KINH TE QUAN LY D A U KHI Cac cong cu phdi sinh sCr dung trong qudn ly rui ro ngdnh ndng luang ThS N g 6 T h | Mai Hanh Viin Ddu khi Vlft Nam Tdm t i t Rdi ro Id vdn di md bdt ky doanh nghiip ndo tham[.]
KINH TE - QUAN LY D A U KHI Cac cong cu phdi sinh sCr dung qudn ly rui ro ngdnh ndng luang ThS N g T h | Mai Hanh Viin Ddu Vlft Nam Tdm t i t Rdi ro Id vdn di md bdt ky doanh nghiip ndo tham gia hogt dpng kinh doanh trin thl trUdng diu gdp phil Trong linh vUe ndng lUOng, rui ro gid cd du^e col id rui ro ph6 biin han so vdi ede logi rdi ro khdc gid cdc sdn phdm nang luang rdt nhgy cdm vd di bUn ddng trUdc dnh hudng cua nhHu yiu td khde nhau, ti/yiu td kinh ti, chlnh tri din cic yeu td th^ tUt, miia vu M6t nhUng cdng cu hOu hiiu di qudn ly rdi ro gid trin thf trUdng ndng lUOng Id sddung cde sdn phdm tdi ehinh phdi sinh Bdi viit ndy gidi thliu mdt sd cdng cu phdl sinh ea bdn sit dung qudn lyruiro ngdnh nang luang; ddng thdi, cung cdp thdng tin khdi qudt vi qud trinh hinh thdnh vd phdt triin thj trUdng pftdf sinh ndng lUOng tgi mdt sdkhu vUe trin thi gidi Ngodi ra, bdi vHt eung phdn tieh mdt sd vdn di llin quan din triin rong phdt triin thj trUdng phdi sinh cho ngdnh ndng lUOng Viit Nam Tong quan ve cac cong cu phii sinh [2, 4, 5] Thi trfldng t i p trung, giao dich qua sin cung cap cic sin p h I m dflpc tieu chuan hda, g i l c i minh bach, rui ro Cie edng cu p h i i smh 11 cac cdng ey t i i ehinh, dflpe tin dung t h l p , k h i n i n g k h o i n cao Nhflpc diem p h i t h i n h tren co sd mdt loai t i i sin nhat dinh, dflpe gpi chfl ydu efla thj trfldng t i p trung I I ehi mua bin, trao l i t i i sin gde hay t i i sin eO sd.Trdn thi trfldng nang Iflong, ddi cic s i n p h I m d l dflpc tieu ehuan hda nen ed tiie t i i san eo sd m l cic cdng eu p h l i sinh phu thude v i o l i khdng d i p flng dflpc het nhu c i u cfla tflng cdng ty rieng cac h i n g hda ning lflpng nha: d i u thd, sin p h I m d i u , Id Trong do, thi trfldng phi t i p trung lai lam dfloc thien nhien v l dien Cdng eu p h l i sinh dape coi I I edng d i l u n i y c i c hop ddng trao ddi tren thj trfldng cu hflu hieu de ban che v i q u i n tri rfli ro ma khdng eIn dflpe thda t h u i n theo nhu e l u cfla cic ben Tuy nhiSn, phli sdhflu hang hda Vdi edng eu phli sinh, nhflng ngfldi thi trfldng phi t i p trung lai cd nhflpc di^m: thieu minh mudn g i i m rui ro cd the chuyen giao, phin t i n rfli ro eho b?ch ve g i i , rui ro tin dyng eao, chi pht giao djch Idn vS nhflng ngfldi sin sing chap nhan rfli ro thidu tinh k h o i n Cdng eu tai ehinh p h l i sinh cd the dflpc mua b i n , trao ddi tren thj trfldng thdng qua cic sin giao djch hang hda q u i n ly t i p trung (hay edn gpi I I thj trfldng tap trung) hole qua ele thj trfldng giao djeh phi t i p trung (thj trfldng OTC').Thj trfldng tap trung I I thi trfldng giao djeh qua sin, tai dd, ngfldi ban va ngfldi mua giao djeh v l mua b i n ele sin pham phai sinh n i n g Iflpng thdng qua ngfldi trung gian, mdi gidi San giao djeh ed eo c h l hd trp tin dung d l dam b i o thfle hien giao djch v l t o i n hop ddng Thj trfldng phi tap trung la thj trfldng tai dd ngfldi b i n Cdng cu p h i i smh l i nhflng cdng cu mang tinh iiOp ddng, khdng the hien quydn sd hCru ddi vdi tai sin hay h i n g hda n i o v i cflng khdng ed g i l trj eua rieng nd GiS tn cic cdng cu p h l i sinh cd dflpc l i nhd v i o gia trj cOa h&ng hda hole tai sin khie Ndi eleh khic, gia tri eua cdng eg p h l i sinh dflpc xle djnh theo t i l sin gde hay t i i sin cO sd Vi du, hpp ddng tflOng lai thien nhien II cdng cu t i i chinh phai sinh cd g i l trj phu thude vao mat hang thidn nhidn dflpc mua b i n , trao ddi tren thj trfldng hang hda giao djeh thfle td v i ngfldi mua eie san p h I m p h i i sinh nang Iflpng tfl giao djch vdi nhau, hole qua dien thoai hole qua mang Hal Hpp ddng p h l i sinh dflpc thda thuan gifla ngifdi ben cd the thda thuan cae hpp dong rieng theo nhu elu mua v i ngfldi ban, dd moi ben se thflc hien nghia c l nhin, n h l m d i p flng ele yeu eau rieng efla moi ben vu n h i t djnh cho ben Cie hpp ddng phai sinh cflng 'OTC Id td viit tdt cua td tieng Anh Over-the-counter PETROVIETNAM CO g i l c l , ngfldi mua se cd g i n g mua vdi g i l cing t h l p 2.1 Hap ddng ky hgn cang tdt, cdn ngfldi b i n eo g i n g b i n vdi g i l eing cao eang tot Tuy