Quan Tri Rui Ro - Bai Giang

Quan tri Rui ro Th.
s Tran quang Trung

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QUAN TRI RUI RO
TRONG KINH DOANH

Th.si TRAN QUANG TRUNG
Giang vien khoa QTKD

Quan tri Rui ro Th.s Tran quang Trung
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CAC KHAI NIEM CO BAN
____________

V du:

Gia tri tai san
(trieu dong)
Xac suat
Khong co hoa hoan 1,000 0.75
Co hoa hoan 200 0.25
Gia tri tai san trung bnh 800
Ton that trung bnh 200

Rui ro (risk)

Nguoi mao hiem (risk-taker)

Nguoi an phan (risk-averse)

Gia cua rui ro (risk premium)

Ph bao hiem (insurance premium)
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NHAN DANG RUI RO
________________

I. QUY TRNH QUAN TRI RUI RO

II. PHAN LOAI

1. Mowbray (1930)
Rui ro thuan tuy
Rui ro suy doan

2. Young, Smith & Williams
Rui ro tai san
La cac doi tuong co the duoc loi hoac chiu ton that ve vat chat, tai san tai chnh hay
tai san vo hnh (danh tieng, ho tro ve chnh tri, quyen tac gia) va cac ket qua nay xay
ra do phai chiu cac yeu to mao hiem hoac rui ro. Tai san co the bi hu hong, tan pha,
mat mat hoac giam gia bang nhieu cach khac nhau. Viec khong the su dung tai san
trong mot thoi gian - yeu to thoi gian cua ton that - la v du cho mot loai ton that
thuong bi bo qua. That vay, mot bien co nhu su sup do thi truong tai chnh o cac
nuoc chau A gan day lam ngung tre cac hoat dong cua nhieu doanh nghiep va da
KIEM SOAT
TAI TRO

DO LUONG

NHAN DANG

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gay ra ton that lon lao ve tai san cho cac doanh nghiep nay. Cac doi tuong chiu rui ro
ve tai san cung co the tao ra cac ket qua tch cuc. Chang han mot ke hoach dau tu
tao bao vao thi truong Lien Xo co the thong lnh thi truong nay (truong hop cua Mac
Donald trong thi truong fast food)
Rui ro phap ly
La cac doi tuong co the gay ra cac ton that v cac trach nhiem phap ly da quy dinh.
Cac luat dan su va hnh su quy dinh chi tiet cac trach nhiem ma nguoi dan phai thuc
hien. Nha nuoc ban hanh hien phap, cac luat, quy dinh va ch thi ap dat cac gioi han
theo luat cho mot so hoat dong. Cac trach nhiem phap ly thay doi theo tung quoc gia
cung la mot van de phai luu y. Nguoi ta co the cho rang doi tuong rui ro phap ly ch
la mot bo phan cua doi tuong rui ro tai san, v cac ton that do phap ly roi cung se
lam giam tai san cua to chuc. That ra doi tuong rui ro ve phap ly co nhung dac trung
khac han nhu cac hiem hoa va ton that phat sinh tu moi truong chnh tri va luat phap
ma chung ta se nghien cuu sau nay.
Rui ro nguon nhan luc
La cac doi tuong co lien quan den tai san con nguoi cua to chuc. Rui ro co the gay
ton thuong hoac tu vong cho cac nha quan ly, cong nhan vien hay cac doi tuong co
lien quan den to chuc nhu khach hang, nguoi cung cap, nguoi cho vay, nguoi giu co
phieu. Ve phuong dien rui ro suy doan, mot nhan vien co the xem la mot doi tuong
rui ro ve nguon nhan luc nhung nang suat cua ho co the co ket qua tch cuc. Mot
thiet bi ky thuat cao co the xem la nguon ton that (do gay tai nan lao dong) dong thoi
la nguon loi ch (lam tang nang suat). Trong truong hop nay, chien luoc quan tri rui
ro phai ket hop cac yeu to nham lam giam bot ton that dong thoi cuc dai duoc loi ch
(huan luyen cho nhan vien chang han). Cuoi cung ta khong nen ngh rui ro ve nguon
nhan luc luon lien he voi cac thiet hai the xac, su bat on ve kinh te cung la nhung
ton that pho bien (nhu mat viec hay ve huu). V vay quan tri rui ro ve nguon nhan
luc phai quan tam den cac loi ch ve kinh te va the chat cua con nguoi

3. Doherty (1985)
Rui ro Marketing
* San pham (Product)
* Gia (Price)
* Phan phoi (Place)
* Chieu thi (Promotion)
Rui ro tai chnh (nguon von)
Rui ro tu moi truong hoat dong
Rui ro trong quan tri nguon luc
* Nhan luc
* Vat luc
* Tai luc

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III. NGUON RUI RO

Co nhieu cach khac nhau trong viec phan loai cac nguon rui ro, tuy thuoc vao rui ro ta
dang quan tam. Mot cach tong quat ta co the xem xet cac nguon sau day:

Moi truong vat chat
Ro rang, mot trong nhung nguon rui ro co ban nhat la moi truong vat chat xung
quanh ta. ong dat, han han, mua dam deu co the dan den ton that. O dong bang
song Cuu Long, bao lut la moi de doa thuong xuyen doi voi nguoi dan cung nhu cac
doanh nghiep. Su bat luc cua chung ta trong viec hieu biet moi truong chung ta dang
song, cac anh huong cua chung ta doi voi no cung nhu cua no doi voi chung ta la
nguyen nhan chu yeu cua nguon rui ro nay. Moi truong vat chat cung co the la
nguon cac rui ro suy doan, chang han doi voi nong nghiep, du lich, dia oc.

Moi truong xa hoi
Su thay doi cac chuan muc gia tri, hanh vi cua con nguoi, cau truc xa hoi, cac dinh
che. la nguon rui ro thu hai. Nhieu nha kinh doanh My da that bai e che khi nhay
vao moi truong quoc te. Chang han su khac biet ve cac chuan muc xa hoi o Nhat da
cho thay day la mot nguon bat dinh quan trong doi voi cac doanh nhan phuong Tay
va My. O My, tnh trang bat on trong dan chung do cuoc bao dong nam 1992 o Los
Angeles cung cho thay su quan trong cua nguon rui ro nay. Su thay doi cac chuan
muc gia tri cung co the tch cuc, chang han quan diem ve phu nu trong luc luong lao
dong da mo ra mot nguon nang luc moi. Co nhieu nganh kinh doanh phat trien o My
nhung khong the phat trien o Viet Nam cung do moi truong xa hoi, v du nhu nhung
loai hnh sieu thi 10000 chang han. Cac phong tuc tap quan dot giay tien, vang bac,
do hang ma cung anh huong rat nhieu den ket qua kinh doanh cua nhung doanh
nghiep hoat dong trong lnh vuc nay, v du nhu Hapaco co san pham chu luc la giay
de (de lam giay tien vang bac) xuat sang ai Loan

Moi truong chnh tri
Trong mot dat nuoc, moi truong chnh tri co the la mot nguon rui ro quan trong.
Chnh sach cua mot Tong Thong moi co the co anh huong nghiem trong len cac to
chuc (cat giam ngan sach cac dia phuong, ban hanh cac quy dinh moi ve xu ly chat
thai doc hai.). Tren phuong dien quoc te, moi truong chnh tri con phuc tap hon.
Khong phai tat ca cac quoc gia deu dan chu trong cach dieu hanh, nhieu noi co thai
do va chnh sach rat khac nhau ve kinh doanh. Tai san nuoc ngoai co the bi nuoc chu
nha tich thu hoac chnh sach thue thay doi lien tuc. Moi truong chnh tri cung co the
co tac dong tch cuc thong qua cac chnh sach tai chnh va tien te, hoat dong theo
luat, giao duc cong dong.

Moi truong luat phap
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Co rat nhieu su bat dinh va rui ro phat sinh tu he thong luat. Luat khong phai ch de
ra cac chuan muc va cac bien phap trung phat, van de la ban than xa hoi co su tien
hoa va cac chuan muc nay co the khong tien lieu het. Moi truong luat phap cua Viet
Nam con co dac diem la khong on dinh, co nhieu so ho va khong nhat quan. ay la
nguon rui ro quan trong cho cac doanh nghiep hoat dong o Viet Nam va lam cho
chung ta t thu hut duoc nguon dau tu nuoc ngoai so voi cac nuoc khac trong khu vuc.
O muc do quoc te con phuc tap hon v cac chuan muc luat phap co the thay doi rat
nhieu tu noi nay sang noi khac. Moi truong luat phap cung tao ra cac ket qua tch cuc
nhu cung cap moi truong xa hoi on dinh, bao ve cac quyen cua nguoi dan.

Moi truong hoat dong
Qua trnh hoat dong cua to chuc co the lam phat sinh rui ro va bat dinh. Cac tien
trnh khuyen mai, tuyen dung, sa thai nhan vien co the gay ra cac rui ro ve phap ly.
Qua trnh san xuat co the dua cong nhan den cac ton hai vat chat. Cac hoat dong cua
to chuc co the gay ton hai cho moi truong. Kinh doanh quoc te co the gap cac rui ro
va bat dinh do he thong van chuyen khong tin cay. Ve kha canh rui ro suy doan th
moi truong hoat dong cuoi cung se dua ra mot san pham hay dich vu ma tu do to
chuc se thanh cong hay that bai.

Moi truong kinh te
Mac du moi truong kinh te thuong duoc quyet dinh do moi truong chnh tri, su phat
trien rong lon cua thi truong toan cau da tao ra mot moi truong bao trum tat ca cac
nuoc. Cac hoat dong cua mot chnh phu co the anh huong toi thi truong von the gioi,
nhung hau nhu mot quoc gia khong the kiem soat noi thi truong nay. Tnh trang lam
phat, suy thoai, dnh don hien nay la cac yeu to cua cac he thong kinh te ma khong
quoc gia nao co the kiem soat noi. Kinh te cua My tr tre cung gay xao tron cho nen
kinh te cac nuoc khac qua viec dieu chnh lai suat cua Quy Du tru Lien bang. Xu
huong toan cau hoa, tu do mau dich theo tinh than cua GATT...anh huong rat nhieu
den su phat trien cua dat nuoc ta vahoat dong cua cac doanh nghiep trong nuoc. Cu
the la lich trnh AFTA sap toi, Hiep dinh Thuong mai Viet-My...la nhung thach thuc
nghiem trong doi voi nhieu doanh nghiep trong nuoc. O muc do t v mo hon, lai suat
va tn dung co the ap dat cac rui ro thuan tuy va suy doan dang ke len cac to chuc.

Van de nhan thuc
Trong kinh doanh co nhieu quyet dinh can phai duoc su nhat tr cua nhieu nguoi
thuoc nhieu lnh vuc khac nhau. Chang han mot hoi dong gom truong phong kinh
doanh, truong phong ky thuat va ke toan truong hop de thong qua mot san pham
moi. San pham co the co nhieu hua hen nhung do moi nguoi nhn van de theo goc do
chuyen mon cua mnh nen khong nhat tr duoc. Rui ro do xuat phat tu nhan thuc.
Nang luc cua mot nha quan tri rui ro trong viec hieu, xem xet, do luong, danh gia
khong phai la hoan hao. Mot nguon rui ro quan trong cho hau het cac to chuc gay ra
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do nhan thuc va thuc te hoan toan khac nhau. Van de nhan thuc la nguon rui ro gai
goc nhat trong viec nhan dien va phan tch rui ro, v nhung phan tch do doi hoi tra
loi nhung cau hoi nhu: lam sao hieu duoc anh huong cua su bat dinh len to chuc?
hay lam sao biet duoc cai mnh nhan thuc la dung voi thuc te?

Cac yeu to mao hiem va hiem hoa phat sinh tu cac nguon rui ro nay nhieu vo ke. Co
cai co the tuong tuong duoc, co cai khong. Mot vai hiem hoa co the phat sinh tu hon
mot nguon rui ro, lu a chang han, co the phat sinh tu moi truong vat chat (su net lua)
hay moi truong xa hoi (bao dong dot pha).

IV. PHUONG PHAP NHAN DANG RUI RO

Phan tch cac bao cao tai chnh
Phuong phap nay do Criddle de xuat nam 1962. Mac du phuong phap nay luc dau ch
dinh su dung cho cac to chuc tu nhan, va du thuc tien cac bao cao tai chnh co khac nhau
tu cac to chuc tu nhan cho den cac to chuc phi loi nhuan va cac to chuc nha nuoc, cac
khai niem cua phuong phap cung co the duoc tong quat hoa cho moi to chuc
Bang cach phan tch bang tong ket tai san, cac bao cao hoat dong kinh doanh va cac tai
lieu ho tro, Criddle cho rang nha quan tri rui ro co the xac dinh moi doi tuong rui ro cua
to chuc ve tai san, phap ly va nguon nhan luc. Bang cach ket hop cac bao cao nay voi
cac du bao ve tai chnh va du toan ngan sach, ta cung co the phat hien cac rui ro trong
tuong lai. Ly do la v cac hoat dong cua to chuc cuoi cung roi cung dnh den tien hay tai
san.
Theo phuong phap nay, tung tai khoan se duoc nghien cuu ky de phat hien cac rui ro
tiem nang co the phat sinh tu do. Ket qua nghien cuu duoc bao cao cho tung tai khoan.
Chung ta cung co the xem xet su bien dong cua chi ph, tien mat, cac khoan phai thu,
ton kho.theo doanh thu, tu do co khi phat hien duoc nhung dieu bat thuong. Criddle
cho rang phuong phap nay dang tin cay, khach quan, dua tren cac so lieu san co, co the
trnh bay ngan gon, ro rang va co the dung duoc cho ca nha quan tri rui ro va cac nha tu
van chuyen nghiep. Hon nua no con chuyen viec nhan dang cac rui ro thanh cac thuat
ngu tai chnh quen thuoc va tu do se de chap nhan hon doi voi cac can bo quan ly khac
trong to chuc va cac doi tuong ben ngoai nhu cac chuyen vien ke toan, cac ngan hang.
Cung nen luu y la phuong phap nay khong loai tru viec nhan dang cac ruiro suy doan,
du Criddle da khong truc tiep goi ra. Cuoi cung, ngoai viec giup nhan dang rui ro,
phuong phap nay cung huu ch cho viec do luong va dinh ra cach quan ly tot nhat cho
cac doi tuong rui ro.
Criddle nhac nho cac nha quan tri rui ro phai bo sung cac nguon thong tin khac vao cac
ho so tai chnh, chang han nhu bien ban dieu tra ve cac tai san va cac tai lieu phap ly.
Ta co the xem minh hoa viec phan tch mot tai khoan, ket hop voi danh gia cac ton that
co the xay ra se giup cho viec nhan dang cac ton that tiem nang nhu the nao.

