N L THUYT PHN TCH U T CHNG KHON

1. Mt s ri ro khng th kim sot c l:

1) Ri ro li sut
2) Ri ro kinh doanh
3) Ri ro sc mua
4) Rui ro ti chnh
a. Ch 1&2
b. Ch 2&3
c. Ch 1&3
2. tn nhim ca cng ty X l AAA, cng ty Y l BBB
a. Mc b ri ro cng ty A> ca cng ty Y
b. Mc b ri ro ca cng ty X< ca cng ty Y
c. Khng xc nh
3. H s beta ( ) trong m hnh CAPM c th c gi tr nh nhau:
a. < 0
b. = 0
c. > 0

d. Ch c b&c
e. Tt c
4. Khi phn tch c phiu mt cng ty, nh phn tch k thut t cp n:
a. Khi lng giao dch ca cng ty
b. M hnh lp biu
c. Tin li bn khng (Hc thuyt bn khng)
d. T l vn/N
5. Mt s phn tch k thut thy mt chng khon c t mua vo khi:
a. Gi th trng bt u ln
b. Gi th trng bt u xung
c. Kt thc th trng gi ln
d. Kt thc th trng gi xung
6. M hnh u v 2 vai o ngc l du hiu:
a. Gi tng
b. Gi gim
c. Gi khng tng , khng gim
7. Hnh thi dang trung bnh ca l thuyt th trng hiu qu cho ta bit gi c ca c
phiu:
a. Phn nh tt c cc thng tin v gi chng khon trong qu kh.
b. Phn nh tin tc c th bit trn th trng c cng b ra cng chng
c.Phn nh thng tin chung v ring
8. Nhng tuyn b no l ng trong trng hp l thuyt th trng hiu qu tn ti:
a. Nhng s kin trong tng lai d on l hon ton chnh xc
b. Gi c chng khon phn nh hon ton nhng thng tin c th nhn dc
c. Gi c chng khon thay i vi nhng l do khng r rng
d. Gi c chng khon khng dao ng
9. Nu 2 c phiu c h s tng quan v mc sinh li ln hn khng th khng th a
vo vi nhau trong DMT gim ri ro ca danh mc u t
a. ng
1

b.Sai
c. Khng xc nh
10. M hnh tng trng bt bin c tc c th ng dng c nu mc tng trng c
tc = 0
a. ng
b. Sai
c. Tu thuc tnh hung
11. Ch tiu o ri ro ca nh u t chng khon l :
a. H s

b.H s tng quan (p)[ l bthuyt : p= correl= ( Ra , Rb )/( a . b )]

2
c. Phng sai ( )
d. a&b
e. a&c
12.Gi tr li ca tri phiu 200
a. Ch > 0
b. Ch < 0
c. Tu thuc tng trng hp
13. Ngn hng bn d kin cng b li tit kim tr sau l 11%/nm. Nu p dng hnh
thc tr li trc th 11%/nm tng ng vi li l bao nhiu?
a. 10,11%
b. 10%
c. 9,5%
d. Cc phng n trn u sai
14. ng biu th gi ct ng trung bnh ng bt k MA15(15 ngy) v trung bnh
ng nhiu k MA50(50 ngy) t trn xung, khuyn nh u t nn:
a. Mua chng khon.

B. PHN BI TP
Cu 11. Sau 20 nm na bn v hu, ngoi tin lng hu bn mun c thm mt thng
2.000.000 ng t tin gi tit kim tiu xi. Hin bn cha c ng no d tr. Trong
20 nm ti nn kinh t trong thi k pht trin nn li sut tin gi ch c 0.5%/thng.
Nu bn mun t mc tiu trn th bn phi b mt khon tin tit kim bao nhiu mt
nm?

sau 20 nm va nhn c 2triu ng mt thng t tin gi tit kim th sau 20 nm

na s tin gi l:
FV
2
PV = FVA(n ,0,005) =
=
= 400tr
r
0,05%
Gi s gi s tin hng nm phi gi vo l C th ta ch c sau 20 nm ta li thu c s
tin l 400tr th ta li c:
2

400 = C.FVA(20.9%) = C

[(1 + 0,09) ] 1
20

0,09

400
= 7,92tr
51,160
Cu 12: Ngn hng ca bn c tng ti sn l 200 t ng trong ******** l 170 t
ng. Li sut ca ngn hng nm nay c th l 15 t ng. T l c tc d kin ch l
3 t ng. Bn hy d bo mc tng trng ca c tc trong tng lai bng cng thc
trn:
VA = 200 t VL = 100 t D = 3 r = 15 g = REC xk
ROE = thu nhp rng/vn c ng = 15/(200-170)=50%=0.5
b = 1-O/E = 1 3/15 = 0.8
g = ROE x b = 0,5 x 0,8 = 0,4 40%
Cu 13: Gi s n v bn ang s hu 1 lng tri phiu chnh ph k hiu CP4A3403
pht hnh ngy 24/9/2003, do cn vn gim c ca bn ang c nh bn chng vi
ngy bn lm bi kim tra bit rng:
F=100ngn ng
C= 9,7%
M=15 nm, li sut yu cu m G t ra l 40%.Bn hy vit 3 cng thc nh gi
TP trn(*************)
T F/6/06 n 24/9/06 c : 8/6-30/6;23ngy (30-8+1=23)
1/7-31/7:31 ngy
1/8-31/8:31ngy
1/9-24/9:24ngy(24-1+1=24)
= 109 / 365 ngy
9 .7
9 .7
9 .7
9 .7
100
+ 109 / 365
+ 109 / 36512 ... + 109 / 365+12 + 109,365
109 / 365
1 .1
+ 1 1 .1
1 .1
1 .1
C1: 1.1
C2:Tnh v:P-1=P0+P-1.1,1.
9.7 9.7
9.7 100
P1 =
+ 2 + .... 13 + 13
1 .1 1 .1
1 .1
1 .1
P +1
109 / 365
C3: Tnh v P+1=P0= 1.1
Phn l thuyt(chn phng n ng nht)
Cu1: Trong m hnh CAPM khng th c gi tr m
C =

a. ng
b. Sai
Cu2: Quan st gi c tc trong mt s phin gia dch lin tc gn y chng ta thy gi
c hnh thnh nh sau:(ngn ng)
58:59:60:58:56:57:59:56,5:55,5:57:98,5:58. y l tnh hiu :
a: xu hng gi xung
b:xu hng gi ln
c:xu hng lc ln, lc xung
d: khng th hin xu hng g
Cu3: Ngn hng bn cng b li sut gi tit kim thng l 0,8%, li sut ny tng
ng vi li sut kp nm l:
a. 0.9%
b. 9.6%
3