nhien, ele hpp ddng n i y thfldng khdng di Hpp ddng ky han la hpp ddng dd ngadi ban v l kdm vdi giao hang thfle te m i ehi mua b i n trdn g i l y td ngadi mua thda thuan giao djeh mdt loai hang hda vdi v l dflpc dflng nha l i cdng cu de q u i n tri eic rfli ro g i l khdi lflpng v l mflc g l l xie djnh v i o thdi didm ky hpp ddng el bien ddng (mflc g i i ky han) Thdi gian giao hing dflpc xle djnh v i o mdt thdi diem cu the tflong lai Tat c l eae hop ddng Tfltrflde den nay, eie cdng ty n i n g Iflpng thfldng sfl dung edng ey tai ehinh p h l i sinh d ^ tham gia v i o cie giao djch nhlm muc dich tfl b i o hi^m cho h i n g hda, t i i sin efla minh v l g i i m thieu k h i nang p h l i chju ele rfli ro t i l chinh Ngoai ra, eie n g i n h i n g thflOng mai v l d i u tfl cung d l sfldung thj tradng p h l i sinh n i n g Iflpng d l d i u c o v i o mdt hing hda cu thd hole d l bfl d i p eho cic rfli ro ed the phat sinh tflquan hd kinh doanh vdi eic cdng ty n i n g lflpng Cde logi cdng eu phdi sinh ca bdn dp dung qudn l'frdiro[2,4,S,9] ky han deu ghi rd loai hing, chit Iflpng, khdi Iflpng, mflc gia ky han, thdi gian v l dia diem giao hing tflong lai, Khi ky kdt hop ddng ky han, cic ben lien quan phli chiu sfl ring budc p h l p ly c h i t che va phli thflc hien cic nghTa vu hpp ddng, trfl c l hai ben thda thuin hfly hop ddng Hpp ddng ky han dflpc giao djch tren thj trudng phi t i p trung va kha linh hoat vi hop ddng loai cho phdp ngudi mua va ngadi ban dam phan them hole bdt mdt sd dieu khoin vao nhu cau cua minh Tuy nhien, hpp ddng ky han lai thieu nang khoin vi hop ddng da ky cd nhieu dilu khoin thda thuan gifla hai ben nen viec b i n lai hop ddng cho mdt ben thfl ba Bat ky mpt doanh nghidp n i o tham gia thj trudng khdng d l dang va tdn kem chi phi tim kidm ben mua lal cung phai ddi m i t vdi nhieu loai rfli ro khic Cic rui tren thj tradng Ngoai ra, mflc chenh lech gifla gia san ro CO b i n m l t i t e l mpi doanh nghiep deu cd t h l gap pham tren thj trfldng tai thdi diem giao hang va gia d l phai duac ehia t h i n h nhdm, Dd l i : (1) rfli ro thj trfldng thda thuan qua Idn, rui ro khdng thue hien hpp dong cd (nhQTig thay doi ngoai dfl kien ve III suit, t;^ g i i hdi d o l i the xay khdng ed ben thfl ba nao dflng d i m b i o hoac gia el); (2) rfli ro tin dung/vd np; (3) rfli ro t i c nghiep viecthfle hien (may mdc thiet bj true trie, chat Iflpng khdng d i p flng yeu cau); (4) rfli ro khoin (khdng co k h i nang mua Vidu: Vao 1/2, dau sfldi cd g l l 3,25USD/ hole ban hang hda theo g i l nidm yet) v i (5) rfli ro chinh gallon, Cdng ty A ky hpp ddng vdi Cdng ty B b i n 3.000 tri (chinh sich, quy djnh mdi eua chinh phfl) Cae doanh gallons dau sfldi giao vdng t u I n vao eae lam nghiep hoat ddng nginh ning lflpng die biet nhay viee, bat dau tfl 1/4, vdi mflc gia 3,25USD Dau dflpc cam vdi rfli ro thj tradng, nhat la rui ro g i l c i , bdi g i i eae giao bang xe tai vao budi traa tdi kho Cdng ty B chi sin pham nang lapng rat nhay e l m v i d l bien ddng trade dinh Tien dflpc toan giao hang Nhu vay, b i t Inh hadng cua nhieu yeu to khic nhau: kinh te, ehinh tri, d i u tfl 1/4 va ngiy tiep theo, Cdng ty B se tham chf cic yeu td thdi tiet, mua vu nhan 3.000 gallons dau sfldi Viec t o i n dflpc thflong lflpng trfldc vdi mflc g i l 3,25USD/gallon va dflpe t r i eho Khi phii ddi mat vdi rui ro, cic n h i d i u ta, nha q u i n Cdng ty A trfldc ngiy 5/ ly hay ehfl doanh nghiep ed thd sfl dung nhidu cdng eu khic de g i i m thieu rfli ro, bao gdm eic cdng eu 2.2 Hap ddng tuang lai phli sinh va cac bien p h l p truyen thong nhfl: da dang hda d i u tfl, ky hpp ddng dai han, tri h i n g ton kho v l De khIe phue cac nhflpc diem cua hpp ddng ky han, mua bao hiem Nhin chung, ele cdng cu p h l i sinh dflpe hop ddng tflong lai ddi tren co sd cai tien hpp ddng ky sfl dung thfldng xuyen hOn q u i n ly rui ro ve g i i han TflOng tfl nhfl hop ddng ky han, hpp ddng tflong lai NhOng edng cu n i y cd k h i n i n g xfl ly linh hoat cae rui ro van la thda thuan gifla ngfldi b i n va ngfldi mua de giao ve g i l , d i m b i o eho eae k h o i n thu nhap khdng bj i n h djch mdt loai hang hda vdi khdi Iflpng v l mflc gia xac djnh hadng trfldc bien ddng g i i e l Ddn nay, eae hpp dong vao thdi diem ky hpp ddng, giao hing v i o mpt thdi diem phli sinh dddc sfldung thfldng