B GIO DC V O TO TRNG I HC NGOI THNG ---------o0o---------

Cng trnh tham d Cuc thi Sinh vin nghin cu khoa hc Trng i hc Ngoi thng 2012

Tn cng trnh

XUT XY DNG M HNH CNH BO SM KHNG HONG H THNG NGN HNG THNG MI TI VIT NAM DA TRN KINH NGHIM TH GII

Nhm ngnh: KD1

H Ni, ngy 15 thng 04 nm 2012 1

DANH MC T VIT TT

ADB BHTG BSF CPI DIV EWS FDI FDIC FED FII IMF NHNN NHTM NHTW RBI USD VND WTO

: Ngn hng Pht trin Chu : Bo him tin gi : Ch s v ngnh ngn hng : Ch s gi tiu dng : T chc bo him tin gi Vit Nam : H thng cnh bo sm : Vn u t trc tip nc ngoi : Tp on bo him tin gi M : Cc d tr lin bang M : Vn u t gin tip nc ngoi : Qu tin t quc t : Ngn hng nh nc : Ngn hng thng mi : Ngn hng trung ng : Ngn hng trung ng n : ng Dollar M : Vit Nam ng : T chc thng mi Th gii

DANH MC BNG

Bng 1: Ch s d bo khng hong ti chnh v nhng l do kinh t la chn ...... 23 Bng 2: Cc giai on v theo mc ca ngnh ngn hng n ...................... 35 Bng 3: Kt qu m hnh Ordered Probit vi cc ch s chnh ..................................... 38 Bng 4: Tng hp kt qu cc giai on khng hong h thng ngn hng ti M ..... 48 Bng 5: Ch s n nh h thng ngn hng ca M..................................................... 49 Bng 6: Ch s d bo khng hong h thng ngn hng M....................................... 50 Bng 7: Kt qu m hnh Probit cnh bo sm khng hong h thng ngn hng ti M .................................................................................................................................. 53 Bng 8: Tc ng ca cc ch s ti xc sut xy ra khng hong ngn hng ti M .. 54 Bng 9: Tng hp ch s pht trin ti chnh ca Vit Nam nm 2011 ........................ 58 Bng 10: Cc ch s cho m hnh cnh bo khng hong h thng ngn hng Vit Nam ........................................................................................................................................ 72 Bng 11: Tc ng d kin ca cc bin s ti xc sut khng hong ngn hng ca Vit Nam ........................................................................................................................ 73

DANH MC HNH

Hnh 1: Cc giai on ca ch s v ngnh ngn hng ............................................ 21 Hnh 2: Ch s v ngnh ngn hng (BSF) cho n (3/2000-11/2009) .............. 34 Hnh 3: Trung tm d bo khng hong ngn hng theo xut ................................. 77

ii

DANH MC BIU

Biu 1: Thay i tn dng cha thanh ton cho khu vc phi thc phm theo thng ca cc Ngn hng Thng mi n (Tnh theo ng Rs.Crore) ............................. 30 Biu 2: Vn u t gin tip rng theo thng ca n (Rs. Crore) ..................... 31 Biu 3: Li sut FED giai on 2000-2011 .............................................................. 43 Biu 4: Thay i tng tn dng thc cho kh vc t nhn, tng tin gi theo nm ca NHTM M (2001-2011) .......................................................................................... 46 Biu 5: Thay i n ngoi t, ti sn ngoi t v d tr ngoi t theo nm ca h thng NHTM M (2001-2011) ...................................................................................... 46 Biu 6: Ch s v ngnh ngn hng ca M giai on 2001-2011 ..................... 47 Biu 7: Li sut huy ng ca Vit Nam v mt s nc trong khu vc ................ 63 Biu 8: So snh cc ch s cho vay/tin gi, cho vay/ti sn, cho vay/GDP ca h thng NHTM mt s quc gia nm 2010 ...................................................................... 64 Biu 9: T l huy ng vn v tn dng bng ngoi t ti NHTM Vit Nam 20052010 ................................................................................................................................ 66 Biu 10: Ch s v ngnh ngn hng ca Vit Nam qua mt s thng ............... 69

iii

MC LC LI M U ................................................................................................................. 1 CHNG I: TNG QUAN V KHNG HONG H THNG NGN HNG THNG MI V XY DNG M HNH CNH BO SM KHNG HONG H THNG NGN HNG THNG MI TRN TH GII .............. 5 1. 1 Khng hong h thng ngn hng thng mi ............................................. 5 1.1.1. nh ngha ......................................................................................................... 5 1.1.2. Nguyn nhn ..................................................................................................... 7 1.1.2.1. 1.1.2.2. 1.1.2.3. 1.1.2.4. Nguyn nhn lin quan n cc yu t vi m ............................................. 7 Nguyn nhn lin quan n chnh sch kinh t v m................................. 9 Nguyn nhn lin quan n chin lc v hot ng ca tng ngn hng ... ............................................................................................................... 10 Cc nguyn nhn khc ............................................................................... 11

1.1.3. nh hng ca khng hong h thng ngn hng thng mi ti nn kinh t quc dn ..................................................................................................... 11 1.1.3.1. 1.1.3.2. 1.1.3.3. 1.1.3.4. 1. 2 Ti tng sn phm quc dn ..................................................................... 12 Ti khu vc phi sn xut ca nn kinh t.................................................. 12 Ti cc chnh sch kinh t ca chnh ph ................................................. 12 Ti tht nghip v c cu lao ng ca quc gia ...................................... 13

Xy dng m hnh cnh bo sm khng hong h thng ngn hng........ 13 Khi nim .................................................................................................. 13 Cc m hnh thc nghim c p dng .............................................. 14

1.2.1. Khi nim v m hnh cnh bo sm khng hong h thng ngn hng .. 13 1.2.1.1. 1.2.1.2.

1.2.2. Quy trnh xy dng m hnh cnh bo sm khng hong h thng ngn hng ................................................................................................................ 15 1.2.2.1. 1.2.2.2. 1.2.2.3. Xc nh cc giai on khng hong ........................................................ 15 La chn cc ch s cnh bo .................................................................... 22 c lng xc sut khng hong .............................................................. 24

1.2.3. M hnh cnh bo sm khng hong h thng ngn hng ti u ............... 26 iv

CHNG II. KINH NGHIM XY DNG M HNH CNH BO SM KHNG HONG H THNG NGN HNG THNG MI TI MT S QUC GIA TRN TH GII V BI HC CHO VIT NAM ........................... 29 2.1. Xy dng m hnh cnh bo sm khng hong h thng ngn hng ti n giai on 2000-2009 .................................................................................. 29

2.1.1. Nhng kh khn trong h thng ngn hng n giai on 2000-2009 .. 29 2.1.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti n giai on 2000-2009 .............................................................. 31 2.1.2.1. 2.1.2.2. 2.1.2.3. 2.2. Xc nh cc giai on xy ra khng hong ngn hng ti n bng phng php ch s ................................................................................... 32 La chn cc ch s cnh bo cho khng hong ngn hng ti n ..... 36 c lng xc sut xy ra khng hong ngn hng ti n bng phng php tham s ................................................................................ 37

Xy dng m hnh bo sm khng hong h thng ngn hng thng mi ti M giai on 2000 2011 .......................................................................... 40

2.2.1. Nhng nguyn nhn v din bin chnh ca cuc khng hong ti chnh ti M giai on 2008-2011 ............................................................................... 40 2.2.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti M giai on 2000-2011 .................................................................... 44 2.2.2.1. 2.2.2.2. 2.2.2.3. 2.3. Xc nh cc giai on xy ra khng hong ngn hng M bng phng php ch s ................................................................................................. 44 La chn cc ch s cnh bo cho khng hong h thng ngn hng ti M ............................................................................................................. 50 c lng xc sut xy ra khng hong h thng ngn hng ti M bng phng php tham s ................................................................................ 51

Bi hc kinh nghim rt ra t thc tin xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti n v M............... 55

2.3.1. Ch s v ngnh ngn hng cn c xc nh thng qua cc ri ro h thng v iu chnh nhng tc ng ngn hn ........................................... 55 2.3.2. La chn mc ngng xc nh khng hong linh hot ............................. 55

2.3.3. Vic s dng m hnh Probit c lng xc sut khng hong pht huy tc dng ................................................................................................... 56 CHNG III. GII PHP XY DNG M HNH CNH BO SM KHNG HONG H THNG NGN HNG THNG MI TI VIT NAM DA TRN KINH NGHIM TH GII ........................................................................... 57 3.1. Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn hng thng ti Vit Nam ............................................................................. 57

3.1.1. Thc trng h thng ngn hng thng mi Vit Nam................................ 57 3.1.2. Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi Vit Nam ........................................................................... 60 3.2. 3.3. S cn thit xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam ...................................................................... 61 Gii php xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam ...................................................................... 62

3.3.1. La chn m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam ............................................................................................ 62 3.3.2. Xy dng ch s xc nh cc giai on khng hong.................................. 62 3.3.2.1. 3.3.2.2. Xc nh nhng ri ro h thng ca ngnh ngn hng Vit Nam ............. 62 Xy dng ch s v ngnh ngn hng ti Vit Nam ............................ 67

3.3.3. La chn cc ch s cnh bo ........................................................................ 70 3.3.4. c lng xc sut khng hong .................................................................. 72 3.4. Kin ngh iu kin thc hin m hnh cnh bo sm khng hong ngn hng ti Vit Nam ........................................................................................... 74

3.4.1. i vi Chnh ph ........................................................................................... 74 3.4.2. i vi Ngn hng Nh nc......................................................................... 74 3.4.2.1. 3.4.2.2. 3.4.2.3. Thng nht cc quy nh trong vic x l v cng b thng tin ca cc ngn hng thng mi ............................................................................... 74 Hon thin cng tc gim st cc ngn hng thng mi ......................... 75 a ra l trnh xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ............................................................................... 76

vi

3.4.3. i vi h thng ngn hng thng mi ....................................................... 78 3.4.3.1. 3.4.3.2. Nng cao mc chnh xc v minh bch trong cng b thng tin ......... 78 Nng cao cht lng qun tr ri ro .......................................................... 79

KT LUN ................................................................................................................... 80

vii

TM TT TI

ti xut xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam da trn kinh nghim th gii s gm 03 chng: Trong Chng I, sau khi a ra khi nim, nguyn nhn v nh hng ca khng hong h thng ngn hng thng mi, nhm nghin cu s gii thiu mt cch tng qut v quy trnh xy dng mt m hnh cnh bo sm khng hong h thng ngn hng theo cc phng php khc nhau. Kt thc Chng I, m hnh ti u c la chn l m hnh kt hp gia hai phng php ch s v ngnh ngn hng v tham s (sau y gi tt l m hnh BSF-tham s). M hnh ny s c s dng trong nghin cu cc chng tip theo. Trong Chng II, phn u, ti s tp trung vo vic nghin cu kinh nghim p dng m hnh BSF-tham s cnh bo khng hong h thng ngn hng ti n . T , nhm nghin cu a ra c mt s bi hc kinh nghim trong vic p dng m hnh ti n . Ti M, sau cuc khng hong ti chnh bt u t nm 2008, h thng NHTM ca quc gia ny ri vo khng hong nghim trng. T , mt s bi hc kinh nghim v xy dng m hnh cng c rt ra. Trong Chng III, vi mc ch xut xy dng mt m hnh cnh bo sm khng hong h thng NHTM cho Vit Nam da trn kinh nghim ca hai quc gia trn, ti i phn tch thc trng ca h thng NHTM nc ta cng nh s cn thit xy dng mt m hnh cnh bo sm khng hong ngn hng. Sau , m hnh cnh bo BSF-tham s c xut xy dng cho Vit Nam. Mc d cha th kim nh c mc chnh xc ca m hnh ny do kh khn trong vic tm kim s liu, nhm nghin cu cng kin ngh nhng gii php nhm xy dng m hnh xut v iu kin thc hin m hnh mt cch hiu qu ti Vit Nam.

