(Luận văn) financial derivatives effective instrument to hedge exchange rate risk in vietinbank brvt branch

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMIC HOCHIMINH CITY K - ng hi ep w n lo LUC THAO PHUONG HA ad ju y th yi pl FINANCIAL DERIVATIVES INSTRUMENT TO HEDGE EXCHANGE RATE RISK IN VIETINBANK BRVT BRANCH n ua al n va ll fu oi m at nh z In Banking and Finacial Ology code: 60.31.12 z ht vb k jm Supervisor : Dr.TRAN HUY HOANG om l.c gm MASTER’S THESIS n a Lu n va y te re Ho Chi Minh City – 2010 th Financial Derivatives ng hi ep DECLARATION w n lo I assure that this thesis is my research This thesis has not already been submitted for ad any degree and is not being currently submitted for any other degree The extracts and y th ju data from the other studies have been cited clearly I bear full responsibilities for yi whatever un-honest of this thesis pl n va August, 2010 n ua al Luc Thao Phuong Ha ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re ac th i Financial Derivatives ng hi ACKNOWLEDGMENTS ep w It is a good opportunity to participate to the master’s course of Banking in English, n lo which is conducted by the University of Economic Hochiminh City, Faculty of ad Banking Course I have achieved a lot of knowledge, methodology, techniques and y th ju new ideas from this course This thesis is a part of my accumulative knowledge that I yi have gathered from the teachers, classmates and the colleagues pl ua al First of all, I would like to express my grateful and indebtedness to my supervisor, Associate Professor Ph.D Tran Huy Hoang who provided me the precious n n va methodology He helped me a lot in construction of the thesis structure, and gave me ll fu the new ideas in analysis This thesis could not be done without his contribution oi m I also would like to extend my sincere thanks to all the teachers, who have improved nh my knowledge of development economics and other social economics understanding at I am grateful for the help from the board of director of Vietinbank Baria Vungtau z z branch, Mr Tu Nhu Phong, Mr Nguyen Huu Son, Ms Thu Ha, and all my colleagues, ht vb who have facilitated me in this research k jm I highly appreciate the helps from Mr Kien Quoc, Mr Manh Ha, Mr Thanh Hai and all study I would like to give my thanks to all of them l.c gm classmates of class of Banking, course 16, who have made a good condition for my n a Lu the progress of my studying and completing this thesis om Finally, I express my love to all members of my family, who have encouraged me in n va Luc Thao Phuong Ha y te re ac th ii Financial Derivatives ng hi ep Abstract w n lo ad ju y th Based on the theory of foreign exchange (forex) market and foreign exchange risk management, this thesis focuses on the involved banking products used to manage yi pl risks in trading forex operation They are financial derivatives al ua Financial derivatives are rare in Vietnam although they are widely used in international n market An overview of Vietnam forex market from 2007 to now demonstrated to give va n the reasons why it is necessary to manage foreign exchange risk and what can be done fu ll to mitigate risks? Finally, suggestions for applying financial derivative instruments in m oi Vietnam Bank for Industry and Trade (Vietinbank), Baria Vungtau Branch as a new nh banking transaction are discussed to enhance its position in local province at z z k jm ht vb om l.c gm n a Lu n va y te re ac th iii Financial Derivatives ng hi TABLE OF CONTENT Page ep INTRODUCTION w n The rational of the study lo ad Statement of the research problem ju y th Research questions and objective 3.1 Research questions yi pl 3.2 Research objectives al ua Research methodology n Signification of the study va n Structure of the study ll fu m oi CHAPTER ONE: FINANCIAL DERIVATIVES IN FOREIGN EXCHANGE nh TRADING IN COMMERCIAL BANKS at z 1.1 Foreign exchange trading in commercial banks z ht vb 1.1.1 What is a commercial bank? jm 1.1.2 Banking transactions – foreign exchange trading k 1.1.3 Risks in foreign exchange trading gm 1.1.4 The necessity of managing foreign exchange risk 14 om l.c 1.2 Financial derivatives in foreign exchange trading in commercial banks 14 1.2.1 What are financial derivatives? 