xuydn n h i t la hpp dong tflong lai Tuy nhien, khae vdi hpp ddng ky han, ky han (forward contract), hpp ddng tflOng lai (future ngfldi mua va ngfldi ban cua hop ddng tflOng lai tham contract), hpp ddng quyen Ifla ehpn (options) v i hpp gia v i o san giao dich ehinh thflc chfl khdng giao dich trflc ddng hoan doi (sw/ap) tidpvdinhau, Nh'- • •• ' ; n san giao djeh KINH TE - QUAN LY D A U KHi ndn rfli ro khdng thfle hidn hpp ddng cflng dflpc g i i m d i n g ke Ngoii ra, c l ngfldi b i n v i ngfldi mua cfla h(?p ddng taong lai ddu cd thd b i n l^i hpp ddng cho mdt bdn thfl ba nen tfnh khoin cfla hop ddng dflpc t i n g Idn Tuy nhidn, hpp ddng tflpng lal thfldng t h i l u tinh Ilnh ho?t p h i i t u I n thfl ele d i l u khoin nghidm n g i t efla cic sin giao djch chinh thflc v l t | p trung 2.3 Hpp ddng quyin lUa chpn Hpp ddng q u y i n Ifla chpn l i hpp ddng ky kit gida bdn mua hpp ddng v l bdn b i n hpp ddng Theo dd, bin mua hpp ddng cd q u y i n dflpc mua (theo hpp dong q u y i n chpn mua - call option) hay q u y i n dflpc bin (theo hpp ddng q u y i n chpn b i n - put option) mdt loai hang hda ey t h l t?l mdt mflc g l l xic djnh (strike price) vio mot VIdu: Thing 10, Cdng ty A lo ngai g i i thidn nhidn thdi d i l m xic djnh tflong lal Du hop ddng quyen cd t h l chju I n h hfldng cfla mfla ddng g l l l^nh ndn mua li/a chpn dflpe giao dich thdng qua sin giao djeh chinh hop ddng tflpng lai thidn nhidn, d i o h^n v i o t h i n g thflc hay giao d|ch qua thl trfldng phi t i p trung thi ngu&l n i m sau Vio thing 10, g i l giao v i g i i tuong lai mua cung d i u p h l i t r i trfldc mdt khoin phi nhat dinh thidn nhidn d i u daoe giao dich d mflc 12,2USD/tri§u Btu, Phuang dn A - thiin nhiin tdng gid cho q u y i n ehpn mua hay q u y i n chpn b i n Mfle phiquy^n chpn thfldng eao ndn cdng ey n i y k h i tdn kim Hon nda, mflc phi q u y i n chpn dflpc t o i n trade nin ngiiM Thing 11, Cdng ty A mua thidn nhidn c i n dung cho mua hpp ddng khdng ed Ipi v l m i t tin dung Khi giao djch mua lanh trdn thj trfldng giao Lflc dd, g i l thidn qua thl trfldng phi t i p trung, ngfldi mua ed t h l phli chiu nhidn giao I I 13,7USD/tridu Btu v l hpp ddng tflong rfli ro p h i t sinh n i u ngfldi b i n hop ddng khdng cduy tin lai t h i n g eflng dfloe mua b i n tai mfle g i l 13,7USD/tridu trdn thj trfldng Mic dfl v|y, hpp ddng quyin lua chgn Btu Do Cdng ty A da mua thidn nhidn ndn ed t h l b i n cung cd nhflng flu d i l m n h i t djnh, Ngfldi mua hpp dong hop ddng tflOng lal efla minh trdn sin giao djch Nhd mua hpp ddng tuong lai vdi gia 12,2USD/tridu Btu v l b i n hpp ddng tflong lai vdi g i l 13,7USD/tridu Btu, Cdng ty A d l lai 1,5USD/trieu Btu qua giao djch t i i chinh niy Khoin Ipi nhuIn niy bu d i p cho mfle t i n g g i l cd t h l xle dinh v i khdng c h l dflpc mflc g i l t r i n eua hang hda eIn mua neu sfl dyng hpp ddng quyin chon mua va mflc g i i sin neu sfl dyng hpp ddng q u y i n ehpn bin Vfdu thien nhidn giao Vi vay, ehi phi rdng Cdng ty A bd Quyin chgn mua: Cdng ty A mua mdt hpp ddng quyen de mua thien nhien tren thj trudng giao la ehpn mua tfl Cdng ty B de mua 40.000 gallons diu sflcn 13,7USD/tridu Btu trfl di khoin lai l,5USD/trieu Btu ed vdi mfle g i i 3USD/gallon, n g i y h i t han hpp ddng la dflpe tfl giao djeh mua ban hop ddng tflOng lai Ddi vdi 31/3 Nhfl viy, Cdng ty A ed q u y i n mua d i u sfldi ciia Cong Cdng ty A, g i l mua thien nhien thae te la 12,2USD/ ty B tai mflc g i l d l b i l t l i 3USD/gallon Chflng nao miJlc tridu Btu g i i d i u sfldi t h l p hon USD/gallon thl Cdng ty A se khong PhUdng dn B - thiin nhiin gidm gid thflc hidn q u y i n chpn mua d i u tfl Cdng tyBvi cdngty cd t h l mua d i u vdi mfle g i l t h l p hon Ngay gia diu Thing 11, Cdng ty A mua thien nhien c i n dung cho sfldi ldn eao hon USD/gallon, viec thflc hien quyen lua mfla lanh tren thi tradng giao Lflc dd, g i l thidn chpn v i mua d i u sfldi t f l Cdng ty B vdi g i l 3USD/gallon nhien giao la 10,2USD/tridu Btu v l hpp ddng tflong m& cd y nghia N i u g i i d i u sfldi l i 4USD/gallon, viec lai t h i n g cung dflpe mua b i n theo mflc g i i 10,2USD/ thfle hidn q u y i n ehpn mang lai Ipi nhuIn cho Cdng tyA, tridu Btu Do Cdng ty A da mua dflpc thien nhidn eIn Loi nhuIn l i USD/gallon hay 40.000USD c l hppd6ng dung nen ed the ban hop ddng taong