Bài giải quản trị rủi ro

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Bài giải quản trị rủi ro

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Qu n tr R i ro ! "# $ $% &' &' &' $% $ ! ! " # ! ( ) * )+ , - . /- 0 &' 1% 1% 1% &' 0 ($ 2 3 4 5 6* / - 71 8 ' 0$8& %% 8%% 908% $9 8&019 8$&77 8 $ : ;4 3 4 5 6* /- 71 8$9 @? / @ A B *;(*! C D !C % ;( ; ! * +, '() . % ! ' ; , *, = . ( E C *!&! !! ! +F1" ! () ( = 7+*; (
Qu n tr R i ro 6 @ @ ? / 6 ( E + ; E) !J= )* C ! ! + ! J; )* C = ) ) ! J; )* C I 66 =K G K + ! + ! L (< K , *, % = E) !8D +< '( % &! , !, < !& !&! ! KE) !& !&! !! , 08 & ! * C M!( 02 N4 / . / E ! * !, 08 > / 7 &! !! , 08 ' E + &> 9 O/ . O 0 ! * !, 08 > / G = &> 2 − 4= . 9 9 = @ P * ! + Q ; ! * !, 08 E +& . ! > R S 9 @ N 5 9 @ T/R @ N T P * ! + Q !&! !!, 08 E +& . ! > R .@ ON . @OT ! * !, 08 > / . G = &> 2 − 4= . 9 9 = @ P * ! + Q ; ! * !, 08 E +& . ! > R . S 9 @ N . 5 9 @ T / R. @ N . @T P * ! + Q !&! !! , 08 E +& . ! R .@ N . . @ T ' 7(0 * & ; ! * U! , * RN0T / R S N 5 T E) ; !# ! != Q • P / . * RN 0T / R N T E) * R @ N T. ! ! + ; !% &; ! * U!, * R N T *) Q % D + !%M 0 * & • P / . . * RN 0T / R . N . T E) * R. @ N . @T. ! ! + ; !% &; ! * U !, * R. N . T = ) ) Q % D + !%M ! (0 * & • V ) * (< !(0 * & E 0 * & %() %M !( () ! ,8 2 − 4 / / / B * () !,8 ! , C. ! W6@ 7(0 * & ; ! * U! , * RN0T / R S N 5 T / R N T E) ; !# ! != Q Th.s Tr n Quang Trung 2
Qu n tr R i ro • P / . * RN0T / R N T E) * R @ N T. ! ! + ; !% &; ! * U!, * RN T = ) ) Q % D + !%M ! (0 * & • P / . . * RN 0T / R N . T E) * R. @ N . @T. ! ! + ; !% &; ! * U ! , * RN . T = ) ) Q % D + !%M !(0 * & • V ) * (< ! (0 * & E 0 * & %() %M !( () ! ,8 2 − 4 / / / B * () ! ,8 !, C. ! W6 • C; '( 2F1"4 E +& . ! > . O9 / . OE) ' ; , *, = Q C ; '( 2F1"4 E +& . ! > . O9 . @ / . . @ OE) ' ; , *, = Q % ! ! , * ! C C C 1 ;; .! ; = / 2; ! ! , 08 !, 4 12 # ! ! ! ! , 4 / S 12 C ! ! , 4 − / - X /6 6 Q 0 Y K () ' *D + !! = % . ;(*' 6= % ! , < ( ;(*' = % !, 6 () % C +! (' J;(*' = % 12 #! ! ! ! , 6 4 / S 12! , 6 ! % =@! 4 Z +! ; / 2; ! !, 08 !, 6 4 $ ; !; ! *+, !, 0 * '() % C + 6 @ 1 6 6 66 @ @ 7(% ! ! # %() ; ! K! 8 = Q 7(0 * & ; ! U!, * RN0T / R N 5 T / RN T E) ; !# ! != Q Y) = ; D ; ! J &! ! # %() ; !; ! U! , * RN 0T = Th.s Tr n Quang Trung 3