14 a Lu 1.2.2 Types of financial derivatives in exchange trading 15 n 1.3 Conditions to apply and develop financial derivatives of foreign currency 22 ac iv th Conclusion 24 y 1.3.2 Commercial banks’ external conditions 23 te re 1.3.1 Commercial banks’ internal conditions 22 n va 1.2.3 Functions of financial derivatives 19 Financial Derivatives ng hi CHAPTER TWO: RESEARCH METHODOLOGY ep 2.1 Introduction 25 2.2 Research design 26 w n 2.3 Data collection 27 lo ad 2.3.1 Sample 27 ju y th 2.3.2 Data collection 27 2.3.3 Hypothesis 31 yi pl 2.3.4 Scope of the research and data analysis 33 al n ua 2.4 Conclusion 34 va n CHAPTER THREE: CURRENT SITUATION IN FOREIGN EXCHANGE fu ll TRADING IN VIETINBANK BARIA VUNGTAU BRANCH m oi 3.1 Background of Vietnam’s forex market 35 nh 3.1.1 Characteristics of Vietnam’s forex market 35 at z 3.1.2 Forex trading in BRVT province and Vietinbank BRVT branch 39 z ht vb 3.2 Analysis results 41 jm 3.2.1 Unexpected movement of foreign currency impact on k businesses’ activites 42 gm 3.2.2 Business’ demand for using derivatives 47 om l.c 3.3 Vietinbank Baria Vungtau branch and perceptions about application of derivatives 51 a Lu 3.3.1 Forward and option contract 52 n 3.3.3 Reasons why derivatives are not popular used in BRVT province 54 y te re Conclusion 57 n va 3.3.2 Combining financial derivatives with credit policy 53 ac th v Financial Derivatives ng hi CHAPTER FOUR : CONCLUSION AND RECOMMENDATION ep 4.1 Conditions for developing foreign exchange derivatives 59 4.2 Recommendation 62 w n 4.3 Limitation of study and suggestion for further ones 64 lo ad 4.4 Conclusion 65 y th LIST OF REFERENCES 66 ju yi APPENDIXES 68 pl ua al ABBREVIATION n n va Baria Vungtau Central Bank Intervantion oi nh CPI: m CBI : ll BRVT: Australian dollars fu AUD: Customer purchase Index at Europe dollar Forex market = FX: Foreign exchange market GBP: Greatain Bristish Pound GDP: Gross domestic product IMF: International Monetary Fund JPY: Japnanese yen OTC: Over the Counter SBV: The state bank of Vietnam SOCB: The state-owned commercial banks USD: United States dollar VND: Vietnam dong Vietinbank: Vietnam Bank for Industry and Trade WB: World Bank WTO: World Trade Oragnization z EUR: z k jm ht vb om l.c gm n a Lu n va y te re ac th vi Financial Derivatives ng hi LIST OF CHART ep Chart 1.1: AUD/USD rate’s movement 10 years Chart 2.1: Outline of Research methodology 25 w n Chart 2.2: Outline of Hypothesis and variables 32 lo ad Chart 3.1: Density inward of foreign currencies 35 ju y th Chart 3.2: The movement of VND/USD period 1999 – 2009 37 Chart 3.3: Import – Export turover in BRVT province 39 yi pl Chart 3.4: Volume of USD trading in Vietinbank BRVT branch 40 al ua Chart 3.5: USD transferred to Vietinbank from exporters, remittance n and demand for USD from importers 51 va n Chart 3.6: Derivatives trading in Vietinbank BRVT branch and fu ll Other banks in BRVT province 52 oi m at nh z z ht vb LIST OF TABLE jm Table 3.1: Summary of the kind of investigated companies 41 k Table 3.2: Descriotive statistic about impact of forex on companies’ activities 43 gm Table 3.3: Correlation and coefficient of Q7, Q8, Q9 and Q18 44 om l.c Table 3.4: Correlation and coefficient of Q10, Q11, Q12, Q13, Q14 and Q18 45 Table 3.5: Correlation and coefficient of Q15, Q16, Q17 and Q18 46 a Lu Table 3.6: Frequency analysis of Q19, Q21, Q22 47 n Table 3.8: Frequency analysis of Q28, Q29 and Q29B 50 n va Table 3.7: Frequency analysis of Q23, Q24, Q25, Q26, Q27 48 y te re ac th vii Financial derivatives INTRODUCTION The rationale of the study ng hi In the recent years, the foreign exchange market in Vietnam has been formed and ep developed This is actually necessary for Vietnam in the process of integrating into the international economy Vietnamese businesses as well as commercial banks w n have recently improved their operating abilities to run the business in the global lo ad field The operation of the foreign exchange market plays an important role in ju y th promoting the international foreign trade and economic cooperation among yi countries Foreign exchange transaction not only has been now considered as one of pl