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Ten Tai san, Nhan su hay Ton that Hiem hoa
tai khoan Hoat dong cu the tiem nang
Ton kho Ngayen //ea: Ton that ve tai san Lua, bao, mua
Con o nguoi cung cap Truc tiep da, trom, va
ang van chuyen toi kho Gian tiep cac hiem hoa
Kho bai khac do con
ang van chuyen toi nha may nguoi
Nha may
Thanh pham: Ton that ve phap ly Su lo denh
Nha may phat sinh tu xe co, Su vi pham
ang chuyen toi kho dia oc, dat dai, san bao hanh va
Bang xe cua nha may pham, tai nan cua tai nan cua
Bang cac phuong tien thue cong nhan vien cong nhan
Kho ba/ vien
Dang chayen ta/ ngaa/ ban /e
Bang xe cua nha may Ton that ve nhan su Chet, benh,
Bang cac phuong tien thue that nghiep,
O cac ngaa/ ban /e ve huu

Phuong phap luu do
Thanh tra hien truong
Thanh tra hien truong la mot viec phai lam doi voi nha quan tri rui ro. Bang cach
quan sat cac bo phan cua to chuc va cac hoat dong tiep sau do cua no, nha quan tri
co the biet duoc rat nhieu ve nhung rui ro ma to chuc co the gap.
Lam viec voi cac bo phan khac
Cach thu tu de nhan dang cac rui ro cua to chuc la thong qua cac giao tiep thuong
xuyen va co he thong voi cac bo phan khac trong to chuc. Cac giao tiep nay bao
gom
(1) Mo rong viec tham vieng cac can bo quan ly va nhan vien o cac bo phan khac
qua do nha quan tri rui ro co gang co duoc nhung hieu biet day du ve cac hoat dong
cung nhu cac ton that co the co tu cac hoat dong nay.
(2) Cac bao cao mieng hoac bang van ban cua cac bo phan do ho tu de xuong hoac
thuc hien theo mot he thong bao cao thuong xuyen nham giup nha quan tri rui ro
nam duoc nhung thong tin can thiet.
Khong nen xem thuong tnh quan trong cua he thong giao tiep nhu the. Cac bo phan
nay thuong xuyen tao ra hoac nhan thuc duoc cac doi tuong rui ro ma nha quan tri
rui ro co the bo sot. That vay, su thanh cong cua nha quan tri rui ro phu thuoc nang
ne vao tinh than hop tac cua cac bo phan trong to chuc.
Bat hanh cho nha quan tri rui ro la ho thuong nghe ve mot doi tuong rui ro moi rat
tre sau khi no da phat sinh. Chang han mot nha quan tri rui ro rat ngac nhien khi doc
thay tren to bao sang nay la chu cua ong da mua mot xa lan dat tien tu hai tuan
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truoc. Nhu vay la trong suot hai tuan x nghiep da la doi tuong cua nhung ton that
nghiem trong ve nhan luc, phap ly va tai san ma chuong trnh quan tri rui ro cua x
nghiep da khong biet den. Hon nua neu cac ton that tiem nang nay duoc xem xet
can than th co khi x nghiep da khong quyet dinh mua chiec xa lan nay.
Khi trien khai viec giao tiep voi cac can bo quan ly o cac bo phan khac, nha quan tri
rui ro phai vuot qua duoc nhung chan chu tu nhien cua ho de phat hien ra cac thong
tin bat loi. Khong nha quan ly nao muon thay cac hoat dong cua ho co the gay ra
nhung kho khan cho to chuc. V vay cong viec kho khan cua nha quan tri rui ro la
thuyet phuc nguoi khac hieu rang viec phat hien cac thong tin khong thuan loi la tot
cho cong viec cua ho. Nhung no luc phat hien cac thong tin kieu nay co the thuc
hien duoc neu to chuc co mot he thong phan bo ton that. Chang han khi ton that phat
sinh tu cac hoat dong khong duoc bao cao, can bo quan ly co trach nhiem phai ganh
chiu ton that hoac chiu ton that o muc cao hon so voi cac hoat dong co bao cao. e
tranh nhung su hieu lam, cac bien phap trung phat nhu vay nen duoc thao luan ro
rang voi cac can bo quan ly khi ho duoc hoi ve cac hoat dong co the gay ra rui ro.

Lam viec voi cac nguon ben ngoai
e bo sung cho viec giao tiep voi cac bo phan khac trong to chuc, nha quan tri rui ro
nen trao doi them voi nhung nguoi co quan he voi to chuc nhu cac chuyen vien ke
toan, luat su, cac nha tu van ve rui ro, chuyen vien thong ke, hay cac chuyen gia
kiem soat ton that. Muc dch cua cac trao doi la nham tm hieu xem nhung nguoi nay
co nhan ra duoc cac rui ro nao ma mnh da bo sot khong, hoac chnh nhung nguoi
nay co tao ra cac rui ro moi cho to chuc khong
Phan tch hop dong
Phan tch so lieu ton that
Phuong phap truy loi
Phan tch chuoi rui ro

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PHAN TCH RUI RO DUA
TREN CAC BAO CAO TAI CHNH

I. DANH GIA KHA NANG THANH TOAN

1. T so thanh toan hien tai
han ngan No
dong luu san Tai
=

2. T so thanh toan nhanh
han ngan No
tien thanh chuyen de san Tai
=

3. He so quay vong hang ton kho
bnh trung kho Ton
ban hang von Gia
=

4. Chu ky quay vong hang ton kho
kho ton hang vong quay so He
ky trong ngay So
=

5. He so quay vong CKPThu
thu phai khoan cac bnh Trung
thuan thu Doanh
=

6. Chu ky quay vong CKPThu
thu phai khoan cac vong quay so He
ky trong ngay So
=

7. Kha nang dap ung tien lai (TIE)
lai Tien
EBIT
=

II. CAU TRUC NGUON VON

1.
san tai Tong
no Tong

2.
huu so chu von Tong
no Tong

3.
dinh co san Tai
han dai No

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III. DANH GIA KHA NANG SINH LOI

1. Loi suat theo doanh thu
Loi tuc gop
Loi tuc tu hoat dong SXKD
Loi tuc thuan

2. Loi suat cua tong tai san (ROA)
san tai Tong
thuan tuc Loi
=

3. He so quay vong tai san
san tai Tong
thu Doanh
=

4. Loi suat cua von chu so huu (ROE)
huu so chu Von
thuan tuc Loi
=

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PHAN TCH RUI RO BANG PHUONG PHAP LUU DO

Thieu, nhieu thong tin
Nang luc bo phan nghien cuu thi truong

Rui ro trong khau ky ket

Chien luoc dau tu ve lai tao giong,
ky thuat gieo trong chua co ket qua
Thien tai, han han.
Luc luong san xuat nong nghiep
Gia ca, chat luong vat tu nong nghiep

Mat mat, hu hong
Tai nan giao thong

Ky thuat bao quan
Mat mat, hu hong
Gia ca, chat luong nguyen lieu

May moc, thiet bi hong hoc
So luong, chat luong nguyen lieu
Luc luong lao dong: trnh do, ky luat.
Moi truong san xuat
Chat luong thanh pham

Ky thuat bao quan
Mat mat, hu hong
Gia ca
Chi ph ton tru

Mat mat, hu hong
Tai nan giao thong

Rui ro trong khau thanh toan

To chuc cac kenh phan phoi
Quang cao, khuyen mai
Thi hieu khach hang thay doi
Canh tranh, gia ca bien dong
Nghien cuu thi truong

Nguon nguyen lieu

Ky ket hop dong

Van chuyen

San xuat

Kho bai

Kho bai

Thanh toan

Tieu thu

Van chuyen

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RUI RO TRONG
KY KET HOP DONG

I. RUI RO TRONG KY KET:

1. Rui ro tu chu the
Cong ty ma
Tu cach phap nhan
* Khong dang ky kinh doanh
* Khong co chuc nang kinh doanh
* Giay phep kinh doanh het hieu luc
* Nguoi dai dien ky ket khong hop phap
oi tac kinh doanh
* Khong co uy tn
* Khong du dieu kien ve suc khoe, phap ly
* Kha nang tai chnh yeu
* Phong tuc tap quan khac nhau
* Vi tr dia ly khong thuan loi

2. Rui ro tu ngon ngu
Tu toi ngha hay co nhieu ngha
Hieu khong chnh xac noi dung dam phan
Sai sot khi danh may

2. Rui ro tu noi dung ky ket
Cac dieu khoan quy dinh khong chi tiet, cu the
Cac thong tin thi truong bi nhieu, thieu
Gia ca: bien dong gia ca nguyen vat lieu, ty gia.
Thoi han Vi pham hop dong, boi thuong.
Nang luc can bo dam phan kem

3. Rui ro phap ly
Danh muc hang xuat nhap khau thay doi
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Thue suat thay doi
Quy dinh ve kiem tra chat luong hang hoa thay doi
Cac tieu chuan khac nhu do luong, dong goi. thay doi

II. RUI RO TRONG THUC HIEN:

1. Rui ro ve thoi han giao hang
Nhan luc
* Nguon nhan luc bien dong
* Tay nghe, trnh do cua luc luong lao dong
* Tai nan lao dong
Vat luc
* May moc thiet bi truc trac, hu hong.
* Nguon dien
* Nguon cung cap vat tu, nguyen lieu khong cung cap du so luong, bien
dong ve gia ca, chat luong, chung loai.
Tai luc: truc trac trong huy dong nguon von

2. Rui ro trong van chuyen, boc do, ton tru
Hang hoa roi rot, mat mat, hu hong.
Truc trac o khau Hai quan luu kho, luu xe
Lua dao hang hai

3. Rui ro trong nghiem thu
Khong nghiem thu do gia o thi truong khach hang giam hoac kinh te kho
khan
Nghiem thu nhung co tnh loai nhieu san pham de ha gia
15
III. RUI RO TRONG THANH TOAN:

1. Thanh toan bang tien mat
Nguoi mua da tra tien ma nguoi ban khong giao hang
Nguoi ban da xuat hang ma nguoi mua khong nhan hang hay khong
thanh toan

2. Thanh toan bang dien chuyen tien T/T
Chuyen tien truoc khi giao hang: rui ro thuoc ve nguoi mua
Chuyen tien sau khi giao hang: rui ro thuoc ve nguoi ban

3. Thanh toan bang L/C
4

3 5 1 8 9
2
6
7

Tu pha ngan hang mo L/C
Tu pha ngan hang thong bao
Thuc hien khong dung cac dieu khoan quy dinh trong L/C
* Khong du chung tu
* Sai ve noi dung, hnh thuc, chnh ta.
* Nop chung tu tre han
Do dong tien thanh toan

Nguoi ban
NH thong bao NH mo L/C
Nguoi mua
16
DO LUONG RUI RO

I. CAC KHAI NIEM CO BAN

1. Chi ph an cua tai nan
Chi ph thoi gian bi mat cua nguoi bi nan
Chi ph thoi gian bi mat cua cac cong nhan khac do phai ngung viec de giup nguoi bi
nan
Chi ph thoi gian bi mat cua cac quan doc va cac vien chuc khac de chuan bi bao cao
va dao tao nguoi thay the
Chi ph do nguyen lieu, may moc, dung cu va cac tai san khac bi hong
Chi ph cua nguoi chu do phai tiep tuc tra luong day du cho nguoi bi nan khi ho tro
lai lam viec, trong khi nang suat cua ho, do chua hoi phuc, co the ch dang gia
khoang phan nua gia tri so voi truoc kia.
Cac chi ph xay ra nhu la hau qua ve mat tinh than cua tai nan (su lo so, cang thang)

2. Cac yeu to cua rui ro
Tan so cua cac ton that co the xay ra
Muc do nghiem trong cua cac ton that nay
Tu cac so lieu ve tan so va muc do nghiem trong cua ton that ta co the uoc luong duoc
gia tri trung bnh cua ton that. Uoc luong nay co the dung de so sanh voi so tien bao
hiem phai dong cho cong ty bao hiem

3. Do luong muc do nghiem trong cua ton that
Hai dai luong pho bien duoc dung de do luong muc do nghiem trong cua ton that la ton
that lon nhat co the co (Maximum possible loss) va ton that lon nhat duoc uoc luong
(Maximum probable loss)
Ton that lon nhat co the co la gia tri thiet hai lon nhat co the xay ra, co the nhan thuc
duoc. Con ton that lon nhat duoc uoc luong la gia tri thiet hai lon nhat nha quan tri tin la
co the xay ra. Noi cach khac, thiet hai kho vuot qua ton that duoc uoc luong, trong khi
thiet hai khong the vuot qua ton that lon nhat co the co

II. CAC PHUONG PHAP DINH LUONG

1. Phuong phap khai trien ton that
Dua tren so lieu ton that trong qua khu de uoc luong cac ton that co the xay ra trong
tuong lai (neu tnh hnh chung khong thay doi dang ke th quy luat ton that co the van
con phu hop). Chang han, nha quan tri rui ro cua mot Cong ty san xuat van tim nhan tao
nhan thay so khieu nai lien quan den cac van tim co khuyet tat ch xay ra trong vong 10
17
nam ke tu khi ban san pham. Cong ty bat dau hoat dong tu nam 1983 va hay tuong
tuong chung ta dang o thoi diem nam 1993. Tong ket so khieu nai phat sinh tu cac van
tim ban trong nam 1983, ta thay toi cuoi nam 1993 co 30 khieu nai da duoc bao cao.
Trong 30 khieu nai nay, toi cuoi nam 1983 co 9 cai duoc bao cao va toi cuoi nam 1984
th co 19 cai (ke ca 9 cai cua nam 1983). T so 30/9 = 3.33, la uoc luong cua he so khai
trien khieu nai mot nam. Co the lap lai cac tnh toan tuong tu cho tung nam trong chu ky
mau tren. Chang han, t le 30/19 = 1.57 la uoc luong cua he so khai trien khieu nai hai
nam.
Bang tnh He so khai trien tu so khieu nai ghi nhan duoc

So nam tnh tu dau ky He so khai trien = Tong khieu nai / So khieu nai da phat sinh

1 3.33
2 1.57
3 1.19
4 1.08
5 1.05
6 1.04
7 1.03
8 1.02
9 1.01
10 1.00

Bang su dung he so khai trien de uoc luong Tong so khieu nai

Nam So khieu nai da phat sinh He so khai trien Tong so khieu nai

1983 30 1.00 30.00
1984 21 1.00 21.00
1985 18 1.01 18.18
1986 42 1.02 42.84
1987 28 1.03 28.84
1988 25 1.04 26.00
1989 32 1.05 33.60
1990 27 1.08 29.16
1991 35 1.19 41.65
1992 33 1.57 51.81
1993 19 3.33 63.27
Tong 310 386.35

18
Cac bang tren cho thay cach su dung du kien de uoc luong tong so khieu nai tu lo van
tim nha san xuat ban nam 1993. Uoc luong su dung cac so lieu co san ve cac khieu nai
ghi nhan duoc tu nam 1983 cho toi nam 1993, khoang thoi gian nha san xuat tham gia
san xuat van tim. Trong bang ta thay co tat ca 310 khieu nai da ghi nhan duoc cho toi
cuoi nam 1993, va hy vong la tong so khieu nai that su co the la 386.35. Nhu vay toi
cuoi nam 1993, so khieu nai trung bnh se chiu nhung chua ghi nhan duoc la 76.35

