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Van de nay ludn tao ap Ittc vdi cac chuyen vien tham dinh cho den khi quyen chgn thttc (QCT) xua't hien. Muc tieu cua bai viet nay nham tim hieu va phan tich ttng dung QCT trong tha[r]
(1)CONG NGHE NGAN HANG I
1 Gidi thieu
De tdn tai va phat trien mdi trttdng canh tranh khdc liet, cac nha d i u ttt (NDT) phai t h a t stt sang sudt cac quyet dinh cua minh Vi vay, len ke hoach cho cac y tttdng dau ttt bang cac dtt an cu the dttgc xem la n h a n to' cttc ky quan trgng Tuy nhien, dtt an diu ttt chi thttc stt la clu nd'i cho cac y tttdng trd t h a n h hien thttc nd dttgc phan anh mdt each trung thttc va mang tinh chinh xac cao Do vay, cdng tac tham dinh la hoat ddng khdng the thie'u nham gdp phan dtta cac dtt an dau ttt di de'n t h a n h
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UNG DUNG N CHON THUC
TRONG THAM DjNH DU AN DAU TU
cdng De lam dttgc dieu dd ddi hdi cac cong cu hd trg phai ludn dttgc nang cao va hoan thien hon Cac phttOng phap truyen thdng da tdn tai qua nhieu thap ky va hau t h u i n kha manh me cho tie'n trinh quyet dinh Lgi Ich ma chung mang lai la khdng the phu nhan Ben canh dd, nhttng ban che cua phttOng phap cu van gay anh httdng khdng nhd den hieu qua cua mdt dtt an dau ttt Van de ludn tao ap Ittc vdi cac chuyen vien tham dinh cho den quyen chgn thttc (QCT) xua't hien Kha nang lap day nhttng khoang trdng cdng cu truyen thdng da giup cho QCT tham gia vao kha nhieu dtt a n dau ttt tren the gidi va d i n trd t h a n h xu httdng chung ciia thdi dai Viet Nam la mdt bg p h a n cua nen kinh te the gidi, viec tie'p thu nhttng ky
thuat tien bd cua n h a n loai g i n nhtt la dieu kien khach quan de tdn tai va phat trien
Muc tieu cua bai viet nham tim hieu va phan tich ttng dung QCT tham dinh dtt an dau ttt So sanh lgi ich ma phttOng phap mang lai so vdi cac cdng cu truyen thdng, ttt dd xem xet trien vgng tham gia cua QCT vao tien trinh quyet dinh d i u ttt tai Viet Nam Thdng qua dd, nang cao hieu qua cdng tac tham dinh dtt an va quyet dinh d i u ttt tai Viet Nam, thuc day nen kinh te nttdc ta mgt phat trien
2 Do! net ve QCT
QCT la mdt quyen - khdng phai la mdt ngbia vu - de cd mdt h a n h ddng (vi du nhtt
ThS Nguyen Xuan Trttdng Dinh Hoai Vu
tri hoan, md rgng, thu hep, ttt bd) t r e n mgt tai san eg sd phi tai chinh vdi chi phi xac dinh trttdc vao mdt xac dinh tttong lai hoac bat ky thdi diem nao ttt luc quyen chgn cd hieu Ittc cho den mdt xac dinh tttOng lai Trong dd ngttdi n a m gitt quyen chgn phai m a t mgt khoan phi ban d i u de cd dttgc quyen chgn ggi la phi quyen chgn Cac tai san thttc cd the bao gdm bat ddng san, cac dtt an d i u ttt va chttng n h a n sd httu tri tue