c. 10%
d. Hn 10%
Cu4: ng th trng chng khon (SML) ging ng th trng vn(CML) ch:
a. u c gi tr ln hn khng.
b. u biu th mi quan h ri ro v li sut u t.
c. u ly cc bin s c lp l cc ch tiu o ri ro
d. a,b v c
e. b v c
f. Khng c phng n no ng.
Cu 5: Nu 2 c phiu c h s quan ln hn 0 th khng th kt hp vi nhau thnh mt
cp tham gia vo danh mc u t gim ri ro ca danh mc :
a. ng
b. Sai
Cu 6: i vi ngi qun l u t tri phiu ch ng v d on li sut s gim
mnh. Ngi u t s thc hin u t theo chin thut sau tng kh nng sinh li:
a. Mua tri phiu di hn, bn tri phiu ngn hn
b. Mua tri phiu ngn hn bn tri phiu di hn
c. Khng mua bn g c v th trng ang php ph cha n nh
Cu 7: Ch tiu ri ro ca u t chng khon l:
a. H s beta
b. H s tng quan (p)
c. lch chun ( )
2
d. Phung sai
e. a v c
f. a,c v d
Cu 8: Ngn hng bn ang xem xt u t vo mt c phiu c li tc mong i l
15%. Li sut tnh phiu kho bc l 8%. Li sut u t bnh qun ca th trng c phiu
l 13%, c phiu ang xem xt c h65 s ri ro l 2. Bn khuyn lnh d0ao nn:
a. u t
b. Khng u t
c. Khng xc nh c v khng c li khuyn
Cu 9: Ri ro trong u t chng khon l:
a. S mt tin trong u t chng khon
b. S khng may mn trong u t chng khon
c. S khng n nh trong thu nhp khi u t vo chng khon
d. a v b
e. Khng c phng n no trn ng.
Cu 10: Bn ang xem xt u t vo mt c phiu cho li sut mong i l 30% v mc
ri ro l 9%. Mc li sut mong mun khi u t vo c phiu ny l li sut kho bc
8%. Bn l ngi c mc ngi ri ro l 2. Bn c u t vo c phiu trn khng:
a. C
b. Khng
Cu 14: Khi vo trang web http://www.investinginbonds.com/cales/tipscalculator v
thay cc thng s ca TP quc t do VN va pht hnh, th nhn c cc thng tin sau:
( Gi TP ny l 98.228$).
- YTM: 7.13 ( Li sut o hn bnh qun )
- Duration: 7.525 ( thi gian o hn bnh qun)
- Convexity: 64.953 ( li)

a. Hy tnh thi gian o hn bnh qun iu chnh ca tri phiu ny

b. Nu li sut thng tng 1% th gi TP tng bao nhiu
Bi ton:
D
7,525
ModifiedDu ration : MD =
=
= 7,024
1 + r 1 + 0,0713
a)
f o hn bnh qun iu chnh l 7.024 nm
$ D = MDx gi = 7.024 x 98.228 = 689,95$
Cu 15: Gi s ch s Vn-index hin ti l 540 im, d on tr gi ch s ny vo
cui nm nay bng phng php iu tra mt s chuyn gia phn tch CK chng ta c d
liu nh sau:
Vn-index 1 nm sau S ngi d on
Pt
Mc chnh lch Vnindex
500
20=0,2%
20%
-40
550
20=0,2%
20%
10
600
30=0,3%
30%
60
650
20=0,2%
20%
110
700
10=0,1%
10%
160
a. Hy d bo mc sinh li k vng khi u t vo VN-index?
b. Hy d bo mc ri ro khi u t vo Vn-index?
Bi gii:
a. Mc sinh li k vng khi u t vo VN-index l:
= 500 x 20% + 550 x 20% + 600 x 30% +650 x 206 + 700 x 10% = 590
b. D bo mc ri ro khi u t vo VN-index
2 = .Pi( R Ri ) 2
= 3.900 = 62.45
Cu 16. Gi s Vietcombank sau khi c phn ho vo u nm 2006 v tr c tc
20% nm cui nm ny v c mc tng trng c tc trong 4 nm tip theo l 20%
nm, nhng nm sau tc tng trng c tc n nh mc l 8%. Li sut yu cu
ca bn i vi c phiu ny l 15%. Hy tnh gi c phn Vietcombank vo lc c
phn ho u nm ti vi cc thng tin d on trn..
- Gi s CP Vietcombank c xc nh
n
DIV t
M
P0 =
+
t
(1 + r ) t
t =1 (1 + r )
10 x 20% 10 x 20%(1 + 20%) 10 x 20%(1 + 206) 3 10 x 20%(1 + 20b) 3 10 x 20% x (1,2) 4 10 x 20% x1,2 4 (1 + 0.08)

+
+
+
+
+
+ ... +

2
3
4
5
6
1,15
1,15
1,154
1,15
1,15
1,15

10 x 20%(1 + 20%) 4 x(1 + 0,08) n

1,15

1
4,187
x
= 41,290
4
= 7,42%+ 1,15 15% 8%
Cu 17. Gi CP 41.290 () cng ty A c h s bta = 3. Li sut tn phiu kho bc l 7%
mc b ri ro th trng chng khon hin ti l 8%. Li sut u t P cng ty ny gn
y l 30%. Dng cng thc m hnh nh gi ti n nh xem xt th trng c nh
gi CP ny cao hn gi tr hay khng? Gii thch?
M hnh: CPMA
5

R = Rr + B ( R M Rr )
= 7%+3+8%=0,31=31%>30%
Gi c phiu ny c nh gi thp hn gi tr Khng
Cu 18: Gi s NH ca bn c VTC l 500 t v vn vay l 190, vn vay c thi gian
o hn bnh qun l 6 thng. Gi s G NH ny kinh doanh mo him v dng tt c
vn trn cho vay u t cc danh mc u t di hn c thi gian o hn bnh qun
D=15 nm. Li sut hin ti l 8%. Hy xc nh im v ca ngn hng ny.
DA=200t (1900) PA = 15 nm
r = 8%
DL=150t (950) PL = 6 thng = 0.5
1
6
x x150 = 69,44
Ta c: $DL 1 + 0,08 12
t
Dp = D/(1+r)x ng x P= vn vay
1
xDLxPL
DA= 1 + r
1
x15(150 + 5) = 27777,78
$DA= 1 + 0,08
t
1. Li sut tng 1% ti sn n gim 69,44
2. Li sut tng 1% th ti sn c gim 2,7777,78
Khi li sut tng r TS n gim 69,44
Gi tr ti sn n = 150-69,44
Khi li sut tng r TS n gim 2.777,7
Gi tr c = 200-2777,7 r
Khi ti sn c = 0 th:
150-69,44 r =200-2777,7 r
2.708,34 r = 50 r = 1,85
-Khi li sut t 8+1,85=9,85% th ngn hng mt kh nng thanh ton .
im v n ca ngn hng l 9,85%
Cng thc s dng bi tp trn:
Dp=D/(1+y)xdyxD vn vay
1
xDL xPL
DL= 1 + y
1
xDA xPA
1
+
y
DA=
Cu 19: Qu u t VFI c k hoch u t vo danh mc vi c cu nh sau
a) Chng khon nim yt 20%
b) Chng khon cha nim yt 30%
c) Tri phiu Chnh ph 40%
d) u t khc 10% (bt ng sn)
Gi s ta c thng tin v ri ro nh sau:Ri ro ca chng khon nim yt (a l
8%), ri ro ca b l 12%, ri ro ca d l 15%, tri phiu Chnh ph coi l phi ri
ro v cc thng s v tnh sai nh sau:
Cov(a,b)=96, Cov(a,c)=0, Cov(a,d)= -110, Cov(c,b)= 0, Cov(b,d)= -140,
Cov(c,d)=0
Hy d bo ri ro ca VFI theo danh mc u t vi thng s cho trn y.
6