lai tai sin giao djeh Khoin loi nhuIn n i y eung I I k h o i n thua 16 cfla Cdngty Khi mua hpp dong taong lal vdi g i l 12,2USD/tridu Btu v l b i n hpp ddng tUOng lai vdi g i l 10,2USD/trldu Btu, cdng B Ndi cieh khic, bdn mua hpp ddng quyen chon mua dat dflpc k h o i n III dflng b i n g khoin 16 cfla ben bSn ty bj 16 2USD/trieu Btu Khoin 16 dapc bfl b i n g mflc Quyen chpn bdn: Cdng ty A mua mdt hpp dong q V " tang gia tren thj trfldng giao thien nhidn Vi viy, ehpn b i n tfl Cong ty B d l b i n 50.000 gallons diu sU^vai chi phi rdng Cdng ty A p h i i t r i de mua thien nhien mfle g i i 3USD/gallon trfldc n g i y 31/3 Nhfl vay, Cdng tyA tren thj trfldng giao la 10,2USD/tridu Btu cdng vdi cd q u y i n ban dau sfldi cho Cdng ty B tai mflc gll da bl^t khoin 16 2USD/trieu Btu tfl giao djch mua b i n hpp ddng la 3U5D/gallon Chung n i o gia d i u sfldi cao hon 3USD/ tflpng lai Ddi vdi Cdng ty A, g i i mua thflc te thien gallon, Cdng ty A se khdng thflc hien q u y i n chpn bin nhien la 12,2USD/trieu Btu d i u eho Cdng ty B vl cdng ty n i y cd the tim thiy ngi*" 58 DJ(uiail-sd5< PETROVIETNAM mua san sang t r i mflc gia eao hon Niu g i l d i u sfldi g i i m xudng dfldi 3USD/gallon, Cdng ty A se thflc hidn quyin ehpn ban va b i n dau sfldi eho Cdng ty B vdi g i l 3USD/ gallon Neu g i l dau sfldi la 2USD/gallon, vide thfle hien quyen chpn b i n mang lai Ipi nhuin cho Cdng ty A vi nd ed the b i n dau sfldi vdi g i i 3USD/gallon, eao hon 1U5D so vdi gia dau tren thj trfldng thflc t l Khoin Ipi nhu|n I I USD/gallon hay 50.000USD eho c l hpp ddng Khoin Hi cung I I khoin 16 cfla Cdng ty B Ndi cieh khic, khoin lai ngfldi mua q u y i n ehpn b i n dat dflpe chlnh I I khoin 16 tfl Cdng ty A Hai cdng ty thda thuin "bu trfl" hai khoin t o i n niy, dd, Cdng ty A t o i n phan chenh lech 10O.OOOUSD eho Cdng ty B Vdo cudi thdng thd hai, thj trfldng thac te giao dieh d i u sfldi theo g i l 5USD/gallon, Cdng ty A nhan tfl Cdng ty B khoin t o i n 500.000USD cho Id dau ban, edn Cdng ty B cCing nhin tfl Cdng ty A khoin toan 500.000USD Niu bu trfl hai khoin t o i n niy cho nhau, khdng cd ddng t i l n n i o dflpc trao doi gifla hai edng ty cCia ngfldi b i n quyen Ifla chpn 2.4 Hap ddng hodn doi Hpp ddng hoin ddi l i thda t h u i n holn ddi chudi ele ddng tien mdt khoing thdi gian xic djnh gifla hai ben mua v l b i n Hop ddng h o i n doi khdng dfloc thflc hien thdng qua sin giao djch v l khdng cd giao dich hing hda thue te Do khdng cd giao djch hing hda thflc t l ndn hai ben mua v l b i n phil xic djnh khdi lupng fldc tinh efla hpp dong de lam eo sd tinh toan ddng tien dflpc hoin ddi djnh ky.Theo dinh ky, bdn b i n hay ben mua se t o i n cho ben cdn lai khoin tien chdnh lech phat smh gifla ddng tien hoan ddi Vi cic hop ddng hoan ddi thfldng hai ben tfl thfle hien ma khdng thdng qua san giao djeh nen cae ben khdng eIn t u I n theo eae dieu kien ehuan hda eua san va de d i n g thflong Iflpng eac dieu khoan eua hpp ddng Tuy nhien, khdng cd mdt td ehflc nhfl san giao dieh dflng d i m bao nen mfle dp rfli ro se eao hOn v i tinh khoin cua hpp dong h o l n doi eung kdm hOn V/dy; Cdng ty A thda thuan b i n 100.000 gallons d i u sfldi cho Cdng ty B vdi mflc g i i cd djnh 5USD/gallon v i o cudi mdi thing vdng n i m Ddi lai, Cdng ty B sin sing ban 100.000 gallons d i u sfldi cho Cdng ty A ei^ng khoing thdi gian theo mfle g l l tha noi hay gia khdng cd dinh Vdo cudi thdng thCfba, thj trudng thfle te giao dieh d i u sUdl theo g l l 4USD/gallon, Cdng ty A nhin khoin t o i n 400.000U5D tfl edng ty B eho Id d i u b i n , cdn Cdng ty B nhin khoin toan 500.000USD tfl Cdng ty A Niu bu trfl hai khoin t o i n cho nhau, Cdng ty B se nhin dflpc phin chdnh lech 100.000USD tfl Cdng ty A Cic n h i d i u tu v i kinh doanh linh vdc nang lupng cd the sfl dung cic cdng cu phai sinh ndi tren de phdng trinh, phin t i n , han ehe tdi da rui ro v l b i o ve, tao Ipi nhuan, ehdng bien ddng g i l trj, d i m b i o mdt mfle Ipi nhuan mong mudn hole tham chi dau co thu Ipi nhuan Khi quin tri rfli ro bing eleh niy, cac doanh nghiep cd the t i l n hanh tu b i o hilm Tfl do, giup cho hoat dpng sin xuat kinh doanh dflpe hieu qua v l on djnh Ngoli ra, sfl dung hieu qua eae edng cu phai sinh cung giflp eho doanh nghiep tu bao hiem gia efldc van t i i , g i l nhien lieu, ty gia hdi doll, lal suit, gia