viii

LI M U

1. Tnh cp thit ca ti Cuc khng hong ti chnh ton cu 2008 bt ngun t M lan ra ton th gii v nh hng nghim trng ti h thng ngn hng ca nhiu quc gia. Khng hong ngn hng hay khng hong h thng ngn hng l cm t c rt nhiu chuyn gia kinh t - ti chnh nhc n miu t tnh trng y hn lon ny vi rt nhiu v ph sn, thu tm v sp nhp trong h thng ngn hng. Tiu biu trong l v sp ca ngn hng u t ln th t ca M tn ti trong sut 158 nm - ngn hng Lehman Brother. Trc giai on ny, th gii cng ghi nhn rt nhiu cuc khng hong trong h thng ngn hng ti cc quc gia nh Mexico (1994 -1995), khu vc Chu (1997 -1998), Nga (1998). Nm 2007, Vit Nam gia nhp WTO, chnh thc m ca ngnh ti chnh ngn hng. T y, nhng yu km ca h thng ngn hng bc l ngy cng r nt khi vic t do ha ti khon vng lai v ti khon vn trong h thng ngn hng nc nh gp phi s cnh tranh khc lit ca dng vn nc ngoi. Mc d khng hong h thng ngn hng Vit Nam vn cha xy ra, nhng h thng NHTM nc ta cng tim n nhiu ri ro. Do , vic xy dng m hnh cnh bo v nguy c khng hong h thng ngn hng l ht sc cn thit v cn c nghin cu ton din gip Vit Nam trnh c cc cuc khng hong ngn hng trong tng lai. T nhng phn tch trn, nhm nghin cu quyt nh chn ti: xut xy dng h thng cnh bo sm khng hong h thng NHTM ti Vit Nam da trn kinh nghim th gii cho cng trnh nghin cu ca nhm. 2. Tng quan tnh hnh nghin cu M hnh cnh bo sm khng hong ti chnh (EWS) th h th nht c xy dng v pht trin bi Gio s kinh t Krugman (1979). Cui nhng nm 90, m hnh

cnh bo sm khng hong ngn hng c nghin cu mt cch c lp, c mt s cng trnh nghin cu nh sau: Demirgc-Kunt v Detragiache (1998), s dng m hnh Logit gii thch mi quan h gia cc bin gii thch v xc sut xy ra khng hong h thng ngn hng. Kaminsky v Reinhart (1999), Borio v Lowe (2002), Borio v Drehmann (2009), a ra m hnh phi tham s cnh bo khng hong ngn hng. Duttagupta v Cashin 2008, Karim 2008, Davis v Karim (2008b), s dng m hnh nh phn d bo khng hong da trn nhng bin s kinh t. Kibritciouglu (2002), xy dng ch s BSF ch s v khu vc ngn hng d bo thi gian xy ra khng hong. Thay v s dng phng php da trn s kin xc nh thi gian khng hong v phng php phi tham s (signal approach) a ra cnh bo, nhm nghin cu s tin hnh nghin cu xy dng v tnh ton ch s v ngnh ngn hng c th xc nh c cc giai on khng hong, sau dng phng php tham s a ra cnh bo cho 2 quc gia l n v M. Nhng bi hc kinh nghim rt ra c t vic nghin cu v xy dng m hnh cnh bo cho 2 quc gia trn s c vn dng trong vic xut xy dng m hnh cnh bo sm khng hong h thng ngn hng ti Vit Nam. 3. i tng v phm vi nghin cu ti nghin cu thuc chuyn ngnh ti chnh ngn hng, tp trung chuyn su vo nhng vn v khng hong, v ca h thng NHTM. V khng gian, ti ch yu nghin cu v h thng NHTM ti n , M v Vit Nam. V thi gian, giai on nghin cu trng tm l 2000 2011, bn cnh , cc giai on khc cng c cp n h tr nghin cu cc vn c nu trong ti.

4. Mc ch nghin cu Mc ch ca ti nhm a ra xut xy dng v hon thin m hnh cnh bo sm khng hong h thng NHTM Vit Nam, thng qua kinh nghim p dng thc tin t n v M. 5. Phng php nghin cu ti c k tha v s dng kt qu nghin cu ca cc ti v m hnh cnh bo sm khng hong ngn hng nc ngoi lm c s l lun v tham kho. Do khng hong ngn hng chu tc ng ca rt nhiu yu t tng hp, bn trong v bn ngoi h thng ngn hng, phng php phn tch c s dng ch yu, ng thi kt hp thu thp d liu, nghin cu tnh hung so snh, nh gi hiu qu m hnh. 6. Kt qu d kin Da trn thc trng h thng NHTM Vit Nam hin nay, nhm nghin cu mong mun t c mt s kt qu sau: Xy dng mt m hnh cnh bo sm khng hong h thng ngn hng ti u trn c s l lun; nh gi thc tin xy dng m hnh cnh bo sm khng hong h thng ngn hng ti mt s nc trn th gii nh n , M v rt ra cc bi hc cho Vit Nam; xut m hnh d kin cnh bo sm khng hong ngn hng ti Vit Nam, da trn kinh nghim trn th gii. 7. Kt cu ti Chng 1: Tng quan v khng hong ngn hng v cc m hnh cnh bo sm khng hong h thng ngn hng thng mi trn th gii Chng 2: Kinh nghim xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi mt s nc trn th gii v bi hc cho Vit Nam

 Chng 3: Gii php xy dng v hon thin m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam da trn kinh nghim th gii

CHNG I: TNG QUAN V KHNG HONG H THNG NGN HNG THNG MI V XY DNG M HNH CNH BO SM KHNG HONG H THNG NGN HNG THNG MI TRN TH GII

1. 1

Khng hong h thng ngn hng thng mi nh ngha

1.1.1.

K t nhng nm 1990, c rt nhiu cc nh ngha v khng hong h thng ngn hng thng mi (KHHT NHTM) hay khng hong h thng ngn hng c ra i. Ty theo quan im, mc ch nghin cu cng nh kt qu nghin cu ca mi nh nghin cu m cc nh ngha ca h v KHHT NHTM li c nhng c im khc nhau. Trong , c mt s nh ngha c coi l kh ton din v chng hm cha c nhng nguyn nhn, biu hin cng nh hu qu ca cc cuc khng hong h thng ngn hng. Nhn chung, khi ni v khng hong h thng ngn hng, c th xem xt 5 quan im ph bin sau: Th nht, theo quan im ca Calomiris & Gorton (1991)1, KHHT NHTM xy ra khi cc ch n nhiu hoc tt c cc ngn hng trong h thng ngn hng t ngt yu cu cc ngn hng chuyn i quyn i n ca mnh ra tin hoc tng ng tin mc qu cao khin cc ngn hng phi tm ngng qu trnh chuyn i ny. Th hai, theo quan im ca Caprio & Klingebiel (1996)2, KHHT NHTM xy ra khi gi tr rng ca h thng ngn hng hu nh hoc hon ton b cn kit. Th ba, theo quan im ca Luc Laeven & Fabian Valencia (2005)3, mt cuc khng hong h thng ngn hng s xy ra khi khu vc ti chnh v doanh nghip ca
1

Poonam Gupta; 2002, Banking Crises: A Survey of the Literature, International Monetary Fund, xem ngy 12/01/2012, < http://www.imf.org/external/country/ind/rr/2002/pdf/050202.pdf>. 2 Gerard Caprio, Jr. and Daniela Klingebiel; 1996, Bank Insolvency: Bad Luck, Bad Policy, or Bad Banking?, The World Bank.

mt quc gia ri vo tnh trng khng kh nng tr n, ng thi cc nh ch ti chnh v cc doanh nghip s phi i mt vi cc kh khn nghim trng trong vic hon tr cc hp ng ng hn. Kt qu l, cc khon n xu (NPLs) tng mnh khin cho phn ln hoc tt c vn ca ton b h thng ngn hng s b cn kit. Th t, quan im ca Demirguc Kunt & Detragiache 4 c bit n ln u tin vo nm 1998, sau c b sung 02 ln vo cc nm 2002 v 2004. Theo , mt cuc khng hong ngn hng c coi l c tnh h thng khi cc thnh phn quan trng trong khu vc ngn hng b ri vo tnh trng ph sn hoc mt tnh thanh khon, v khng th tip tc hot ng nu khng c s tr gip c bit t cc chnh sch tin t v gim st. Thi gian bt u mt cuc KHHT NHTM c xc nh nu t nht mt trong 4 iu kin sau xy ra: T l n xu (NPLs) trn tng ti sn nh hn hoc bng 10%; Chi ph gii cu cc ngn hng ln hn 2% GDP; Nhiu vn kh khn ca cc ngn hng dn ti cn c quc hu ha trn din rng; Cc bin php khn cp nh ng bng tin gi, ko di ngy l ngn hng, bo m tin gi ton b c p dng. Tm li, khng hong h thng NHTM c th c nh ngha theo nhiu cch khc nhau, nhng nhn chung, cc nh ngha u cp n tnh hung trong : Tn tht thc t hoc c tnh trong hot ng ngn hng khin mt lot cc ngn hng khng cn kh nng thanh ton cc khon n cho khch hng hoc buc chnh ph phi can thip ngn khng cho tnh trng lan ra trn din rng gy thit hi cho nn kinh t, lm t lit h thng ngn hng (IMF 1998).

Luc Laeven and Fabian Valencia; 2005, Systematic Banking Crises: A New Database, IMF Working Paper 08/224, International Monetary Fund. 4 Asli Demirguc-Kunt and Enrica Detragiache; 1998, The Determinants of Banking Crises in Developing and Developed Countries, IMF Staff Papers Vol. 45, No, 1, International Monetary Fund.

1.1.2. 1.1.2.1.

Nguyn nhn Nguyn nhn lin quan n cc yu t vi m

S bt n ca tnh hnh kinh t vi m c th l nguyn nhn chnh dn n s bt n ca h thng ngn hng. Cc yu t vi m c cp nhiu trong cc nghin cu gn y nh nhng nguyn nhn gy ra KHHT NHTM bao gm ri ro li sut, ri ro tn dng, ri ro thanh khon v ri ro th trng. i) Ri ro tn dng Cc nghin cu ca Borio & Lowe (2002)5, Eichengreen & Arteta (2000)6, Kaminsky & Reinhart (1999)7 ch ra rng tng trng tn dng nng l mt nguyn nhn dn n khng hong h thng NHTM. Tng trng tn dng nng c th xut pht t nhiu l do khc nhau. Trong mt s trng hp, n chnh l kt qu ca vic t do ha ti chnh hay bi b cc quy nh v ti chnh, cho php ngn hng c nhiu c hi hn tip cn vi nhng th trng tn dng mi. Ngoi ra, tng trng tn dng nng cng c th bt ngun t s gia tng dng vn di chuyn vo thng qua cc nhn t bn ngoi quc gia (v d nh vic li sut ca cc nn kinh t pht trin mc thp) hoc ny sinh t nhng giai on m t l lm pht quc gia gim thiu mt cch ng k. Nguyn nhn ny c th dn n vic cc ngn hng m rng chnh sch cho vay cng nh lc quan hn trong vic nh gi ri ro t cc khon cho vay. Vic ti tr cho qu nhiu cc d n u t c mc ri ro cao trong khi ngi i vay li khng c kh nng hon tr khon vay s khin cho gi tr ti sn c ca ngn hng gim ko theo gi tr rng ca ngn hng b gim st v thm ch c th dn ti ph sn. ii)
5 6

Ri ro thanh khon

Borio and Lowe (2002) Asset prices, financial and monetary stability: exploring the nexus, BIS WP 114. Eichengreen and Arteta (2000) Banking crises in Emerging Markets: presumptions and evidence Centre for International and Development Economics, WP C00-115. 7 Kaminsky and Reinhart (1999) Twin Crises: The causes of Banking and Balance-ofPayment Problems, The American Economic Review, vol. 89 No. 3.

