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Risk and credit managament, Exercises of Credit and Risk Management

National Economics University (NEU)Credit and Risk Management

Risk and credit managament, exercises

Typology: Exercises

2023/2024

Uploaded on 07/03/2025

khanh-linh-nhu
khanh-linh-nhu 🇻🇳

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BCM
Year Tháng Từ ngày Đến ngày % Thay đổi Mở cửa
Tổng 135.10% 28,274.44
Trung bình Expected return
2024 8 08/01/2024 08/20/2024 -0.68% 13.28% 72,500.00 159%
2024 7 07/01/2024 07/31/2024 14.42% 3.90% 64,000.00 47%
2024 6 06/03/2024 06/28/2024 4.93% 17.33% 61,600.00 208%
2024 5 05/02/2024 05/31/2024 16.03% -19.23% 52,500.00 -231%
2024 4 04/01/2024 04/26/2024 -19.26% 2.52% 65,000.00 30%
2024 3 03/01/2024 03/29/2024 2.53% -1.55% 63,400.00 -19%
2024 2 02/01/2024 02/29/2024 -3.06% 3.04% 64,400.00 36%
2024 1 01/02/2024 01/31/2024 3.82% 8.89% 62,500.00 107%
2023 12 12/01/2023 12/29/2023 8.08% 2.08% 57,400.00 25%
2023 11 11/01/2023 11/30/2023 0.68% -18.22% 56,230.50 -219%
2023 10 10/02/2023 10/31/2023 -15.68% -3.46% 68,759.05 -42%
2023 9 09/05/2023 09/29/2023 -3.74% -9.64% 71,225.30 -116%
2023 8 08/01/2023 08/31/2023 -10.86% #DIV/0! 78,821.35
Standard deviation of BCM 135%
GAS
Year Tháng Từ ngày Đến ngày % Thay đổi Mở cửa
Tổng 334.60% 17,546.46
Trung bình Expected return
2024 8 08/01/2024 08/20/2024 5.76% 80,100.00 53%
2024 7 07/01/2024 07/31/2024 4.31% 76,700.00 -62%
2024 6 06/03/2024 06/28/2024 -4.37% 80,900.00 130%
2024 5 05/02/2024 05/31/2024 8.98% 73,000.00 -108%
2024 4 04/01/2024 04/26/2024 -8.35% 80,200.00 37%
2024 3 03/01/2024 03/29/2024 3.62% 77,800.00 37%
2024 2 02/01/2024 02/29/2024 2.65% 75,500.00 -5%
2024 1 01/02/2024 01/31/2024 -0.13% 75,800.00 -19%
2023 12 12/01/2023 12/29/2023 -1.31% 77,000.00 -8%
2023 11 11/01/2023 11/30/2023 -0.13% 77,500.00 -172%
2023 10 10/02/2023 10/31/2023 -15.55% 90,500.00 101%
2023 9 09/05/2023 09/29/2023 10.39% 83,496.66 CÂU2
2023 8 08/01/2023 08/31/2023 0.56% 82,271.48
Standard deviation of GAS 88%
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BCM

Year Tháng Từ ngày Đến ngày % Thay đổi Mở cửa Tổng 135.10% 28,274. Trung bình Expected return 2024 8 08/01/2024 08/20/2024 -0.68% 13.28% 72,500.00 159% 2024 7 07/01/2024 07/31/2024 14.42% 3.90% 64,000.00 47% 2024 6 06/03/2024 06/28/2024 4.93% 17.33% 61,600.00 208% 2024 5 05/02/2024 05/31/2024 16.03% -19.23% 52,500.00 -231% 2024 4 04/01/2024 04/26/2024 -19.26% 2.52% 65,000.00 30% 2024 3 03/01/2024 03/29/2024 2.53% -1.55% 63,400.00 -19% 2024 2 02/01/2024 02/29/2024 -3.06% 3.04% 64,400.00 36% 2024 1 01/02/2024 01/31/2024 3.82% 8.89% 62,500.00 107% 2023 12 12/01/2023 12/29/2023 8.08% 2.08% 57,400.00 25% 2023 11 11/01/2023 11/30/2023 0.68% -18.22% 56,230.50 -219% 2023 10 10/02/2023 10/31/2023 -15.68% -3.46% 68,759.05 -42% 2023 9 09/05/2023 09/29/2023 -3.74% -9.64% 71,225.30 -116% 2023 8 08/01/2023 08/31/2023 -10.86% #DIV/0! 78,821. Standard deviation of BCM 135% GAS Year Tháng Từ ngày Đến ngày % Thay đổi Mở cửa Tổng 334.60% 17,546. Trung bình Expected return 2024 8 08/01/2024 08/20/2024 5.76% 80,100.00 53% 2024 7 07/01/2024 07/31/2024 4.31% 76,700.00 -62% 2024 6 06/03/2024 06/28/2024 -4.37% 80,900.00 130% 2024 5 05/02/2024 05/31/2024 8.98% 73,000.00 -108% 2024 4 04/01/2024 04/26/2024 -8.35% 80,200.00 37% 2024 3 03/01/2024 03/29/2024 3.62% 77,800.00 37% 2024 2 02/01/2024 02/29/2024 2.65% 75,500.00 -5% 2024 1 01/02/2024 01/31/2024 -0.13% 75,800.00 -19% 2023 12 12/01/2023 12/29/2023 -1.31% 77,000.00 -8% 2023 11 11/01/2023 11/30/2023 -0.13% 77,500.00 -172% 2023 10 10/02/2023 10/31/2023 -15.55% 90,500.00 101% 2023 9 09/05/2023 09/29/2023 10.39% 83,496.66 CÂU 2023 8 08/01/2023 08/31/2023 0.56% 82,271. Standard deviation of GAS 88%