ehflng khoin bien ddng tang hole giim SO Ifldc qua trinh hinh va phat trien t h j trfldng cong cu phai sinh cho mot so h i n g hda nang IflOng [ , 2,3,6,7,8] Cic cdng cu phai sinh dflpc sfl dung nganh ndng nghiep My tfl gifla the ky XVIll, I I edng eu chinh tren thi trfldng lal suat va thj tradng ngoai hoi eua nhieu qudc Trong t h i n g d i u tien eua giao djch h o l n ddi, g i i I dau sfldi nhfl sau: Thing 1:6USD/gallon gia Tuy nhidn, nhflng cdng eu mdi ehi dflpe sfl dung ITnh vflc nang Iflpng khoang 30 nam qua gia c l tren thi trfldng ning Iflong khdng bi dilu tiet nhfl trfldc Cdng eu phli sinh cho hang hda nang Iflpng Thang2:5USD/gallon Thing 3:4USD/gallon i Vao cudi thdng ddu tiin, thj trfldng thfle t l giao ^ dich dau sfldi theo gia 6USD/gallon, Cdng ty A b i n d i u tren San giao dich hing hda New York nam 1978 khoan toan 500.000USD tfl Cdng ty B eho Id dau VI mat ly thuyet, thj trfldng tai chinh phai sinh va thj trfldng hang hda thflc te dde l i p vdi Tuy nhien, tren thfle t l , cae thl trudng ro quan he mat thiet vdi Vidu, neu mot •-, - s p - i " ' > mudn b i o hiem eho hoat ban, edn Cdng ty B se nhan khoin toan 600.000USD ddngslnxuat vdi g i l 5USD/gallon eho Cdng ty B, cdn Cdng ty B ban d i u vdi g i l 6USD/gallon eho Cdng ty A Cdng ty A se nhan t ehi x u l t hien vao nhflng n i m eudi thap nien 70 eua the ky XX, vdi sfl ddi eua eae hpp ddng tflOng lai eho dau sfldi ' ' ' ^.-'nvuatratrong KiNH TE - QUAN LY D A U KH( tuong lai thi n h i sin x u l t n i y ed t h l sfl dyng cic hpp Vi^c bd cie quy djnh k i l m soit g i i ddi vdi d i u cung ddng tflOng lai giao djch trdn Sin giao djch h i n g hda New gdp p h i n md mdt ky nguydn mdi, ky nguyin minh York (NYMEX) ddi vdi d i u thd WTI hay Sin giao djch h i n g b?ch g i i N i m 1981, Tdng thdng My Ronald Reagan b6 hda qude t l (ICE) ho|c Sin giao djch d i u qude t l (IPE) ddi k i l m soit g l l ndi dja d6l vdi d i u thd Richard Nixon vdi d i u thd ngot nh? Brent Blln Ble (diu Brent) d | t v i o nhflng n i m 1970 Nhd dd, cic loai diu tha cfla My nhfl d i u thd Tiy Texas (WTI) v l d i u thd ngot nhe Trong sd eie h i n g hda n i n g Iflpng, cdng cy t i l chlnh phii sinh dflpe I p dyng sdm n h i t q u i n ly rfli ro g i i Louisiana (LLS) dflpc trao ddi theo g i i nidm yet edng khai tr^n thj trfldng d i u Sfl xult hidn ele hpp ddng tflOng lal v l cic sin p h I m t i l chlnh dfla trdn tai sin gdc l i d i u thd v i o nhflng n i m Hpp ddng tflong lal cho d i u thd WTI efla NYMEX du'^c 80 eua t h l ky trfldc cd ngudn gde tfl ele eu sdc g l l d i u tung trdn thj trfldng v i o ngiy 30/3/1983, trung thdi md n i m 1973 v l 1979 Ldnh elm v i n d i u cflaTd ehflc cie d i l m vdi quyit djnh g i i m g i l mang tinh lich sfl eua OPEC nflde xuit khiu d i u md A-r|p (OAPEC)' n i m 1973 v l cude Mie du thdi d i l m I I trung hop nhflng sa xult hi^n cCia eleh mang cfla Iran n i m 1979 d l l i m d i y Idn ndi lo sp cdng cy p h i l sinh cho d i u thd n i y chfl y i u lidn quan din v l tinh tr^ng thi^u ngudn eung d i u thd, Cic cu sdc d i u , q u i trinh phi d i l u t i l t dang didn tai My, su k i t thuc thdi die biet l i eu sde d i u thfl hai d l budc nginh d i u md p h l i ky cfla cartel dde q u y i n v l sfl ddi efla cO ehe djnh g\& u thuc hidn t i i elu true v l cho ddi thj trfldng giao do, minh bach hon trdn thj trfldng hoat ddng tfl N i m 1986, Saudi Arabia q u y i t djnh dfla thl trudng Trong nhflng n i m 70 cua t h l ky trfldc, cic cdng mdt Iflpng eung d i u ldn, khiln eho g i i d i u sut glSm ty d i u qudc gia tai Trung Ddng n i m quyen kiem soit eie m?nh tfl mfle 31,75USD/thflng t h i n g 11/1985 xudng cdn ngudn tai nguyen dau md quan trpng, ele cdng ty d i u 9,75USD/thung t h i n g 4/1986 SU syt g i i m g i i dot ngot qude t l Idn khdng edn k h i ning dua v i o ele md d i u tfl d l khiln cho cie edng ty d i u t h i y eIn t h i l t phli sfldung khai t h i c v l p h i n t i n rfli ro g i l dpc theo chudi g i l trj tfl edng ey t i i ehfnh p h i i sinh d l b i o h i l m rfli ro gii Oa c6 khau thflong nguon den ngudn Do dd, eic edng ty khoing 8.313.529 hop ddng tflong lai eho d i u thd duoc Idn budc phli tim k i l m ngudn cung d i u theo ele hop giao djch tai NYMEX v i o n i m 1986, t i n g tc^ 2472,6% so ddng d l i han cd g i i cd djnh vdi cic nude cung c l p d i u vdi thdi d i l