B GIO DC V O TO TRNG I HC KINH T TP.HCM-----------------

CNG TRNH D THI GII THNG NGHIN CU KHOA HC SINH VIN NH KINH T TR NM 2010

TN CNG TRNH:

NH GI TNH D TN THNG CA CC NGN HNG THNG MI VIT NAM TRONG GIAI ON HIN NAY

THUC NHM NGNH: KHOA HC KINH T

MC LC Chng 1. L lun tng quan v tnh d tn thng ca cc ngn hng thng mi................1 1.1 1.2 1.3 Khi nim v tnh d tn thng ca cc ngn hng thng mi ......................................... 1 Nguyn nhn ca tnh d tn thng ca cc ngn hng thng mi ................................... 1 Cc nhn t tc ng n tnh d tn thng ca cc ngn hng thng mi ...................... 4 Cc nhn t ni sinh ....................................................................................................... 4 Ri ro thanh khon s mt cn i gia ti sn n v ti sn c ......................... 4 Ri ro tn dng - S qun l v gim st tn dng .................................................. 5 1.3.1.1 1.3.1.2 a. b. c. d.

1.3.1

T l n xu.................................................................................................................... 7 T l n qu hn ............................................................................................................. 8 H s ri ro tn dng....................................................................................................... 8 Phng php nh gi ri ro VAR.............................................................................. 8 Kh nng qun tr, iu hnh v ri ro o c...................................................... 9 H thng kim tra, kim sot ni b ..................................................................... 10 S hp tc gia cc ngn hng thng mi .......................................................... 10 Ri ro ca qu trnh t do ho ti chnh, hi nhp quc t ................................... 11 Ri ro mi trng php l..................................................................................... 11 Ri ro v gi.......................................................................................................... 11

1.3.1.3 1.3.1.4 1.3.1.5 1.3.2 1.3.2.1 1.3.2.2 1.3.2.3 a. b.

Cc nhn t ngoi sinh ................................................................................................. 11

Ri ro li sut ............................................................................................................... 11 Ri ro t gi hi oi.................................................................................................... 12 Ri ro h thng khc ............................................................................................. 14

1.3.2.4

1.4 Ni dung tnh d tn thng cc tiu chun trn th gii v Vit Nam nh gi mc tn thng ca cc ngn hng thng mi..................................................................................... 15 1.4.1 Mc n nh trong hot ng ca cc ngn hng thng mi ................................ 15 n nh trong huy ng vn ................................................................................. 15 n nh trong hot ng cho vay.......................................................................... 17 nh gi theo cc tiu chun trong Hip c Basel I v II .................................. 18 1.4.1.1 1.4.1.2 1.4.2 a. b. a. 1.4.2.1

Mc an ton trong hot ng ca cc ngn hng thng mi................................. 18 Basel I........................................................................................................................... 18 Basel II ......................................................................................................................... 19 nh gi theo cc qui nh ti Vit Nam .............................................................. 24 Quyt nh s 457 qui nh v t l m bo an ton trong hot ng ngn hng ...... 24

1.4.2.2

b. Quyt nh 493 v phn loi n v trch lp d phng x l ri ro tn dng trong hot ng ngn hng .............................................................................................................. 26 Kt lun chng 1 ............................................................................................................................29

Chng 2. Cc nghin cu v bng chng thc nghim trn th gii v tnh d tn thng ca cc ngn hng thng mi........................................................................................................30 2.1 Xem xt tnh d tn thng ca cc ngn hng M trong cuc khng hong ti chnh M30 S lc v cuc khng hong M................................................................................ 30 2.1.1

2.1.2 Nhng tn thng ca cc ngn hng M trong cuc khng hong ti chnh nh gi theo m hnh CAMELS........................................................................................................ 30 2.1.2.1 2.1.2.2 2.1.2.3 2.1.2.4 2.1.2.5 2.1.2.6 2.1.3 Mc an ton vn (Capital Adequacy) .............................................................. 34 Cht lng ti sn c (Asset Quality) ................................................................... 35 Qun l (Management) ......................................................................................... 37 Li nhun (Earnings) ............................................................................................ 38 Thanh khon (Liquidity) ....................................................................................... 39 Mc nhy cm vi ri ro th trng (Sensitivity to Market Risk) ................... 40

Bi hc rt ra t cuc khng hong M cho cc ngn hng ........................................ 41

2.2 Nghin cu thc nghim trn th gii hn ch tnh d tn thng ca cc ngn hng thng mi ..................................................................................................................................... 44 2.2.1 p dng cc tiu chun trong Hip c Basel II ti Hn Quc ................................... 44 2.2.2 Cch hn ch tnh d tn thng ca cc NHTM thng qua cc bin php qun tr ri ro ti mt s nc trn th gii .................................................................................................. 45 Kt lun chng 2 ............................................................................................................................48 Chng 3. nh gi tnh d b tn thng ca h thng ngn hng thng mi Vit Nam trong giai on hin nay ..................................................................................................................49 3.1 i nt v th trng ngn hng Vit Nam hu WTO ........................................................ 49 i nt v nn kinh t Vit Nam sau ba nm gia nhp WTO ...................................... 49 Th trng ngn hng vit Nam hu WTO .................................................................. 49 3.1.1 3.1.2

3.2 nh gi tnh d tn thng ca cc ngn hng thng mi Vit Nam trong giai on hin nay theo cc tiu chun nh lng................................................................................................ 51 3.2.1 Mc n nh trong hot ng ca cc ngn hng thng mi ................................ 51 n nh trong huy ng vn ................................................................................. 51 n nh trong hot ng cho vay.......................................................................... 55 n nh trong thu nhp ......................................................................................... 58 V vn t c v t l an ton vn ......................................................................... 60 Phn loi v nh gi v n xu ca cc ngn hng ............................................. 64 3.2.1.1 3.2.1.2 3.2.1.3 3.2.2 3.2.2.1 3.2.2.2

Mc an ton trong hot ng ca cc ngn hng thng mi................................. 60

Kt lun chng 3 ............................................................................................................................67 Chng 4. Cc gii php nhm khc phc tnh d tn thng ca h thng ngn hng thng mi Vit Nam trong giai on hin nay ............................................................................68 4.1 Qun l iu hnh v Chnh sch ca Chnh ph, ngn hng nh nc Vit Nam............. 68 i vi chnh ph......................................................................................................... 68 4.1.1

4.1.2 4.2 4.2.1 4.2.2 4.2.3 4.2.4 4.2.5 4.2.6 4.2.7 4.3 4.4

i vi NHNN Vit Nam ............................................................................................ 69 Chin lc v ngun vn, t l d tr.......................................................................... 71 Hot ng qun l iu hnh hot ng ca ngn hng............................................... 72 Chin lc chnh sch ngun nhn lc ........................................................................ 73 Minh bch ho ti chnh ............................................................................................... 74 H thng cng ngh thng tin ...................................................................................... 75 Ch bo him tin gi ............................................................................................. 75 p dng cc m hnh qun tr ri ro theo khung VAR ................................................ 76

Bn trong cc ngn hng - Ti cu trc hot ng ca ngn hng thng mi................... 71

M&A Hng i cho cc ngn hng trong tng lai gn .................................................. 77 S h tr v hp tc ca cc t chc quc t ...................................................................... 78

Kt lun chng 4 ............................................................................................................................79 Kt lun .............................................................................................................................................80

ACB Agribank AIG BCBS BHTG BIDV BIS CAMELS CAR CKT CFTC CIC CPI FDI FDIC FED GDP IRB IMF MDB MBS M&A NIM NHNN NHTM NHTMCP NHTW Oceanbank PSE QIS RWA SMEs SEC

DANH MC T NG VIT TT NHTM c phn Chu. Ngn hng Nng nghip v pht trin nng thn Vit Nam. Tp on bo him American International Group. Basel Committee on Banking Supervision: y Ban Basel Gim st ngnh Ngn hng. Bo him tin gi. Bank of Investment and Development of Vietnam: Ngn hng u t v pht trin Vit Nam. Bank for International Settlements: Ngn hng thanh ton quc t. M hnh nh gi ngn hng CAMELS. Capital Adequacy Ratio: T l an ton vn ti thiu. Cn i k ton. Commodity Futures Trading Commission: y ban giao dch hng ha k hn. Credit Information Center: Trung tm thng tin tn dng ngn hng ca NHNN. Center for Public Integrity: Trung tm Lim chnh Cng ca M. Foreign Direct Investment: Vn u t trc tip nc ngoi. Federal Deposit Insurance Corporation: Tp on bo him tin gi lin bang. Federal Reserve System: Cc d tr Lin bang M. Gross Domestic Product: Tng sn phm quc ni. Internal Rating Based Approach: Phng php tip cn da trn h thng c s d liu nh gi ni b. International Monetary Fund: Qu Tin t quc t. Multilateral development bank: Ngn hng Pht trin a phng. Mortgage Backed Securities: Chng khon n th chp. Mergers And Aquisitions: Mua bn v sp nhp. Net Interest Margin: H s chnh lch li thun. Ngn hng nh nc Vit Nam. Ngn hng thng mi. Ngn hng thng mi c phn. Ngn hng Trung ng. NHTM c phn i Dng. Public sector entity: n v thuc khu vc cng. Quality Information System: H thng thng tin cht lng. Risk weighted Assets: Ti sn tnh theo ri ro gia quyn. Small and Medium Enterprises: Doanh nghip va v nh. Securities & Exchange Commission: y ban chng khon M.

Sacombank SHB Saigonbank TCTD Techcombank VAR Vietcombank Vietinbank WTO WB WaMu

NHTM c phn Si Gn thng tn. NHTM c phn Si Gn H Ni. NHTM c phn Si Gn. T chc tn dng. NHTM c phn K thng Vit Nam. Value At Risk: Gi tr chu ri ro. NHTM c phn Ngoi thng Vit Nam. NHTM c phn Cng thng Vit Nam. World Trade Organization: T chc thng mi th gii. Word Bank: Ngn hng th gii. Washington Mutual Inc.

1 Chng 1. L lun tng quan v tnh d tn thng ca cc ngn hng thng mi 1.1 Khi nim v tnh d tn thng ca cc ngn hng thng mi Tnh d tn thng ca cc ngn hng thng mi l s nhy cm, tnh d b v ca chng trc cc c sc ni sinh v ngoi sinh ca nn kinh t. Hay ni cch khc, tnh trng d tn thng l tnh trng ti chnh thiu n nh v thiu an ton trong hot ng ca cc ngn hng thng mi. n nh l trng thi duy tr hot ng bnh thng, khng c nhng bin ng t ngt, tht thng v s n nh trong qu trnh pht trin. An ton c hiu l kh nng ca ngn hng b p c mi chi ph v thc hin c cc ngha v ca mnh. Tiu ch an ton c nh gi thng qua nh gi mc vn, cht lng tn dng (ti sn c) v cht lng qun l. An ton l trng thi khng b tc ng nguy him t mi pha, t pha cc tc ng bn trong cng nh bn ngoi. C th ni n nh l iu kin cn th an ton chnh l iu kin cho qu trnh pht trin vng mnh ca cc h thng ti chnh. Ni mt cch r rng hn th tnh d tn thng l trng thi cc ti sn (ti sn n, ti sn c v ti sn rng) d b ri vo trng thi khng n nh, khng an ton trong khng hong, khin cc ngn hng mt i trng thi bn vng v khng th pht trin cc hot ng kinh doanh dn ti s v. Tnh d tn thng l mt c im thuc v bn cht nn lun hin din trong cc hot ng ngn hng v cc ngn hng c hot ng ch yu da trn c s nim tin, chnh l ngun gc cho tnh d tn thng ca cc ngn hng thng mi. hn ch tnh d tn thng trong cc ngn hng thng mi, chng ta cn phi s dng cc bin php gi cho cc ti sn ca ngn hng lun lun n nh, an ton v c vng mnh. Thit lp c mng li an ninh c kh nng phng nga, ng ph kp thi, nhanh nhy, hiu qu i vi cc nguy c ni sinh cng nh ngoi sinh ca nn kinh t nh tng cng h thng cng ngh v thng tin, ng dng cc bin php tng cng qun tr ri ro cng nh nng cao nng lc qun l, kim nh... T , ta c th trnh c tnh trng khng hong cho cc ngn hng v cho c nn kinh t. 1.2 Nguyn nhn ca tnh d tn thng ca cc ngn hng thng mi Nguyn nhn su xa ca tnh d tn thng l do bn cht ca cc nh ch ti chnh. Cng c th ni rng tnh d tn thng l s t hp ca nhiu nhn t ni sinh nh s mt cn i gia ti sn n v ti sn c, kh nng iu hnh, qun tr ri ro v c bit l s hot ng da trn nim tin.

2 Ngn hng l mt nh ch trung gian ti chnh ng vai tr cc k quan trng trong nn kinh t, n iu tit ngun vn t nhng ni thiu vn n nhng ni cn vn. Chnh v hot ng chnh ny, c th to ra c nhiu li nhun, cc ngn hng ngy cng pht l i cc tiu chun v thm nh cht lng cc khon cho vay ca mnh, chnh iu to ra s mt cn i nghim trng gia c cu ti sn c v ti sn n, to s mt cn bng v d gy ra sp cho cc ngn hng. Ngoi ra, mi ngn hng li c cc chnh sch tn dng ring bit do Ban Qun tr ra, chnh s qun tr thiu kim sot v cn nhc v s mang n nhng nguy him cho cc ngn hng ny. c im ni bt nht v khng th tch ri ca cc nh ch ti chnh ni chung hay ngn hng ni ring l s hot ng da trn nim tin, cc t chc tn dng, cc t chc kinh t v cc c nhn quan h vi nhau da vo s tin tng ln nhau nn khi s tin tng ny khng cn th s xy ra nhng iu v cng ti t, c th ko theo s sp hng lot ca c h thng ti chnh. Mc tin cy ca cc ngn hng c th c nh gi da trn lnh mnh v an ton v ti chnh c nh gi trong qu trnh hot ng kinh doanh, hin nay thng c nh gi qua hng mc tn nhim v nhiu ch tiu khc. Cn s hot ng da trn nim tin l kh nng b tn thng, nh l vic cp tn dng v tin rng ngi i vay s hon tr y vn v li vay..., mang tnh cht tim n v lun lun tn ti, khng th loi tr m ch c th hn ch tu vo chnh sch tn dng cng nh kh nng qun tr ca mi ngn hng. Nu ni v cc c sc ngoi sinh ca nn kinh t, ta c th nhc n mi trng kinh t m cc ngn hng ny tn ti nh mi trng php l, chnh sch v m hay i khi chnh l hiu ng domino pht sinh v lan truyn mi khi c mt s kin xut hin t chnh cc nh ch ti chnh ny. Mi trng php l v chnh sch v m l hai yu t cc k quan trng, chng th hin suy ngh ca nhng ngi lm chnh sch nh hng cho nn kinh t. Cc t chc kinh t c hot ng d dng v hiu qu hay khng l do nhng yu t ny chi phi, tip mi l s lan truyn trong h thng cc nh ch ti chnh.