FPT

Year Tháng Từ ngày Đến ngày % Thay đổi Mở cửa Tổng 842.08% 11,526. Trung bình Expected return 2024 8 08/01/2024 08/20/2024 2.26% -0.61% 129,600.00 -7% 2024 7 07/01/2024 07/31/2024 -1.46% 11.85% 130,400.00 142% 2024 6 06/03/2024 06/28/2024 12.27% 9.05% 116,586.00 109% 2024 5 05/02/2024 05/31/2024 9.25% 6.72% 106,913.68 81% 2024 4 04/01/2024 04/26/2024 5.75% 6.23% 100,177.60 75% 2024 3 03/01/2024 03/29/2024 6.88% 13.87% 94,305.12 166% 2024 2 02/01/2024 02/29/2024 13.90% -1.03% 82,819.24 -12% 2024 1 01/02/2024 01/31/2024 -0.42% 5.10% 83,682.84 61% 2023 12 12/01/2023 12/29/2023 4.57% 9.37% 79,623.92 112% 2023 11 11/01/2023 11/30/2023 10.72% -9.74% 72,801.48 -117% 2023 10 10/02/2023 10/31/2023 -10.56% -3.81% 80,660.24 -46% 2023 9 09/05/2023 09/29/2023 -4.03% 14.77% 83,855.56 177% 2023 8 08/01/2023 08/31/2023 14.29% #DIV/0! 73,066. Standard deviation of FPT 90% VNI Year Tháng Từ ngày Đến ngày % Thay đổi Mở cửa Tổng 377.39% 184,436. Trung bình 1.31% 635.99 Expected return 2024 8 08/01/2024 08/20/2024 1.68% 1,254.59 8% 2024 7 07/01/2024 07/31/2024 0.50% 1,246.33 -24% 2024 6 06/03/2024 06/28/2024 -1.30% 1,271.65 59% 2024 5 05/02/2024 05/31/2024 4.32% 1,212.13 -66% 2024 4 04/01/2024 04/26/2024 -5.81% 1,282.37 24% 2024 3 03/01/2024 03/29/2024 2.50% 1,256.72 97% 2024 2 02/01/2024 02/29/2024 7.59% 1,162.78 28% 2024 1 01/02/2024 01/31/2024 3.04% 1,136.39 41% 2023 12 12/01/2023 12/29/2023 3.27% 1,099.18 82% 2023 11 11/01/2023 11/30/2023 6.41% 1,029.00 -131% 2023 10 10/02/2023 10/31/2023 -10.91% 1,155.07 -74% 2023 9 09/05/2023 09/29/2023 -5.71% 1,231.43 1% 2023 8 08/01/2023 08/31/2023 0.09% 1,230. Standard deviation of VNI 67%