p2 = Wi . 22 + WiW y
i =l

i =l

X *******

2
0,2 = (0,2) (8%) Cov( 2 )
2
1

0,3 2

0,4

= (0,3) 2 .(12) 2 Cov(ri , r 3) = **********

32 = (0,4) 2 (15%) 2 Cov(r1 , r4 ) = Cov( r4 , r1 0) = 110

0,1 4 = (0,1) (10%) Cov( r2 ; r4 )

=13,77+(-0,64)=17,13
2

Op =

= Cov(r4 ; r2 0) = 140

17,13 = 4,14%

Ta c s liu v 2 c phiu theo bng sau:

Nm
2002
2003
2004
2005

Li sut u t vo CPA
-5%
10%
-4%
7%

Li sut u t vo CPB
4%
-2%
8%
-9%

Bn hy
a)Xc nh thu nhp k vng u t vo A&B
b)Ri ro u t vo A & B
c)Tch sai ca A & B
d)H s tng quang gia A & B
Gii thch cc kt qu tnh c
R A = 5% + 10% + (4%) + 7% = 8 = 2
RA =
n
4
4
a)
RB = 1 = 0,25
RB =
n
4
b)

(R
=

RA )2

(5 2) 2 + (10 2) 2 + (4 2) 2 + (7 2) 2 204
=
= 68% 6 A = 8,24
n 1
3
3
( RiB R B ) 2 (4 0,25) 2 + (2 0,25) 2 + (8 0,25)( 9 0,25)

2
B =
=
n =1
3
= 3,752 + 2,252 + 7,752 + 9,252 = 54,92
RA

iA

B = B2 = 7,4

Cov( A, B) = ( RiA R A )( RiB R B )

3
c)
= (-5-2)(4-0,25)+(10-2)x(-2-0,25)+(-4-2)(8-0,25)+(7-2)
7 x3,75 8 x 2,25 6 x 7,75 + 5v(9,25) 137
=
= 45,1
3
3
7

Cov( R A , R B ) 45,67
= 0,748
A 6B
P(A,B)=
= 7,4 x8,25
Ta c d liu: r = 16%, D0 = 3.000, P0 = 55.000. Tnh g
D (1 + g )
P0 = 0
rg
Xut pht t cng thc m hnh Gordon:
g=

rP0 D0
D0 + P0

0,16 x55 3
= 0,1
3 + 55
hay g = 10%
Bi 2: T l tng trng c tc ca mt cng ty 10% v duy tr trong tng lai.
T l chit khut dng thu nhp l 15%. P/E l 5,5%. D bo kh nng tr c tc:
Ta c cc d liu: P/E = 5,5 g = 105 = 0.1 r = 15%. Tnh D/E = 1-b( thu nhp
li).
Khi cng ty c g tng trng u, p dng m hnh Gorden:
g=

(1 b)(1 + g )
rg
P / Ex(r g )
(1 b) =
1+ g
5.5(0.15 0.1)
1 b =
1 + 0 .1
=0.25 hay kh nng tr c tc ca cng ty l 25%.
Bi 3: Mt cng ty c t l n so vi tng ti sn l 0.4, tng n l 200 tr, li rng
sau thu l 30tr. Tnh ROE.
Ta c cc d liu: Tng n/TTS = 0.4, tng n = 200tr, LN rng = 30
Cng thc tnh:
LNrong
LNrong
30
ROE =
=
=
= 0.1
VCSH
TS N 500 30
hay 10%
Bi 4: Mt ngn hng c tng TS l 200 t ng trong vn vay l 150 t, li
thun 15 t. T l c tc d kin l 3 t. Hy d bo tng trng c tc trong
tng lai.
g = ROE x b
b l t l thu nhp li
Cng thc tnh:
LNrong
LNrong
15
LOE =
=
=
= 0 .3
VCSH
TS N 200 150
P/E =

15 3
= 0 .8
15
g = 0.3x0.8 = 0.24 hay 24%
Bi 5: T l tng trng c tch ca 1 cng ty g = 11.25, h s hon vn CSH
ROE = 15%. D bo kh nng tr c tc:
Kh nng tr c tc = 1-b
T cng thc g = ROE x b b = g / ROE = 11.25 / 15 = 0.75
b=

1 b = 0.25 hay 25%.

Bi 6: Cng ty A d on chia c tc 3 USD trong vng 4 nm ti ,sau tc

tng trng c tc l 7,5% hng nm. G/s l/s chit khu l 12%. Hy nh gi CP
ny.
Tnh theo phng php chit khu lung c tc kt hp m hnh Gordon.
DiV1 (1 + g ) DiV 0
P0 =

g
rg
M hnh Gordon:
P0 = Pv(Dt)+PV(Pn)
1
iC
nM
D = x
+

i
P (1 + r ) (1 + r ) n
tnh c D, cn phi tnh P ti thi im hin ti
100
PA = 3 = 75,131
1 .1
6 106
PB =
+
= 93,057
1.1 1.12
1x6
1
2 x6
2 x100
x
+
+
= 1.94
i
2
93,057 (1 + 0.1) (1 + 001)
(1 + 0.1) 2
B2: Gii h pt:
Thay s vo ta c:
WA+ WB = 1
3 WA + 1.94 WB = 2.5
WA = 0.53 WB=0.47
GT u t vo A l:0.53 x 10tr = 5.3trSL = 5.3/75.131 = 754
GT u t vo B l: 0.47 x 10tr = 4.7trSL = 4.7/93.057 = 505
Bi 5: (im v ngn hng): Mt ngn hng c tng vn l 200 t ng, trong 30
t ng vn t c. Vn i vay c thi hn o hn bnh qun l 6 thng. G NH l ngi
kinh doanh mo him nn ly ton b s vn vay mua t hp TP c thi hn o hn
bnh quan l 15 nm. L/s chit xut ca th trng l 7%. Hy xc nh im v ca
Ngn hng.
Bi gii: y l bi ton xc nh L/s thay i bao nhiu th NH mt k/n thanh
ton ,c ngha khi c vn t c ca Ngn hng =0(hay TS n = Tng ti sn)
Ta c cc d liu sau :
PA= vn T danh mc (vn t c +vn vay)= 200 t.
PL: vn vay =170 t , r = 7%; DL: thi hn vay = 6 thng = 0,5 nm
DA: thi hn u t =15 nm
p dng cng thc :
D
0 .5
D = MDxPL = L xPL =
x170 = 79.439
1+ r
1 + 0 .7
$
t
Khi li sut thay i 1% th:
Ti sn n thay i:
DA
15
=
xPA =
x 200 = 2803.7
1 + 0 .7
$ DA= MDAxPAX 1 + r
t.
Khi li sut thay i r :
Ti sn n: 170-79,439 r
Tng ti sn: 200 79.439 r
DB =