3

Ri ro ca qu trnh hi nhp

Ri ro mi trng php l

Ri ro v gi

Ri ro h thng khc

Ri ro thanh khon

Ri ro tn dng

Kh nng qun tr v ri ro o c

H thng kim sot ni b

S hp tc gia cc NHTM

4 1.3 1.3.1 Cc nhn t tc ng n tnh d tn thng ca cc ngn hng thng mi Cc nhn t ni sinh

1.3.1.1 Ri ro thanh khon s mt cn i gia ti sn n v ti sn c Ri ro thanh khon xy ra khi cung v tin t hn cu v tin, ri ro thanh khon lin quan n kh nng chuyn cc ti sn chnh thnh tin mt cch nhanh chng m khng chu tht thot v gi c. Hay ni mt cch khc ri ro thanh khon l ri ro khi ngn hng khng tin p ng cc khon phi tr khi n hn thanh ton, hoc v mt bin c no m khch hng rt tin o t. S mt cn i gia ti sn n (Ti sn n ca ngn hng gm: ngun vn huy ng c, vn vay t cc t chc tn dng khc) v ti sn c (Ti sn c ca ngn hng gm: tin mt, ngun tn dng, tin gi cc ngn hng khc, u t, chng khon v cc ti sn khc) l trng thi chnh lch, khng cn i gia ngun vn huy ng c v cho vay trn th trng, gia d n cho vay ngn hn vi cho vay trung hn, gia ngun huy ng ngn hn dng cho vay trung, di hn. Vic c cu ti sn n v ti sn c ph hp nhm hn ch thp nht ri ro c th xy ra, y l cng vic ht sc quan trng qun l ri ro thanh khon ca cc ngn hng thng mi. Nu cc ngn hng thng mi xy ra trng thi mt cn i gia ti sn n v ti sn c th ngn hng s d dng ri vo tnh trng mt kh nng thanh khon. Mt khi ri ro thanh khon ca ngn hng cao th ri ro v ca ngn hng cng s cao v vy thanh khon c ngha c bit quan trng i vi ngn hng. C hai nguyn nhn gii thch ti sao thanh khon li c ngha c bit quan trng i vi ngn hng:1 Th nht, cn phi c thanh khon p ng yu cu vay mi m khng cn phi thu hi

nhng khon cho vay ang trong hn hoc thanh l cc khon u t c k hn. Th hai, cn c thanh khon p ng tt c cc bin ng hng ngy hay theo ma v v

nhu cu rt tin mt cch kp thi v c trt t. Do ngn hng thng xuyn huy ng tin gi ngn hn (vi li sut thp) v cho vay s tin vi thi hn di hn (li sut cao hn) nn ngn hng v c bn lun c nhu cu thanh khon rt ln. Ngn hng thng mi l t chc tn dng th hin nhim v c bn nht ca ngn hng l huy ng vn v cho vay vn. Ngn hng thng mi l cu ni gia cc c nhn v t chc, ht vn t ni nhn ri v bm vo ni khan thiu. Nn tng c bn cho hot ng ca ngn hng l lng tin ca ngi gi tin, nu ngi gi tin khng cn nim tin vo cc hot ng ca ngn hng na th vic v ca h thng ngn hng thng mi l iu khng trnh khi. Thanh khon nh1

Theo taichinh24h.com

5 hng n lng tin ca ngi gi tin v ngi cho vay. Thanh khon km, ch khng phi l cht lng ti sn c km, mi l nguyn nhn trc tip ca hu ht cc trng hp v ngn hng. 1.3.1.2 Ri ro tn dng - S qun l v gim st tn dng Ri ro tn dng trong hot ng ngn hng ca t chc tn dng l kh nng xy ra tn tht trong hot ng ngn hng ca t chc tn dng do khch hng khng thc hin hoc khng c kh nng thc hin ngha v ca mnh theo cam kt.2 Trong quan h tn dng c hai i tng tham gia l ngn hng cho vay v ngi i vay. Nhng ngi i vay s dng tin vay trong mt thi gian, khng gian c th, tun theo s chi phi ca nhng iu kin c th nht nh m ta gi l mi trng kinh doanh, v y l i tng th ba c mt trong quan h tn dng. Ri ro tn dng xut pht t mi trng kinh doanh gi l ri ro do nguyn nhn khch quan. Ri ro xut pht t ngi vay v ngn hng cho vay gi l ri ro do nguyn nhn ch quan. Ri ro khch quan do mi trng kinh doanh l ri ro mang tnh cht h thng nn s c cp phn sau. y, chng ta s tp trung ni v ri ro tn dng c nguyn nhn ch quan t ngi vay v ngn hng (s qun l v gim st tn dng). Ri ro t ngi i vay: S dng vn sai mc ch, khng c thin ch trong vic tr n vay: a s cc doanh nghip

khi vay vn ngn hng u c cc phng n kinh doanh c th, kh thi. S lng cc doanh nghip s dng vn sai mc ch, c la o ngn hng chim ot ti sn khng nhiu. Tuy nhin nhng v vic pht sinh li ht sc nng n, lin quan n uy tn ca cc cn b, lm nh hng xu n cc doanh nghip khc. Kh nng qun l kinh doanh km: Khi cc doanh nghip vay tin ngn hng m rng

quy m kinh doanh, a phn l tp trung vn u t vo ti sn vt cht ch t doanh nghip no mnh dn i mi cung cch qun l, u t cho b my gim st kinh doanh, ti chnh, k ton theo ng chun mc. Quy m kinh doanh phnh ra qu to so vi t duy qun l l nguyn nhn dn n s ph sn ca cc phng n kinh doanh y kh thi m l ra n phi thnh cng trn thc t. Tnh hnh ti chnh doanh nghip yu km, thiu minh bch: Quy m ti sn, ngun vn nh

b, t l n so vi vn t c cao l c im chung ca hu ht cc doanh nghip Vit Nam. Ngoi ra, thi quen ghi chp y , chnh xc, r rng cc s sch k ton vn cha c cc doanh nghip tun th nghim chnh v trung thc. Do vy, s sch k ton m cc doanh nghip cung cp cho ngn hng nhiu khi ch mang tnh cht hnh thc hn l thc cht. Khi cn b ngn hng lp2

Trch Quyt nh 493/2005/Q-NHNN

6 cc bn phn tch ti chnh ca doanh nghip da trn s liu do cc doanh nghip cung cp, thng thiu tnh thc t v xc thc. y cng l nguyn nhn v sao ngn hng vn lun xem nng phn ti sn th chp nh l ch da cui cng phng chng ri ro tn dng. Ri ro t pha ngn hng: Trc ht phi ni n cc ngn hng cn thiu mt chnh sch tn dng nht qun, chnh sch tn dng y phi bao gm nh hng chung cho vic cho vay, ch tn dng ngn hn, trung v di hn, cc quy nh v bo m tin vay, danh mc la chn khch hng trong tng giai on Nguyn nhn gy ra ri ro tn dng t pha ngn hng c th c khi qut c bn di y: Ngn hng khng c thng tin v cc s liu thng k, ch tiu phn tch v nh gi

khch hng, dn n vic xc nh sai hiu qu ca phng n xin vay, hoc xc nh thi hn cho vay v tr n khng ph hp vi phng n kinh doanh ca khch hng. S li lng trong qu trnh gim st trong v sau khi cho vay nn khng pht hin kp thi

hin tng s dng vn sai mc ch. Qu tin tng vo ti sn th chp, bo lnh, bo him, coi l vt m bo chc chn cho

s thu hi c gc v li tin vay. Chy theo s lng (hoc theo k hoch) m sao lng vic coi trng cht lng khon vay,

qu lc quan v tin tng vo s thnh cng ca phng n kinh doanh ca khch hng. Ngn hng thiu mt b phn chuyn trch theo di, qun l ri ro, qun l hn mc tn

dng ti a cho tng khch hng thuc tng ngnh ngh, sn phm a phng khc nhau phn tn ri ro, cc d bo cn thit trong tng thi k. Cc ngn hng thng c thi quen tp trung nhiu cng sc cho vic thm nh trc khi cho vay m li lng qu trnh kim tra, kim sot ng vn sau khi cho vay. Khi ngn hng cho vay th khon cho vay cn phi c qun l mt cch ch ng m bo s c hon tr. Theo di n l mt trong nhng trch nhim quan trng nht ca cn b tn dng ni ring v ca ngn hng ni chung. Vic theo di hot ng ca khch hng vay nhm tun th cc iu khon ra trong hp ng tn dng gia khch hng v ngn hng nhm tm ra nhng c hi kinh doanh mi v m rng c hi kinh doanh. Tuy nhin trong thi gian qua cc NHTM cha thc hin tt cng tc ny. iu ny mt phn do yu t tm l ngi gy phin h cho khch hng ca cn b ngn hng, mt phn do h thng thng tin qun l phc v kinh doanh ti cc doanh nghip qu lc hu, khng cung cp c kp thi, y cc thng tin m NHTM yu cu.

7 Nng lc v phm cht o c ca mt s cn b tn dng ngn hng cha tm v vn

qun l s dng, i ng cn b ngn hng cha tha ng. Ngoi ra vic lng lo trong cng tc kim tra ni b cc ngn hng ca cn b ngn hng cng l nguyn nhn gy ra ri ro. Kim tra ni b c im mnh hn thanh tra NHNN tnh thi gian v n nhanh chng, kp thi ngay khi va pht sinh vn v tnh su st ca ngi kim tra vin, do vic kim tra c thc hin thng xuyn cng vi cng vic kinh doanh. Ngn hng khng gii quyt hp l quan h gia ngun vn huy ng v ngun vn s

dng, c th l: d tr vn qu t so vi nhu cu bo m thanh ton, t dn n mt kh nng thanh ton nu khch hng c nhu cu rt vn nhiu; hoc d tr vn qu nhiu, gy ng vn, lng ph trong s dng vn; hoc ly vn ngn hn cho vay trung di hn qu mc quy nh. Cnh tranh gia cc t chc tn dng cha thc s lnh mnh, vic chy theo quy m, b qua

cc tiu chun, iu kin trong cho vay, thiu quan tm n cht lng khon vay. Sau y, chng ta s cng tm hiu v cc ch tiu nh gi tnh d tn thng ca cc ngn hng thng mi kha cnh ri ro tn dng: a. T l n xu N xu l khon cho khch hng vay m khon n ny ang tnh trng di tiu chun, c kh nng khng thu c y li vay v vn gc hoc c kh nng mt vn. i vi cc khon n xu buc ngn hng phi trch lp d phng ri ro hoc khi khon n ny khng thu hi c y u lm gim li nhun ca ngn hng, ng thi n cng lm cho ngn hng b gim st uy tn, thm ch c th lm cho ngn hng b khng hong khi cc khon n xu tr nn qu ln. N xu (hay n c vn , n khng lnh mnh, n kh i, n khng th i,) l nhng khon n mang cc c trng : hn. Tnh hnh ti chnh ca khch hng ang v c chiu hng xu dn n c kh nng ngn Khch hng khng thc hin ngha v tr n vi ngn hng khi cc cam kt ny ht

hng khng thu hi c c vn ln li. Ti sn m bo (th chp, cm c, bo lnh) c nh gi l gi tr pht mi khng

trang tri n gc v li. Thng thng v thi gian l cc khon n qu hn t nht l 90 ngy. T l n xu l t l n di tiu chun trn tng d n cho vay ca ngn hng. (%) = %

8 b. T l n qu hn N qu hn c hiu mt cch n gin l khon n n hn m khch hng khng thanh ton tin gc v tin li cho ngn hng. C th ni n qu hn l mt dng n xu, v cng ging nh cc khon n xu, cc khon n qu hn cng buc cc ngn hng phi trch lp d phng v cng lm tng tnh d tn thng cho cc ngn hng. c. H s ri ro tn dng (%) = %

H s ny cho thy t trng ca cc khon mc tn dng trong ti sn c, khon mc tn dng trong tng ti sn cng ln th li nhun s ln nhng ng thi ri ro tn dng cng rt cao. (%) = %

Thng thng, tng d n cho vay ca ngn hng c chia thnh 03 nhm : Nhm d n ca cc khon tn dng c cht lng xu: l nhng khon cho vay c mc

ri ro ln nhng c th mang li thu nhp cao cho ngn hng. y l khon tn dng chim t trng thp trong tng d n cho vay ca ngn hng. Nhm d n ca cc khon tn dng c cht lng tt: l nhng khon cho vay c mc

ri ro thp nhng c th mang li thu nhp khng cao cho ngn hng. y l khon tn dng cng chim t trng thp trong tng d n cho vay ca ngn hng. Nhm d n ca cc khon tn dng c cht lng trung bnh: l nhng khon cho vay c

mc ri ro c th chp nhn c v thu nhp mang li cho ngn hng l va phi. y l khon tn dng chim t trng p o trong tng d n cho vay ca ngn hng. d. Phng php nh gi ri ro VAR VAR l mt phng php nh gi ri ro bng cch s dng cc cng c ton hc v thng k. Mt cch tng qut, VAR c o lng nh tn tht ti a tnh hung xu nht trong mt khong thi gian xc nh vi mt mc xc sut cho trc (thng gi l tin cy), VAR c xc nh theo cch ny c gi l VAR tuyt i. Tuy nhin, nhm mc ch xc nh vn kinh t m ngn hng cn nm gi, VAR thng c xc nh bng chnh lch gia tn tht ngoi d tnh v tn tht d tnh, trong tn tht d tnh v tn tht ngoi d tnh c xc nh t phn phi tn tht trong tng lai ca ngn hng. Trong hot ng tn dng, tn tht d tnh c xem nh l mt loi chi ph, loi chi ph ny th hin bn cht ca kinh doanh tn dng l kinh doanh ri ro. Cc ngn hng thng trch lp d phng b p loi chi ph ny. Chnh v vy, Basel II xut

9 loi b qu d phng ny trong cng thc tnh ton vn cp 2 (Tier 2 Capital). Vn ch c nm gi b p cho phn tn tht ngoi d tnh, v y chnh l phn c xc nh tng ng vi VAR. VAR tng i d hiu v mt khi nim, tuy nhin kh phc tp khi trin khai thc hin, c bit trong o lng ri ro tn dng. V phn ln cc khon vay c cp bi cc ngn hng khng c mua bn trn th trng th cp, cc d liu cn thit gip cho vic c lng phn phi tn tht tn dng trong tng lai hu nh rt hn ch. gii quyt kh khn ny, hu ht cc cch tip cn m hnh ri ro tn dng u da trn mt vi gi thit nht nh cng nh cc l thuyt kinh t m phng phn phi tn tht tn dng, t xc nh VAR tn dng. Hu nh cc ngn hng cc nc pht trin u p dng cc m hnh o lng ri ro tn dng khc nhau ph hp vi c im ring ca mi ngn hng, th nhng cc m hnh o lng VAR tn dng hin nay u da trn bn nhm m hnh chnh: CreditMetrics ca JP Morgan, PortfolioManager ca KMV, CreditRisk ca Credit Suisse, v CreditPortfolioView ca McKinsey3. Cc m hnh trn s dng cc cch tip cn khc nhau, nhng nhn chung c lng phn phi tn tht ca danh mc tn dng, cc thng s cn thit bao gm: Xc sut khng hon tr ca khch hng y l thng s tng i phc tp v thng c c lng trc tip, xem nh l mt d liu u vo c th ca cc m hnh ri ro tn dng; tn tht tn dng trong trng hp khch hng khng hon tr (c tnh n n c thu hi khi khch hng khng hon tr, v d nh thanh l ti sn m bo) c c lng bng cch n nh t u thng qua nh gi gi tr ti sn m bo, hoc c th c c lng bng cch m phng; tng quan khng hon tr gia cc khch hng c th c c lng trc tip nh mt d liu u vo c th ca m hnh, nhng cng c th c c lng gin tip nh mt gi tr n trong cc thng s khc. Khi tt c cc thng s trn c c lng, VAR tn dng c th c xc nh d dng. 1.3.1.3 Kh nng qun tr, iu hnh v ri ro o c Trong nhng nm gn y, s lng ngn hng thng mi tng nhanh, lm tng s cnh tranh hot ng gia cc ngn hng thng mi. Th nhng kh nng qun tr iu hnh trong cc ngn hng cn rt yu km cha p ng, i ph kp vi nhng thay i, bin ng ca th trng trong nc cng nh nhng tc ng ca nn kinh t th gii. Ban qun tr ca nhiu ngn hng cn mang nng bnh thnh tch chy ua theo li nhun bt chp nhng ri ro m ngn hng c th gp phi, l mt thc t ng lo ngi m phi nhanh chng khc phc.