m m i t n i m trfldc dd Khi cupe chien tranh Tuy nhien, To ehflc ele nflde x u l t khau d i u md (OPEC) vung Vinh l i n thfl n h i t nd v i o t h i n g 8/1990, gia dau ning g i l d i u tfl mflc 12,70 USD/thung v i o cudi n i m 1978 thd da t i n g tfl 21 USD len 46USD chl vdng hon len 32 USD/thflng eudi nam 1980 eie ddng eo kinh te t h i n g D i n thdi diem niy, ele cdng ty d i u cang nhan ro ehinh tri tfl Iran v l Libya, cac cdng ty d i u ldn p h i i chuyen t l m quan trpng cfla cic cdng eu p h l i sinh quin ly sang thj trfldng giao noi ed g i l c l t h l p hon rfli ro d l t r i n h eic h i u qfla khdn Ifldng bien dong gia g i y ndn Khi thj tradng giao boat ddng tfl ddi, ngudn cung d i u cie hpp ddng d l i han chuyen djch Khi NYMEX d l k h i sdi ddng vdi ele giao djeh hop cang nhieu sang thj trfldng niy Thdm v i o dd, sin ddng tflong lal eho d i u thd WTI thi tai chau Au, San giao Iflpng d i u mdi gia tang tfl khu vflc ngoii OPEC ehfl ydu ddac giao djeh tren thj tradng giao Khi thj tradng cd thdm eic ngudn eung g i l rd tfl bien Bic v l Mexico, mfle g i l OPEC dinh eho d i u thd eac nflde n i y sin x u l t da khdng theo sat thj trfldng VI viy, OPEC bude p h i i t i l n djch d i u qudc t l (IPE) v i n that bai vide tung hop ddng tflong lai eho d i u Brent Sau hai l i n t h i t bai, hop ddng tflong lai eho d i u Brent cung m i t cong tai IPE v i o n g i y 23/6/1988, cham hon n i m so vdi thi trfldng My h i n h dot g i i m gia manh ehfla tflng thiy, tfl mfle 34USD/ Cupc c l l cieh t i i chfnh dien tai thi trfldng diu dcic thung xudng cdn 29USD/thung v i o t h i n g 3/1983 Cd t h l nflde phflong Tiy v i o nhflng nam 1980, edn d chau Asau thay, p h i t trien giao djch trdn thi trfldng giao dong dd mdt thdi gian k h i l l u (vio khoing d i u the ky XXI) Khu nghia vdi viee d i u dflpc djnh gia mdt eleh minh bach vflc c h i u A - Thii Binh Dflong dflpe coi la khu vfle tang theo tflong quan eung ciu, khdng theo y ehi eua cic nflde trfldng manh nhu c i u n i n g lflpng, l i trung t l m dSu tU OPEC nhfltrfldc cho d i u , va didn Tai diy, moi quan tam hing diu Iu6n ' OAPEC (Organization of Arab Petroleum Exporting Countries) Id to chdc liin chlnh phd, dugc thdnh ldp ndm 1968, cd tru sdtc Bdy nudc thdnh viin cua OAPEC deu tham gia OPEC 60 DAU KHl-SO 5/2012 PETROVIETNAM II an t o i n nguon cung, khdng p h i i l i rfli ro gia Cic cdng D i n nay, sau hon 30 nam k l tfl cie cdng eu t i l eu quan ly rui ro n i n g Iflpng, n h i t I I hop ddng tflPng lai ehinh p h i l sinh dflpe ap dung cho hang hda nang luong, da nhieu lan dflpc I p dung nhflng khdng cdng thj trfldng n i y da phat trien manh cflng vdi nhu cau tfl Tranh rui ro chfl khdng p h l i l i q u i n ly rfli ro tflng la b i o hiem ngiy cing gia tang, sfl ho trp eua cdng nghe khli niem xuat hien phd b l l n tren thi trfldng d i u c h i u thdng tin v i sfl tham gia efla hd thdng eie ngan hang A.Tuy nhien, quan diem n i y d l thay ddi l i n sdng phi thflong mai - d i u tfl Giao djeh thflong mai tren thi dieu tiet va t f l nhan hda ITnh vflc n i n g Iflpng dflpc trfldng p h i i sinh cd the Idn gap h i n g ehue l i n so vdi giao thue day tai khu vfle Hon nfla, sfl phy thude ngiy c i n g djeh h i n g hda tren thi tradng thae te Trong tflong lai, nhieu vao dau n h i p k h i u se d i n d i n tinh trang b l l n tinh hinh kinh t l - ehinh trj the gidi cdn nhilu bat dn, ddng gia v i bat on ngudn eung Do dd, nhu e l u sfl dung l i n sdng phi dieu t i l t nginh ning lupng cdn tiep cae edng ey q u i n ly rill ro ngiy c i n g gia t i n g trdn thj tuc d i l n ra, q u i trinh tu nhin hda v l tfl hda thuong trfldng chiu A Q u i n ly rfli ro, tflng bj col I I khli nidm m^l ITnh vflc nang Iflpng dfloe thfle d i y d nhieu khdng quan trpng, eung d l trd t h i n h edng cu q u i n nflde, thj trfldng phil sinh nang Iflong se cdn tiep tuc ly cdt y i u tai khu vflc niy Tuy nhidn, so vdi nhflng thi trfldng d l p h i t t r i l n tai c h i u Au v i Ble My, thi tradng phai sinh nang lapng tai ehlu A mdi ehi b i t dau p h i t trien elu trfle giao dich t i i ehinh eIn thiet de q u i n ly rfli ro gia ning Iflpng Trong qua trinh p h i t then, thi trudng phai sinh ning lflpng ehlu A ed nhflng ndt khIe biet nhat dinh so vdi chau Au v i My Tai ehlu A, ben eanh cae loai dau dflpc col la dau ehi djnh g i l cho d i u thd