NH mt kh nng thanh ton khi GTTS n = GTTS

170-79.439 r r = 1.1%
Nh vy khi li sut tng 1.1% hay l/s n 7% + 1.1%= 8.1% th NH mt kh nng thanh
ton.
Cu 36: u t 1 c phiu c li sut mong i = 16%, li sut tri phiu kho bc l 7%,
h s ri ro c phiu l 4%. Bn c th u t vo c phiu ny v:
Mc b ri ro: E(Rp) = RmFr
E(ri) = Rf (Rm-Rf) = 0.07-2(0.04) = 15%<16%
C th u t vo c phiu ny.
Cu40:Gi c phiu hin ti l 37.000 , d on gi c phiu trong 1 nm na ,bng
iu tra ta c cc s liu sau:
Gi
S ngi d on
Pi (xc sut)
PiRi
50
30
0,3
0,3( (50-37)/37)
40
30
0,3
30
20
0,2
32
20
0,2
- Mc sinh li k vng
- E (R )=PiRi=0,3 (50-37/37)+0,3( (40-37/37))
+0,2(30(30-37/37)(32-37/37)=6,49%
Mc ri ro u t (phng sai)
=Pi(Ri:iEr)2=0,3((50-37/37)-6,49%)2=0,3((50-37/37)
-6,49%)2+0,2((50-37/37)-6,49%)2+0,2((50-37/37)-6,49%)2
So snh t s phng ai trn E(R )- nu >1 l mc ri ro cao.
Cu 15:Trn th trng c 2 loi chng khon vi thng s nh sau:
Xc xut
60%
40%
Li sut CK A
20%
4%
Li sut CK B
2%
4%
Bn hy xc nh li sut k vng v ri ro u t vo CK trn theo cc phng
n u t nh sau :
a.100%vo CK A
b.100% vo CK B
c.50% vo Av 50%vo B
Bn c nhn xt g khng v kt qu tnh c?
Li gii
= K P = 13.6%
a: EA A
A = ( RB E B ) 2 P = 7,83%
b:
c:

R P = 10.6%
EB = B
B = ( RB E B ) 2 P
=10,77%
EAB = EAWA+EBWB=0,122=12,2%
AB = ( R A E A )( R B E B ) P = 0,8448

Cu 44: Cng ty A,B c xc sut mc sinh li cc nm ti nh sau:

Tnh trng kinh t
Xc xut Wi
Kh nng sinh
li ca A% EA
Tng trng mc
0.2
-12
1
10

Kh nng sinh
li ca B% EB
8

Tng trng mc
0.4
18
2
Tng trng mc
0.4
24
3
a)
Mc sinh li mong i ca A v B
E(Ra) = PiRi = 0,2 (-12) + 0,4 (18) + 0,4 (24)=144
E(RB) = PiRi = 0,2(8) + (0,4)(-2)+0,4(-10)=-3,2
b)
nh gi ri ro u t cho mi CP

-2
-10

PHN BI TP.
Cu 13: Gi s bn mua c phiu BT6 vo ngy 26/7/2006 vi gi 42,8 ngn
ng v sau n ngy 31/7 l ngy giao dch khng hng quyn mua trong
t pht hnh mi vi t l 5:1 (5 c phiu c mua mt c phiu vi gi 33,6
ngn ng). Gi c phiu ngy vo phin trc 13/7 l 45 ngn ng. Gi CP ny
vo ngy 4/10 l 55 ngn ng. Bn hy tnh t sut sinh li ca bn trong thi
gian trn(26/74/10) khi u t vo BT6. Bit rng s liu trn l s liu thc v
trong thi gian BT6 c tr c tc 800 cho mt c phiu.
Li gii:
P0 = 42,8ng
P1 = 55 ng
DIV = 800
Quyn mua c phiu = 45-33,6ng = 11,4ng
T sut sinh li = (Div + (P1-P0) + quyn mua CP)/P0=2.4400/45.800=57%
Cu 14: Gi s ngn hng ca bn c VTC l 500t v vn vay l 190, vn vay c
thi gian o hn bnh qun l 6 thng. Gi s G NH ny kinh doanh mo him
v dng tt c vn trn cho vay u t cc danh mc u t di hn c thi
gian o hn bnh qun D= 15 nm. Li sut hin ti l 8%. Hy xc nh im
v ca ngn hng ny.
Cu19: Khi vo trang web http://www.investinginbonds.com/cales/tipscaculator
v thay thng s ca TP quc t do VN va pht hnh, th nhn c cc thng
tin sau: (Gi TP ny l 98,228$)
YTM: 7,13 (li sut o hn bnh qun)
Duration: 7,525 (thi gian o hn bnh qun)
Convexity: 64,953( li)
1. Hy tnh thi gian o hn bnh qun iu chnh ca TP ny
2. Nu li sut thng tng 1% th gi TP ny gim bao nhiu $?
Li gii:
P = 98,228
dy = 1%
YTM = 7,13%
MD = 7,525
li = 64,953
1.
MoD = MD/(1+YTM)
2.
% thay i gi = -MoD x dy + li x (dy)2
Hoc D = MoD * gi (PO) = X
Nu li sut th trng tng 1% th gi TP gim X
I.
GI TR TNG LAI, HIN TI
Cu 1: Ngn hng d kin cng b li sut gi tit kim tr sau l 11% nm.
Nu p dng hnh thc tr li trc th 11% trn tng ng vi mc li sut
tr trc l:
11

Li sut tr trc bao gi cng nh hn li sut tr sau:

Li sut tr trc = li sut tr sau/ 1+li sut tr sau = 11/1/11 = 9.9
Cu 2: NH cng b li sut gi tit kim 1 nm l 8,4% li sut ny tng
ng vi li sut kp 3 nm l:
CT li gp = (1+r)n-1 = (1+0.084)3-1=27.4%
Cu 32: NH cng bli sut TK thng l 1%, li sut ny tng ng vi li
sut kp nm l:
a.
(1+r)n*12-1 = (1+0,01)12-1=12,68%
Cu 34: Gi TK 8000$ trong 15 nm, li sut 15% sau ta c:
FVn = FV ( 1+r)n = 8000 (1+0,15)15 = 65096
Cu 16: Sau 25 nm na bn v hu, ngoi tin lng ra bn mun c thm
mt nm 120tr t tin gi TK tiu xi v du lch nm chu. Hin ban cha
c ng no d tr. Trong 25 nm ti nn kinh t thi k pht trin nhanh
nn li sut tin gi t mc 10% nm v k t khi bn v hu li sut tin
gi ny ch t 8% nm. Nu bn mun t mc tiu trn th t nay hng nm
bn phi b ra mt khon tin TK bao nhiu:
Li gii: FVA ( n,r ) = C(1+r)n-1/r
120tr/10% = C(1+8%)25 14/8% C = 16.414.535
c c khon tin trn th mi nm phi gi NH l 16.414.535
II.
MC SINH LI V RI RO TRONG U T CHNG KHON.
Cu 19: Ngn hng bn ang xem xt u t vo 1 CP X, li sut mong i l
11%, li sut tnh phiu kho bc 8%, li sut u t bnh qun ca th trng
c phiu l 12%, CP ang xem xt c h s ri ro beta=1/2 ca bnh qun th
trng,
Cu 41: Cng tri gio dc c mnh gi l 500.000, thi gian o hn l 5
nm, li sut gp = 40% nm, cn 2 nm o hn ang bn gi 600.000, li
sut di hn 2 nm ang l 8%, trn quan im gi tr tri phiu v gi tit
kim nhu nhau, c mua c tri phiu trn khng v sao?
Po = 500.000, n = 5 nm, r = 40%/5 nm, li sut bnh qun 1 nm
R = 5 1 + 0.41 = 7% = C
P = C/(1+r) + C/(1+r)2 = (500.000 x 7%)/ (1+0.08) + (500.000 x 7%)/
(1+0.08)2 + (500.000)/ (1+0.08)2= 491.083
Khng nn u t v 491.083<600.000.
Cu : Khch hng mun u t tri phiu A
Thi gian o hn 4 nm, F = 100 ngn
Tri phiu zero coupon
Li sut yu cu ca khch hng 9%
aa) Gi tri phiu zerocoupon
PV = F/(1+r)n = 100/1.094 = 70,84
c)
Thi gian o hn bnh qun iu chnh D = 4( V y l TP khng
li nh k th D chnh bng thi gian o hn.)
d)
Thi gian o hn bnh qun iu chnh MD
MD = -D/1 + y = -4/1.09 = -3.87
e)
li (C)
Kinh doanh = n(n+1)/(1+y)2 = 4*5/1.042 = 16.83
f)
Gi tri phiu thay i % theo D,C nu li sut ca khch hng tng
1%dP/P = Mddy + 1/2Kdy2 = -3.57*0.01+1/2*16.83*0.01= 0.03
Nu li sut tng 1% th gi TP thay i 3.59% theo C v MD.
12

Cu 18: Gi s bn ang s hu 1 lng tri phiu, k hiu CP4AS40 pht

hnh ngy 18/1/2002, do cn vn G ca bn ang c nh bn chng vo
ngy bn ang lm kim tra (30/5/2007). Bit rng F = 100 ngn ng, C =
7,4%; M = 10 nm; Li sut yu cu m gim c t ra l 8,4% (Li sut di
hn chit khu). Bn hy vit 3 cng thc nh gi TP trn.
Li gii:

18/1/2002 18/1/2006
18/1/2007 18/1/2008 18/1/2009 18/7/2010
T1 = 12ng; T2 = 28ng; T3 = 30ng; T4 = 31ng; T5 = 30ngTS = 131ngy
S ngy t 30/5 n 18/1 cn 365 ; 131 = 243 ngy; t 243/365 l
C1/ P0 =
7.4 /(1 + 0.084) + 7.4 /(1 + 0.084) +1 + 7.4 /(1 + 0.84) + 2 + 7.4 /(1 + 0.84) + 3 + (7.4 + 100) /(1 + 0.084) + +4
C2/ = P(-1) =
7.4 /(1 + 0.084) 1 + 7.4 /(1 + 0.084) 21 + 7.4 /(1 + 0.84) 3 + 7.4 /(1 + 0.84) 4 + (7.4 + 100) /(1 + 0.084) 5

nh gi c phiu bi tp thy ging trn lp

Bi tp 1(p dng m hnh goden)
Mt cng ty X c m ROE = 12,5% ( Thu nhp trn vn ch s hu ROE).
Cty chia c tc hng nm 40% (D/E = )
Cu 45: Bn ang s hu danh mc u t gm 4 c phiu v T s
Loi c phiu
Gi th trng ()
Pi
Mc sinh li
B
A
C
D
A.

10.000.000
0,1
10%
20.000.000
0,2
14%
30.000.000
0,3
16%
40.000.000
0,4
15%
Mc sinh li tng th ca bn
E(r) =PiRi =0,1 x 10 + 0,2 x 14 + 0,3 x 16 + 0,4 x 15 + 14,6%
Cu 3: Cng ty ca bn ang xem xt u t vo mt loi c phiu c li sut
mong i l 25%. Li sut ca tnh phiu kho bc l 8%, mc b ri ro khi u t
vo th trng c phiu l 9%, c phiu ang xem xt c h s ri ro ri =2. Bn
khuyn lnh o nu :
a.
u t
b.
Khng u t
E (R)= FR+ (Rm- Rf) =0,08+0,15 (0,12- 0,08) =10%
Cu 4: Mt danh mc c li sut c tnh l 20%, lch chun 20%. Tn phiu
kho bc li sut l 7%. Nh u t c h s ngi ri ro A=6
E = 20%, = 20%, Rf =7%, A = 6
p dng CT tnh mc chp nhn phng n u t
U = E(p) 0,5* A * 2 =8% > Rf = 7% chp nhn u t .
Cu 11: Gi s ch s VN-Index hin ti l 540 im , d on c ch s ny
vo cui nm nay ,bng phng php iu tra mt s chuyn gia phn tch chng
khon, chng ta c t liu nh sau :
VN-Index sau 1 nm
13

S ngi d on

a.
b.