3

Theo ng Tng Lm S dng cc m hnh qun tr ri ro danh mc u t tn dng da trn khung Value at risk (VAR) i hc Kinh t, i hc Nng 2010.

10 Mt s cn b hot ng trong lnh vc ngn hng c t cht ngy cng tha ha, h v nhng li ch c nhn h m b qua nhng nguyn tc, quy nh trong cc nghip v ngn hng. Trn thc t c xy ra mt s v n kinh t ln trong thi gian va qua c lin quan n cn b NHTM u c s tip tay ca mt s cn b ngn hng cng vi khch hng lm gi h s vay, hay nng gi ti sn th chp, cm c ln qu cao so vi thc t rt tin ngn hng. y l mt hnh ng cc k nguy him lm cho ri ro tn dng tng cao dn n ri ro thanh khon tng cao nh hng n uy tn hot ng ca ngn hng. o c ca cn b l mt trong cc yu t ti quan trng gii quyt vn hn ch ri ro tn dng. Mt cn b km v nng lc c th bi dng thm, nhng mt cn b tha ha v o c m li gii v mt nghip v th tht v cng nguy him khi c b tr trong cng tc tn dng. Bn cnh th trnh chuyn mn ca lc lng i ng cn b, chuyn vin ngn hng cn yu nn cn c o to nhiu hn na v chuyn mn nghip v nng cao hiu qu hot ng ca ngnh ngn hng. 1.3.1.4 H thng kim tra, kim sot ni b Kim tra ni b c im mnh hn thanh tra NHNN tnh thi gian v n nhanh chng, kp thi ngay khi va pht sinh vn v tnh su st ca ngi kim tra vin, do vic kim tra c thc hin thng xuyn cng vi cng vic kinh doanh. Th nhng thc t trong thi gian qua, cng vic kim tra ni b ca cc ngn hng hu nh ch tn ti trn hnh thc. Kim tra ni b cn phi c xem nh h thng thng ca c xe tn dng. C xe cng lao i vi vn tc ln th h thng ny cng phi an ton, hiu qu th mi trnh cho c xe khi i vo nhng ng r ri ro vn lun lun tn ti thng trc trn con ng i ti. 1.3.1.5 S hp tc gia cc ngn hng thng mi Kinh doanh ngn hng l mt ngh c bit huy ng vn cho vay hay ni cch khc i vay cho vay, do vy vn ri ro trong hot ng tn dng l khng th trnh khi, cc ngn hng cn phi hp tc cht ch vi nhau nhm hn ch ri ro. S hp tc ny sinh do nhu cu qun l ri ro i vi cng mt khch hng khi khch hng ny vay tin ti nhiu ngn hng. Trong qun tr ti chnh, kh nng tr n ca mt khch hng l mt con s c th, c gii hn ti a ca n. Nu do s thiu trao i thng tin, dn n vic nhiu ngn hng cng cho vay mt khch hng n mc vt qu gii hn ti a ny th ri ro chia u cho tt c ch khng cha mt ngn hng no. Trong tnh hnh cnh tranh gia cc NHTM Vit Nam ngy cng gay gt nh hin nay, vai tr ca CIC l rt quan trng trong vic cung cp thng tin kp thi, chnh xc cc ngn hng c cc quyt nh cho vay hp l. ng tic l hin nay ngn hng d liu ca CIC cha y v thng tin cn qu n iu, cha c cp nht v x l kp thi.

11 1.3.2 Cc nhn t ngoi sinh

1.3.2.1 Ri ro ca qu trnh t do ho ti chnh, hi nhp quc t Qu trnh t do ho ti chnh v hi nhp quc t c th lm cho n xu gia tng khi to ra mt mi trng cnh tranh gay gt, khin hu ht cc doanh nghip, nhng khch hng thng xuyn ca ngn hng phi i mt vi nguy c thua l v quy lut chn lc khc nghit ca th trng. Bn cnh , bn thn s cnh tranh ca cc ngn hng thng mi trong nc v quc t trong mi trng hi nhp kinh t cng khin cho cc ngn hng trong nc vi h thng qun l yu km gp phi nguy c ri ro n xu tng ln bi hu ht cc khch hng c tim lc ti chnh ln s b cc ngn hng nc ngoi thu ht. 1.3.2.2 Ri ro mi trng php l Mt trong nhng yu km ng ch nht ca h thng ngn hng thng mi Vit Nam l s tng trng mt cch khng cn i trong nhiu nm. S mt cn i ny cn c nhn nhn c trn phng din v m v vi m. S tng trng nhanh v quy m v vn trong khi cc thit ch qun l cha theo kp l cc vn ni ti ca khu vc ny. Trong nhng nm gn y, Quc hi, y ban thng v quc hi, Chnh ph, Ngn hng Nh nc v cc c quan lin quan ban hnh nhiu lut, vn bn di lut hng dn thi hnh lut lin quan n hot ng tn dng ngn hng. Tuy nhin, lut v cc vn bn c song vic trin khai vo hot ng ngn hng th li ht sc chm chp v cn gp phi nhiu vng mc bt cp nh mt s vn bn v vic cng ch thu hi n. Nhng vn bn ny u c quy nh: trong nhng hp khch hng khng tr c n, NHTM c quyn x l ti sn m bo n vay. Trn thc t, cc NHTM khng lm c iu ny v ngn hng l mt t chc kinh t, khng phi l c quan quyn lc nh nc, khng c chc nng cng ch buc khch hng bn giao ti sn m bo cho ngn hng x l hoc vic chuyn ti sn m bo n vay Ta n x l qua con ng t tng cng nhiu cc quy nh khc dn n tnh trng NHTM khng th gii quyt c n tn ng, ti sn tn ng. 1.3.2.3 Ri ro v gi a. Ri ro li sut Ri ro li sut l kh nng xy ra nhng tn tht ngoi d kin gn vi thay i ca li sut v nhiu nhn t khc nh cu trc v k hn ca ti sn v ngun, quy m v k hn cc hp ng k hn Cc nguyn nhn chnh ca ri ro li sut bao gm: s khng cn xng v k hn gia ti sn n v ti sn c; ngn hng s dng cc mc li sut khc nhau trong hot ng huy ng vn v

12 cho vay (Mt v d n gin nh trng hp ngn hng huy ng vn vi li sut c nh nhng cho vay, u t vi li sut bin i. Khi li sut gim, ri ro li sut s xut hin v chi ph li phi tr ln hn li thu c, lm gim li nhun; Ngc li, khi ngn hng huy ng vn vi li sut bin i nhng cho vay, u t vi li sut c nh. Khi li sut tng, ri ro li sut s xut hin v chi ph li phi tr ln hn li thu c); Do c s khng ph hp v khi lng, thi hn gia ngun vn huy ng vi vic s dng ngun vn cho vay; Do t l lm pht d kin khng ph hp vi t l lm pht thc t lm cho li sut th trng thay i khc vi d kin ca ngn hng khin vn ca ngn hng khng c bo ton sau khi cho vay; Ngoi ra, khi li sut th trng thay i, ngn hng cn c th gp ri ro gim gi tr ti sn. Khi ri ro li sut xut hin s lm tng chi ph ngun vn ca ngn hng; gim thu nhp t ti sn ca ngn hng; lm gim gi tr th trng ca ti sn c v vn ch s hu ca ngn hng. Chng ta c th nh gi ri ro li sut thng qua cc ch s sau: 4 H s chnh lch li thun (cn gi l h s thu nhp li rng cn bin NIM Net Interest

Margin). H s ri ro li sut (R) Khe h nhy cm li sut (Interest rate sensitive gap). Khe h k hn (Duration gap). Theo kinh nghim ca cc nc, kim sot ri ro li sut, cc ngn hng thc hin cc bin php: Mua bo him ri ro li sut chuyn giao ton b ri ro li sut cho c quan bo him chuyn nghip; p dng cc bin php cho vay thng mi (cho vay ngn hn) ngn hng c th linh ng thay i li sut cho vay khi li sut th trng thay i theo chiu hng tng; p dng chin lc ch ng trong qun tr ri ro li sut: Nu ngn hng c th d bo c chiu hng thay i li sut, ngn hng c th ch ng iu chnh khe h nhy cm li sut v khe h k hn mt cch hp l; Vn dng cc k thut bo him li sut nh hp ng k hn, hp ng tng lai, quyn chn, Swap. b. Ri ro t gi hi oi Ri ro t gi hi oi l dng ri ro xut hin khi ngn hng tin hnh cc giao dch trn th trng ngoi hi hay khi t gi thay i lm thay i gi tr ti sn bng ngoi t ca ngn hng. Tim n l c im cn lu trong ri ro v t gi. iu ny c ngha l vi trnh v phng php qun l ri ro khng ph hp vi hot ng kinh doanh ngoi t, ngn hng vn c th hot ng bnh thng v thm ch c li trong iu kin th trng bnh thng, thun li. Ch n4

Theo M Th Nam Chi: Ri ro li sut trong hot ng kinh doanh ti cc NHTMCP Vit Nam thc trng v gii php Lun vn thc s kinh t.

13 khi t gi bin ng bt li, th trng c nhiu bin ng, lc mc ri ro tim n mi c hin thc ha bng nhng khon l thc s ngoi d kin. Mt s ngn hng thc hin kinh doanh ngoi t p ng yu cu ca khch hng. iu ny c ngha l khi khch hng c nhu cu mua, bn ngoi t, ngn hng mi thc hin giao dch i ng p ng nhu cu v ngoi t ca khch hng. Trong trng hp ny, ri ro ngoi hi ca ngn hng t. Ngc li, nhng ngn hng ln hot ng a dng, nng ng trn th trng quc t khng ch kinh doanh ngoi t p ng nhu cu ca khch hng m cn t kinh doanh cho bn thn ngn hng thu li nhun (c gi l hot ng t doanh hay cn gi l u c). Trong trng hp ny, ri ro t gi ca ngn hng rt ln. Cc ngn hng c hot ng t doanh nh vy i hi phi c mt c ch qun l ri ro r rng y v ph hp vi mc ri ro ca Ngn hng. Trong nhng nm gn y, cc ngn hng thng tin hnh nhiu giao dch ngoi hi m bo cho lng ngoi t m ngn hng cn s dng. Khng nhng th, cc ngn hng c mc ch tm kim li nhun trn th trng ngoi hi khin ri ro v t gi hi oi ngy cng d lm cho cc ngn hng b tn thng hn. Nh chng ta bit, cc giao dch mua bn ngoi t ca NHTM lm chuyn giao quyn s hu v ngoi t, t , lm pht sinh trng thi ngoi t trng hoc on. Mt NHTM duy tr trng thi ngoi t trng s gp ri ro hi oi nu nh ngoi t gim gi; v ngc li, h s gp ri ro khi ngoi t tng gi trong trng hp NHTM duy tr trng thi ngoi t on. iu c ngha l kh nng ri ro hi oi s xy ra nu nh NHTM duy tr trng thi ngoi t m v t gi trn th trng bin ng. Vic gii hn trng thi ngoi t nh vy ch yu l gip cc ngn hng phng trnh ri ro t gi c bit l cc ngn hng c t tng kinh doanh mo him, hn ch cc ngn hng ny c trng thi ngoi t m qu ln so vi vn t c. Bi khi ri ro t gi thc s pht sinh, cc ngn hng phi i mt vi nguy c mt vn v nu trng thi ngoi t m qu cao th ngn hng s chu nhiu thua l, gim nng lc ti chnh. Thc t cho thy, cc NHTM thng duy tr trng thi ngoi t on v hu qu l phi i mt vi ri ro t gi khi t gi tng. Gi tr chu ri ro (VAR Value At Risk) l tn tht d kin ca ngn hng i vi nhng bin ng v t gi. Hn mc gi tr chu ri ro l mc tn tht d kin ti a m ngn hng c th chu ng c. Gi tr chu ri ro = Trng thi ngoi hi bin ng d tnh ca t gi T gi ng ca Trong : Trng thi ngoi hi c tnh theo tng ng tin. Mc bin ng t gi d tnh c tnh nh sau: Mc bin ng t gi d tnh (vi mc tin cy l 99%)

14 ( = ( ) ,

Vi: Trong : -

=

)

Ln : Hm l-ga-rit t nhin Ei : T gi vo thi im i Ei-1: T gi vo thi im i-1 Gi tr chu ri ro phn nh c mc ri ro v t gi trn c s xem xt 2 yu t trng

thi ngoi hi v mc bin ng t gi d kin i vi tng ng tin. Ngoi ra, gi tr chu ri ro o lng c mc ri ro v t gi, tc l mc tn tht d kin i vi ngn hng khi t gi bin ng. Nh vy, hn mc v gi tr chu ri ro cho php ngn hng gii hn c mc tn tht. Trong khi , hn mc v trng thi mc d c th hn ch ri ro t gi nhng cha tnh n s bin ng ca t gi, nn cha o lng c mc tn tht d kin v do cha gii hn c tn tht ca ngn hng. 1.3.2.4 Ri ro h thng khc S thanh tra, kim tra, gim st cha hiu qu ca NHNN: Bn cnh nhng c gng v kt qu t c, hot ng thanh tra ngn hng v m bo an ton h thng cha c s ci thin cn bn v cht lng. Nng lc cn b thanh tra, gim st cha p ng c yu cu, thm ch mt s nghip v kinh doanh v cng ngh mi Thanh tra ngn hng cn cha theo kp. Ni dung v phng php thanh tra, gim st lc hu, chm c i mi. Vai tr kim ton cha c pht huy v h thng thng tin cha c t chc mt cch hu hiu. Thanh tra ti ch vn l phng php ch yu, kh nng kim sot ton b th trng tin t v gim st ri ro cn yu. Thanh tra ngn hng cn hot ng mt cch th ng theo kiu x l v vic pht sinh, t c kh nng ngn chn v phng nga ri ro v vi phm. M hnh t chc ca thanh tra ngn hng cn nhiu bt cp. Do vy m c nhng sai phm ca cc NHTM khng c thanh tra NHNN cnh bo, c bin php ngn chn t u, n khi hu qu nng n xy ra ri mi can thip. Hng lot cc sai phm v cho vay, bo lnh tn dng mt s NHTM dn n nhng ri ro rt ln, c nguy c e da s an ton ca c h thng l ra c th c ngn chn ngay t u nu b my thanh tra pht hin v x l sm hn.