nhfl Tapis v l Dubai, thj tradng edn sfl dyng nhieu loai d i u thd khae efla Indonesia, Oe, Trung Qudc, Viet Nam va Alaska Trong dd, chau Au va My chi sfl dung mdt djnh chuan cho d i u thd nha WTI hay Brent hoac sfl dung mdt loai san phIm dau ehuan Mdt khic biet d i n g k l nfla I I phan Idn cic cdng cy giao djch tren thj trfldng p h i l sinh chau A thadng ngan han, dfldi nam, khdng gidng nhflcic cdng cy dflpe dinh han l l u hcfn tai ehlu Au v l Ble My Ddi vdi cic sin pham nang Iflpng khic nhfl dien va p h i t t r i l n khdng ngflng T r i l n vong phat trien thj triTdng phai sinh cho nganh nang Iflong Viet Nam [2,9,10] Nha tren d l d l cap, eac edng cu phai sinh dac biet hull hieu quin ly rui ro g i i , mdt loai rui ro g i n liln vdi thl trfldng hing hda nang Iflpng dae diem gia c l nhflng mat hang cd the bien ddng rat manh theo sfl chuyen djeh eung cau hay dUdi t i e ddng cCia cac yeu td kinh te, ehinh trj, xa hdi Khi thi trudng nang lupng hoat ddng tfl do, gia ea cae sin pham trdn thi trudng ed the bien ddng nhieu hon so vdi cac loai hing hda khae Gii ca bien ddng nhanh ehdng khdng ehi de dpa ngin sleh va k l hoaeh tai ehinh ma edn khien eie khoin dau t a cung nhu hoat ddng sin x u l t kinh doanh ed mflc dp rfli ro cao hon Do rfli ro gia ddng vai trd thdng trj nginh nang Iflpng nen viee sfl dung cdng ey phli sinh la xu hfldng tat yeunhlmgiupeaeedngtynanglflpng, e l e n h a d l u tflva khich hing quan ly dupc rui ro p h i t sinh tfl sfl bien ddng Idn cfla gia sin pham nang Iflpng thien nhien, thj trfldng h i n g hda thfle te phin tan theo khu vUc dia ly va khdng dat dflpc mfle dp thong n h i t Tuy nhien, quan ly rfli ro g i l hidn v i n edn tflong ddi cao nhfl thj trfldng d i u D i l u n i y x u l t p h i t tfl die diem mdi md v l chfla trd nhu elu t h i l t y i u nganh dien va thien nhien I I loai h i n g hda khdng cat trfl n i n g Iflong Viet Nam vi cho den nay, ele hang hda tren thi dupe; viee p h i n phoi nhflng sin pham den ngfldi tieu trfldng nang Iflong chfl yeu van chju sfl dieu tiet va quan dung phu thudc v i o he thdng truyin t i i v l phan phdi eho ly cfla N h i nflde Thi trfldng cic sin phIm nang lflpng tflng khu vucTuy nhien, mac dfl mudn hon thi trfldng dau van ehfla thflc sfl p h i t trien theo hfldng trd thinh cic thj nhung thj tradng p h l i sinh cho dien va thien nhien trfldng tfl eanh tranh hoan toan Mae du Chinh phu da cung da daoc hinh t h i n h va phat trien qua trinh phi cd chu trflong cho phep ele m i t hing dien, than, xang dieu tiet dien eic nginh niy Hpp ddng tflong lal dau phat trien theo eo che thj trfldng nhflng den gia dau tien eho thidn nhien v i dien xuat hidn tren sin eic mat hing n i y van Nhi nflde quy djnh de gdp phan giao djch NYMEX l i n IflOt vao eic n i m 1990 va 1996 Do thfle hien eae mye tieu on dinh kinh t l vi md, dam bao dac thu hang hda nhfl tren ndn tde dp va mflc dp phat an sinh xa hpi Khi lan sdng phi dieu tiet ehfla dfloc tien trien cic edng cu phai sinh eho dien va thien nhien h i n h triet deva dien re T ' ^ I " khdng nhanh v i manh nhfl ddi vdi dau hoat ddng dfldi SL ' TL?, nhflng ITnh vUe van "'•fnh '''^u nen it co nhu 61 KINH TE - QUAN LY D A U KHi elu q u i n ly rfli ro ndi ehung cung nhfl q u i n ly rui ro g i l b?ch hda thdng tin; thay ddi, h o l n thidn nhflng quy dinh ndi ridng t i l chinh k l t o i n lidn quan Trong taong lai, cflng vdi q u i trinh phi d i l u t i l t B i n c?nh cic g i l l p h l p mang tinh vi md, thj trfldng ITnh vi/e n i n g luong v l q u i trinh hdi nh$p v i o thj trfldng p h i l sinh mudn p h i t t r i l n b i n vflng, an t o i n v i hidu qui t h l gldl, vl^e sfl dyng eic cdng ey phli sinh d l q u i n ly cdn eIn cd sfl n6 lyc cfla t i t c l ele chfl t h l kinh t l tham rfli ro se trd t h i n h nhu elu t i t y i u cfla ele doanh nghidp gia tri/c t i l p v i o thj trfldng niy Rilng ddi vdi eic doanh ning Iflpng Vi^t Nam Tfly v i o d|c d i l m cfla tflng lo?l nghidp n i n g Iflpng Vl^t Nam, q u i n ly rfli ro b i n g eie cdng h i n g hda, k h i n i n g i p dung v l mflc dd i p dyng cie edng cy p h l i sinh hidn v i n l i mOt linh vi/c h o i n t o i n mdi ml ey p h l i sinh cd the khic nhau,Thj trfldng eie cdng cu p h i i ndn trfldc m i t eIn t i p trung nghidn cflu cic cdng eu quin sinh ehi ed t h l p h i t triln thj trudng t i l sin gde