TRI PHIU

Vng Qun Hong vi ng gp: Trn Tr Dng - Lng Minh H

DHVP RESEARCH | WWW.VIETNAMICA.NET Ngy 1 thng 7 nm 2011

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Mc lc
Mc lc Gii thiu 1 Gi tr trong quan h arbitrage iii 1 2 4 6 8 10 15 25 32 36 42

2 nim li sut 3 Duration 4 Immunization 5 Tnh li 6 Yield curve v SRC 7 Min nhim sc v SRC 8 LS tc thi v k hn lin tc 9 Phn phi loga chun v CLT Ph lc tra cu

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Gii thiu
Hin nay, cc vn iu hnh kinh t v m ang ng trc nhiu bi ton nan gii, c bit sau khi nn kinh t Vit Nam i mt tr li vi lm pht tng cao k t 2007. Ti liu ny do i ng DHVP Research bin son cho cng vic nghin cu ng dng v ng gp chnh sch lin quan ti mt cng c n quan trng trn th trng vn trung v di hn: Tri phiu. y l ti liu s dng ni b DHVP Research, do khng c tham vng chia s rng ri, cho ti khi chng ti thc s em li cho cc vn ng dng Vit Nam mt tin cy tt. Ti liu ny phc v vic xy dng cc nghin cu v bo co trong tng lai ca DHVP v cc i tc, s ng gp v h tr ca Trn Tr Dng (DHVP Research) v Lng Minh H (Hc Vin Ngn Hng - H Ni). DHVP Research | www.vietnamica.net Vng Qun Hong

Chng 1

Gi tr trong quan h arbitrage

Tm lc mt s nim quan trng: 1. Gi tr ca tri phiu l tng dng tin (li ch ti chnh trong tng lai) chit khu. 2. Mt tri phiu c gi tr cao hn gi tr danh ngha nu li sut coupon cao hn li sut, v ngc li. 3. Gi tr ca mt tri phiu c nng lc thanh ton (khng ph sn) lun gim khi li sut th trng tng, v ngc li. 4. Tc nhn c bn nht gy thay i gi tri phiu l chuyn ng ca li sut. Mt tc nhn quan trng khc l thc t k hn rt ngn i khi thi gian tri qua. Nhng biu thc hu ch: Ta k hiu B l gi tr tri phiu hin ti; T thi im o hn; BT gi tr danh ngha, tc l gi tr s tr li vo thi im o hn (gi l par hay face value); c l coupon; it li sut tc thi tng ng vi k hn t; i li sut chung thch ng vi mi k hn; ct dng tin (li ch thu t tri phiu) ti thi im t. B(it ) =
T t=1

ct (1 + it )t ,

(1.1)

Vng Qun Hong - T/L Tri Phiu

vi t + 1, . . . , T , it to nn khi nim cu trc k hn ca cc mc li sut (term structure of interest rates). [ ] c/BT 1 1 B(i)/B(T ) = 1 , (1.2) + T i (1 + i) (1 + i)T nu nh it khng i vi mi k hn t, tc l cu trc k hn phng (flat rate structure). Trong cu trc thi gian ri rc, th: B c =i . B(i) B(i) Trong cu trc thi gian lin tc, th: i(t) = do suy ra rng: 1 dB(t) c(t) = i(t) . B(t) dt B(t) (1.5) c(t) 1 dB(t) + , B(t) B(t) dt (1.4) (1.3)

Chng 2

nim li sut
Tm lc mt s nim quan trng: 1. Li sut ti o hn (yield to maturity; vit tt thng dng YTM) l li sut khin cho gi ca tri phiu bng tng cc dng tin chit khu qua mt mc li sut duy nht. 2. Li sut thi k (horizon rate of return) l li sut gip bin i chi ph u t hin ti thnh gi tr tng lai. Nhng biu thc hu ch: i l YTM tha mn: B0 =
T t=1

ct (1 + i )t ,

(2.1)

trong B0 l gi tr tri phiu hin ti v ct l cc dng tin (li ch ti chnh) thu c t vic s hu tri phiu (trng hp ny l tnh trn tng nm). Thc ra, biu thc y (nhng di dng hn) l: B0 = c c c + BT + + + ) )2 (1 + i (1 + i (1 + i )T (2.2)

Nu ta gi FH l gi tr tng lai ca khon u t, rH l li sut thi k tha mn biu thc B0 (1 + rH )H = FH , 4 (2.3)

Vng Qun Hong - T/L Tri Phiu

nh vy suy ra rng: ( rH = FH B0 )1/H 1. (2.4)

Chng 3

Duration
Tm lc mt s nim quan trng: 1. Duration ca tri phiu l i lng bnh qun gia quyn ca cc khong thi gian cn li ti khi thanh ton ca tt c cc dng tin sinh ra t tri phiu . Trng s l t trng ca tng lng li ch ti chnh trong gi tr hin ti ca tri phiu (present value; PV). 2. Mt tnh cht quan trng ca duration l gip phn nh nhy ca tri phiu vi ri ro li sut. Duration l nhn t trng tm ca ni dung qu trnh immunization - mt phng php gim thiu tc ng tiu cc ca bin i li sut ln gi tr danh mc u t tri phiu. Nhng biu thc hu ch: Mt s biu thc sau y cho bit c tnh k thut v ngha kinh t ca duration. D l k hiu duration, X l t trng gi tr trong danh mc u t. Trc tin, v cng thc nh ngha ca duration. D= ngha l, D =1+ T (i c/BT ) (1 + i) 1 + . i (c/BT )[(1 + i)T 1] + i 6 (3.2)
n t=1

tct (1 + i)t /B

(3.1)

Vng Qun Hong - T/L Tri Phiu

Duration l s o mc nhy cm ca gi tri phiu theo thay i ca li sut (hoc YTM): D= 1 + i dB . B di (3.3)

Cng thc duration hiu chnh Dm : Dm = D 1 dB = . 1+i B di (3.4)

V quan h hu c gia duration v yield, c th thy ngay: dD = (1 + i)S, di (3.5)

trong S l phng sai ca cc khong thi gian ti im thanh ton. Gii hn ca D khi T l: (1 + 1/i). D ca mt danh mc u t tri phiu (ch ng khi cc tri phiu c cng YTM) l: DP = Xj DJ . (3.6)
j=1

Chng 4

Immunization
nim chnh: Nu mt tri phiu c duration D, v cu trc k hn li sut ngang, th tri ch trnh c nhng thay i song song ca cu trc nu tng lai H bng vi duration D. ( iu kin bc nht: Ta bit t trc rng: rH =
FH B0

)1/H

1. Tc

l, vic ti thiu ha rH cng tng ng vi ti thiu ha FH . Do : dFH di d [B(i)(1 + i)H ] = 0 di = B (i)(1 + i)H + HB(i)(1 + i)H1 =

(4.1)

t y suy ra nu nhn vi (1 + i)1H : B (i)(1 + i) + HB(i) = 0. (4.2)

