Quyen Chon Chung Khoan

Chuyn : Quyn chn chng khon

GVHD: Th.S Dng Kha

haMc lcDanh mc hnh v biu .....................................................................................5 Danh mc cc t vit tt.........................................................................................6 Li m u..............................................................................................................7 Chng 1: Nhng l lun c bn v th trng quyn chn v iu kin p dng quyn chn vo th trng chng khon..........................................................91.1 Gii thiu v quyn chn:...............................................................................10 1.1.1 nh ngha:...............................................................................................10 1.1.1.1 Quyn chn l g?................................................................................10 1.1.1.2 Quyn chn mua:.................................................................................10 1.1.1.3 Quyn chn bn:..................................................................................10 1.1.2 Phn loi hp ng quyn chn:...............................................................11 1.1.2.1 Theo quyn ca ngi mua:................................................................11 1.1.2.2 Theo thi gian thc hin:.....................................................................12 1.1.2.3 Theo th trng giao dch:...................................................................12 1.1.3 Cc ch th tham gia th trng quyn chn:............................................13 1.1.4 C ch hot ng ca quyn chn:............................................................14 1.1.5 u nhc im ca quyn chn:...............................................................17 1.1.5.1 u im: .............................................................................................17 1.1.5.2 Nhc im:........................................................................................18 1.1.6 S pht trin ca th trng quyn chn:..................................................18 1.2 Chin lc phng nga ri ro bng quyn chn:............................................21 1.2.1 Phng trnh li nhun:............................................................................21 1.2.2 Giao dch quyn chn mua:.......................................................................22 1.2.2.1 Mua quyn chn mua:.........................................................................22 1.2.2.2 Bn quyn chn mua:..........................................................................23 1.2.3 Giao dch quyn chn bn:........................................................................24 1.2.3.1 Mua quyn chn bn:..........................................................................24 1.2.3.2 Bn quyn chn bn:...........................................................................26 1


GVHD: Th.S Dng Kha

1.2.4 Quyn chn mua v c phiu Quyn chn mua c phng nga:........26 1.2.5 Quyn chn bn v c phiu Quyn chn bn bo v:...........................28 1.2.6 Quyn chn mua v quyn chn bn lai tp:.............................................30 1.3 iu kin p dng quyn chn chng khon vo th trng chng khon:....31 1.3.1 iu kin v s pht trin th trng chng khon:..................................31 1.3.2 iu kin v php l:................................................................................31 1.3.3 iu kin v thng tin trn th trng:......................................................33 1.3.4 iu kin v k thut:...............................................................................34 1.3.5 iu kin v con ngi:............................................................................34 1.4 Nhng tc ng khng mong mun ca quyn chn chng khon:...............35

Chng 2: Mt vi v d v p dng quyn chn chng khon trn th gii. .36 2.1 M hnh M:...................................................................................................36 2.1.1 TTCK M:................................................................................................36 2.1.2 Sn giao dch quyn chn chng khon Chicago (CBOE):......................37 2.1.2.1 Lch s hnh thnh v pht trin:.........................................................37 2.1.2.2 T chc sn giao dch:.........................................................................39 2.1.2.3 Giao dch v thanh ton:......................................................................41 2.1.2.4 C ch gim st:.................................................................................44 2.2 M hnh Chu u:..........................................................................................45 2.2.1 Sn giao dch quyn chn Chu u (Euronext N.V.):..........................45 2.2.1.1 Lch s hnh thnh v pht trin:........................................................45 2.2.1.2 Hot ng ca Euronext N.V:.............................................................47 2.2.1.3 T chc v qun l:............................................................................47 2.2.2 Sn giao dch giao sau v quyn chn ti chnh quc t London (LIFFE):48 2.2.2.1 Lch s hnh thnh v pht trin:........................................................48 2.2.2.2 Nguyn tc giao dch:.........................................................................49 2.2.2.3 Quy trnh giao dch:...........................................................................50 2.3 M hnh Nht:................................................................................................53 2.3.1 Th trng chng khon Nht:..................................................................53 2.3.2 Sn giao dch chng khon Tokyo (TSE):................................................542


GVHD: Th.S Dng Kha

2.3.2.1 Lch s hnh thnh v pht trin:.........................................................54 2.3.2.2 C ch giao dch:.................................................................................55 2.3.2.3 C ch gim st:..................................................................................57 2.4 Nghin cu v khng hong ti chnh 2008:..................................................57 2.4.1 Mc s dng cng c phi sinh cho mc ch phng nga v u c:.57 2.4.2 Trng phi cho rng cng ty khng nn s dng cng c phi sinh: .....60 2.4.2.1 Cng c phi sinh-Tc nhn ca cuc khng hong TC ton cu:.......60 2.4.2.2 Phng nga ri ro khng nhng khng lm gim thiu ri ro m cn lm gia tng ri ro:.......................................................................................................63 2.4.3 Trng phi cho rng cng ty nn s dng cng c phi sinh:.................64 2.5 Bi hc kinh nghim rt ra i vi Vit Nam khi ng dng quyn chn chng khon vo TTCK Vit Nam:........................................................................................70 Chng 3: p dng giao dch quyn chn chng khon vo Vit Nam...........733.1 Th trng chng khon Vit Nam:................................................................73

3.1.1 Giai on 2000-2005.................................................................................73 3.1.2 Giai on 2006-2010.................................................................................743.2 S cn thit ca ng dng giao dch quyn chn trong TTCK Vit Nam:......80

3.2.1 To cng c bo v li nhun cho nh u t...........................................80 3.2.2 Thc y pht trin chng khon Vit Nam..............................................81 3.2.3 Tc ng gin tip n cc cng ty nim yt trn TTCK..........................813.3 ng dng quyn chn chng khon vo th trng Vit Nam:......................82

3.3.1 Nhng iu kin khi p dng quyn chn chng khon trong th trng chng khon Vit Nam................................................................................................823.3.1.1 Cc iu kin thun li:.......................................................................81 3.3.1.2 Cc kh khn cn tn ti:....................................................................84

3.3.2 Gii php s dng giao dch quyn chn chng khon vo th trng chng khon Vit Nam................................................................................................853.3.2.1 Gii php v xy dng v hon thin khung php l:..........................85 3.3.2.2 Gii php v t chc qun l ca cc c quan chc nng:...................90 3.3.2.3 Nhm gii php pht trin th trng:..................................................92 3


GVHD: Th.S Dng Kha

3.3.2.4 Gii php pht trin v nng cao cht lng ngun nhn lc:.............98

3.3.2.5 Cc nhm gii php khc:..................................................................100 3.4 M hnh giao dch xut cho Vit Nam:....................................................101 Kt lun...............................................................................................................103 Ti liu tham kho..............................................................................................104

4


GVHD: Th.S Dng Kha

Danh mc hnh v biu Chng 1: Hnh 1.1: Mua quyn chn mua..............................................................................23 Hnh 1.2: Bn quyn chn mua...............................................................................24 Hnh 1.3: Mua quyn chn bn...............................................................................25 Hnh 1.4: Bn quyn chn bn................................................................................26 Hnh 1.5: Quyn chn mua c phng nga........................................................27 Hnh 1.6: Quyn chn bn bo v...........................................................................29 Chng 2: Hnh 2.1: M hnh ca sn giao dch CBOE...........................................................41 Hnh 2.2: Quy trnh giao dch ca LIFFE...............................................................50 Hnh 2.3: Giao dch trn th trng quyn chn TSE.............................................56 Hnh 2.4: Tng gi tr danh ngha chng khon phi sinh ca h thng ngn hng M................................................................................................................................58 Hnh 2.5: T trng cc giao dch phi sinh.............................................................59 Hnh 2.6: Mc s dng cng c phi sinh trong phng nga v u c............59 Hnh 2.7: Li sut M giai on 2001-2005........................................................61 Hnh 2.8: Nhu cu nh M giai on 1995-2007.................................................62 Hnh 2.9: Chnh lch li sut M........................................................................65 Hnh 2.10: Doanh s bn nh M giai on 1995-2007......................................66 Hnh 2.11: n by ti chnh ca ngn hng M qu I nm 2008.......................68 Chng 3: Hnh 3.1: S lng CTCK giai on 2000..............................................................78 Hnh 3.2: Thng k m s chng khon nim yt 2000-2010.................................79 Hnh 3.3: M hnh giao dch quyn chn chng khon xut cho th trng chng khon Vit Nam.........................................................................................................101

5


GVHD: Th.S Dng Kha

Danh mc cc t vit ttTn vit tt AMEX ATM BVLP CBOE CDS CORES-FOP Tn ting anh The American Stock Exchange At the money Bolsa de Valores de Lisboa e Porto Chicago Board Options Exchange Credit Default Swap Computerized Order Routing and Execution System for Futures and Options CTCK DN EURONEXT N.V FANNIE MAE FED FREDDIE MAC HNX HOSE IPO ITM LCE In the money London Commodity Exchange6

Tn ting vit Th trng chng khon M Ngang gi quyn chn Sn giao dch quyn chn Lisbon v Porto S giao dch quyn chn Chicago Hp ng bo lnh n kh i H thng t lnh v thc hin lnh t ng cho hp ng giao sau v hp ng quyn chn Cng ty chng khon Doanh nghip Sn giao dch quyn chn Chu

Federal National Mortgage Association Federal Home Loan Mortgage Corporation

u Hip hi quc gia ti tr bt ng sn ca M Cc d tr lin bang M Tp on cho vay quc gia M Sn giao dch chng khon H Ni Sn giao dch chng khon TP.HCM Cho bn chng khon ln u ra cng chng Cao gi quyn chn Sn giao dch hng ha

Chuyn : Quyn chn chng khon LIFFE London International Financial Futures and LIFFE CONCERT LTOM MBS NT NHTM NYSE OTM OCC PHLX PSE SEC SGDCK TSE TTCK TTGDCK UBCK WTO Options Exchange London International Financial Futures and Options Exchange Connect London Commodity Exchange Mortgage Backed Securities New York Stock Exchang Out the money Option Clearing Corporation Philadelphia Exchange Pacific Stock Exchange Securities Exchange Commission Tokyo Stock Exchange

GVHD: Th.S Dng Kha Sn giao dch giao sau v quyn chn ti chnh quc t Sn giao dch in t v giao sau v quyn chn ti chnh quc t Sn giao dch quyn chn London Hp ng cho vay bt ng sn c th chp Nh u t Ngn hng thng mi Sn giao dch chng khon New York Kit gi quyn chn Cng ty thanh ton hp ng quyn chn S giao dch chng khon

Philadenphia S giao dch chng khon Pacific y ban giao dch chng khon Hoa K S giao dch chng khon S giao dch chng khon Tokyo Th trng chng khon Trung tm giao dch chng khon y ban chng khon T chc thng mi th gii

World Trade Organization

7


GVHD: Th.S Dng Kha

LI M U1. L do chn ti: Ngy ny, hi nhp l xu hng chung ca c th gii ch khng ch Vit Nam. S hi nhp ton cu mang li nhiu iu thun li nhng ng thi cng mang n nhiu kh khn. Nhng kh khn chnh l cc ri ro c th nhn thy hoc cc ri ro tim n. Cc ri ro ny tn ti mt cch ngu nhin trong tt c cc lnh vc sn xut, kinh doanh, ti chnh, tn dng,... Cc ri ro c th lm nh u t tn tht, cng ty b ph sn, v nn kinh t ri vo tnh trng suy thoi. hn ch iu ny th cng c phi sinh l mt trong nhng la chn ti u nht, v n ngy cng c s dng rng ri trn ton th gii nh l cng c ch yu v khng th thiu trong vic qun tr ri ro. Trong thi gian qua, TTCK Vit Nam c s pht trin vt bc, c xem l th trng chng khon hp dn nht nm 2006. Nhng vn tim n rt nhiu ri ro. Vic ch s VN-Index tng gim ht sc tht thng dn n mt s nh u t thua l nng, khng th no tr vng trn th trng nn t bn tho bo ton vn v sm rt ra khi th trng, lm cho th trng cng tr nn trm trng hn, d dn n khng hong, sp . Mt th trng ri ro nh vy th vic p dng cng c phi sinh trong th trng chng khon l rt cn thit. Mt trong s nhng cng c phi sinh c th phng nga ri ro cho nh u t trong tng lai l quyn chn chng khon. Trn th gii th n tr thnh mt cng c phng nga khng th thiu ca cc nh u t, cng ty,.... p dng c n vo th trng Vit Nam th cn phi tm hiu v nghin cu trn c l thuyt v thc tin. cng chnh l l do ti chn chuyn v Quyn chn chng khon, nhm a ra mt hng pht trin mi cho nn chng khon Vit Nam. 2. Ni dung ti:

8


GVHD: Th.S Dng Kha

Nghin cu lm r mt s vn c bn v quyn chn, th trng quyn chn, nghin cu mt s m hnh t chc giao dch quyn chn chng khon tiu biu trn th gii. Nghin cu cc iu kin p dng quyn chn trn TTCK. Nghin cu lch s hnh thnh pht trin ca TTCK Vit Nam, thc trng TTCK Vit Nam hin nay t nh gi cc iu kin pht trin giao dch quyn chn chng khon ti Vit Nam. xut mt s gii php p dng giao dch quyn chn v xut m hnh giao dch hp ng quyn chn cho th trng chng khon Vit Nam. 3. i tng v phm vi nghin cu ca ti: i tng nghin cu ca chuyn l nghin cu cc l lun c bn v quyn chn chng khon, cc iu kin p dng quyn chn chng khon v kh nng p dng qun chn chng khon vo TTCK Vit Nam Phm vi nghin cu: cc l lun v quyn chn chng khon, TTCK Vit Nam, th trng quyn chn M, th trng quyn chn Chu u. 4. Phng php nghin cu ca chuyn : S dng kt hp cc phng php nghin cu nh phn tch-tng hp, thng k-m t, so snh-i chiu, phng php quan st thc t khi qut vn cn nghin cu. 5. Kt cu ca chuyn : Chuyn tt nghip: Quyn chn chng khon, c kt cu thnh 3 chng : Chng 1: Nhng vn l lun c bn v quyn chn v iu kin p dng

quyn chn chng khon vo TTCK Chng 2: Mt vi v d v p dng quyn chn chng khon trn th gii. Chng 3: p dng giao dch quyn chn chng khon vo Vit Nam