important banking services of commercial banks, but also marked a new step al ua forward of banking – modernizing movement Transactions conducted in the n foreign exchange market determine the rate at which currencies are exchanged The va n major transactions in foreign exchange market are spot, forward, swap, future fu ll contract and currency option The basic of those transactions is the exchange rate m oi Exchange rate affects the relative price of domestic and foreign goods, hence nh z countries at exchange rate volatility strongly affects the foreign trade activities between z ht vb The year 2008 was coming with the pessimistic image of the global economy It jm started with the American sub-prime crisis, the international fluctuating price of oil k – up and down rapidly, the high inflation and the global economic slowdown… gm therefore, the forex market around the world has been operating on unexpected om l.c movement Since the event that Vietnam became the official member of WTO, we are directly impacted by these turmoil tendencies, influencing deeply in our a Lu country’s emerging economy The more Vietnam integrates into global economy, n va the riskier in currency exchange rate the businesses have to exposure In order to n support local import-export enterprises, commercial banks have to develop many international banking standards As one of members of Vietnam banking system, th Vietnam commercial banking system has recently increased its’ abilities to meet the y te re kinds of derivatives in foreign currency transaction for hedging exchange rate risk Financial derivatives ng hi ep w n lo ad ju y th yi pl ua al Statement of the research problem n Foreign exchange risk management is crucial for businesses frequently trading in va n the international market There are many kinds of financial instruments used to risk ll fu management, in which financial derivatives have been most popularly used in oi m hedging Financial derivatives include four main types: forward, future, swap and at nh option They have been widely used for hundreds of years in international market such as stock market, commodity market, foreign exchange market … Speculators z z use them to implement their arbitrage transactions to gain profit in financial market vb ht However, the most important effect of financial derivatives is hedging risks – jm fluctuant changing in prices of goods In the foreign exchange market, this effect is k gm more important to prevent investors from the rate’s volatility l.c Firstly, this thesis analyzes risks derived from forex market, and the importance of om forex risks management Then it aims to explain why derivatives have not implied a Lu widely in Vietnam yet, and how to encourage this kind of financial instruments as n new banking services in Vietnam banks – especially in Vietinbank BariaVungtau va n branch The current Vietnamese foreign exchange market will be generally th instruments for hedging foreign exchange rate in Vietnam are analyzed in detail, y local import-export businesses Then some conditions for development of derivative te re demonstrated, giving its changes affected by outside factors and its influences on Financial derivatives Therefore, a modern technology is necessary in order to support Vietinbank to calculate technical parameters from historical data, which outlines trends of foreign ng exchange rate movement This is also an effective supporting tool to help staff to hi ep predict the future movement of forex, thereby making appropriate business strategy w n 4.3 Limitation of study and suggestion for further ones lo This study aims to develop financial derivatives as a new banking service in ad y th Vietinbank Baria Vungtau branch In general, the sample is collected within Baria ju Vungtau branch, the companies interviewed are almost Vietinbank’s customers, yi pl their opinions can not fully represent for all companies Economic experts’ ideas ua al also contribute to make this study better The questionnaire should be designed n more specific and appropriate to each subject as importer, exporter and banker va n Information from different sides will give more truthful opinions about this ll fu theoretical