Ta mun c kt cc dFH /di = 0 ti im i = i0 , v th cn tha mn iu kin: B (i0 )(1 + i0 ) + HB(i0 ) = 0. Kt qu l: H= (1 + i0 ) B (i0 ). B(i0 ) (4.3)

iu kin bc hai: trn thit lp iu kin bc nht cho rH i qua im cc tiu. By gi ta cn m bo iu kin bc hai tha mn cho cc tiu ton cc ti i = i0 . 8

Vng Qun Hong - T/L Tri Phiu

Ta c: ln FH = ln B(i) + H ln(1 + i), do : d ln FH di d ln B(i) H 1 dB(i) H + = + di 1+i dB(i) di 1+i H 1 D + = (H D). 1+i 1+i 1+i

= =

(4.4)

Biu thc ny bng 0 khi D = H. o hm bc hai ca ln FH l:

] [ d2 ln FH 1 dD (1 + i) + D H . = di2 (1 + i)2 di

(4.5)

Do D = H, suy ra rng: d2 ln FH 1 dD . = 2 di 1 + i di (4.6)

Ta bit rng dD = S/(1 + i), vi S l phng sai ca tri phiu, di do kt cc ta thu c: d2 ln FH S = . 2 di (1 + i)2 (4.7)

Biu thc hu ch: Mt s biu thc tm gn li di y. Gi tr tng lai ca tri phiu vi cu trc li sut phng: FH = B(i)(1 + i)H . Li sut ti horizon H l rH : ( rH = FH B0 )1/H B(i) 1= B0 [ ]1/H (1 + i) 1 (4.8)

iu kin bc nht drH /di = 0 dn n: H = 1 + i0 B (i0 ) = D(i0 ). B(i0 ) (4.9)

iu kin bc hai d2 rH /di2 > 0 cc tiu ha rH dn n: S > 0. (1 + i)2 (4.10)

Chng 5

Tnh li
nim v tnh li tri phiu: Tnh li (convexity) c nh ngha cho tri phiu nh sau: 1 d conv. = B(i) di ( dB di ) 1 d2 B . B di2

(5.1)

Khi trc ta nhc n o hm dB/di c dng: dB = (t)ct (1 + i)t1 . di

T t=1

(5.2)

o hm bc hai ca B theo i ri chia cho B c dng nh sau:

T 1 1 d2 B = t(t + 1)ct (1 + i1 ) B di2 B(1 + i)2 t=1

conv. =

(5.3)

Ta rt ra ti y 2 tnh cht c bn: 1) Tnh li ca tri phiu lun dng; 2) n nguyn ca tnh li tri phiu l thi gian-bnh-phng do thnh phn t2 trong cng thc convex. trn. y l hnh minh ha: 10

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Trong hnh cho thy nh hng ca tnh li TP A ln hn B khin u t vo A hiu qu hn vo B khi li sut gim (do gi tr A tng).

Phn nh ri ro li sut: S dng xp x bc hai qua chui Taylor, thu c: [ ] 1 dB 1 d2 B 2 di + (di) B di 2 di2

B B

(5.4)

Ta li c minh ha:

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vi trc honh l li sut (%/nm) v trc tung l gi tr tri phiu. S ny ni tri phiu pht hnh vi coupon rate 9% v gi tr par 1000. Hnh ny cho thy xp x tuyn tnh v ton phng ca gi tr tri phiu khi li sut thay i. Xp x tuyn tnh cho bi biu thc gn ng sau: B 1 dB = di = Dm di B B0 di (5.5)

Cn xp x ton phng th tng t (5.4), nhng thay du xp x bng ng thc: [ ] B 1 dB 1 d2 B 1 2 = di + (5.6) (di) = Dm di + conv.(di)2 B B di 2 di2 2 Mt ng thc xp x na c rt ra kh quan trng l: [ conv 2 i2 (Dm + conv.i0 )i + 1 + Dm i0 + conv 2 ] i 2 0

B(i) = B0

(5.7)

im cc tiu ca parabola ny c honh trng vi duration hiu chnh chia cho liDm /conv.

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Hu ht cc tnh ton ca cc hng ti chnh cung cp gi tr li 1 2 tri phiu chia gi tr ca B d B cho 200 (vi v d ca ta gi tr li di2 s l 0.28 nm bnh phng). Mt s tnh ton khc th chia cho 100. L do l thng s ny c th cng kh chnh xc vo vi duration hiu chnh. li portfolio tri phiu: nim tnh li trn c p dng trc tip cho mt danh mc u t tri phiu: conv.P (i) = CP 1 d2 Pi P (i) di2 (5.8)

Thc t, nu danh mc c n tri phiu, th li l:1 CP =

n j=1

Xj Cj .

(5.9)

V sao li? Di y l cng thc ng lu . Trc tin: D= do : 1+i B (i), B(i) (5.10)

dD B (1 + i)B 1+i = B . B (i) 2 di B B

(5.11)

Ta bit dD/di = (1 + i)1 S, v th: 1 1+i S (1 + D)B (i) + B = B B 1+i (5.12)

Vit gn li B /B = D/(1 + i) v C = B /B, ri nhn hai v vi (1 + i), thu c: D(D + 1) + (1 + i)2 C = S nn suy ra rng: D(D + 1) + (1 + i)2 C =
1

(5.13)

1 [S + D(D + 1)]. (1 + i)2

(5.14)

T y vit gn li C conv.

14 Trong S nh ngha bi: S=

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T (t D)2 ct (1 + i)t /B t=1

(5.15)

Kt qu ny hu ch v cho bit li ph thuc vo c phn tn ln duration. Mt danh mc c tnh li cao vi mt duration cho trc, khi m phng sai khong thi gian ti lc thanh ton c tr s ln.

Chng 6

Yield curve v SRC

Li sut tc thi: L YTM ca tri phiu zero-coupon c thi gian o hn t: Bt = B0 (1 + i0,t )t . (B0 l gi tr hin ti, Bt l par value) Ngi ta cng c th ni i0,t l li sut ngang1 ca tri phiu zerocoupon mua hin ti, vi gi B0 , v c gi tr chc chn thu hi v Bt ti thi im t. Yield curve v ng cong li sut tc thi: Yield curve ( y vit tt l YC cho gn c mt s ngi VN gi l ng cong li sut, nhng tn gi ny cng d nhm ln) l ng con biu din quan h gia thi gian ti o hn ca tri phiu coupon an ton (khng ph sn) v mc YTM ca tri phiu . YC th hin mt hnh hc cc mc li sut YTM khc nhau tng ng vi cc khong thi gian ti o hn ca cc tri phiu coupon. C th xy dng YC khng kh khn lm, nn YC cng c cc hng thng tn v t vn ti chnh cng b ph bin. N c tc dng khi ngi ta xem xt li ch t mt nhm cc tri phiu coupon hay tnh nhanh YTM. Khc bit TSIR v YC: R rng, YC khc rt khc so vi cu trc k hn ca cc li sut (term structure of interest rates - TSIR). TSIR bn cht l ng cong li sut tc thi (spot rate curve - SRC). TSIR rt quan trng v gip gii phn tch hnh thnh k vng (qua suy lun) v xu hng th trng ca cc mc li sut trong tng lai.
1

