{"id":31453,"date":"2023-12-07T10:39:28","date_gmt":"2023-12-07T10:39:28","guid":{"rendered":"https:\/\/masterskills.org\/blog\/gia-tri-chiu-rui-ro-value-at-risk-var-la-gi-vi-du-ve-gia-tri-chiu-rui-ro.html"},"modified":"2023-12-23T08:17:40","modified_gmt":"2023-12-23T01:17:40","slug":"gia-tri-chiu-rui-ro-value-at-risk-var-la-gi-vi-du-ve-gia-tri-chiu-rui-ro","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/gia-tri-chiu-rui-ro-value-at-risk-var-la-gi-vi-du-ve-gia-tri-chiu-rui-ro.html","title":{"rendered":"Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro (Value at Risk – VaR) l\u00e0 g\u00ec? V\u00ed d\u1ee5 v\u1ec1 gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Investopedia.com<\/i><\/p>\n<\/div>\n<\/div>\n

Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro<\/font><\/h2>\n

Kha\u0301i ni\u1ec7<\/span>m<\/b><\/p>\n

Gi\u00e1 tr\u1ecb\u00a0ch\u1ecbu\u00a0r\u1ee7i ro<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Value at Risk, <\/b>vi\u1ebft t\u1eaft l\u00e0\u00a0VaR.<\/b><\/p>\n

Gi\u00e1 tr\u1ecb\u00a0ch\u1ecbu\u00a0r\u1ee7i ro (VaR)<\/b> l\u00e0 m\u1ed9t c\u00f4ng cu\u0323 th\u1ed1ng k\u00ea \u0111o l\u01b0\u1eddng v\u00e0 \u0111\u1ecbnh l\u01b0\u1ee3ng m\u1ee9c \u0111\u1ed9 r\u1ee7i ro t\u00e0i ch\u00ednh trong m\u1ed9t c\u00f4ng ty, danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c v\u1ecb th\u00ea\u0301 hay ti\u0300nh tra\u0323ng n\u0103\u0301m gi\u01b0\u0303 trong m\u1ed9t khoa\u0309ng th\u1eddi gian xa\u0301c \u0111i\u0323nh. Gia\u0301 tri\u0323 n\u00e0y \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng ph\u1ed5 bi\u1ebfn nh\u1ea5t b\u1edfi c\u00e1c ng\u00e2n h\u00e0ng \u0111\u1ea7u t\u01b0 v\u00e0 th\u01b0\u01a1ng m\u1ea1i \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh m\u1ee9c \u0111\u1ed9 v\u00e0 t\u1ec9 l\u1ec7 x\u1ea3y ra t\u1ed5n th\u1ea5t ti\u1ec1m n\u0103ng trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a t\u1ed5 ch\u1ee9c h\u1ecd.<\/p>\n

C\u00e1c nh\u00e0 qu\u1ea3n l\u00ed r\u1ee7i ro s\u1eed d\u1ee5ng VaR \u0111\u1ec3 \u0111o l\u01b0\u1eddng v\u00e0 ki\u1ec3m so\u00e1t m\u1ee9c \u0111\u1ed9 r\u1ee7i ro. Ng\u01b0\u1eddi ta c\u00f3 th\u1ec3 \u00e1p d\u1ee5ng t\u00ednh to\u00e1n VaR cho c\u00e1c v\u1ecb th\u00ea\u0301 c\u1ee5 th\u1ec3, to\u00e0n b\u1ed9 danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c m\u1ee9c \u0111\u1ed9 r\u1ee7i ro tr\u00ean to\u00e0n c\u00f4ng ty.<\/p>\n

Hi\u1ec3u v\u00ea\u0300 gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro (VaR)<\/font><\/h3>\n