15 H thng thng tin qun l cn bt cp: Hin nay Vit Nam cha c mt c ch cng b thng tin y v doanh nghip v ngn hng. Trung tm thng tin tn dng ngn hng (CIC) ca NHNN cha phi l c quan nh mc tn nhim doanh nghip mt cch c lp v hiu qu, thng tin cung cp cn n iu, thiu cp nht v ngoi ra vic kt ni thng tin vi trang Web CIC qua ng X25 ca Chi cc tin hc ngn hng cn nhiu trc trc, cha p ng c y yu cu tra cu thng tin ti TP.HCM. cng l thch thc cho h thng ngn hng trong vic m rng v kim sot tn dng cho nn kinh t trong iu kin thiu mt h thng thng tin tng xng. Nu cc ngn hng c gng chy theo thnh tch, m rng tn dng trong iu kin mi trng thng tin khng cn xng th s gia tng nguy c n xu cho h thng ngn hng. 1.4 Ni dung tnh d tn thng cc tiu chun trn th gii v Vit Nam nh gi mc tn thng ca cc ngn hng thng mi Tnh d tn thng l mt khi nim cn kh tru tng v kh c th khi qut ho mt cch y . Nhng trong ti ny, nhm nghin cu s khi qut ni dung ca n theo cch nu ln cch thc m cc ngn hng c th hot ng tt, hay ni cch khc chnh l phng thc hn ch tnh d tn thng. chnh l tnh n nh trong cc hot ng v mc an ton trong c cu vn, c cu ti chnh cng nh trong hot ng ca cc ngn hng thng mi. Sau khi xem xt mc n nh trong hot ng ca ngn hng, chng ta s cng xem xt cc tiu chun trn th gii cng nh nhng qui nh trong nc v an ton hay chnh l nh gi tnh d tn thng ca cc ngn hng thng mi. 1.4.1 Mc n nh trong hot ng ca cc ngn hng thng mi Mc n nh trong hot ng ngn hng y th hin 2 b phn l n nh trong huy ng vn v n nh trong hot ng cho vay. 1.4.1.1 n nh trong huy ng vn Hot ng c bn ca cc ngn hng thng mi l huy ng vn v cho vay, y l 2 hot ng gip cc ngn hng thc hin c chc nng trung gian ti chnh ca n. Ti cc ngn hng thng mi th huy ng vn chnh l huy ng tin gi t cc thnh phn kinh t cng nh t dn c. Vn l nn tng cho mi hot ng ca ngn hng, ngn hng no c vn mnh th s c nhiu li th trong kinh doanh. Nu ngn hng no huy ng c nhiu tin gi th s c c ngun tin n nh dng trong hot ng cho vay, khng b khan him tin. Quy m lng tin gi cng vi vn t c ca ngn hng s gp phn lm tng uy tn ca ngn hng v c bit l tng

16 tnh thanh khon cho ngn hng, gip cho ngn hng hn ch c tnh d tn thng vn c trc nhng bin ng ca th trng, nhng thay i tm l t ngt ca nhng ngi gi tin. C th ni tin gi l b phn quan trng nht trong ti sn n ca tng ngn hng thng mi cng nh ton b h thng ngn hng. S n nh ca tin gi c biu hin tc tng tin gi, bin ng ca c cu tin gi (tin gi c k hn, khng k hn, tin gi tit kim, tin gi bng ni t, tin gi bng ngoi t). = (%)

Nhn t quyt nh n n nh tin gi l t l tit kim, nim tin ca ngi gi tin v kh nng tip cn dch v ca ngn hng, li nhun thu c t tin gi. Bn cnh , tc tng tin gi cn b chi phi bi kh nng la chn ca ngi gi tin v tp qun tit kim trong dn c. Cc nc ang pht trin c th trng ti chnh chm pht trin, cc cng c ti chnh cn t, ri ro cao, thm vo l tm l tit kim c th dng cho nhng khon chi tiu ln trong iu kin thu nhp cn thp nn t l tin gi ngn hng thng tng tc cao. Ngoi ra, t l tit kim cn b nh hng bi nhiu nhn t v m nh chnh sch tin t, li sut, t gi hi oi v cc iu kin dn s cng nh a l khi nhng nhn t ny c s thay i s ko theo nhng thay i trong xu hng tit kim ca ngi dn. y, chng ti mun ch trng n tnh n nh trong huy ng vn do chnh bn thn cc NHTM. Ngoi cc nhn t khch quan quyt nh n quy m ngun vn huy ng tin gi: chnh sch tin t, chnh sch ti chnh ca Chnh ph; thu nhp v ng c ca ngi gi tin , cc NHTM phi c c nhng chnh sch pht trin ng n, thng xuyn nng cao cht lng dch v v chm sc khch hng ngy cng tt hn, c chnh sch cnh tranh v li sut v a dng ho cc hnh thc gi tin th mi c th to c s n nh trong huy ng vn. Li sut: li sut cao s lm tng chi ph, gim thu nhp tim nng ca ngn hng. Nhng

%

trc p lc cnh tranh, cc ngn hng buc phi duy tr li sut cnh tranh thu ht khch hng mi v gi chn khch hng c. Cht lng dch v ngn hng: Cc ngn hng c dch v tt v a dng s c li th hn cc

ngn hng khc; Tr s kin c, phng gi tin an ton, tin nghi cng to nn u th cho ngn hng; i ng nhn s rt quan trng trong vic pht trin quan h gia ngn hng v khch hng. Vi i ng nhn vin c o to chuyn nghip, cc khch hng s yn tm hn khi nhn c s t vn ca h. iu lm hnh nh ca ngn hng c n tng su sc trong lng khch hng.

17 Cc chnh sch ca ngn hng (chnh sch tn dng, chnh sch u t, chnh sch ngn

qu,) l mt tiu chun o lng quan trng nh gi nng lc, trnh ca cc nh qun l ngn hng. Mt ngn hng lun ra nhng chnh sch ng n s c khch hng tin tng khi giao dch. 1.4.1.2 n nh trong hot ng cho vay Cho vay l hot ng c bn to ra li nhun cho ngn hng, ngoi ra tm v m n cn l mt trong nhng yu t quyt nh u t v tng trng kinh t. n nh trong hot ng cho vay biu hin tc tng cc khon cp tn dng. Tnh n nh ny gip cho ngn hng duy tr c ngun li nhun v trnh vic ng vn ti ngn hng. = % (%)

Tc tng trng tn dng (tng trng cho vay) ch yu ph thuc vo tc tng trng ca nn kinh t. Mt nn kinh t c tc tng trng cng cao th tc tng trng tn dng cng ln do nhu cu v vn ca cc thnh phn trong nn kinh t l rt ln, c bit l cc doanh nghip nhng nc ang pht trin c c im l hot ng da nhiu vo ngun vn vay t cc ngn hng. Ngoi ra, s can thip t pha chnh ph vo hot ng ngn hng thng xuyn xy ra cc nc ang pht trin buc cc NHTM phi tng cng cho vay vi cc iu kin u i di s ch nh hay bo lnh ca Chnh ph cng l mt nhn t thc y tc tng trng tn dng. So snh tc tng trng tin gi v tc tng trng hot ng cho vay: Nu tc tng tin gi nhanh hn tc tng cho vay trong mt thi gian di c th y

ngn hng vo tnh th tin thoi lng nan do d tha ngun vn m khng cho vay c trong khi vn phi chi tr li cho nhng ngi gi tin. H qu l ngn hng buc phi gim tc tng tin gi thng qua vic gim li sut hay c gng tng nhanh tc cho vay thng qua vic ni lng cc iu kin cho vay. C 2 bin php ny u c kh nng lm mt uy tn, nim tin hay tng ri ro cho ngn hng, tc l lm gia tng tnh d tn thng cho chnh ngn hng. Nu tc tng tin gi thp hn nhiu so vi tc tng trng cho vay th ngn hng d

lm vo tnh trng khan him ngun vn cho vay, buc ngn hng phi tng li sut tit kim thu ht tin gi. Tuy nhin, vic ny khng phi l d dng trong iu kin t do ho li sut nh hin nay v quan trng hn l khi tng li sut tit kim tng ng cng s lm cho li sut cho vay tng cao, t lm gim tc cho vay ca ngn hng xung qu thp. Nh th, c th ngn hng li

18 phi iu chnh cc iu kin cho vay xung, ng thi cng lm gia tng tnh d tn thng cho ngn hng. Nh vy, ta c th thy mt cch rt r rng rng khi tc tng trng tin gi v cho vay

u n, khng c t bin v khong cch gia 2 tc ny khng qu ln s m bo cho s n nh trong hot ng ca ngn hng. Qua gip tng uy tn cng nh nim tin cho ngn hng, to s n nh cho ngn hng pht trin v quan trng nht chnh l gim kh nng b tn thng ca chnh n. 1.4.2 Mc an ton trong hot ng ca cc ngn hng thng mi

1.4.2.1 nh gi theo cc tiu chun trong Hip c Basel I v II a. Basel I Sau mt thi gian hot ng, y ban nghin cu v a ra cc yu cu v an ton vn, c ban hnh ln u vo nm 1988 v gi l Basel I. Hip c Basel I nm 1988 mang tnh cht tha thun quc t v cc tiu chun v vn tr thnh chun mc quc t v vn t c. N quy nh v t l an ton vn ti thiu v qun l ri ro tn dng i vi ngn hng, l mt trong nhng cn c, tiu chun cc ngn hng ca cc quc gia trn th gii p dng qun l, bo m an ton trong hot ng. Tuy nhin, Basel I mi ch cp n nhng ri ro v tn dng ch cha cp n nhng ri ro khc nh ri ro hot ng, ri ro th trng, ri ro li sut... Ni dung c bn ca hip c Basel I ch yu v yu cu vn ti thiu. Vn t c: Vn cp 1, cp 2 v cp 3 Cp 1 - Vn nng ct Vn ch s hu vnh vin. D tr cng b (Li nhun gi li). Li ch thiu s (Minority interest) ti cc cng ty con, c hp nht bo co ti chnh. Li th kinh doanh (goodwill). Cp 2 Vn b sung Li nhun gi li khng cng b. D phng nh gi li ti sn. D phng chung/d phng tht thu n chung. Cng c vn hn hp. Vay vi thi hn u i. u t vo cc cng ty con ti chnh v cc t chc ti chnh khc.

19 Cp 3 (Dnh cho ri ro th trng) - Vay ngn hn Vn cp 1 Vn cp 2 + Vn cp 3 Vn tnh theo ri ro gia quyn Ti sn tnh theo ri ro gia quyn (RWA) = Tng (Ti sn x Mc ri ro phn nh cho tng ti sn trong bng CKT) + Tng (N tng ng x Mc ri ro ngoi bng) T l an ton vn (CAR) - nh mc v vn: T l an ton vn (CAR): T l ny c pht trin bi BCBS vi mc ch cng c h thng ngn hng quc t, i tng ban u l nhng ngn hng hot ng quc t, nhng sau ny c thc thi trn hn 100 quc gia. Ngn hng phi gi li lng vn bng t nht 8% ca r ti sn, c tnh ton theo nhiu phng php khc nhau v ph thuc vo ri ro ca chng. ( )= / = %

5 nh mc v vn: -

Mc vn tt: CAR > 10%. Mc vn thch hp: CAR > 8%. Thiu vn: CAR < 8%. Thiu vn r rt: CAR < 6%. Thiu vn trm trng: CAR < 2%. b. Basel II Trc i hi ca s pht trin, v bo m an ton trong hot ng ngn hng ca cc t

chc tn dng, c bit l i vi nhng tp on ngn hng ln c phm vi hot ng quc t v nhm b sung ci thin nhng thiu st ca hip c Basel I p ng nhu cu thc tin hot ng ca h thng ngn hng th Hip c Basel II ra i. Hip c Basel II l hip c quc t v tiu chun an ton vn, tng cng qun tr ton cu ha ti chnh cng nh vic khai thc ti a tim nng li nhun v hn ch ri ro. Hip c Basel II cp ti cc vn chnh gm nhng quy nh lin quan ti t l vn an ton ti thiu, qu trnh xem xt gim st ca c quan qun l v cui cng l cc quy tc th trng. Basel II bao gm nhng khuyn ngh v lut v quy nh ngnh ngn hng, c ban hnh bi U ban Basel v gim st ngn hng. V bn cht, hip c Basel II n thun lm tinh xo hn, hon thin hn cch thc o lng v tnh ton nhng ri ro nhm gip cc ngn hng qun l ri ro.