problem oi m Moreover, the study is implemented in the context that Vietnam forex market is at nh stable because of government’s intervention The interbank rate is appreciated to 18.900 VND/USD, which makes the stated rate closer to unofficial one Besides, z z Vietnam large groups are requested to sell USD to SBV under a prior USD vb ht purchase commitment Therefore, the results collected from questionnaires were not k jm correctly reflected the right period gm A specific study can not be presented to interpret the correlation between economic l.c elements and customers’ demand for derivatives A further one might be applied to om cover more factors which directly or indirectly affect to foreign exchange rate, so a Lu this will help banker create marketing strategy for new banking services n One more suggestion would be to develop several case studies with examples of va n foreign banks in developed or developing countries Learning in launching hedging 64 th efficiently and sustainablv y Vietnam banks in general to establish a suitable strategic product development te re instruments from the predecessors would be helpfull for Vietinbank in particular, Financial derivatives 4.4 Conclusion With the goal of becoming the most modern financial banking group in Vietnam ng and international, Vietinbank has gradually assessed and diversified many types of hi ep banking products and services in order to satisfy customers better Modern banking products nowadays could not only bring added value to clients, but also help them w n predict and hedge risks in future lo Derivatives are widely applied on global fields, including commodity market, stock ad y th market, financial market, and forex market The main advantage of developed ju foreign exchange derivatives market is the ability of both foreign investors and yi pl domestic businesses to hedge currency risk In Vietnam, financial derivatives are ua al still infant; they have already been applied as tool to cope with monetary policy, not n for risk management The purpose of the thesis is to find out what factors can help va n Vietinbank Baria Vungtau branch develop financial derivatives as forex risk ll fu management tool oi m Import – export companies often claim that fluctuate movement of foreign exchange at nh rate in recent times drastically affected their operations, so forex risk management is very important Yet the companies are confident to rely on their own resources, and z z find it inconvenient to use financial derivatives for many reasons: useless, complex vb ht in accounting, inefficient, etc However, the main reason for this trend is that there jm is large amount of money transferred under table to a small group who has right to k gm decide if derivatives are chosen On the other hand, it is difficult to break the habit l.c that consider rate between VND/USD to be stable, and applying management is not om optimal For these reasons and other subjective factors, Vietinbank Baria Vungtau n financial products a Lu branch should continue to work with its clients in consulting and promoting these va n Derivatives can be expected to become more popular in the future when Vietnam y financial markets te re becomes an open economy with increasing trade, growing industry and developing th 65 Financial derivatives REFERENCES: ng hi ep Federal Reserve Bank of ST.Louis, “Central Bank Intervention and Exchange Rate volatility, Its continuous and Jump Components”, May 2006 w (http://research stlouisfed.org/wp/2006/2006-031.pdf n lo Frederic S.Mishkin, “The economics of Money, Banking and Financial ad y th Markets, Columbia University”, 7th edition ju Ghassem A Homaifar, “Managing global Financial and Foreign exchange yi rate risk”, John Wiley & Sons, Inc, 2004 pl ua al Jacques, L., “Management of foreign exchange risk: a review article”, n Journal of International Business Studies, Volume 12, Issue 1, Tenth Anniversary n va Special Issue (Spring – Summer, 1981), 81-101 ll fu Mantas Jonuška Indrė Samėnaitė, “Foreign Exchange Risk Management in nh School of Economics in Riga, 2003 oi m Lithuanian Companies: The use of currency derivatives”, Thesis of Stockholm at Randall Dodd, “Derivatives