2. Phuong phap khai trien ton that dua tren doi tuong rui ro
Phuong phap nay dung de uoc luong cac chi tra dua tren cac hoat dong co the duoc quy
theo mot don vi chuan. Bang duoi day minh hoa phuong phap uoc luong so tai nan trung
bnh o mot Cong ty Xay dung. Cong ty co su dung cong nhan vien o nhieu lnh vuc
nghiep vu khac nhau nhu: nhan vien van phong, doc cong, quan ly, va cac hoat dong ho
tro nhu van chuyen nguyen vat lieu.
Trung bnh 1 cong nhan xay dung gap 1 tai nan / 1.5 nam, luong trung bnh 30tr / nam.
Ta xem cong nhan xay dung la don vi chuan de tnh chi ph boi thuong tai nan lao dong
va gia su moi tai nan trung bnh phai boi thuong 12tr. Ta co ket qua quy doi cac nghiep
vu khac thanh cong nhan xay dung nhu sau:
Chang han, mot nhan vien van phong luong trung bnh la 20tr / nam, trung bnh 30 nam
bi mot tai nan. Neu ch xem ve phuong dien tai nan, 20 nhan vien van phong se tuong
duong voi mot cong nhan xay dung. Ket hop them muc luong th 20 nhan vien van
phong nhan 400tr / nam, tuong ung voi 1 cong nhan xay dung nhan 30tr / nam, nhu vay
ket hop tai nan va muc luong th 400/30=13.33 nhan vien van phong tuong duong voi 1
cong nhan xay dung.
Neu cong ty du dinh su dung 63.5 nhan vien van phong trong nam toi th co the quy ra la
4.8 (= 63.5/13.33) cong nhan xay dung. Nhu duoc ch ra trong bang duoi day, tong so don
vi chuan cong ty su dung trong nam toi la 271.6, voi so tai nan trung bnh la 181.1
(=271.6*2/3). Neu chi ph trung bnh cho moi truong hop la 12tr, chi ph boi thuong tai
nan trong nam toi la 2172.8tr

Bang uoc luong so khieu nai dua tren don vi chuan

Nghe nghiep He so quy doi Nhu cau nam toi So don vi uoc luong

Xay dung 1.00 233.4 233.4
N.vien van phong 13.33 63.5 4.8
oc cong 4.27 27.6 6.5
Quan ly 6.55 6.8 1.0
Ho tro 2.13 55.2 25.9
Tong 271.6

19
So tai nan trung bnh: (2/3)* 271.6 = 181.1
Chi ph boi thuong trung bnh: 12tr*181.1 = 2172.8tr

3. Lich chi tra
Uoc luong so tai nan va tong so tien boi thuong huu ch cho muc dch du toan ngan quy,
nhung cac uoc luong nay chua xet toi thoi diem chi tra. Viec xem xet thoi diem chi tra
cang quan trong khi lap ngan sach. Chang han nguoi chu doanh nghiep co the phai tra
tong so tien boi thuong tai nan lao dong la 50tr trong nam toi, nhung neu cac chi tra nay
co the duoc phan bo trong vong 10 nam (chi tra phan bo nhu trong cot 2) va lai suat ngan
hang la 6% / nam th so tien hien nay phai gui vao ngan hang la bao nhieu?
Trong bang, 10% so tien duoc tra vao nam thu tu tnh tu luc khieu nai duoc giai quyet.
Hien gia cua 1 dong chi tra o nam thu tu voi lai suat 6% / nam la 0.7921 duoc ch ra o
cot thu ba. Cot thu tu co duoc bang cach lay cot thu hai nhan voi cot thu ba; ket qua cho
nam thu tu la 0.1*0.7921=0.07921. Ket qua nay la so tien can phai gui vao ngan hang
ngay bay gio de thanh toan cho phan se duoc tra vao cuoi nam thu tu cua 1$ boi thuong
tai nan. Tong cua cot bon, hay 0.8264, la so tien can gui vao ngan hang bay gio de chi
tra cho 1$ boi thuong tai nan. Dung ket qua nay nha quan tri rui ro co the danh san
41tr320 de trang trai cho cac tai nan trong nam neu tong so tien boi thuong duoc uoc
luong la 50tr

Lich chi tra va Hien gia voi lai suat 6%/ nam

So nam T le chi tra Hien gia cua 1$ Du toan cho 1$ chi tra

1 0.30 0.9434 0.2830
2 0.20 0.8900 0.1780
3 0.10 0.8396 0.0840
4 0.10 0.7921 0.0792
5 0.08 0.7473 0.0598
6 0.07 0.7050 0.0494
7 0.05 0.6651 0.0333
8 0.04 0.6274 0.0251
9 0.03 0.5919 0.0178
10 0.03 0.5584 0.0168
Tong 1.00 0.8264

3. Uoc luong do chnh xac
oi voi rui ro cua doanh nghiep ta khong ch quan tam toi cac ton that trung bnh ma con
phai chu y den ton that lon nhat duoc uoc luong la bao nhieu (Maximum probable cost -
MPC ). MPC la gia tri ton that lon nhat nha quan tri rui ro tin la co kha nang xay ra va
20
kha nang chi ph thuc vuot qua gia tri nay duoc goi la dung sai rui ro. Neu biet duoc
phan phoi xac suat cua chi ph ta co the uoc luong ngay MPC

V du:
Gia su chi ph thuc co phan phoi chuan voi trung bnh la 120 tr, do lech tieu chuan la
18,2371 tr. Ta muon xac dinh MPC sao cho toi da la 5% chi ph thuc vuot qua gia tri nay.
Theo phuong phap chuan hoa cac ton that, ta co:
MPC = 120+1.645*18.2371
MPC = 150 tr

5%

120 tr MPC

21
UOC LUONG
PHAN PHOI TON THAT

I. NGUON SO LIEU
1. Nguon so lieu thong ke
Chu yeu la cac so lieu ton that trong qua khu cua doanh nghiep hay cua cac doanh
nghiep co hoat dong tuong tu. Neu cac yeu to nen tang gay ra ton that khong thay
doi th co the dung nhung so lieu qua khu de xay dung phan phoi cua so lan ton that
trong tuong lai. Thong thuong cac cong ty bao hiem co mot danh muc bao hiem voi
so luong lon cac loai rui ro khac nhau nen co duoc nhieu so lieu ton that cua mot rui
ro cu the, tu do xay dung duoc phan phoi cua ton that va tnh duoc ph bao hiem. oi
voi cac doanh nghiep phi bao hiem th thu thap so lieu du nhieu de co the xay dung
phan phoi cua ton that la dieu khong de dang

2. Nguon so lieu chu quan
Nguon so lieu khong phai tu thong ke bao gom cac phan doan ve phuong dien kinh
te, to chuc hay ky thuat cua doanh nghiep ve xac suat xay ra mot su co nao do va
anh huong ve mat kinh te cua su co do doi voi doanh nghiep. Cac ky su thiet ke va
cac chuyen vien van hanh cac thiet bi co the hieu cac khiem khuyet tiem tang nen
co the cho cac du doan ve xac suat hong hoc cua thiet bi. Cac ky su xay dung va
kien truc su co the cho cac nhan xet ve kha nang hu hai cua mot cau truc xay dung
doi voi nan dong dat hay huy hoai do thoi tiet, kh hau hay kha nang lan tran cua hoa
hoan trong toa nha. Cho cac tnh huong co the xay ra, chuyen gia ve san xuat co the
nhan dinh anh huong cua cac su co ta dang quan tam doi voi san luong, cac chuyen
gia ve marketing va tai chnh co the rut ra cac ket luan ve ket qua tai chnh va kinh
doanh

II. UOC LUONG TRUC TIEP PHAN PHOI TONG TON THAT

V du
Ta co so lieu ve tong ton that do hoa hoan hang nam nhu sau
22
Nam Tong ton that do hoa hoan

1964 260000
1965 35000
1966 97000
1967 425000
1968 8000
1969 18000
1970 90000
1971 82000
1972 38000
1973 35000
1974 132000
1975 49000
1976 280000
1977 5000
1978 40000
1979 10000
1980 14000
1981 76000
1982 62000
1983 620000

Tu so lieu tren ta co the lap phan phoi cho tong ton that nhu sau

Khoang ton that Xac suat Xac suat tch luy

0 - 10,000 0.15 0.15
10,001 - 25,000 0.1 0.25
25,001 - 50,000 0.25 0.5
50,001 - 75,000 0.05 0.55
75,001 - 100,000 0.2 0.75
100,001 - 250,000 0.05 0.8
250,001 - 500,000 0.15 0.95
500,001 - 750,000 0.05 1

III. UOC LUONG GIAN TIEP PHAN PHOI TONG TON THAT
23

Nhieu doanh nghiep khong the co duoc cac uoc luong hop ly truc tiep phan phoi cua
tong ton that v rui ro co the ch tap trung vao mot vai bo phan cua doanh nghiep. Trong
truong hop do de co the khai thac tot hon cac thong tin san co, ta tach cac so lieu ton
that ra lam hai bo phan: so lan ton that trong nam va muc do nghiem trong cua ton that
phat sinh. Tu cac so lieu nay ta xay dung phan phoi cua tan so ton that va muc do
nghiem trong cua ton that. Sau do ket hop hai phan phoi nay lai ta se duoc phan phoi
cua tong ton that

V du
Ta co so lieu ve tan so va muc do nghiem trong cua ton that nhu sau

Nam So
TT
Gia tri thuc
te cua tai san
Tan so TT duoc
dieu chnh
Muc do TT Ch so
gia
Muc do ton that
duoc dieu chnh

1
2
3
4
5
6
7
8

1
2
0
1
1
2
3
1

1
1
1
1
1
2
2
2

2
4
0
2
2
2
3
1

500
600; 15000
-
25000
4000
700; 5000
600; 9000; 16000
7000

82
84
85
88
90
93
95
100

610
714; 17857
-
28409
4444
752; 5376
631; 9474; 16842
7000

Tu so lieu tren ta loc ra duoc phan phoi cua tan so va muc do nghiem trong duoi day

Tan so TT/nam Xac suat Muc do nghiem trong Xac suat

0 0.125 0 - 1000 0.417
1 0.125 1001 - 5000 0.083
2 0.5 5001 - 10000 0.25
3 0.125 10001 - 20000 0.167
4 0.125 20001 - 30000 0.083
1.0 1.00

IV. CAC PHUONG PHAP KET HOP
1. Lap bang
24

e khong mat thoi gian tnh toan ta xem mot bang phan phoi tan so ton that va muc do
nghiem trong don gian hon nhu sau

Tan so TT/nam Xac suat Muc do ng.trong Diem giua Xac suat

0 0.5 0 - 1000 500 0.4
1 0.3 1001 - 5000 3000 0.3
2 0.2 5001 - 20000 12500 0.2
20001 - 50000 35000 0.1

Luc do ta co the xay dung phan phoi cua tong ton that bang cach ket hop hai phan phoi
tren trong bang sau

So TT TT thu nhat TT thu hai Tong TT Xac suat
0 - - 0 0.5 = 0.5
1 500 - 500 0.3*0.4 = 0.12
1 3000 - 3000 0.3*0.3 = 0.09
1 12500 - 12500 0.3*0.2 = 0.06
1 35000 - 35000 0.3*0.1 = 0.03
2 500 500 1000 0.2*0.4*0.4 = 0.032
2 3000 3000 6000 0.2*0.3*0.3 = 0.018
2 12500 12500 25000 0.2*0.2*0.2 = 0.008
2 35000 35000 70000 0.2*0.1*0.1 = 0.002
2 500 3000 3500 0.2*0.4*0.3 =0.024
2 500 12500 13000 0.2*0.4*0.2 = 0.016
2 500 35000 35500 0.2*0.4*0.1 = 0.008
2 3000 500 3500 0.2*0.3*0.4 = 0.024
2 3000 12500 15500 0.2*0.3*0.2 = 0.012
2 3000 35000 38000 0.2*0.3*0.1 = 0.006
2 12500 500 13000 0.2*0.2*0.4 = 0.016
2 12500 3000 15500 0.2*0.2*0.3 = 0.012
2 12500 35000 47500 0.2*0.2*0.1 = 0.004
2 35000 500 35500 0.2*0.1*0.4 = 0.008
2 35000 3000 38000 0.2*0.1*0.3 = 0.006
2 35000 12500 47500 0.2*0.1*0.2 = 0.002

Tu bang tren ta duc ket duoc phan phoi cua tong ton that nhu sau

Tong ton that Xac suat
25
0 0.5
500 0.12
1000 0.032
3000 0.09
3500 0.048
6000 0.018
12500 0.06
13000 0.032
15500 0.024
25000 0.008
35000 0.03
35500 0.016
38000 0.012
47500 0.008
70000 0.002
1.00

2. Mo phong
Neu so ton that co the xay ra trong mot nam hoi lon va co nhieu truong hop thiet hai
khac nhau th cach lap bang nhu tren khong kha thi, luc do so luong phep tnh se rat
lon. Trong truong hop do ky thuat mo phong co the giup ta giai quyet duoc van de.
oi voi bai toan tren, neu muon ap dung ky thuat mo phong de tm phan phoi cua
tong ton that th
Truoc tien ta se phat ra so lan ton that trong mot nam
Sau do ta se phat ra may muc do thiet hai tuong ung voi so lan ton that phat ra o
buoc truoc
Tnh tong ton that
Lap lai quy trnh tren mot so tuy y lan ta thu duoc phan phoi cua tong ton that, so
lan lap lai cang nhieu th ket qua mo phong cang gan voi tnh toan ly thuyet.
Duoi day la ket qua mo phong cua bai toan tren

26
Xac suat
Mo phong voi so lan lap lai la:
Tong
ton
that
Lap
bang 10 100 1000 10000
0
500
1000
3000
3500
6000
12500
13000
15500
25000
35000
35500
38000
47500
70000
0.5
0.12
0.032
0.09
0.048
0.018
0.06
0.032
0.024
0.008
0.03
0.016
0.012
0.008
0.002

0.5
0.2
0
0.1
0
0
0
0
0
0
0.1
0
0.1
0
0

0.54
0.13
0.04
0.09
0.02
0
0.07
0.06
0.01
0
0.04
0
0.01
0.01
0

0.5040
0.1390
0.029
0.079
0.05
0.016
0.07
0.034
0.018
0.003
0.025
0.015
0.01
0.006
0.002
0.5045
0.1193
0.0306
0.0894
0.045
0.0186
0.0598
0.032
0.0238
0.0095
0.0302
0.0147
0.0129
0.0081
0.0015

3. Phuong phap giai tch
Khi ta co the tm duoc phan phoi ly thuyet phu hop voi phan phoi cua tan so ton that
va muc do nghiem trong th ta co the rut ra bieu thuc chnh xac cho phan phoi cua
tong ton that

V. CAC TNH CHAT CUA PHAN PHOI CUA TONG TON THAT
Nguoi ta thuong xet cac dac trung quan trong cua phan phoi nhu trung bnh, do lech
chuan, he so bien thien, he so lech.de co mot hnh anh tong quat ve cach thuc dai
luong dang xet lay cac gia tri thuc te nhu the nao; doi voi phan phoi cua tong ton that th
cung khong nam ngoai thong le nay. Cong thuc tnh cac dac trung tren nhu sau