500
20
550
20
600
30
650
20
700
10
Hy d bo mc sinh li k vng khi u t vo VN-Index
Hy d bo mc ri ro khi u t vo VN-Index
Li gii : Pi = s ngi tn TS ngi =20 trn 100% = 0,2

% tng gim VN-Index

-0.074
0.0285
0.1111
0.2037
0.2963
RP
E(R) =
= 0.0926 = 9.26%
2
= =

( R Er )

T trng (Pi)
0.2
0.2
0.3
0.2
0.1

= 0.1156 = 11.56%
nh gi tri phiu bi tp thy ging trn lp
Cu 39: Tri phiu chnh ph pht hnh ngy 15/7/2002, ang bn vo ngy
22/11/2004, F = 100.000, C = 9%, Mc = 5
Phn l thuyt ( chn phng n ng nht)
Cu 1: S tng ln ca t l c tc ca cng ty v gi tr c phiu ca cng ty c
quan h cng chiu nhau :
a)
ng
b)
Sai
Cu 2: ng trung bnh ng(MA20) ct ng biu hin gi CP REE t di
ln, y l tn hiu khuyn ngi u t nn :
a)
Mua c phiu REE
b)
Bn c phiu REE
c)
Khng mua bn g c, v gi khng n nh
Cu 3: Ngn hng cng b li sut gi tit kim thng l 0,6%, li ny tng
ng vi li sut kp nm l :
a)7,0%
b)7,2%
c)7,4%
d)7,6%
Cu 4: ng th trng chng khon (SML) ging ng th trng vn (CML)
ch :
a)
u biu th mi quan h gia ri ro v li sut u t
b)
u c gi tr ln hn khng.
c)
u ly cc bin s c lp v cc ch tiu do ri ro
d)
a v c
e)
a,b v c

14

b) Khng u t
c) Khng xc nh c v khng c li khuyn
Cu 10: Cc ch tiu khng nh gi ri ro l :
a)
lch chun
b)
Phng sai
c)
H s b ta
d)
li
e)
b v d
Phn bi tp
Cu 11: Cn 20 nm na bn s v hu. Bn d nh tch gp mt s tin gi
tit kim hng li vo lc ngh hu vi mc tiu l c thm mi thng 1 triu
ng ngoi lng hu.By gi cho n lc bn v hu l thi k pht trin bn
lu .Sut bnh qun ca th trng l 9% nm. Lc bn v hu ( 20 nm sau ) kinh
t n nh nn li sut ch c 0.5% mt thng. Nu nm no bn cng b mt mn
tin ti kim nh nhau th mi nm bn ch b bao nhiu thc hin mc tiu
ca mnh?
Cu 12: Mt ngn hng c phn c tng ti sn l 400 t ng, trong ti sn c
c t vn vay l mt na. Lia thun ca NH trong nm nay c th l 30 t
ng. T l c tc d kin chi l 10 t ng. Gi s doanh nghip tng trng u
trong tng lai. bn hy d bo mc tng trng c tc trong tng lai bng cc
thng tin .
Cu 13: Gi s ngn hng bn ang s hu mt tri phiu chnh ph, k hiu CP
+ A0304 pht hnh ngy 03/03/2002, G ca bn ang c nh bn chng vo
ngy hm nay ngy thc hin kim tra). Bit rng F = 100 ngn ng C = 9.4%
tr sau mi ln; M = 15 nm; li sut yu cu l 10%.
Bn hy gip G ca mnh nh gi TP trn( Ch cn vit 3 cng thc nh gi)
Cu 14: Cng tri GD c mnh gi l 100 ng , thi gian o hn l 5 nm, c li
sut gp 40%/5nm. Gm 3 nm na o hn ang bn gi 110.000 li sut
tit kim di hn 3 nm ang l 8 nm. Trn quan im li sut u t tri phiu
v gi TK nh nhau , c mua c tri phiu trn khng v sao?
Cu 15: Gi s ch s Dow Lone cng nghip hin l 10400 im, d on tr
gi ch s ny sau mt nm, bng phng php iu tra phn tch ca cc chuyn
gia, ngi ta c d liu nh sau:
DJCN sau 2 nm
S ngi d on
10200
25
10400
25
10800
25
11200
25
tn dng ngun vn, ngn hng nh dng chin lc u t vo danh mc tri
phiu vi cc loi tri phiu hin c nh sau:
Tri phiu coupon 1 nm c C = 9%, F = 100.000
Tri phiu chit khu 2 nm; F = 100.000
Tri phiu coupon 3 nm c C = 8% ; F = 100.000
Tri phiu zero coupon 4 nm; F = 100.000
Bn hy gip lnh o xc nh mt danh mc u t sao cho tng s tin ch ra
cho danh mc ny b nht ( ch yu cu lp bi ton ).
Cu 62: Mt nh u t c khon tin 10tr v d nh u t trong thi hn 2.5
nm vo danh mc u t c cc tri phiu nh sau:
15

Tri phiu A: TP chit khu, thi gian o hn 3 nm, f = 100 ng

Tri phiu B: TP c coupon 6% thi gian o hn 2 nm, F = 100ng
Li sut th trng hin ang l 10%. Bn hy xc nh gip nh u t mt
danh mc 2 tri phiu nu trn sao t mc tiu ra trnh ri ro.
Cu 63: S liu v 2 c phiu theo bng sau:
Tnh trng kinh t
Xc sut
Li sut u t vo
Li sut u t
c phiu A
vo c phiu B
Suy thoi
20%
-5%
6%
Bnh thng
40%
10%
-2%
Kh
30%
-4%
8%
Hng thnh
10%
7%
-9%
Bn hy:
a. Xc nh thu nhp k vng u t vo A v B
b. Ri ro u t vo A v B
c. Tch sai ca A v B
d. H s tng quan gia A v B
Hai c phiu ny c th kt hp vi nhau trong danh mc u t tr kh ri
ro khng? V sao?
Cu 64: Tri phiu chit khu, F = 1.000.000 . Thi gian o hn M = 10 nm.
a.
Hy xc nh gi Tp ny, nu LS yu cu ca bn l 9.5%
b.
Nu bn mua c TP tr6n gi 350.000 th bn c LS u t bnh qun
l bao nhiu?
Cu 65: Gi s cu trc nm ngang vi mc LS 12%/nm. Bn mun thit k
mt danh mc u t vo k u t 30 thng gm 2 loi tri phiu sau :
Tri phiu A: Li sut coupon 8% nm ( tr li theo nm ), thi gian o hn
2 nm.
Tri phiu B: Li sut coupon 10% nm ( tr li theo nm ), thi gian o
hn 3 nm.
C hai loai tri phiu trn iu c mnh gi 1.000.000 .
theo chin thut sau tng li sut u t :
a)
Mua tri phiu ngn hn, bn tri phiu di hn
b)
Mua tri phiu di hn , bn tri phiu ngn hn
c)
Khng mua bn g c v th trng ang bin ng
Cu 7: Ngi u t hay dng thng s sau so snh vi li sut ngn hng khi
u t vo c phiu:
a)
Mc tr c tc theo % mnh gi
b)
Ch s P/E
c)
Ch s Div/P
d)
ROE
Cu 8: T l tng trng c tc ca mt cng ty 10% v c th duy tr nh vy
trong tng lai t l chit khu thu nhp l 15%.P/E ca cng ty ang l 5,5. Ta
c th d bo kh nng tr c tc ca cng ty ny t cc thng tin trn l :
a)
40%
b)
25%
c)
20%
d)
7%
e)
Khng thng tin d bo
Cu 9: Ngn hng bn ang xem xt u t vo mt c phiu c li sut mong
i l 11%. Li xut tnh phiu kho bc l 8%:Li sut u t bnh qun ca th
16

trng c phiu l 12%, c phiu ang xem xt c h s ri ro ch bng mt na

ca bnh qun th trng. Bn khuyn lnh o nn :
a)
u t
Cn thiu *******
Cu 13: Cng tri gio dc c mnh gi l 200.000 ng, thi gian di hn hng
nm, c li sut gp 40% nm, cn 3 nm na o hn ang bn gi 2200 li
sut tit kim di hn ba nm ang l 8% nm. Trn quan im li sut u tri
phiu v gi tit kim nh sau,c mua c tri phiu trn khng? V sao?
Cu 14: Gi s ch s VN-Index hin l 230 im , d on tr gi ca ch s
ny mt nm sau,bng phng php iu tra mt s chuyn gia phn tch chng
khon ngi ta c t liu nh sau:
VN-index 1 nm sau