W1 W2 Sigma1 Sigma2 W1^2 W2^2 Sigma1^2 Sigma2^2 p Standard deviation Expected return 1% 99% 84% 90% 0.0001 0.98010.7134831910.8162523150.258164053 0.896649956276687 61.13% 2% 98% 84% 90% 0.0004 0.96040.7134831910.8162523150.258164053 0.889908486536602 60.52% 3% 97% 84% 90% 0.0009 0.94090.7134831910.8162523150.258164053 0.883244148425289 59.90% 4% 96% 84% 90% 0.0016 0.92160.7134831910.8162523150.258164053 0.876658701002809 59.29% 5% 95% 84% 90% 0.0025 0.90250.7134831910.8162523150.258164053 0.870153935438506 58.67% 6% 94% 84% 90% 0.0036 0.88360.7134831910.8162523150.258164053 0.863731674580177 58.05% 7% 93% 84% 90% 0.0049 0.86490.7134831910.8162523150.258164053 0.857393772420702 57.44% 8% 92% 84% 90% 0.0064 0.84640.7134831910.8162523150.258164053 0.851142113455383 56.82% 9% 91% 84% 90% 0.0081 0.82810.7134831910.8162523150.258164053 0.844978611923142 56.21% 10% 90% 84% 90% 0.01 0.810.7134831910.8162523150.258164053 0.838905210924687 55.59% 11% 89% 84% 90% 0.0121 0.79210.7134831910.8162523150.258164053 0.832923881410777 54.97% 12% 88% 84% 90% 0.0144 0.77440.7134831910.8162523150.258164053 0.827036621033776 54.36% 13% 87% 84% 90% 0.0169 0.75690.7134831910.8162523150.258164053 0.821245452855786 53.74% 14% 86% 84% 90% 0.0196 0.73960.7134831910.8162523150.258164053 0.815552423906897 53.12% 15% 85% 84% 90% 0.0225 0.72250.7134831910.8162523150.258164053 0.809959603587298 52.51% 16% 84% 84% 90% 0.0256 0.70560.7134831910.8162523150.258164053 0.804469081907403 51.89% 17% 83% 84% 90% 0.0289 0.68890.7134831910.8162523150.258164053 0.799082967560538 51.28% 18% 82% 84% 90% 0.0324 0.67240.7134831910.8162523150.258164053 0.793803385823304 50.66% 19% 81% 84% 90% 0.0361 0.65610.7134831910.8162523150.258164053 0.788632476279347 50.04% 20% 80% 84% 90% 0.04 0.640.7134831910.8162523150.258164053 0.783572390363021 49.43% 21% 79% 84% 90% 0.0441 0.62410.7134831910.8162523150.258164053 0.778625288720262 48.81% 22% 78% 84% 90% 0.0484 0.60840.7134831910.8162523150.258164053 0.77379333838498 48.19% 23% 77% 84% 90% 0.0529 0.59290.7134831910.8162523150.258164053 0.769078709770335 47.58% 24% 76% 84% 90% 0.0576 0.57760.7134831910.8162523150.258164053 0.764483573475456 46.96% 25% 75% 84% 90% 0.0625 0.56250.7134831910.8162523150.258164053 0.76001009690949 46.35% 26% 74% 84% 90% 0.0676 0.54760.7134831910.8162523150.258164053 0.755660440736254 45.73% 27% 73% 84% 90% 0.0729 0.53290.7134831910.8162523150.258164053 0.751436755144315 45.11% 28% 72% 84% 90% 0.0784 0.51840.7134831910.8162523150.258164053 0.747341175948905 44.50% 29% 71% 84% 90% 0.0841 0.50410.7134831910.8162523150.258164053 0.743375820533825 43.88% 30% 70% 84% 90% 0.09 0.490.7134831910.8162523150.258164053 0.739542783643213 43.26% 31% 69% 84% 90% 0.0961 0.47610.7134831910.8162523150.258164053 0.735844133034935 42.65% 32% 68% 84% 90% 0.1024 0.46240.7134831910.8162523150.258164053 0.732281905009189 42.03% 33% 67% 84% 90% 0.1089 0.44890.7134831910.8162523150.258164053 0.728858099827812 41.42% 34% 66% 84% 90% 0.1156 0.43560.7134831910.8162523150.258164053 0.725574677041653 40.80% 35% 65% 84% 90% 0.1225 0.42250.7134831910.8162523150.258164053 0.722433550745228 40.18% 36% 64% 84% 90% 0.1296 0.40960.7134831910.8162523150.258164053 0.719436584779637 39.57% 37% 63% 84% 90% 0.1369 0.39690.7134831910.8162523150.258164053 0.716585587906417 38.95% 38% 62% 84% 90% 0.1444 0.38440.7134831910.8162523150.258164053 0.713882308976593 38.33% 39% 61% 84% 90% 0.1521 0.37210.7134831910.8162523150.258164053 0.711328432120555 37.72% 40% 60% 84% 90% 0.16 0.360.7134831910.8162523150.258164053 