Gia tri trung bnh:
=
i
i i
L P L M ) (

Phuong sai:
=
i
2
i i
2
L M L P L )] ( [ ) (

o lech chuan: ) ( ) ( L L
2
=

He so bien thien:
) (
) (
L M
L
CV

=
27
He so lech (Skewness):
3
i
3
i i
3
L
L M L P
L
)] ( [
)] ( [
) (
=

trong do P
i
la xac suat de tong ton that nhan gia tri L
i

Trong thuc te rat hiem khi co duoc phan phoi ly thuyet cua tong ton that, tuy nhien ta co
the xem cac so lieu trong qua khu nhu la ket qua quan sat mau rut tu phan phoi cua tong
ton that va uoc luong cac dac trung tren theo cong thuc sau day

Ton that trung bnh:
=
=
n
1 j
j
L
n
1
L
o lech chuan:
2
1
n
1 j
2
j
L L
1 n
1
L S
(
=

=
) ( ) (
He so lech:
( )
[ ]
3
n
1 j
3
j
3
L S
L L
2 n 1 n
n
L
) (
) )( (
) (

=

28
KIEM SOAT RUI RO
_________

I. CAC BIEN PHAP CHUNG

1. Tranh, tu bo

2. Ngan ngua

Yeu to mao hiem
Moi truong
Tuong tac

3. Giam thieu

Tuong tac
Ket qua
Hau qua

Cac bien phap cu the:
Quan ly kien tung
Ban no
Tan thu
Ke hoach quan ly khung hoang
Phan cach
Du phong

4. Chuyen giao

5. Quan tri thong tin

29

II. CAC BIEN PHAP GIAM RUI RO TRONG KINH DOANH:

1. Chien luoc san xuat kinh doanh
Nghien cuu xu huong phat trien tren the gioi, khu vuc va trong nuoc
Van dong cac chien luoc v mo, dai han
Nghien cuu cac chien luoc phat trien dau tu khi thuan loi

2. San xuat
Ke hoach san xuat
Ke hoach duy tu, bao duong may moc, thiet bi
Bien phap on dinh nguon nang luong
Bien phap duy tr hoat dong lien tuc
Kiem tra chat luong san pham (ISO)
Quan tri ton kho: nguyen vat lieu, thanh pham.
Trung hoa (Hedging)
Chung nhan ban quyen
Kiem soat rui ro moi truong
3. Marketing
Nghien cuu thi truong
Quang cao
Nhan hieu (Branding)
Xac nhan (Testimonials)
Tham gia hoi cho, trien lam
Bao hanh (Warranty)
To chuc, quan ly cac kenh phan phoi
Phong trung bay (Show room)

4. Nguon nhan luc
Ke hoach phat trien nguon nhan luc
Huan luyen, boi duong, nang cao nghiep vu
He thong den bu cho nhan vien
* Cac chuong trnh phuc loi
* Bao hiem nhan tho
30
* Cac bien phap khuyen khch gan voi luong
Thuc hien quy che ve an toan lao dong
Mo rong kinh doanh de on dinh nguon nhan luc

5. Dau tu
Phan tan dau tu
Hop nhat va mo rong kinh doanh
Hnh thuc thanh lap
Van de pha san
Hoach dinh va phan tch tai chnh
* Hoach dinh ngan sach (Capital budgeting)
* Quan tri tn dung
* Quan tri tien mat
* Hieu qua dau tu ngan han
* Quan tri ton kho
* Hieu suat su dung tai san co dinh
* Hieu qua dau tu dai han

6. Tai tro
Ke hoach chuan bi nguon tai chnh
Lap cac quy du phong
Chuyen giao bang bao hiem
Khai thac thue tai chnh
Quan tri rui ro t gia
Su dung don bay tai chnh (Financial leverage)
Phan tch chi ph von
Xac dinh cau truc von

31
L THUYET PORTFOLIO
V QUAN TRJ RUI RO
III. GIAM THIEU RUI RO TRONG MT DANH MJC BAO HIEM
CC RUI RO DC LAP V DONG NHT
1. D|nh l gii hn trung tm
Phn phoi cua gi tri trung bnh cua n bin ngau nhin doc lap v chung phn phoi, moi
bin c trung bnh v phuong sai
2
, xap xi phn phoi chuan voi trung bnh v
phuong sai
n
2
khi n tng ln v han

2. Cc d}c trung cua tn tht trung bnh L
Ta dinh nghia
n
L L L
L
n 2 1
+ + +
=
...

Lc d trung bnh v phuong sai cua L duoc tnh nhu sau
( )
( ) ( ) ( )
n
L M ... L M L M
n
L ... L L
M L M
n 2 1 n 2 1
=
+ + +
= |
.
|
\
| + + +
=
( )
( ) ( ) ( )
n n
L D L D L D
n
L L L
D L D
2
2
n 2 1 n 2 1

=
+ + +
= |
.
|
\
| + + +
=
... ...

Theo dinh l gioi han trung tm,
|
|
.
|
\
|

n
L
2
; N
3. Xc sut ph san
Ta goi
*
L l tng gi tri du tru cua cng ty bao him, lc d cng ty s ph san khi
n
L
L
*
>
Xc sut ph san:
|
|
|
|
.
|
\
|

> =
|
|
|
|
.
|
\
|

> =
|
|
.
|
\
|
>
n
n
L
z P
n
L
z P
n
L
L P
p
p
* *
*

IV. GIAM THIEU RUI RO TRONG MT DANH MJC BAO HIEM
32
CC RUI RO DC LAP V KHNG DONG NHT
( )
( ) ( ) ( )
p
n 2 1 n 2 1
n
L M ... L M L M
n
L ... L L
M L M =
+ + +
= |
.
|
\
| + + +
=
( )
( ) ( ) ( )
2
P
2
n 2 1 n 2 1
n
L D L D L D
n
L L L
D L D =
+ + +
= |
.
|
\
| + + +
=
... ...

2. Xc sut ph san
Xc sut ph san:
|
|
|
|
.
|
\
|

> =
|
|
.
|
\
|
>
p
p
n
L
z P
n
L
L P
*
*

V. DO LUNG MUC D TUONG QUAN GIA CC RUI RO
1. Hip phuong sai (Covariance)
Nu cc rui ro phu thuc ln nhau, ta dinh nghia hip phuong sai (covariance) cua hai bin
ngu nhin nhu sau
( ) ( )( ) [ ] ( )
2 1 2 1 2 2 1 1 2 1 2 1
X X M X X M X X Cov = = =
,
,
2. H s tuong quan (Correlation)
H s tuong quan cua hai bin ngu nhin X
1
v X
2
chnh l hip phuong sai sau khi chinh
lai don vi do, duoc dinh nghia nhu sau

VI. GIAM THIEU RUI RO TRONG MT DANH MJC BAO HIEM
CC RUI RO PHJ THUC LAN NHAU
( )
( ) ( ) ( )
p
n 2 1 n 2 1
n
L M ... L M L M
n
L ... L L
M L M =
+ + +
= |
.
|
\
| + + +
=
2 1
2 1
2 1
r

=
,
,
33
( )
2
p
2
j i
j i j i
2
i
2
j i
j i
2
i
n 2 1
n
r
n n
L L L
D L D =
+
=
+
= |
.
|
\
| + + +
=

, , ...

r
i,j
cng nho th
2
p
cng nho
2. Xc sut ph san
Nu cc rui ro khng dc lp, phn phi cua L khng th xp xi chun. Trong truong hop
ny mun tnh xc sut ph san ta phai dng bt dng thuc Chebyshev, pht biu nhu sau
Voi moi bin ngau nhin X c phn phoi bat kv,
2
x
x
k
1
k
X
P
|
|
.
|
\
|
>

Vn dung bt dng thuc trn d uoc luong xc sut ph san nhu sau
2 2
p
p
p
p
p
p
z
1
n
L
1
n
L
L
P
n
L
L P =
|
|
|
|
.
|
\
|
|
|
|
|
.
|
\
|

>

=
|
|
.
|
\
|
>
*
*
*

34
PHN TN DAU TU

I. NGUON CUA SJ BT DJNH TRONG DAU TU

1. Rui ro do thiu thng tin v cng ty
2. Rui ro do li sut
3. Rui ro ti gi
4. Rui ro do la chn
5. Rui ro do d|nh thi dim
6. Rui ro v sc mua
Xay ra do lam pht, khi cng s tin nhung khng mua duoc luong hng ha nhu
truoc dy
Chi s gi ca (Consumer price index -CPI) l gi cua mt gio cc mt hng tiu
chun m mt gia dnh trung bnh phai tiu thu nhu thuc phm, qun o, thuc men,
tin nh. o mt thoi dim cu th
Tc d lam pht l muc d tng truong cua CPI theo thoi gian

t thang cua CPI
t) thang cua (CPI - 1) t thang cua (CPI
q
+
=

Li sut danh nghia rn

(Nominal interest rates) v li sut thuc t rr (Real interest
rates)

q 1
q r
r
q 1
r 1
r 1
n
r
n
r
+
=
+
+
= +

V du nu li sut danh nghia l 10% v lam pht 8% th li sut thuc t l
1.85% 0.0185
0.08 1
0.08 0.10
r
r
= =
+
=
Mun li sut thuc l 10% th li sut danh nghia phai l

18.8% 0.188 r
0.08 1
0.08 r
10%
n
n
= =
+
=

7. Rui ro do bin dng th| trung
8. Rui ro do quan l
9. Rui ro do vo n (Default risk)
Khi cng ty tam thoi khng tra duoc no do thiu hut tin mt ta ni cng ty bi mt
kha nng chi tra v mt ky thut. Diu ny c th xay ra cho ca nhung cng ty dang
c loi nhun cao
Khi ti san cua cng ty t hon no, cng ty bi mt kha nng chi tra trong tnh trang
ph san. Mt cng ty mt kha nng chi tra khng thanh ton duoc vn v li khi
do han th ta ni cng ty dang vo no
35
Uu tin thanh ton khi pht mi ti san cua cng ty bi ph san
* Chi ph ta n, lut su
* No tin luong cng nhn vin (c gioi han ti da)
* No thu Nh nuoc
* Chu no c th chp, bao dam
* Chu no khng duoc bao dam
* C dng c phiu uu di
* C dng c phiu thuong
10. Rui ro ti chnh
11. Rui ro thanh khoan
12. Rui ro do mua li chng khon
13. Rui ro do chuyn di chng khon
14. Rui ro chnh tr|
15. Rui ro trong ngnh hot dng

II. CC PHUONG PHP PHN TN DAU TU DON GIAN

1. Phn tn du tu don gian
Phn tn du tu don gian c th duoc dinh nghia l: Dung d tt ca cc qua trung
vo mt ci r
Khi chon ngu nhin n c phiu d du tu (porfolios) ta cung c th giam bot rui ro,
n cng lon muc d giam rui ro cng lon nhung cui cng portfolios cung cn phn
rui ro khng th giam duoc bng cch phn tn, ta goi d l rui ro h thng

Tng rui ro
Rui ro c th phn tn

Rui ro h thng
(khng th phn tn)

S c phiu trong portfolios
2. Phn tn qua nhiu ngnh
Nhiu nh tu vn cho rng chon danh muc du tu gm nhiu ngnh th c th phn tn
duoc rui ro tt hon chi chon trong mt ngnh. Diu ny dng, nhung nhung nghin cuu
thuc nghim cua Gio su Lorie v Fisher cho thy
Phn tn qua nhiu ngnh khng tt hon phn tn don gian
S chung khon trong danh muc tng qu 8 th muc d giam rui ro khng dng k
Khi chon qu nhiu chung khon trong danh muc th su phn tn d l khng cn thit,
lc d nh du tu c th gp nhung rc ri sau:
Khng th quan l tt khi quan l qu nhiu loai chung khon
C th mua nhm chung khon t do phai tm nhiu loai, dn dn thiu thng tin
Cng nhiu loai chung khon phai mua, chi ph nghin cuu, tm hiu cng lon
36
Mua nhiu loai th s luong mi loai phai mua c th khng nhiu, dn dn chi ph
giao dich cao

3. Phn tn qua cc mc cht lung
Wagner v Lau d nghin cuu vn d giam thiu rui ro khi phn tn du tu don gian chi
trong mt muc cht luong (phan nh rui ro do vo no), kt qua nghin cuu cho thy:
Vn c th giam thiu rui ro nhu khi phn tn du tu don gian qua cc muc cht
luong khc nhau
Voi cc muc cht luong khc nhau rui ro ti thiu c th dat dn khc nhau. Muc
cht luong cng cao th rui ro c th dat dn cng thp v loi sut cung thp tuong
ung

III. PHN TN CUA MARKOWITZ

1. V d:
Xem hai cng ty Du lich H (H) v san xut D (D), gia su ban c 100 triu v du
tu vo hai cng ty ny, mi bn 50 triu. Kt qua du tu cho trong bang duoi dy

Thi gian v thi tit
-------------------------------------------------------------------------------------------------------
t = 1 t = 2 t = 3 t = 4
Nng Mua Nng & Mua Nng & Mua Rui ro
Loi sut cua H -10% 35% 20% 15% 0.263
Loi sut cua D 30% -15% 0 5% 0.263
Loi sut cua dmdt 10% 10% 10% 10% 0

2. Li sut v rui ro cua danh mc du tu
Nu ta phn b du tu trn n chung khon, mi chung khon c loi sut
i
r v rui ro
i
,
h s tuong quan v loi nhun giua chung khon i v chung khon j l
ij
. Lc d nu
ta du tu vo chung khon i mt ti l l
i
x th loi sut
p
r v rui ro
p
cua danh muc du
tu c th duoc tnh theo cng thuc sau

=
=
n
1 i
i i p
r x r

j i ij j
n
1 i
n
1 j
i p
x x =

= =

3. Cc trung hp tuong quan
Ta xem hai chung khon A v B c loi sut v rui ro ln luot l
A
r = 5%,
B
r = 15%,
A
= 20%,
B
= 40%, h s tuong quan v loi nhun l
AB

Ty theo muc d tuong quan giua A v B: hon ton thun (
AB
= 1), hon ton nghich
(
AB
= -1) hay khng tuong quan (
AB
= 0) m ta s c cc duong chua cc danh muc
du tu nhu sau

37

15% B

AB
=-1

8.3%
AB
= 0
AB
= 1

5% A

18.7% 20% 40%

4. Phn tch danh mc du tu bng phn tn cua Markowitz
Bng cc phn tch co ban v k thut, nh du tu s chon mt s chung khon d
dua vo danh muc du tu, trong d ch chon sao cho c cc muc d tuong quan
v loi nhun m
Tnh cc dc trung cua cc chung khon nhu loi sut, rui ro, muc d tuong quan
Xc dinh cch thuc phn b du tu: th hin qua vic xc dinh cc gi tri
i
x sao cho
danh muc du tu l hiu qua nht, theo nghia voi mt muc rui ro d dinh th danh
muc s c loi sut lon nht, hoc voi mt muc loi sut cho truoc danh muc s c rui
ro thp nht. Nhung danh muc du tu hiu qua s nm trn mt duong goi l duong
bin hiu qua (Efficient frontier)