Vn ri ro thanh khon xut pht t chnh c im kinh doanh ca ngn hng chnh l dng nhng khon tin gi ngn hn cho vay trung v di hn nh cp trn. Do , nu nh xy ra s rt vn t t nhng ngi gi tin, cc ngn hng s rt d phi i mt vi vn mt tnh thanh khon. S rt vn t t nhng ngi gi tin c th xut pht t mt vi nguyn nhn khc nhau. Mt trong nhng hng gii thch vn ny chnh l s bt cn xng trong thng tin gia ngi gi tin v h thng ngn hng. Mt l gii khc cho hin tng ny chnh l s kch ng tm l ca m ng hn lon8 khi nhng ngi gi tin cho rng nhng ngi gi tin khc cng ang rt vn khi ngn hng thm ch k ra khi bng cn i ti sn ca ngn hng vn cha h b nh hng bi bt k tc nhn tiu cc no. iii) Ri ro li sut S tng t bin ca li sut c xem xt nh l mt trong nhng nguyn nhn dn n vn thng tin bt cn xng trong hot ng ngn hng. Thng thng, nhng ngi s hu cc d n c ri ro ln nht li thng sn sng chp nhn i vay vi mt mc li sut cao hn nhng ngi i vay khc. Do nu li sut cng cao th cng c kh nng dn ti s mt n nh ti chnh v khi cc ngn hng s c xu hng gim bt tn dng phng nga trng cp tn dng cho nhng d n c ri ro cao. V vy, c th ni ri ro li sut c lin quan cht ch vi ri ro tn dng. Tng li sut cng c th nh hng n bng cn i k ton ca ngn hng. Thng thng, bn ti sn n ca ngn hng ch yu l tin gi ngn hn trong khi bn ti sn c bao gm c nhng khon cho vay ngn v di hn. Tng li sut trong ngn hn khin cho ngn hng phi tng li sut tin gi. Thm vo , nhng khon cho vay di hn ca ngn hng thng c n nh ti mt mc li sut c nh nn li sut sinh li trn ti sn khng th c iu chnh mt cch nhanh nh vic iu chnh tng li sut bn mc ti sn n. Khi , s dn n vic gim gi tr hin ti ca

Kindleberger - 1978, Diamond, Dybvid - 1983

li nhun rng v khin cho ngn hng s ri vo tnh trng li nhun gim hoc thm ch l thua l. iv) Ri ro t gi Ri ro t gi l kh nng xy ra nhng tn tht m ngn hng phi chu khi t gi hi oi thay i vt qu thay i d tnh. Trong c ch th trng, t gi thng xuyn dao ng. S thay i ny cng vi trng thi hi oi ca ngn hng to ra thu nhp thng d hoc thm ht tm thi. Tuy nhin, c nhng thay i t gi ngoi d kin c th dn n tn tht cho ngn hng. c bit, ri ro t gi c th tc ng trc tip n nhng khon mc ti sn n v ti sn c ngoi t trong bng cn i k ton ca ngn hng. S bin ng trong t gi hi oi s lm thay i gi tr ca ng tin ni t i vi cc ti sn c (hoc n) ny. Bn cnh , bin ng t gi cng c th tc ng gin tip n kh nng to li nhun ca cc ngn hng. Vic m rng danh mc u t ca mnh sang cc sn phm phi sinh, trong c phi sinh ngoi t, khin cc ngn hng cng phi i mt vi ri ro t gi. 1.1.2.2. i) Nguyn nhn lin quan n chnh sch kinh t v m

Nhng hn ch trong c ch lut php, k ton, v.v Nhng im cha hon thin trong c ch kim ton, k ton c th gy ra kh

khn hoc tr tr trong vic pht hin cc vn lin quan n tnh mt thanh khon hoc ph sn ca ngn hng. Bn cnh , nhng thiu st trong h thng php lut cng c th l tr ngi trong vic thc thi quyn s hu hoc nhng cam kt v thc hin i vi ti sn m bo trong vic h tr vay vn ngn hng. ii) Qu trnh t do ha ti chnh km hiu qu V mt di hn, nhng li ch m t do ha ti chnh mang li cho nhng nc ang pht trin l rt r rng. Tuy nhin, s thay i ny cng mang n cho h thng

ngn hng nhng ri ro khng th trnh khi, c bit l trong trng hp h thng ngn hng nc cha c s chun b k lng v thch hp cho vic t do ha. Trong giai on chuyn i ca t do ha ti chnh, cc ngn hng s phi i mt vi rt nhiu nhng kh khn in hnh nh s bin ng mnh ca li sut, bng n tn dng en, th trng tr nn cnh tranh hn khi xut hin nhiu i th n t c trong v ngoi nc, v.v. Tt c nhng yu t ny c th s khin cc ngn hng khng kp thi thch ng c vi mi trng kinh doanh mi v ko theo l s cng thng cng nh mt phng hng hot ng trong h thng ngn hng. iii) S can thip qu mc ca chnh ph S can thip qu mc hoc khng ng n ca chnh ph cng l mt nguyn nhn gy ra khng hong h thng NHTM. Nhng can thip ny c th xut pht t hnh ng gy p lc trong vic cp tn dng cho nhng c nhn/i tng c th, p t mc li sut, duy tr hay m rng nhng ngn hng khng cn hot ng tt, quy nh mc d tr khng hp l hoc quy nh bt buc tr cp cho thiu ht trong ngn sch nh nc t pha ngn hng, iv) S thiu minh bch trong h thng ngn hng S thiu minh bch trong hot ng ca cc ngn hng chnh l mt trong nhng tc nhn khin th trng kh t c tnh hiu qu cao. N s gy ra nhng ri ro lin quan n thng tin bt cn xng khi ngi gi tin (ngi dn), ngi i vay (doanh nghip), c ng v nhng bn khc c lin quan n cc hot ng ca ngn hng khng c thng tin la chn nhng ngn hng hot ng tt. 1.1.2.3. Nguyn nhn lin quan n chin lc v hot ng ca tng ngn hng

Khng hong h thng ngn hng c th xut pht t chnh nhng khng hong ca tng ngn hng ring l. Do tnh cht hot ng mang tnh mng li, nn khng hong ca tng ngn hng s d dng b lan rng v nh hng n c h thng. Thng thng, nhng yu t sau y c th gy ra khng hong ca tng ngn hng: 10

 Yu km trong vic thm nh tnh dng; Mt cn i trong vic cp tn dng v vic vay vn gia cc ngn hng; Nhng ri ro lin quan n li sut hoc t gi hi oi; Hot ng trong nhng lnh vc mi cha nhiu kinh nghim; Nhng yu km lin quan n trnh qun l, nhn s, cng ngh. 1.1.2.4. Cc nguyn nhn khc

Mt s tc nhn khc nh gian ln hay tham nhng cng c th gp phn gy ra khng hong h thng ngn hng. Nhng nguyn nhn ny nhn chung xut pht t trong chnh ni b ngn hng nh nhn vin, ban iu hnh; nhng ch th khc bn ngoi h thng ngn hng nh ngi gi tin, doanh nghip, chnh ph, Hn na, vi s pht trin nhanh chng cng vi s a dng ha trong cc hot ng ngn hng, cc hnh vi gian ln v tham nhng cng c th thc hin di nhiu cch thc v phng thc khc nhau, in hnh nh qua h thng cc thit b in t nh, my vi tnh, ATM, 1.1.3. nh hng ca khng hong h thng ngn hng thng mi ti nn

kinh t quc dn Khi xy ra khng hong, h thng ngn hng thng mi s b tc ng mt cch trc tip v mnh m nht. Vic rt vn n t khi h thng s khin cho kh nng thanh khon ca cc ngn hng b gim st, t cc ngn hng s phi gia tng chi ph p ng nhu cu thanh khon ca mnh. Bn cnh , hot ng tn dng cng s b gin on v mc gia tng n xu, li nhun ca cc ngn hng s b nh hng nng n. Bn cnh , h thng ngn hng lun c coi l huyt mch ca nn kinh t nn nh hng ca cuc khng hong h thng ngn hng chc chn s tc ng n tng trng ca nn kinh t quc dn. C th:

11

1.1.3.1.

Ti tng sn phm quc dn

Khng hong h thng NHTM s gy tn tht ti tng sn phm quc ni. Khi xy ra khng hong ngn hng, hot ng ca cc NHTM s b gin on, tr tr do b ph sn, ng ca hoc sp nhp. T , cc ngn hng s thn trng hn trong vic ra quyt nh cp tn dng cho cc ch th trong nn kinh t v lo ngi ri ro cao. Kt qu l, khu vc sn xut s kh tip cn vi ngun vn vay v khng th m rng c sn xut. Hu qu thit yu l GDP ca quc gia s b st gim. Theo nghin cu ca Haugh, D.,P. Ollivaud & D.Turner (2009)9 v tc ng ca khng hong ngn hng i vi cc nc OCED th hu khng hong, sn lng u ra ca quc gia s b thit hi t 2 n 3 ln hoc nhiu hn na so vi giai on trc khng hong v thi gian phc hi li mc sn lng trc khng hong cn t nht 2 ln qung thi gian xy ra khng hong. 1.1.3.2. Ti khu vc phi sn xut ca nn kinh t

Khi xy ra khng hong ngn hng, khu vc phi sn xut ca nn kinh t cng s b nh hng nng n. Khng ch c khu vc sn xut, m khu vc phi sn xut, c th l kinh doanh bt ng sn v chng khon s phi chng kin mt s st gim ng k trong u t. iu ny cng c gii thch l do vic hn ch cp tn dng ca ngn hng, c bit l cho nhng ngnh c ri ro cao nh chng khon v bt ng sn trong thi k khng hong. 1.1.3.3. Ti cc chnh sch kinh t ca chnh ph

Khng hong ngn hng s lm chch hng cc chnh sch kinh t ca chnh ph. Khi KHNH xy ra, NHNN s phi can thip nh ngi cho vay cui cng thng qua vic h tr vn, mua li cc khon n kh i ca cc NHTM, bo him cho cc khon tin gi hn ch vic rt tin t, hoc bm tin vo cc NHTM c nguy c sp nhm cu cc ngn hng ny trc hin tng rt tin hng lot, ngn chn
9

Haugh, D., P. Ollivaud and D. Turner (2009), The Macroeconomic Consequences of Banking Crises in OECD Countries, OECD Economics Department Working Papers, No. 683, OECD Publishing.

12

phn ng dy chuyn, hn ch ti a nhng thit hi ca cuc khng hong. Tnh hung ny buc NHNN phi p dng chnh sch tin t lng m mc tiu khng phi l kch cu. Ni cch khc mc ch ca chnh sch tin t, ti kha b bp mo. 1.1.3.4. Ti tht nghip v c cu lao ng ca quc gia

Khng hong ngn hng lm tng nguy c lm pht, tht nghip v nh hng c cu lao ng ca quc gia. Nu khng hong xy ra do vic rt vn t ca ngi gi tin th h thng NHTM s ri vo tnh trng thiu ht tin trm trng. NHNN do s c th phi bm tin vo h thng phc v v duy tr hot ng ca cc NHTM. Vic cung tin tng cao s to p lc gy ra lm pht, gim sc cnh tranh ca nn kinh t. T , nn kinh t cng phi i mt vi nhng hu qu k tip nh tht nghip, c cu lao ng quc gia b nh hng. 1. 2 Xy dng m hnh cnh bo sm khng hong h thng ngn hng

1.2.1. Khi nim v m hnh cnh bo sm khng hong h thng ngn hng 1.2.1.1. Khi nim

T nhng nghin cu thc nghim trn th gii, theo nhm tc gi, m hnh cnh bo sm khng hong h thng ngn hng c xy dng da trn cc ch s lin quan n hot ng ca ton b h thng ngn hng trong mt quc gia theo mt chui thi gian xc nh, t a ra c lng v xc sut xy ra mt cuc khng hong khu vc ngn hng trong tng lai, gip chnh ph v cc c quan chc nng c lin quan a nhng chnh sch v hnh ng nhm trnh hoc gim thiu nhng ri ro v hu qu m cuc khng hong mang li. i vi khng hong ngn hng, yu t sm trong thut ng cnh bo sm, theo nghin cu ca Goldstein, Kamisky & Reinhart (2000), c xc nh l t 1 n 12 thng trc khi bt u mt cuc khng hong hoc chm nht l n 12 thng sau khi cuc khng hong bt u. C hai l do cho vn ny:

13

 Cc cuc khng hong ngn hng thng ko di 4-5 nm; nh im ca khng hong ngn hng thng din ra vi nm sau khi n bt u. Nh vy, vic t c mt tn hiu cnh bo sm ngay c khi mt cuc khng hong bt u l vn c ch. 1.2.1.2. Cc m hnh thc nghim c p dng