0.708925571985658 37.10% 41% 59% 84% 90% 0.1681 0.34810.7134831910.8162523150.258164053 0.706675269049417 36.49% 42% 58% 84% 90% 0.1764 0.33640.7134831910.8162523150.258164053 0.704578985036957 35.87% 43% 57% 84% 90% 0.1849 0.32490.7134831910.8162523150.258164053 0.702638098471838 35.25% 44% 56% 84% 90% 0.1936 0.31360.7134831910.8162523150.258164053 0.700853900389591 34.64% 45% 55% 84% 90% 0.2025 0.30250.7134831910.8162523150.258164053 0.699227590243157 34.02% 46% 54% 84% 90% 0.2116 0.29160.7134831910.8162523150.258164053 0.697760272028991 33.41% 47% 53% 84% 90% 0.2209 0.28090.7134831910.8162523150.258164053 0.696452950661751 32.79% 48% 52% 84% 90% 0.2304 0.27040.7134831910.8162523150.258164053 0.695306528624403 32.17% 49% 51% 84% 90% 0.2401 0.26010.7134831910.8162523150.258164053 0.694321802919038 31.56% 50% 50% 84% 90% 0.25 0.250.7134831910.8162523150.258164053 0.693499462341925 30.94% 51% 49% 84% 90% 0.2601 0.24010.7134831910.8162523150.258164053 0.692840085104134 30.32% 52% 48% 84% 90% 0.2704 0.23040.7134831910.8162523150.258164053 0.692344136816683 29.71% 53% 47% 84% 90% 0.2809 0.22090.7134831910.8162523150.258164053 0.692011968856421 29.09% 54% 46% 84% 90% 0.2916 0.21160.7134831910.8162523150.258164053 0.691843817125955 28.48% 55% 45% 84% 90% 0.3025 0.20250.7134831910.8162523150.258164053 0.691839801217777 27.86% 56% 44% 84% 90% 0.3136 0.19360.7134831910.8162523150.258164053 0.691999923989493 27.24% 57% 43% 84% 90% 0.3249 0.18490.7134831910.8162523150.258164053 0.692324071553664 26.63% 58% 42% 84% 90% 0.3364 0.17640.7134831910.8162523150.258164053 0.692812013682349 26.01% 59% 41% 84% 90% 0.3481 0.16810.7134831910.8162523150.258164053 0.693463404622989 25.39% 60% 40% 84% 90% 0.36 0.160.7134831910.8162523150.258164053 0.694277784318924 24.78% 61% 39% 84% 90% 0.3721 0.15210.7134831910.8162523150.258164053 0.695254580024504 24.16% 62% 38% 84% 90% 0.3844 0.14440.7134831910.8162523150.258164053 0.696393108301679 23.55% 63% 37% 84% 90% 0.3969 0.13690.7134831910.8162523150.258164053 0.69769257738195 22.93% 64% 36% 84% 90% 0.4096 0.12960.7134831910.8162523150.258164053 0.699152089874893 22.31% 65% 35% 84% 90% 0.4225 0.12250.7134831910.8162523150.258164053 0.700770645802007 21.70% 66% 34% 84% 90% 0.4356 0.11560.7134831910.8162523150.258164053 0.702547145932472 21.08% 67% 33% 84% 90% 0.4489 0.10890.7134831910.8162523150.258164053 0.704480395395594 20.46% 68% 32% 84% 90% 0.4624 0.10240.7134831910.8162523150.258164053 0.706569107543184 19.85% 69% 31% 84% 90% 0.4761 0.09610.7134831910.8162523150.258164053 0.708811908033986 19.23% 70% 30% 84% 90% 0.49 0.090.7134831910.8162523150.258164053 0.711207339111427 18.62% 71% 29% 84% 90% 0.5041 0.08410.7134831910.8162523150.258164053 0.713753864045514 18.00% 72% 28% 84% 90% 0.5184 0.07840.7134831910.8162523150.258164053 0.716449871709541 17.38% 73% 27% 84% 90% 0.5329 0.07290.7134831910.8162523150.258164053 0.71929368126246 16.77% 74% 26% 84% 90% 0.5476 0.06760.7134831910.8162523150.258164053 0.722283546908245 16.15% 200% 300%

N-Index and

99% 1% 84% 90% 0.9801 1E-040.7134831910.8162523150.258164053 0.838610399703365 0.75%

BCM GAS FPT VNI Porfolio B 159% 53% -7% 8% 38% 47% -62% 142% -24% 82% 208% 130% 109% 59% 133% -231% -108% 81% -66% -19% 30% 37% 75% 24% 58% -19% 37% 166% 97% 103% 36% -5% -12% 28% -1% 107% -19% 61% 41% 54% 25% -8% 112% 82% 71% -219% -172% -117% -131% -148% -42% 101% -46% -74% -16% -116% 18% 177% 1% 87% Weight of stocks 20% 20% 60% Total 100% Standard deviation 75%

Beta Expected return Rf Risk premium

SM

SM