hay t i i trj rui ro, nghidp vy tfl b i o h i l m cung nhfleieh thflc tham sin eo sd hoat ddng tdt Vdi cic hing hda khdng elt trfl gia ele sin giao djch Idn trdn t h l gidi, p h i t triln cdng tic dflpc nhfl diln, thidn nhidn, cic n h i q u i n ly rui ro cd p h i n tieh dfl b i o thj trfldng v l trang bj mdt ddi ngu cin t h l g | p phil nhilu khd khin hon d i n h g i i eie rfli ro bd dflpe d i o tao b l i b i n , d i p flng dfloc cic ydu ciu dit g i n vdi cic cdng cu p h i i sinh cho nhflng m^t hing niy, q u i trinh t r i l n khai Bdn canh nhflng c i n trd lidn quan trflc t i l p d i n thj T i l li^u tham k h i o trfldng t i l sin gde efla ele edng eu phil sinh, vide I p dung cic cdng cy n i y cdn cd t h l bi h?n c h l bdi cic v i n de Hdn quan d i n dieu kien kinh t l , mdi trudng chlnh sich, h§ thdng p h l p ly v l cic v i n de ve k l t o i n Nhin mdt d c h Energy Charter Secretariat, 2007 Putting a price on energy • International pricing mechanisms for oil and gas Energy Information Administration, 2002 tdng q u i t , mflc dd i p dyng cie edng cy phli sinh d Vidt Derivatives and risk management m the petroleum, naturrA Nam edn r i t han c h l trfldc h i t la x u l t p h i t diem t h l p gas and electricity industries cfla nen kinh te ehfla eho phdp I p dung eic ky t h u l t t i i chinh hien dai Ndi cieh khie, thdi quen v i t i p q u i n kinh doanh I I nhflng ein trd Idn ddi vdi q u i trinh phd b i i n cic Energyrisk.com, 2009 OH Derivatives: In the beginning cdng cu p h i i sinh d nfldc ta Tiep theo la nhflng trd ngai Global Association of Risk Professionals, 2009, ve mat p h l p ly doi vdi sfl phat t r i l n thj trfldng p h i i smb Foundations of energy risk management: An overview of the Dd chinh I I nhflng quy djnh p h i p luat edn thieu va khdng energy sector and its physical and dnanciai markets phu hop nhflquy djnh ve mflc thue d i n h tren lai thu dflpe tfl viec thflc hien nghiep vu h o i n ddi Mdt trd ngai Idn khae I I trd ngai lien quan den v i n de hach t o i n ke t o i n Hach t o i n ke t o i n dfldng nhflchi ehfl trpng tdi p h i n 111/16 thflc te p h i t sinh, phin lii/l6 dfl kiln, chfla p h i t International Energy Agency, 2011 The mechanics of the derivatives markets: What they are and how they function • special supplement to the April 201J oil market report sinh dfldng nhfl ehfla dflpe quan t l m Ngoii ra, cdn mdt Peter C.Fusaro, 2003 Why oil trading & fiaper so van d l khic nhfl: t i e dpng efla cic cdng cu phli sinh markets are different in Asia Pacific Asian Oil - Commodities khdng rd ring cic b i o cio t i l chinh; hfldng d i n ke Now t o i n ddi vdi ele edng cu phil sinh v l boat ddng tfl b i o hiem ehfla holn ehinh, khdng n h i t q u i n v i khd i p dung, S Stoft,T Beiden, C Goldman, and Pickle, 1998, Primer on electricity futures and other derivatives De eie edng eu phai sinh nang Iflpng dflpe trien khai SJ Deng, S.S Oren, 2006 Electricity Derivatives hieu q u i v l ben vflng, cin t r i n h tinh trang eic cdng eu and Risk Management, Energy , p 940 - 953, www phdng ehdng rui ro n i y bj sfl dung v i o cic mye dieh d i u seieneedlrect.com CO khdng lanh manh Cae eO quan q u i n ly n h i nfldc eIn phoi hpp thfle hien mpt sd gill p h i p vT md n h l m bfldc d i u djnh hinh v i phat t r i l n thj trfldng tflOng lai Trfldc m i t , can tap trung v i o ele bien p h l p nhfl: x i y dflng, d i l u ehinh khung phap ly phfl hpp; ning eao hieu q u i thj trfldng thdng qua viee edng khai hda v l minh I 62 Ulu KHi-sd 5/2012 Tdng cdng ty D i u Viet Nam, 2008 Bdo cdo nghiin edu ldp sdn giao djeh ddu thd vd cdc sdn pham ddu md 10 Tran Thj Thuin Thinh, Hpe vidn Tii chinh, 2007 Cdng eu tdi chfnh phdi sinh d Viit Nam - mdi hay cu? ... i sinh n i n g Iflpng d l d i u c o v i o mdt hing hda cu thd hole d l bfl d i p eho cic rfli ro ed the phat sinh tflquan hd kinh doanh vdi eic cdng ty n i n g lflpng Cde logi cdng eu phdi sinh. .. Tiy Texas (WTI) v l d i u thd ngot nhe Trong sd eie h i n g hda n i n g Iflpng, cdng cy t i l chlnh phii sinh dflpe I p dyng sdm n h i t q u i n ly rfli ro g i i Louisiana (LLS) dflpc trao ddi... trien elu trfle giao dich t i i ehinh eIn thiet de q u i n ly rfli ro gia ning Iflpng Trong qua trinh p h i t then, thi trudng phai sinh ning lflpng ehlu A ed nhflng ndt khIe biet nhat dinh so vdi