Nu nh khng hong tin t c xem xt v nghin cu t nhng nm 70 ca th k 20 th khng hong ngn hng mi bt u c ni n trong thp nin 90 ca th k. y cng l giai on xy ra nhiu cuc khng hong ngn hng nht trn th gii. ng thi, m hnh cnh bo sm khng hong ngn hng thng c nghin cu trong mi quan h vi khng hong tin t, hay cn c gi l khng hong kp (twin crisis). Mt s nghin cu v m hnh ny c gi tr nh: Demirguc Kunt & Detragiache (1998) xy dng m hnh Logit a bin ca xc sut xy ra khng hong ngn hng, xc sut ny c m t bng vc-t ca bin gi i vi cc bin gii thch vi mu thng k bao gm cc quc gia c v cha c khng hong ngn hng. Kaminsky & Reinhart (1999) xy dng m hnh phi tham s cnh bo sm khng hong tin t v khng hong ngn hng da trn s pht tn hiu ca cc ch s c la chn vi cc mc ngng khc nhau d bo khng hong ngn hng. Cc mc ngng c phn chia thnh hai vng: vng bnh thng v vng nguy him cn c vo xc sut xy ra khng hong. i vi mi giai on nghin cu, nu nh kt qu quan st ca mt ch s vt qua mc ngng v ri vo vng nguy him th ch s s pht ra tn hiu cnh bo. Borio & Lowe (2002) pht trin da trn nghin cu ca Kaminsky & Reinhart (1999), h xy dng nhng ch s tng hp t phn tch thnh cc tn 14

hiu ca cuc khng hong ngn hng. Cc tc gi la chn cc ch s c cho l cha thng tin d on cuc khng hong ngn hng, sau tng hp cc bin to ra mt tn hiu tng hp. Tn hiu v khng hong ngn hng c bt nu tt cc bin thnh phn vt qua ngng ca mnh cng mt lc. 1.2.2. Quy trnh xy dng m hnh cnh bo sm khng hong h thng ngn hng 1.2.2.1. i. Xc nh cc giai on khng hong Theo phng php s kin Trong cc nghin cu v khng hong ngn hng, cc nh nghin cu thng s dng hai phng php xc nh thi im xy ra khng hong ngn hng. Phng php u tin da trn s kt hp cc s kin nhn nh v xc nh thi gian xy ra khng hong ngn hng. Nhng s kin ny thng bao gm: Bt buc phi ng ca, sp nhp, hoc s can thip ca chnh ph i vi hot ng ca cc t chc ti chnh; Rt tin t khi ngn hng; M rng cc chng trnh tr gip trn quy m ln ca chnh ph cho khu vc ngn hng. Phng php ny c s dng ph bin bi li th t s sn c v d tm kim ca cc d liu thng tin v cc thi im c s can thip ca chnh ph v nhng thay i v nhng thay i v lut l trong h thng ngn hng. ii. Theo phng php ch s Phng php th hai xc nh thi gian xy ra khng hong ngn hng, l s dng cc ch s s hc nh cc t l n xu (NPLs), chi ph hot ng cu tr ca ngn hng v s st gim vn ca ngn hng a ra nhng tn hiu d bo thi gian khng hong ngn hng bng n.

15

Trong cng trnh nghin cu ny, nhm tc gi xin a ra mt ch s mang tnh tng hp v c tnh nh lng cao, phn nh tt c cc ri ro m h thng ngn hng phi i mt, l ch s v ngnh ngn hng (Banking Sector Fragility BSF). a. Cc ri ro lin quan ti vic tnh ton ch s BSF S v ca h thng ngn hng xut pht t rt nhiu ri ro, nhng phn ln l: Ri ro tn dng Ri ro thanh khon Ri ro th trng, trong ri ro th trng bao gm ri ro li sut, ri ro t gi, ri ro gi vn ch s hu v ri ro gi hng ha. Trong nghin cu ca Aykut Kibritcioglu (2002), ch s BSF c xy dng da trn ri ro thanh khon, ri ro tn dng v ri ro t gi. Nhng ri ro ny c th hin trc tip qua nhng bin quan st c. Ri ro thanh khon c lng ha qua s thay i trong tng tin gi ngn hng (t bin rt tin gi v tin mt), ri ro tn dng c o lng bng s thay i trong tng tn dng ngn hng i vi khu vc ni a v ri ro t gi th hin qua s thay i ca n nc ngoi bng ngoi t ca ngn hng. Ri ro tn dng c xc nh l ri ro quan trng nht i vi h thng ngn hng. Loi ri ro ny th hin qua s gia tng ca nhng khon mt mt tim n i vi ngi cho vay t nhng khon n xu, khi ngi i vay khng c kh nng tr n. Trong giai on kinh t tng trng cao, s tng trng tn dng cao c th xut pht t s pht trin mnh m ca u t thc, xut khu v nhp khu, s tng trng ca lao ng v s tng lng10, nhng cc yu t ny khng i km vi s gia tng ca nhng khon n xu. V vy, t l nhng khon n xu i vi tng tn dng cho vay c xem nh ch s hiu qu o lng ri ro tn dng. Ngoi ra, s bng n ca th
10

Theo Festic v Romihi 2008

16

trng cho vay th chp M cng c th l cn c ng tin cy xy dng bin s trong cu trc ch s BSF. Ri ro thanh khon c o lng qua s thay i ca tng tn dng ngn hng. Ngoi ra, mt ch s ti chnh cng c tc ng n ri ro thanh khon: Tn dng ca ngn hng trung ng i vi cc nh ch ti chnh: S thay i ln trong tn dng ca ngn hng trung ng i vi ngn hng thng mi v cc nh ch ti chnh thng i km vi nhng vn thanh khon trong khu vc ti chnh. Lng tin gi trong lng cung tin: Nhng khon cho vay gim trong lng cung tin M2 ca h thng ngn hng c th xut pht t vn v tnh thanh khon trong khu vc ny (hoc s st gim nim tin t khu vc t nhn, khch hng chuyn sang nhng nh ch phi ngn hng vay tin). Cc ch s gia ti khon cho vay v ti khon tin gi: Ch s tn dng/ tin gi c th l du hiu cho thy kh nng huy ng tin gi p ng nhu cu tn dng ca khch hng (c quan st trong c giai on, tin gi lin ngn hng c loi tr). Cu trc k hn ca ti sn v n phi tr ca cc nh ch ti chnh: Vic quan st cu trc k hn trong danh mc ti sn cho vay v n phi tr c th nhn thy s khng tng ng gia k hn cho vay v k hn tr n, do cn thit phi quan tm hn n vn qun l thanh khon. Tnh thanh khon ca th trng th cp: Th trng vi cu trc v chiu su ca nhng ti sn d thanh khon, y l th trng m ngn hng rt a chung khi c nhu cu v tnh thanh khon, do th trng ny rt quan trng trong nh gi vic ngn hng x l th no i vi nhng c sc v thanh khon. Ngoi ra, ch s o lng s rt tin gi t ngt cng l mt yu t quan trng trong vic nh gi khng hong ngn hng.

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Ri ro v t gi c o lng bng s thay i trong ti khon n nc ngoi bng ngoi t ca ngn hng. iu ny l bnh thng khi ngn hng c n cao i vi ngoi t xut pht t vic vay trn th trng ti chnh quc t. Tnh hung ny c th dn ti s gim gi ca ng ni t, t s st gim gi tr ti sn rng ca ngn hng. b. Cu trc ca ch s BSF T nhng phn tch trn, ch s o lng s v ca khu vc ngn hng theo quan im ca Aykut Kibritcioglu c tnh ton da trn 3 yu t sau: S thay i trong tin gi ngn hng, l i din cho s thay i trong ri ro tnh thanh khon. S thay i trong tn dng i vi khu vc t nhn, l i din cho s thay i trong ri ro tn dng. S thay i trong n nc ngoi ca ngn hng, l i din cho s thay i trong ri ro t gi. Cng thc ch s v ngnh ngn hng nh sau: BSF-3t = Trong : CPSt = Trong : CPS: thay i tn dng khu vc t nhn ni a theo nm trong h thng ngn hng (%); FL: thay i n nc ngoi thc theo nm ca ngn hng (%); DEP: thay i tng tin gi thc theo nm ca ngn hng (%); : gi tr s hc trung bnh ca mi bin trn; 18 ; FLt = ; DEPt =

 : lch tiu chun ca mi bin trn. Mt ch s d bo thng c tnh xu hng hoc tnh thi v. m bo rng cc ch s d bo c s n nh v khng b nh hng, phng php ny iu chnh cc ch s bng vic tnh ton t l phn trm thay i s liu theo thng ph hp vi gi tr ca ch s vo cng thi im nm trc . T , gim c sai lch ca cc bin d bo nu nh ch xem xt s thay i theo thng mt cch n thun. Kt qu tnh ton ca ch s BSF c th c mt s sai s do nhng nguyn nhn sau:11 Phng php chn bin v cch tnh ton ch s BSF Trong nghin cu ca Aykut Kibritcioglu ch tnh n 3 ri ro m ngn hng thng gp phi nht. Tuy nhin, s v ca h thng ca h thng ngn hng c th xut pht t nhng nguyn nhn khc. Mt trong nhng yu t chnh l tnh trng hot ng ca h thng ngn hng, thng c th hin qua mc an ton vn ti thiu v li nhun hay thu nhp rng ca ngn hng. Thu nhp gim st v nhng vn ny sinh trong vic duy tr mc an ton vn c th l du hiu cho iu kin ti chnh d v ca ngn hng. Nhng du hiu ny phn nh ri ro li sut trong h thng ngn hng. Vic xc nh yu t xc nh ri ro tn dng: S tng trng tn dng khng phi lun ng ngha vi vic tng cc khon n xu. Xc sut sai s tim n: Cc ch s th hin phn trm thay i theo nm trong nhng bin quan st, nhng ch s BSF c tnh da trn s thay i theo thng ca s liu. Trong mt s trng hp, s thay i t ngt ca bt k bin no trong vng 1 thng s c nh hng n vic tnh ton 12 gi tr BSF khc (mi thng c tnh c trong 12 ln). c. Mt s ch v gi tr ca BSF
11

Theo quan im ca Bc. Svatopluk Svoboda, Diploma Thesis Financial Stability and Fragile Banking System, 2009

19

Gi tr BSF cng cao th hin rng hot ng ca ngn hng cha ng cng nhiu 3 ri ro c lng ha trn. Nu cc ngn hng cung cp qu nhiu khon cho vay, xc sut cc khon cho vay khng hiu qu tch ly cng cao, ngn hng s phi i mt vi ri ro tn dng. N nc ngoi tng trong bng cn i k ton khin ngn hng d b tn thng hn khi t gi hi oi thay i, do , ri ro v t gi cng tng ln. Tng tin gi ngn hng cng cao, ngn hng phi i mt vi ri ro tnh thanh khon cng cao. Bi v, bt k khon rt tin mt ln t pha ngi gi tin s khin ngn hng kh khn trong gii quyt. Tm li, ch s BSF c gi tr cao mc d khng phi l du hiu ca tnh v, nhng n th hin rng hot ng ngn hng ang gp rt nhiu ri ro, v vy ch s ny c th l s cnh bo v v trong tng lai. Gi tr BSF cng gim th hin s v trong khu vc ngn hng. i vi ri ro tn dng, tng trng tn dng thp c th l du hiu ngn hng ang phi i din vi nguy c nhng khon n xu cao, iu ny khin ngn hng phi thn trng hn trong vic cp nhng hp ng tn dng mi. Tng tin gi ngn hng gim l du hiu ca s gim tnh thanh khon trong khu vc ngn hng. S tng trng thp trong n nc ngoi (k c s tng trng tiu cc) cng l du hiu ca ri ro t gi ang c c th ha. iu ny c th l hu qu t s tt gi ca ng ni t (khng hong tin t) hay s st gim k vng tng lai ca ng ni t. d. M hnh gi nh khng hong ngn hng vi khong gi tr ca ch s BSF T nhng thay i ca ch s BSF trong giai on nghin cu, mt cch l thuyt, tc gi c th xc nh c giai on xy ra khng hong ngn hng, hay t nht c th xc nh giai on s v ca khu vc ngn hng l cao hay thp. Nghin cu ca Aykut Kibritcioglu a ra cc mc ngng nh gi mc v ca ngnh ngn hng nh sau: 0 > BSF-3 > - 0, 5: H thng ngn hng trong giai on v mc trung bnh.