VaR<\/b> x\u00e1c \u0111\u1ecbnh va\u0300\u00a0\u0111\u00e1nh gi\u00e1 kh\u1ea3 n\u0103ng th\u00e2\u0301t thoa\u0301t v\u00f4\u0301n v\u00e0 x\u00e1c su\u1ea5t x\u1ea3y ra t\u1ed5n th\u1ea5t \u0111o\u0301. Ng\u01b0\u1eddi ta \u0111o VaR b\u1eb1ng c\u00e1ch \u0111\u00e1nh gi\u00e1 m\u1ee9c \u0111\u1ed9 t\u1ed5n th\u1ea5t ti\u1ec1m n\u0103ng, x\u00e1c su\u1ea5t x\u1ea3y ra \u0111\u1ed1i v\u1edbi m\u1ed9<\/span>t khoa\u0309ng t\u1ed5n th\u1ea5t trong khung th\u1eddi gian nh\u00e2\u0301t \u0111i\u0323nh.<\/p>\n

V\u00ed d\u1ee5: m\u1ed9t c\u00f4ng ty t\u00e0i ch\u00ednh c\u00f3 th\u1ec3 x\u00e1c \u0111\u1ecbnh m\u1ed9t t\u00e0i s\u1ea3n c\u00f3 3% VaR m\u1ed9t th\u00e1ng l\u00e0 2%, \u0111\u1ea1i di\u1ec7n cho 3% c\u01a1 h\u1ed9i t\u00e0i s\u1ea3n bi\u0323 gi\u1ea3m gi\u00e1 tr\u1ecb 2% trong th\u1eddi gian m\u1ed9t th\u00e1ng. Chuy\u1ec3n \u0111\u1ed5i 3% c\u01a1 h\u1ed9i x\u1ea3y ra th\u00e2\u0301t tho\u00e1t ha\u0300ng tha\u0301ng th\u00e0nh ti\u0309 l\u1ec7 2% v\u00e0o m\u00f4\u0303i ng\u00e0y trong th\u00e1ng.<\/p>\n

C\u00e1c ng\u00e2n h\u00e0ng \u0111\u1ea7u t\u01b0 th\u01b0\u1eddng \u00e1p d\u1ee5ng VaR cho r\u1ee7i ro tr\u00ean to\u00e0n t\u00f4\u0309 ch\u01b0\u0301c do c\u00e1c b\u00e0n giao d\u1ecbch \u0111\u1ed9c l\u1eadp v\u00f4 t\u00ecnh khi\u1ebfn t\u00f4\u0309 ch\u01b0\u0301c ti\u00ea\u0301p xu\u0301c v\u1edbi c\u00e1c t\u00e0i s\u1ea3n c\u00f3 h\u1ec7<\/span> s\u00f4\u0301 t\u01b0\u01a1ng quan cao.<\/p>\n

S\u1eed d\u1ee5ng VaR <\/b>\u0111\u00ea\u0309 \u0111\u00e1nh gi\u00e1\u00a0to\u00e0n b\u1ed9<\/span> c\u00f4ng ty cho ph\u00e9p x\u00e1c \u0111\u1ecbnh r\u1ee7i ro t\u00edch l\u0169y t\u1eeb c\u00e1c v\u1ecb th\u00ea\u0301 t\u1ed5ng h\u1ee3p \u0111\u01b0\u1ee3c n\u1eafm gi\u1eef b\u1edfi c\u00e1c b\u00e0n giao d\u1ecbch v\u00e0 ph\u00f2ng ban kh\u00e1c nhau trong c\u00f4ng ty. S\u1eed d\u1ee5ng d\u1eef li\u1ec7u \u0111\u01b0\u1ee3c cung c\u1ea5p b\u1edfi VaR, c\u00e1c t\u1ed5 ch\u1ee9c t\u00e0i ch\u00ednh c\u00f3 th\u1ec3 x\u00e1c \u0111\u1ecbnh li\u1ec7u h\u1ecd c\u00f3 \u0111\u1ee7 d\u1ef1 tr\u1eef v\u1ed1n \u0111\u1ec3 b\u00f9 l\u1ed7 hay li\u1ec7u r\u1ee7i ro cao h\u01a1n m\u1ee9c ch\u1ea5p nh\u1eadn \u0111\u01b0\u1ee3c c\u00f3 khi\u00ea\u0301n h\u1ecd pha\u0309i gi\u1ea3m m\u01b0\u0301c \u0111\u1ed9<\/span> n\u1eafm gi\u1eef t\u1eadp trung hay kh\u00f4ng.<\/p>\n