(2)li CONG NGHE NGAN HANG cho san pham la khdng cbac chan, ban quan ly khdng mud'n cam ke't d i u ttt toan bd vao viec phat trien nd va chgn mdt quyen chgn de ban cdng nghe- tttc la mua mgt quyen chgn ban, vao bat ctt luc nao qua trinh phat trien ma cdng nghe dd trd nen rd rang la khdng cd trien vgng ve lgi nhuan tttong lai cua san pham Gens & Foods (G & F) la mgt cdng ty thttOng mai vdi mdt thi trttdng kha rgng ve thttc pham bien ddi gen Cdng ty dtt tinh se thu dttgc lgi nhuan ldn cdng nghe mdi cua GeneMiracles Ca hai cdng ty ky hgp ddng quyen chgn ban, cho phep GeneMiracles ban bang sang che cdng nghe cua minh cho G & F vdi mdt mttc gia 60 trieu USD vao bat ctt luc nao sud't ba n a m cua thdi gian phat trien san pham De cd dttgc quyen chgn nay, GeneMiracles phai t r a G & F 10 trieu USD Gia dinh sau hoan t h a n h hai n a m p h a t trien cdng nghe, dtta t r e n thdng tin thi trttdng dang tin cay nhat, GeneMiracles ttdc tinh lgi nhuan rdng tttong lai ve san pham khdng dat den 50 trieu USD Do dd, ban quan ly thttc hien quyen chgn bang each ban bang sang che cdng nghe cho G & F n h a n 60 trieu USD
3 Ufng dung QCT tham dinh dif an dau tU
Tham dinh dtt a n dttdi gdc tai chinh dtta t r e n cac cdng cu truyen thd'ng cung cd nhttng han che n h a t dinh nhtt phu thudc vao ty le chiet khau, cd dinh cac yeu to' d i u vao, khdng tinh den stt linh dgng cua ban quan ly cd the lam thay ddi tien trinh dtt an, chang ban cd the md rdng dtt an neu ket qua bttdc diu thuan lgi hoac trttdng hgp ngttgc lai cd the thu hep hay t h a m chi ttt bd
nd Dieu cung ddi hdi phai xuat hien nhttng phttOng phap mdi hd trg td't hon tie'n trinh quye't dinh PhttOng phap dd la QCT
Tham dinh dtt an d i u ttt dtta t r e n QCT, cung cap each thttc mdi de giai quye't nhttng ban che cua cdng cu tham dinh truyen thd'ng ve phttOng dien tai chinh Day khdng phai la mdt stt thay the ma la bd sung, lap d i y nhttng khoang trdng ma cac phttOng phap trttdc day khdng lam dttgc Nd tich hgp cac cdng cu dinh gia truyen thd'ng vao mdt khudn khd phttc t a p hon nhttng cung cap cho viec quyet dinh cua cac nha phan tich tai chinh va cac NDT d i y du thdng tin hon, cd y nghia hon, thdng qua dd cac chu the cd lien quan cd the chinh xac hon viec quyet dinh
De cd the hieu rd kha nang ttng dung cua QCT, chung ta se tim hieu chi tie't hon tinh hudng "ca c h u a h i n h k h o i
c u a c o n g ty Tailored"
Tailored la mgt cdng ty cdng nghe sinh hgc mdi ndi len thdi gian gan day ve thttc pham bien ddi gen Nd cd mgt bang sang che ve phat trien ca chua hinh khd'i Phat minh khdng chi tao san pham cd hinh dang ddc dao ma cdn it sau benh, chat IttOng ca chua dttgc cai thien hon r a t nhieu Ben canh dd nd cdn tie't kiem dttgc mgt khoang chi phi r a t ldn qua trinh trdng trgt va van chuyen Van de ma cdng ty phai dd'i m a t dd la stt khdng cbac chan ve thu nhap cua dtt an Ly de hieu la bat ky boat ddng kinh doanh nao cung chiu tac ddng cua nhu clu thi trttdng Trong trttdng hgp ca chua hinh khd'i lai chiu tac ddng m a n h me bdi n h a n thttc cua ngttdi tieu dung ve san pham bie'n ddi gen Cd the khach hang se khdng ddn nhan