20

 BSF-3 -0, 5: H thng ngn hng trong giai on v mc cao. ng thi, tc gi phn chia s bin i ca ch s BSF thnh 5 giai on: Hnh 1: Cc giai on ca ch s v ngnh ngn hng

Giai on 1: Ch s BSF tng ln hn 0 mt cch ng k. Ch s BSF tng l du hiu cho thy s v ca khu vc ngn hng thp. ng thi, du hiu ny cng nhn mnh rng h thng ngn hng ang trong giai on phi chu ri ro qu mc. c th l du hiu tn ti ca nn kinh t bong bng v tng trng qu nng. Giai on 2: Ch s BSF bt u st gim. y c th l s khi u ca giai on khng hong, c th khng hong ngn hng s cn gia tng hn na. Mc v ca h thng ngn hng cng tng dn theo. Giai on 3: Ch s BSF bt u gim xung di gi tr 0, nhng vn cao hn gi tr th hin s v ca khu vc ngn hng12. Trong sut giai on ny, h thng ngn hng tin gn hn ti mc m xy ra khng hong thc s. S v ca khu vc ngn hng gia tng ng k. Giai on 4: Ch s BSF i qua mc gi tr xy ra khng hong ngn hng. S
12

Trong nghin cu ca tc gi l 0,5.

21

 v ca khu vc ngn hng tip tc gia tng. Phn ln, khng hong ngn hng din ra trm trng nht trong giai on ny. Giai on 5: Ch s BSF bt u tng tr li v gi tr 0. Di gc ca s v trong khu vc ngn hng, y l giai on phc hi. Mc v bt u gim. Cc ngn hng dn dn qun tr c ri ro tr li. Khi gi tr BSF chm ti 0 hoc rt gn vi gi tr 0, c th ni rng, khng hong ngn hng i qua. kim nghim kin cho rng, hin tng t bin rt tin gi khng gi vai tr quan trng trng khng hong ngn hng hin i, Aykut Kibritcioglu xy dng mt ch s v ngn hng thay th BSF-2, c tnh ton nh sau: BSF-2t = Ch s BSF-2 da trn vic tnh ton BFS-3 khi loi b s thay i thc ca trong tng tin gi ngn hng i vi s v ti chnh ca ngn hng. S chnh lch gia BSF-2 v BSF-3 s l gii tm quan trng ca vic rt tin t ngt i vi khng hong ngn hng. 1.2.2.2. La chn cc ch s cnh bo

Kaminsky, Lizondo v Reinhard (1998) thc hin mt cuc iu tra ton din v rt nhiu dng khc nhau ca cc ch s d bo c s dng trong 15 nghin cu thc nghim v khng hong tin t (Bng 1). Mc d nguyn nhn ca khng hong ngn hng thng phc tp hn so vi nguyn nhn ca khng hong tin t, trong cc nghin cu thc nghim trc cho thy cc ch s c dng gii thch hoc d bo khng hong ngn hng khng qu khc so vi cc ch s c dng cho khng hong tin t.13

13

ADB, 2005. Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng .

22

Bng 1: Ch s d bo khng hong ti chnh v nhng l do kinh t la chn

Ch s d bo Ti khon vng lai Xut, nhp khu T gi thc p dng T gi thc so vi ng USD Cn cn thng mi/GDP L do la chn Xut khu km, nhp khu tng qu mc, ng ni t nh gi cao so vi thc t c th lm cho ti khon vng lai suy yu v gn vi khng hong tin t ti nhiu nc. Nhng yu km trong quan h kinh t i ngoi v ng ni t tng gi cao hn thc t cng lm tng kh nng bt n ca khu vc ngn hng v vic mt kh nng cnh tranh th trng quc t c th dn n s suy thoi, v kinh doanh v gim cht lng cho vay. Khng hong ngn hng c th dn n khng hong tin t. Vi s gia tng ton cu ha v hi nhp ti chnh, ti khon vn c vn c th lm cho mt quc gia tr nn d b tn thng i vi cc c sc. Ti khon vn c vn c th bao gm s gim st d tr ngoi t, n nc ngoi ngn hn qu nhiu, mt cn i v k hn tin t v hin tng vn t rt ra khi t nc. Cc cuc khng hong ngn hng v tin t c s lin kt vi s tng trng tn dng qu nhanh do cung tin t tng qu mc nhiu nc. Trong khi tin gi ngn hng gim, li sut thc trong nc cao, bin gia li sut tin gi v cho vay ln. Nhng biu hin ny thng phn nh tnh trng nguy him v nhng tn ti trong khu vc ngn hng.

Ti khon vn Ti sn n ngoi t/ti sn c ngoi t ca khu vc ngn hng D tr ngoi t M2/d tr ngoi t Cc lung vn ngn hn/GDP N nc ngoi ngn hn/d tr ngoi t Khu vc ti chnh Tin gi/M2 Tn dng ni a/GDP Bin gia li sut cho vay v tin gi Cho vay/tin gi M1/GDP H s cung tin t M2 Tin gi NHTM thc Li sut thc ni a Khu vc sn xut Ch s CPI Ch s sn xut cng nghip Ch s gi chng khon Khu vc ti chnh cng Tn dng ngn hng trung ng cho khu vc cng/GDP Cn i ngn sch/GDP Tiu dng ca chnh ph/GDP Tn dng rng cho khu vc cng/GDP Kinh t ton cu Gi du th gii T gi thc ca ng la/Yn Nht Li sut thc M T l tng trng kinh t ca M

S suy thoi v gi c ti sn tng php phng bong bng thng bo trc khng hong ngn hng v khng hong tin t Thm ht ngn sch ln c th lm ti t cn cn ti khon vng lai, cui cng c th gy sc p i vi t gi

S suy thoi kinh t bn ngoi c th nh hng v ko theo suy thoi cc nn kinh t ni a. Gi du th gii mc cao to ra mi nguy him i vi ti khon vng lai v cng c th dn n suy thoi trong nc. Li sut cao trn th trng th gii thng thc y lung vn ra. i vi nhiu nc ng , s mt gi ca ng Yn so vi ng la M c th gy sc p cho cc ng tin bn t khc.

Ngun: ADB 2005, Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng

23

Hu ht cc ch s c ly theo thng, nhng c mt s ch s c c theo qu v nm. Vi nhng ch s ny, s liu theo thng c ni suy t cc s liu theo qu hoc theo nm. 1.2.2.3. c lng xc sut khng hong

Sau khi xc nh c thi gian xy ra tnh hung khng hong ngn hng v la chn cc ch s cnh bo, giai on tip theo ca m hnh l a ra nhng d on v xc sut khng hong i vi tng quc gia trong tng thi k. i. Theo phng php tham s Nghin cu ca Kamisky v Reinahart (1999) a ra cch tip cn vn ny theo tn hiu, hay chnh l phng php phi tham s. Gi thit c bn ca cch tip cn tn hiu l nn kinh t phn ng khc nhau v s kin khng hong ti chnh ni chung v khng hong ngn hng ni ring. Mt tn hiu cnh bo pht ra khi gi tr ca cc ch s vt ra khi nhng din bin bnh thng ca n. Mt ch s a ra mt tn hiu v c gi l tn hiu tt nu khng hong xy ra sau trong mt khong thi gian hp l. Nu sau mt tn hiu m khng c khng hong trong mt thi gian nht nh, n c gi l tn hiu sai, hoc nhiu. Cc ch s tt (xu) l nhng ch s c t l thp (cao) ca h s nhiu tn hiu. Cch tip cn theo tn hiu tm kim mt ngng ti u cho mi ch s ti a ha kh nng d bo ca ch s . Vi cch tip cn theo tn hiu, xc sut ca mt cuc khng hong c xc nh bng bnh qun gia quyn ca cc ch s vt qu mc ngng ti u, trong khi t trng l kh nng d bo trong qu kh ca cc ch s. Cc giai on ca kh nng xy ra khng hong cao l nhng giai on m nhiu ch s vt qua mc ngng ti u. V d, nu 12 trong s 25 ch s pht tn hiu ti mt nc A, tc l cc ch s ny vt n mc ngng, ngc li 18 ch s pht tn hiu cho nc B, chng ta c th kt lun rng nc B c nhiu kh nng xy ra khng hong hn nc A (gi thit rng cc ch s pht tn hiu i vi nc B c mc tin cy nh nc A). Tng t, nu c nhiu ch s pht tn hiu trong thi gian cui nm 24

1995 so vi cui nm 1993 nc A th chng ta kt lun rng nm 1995 l thi gian c kh nng xy ra khng hong cao hn. ii. Theo phng php phi tham s Phng php ny s dng cc m hnh hi quy vi bin ph thuc l ri rc Probit hoc Logit. M hnh Probit c xut bi Goldberger (1964) vi gi thit rng: Y s nhn gi tr 1 hoc 0 ty thuc vo tha dng I c xc nh bi cc bin c lp. tha dng cng ln th xc sut Y=1 cng ln: I = 1 + 2X2i (1)

Gi s rng tn ti mt mc gii hn I* : Y=1 nu I > I* v Y=0 nu I < I* I* khng quan st c, ta gi thit rng I* = I + u hay: Ii* = 1 + 2X2i + ui Gi s rng u c phn b N(0,1). Khi ta c th c lng c Pi = P(Y=1 | X2i) = P(Ii* < Ii ) = F(Ii) Trong , F l hm phn b xc sut tch ly ca u. V ui phn b chun ha nn: (1):

F(Ii = 1 + 2X2i) =
M hnh b sung cho probit l m hnh logit, m hnh ny gi nh F(xit ) l hm phn phi dng log c xc sut ly k, k hiu l (xit), theo :

(xt) =

Trong ton b cc ni dung nghin cu tip theo, ti s ch s dng m hnh Probit trong vic thc hin c lng xc sut khng hong bng phng php tham s. 25

1.2.3. M hnh cnh bo sm khng hong h thng ngn hng ti u i vi phng php xc nh thi gian xy ra khng hong, phng php da trn s kin rt d dng tm kim thng tin v s can thip ca chnh ph v nhng thay i trong quy nh ca cc ngn hng, nhng nh Kibritcioglu (2002)14 ch ra, phng php ny c nhng hn ch sau: Xc nh thi im xy ra khng hong l c th i vi cc s liu theo tn sut nm nhng li kh khn i vi s liu thng; Thi gian can thip ca chnh ph thng c dng xc nh thi gian khng hong, c th khng thc s phn nh ng thc t; Khng phi lun lun d phn quyt rng mt cuc khng hong l c tnh h thng hay khng, c bit nu ngi ta ch dng thng tin v s can thip ca chnh ph; Nhn chung, vic s dng cc nm khng hong b hn ch i vi nhng m hnh b gii hn bin ph thuc (logit, probit). Do , m hnh thng c s dng cho c cu a quc gia tng s lng khng hong c xem xt; i vi nhng nh nghin cu c nhn, khng d dng tm kim thng tin v nhng kh khn ca khu vc ngn hng trn th gii. Ngc li, phng php da trn ch s cung cp mt cng c kim sot v gii thch s pht trin lnh vc ngn hng theo s liu thng. Da trn cc mc ca cc ch s, ngi ta c th xc nh cc tiu ch phn bit s khc nhau gia cc cuc khng hong c tnh h thng v khng c tnh h thng. Ngoi ra, ch s BSF theo thng cn c th d dng s dng a ra cnh bo khng hong i vi tng quc gia ring l. Cc hn ch ca phng php ny ch yu lin quan n vn s liu. Cc s liu tin cy ca khu vc ngn hng khng phi lc no cng sn c. S liu c c c
14

Aykut Kibritcioglu, 2002. Excessive Risk- Taking, Banking Sector Fragility, and Banking Crises, <http://www.business.uiuc.edu/Working_Papers/papers/020114.pdf>, xem ngy 10/02/2012.

26

th th li b sai lch do cc vn v bo co hay do nhng quy nh c th ca mi quc gia. V nhng u th ni tri ca phng php ch s so vi phng php s kin, phng php ch s thng qua vic xy dng ch s BSF nh lng tnh v ca h thng ngn hng c la chn xc nh cc giai on khng hong. i vi vic c lng xc sut xy ra khng hong ngn hng, phng php phi tham s a ra cnh bo khng hong da trn vic pht tn hiu cnh bo ca cc ch s vt qua mc ngng quy nh. T , m hnh cho php kt lun nhng ch s tt nht cnh bo khng hong i vi tng quc gia trong tng giai on. Tuy vy, hn ch ca cch tip cn ny l vic m phng th s nh hng ca cc ch s i vi xc sut xy ra khng hong. Ni cch khc, cch tip cn tn hiu khng th a ra chnh xc xc sut xy ra khng hong ngn hng. Hn ch ny ca phng php phi tham s chnh l u th ni bt ca phng php tham s. Cch tip cn hi quy, m trong nghin cu ny l m hnh Probit, c th tnh ton chnh xc xc sut v thi gian xy ra khng hong ngn hng. Ngoi ra, trong kt qu thc nghim nghin cu ca Goldstein, Kamisky v Reinhart (2000), phng php tip cn theo tn hiu khng hot ng tt i vi cnh bo khng hong ngn hng. Trong s 5 nc c xc nh l c kh nng bt n nht, ch c 2 nc c khng hong trong giai on ngoi mu nghin cu. V trong 5 nc c xc nh l c kh nng bt n thp nht th khng c nc no thc s c khng hong. Thm vo , nghin cu ca Juzhong Zhuang15 v khng hong ti chnh chu ti 6 quc gia ng cng a ra kt lun rng, m hnh phi tham s a ra cnh bo v khng hong tin t tt hn khng hong ngn hng. Chnh v vy, phng php tham s, m c th l m hnh Probit, c la chn c lng xc sut xy ra khng hong h thng NHTM.