Qu n tr R i ro 0− 1 ($ ≤ 0 ) = 1 [ ≤ =1 [≤ = 7(% ! = @ ≈ 26 ' ;(*' = % !, 6 . + ;(*' 6= % !, !) !8;
Qu n tr R i ro = > ? >@= > A2@B A2 C: D :2@C : ) ;) ) : ;) ) : ;4 * G * G # E) ; ) ; ) H F ) GH / - ) ) ) ) F6 F 6 F > GH 4 5 4 5 . . @ @ @ . . @ 6 . . @ . . 6 6 6 . . @6 . . 6 . . 6 . @. 6 . @. @ @ . @. @ A F# ,H ) ; ) ) ) ;) ) ; - 4 I J 5H ) --- @ --- --- @ --- 6 6 A F# ,- 5 3) ;) ) : ;) ) ; - 4 I J 5H ) --- . . . --- 6. . 6. --- . . . --- . @ . @ Th.s Tr n Quang Trung 5
Qu n tr R i ro $ : *H ) ; J 5 K 5 3 ) ; J 5 ) ) H ) ) ) ; -4 I H ) --- @ --- @ --- 6 @ 1 C *!& !&! ! ! ( C * . =K : ;4) ; ) ) J 5H ) 6 6 6 @ 6 1 C *!& !&! ! ! ( C * . =K : ;4) ; ) ) J 5H ) @ @ 6 6 @ 6 Th.s Tr n Quang Trung 6
Qu n tr R i ro & J 5H ) : *H ) ;) )L / - @ :: 9' 1 C 1 ;; *!K; !&! ! .! ; = 6 @ A @ 6 @ 6 6 % 7 &! ! 7 K; .6 .6 . . . 7# !,M +E > F2Z4 / 1 Z F2Z4 / .6 5 .6 5 . 5 . 5 . / 7# % = &> σ 2Z4 / 1 RZ S F2Z4T Z 1 RZ S F2Z4T 1 RZ S F2Z4T .6 @ .6 @ @ 6 . @ . @ @ . @ @ @ @ @ Y +σ 2Z4 / @ @ % % = &>σ ( L) = σ 2 ( L) = 4594600 = 2143,5 ≈ 2144 Th.s Tr n Quang Trung 7
Qu n tr R i ro 6 7# ; = > Pi [ Li − M ( L)]3 α 3 ( L) = [σ ( L)]3 Z 1 RZ S F2Z4T6 1 RZ S F2Z4T6 .6 @ @ M @ 6 .6 6 @@6 M @6 . M @6 @ . @ . 6 @@ 6 @ &07%7&0%999 6 @ 6 @ 6 2Z4 = =6 @ @ 2 @6 46 Th.s Tr n Quang Trung 8
Qu n tr R i ro N 2 O @ 2 P@ :@ >2Q 2 2 R19S T R&9S T R'9S T U : @ @ @ I ) 5)+ 5) 6@ : R%9S T 6 ) 5) * @ 6 : ;4) H , H ) )+ F P>A 9 '0 9 %' 9 '1 $R> F4)VOU U K @ JT $ ; ! 6 ]^_7 @ Z < Z) ! ( !,() ! @ 7 2@ Q4 Z) ! ( ! K @ ) 7 & ! ; * @ @ @ Z) ; !! , CY"1 6 H ) )+ 4(W )+ F P>A 9 91 3X3 ; 9 91% 2 3 H ( ) F 911 Th.s Tr n Quang Trung 9
Qu n tr R i ro $ ; ! 6 ]^_7 @ Z A 9 %% 3 X3 ; 9 90 2 3H ( ) F 9
Qu n tr R i ro 7 & !! , 0 * ; :GX3 Y L: ;4) H , 9S 9S 19S '9S H ) )+ 4(W )+ F P>A 9 91 9 9 %% 9 &< 3 X3 ; 9 91% 9 9171 9 90 9 &1 2 3 H ( ) F 9 1 1 9 1&' 9 F4)VZ U :U T : )+ ( [4 > ; # - 5 $ ; ! 6 @ 6 6 @ 6 ! 6 6 ]^_7 6 6 Z < * ) L Z < * )' @ @ @ 6 6 6 Z) !( !,() ! @ 6 7 2@ Q4 @ @ @ Z) !( ! K @ 6 ) 7 & ! ; * UA R OT % %$0 1