20 Ngoi ri ro tn dng v ri ro th trng c qui nh ti Basel I, Basel II b sung thm mt loi ri ro na l ri ro hot ng (ri ro hot ng l ri ro xy ra tn tht do cc qui trnh, h thng hay nhn vin trong ni b ngn hng vn hnh khng tt hoc do cc nguyn nhn khch quan bn ngoi. y l mt trong nhng ri ro trm trng m ngn hng thng phi i mt trong qu trnh hot ng). Basel II vn qui nh mc vn an ton ti thiu l 8% v ch thay i cch tnh mu s trong cng thc tnh t l vn. Theo , mu s phi bao gm c ba loi ri ro: ri ro tn dng, ri ro th trng, ri ro hot ng. Basel II bi b cch tip cn ri ro ca Basel I v thay bng cch phn nh cc mc ri ro trn c s xp hng chnh xc hn mc ri ro, cc ngn hng s phi ph thuc ch yu vo kt qu xp hng v nh gi tn nhim ca cc t chc c lp nh Moody, S&P. H thng o lng theo Basel II phc tp hn, nhng c kh nng nh gi chnh xc mc an ton vn. Basel II s dng khi nim ba tr ct: Yu cu v vn ti thiu. Gim st. Quy lut th trng - nng cao tnh n nh trong h thng ti chnh. Tr ct th I: Yu cu v vn ti thiu Tr ct th I lin quan ti vic duy tr vn bt buc. Lng vn duy tr c tnh ton theo ba yu t ri ro chnh m ngn hng phi i mt: ri ro tn dng, ri ro vn hnh v ri ro th trng. Nhng loi ri ro khc khng c coi l c th lng ha hon ton bc ny. T l CAR T l McDonough. Cc cch tip cn tnh ton yu cu v vn: Ri ro h thng. Ri ro th trng. Ri ro tn dng. K thut lm gim ri ro tn dng. Kt qu QIS. Tr ct th II: Gim st Tr ct th II lin quan ti vic hoch nh chnh sch ngn hng, cung cp cho cc nh hoch nh chnh sch nhng cng c tt hn so vi Basel I. Tr ct ny cng cung cp mt khung gii php cho cc ri ro m ngn hng i mt, nh ri ro h thng, ri ro chin lc, ri ro danh ting, ri ro thanh khon v ri ro php l, m hip c tng hp li di ci tn ri ro cn li (residual risk).

21 Bn nguyn tc xem xt gim st Ngn hng nn c mt quy trnh xc nh mc vn ni b theo mc ri ro v chin lc

duy tr mc vn ca h. Cc gim st vin nn xem xt v nh gi vic xc nh mc vn ni b v chin lc

ca ngn hng, cng nh kh nng gim st v m bo tun th t l vn ti thiu. Khuyn ngh rng ngn hng nn gi mc vn cao hn mc ti thiu theo quy nh. Nhng ngi gim st s tm cch thm nhp vo nhng giai on u tin ngn cn mc

vn gim xung di mc ti thiu. Tnh ton t l an ton vn ti thiu Khung hip c mi bao gm c: nh ngha hin ti v vn thng xuyn. Yu cu t l vn ti thiu trn ti sn tnh theo ri ro gia quyn phi t 8% tr ln. CAR = (Vn cp I + Vn cp II + Vn cp III)/RWA Ri ro th trng Hai phng php o ri ro th trng (bt bin): Cch tip cn chun ha. Cch tip cn m hnh ni b (m hnh gi tr khi ri ro: Value-at-Risk). Ri ro tn dng Ri ro c nguyn nhn t s khng chc chn v kh nng hoc sn sng ca mt i tc thc thi cc ngha v trong hp ng. Cch tip cn tiu chun c iu chnh: Tng cng nhy cm i vi ri ro so vi Hip c 1988. Song ging nh hip c 1988, trng s ri ro c quyt nh bi phn loi ngi vay (chnh ph, ngn hng, doanh nghip). Trng s ri ro da vo phn loi tn dng bn ngoi (nu c). Gia tng nhy cm v ri ro. Hng ti cc ngn hng mong mun c mt khung vn n gin. Yu cu vn ti thiu = Mc nhy cm x Trng s ri ro (%) x 8% IRB c bn (F-IRB) v IRB nng cao (A-IRB): Da vo tnh ton ni b ca mt ngn hng. Nhy cm hn nhiu i vi ri ro. i cng vi cc tiu chun ti thiu v yu cu cng b thng tin.

22 Tr ct th III: Quy lut th trng Tr ct th III lm gia tng mt cch ng k cc thng tin m mt ngn hng phi cng b. Phn ny c thit k cho php th trng c mt bc tranh hon thin hn v v th ri ro tng th ca ngn hng v cho php cc i tc ca ngn hng nh gi v tham gia chuyn giao mt cch hp l. Cc phng php o lng ri ro theo Basel II bao gm: Cc phng php o lng ri ro tn dng: Phng php chun ha: ph thuc vo nh gi ca cc t chc xp hng tn nhim c lp. Phng php da trn h thng nh gi ni b c bn: Cc ngn hng a ra nhng khon ri ro ngm nh. Phng php da trn h thng nh gi ni b tin tin: Cc ngn hng a ra mt lot thng tin u vo v ri ro. Cc phng php o lng ri ro th trng: Phng php chun ha: Do c quan qun l ngn hng thit lp. Phng php s dng cc m hnh ni b: Cc ngn hng p dng cc m hnh ni b. Cc phng php o lng ri ro hot ng: Phng php dng ch tiu c bn: Mt ch tiu p dng cho mt qui nh. Phng php chun ha: Nhiu ch tiu p dng cho mt qui nh. Phng php o lng ni b nng cao (AMA): Cc ngn hng p dng cc m hnh ni b. Trong cc phng php o lng ri ro hot ng th phng php dng ch tiu c bn v phng php chun ha ch yu p dng i vi nhng ngn hng khng phi i mt vi mc ri ro ln v hot ng do ni dung hot ng hay do phm vi hot ng. Tuy nhin, p dng phng php chun ha, ngn hng phi c h thng qun l ri ro hot ng p ng y nhng yu cu ti thiu qui nh ti Basel II. C hai phng php u i hi ngn hng phi duy tr s lng vn tng ng vi mt t l phn trm nht nh so vi tng gi tr ri ro hot ng xc nh c. Theo phng php ch s c bn, tnh ton lng vn ti thiu cn m bo i vi ri ro hot ng, ngn hng ly tng thu nhp bnh qun hng nm trong 3 nm gn nht nhn vi 0.15 (h s ny do y ban Basel qui nh,

23 th hin tng quan gia mc vn ti thiu chung ca ton h thng vi mc ch s chung ca ton h thng). = .

Tng thu nhp ny bng thu nhp thun t tin li cng vi thu nhp thun khng phi t tin li, l thu nhp trc khi trch lp d phng, khng bao gm cc khon l/li thu c t kinh doanh chng khon, bo him v cc khon thu nhp bt thng. Theo phng php chun ha, cc ni dung hot ng ca ngn hng c chia thnh 8 lnh vc. Theo , ngn hng s tnh ton lng vn ti thiu cn m bo cho tng lnh vc kinh doanh bng cch nhn thu nhp thun t lnh vc kinh doanh vi cc h s tng ng theo qui nh ca y ban Gim st ngn hng thuc BIS (Ph lc 2). Lng vn ti thiu i vi ri ro hot ng ca ton ngn hng s bng tng vn ti thiu ca tng lnh vc kinh doanh. Trong cc phng php o lng ri ro hot ng i vi phng php o lng nng cao, mc vn ti thiu ngn hng cn duy tr s tng ng vi mc ri ro m ngn hng tnh ton c bng h thng o lng ri ro hot ng ni b ca ngn hng. Tuy nhin, p dng phng php ny, mt ngn hng phi m bo cc tiu chun nh tnh v nh lng do y ban ra v phi c c quan thanh tra gim st chp thun. Basel II cho php TCTD s dng cc phng php ni b tnh ton cc yu cu v vn i vi ri ro tn dng v ri ro hot ng, nhng cng qui nh cc TCTD phi cng b thng tin y cho cc thnh vin tham gia th trng, gip cc thnh vin tham gia th trng hiu bit v mi quan h gia danh mc ri ro v vn ca mt ngn hng cng nh s lnh mnh ca n so vi cc thnh vin tham gia th trng. Cng b thng tin phi phn nh c tnh hnh ti chnh ca ngn hng, trong yu cu u tin l vn v sau l cc danh mc ri ro tng ng nhm m bo tnh minh bch v bnh ng trong cnh tranh v gim thiu ri ro h thng, gp phn cng c s lnh mnh v an ton cho h thng ngn hng v th trng ti chnh. Cc phng php o lng v qui chun ca Basel II cng khuyn khch cc ngn hng t qun l bng vic p dng nhng phng php nh gi ni b v nhu cu s dng vn, ch n tnh trng ri ro ca ngn hng, a nhiu hn yu t th trng vo h thng ngn hng thng qua yu cu cng b thng tin, cho php cc bn tham gia nh gi c ri ro v mc vn ha thc s ca nhng ch th khc nhau.

24 1.4.2.2 nh gi theo cc qui nh ti Vit Nam a. Quyt nh s 457 qui nh v t l m bo an ton trong hot ng ngn hng Qua nhiu ln sa i v b sung Quyt nh 457, sau y l mt s ni dung chnh ca Quyt nh 457 nh gi v t l m bo an ton trong hot ng ngn hng: Vn t c Mt trong nhng im mi ln nht ca Quyt nh 457 l ln u tin a ra mt nh ngha tng i y v c th v vn t c ca cc t chc tn dng. Theo quy nh ca Lut Cc T Chc Tn Dng, vn t c c nh ngha bao gm gi tr thc c ca vn iu l, cc qu d tr, mt s ti sn N khc ca t chc tn dng theo quy nh ca Ngn Hng Nh Nc, v vn t c l cn c tnh ton cc t l bo m an ton trong hot ng ngn hng. Mc d vy, Lut Cc T Chc Tn Dng khng c bt k quy nh c th no v cc ti sn N khc. Quyt nh 457 ln u tin cho php cc t chc tn dng c php xc nh vn t c ca mnh theo hai cp (Ph lc 3), trong v c bn vn cp 1 bao gm vn iu l v cc qu d tr v vn cp 2 l cc ngun vn t b sung hoc c ngun gc t bn ngoi ca t chc tn dng. Vic xc nh vn t c theo hai cp theo Quyt nh 457 s cho php cc ngn hng thng mi trong nc tnh ton c th v nng cao c mc vn t c ca mnh vn d trc y phn ln ch c tnh trn c s vn cp 1. Do vy nay cc t chc tn dng cng s d dng hn trong vic tun th cc t l an ton tnh trn c s vn t c. Cc t chc tn dng phi tr khi vn t c ca mnh: ton b phn gi tr gim i ca cc ti sn c nh hay chng khon u t do nh gi li, tng s vn gp hoc c phn trong t chc tn dng khc, phn gp vn, lin doanh, mua c phn ca qu u t, doanh nghip vt mc 15% vn t c, v l kinh doanh k c cc khon l ly k. T l an ton vn ti thiu T chc tn dng (tr chi nhnh ngn hng nc ngoi) phi duy tr t l ti thiu 8% gia vn t c so vi tng ti sn C ri ro. Tng ti sn C ri ro l tng ti sn C ni bng (bao gm, ngoi nhng mc khc, tin mt, vng, tin gi, cc khon cho vay v cc khon phi i) v ti sn C ngoi bng (bao gm, ngoi cc mc khc, cam kt bo lnh, cho vay, th tn dng v chp nhn thanh ton) c iu chnh theo h s ri ro. Da trn mc ri ro, cc h s ri ro cho ti sn C ni bng gm 5 nhm l 150%, 100%, 50%, 20% v 0%. Tuy nhin, i vi ti sn C ngoi bng th ph thuc vo mc ri ro tng i so vi vic cp tn dng trc tip, gi tr ca ti sn ny trc tin phi c chuyn i t gi tr ngoi bng sang ni bng theo cc h s chuyn i 100%, 50%, 20% v 0% trc khi

25 nhn vi cc h s ri ro (gm 3 nhm l 100%, 50% v 0%). V d, mt khon bo lnh d thu c gi tr 1.000.000 ng c h s chuyn i l 50% v h s ri ro l 100% th gi tr ti sn C ri ro tng ng s l (1.000.000 ng x 50% x 100% = 500.000 ng). Trn thc t hin nay, c l hu nh khng c ngn hng thng mi quc doanh no t c t l 8%. Do vy, NHNN quy nh thi hn ti a 3 nm k t ngy Quyt nh 457 c hiu lc thi hnh (ngy 15 thng 5 nm 2005) cc ngn hng thng mi quc doanh tng t l an ton vn ti thiu bng mc quy nh trong mi nm tng ti thiu 1/3 s t l cn thiu. Tuy nhin, cc t chc tn dng ngoi quc doanh m cha c t c t l 8% s khng c hng li t quy nh gia hn ny. Trc mt c th mt s ngn hng s phi ku gi thm vn gp nng mc vn t c ca mnh ln. Gii hn tn dng i vi khch hng Quyt nh 457 yu cu cc t chc tn dng (tr chi nhnh ngn hng nc ngoi) phi xy dng chnh sch ni b v cc tiu ch xc nh mt khch hng v nhm khch hng lin quan v cc gii hn tn dng p dng cho tng loi i tng ny. Nhm khch hng c lin quan l mt khi nim mi theo Quyt nh 457. y l mt khi nim rt rng v tiu ch chung xc nh nhm khch hng c lin quan c xc lp trn c s quan h s hu (v d, mt khch hng c nhn s hu ti thiu 25% hoc mt khch hng php nhn s hu ti thiu 50% vn iu l ca mt khch hng php nhn khc), quan h qun tr, iu hnh (v d, mt khch hng c nhn gi chc danh ch tch hi ng qun tr, tng gim c trong mt khch hng php nhn khc), hoc quan h thnh vin (v d, mt cng ty hp danh v thnh vin hp danh ca cng ty cng l khch hng ca mt ngn hng) gia hai hay nhiu khch hng c quan h tn dng vi t chc tn dng. T l v kh nng chi tr T chc tn dng phi thng xuyn m bo t l v kh nng chi tr nh sau: T l ti thiu 25% gia gi tr cc ti sn C c th thanh ton ngay (ti mi thi im) v

cc ti sn N s n hn thanh ton trong thi gian 1 thng tip theo. T l ti thiu bng 1 gia tng ti sn C c th thanh ton ngay trong khong thi gian 7

ngy lm vic tip theo v tng ti sn N phi thanh ton trong khong thi gian 7 ngy lm vic tip theo. T l ti a ca ngun vn ngn hn c s dng cho vay trung v di hn Cc ngn hng thng mi c s dng ti a 40% ngun vn ngn hn cho vay trung v di hn. i vi cc t chc tn dng khc, t l ny l 30%. Ngun vn ngn hn c s dng