horizon rate of return

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V th, YC t thng tin hn TSIR v gii nghin cu phn tch phi tn nhiu cng hn cho cng tc xy dng ng cong SRC t cc mc gi ca cc tri phiu c thi gian o hn khc nhau. SCR: Mt v d xy dng SCR. Xt li sut tc thi 1-nm, i0,1 . Tri phiu (TP) c coupon l 10 USD, par 100 USD v gi tri phiu hin l 99 USD, o hn 1 nm na k t hin ti. Li sut tc thi i0,1 tha mn /k: 99(1 + i0,1 ) = 100 + 10. Do i0,1 tnh c l 11.1%. Xt tip TP coupon 2-nm k hiu B0,2 . Cng thc: B0,2 = 10 110 + . 1 + i0,1 (1 + i0,2 )2 (6.1)

y, i0,1 bit (11.1%), nhng i0,2 l n s. Nu gi B0,2 l 97.5 USD, th i0,2 l 11.5%. Gi s li c TP na, coupon, 3-nm v coupon hng nm vn l 10 USD, gi B0,3 l 96.2 Ta li tnh tng t li sut tc thi i0,3 qua biu thc gi: B0,3 = 96 = 10 10 110 + + , 2 1 + i0,1 (1 + i0,2 ) (1 + i0,3 )3 (6.2)

trong i0,1 l 11.1%, i0,2 15% v i0,3 l n s. Tnh ra ngay c i0,3 c ln 11.7%. Nu c thng s gi cc tri phiu an ton vi cc k hn khc nhau, s tnh c rt nhiu mc li sut tc thi khc na. Tng qut ta c biu thc: B0,n = c + Bn,0 c c + ... + . n1 (1 + i0,1 ) (1 + i0,n1 ) (1 + i0,n )n (6.3)

Nu c thun li nh trn, phng php ny trng c v d p dng. Vn thc t phc tp hn nhiu. Nhiu TP coupon o hn cng ngy gy ra kh khn tnh ton. Thc t khc phc s trnh by sau.
Trn thc t coupon s khc khi thi gian o hn khc nhau. y ta gi s cho d tnh ton.
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Tnh li sut forward n t SRC: Nhu cu t nhin ca th trng t ra cu hi: c th li dng g t TSIR (SRC) tnh li sut forward n, ri rt ra li sut tc thi ti mt thi im trong tng lai? L-gic nh sau: Nu tn ti TSIR th c th suy ra s tn ti ca mt cu trc forward. V d di y s lm r. ng A ng trc 2 hp ng tn dng c hn 1-nm v 2-nm, ng 2 li sut tc thi tng ng i0,1 , i0,2 . C th xy cu trc forward ngay ti lc ny mt hp ng forward k hn 1-nm, nhng mt nm na mi bt u c hiu lc!3 ng A lm nh sau. Trc tin, g vay 1 USD hm nay trong 2 nm, v hai nm na tr khon tin (1 + i0,2 )2 . K n, g cho vay i 1 USD hm nay trong 1 nm, ri i v (1 + i0,1 ) sau 1 nm na. Hai s kin ny m bo rng, g A s phi tr mt li sut forward n, bt u c hiu lc sau 1-nm na, v c khong thi gian hiu lc l 1-nm sau thi im bt u , ta vit l f1,1 . L-gic ch: Li sut forward n ny gip bin i khon tin (1 + i0,1 ) ti u nm 1 (hin ti l nm 0 nh) thnh mn tin (1 + i0,2 )2 khi nm 1 kt thc. Biu din ca li sut forward n: (1 + i0,1 )(1 + f1,1 ) = (1 + i0,2 )2 (1 + i0,2 )2 f1,1 = 1 1 + i0,1 T l-gic ny i n biu din tng qut c dng: ft,n = (1 + i0,t+n )(t+n)/n 1. (1 + i0,t )t/n (6.5) (6.4)

(*) D thy: i0,t+n l li sut tc thi trong di hn, c lin quan ti li sut tc thi ngn hn hn i0,t , cng nh li sut forward n ft,n , thng qua quan h trung bnh hnh hc c quyn s thi gian ca tc vn ha (capitalization rate).4
ngha ca hnh vi ny: Nu ng A mun vay mt khon tin n nh trc, nhng bt u vay k t sau y 1 nm na, ng ta c th kha cht cam kt y ngay lc ny vi mt mc li sut bit trc s ph bin sau mt nm na. 4 Capitalization rate l 1 cng vi mc li sut no , cho thy s chuyn ha mt lng tin qua 1 nm thnh mt lng tin ln hn ti mc no.
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1 + i0,t+n = (1 + i0,t )1/(t+n) (1 + ft,n )n/(t+n) .

(6.6)

Cng thc ny thy ngay l trung bnh hnh hc ca capitalization rate 1 + i0,t v IFCR (implicit forward capitalization rate), vi trng s tng ng ln lt l t/(t + n) v n/(t + n) trong ton qung thi gian ang xt t + n. Ta li hnh sau minh ha quan h li sut forward n rt ra c t cu trc li sut tc thi cho trc dng tng ln (sau mt lc th tc tng chm li, phn bit vi dng khum - ban u tng, sau gim):

Hnh va ri l biu din ha ca data trnh by di y:

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T mt cu trc li sut tc thi bit, ta tnh ra cc cu trc li sut forward n (IFR). V d, ta c tt c cc li sut forward c hiu lc sau 1 nm na, cho cc khon vay c maturity t 1 ti 9 nm; tc l tng ng dng th 2 trong bng. Tip theo, IFR cho khon vay c hiu lc sau 2 nm na, vi maturity t 1-8 nm; dng th 3. Cui cng, ta c IFR hiu lc sau 9 nm na, v kt thc 1 nm sau ; tc l dng cui v s cui cng ca bng data. Hnh IFR pha trn c dng tng i din cho 6 dng u tin ca bng. Trong khi hnh IFR dng khum di i din cho 6 dng bng data tip theo.

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Theo cch nhn khc, nu ta xt tt c cc forward rate vi maturity 1-nm, bt u ti cc mc thi gian tng lai khc nhau (cc im hiu lc ca li sut trong 1 nm sau ), s thy rng y l cc li sut nm trn ng cho chnh ca bng d liu. Tt c cc FR xut pht t cc mc t/gian khc nhau, tng ng cc k hn (maturities) t nm nm trn ng cho, cch t 1 khong v pha tri ca ng cho chnh. V nh, tt c cc FR vi maturity 4-nm nm c trn ng cho cch ng cho chnh 3 khong v pha tay phi. Dng khum nh sau, v mang ngha khc bit v mt tnh ton ng dng.