Loi sut Duong bin hiu qua
B

A P

Rui ro

38
5. Ti san khng rui ro cai thin dung bin hiu qua

Loi sut
Duong thi truong vn CML

Vay tin du tu

Cho vay v du tu

R

Rui ro

IV. DUNG DAC TRUNG

1. Li sut th| trung: Bin dc lp cua dung d}c trung
Ta k hiu loi sut thi truong o ky t l rm
,t
, c th duoc tnh tu mt chi s thi truong
no d, chng han o thi truong chung khon New York nguoi ta tnh rm
,t
nhu sau

t
t 1 t
t m
P S
P S P S
r
&
& &
,
=
+

trong d S&Pt
+1
v S&Pt l chi s S&P500 o du ky t+1 v du ky t. Khi mt chi s thi
truong d duoc nht tr th n nn duoc dng d xc dinh tt ca cc duong dc trung th
moi c th so snh cc duong ny voi nhau

2. Li sut ti san: Bin ph thuc cua dung d}c trung
Nu ti san d l chung khon ta c th tnh loi sut nhu sau

t
t t 1 t
t i
p
d p p
r
+
=
+
,

trong d dt l c tuc o ky t cua chung khon thu I
pt l thi gi cua chung khon o du ky t
pt
+1
l thi gi cua chung khon o du ky t+1

39
3. Uc lung v m ta dung d}c trung
Duong dc trung c th duoc uoc luong bng k thut hi quy nu chng ta c cc s
liu qu khu. Truoc tin chng ta tnh cc loi sut cua chung khon v loi sut thi
truong dng thoi trong tung ky, c th l ngy, thng, qu, nmTrong thuc t nguoi
ta thuong su dung s liu cua qu v dy l nhung thoi dim m cc cng ty phai cng
b kt qua hoat dng cua mnh v n s duoc phan nh trong thi gi c phiu. Cc s
liu ny cung cn duoc hiu chinh lai khi c nhung thay di nhu tch c phiu hay tra
c tuc bng c phiu
Mi quan h giua loi sut ti san v loi sut thi truong o ky t cho boi phuong trnh

t , i i t , m i t , i
e r r + + =

Tng loi sut = Loi sut khng th phn tn + Loi sut c th phn tn
Trong d
*
i
l giao dim cua duong dc trung voi truc tung. N cung l loi sut cua chung
khon i khi thi truong ngung tr, rm = 0, v duoc tnh theo cng thuc sau

m i i i
r r =

*
i
l d nghing cua duong dc trung, l chi s rui ro h thng cua chung khon.
H s ny c th duoc dng d sp hang rui ro h thng cua cc loai chung khon khc
nhau. Nu
i
lon hon 1, chung khon bin dng nhiu hon muc bin dng cua thi
truong v duoc goi l chung khon nng dng (aggressive). Nu
i
nho hon 1, chung
khon bin dng t hon muc bin dng cua thi truong v duoc goi l chung khon
phng v (defensive).
i
c th duoc tnh theo cng thuc sau

2
m
m i m i
i

=
,

m i,
l h s tuong quan giua loi sut chung khon i v loi sut thi truong
i
l d lch chun cua loi sut chung khon i
m
l d lch chun cua loi sut thi truong
*
t i
e
,
l sai s cua m hnh hi quy o ky t.
V du ta c th xem s liu c phiu IBM trong tung qu tu nm 1979 dn nm
1988 duoc su dung d tnh duong dc trung duoi dy
40

Thi ky S liu ban du
Th| gi du ky C tc
S liu hiu chinh
Th| gi du ky C tc
Li sut
c tc
Th| gi
thay di
Li sut
c phiu
1979 Q1 298.500 2.880 74.625 0.720 0.965% 5.695% 6.660%
1979 Q2 315.500 3.440 78.875 0.860 1.090% -6.973% -5.883%
Ngy 11 / 6 / 1979 IBM tuyn b tch c phiu theo ti l 1 thnh 4
1979 Q3
73.375 0.860 73.375 0.860 1.172% -7.666% -6.494%
1979 Q4
67.750 0.860 67.750 0.860 1.269% -4.982% -3.712%
1980 Q1
64.375 0.860 64.375 0.860 1.336% -13.398% -12.062%
1980 Q2
55.750 0.860 55.750 0.860 1.543% 5.381% 6.924%
1980 Q3
58.750 0.860 58.750 0.860 1.464% 9.149% 10.613%
1980 Q4
64.125 0.860 64.125 0.860 1.341% 5.848% 7.189%
1981 Q1
67.875 0.860 67.875 0.860 1.267% -8.103% -6.836%
1981 Q2
62.375 0.860 62.375 0.860 1.379% -7.214% -5.836%
1981 Q3
57.875 0.860 57.875 0.860 1.486% -6.479% -4.994%
1981 Q4
54.125 0.860 54.125 0.860 1.589% 5.081% 6.670%
1982 Q1
56.875 0.860 56.875 0.860 1.512% 5.055% 6.567%
1982 Q2
59.750 0.860 59.750 0.860 1.439% 1.464% 2.904%
1982 Q3
60.625 0.860 60.625 0.860 1.419% 21.031% 22.449%
1982 Q4
73.375 0.860 73.375 0.860 1.172% 31.175% 32.348%
1983 Q1
96.250 0.860 96.250 0.860 0.894% 5.714% 6.608%
1983 Q2
101.750 0.860 101.750 0.860 0.845% 18.182% 19.027%
1983 Q3
120.250 0.950 120.250 0.950 0.790% 5.509% 6.299%
1983 Q4
126.875 0.950 126.875 0.950 0.749% -3.842% -3.094%
1984 Q1
122.000 0.950 122.000 0.950 0.779% -6.557% -5.779%
1984 Q2
114.000 0.950 114.000 0.950 0.833% -7.237% -6.404%
1984 Q3
105.750 0.950 105.750 0.950 0.898% 17.494% 18.392%
1984 Q4
124.250 1.100 124.250 1.100 0.885% -0.905% -0.020%
1985 Q1
123.125 1.100 123.125 1.100 0.893% 3.147% 4.041%
1985 Q2
127.000 1.100 127.000 1.100 0.866% -2.559% -1.693%
1985 Q3
123.750 1.100 123.750 1.100 0.889% 0.101% 0.990%
1985 Q4
123.875 1.100 123.875 1.100 0.888% 25.530% 26.418%
1986 Q1
155.500 1.100 155.500 1.100 0.707% -2.572% -1.865%
1986 Q2
151.500 1.100 151.500 1.100 0.726% -3.300% -2.574%
1986 Q3
146.500 1.100 146.500 1.100 0.751% -8.191% -7.440%
1986 Q4
134.500 1.100 134.500 1.100 0.818% -10.781% -9.963%
1987 Q1
120.000 1.100 120.000 1.100 0.917% 25.104% 26.021%
1987 Q2
150.125 1.100 150.125 1.100 0.733% 8.243% 8.976%
1987 Q3
162.500 1.100 162.500 1.100 0.677% -7.231% -6.554%
1987 Q4
150.750 1.100 150.750 1.100 0.730% -23.383% -22.653%
1988 Q1
115.500 1.100 115.500 1.100 0.952%

41
Tu s liu trn v cc s liu v thi truong ta tnh duoc cc kt qua cho trong bang
sau:
IBM Th| trung
Loi sut trung bnh, E(r) 0.03108 0.04064
Rui ro tng th,
2
r Var = ) ( 0.01389 0.00749
D lch chun, 0.11785 0.08654
Rui ro h thng, ) ( ) (
i
2
m
2
i
r Var r Var = 0.007802 NA*
Rui ro khng h thng, Var(e) 0.00609 NA*
D lch chun, ) (e Var 0.07803 NA*
, chi s rui ro h thng 1.021 NA*
, giao dim voi truc tung -0.0104 NA*
, h s tuong quan voi thi truong 0.7495 NA*
2
, ti l rui ro h thng 0.56176 1.0

*NA c nghia l not applicable

Lc d duong dc trung c phuong trnh nhu sau

m i i m i
r r r E + = ) (

m m i
1.021r 0.0104 ) r E(r + =

4. Phn tch rui ro
Rui ro tng th c th duoc phn tch ra thnh cc thnh phn rui ro h thng v rui ro
khng h thng nhu sau

) ( ) (
i m i i i
e r Var r Var + + =

) ( ) ( ) ( ) (
i m i i i
e Var r Var Var r Var + + =

) ( ) ( ) (
i m
2
i i
e Var r Var 0 r Var + + =

) Var(e ) Var(r ) Var(r
i m
2
i i
+ =

RR tng th = RR h thng + RR khng h thng
0.01389 = 0.00780 + 0.00609
Ti l khng th phn tn: l ti l rui ro h thng trong tng th, c th duoc xc dinh
bng h s
2
nhu sau:

) Var(r
) Var(r
the tong ro Rui
thong he ro Rui
i
m
2
i
= =
2

42

56.17%
0.01389
0.00749 * 1.021
0.01389
0.007802
2
= = =
2

Ti l c th phn tn: l ti l rui ro khng h thng trong tng th, chnh l gi tri 1-
2
,
duoc tnh nhu sau:

) Var(r
Var(e)
the tong ro Rui
thong he khong ro Rui
i
= =
2
1

43.8%
0.01389
0.00609
0.5617 1 = =

Duong dc trung duoc dng d dnh gi nhung dc trung rui ro cua mt ti san ni
chung. Nhung kt qua tnh ton duoc trong v du trn cho ta thy c phiu cua IBM hoi
rui ro hon mt c phiu trung bnh cua thi truong (chng han c phiu cua mt qu du
tu theo danh muc S&P 500), diu ny th hin qua rui ro tng th v rui ro h thng cua
c phiu IBM.

43
V. RUI RO V LI NHUAN: M HNH CAPM
1. Li sut trung bnh, phuong sai, hip phuong sai, h s tuong quan
2. Rui ro v li sut cua danh mc du tu
Xem hai phuong n du tu A v B c loi sut trung bnh v phuong sai ln luot l
2
B
2
,
A B A
va ,
Mt cch phn b du tu vo hai phuong n ny c th biu thi nhu sau
B A
X 1 X X ) ( + =
trong d 1 v
B A
X X , l loi sut khi du tu vo phuong n A v B
Cc dc trung cua X duoc tnh nhu sau
( )
B A
1 X M + = ) (
3. Dung du tu hiu qua
4. S cn bng cua th| trung
5. Mi quan h gia rui ro v li sut trung bnh (CAPM)
6. Rui ro, li sut v d ton ngn sch

44
TAI TRO RUI RO

I. CAC BIEN PHAP TAI TRO RUI RO

1. Phan loai theo doi tuong tai tro
Giu lai: to chuc tu chi tra cac ton that
Chuyen giao: to chuc khac chi tra cac ton that, thuong phai co chi ph

2. Phan loai theo cach chuan bi nguon tai tro
Contemporaneuos: chi tra ngay khi ton that phat sinh, khong can chuan bi
nguon tai tro
Prospective: nguon tai tro duoc danh san
Retrospective: ton that duoc phan bo ra nhieu ky

II. GIU LAI

Ngoai du tnh
Co ke hoach

Sap xep ngan quy
Khong chuan bi truoc ngan quy
Tai khoan no du phong (Liability or Earmarked Account)
Hang nam, khoan ton that trung bnh duoc uoc luong va tru vao tai khoan thay v tru
toan bo ton that khi no xay ra
Tai khoan tai san du phong (Earmarked Asset Account)
To chuc giu mot khoan tien mat hay cac tai san co the de dang chuyen thanh tien
mat de chi tra cho ton that xay ra
Chi nhanh bao hiem (Captive Insurers)

III. CHUYEN GIAO BANG BAO HIEM

Cac yeu to cua mot dich vu bao hiem
Su thoa thuan tren hop dong
Tien tra (hoac hua tra) boi nguoi duoc bao hiem
So tien phai tra theo cac dieu kien da dinh trong hop dong bao hiem
Pha bao hiem phai co nguon chi tra cho cac khieu nai

IV. CHUYEN GIAO TAI TRO PHI BAO HIEM
45

Phan biet chuyen giao kiem soat rui ro va chuyen giao tai tro rui ro
1. Chuyen giao kiem soat rui ro
Chuyen giao tai san hay hoat dong cho nguoi khac
Loai tru hoac giam trach nhiem cua nguoi chuyen giao ve cac ton that
Xoa bo cac bon phan duoc gia dinh la cua nguoi chuyen giao

2. Chuyen giao tai tro rui ro
Cung cap cac quy ben ngoai de chi tra khi ton that xay ra

1. Chuyen giao tai tro phi bao hiem
Thuong duoc thuc hien qua hnh thuc hop dong, co the chuyen giao mot phan hoac
toan bo trach nhiem tai chnh

V. TRUNG HOA RUI RO

La cac hoat dong nham bu tru giua duoc va mat. Chien thuat trung hoa (Hedging)
thuong duoc su dung de bu tru rui ro do bien dong gia nguyen vat lieu hay t gia hoi
doai
Cong cu
Cac hop dong tuong lai (Futures Contract):
La cac hop dong phan phoi mot luong xac dinh nguyen vat lieu hay ngoai te o mot
thoi diem xac dinh trong tuong lai
Trung hoa thuong duoc su dung cho rui ro suy doan. Kho kiem soat
Bao hiem dung de tranh rui ro thuan tuy. Co the kiem soat phan nao
Giu lai co the dung cho bat cu loai rui ro nao

VI. GIU LAI HAY CHUYEN GIAO?

Ve lau dai to chuc nen thay viec mua bao hiem bang cac chuong trnh giu lai duoc
hoach dinh can than. ieu kien can thiet la phai co da kha nang re ta/ ch/nh de ganh
chiu MPC gan voi rui ro. Quyet dinh nen xet toi cac yeu to sau day:
1. Cac gioi han cua chuyen giao
Ch chuyen giao duoc mot phan
Su phuc tap cua ngon tu trong hop dong
Luat va cac quy dinh thuong t thay doi
Su da dang cua hop dong
Kha nang kiem soat rui ro cua nguoi nhan chuyen giao
2. Muc do kiem soat
46
Kha nang kiem soat rui ro cang lon giu lai cang thuan loi, neu mua bao hiem gia
cung thap
Giu lai giup tang cuong no luc cua to chuc trong viec phong chong rui ro
Mua bao hiem co the tao ra su mao hiem ve mat tinh than (moral hazard)
Tren quan diem loi ch chung, ben nao co kha nang kiem soat rui ro tot nhat nen
ganh chiu ton that

3. Ph cho bao hiem (Insurance Loading Fees)
La phan chenh lech giua gia mua bao hiem va ton that trung bnh, thuong chiem
khoang 30% - 40% gia mua doi voi bao hiem ve tai san hay phap ly.
Khach hang cang dong t le nay cang thap
Ph nay thuong duoc su dung de cung cap cac dich vu cho khach hang

4. Gia tri duoc tu bao hiem
Dich vu phan tch rui ro
Dich vu dieu chnh va kiem soat ton that
Chi ph thuong cao hon trong truong hop tu tai tro
Cong ty bao hiem lam viec hieu qua hon

5. Chi ph co hoi
So sanh hien gia cua gia mua bao hiem va chi ph giu lai

6. Thue
Cong ty bao hiem thuong duoc uu dai hon nhu duoc phep khau tru ton that truoc khi ton
that xay ra, tu do chi ph tai tro thuong thap hon, dac biet doi voi cac to chuc chiu thue
cao