nhttng trai ca chua vdi hinh dang la mat Hg se phai dan ve chat Ittgng t h a t stt cua loai ndng san nay, lieu chung cd gay hai cho sttc khde ngttdi Dieu dan de'n thu nhap ttt dtt an la khdng chae chan Nhieu NDT lam vao hoan canh se phai quyet dinh la d i u ttt hoac khdng Hg quen m a t rang cd the hoan viec diu ttt lai mdt thdi gian Stt chd dgi cd the mang lai thiet hai stt xam nhap cua dd'i thu hay ddng tien dtt an sinh bi bd qua Nhiftig stt thiet hai dttgc bu dap bdi gia tri cua thdng tin cd dttgc them hoan d i u ttt, ma gia tri la r a t ldn P h a t minh cua Tailored da dttgc dang ky ban quyen va nd kha ddc dao Do vay cdng ty tin rang nam n a m tdi se khd cd nhttng ban chep hay nghien cttu tttong ttt Ndi each khac Tailored cd thdi gian n a m de tri hoan dtt an, thu thap them thdng tin trttdc bttdc vao nhttng nd Ittc tiep thi m a t san pham va phat trien nd PhttOng phap chiet khau ddng tien cho ke't qua ve thu nhap cua dtt an dat 160 trieu USD Bien dgng lgi nhuan hang n a m cho ddng tien dtt kien ttdc tinh la 30%, lai suat phi rui ro nam nam tdi khdng ddi la 5% Chi phi cho viec d i u ttt phat trien va thttOng mai hda khoang 200 trieu USD Vdi nhttng dtt kien da tim hieu, nhttng thdng sd can thiet ban dau dttgc xac dinh vdi gia tri tai san co sd SO = 200 trieu USD, ddi sd'ng Quyen chgn T = nam, ty le bien ddng lgi nhuan d = 30%, lai sua't phi rui ro r = 5%, gia so' thdi gian 5t = nam Tinh toan cac thdng sd Quyen chgn theo cdng thttc, dttgc cac ket qua nhtt sau:
u = exp((jV5t) = exp(0.3 « VI) = 1,35C
d = 1/u = 1/1.350 = 0,741 _ exp(r(St) - rf _ exp(0,05 « l ) - 0,741
u-d 1,350 - 0,741 ~
(3)CONG NGHE NGAN HANG II Xay dttng cay nhi thttc nhtt
hinh dttdi day, stt dung gia sd thdi gian mdt nam vdng n a m n a m va tinh toan gia tri tai san ddi sdng cua Quyen chgn Bat d i u bang SO, tai nut dau tien ben trai va nhan rdng nd bang cac "yeu td tang" u va "yeu to' giam" d se cd dttgc SgU (160.000.000 USD * 1,350 = 216.000.000 USD) va SOd (160.000.000 USD * 0,741 = 119.000.000 USD) Di chuyen sang phai, tttong ttt cho cac bttdc thdi gian tiep theo Gia tri phia tren tai mdi nut dai dien cho gia tri tai san tai nut dd Tiep theo ta se tinh gia tri Quyen chgn tai mdi nut cua cay nhi thttc Gia tri n a m dttdi tai mdi nut cua cay nhi thttc chinh la gia tri Quyen chgn Tai mdi nut, NDT se cd quyen diu ttt vao dtt an, phat trien san pham hoac tiep tuc chd dgi
NDT se khdng thttc hien Quyen chon Tuy nhien, c i n n h a n tha'y rang neu cdng ty chd dgi cho den khoang thdi gian tie'p theo, thi thu nhap vao thdi diem se bang Ly la Quyen chgn bet h a n vao cudi nam thtt n a m va trd t h a n h vd gia tri ne'u nd khdng dttgc thttc hien Vi vay, quye't dinh hgp ly tai nut Sou5 la dau ttt chtt khdng phai tie'p tuc chd dgi Gia tri Quyen chgn tai nut la 517.000.000 USD.'TttOng ttt vdi nut S„u4d, S„u3d2
Tai nut S„u2d3, gia tri tai san dtt kie'n la 119.000.000 USD Ne'u NDT quyet dinh trien khai dtt a n vdi chi phi 200.000.000 USD nghia la hg phai chap n h a n mdt khoang Id 81.000.000 USD NDT thdng minh se khdng bd vd'n cho h a n h dgng vd nghia nhtt vay