15

ADB, 2005 Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng .

27

T nhng phn tch phn tch trn, kt hp vi nhng nghin cu thc nghim ng tin cy trn th gii, m hnh cnh bo sm khng hong ngn hng ti u c a ra l m hnh da trn phng php s dng ch s BSF xc nh thi gian xy ra khng hong kt hp vi c lng xc sut xy ra khng hong bng phng php tham s, sau y gi l m hnh BSF tham s xy dng m hnh cnh bo sm khng hong ngn hng cho n , M v Vit Nam nhng chng tip theo.

28

CHNG II. KINH NGHIM XY DNG M HNH CNH BO SM KHNG HONG H THNG NGN HNG THNG MI TI MT S QUC GIA TRN TH GII V BI HC CHO VIT NAM

2.1.

Xy dng m hnh cnh bo sm khng hong h thng ngn hng ti n giai on 2000-2009

2.1.1. Nhng kh khn trong h thng ngn hng n giai on 2000-2009 K t sau cuc khng hong cn cn thanh ton u nhng nm 1990, kinh t n tin hnh hng lot nhng ci cch v thng mi, cng nghip v u t. Nhng thay i ny phn no lm t do ha nn kinh t mt cch hiu qu, kt thc thi k ng ca vi th trng hng ha v ti chnh quc t ca n . T , nn kinh t ca quc gia ny cng tr nn hi nhp hn vi nn kinh t th gii. S thay i ng k trong vic ci cch nn kinh t ca n c th hin r rng thng qua ti khon vn ca quc gia ny. Dng vn u t nc ngoi ca n tng t 2 t USD vo nm ti kha 2001-2002 ln 29 t USD vo nm 2007-2008. Ngun vn u t trc tip nc ngoi (FDI) cng tng t 6.1 t USD vo nm 2001-2002 ln 34.3 t vo nm 2007-2008. Lun c nh gi l nn kinh t c s tng trng u n trong nhiu nm qua, n l mt trong s nhng trng hp him hoi t b chu tc ng t cuc khng hong ti chnh ton cu nm 2008 bt ngun t Hoa K. Khu vc ti chnh ca n , c bit l ngnh ngn hng c nh gi l khng chu nhiu nh hng trc tip t cuc khng hong trn. Tuy nhin, vi s lin kt cng ngy cng cht ch vi nn kinh t th gii, n chc chn b tc ng t nhiu bi nhng tc ng thay i bn ngoi. H thng ngn hng ti n cng chu nh hng mt cch gin tip t nhng bt n trong tnh hnh kinh t - ti chnh trn th gii. Th nht, s sp ca tp on Lehman Brothers ti Hoa K gy ra nhng tc ng tiu cc v tnh thanh khon trn th trng th gii, ng thi cng khin cho 29

cc ngn hng v doanh nghip ti n chuyn cu tn dng t cc ngun vn nc ngoi sang khu vc ngn hng ni a. S chuyn dch ny to ra nhiu p lc i vi tnh thanh khon ti th trng ni a v dn n li sut cho vay ngn hn tng t bin. Li sut money-call16 cng tng ln gn 20% trong thng 10 nm 2008 v duy tr mc cao trong khong thi gian mt thng sau 17. Th hai, tn dng ngn hng dnh cho khu vc phi thc phm c nhng bin ng khng n nh. Sau t tng trng u nm 2008 n thng 5/2008, tn dng cho khu vc phi thc phm t ngt gim t thng 11/2008, dn n tng trng tn dng theo thng c du hiu gn vi mc 0 vo u nm 2009 (Biu 1). Vic ngun cu v tn dng gim khin cho li nhun cn bin theo thng ca ngnh ngn hng n cng lin tc gim t thng 11/2008 n thng 3/2009.18 Biu 1: Thay i tn dng cha thanh ton cho khu vc phi thc phm theo thng ca cc Ngn hng Thng mi n (Tnh theo ng Rs.Crore)
150000

100000

50000

0 Jan -50000 2007 2008 2009 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Ngun: Ngn hng Trung ng n v tnh ton ca nhm nghin cu

16

L li sut cho vay ngn hn gia ngn hng v nhng ngi mi gii nhng ngi ngc li s cho cc nh u t vay chi tr cc ti khon k qu. 17 Ngn hng Trung ng n , RBI Bulletin, <http://www.rbi.org.in/scripts/BS_ViewBulletin.aspx?Id=13072>, xem ngy 28/03/2012. 18 Theo Trung tm nghin cu kinh t n - CMIE

30

Th ba, ngun vn u t gin tip (FII) ca n c s o chiu k t u nm 2008 (Biu 2). Nu nh trong nm 2007, ngun vn u t gin tip vo n t 20.3 t USD th sang nm 2008, tng vn u t gin tip rng gim xung mc 15 t USD. iu ny c gii thch l do nhiu nh u t nc ngoi mun rt vn v nc ci thin tnh hnh thanh khon ti cc cng ty chnh quc. S chy vn mnh ny ca FII gy ra mt c sc ln trn th trng chng khon n . Biu 2: Vn u t gin tip rng theo thng ca n (Rs. Crore)
25000 20000 15000 10000 5000 0 -5000 -10000 -15000 -20000 FII

Ngun: y ban Chng khon v Ngoi hi n (SEBI)19 2.1.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti n giai on 2000-2009 nghin cu vic xy dng m hnh BSF tham s cnh bo khng hong h thng ngn hng ti n , ti s dng nghin cu M hnh Ordered Probit ca h thng cnh bo sm d on khng hong ti chnh ti n ca tc gi Thangjam Rejeshwar thuc Ngn hng Trung ng n nh ngun tham kho chnh thc.

19

Website: <http://www.sebi.gov.in/Index.jsp?contentDisp=FIITrends>, xem ngy 29/03/2012

31

2.1.2.1.

Xc nh cc giai on xy ra khng hong ngn hng ti n bng phng php ch s

Trong nghin cu ca mnh, Thangjam p dng phng php xy dng ch s v ngnh ngn hng nh c trnh by trong nghin cu ca Kibritciouglu (2002), tuy nhin c mt s iu chnh nht nh. Tc gi nhn nh cc NHTM ca n phi i mt vi 3 loi ri ro ln nht bao gm ri ro thanh khon, ri ro tn dng v ri ro t gi. T , ch s BSF theo thng cho ngnh ngn hng n c xy dng vi cc bin s l tng tin gi; tn dng cho cc ngnh phi thc phm20; u t vo cc chng khon khng c t l thanh khon bt buc (non-SLR) v cc chng khon khc c nim yt21; ti sn v n bng ngoi t; v d tr ngoi hi rng ca cc NHTM ti n . 02 cng thc cho ch s BSF c xy dng nh sau:

Trong : Dept: Thay i tng tin gi theo nm ti thng t (%); Credt: Thay i tn dng cho cc ngnh phi thc phm theo nm ti thng t (%); Invt: Thay i u t vo cc chng khon khc c nim yt v chng khon khng yu cu t l thanh khon bt buc (non-SLR) theo nm ti thng t (%); FCAt: Thay i ti sn bng ngoi t theo nm ti thng t (%);
20

Tn dng ca cc NHTM n cho cc ngnh phi thc phm lun chim hn 90% trong tng tn dng ngn hng 21 y l mt khon mc u t trong mc ti sn ca cc NHTM n

32

 FCLt: Thay i n bng ngoi t theo nm ti thng t (%); Resvt: Thay i d tr ngoi hi rng theo nm ti thng t (%); : Trung bnh trng s thay i tng bin theo nm ti tng thng (%); : lch chun thay i tng bin theo nm ti tng thng (%). Tt c d liu v 6 bin s trn c iu chnh lm pht theo ch s WPI tng ng (nm gc 1993-94). Phn trm thay i theo nm (tc l so vi cng thng ca nm trc) c p dng vi mc ch loi b bt k s bin i mang tnh thi v v cng nhm nhn mnh rng nhng kh khn trong h thng ngn hng s c ra tn hiu bi nhng thay i trong di hn, khng phi bin ng thay ngn hn. Ch s BSF-2 c xy dng xem xt n vic liu s rt vn t trong h thng ngn hng ni a ti n c ng bt k mt vai tr quan trng no trong sut giai on yu km ca h thng ngn hng ti quc gia ny hay khng. Vic xc nh giai on xy ra khng hong c da vo mt mc ngng nht nh. Theo : BSF > 0: Giai on khng c khng hong; BSF < 0: Giai on xy ra v. Da vo mc ngng , cc giai on xy ra v mc trung bnh v cao c xc nh nh sau: v mc trung bnh (MF): - BSF 0 v mc cao (HF): BSF Trong : l lch chun ca cc ch s BSF Tc gi xc nh mt cuc khng hong h thng ngn hng xy ra khi n cha nhiu pha xen k nhau phn nh v mc trung bnh v cao. Nhng pha MF v HF tch bit nhau s khng c xem xt nh l khng hong h thng ngn hng. H thng ngn hng c xem xt l hon ton phc hi t khng hong khi gi tr ca ch s BSF quay v mc 0. 33

Hnh 2: Ch s v ngnh ngn hng (BSF) cho n (3/2000-11/2009)

Ngun: Thangjam Rajeshwar Singh, Ordered Probit model of Early Warning System for Preding Financial Crisis in India, trang 11. Hnh 2 biu din cc ch s BSF cho ngnh ngn hng n trong giai on t thng 3 nm 2000 n thng 11 nm 2009. Giai on xy ra v mc cao c biu din bng nhng khu vc mu ghi. T biu ta c th thy hai ch s BSF-1 v BSF-2 c s bin ng cng chiu v rt tng ng. T , tc gi phn no kt lun rng s rt vn t khi h thng ngn hng khng tc ng qu nhiu n vic gy ra cng thng trong h thng ngn hng ti n . iu ny c th c gii thch l nh vo c ch bo him tin gi ca n . Gi tr mc ngng c xc nh cho ch s BSF-1 l BSF-2 ln lt l 0,43 v 0,39. Ch s BSF c xy dng ch ra rng ngnh ngn hng n tri qua 19 giai on (pha) v mc trung bnh v 8 giai on v mc cao trong sut khong thi gian nghin cu. Tt c cc giai on trn c th hin ti Bng 2. Da vo thi gian xy ra cc giai on v, tc gi xc nh c khng hong h thng ti n trong cc khong thi gian sau:

34

 Thng 3/2000 Thng 10/2000 Thng 12/2001 Thng 6/2001 Thng 8/2002 Thng 9/2004 Thng 6/2008 Thng 11/2008 Bng 2: Cc giai on v theo mc ca ngnh ngn hng n BSF-1 Mc trung bnh --------12/2001 4/2002 06/2002 09/2002 04/2003 03/2004 04/2004 10/2004 12/2004 03/2005 05/2005 01/2006 02/2006 10/2006 ----------------03/2008 06/2008 11/2008 ----------------11/2009 BSF-2 Mc trung bnh Mc cao --------03/2000 07/2000 08/2000 09/2000 10/2000 --------12/2001 01/2002 02/2002 03/2002- 04/2002 --------06/2002 --------08/2002 04/2003 05/2003 06/2003 07/2003 02/2004 03/2004 04/2004 05/2004 07/2004 08/2004 09/2004 ----------------01/2006 02/2006 --------10/2006 --------12/2006 --------04/2007 --------03/2008 --------06/2008 07/2008 10/2008 11/2008 --------01/2009 --------09/2009 --------11/2009 ---------

Mc cao

3/2000 10/2000 ----------------05/2003 02/2004 05/2004 09/2004 --------------------------------------------------------07/2008 10/2008 ---------------------------------