Markets: Sources of Vulnerability in U.S z z Financial Markets”, Derivatives Study Center, 2001 (update 2004) vb ht Tu Nhu Phong, “Foreign Exchange Market and Interest Parity condition – A gm Development Economics, Hanoi 2007 k jm case study of Vietnam”, Master Thesis Netherlands Project for Master’s Degree in l.c Vuong Quan Hoang, “Essay on Vietnam’s Financial Reforms: Foreign om exchange statistics and evidence of long-rum equilibrium”, Hanoi-Bruxelles, 2003 n University, 1997, Fifth edition a Lu William Zikmund, “Business Research Methods”, Oklahome State va 10 “Risk Management of Financial Derivatives”, Comptroller’s Handbook, n y te re 1997 th 66 Financial derivatives ng Newspapers, Magazines and Internet hi ep “Vietnam’s Socio-Economic situation – Happenings and comments”, Central Institute for Economic Management, Centre for Information and w Documentation, No 8-2009 n lo The Banking Magazines ad y th The Saigon Times weekly ju The Vietnam News yi pl http://www.bloomberg.com ua al http://www.gso.gov.vn n http://www.kitco.com va n http://www.nytimes.com ll fu http://www.sbv.org.vn oi m 10 http://www.vietinbank.vn at nh z z ht vb k jm om l.c gm n a Lu n va y te re th 67 Financial derivatives APPENDIX 1: FIGURES FROM CHARTS ng Chart 3.1: Density inward of foreign currencies hi ep 2008 (%) 2009 (%) w n 54 51 EUR 36 29 JPY SGD Other 10 lo USD ad ju y th yi pl Source: GSO and calculated by author n ua al va n Chart 3.3: Import – Export turnover in Baria Vungtau province fu ll Unit: million USD Import 496 535 765 976 z 601 at 453 2008 nh Export 2007 oi 2006 m 2005 2009 920 900 1,171 832 z ht vb Source: Statistics office – Baria Vungtau k jm gm 2006 2007 2008 2009 Buy 35,462 29,123 46,326 70,995 37,015 Sell 15,382 11,749 29,831 52,761 36,212 n 2005 a Lu Unit: thousand USD om l.c Chart 3.4: Volume of USD trading in Vietinbank Baria Vungtau branch n va y th 68 te re Source: Vietinbank Baria Vungtau branch Financial derivatives Chart 3.5: USD transferred to Vietinbank from exporters (Inward) and demand for USD from importers ng hi Unit: thousand USD ep 2005 2006 2007 2008 2009 9,310 10,341 17,321 27,264 18,596 21,956 25,839 42,341 62,795 36,787 USD Outward w n USD Inward lo ad Source: Vietinbank Baria Vungtau branch ju y th yi pl Chart 3.6: Derivatives trading in Baria Vungtau province al n ua Unit: thousand USD n fu 1,031 ll 2008 2009 637 2,167 9,100 38,721 oi m Other banks va Vietinbank BRVT 2007 at nh Source: Statistics office – Baria Vungtau z z ht vb k jm om l.c gm n a Lu n va y te re th 69 Financial derivatives APPENDIX 2: QUESTIONNAIRE ng hi Dear Sir / Madam, ep My name Luc Thao Phuong Ha, participant of Banking, Faculty of Post-graduate training Course 16, University of Economics Hochiminh City w n I am making an investigation about import – export businesses’ demand for financial lo derivatives in order to hedge foreign exchange rate risk in BariaVungtau province Please ad research ju y th fill in this questionnaire under your opinions in order to supply information for my yi Your help is hightly appreciated pl ua al Company Profile n (Thông tin chung Quý công ty) n va In what business sector does your company operate? fu (Quý công ty hoạt động lĩnh vực nào?) Customer services (Dịch vụ) ll Seafood (thuỷ hải sản) m Oil and gas (Dầu khí + Gas) Finance (tài chính) Healthcare (dịch vụ y tế) oi Consumer goods (Hàng tiêu dùng) at nh Others (khác) z Technology (Ngành kỹ thuật) ht vb (Quý Công ty thành lập năm?) z How long has your business been established? – 10 years (từ – 10 năm) – years (từ đến năm) More than 10 years (Hơn 10 năm) k jm Less than years (Ít năm) gm What is your position in your business? Chief accountant (kế toán trưởng) Manager (Giám đốc) Other, please specify ………… (Doanh số xuất nhập bình quân hàng năm Quý công ty bao nhiêu? n te re Less than 10 million USD (dưới 10 triệu USD) va Less than million USD (dưới triệu USD) n a Lu How much does the company’s yearly export/ import turnover? om l.c Owner (Chủ doanh nghiệp) y Less than 30 million USD (dưới 30 triệu USD) th Less than 50 million USD (dưới 50 triệu USD) More than 50 million USD (trên 50 triệu USD) 70 Financial derivatives What are your major export/ import