7. Bat buoc phai giu lai
Khong co phuong tien chuyen giao
Khong co nguoi nhan chuyen giao
Khong the tranh hoac ngan ngua

47
THIET KE HOP DONG BAO HIEM

Hop dong bao hiem toan phan (Full insurance)
Hop dong co the giam tru (Deductible)
Hop dong dong bao hiem (Coinsurance)
Hop dong gioi han (Upper-limit)

V du:
Gia tri tai san ban dau: 260 tr
Ph bao hiem = Tien boi thuong trung bnh *150%

Bao hiem toan phan 20 tr Deductible
Xac suat Ton that Tien boi thuong Tai san Tien boi thuong Tai san
0.5 0 0 200 0 215
0.1 20 20 200 0 195
0.2 40 40 200 20 195
0.1 100 100 200 80 195
0.1 200 200 200 180 195
GTTB 40 40 200 30 205

75% Coinsurance 100 tr Upper-limit
Xac suat Ton that Tien boi thuong Tai san Tien boi thuong Tai san
0.5 0 0 215 0 215
0.1 20 15 210 20 215
0.2 40 30 205 40 215
0.1 100 75 190 100 215
0.1 200 150 165 100 115
GTTB 40 30 205 30 205

48
RUI RO TRONG KINH DOANH

I. RUI RO HOAT DONG

Dinh nghia rui ro hoat dong
Cac yeu to anh huong den rui ro hoat dong
a. Bien dong cua cac nen kinh te tren the gioi, trong khu vuc
b. Su thuan loi hay kho khan cua nen kinh te trong nuoc
c. Cac chnh sach cua nha nuoc
d. Cac yeu to canh tranh
e. Su thay doi so thch, tam ly cuanguoi tieu dung
f. Yeu to dau vao ( gia ca nguyen vat lieu, nguon nhan luc.) bien dong
g. Kha nang dieu chnh gia dau ra khi gia dau vao thay doi
h. Kha nang kiem soat cac hoat dong san xuat kinh doanh
i. T le dinh ph
Don bay hoat dong
DT DT

CP CP

P

P

Q* Q Q* Q

II. RUI RO TAI CHNH

Dinh nghia rui ro tai chnh
Cac dieu kien thuan loi cho viec su dung no
a. Doanh nghiep lon
b. Doanh thu on dinh
c. Cong ty co cac tai san co chuc nang pho thong
d. Cong ty co don bay hoat dong thap
e. Toc do tang truong nhanh
f. Kha nang sinh loi lon
49
g. Thue suat cao
Don bay tai chnh

tuc loi thue suat thue : T
hang Ngan suat lai : i

No - san tai Tong
T) - )(1 No i (EBIT
huu so chu Von
thuan tuc Loi
= =
E
r

Khi No = 0, ta co: r
E
=
san tai Tong
T) EBIT(1
r
0
=

Neu r
0
> i(1-T), ta co do thi cua r
E
nhu sau:

r
E

r
0

i(1-T)

0 Tg tai san No

Neu r
0
< i(1-T), ta co do thi cua r
E
nhu sau:

r
E

i(1-T)
r
0

0 EBIT/i Tg tai san No

Neu r
0
= i(1-T) EBIT(1-T) = i Tong tai san(1-T)
(EBIT - i No)(1-T)= i (Tong tai san - No)(1-T)
=
No) san tai (Tong

T) - No)(1 i - (EBIT
i(1-T)
50
r
E
= i(1-T)

Cau truc von muc tieu
Neu t suat loi nhuan tren von chu so huu du lon, ta co:

Khi no tang len, lai suat i co the tang theo, luc do r
E
khong tang theo dang hyperbol nhu
truong hop tren ma se co dang:

r
E

r
0

i(1-T)

0 Tg tai san No

Cau truc von toi uu can doi giua rui ro va t suat loi nhuan sao cho gia co phieu lon nhat.
Cac yeu to quan trong phai xem xet de quyet dinh cau truc von toi uu la:
Rui ro kinh doanh
Tnh trang thue
Kha nang tang von duoi nhung dieu kien bat loi
Phong cach quan ly: Bao thu hay nang no

Anh huong cua don bay tai chnh tren t suat loi nhuan / von so huu
tang phieu co Gia
giam phieu co Gia
tang nhuan loi suat T
tang ro Rui
tang No

51

Doanh thu 100 100 100
Chi ph 60 60 60
EBIT 40 40 40
Lai 0 5 9.9
Loi tuc truoc thue 40 35 30.1
Thue (T% = 40%) 16 14 12.04
Loi tuc thuan 24 21 18.06
Von chu so huu 100 50 1
No (r% = 10%) 0 50 99
T suat loi nhuan / Von so huu 24% 42% 1806%

Lai suat hiu qua = Lai suat danh nghia* (1-T%)

THUE

THUE / LAI

LOI TUC THUAN

LAI

52

III. CAC CAP DO DON BAY

Cap do don bay hoat dong

Cap do don bay tai chnh

Cap do don bay tong hop

DTL = DOL * DFL

IV. DO AN TOAN CUA DOANH NGHIEP:

Muc doanh thu an toan

T le doanh thu an toan

Cap do don bay hoat dong
Cap do don bay tai chnh
Cap do don bay tong hop
T le an toan
Kha nang thanh toan ngan han
I EBIT
EBIT
DFL
= =
EBIT cua doi thay %
thuan tuc Loi cua doi thay %

S
S S
*
=
%) ( T 1 S
NI
=
*
S S
S
EBIT
F EBIT
DOL
=
+
= =
thu Doanh cua doi thay %
EBIT cua doi thay %

*
S S =
53
Cau truc von
V du minh hoa

Ta hay xem v du cua cong ty ABC sau day:

Ch tieu Nam bao cao D.thu giam 5%
1. Doanh thu thuan (S)
18700 17765
2. Tong chi ph bien doi (VC)
7480 7106
3. Tong chi ph co dinh

(khong co chi ph tra lai)
7800 7800
4. Loi nhuan hoat dong (EBIT) (3-4)
3420 2859
5. Chi ph tra lai (I)
2650 2650
6. Loi nhuan truoc thue
770 209
7. Thue thu nhap (40%)
308 83.6
8. Loi nhuan sau thue
462 125.4
Doanh thu hoa von
13000 13000
Muc doanh thu an toan
5700 4765
T le doanh thu an toan
30% 27%
Cap do don bay hoat dong (DOL)
3.28 3.73
Cap do don bay tai chnh (DFL)
4.44 13.68
Cap do don bay tong hop (DTL)
14.57 51.00
T le an toan
4% 1%

54
LUFTHANSA

(Tnh hung Lufthansa v phn rui ro ti gi l tu liu cua Tin si Nguyn Ninh Kiu)

Ngay14/2/1986 Hoi dong quan tri cong ty hang khong Lufthansa trieu tap Herr Heinz
Ruhnau-Tong giam doc- len chat van va xem xet lieu co nen giu ong ta o vi tr cu hay
khong. Truoc do Bo truong Bo Giao thong van tai da yeu cau Herr Ruhnau giai thch ve
quyet dinh quan ly mang tnh chat dau co trong vu mua may bay Boeing
Thang 1 nam 1985 duoi su dieu hanh cua Ruhnau, Lufthansa da mua 20 may bay 737
cua hang Boeing. Gia thoa thuan khi ky hop dong la 500 trieu USD, thanh toan bang
USD ngay khi giao hang vao thang 1 nam 1986. ong dollard My da tang gia nhanh va
lien tuc tu nam 1980 va dang o muc 3.2 DEM/USD vao thang 1 nam 1985. Neu dollard
tiep tuc tang gia th khoan tien Lufthansa phai tra vao thoi diem thanh toan se tang dang
ke. Tuy nhien Ruhnau co nhan dinh rieng ve khuynh huong bien dong cua ty gia. Cung
nhu nhieu nguoi khac ong ta ngh rang dollard da tang gia qua nhieu roi, co le den thang
1 nam 1986 no se giam gia. Dau vay ong ta cung khong muon mao hiem tien bac cua
cong ty nen ong da phong chong rui ro ty gia mot nua gia tri hop dong (250 trieu USD)
va tha long nua con lai

Danh gia cac phuong an phong chong rui ro
Ve co ban Herr Ruhnau co 5 phuong an phong chong rui ro khac nhau:
1. Tha long tat ca hay khong phong chong g het
2. Phong chong toan bo gia tri hop dong bang hop dong forward
3. Phong chong rui ro mot phan, tha long mot phan
4. Phong chong rui ro bang hop dong option
5. Mua USD ngay bay gio va giu den ngay thanh toan

Mac du khoan tien phai tra cuoi cung cua moi phuong an chua biet truoc nhung ta co the
hnh dung ket qua cua moi phuong an va bieu thi chung tren do thi theo su bien dong
cua ty gia

55
CHI PH THEO TUNG PHUONG AN
1150
1600
1375
1246
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9 3 3.1 3.2 3.3 3.4 3.5 3.6 3.7 3.8 3.9 4
T gia
C
h
i

p
h

Phuong an khong phong chong rui ro
Phuong an nay co the mang lai loi ch lon nhat neu USD yeu di so voi mark uc. Neu ty
gia giam con 2.2 DEM/USD vao thang 1 nam 1986 th gia mua 20 chiec Boeing 737 ch
con 1.1 ty DEM. Tuy nhien neu USD tiep tuc tang gia, chang han den 4 DEM/USD th
tien tra se len den 2 ty DEM. Do do phuong an nay chua dung rui ro rat cao voi muc
dch dau co tien te. Tren hnh ve phuong an nay duoc the hien bang duong thang co do
doc lon nhat

Phuong an phong chong rui ro hoan toan bang hop dong forward
Neu Lufthansa ngai rui ro va muon tach hoan toan ra khoi rui ro ty gia no co the mua
hop dong forward toan bo so USD se tra. Hop dong nay giup co dinh ty gia o muc 3.2
DEM/USD va chi ph mua 20 chiec Boeing cuoi cung se la 1.6 ty DEM. Tren hnh ve
phuong an nay duoc the hien bang duong thang nam ngang

Phuong an phong chong mot phan bang hop dong forward
Theo phuong an nay Lufthansa ch phong chong mot phan gia tri hop dong, phan con lai
tha long nham muc dch dau co. Herr Ruhnau du doan rang USD se giam gia, v the ong
ta ngh rang Lufthansa se co loi neu de phan khong chong cang nhieu. Tuy nhien kho
quyet dinh duoc ty le phong chong thch hop, no la 20/80, 40/60 hay 50/50. Hnh ve trnh
bay truong hop ap dung ty le 50/50, ngha la mua 250 trieu USD theo hop dong forward
56
voi ty gia 3.2 DEM/USD va 250 trieu USD con lao se mua tren thi truong giao ngay o
thoi diem thanh toan
Co hai diem dang chu y trong phuong an nay. Thu nhat, mac du co phong chong nhung
rui ro tiem tang trong phuong an nay van khong gioi han, boi v neu USD tang gia th
250 trieu USD khong phong chong van co the tro thanh mot khoan chi khong xac dinh
cua Lufthansa. Thu hai, v kha nang USD tang gia rat kho xay ra nen Ruhnau da gioi
han chi tra trong khoan tu 1.1 den 1.6 ty DEM

Phuong an phong chong rui ro bang option tien te
Neu Ruhnau mua mot hop dong quyen chon ban (put option) DEM o ty gia 3.2
DEM/USD th ong ta se nhan duoc cai ma nhieu nguoi cho la tot nhat cho ca doi dang.
Neu USD tiep tuc tang gia th tong chi ph de co 500 trieu USD co the duoc khoa chat
o muc 1.6 ty DEM cong voi chi ph mua option. Neu USD giam gia dung nhu du doan
cua Ruhnau th Lufthansa cu de cho option het han va mua USD tren thi truong giao
ngay voi gia thap hon
Theo phuong an nay Ruhnau phai mua mot hop dong option voi ty gia thuc hien la 3.2
DEM/USD va ton chi ph 6% gia tri hop dong, tuc 96 trieu DEM hay 30 trieu USD. Nhu
the tong chi ph de mua 20 may bay Boeing se la 1ty 696 trieu DEM. Tuy nhien van de
la Ruhnau ngh dollard se yeu di va do do option se khong duoc thuc hien, trong khi thu
quy phai chi ra 96 trieu DEM de mua mot cong cu khong bao gio dung den

Mua dollard ngay khi ky hop dong
Phuong an thu nam la su dung thi truong tien te de phong chong rui ro bang cach mua
ngay 500 trieu USD khi ky hop dong va dau tu so tien nay vao mot tai san sinh loi nao
do cho den ngay thanh toan. Mac du phuong an nay phong chong duoc rui ro ty gia
nhung no doi hoi Lufthansa phai co du tien ngay khi ky hop dong, con so ma no ch co
the co duoc sau mot nam hoat dong. Hon nua Lufthansa co nhung quy dinh rat nghiem
ngat nham han che viec vay cac loai ngoai te de giu lanh manh bang tong ket tai san

Quyet dinh cua Herr Ruhnau
Mac du tin rang dollard se yeu di trong nam toi nhung Ruhnau thay rang qua mao hiem
neu tha long toan bo gia tri hop dong. Boi v co nhieu nguoi cung khuyen cao ve kha
nang dollard se len gia manh so voi mark uc trong nhung nam toi dua vao xu huong
bien dong cua ty gia trong may nam gan day, cuoi cung Ruhnau quyet dinh phong chong
50% gia tri hop dong bang forward va tha long 50% con lai

Ket qua nhu the nao?
Ket qua Ruhnau vua dung vua sai. Ong ta hoan toan dung khi du doan ve ty gia, dollard
tang gia them mot thang nua th khung lai va sau do giam gia. That ra no khong ch
giam ma con tuot gia manh. Vao thoi diem thanh toan ty gia ch con 2.3 DEM/USD!
ieu dang buon la chi ph theo phuong an phong chong mot phan bang hop dong
57
forward la 1 ty 375 trieu mark uc, cao hon phuong an khong phong chong 225 trieu
mark uc va phuong an phong chong bang option 129 trieu mark uc. Tong chi ph
DEM de co duoc 500 trieu USD theo cac phuong an voi ty gia thuc te la 2.3 DEM/USD
tai thoi diem thanh toan cho trong bang sau

Phuong an Ty gia Tong chi ph (DEM)
1. Khong phong chong 2.3 DEM/USD 1,150,000,000
2. Phong chong 100% bang forward 3.2 DEM/USD 1,600,000,000
3. Phong chong mot phan 0.5(2.3 DEM/USD)+
0.5(3.2 DEM/USD)
1,375,000,000
4. Phong chong bang option 3.2 DEM/USD 1,246,000,000

Ket qua tren khien cho dia vi cua Ruhnau bi lung lay ca trong Lufthansa lan ben ngoai.
Ruhnau da lieu lnh danh bac tien cua Lufthansa nhung ch bang phuong an tha long mot
phan chu khong tha long tat ca!

Cau hoi:
1. Neu o vao dia vi cua Ruhnau anh (chi) se chon phuong an phong ngua rui ro nao?
Giai thch ro v sao chon phuong an do?
2. Phan tch diem dung, diem sai trong quyet dinh cua Ruhnau? Tu do xet xem co nen
giu ong ta o lai vi tr cu khong? Nen doi xu voi ong ta nhu the nao?