Ngun: Thangjam Rajeshwar Singh, Ordered Probit model of Early Warning System for Preding Financial Crisis in India, trang 12. Nh vy, t kt qu trn c th thy rng trong sut giai on gia nm 2008 cho n cui nm 2009, trong khi h thng ngn hng ti nhiu quc gia b tc ng nng n bi cuc khng hong ti chnh ton cu th ngnh ngn hng ca n dng nh li t b chu nh hng. Ch s BSF ca n trong hai nm 2008, 2009 35

ch tri qua giai on khng hong mang tnh h thng t thng 6 n thng 11 nm 2008; cn sang nm 2009, h thng ngn hng ca quc gia ny khng chng kin bt k mt s bt n no (ngoi tr thng 11). S min dch ca h thng NHTM n trong giai on kh khn chung ca th trng ti chnh th gii c gii thch ch yu qua kh nng iu hnh linh hot v a dng ca NHTW n (RBI). Trong giai on ny, mc d phi i mt vi nhiu thc thch t vic kim ch lm pht t na cui nm 2008 n kim ch gim tng trng cng nh duy tr tnh n nh ca h thng ngn hng v nh ch ti chnh, nhng RBI vn a ra c nhng chnh sch kt hp pht huy tc dng tt trong vic m bo tnh thanh khon ca c ng Rupee v ng -la, duy tr mt th trng hp dn i vi cc nh u t thng qua vic p dng chnh sch h li sut, gim mc yu cu d tr v cc chnh sch trn th trng ngoi hi. 2.1.2.2. La chn cc ch s cnh bo cho khng hong ngn hng ti n

Trc khi tin hnh xy dng m hnh cnh bo sm khng hong h thng ngn hng ti n , tc gi la chn cc bin gii thch ph hp a vo m hnh. Tc gi Thangjam phn tch trn c s tnh cht ca h thng NHTM n ni ring v nn kinh t n giai on 2000 2009 ni ring, cng vi nhng kt qu nghin cu thc nghim v h thng cnh bo sm khng hong ti chnh trc a ra cc bin gii thch cho m hnh ca mnh gm: D tr ngoi hi; t l ti sn ngoi t/n ngoi t; xut khu; nhp khu; t l cung tin M3/d tr ngoi hi; h s nhn cung tin M3; sn lng u ra ca nn kinh t; li sut call money; li sut thc T-bill 91 ngy; ch s gi chng khon v lm pht.

36

2.1.2.3.

c lng xc sut xy ra khng hong ngn hng ti n bng phng php tham s

Da trn ch s BFS xc nh cc giai on khng hong ngn hng ca n , tc gi Thangjam s dng m hnh Ordered Probit22 d on nhng giai on khng hong khc nhau ca nc ny. Theo , bin ph thuc c phn loi thnh cc gi tr 0, 1 v 2 tng ng vi tnh trng khng hong: khng c khng hong, v mc trung bnh v tnh v cao.

y= Trong , l cc mc ngng ca gi tr.

Phng trnh Ordered Probit xut pht t cng thc sau: y = x + , trong xc sut c phn loi nh sau: Pr (y=0|x, ) = F ( Pr (y=1|x, ) = F ( x) x) - F ( x) x)

Pr (y=2|x, ) = 1 - F (

Vi Y l bin gi d bo khng hong; X l mt b cc bin gii thch; l mt vec-t ca tham s t do c c tnh; F l cu trc phn phi tch ly thng thng m bo rng kt qu ca m hnh c d on lun nm trong khong 0 v 1. M hnh s dng ch s Pseudo R2 kim nh mc ngha thng k. 23 Kt qu ca m hnh

22

L mt dng ca m hnh Probit, theo y s khng ch nhn 2 gi tr 0,1 m c th nhn nhiu gi tr khc nhau. 23 Xem thm: Thangjam Rajeshwar Singh, 2009. Ordered Probit model of Early Warning System for Predicting Financial Crisis in India, < http://www.bis.org/ifc/events/5ifcconf/singh.pdf>, xem ngy 20/02/2012.

37

Bng 3: Kt qu m hnh Ordered Probit vi cc ch s chnh24 Bin Forex Reserves Forex Reserves (-5) FCA/FCL ratio (-6) Export(-2) Export(-4) Import(-4) M3/Forex Reserve ratio M3-Multiplier M3-Multiplier(-1) Credit/Deposit ratio Credit/Deposit ratio(-2) Output(-2) Call Money rate Call Money rate (-1) Real yield 91TB(-1) Stock Price Index Stock Price Index(-1) Inflation Inflation(-5) H s -2.22 3.47 57.31 -0.47 -0.27 0.15 -32.00 62.83 15.36 -1404.54 711.55 -4.10 10.23 2.58 14.73 0.38 0.20 11.91 -5,51 Sai s chun 0.98 1.55 25.78 0.22 0.11 0.07 14.34 29.09 7.26 617.70 312.14 1.71 4.58 1.31 6.71 0.17 0.09 5.35 2.38 Z-statistic -2.26 2.24 2.2.2 -2.08 -2.39 2.30 -2.23 2.16 2.12 -2.27 2.28 -2.40 2.23 1.97 2.20 2.16 2.22 2.23 -2.31 Prob. 0.0237 0.0249 0.0262 0.0373 0.0170 0.0213 0.0256 0.0307 0.0344 0.0230 0.0226 0.0164 0.0255 0.0484 0.0280 0.0306 0.0263 0.0260 0.0207

Limit Points LIMIT-1 (1) LIMIT-2 (2) Pseudo R-square Akaike info. Criterion LR statistic Prob(LR statistic) -139.73 -104.73 0.87 0.64 190.25 0.0000

Ngun: Thangjam Rajeshwar Singh, Ordered Probit model of Early Warning System for Preding Financial Crisis in India, trang 18. Nh vy t bng trn ta thy tt c cc bin u c ngha thng k ti mc 5%. M hnh cng cho thy s tng ln ca t s ti sn ngoi t/n ngoi t (FCA/FCL ratio), nhp khu, h s nhn cung tin M3, li sut Call Money, li sut
24

Cng vi cc bin iu chnh tr ca n

38

thc (T-bill 91 ngy), ch s gi chng khon v lm pht s c th dn n tng nguy c v trong ngnh ngn hng, trong khi gim t l cung tin M3/d tr ngoi hi, sn lng u ra, xut nhp, d tr ngoi hi v tn dng/tng tin gi ni a cng s lm tng kh nng v cao trong ngnh ngn hng n . Mt im quan trng ca m hnh l n c th d on cuc khng hong ti chnh ton cu gn y mt cch chnh xc trc 6 thng. Thm vo , trong sut giai on c v mc cao v trung bnh, xc sut c khng hong c d on trong m hnh rt thp v ngc li. Tm li, c th thy vic xy dng m hnh cnh bo sm ti n c mt s ch sau: Cch xy dng ch s v ngnh ngn hng n ca Thangjam c 1 s

thay i so vi trong nghin cu ban u ca Kibritciouglu (2002). Cng thc tnh ch s BSF c a thm 3 bin mi l: Ti sn c bng ngoi t; u t v d ng ngoi t. Vic a thm 3 bin mi ny phn nh r hn v nhng ri ro m h thng ngn hng n gp phi. c bit ri ro t gi khng ch c phn nh qua mi bin N ngoi t m khi ri ro t gi xy ra, hai bin khc l Ti sn c ngoi t v D tr ngoi t cng s bin ng mnh. Thm vo , mc ngng khng hong khng cn l 0.5, m thay vo l gi tr lch chun ca tt c cc BSF theo thng. Thc t n , c hai mc ngng ca BSF-1 v BSF-2 u nh hn 0.5. iu ny cho thy mc bin ng trong tnh v ca h thng NHTM n thp hn so vi mc 0.5 c a ra trong nghin cu ban u. Tc gi Thangjam s dng m hnh Ordered Probit vi 12 bin gii thch c la chn, m hnh d bo c chnh xc 87% cc giai on khng hong trong h thng NHTM vi ca s ngng l 6 thng.

39

2.2.

Xy dng m hnh bo sm khng hong h thng ngn hng thng mi ti M giai on 2000 2011

2.2.1. Nhng nguyn nhn v din bin chnh ca cuc khng hong ti chnh ti M giai on 2008-2011 Cuc khng hong ti chnh Hoa K trong giai on 2007 -2009 bt u t th trng cho vay th chp. Cc du hiu cho nhng vn xut hin t u nm 2007, khi Federal Home Loan Mortgage Corporation thng bo rng cng ty ny s khng mua cc khon th chp ri ro cao na. ng thi, New Century Financial Corporation mt nh cho vay th chp hng u i vi cc khch hng mo him ri vo khng hong. Vic gi nh bt u gim v s lng cc v tch thu ti sn tng mnh l nguyn nhn dn n vic cc hng xp hng tn dng ng lot h thp mc xp hng ri ro i vi nhng cng c ti chnh c ti sn m bo vo gia nm 2007 bo hiu mt s chuyn bin ngay lp tc v khc lit ca th trng ti chnh ni chung v khu vc ngn hng ni ring. Ngy 11/07/2008, IndyMac nh cho vay th chp ln nht ca M sp v ti sn ca hng thuc quyn s hu ca Chnh ph lin bang M. y l mt trong nhng v ng ca ngn hng ln nht trong lch s nc M sau khi nhng ngi gi tin rt ra hn 1,3 t USD trong vng ch 11 ngy. Ngy 15/09/2008, ngn hng u t Lehman Brothers chnh thc ph sn. Cng ngy, Bank of America mua li ngn hng u t Merrill Lynch mc 50 t USD. Ngy 16/09/2008, FED cho php The Federal Reserve Bank of New York bm 85 triu USD vo AIG (American International Group) khi tp on bo him ln nht th gii ny mt kh nng thanh khon do nhng thua l nghim trng lin quan ti n cm c.

40

Ngy 25/09/2008, Washington Mutual Inc. (WaMu), mt trong nhng ngn hng cho vay v tit kim ln nht M sp cng do nh cc rt ln vo th trng cho vay th chp. FDIC ot quyn kim sot WaMu. Ngy 12/10/2008, Wachovia tp on ngn hng ln th t ti M - b mua li bi Wells Fargo. Ngy 30/12/2008, B thng mi M bo co GDP gim t 0,3% t thng 7 n thng 9 nm 2008, mt du hiu cho thy khng hong cng trm trng hn. Thng 01 02/2009, 9 ngn hng ca M ph sn. Ngy 29/05/2009, B thng mi thng bo tng sn phm quc ni GDP gim 5,7% trong qu 1/2009 thp hn qu 4/2008 l 6,3%. Nh vy, giai on thng 07/2008 n 06/2009 c ghi nhn l giai on khng hong trm trng nht ca cuc khng hong ti chnh ti M ni ring v ton cu ni chung. S v ca rt nhiu ngn hng v tp on ln, mc thm ht ngn sch v cng ln, nc M chng kin giai on en ti nht trong lch s hn 100 nm ngnh ti chnh ngn hng k t cuc i suy thoi 1930. Hu ht cc chuyn gia kinh t, ti chnh hng u th gii u cho rng nguyn nhn ca cuc khng hong kinh t ti M ni chung v khu vc ngn hng ni ring bt ngun t hot ng cho vay di chun, l khi im cho bong bng ti th trng nh t. Cc ngn hng cho vay cm c bt ng sn m khng quan tm ti kh nng chi tr ca khch hng. D n trong mng ny nhy vt t 160 t USD nm 2001 ln 540 t vo nm 2004 v bng n thnh 1300 t vo nm 2007. Trc tnh hnh trn, cc ngn hng, cng ty bo him, t chc ti chnh,v.v mua li cc hp ng th chp v bin chng thnh ti sn m bo pht hnh tri phiu ra th trng. Loi sn phm phi sinh ny ban u c nh gi cao bi cc t chc nh gi tn dng. Tuy nhin, chnh s gim gi mnh ca ti sn thc, ch yu l bt ng sn, l gim mnh hp dn ca nhng cng c ny. T gia nm 2007, cc 41

hng xp hng tn dng khng ngng h thp mc xp hng ri ro ca mnh i vi nhng cng c ti chnh c ti sn m bo. Trong giai on t qu III/2007 n qu II/2008, c 1,9 triu USD chng khon c m bo bng nhng khon th chp b nh tt mc tn nhim. Ri ro tng ln hn ch kh nng tr li ca nh pht hnh, ri ro tn dng lin tc tng cao. Khi cc cng c phi sinh khng cn tc dng, th trng nh t khng th gii ngn, iu ny e da n tnh thanh khon ca h thng ngn hng. Nghim trng hn, ni lo s v kh nng v n hng lot khin cc ngn hng xit cht tn dng, y li sut ngn hng v li sut lin ngn hng tng vt. Cc ngun cung v ti chnh tr nn cn kit, h thng ngn hng mt tnh thanh khon dn n nguy c sp hon ton ca h thng ti chnh ngn hng. Thm vo , ti khon n nc ngoi ca M lin tc tng, c bit tng mnh t nm 2005 v k t nm 2005, M lun ng u danh sch nhng quc gia dn u th gii v n nc ngoi25. N nc ngoi tng mnh gy p lc rt ln n kh nng tr n ca M khi t gi hi oi gia USD vi cc ngoi t khc bin ng, c bit l t gi i vi ng tin ca cc quc gia ch n. Cng trong giai on ny, nhng tc ng xut pht t th trng ti chnh khin FED khng ngng iu chnh li sut vi bin rt mnh (Biu 3). T , tc ng ng k n s bin ng ca li sut i vi ng USD, khin t gi USD giao ng mnh. y chnh l ngun gc ca ri ro t gi i vi h thng ngn hng M.