markets? (Thị trường xuất nhập chủ yếu Qúy công ty?) ng hi America (Châu Mỹ) Europe (Châu Âu) Asia (Châu Á) Others (Các nước khác) ep Which is the major currency used for your international trade? (Đồng tiền sử dụng chủ yếu hoạt động thương mại quốc tế Quý ngài? w n USD EUR JPY GBP Other lo ad The company’s review of the evolution of forex market in the recent past and the importance of forex risk management (Nhận định Quý ngài diễn biến thị trường ngoại tệ thời gian qua tầm quan trọng việc quản lý rủi ro tỷ giá) ju y th yi (Please indicate the group, with the agreeing with each statement, the highest rate being ‘1’ and the lowest one ‘5’ pl ua al Với câu phần này, vui lòng đánh dấu từ hoàn toàn đồng ý với mức độ giảm dần tới không đồng ý) n Last time, import / export trading of your company have been drastically affected by the unexpected exchange rate movement n va ll fu (Trong thời gian qua, biến động tỷ giá ngoại tệ tác động mạnh đến hoạt động xuất nhập Quý công ty) oi m at nh The exchange rate has negative impact on your company’s profit last year (Tỷ giá ngoại tệ làm giảm lợi nhuận công ty bạn) z z vb ht The company always finds the movement of exchange rate traded in unofficial market and global forex market jm k (Quý ngài thường xuyên tìm hiểu diễn biến tỷ giá thị trường tự thị trường giới thời gian qua) l.c gm om 10 Government’s exchange rate policy is one of your main concerns in managements n a Lu (Chính sách tỷ giá Nhà nước mối quan tâm Quý công ty công tác điều hành) va n 11 The company frequently pays attention to international economic events and the macroeconomic policy of Vietnam government 71 th y te re (Quý công ty thường xuyên theo dõi biến động kinh tế giới sách vĩ mơ Nhà nước.) Financial derivatives 12 Nowadays, there is a high spread between the official and black exchange rate ng (Quý công ty cho có khác biệt tỷ giá niêm yết Ngân hàng tỷ giá giao dịch thị trường phi thức) hi ep 13 Does the company reckon that official foreign exchange rate (stated by State Bank) comply with global forex market’s one? w n (Q cơng ty có cho tỷ giá niêm yết thức Việt Nam có phù hợp với thị trường ngoại tệ giới không?) lo ad ju y th 14 In the recent time, the forex market has been continuously changing, yet you find it easy to forecast the exchange rate in the future yi (Mặc dù gần thị trường ngoại liên tục biến động, khơng khó đoán xu hướng tỷ giá tương lai.) pl ua al n 15 Was the company refused to buy/ sell foreign currency at official rate by commercial banks last time? va n (Thời gian qua, quý ngài có bị ngân hàng từ chối mua bán ngoại tệ theo giá niêm yết để tốn khơng? ll fu oi m at nh 16 Had the company ever been forced to buy/ sell foreign currency with the much more unprofitable rate than that was stated in 2008? z (Quý cơng ty có bị buộc mua / bán ngoại tệ với tỷ giá bất lợi nhiều so với tỷ giá niêm yết thức ngân hàng không?) z ht vb k jm 17 Had the company been bidden large gap of exchange differences among commercial banks last year? gm om l.c (Các ngân hàng có đề nghị mua ngoại tệ Quý ngài với mức chênh lệch tỷ giá – tương đối lớn - khác khơng?) (Q ngài có nghĩ việc quản lý tỷ giá vấn đề quan trọng không?) n va n a Lu 18 The company believes that foreign exchange management is important? te re The company’s studying about derivatives in term of forex risk management y th Tìm hiểu cơng cụ phái sinh việc quản lý rủi ro tỷ giá 19 The company has ever thought about a way to hedge foreign exchange risks 72 Financial derivatives (Quý ngài nghĩ đến việc áp dụng biện pháp để phòng ngừa rủi ro tỷ giá) ng 20 You have ever heard about any kind of financial derivatives: forward, future, option and swap hi ep (Quý ngài nghe qua số sản phẩm phái sinh tài hợp đồng kỳ hạn, tương lai, quyền chọn hay hoán đổi) w n lo 21 The company has been learning about the utility of financial derivatives? ad (Bạn tìm hiểu tiện ích sản phẩm phái sinh đề cập trên) ju y th yi 22 Has the company thought that financial derivatives were a game of chance? pl (Q cơng ty có cho sản phẩm phái sinh trò chơi may rủi không?) ua al n 23 Has the company intended in any course/ class specializing in management risk in Baria Vungtau Province? va n (Quý ngài tham