9


GVHD: Th.S Dng Kha

Chng 1: Nhng l lun c bn v th trng quyn chn v iu kin p dng quyn chn vo th trng chng khon1.1 Gii thiu v quyn chn: 1.1.1 nh ngha:

1.1.1.1 Quyn chn l g? Quyn chn l mt hp ng gia hai bn ngi mua v ngi bn trong cho ngi mua quyn, nhng khng phi l ngha v, mua hoc bn mt ti sn no vo mt ngy trong tng lai vi gi tr ng vo ngy hm nay. Ngi mua quyn chn tr cho ngi bn mt s tin gi l ph quyn chn. Ngi bn quyn chn sn sang bn hoc tip tc nm gi ti sn theo cc khon ca hp ng nu c ngi mua mun th.. Mt quyn chn mua ti sn gi l quyn chn mua (call). Mt quyn chn bn ti sn gi l quyn chn bn (put). Mc d th trng quyn chn c giao dch trn th trng c t chc, nhng phn ln cc giao dch quyn chn c qun l ring gia hai bn, nhng ngi ny t tm n vi nhau v h cho rng h thch nh vy hn l giao dch ti sn. Loi th trng ny gi l th trng OTC, y chnh l loi th trng quyn chn xut hin u tin. Khi phn tch cc quyn chn, chng ta thng tp trung vo cc sn giao dch c t chc nhng cc nguyn tc nh gi v vic s dng chng trn th trng OTC cng tng t nh th.Hu ht cc quyn chn m chng ta quan tm l mua hoc bn1.1.1.2 Quyn chn mua:

Quyn chn mua l quyn c ghi trong hp ng cho php ngi mua la chn quyn mua mt s lng chng khon trong tng lai vi gi c tha thun trc trong hp ng hin ti. Thi gian c hiu lc ca hp ng quyn chn c xc nh n ngy o hn. Gi thc thi quyn chn c gi l gi thc hin. 1.1.1.3 Quyn chn bn:10


GVHD: Th.S Dng Kha

Quyn chn bn l quyn c ghi trong hp ng cho php ngi mua quyn chn bn la chn quyn bn mt s lng chng khon trong tng lai vi gi c tha thun trc trong hp ng hin ti.1.1.2 Phn loi hp ng quyn chn:

1.1.2.1 Theo quyn ca ngi mua: Hp ng quyn chn mua (Call options): L mt tha thun giao dch mt lng ti sn c s nht nh, trong ngi mua call options (A) s tr cho ngi bn call options (B) mt khon tin, gi l gi tr quyn chn hay ph quyn chn (options premium) v A s c quyn c mua nhng khng bt buc phi mua mt lng ti sn c s theo mt mc gi c tho thun trc vo mt ngy hoc mt khong thi gian xc nh trong tng lai. B nhn c tin t A nn B c trch nhim phi bn lng ti sn c s vi gi thc hin tha thun vo ngy o hn (nu l quyn chn kiu Chu u) hoc bt k ngy no trong khong thi gian t ngy k hp ng n ngy o hn (nu l quyn chn kiu M), khi A mun thc hin quyn mua ca mnh. Vo ngy thc hin quyn (thng cng l ngy kt thc hp ng), sau khi xem xt vi mc gi giao ngay ca ti sn c s ngy ny, nu thy c li cho mnh, tc gi ti sn c s ln hn gi thc hin, A c th thc hin quyn ca mnh c mua lng ti sn c s mc gi thc hin, ri ra th trng bn li vi gi cao hn thu mt khon li nhun. Nu thy gi ca ti sn c s di gi thc hin, A c th khng cn phi thc hin quyn mua ca mnh, v chu l tin ph quyn chn. Hp ng quyn chn bn (Put options): L mt tha thun giao dch mt lng ti sn c s nht nh, theo ngi mua Put options (C) s tr cho ngi bn Put options (D) mt khon tin, gi l gi tr quyn chn bn hay ph Put options v C s c quyn nhng khng phi l ngha v phi bn lng ti sn c s theo mt mc gi tha thun trc (gi thc hin) vo mt ngy hoc mt khong thi gian xc nh trong tng lai. D nhn c tin t C, nn c ngha v phi mua lng ti sn c s mc gi thc hin vo ngy o hn (nu l quyn chn kiu Chu u) hoc bt k ngy no trong khong thi gian t ngy k hp ng n ngy o hn (nu l quyn chn kiu M), khi C mun thc hin quyn c bn ca mnh. Vo ngy thc11


GVHD: Th.S Dng Kha

hin quyn (thng cng l ngy kt thc hp ng), sau khi xem xt gi giao ngay ca ti sn c s trn th trng, nu thy c li cho mnh, tc mc gi ny nh hn gi thc hin, C c th thc hin quyn ca mnh c bn lng ti sn c s vi gi thc hin sau khi mua c ngoi th trng vi gi thp hn thu mt khong li nhun. Nu thy gi giao ngay cao hn gi thc hin, C c th khng cn phi thc hin quyn chn bn ca mnh, v chu l tin ph quyn chn.1.1.2.2 Theo thi gian thc hin:

Quyn chn kiu M (American style option) L quyn chn cho php ngi nm gi thc hin quyn mua hoc bn ca mnh vo bt k thi im no trong thi gian hiu lc ca hp ng, k t khi k kt hp ng cho n ht ngy o hn ca hp ng. Vic thanh ton s thc s xy ra trong vng hai ngy lm vic sau khi vic thc hin quyn chn c ngi nm gi xc nhn (trong thi gian hiu lc ca hp ng). Quyn chn kiu chu u (European style option) l quyn chn ch cho php ngi nm gi thc hin quyn mua hoc bn ca mnh vo ngy o hn ca hp ng. Vic thanh ton thc s xy ra trong vng hai ngy lm vic sau khi vic thc hin quyn chn c ngi nm gi xc nhn vo ngy o hn. S phn bit gia hai loi quyn chn kiu chu u v quyn chn kiu M khng lin quan n v tr a l. a s hp ng quyn chn c trao i chnh yu trn th trng M. Tuy nhin, quyn chn kiu chu u c c im d phn tch hn quyn chn kiu M v mt s thuc tnh trong quyn chn kiu M thng c suy ra t quyn chn kiu chu u. 1.1.2.3 Theo th trng giao dch: Hp ng quyn chn giao dch trn th trng tp trung: L quyn chn c tiu chun ha v quy m, s lng, gi thc hin v ngy o hn, c giao dch trn cc th trng tp trung nh Chicago Board of Trade, TTCK New YorkDo , tnh minh bch ca th trng rt cao, th hin ch gi c, s lng ca hp ng giao dch c cng b chi tit vo cui ngy giao dch, lm d liu tham kho cho cc ngy giao dch tip theo hoc cho nhiu mc ch khc. c bit, cc hp ng quyn chn ny c th c d dng chuyn nhng gia cc NT, iu ny cho thy tnh thanh12


GVHD: Th.S Dng Kha

khon cao ca cc hp ng quyn chn c giao dch trn cc th trng tp trung kiu ny. Trn th gii, th trng giao dch quyn chn theo kiu ny chim t trng rt ln, khong 98% tng gi tr giao dch quyn chn ca th gii. Hp ng quyn chn giao dch trn th trng phi tp trung : L tha thun mua bn gia hai bn, theo quyn chn c ngi bn a ra theo tha thun vi ngi mua nhm p ng nhu cu c th ca mt ngi mua, chng khng c giao dch trn cc s giao dch tp trung. Hp ng thng c giao dch gia cc i tc lin ngn hng, hoc gia ngn hng vi khch hng l cc c nhn, doanh nghip(DN). Do cc hp ng quyn chn khng c chun ha, chi tit ca hp ng l tha thun gia cc bn, nn tnh linh hot i vi cc hp ng ny l rt cao, p ng c cc nhu cu c bit ca cc khch hng. D vy, cc giao dch quyn chn phi tp trung kiu ny ch chim khong 2% gi tr giao dch quyn chn trn th gii. 1.1.3 Cc ch th tham gia th trng quyn chn: Cc ch th tham gia th trng giao dch quyn chn rt a dng, bao gm cc DN, cc c nhn, cc t chc hot ng ti chnh nh ngn hng thng mi (NHTM), ngn hng u t, cng ty chng khon (CTCK)Da vo cc mc ch tham gia th trng ca mi i tng, ta c th phn ra thnh cc nhm sau: Nhng ngi phng nga ri ro: L nhng t chc ti chnh v phi ti chnh hay

nhng c nhn, tham gia th trng quyn chn do c nhu cu giao dch cc loi ti sn c s nh ngoi t, chng khon, vng, li sutv c nhng lo ngi v s bin ng ca gi c hng ha, t gi, li sutlm nh hng n kt qu hot ng kinh doanh, li ch ca h. Thng thng, h tham gia th trng vi t cch l nhng ngi mua cc quyn chn bo him cc ri ro v s bin ng ca gi c, t gi, li sutH sn sng b ra mt khon ph cho hp ng quyn chn i ly mt mc t gi, gi c, li sut c nh. Cc NT, u c: L cc c nhn, cc t chc ti chnh v phi ti chnh, tham

gia vo th trng vi mc ch u c vo s chnh lch t gi, gi c, li sut H thng da vo cc cng c phn tch k thut a ra cc d on v xu hng t gi, gi c, li sutT , thc hin mua bn cc quyn chn thch hp thu li nhun.13


GVHD: Th.S Dng Kha

Cc t chc ti chnh trung gian: Bao gm cc NHTM, ngn hng u t,

CTCKNgoi mc ch tham gia vo th trng cng vi t cch l cc NT hoc nhng ngi c nhu cu v bo him ri ro. cc nc pht trin, ni m cc giao dch quyn chn hu nh ch din ra trn cc sn giao dch tp trung, vi t cch l cc thnh vin ca s giao dch quyn chn, h ng vai tr nh mt nh mi gii cc giao dch quyn chn trn th trng, ch mt s t cc t chc ti chnh ln nh cc tp on ti chnh khng l mi c kh nng t ng ra pht hnh quyn chn cho th trng. Nhng ngi giao dch quyn chn: Trn th trng OTC, mt s nh ch nht nh, c th l ngn hng hoc cng ty mi gii, sn sng ng ra to lp th trng quyn chn. Cc quyn chn ny c nim yt trn sn giao dch d nhin c to ra bi sn giao dch. Sn giao dch ny l mt php nhn m cc thnh vin l c nhn hoc cng ty. Mi quyn thnh vin c gi l mt seat. Nhng ngi giao dch quyn chn bao gm: ngi to lp th trng, ngi mi gii, ngi gi s lnh 1.1.4 C ch hot ng ca quyn chn: i vi quyn chn c phiu c giao dch trn S giao dch, cc chi tit ca hp ng thi gian o hn, gi thc hin, nh hng ca vic thanh ton c tc, quy m nm gi ca NT s do S giao dch quy inh. V thi gian o hn: mi S giao dch ti mi quc gia c th c quy nh

ring. Ti Hoa K, mt khon mc c xc nh trong quyn chn c phiu l thng m c ngy o hn. Ngy o hn chnh xc l vo th 7 k tip sau ngy th su tun th ba ca thng. Ngy cui cng giao dch quyn chn l ngy th 6 tun th 3 ca thng. NT c v th mua quyn chn ch dn nh mi gii thc thi quyn chn vi thi hn cui cng l 4h 30 ngy th su. Nh mi gii s c c ngy hm sau hon tt th tc thc thi quyn chn. Quyn chn c th c xem xt mt trong ba trng thi: ang c li (in the

money), ho vn (at the money), v ang l (out of the money). Nu K l gi thc hin , S l gi ca chng khon c s. Mt quyn chn mua trong trng thi ang c li khi S>K, trong trng thi ho vn khi S=K, trong trng thi14


GVHD: Th.S Dng Kha

ang l khi S 0: nh u t ang mua quyn hay mua c phiu; Nc, Np, Ns < 0: nh u t ang bn quyn hay bn c phiu. Gi s s quyn chn mua, quyn chn bn, c phiu tiu chun l 100. xc nh li nhun t mt chin lc c bit; chng ta ch cn bit c bao nhiu quyn chn mua, quyn chn bn v c phiu ang s dng, v th l di hn hay ngn hn, gi m quyn chn hay c phiu c mua hoc bn, v cc mc gi khi v th c ng li. Vi quyn chn mua c nm gi cho n khi o hn, chng ta bit rng quyn chn mua s c gi tr bng gi tr ni ti khi o hn. V vy, li nhun s l: = Nc[Max(0, St X) C]

Gi s c mt ngi mua quyn chn mua, Nc = 1, c li nhun l: = Max(0, St X) C i vi ngi bn mt quyn chn mua, Nc = -1, li nhun s l: = - Max(0, St X) C

i vi quyn chn bn, li nhun c biu din nh sau: = Np[Max(0, X St) P]22


GVHD: Th.S Dng Kha

i vi ngi mua quyn chn bn, Np = 1 = Max(0, X St) P i vi ngi bn mt quyn chn bn, Np = -1 = - Max(0, X St) P

i vi giao dch ch bao gm c phiu, phng trnh li nhun l: = Ns(St S0)

i vi ngi mua mt c phiu, Ns = 1, li nhun l: = St S0 i vi ngi mua mt c phiu, Ns = -1, li nhun l: = - (St S0)

i vi vic bn khng c phiu l hnh nh tng phn ca mua c phiu, Ns 0 Xt trng hp m s quyn chn mua c ch l 1 (Nc = 1). Gi nh rng gi c phiu khi o hn nh hn hoc bng gi thc hin v vy ti thi im o hn ta c quyn chn kit gi OTM hoc ngang gi ATM. V quyn chn mua o hn m khng c thc hin, li nhun chnh l C. Ngi mua quyn chn bn gnh chu mt khon l bng ph quyn chn mua.23


GVHD: Th.S Dng Kha

Gi nh rng ti thi im o hn quyn chn ri vo trng thi cao gi ITM. Khi , ngi mua quyn chn s thc hin quyn chn mua, mua c phiu vi gi X v gi bn n vi gi St, s c li nhun rng l St X C. Cc kt qu ny c tng kt nh sau: = St X C =C Nu St > X Nu St X

Chng ta c th tnh gi c phiu ha vn khi o hn bng cch cho li nhun bng 0 ng vi trng hp gi c phiu cao hn gi thc hin. Sau chng ta gii phng trnh tm gi c phiu ha vn, St*. Ta c: = St* X C = 0 = > S t* = X C Nh vy, gi c phiu ha vn khi o hn bng gi thc hin cng gi quyn chn mua. Gi quyn chn mua. Gi quyn chn mua C l khon tin c chi tr mua quyn chn mua. ha vn, ngi mua quyn chn mua phi thc hin quyn chn mt mc gi cao b p chi ph quyn chn. 1.2.2.2 Bn quyn chn mua: Bn quyn chn mua l mt chin lc kinh doanh gi xung v mang li li nhun c gii hn chnh l ph quyn chn, nhng mc l th v hn. Bn quyn chn mua vi gi thc hin thp hn c mc li nhun ti a cao hn nhng mc l do gi tng cng cao hn.24


GVHD: Th.S Dng Kha

Vi gi c phiu cho trc, v th bn quyn chn mua c duy tr cng lu, gi tr thi gian cng mt dn v li nhun cng ln.