S ngi d on

200

10

250

30

280

30

320

20

a)
Hy d bo mc sinh li k vng khi u t khi u t vo VNindex
b)
Hy d bo mc ri ro khi u t vo VN-index.
Cu 15: Cng ty c phn XYZ c mc tng trng c tc trong 3 nm u l 25%
nhng nm tip theo c tc tng trng c tc n nh mc 7%. C tc trong ln
tr gn nht l 1,2$. Li sut yu cu ca nh u t i vi c phiu ny l 12.4. Hy
xc nh gi CP m nh u t chp nhn mua vo u nm th 3.
a.
*************
b.
Khng u t
c.
Khng xc nh c v khng c li khuyn.
Phn bi tp:
Cu 10: Tri phiu chit khu F = 100.000. Thi gian o hn M = 10 nm
a.
Hy xc nh gi TP ny
b.
Nu bn mua c TP trn vi gi 350.000 th bn c li sut u t
bnh qun l:
Cu 11: (mi) (g = ROE.b)
Mt ngn hng c phn c tng TS l 200 t ng, trong vn vay l 150 t
ng. Li thun ca ngn hng
a.Hy d bo mc sinh li k vng khi u t vo DJCN
b. Hy d bo mc ri ro u t vo DJCN
Cu 16: Gi s Vietcombank s c phn ho xong v u nm sau(2007) c tc
d kin tr vo cui nm 2007 l 20% v trong nm tip theo c tc tng trng
10 nm, nhng nm tip theo c tc tng trng c tc n nh mc 7%. Li
sut yu cu ca bn vi c phiu ny l 12%. Bn hy nh gi c phiu ny vo
lc pht hnh u nm ti.
17

Cu 17: Cng ty A c li sut yu cu l 16% v c tc hin ti l 3.000. Nu gi

hin ti ca c phiu ny l 55.000. Gi s t l tng trng c tc u th tng
trng c tc l bao nhiu?
Cu 18: C phiu cng ty A v B c xc sut mc sinh li nh sau cho cc nm
ti:
Tnh trng kinh t

Xc xut

Kh nng sinh
li ca A%
-12

Kh nng sinh
li ca B%
8

Tng trng mc
0.2
1
Tng trng mc
0.4
18
-2
2
Tng trng mc
0.4
24
-10
3
a.
Tnh mc sinh li mong i ca A v B
b.
nh gi ri ro u t vo mi CP
c. Tnh tch sai mong i ( expected convariance ) ca li nhun A v B
A v B c th kt hp tr kh ri ro trong danh mc u t khng? V sao?
Cu 19: Mt ngn hng c tng vn u t 200 t ng trong c 30 t ng
vn t c.Vn i vay c thi gian o hn bnh qun l 6 thng. Gim c ngn
hng l ngi kinh doanh mo him nn ly ton b vn vay mau t hp
tri phiu c thi gian o hn bnh qun l 15 nm.Li sut chit khu ca th
trng l 7%. Hy xc nh im v ca Ngn hng ny.
Cu 20: Mt nh u t c khon tin 10.000.000 v d nh u t trong thi
hn 2,5 nm vo danh mc u t c cc tri phiu nh sau :
Tri phiu A:TP chit khu ,thi gian o hn 3 nm ,F = 100 000
Tri phiu B: TP coupon 6%, thi gian o hn 2 nm, F = 100 000
Li sut th trng hin ang l 10%. Bn hy xc nh gip nh u t mt
ddanh mc 2 tri phiu nu trn i mc tiu ra v phng trnh c ri ro
theo phng php trung ho ri ro li sut.
Cu 1: S tng ln ca t l c tc ca cng ty v gi tr c phiu ca cng ty c
quan h ngc chiu nhau :
a)
ng
b)
Sai
Cu 2: ng trung bnh ng (KA30) ct ng Vn-index t di ln y l tn
hiu khuyn ngi u t nn :
a)
Mua c phiu
b)
Bn c phiu
c)
Khng mua bn g c
Cu 3: Ngn hng bn cng b li sut gi tit kim 1 nm l 8,4%, li sut ny
tng ng vi li sut kp 3 nm l :
a)
25,2%
b)
27,1%
c)
27,4%
d)
27,8%
Cu 4: **** th trng chng khon ( SML ging ng th trng CML ch
a)
u biu th mi quan h gia ri ro v li sut u t .
b)
iu c gi tr ln hn khng
c)
u ly cc bin s ng lp l cc ch tiu o ri ro
18

d)
a v c
e)
a, b v c
f)
Khng c phng n no trn ng
Cu 5: Nu hai c phiu c h s tng quan ln hn khng th khng th a
vo vi nhau trong danh mc u t gim rui ro ca danh mc
a)
ng
b)
Sai
Cu 6: i vi ngi qun l u t tri phiu ch ng v d on li sut s
gim mnh, ngi u s thc hin u t
2
D = 1 ( [ 6000 /(1 + 10%) ] + 2 (6000 + 100000) /(1 + 10%) = 1.94
B

C : W1+W2 = 1
V W1.3+W2.1.94 =2.5
W1 = 0.53;
W2 = 0.47
S tin u t vo TP A l 10000000 0.53 = 5300000
S tin u t vo TP B l 10000000 .47 = 4700000
S TP A cn mua l : 5300000/75131 = 70.54 TP
S TP B cn mua l : 4700000 / 93058 = 56.50 TP
Tnh trng kinh
Xc sut
Kh nng sinh li
Kh nng sinh li
t
ca A(%)
ca B(%)
Tng trng mc
0,2
-12
8
1
0.4
18
-2
Tng trng mc2 0,4
24
-10
Tng trng mc
3
a.
Tnh mc sinh li mong i ca A v B
b.
nh gi rui ro u t vo mi c phiu
c.
Tnh tch sai mong i (expected covariance) ca li nhun
A&B
d.
Tnh h s tng quan ca li nhun A&B
A v B c th kt hp tr kh ri ro trong danh mc u t ny
hay khng? V sao?
TL:
ER( A ) = WiR iA = 0.2 x (12) + 0.4 x18 + 0.4 x 24 = 14.4
a.
ER( B ) = WiR iB = 0.2 x8 + 0.4(2) + 0.4(10) = 3.2
b.
2
2 = Wix ( RiA E RB )2 = 0.2 x(12)( 14.4) + 0.4 x(18 14.4) 2
+0.4 x (24-14.4)2=181.44
A = 13.47
Cu 19: Mt ngn hng c tng vn u t 200 t ng trong c 30 t ng
vn t c.Vn i vay c thi gian o hn bnh qun l 6 thng. Gim c ngn
hng l ngi kinh doanh mo him nn ly ton b vn vay mau t hp
tri phiu c thi gian o hn bnh qun l 15 nm.Li sut chit khu ca th
trng l 7%. Hy xc nh im v ca Ngn hng ny.
TL:
V n i vay = 200-30 = 170 t ng
Thi gian o hn bnh qun l 6 thng DL = 6 / 12 = 0.5
19