26 cho vay trung v di hn bao gm tin gi (khng k hn hoc c k hn di 12 thng), tin gi tit kim ca c nhn (khng k hn hoc c k hn di 12 thng), v ngun vn huy ng t pht hnh giy t c gi ngn hn. Gii hn vn gp, mua c phn T chc tn dng c s dng ti a 40% vn iu l v qu d tr ca mnh u t vo cc doanh nghip, qu u t, u t d n v vo cc t chc tn dng khc di cc hnh thc gp vn u t, lin doanh hoc mua c phn. Mc u t vo mt khon u t thng mi nh vy khng c vt qu 11% vn iu l ca doanh nghip, qu u t hoc 11% gi tr d n u t. Cc trng hp u t vt mc quy nh nu trn phi c NHNN chp thun. b. Quyt nh 493 v phn loi n v trch lp d phng x l ri ro tn dng trong hot ng ngn hng Ngy 22/4/2005 Thng c Ngn hng Nh nc k Quyt nh s 493/2005/Q-NHNN ban hnh v quyt nh ny c sa i, b sung Quyt nh 18/2007 NHNN quy nh v phn loi n, trch lp v s dng d phng x l ri ro tn dng trong hot ng ngn hng ca t chc tn dng theo thng l quc t. Nhm nh gi chnh xc thc trng, cht lng hot ng ca h thng ngn hng Vit Nam ni chung v tng t chc tn dng ni ring trn c s chun mc quc t. Quyt nh 493 tin dn n nhng nh gi mang cc yu t nh tnh v d phng c chia thnh d phng chung v d phng c th hng ti khun kh thuc d phng theo Basel II v ang c h thng cc ngn hng thng mi Vit Nam p dng v n cng th hin c tc dng ca n trong vic m an ton trong hot ng cho vay ca h thng ngn hng thng mi Vit Nam. Cn c nhiu hn na hot ng gim st ca ngn hng nh nc v vic thc hin cc quyt nh ban hnh nhm hon thin hn v thc tin hn cc quyt nh c ban hnh. Phn loi n v trch lp d phng c th Trong thi gian ti a ba (03) nm k t ngy Quy nh ny c hiu lc, t chc tn dng phi xy dng H thng xp hng tn dng ni b h tr cho vic phn loi n, qun l cht lng tn dng ph hp vi phm vi hot ng, tnh hnh thc t ca t chc tn dng (khng bt buc p dng i vi t chc tn dng l ngn hng thng mi c phn nng thn v qu tn dng nhn dn c s). NHNN a ra c cch phn loi n cho cc t chc tn dng gm 5 nhm v d phng cn trch lp nh sau:

27

Phn loi Nhm 1 (N tiu chun) Nhm 2 (N cn ch ) Nhm 3 (N di tiu chun) Nhm 4 (N nghi ng) Nhm 5 (N c kh nng mt vn)

T l trch lp d phng 0% 5% 20% 50% 100%

S tin d phng c th i vi tng khon n c tnh theo cng thc sau: Trong : R = max {0, (A - C)} x r R: s tin d phng c th phi trch A: S d n gc ca khon n C: gi tr khu tr ca ti sn bo m r: t l trch lp d phng c th Ti sn bo m a vo khu tr khi tnh s tin d phng c th phi p ng y cc iu kin sau y: T chc tn dng c quyn pht mi ti sn bo m theo hp ng bo m khi khch hng

khng thc hin ngha v theo cam kt. Thi gian tin hnh pht mi ti sn bo m theo d kin ca t chc tn dng l khng qu

mt (01) nm i vi ti sn bo m khng phi l bt ng sn v khng qu hai (02) nm i vi ti sn bo m l bt ng sn, k t khi bt u tin hnh vic pht mi ti sn bo m. Trng hp ti sn bo m khng p ng y cc iu kin nu trn hoc khng pht mi c, gi tr khu tr ca ti sn bo m (C) quy nh ti Khon 1 iu ny phi coi l bng khng (0). Gi tr khu tr ca ti sn bo m (C) c xc nh trn c s tch s gia t l khu tr quy nh ti Khon 4 iu ny vi: Gi tr th trng ca vng ti thi im trch lp d phng c th; Mnh gi ca tri phiu Chnh ph, tn phiu Kho bc v cc loi giy t c gi, tr tri

phiu ca cc t chc tn dng, doanh nghip; Gi tr trn th trng chng khon ca chng khon do doanh nghip v t chc tn dng

khc pht hnh c nim yt trn S giao dch chng khon v Trung tm giao dch chng khon ti thi im trch lp d phng c th; Gi tr ca ti sn bo m l chng khon do doanh nghip v t chc tn dng khc pht

hnh cha c nim yt trn S giao dch chng khon v Trung tm giao dch chng khon, ng

28 sn, bt ng sn v cc ti sn bo m khc ghi trong bin bn nh gi gn nht c t chc tn dng v khch hng thng nht (nu c) hoc hp ng bo m; Gi tr cn li ca ti sn cho thu ti chnh tnh theo hp ng cho thu ti chnh ti thi

im trch lp d phng c th; Gi tr ca ti sn bo m hnh thnh t vn vay tng ng s tin gii ngn theo hp ng

tn dng ti thi im trch lp d phng c th. T l khu tr xc nh gi tr khu tr ca ti sn bo m (C) do t chc tn dng t xc nh trn c s gi tr c th thu hi t vic pht mi ti sn bo m sau khi tr i cc chi ph pht mi ti sn bo m d kin ti thi im trch lp d phng c th, nhng khng c vt qu t l khu tr ti a quy nh.

29 Kt lun chng 1 Tnh d tn thng ca cc NHTM l mt khi nim cn mi m v cha c nhiu nghin cu ti th trng ngn hng Vit Nam. l l s nhy cm, tnh d b v ca cc NHTM trc cc c sc ni sinh v ngoi sinh ca nn kinh t. Hay ni cch khc, tnh trng d tn thng l tnh trng ti chnh thiu n nh v thiu an ton trong hot ng ca cc NHTM. Tnh d tn thng l vn thuc v bn cht ca hot ng ngn hng, chu tc ng ca nhiu yu t ni sinh ln ngoi sinh an xen ln nhau. N nh hng n cc hot ng v kh nng tn ti ca cc NHTM trong tng quan gia nhiu nhn t . Chng ny a ra mt ci nhn t khi qut n chi tit v tnh d tn thng ca cc NHTM c v ni dung cng nh mt s cch nh lng. Nhng iu cho thy rng chng ta ngy cng phi ch trng vic xc nh v nh gi tnh d tn thng ca cc NHTM trong giai on hin nay. Nhng c th hiu r hn v tnh d tn thng th trc ht chng ta cn phi i tm hiu cc nghin cu thc nghim trn th trng ngn hng th gii, iu ny s c thc hin chng 2 ca ti.

30 Chng 2. Cc nghin cu v bng chng thc nghim trn th gii v tnh d tn thng ca cc ngn hng thng mi 2.1 2.1.1 Xem xt tnh d tn thng ca cc ngn hng M trong cuc khng hong ti chnh M S lc v cuc khng hong M Khng hong ti chnh Hoa K nm 2007 l cuc khng hong trong nhiu lnh vc ti chnh (tn dng, bo him, chng khon) din ra t nm 2007 v cho n tn nay nhng nh hng ca n n nn kinh t th gii vn ang c khc phc. Cuc khng hong ny bt ngun t cuc khng hong tn dng nh th cp. V bn thn n li l ngun gc trc tip ca cuc khng hong ti chnh ton cu m tm im l nm 2008. Cuc khng hong ti chnh M bt u xy ra t thng 8/2007 khi Cng ty th chp nh M (American Home Mortgage) - tp on cho vay th chp mua nh ln nht Hoa K np n xin ph sn. Lin tc trong cc qu I, II nm 2008, cc ngn hng v cc tp on u t bt ng sn ln M nh Ngn hng u t Bear Steams (thng 3/2008), cc tp on bo lnh tn dng nh t Fannie Mae v Freddie Mac (7/2008)... suy sp. c bit, cuc khng hong ti chnh ny thc s bng n vo gia thng 9/2008, khi hng lot tp on ln nh Merrill Lynch, Tp on bo him American International Group (AIG) iu ng v ngn hng ln th 4 ca M, Lehman Brothers, tuyn b ph sn. T Ph Wall n Tokyo, Thng Hi cc ch s chng khon u tut dc mnh. Ti chu u, Paris, London, Frankfurt hay Amsterdam cng chung s phn. Th trng Mtxcva cng lm vo tnh trng hong lon n ni phi tm ng ca ch cho "cn bo" i qua. Nc M chao o v th gii sng st trc s suy sp ca hng lot tn tui ln trong h thng ti chnh M v khng t ngi v cuc khng hong ti chnh M hin nay vi cuc i khng hong 1929 - 1933, hoc ch t ang t nc M v th gii trc cc chn ng ln vt ra ngoi cc chn ng chu k thng thng. 2.1.2 Nhng tn thng ca cc ngn hng M trong cuc khng hong ti chnh nh gi theo m hnh CAMELS V vi vic ngy cng to ra nhiu hn nhng cng c ti chnh mi gp phn tng li nhun ca mnh ln, cc ngn hng phi gnh chu nhng ri ro tt yu m kt cc cui cng c nhn thy trong cn i khng hong va qua. Tnh n 31/05/2010, s lng cc ngn hng b sp hay b mua li ti M l 218 ngn hng.5

5

Theo thanhnien.com.vn

31 Bng 2.1: Nhng cng ty c phn ln nht ti M theo h s ca FED 31/12/2008 (T $) NPL & T l T l N xo Cng ty c Chng n tng s rng/ Cng ty c phn hng Tng khon % Trung LLR/ Thnh ph by vn phn M u ti ti sn n/ Vn NPA bnh TL vn c ri nc ngoi cp 1 & cp 1 cc ro LLR J.P. Morgan Chase & Co. Citigroup, Inc Bank of America Corp Wells Fargo & Company Metlife, Inc. Taunus Corp PNC Financial Services Group Barclays Group U.S., Inc. U.S. Bancorp Minneapolis Bank of New York Mellon Corp SunTrust Atlanta $189 25.88 10.45 14.04 2.59 1.19 1.79 New York $238 4.50 6.90 17.06 0.30 0.14 0.96 Wilmington Barclays PLC Pittsburgh $291 18.14 17.37 13.11 1.60 0.52 2.18 New York New York Charlotte San Francisco New York New York Deutsche Bank AG $2,175 $1,947 $1,822 17.04 22.07 25.21 6.92 6.10 6.45 14.85 1.23 15.69 1.57 13.00 2.05 khon n 1.53 2.35 1.75 3.04 4.09 2.40

$1,310 $502 $397

28.04 0.07 N/A

14.52 11.83 1.76 7.50 12.22 0.01

1.52 0.25 0.06

2.36 0.50 0.29

-2.26 -13.79 0.12

$280

18.37

1.07

8.25

0.46

1.66

2.12

$267

18.68

9.82

14.26 1.77

1.06

1.87

32 Banks, Inc. State Street Corp Capital One Financial Corp Citizens Financial Group, Inc. BB&T Corp Regions Financial Corp TD Banknorth Inc. Fifth Third Bancorp Keycorp Harris Financial Corp Northern Trust Corp BancWest Corp UnionBanCal Chicago BNP Paribas Mitsubishi Wilmington TorontoPortland Dominion Bank Cincinnati Cleveland Bank of Montreal $120 $105 23.56 13.32 10.27 14.78 3.01 11.05 14.82 1.80 2.24 1.12 3.26 2.33 $123 N/A -0.97 -1.54 0.49 0.61 1.25 Birmingham $146 14.65 8.47 14.64 1.54 1.58 1.85 WinstonSalem Providence Royal Bank of Scotland Group $152 12.77 9.86 17.41 1.55 0.89 1.60 $160 8.86 6.96 11.22 0.70 1.05 1.56 McLean $166 7.79 11.17 16.65 1.05 3.48 4.45 Boston $177 0.00 7.83 21.60 0.00 0.00 0.20

$88

18.83

6.00

13.01 1.14

1.23

2.33

$82

1.80

8.49

15.35 0.15

0.08

0.74

Honolulu San

$80 $70

25.95 7.83

3.90 8.42

6.03

1.24

0.79 0.36

1.54 1.49

11.63 0.72

33 Corp Francisco UFJ Finl Group Harris Bankcorp, Inc. Comerica, Inc. M & T Bank Corp. Marshall & Ilsley Corp. Dallas Chicago Bank of Montreal

$68

10.39

6.47

12.15 0.60

1.51

2.15

$68

12.15

11.77 14.72 1.61

0.91

1.52

Buffalo

$66

15.35

8.35

12.83 1.32

0.78

1.61

Milwaukee

$64

23.50

8.77

13.19 2.91

2.02

2.41

NPL - Nonperforming Loans: N xu N qu hn 90 ngy hoc hn, hoc trong tnh trng khng thu c li. NPA - Nonperforming Assets: NPL v ti sn thc c th thu hi. LLR - Loan loss reserves :D phng tht thu n.

TL - Total Loans and Leases :Tng n v cc hp ng cho thu. Ngun: Highline Financial, SNL Securities. nh gi phn tch theo ch tiu CAMELS l mt phng php hoc mt cng c dng phn tch tnh hnh hot ng v ri ro ca mt ngn hng. Trong phn ny, chng ta cng i nh gi tnh d tn thng ca cc ngn hng M trong cuc khng hong ti chnh va qua. H thng phn tch CAMELS c p dng nhm nh gi an ton, kh nng sinh li v thanh khon ca ngn hng. An ton c hiu l kh nng ca ngn hng b p c mi chi ph v thc hin c cc ngha v ca mnh. Tiu ch an ton c nh gi thng qua nh gi mc vn, cht lng tn dng (ti sn c) v cht lng qun l. Kh nng sinh li l vic ngn hng c th t c mt t l thu nhp t s tin u t ca ch s hu hay khng. Thanh khon l kh nng p ng c mi nhu cu v vn theo k hoch hoc bt thng. Cn lun lun lu l cc bo co ti chnh khng th cung cp y mi thng tin m ngi phn tch mun c nh gi mc an ton, kh nng sinh li v thanh khon ca ngn hng. Do , cn kt hp vic phn tch theo CAMELS vi nhng nh gi nh tnh ca ngn hng c th thu uc kt qu phn tch ngn hng k lng v hu ch.