V li nhun ca ngi mua v ngi bn l cc hnh nh tri ngc nhau, phng trnh li nhun ca chin lc ny cng kh quen thuc. Li nhun ca ngi bn l: = Nc[Max(0,St X) C] vi Nc < 0 Gi nh vi mt quyn chn mua, Nc = -1. Khi li nhun l: =C = - St + X + C 1.2.3 Giao dch quyn chn bn:1.2.3.1 Mua quyn chn bn:

Nu St X Nu St > X

Mua quyn chn bn l chin lc gim gi c mc l c gii hn (ph quyn chn bn) v c mc li nhun tim nng, nhng c gii hn. Mua quyn chn bn vi gi thc hin cao hn c mc l ti a ln hn nhng li nhun khi gi gim cng cao hn. Vi gi c phiu trc, quyn chn bn c s hu cng lu, gi tr thi gian mt i cng nhiu v li nhun cng thp. i v quyn chn bn kiu chu u, tc ng ny ngc li khi gi c phiu kh thp. Li nhun t vic mua quyn chn bn c th hin qua phng trnh l: = Np[Max(0,X St) P] vi Np > 0

25


GVHD: Th.S Dng Kha

Xt vic mua quyn chn bn duy nht, Np = 1. Nu gi c phiu khi o hn thp hn gi thc hin, quyn chn bn l cao gi ITM v s c thc hin nu gi c phiu kh o hn ln hn hoc bng gi thc hin, quyn chn bn l kit gi OTM hoc ngang gi ATM. Li nhun l: = X St P =P trnh li nhun bng 0 ta c: = X St* P Gii phng trnh tm gi c phiu ha vn, St* khi o hn, kt qu l: St* = X P Ngi mua quyn chn bn phi b p chi ph quyn chn tr trc nh quyn chn bn phi b p chi ph quyn chn tr trc nh gi thc hin quyn chn. Trong bt k trng hp no, mua mt quyn chn bn l mt chin lc ph hp nu d on gi th trng s gim. Mc l c gii hn mc ph quyn chn, v li nhun tim nng cng kh cao. Hn na, thc hin mt giao dch quyn chn bn s d dng hn bn khng. Quyn chn bn khng cn phi c mua khi g c phiu trong trng thi tng ln v s tin tr cho quyn chn bn thp hn nhiu so vi khon k qu bn khng. Quan26

Nu St < X Nu St X

Ha vn khi o hn xy ra khi gi c phiu nh hn gi thc hin. Cho phng


GVHD: Th.S Dng Kha

trng hn, quyn chn bn gii hn mc l trong khi bn khng c mc l khng gii hn.1.2.3.2 Bn quyn chn bn:

Bn quyn chn bn l mt chin lc kinh doanh gi ln v mang li li nhun c gii hn chnh l ph quyn chn v mc l tim nng ln nhng cng c gii hn.

Bn quyn chn bn vi gi thc hin cao hn c mc li nhun ti a cao hn nhng mc l do gi gim cng cao hn. Vi gi c phiu cho trc, v th bn quyn chn bn c duy tr cng lu, gi tr thi gian cng mt i cng nhiu v li nhun cng cao. i vi quyn chn bn kiu chu u, tc ng ny ngc li khi gi c phiu thp. Phng trnh li nhun ca ngi bn quyn chn bn l: = Np[Max(0,X St) P] vi Np < 0 Xt trng hp n gin ca mt quyn chn bn duy nht, Np = -1. Li nhun ca ngi bn l hnh nh tng phn ca li nhun ng mua =P = X + St + P Nu St X Nu St < X

1.2.4 Quyn chn mua v c phiu Quyn chn mua c phng nga: Nu nh kinh doanh quyn chn s hu c phiu, s khng cn ri ro phi mua n trn th trng vi mc gi c th kh cao. Nu quyn chn mua c thc hin nh u t ch phi chuyn giao c phiu.27


GVHD: Th.S Dng Kha

ng trn mt gc nhn khc, ng s hu c phiu m khng bn quyn chn bn quyn chn mua gp phi ri ro ng k ca vic gi c phiu gim xung. Bng cch bn mt quyn chn mua i vi c phiu , nh u t lm gim ri ro gim gi. Nu gi c phiu gim ng k, khon l s c gim bt bi ph quyn chn nhn c t vic bn quyn chn mua. Mc d trong th trng gi ln quyn chn c th c thc hin v ngi s hu c phiu phi chuyn giao c phiu. Khi xc nh li nhun ca chin lc quyn chn mua c phng nga chng ta ch cn cng hai phng trnh li nhun ca hai chin lc mua c phiu v bn quyn chn mua vi nhau. V vy: = Ns(St S0) + Nc[max(0,St X) C] vi Ns > 0, Nc < 0 v Ns = - Nc iu kin cui cng, Ns = -Nc, quy nh c th rng s quyn chn c bn phi bng vi s c phiu c mua. Xt trng hp ca c phiu v mt quyn chn, Ns = 1, Nc = -1. Khi phng trnh li nhun l: = St S0 max(0,St X) + C

Nu quyn chn kt thc trang thi kit gi OTM; khon l ca c phiu s c gim i nh ph quyn chn. Nu quyn chn kt thc trng thi cao gi ITM, n s

28


GVHD: Th.S Dng Kha

c thc hin v c phiu s c chuyn giao. iu ny s lm gim mc li nhun ca c phiu. Cc kt quqr ny c tm tt nh sau: = St Sc + C = St S0 St + X + C = X S0 + C Nu St X Nu St > X

Trong trng hp quyn chn mua kt thc trng thi kit gi OTM, li nhun s tng theo mi n v tin t khi m gi c phiu khi o hn cao hn gi mua c phiu ban u. Trong trng hp quyn chn kt thc trng thi cao gi ITM, li nhun khng b nh hng bi gi c phiu khi o hn. Gi c phiu ha vn xy ra khi li nhu bng 0. iu ny xy ra khi quyn chn mua kt thc trng thi kit gi OTM. Cho li nhun bng 0 i vi trng hp quyn chn mua kit gi OTM. = St* S0 + C = 0 Gii phng trnh tm St* ta c gi ha vn: St* = S0 C 1.2.5 Quyn chn bn v c phiu Quyn chn bn bo v: Quyn chn bn bo v n nh mc l ti a do gi gim nhng li chu mt loi ph l li nhun t hn khi gi tng. N tng ng vi mt hp ng bo him ti sn. Nh trnh by mc 1.2.4, ngi s hu c phiu mun c bo v i vi vic gi c phiu gim c th chn cch bn mt quyn chn mua. Trong mt th trng gi ln, c phiu gn nh s c mua li bng cch thc hin quyn chn. Mt cch nhn c s bo v trc th trng gi xung v vn c th chia phn li nhun trong mt th trng gi ln l mua mt quyn chn bn bo v; ngha l nh u t n gin mua mt c phiu v mua mt quyn chn bn. Phng trnh li nhun ca quyn chn bn bo v c thit lp bng cch cng hai phng trnh ca chin lc mua c phiu v chin lc mua quyn chn bn. T chng ta c: = Ns(St S0) + Np[max(0,X St) P] vi Ns > 0, Np >0 v Ns = Np Gi nh rng c mt c phiu v mt quyn chn bn, Ns = Np = 1.Nu gi c phiu cui cng vn thp hn gi thc hin, quyn chn bn s c thc hin.29


GVHD: Th.S Dng Kha

Kt qu nh sau: = St S0 P = St S0 + X St P= X S0 P Nu St X Nu St < X

Quyn chn bn bo v hot ng nh mt hp ng bo him. Khi chng ta mua bo him cho mt ti sn v d nh nh, chng ta s tr ph v chc chn rng trong trng hp c tn tht, hp ng bo him s n b t nht mt phn tn tht. Nu nh tn tht khng din ra trong sut thi hn ca hp ng bo him, n gin ch phi b i ph bo him. Tng t, quyn chn bn bo v i vi c phiu. Trong th trng gi xung, li nhun khng b nh hng bi gi c phiu khi

o hn. Nhng tn tht ca c phiu c b p bi li nhun ca quyn chn bn. iu ny ging nh np h s thng bo tn tht cn n b trong hp ng bo him. Trong th trng gi ln, bo him l khng cn thit v mc li nhun do tng

gi b gim i do ph quyn chn tr trc. Li nhun bin ng cng chiu gi c phiu o hn. St cng cao, li nhun cng cao. Gi c phiu ha vn vo thi im o hn xy ra khi gi c phiu khi o hn ln hn gi thc hin. t mc li nhun ny bng 0 v gii phng trnh tm gi c phiu ha vn St*: = St* S0 P = 0 = > S t* = P + S 030


GVHD: Th.S Dng Kha

im ha vn xy ra khi gi c phiu vo lc o hn bng vi gi c phiu ban u cng vi ph quyn chn. iu ny l hin nhin v gi c phiu phi tng so vi mc gi c phiu ban u mt mc b p ph quyn chn bn. 1.2.6 Quyn chn mua v quyn chn bn lai tp: Quyn chn mua v quyn chn bn lai tp c th xy dng t cc c phiu v quyn chn. Quyn chn bn lai tp: bao gm mt v th di hn i vi cc quyn chn mua v v th bn khng i vi mt s tng ng cc c phiu. Phng trnh li nhun: = Nc[max(0,St X) C] + Ns(St S0) vi Nc > 0, Ns < 0 v Nc = -Ns Cho s c phiu v s quyn chn mua u l 1, li nhun ng vi hai phm vi gi c phiu khi o hn l: = C St + S0 = St X C St + S0 = S0 X C Nu St X Nu St > X

Nu gi c phiu khi o hn nh hn hoc bng gi thc hin, li nhun s bin ng ngc chiu vi gi c phiu khi o hn. Nu gi c phiu khi o hn gi thc hin, li nhun s khng b nh hng bi gi c phiu khi o hn. y l mt kt qu li nhun ging nh kt qu ca mt quyn chn bn, v vy tn ca chin lc ny l quyn chn bn lai tp. Quyn chn mua lai tp: bao gm mt v th di hn i vi cc quyn chn bn v v th mua mt s tng ng cc c phiu. Phng trnh li nhun: = Nc[max(0,St X) C] + Ns(St S0) vi Nc < 0, Ns > 0 v Nc = -Ns Cho s c phiu v s quyn chn bn u l 1, li nhun ng vi hai phm vi gi c phiu khi o hn l: = C + St S0 = St + X + C + St S0 = X + C S0 Nu St X Nu St > X

Nu gi c phiu khi o hn nh hn hoc bng gi thc hin, li nhun s bin ng cng chiu vi gi c phiu khi o hn. Nu gi c phiu khi o hn ln hn gi thc hin, li nhun s khng b nh hng bi gi c phiu khi o hn. y cng l mt kt qu ca mt quyn chn mua, do tn ca chin lc ny l quyn chn mua lai tp.31


GVHD: Th.S Dng Kha

1.3 iu kin p dng quyn chn chng khon vo th trng chng khon: 1.3.1 iu kin v s pht trin th trng chng khon: Mt trong nhng iu kin quan trng c th p dng quyn chn trn TTCK l TTCK phi pht trin n mt mc nht nh th hin : S lng cng ty nim yt nhiu v c nhiu cng ty c phn i chng ln. H thng c s h tng cng ngh thng tin hin i. Cht lng dch v ca cc cng ty chng khon cao, cung cp nhiu dch v tin ch cho khch hng. S lng ti khon giao dch chng khon nhiu. Tnh thanh khon trn TTCK cao. Mc vn ha th trng ln. Qua thi gian pht trin ca TTCK cc NT cng s tri qua nhiu ri ro trc nhng bin ng kh lng ca TTCK. Khi cc NT s pht sinh nhu cu bo him ri ro v nhu cu s dng quyn chn chng khon gim thiu ri ro trong kinh doanh l tt yu. Hn na khi TTCK pht trin th nhu cu v chng khon phi sinh ni chung v quyn chn chng khon ni ring l cn thit NT a dng ha cc knh u t tm kim li nhun. Mun c mt TTCK si ng th iu quan trng l phi lm sao a tht nhiu hng ha a dng v chng loi, m bo v cht lng vo th trng nhm thu ht, kch thch cc NT s dng nng lc ca mnh kinh doanh kim li da trn cc sn phm m th trng cung cp. Quyn chn l cng c chng khoan phi sinh, s tn ti ca quyn chn ph thuc tng i vo cc chng khon trn th trng. ng dng giao dch quyn chn, trc tin phi c cc chng khon trn th trng, nhng loi chng khon l c phiu, tri phiu, ch s, Cng nhiu loi chng khon trn th trng, quyn chn cng c c hi pht trin. 1.3.2 iu kin v php l: Quyn chn chng khon l mt sn phm chng khon phi sinh kh phc tp. V vy, c th p dng quyn chn vo TTCK cn c mt c s php l cht ch v32