58
RUI RO T GIA

I. THI TRUONG NGOAI HOI

1. Vai tro, dac diem
2. Thanh phan tham gia
Ngan hang trung uong
Cac ngan hang thuong mai
Cac nha kinh doanh va dau tu
Ca nhan va ho gia dnh

Cac nha kinh doanh (Dealers)
Cac nha moi gioi (Brokers)
Cac nha dau co (Speculators)
Cac nha kinh doanh chenh lech gia (Arbitraguers)

3. Cau truc cua thi truong
Thi truong tu do
Thi truong co to chuc

Thi truong giao ngay (spot market)
Thi truong co ky han (forward market)
Thi truong giao sau (future market)
Thi truong quyen chon (option market)
Thi truong hoan doi (swap market)
59

II. T GIA HOI DOAI

1. Khai niem
2. Yeu to quyet dinh t gia
3. T gia cheo

GBP/VND = GBP/USD X USD/VND
= 1.6281*14000 = 22793.4

4. T gia co ky han

Thi truong quoc te

Thi truong Viet Nam

F = S(100 + diem gia tang)
iem gia tang do NHNN an dinh theo tung thoi ky

III. CONG CU PHONG NGUA RUI RO T GIA

1. Chnh sach gia ca
2. Chnh sach thanh toan
3. Hop dong xuat nhap khau song hanh
4. Hoan doi ngoai te
5. Lap quy du phong rui ro t gia
6. Su dung thi truong tien te
7. Su dung hop dong forward
8. Su dung hop dong options
gia yet tien dong suat Lai :
y
r
gia dinh tien dong suat Lai :
d
r
ngay giao gia T : S
ky han co gia T : F

(
(
+
+
=
y
r
d
r
S F
1
1
60
CONG TY TNHH MAI LINH

Cong ty dich du taxi Mai Linh duoc chnh thuc khai truong ngay 12-7-1993. Hien tai,
cong ty co tren 600 chiec xe so voi 20 chiec vao luc ban dau. Ngay nay, Mai Linh co su
phat trien to lon ve so luong va chat luong dich vu. Nam 1996, nguoi ta du bao rang nhu
cau ve taxi tai thanh pho HCM se gia tang cung voi viec cai thien tieu chuan song va
thu nhap cua nguoi dan nen cong ty co ke hoach phat trien them 325 xe hoi vao nam toi.
Tuy nhien trong mot thi truong canh tranh th dieu do khong de dang g. Ban dieu hanh
cong ty gom :

Ong Hoang -Tong giam doc
Ong Ha -Giam doc tai chnh
Ba Le -Giam doc tiep thi

Tat ca deu cho rang nen can than hon khi dua ra quyet dinh. V vay ho dang trong cho
vao cac thac s quan tri kinh doanh (MBA) cung nhu cac sinh vien dang theo hoc MBA
giup ho trong nhung quyet dinh ve du toan ngan sach. Gia du ban la nguoi duoc cong ty
huan luyen de thuc hien du an, ban se de xuat voi cong ty quyet dinh g ve du toan ngan
sach? e giup ban cong ty cung cap nhung thong tin sau:

Von dau tu:
Sau khi lam viec voi nhieu dai ly cua cac cong ty xe hoi khac nhau, ong Hoang thay gia
bo thau (asking price) cua cong ty KIA la vua phai. Mac du chat luong xe KIA khong
cao bang cac nhan hieu noi tieng cua Nhat nhu Toyota, Nissan, hay Mitsubishi, ong van
thch xe KIA hon v gia re. O thoi diem do gia mot chiec KIA la 14000 USD, ngoai gia
mua cong ty con phai chi them mot so chi ph khac va thue chu quyen, cho trong bang
ben duoi. Luu y o thoi diem do t gia VND/USD la 12000. Theo so lieu qua khu, ta biet
xe co tuoi tho trung bnh la 5 nam ke tu luc mua va gia tri thanh ly t nhat la 15% gia
mua ban dau. Tuoi tho cua cac thiet bi cung la 5 nam nhung khong thanh ly duoc sau khi
da su dung. Theo ong Ha th cong ty dang su dung phuong phap khau hao thang trong ca
viec khai thue va cho nhung hoat dong kinh doanh. ay chua phai la phuong phap tot
nhat nhung ong Ha ngh co the chap nhan duoc v no don gian va phu hop dieu kien
quan ly cua cong ty

61
Bang du lieu 1: Tong von dau tu cho moi xe
(Tong gia tri tnh bang USD)
Gia mua xe 14000
Chi ph nhung trang thiet bi kem theo 1034
Thue quyen so huu (4%) 560
Tong von dau tu 15594

Chi ph va doanh thu hang nam
Can cu vao ket qua xu ly so lieu tu mot cuoc dieu tra nghien cuu thi truong thuc hien
boi mot cong ty tu van noi tieng, ba Le da du bao doanh thu cua cong ty se tang 8% moi
nam. Du sao ba Le cung rat than trong trong viec du bao doanh thu hang nam cua cong
ty. Theo ba doanh thu moi thang cua moi xe la khoang 16 trieu dong Viet Nam, trong do
35% duoc chia cho tai xe va phan con lai la cua cong ty . Muc thu nhap nay co the dat
duoc trong nhung dieu kien xau nhat. Hien nay dich vu taxi theo quy dinh phai dong
thue doanh thu voi thue suat 4% doanh thu.
Theo hop dong ky ket giua tai xe va cong ty , tai xe phai chiu tat ca cac bien ph nhu
ph xang dau, rua xe va tien thue ben bai .Theo kinh nghiem may nam truoc, ong Ha
cho biet chi ph hoat dong moi nam bao gom luong gian tiep, khau hao va nhung chi ph
khac nhu la tiep thi, bao hiem, cac khoan tien thue muon va cac chi ph khac thay doi
khong dang ke. e thuan loi hon cho ban, ba Le va ong Ha da tom tat nhung chi ph nay
trong bang so 2 :

Bang 2 : Du bao nhung ph ton trong thang ngoai tru khau hao va chi ph tra
lai cho 325 xe
So tien (trieu dong)
Bao tr 260
Luong 177
Tien thue 52
Bao hiem 70
Tiep thi 45,5
Nhung thu khac 73,8
Tong cong 678,3

Chi ph von va thue
e dat duoc yeu cau ve von dau tu, Cong ty Mai Linh da len ke hoach huy dong tu hai
nguon von sau: von vay va loi nhuan giu lai. Sau khi lam viec voi ngan hang thuong mai
A chau, giam doc tai chnh cho biet cong ty co the vay duoc 50% tong so von dau tu tu
ngan hang ACB voi lai suat 15%. Tuy nhien chi ph no co the tang len 18% neu cong ty
tai tro cho du an hon 50% bang no.
oi voi loi nhuan giu lai th tnh chi ph se kho khan hon boi v hien nay thi truong
chung khoan cua Viet Nam chua hoat dong mot cach bai ban. Tuy nhien ong ta ngh
62
rang neu khong su dung loi nhuan giu lai cho du an nay, no co the duoc dung cho nhung
muc dch khac va dem lai mot loi suat mong doi la 15%. Do vay chi ph co hoi cua loi
nhuan giu lai la 15% co the duoc xem la thch hop cho viec uoc tnh chi ph cua loi
nhuan giu lai.
Nhung nam gan day Viet nam tien hanh nhieu hnh thuc cai to va to chuc lai nen kinh
te. Ben canh nhung thanh tuu da dat duoc chnh phu phai doi mat voi nhieu van de kho
khan, dac biet la nan un tac giao thong o cac thanh pho lon nhu thanh pho Ho Ch
Minh. Nham khuyen khch nguoi dan thanh pho su dung phuong tien cong cong thay the
cho nhung phuong tien van chuyen ca nhan, chnh phu da ap dung muc thue thu nhap
35% cho nganh dich vu taxi. Muc thue suat nay khong qua cao so voi mot so nganh
khac.

Cau truc von toi uu:
Trong cuoc hop gan day nhat cua hoi dong quan tri, ong Ha da nhan manh den mot
nhan to khac co the anh huong den chi ph cua dong von, do la co cau nguon von, cai
ma cong ty dang xem la toi uu dua tren nhung dieu kien hien tai va duoc du bao trong
tuong lai. Trong nhung nam truoc cong ty cung da thiet lap mot cau truc von muc tieu,
theo do yeu cau 30% no va 70% von chu so huu cua cong ty. Tuy nhien bay gio cong ty
cung xem xet hai phuong an trong do ty le no co the se tang len. Cac phuong an duoc
mo ta o bang 3 duoi day:

Phuong an 1 Phuong an 2

No 50% 60%
Loi nhuan giu lai 50% 40%
Tong cong 100% 100%

Quyet dinh ve du toan ngan sach:
Trong du toan ngan sach, co nhieu phuong phap khac nhau duoc su dung de danh gia
trien vong cua du an nhu gia tri hien tai (NPV), t suat noi hoan (IRR), t suat noi hoan
co dieu chnh (MIRR). Tuy nhien, o Viet Nam do anh huong cua co che quan ly cu, mot
so nha quan ly tai chnh khong ap dung nhung phuong phap nay. Trong nhung nam gan
day, ong Ha co nghe noi ve nhung phuong phap nay nhung khong biet dung nhu the nao.
Ong ta se khong the phan biet su khac nhau cua cac phuong phap, v the ong ta khong
biet cai nao la tot nhat. Boi vay , ong ta ngh rang ong ta nen nghe gop y tu nhung
chuyen gia giau kinh nghiem. ay cung la mot co hoi tot cho ong de co bai hoc huu ch
tu nhung nha tu van
Duoi day la cac ket qua tnh cac gia tri NPV va IRR cua du an tuong ungvoi hai phuong
an cua cau truc von de ong Ha chon lua. Hay phan tch tat ca cac rui ro cho du an tren.
63

Cong ty Taxi Mai Linh
Loi nhuan giu lai k
S
No k
D
Chi ph von
Phuong an I 50% 15% 50% 15% 12.38%
Phuong an II 40% 15% 60% 18% 13.02%
Nam 0 1 2 3 4 5
Doanh thu 62400.00 67392.00 72783.36 78606.03 84894.51
Doanh thu thuan 59904.00 64696.32 69872.03 75461.79 81498.73
Bien ph 20966.40 22643.71 24455.21 26411.63 28524.56
Dinh ph 8139.60 8139.60 8139.60 8139.60 8139.60
Khau hao 12163.32 12163.32 12163.32 12163.32 12163.32
EBIT 18634.68 21749.69 25113.90 28747.24 32671.25
Tnh cho phuong an I
Tien lai (15%) 4561.25 4561.25 4561.25 4561.25 4561.25
Loi tuc truoc thue 14073.44 17188.44 20552.65 24186.00 28110.01
Thue 4925.70 6015.96 7193.43 8465.10 9838.50
Loi tuc thuan 9147.73 11172.49 13359.22 15720.90 18271.51
Tra lai khau hao 12163.32 12163.32 12163.32 12163.32 12163.32
Thanh ly 8190.00
Ngan luu -60816.6 21311.05 23335.81 25522.54 27884.22 38624.83
NPV
I
33651.10
IRR
I
30.91%
Tnh cho phuong an II
Tien lai (18%) 6568.19 6568.19 6568.19 6568.19 6568.19
Loi tuc truoc thue 12066.49 15181.50 18545.70 22179.05 26103.06
Thue 4223.27 5313.52 6491.00 7762.67 9136.07
Loi tuc thuan 7843.22 9867.97 12054.71 14416.38 16966.99
Tra lai khau hao 12163.32 12163.32 12163.32 12163.32 12163.32
Thanh ly 8190.00
Ngan luu -60816.6 20006.54 22031.29 24218.03 26579.70 37320.31
NPV
II
27436.53908
IRR
II
28.43%

64
DANH GIA RUI RO CUA DU AN
___________

I. RUI RO TRONG THAM DINH DU AN VE TAI CHNH

1. Phan tch do nhay (Sensitivity Analysis)
La ky thuat phan tch muc do bien dong cua ket qua theo mot yeu to nao do, cac
yeu to khac duoc giu nguyen
V du

Lech so voi NPV
bnh thuong (%) Luong ban Bien ph/don vi Chi ph von
-10 4080 11369 8035
0 (bnh thuong) 6996 6996 6996
10 9911 2622 6003

2. Phan tch tnh huong (Scenario Analysis)
La ky thuat phan tch rui ro trong do cac yeu to anh huong duoc sap xep thanh ba
nhom tnh huong: tat ca deu xau, thong thuong, tot roi so sanh ket qua tnh toan tren
ba tnh huong nay

V du

Tnh huong Xac suat Luong ban Gia NPV

Xau 0.25 15000 1500 -5761
Thong thuong 0.50 20000 2000 6996
Tot 0.25 25000 2500 23397
M(NPV) = 7909
=
NPV
10349
=
NPV
CV 1.3

3. Phuong phap mo phong Monte Carlo
La ky thuat phan tch rui ro su dung cac phan mem chuyen dung nhu Crystal Ball de
mo phong quy luat cua cac yeu to anh huong roi tnh toan ket qua. Lap lai quy trnh
nay mot so lan tuy y ta se phat hien duoc quy luat cua ket qua va tu do co the khai
65
thac duoc nhung thong tin can thiet
V du

Ban dinh mua khu nha Futura Apartments de kinh doanh khach san, nghien cuu tnh
hnh kinh doanh cua nganh nay ban co duoc mot so ket qua sau:
Tien thue phong o khu vuc nay la 500 $ / thang
So phong cho thue moi thang nam trong khoang tu 30 den 40
Chi ph hoat dong trung bnh moi thang cho toan khu nha khoang 15000$ nhung
co the thay doi mot t giua cac thang
Do tnh bat dinh cua hai thong tin sau, chung ta khong the xac dinh chnh xac ket qua
kinh doanh khu nha nay. Trong truong hop nay ky thuat mo phong Monte Carlo to ra
rat thch hop, mo hnh xay dung tren Excel nhu sau:

Sau khi gia dinh quy luat cho cac yeu to So phong cho thue va Chi ph hoat
dong, ta cho du an nay hoat dong thu 500 thang bang cach cho mo hnh chay 500
lan, ket qua kinh doanh co phan phoi nhu sau

66

Tu cac ket qua cua Crystal Ball ta thay du an co kha nang bi lo la 9.8%, loi nhuan
trung bnh moi thang la $2385 voi sai lech trung bnh la $1825. Ket qua kinh doanh
trong thang co the bien dong tu lo $3029 toi loi $7690 va 50% la loi nhuan hang
thang lon hon $2329