V\u00ed d\u1ee5 v\u1ec1 gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro\u00a0<\/font><\/h3>\n

Hi\u1ec7<\/span>n kh\u00f4ng c\u00f3 qui t\u0103\u0301c chu\u1ea9n cho c\u00e1c s\u1ed1 li\u1ec7u \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh r\u1ee7i ro t\u00e0i s\u1ea3n, danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c r\u1ee7i ro tr\u00ean to\u00e0n c\u00f4ng ty. V\u00ed d\u1ee5, s\u1ed1 li\u1ec7u th\u1ed1ng k\u00ea \u0111\u01b0\u1ee3c l\u00e2\u0301y t\u00f9y \u00fd t\u1eeb th\u1eddi ki\u0300 bi\u1ebfn \u0111\u1ed9ng th\u1ea5p c\u00f3 th\u1ec3 d\u01b0\u0323 ba\u0301o c\u00e1c ki\u0323ch ba\u0309n r\u1ee7i ro c\u00f3 ti\u1ec1m n\u0103ng x\u1ea3y ra v\u00e0 m\u1ee9c \u0111\u1ed9 c\u1ee7a c\u00e1c ki\u0323ch ba\u0309n \u0111\u00f3. R\u1ee7i ro c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c nh\u1ea5n m\u1ea1nh h\u01a1n n\u1eefa khi du\u0300ng ca\u0301c x\u00e1c su\u1ea5t ph\u00e2n ph\u1ed1i chu\u00e2\u0309n, ph\u00e2n ph\u1ed1i chu\u1ea9n hi\u1ebfm khi c\u00f3 trong c\u00e1c ki\u0323ch ba\u0309n c\u1ef1c \u0111oan ho\u1eb7c thi\u00ean nga \u0111en.<\/p>\n

\u0110\u00e1nh gi\u00e1 t\u1ed5n th\u1ea5t ti\u1ec1m n\u0103ng cho bi\u00ea\u0301t m\u1ee9c r\u1ee7i ro th\u1ea5p nh\u1ea5t trong c\u00e1c k\u1ebft qu\u1ea3. V\u00ed d\u1ee5: x\u00e1c \u0111\u1ecbnh VaR l\u00e0 95% v\u1edbi r\u1ee7i ro t\u00e0i s\u1ea3n la\u0300 20% th\u1ec3 hi\u1ec7n ki\u0300 v\u1ecdng trung b\u00ecnh m\u1ea5t \u00edt nh\u1ea5t 20% m\u1ed9t nga\u0300y trong m\u1ed7i 20 ng\u00e0y.\u00a0<\/p>\n