GVHD: Th.S Dng Kha

hp l c th kim sot c tnh hnh trc khi a quyn chn chng khon ra th trng. Trn TTCK nhiu ri ro, quyn chn c phng thc giao dch kh c bit l c s tham gia ca nhiu bn nh: ngi mua, ngi bn, CTCK, cng ty nim yt, cng ty thanh ton, cng ty lu k, Do , lut php phi iu chnh mi hnh vi ca cc i tng ny m bo ngha v cng nh quyn li ca cc bn tham gia. C th trin khai quyn chn chng khon cn c lut chng khon hon chnh, bn cnh cn c lut chng khon phi sinh v th trng phi sinh trong quy nh r cc khi nim, qui nh v quyn chn v cc giao dch quyn chn; quy nh r trch nhim ca cc c quan qun l nh nc, quyn li v ngha v ca cc ch th tham gia th trng. Do tnh cht phc tp ca giao dch quyn chn, khin hot ng ca cng c quyn chn chng khon cng nhy cm vi nhng hnh vi gian ln, tiu cc. Trn th trng ny c nhiu i tng tham gia nh: NT, nh u c, nh mi giiMi ngi tham gia trn th trng u v nhng mc ch, li ch v s hiu bit khc nhau, thm ch tri ngc nhau. V vy, nguy c ri ro cng nh kh nng thu li trn hp ng quyn chn l rt ln. c tnh khin cho th trng phi sinh d xy ra cc hot ng kim li khng chnh ng thng qua cc hot ng gian ln, mua bn tay trong, gy thit hi cc NT, thm ch cho cc nh mi gii lm trung gian trong cc hp ng quyn chn. Bn cnh , th trng quyn chn chng khon pht huy vai tr l mt trong nhng cng c phng nga ri ro, trnh cc hnh vi tiu cc t mt tri ca sn phm phi sinh nh la o, trn thu, lm sai lch thng tin, thao tng TTCK th cn c cc cc quy nh rng buc, cc yu cu v: Ni dung ca Hp ng quyn chn; iu kin i vi cc chng khon c s; Quy nh v gii hn gi v s lng hp ng quyn chn giao dch trnh tnh trng thao tng th trng; iu kin v cng b thng tin, m bo tnh chun xc v minh bch trn th trng Cng cn phi c nhng chun mc k ton ph hp iu chnh thc hin nhng nghip v k ton c lin quan v th hin ng trn bo co ti chnh. Ngoi ra cng cn c nhng quy tc, v iu l chun mc ca cc Sn Giao dch. Nhng quy tc v iu l ny ban hnh nhng quy nh c lin quan n nhim v, c33


GVHD: Th.S Dng Kha

cu t chc, vic b nhim cc thnh vin ca sn giao dch. T , cc s giao dch chng khon (SGDCK), trung tm lu k thanh ton b tr c cc quy nh c th cho cc hot ng giao dch trn sn, bao gm cc biu mu, cc quy nh trong hp ng, gi thc hin, hn mc thc hin, phng thc t lnh, k qu, v thanh ton hp ng. C cc quy nh cc iu kin c th cho cc loi c phiu c php giao dch trn th trng quyn chn (nh c phiu ca cc cng ty c t sut sinh li cao, khi lng giao dch ng k v t c tnh thanh khon theo yu cu duy tr vic nim yt quyn chn) m bo quyn li cho NT. Cng cn c cc iu kin, quy nh nhng CTCK no c php tham gia vo th trng quyn chn ny da theo nng lc v uy tn ca cng ty . Nh vy, quyn chn c ng dng c hiu qu cn phi xy dng c khung php l mang tnh thc tin v thng nht, h thng vn bn php lut phi iu chnh hot ng TTCK theo hng bao qut, ton din v ph hp vi thc tin th trng. 1.3.3 iu kin v thng tin trn th trng: i vi TTCK th thng tin l mt yu t rt nhy cm c tc ng trc tip n gi chng khon. Mun TTCK hot ng hiu qu th vic cung cp minh bch, y v kp thi cc thng tin ng vai tr v cng quan trng. Cc thng tin ny bao gm: thng tin v m, thng tin DN v thng tin th trng. Cc thng tin khng minh bch c hu qu khn lng. Hu qu xu khng nhng ch c th nh hng n cc NT (c c nhn v t chc) m cn c th nh hng n DN nim yt ni ring v TTCK ni chung. S thiu minh bch v bnh ng trong tip cn thng tin s h tr cho cc kiu lm n chp git v nh th c th nhanh chng hy hoi lng tin ca NT v gy nh hng tiu cc rt ln ti s pht trin bn vng ca th trng. p ng c vn minh bch ha thng tin th cn phi c cc quy nh c th v vic cng b thng tin nh: i tng c cng b thng tin, yu cu v tnh chnh xc ca ni dung thng tin c cng b, phng tin v hnh thc cng b thng tin, quy nh c th v vic cng b thng tin nh k v bo co ti chnh ca cc cng ty i chng (CTC) v t chc nim yt, quy nh c th v x l vi phm trong vn cng b thng tin.34


GVHD: Th.S Dng Kha

Ngoi ra cc thng tin cng phi c cung cp mt cc rng ri a trn cc phng tin cng b thng tin i chng hoc phng tin cng b thng tin ca trung tm giao dch chng khon (TTGDCK) hoc SGDCK cc NT c th tip cn mt cch y v d dng. Cc giao dch quyn chn u da trn s bin ng gi chng khon c s, m s bin ng gi chng khon c s li da vo phn ng ca NT trn th trng thng qua nhng thng tin nhn c. Do , thng tin minh bch, y v kp thi l mt iu kin NT c c s r rng v chnh xc thc hin cc quyt nh u t ca mnh v l iu kin cn thit th trng quyn chn chng khon pht trin. 1.3.4 iu kin v k thut: Hot ng ca TTCK ph thuc hu nh hon ton vo h thng my tnh. c im hot ng ca ngnh chng khon l khi lng giao dch rt ln vi yu cu thi gian c bit cp bch nn bt buc phi c s h tr ca my tnh, v vy yu cu v mt k thut l rt cao. iu kin v mt k thut cho hot ng ca TTCK ni chung v th trng quyn chn ni ring bao gm mt s yu cu c bn v k thut nh: h thng c s h tng cng ngh thng tin; k thut t, chuyn lnh mua v lnh bn; k thut hch ton v chuyn quyn s hu; k thut lu k chng khon; k thut lu tr lnh, Vic hon thin v ng b ha h thng cng ngh thng tin cho th trng ng vai tr v cng quan trng trong hot ng ca th trng quyn chn. 1.3.5 iu kin v con ngi: Nhn t con ngi ng vai tr quyt nh trong mi hoat ng v tt nhin n quyt nh s thnh cng hay tht bi ca vic ng dng quyn chn chng khon TTCK. Tt c cc iu kin ni trn c thc hin c hay khng l u do con ngi. Con ngi iu hnh, qun l, thc hin nghip v, u t, Do , p ng c giao dch quyn chn th trc tin phi c con ngi am hiu v TTCK cng nh cc lnh vc lin quan n kinh t. Nhng con ngi am hiu v TTCK khng ch l nhng nh qun l TTCK hay i ng thc hin cc giao dch quyn chn cc CTCK m c i a s cng chng u t. Chnh cng chng u t mi l nhn t tc ng vo ngun cu lm cho th trng ny pht trin.35


GVHD: Th.S Dng Kha

1.4 Nhng tc ng khng mong mun ca quyn chn chng khon: Qua c s l lun trn th ta cng c th thy c mt s tc ng khng mun ca quyn chn chng khon n cc NT, cc nh mi gii cng nh TTCK nh sau: i vi nh u t, ngi mi gii: Do s bt cn xng thng tin m nhng hot ng kim li khng chnh ng thng qua cc hot ng gian ln, mua bn tay trong, gy thit hi cho cc NT, thm ch cho cc nh mi gii lm trung gian trong cc hp ng quyn chn. Vic s dng rng ri hp ng quyn chn chng khon trn th trng lm tng s lng giao dch trn h thng ca sn giao dch chng khon nn c th lm qu ti mng giao dch chng khon, v gy ra nhng li k thut nh hng n giao dch ca NT. Nhng nhm ln ny kh c th trnh c. Thng thng mt bt li cho hu ht mi ngi mi s dng quyn chn, v h thng s bt u mua. Nhng quyn chn chng khon mt i gi tr theo thi gian do bn c c quyn chn chng khon nhng cng vi thi gian ca bn mt i. Quyn chn chng khon thng khng phi l kh d on, nhng thi gian l mt cu chuyn hon ton khc nhau Quyn chn ch l mt cng c phng nga gip nh u t gim thiu ri ro ch khng phi l phng tin nh u t kim li. N c li nhun gim tng ng vi ri ro gim khi phng nga bng quyn chn chng khon. i vi th trng chng khon: th trng vn b kim sot bi cc nh u t s ng. Quyn chn chng khon n thun ch l mt cng c gip nh u t phng nga ri ro. V vy nu cc nh u t s dng cng c quyn chn nh l mt cng c to ra li nhun m khng phi l phng nga ri ro v d nh bn khng chng khon mt s lng ln th th trng lc nhng hp ng quyn chn kt thc c th xy ra tnh trng xu, lm th trng tt dc mt cch nhanh chng.

36


GVHD: Th.S Dng Kha

Chng 2: Mt vi v d v p dng quyn chn chng khon trn th gii2.1 M hnh M: 2.1.1 TTCK M: TTCK M hnh thnh t nm 1790 c lch s pht trin hn 200 nm. Nt quan trng trong c cu th trng ti chnh M l vic tch ri hot ng ca ngnh ngn hng v ngnh chng khon. Rt t nc trn th gii theo m hnh ca M. Trn thc t, vic tch ri hot ng ca hai ngnh chng khon v ngn hng l s khc bit ni bt trong cc quy nh v hot ng ca ngnh chng khon ti M v cc nc khc. Th trng chng khon M hin nay l mt th trng quan trng bc nht trn th gii nu xt trn tng th khi lng t bn giao dch v s nh hng to ln ca n i vi cc TTCK khc. iu ng ch l 2/3 nghip v giao dch chng khon M c thc hin trn th trng phi tp trung, c bit l i vi cc hng ho l tri phiu chnh ph. SGDCK NewYork (NYSE) l S giao dch ln nht v lu i nht nc M. TTCK ny ca M cn c gi l th trng ph Wall - ni phi thai nhng giao dch u tin ca nc M k t nm 1864 v hin l TTGDCK ln nht th gii, qun l ti hn 80% cc giao dch chng khon ca M v k t nm 1962 tr thnh TTCK quc gia. SGDCK M (American Stock Exchange - AMEX) l TTCK tp trung ln th 2 M v hin nay c khong 1/5 s chng khon ca M c mua bn trn th trng ny. Cng tng t nh SGDCK NewYork, AMEX hot ng theo h thng u gi m v cc chuyn gia trn th trng ng vai tr quan trng. Bn cnh cc TTCK tp trung l cc S giao dch (hin c khong 14 S GDCK khc nhau), ti M cn c OTC rt pht trin l Nasdaq. Cc t chc tham gia hot ng kinh doanh chng khon ti M bao gm cc ngn hng u t v cc cng ty mi gii:37


GVHD: Th.S Dng Kha

Cc ngn hng u t: khi mt cng ty mun vay vn, cng ty thng thu cc

dch v ca mt ngn hng u t gip vic cho bn chng khon. Mc d tn gi l ngn hng u t, nhng cc ngn hng u t khng phi l mt ngn hng theo ngha thng thng, n cng khng phi l mt t chc ti chnh trung gian ng ra nhn tin gi v cho vay. Nhng ngn hng u t ni ting ca M gm c Morgan Stanley, Merrill Lynch, Saiomon Brothes, First Boston Corporation v Goldman Sachs rt thnh cng trong lnh vc bo lnh pht hnh khng nhng ti M m c cc th trng ngoi M. Cc cng ty mi gii: M, cc cng ty mi gii c th thnh lp di bt k hnh thc no: Cng ty c phn, cng ty trch nhim hu hn hoc hnh thc cng ty hp danh. C rt nhiu loi mi gii v t doanh chng khon nh chuyn cung cp mt loi dch v, cng c nhng cng ty mi gii v nh t doanh ln cung cp nhiu loi dch v ti chnh a dng. Cc cng ty ny tham gia vo mi hot ng kinh doanh trn TTCK nh mi gii chng khon, cho khch hng vay tin mua chng khon, cung cp cc dch v lin quan ti bo lnh pht hnh, qun l tin cho khch hng, nghin cu v cung cp cc dch v lin quan ti chng khon. y Ban Chng Khon M (Securities Exchange Commission- SEC) l mt c quan chnh ph qun l vic pht hnh, mua bn chng khon. SEC l c quan qun l chnh ca th trng quyn chn M. Nhim v ca SEC l nhm bo v NT, duy tr th trng bo m cng bng, k lut, v hiu qu, to iu kin huy ng vn. 2.1.2 Sn giao dch quyn chn chng khon Chicago (CBOE): 2.1.2.1 Lch s hnh thnh v pht trin: CBOE l mt trong nhng sn giao dch quyn chn ln nht th gii vi lch s hnh thnh v pht trin c tm lc nh sau: (Ngun http://www.cboe.com) Thi gian 1973 1975 S kin CBOE c thnh lp. Ngy giao dch u tin (26/04/1973) c 911 hp ng mua bn k kt. H thng bo gi t ng c gii thiu.38


GVHD: Th.S Dng Kha

Trung tm thanh ton cc giao dch quyn chn c thnh lp. 1977 M hnh Black-Scholes c p dng trong vic nh gi quyn chn. Bt u giao dch quyn chn bn. SEC nh ch vic m rng cc giao dch quyn chn trong thi gian c 1980 1981 1983 quan ny xem xt li vic pht trin qu nhanh ca TTCK phi sinh. CBOE cng c li cng vic kinh doanh quyn chn. CBOE xy dng tr s mi vi tng din tch 350.000 m2 thay cho quy m trc y l 45.000 m2. CBOE tin hnh thc hin cuc cch mng trong ngnh giao dch quyn chn bng loi hnh giao dch ch s chng khon. CBOE a vo giao dch quyn chn ch s S&P 100 v giao dch 1984 quyn chn ch s S&P 5. Khi lng giao dch thng nin qua sn ln u tin t n con s 100 triu hp ng. CBOE khai trng h thng t ng thc hin vic bn l (Retail 1985 Automatic Execution System (RAES)). CBOE thnh lp Vin nghin cu v Quyn chn. a vo giao dch ch s NASDAQ. 1987 1989 1992 1993 Quyn chn c nim yt trn NYSE. TTCK ri vo khng hong ko theo s sp ca TTCK phi sinh. CBOE bt u chuyn hng pht trin loi hnh giao dch quyn chn li sut. Hi ng cng ngh quyn chn (Options Industry Council) c thnh lp vi nhim v m rng vic o to cho nhng NT. CBOE gii thiu quyn chn FLEX - to ra nhng iu khon c bn trong hp ng quyn chn.