H i n h 1: Cay n h i thiiFc e h o Q u y e n c h o n c h d ddi
cho de'n thdi diem thich hop hon cho de'n het hieu Ittc cua quyen chgn
Bat d i u vdi cac nut phia cud'i ben phai cay nhi thttc dai dien cho bttdc thdi gian cud'i cung Tai nut Sju5, gia tri tai san dtt kie'n ne'u tie'p tuc chd dgi sd la 717.000.000' USD Neu NDT quye't dinh dau ttt 200.000.000 U S D " de thttc hien dtt an, gia tri tai san se la 717.000.000 - 200.000.000 USD = 517.000.000 USD Vdi muc tieu tdi da hda lgi nhuan, rd rang trttdng hgp
Vi the gia tri Quyen chgn tai nut la TttOng ttt vdi nut SoUd4, S„ud5
Chuyen sang cac nut trung gian phia trai cay nhi thttc Bat dau vdi nut SQU4, ta thttc hien viec chiet kha'u gia tri Quyen chgn tttOng lai vdi lai sua't phi rui ro thdng qua stt dung xac sua't rui ro trung lap Gia tri tai san dtt kie'n neu tiep tuc n a m gitt Quyen chgn se la: (Sou") = [ p(Sou') + (1- p)( SoU*d)] * exp(-r5t)
= [0,510 * 517 + (1-0,510) * 194 ) * exp[(-0,05)*l] = 841 (trieu USD)
Ne'u Quyen chgn dttgc thttc hien tai nut bang each dau ttt 200.000.000 USD, gia tri tai san dtt kien se la 531.000.000 - 20ci.000.000 = 331.000.000 USD Hanh dgng hgp ly vao thdi diem la khdng d i u ttt, thay vao dd la tiep tuc chd dgi Gia tri Quyen chgn tai nut S6u4 la 341.000.000 U S D '
Tai nut S^udS, gia tri tai san dtt kie'n neu tiep tuc nam gitt Quyen chgn se la:
[0,510 * -1- (1 - 0,510) * 0] * exp[(-0,05) * 1] = (trieu USD) Neu thttc hien Quyen chgn vao luc nay, gia tri tai san dtt kie'n se la 88.000.000 -200.000.000 = - 112.000.000 USD Mdt khoang Id kha ldn Trong trttdng hop tie'p tuc chd dgi la dieu c i n thie't phai lam Gia tri Quyen chgn tai nut la Tinh toan tttong ttt vdi nut Sj|d4 Tiep tuc di chuyen ve phia trai cay nhi thttc va hoan t h a n h viec tinh toan cho de'n bttdc thdi gian
Trttdc tien de cap de'n dtt an t r e n cd sd phttOng phap chiet kha'u ddng tien ta cd thu n h a p dtt kien cua dtt a n la 160.006.00() USD Ben canh dd NDT cung m a t 200.000.000 USD chi phi cho boat dgng tie'p thi, r a m a t san pham va p h a t trien nd Dieu cd nghia cac NPV cua dtt a n la - 40.000.000 USD Rd rang so khdng mang lai lgi ich ttt ddng vdn bd Quye't dinh dttgc xem la sang sud't tttc la khdng dau ttt vao dtt an
(4)u CONG NGHE NGAN HANG
bd vd'n vao dtt an hdm khdng n h a t thie't phai bd roi hoan toan dtt an Viec chd dgi se cung cap mdt gia tri la' 43.000.000 USD Gia tri cua Quyen chgn tao stt chenh lech so vdi NPV cua phttOng phap ddng tien chiet khau mdt khoang 83.000.000 USD Vdi gia tri tang them dang ke nhtt vay, NDT cd le se khdng ttt bd dtt an vao luc Cdng ty Tailored cd the chi don gian la dgi cho den stt khdng chae chan thi trttdng trd nen rd rang Mat khac, nd cd the chu ddng tien h a n h mdt cugc khao sat thi trttdng nham n h a n dinh tttong dd'i chinh xac ve nhu cau ve san pham Neu thi trttdng khdng thuan lgi, nd v i n cd the tiep tuc chd dgi hay ttt bd y tttdng dtt an hoan toan Ngttgc lai neu ttdc tinh cd lgi nhuan cao se la co hdi td't de dau ttt vao dtt an