II. RUI RO TRONG QUAN TRI DU AN
Trong quan tri du an nguoi ta quan tam den viec lap lich trnh cho cac cong viec (co
the lien quan voi nhau) cua mot du an. Mot trong nhung van de quan trong cua quan
tri du an la xac dinh thoi gian hoan thanh du an. Cac thoi gian thuc hien cac cong
viec trong du an co the xac dinh hay bat dinh, nhieu luc ta khong the biet chnh xac
moi cong viec se duoc lam trong bao lau ma ch co the uoc luong thoi gian toi thieu,
67
thoi gian thuong nhat va thoi gian toi da de thuc hien cong viec do. ieu nay co
ngha la thoi gian ket thuc du an cung khong the biet chac ma se bien dong theo quy
luat nao do.
Cac phuong phap phan tch thong thuong nhu PERT cho phep chung ta xac dinh kha
nang hoan tat du an voi gia dinh rang co the dung cac thoi gian trung bnh hoan
thanh cong viec de xac dinh duong gang (critical path). Ky thuat mo phong co the
dua vao nhung dac trung thuc te hon cho thoi gian hoan thanh du an va cac rui ro
lien quan. Chung ta se minh hoa cach phan tch rui ro trong quan tri du an bang v du
sau day
V du

Mot cong ty tu van duoc thue de giup danh gia mot phan mem moi. Nguoi phu trach
phong he thong thong tin co trach nhiem phoi hop cac hoat dong tu van va cac nguon
luc cua cong ty. Cac cong viec sau day duoc xac dinh cung voi thoi gian toi thieu (a),
thuong nhat (b) va toi da (c) de hoan thanh. Thoi gian hoan tat du an du dinh la 140
ngay. V day la mot ung dung moi nen cac thoi gian hoan thanh cong viec duoc phan
doan theo chu quan, gia dinh co phan phoi tam giac, mot so khac duoc xem nhu
khong doi
a. Cac dac trung trung bnh va phuong sai cua thoi gian hoan thanh cac cong
viec duoc tnh theo cong thuc sau:
6
c 4b a
bnh trung thanh hoan gian Thoi
+ +
=
( )
36
2
a - c
sai Phuong =
b. Thoi diem bat dau som cua moi cong viec la gia tri lon nhat cua cac thoi
diem ket thuc som cua cac cong viec ngay truoc do
c. Thoi diem ket thuc som = Thoi diem bat dau som + Thoi gian hoan thanh
cong viec
d. Thoi diem ket thuc som cua cong viec cuoi cung dien ta thoi gian hoan thanh
som nhat du an, la thoi gian toi thieu hoan thanh du an
e. e tnh cac thoi diem bat dau tre va ket thuc tre, ta dat thoi diem ket thuc tre
cua cong viec cuoi cung bang voi thoi gian hoan thanh du an. Thoi diem bat dau tre
co duoc bang cach tru thoi gian hoan thanh cong viec vao thoi diem ket thuc tre
f. Thoi diem ket thuc tre cua mot cong viec bat ky X la gia tri nho nhat cua cac
thoi diem bat dau tre cua cac cong viec thuc hien ngay sau cong viec X
g. Slack la hieu so cua thoi diem ket thuc tre va som
h. Thoi gian hoan thanh cong viec la cac gia tri trung bnh
Theo cach lam thong thuong dua tren cac thoi gian trung bnh, ta xac dinh duoc
duong gang voi slack bang 0 la B-F-G-H-I-K-M-O-P-Q va thoi gian hoan thanh du
an trung bnh la 147.5 ngay
Cac cong viec duoc cho trong danh sach duoi day
68

Cong viec CV truoc do Tg toi thieu Thuong nhat Tg toi da
A
B
C
D
E
F
G
H
I
J
K
L
M
N
O
P
Q
Thanh lap ban ch dao du an
Trien khai danh muc cac yeu cau
Trien khai quy mo he thong
Xac dinh nhom ban tiem nang
Thanh lap nhom danh gia
at yeu cau cho ke hoach de xuat
To chuc dau thau
Duyet cac de xuat
Chon danh sach nhom ban
Kiem tra nhom ban
Nhom ban trnh bay
oi tuong khach hang
Chon nguoi ban
Kiem tra do nhay cua doanh so
Thuong luong hop dong
Phan tch hieu qua
Trnh lanh dao duyet
_
_
_
_
A
B,C,D,E
F
G
H
I
I
I
J,K,L
M
M
N,O
P
15
40
10
2
5
4
1
25
3
3
20
3
3
10
10
2
5
15
45
14
2
7
5
1
30
5
3
30
3
3
13
14
2
5
15
60
30
5
9
8
1
50
10
10
45
5
3
20
28
2
5

Van de se phat sinh khi cac thoi gian hoan thanh cong viec thuc te khac voi gia tri
trung bnh, luc do duong gang va thoi gian hoan thanh du an co the khac voi ket qua
tren rat nhieu. Ky thuat mo phong co the giai quyet duoc van de nay va cho ta cach
nhn chnh xac hon kha canh rui ro cua bai toan. e lam duoc dieu nay ta gan cac
phan phoi tam giac CB.Triangular(Minimum, Likeliest, Maximum) cho cac thoi gian
hoan tat cong viec va cho chay mo phong mot so lan tuy y de co phan phoi cua thoi
gian hoan thanh du an. Mo hnh mo phong duoc xay dung trong bang duoi day
69

A B C D
E
G H I J K
1
Quan tri du an

2
3 C
v
Tg
tt
Tg
tn
Tg
td
Tg hoan tat B.dau som K.thuc
som
Bdau tre Kthuc tre Slack
4 A 15 15 15 15 0 =G4+E4
=J4-E4
=I8 =J4-H4
5 B 40 45 60 =CB.Triangular(B5,C5,D5) 0 =G5+E5 =J5-E5 =I9 =J5-H5
6 C 10 14 30 =CB.Triangular(B6,C6,D6) 0 =G6+E6 =J6-E6 =I9 =J6-H6
7 D 2 2 5 =CB.Triangular(B7,C7,D7) 0 =G7+E7 =J7-E7 =I9 =J7-H7
8 E 5 7 9 =CB.Triangular(B8,C8,D8) =H4 =G8+E8 =J8-E8 =I9 =J8-H8
9 F 4 5 8 =CB.Triangular(B9,C9,D9) =MAX(H5,H6,H7,H8) =G9+E9 =J9-E9 =I10 =J9-H9
10 G 1 1 1 1 =H9 =G10+E10 =J10-E10 =I11 =J10-H10
11 H 25 30 50 =CB.Triangular(B11,C11,D11) =H10 =G11+E11 =J11-E11 =I12 =J11-H11
12 I 3 5 10 =CB.Triangular(B12,C12,D12) =H11 =G12+E12 =J12-E12 =MIN(I13,I13,I15) =J12-H12
13 J 3 3 10 =CB.Triangular(B13,C13,D13) =H12 =G13+E13 =J13-E13 =I16 =J13-H13
14 K 20 30 45 =CB.Triangular(B14,C14,D14) =H12 =G14+E14 =J14-E14 =I16 =J14-H14
15 L 3 3 5 =CB.Triangular(B15,C15,D15) =H12 =G15+E15 =J15-E15 =I16 =J15-H15
16 M3 3 3 3 =MAX(H13,H14,H15) =G16+E16 =J16-E16 =MIN(I17,I18) =J16-H16
17 N 10 13 20 =CB.Triangular(B17,C17,D17) =H16 =G17+E17 =J17-E17 =I19 =J17-H17
18 O 10 14 28 =CB.Triangular(B18,C18,D18) =H16 =G18+E18 =J18-E18 =I19 =J18-H18
19 P 2 2 2 2 =MAX(H17,H18) =G19+E19 =J19-E19 =I20 =J19-H19
20 Q 5 5 5 5 =H19 =G20+E20 =J20-E20 =H20 =J20-H20
21
Thoi gian hoan thanh du an =H20

70

Tu ket qua tren ta thay thoi gian hoan thanh trung bnh cua du an la 151 ngay, voi
sai lech trung bnh la 9 ngay. Co the hoan thanh du an som nhat la 130 ngay va tre
nhat la 178 ngay

III. CAC KYTHUAT DANH GIA RUI RO THI TRUONG

2. He so rui ro
anh gia muc do rui ro cua cong ty theo thi truong. Tu mo hnh CAPM ta co moi
quan he giua va loi suat mong doi neu dau tu vao cong ty nhu sau

) (
RF M RF S
k k k k + =

3. Cach xac dinh

Xac dinh cua du an theo cua nhung doanh nghiep niem yet tren thi truong
chung khoan ch san xuat mot san pham tuong tu nhu du an
Xac dinh cua don vi bang cach hoi quy tieu thuc kha nang kiem loi nhuan co ban,
san tai Tong
EBIT
, cua don vi theo tieu thuc nay cua mot nhom lon cac cong ty, chang
han trong danh muc S&P 500. cua don vi sau do se duoc dung nhu cua du an

71

RUI RO TAI SAN

I. PHAN LOAI RUI RO TAI SAN

1. Loai tai san
ia oc, dat dai va cac cau truc gan lien
Tai san ca nhan: - May moc thiet bi
- Hang tieu dung

2. Nguyen nhan rui ro
Vat chat: lua, bao, no.
Xa hoi: trom cap, tham nhung, su bat can, dnh cong, noi loan.
Kinh te: su xu no, t gia hoi doai, lai suat bat on.

3. Ket qua truc tiep, gian tiep va co yeu to thoi gian
Ket qua truc tiep xay ra khi hiem hoa tac dong len tai san tao ra su thay doi
ve gia tri cua tai san
Ket qua gian tiep xay ra nhu la hau qua cua ket qua truc tiep nhung khong
lien quan den tac dong truc tiep cua hiem hoa len tai san
Ket qua co yeu to thoi gian la mot loai ket qua gian tiep dac biet, trong do
yeu to thoi gian duoc tnh toi khi danh gia

II. DANH GIA CAC TON THAT VE TAI SAN

1. Gia thi truong
Gia thi truong cua bat dong san co the duoc uoc luong thong qua gia cua mot
bat dong san tuong tu vua moi ban, no phan anh co hoi su dung bat dong san
Gia thi truong cua tai san ca nhan co the duoc dinh theo gia mua hien tai

2. Chi ph thay moi
Chi ph thay moi la gia cua tai san moi nguyen, khong giong y nhu tai san bi
pha hong nhung dat cac yeu cau su dung hien tai
Tuong doi khach quan, thuong la lon hon gia thi truong cua tai san bi hong

3. Chi ph thay moi co tru khau hao va loi thoi
= Chi ph thay moi - (Khau hao vat chat + Su loi thoi)
anh gia khau hao va su loi thoi co tnh chu quan

72
4. Danh gia khi khong co sua chua va thay the
Hien gia cua dong loi nhuan trong tuong lai do tai san tao ra
Khi quyet dinh tu bo phai xem xet cac yeu to:
(a) Chi ph thay the
(b) Hien gia cua dong loi nhuan trong tuong lai do tai san tao ra
(c) Gia thi truong cua tai san khi chua hong

(a) > (b) tu bo
(c) > (b) nen ban truoc khi hong
Khi danh gia ton that nen tnh toi thiet hai tam thoi do gian doan hoat dong

III. YEU TO THOI GIAN CUA TON THAT

1. Giam doanh thu
Ton that do thue nha
Ton that do gian doan hoat dong, bao gom:
- Loi nhuan rong neu hoat dong khong gian doan
- Cac chi ph co dinh
- Chi ph trong thoi gian hoi phuc lai muc hoat dong truoc day
Ton that do cac gian doan bat ngo, tuy thuoc vao:
- Muc do phu thuoc vao khau cung cap va tieu thu
- Kha nang gian doan hoat dong cua cac khau cung cap va tieu thu
- Thoi gian hoi phuc

2. Tang chi ph
Ton that do chiu cac chi ph cao hon, nhieu hon khi su hoat dong lien tuc la
can thiet
Ton that do huy hop dong thue
Ton that tu cac trang thiet bi khong thao do duoc cua ben thue nha
73
RUI RO NGUON NHAN LUC

I. DANH GIA TON THATCUA NGUOI LAO DONG

1. Tan so ton that
T le tu vong
Tnh hnh suc khoe kem
Tuoi gia va huu tr
That nghiep

2. Muc do ton that
Ton that thu nhap tiem nang
Uoc luong nhu cau
Cac chi ph tang them

II. DANH GIA RUI RO TRUC TIEP CUA TO CHUC

1. Ton that do mat nguoi chu chot

2 Ton that do mat cac khoan tn dung

3. Ton that do hoat dong bi dnh tre

4. Ton that do nguon nhan luc bien dong

5. Chi ph tuyen dung, huan luyen, dao tao

6. Ton that do chay mau chat xam

7. Ton that do mau thuan noi bo

8. Ton that do khong su dung hieu qua nguon nhan luc

9. Moi truong lam viec khong dam bao an toan lao dong

10. Rui ro phap ly trong qua trnh tuyen dung, su dung, sa thai
74
III. CAC BIEN PHAP KIEM SOAT RUI RO NGUON NHAN LUC

1. Ke hoach phat trien nguon nhan luc

2. Chnh sach tuyen dung

3. Huan luyen, boi duong, nang cao nghiep vu

4. He thong budap cho nhan vien
Cac chuong trnh phuc loi
Bao hiem nhan tho
Cac bien phap khuyen khch gan voi luong
Cac bien phap tai tro giup nhan vien cai thien cuoc song
Su quan tam cua lanh dao
To chuc cac sinh hoat de tao su gan bo

5. Phan cong ro rang, hop ly

6. He thong danh gia chnh xac

7. Thuc hien quy che ve an toan lao dong

8. Mo rong kinh doanh de on dinh nguon nhan luc

75
PHN TCH RUI RO
CHO DOANH NGHIJP

I. GII THIJU
Trnh by vn d
Muc dch, nghia cua vic phn tch rui ro cho doanh nghip
Gioi han pham vi

II. TONG QUAN L THUYET
Cc l thuyt c lin quan
Cc khi nim, cng cu, phuong php phn tch cn su dung
Cc nghin cuu, cc d ti d lm cho doanh nghip truoc dy c th su dung d phn
tch rui ro cua doanh nghip

III. PHUONG PHP NGHIN CUU
Xc dinh cc thng tin cn thu thp, ngun cung cp thng tin thu cp v so cp, cch
thu thp thng tin
Chon quy trnh v cc phuong php phn tch: Tu vi m dn vi m (SWOT), theo cch
phn loai rui ro (theo lnh vuc hoat dng, theo di tuong chiu rui ro, theo tnh cht rui
ro...), theo luu d...
Xy dung cc thang do dnh gi rui ro: dinh tnh, dinh luong

IV. PHN TCH RUI RO CUA DOANH NGHIJP
M ta chi tit hoat dng cua doanh nghip
Su dung cc phuong php nhn dang d nhn ra cc rui ro cua doanh nghip theo quy
trnh d xy dung
Thu thp s liu thch hop d dnh gi cc rui ro quan trong, bng phuong php dinh
tnh hay dinh luong
Xy dung tiu ch v sp xp cc rui ro theo thu tu uu tin

V. KET QUA
1. Kin ngh| quy trnh kim sot rui ro
Quyt dinh giu lai, chuyn giao
Cc bin php kim sot cc rui ro giu lai
Cc phuong n chuyn giao kim sot
2. Kin ngh| cc bin php ti tr

Quan Tri Rui Ro - Bai Giang

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Quan Tri Rui Ro - Bai Giang

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Quan tri Rui ro Th.

s Tran quang Trung

khi n tng ln v han

No) san tai (Tong

Quan tri Rui ro Th.s Tran quang Trung

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