gia khóa học chuyên ngành quản lý rủi ro tỷ giá BRVT hay chưa? ll fu No (khơng) oi m Yes (có) at nh 24 The company has foreign exchange department / person that is responsible for foreign exchange z (Quý công ty thành lập phận kinh doanh ngoại tệ /có chuyên viên phụ trách kinh doanh ngoại tệ) z No (khơng) ht vb Yes (có) k jm 25 Has the company been introduced about banking services for hedging exchange rate by any banks in Baria Vungtau province? gm No (không) If no, please go to the question No 27 No (khơng) n Yes (có) va (Nếu có, Q cơng ty có sử dụng sản phẩm khơng?) n a Lu 26 If yes, has the company used these hedging risk’s services? om Yes (có) l.c (Q cơng ty có nghe giới thiệu loại hình dịch vụ ngân hàng nhằm phòng ngừa rủi ro tỷ giá Bà Rịa Vũng Tàu không?) te re If no, please show the reason (Nếu không, xin cho biết nguyên nhân): Complex (Phức tạp) Other (Lý khác) th Inefficient (Không hiệu quả) y Unnecessary (Không cần thiết) 73 Financial derivatives 27 So, does the company have another measure to hedge exchange rate risk yourself? (Vậy, Quý ngài có sử dụng biện pháp khác để ngăn ngừa rủi ro tỷ giá khơng?) ng Yes (có) No (khơng) hi Foreign exchange trading between business and commercial banks ep 28 In situation of shortage of foreign exchange (USD), how can the company buy USD to pay for import contracts? w n (Với tình trạng khan ngoại tệ nay, Quý công ty mua ngoại tệ cách nào?) lo ad Ask your bank (Thông qua Ngân hàng) y th Looking for export – enterprises by yourself (Tự tìm khách hàng có nguồn ngoại tệ) ju yi Through other relationships (Nhờ đến mối quan hệ khác) pl On unofficial forex market (Trên thị trường chợ đen) ua al Other, please specify (Cách khác, vui lòng nêu ví dụ) n n va 29 In recent times, it is said that “There is an unofficial forex market in banking system” In your opinion, what is the role of each subject (importers, exporters, bankers) in this market? ll fu oi m (Gần đây, có thơng tin cho thị trường ngoại tệ chợ đen xuất hệ thống ngân hàng Theo ý kiến Quý ngài, vai trò chủ thể (nhà nhập khầu, nhà xuất khẩu, ngân hàng) thị trường gì? at nh z Importers and exporters themselves contact with each other, and bankers play a intermediate role of entering in their accounts (Nhà nhập xuất khầu tự thỏa thuận giá, ngân hàng đóng vai trị trung gian hạch tốn túy) z vb ht Bankers take a role as broker, buying USD from exporters and selling USD to importers with higher rate (Ngân hàng đóng vai trị mơi giới, mua ngoại tệ từ nhà xuất bán lại với giá cao hơn) k jm gm om l.c There is no unofficial forex market We can buy / sell USD with baking stated rate at any time we want (Khơng có thị trường chợ đen Chúng tơi mua USD với giá niêm yết lúc nào) Other, please specify a Lu n If choosing answer (2), please show your mind who are benefit from difference between selling and buying rate? (Nếu Quý ngài chọn câu 2, vui lòng cho biết ý kiến Quý ngài số chênh lệch tỷ giá mua bán thuộc ai?) n va Banks’ profit (Lợi nhuận ngân hàng) y te re Brokers who are responsible for forex dealing (Nhân viên phụ trách kinh doanh ngoại tệ) th Other, please specify (Khác, vui lòng nêu ý kiến) 74 Financial derivatives APPENDIX 3: QUESTIONNAIRE’S RESULT ng hi Total number of respondents: 129 ep Number of invalid respondents: Number of valid respondents: w Q n Q1 Q2 128 Q3 Q4 Q5 Q6 lo ad Code Frq (%) Frq 5.47 28 21.88 35 27.34 27 21.09 122 95.31 10.94 21 16.41 30 23.44 48 37.50 63 49.22 48 37.50 45 35.16 28 21.88 38 29.69 16.41 40.63 25 19.53 12 9.38 7.03 3.91 13 10.16 4.69 1.56 yi pl al 52 4.69 n at nh 21 (%) oi Frq m 5.47 (%) ll Frq fu (%) n 14 Frq va (%) 43.75 ju 56 Frq ua y th (%) z z 41 32% 29 22.7% Totally disagree ht Totally agree jm vb Questions k Code 25 19.5% 12 9.4% gm Im – Ex trading have been affected by unexpected exchange rate movement Q8 21 33 31 34 The exchange rate has negative 16.4% 25.8% 24.2% 26.6% impact on companies’ turnover 7.0% Q9 The company always fines the 34 24 movement of exchange rate traded 26.6% 18.8% in unofficial and global markets 23 18% 42 32.8% 3.9% Q10 Government’s exchange rate policy 27 21 is one of your main concerns in 21.1% 16.4% management 32 25% 37 28.9% 11 8.6% om 21 16.4% l.c Q7 n a Lu n va y te re