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Tip cn c nhn risk-neutral - l thuyt pure expectations: Xt 2-giai on. Th tm hiu th trng k vng g li sut tc thi sau 1 nm na, cho k hn 1-nm i1,1 , cn c trn thng tin li sut tc thi hin ti m ta gi l short rate i0,1 v long rate i0,2 . Gi s rng ngi i vay c vay r nht, ngi cho vay c thu li cao nht. Ngi vay v cho vay, mi bn c 2 kh nng. Bn cho vay c th u t vo th trng 2-nm hoc thc hin 2 hnh ng u t k hn 1-nm vo by gi, v tip tc sau 1 nm na. Ngi i vay tng t. Li sut k vng 1-nm cho nm 1 E(i1,1 ) lin h vi short rate v long rate qua quan h: (1 + i0,2 )2 = (1 + i0,1 )[1 + E(i1,1 )] (6.7)

E(i1,1 ) phi l IFR f1,1 nh ngha lc trc. Tng t, capitalization rate 2-nm 1 + i0,2 l trung bnh hnh hc gia 1 + i0,1 v capitalization rate k vng 1 + E(i1,1 ). Xt v d minh ha. Gi s quan h trn khng ng v li sut k vng E(i1,1 khin cho u t vo bond 2-nm km li hn 2 ln u t 1-nm. Gi thit ny suy ra ngi vay s c li khi vay khon vay 2-nm thay v 2 ln vay 1-nm trn th trng ngn hn. Gi s c data sau b sung: a) Spot rate 1-nm i0,1 = 6%; v b) E(i1,1 = 7%.

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Tnh ra trung bnh hnh hc (1.06)(1.07) 1.065. Phi gi nh spot rate 2-nm nh hn nhiu so vi 6.5%, chng hn 6.2%. Nh vy: (1 + i0,2 )2 < (1 + i0,1 )(1 + E(i1,1 )). Trc tnh hung ny, la chn ca ngi i vay v cho vay khng ph hp nhau; minh ha trong hnh di.

(*) Ch thch: Theo cc /k va ni, ngi vay mun vay 2-nm, cn nh u t lm ngc li, t b th trng 2-nm, v u t vo th trng 1-nm. Trong hnh ni rng cung v cu xut pht ca ngun tin c th cho vay v cc th trng 2-nm l ng lin nt. Li sut cn bng ln lt l 6 v 6.2%.

Tip cn xc nh li sut tc thi k vng khi tc nhn riskaverse: Cu hi cn tr li l liu ng thc (1 + i0,2 )2 = (1 + i0,1 )(1 + E(i1,1 )) cn hiu lc? Hnh di y cho bit gi tr ca u t 2-nm v 2 khon u t 1-nm nu li sut c chnh tc th sau khon u t th nht, ti thi im 0. u t 2-nm gp li l b sung so vi khon u t 1-nm. L v li tim tng biu hin qua cc phn vch.

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(*) T quan im ngi cho vay: Vi capital gain, u t 2-nm ri ro hn nhiu so vi quay vng khon vay 1-nm. Nhng nu t quan im ri ro u t, th cho vay 2 ln ri ro hn v coupon gim khi li sut gim. Ch no cng c li v hi, nhng thng th ri ro capital loss ln hn so vi reinvestment risk. C th tm kt lun ngi cho vay quan tm cc v cho vay ngn hn hn di hn. Do , xu hng t nhin l cung trn th trng ngn hn thng di do, v ngc li th trng di hn. (*) T quan im i vay: Ngi vay vi horizon ngn c xu hng vay th trng ngn hn. Thc ra vn c th vay 2-nm, nhng ri phi bn sau 1-nm, v gp tnh hung capital loss, nn h trnh. Tng t vy vi ngi vay long horizon, c xu hng vay trn th trng di hn. Xu hng no ph bin ty thuc ln ca mc cu tin trn tng th trng. C bn c th ni ngi vay tiu biu i din long horizon, v chp nhn tr risk premium. Hnh vi ngi i vay c xu hng lm tng li sut di hn, nn cc ph bin ca hnh vi ngi cho vay li cng c cng c. Trn th trng di hn, tng i khan him cung tin, trong khi cu di do. Tnh hnh ngc li vi th trng ngn hn. R rng, li sut trn th trng di hn cng c xu hng cao tri so vi ngn hn. Nhn chung, hnh vi c bn vay v cho vay u nht qun ch cn tr bc b li sut vt tri cho thanh khon trn khon vay di. Th trng v th chp nhn long-term capitalization rate khng phi bnh qun gia quyn ca li sut ngn hn v li sut ngn hn k vng, m phi cao hn, c dng bt ng thc sau: (1 + i0,2 )2 > (1 + i0,1 )[1 + E(i1,1 )] (6.8)

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Ta c th bin lun s tn ti risk premium ngi cho vay c tr v ngi vay tr nh sau: (1 + i0,2 )2 = (1 + i0,1 )[1 + E(i1,1 ) + ] (6.9)

Vy, dng tng qut ca cu trc k hn li sut TSIR ra sao? Gi s cu trc ny phng, tc l: i0,2 = i0,1 . Liu t y c th suy ra th trng d bo li sut tc thi trong tng lai s khng i? Nu i0,2 = i0,1 , phng trnh trn tr thnh: 1 + i0,1 = 1 + E(i1,1 ) + Suy ra, i0,1 = E(i1,1 ) (6.11) Th trng nht tr trn k vng li sut tc thi trong tng lai gim xung vi trng hp flat TSIR. Li gi s, cu trc gim i0,2 < i0,1 , tc l nh trng hp: 1 + i0,2 = (1 + i0,1 ), 0 < < 1, th ta li c khai trin: 2 (1 + i0,1 ) > 1 + E(i1,1 ). iu ny tng ng vi: 1 + E(i1,1 ) < 2 < 1, 1 + i0,1 (6.13) (6.12) (6.10)

v cng c ngha l, th trng mong ch li sut tc thi trong tng lai gim so vi hin ti.