Qu n tr R i ro A2@\ ]= :2 ]UC : O@ 2 K ? > @ 2 UD K RA :^ T P@ _ @ : ` " , *, = % = E % K !E) > Z = 2 i = 2@ 4 • 5 )+a)+ 4(W ,) ; ) ) (W b F L1 + L 2 + ... + L n M (L1 ) + M (L 2 ) + ... + M (L n ) M = / n n • 3 X3 ; ,) ; ) ) (W b F L1 + L 2 + ... + L n D(L1 ) + D(L 2 ) + ... + D(L n ) D = n n2 / / Z +Z + +Z =@ • J 5H )# 5 H ,Y " #'( 0 K!() !`G^` / 5 / Z9 − Z9 − 1 Z =1 [ =1 [ = 1 ([ . ) @ 7, 0 * CEM &. ! 12[ 3 . 4 / . Q Y + !% & C ! + ; *= > . Q Th.s Tr n Quang Trung 12
Qu n tr R i ro $ 7 C !( ! # () ; *' 0 * & (; + I + rij i I Z + +Z ≠I ≠I = = !& ! ! * ) %K 0 * & C E ; ! () D = ; '() . ! %() 2 + rij 2 n+ rij Z + +Z ≠I i≠ j = = 2 7 ! +! (*; !, a= !& * ; ! () D . ' % C; + + \= ; ! () D ! , 08 !! * ; ! () D % K '() !8 ! ,M!, 08 C ! &! !) ! , E C( & ]2Z4 / σZ / σ .I / @ " , *, = ! =& M(L i ) Z + +Z F = / /µ + I Z + +Z ≠I = Y) / 9 + 9@ = = Th.s Tr n Quang Trung 13
Qu n tr R i ro = . 7() ! ( ! ,() ) .! !D *; J 5" ) # 5 H ,Y Z9 − Z9 1 Z =1 [ ≤ Z9 − Y) ! ,M * ! () = () ! , C * ; ! ; *0 U 0 ! % b !( " 0+; E (; σ# 6 6 6 6 6 @ 6 J A c @@ @ @ @ P ;(*' 0 !% b !( " 0+; E % &() =() ) ! , C * ; ! ; * ! !() %() !,M = ). != *7 C 0 ! # ; ! ; *= 0 C. J0 != C ! +0 * & K !8 ; ! + C E()!D @ Q 7, !,() ) , *, C % = E) .! C ! &;(*' J &E8 C ! * < % K *%M = + ) ! , !C ; ! D * * ; ! ; * ' J & E) !, C 0)*0 !% b !( " 0+; E. ! ! + ;( C = , != ) σ# 6 6 6 6 6 @ 6 Th.s Tr n Quang Trung 14
Qu n tr R i ro σ# 6 6 6 6 6 @ 6 J A c Q @@Q @ Q @ Q @ Q JJ> ; 6Q Q Q Q Q % • `) % K 0 * & * µc / 6 σc / ,c. I / c / . 7 ! # () ; * !& ! !08 D C ! , C ! ) %K 0 * & * ! ( C !( ; + I + rF,ij i I Z + +Z ≠I ≠I = = σ F = 158.2 • 7() ! (! ! # % = & !& ! !08 D C ! , C ! ) %K 0 * & ! (; σ A = 223.6 G = & * !& ! !08 D C ! , C ! ) % K 0 * & *d %() ! # '( E % = & !& ! !08 D C ! , C !) %K 0 * & * E ! (; > c + d c d = @ ( c + d) 0 G = & *!&! !08 D C! , C !) %K 0 * &! , =+%() ! # (; µZ / Th.s Tr n Quang Trung 15
Qu n tr R i ro σZ / 6 ,Z. I / Z / . 7 ! # () ; * !& ! !08 D C ! , C ! ) %K 0 * &! , =+! ( C !( ; + I + rL,ij i I Z + +Z ≠I ≠I = = σ L = 67.11 E dd ) !E) !!# () ; * !& ! !08 D C ! , C !) %K 0 * &0 U C !( E) *! !!&! ! * % = E) !&! ! ! E ! , = + n F2 σ F2 + n A2 σ A2 + n L2σ L2 + 2 rAi L j σ Aσ L F1 + ... + FnF + A1 + ... + An A + L1 + ... + LnL i j D = nF + n A + nL (n F + n A + n L ) 2 / 6 G = &= 6 Th.s Tr n Quang Trung 16