CBOE khai trng ch s VIX - mt ch s o lng tnh khng n

1997 1998

nh ca th trng. a vo giao dch ch s cng nghip Down Jones. CBOE mua li b phn kinh doanh quyn chn ca NYSE. CBOE v ngnh cng nghip quyn chn k nim 15 nm ngy thnh lp.39


GVHD: Th.S Dng Kha

Khi lng hp ng quyn chn thng nin qua CBOE vt ngng 2000 200 triu hp ng. SEC chp thun k hoch lin kt th trng quyn chn M ca CBOE. S lng cc hp ng giao dch ln u tin vt ngng 1 triu hp ng/ngy.

Khi lng hp ng quyn chn thng nin qua CBOE t 300 triu

2002

hp ng. CBOE tip tc m rng h thng giao dch in t. CBOE bt u pht trin h thng giao dch kp, kt hp gia vic mua bn th cng trn sn vi giao dch t ng ha qua h thng in t. CBOE v cc sn giao dch khc thnh cng trong k hoch kt ni lin th trng.

2003

CBOE k nim 20 nm ngy giao dch quyn chn u tin c thc

2005 2007 06/2010

hin. CBOE t khi lng giao dch mc 468.249.301 hp ng (tng 30% so vi nm 2004) vi tng gi tr c tnh ln n 12.000 t la M. CBOE t khi lng giao dch mc 944.471.924 hp ng (tng 40% so vi nm 2006). Vic pht hnh ln u ra cng chng ca c phiu CBOE em li

339 triu USD v gi tr th trng ca CBOE nng ln mc 2,97 t USD. 2.1.2.2 T chc sn giao dch: C cu t chc v qun l ca Sn giao dch chn chng khon Chicago bao gm: y ban gim st, y ban phn x, y ban kim tra, y ban ph trch thnh vin v y ban pht trin sn phm. Cc y ban ny chu s iu hnh trc tip ca Ch tch y ban ph trch lnh vc m mnh qun l. Cc y ban c trch nhim m bo vic tun th cc lut l v nguyn tc ca sn giao dch. Nh to lp th trng (Market Makers): l mt c nhn hay ngi c y nhim ca mt t chc mua mt seat l v tr giao dch trn sn. Nh to lp th trng chu trch nhim p ng nhu cu ca ngi giao dch i vi quyn chn. Khi mt nh giao dch no mun mua (bn) mt quyn chn v nu khng c mt nh40


GVHD: Th.S Dng Kha

giao dch khc mun bn (mua) quyn chn , nh to lp th trng s phi thc hin v giao dch . tn ti, nh to lp th trng phi to ra li nhun bng cch mua vo mt mc gi v bn ra mt mc gi cao hn. Nu mt c nhn mun tr thnh nh to lp th trng, c nhn phi tin hnh th tc ng k, tri qua k thi st hch v cui cng nu vt qua k thi st hch ngi ny c y ban ph trch thnh vin xc nhn l Nh to lp th trng. Mi gii trn sn giao dch (Floor Broker): y l mt dng kinh doanh khc ca sn giao dch. Nh mi gii trn sn thc hin cc giao dch cho cc nh giao dch. Nh mi gii trn sn c trch nhim giao dch cc lnh m anh ta nhn c cc mc gi tt nht c th. tr thnh nh mi gii trn sn, mt c nhn phi hon tt th tc ng k, tri qua k thi st hch nng lc v nu vt qua k thi st hch ngi ny c y ban ph trch thnh vin xc nhn l Nh mi gii. CBOE cng c mt s nh to lp th trng chnh c ch nh, l nhng ngi c php va l nh to lp th trng va l nh mi gii. Nhn vin gi s lnh (Order Book Officials): y l dng kinh doanh th ba ca CBOE. Nhn vin gi s lnh l mt nhn vin ca sn giao dch, c chc nng nhn v cp nht cc lnh gii hn (l lnh quy nh c th mc gi ti a c th tr mua hoc mc gi ti thiu chp nhn c bn) ca tt c khch hng. Nu cc iu kin thay i n mc c t cc mc gi tt nht, lc ny, bng lnh gii hn, nhn vin gi s lnh s thc hin giao dch thay cho cc nh mi gii, khi tip thu cc lnh gii hn, cc nhn vin gi s lnh ny s thng bo gi mua thp nht v gi bn cao nht n cc nh to lp th trng. Lnh s c thc hin khi cc iu kin thay i n mc c t nht mt nh to lp th trng sn sng chp nhn nhng mc gi . Nhn vin giao dch (Floor Officials): l cc thnh vin hot ng trc thuc cc y ban gim st, c trch nhim gim st, hng dn cc hot ng giao dch m bo ng nguyn tc v php lut, c quyn xc nhn t cch thnh vin, kim tra v thng bo n y ban kim tra nhng giao dch c du hiu bt thng. Th k thnh vin (Member Clerks): l nhng th k ca nh to lp th trng hay nh mi gii trn sn, h c nhim v h tr v gip vic nhn lnh, kim tra, chuyn lnh giao dch trn sn.41

Chuyn : Quyn chn chng khon 2.1.2.3 Giao dch v thanh ton:

GVHD: Th.S Dng Kha

M hnh ca sn giao dch CBOE c th khi qut nh sau:

Hnh 2.1: M hnh ca sn giao dch CBOE (1a) & (1b) Ngi mua v Ngi bn ch th cho ngi mi gii ca ring mnh tin hnh mt giao dch quyn chn. (2a) & (2b) Ngi mi gii ca ngi mua v ngi bn yu cu nh mi gii trn sn ca cng ty mnh thc hin giao dch. (3) Cc nh mi gii trn sn gp g trn sn giao dch quyn chn v thng nht gi c. (4) Thng tin v giao dch c bo co cho trung tm thanh ton b tr. (5a) & (5b) Nh mi gii trn sn thng bo gi cho ngi mi gii ca ngi mua v ngi bn. (6a) & (6b) Ngi mi gii ca ngi bn v ngi mua thng bo gi v cho ngi bn v ngi mua. (7a) & (7b) Ngi mua hoc ngi bn k gi ph quyn chn cho ngi mi gii.42


GVHD: Th.S Dng Kha

(8a) & (8b) Ngi mi gii ca ngi mua v ngi bn k gi ph quyn chn v tin k qu cho cng ty thanh ton ca mnh. (9a) & (9b) Cng ty thanh ton ca ngi mi gii ca bn mua v bn bn k gi ph quyn chn v tin k qu cho cng ty thanh ton b tr. Hng ngy, cc phin giao dch s c thc hin thng qua cc h thng sn giao dch in t t ng (Exchanges Rapid Opening System) v sn giao dch lai ghp (Exchange Hybrid Opening System). Thi hn giao dch phi c m bo song song vi TTCK c s. Trnh t giao dch c sp xp th t theo nguyn tc u tin theo thi gian o hn gn nht ca cc hp ng quyn chn. Nguyn tc khp lnh c u tin cho gi tt nht, nu cc lnh cng gi th u tin cho lnh gii hn c ng k trong s ca nhn vin gi s lnh, sau l thi gian t lnh. Thi gian khp lnh tr nht l 3 gi chiu i vi hp ng quyn chn chng khon v 3:15 chiu i vi cc hp ng quyn chn ch s chng khon. Vic giao dch v khp lnh lun c s gim st v xc nhn ca cc nhn vin iu hnh sn giao dch. Mt c nhn mun giao dch quyn chn u tin phi m mt ti khon cng ty mi gii. Sau c nhn ny s ch th cho ngi mi gii mua hoc bn mt quyn chn c th. Ngi mi gii gi lnh n ngi mi gii sn giao dch ca cng ty trn sn giao dch quyn chn. Mt NT c th ng thi t nhiu dng lnh khc nhau nhm ng ph vi cc tnh hung khc nhau:

Lnh th trng l dng lnh ch th cc nh mi gii trn sn giao dch nhn mc gi tt nht.

Lnh gii hn l dng lnh quy nh c th mc gi cao nht c th tr mua hoc mc gi thp nht chp nhn bn. Cc lnh gii hn c th c gi tr cho n khi b hy hoc c gi tr trong ngy. Lnh c gi tr cho n khi b hy (good-till canceled) l dng lnh c hiu lc cho n khi b hy b.

Lnh c gi tr trong ngy (day order) l dng lnh c hiu lc cho n ht thi gian cn li trong ngy.

43


GVHD: Th.S Dng Kha

Lnh dng (stop order) l dng lnh cho php NT nm gi mt quyn chn ring bit mc gi thp hn mc gi hin ti. Nu gi th trng gim xung n mc gi quy nh, ngi mi gii c ch th bn quyn chn mc gi tt nht hin c. Lnh tt c hoc khng (all or none order) l dng lnh cho php ngi mi gii thc hin mt phn lnh vi gi ny v phn cn li vi gi khc.

Lnh tt c hoc khng, cng gi (all or none, same price order) l dng lnh yu cu ngi mi gii hoc l thc hin ton b lnh vi cng mt mc gi hoc l khng thc hin lnh. Cc lnh mua bn phi xc nh nh to lp th trng, nh mi gii, m chng khon c s, loi hp ng quyn chn, thi gian o hn, gi thc hin, gi chuyn nhng, khi lng giao dch, tn cng ty thanh ton thnh vin v c cung cp n cc thnh vin giao dch c lin quan trn sn. Mi giao dch thnh cng trn sn u c thng bo n Cng ty thanh ton b tr trn quyn chn (Option Clearing Corporation - OCC). Cc thng tin bao gm: xc nhn thnh vin Cng ty thanh ton c lin quan, loi hnh hp ng, loi hnh chng khon c s, gi thc hin, thi gian o hn, s lng hp ng, ph giao dch, nh mi gii, ti khon giao dch, thi gian mua bn v mt s thng tin khc. Vic thanh ton v thc hin hp ng quyn chn cng phi thng qua Cng ty thanh ton b tr trn cc ti khon giao dch ca khch hng. Cng tc giao nhn chng khon c s v thanh ton hp ng c iu chnh bi cc nguyn tc giao dch ca Cng ty thanh ton b tr. Khi n ngy o hn hay ngi s hu hp ng yu cu thc hin, Cng ty ngh khch hng bn mua np s tin tng ng gi tr hp ng i vi quyn chn mua c phiu, hoc chng khon c s i vi hp ng quyn chn bn, sau yu cu khch hng bn quyn chn np c phiu c s hay tin mt tng ng tin hnh chuyn giao. Nu mt bn vi phm ngha v thc hin chuyn giao hoc thanh ton th s b Cng ty x l theo Lut Chng khon v cc quy nh ca Cc d tr lin bang.

44

Chuyn : Quyn chn chng khon 2.1.2.4 C ch gim st:

GVHD: Th.S Dng Kha

M, ngnh kinh doanh quyn chn giao dch trn sn c qun l theo nhiu cp . Mc d cc quy nh ca lin bang v tng bang gi vai tr ln nht, ngnh kinh doanh ny cng t qun l thng qua cc quy tc v chun mc c thit lp bi cc sn giao dch v OCC. SEC l c quan qun l chnh ca th trng quyn chn M. SEC l mt t chc qun l lin bang c thit lp v nm 1934 gim st lnh vc kinh doanh chng khon, bao gm c phiu, tri phiu, quyn chn v qu u t. Mc tiu chung ca SEC l m bo cng khai, y cc thng tin thch ng v cc khon u t c cho bn rng ri ra cng chng. SEC c quyn thit lp mt s quy nh, quy trnh v iu tra cc v vi phm lut chng khon lin bang. Nu SEC tm thy cc vi phm, t chc ny c th tm kim s h tr bt buc, ngh B T php th l v vic hoc t p t mt s hnh pht. Quyn qun l ca mi bang c th m rng n tng giao dch chng khon hoc quyn chn din ra trong phm vi ca bang . Cc bang c giao dch quyn chn quan trng nh Illinois v New York ch ng thc thi lut ring ca mnh v quy tc ca cc giao dch c tin hnh trong bang. Vi mc tiu l bo v cc nh giao dch v m bo vic tun th cc quy nh ca lut php, Sn giao dch CBOE cng thit lp cc b phn gim st hot ng trn sn giao dch bao gm: B phn gim st th trng: c chc nng m bo tnh tun th lut php

v cc nguyn tc ca vic giao dch. B phn kim tra: c chc nng kim tra, thanh tra, theo di cc hin tng

vi phm v t cch hot ng, cc giao dch bt thng ca cc thnh vin theo quy nh ca y ban chng khon v Cc d tr lin bang. Cc nhn vin gim st c th m cc cuc thanh tra nhng thnh vin hoc c nhn vi phm cn c vo nhng ngun thng tin ng tin cy. Kt lun ca ban thanh tra s c trnh n y ban qun l kinh doanh chng khon c quan ny ra quyt nh x l theo cc hnh thc: cnh co, pht, gii hn chc nng hot ng hoc thm ch nh ch hot ng ca cc thnh vin trn sn.45

Chuyn : Quyn chn chng khon 2.2 M hnh Chu u: 2.2.1

GVHD: Th.S Dng Kha

Sn giao dch quyn chn Chu u (Euronext N.V.):