Chng 7

Min nhim sc v SRC

Immunization l logic u t fixed income min nhim vi cc bin ng ca cu trc li sut (trong mt s trng hp). Lc trc ta gi nh cu trc ny horizontal v c th c cc bc dch song song. Nhng y c th ni ra cu trc xut pht c dng bt k, nhng vn gi gi thit dch chuyn song song. Cn nh ngha li duration theo cch ca Fisher v Weil.1 S khc bit so vi khi nim ca Macaulay ch trng s ca cc thi gian thanh ton by gi s dng li sut tc thi c hiu lc vi tng term, trong khi Macaulay da trn YTM ca tri phiu chit khu dng tin. Ta xt tnh ton thi gian lin tc, vi cu trc thi gian ca li sut tc thi c dng: i(0, 1), i(0, 2), . . . , i(0, t), . . . , i(0, T ). cho n gin, gi i(z) l li sut tc thi ph bin ti time 0 cho khon vay bt u c hiu lc ti mc time z vi maturity nh v hn. C th rt ra quan h xc nh gia i(0, t) - tc l li sut tc thi hm nay cho khon vay o hn ti thi im t - v IIFR (implicit instantaneous forward rates) k hiu i(z). Quan h c ngun gc arbitrage c dng (7.1) sau: e
Rt
0

i(z)dz

= ei(0,1)t

(7.1)

v mt -la u t by gi, vi li sut tc thi i0,t cn thu v cng s tin nh 1 -la u t quay vng lin tc qua cc khong thi gian vi
Fisher L. and R. Weil 1971. Coping with the Risk of Interest-rate Fluctuations: Return to Bondholders from Naive and Optimal Strategies, Journal of Business, 44(4).
1

25

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phn li sut forward i(z). Ly loga n-pe ca (7.1), thu c: t i(z)dz i(0, 1)t =
0

(7.2)

Thm t vo 2 v ca (7.2): i(0, 1)t + t =

0 t

i(z)dz + t,

(7.3)

ri, khai trin tip theo dng:2 (i(0, 1) + )t =

0 t

[i(z) + ]dz.

(7.4)

(*) Thy rng: Tng mi mc li sut i0,t mc tng ng vi dch chuyn chiu thng ng mc cu trc IFR. Gi li k hiu PV ca mt dng tin c(t) thu ti thi im t qua Rt khong thi gian vi phn dt l: c(t)e 0 i(z)dz . Mt cch biu th hon ton tng ng na l c(t)ei(0,t)t . y ta gi s coupon tr lin tc; nh th dng tin danh ngha 1 tng ng nm th nht l: 0 cdt = c, tc l khong thi gian chia vi phn nh ti u, nh u t vn nhn c s tin c. Cng t gc T T danh ngha, dng tin nm cui cng l: T 1 c(t)dt = T 1 c + BT dt = c + BT . Mi mc tng ca i(z) s tng ng vi mt mc tng y ht ca i(0, t). Gi ta xc nh gi tr bond v duration khi xt mt TSIR k hiu i(0, t). Gi tr bond lin tc thi gian vi TSIR cho trc: Xt mt cu trc TSIR i(0, t), cn c k hiu i cho gn. Gi tr bond vi cu trc l i l
T

B(i) =
0

c(t)ei(0,t)t dt

(7.5)

Trong php tnh bin phn (7.5) l mt phim hm; mt quan h gia mt hm s i vi mt tr s B(i). Gi s ton b cu trc tng thm mc - hay trong ngn ng php tnh bin phn th i nhn mt bin phn - v xt bin phn ny xy
2

V t =

Rt
0

dz

Vng Qun Hong - T/L Tri Phiu

27

ra ngay khi bond c mua. Cu trc mi c dng i + , v gi tr tri phiu: T B(i + ) = c(t)e[i(0,t)+]t dt (7.6)
0

Th th, vi cu trc TSIR xut pht cho trc, gi tr bond l hm ca bin duy nht . Mc tng c th ny ca i(0, t) ch l mt trng hp c bit ca bin phn tng qut nh ngha bi cc hm dng (t) trong tnh ton bin phn.3 Ta c th phng on duration ca bond vi TSIR xut pht nh ngha qua (7.7): D(i) = 1 B(i)
0 T

tc(t)ei(0,t)t dt.

(7.7)

Ging lc trc, duration l bnh qun gia quyn ca thi gian ti thanh ton ca tri phiu, vi quyn s l cc dng tin quy v gi tr hin ti PV. Khc bit duy nht l dng tin chit khu qua mt cu trc TSIR khng phi hng s, do chng ta ang xt trng hp lin tc thi gian. Thy r: Nu cu trc i nhn mt bin phn , duration s nhn tr s mi l D(i) + nh sau: D(i + ) = 1 B(i + )
0 T

tc(t)e[i(0,t)+]t dt.

(7.8)

Tnh cht c bn ca duration: C th thy ngay o hm loga n-pe ca gi tr bond theo (vi mt du ) ng bng duration ca tri phiu. 1 dB(i + ) = d B(i + ) B(i + ) 1
0 T

tc(t)e[i(0,t)+]t dt.

(7.9)

Kt cc (7.9) va xong chnh l D(i + ). Nu li cho = 0, th thu c: T 1 1 dB(i) = tc(t)e[i(0,t)]t dt = D. (7.10) d B(i) B(i) 0
3

Trng hp c bit ta ang xt th (t) = 1.

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(*) Kt lun: Duration chnh l i du m ca tc tng tng i ca gi tr tri phiu theo mc dch chuyn song song ca cu trc li sut TSIR. y l tnh cht hu ch.4 Gi tr bond ti horizon H: Theo cch lc trc, xc nh tip gi tr TP ti horizon H immunize gi tr tng lai cng nh li sut ti H. Gi gi tr tng lai l FH (i) v TSIR l i, c: FH (i) = B(i)ei(0,H)H . Tng qut hn, vi bin phn th: FH (i + ) = B(i + )e[i(0,H)+]H . (7.12) (7.11)

Hnh di y m t thay i ca bin phn v gi tr ti horizon H:

iu kin bc nht cho immunization: Tm cc tiu FH (i + ) tng ng vi cc tiu ha ln FH (i + ): ln FH (i + ) = ln B(i + ) + i(0, H)H + H. Vit iu kin bc nht: d ln FH (i + ) d
4 1 B dB dt

(7.13)

=
=0

d ln B(i + ) d

+ H = 0.
=0

(7.14)

Lu trong mi trng thi gian ri rc, duration c chia cho 1 + i, thu c gi l duration hiu chnh D/(1 + i).

Vng Qun Hong - T/L Tri Phiu

29

Ci ny t ra li l: H= 1 dB(i) = D(i). B(i) d (7.15)

Immunizing horizon H cn bng duration. iu kin bc hai cho immunization: y l iu kin hm iu kin bc nht convex theo tn ti cc tiu, dng sau: [ ] d2 ln FH (i + ) 1 dB(i + ) d d [D(i + )]. (7.16) = = d2 d B(i + ) d d Khai trin tip theo. dD(i + ) d = d d = {
0 T

} tc(t)e
[i(0,t)+]t

t2 c(t)e[i(0,t)+]t dt B(i + ) [B(i + )]2 0 T tc(t)e[i(0,t)+]t dt B (i + ) 0 { T 2 [i(0,t)+]t dt 0 t c(t)e = B(i + ) } T tc(t)e[i(0,t)+] B (i + ) + 0 B(i + ) B(i + ) Ta nhn thy phn t th 2 trong ngoc di cng D2 (i + ). n gin ha k hiu ta vit li: T c(t)e[i(0,t)+]t w(t) w(t)dt = 1, vi B(i + ) 0 v D(i + ) = D(), thu c: { T } dD 2 2 = t w(t)dt D d 0 T w(t)[t D]2 dt. =
0

