Ứng dụng phương pháp VaR trong quản lí rủi ro tỷ giá hối đoái trên thị trường tỷ giá hối đoái Việt Nam
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Nguyn Th Giang Ton Ti Chnh 50
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CHƯƠNG 1. NHỮNG VẤN ĐỀ CƠ BẢN VỀ THỊ TRƯỜNG NGOẠI HỐI VÀ ĐẦU
TƯ TỶ GIÁ
1.1. Thị trường ngoại hối
iBiBiB?bG7?04M
4.:QGS+=18/M.8CAT8.3
C8.3718BR=F^G714h..$Oj.ZC
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7)*f'()g.4TP1Z+6^.Q 74PC.F.+=1Z
EU=5<Y#^R 7PC*?04MB
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4F.QF?4B
Nguyn Th Giang Ton Ti Chnh 50
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kF.MDQ<4
- Cc ngân hng:
pkF.A:8.F. QGI[.`.6
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pkF. G .F. : G- >.
V.1946..P=9?.G>.41F.S$-B
- Cc nh môi giới:%.3^4.F.49?.*?0B
- Cc doanh nghiệp: .F.94 = .3 C8 % .F.94
=TP+=1ZBhG;%.3^.:46G;%.3^.4B
Nguyn Th Giang Ton Ti Chnh 50
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nkF.c nhân, cc nh kinh doanh:<4 .F..$94G4
.Q.:G<F4B
- Cc tổ chức ti chnh phi ngân hng.
- Cc công ty đa quốc gia.
1.2. Tỷ giá hối đoái
iBmBi?bG=%4LFM4F
KA:AKAK5343/4f"\`/6=4a6b<=6.
LFM4F%SGP7=`.=6%S4R.$.>.<5.3
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7GE$[G4<+.P.318h.Bk48C6O.QP7%aC8
5V.E_2G9_4FE_<8S.3LFBC*6417
.37.318h.Gb$OD.E_PV.4.3.F.18h.2GH
.IP7.OT4C/.37LFM4F6GH..QS%aC8
4.dG7LFM4FB"_.4.d.3.F.%aC8G7TF.?LF
M4F%94G.=V.TP=F;R?0%q?0
Q6?076?0GMB
41QLF%.?F.S/%.37C8MG-.F.`.S
1F.;.F.C8M_.6.Q^4%0D.8.F.C8M%a61rGhB
R6<5.F.C8MC%.QF.S/%%HG.?F.SA
%.3LF4S1$1[<8SB#4G+C6.QP718
R1F1F.G7LFM4F
Samuelson – nh kinh tế học người Mỹ cho rằngLFM4F%LF^[
7.3S %PC7S 1F.
Slatyer – nh kinh tế người Úc64S.MEF.?04M6.4
cS 7.3S 4Q2<cF?.3SEM%D 7
1F.B
Christopher Pass v Bryan Lowes f04#.4C4stT44.E
TP<5%:`g.4cLFM4F%F.3S%47D.<^
/FS71F.B
Nguyn Th Giang Ton Ti Chnh 50
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kF.1F*C7=5FSEM1V.1F..3LFM
4FB#4Q6.Q^S1F[/FLFM4Ffu4XtT.X
eXCtT.XeXg%F.5.3G?7 C^<cEM%D
G?7 1F.B
++ 4g3^<H6
a. Tỷ giá mua vào và tỷ giá bán ra:
*?04M%*6.F.0*C8LF
.7LFGLF<FBv.\=LFD.C8%*/8mMF.6Q
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449?.6:.zCV.3.F..VB
b.Tỷ giá giao ngay và tỷ giá kì hạn
- Tỷ gi giao ngay (Spot rate):%LFD..F.49?.Y+61a
18A0^f$Cg.QCF?4GImC%G.
EC1a18D= BkQb%4GImC%G.EC1a18D=
P?LF6.F.<*EU847.4B4_.86G.
4F09lG4C%G.`mEC1a18D= B04
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Nguyn Th Giang Ton Ti Chnh 50
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%a/&G%.C^7BBBBLF4CD..F.