SD A = 1 /(1 + y ) x ( D A PA ) = 1 / 1x0.7 x(15 * 200)2803.7

SD L = 1 /(1 + y ) x( D L PL ) = 1 / 1,07 x(0.5 * 170) = 79.4
Gi tr ti sn c khi li sut tng y l 200-2803.7* y
Gi tr ti sn n khi li sut tng y l 170-79.4* y

= 1 .1 %
Vy khi li sut tng n mc 8.1% th ngn hng mt kh nng thanh ton.
Cu 20: Mt nh u t c khon tin l 10.000.000 v d nh u t trong thi
hn l 2.5 nm vo danh mc c tri phiu nh sau:
TP A: ti phiu chit khu, thi gian o hn 3 nm, F = 100.000
TP B: tri phiu coupon 6%, thi gian o hn 2 nm, F = 100 hn ****x th
trng hin ang l 10% .Bn hy gip nh u t danh mc 2 TP trn sao cho
t danh mc tin ra v phng trnh c ri ro theo bin php trung fha ri ro
li sut.
TL:
W1- T l u t vo TPA
W2 - T l u t vo TPB
t = 10%
w1 = w2 = t
w1DA + w2D2 = 25
= [(1 x C/(1+r)+2 x C/(1+r)2 + D + nx (C/(1+r)0]/P
PA = F/(1+r)3 = 100000/1.13 = 75131
PB = C1/(1+r) + (C2 +F)/(1+r)2 = 6000/(1+10%) + (6000+100000)/(1+10%)2 =
930.58
DA = [3 x 100000/(1+1.1)3]/75131 = 3
BI TP PHN TCH
Phn 1: Bi tp v dng tin
Bi 1: Bn mun n khi v hu( 15 nm na ) ngoi tin lng hu bnh qun
mi thng bn mun c thm 1tr tiu xi. T nay n lc v hu mi nm bn
phi gi vo TK l bao nhiu lc v hu khon tin dnh dm c mc sinh
li tho mn mun ca bn. G/s trong 15 nm ti t nc trong giai oan5 pht
trin nn l/s bnh qun mc cao l 9 nm, cn t khi bn v hu kinh t pht
trin n nh nn l/s ch mc 0.5%/thng.
Bi gii: y l bi ton tnh gi tr hin ti ca dng thu nhp trong tng lai
B1: Cn phi tnh c s tin cn phi c trong tng lai. Vi l/s 0.5% thng
nhn c 1tr mt thng th cn c ST l 1/0.5% = 200tr
B2: Cng thc gi tr hin ti ca mt ng trong tng lai l: PV1 = FVA1 (n,r)
200 = C x FVA1 (15,9%) ( Xem ph lc C SGK)
200 = C x 29.361 C = 200/29,361 = 6,811757 tr.
Bi 2:Gi TK 8.000USD trong 15 nm vi LS 15% sau 15 nm c bao nhiu
tin?
Bi gii: FV1 (n,r) = PV1 (1+r)n
= 8.000 x (1+r)15 = 8.000 x 8.137 = 65.096 USD (Xem ph lc A SGK)
Phn 2: Bi tp v tri phiu
Bi 1: (TP l/s chit khu)

20

Cng tri GD c mnh gi l 200.000, thi gian o hn l 4 nm, l/s gp 40%/4

nm, cn nm na o hn ang bn gi 220.000. L/s tit kim di hn 2 nm
ang l 8/nm. Trn quan im gi tr TP c nn mua TP trn khng? V sao?
Bi gii: xem xt c nn mua tri phiu trn khng th phi c GT hin
ti ca khon thu nhp khi TP o hn vi gi bn hin ti.
i vi cc bi TP cn phi v dng tin ra.
1-------2--------3-------4
P0
P1
P2 P3 = 200+80
Phn thu nhp khi o hn = MT + tin li = 200.000 + 40% x 200.000 = 280.000
Po = 280.000 x PV1(3.8%)( xem ph luc bng BSGK)
Po = 280 x 0.794 = 222.32 > 220.000 nn mua
Bi 2: (TP l/s coupon): Tri phiu CP pht hnh vo ngy 25/11/05, F = 100, C =
8, M = 5, l/s= 9%. Vit 3 cng thc nh gi TP vo ngy hm nay (10/05/2007)
15/11/05
25/11/06
25/11/07 25/11/08 25/11/09 25/11/10
10/05/07
P-1
P0
P1
P2
P3
P4
Tnh t ngy 10/5/07/n ngy 25/11/07 l 198 ngy. t = 198/365.
Cch 1:
8
8
8
8 + 100
Po =
+
+
+

+1
+2
1,09
1,09
1,09
1,09 +3
1
Cch 2: Po = P1 1,09
P 1 =

8
8
8
8
8 + 100
+
+
+
+
1
2
3
1,09 1,09 1,09
1,09
1,09 4

Cch 3: Po = P1 / 1,09
8
8
8
P 1 =
+
+
1
2
1,09 1,09
1,09 3

Bi 3: Mt khch hng ang mun u t vo TP A c cc thng s sau:

Thi gian o hn n = 4 nm, f = 100
Tri phiu zero coupon
Li sut yu cu ca khch hng l r = 9%
Bn hy gip khch hng xc nh:
a) Gi TP m nh T mua
b) thi gian o hn bnh qun D
c) Thi gian o hn bnh qun iu chnh (MD)
d) li K
e)Gi TP bin i bao nhiu % theo D v K nu li sut ca khch hng tng 1%
Gii:
a) Tnh li sut chit khu
Po = F /(1 + r ) n = 100 / 1.09 4 = 100 0.708 = 70.8
b)Thi gian o hn bnh qun ca TP l/s chit khu = tg o hn TP 4 nm.
c) MD = -D/1 + r = -4/1.09 = -3.67
d) li
1 n t (t + 1)C n( n + 1) F
K =
+

P t =1 (1 + r )1+ 2 (1 + r ) n + 2
21

y l TP l/s CK nn C = 0
1 n(n + 1) F
K=
P (1 + r ) n + 2

22