Trong tinh hud'ng neu tren, ddi sd'ng cua san pham se khdng thay ddi nd dttgc gidi thieu vao bat ky luc nao nam nam tdi Do dd, khdng cd stt mat mat gia tri tai san bdi stt chd dgi Nhttng vdi thdi gian dai httn, chang ban 15 nam thi lai la chuyen khac Khi ay ve eg ban thi phttong phap phan tich khdng ddi nhiTng nha tham dinh can tinh toan lai xac sua't trung lap cd tinh de'n ye'u to rd ri Chang ban ne'u ty le rd ri la = 10% va chgn gia sd thdi gian de khao sat la nam Xac suat trung lap p se dttgc tinh nhtt sau:
u = exp(o-V^ = e.\p(0.3 • VI) = 1,681
d = 1/u = 1/1,681 = 0,595 exp[(r- ()<St)] - d e.\p[(0,05 - 0,1) - 3] - 0,595
V — = ~ = 745 u-d 1,631-0,595 '
Khi ddi sd'ng Quyen chgn dttgc keo dai hgn va chiu tac ddng cua ty le rd ri thi thu nhap, chi phi ttdc tinh cua dtt an cung thay ddi Luc dd, NDT se tien h a n h xay dttng cay nhi
thttc mdi va p h a n tich ke't qua C i n chu y t h e m rang mttc rd ri cd the khdng gid'ng sud't ddi sd'ng cua Quyen chgn, nen can phai tinh toan cac gia tri rieng ciia p tai mdi nut cua cay nhi thttc cho phu hop Cd the n h a n rang so vdi phttOng phap chiet khau ddng tien, viec ttng dung Quyen chgn chd dgi hau nhtt khdng lam thay ddi quyet dinh cua Tailored de d i u ttt vao dtt an thdi diem hien tai Nhttng nd Ittgng hda gia tri cua stt chd dgi va cung cap mdt ban dd chien Ittgc cho tttong lai dd'i vdi quyet dinh cua chu dau ttt Dieu giup cho hg gitt dttgc stt chu ddng hon va cd nhttng quyet dinh hop ly hOn
4 Trien vpng ufng dung QCT tham djnh dU an dau t i i tai Viet Nam
Thttc te ttng dung cho thay trttdc tinh hinh kinh te bie'n ddng, suf dung QCT giup ban quan ly cd the linh ddng lam thay ddi ket qua cua dtt an Thay vi thttc hien d i u ttt toan dien hoac quyet dinh ttt bd dtt an ttt luc diu, NDT cd the tien h a n h mdt cugc khao sat thi trttdng hoac thttc hien trien khai san pham thtt ng-hiem pham vi hep de giai quyet stt khdng cbac chan Neu ke't qua thuan lgi, cd the tien h a n h cac dtt a n vdi quy md hien cd hoac t h a m chi md rdng nd hon ntta de t a n dung tiem nang phat trien Mat khac, trttdng hop ket qua khdng may kha quan, theo mttc chap n h a n cua thi trttdng ma thu hep quy md xud'ng hoac ttt bd dtt an hoan toan Khi dd, QCT lai trd t h a n h mgt bien phap bao hiem n h a m giam thieu thiet hai Ben canh dd, mgt danh muc d i u ttt, cac dtt a n cd NPV tttOng dttOng nhau, gia tri tang them ttt QCT lai trd t h a n h can ctt xep hang noi d i u ttt vd'n mang
lai hieu qua nhat Tdm lai QCT chinh la stt bd sung va tich hgp cac cdng cu truyen thd'ng t h a n h mdt ky thuat t h a m dinh hoan thien hon hd trg cho tien trinh quye't dinh Day la m a t tich cttc n h a t tao stt khac biet gitta QCT vdi cac cdng cu truyen thd'ng trttdc dd Vdi nhttng tien ich cbac chan QCT se thu hut dttgc stt chu y cua cac chu the dtt an d i u ttt tren the gidi ndi chung.va d Viet Nam ndi rieng, ttt NDT den chuyen vien t h a m dinh, ttt cac doanh nghiep de'n ca co quan nha nttdc, bat ky quan tam de'n boat dgng tai chinh dtt an deu se n h a n day thttc stt la mgt can ctt khoa hgc cho tien trinh quye't dinh Dd la bttdc khdi d i u d i y htta hen cho mgt ky thuat tham dinh mdi dttdi gdc nhin tai chinh