2.2.1.1 Lch s hnh thnh v pht trin: Euronext l sn giao dch chng khon ca nhiu nc Chu u, t tr s Paris v c chi nhnh ti B, Php, H Lan, B o Nha v Anh. Euronext c thnh lp ngy 22/9/2000 sau v sp nhp ca Amsterdam Stock Exchange, Brussels Stock Exchange, v Paris Bourse, tn dng li th t s nht qun ca TTTC Chu u. Thng 12/2001 Euronext mua li c phiu ca Sn giao dch hp ng quyn chn v hp ng tng lai London (LIFFE), sn giao dch hin nay vn hot ng di s iu hnh ca bn thn n. Nm 2002 tp on ny tip tc sp nhp thm sn giao dch chng khon B o Nha, Bolsa de Valores de Lisboa e Porto (BVLP) sau i tn sn ny thnh Euronext Lisbon. Ngy 22/6/2006 Euronext k hp ng sp nhp vo NYSE vi gi 10,2 t USD. V vo 28/3/2007 NYSE chnh thc thu tm thnh cng Euronext tr thnh sn giao dch chng khon ton cu u tin trn th gii di ci tn mi NYSE Euronext, cho php giao dch cc loi chng khon v cng c phi sinh trong sut khong thi gian 21 gi mi ngy. Nim yt trn Euronext c nhiu cng ty thuc vo nhm nhng cng ty hng u th gii nh Total, Royal Dutch Shell Amsterdam, France Telecom... Hin nay EURONEXT l TTCK xuyn quc gia trn th gii, cung cp mi dch v v giao dch chng khon nhm h tr c lc cho th trng tin mt v chng khon phi sinh B, Php, Anh, H Lan v B o Nha. EURONEXT lun hot ng v mc tiu cng c TTTC Chu u bng cch ha nhp cc th trng quc gia to thnh mt th trng chung vi tnh thanh khon v hiu qu t mc cao ti a. M hnh thng nht ca EURONEXT l s kt hp sc mnh v ti chnh ca mi th trng a phng v EURONEXT cng minh chng cho cch thnh cng nht sp nhp cc TTCK n l l tm nhn ton cu vi cc th trng a phng. M hnh ny i hi phi c s kt hp v cng ngh, ti c cu cc hot ng trong phm vi rng ln vt ra ngoi bin gii mt quc gia, hi ha ha cc quy tc th trng v kin ton khung php lut.46


GVHD: Th.S Dng Kha

Trong sut giai on u cng c th trng v nng cp cng ngh, EURONEXT khng ngng a dng ha ngun doanh thu, t to mt th ng vng chc cho Sn chu u trc s bin ng mnh m ca TTTC th gii. EURONEXT cung cp mt lot cc dch v cao cp cho khch hng, bao gm vic pht hnh chng khon ra cng chng, phng tin giao dch bng tin mt, ti sn phi sinh cho n cc th tc giao dch nh b tr chng khon thng qua LCH.Clearnet v thanh ton chng khon ti cc Trung tm lu k a phng. Khch hng ca Sn EURONEXT cng rt a dng, gm cc thnh vin v th ch ti chnh trc tip tham gia giao dch trn TTCK, cc cng ty pht hnh chng khon c nim yt trn Sn, cc NT t chc v c nhn tham gia mua bn trn th trng, cc t chc khc c s dng cng ngh, dch v v thng tin ti chnh ca EURONEXT. 2.2.1.2 Hot ng ca Euronext N.V: Euronext N.V. l sn giao dch xuyn quc gia u tin trn th gii, n cung cp dch v lin quan n th trng cc sn phm giao sau, th trng quyn chn v th trng tin t ti B, Php, Anh, H Lan v B o Nha. K t khi thnh lp, Euronext N.V. cng c TTTC bng cch thng nht nhng th trng trong tng nc trong Chu u. Bng cch thc hin vic kt hp ny Sn giao dch chng khon Chu u pht huy c th mnh ca tng thnh vin ca n. iu ny chng minh c rng: cch tt nht hp nht Sn giao dch chng khon Chu u l cch p dng tm nhn mang tnh cht ton cu cho cp a phng. Euronext N.V. c th p ng cho khch hng ca n nhng dch v a dng v rng ln. Nhng khch hng ca sn giao dch ny bao gm nhng t chc ti chnh, cc cng ty c chng khon nim yt trn th trng, cc NT, cc t chc khc c s dng cng ngh, dch v v thng tin ca sn giao dch ny. Cc dch v ca Euronext N.V. bao gm t mi gii chng khon v cung cp nhng tin ch cho vic mua bn cc chng khon phi sinh n vic cung cp cc d liu trn th trng. Sn giao dch ny c li t vic cung cp dch v thng qua cc thnh vin ca n Chu u. Thm vo , Sn giao dch ny cn cung cp cc phn mm v cc gii php v cng ngh thng tin cho khch hng.47

Chuyn : Quyn chn chng khon 2.2.1.3 T chc v qun l:

GVHD: Th.S Dng Kha

C cu t chc v qun l ca Euronext N.V. v c bn bao gm:

y ban gim st:

y ban gim st ng vai tr rt quan trng trong h thng t chc v qun l ca Sn giao dch. Chc nng ca y ban gim st l vic kim tra v gim st nhm m bo vic thc hin nhng th tc theo ng quy tc, qun l ri ro, gii trnh cho nhng NT,... y ban gim st m bo vic tun th nhng lut l c quy nh bi php lut H Lan v ca nhng Chnh ph thnh vin. Theo lut H Lan, mt cng ty c hai cp: y ban gim st v y ban iu hnh. y ban gim st l mt hi ng c lp bao gm nhng thnh vin c lp. y ban gim st kim tra vic thc hin v ng li hnh ng ca y ban iu hnh, t vn cho y ban iu hnh thc hin nhim v ca n. y ban gim st thng qua nhng quy tc v iu l Sn giao dch. Nhng quy tc v iu l ny ban hnh nhng quy nh c lin quan n nhim v, c cu t chc, vic b nhim, cc y ban thnh vin, tin cng v cc cuc hp. y ban gim st ban hnh bn gii thiu s lc ca Sn giao dch, bn gii thiu s lc ny c thay i hng nm nu cn thit. Theo bn gii thiu s lc, t nht mt thnh vin ca y ban gim st phi thnh tho v ti chnh v t nht mt thnh vin phi c kin thc chuyn mn v nhn s. y ban qun l:

y ban qun l l mt tp th chu trch nhim qun l Sn giao dch v c gim st bi y ban gim st. y ban qun l p ng nhng chin lc c ra ca Sn giao dch, ng thi t ra nhng nhng tiu chun v thi hnh nhng quyt nh lin quan n qun l. Ch tch y ban qun l bo co cho Ch tch y ban gim st theo nh k. y ban iu hnh:

y ban iu hnh l mt tp th chu trch nhim iu hnh sn giao dch chu s gim st v qun l bi y ban gim st v y ban qun l. y ban iu hnh bao gm Ch tch y ban iu hnh, cc thnh vin ca y ban iu hnh, cc phng ban c lin quan n ti chnh, php lut, nhn s v thng tin.48


GVHD: Th.S Dng Kha

2.2.2 Sn giao dch giao sau v quyn chn ti chnh quc t London (LIFFE): 2.2.2.1 Lch s hnh thnh v pht trin: Lch s hnh thnh v pht trin ca Sn giao dch giao sau v quyn chn ti chnh quc t London c tm lc nh sau:(Ngun: http://www.liffe.com) Thi gian 1982 S kin Sn giao dch giao sau v quyn chn ti chnh quc t London (London International Financial Futures and Options Exchange LIFFE) c thnh lp. Ban u LIFFE c thnh lp nh l mt sn giao dch hp ng mua bn hng ha giao sau v quyn chn ti 1992 1993 chnh. LIFFE cung cp nhng hp ng giao dch v li sut i vi nhng loi tin t chnh trn th gii. LIFFE st nhp vi Sn giao dch quyn chn London (Traded Options Market LTOM) lm tng thm cc giao dch v quyn 1996 chn v phm vi hot ng. LIFFE st nhp vi Sn giao dch hng ha (London Commodity Exchange LCE) tr thnh sn giao dch vi 3 chc nng: Giao dch hp ng mua bn hng ha giao sau, quyn chn ti chnh v 1998 chng khon. LIFFE thit lp mt chng trnh nhm chuyn tt c cc giao dch ca n t hnh thc mua bn truyn thng sang sn giao dch in 2000 2002 t (LIFFE CONNECT). LIFFE thng bo nh tr thnh Sn giao dch dn u trong lnh vc kinh doanh ph tr. Euronext N.V. v LIFFE c kt hp to thnh Sn giao dch giao sau v quyn chn ti chnh quc t London trc thuc Sn Ngy nay giao dch quyn chn Chu u (Euronext.liffe). LIFFE tr thnh mt trong nhng sn giao dch cc sn phm chng khon phi sinh xuyn bin gii tinh vi nht th gii.

49

Chuyn : Quyn chn chng khon 2.2.2.2 Nguyn tc giao dch:

GVHD: Th.S Dng Kha

Ngy giao dch: LIFFE m ca giao dch t th 2 n th 6, ng ca vo th 7, Ch nht, cc ngy ngh l ca Vng quc lin hip Anh v vo bt k ngy no m cc giao dch b nh ch theo o lut nm 1971 v quan h ti chnh v ngn hng. Tuy nhin, y ban gim st c th quyt nh vic m hay ng ca Sn giao dch trong tng thi im v quyt nh ny phi c thng bo trn phng tin thng tin i chng. Nhng hnh vi b cm: Nhng ngi c lin quan n bt k mt hot ng kinh doanh no ca LIFFE s khng c tham gia vo nhng giao dch c cho l c hi cho th trng hoc dn n s bt cng cho cc khch hng hay nhng ngi tham gia trn th trng. Tranh chp: Nu mt hp ng c k hay coi nh c k th n c th l i tng ca vic tranh chp. Nu mt bn bt ng kin th bn s phi thng bo s bt ng kin ca mnh n nhn vin ca Sn giao dch. Khi nhn vin ca Sn giao dch s yu cu hai bn tham gia hp ng thc hin nhng cng vic cn thit hn ch tn tht n mc thp nht. T cch php l to nn 1 hp ng: Tt c cc hp ng phi c thc hin trn c s hp ng mu ca Sn giao dch. Mt hp ng s khng c hiu lc trong trng hp mt bn tham gia hp ng khng c giy php giao dch hp l. Quyn hn ch hay nh ch mt giao dch: y ban gim st b nhim mt s thnh vin c quyn hn ch hay nh ch cc giao dch. Phi c t nht hai thnh vin c b nhim mi c quyn hn ch hay nh ch mt giao dch nht nh. Cc thnh vin hn ch hay nh ch mt giao dch nu cho rng giao dch c nh hng xu n quyn li ca Sn giao dch hoc duy tr tnh cng bng v minh bch ca th trng. y ban gim st ra nhng th tc nhm hng dn cc thnh vin thc hin quyn hn ch hay nh ch giao dch. Nhng th tc ny cng hng dn vic khi ng li cc giao dch b hn ch hay nh ch ny nu chng kh thi v cc bn tham gia giao dch mong mun tip tc thc hin chng.50


GVHD: Th.S Dng Kha

Nhng iu khon quy nh p dng trong trng hp khn cp: Trong trng hp khn cp, y ban gim st c th thc hin tt c cc bin php nhm kim tra v hiu chnh cc giao dch. Cc bin php kim tra v hiu chnh cc giao dch bao gm vic nh ch hay hn ch cc giao dch trong mt khon thi gian nht nh no . y ban gim st b nhim mt s thnh vin vo y ban t vn th trng (Market Advisory Committee) vi mc ch gip y ban gim st thc hin nhng bin php kim tra hiu chnh cc giao dch trong trng hp khn cp. 2.2.2.3 Quy trnh giao dch: Quy trnh giao dch ca LIFFE c th khi qut nh sau:

Hnh 2.2: Quy trnh giao dch ca LIFFE Lnh giao dch: Cc lnh giao dch c th gi n Sn giao dch t khi bt u m ca n lc ng ca giao dch. Trn LIFFE CONNECT: B gi s c xem l mt lnh t mua; Cho gi s c xem l mt lnh bn; Chp thun c nh ngha l vic khp lnh mua v bn ti h thng t lnh trung tm.51


GVHD: Th.S Dng Kha

Cc lnh giao dch bao gm cc loi lnh giao dch sau y: n lnh gii hn: n lnh gii hn c nhp vo s khp lnh trung tm v s c x l mc gi c nu r hoc mt mc gi tt hn. Phn cn li ca n lnh gii hn (nu c) vn c th lu li ti s khp lnh trung tm cho n khi n c giao dch hoc b rt li. Tt c n lnh giao dch s t ng b rt li khi Sn giao dch ng ca. Ni cch khc cc n lnh gii hn c gi tr cho n khi b hy hoc c gi tr trong ngy. n lnh giao dch: n lnh giao dch c nhp vo s khp lnh trung tm v s c thc hin cc mc gi tt nht c ti th trng. S lng chng khon cn li trong n lnh giao dch s t ng b hy bi Sn giao dch. n lnh giao dch m: n lnh giao dch m c th gi cho Sn giao dch trc khi m ca, n lnh giao dch ny s c thc hin mc khp lnh ti thi im m ca. Trong trng hp ch mt phn n lnh giao dch m c thc hin ti thi im m ca, th s lng cn li s c chuyn thnh n lnh gii hn mc gi khp lnh m ca ca giao dch . Thc hin giao dch:

Cc tiu chun v lnh giao dch sau s c xc nh u tin giao dch: u tin v gi, u tin v thi gian t lnh, u tin v t l giao dch v n lnh giao dch m c u tin hn n lnh gii hn. Khi xy ra hin tng gi u thu cao hn gi cho (backwardation) hoc gi u thu bng gi cho (choice prices) ti thi im m ca giao dch, Sn giao dch s t ng tnh ton gi m ti khi lng giao dch c thc hin nhiu nht. Cc lnh thc hin theo cch ny s c giao dch ti gi bng hoc tt hn gi nhp v cc lnh cha c thc hin s lu li cho n khi n c giao dch hoc b rt li. Chi tit cc giao dch trn Sn giao dch s c chuyn n ni ng k giao dch v n tt c nhng ngi tham gia ng nhp vo th trng. Tt c chi tit ca cc giao dch s c cng b dng v danh. Ring Hp ng giao sau v Hp ng quyn chn, trong sut thi gian trc khi hon tt vic giao dch, chi tit v gi v khi lng m s c cng b n tt c thnh vin ng nhp vo th trng.52

Chuyn : Quyn chn chng khon Mt hiu lc giao dch:

GVHD: Th.S Dng Kha

Sn giao dch c th xa cc n lnh ra khi s khp lnh trung tm theo yu cu ca nh giao dch. Khi Sn giao dch xc nh l mt giao dch c thc hin vi gi khng ph hp th Sn giao dch c th tuyn b mt hiu lc giao dch. Cc tiu chun xem xt a ra quyt nh l:

Mc gi m ca; Gi ca cc hp ng tng t; iu kin th trng hin ti, trong c mc hot ng v dao ng; Thng tin lin quan n thay i gi trong th trng c lin quan, cng b d liu kinh t hoc cc tin lin quan ngay trc hoc trong thi im giao dch;

Biu gi trong thng;

Tc thc hin giao dch;

Li k khai;

Giao dch gn thi hn ng ca th trng.