34 M, m hnh CAMELS c p dng phn loi cc ngn hng ra thnh 5 nhm (tha vn, vn, thiu vn, thiu vn ng k v thiu vn trm trng). Da trn vic phn loi , Cc D tr lin bang M cng cc c quan chnh ph s tp trung vo nhm ngn hng no "sc khe yu" a ra bin php phng nga ph sn. Nh vy, mc ch ca h l d bo kh nng gp kh khn ca cc ngn hng, t h tr trnh ph sn. Phn tch theo ch tiu CAMELS da trn 6 yu t c bn c s dng nh gi hot ng ca mt ngn hng, l: Mc an ton vn, Cht lng ti sn c, Qun l, Li nhun, Thanh khon v Mc nhy cm th trng. Trong tng tiu ch, trc ht chng ta s cng tm hiu s lc mt cht v l lun, sau chng ta cng nh gi tiu ch trn cc ngn hng ti M, hoc i khi l cc t hp cng ty ti chnh ngn hng vi tm im nh gi l Mc an ton vn v Cht lng ti sn c. 2.1.2.1 Mc an ton vn (Capital Adequacy) Mc an ton vn th hin s vn t c h tr cho hot ng kinh doanh ca ngn hng. Ngn hng cng chp nhn nhiu ri ro (v d nh trong phm vi mt danh mc cho vay) th cng i hi phi c nhiu vn t c h tr hot ng ca ngn hng v b p tn tht tim nng lin quan n mc ri ro cao hn. Vn t c ca ngn hng theo lut phi bng t nht 6% tng tiu sn (liability) tc l cng khong 600 t. Nh vy ngn hng phi nng vn t c p ng c vic rt tin ca khch hng. Chnh v th hin nay ngn hng phi gim mc cho vay, thu hi cc khon vay ngn hoc trung hn n k phi tr. Nn kinh t do thiu thanh khon. Theo bo ch, hin nay M c khong 6.000 t USD cho vay a c, trong 2.000 t USD l di chun. Khong 700 t di chun hin l do h thng ngn hng M nm gi trong tng tch sn l 11 ngn t USD, phn cn li l cc qu u t, cc Cng ty bo him, qu hu tr v nc ngoi nm gi. Ring ngn hng M nu cc khon cho vay di chun mt ht th vn t c cng s gn bng khng. Hin cc nh ch ti chnh M vn chim t l ln nht l 31% trong tng s 196.000 t USD ti sn ti chnh ca th gii. Theo t Financial Times, vo nm 1999, trong s 10 nh ch ti chnh hng u th gii xt v gi tr vn ha th trng, c 6 ngn hng ca M. Trong , v tr s 1 v s 2 thuc v hai ngn hng M l Citigroup v Bank of America. Tuy nhin, hin nay, cc ngn hng M ch cn nm gi 3 v tr trong top 10 ny, ng thi, ba v tr cao nht thuc v cc ngn hng quc doanh ca Trung Quc.

35 T nm 1999 ti nay, tng gi tr vn ha th trng ca cc ngn hng M c mt trong top 10 st gim t mc 1.000 t USD v mc 387 t USD. Trong khi , gi tr vn ha th trng ca cc ngn hng Trung Quc trong top 10 t ch khng c g tng ln mc 509 t USD. Cc D tr Lin bang M (FED) hm 7/5/2009 cng b kt qu cuc st hch 19 t chc ti chnh ngn hng ln nht nc. Theo , 9 cng ty c "sc kho" n nh v khng cn b sung thm vn. Trong danh sch ny c JPMorgan Chase, Goldman Sachs, Cng ty bo him MetLife Inc, Cng ty th tn dng Capital One v American Express. Nu h khng th t tng vn, chnh quyn sn sng ra tay gip . 19 cng ty thuc din st hch c tng ti sn tnh n cui nm 2008 tr gi 100 t USD, chim 2/3 tng ti sn v nm gi mt na s khon vay trong h thng ngn hng M. Kt qu kim tra trn cho thy, nu cuc khng hong ti chnh ti t hn, s l ca 19 ngn hng ln nht M n ht nm 2010 c th ln ti 600 t USD. Trong , 185,5 t t hot ng vay th chp, 82,4 t t cc hot ng tn dng v 53 t USD t cc hot ng cho vay bt ng sn thng mi. STT 1 2 3 4 5 6 7 8 9 10 Bng 2.2: Danh sch 10 cng ty ti chnh ngn hng ln nht M phi tng vn Tn nh ch S vn ti thiu cn tng thm Bank of America Wells Fargo Gmac LLC Citigroup Morgan Stanley Regions Financial SunTrust Banks KeyCorp Fifth Third Bancorp PNC Financial Services 33,9 t USD 13,7 t USD 11,5 t USD 5,5 t USD 1,8 t USD 2,5 t USD 2,2 t USD 1,8 t USD 1,1 t USD 0,6 t USD Ngun: BBC News 2.1.2.2 Cht lng ti sn c (Asset Quality) Cht lng ti sn c l nguyn nhn c bn dn n cc v v ngn hng. Thng thng iu ny xut pht t vic qun l khng y trong chnh sch cho vay c trc kia cng nh hin nay. Nu th trng bit rng cht lng ti sn km th s to p lc ln trng thi ngun vn ngn hn ca ngn hng, v iu ny c th dn n khng hong thanh khon, hoc dn n tnh trng x i rt tin ngn hng.

36 Qun l ri ro tn dng: Ri ro tn dng l ri ro tn tht do nhng bin ng bt li nh hng n kh nng ca ngi vay, ngi pht hnh hay i tc trong vic p ng ngha v ti chnh ca mnh theo k hoch. C hai phng php c bn qun l ri ro, l phng trnh v kim sot tn tht. Phng php phng trnh bao gm vic xy dng cc chnh sch xc nh c th nhng lnh vc hay hot ng no c coi l ph hp v nn u t. Phng php kim sot tn tht li ch n vic duy tr mc a dng trong cu trc ca danh mc u t, cc chun mc cp tn dng ng n, s dng cc chng t v quy trnh hiu qu gim st ti sn m bo. Th nhng thc trng cc ngn hng thng mi M khng thc hin tt cc phng php qun l ri ro bao gm phng trnh v kim sot tn tht. Chuyn chng khon ha cc khon vay di chun mua i bn li kim li l chuyn hin hu qu nhiu trn th trng M. Cc con s c th v chng khon ha cc khon vay di chun ln lt c tit l. V d, t nm 2004 2007, bng cn i k ton ca Lehman Brothers tng thm 300 t USD nh mua chng khon c ngun gc l cc khon vay a c trong khi ngun vn ch s hu ch tng 6 t . Trong "Bo co n nh ti chnh ton cu" va cng b, IMF c tnh tnh thit hi do cuc khng hong ti chnh - kinh t ton cu gy ra c th ln ti khong 4.054 t USD, do cc th ch ti chnh phi xo b n xu, trong c 2.712 t USD thit hi t cc cc ti sn bt ngun t M. V tng thit hi i vi cc ti sn xu, IMF d on cc ngn hng s chu thit hi 2.470 t USD, chim 61%, v 2/3 trong s ny vn cha c cng b. Cc nh kinh t ca IMF c tnh, n lc ti vn ca cc h thng ngn hng s i hi 275 t USD M v 600 t USD chu u a chng tr li cc mc trc khng hong. a cc h thng ngn hng tr li cc mc hi gia nhng nm 1990, khon tin ny c th tng ln 500 t USD M v 1,2 t USD chu u. CPI phn tch d liu ca Chnh ph M v gn 7,2 triu khon vay di chun trong giai on 2005-2007 - thi im bong bng th trng bt ng sn ang nh cao. Kt qu l 25 cng ty cho vay th chp di chun cp gn 1.000 t USD (tng ng 72% tng s tin cho vay) cho nhng i tng vay nhiu ri ro, l nhng thnh phn khng tiu chun vay th chp. ng u danh sch trn l Cng ty Countrywide Financial (M) vi khon cho vay ri ro ln ti 97,2 t USD. Countrywide Financial c Tp on ti chnh Bank of America thu tm nm ngoi trnh nguy c ph sn. Th hai l Ameriquest Mortgage, cung cp cc khon cho vay di chun 80,6 t USD. Cng ty ny hin thuc s kim sot ca Tp on Citigroup. ng th ba trong danh sch l New Century Financial Corp - cho vay ri ro 75,9 t USD v ph sn nm 2007, ng thi ang i mt vi mt cuc iu tra lin bang.

37 2.1.2.3 Qun l (Management) Nhiu nh phn tch chuyn nghip coi qun l l yu t quan trng nht trong h thng phn tch CAMELS, bi v qun l ng vai tr quyt nh n thnh cng trong hot ng ca ngn hng. c bit, cc quyt nh ca ngi qun l s nh hng trc tip n nhng yu t nh: Cht lng ti sn c, Mc tng trng ca ti sn c, Mc thu nhp. c im ca vic qun l ngn hng thnh cng: nng lc, lnh o, tun th cc quy nh, kh nng lp k hoch, kh nng ng ph vi nhng thay i v mi trng xung quanh, cht lng ca cc chnh sch v kh nng kim sot vic tun th cc chnh sch. Trong thi gian qua, cc t hp ti chnh ngn hng ti M v ang m rng cc hot ng tr thnh cc ngn hng ton cu. Cc ngn hng ang b li cun hon ton vo hot ng ca th trng ti chnh. H thng thu ht hu ht s vn ca h bng cch bn nhng chng khon n ngn hn c gi tr c nh (cc khon tin gi). Ngn hng li u t s vn h huy ng c vo cc loi chng khon, thng khng c gi tr c nh v tnh thanh khon ca cc khon u t ny khng cao. Nh vy, ngn hng phi gnh chu ri ro khi gi tr th trng ca cc ti sn ca h c th gim xung bng hoc thp hn gi tr cc khon n tin gi ca ngn hng i vi ngi gi tin do nhng thay i khng mong i t t l li sut, v n, t gi hi oi, thay i v quy ch, nhng sai phm... H i qu xa ci chc nng chnh yu ca mnh m ln bc sang nhng lnh vc khc. l mt ngn hng thng mi th nhim v chnh l nhn tin k thc v dng tin y cho vay. Trong vic cho vay, ngn hng i hi mn tin n phi c hon tr sau mt khong thi gian, km theo mt s tin li quy nh. Ngi i vay nu c thnh cng ln th ngn hng cng khng i hi thm mt ng tin li no c. V tin cho vay l tin tm ly ca cc ngi k thc ra dng nn khi cho vay, ngn hng phi ht sc cn thn, bt buc phi c th chp y nu chng may cng trnh tht bi th cn thot c bng cch bn cc vt th chp ly li vn. Khng c th chp th t ra ngn hng cng i hi phi c cc bo m c nhn... Vic u t tri li mang tnh mo him, thng t c iu kin rng buc v thi gian ng tin cng khng xc nh nhng ngc li th ngi u t c c hi c chia li nhiu hn nu cng trnh y trng ln. Vic u t mang nhiu ri ro hn v do mt ngn hng thng mi thun tu khng th no em tin k thc ca ngi khc ra "nh bc" c. Ti cc nc trong giai on u khi cc ngn hng va thnh hnh th vic cho vay hu nh hon ton c t trn cn bn th chp. H c ca th chp th ngn hng mi cho vay v vai tr ca ngn hng lc y tng i n gin v ch cn quan tm n cc vt th chp l . Khi c nhiu ngn hng khc ra i th vic cnh tranh tr nn gt gao hn. Ngi i vay khng ai mun np nhiu th chp hoc

38 bo m, nn nu c mt ngn hng no khc t v "ni tay" hn th h s x n vay. Ngn hng no qu cng rn s mt dn khch hng khin tin k thc b ng. Cng mun li nhiu, ngn hng cng bt kht khe hn trong vic cho vay. T ch cho vay trn cn bn "bo th" vi y th chp, nhiu ngn hng tr nn d di nh li sut thp v tung tin vo nhng d n y ri ro v hot ng nh nhng nh u t. Hu nh tp on ln no cng mun c trong tay mt ngn hng hay mt cng ty ti chnh. i vi h, ngn hng l cng c ht vn chuyn v ti tr cho cc cng ty mnh, gip tp on t pht trin m khng cn tm ngun ti tr bn ngoi. Thc cht th c th nhn thy mt cch r rng nht mt phn nguyn nhn ca cuc khng hong ti chnh M l bt ngun t hot ng cho vay c phn d di v t - c gi l cho vay di chun - ca cc ngn hng i vi ngi vay tin mua nh tr gp vi hy vng sau bn i kim li. Sau y s l nhng minh chng cho nhng g din ra trc khi cuc i khng hong din ra, nhng mm mng dn n cuc khng hong. Mt iu c bit l hu ht cc ngn hng, t chc tn dng M cho vay di chun u chp nhn m bo bng ti sn hnh thnh t vn vay. Nh vy, trc ht ta c th thy nguy c ri ro l rt cao do i tng ca n l nh t vn thng xuyn ri vo chu k ng bng. Trong giai on 2004 - 2006, cho vay th chp di tiu chun chim khong 21% tng cc khon vay th chp, tng so vi mc 9% giai on 1996 2004, trong ch tnh ring nm 2006 tng tr gi cc khon vay th chp di tiu chun ln n 600 t USD, bng 1/5 th trng cho vay mua nh ca M. S pht trin mnh ca hnh thc cho vay th chp di tiu chun i km vi s bng n th trng nh t ca M l h qu ca vic li sut gim xung mc thp k lc, cc tiu chun cho vay ni lng v hi chng thch mua nh ca dn M. Ri ro tim tng ca cc khon n xu v ang e da tnh thanh khon trn th trng tn dng M, lm tng nguy c v ca ngn hng, tng chi ph vay vn ca doanh nghip, thm ch c th lm thay i dng ti chnh quc t. V kt qu l gi y, hng lot nhng ngn hng M cng b nhng tn tht nng n m h phi gnh chu xut pht t hu qu ca vic khng thc hin tt chc nng hot ng ca ngn hng thng mi, m cc nh qun l ngn hng ln sn sang hot ng th trng ti chnh qu nhiu, chnh sch d di trong vic cho vay tn dng vi mc tiu tm kim li nhun cao m bt chp ri ro cao m ngn hng s gp phi. 2.1.2.4 Li nhun (Earnings) Li nhun l ch s quan trng nht nh gi cng tc qun l v cc hot ng chin lc ca nh qun l thnh cng hay tht bi. Li nhun s dn n hnh thnh thm vn, y l iu ht sc cn thit thu ht thm vn v s h tr pht trin trong tng lai t pha cc nh u t. Li nhun cn cn thit b p cc khon cho vay b tn tht v trch d phng y . Bn ngun

