a1n n\u1ebfu CVaR \u0111\u01b0\u1ee3c ca\u0301c nha\u0300 \u0111\u00e2\u0300u t\u01b0 \u01b0a chu\u1ed9ng.\u00a0<\/p>\n

V\u00ed d\u1ee5 nh\u01b0 qu\u0129 pho\u0300ng h\u1ed9<\/span> Long-Term Capital Management \u01a1\u0309 My\u0303 \u0111a\u0303\u00a0ph\u1ee5 thu\u1ed9c v\u00e0o VaR \u0111\u1ec3 \u0111o l\u01b0\u1eddng r\u1ee7i ro c\u1ee7a n\u00f3, nh\u01b0ng h\u1ecd kh\u00f4ng t\u00ednh \u0111\u1ebfn m\u1ed9t kho\u1ea3n t\u00f4\u0309n th\u00e2\u0301t l\u1edbn h\u01a1n d\u1ef1 ki\u00ea\u0301n khi s\u01b0\u0309 du\u0323ng m\u00f4 h\u00ecnh VaR v\u00e0 v\u00e2\u0303n th\u00e2\u0301t ba\u0323i trong vi\u00ea\u0323c qua\u0309n l\u00ed ru\u0309i ro. CVaR trong tr\u01b0\u1eddng h\u1ee3p n\u00e0y se\u0303 h\u01b0\u01a1\u0301ng qu\u0129 ph\u00f2ng h\u1ed9 t\u1eadp trung va\u0300o r\u1ee7i ro th\u1ef1c s\u1ef1 thay v\u00ec \u0111i\u00ea\u0309m c\u0103\u0301t cu\u0309a VaR. Khi x\u00e2y d\u01b0\u0323ng ca\u0301c m\u00f4 h\u00ecnh t\u00e0i ch\u00ednh,\u00a0 h\u1ea7u nh\u01b0 lu\u00f4n di\u1ec5n ra ca\u0301c cu\u1ed9c tranh lu\u1eadn v\u1ec1 vi\u00ea\u0323c s\u01b0\u0309 du\u0323ng VaR hay CVaR \u0111\u1ec3 qu\u1ea3n l\u00ed r\u1ee7i ro hi\u1ec7u qu\u1ea3.<\/p>\n

Ca\u0301c y\u0301 chi\u0301nh<\/font><\/h3>\n

Gi\u00e1 tr\u1ecb\u00a0ch\u1ecbu\u00a0r\u1ee7i ro\u00a0c\u00f3 \u0111i\u1ec1u ki\u1ec7n<\/b> \u0111\u01b0\u1ee3c ti\u0301nh toa\u0301n t\u1eeb gi\u00e1 tr\u1ecb\u00a0ch\u1ecbu r\u1ee7i ro (VaR) cho danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c khoa\u0309n \u0111\u1ea7u t\u01b0.<\/p>\n

S\u1eed d\u1ee5ng CVaR thay VaR khi\u00ea\u0301n nha\u0300 \u0111\u00e2\u0300u t\u01b0 c\u00f3 xu h\u01b0\u1edbng co\u0301 m\u1ed9t c\u00e1ch ti\u1ebfp c\u1eadn th\u1eadn tr\u1ecdng h\u01a1n v\u01a1\u0301i r\u1ee7i ro.<\/p>\n

Vi\u00ea\u0323c l\u1ef1a ch\u1ecdn gi\u1eefa VaR v\u00e0 CVaR kh\u00f4ng ph\u1ea3i l\u00fac n\u00e0o c\u0169ng r\u00f5 r\u00e0ng, nh\u01b0ng c\u00e1c nha\u0300 \u0111\u00e2\u0300u t\u01b0 co\u0301 kho\u1ea3n \u0111\u1ea7u t\u01b0 bi\u1ebfn \u0111\u1ed9ng c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c h\u01b0\u1edfng l\u1ee3i nhi\u00ea\u0300u h\u01a1n t\u1eeb CVaR nh\u01b0 m\u1ed9t c\u00f4ng cu\u0323 ki\u1ec3m tra c\u00e1c gi\u1ea3 \u0111\u1ecbnh do VaR \u0111\u01b0a ra.<\/p>\n

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

\n Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ki\u1ec7n (ti\u00ea\u0301ng Anh: Conditional Value at Risk, vi\u1ebft t\u1eaft: CVaR) c\u00f2n \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 m\u01b0\u0301c t\u00f4\u0309n th\u00e2\u0301t ki\u0300 vo\u0323ng, l\u00e0 m\u1ed9t bi\u1ec7n ph\u00e1p \u0111\u00e1nh gi\u00e1 r\u1ee7i ro nh\u1eb1m \u0111\u1ecbnh l\u01b0\u1ee3ng m\u1ee9c \u0111\u1ed9 r\u1ee7i ro \u0111u\u00f4i m\u00e0 danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3.\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\/31449"}],"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=31449"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31449\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31449"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31449"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31449"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}