th 75 Financial derivatives 6.2% Q12 54 17 19 27 There is a high spread between the 42.2% 13.3% 14.8% 21.1% official and black exchange rate 11 8.6% Q13 The official rate complies with global forex market 20 15.6% ng Q11 The company always pays attention 27 35 29 29 to international economic events 21.1% 27.3% 22.7% 22.7% and the macroeconomic policy of Vietnam Government hi ep w n lo ad Q14 5.5% 6.2% 65 50.8% 28 21.9% y th 14 30 24 42 18 It is not difficult to forecast the 10.9% 23.4% 18.8% 32.8% 14.1% exchange rate in future You have been refused to buy/ sell 44 45 17 19 foreign currency at the stated rate 34.4% 35.2% 13.3% 14.8% by commercial banks Q16 You had to buy / sell foreign 49 currency at much more unprofitable rate than that was 38.3% stated last time Q17 There is a large gap of exchange 50 15 rate bidden among commercial 39.1% 11.7% banks Q18 Foreign rate important ju Q15 yi pl 2.3% ua al 13 10.2% 19 14.8% 4.7% 23 18% 31 24.2% 7% 1.6% 21 16.4% 3.9% Q19 The company has ever thought 34 49 24 about a way to hedge foreign 26.6% 38.3% 18.8% exchange risks 11 8.6% 10 7.8% Q20 36 33 25 19 15 You have ever heard about any 28.1% 25.8% 19.5% 14.8% 11.7% kind of financial derivatives Q21 The company has been learning 25 15 29 44 15 about the utility of financial 19.5% 11.7% 22.7% 34.4% 11.7% derivatives Q22 Derivatives are game of chance Q23 The company has attended in a 14 class specializing in management 10.9% risk in BRVT province - 114 89.1% Q24 There is foreign exchange 74 department or staff that is 57.8% responsible for forex - 54 42.2% n n va 41 32% ll fu oi m nh is 77 60.2% at management z 23 18% z ht vb k jm om l.c gm 30 23.4% 15 11.7% 18 14.1% n 30 23.4% a Lu 35 27.3% n va y te re th 76 Financial derivatives ng hi Banking services for hedging forex 72 risk are introduced in BRVT 56.2% province If ‘Yes’ go to Q 26 - 56 43.8% Q26 20 The company has used this kind of 15.6% services, - 52 40.6% ep Q25 w n Q26b The reason why you not use it 75 answer ‘Yes’ lo Q27 15 11.7% 21 16.4% ad 62 Does the company have another 48.4% measure to hedge forex risks? 12 9.4% 3.9% 53 41.4% Missing 4, 3.1% 62 48.4% ju y th 59 40 20 How can the company buy USD to 46.1% 31.2% 15.6% pay for import contracts? Q29 The role of importers, exporters 52 71 and bankers on unofficial forex 40.6% 55.5% market? yi Q28 pl n ua al 5.5% 1.6% - - 3.9% va n In case bankers as brokers, who is 22 49 Q29b benefit from difference of buy-sell 17.2% 38.3% exchange rate? ll fu Mising 57, 44.7% oi m at nh z z ht vb k jm om l.c gm n a Lu n va y te re th 77 University of Economics HCMC (UEH) ng Master of Banking hi ep Master’s Thesis: w n FINANCIAL DERIVATIVES lo ad EFFECTIVE INSTRUMENT TO HEDGE FOREIGN EXCHANGE RATE RISK ju y th IN VIETINBANK BARIA VUNGTAU BRANCH yi pl A The rationale of the thesis ua al With the practice that import – export enterprises have faced with the foreign exchange n rate risk in international trading, especially in the period of time from 2007 to now, it va n requires a new banking instruments to help them hedge against this kind of risk fu ll Derivatives, which are hoped to use as managerial instrument in forex trading, are m oi however rarely used in Vietnam as well as BariaVungtau branch The good knowledge of at nh derivatives and perception of reasons why it not popularly liked to use are solid foundations for Vietinbank Baria Vungtau branch to develop financial derivatives in z jm ht - vb B Thesis’s importance, contribution z coming years The thesis aims to learn about risks encountered in international trading in terms k The thesis studies the necessity of forex risk hedging and find out which factors l.c - gm of foreign currency by import – export firms in Baria Vungtau province om cause rare use of derivatives from import – export enterprises in Baria Vungtau province The thesis presents perception of foreign currency exposure management and a Lu - n derivatives’ products and services provided by Vietinbank Baria Vungtau branch to its n The thesis also suggests recommendations for developing financial derivatives that y ac th Vietinbank Baria Vungtau branch can apply in order to consolidate its’ competitiveness te re - va customers