39 thu nhp chnh ca ngn hng l: Thu nhp t li, thu nhp t l ph, hoa hng, thu nhp t kinh doanh mua bn, thu nhp khc. Bng 2.3: Cc khon l ca cc nh ch ti chnh ln trn th gii (t USD) (10/2008) Tn nh ch Khon l Tn nh ch Khon l Bank of America Citigroup Goldman Sachs JP Morgan Lehman Brothers Merrill Lynch Morgan Stanley Wachovia Washington Mutual Wells Fargo 27.4 68.1 4.9 20.5 13.8 58.1 15.7 96.5 45.6 17.7 Ngun: Financial stability report/November 2008/Reserve Bank of New Zealand. 2.1.2.5 Thanh khon (Liquidity) C hai nguyn nhn gii thch ti sao thanh khon li c ngha c bit quan trng i vi ngn hng. Th nht, cn phi c thanh khon p ng yu cu vay mi m khng cn phi thu hi nhng khon cho vay ang trong hn hoc thanh l cc khon u t c k hn. Th hai, cn c thanh khon p ng tt c cc bin ng hng ngy hay theo ma v v nhu cu rt tin mt cch kp thi v c trt t. Do ngn hng thng xuyn huy ng tin gi ngn hn (vi li sut thp) v cho vay s tin vi thi hn di hn (li sut cao hn) nn ngn hng v c bn lun c nhu cu thanh khon rt ln. M thanh khon nh hng n lng tin ca ngi gi tin v ngi cho vay. Thanh khon km mi l nguyn nhn trc tip ca hu ht cc trng hp v ngn hng. Qu phng chng ri ro ca M tng cho rng, khi cc vn ny sinh, h hon ton c th tho g tng vn mt cch n tha. Nhng trn thc t lc khng cn s hin din ca bt k mt khch hng no na - mi ngi mua u ra i. iu tng t cng xy ra vi Merrill Lynch, WaMu v mt s tp on khc. Tm l hoang mang, s hi lan nhanh trong th trng ti ni khng mt ai mun b tin ra mua li cc khon n ca h - d bt k mc gi no. Chnh quyn ca Tng thng M G.Bush trong thng 11/2008 cung cp thm 33,56 t USD cho 21 ngn hng ang gp kh khn ca nc ny. y l t bm vn th hai cho cc ngn Barclays Credit Suisse Deutsche Bank Fortis Halifax-Bank of Scotland HSBC ING Royal Bank of Scotland UBS 7.0 14.0 9.3 8.5 6.1 27.4 8.1 12.8 44.2

40 hng, bng tin ly t qu cu vn th trng tr gi 700 t USD. Chnh ph M trc chi 125 t USD mua li c phiu ca cc ngn hng gp kh khn. i gia ngn hng s 2 ca M l Citigroup nhn c khon cu tr tr gi 25 t USD. Nm 2008, Citigroup ct gim 95.000 nhn cng trong tng s 375.000 ngi. Citigroup l th ch ti chnh b thit hi nng nht trong cuc khng hong tn dng va qua, vi khon thua l ln ti 20,4 t USD. Trong nm nay, c phiu ca Citigrroup mt gn 70% v tp on ny mt 1/3 gi tr trong 2 tun gn y. Mt trong nhng ngn hng thng mi ln nht nc M - Washington Mutual Inc (WaMu) - sp do sc nng ca nhng khon n xu kch s lin quan n th trng cho vay th chp. WaMu c bn li cho JPMorgan Chase & Co vi gi 1,9 t USD. WaMu c thnh lp t nm 1889, c tng ti sn tr gi 307 t USD, l ngn hng tit kim ln nht M. WaMu lm vo tnh trng thua l nng n mt phn do cc khon n xu lin quan ti cho vay cm c a c, phn khc do s tho chy ca cc khch hng gi tit kim. Gi c phiu ngn hng ny gim 95% trong vng 1 nm qua v ch cn 0,45USD/CP lc b tip qun. 2.1.2.6 Mc nhy cm vi ri ro th trng (Sensitivity to Market Risk) Mc nhy cm vi ri ro th trng c th hin bng ch ci S (Sensitivity) trong h thng phn tch CAMELS. Phn tch S nhm o lng mc nh hng ca thay i v li sut v/hoc t gi n gi tr ca li nhun hay vn c phn. Phn tch S quan tm n kh nng ca ban lnh o ngn hng trong vic xc nh, gim st, qun l v kim sot ri ro th trng, ng thi a ra du hiu ch dn nh hng r rng v tp trung. Trong cuc khng hong M va qua, nhn t ny c nhm nghin cu nh gi l mt ri ro lin quan n tnh v mang tnh h thng ca cc cng ty ti chnh v ngn hng. y l th m chng ta thng gi l hiu ng domino, ln lt cc cng ty ti chnh v cc ngn hng ca M b ph sn hoc b mua li do cc khon n, cc khon chng khon ho tr nn ti t trong mi lin kt vi nhau. Cc ngn hng ti M trong nhng nm gn y tr nn rt nhy cm vi nhng ri ro mang tnh h thng ny bi chnh nhng cng c do bn thn chng ngh ra khi tm kim li nhun.

41

Din bin li sut M trong t 2001 2008

Trong 8 nm, tnh t 2004, FED nng li sut c bn ng USD t 1% c duy tr gn 1 nm ln ti mc 5,25% nm 2007. Nhng k t ngy 18/9/2007 n 29/10/2008, FED lin tc ct gim li sut nhiu ln t 5,25% xung mc rt thp l 1%. Vic lin tc gim li sut ca FED lm bng n tn dng, m cc ngn hng th thi nhau chy ua kim li nhun, lch qua khe h qun l lng lo ca Chnh ph, m tht ra cng c phn trch nhim t Chnh ph khi th cho cc ngn hng cho ngi dn vay di chun. Cc nh qun l ca ngn hng v t chy theo con ng tm kim li nhun khng l c bn tay che ca Chnh ph. Vi vic bng n tn dng tng nhanh chng, th nhng chnh ph cng nh cc d tr Lin bang M FED khng c nhng bin php kim sot, qun l cht ch nhng hot ng ca cc ngn hng thng mi v cho cc ngn hng hot ng mt cch v k lut vi cc mc tiu tm kim li nhun ca chng. Vic pht trin mnh ca hnh thc cho vay th chp di tiu chun i km vi s bng n th trng nh t ca M l h qu ca vic li sut gim xung mc thp k lc, cc tiu chun cho vay ni lng. Theo nhm nghin cu th y l mt loi ri ro mang tnh h thng m cng gp phn to nn cn i khng hong va qua. 2.1.3 Bi hc rt ra t cuc khng hong M cho cc ngn hng Mc d cuc khng hong cha kt thc v cn thi gian kim nh, nhng c th rt ra 3 bi hc ln t cuc khng hong ti chnh ca M hin nay: Th nht, khng c ngoi l v min dch ph sn cho bt k i gia no trong cuc chi trn sn kinh t th trng. Ni cch khc, mt doanh nghip hay mt ngn hng, t chc ti chnh d ln n u, thm nin di bao nhiu v trc c thnh cng nh th no, cng c th sp nu vi phm lut chi, m c th cuc khng hong ti chnh M hin nay l vi phm chun cho vay bt ng sn c s dung tng ca chnh ph

42 Th hai, vai tr ca cng tc thng tin, d bo v gim st, cnh bo an ton, nht l an ton h thng ti chnh ngn hng l ht sc quan trng v khng th coi nh trong bt lun trng hp no v vo thi im no Ngoi ra, cn lun tnh to vi cc tc ng lan ta, dy chuyn ca cc s bin kinh t trn th trng trong nc v quc t. Cn dp ngi khng hong t khi n cn nhen nhm, thay v khi n thnh m chy mnh v lan rng, th chi ph l kh o lng, nht l vi mt nc cn ngho v cc thit ch th trng cn cha pht trin, hon thin. Th ba, nh nc c vai tr khng th thiu c v ngy cng to ln trong cuc chin vi cc chn ng kinh t chu k hoc bc pht, nht l khng hong ti chnh - ngn hng, d n xy ra khng trc tip t sai lm ca chnh ph hoc trong khu vc kinh t nh nc Tuy nhin, s can thip ny phi tun th cc yu cu v li ch th trng, khng lm xu i s n nh kinh t v m v bo m hi ha cc li ch, nht l khng gnh nng khng hong ln ngi dn, ngi tiu dng. S dng cc cng c n, bin n xu thnh chng khon c th mua bn trn th trng n l mt trong cc la chn cn thit v hiu qu trong trng hp ny v cho mc tiu . S tht l Chnh ph M kim sot h thng ngn hng qu lng lo. Ngn hng phi l ch bo m cho dn chng thc gi, khc vi cc qu u t l ni sinh li (hay l). u thp nin 80 nn kinh t M b tr tr nn chnh quyn Reagan ni lng cc bin php kim sot, ngn hng tin vo cc lnh vc u t v tn dng. Ngun tin ny mang n nhng c hi u t mi gip cc ngn hng sinh li v tng trng trong nhiu nm. Nhng t cc ngn hng li lao vo cc khong u t qu nhiu ri ro, n khi qu bng a c b v nm 2007 th nhiu ngn hng ln gn sp tim ko theo s e do ton b nn kinh t nc M v ton cu. Li nhun ca Ngn hng u t (hnh thc ngn hng ph bin ti M v l mt dng c my hi ra nhiu tin ca) thng thng n t 3 hot ng. Mt l t huy ng vn v M&A, Ngn hng u t c hng mt khon ph trn s tin huy ng c cho khch hng. Hai l t mi gii, Ngn hng u t c nhn mt khon ph mua v bn c phiu trn sn chng khon v ba l t u t (Ngn hng u t c th c hoc mt nhng khon tin da trn gi tr khon u t). Hu ht li nhun ca cc Ngn hng u t nh ch n t cc hot ng thuc nhm 1, nhng cc Ngn hng u t ln u to li nhun trn c 3 hot ng. Theo nh gi ca cc chuyn gia ngn hng u t, phn ln ri ro thng n t hot ng th 3 (hot ng u t), v n ph thuc rt nhiu vo bin ng th trng. Tuy nhin, cn c mt ri ro rt ln m cc Ngn hng u t c th phi i mt v c xem l bi hc xng mu cho tt c nhng nh kinh doanh ngn hng u t, c bit l Ngn hng u t thun.

43 Gi s c mt ngn hng u t A, c cng m hnh vi Lehman Brothers, ngn hng u t t xa s trn bn ti chnh nc M nm 2008. Nu tng vn ca A l 34 (trong , vn ch s hu l 1, vn vay t ngn hng, pht hnh tri phiu l 33) th ti sn tng ng l 34. Gi s khi gi c phiu ca A gim 50% (do tc ng bt li ca th trng) th phn ti sn ch cn 17, trong khi vn vay qu ln (33) n hn phi tr th Ngn hng u t c th mc phi 2 ri ro ln. Ri ro u tin l Ngn hng u t ny khng to c li nhun k ton. Nhng ri ro ln hn nhiu l A khng c tin mt (c th m rng l vng, kim cng, tri phiu chnh ph c th mua bn ngay lp tc to ra tin mt) v cng khng th huy ng tin mt ngn hn (do khng phi l ngn hng thng mi), dn n vic A c th sp ngay lp tc. chnh l tnh cnh ca nhiu Ngn hng u t M trong cn bo ti chnh nm 2008. V bi hc rt ra y cho m hnh Ngn hng u t cng l bi hc c bn nht, l vay qu nhiu th mt l thng trc, hai l thua trc. y cng chnh l l do nhiu ngn hng u t quc t ngy nay ang hng n m hnh ngn hng a nng. Cc bi hc khc c rt ra sau khng hong ti chnh M cng c Chnh quyn M a ra trong k hoch ci t h thng ti chnh nc ny (Ph lc 1).

44 2.2 Nghin cu thc nghim trn th gii hn ch tnh d tn thng ca cc ngn hng thng mi 2.2.1 p dng cc tiu chun trong Hip c Basel II ti Hn Quc C th ni, p dng Basel II l mt bin php cc k hiu qu trong cng tc hn ch tnh d tn thng ca cc ngn hng thng mi ca chnh bn thn cc ngn hng. V thc nghim p dng Basel II, Hn Quc l mt in hnh r nt. Ti Hn Quc, cc ngn hng thng mi ca Hn Quc c k hoch thc hin l trnh ng dng Basel II bt u t thng 1 nm 2002 v hi vng s thc hin thnh cng vo 1/1/2008 (theo bo co ca Goo Yong Ahn Ph V trng V n nh h thng ti chnh thuc Ngn hng trung ng Hn Quc). Trong kho st ca Goo Yong Ahn c a ra tnh trng p dng phng php IRB xc nh ng thc t mc ri ro ca tng trng thi ri ro gm cc khon cho vay doanh nghip, cho vay cc doanh nghip va v nh, cho vay bn l, cho vay th chp bt ng sn, chng khon ho, gp vn c phn v cc trng thi khng cn bng khc. Khi p dng phng php mi trong Hip c Basel II, h s ri ro ca cc khon vay c tnh thay i linh ng v ph hp hn vi thc t ch khng cn c nh nh cc phng php hin ti, n gip vic nh gi ri ro c tt hn ty theo tng mc ri ro ca tng khon vay. Bng 2.4: So snh h s ri ro ca cc khon vay ti Hn Quc (%) Hin ti SA IRB Cho vay th chp nh Cho vay bn l 50 100 35 75 3 - 48 5 - 52

Bng 2.5: nh hng ca phng php Basel II n h s ri ro quy i Ri ro H s ri ro tn dng Trng thi ri ro Cho vay doanh nghip Cho vay SMEs Cho vay bn l Cho vay th chp bt ng sn Chng khon ho Gp vn c phn Cc ti sn trng thi ri ro khng c cn bng SA Tng Tng Gim Gim Tng Tng Tng F - IRB Tng Gim Gim Tng Tng Tng A - IRB Gim Gim Gim Tng Tng Tng

45

Trong : SA F-IRB A-IRB 2.2.2 : phng php chun ha. : phng php c s da trn h thng xp hng ni b. : phng php nng cao da trn h thng xp hng ni b.

Cch hn ch tnh d tn thng ca cc NHTM thng qua cc bin php qun tr ri ro ti mt s nc trn th gii Qun tr ri ro tt l cch tt nht c th ngn chn tnh d tn thng bc pht ti cc

ngn hng. Ngnh ngn hng ti cc nc trn th gii c nhiu phng php khc nhau c th hn ch ri ro v cng t c nhiu thnh cng. Sau y, chng ta cng i xem xt nhng bi hc ca mt s quc gia trn th gii l Hng Kng, Hn Quc, Singapore, Thi Lan v Columbia. Qun tr ri ro tn dng bng bin php trch lp d phng Trch lp d phng l cch thc hu hiu qun tr ri ro do tn tht tn dng. Vic trch lp d phng phi cn c vo thc t tr n vay thay v cn c vo kh nng tr n trong qu kh ca khch hng. Cc nc chia s kinh nghim rng h p dng cc nguyn tc d phng khc nhau da theo vic phn loi n vay c kh nng gy tn tht mc khc nhau. Hng Kng: xp loi ri ro cho khch hng v trch lp d phng tng ng. Hn Quc: cc nguyn tc d phng phn lp theo loi tn dng. Singapore: d phng tn tht khon vay c tnh t danh mc vay c p dng cho

cc khon vay tiu dng. Thi Lan: phn loi khon vay c a vo lut. Cc c quan gim st ngn hng c

quyn yu cu trch lp d phng cho cc khon vay cn ch . Columbia: d phng cho tn dng tiu dng, thng mi, cm c th chp v tn dng

nh the