Nhan td thtt hai tao them ddng Ittc cho stt xuat hien cua QCT cac dtt an dau ttt chinh la kha nang tham gia mdt each rdng rai cua nd vao cac linh vttc da dang cua nen kinh te Trong dd, nhttng nganh nghe da dttgc ttng dung phd bie'n t r e n the gidi nhtt hang khdng, cdng nghiep dtd, dttgc pham, dau khi, cdng nghe thdng tin va truyen thdng lai la nhttng nganh dang phat trien d Viet Nam Mdi linh vttc mang nhttng net dac trttng rieng cua tttng nganh nhttng cung cd mgt sd diem chung n h a t dinh bd'i canh nen kinh te nttdc ta Chung vtta la nhttng nganh cd tiem nang r a t ldn, co hdi phat trien dd'i vdi cac doanh nghiep nganh kha cao di kem vdi chi phi diu ttt khdng nhd Mat khac, cac nganb deu chiu nhttng tac ddng m a n h me bdi yeu to' canb t r a n h va bie'n ddng thi trttdng Khi tim hieu ve thttc tidn ttng dung QCT t h a m dinh dtt an d i u ttt t r e n the gidi, cd the n h a n r a n g QCT mang lai hieu qua cao n h a t hoat
(5)CONG NGHE NGAN HANG u ddng kinh te cd tinh bien ddng
cao Vi vay, vdi dac diem kinh te Viet Nam, khdng chi nhttng Hnh vttc da dttgc nhac den ma h i u nhtt mgi hoat dgng d i u ttt deu dem den trien vgng tham gia cua QCT tien trinh quye't dinh Tan dung nhttng ttu the ky thuat tien tien mang lai mgt each phu hgp se thttc stt mang lai lgi ich, lam tang hieu qua cho cac dtt an d i u ttt cua nttdc ta
high-risk world, John Wiley and Sons
6 johnathan Mun (2006), Real options analysis: tools and tech-niques for valuing strategic invest-ments and decisions, John Wiley and Sons
7 Reto R.Gallati (2003), Risk man-agement and capital adequacy, McGraw-Hill Professional 8 Le Khuang Ninh (2010), Quyen chon thuc -quan diem diu tu hien dai Tap chi Cong nghe Ngan hang sd48, thang 3/2010
5 Ket luan
Cd the ndi, tich hgp QCT vao tie'n trinh quyet dinh la phu hgp vdi xu the chung ciia thdi dai Thanh cdng cua ky thuat da md trien vgng cho stt ttng dung phd bie'n d nttdc ta, thuc day hoat ddng dau ttt trd nen hieu qua hOn Tuy nhien, de trien khai cdng qua trinh ttng dung QCT t h a m dinh duf an dau ttt tai Viet Nam ddi hdi phai cd stt thttc hien ddng bg cua mgi t h a n h p h i n lien quan de'n boat ddng kinh te, ttt co quan nha nttdc cho de'n cac doanh nghiep va cac ca n h a n thttc hien cdng tac tham dinh Mttc t h a n h cdng se cdn phu thudc kha nhieu vao viec trien khai cua cac chu the nen kinh te Viet Nam, dac biet la vai trd cua nha nttdc"
Tai lieu tham khao
1 Dinh Thd Hien (2008), Lap va tham dinh hieu qua tai chinh du an diu tu, Nha xuat ban thdng k§ 2 Nguyin Qudc An, Pham Thi Ha, Phan Thi Thu Huang, NguySn Quang Thu (2006), Thidt lap va tham djnh dU an diu tu, Nha xuat ban Thdng ke
3 Phude Minh Hiep, Le Thi Van Dan (2007), Thidt lap va tham dinh du an diu tu, Nha xuit ban Thdng ke
20ci.000.000 =