B(i + ) { 1

dt

(7.17)

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(Khng khai trin chi tit, nhng th tch phn vo ri nhm i s c kt qu gn cui cng ny.) Biu thc cui cng ny chnh l chuyn du m ca phng sai ca cc k hn (thi gian ti khi thanh ton) ca tri phiu. K hiu S(i, ), ta vit li: d2 ln FH d = [D] = S(i, ) > 0. 2 d d Nh vy, ln FH c tnh li, suy ra ln FH i qua im cc tiu ton cc ti = 0; y l TSIR xut pht. Tri phiu hay danh mc TP v th c min nhim sc trong mt khong thi gian ngn, cho d cu trc TSIR b dch chuyn song song mc no ngay sau khi mua tri phiu. Kh khn immunization ca danh mc bond khi TSIR i mt vi bin phn bt k: Khc vi trng hp cu trc TSIR nhn c sc song song, th vi bin phn bt k, ta t kh nng tin hnh min nhim sc cho danh mc u t TP. nh ngha sc: a) TSIR xut pht i(0, t); b) Bin phn ca cu trc: (0, t); c) Cu trc TSIR mi: i(0, t) + (0, t). Hnh di y m t k tng thnh phn va nu ca cu trc.

Vi mi cu trc thay i i(0, t) + (0, t), c mt gi tr TP tng

Vng Qun Hong - T/L Tri Phiu

31

ng cho bi: B[i(0, t) + (0, t)] =

0 T

c(t)e[i(0,t)+(0,t)]t dt.

(7.18)

Gi tr B l phim hm. Tuy vy, cc hm i(0, t) v (0, t) c th coi nh c nh. Kt qu l, B coi nh ch ph thuc vo . Vy l ta bin i phim hm thnh mt hm s mt bin s duy nht, k hiu hm B(). Ly o hm ca B(), thy ngay duration khng bng o hm loga ca B theo na (tt nhin, phi i du ). C th tnh: 1 dB B d 1 = B
0 T

t(0, t)c(t)ei(0,t)t dt.

(7.19)

=0

Gi TP ti horizon H sau khi xut hin sc vi cu trc TSIR c dng: FH = B()e[i(o,H+(0,H)]H (7.20)

ti thiu ha FH , ta li tm cc tr ln FH = ln B() + [i(0, H) + (0, H)]H, qua iu kin bc nht: d ln FH d ln B() = + (0, H)H. (7.21) d d Ta khng xc nh c H ti thiu ha ln FH vi /k bc nht nh trn, do khng bin dng ca bin phn (0, t).

Chng 8

LS tc thi v k hn lin tc
Li sut tch ly lin tc: Xt khong thi gian [u, v] c di v u v s phn chia bt k khong t/g ny thnh n khong con khng nht thit c di bng nhau: z1 , z2 , . . . , zn .

Xt khong z1 . Ti thi im u, gi s ta ng cho vay khon tin Cu , vi li sut nm i1 trong sut khong ny. Hp ng quy c tin li c tnh v thanh ton ti thi im kt thc; tc l u + z1 . Do li (1) thanh ton mt ln, ta k hiu li sut l i1 vi ch s trn ni ln tnh cht s ln tr li trong mt khong con thi gian z1 . S tin li thu (1) vo cui k (tc l thi im u + z1 ) bng Cu i1 z1 . Tng dng tin (1) thu v gm c gc l Cu (1 + i1 z1 ). Chuyn sang xt mt hp ng khc, quy nh li tr 2 ln trong (2) k z1 . K hiu li sut i1 . Dng tin c gc v li thu cui k l (2) Cu (1 + i1 z1 )2 . 2 Tng qut, cho m ln tr tin trong k, ta c: )m ( (m) z1 Cu+z1 = Cu 1 + i1 . (8.1) m 32

Vng Qun Hong - T/L Tri Phiu

33
i1
(m)

Xt trng hp m , ta la k tha mn ngha l m =

(m) ki1 z1 ).

z1 m

1 k

(cng c

Khi ny th vit li: ( ) (m) 1 ki1 z1 = Cu 1 + . k (8.2)

Cu+z1

Khi m th k . Do
k

lim Cu+z1 = Cu ei1

()

z1

(8.3)

y l mt quan h rt c ngha, trong i1 c gi l li sut tch ly lin tc trong sut giai on z1 . (1) () Trn nguyn l th trng, li sut i1 v i1 cn em v thu nhp tng ng nhau (nu khng th arbitrage s sinh ra v hot ng u c arbitrage s ko v im cn bng), th ta thy: ei1
()

()

z1

= 1 + i1 z1 ,

(1)

(8.4)

m khi ly loga n-pe s cho bit: i1

()

ln[1 + i1 z1 ] . z1

(1)

(8.5)

Xt trng hp c bit khi z1 = 1 (nm), th i() = ln(1 + i(1) ) (ta b bt ch s di 1 i cho gn).1 () Va ri, ta thy ti mc u + z1 , Cu tng ln Cu ei1 z1 . Nh vy, () () ti mc u + z1 + z2 , th Cu tr thnh Cu ei1 z1 ei2 z2 , tc l () () Cu ei1 z1 +i2 z2 . Tip tc logic ny ti im v, th ta thy: Cv = Cu e
Pn
() zj j=1 ij

.
()

(8.6)

n y, li sut vn l hm ri rc thi gian. Vy nu ij lin tc thi gian th sao? Lc ny, zj tin ti 0. ng thi, gii hn ca tng
Thc t, khai trin Taylor bc nht (tuyn tnh) ca ln x ti x = 1 l x 1; do (1) khai trin tng t cho ln(1 + i1 ) ti i(1) = 0 xp x i(1) .
1

34 n
() zj j=1 ij

c DHVP Research | Vietnamica.net

- nu tn ti - s l tch phn xc nh ca i qua khong j lim

n j=1

u, v.
n,max zj 0

ij

()

zj =

i(z)dz,
u

(8.7)

trong , i(z) l li sut tch ly lin tc l hm ca thi gian. T y suy ra gi tr Cv qua (8.8): Cv = Cu e
Rv
u

i(z)dz

(8.8)

Yield tch ly lin tc: Vn xt khon u t Cu bin i thnh Cv qua khong [u, v]. Ta coi yield (li sut u t) l hng s li sut tch ly lin tc R(u, v). nh ngha R(u, v) theo nhn thc trn, th r rng: Cu eR(u,v)(vu) = Cv , (8.9) nn suy ra rng: ln(Cv /Cu ) ln Cv ln Cu = . (8.10) (v u) (v u) v ng thi, do ta bit: R(u, v)(v u) = u i(z)dz, nn i n kt lun: v i(z)dz R(u, v) = u . (8.11) (v u) R(u, v) = Li sut forward i vi cho vay v i vay ng thi, v li sut tc thi: Gi s rng ti thi im u tn ti n forward markets, ng vi mi khong zj , v c th tt c cc hp ng ti thi im xut pht u. Vy li sut ta xt gn vi khong j v k hiu ij s thay th bng li sut forward. iu g xy ra khi s giai on tng ln n v thi hn mi khon cho vay nh dn xung 0. Ta nh ngha FR tch ly tc thi cho cc khon vay ngn hn (ngn v k) l f (u, z), trong u l thi im k hp ng, v z (z > u) l thi im ti khon cho vay c thc thi, cho mt khong thi gian nh vi phn. Ta c quan h quan trng: v f (u, z)dz R(u, v) = u . (8.12) vu