Khi mt giao dch b tuyn b mt hiu lc cc bn c lin quan s c thng bo bng in thoi hoc tin nhn t Sn giao dch. Hiu chnh sai st:

Nu c mt sai st trong vic thi hnh hp ng, Sn giao dch s ngh bin php khc phc n cc bn c lin quan nhm m bo quyn li cho cc bn. c giy chng nhn hiu chnh sai st, cc bn phi cung cp cho Sn giao dch:

Cc bng chng v vic giao dch; Cc Hp ng c lin quan;

Cc th tc khai bo hiu chnh sai st c k bi hai bn. Sn giao dch cng c th yu cu cc bn cung cp thm cc thng tin khc trong trng hp cn thit.

53

Chuyn : Quyn chn chng khon 2.3 M hnh Nht: 2.3.1 Th trng chng khon Nht:

GVHD: Th.S Dng Kha

Trc y, m hnh cng ty chng khon ti Nht Bn cng tng t nh m hnh ca M, tc l m hnh cng ty chuyn doanh. Ngn hng khng c php tham gia vo hot ng chng khon. Theo lut ci cch cc nh ch ban hnh thng 04/1993, cc t chc ngn hng c php tham gia vo TTCK thng qua cc cng ty chng khon cn nhm tng s cnh tranh trn TTCK. ng thi, cc cng ty chng khon li c php thnh lp cng ty con lm dch v ngn hng. Sau khi lut trn c ban hnh, cng ty chng khon con thuc nm t chc ngn hng nhn giy php kinh doanh chng khon v bt u cung cp cc dch v v chng khon vo nm 1993. Sau , nm 1994 c 8 ngn hng, 1995 c them 4 ngn hng v 1996 c them 2 t chc ngn hng c cp giy php thnh lp cng ty chng khon con. Kinh doanh chng khon Nht c chia lm 4 loi hnh, mi loi hnh phi c giy php ring bit: T doanh hoc kinh doanh chng khon do cc cng ty chng khon tin hnh cho chnh bn than h. Mi gii chng khon hay kinh doanh chng khon trn c s lnh ca khch hng. Bo lnh pht hnh chng khon: bo lnh chng khon mi pht hnh hoc cho bn cc chng khon ang lu hnh. Cho bn chng khon hay tham gia vo h thng bn l cc chng khon pht hnh ra cng chng. Tuy nhin, theo quy nh hin hnh ca Lut Ci Cch cc nh ch nu trn, cc cng ty chng khon con thuc cc ngn hng khng c tham gia vo mi gii c phiu, bo lnh pht hnh v giao dch c phiu, kinh doanh cc loi chng khon c lin quan ti c phiu, kinh doanh cc hp ng quyn chn tng lai, quyn chn. ng thi cc lut lin quan v cc quy ch u c iu khon buc phi thi hnh cc54


GVHD: Th.S Dng Kha

bin php nhm ngn chn c hiu qu cc giao dch d dng gia cng ty chng khon m v cc cng ty khc c lin quan n n. T nhng nm 1940, Nht p dng ch ng k hot ng nh ti M. Ti cui nm 1949, Nht c 1.127 cng ty chng khon ng k hot ng. Mi ti nhng nm 1960, Nht mi chuyn t ch ng k sang ch cp php. Sauk hi p dng ch cp php, s cng ty chng khon gim xung cn 277. n nm 1996, s cng ty chng khon gim xung cn 230 do cc cng ty sp nhp, chuyn loi hnh kinh doanh. Theo lut chng khon ca Nht, ch c cc cng ty c phn c B ti chnh Nht cp php mi c tham gia vo kinh doanh chng khon. V s tham gia ca bn nc ngoi vo TTCK Nht: trong mt thi gian di k t khi thnh lp cho n nm 1972, Nht mi cho php cng ty chng khon nc ngoi m chi nhnh ti Nht. Quy nh cng c ni lng theo s pht trin ca th trng. Theo lut hin hnh ca Nht, cc cng ty chng khon nc ngoi khi m chi nhnh ti Nht phi c php ca B Ti chnh Nht. 2.3.2 Sn giao dch chng khon Tokyo (TSE): 2.3.2.1 Lch s hnh thnh v pht trin: Sn giao dch chng khon Tokyo (Tokyo Stock Exchange TSE) l sn giao dch chng khon v cc hp ng phi sinh ln th hai th gii tnh v lng tin t ch xp sau Sn giao dch chng khon New York. Hin ti Sn giao dch ny nim yt khong 2.355 cng ty ni a v 22 cng ty nc ngoi vi tng khi lng vn ha th trng 3.600 t la M. Sau y l bng tm tt lch s hnh thnh pht trin TSE: Thi gian 15/05/1878 S kin Sn giao dch chng khon Tokyo c thnh lp. Thc hin giao

dch bt u t ngy 01/06/1878. 30/06/1943 TSE hp nht vi 11 sn giao dch ca cc thnh ph ln khc Nht to thnh S giao dch chng khon Nht Bn. 16.04/1947 S giao dch chng khon Nht Bn gii tn. 3/1947 Lut giao dch chng khon va S giao dch chng khon c ban hnh, v chnh thc sa li vo thng 4/1948.55

Chuyn : Quyn chn chng khon 01/04/1949 19831990 03/09/1988 20/10/1989 1990

GVHD: Th.S Dng Kha

Sn giao dch chng khon Tokyo c kh phc li (i vo hot ng ngy 16/05/1949). y l thi k pht trin c gi l thn k trong lch s ca STE. TSE bt u tin hnh giao dch cc hp ng tng lai. TSE bt u giao dch cc hp ng quyn chn ch s chng khon. Lng tin t giao dch qua STE chim hn 60% lng tin t giao

dch trn TTCK th gii. 18/07/1997 TSE a vo h giao dch cc hp ng quyn chn chng khon. 09/05/2000 H thng giao dch in t mi c a vo s dng.(TSE Arrows) 09/04/2001 TSE ph hp vi Cng ty Standard & Poor, chn ra 150 chng khon c s c thanh khon cao nht thi by gi lm danh mc u t chng khon v tin hnh giao dch cc hp ng quyn chn ch s chng khon S&P v TOPIX 150. Hin nay Sn giao dch chng khon Tokyo l mt cng ty dng chuyn doanh vi 11 Gim c (Ban Gim c), 4 kim ton vn v 6 gim c iu hnh. TSE thc hin hai phin giao dch: phin giao dch sng (9h 11h) v phin giao dch chiu (12h30 15h) vo cc ngy t th 2 n th 6 trong tun. Bn cnh cc loi hng ha c giao dch thng thng trn sn l c phu, tri phiu Chnh ph, TSE cn giao dch cc loi hp ng tng lai, quyn chn ti sn, chng khon v ch s chng khon. 2.3.2.2 C ch giao dch: Hp ng quyn chn c thc hin trn sn giao dch TSE thng qua cc thnh vin giao dch tng hp (General Trading Participant). Tt c cc lnh v tin trnh giao dch u c thc hin trn h thng t ng (Computerized Order Routing and Execution System for Futures and Options CORES-FOP), tt c cc lnh giao dch s c nhp vo h thng vi tnh ni mng vi S giao dch. Quy trnh giao dch quyn chn trn TSE c th c khi qut nh sau:

56


GVHD: Th.S Dng Kha

Hp ng quyn chn trn STE l dng hp ng quyn chn theo kiu Chu u. N ch cho php ngi nm gi thc hin hp ng hp ng quyn chn vo ngy n hn. Khch hng mun mua (bn) mt quyn chn phi bo cho nhn vin mi gii trc 12h sng hoc 4h chiu ca ngy giao dch. Nhn vin mi gii s phi gi thng bo giao dch n TSE thng qua h thng CORES-FOP trc 12h45 sng hoc 4h45 chiu. Khch hng mun giao dch hp ng quyn chn (chng ch hay ch s chng khon) trn TSE phi m mt ti khon ti cc thnh vin trn sn thc hin vic thanh ton. Trc khi t lnh, khch hng phi k qu vo ti khon v y quyn cho cc thnh vin giao dch thng qua cc ti khon ny. Trong trng hp s tin k qu khng p ng c gi tr giao dch hoc ngha v thanh ton, khch hng phi k qu b sung ngay sau ngy hm sau. Sau khi nhn vin mi gii gi thng bo giao dch, TSE s ch nh mt nhn vin mi gii mt cch ngu nhin thc hin giao dch quyn chn. Nhn vin mi gii c ch nh ny s tm kim cc khch hng mun mua (bn) quyn chn thc

57


GVHD: Th.S Dng Kha

hin vic giao dch. Nu khng c khch hng no mun mua (bn) quyn chn th TSE s phi thc hin nhim v giao dch . Tt c cc cao gi quyn chn (ITM) u c t ng thc hin vo ngy o hn tr nhng trng hp khc c ch nh. Tt c cc quyn chn khng c thc hin u t ng ht hiu lc vo ngy tip theo ca ngy o hn. n thi im o hn, nu khch hng mun thc hin hp ng th phi ch th cho cc thnh vin giao dch trn sn trc 16h ca ngy giao dch, cc thnh vin c trch nhim thng bo vic thc hin cho TSE thng qua h thng CORES-FOP trc 16h15. Khi , TSE s ch nh cc thnh vin c lin quan trn sn giao dch thc hin chuyn giao thng qua h thng thanh ton vo ngay ngy hm sau vi lng tin hay chng khon tng ng c th hin trong hp ng. 2.3.2.3 C ch gim st: Sn giao dch chng khon Tokyo t xy dng mt h thng kim sot ni b gim st cc hot ng v t cch ca cc thnh vin iu hnh ln cc thnh vin giao dch trn sn trn c s tun theo quy nh, iu l giao dch ca sn giao dch v Lut chng khon Nht Bn. Theo , h thng quy nh r phm vi quyn hn, trch nhim v ngha v ca tng b phn v thnh vin trn sn giao dch. Bng h thng ny, cc hot ng giao dch c iu chnh mt cch kp thi v m bo tnh an ton cho th trng, phng nga nhng hnh vi gian ln theo quy nh ca php lut v gim thiu ri ro cho cc nh u t. H thng qun l gim st TSE c t chc trn s phi hp hot ng cc b phn chc nng: B phn qun l cng ty thnh vin.

B phn th trng.iii

B phn nim yt. B phn gim st v tun th. 2.4 Nghin cu v khng hong ti chnh 2008: 2.4.1 Mc s dng cng c phi sinh cho mc ch phng nga v u c:58


GVHD: Th.S Dng Kha

Cc cng c phi sinh ln u xut hin khng ngoi mc ch gim thiu hay loi b ri ro cho nh u t. Theo thi gian, cc cng c ti chnh phi sinh vn pht trin mnh m v c s dng rng ri ti cc th trng ln trn th gii. Theo thng k ca ngn hng thanh ton quc t cho thy, n ht nm 2006, s d hp ng giao dch phi sinh trn th trng ti chnh quc t tng ng 417 t USD. Tnh n cui thng 9/2008, tng gi tr chng khon phi sinh trn th gii vo khong gn 600 nghn t USD, vi tng gi tr danh ngha ln ti trn 1,28 triu nghn t USD.

Hnh 2.4: Tng gi tr danh ngha chng khon phi sinh ca h thng ngn hng M Cc cng c ti chnh phi sinh c xem nh l phng thc duy nht cho cc ch th trn th trng phng chng ri ro. Trong , cc doanh nghip s dng nhiu nht l hp ng k hn (forward contracs), hp ng tng lai (future contracts). Cc cng c ti chnh c cc nh u t s dng thc hin cc giao dch phi sinh tin t, li sut v ch s chng khon. Theo s liu v doanh s ca cc cng c ti chnh phi sinh ton cu thng 6/2007, cc giao dch phi sinh tin t chim t l khon 9%, giao dch phi sinh li sut chim khong 68% v giao dch phi sinh trn ch s chng khon l 23%.59


GVHD: Th.S Dng Kha

Hnh 2.5 : T trng cc giao dch phi sinh Ngoi ra, chng cn c th kt hp vi nhau, vi nhng khon vay hay nhng chng khon truyn thng to nn cc cng c lai to. Tuy nhin, cng chnh v nhng bin i hnh thi nh vy cng vi s ln mnh v phc tp ca ca th trng ti chnh lm cho cng c ti chnh phi sinh c thm mt chc nng mi ngoi phng nga ri ro, l s dng nhiu hn tm kim li nhun v thc hin cc hot ng u c. Nh gio s Stanley R.Pliska trng i hc Illinois, Chicago M cho bit: Bn cnh vic gip cc nh u t qun l ri ro, th trng chng khon phi sinh cng c dng u c khi nh u c hng v s giao ng gi trong tng lai.

Hnh 2.6: Mc s dng cng c phi sinh trong phng nga v u c. Theo iu tra i vi 500 cng ty ln nht trn th gii ti 26 quc gia khc nhau th c ti 92% cc cng ty tr li rng h s dng thng xuyn cng c ti chnh phi sinh phng nga v qun l ri ro v cn li l s dng nhm mc ch kinh doanh kim li.