Cu\u1ed9c kh\u1ee7ng ho\u1ea3ng t\u00e0i ch\u00ednh n\u0103m 2008 \u0111\u00e3 ph\u01a1i b\u00e0y nh\u1eefng v\u1ea5n \u0111\u1ec1 n\u00e0y khi vi\u1ec7<\/span>c t\u00ednh to\u00e1n VaR \u0111\u00e3 cho k\u00ea\u0301t qua\u0309 nh\u1ea5n m\u1ea1nh \u0111\u1ebfn kh\u1ea3 n\u0103ng x\u1ea3y ra c\u00e1c s\u1ef1 ki\u1ec7n r\u1ee7i ro do danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a c\u00e1c kho\u1ea3n th\u1ebf ch\u1ea5p \u01a1\u0309 d\u01b0\u1edbi chu\u1ea9n. M\u1ee9c \u0111\u1ed9 r\u1ee7i ro b\u1ecb \u0111\u00e1nh gi\u00e1 th\u1ea5p, d\u1eabn \u0111\u1ebfn ti\u0309 l\u1ec7 \u0111\u00f2n b\u1ea9y c\u1ef1c cao trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 d\u01b0\u1edbi chu\u1ea9n. K\u1ebft qu\u1ea3 l\u00e0, \u0111\u00e1nh gi\u00e1 th\u1ea5p kha\u0309 n\u0103ng xu\u1ea5t hi\u1ec7n v\u00e0 m\u1ee9c \u0111\u1ed9 r\u1ee7i ro khi\u1ebfn c\u00e1c t\u1ed5 ch\u1ee9c kh\u00f4ng th\u1ec3 b\u00f9 l\u1ed7 h\u00e0ng ti\u0309 \u0111\u00f4 la khi c\u00e1c gi\u00e1 tr\u1ecb th\u1ebf ch\u1ea5p d\u01b0\u1edbi chu\u1ea9n b\u1ecb r\u01a1\u0301t gia\u0301 tha\u0309m ha\u0323i.<\/p>\n

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

– Gi\u00e1 tr\u1ecb\u00a0ch\u1ecbu\u00a0r\u1ee7i ro (VaR)<\/b> l\u00e0 m\u1ed9t c\u00f4ng cu\u0323 th\u1ed1ng k\u00ea \u0111o l\u01b0\u1eddng v\u00e0 \u0111\u1ecbnh l\u01b0\u1ee3ng m\u1ee9c \u0111\u1ed9 r\u1ee7i ro t\u00e0i ch\u00ednh trong m\u1ed9t c\u00f4ng ty, danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c v\u1ecb th\u00ea\u0301 trong m\u1ed9t khoa\u0309ng th\u1eddi gian c\u1ee5 th\u1ec3.<\/p>\n

– VaR \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng ph\u1ed5 bi\u1ebfn nh\u1ea5t b\u1edfi c\u00e1c ng\u00e2n h\u00e0ng \u0111\u1ea7u t\u01b0 v\u00e0 th\u01b0\u01a1ng m\u1ea1i \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh m\u1ee9c \u0111\u1ed9 v\u00e0 ti\u0309 l\u1ec7 x\u1ea3y ra t\u1ed5n th\u1ea5t ti\u1ec1m n\u0103ng trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a h\u1ecd.<\/p>\n

– C\u00e1c ng\u00e2n h\u00e0ng \u0111\u1ea7u t\u01b0 th\u01b0\u1eddng \u00e1p d\u1ee5ng VaR cho r\u1ee7i ro tr\u00ean to\u00e0n c\u00f4ng ty do c\u00e1c b\u00e0n giao d\u1ecbch \u0111\u1ed9c l\u1eadp v\u00f4 t\u00ecnh khi\u1ebfn c\u00f4ng ty n\u0103\u0301m gi\u01b0\u0303 c\u00e1c t\u00e0i s\u1ea3n c\u00f3 h\u1ec7<\/span> s\u00f4\u0301 t\u01b0\u01a1ng quan cao.<\/p>\n

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

\n Gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro (ti\u00ea\u0301ng Anh: Value at Risk, vi\u1ebft t\u1eaft: VaR) l\u00e0 c\u00f4ng cu\u0323 th\u1ed1ng k\u00ea \u0111o l\u01b0\u1eddng v\u00e0 \u0111\u1ecbnh l\u01b0\u1ee3ng m\u1ee9c \u0111\u1ed9 r\u1ee7i ro t\u00e0i ch\u00ednh trong m\u1ed9t c\u00f4ng ty, m\u00f4\u0323t danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c vi\u0323 th\u00ea\u0301 n\u0103\u0301m gi\u01b0\u0303 trong m\u1ed9t khoa\u0309ng th\u1eddi gian c\u1ee5 th\u1ec3.\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\/31453"}],"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=31453"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31453\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31453"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31453"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31453"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}