Vng Qun Hong - T/L Tri Phiu

35

T y, c th khai trin tip suy ra rng: f (u, v) = R(u, v) + (v u) dR(u, v) . dv (8.13)

Quan h gia FR, spot rates, v gi zero-coupon bond: Xt TP zero-coupon (khng ph sn) ti thi im t, o hn ti T c face value 1 -la. K hiu gi TP l B(t, T ). Gi s thi im hin ti l 0, vy khi t > 0 th B(t, T ) l bin ngu nhin, nhng c quan h xc lp vi future forward rate (FFR) k hiu l f (t, u). FFR ny p dng cho khon vay t thi im t tr i, cng nh vi future spot rate (FSR), p dng t t tr i, k hiu l R(t, T ). p dng nh ngha FR vit li: B(t, T )e nn suy ra rng: B(t, T ) = e
RT
t

f (t,u)du

= 1,

(8.14)

RT
t

f (t,u)du

(8.15)

Trong (8.15) gi tr ca TP l hm ca tt c cc gi tr f (t, u) m FR s nhn ti thi im t cho cc horizon t u = t cho ti u = T . Vi mi horizon u th gi tr hm f (t, u c th c xem nh mt qu trnh ngu nhin xut pht t mt gi tr bit (hm nay) f (0, u). Ta lu rng gi tr B(t, T ) l mt hm ca mt s lng ln khng xc nh cc kt cc ca cc bin ngu nhin (cc li sut FR f (t, u)), mi kt cc sinh ra t qu trnh ngu nhin xy ra gia 0 v t. Ngoi ra, c th xt gi tr tng lai ca TP theo FSR R(t, T ) nh sau: B(t, T )eR(t,T )(T t) = 1, nn suy ra: B(t, T ) = eR(t,T )(T t) .

Chng 9

Phn phi loga chun v CLT

PPXS: Mt bin ngu nhin (r.v.) zt ti mt thi im t l phn phi chun vi trung bnh 0 v phng sai 1 c vit l zt N (0, 1). Hm mt xc sut (pdf) ca r.v. zt , k hiu l f (zt ), c biu th: 1 2 f (zt ) = 1 e 2 zt . 2 Gi s mun bit XS zt ri vo ln cn mt gi tr z no , th XS ny c biu th trc ht qua chn mt khong > 0 v tch phn ca hm pdf: ) z + 1 ( 2 1 2 1 1 1 e 2 zt dzt . P z < zt < z + = 2 2 2 z 1 2 (9.1)

1 2 Nu nh, c th xp x XS theo cng thc trn bng (1/ 2)e 2 z . Khi nh vi phn, vit l dzt th o XS c k hiu l dP (zt ), hoc n gin dP : ( ) 1 1 dP (z ) = P z dzt < zt < z + dzt . (9.2) 2 2 Tng ca tt c cc XS nh th c tnh bng cng cc dP (z ) vi cc gi tr z ln b khc nhau, v vit thnh tch phn: dP (zt ) = 1. (9.3)

36

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37

Gi tr k vng ca r.v. zt c tnh bng: zt dP (zt ). E[zt ] =

(9.4)

Phng sai ca zt l: E[zt E[zt ]] =

2

[zt E[zt ]]2 dP (zt ).

(9.5)

Phn phi loga chun: Gi ti sn ti chnh tun theo lut phn phi xc sut loga chun (PPXS lognormal) l mt gi nh c p dng rng ri nht trong nghin cu v ng dng phn tch ti chnh. V th, phn ny tm lc cc vn l thuyt v tnh hp l ca lut lognormal. Xt mt nm, v n khong con ca mt nm, v d mt ngy, ch s di ca khong bt k l j k hiu thi im cui ca khong [j 1, j], vi j = 1, 2, . . . n. Gi s gi ti sn l Sj1 u k, v Sj cui k. Gi rj1,j l li sut tch ly lin tc qua mi ngy, vy rj1,j = ln(Sj Sj1 ). Nh th, gi Sn ca ti sn sau n khong con c th biu din qua: Sn = S0 Sj Sn S1 ... ... S0 Sj1 Sn1
Pn
j=1 rj1,j

= S0 er0,1 . . . erj1,j . . . ern1,n = S0 e

(9.6)

Vy Sn l hm m, m s m l tng ca n bin ngu nhin rj1,j . Gi s cc bin ngu nhin1 ny iid (independently and identically distributed) v c trung bnh m, phng sai s2 . Tip theo ta s vin dn nh l gii hn trung tm (CLT) v ni: tng cc r.v. ny, tc l n rj1,j , c PPXS chun (normal) vi trung bnh j=1 n m = nm v phng sai s2 = n s2 = ns2 , nu n ln. j=1 j=1 Gi trung bnh ca PPXS normal trn l v phng sai 2 , ri t n j=1 rj1,j r0,n , th ta vit li gi nh sau: S1 = S0 er0,1 ,
1

r0,1 N (, 2 ).

(9.7)

thng vit tt l r.v. t ch random variable.

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c DHVP Research | Vietnamica.net

Nu n v thi gian l nm (year) th i lng S1 /S0 chnh l r.v. c PPXS lognormal vi tham s c trng , 2 . Ci hay v mnh ca PPXS lognormal ni trn ch, khng quan trng r.v. rj1,j thc t c phn phi g, min l cc bin ny c lp v c phng sai hu hn.2 Mt cch khc i n tnh cht lognormal ca gi ti sn ti chnh l thng qua tnh cht ca qu trnh Wiener. Gi nh quan trng l li sut tch ly lin tc gia thi im 0 v t, tc l ln(St /S0 ), tun theo mt qu trnh Wiener. (*) Qu trnh Wiener Wt c W0 = 0, Wt N (0, t), vi t1 < t2 th Wt = Wt2 Wt1 N (0, t2 t1 ). Nh vy, t N (0, t). W Gi s: ln(St /S0 ) = t + Wt = t + t t , vi t N (0, 1); hay cng c th vit l ln(St /S0 ) N (t, 2 t). Qua khong t hu hn, li sut tch ly lin tc ln(St+t /St ) nh sau: ln( St+t St+t St ) = ln( ) ln( ) St S0 S0 = (t + t) + Wt+t t Wt = t + (Wt+t Wt ) = t + Wt = t + t t , t N (0, 1) Nh vy St+t /St l bin ngu nhin iid lognormal, c dng:
St+t = et+ t , St t

(9.8)

N (0, 1).