60


GVHD: Th.S Dng Kha

Cc cng c ti chnh ngy cng tinh vi v mang theo mt s ri ro gy gin on ln hn ri ro thng thng. Mt v d l vo ngy 19/10/1987 - ngy th hai en ti - xy ra mt cuc di c tp th ra khi th trng c phiu dn ti s sp ca th trng c phiu M do vic s dng rng ri k thut t bo him Delta. Nhng ngi bo him ny u t mnh hn vo th trng m nu nh khng c k thut ny th c th h khng lm nh vy. Xt c th trong cuc khng hong ti chnh ton cu hin nay, Thnh vin Hi ng t vn chnh sch ti chnh tin t ca Chnh ph Nguyn Th Mi nhn nh: Cng c phi sinh nh con dao hai li. Mt mt, n l cng c phng chng ri ro kim li nhng ng thi n cng li lm ny sinh ri ro. Cuc khng hong ti chnh ln ny ca M chnh l do s pht trin qu nng ca ca cc cng c phi sinh v trong c cng c ca th trng bt ng sn l chng khon ho bt ng sn. 2.4.2 Trng phi cho rng cng ty khng nn s dng cng c phi sinh: 2.4.2.1 Cng c phi sinh Tc nhn ca cuc khng hong ti chnh ton cu: Mt thc t m ta c th thy r rng, nn kinh t ton cu tng trng nh mt qu cu la trong nhng nm gn y b chi phi bi s tip cn qu d dng nhng ngun tn dng vi chi ph cc k r. Mt phn ca vn ny l do vic ct gim li sut ca FED, vi vic ct gim li sut lin tc t nm 2000 n gia nm 2004. c bit, FED ct gim cn 1% vo thng 7/2003 - mc thp nht trong vng na th k qua. iu ny lm cho nn kinh t M ging nh mt chic l xo b nn mnh by gi c th bt tung ra tr nn tng trng nhanh chng thng qua vic kch cu sn xut, kinh doanh v tiu dng. Khi nn kinh t n nh, li sut thp vn c duy tr cng vi s pht trin mnh m ca th trng bt ng sn lm cho nhu cu i vay mua nh, mua t gia tng chng mt. Khng ch c li sut thp m vic cho vay qu d dng to ra mt ln sng t cc nh u c tham gia u c bt ng sn - mt th trng y mt ngt. Ri iu g n n, khi FED tng li sut ln 5,25% vo cui 2006, qu bng

61


GVHD: Th.S Dng Kha

n tung, th trng bt ng sn tut dc v hon ton ng bng trong nm 2007 ko theo s tut dc ca gi hng lot cc loi chng khon.

Hnh 2.7 :Li sut M giai on 2001-2005 Trong cn bo ti chnh, khi gi tr ti sn ti chnh, y l cc chng khon bt ng sn, st gim mnh m th s phn ca cc t chc tn dng cng lung lay theo. V gi y hu ht cc ngn hng u t sp hoc b sp nhp, nhng tn tui ly lng ch cn l huyn thoi. Mt iu ng quan tm l s ra i v gp mt ca cc cng c ti chnh phi sinh - cng c v ang ng vai tr v cng quan trng cho s pht trin ca th trng ti chnh. ng thi, cuc khng hong hin nay xy ra nh mt hu qu tt yu t s pht trin qu nng ca chnh cc cng c ti chnh ny. Cng c kin cho rng s ra i ca cng c phi sinh nh mt qu bom n chm v ti thi im hin nay qu bom c khai ho, n tung vi tm nh hng ton cu. Nh cp, th trng nh t pht trin mnh m trong 10 nm tr li y. Lc ny cc nh ch ti chnh x nhau sn xut ra nhng hp ng cho vay di chun thm ch cn tip th ri khuyn khch c nhng ngi khng kh nng v ti chnh i vay tin mua nh gp phn tham gia vo th trng bo b ny. iu t hi hn khi cc t chc ti chnh ph Wall tp hp cc hp ng cho vay bt ng sn ny li thnh ti sn m bo pht hnh tri phiu ra th trng ti chnh quc t. l mt dng ca pht kin ti chnh c mang tn Mortgage backed securities - mt sn phm ti chnh phi sinh c m bo bng nhng hp ng62


GVHD: Th.S Dng Kha

cho vay bt ng sn c th chp. Cc ngn hng, cc cng ty bo him, qu u t cng cc qu hu tr tranh nhau mua cc hp ng ny do h b che i bi mt bc mn v hnh do cc t chc gim nh h s tn nhim (Credit rating agencies ) to ra khi cc t chc ny nh gi cao cho cc loi sn phm phi sinh ny. H mua m khng h hay bit ri ro thc s ca cc hp ng cho vay ny - nhng hp ng cho vay bt ng sn dng m bo khng tiu chun. Vic mua bn cc khon n trong c rt nhiu n di chun tip tc thc hin t t chc ny sang t chc khc, t c nhn ny sang c nhn khc. Cc hp ng n di chun c bi trn v nh bng bi nhng nh u t ln ph Wall thng qua cc pht kin ti chnh. T y, nghip v chng khon ho c pht huy mnh m hn bao gi ht. Nh mt quy lut tt yu ca t nhin, tc khi thi tit tr nn ngy cng nng bc, n mt mc no tri bt u ma lm nhit h xung. Cng theo quy lut , khi th trng bt ng sn pht trin qu nng, i n nh im n bt u h nhit.

Hnh 2.8: Nhu cu nh M giai on 1995 - 2007 Ri khi th trng bt ng sn ng bng, ngi i vay khng tr c n do bn bt ng sn vi gi cc k thp khng thanh ton cc khon n thm ch l khng bn c, bt ng sn rt gi trm trng. T ny sinh hu qu l cc hp ng cho vay bt ng sn dng m bo cho tri phiu MBS l n kh i, cc tri phiu MBS cng nh bt ng sn tr nn mt gi trn th trng th cp thm ch63


GVHD: Th.S Dng Kha

cn khng mua bn c trn th trng. Cc ngn hng ri vo tnh trng khn n, gnh chu cc khon l khng l dn ti mt kh nng thanh ton. Khi cuc khng hong bng n, cc chuyn gia c tnh rng trong 22000 t USD gi tr bt ng sn ti M - tm chn ca cuc khng hong c ti hn 12000 t USD l tin i vay v trong khong 4000 t USD l n xu. Thc hin theo M, cc nc trn th gii cng bn ra th trng ti chnh cc loi tri phiu phi sinh MBS. iu ny khin cho vic tnh ton v o lng tng s n bt ng sn kh i v tng s MBS pht hnh ang gieo mm bnh ton cu l mt nghip v bt kh thi. Mt sn phm mang mm bnh na l nhng Credit Default Swap CDS hp ng bo lnh n kh i. Cc hp ng ny do cc t chc ti chnh v cc cng ty bo him quc t bn ra. Cc t chc ny cam kt s hon tr y s n cho vay cho bn mua CDS nu bn i vay khng tr c n. Thng k ca hip hi International Swap and Derivatives Association v sn phm ny cho thy ti M tng s CDS c tnh khong 35000 t USD v trn ton th gii khong 54600 t USD. Mt v d in hnh l: s chao o ca tp on ti chnh v bo him hng u th gii AIG khi tp on ny u t vo c MBS v CDS. Khng ch ring g AIG m hng lot cc t chc tn dng t cc i gia cho n cc t chc ti chnh khng tn tui cng khng nm ngoi tm nh hng. Mi n lc ang dn vo gii cu th trng ti chnh M. Nu tnh hnh tr nn ti t nht, th trng ti chnh M khng c gii cu kp thi theo th trng ti chnh th gii b ng bng, lc ny cc cng c phi sinh pht huy mt tri ca n, mt s tn ph khng khip cc nh ch ti chnh trn ton cu m hu qu ta khng th no o lng ht c. iu ny cho thy im khc bit gia cuc khng hong ln ny so vi cuc i suy thoi 1930 chnh l cc pht kin ti chnh - nhng cng c phi sinh gp phn tng thm mc trm trng cho cuc khng hong hin nay. 2.4.2.2 Phng nga ri ro khng nhng khng lm gim thiu ri ro m cn lm gia tng ri ro: Khi iu kin th trng c nhng chuyn bin theo chiu hng thun li, nu mt doanh nghip thc hin vic phng nga th c th s b qua nhng c hi thc hin64


GVHD: Th.S Dng Kha

cc u th m th trng ang c. Trn thc t, thc hin phng nga ri ro, doanh nghip s gim i c cc khon l nhng ng thi cng lm gim i cc khon li tim nng. Ngoi ra, ngi i thc hin phng nga ri ro phi gnh chu thm ri ro basic ngoi ri ro trn ti sn do tnh khng chc chn trong basic (v basic = gi giao ngay gi giao sau). Phng nga ri ro chnh l ta khng thc s tin vo iu g c. Tc l nh u t phng nga ri ro v ngh l s c nhng s kin khng mong mun xy ra trong th trng v iu ny tr thnh hnh vi u c khi m tt c tin ca mt ngi u tp trung vo th trng c phiu. Trong mt gii hn no nu cc c ng c th d bo chnh xc tt c cc ri ro c th phng nga i chng na nhng nu nh xut hin nhy cm do nhng bt n trong gi c, nguyn vt liu th h kh c kh nng tnh ton chnh xc mc ca nhng ri ro ny cng nh xc nh c thi im m lc cc ri ro ny gy ra nhng tn tht ln nht, hay xc nh chnh xc s lng hp ng giao sau phng nga ri ro. Mt iu ng lu tm na l phng nga ri ro c th lm cho nh u t cm nhn sai lch v s lng ri ro gim i. Bi mt mt phng nga ri ro khng th cng nh khng hon ton c th loi tr ht ri ro. iu ny cho thy phng nga ri ro ch mang li li ch cho doanh nghip trong mt kha cnh no thi, nu khng c s am hiu k cng v phng nga ri ro th s lm gia tng ri ro cng ty. 2.4.3 Trng phi cho rng cng ty nn s dng cng c phi sinh: Trng phi ny li cho rng nguyn nhn thc s ca cuc khng hong ti chnh ton cu l: Li sut c ct gim lin tc: Nm 2000, li sut c bn ca FED l trn 6%. Li sut ny lin tc c ct gim, thm ch nh ni trn, n gia nm 2003 th ch cn 1%. Chnh sch ct gim li sut c thc hin nhm kch thch tiu dng trong dn c, kch thch u t trong khi doanh nghip, gip nn kinh t thot khi tr tr sau s kin bong bng dotcom bng n v s kin nc M b tn cng khng b vo nm 2001. Vi bi cnh hin thi, chnh ph M cho rng chnh sch kch cu l thch hp nht v mc tiu chnh l th trng nh .

65


GVHD: Th.S Dng Kha

Hnh 2.9: Chnh lch li sut M Chnh sch u i ca chnh ph: T nhng nm 1999 n 2006, h thng ngn hng lun t c mc li nhun tng trng y n tng. Mt phn nguyn nhn l do cc ngn hng y mnh hot ng cho vay bt ng sn di s khuyn khch ca chnh ph M. Tiu biu cho vn ny l s kin trong nhng nm cui cng ca nhim k chnh quyn Bill Clinton ban hnh o lut ti pht trin cng ng, tp trung vo mc tiu x hi l gii quyt nh cho ngi dn c thu nhp thp. Thm vo nm 1980, chnh ph M ban hnh Lut Giao dch th chp tng ng (Alternative Mortgage Transaction Parity Act), ni lng nhng quy tc cho vay v khuyn khch nhng knh ti tr khc phi ngn hng. o lut ny gp phn ra i nhiu cng ty cho vay th chp v khng chu s rng buc bi cc lut l ca ngn hng. Ngay c nhng ngn hng cng thnh lp hoc lin kt vi cc cng ty cho vay th chp lm bng n cc knh cung cp vn cho th trng bt ng sn. Chnh sch li sut thp cng vi s u i ca chnh ph, hai yu t ny nh hai liu thuc tng lc thc y ngn hng cho vay v i vay, cn ngi dn th ua nhau i vay tin ngn hng mua nh. Chnh ph bung lng gim st Ngn hng ni lng tn dng: Mt sai lm ca Chnh ph M trong cuc khng hong ln ny l bung lng vic gim st hot ng cho vay a c di chun. Mt nguyn tc truyn thng bt di bt dch ca ngnh ngn hng l khng c php thc hin nghip v cho vay i66


GVHD: Th.S Dng Kha

vi nhng khch hng khng c kh nng thanh ton cc khon vay khi n hn. Tuy nhin, quy nh ny b lm ng trong hot ng cho vay di chun ti M. Thm ch, vo nm 1994, Quc hi M thng qua o lut Quyn s hu nh v Bo v ti sn nhm cho php FED buc cc t chc cho vay a c phi tun th cc tiu chun cho vay truyn thng. Nhng ng Alan Greenspan Ch tch FED lc by gi, t chi quyn lc c giao ny v ng cho rng th trng ti chnh s t iu chnh. Cng do s cnh tranh gay gt trong ngnh, cc ngn hng cho vay sn lng cho ngi dn vay, ni lng tn dng, thm ch i vi nhng khch hng c hng mc tn dng di chun - nhng i tng khng c thu nhp n nh, c tin s ti chnh xu, khng c c cc ti sn m bo cho cc khon vay ca mnh. So vi trc y, M c th vay tin ngn hng mua nh tr gp th ngi vay gi l tiu chun phi c c ba tiu chun c bn l: tin cc t nht bng 10% tin mua nh , thu nhp phi n nh cho s tin tr gp hng thng khng qu 28% thu nhp v c im tn nhim vay tr sng phng. Bn cnh ngn hng ch c php cho vay tu thuc vo lng tin gi hin ang c ti ngn hng cng nh t l d tr bt buc ca chnh ph i vi ngn hng.

Hnh 2.10: Doanh s bn nh M giai on 1995 - 2007 Mt iu tt yu, ri ro cao th li sut cao. Tuy nhin, nu li sut cao th i b phn nhng ngi dn ngho s khng dm i vay tin. Do , cc ngn hng cho vay bt ng sn to ra cc sn phm cho vay hp dn nh Alt-a tc cho vay vi li sut rt thp trong nm u sau li sut s tnh theo li sut th trng. Do bt c67


GVHD: Th.S Dng Kha

c nhn, t chc no cng c th vay tin mua nh mt cch d dng. iu ny lm cho doanh s nh ti M tng ln nhanh chng. Cc ngn hng dm mnh tay thc hin nhng nghip v cho vay ny vi mt tm l li do c s bo m ngm ngm t chnh ph m hin thn lc by gi l hai cng ty Fannie Mae v Freddie Mac. S d tn ti hai cng ty ny v h tr cho vay to lp nh , Chnh

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