Qu n tr R i ro ]= :2 ]UC : :2`: P C @ > 5 3 ## 4H ) 4 54Y ♦ " E 2d.^4 / ,d^9 σd9σ ^ / . 9 .@9 . / . ♦ " E 2d."4 / ,d"9σ d9σ " / .@9 .@9 . / . 6 ♦ " E 2^."4 / ,^"9σ ^9σ " /- . 9 . 9 . /- . ( H )- 4 ,! - *) Y P1 / ed Pd 5 e^ P^ 5 e" P" / . 9 .6 5 . 9 . 5 2- .649 . / . 2 Q4 3 X3 ; ,X H )- 4 ,! - *) Y 1 = e + 2 * [e d e ^ E2d. ^4 + e d e " E2d. "4 + e ^ e " E2^. "4T / @ 5 52- 64 5 9R . . . 5 . 2- .64 . 6 5 . 2- .64 2- . 4T / .6 ! :+ 4H F - , 54 5> 5- G * 4W d 7, ; '() \= % K! (0 *! KE ( . C= % K! ( E +! KE) =Z Z) ; ! %) *' !M! ,() β > ; 0 C ! * ( Th.s Tr n Quang Trung 17
Qu n tr R i ro B *;(* 7, 0 7+*; !Z) Vc / Q 7+*; !Z) !M! ,() F / 6Q β/ . / Q β/ I / 6Q β/ d/ Q G() !M!,() ( ! %M = ); ! * ! ( 0 ! ; , *, 0 ! * ( % 7 Z +C K SML : ki = kRF + (kM - kRF).βi KA = 17 1 K0 % L KA = KM = 13 , *, *"P ^ % L, *, KL = 11 !M! ,() KRF = 9 kRF 0 0,5 1 2 ` ; βi Th.s Tr n Quang Trung 18
Qu n tr R i ro 4: a:+ 4P R>K T Y +E) =
Qu n tr R i ro :@= @\ : P@ : @ : D :2@C : 7 > G() D *% K! (!,() * +, >" 2 _4 / 6 _. * G() D *% K! (; * +, >" 2_f4 / 6 _. * 7 !0M! ,M > O/ ! , " #E * C ! +>, / Q / F( % K! (! ( ! ,() !&! ! * +, 2 _9 4 = ! ,M! * F R" 2_4 ? 2 5,4 S_T / F R6 _ ? - _T Z +% ! _ * R" 2_4 ?2 5,4 S_T E 0 U . ! %() - 6 ?. 9 . 9 _ - / 9 _= *% ! _. +_9 /6. ! , 7(% ! ! # %() "2_4 / @. ! , B ! ,M% K! ( = ; !&! ! > _f/ 6 - / ! , "2_f4 / 6 _ / 6 2 4 /6 Z) * # 0M * >@. S 6. / . @ + . @ ?@. / 6 Q. ! () ( E) K% K ! ( * S 2 . ?6. 4 / . Q _VV *% K! (0 % KE ! % K! ( _VV / 2@. S 6. 4 ?6. / Q _VVf/ R2@. S6. 4 S . T ? . / 6 . Q $ )% K ( E ! % K! ( ! &= ! ! C ! ,M )> • 1 KD C !% % ( D C!K! ! ,() !&! ! B *;(*D + C! ,() !&! != D + C= ( % !,M *' Z +!8%() D *% K! (0 % K= d^ B *;(*! + D * 9 9 9 % K! (= % K = A 2_4 . E) _ = ( % K ! (! ( 2_/ d"4 YM! ,#! !+ ( 9 E) ( % K! (! ( _ ! % _VV/ , P !&! !d] * +, > K= ( C C 0 !!8; !& ! !%() D *% K !( = ]c %) * J'M + & E K0 C ! , !% d] E C 0M0 ' . K % K! ( * !( d" ]". D *% K ! ( *! ("2 4 "2 4 E ! ! )*+ => " 2 4 S " 2 4 / A 2_94 - A 2_9 - d]4 G &K C = D + C !% % D + C!K ! ! ,() !& ! !!8' *% K ! (! C !% `" % &% ! ( % K ! (! ( _9 2]`/d"4 F( % K! ( +; < C = ( ! C' " 2 4 )* + (!,() !& ! ! * + , 7+*; ! 0 C! = > Th.s Tr n Quang Trung 20