(9.9)

Xt trng hp t = 1 nm (year): S1 = e+ t , S0
t

N (0, 1).

(9.10)

Th th ln(S1 /S0 ) = + t N (, 2 ). Xt trng hp t = p nm (year):

Sp = ep+ p t , S0 t

N (0, 1),

(9.11)

do vy, ln(Sp /S0 ) N (p, 2 p).

2 2

, th ta c hm mt XS f (z) =

(*) V PPXS normal: Nu f (z) k hiu PPXS normal c trung bnh v phng sai 1 z 2 1 e 2 ( ) .
2

Vng Qun Hong - T/L Tri Phiu

39

i tm TSIR: n gin ha, ta coi hin ti l 0, v gi tr TP l B(0, T ) hoc gn na l B(T ). B(T ) cn gi l hm chit khu. Li sut tc thi (Spot rate) l YTM ca TP zero-coupon B(0, T ), vit l R(0, T ) v gn na l R(T ). Quan h ca YTM ny vi gi TP l: B(T )eR(T )T = 1, do , B(T ) = eR(T )T , v nh vy thu c: R(T ) = ln(B(T )) . T (9.13) (9.12)

By gi xt FR. Lc trc ta gi FR f (t, T ) l li sut vo hp ng ti thi im t, v khon cho vay c hiu lc t mc T (cho khong thi gian hiu lc nh vi phn). Xt hin ti 0, th FR gi c dng f (0, T ) v gn na l f (T ). Quan h vi B(T ) vit li thnh: B(T )e nn rt ra c:
RT
0

f (u)du

= 1,

(9.14)

B(T ) = e 0 f (u)du . (9.15) T T y thy: ln B(T ) = 0 f (u)du, v ly o hm bc nht theo T d thu c: dt ln B(T ) = f (T ). Tm li: f (T ) = d ln B(T ). dt (9.16)

RT

V quan h gia FR f (T ) v SR R(T ). Ta vit: eR(T )T = e v suy ra: R(T ) = (1/T ) T

0 RT
0

f (u)du

(9.17)

f (u)du. Ly o hm theo T thu c: dR . dt (9.18)

f (T ) = R(T ) + T

Tip theo l 2 m hnh dng econometrics: Nelson-Siegel v Svensson. Sau ta s xt mt vi m hnh spline.

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M hnh Nelson-Siegel: Xy dng FRC (forward rate curve) tng ng vi thit lp SRC. Phng php Nelson-Siegel xt FRC l hm Laguerre c dng (9.19): f (T ) = 0 + 1 eT /1 + 2 T /1 , Te 1 (9.19)

trong T l bin; cc v 1 l tham s cn c lng. T y, SRC c dng (9.20): T f (u)du R(T ) = 0 T (9.20) 1 = 0 + (1 + 2 ) (1 eT /1 ) 2 eT /1 T (*) Kho st cc gi tr gii hn khi T : Ta c limT R(T ) = 0 v limT f (T ) = 0 . Cn khi T 0, th limT 0 R(T ) = limT 0 f (T ) = 0 + 1 . M hnh Svensson: Phng php ny ni dng FRC linh hot thm, bng cch thm 3 , 2 tr thnh m hnh (9.21): f (T ) = 0 + 1 eT /1 + 2 T /1 3 T /2 + Te , Te 1 1 (9.21)

M hnh Waggoner: M hnh Waggoner c t tn l VRP (variable roughness penalty). Trn th trng, arbitrage l thc t ca s khng hon ho do tc nhn thu v chi ph giao dch. M hnh ny x l vn kh bao qut. Waggoner k hiu R(T ) l y(t), li sut chit khu B(T ) l (t) v gi nh coupon c tr ng hn ti cc thi im tj , vi j = 1, . . . , K. Gi tr l thuyt ca TP i k hiu l Pi , tnh qua (9.22):
K j=1

Pi =

cj (tj ) cj etj y(tj ) cj e

R tj
0

K j=1

(9.22)

K j=1

f (u)du

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Phng trnh nh gi l: Pi = Pi + i vi i = 1, . . . n (ta c mu cha n TP). (* Phn ny kh phc tp, cn b sung v gii thch t m.) M hnh Anderson-Sleath: y l m hnh mi, ra i cui th k XX s dng phng php spline. c lng hm maturity ti u (m): ln (m) = L (L S)em/ (9.23)

trong L, S, l cc tham s cn c lng. M hnh coi gi l hm trc tip ca FR, ri cc tiu ha biu thc sau: XS =
N [ Pi i (c) ] i=1

+
0

Di

t (m)[f (m)]2 dm,

(9.24)

trong : Di l duration hiu chnh ca TP i; c vc-t tham s ca spline cn c lng; v M k o hn ca tri phiu di hn nht. (* Phn ny kh phc tp, cn b sung v gii thch t m.)

Ph lc tra cu
li gi tr, 13 nhy, 7 iu kin bc hai, 8 iu kin bc nht, 8 bin ngu nhin rj1,j , 37 calculus of variations, 27 capital gain, 23 capital loss, 23 CLT, 37 danh mc u t - portfolio, 6 duration, 6, 8, 14, 29 Fisher-Weil, 27 hiu chnh, 7, 28 face value, 2 flat rate structure, 3 forward rate curve; FRC, 40 forward rate; FR, 34, 35, 39 future forward rate; FFR, 35 future spot rate; FSR, 35 horizon rate of return, 4 iid, 37, 38 immunization, 6, 25 horizon, 29 implicit forward capitalization rate; IFCR, 18 implicit forward rate; IFR, 19, 26 implicit instantaneous forward rates; IIFR, 25 k vng, 37 li sut forward, 17 n, 17, 18 li sut u t - yield, 34 min nhim sc - immunization, 30 pdf, 36 phng php econometrics, 39 Nelson-Siegel, 40 Svensson, 40 spline, 39 Anderson-Sleath, 41 Waggoner, 40 phng sai, 37 phng sai - S, 9 phim hm, 31 PPXS, 36 42

Vng Qun Hong - T/L Tri Phiu

43

lognormal, 37 N (p, 2 p), 38 N (, 2 ), 38 normal, 37 N (, 2 ), 37 phng sai, 37 trung bnh, 37 present value; PV, 6, 26, 27 qu trnh ngu nhin, 35 Wiener, 38 r.v., 37 risk premium, 23, 24 risk-averse, 22 risk-neutral, 21 spot rate curve; SRC, 15, 18, 40 tch phn, 34 tnh li - convexity, 10, 13 term structure of interest rates; TSIR, 3, 15, 24 TSIR, 15, 27, 30, 39 vi phn, 34 xp x ton phng, 12 xp x tuyn tnh, 12 yield, 34 yield curve; YC, 15 yield to maturity; YTM, 4, 7, 15, 25

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