C8CB
- Tỷ gi kỳ hạn (Forward rate): %LFD..F.<*49?.TF.?61a18
A0^.QF?SCTF.?4%TC
F?4CfGV9>o{C6|{CBBBg
c. Tỷ giá tiền mặt và tỷ giá chuyển khoản
- Tỷ gi tiền mặt%LF.dF=9>MG-R%471%467
PC6EK.9%?.GqV9>B
nTỷ gi chuyển khoản%LF.dF=9>.4.F.49?.<F4
%.F.1457}B
d. Tỷ giá mở cửa và tỷ giá đóng cửa
- Tỷ gi mở cửa %LFF=9>.4D= 49?.:*4CB
- Tỷ gi đóng cửa%LFF=9>.4D= 49?..M.]4
CB
e. Tỷ giá chính thức và tỷ giá chợ đen
- Tỷ gi chnh thức%LF94.$<M6Q=5F
.V`.G7F?M4.3 SBLFCD.F=9>%.EAV
8TP+=1ZGSEM4S%*/84M.3.V=3
TF.?DGC.3.V=3B
n Tỷ gi chợ đen%LF94.$<M6Q=5F
.V`.G^F?M4.3 SBLFCD.F=9>%.EAV
^TP+=1ZGSEM4S%*/84M.3.V=3
TF.?DGC.3.V=3B
f. Tỷ giá danh nghĩa, tỷ giá thực tế và tỷ giá hiệu quả
nTỷ gi hối đoi danh nghĩa (nominal foreign exchange rate)%L%4[
R 74 G- 7 4
nTỷ gi hối đoi thực (real foreign exchange rate)%LF.Q=5F
/F.5QR 6D.VX4%47.3S4 QB
k$`.VLFM4F_.
Nguyn Th Giang Ton Ti Chnh 50
+
X
~
f
P
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4QX
LF_.8
XLF9b
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LF/5%%S 4=5FE_C[.3S
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2B
g. Tỷ giá chéo
nLF.K4%LFR 7D.VX4 7`<B
KA:AKA9=G1h0\aT344Zi3/\j6\`/6=4a6b<=6
"_2/LF%/F2F.S/%.37C8M
1F./G.3/B_.8.Q7%+=%+1F..3.F.184
.F.==F=*.`68=.+GFFGI6V.P6=`.G
15@F.S.3.F.C8M.>^:87MPSEMC8M
/h6_.8=.P%*S9GF.S%*/F22LF
M4FBLFM4F.?F.S.37M64QM/
hP%E`..3 7G/..:4B
%=F@6E`. S5E4G-46%.4LFM
4F.3 4E4G-S@fCLF SE4G-45g
GD.%B8 S56LFM4F.4.QF.9>
nV.V..F.4STP1Z6.8+=1Z6Q==:@
46.5.F.4FB
n-LFM4F.4EU1C81V.+=1ZGM617M6.8.F.
4S.C^4 4618/5%%.4E`..3 S
@%*B
Nguyn Th Giang Ton Ti Chnh 50
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6%.4/..:G74<-.@•B46.Q^1^8.F.
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946X4--4C-S.3718B
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1.2.2.1 Phương pháp yết trực tiếp
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+ Phương pháp yết gián tiếp
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$/ SB
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*?0B
pSQGIC8F6EMG?.M?G0<ci4
SEM0D=\.<8G?.3 7C8F.Q^%i{6i{{Ci{{{B
+H Chênh lệch tỷ giá và kinh doanh chênh lệch tỷ giá
Nguyn Th Giang Ton Ti Chnh 50
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a. Chênh lệch tỷ giá :
*?04M6FG4GF<F.3 41$
=5%j.4.NM.I.QE_.*%.B"_.*%.RLF
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+ Tnh theo số tuyệt đối :
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V dụ…FG4G<F.3 i!"#†D.49?.C
mo†{o†m{im*?0%*%:%D%m{B‡ˆ{Gm{B‰ˆ{B+CE=X9~
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+ Tnh theo số tương đối :
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=
−
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hối)
Giả thiết th trường
p*?01$.Q.=V49?.6G.d.Q9CPS%4LF
C8FCG2LF•<FB
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B
pkQE_<c.3LF.K46`.%8LF.3 7G,%
T†i,G8LF.3 7Gk%C†ik2LF.3 7kG,%
T†CB
Nguyn Th Giang Ton Ti Chnh 50
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S 7AFP=G<F%A.QF.4f4\.D.%g
.]S0^^%D+;.*%.FB<XD..%
%4
+ Arbitrage hai điểmW=G>194.*%.LFD._.
<c.F. 0G4G<F4CS 7?0
1F.^%D+;E_.*%.LFR?0CB=G>
C9l+<8GD._.1F5%V.Q.S_.4
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+ Arbitrage ba điểm/ tam gic0D=C2<74.PCE_
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+9>h.S194.*%.LF9]%PY^18%D+B
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Nguyn Th Giang Ton Ti Chnh 50