25

<https://www.cia.gov/library/publications/the-world-factbook/rankorder/2079rank.html>, xem ngy 12/04/2012

42

Biu 3: Li sut FED giai on 2000-2011

7 6 5 (%) 4 3 2 1 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 FED fund rate

Ngun:FED, 201226. Nh vy, bong bng bt ng sn v khng hong trong khu vc cho vay th chp di chun giai on 2007 2008 ko theo khng hong nghim trng trong ton h thng ngn hng M khi hng lot ngn hng phi i mt vi ri ro tn dng, ri ro thanh khon v ri ro t gi lun mc cao. Khng th chng vi qu nhiu ri ro trm trng cng p n, rt nhiu ngn hng ln v lu i ti M i n ph sn, Chnh ph lin tc phi bm tin cu tr nhng tp on c tm nh hng ln, ng thi giai on ny cng ghi nhn rt nhiu v sp nhp v thu tm ln nhau ca cc nh ch ti chnh m c bit l cc ngn hng ln. Nhng du hiu bo hiu cho s v ca h thng ngn hng thng mi ca M. lng ha v chng minh cho tnh v ny, da trn nhng s liu xc thc, nhm nghin cu tin hnh xy dng ch s o lng tnh v ngnh ngn hng ti M giai on 2000 2011 trong phn tip theo.

26

<http://www.federalreserve.gov/releases/h15/data.htm>, xem ngy 12/04/2012

43

2.2.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti M giai on 2000-2011 Da vo nhng kinh nghim sau khi tm hiu v m hnh cnh bo sm ca ngnh ngn hng n , nhm nghin cu p dng quy trnh xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi M giai on 2000-2011. 2.2.2.1. Xc nh cc giai on xy ra khng hong ngn hng M bng phng php ch s Vic xy dng ch s v ngnh ngn hng (BSF) cho M c nhm nghin cu thc hin da trn kinh nghim xy dng ch s ny trong nghin cu ca Kibritciouglu (2002) v vic p dng ch s BSF ny cho ngnh ngn hng ca n trong nghin cu ca Thangjam (2009). T vic phn tch nhng din bin trong khng hong ngn hng ca M giai on 2008-2011, nhm tc gi nhn nh ngnh ngn hng ca M phi i mt vi 03 nhm ri ro chnh l ri ro thanh khon, ri ro tn dng v ri ro t gi. Do , cng thc c nhm tc gi xy dng cho ch s v ngnh ngn hng ca M l nh sau:

Trong : Dept: Thay i tng tin gi thc t theo nm ti tt c cc NHTM ca M ti thng t (%); Credt: Thay i tng tn dng theo nm ca NHTM tr khi cc khon chng khon chnh ph ti thng t (%); FCLt: Thay i cc khon n ngoi t theo nm ca tt c cc NHTM M ti thng t (%); FCAt: Thay i tng ti sn bng ngoi t theo nm ca cc NHTM M ti thng t (%); 44

 Resvt: Thay i d tr ngoi t theo nm ca cc NHTM M ti thng t (%); : Gi tr trung bnh ca cc bin s theo thng; : lch chun ca cc bin s theo thng. kim tra tc ng ca vic rt tin hng lot, nhm tc gi cng xy dng ch s BSF(Us) 2 tng t nh ch s BSF(Us) 1 nhng loi i bin s tng tin gi Dep.

S liu v tng tin gi, tn dng, n ngoi t/c ngoi t ca h thng NHTM ca M c nhm tc gi thu thp ti ngun d liu ca Cc d tr lin bang M (FED) tng hp trong cc bo co theo thng trong giai on t thng 01/2003 n thng 12/2011.27 Ring s liu v D tr ngoi t ca cc NHTM M c nhm tc gi thu thp t Qu tin t Quc t IMF.28 Cc s liu trn c nhm tc gi iu chnh lm pht bng vic s dng ch s CPI ca M thu thp t ngun d liu ti Cc Thng k lao ng M (BLS). 29 S bin ng ca cc bin s trong cng thc BSF ca h thng NHTM M c biu din ln lt qua cc Biu 4,5.

27 28

FED 2012, http://www.federalreserve.gov/econresdata/statisticsdata.htm, xem ngy 20/03/2012 IMF 2012, http://www.imf.org/external/np/sta/ir/IRProcessWeb/data/usa/eng/curusa.htm#I, xem ngy 20/03/2012 29 BLS 2012, Consumer Price Index, < http://www.bls.gov/cpi/#tables>, xem ngy 20/03/2012.

45

Biu 4: Thay i tng tn dng thc cho kh vc t nhn, tng tin gi theo nm ca NHTM M (2001-2011)
15

10

5 BC Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11

Jul-03

Jul-08

Jul-01

Jul-02

Jul-04

Jul-05

Jul-06

Jul-07

Jul-09

Jul-10

-5

-10

-15

Ngun: Tnh ton ca nhm nghin cu Biu 5: Thay i n ngoi t, ti sn ngoi t v d tr ngoi t theo nm ca h thng NHTM M (2001-2011)
40 30 20 10 FCL FCA 0 Jul-01 Jul-02 Jul-03 Jul-04 Jul-05 Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 -10 -20 -30 Jan-11 Jul-11 FCR

Ngun: Tnh ton ca nhm nghin cu

46

Jul-11

Dep

Sau khi thu thp v x l s liu, ch s v ngnh ngn hng BSF(Us)-1 v BSF(Us)-2 c tnh ton v kt qu c biu din trong Biu 6. Biu 6: Ch s v ngnh ngn hng ca M giai on 2001-2011
1.5 1 0.5 0 BSF(Us)-1 BSF(Us)-2

Jan-11

Jan-01

Jan-02

Jan-03

Jan-04

Jan-05

Jan-06

Jan-07

Jan-08

Jan-09

Jan-10

Jul-10

Jul-01

Jul-02

Jul-03

Jul-04

Jul-05

Jul-06

Jul-07

Jul-08

Jul-09

-0.5 -1 -1.5 -2

Ngun: Tnh ton ca nhm nghin cu Qua biu trn ta c th thy 2 ch s BSF(Us)-1 v BSF(Us)-2 bin ng kh cng chiu v tng ng. Gi tr mc ngng ca BSF(Us)-1 v BSF(Us)-2 c xc nh ln lt l 1 = 0.583 v 2 = 0.713. Da vo gi tr ngng trn, cc giai on xy ra khng hong thnh c phn thnh 03 mc: Mc yu: -t/2 < BSF(Us)t < 0 Mc trung bnh: - t < BSF(Us)t < -t/2 Mc cao: BSF(Us)t > - t Vic phn loi thnh 3 mc trn cho php nhn nhn c mc nguy him ca cc giai on xy ra khng hong bi v c mt s giai on h thng NHTM c th c xc nh l xy ra khng hong mc yu nhng mc ny hon ton khng phn nh y mc nghim trng ca khng hong.

47

Jul-11

,Cuc khng hong h thng ngn hng c xem l mang tnh h thng khi m n cha lin tip cc giai on xy ra khng hong mc trung bnh v cao. Tng hp li, cc giai on xy ra khng hong ngn hng mang tnh h thng c xc nh nh sau: Bng 4: Tng hp kt qu cc giai on khng hong h thng ngn hng ti M BSF(Us)-1 06/2008 04/2009 11/2009 12/2011 -------Ngun: Tnh ton ca nhm nghin cu Nhn xt Th nht, du hiu ca cuc khng hong h thng ngn hng ca nc M bt u t thng 04/2008 khi m ch s BSF(Us)-1 gim mt cch ng k t 0.56 ca thng 03 xung ch cn 0.16 vo thng 04, v ch cn -0.0085 vo thng 5/2008 chnh thc xc nhn mt s v ca ngnh ngn hng M, d ch l mc yu. Tuy nhin, ch s BSF(Us)-1 nhanh chng gim t thng 7/2008 (-0.90) v lin tc mc v cao n thng 4/2009. Ch s BSF(Us)-1 c du hiu tng dn t thng 05/2009 v h thng ngn hng M chnh thc c phc hi t thng 07/2009 n thng 09/2009. Tuy nhin, bt u t thng 11/2009, ch s BSF(Us)-1 li c du hiu gim ng k v lin tc dao ng mc trung bnh v cao n cui thng 12/2011. Nhn chung, cuc khng hong mang tnh h thng ca cc NHTM M ko di dai dng t thng 07/2008 n tn thng 12/2011, ngoi tr giai on t thng 07/2009- 10/2009. Giai on khng hong trm trng nht ko di t thng 07/2008 n thng 04/2009. Kt qu ny phn no st vi din bin thc t nh phn tch phn trn. Thm vo , qua tng hp Bo co v pht trin ti chnh t nm 2008 2011 ca 48 BSF(Us)-2 07/2008 06/2009 10/2009 12/2010 07/2011 12/2011

Din n Kinh t Th gii (WEF) cho thy Ch s n nh h thng ngn hng ca M cng cho thy mt kt qu tng t v mc n nh ca h thng ngn hng M giai on 2008-2011 (Bng 5). Nhn chung, ngnh ngn hng ca M phi i mt vi cuc khng hong nng n nht vo nm 2008. Sang nm 2009, cc NHTM ca M phn no khc phc c tnh trng bt n nh ca mnh. Tuy nhin, hai nm 2010 v 2011 li chng kin nhng kh khn trong h thng ngn hng M. Bng 5: Ch s n nh h thng ngn hng ca M Nm 2008 2009 2010 2011 Ngun: WEF, Bo co v pht trin ti chnh Th hai, hai ch s BSF(Us)-1 v BSF(Us)-2 c xu hng bin ng rt tng ng vi nhau. T , kt qu v tnh v ca ngnh ngn hng M m hai ch s ny mang li cng kh ging nhau. iu ny c tc gi gii thch nh vo c ch bo him tin gi linh hot ti M cng nh vi tr ca c quan Bo him tin gi M (FDIC) trong qun l v khc phc hu qu ca khng hong. C th: FDIC phi chi nht nhiu tin cho vic x l v tip nhn cc ngn hng b ph sn. Qu vn ca FDIC st gim 3 ln t 52,4 t USD vo cui nm 2007 xung cn 17,3 t USD vo cui nm 200831. Mc d vy, c th ni hnh ng cu tr ny ca FDIC gp phn gim bt thit hi v n nh th trng. FDIC rt chuyn nghip trong vic x l khng hong thng qua vic sp xp ton b tin gi
30

Ch s n nh h thng ngn hng (trn 7) 2.230 4.7 3.4 3.6

Ring nm 2008, WEF ch o lng ch s Ri ro xy ra khng hong h thng ngn hng v ch s ny ca M t mc 4.8/7. T , nhm tc gi tnh ton ra Ch s n nh h thng ngn hng ca M nm ny l 2.2. 31 Nguyn Thanh Trc, L Qunh Phng, inh Huy c, H Hi H, Nguyn Th Huyn Trang, 2010. Bi hc cho t chc Bo him tin gi Vit Nam (DIV) t vi tr ca Tp on Bo him tin gi Lin bang M (FDIC) trong cuc khng hong ti chnh M 2007-2010, Trng i hc Ngoai thng H Ni.

49

ca khch hng mt ngn hng c chuyn sang mt ngn hng khc nu nh ngn hng u tin b ng ca, nng hn mc BHTG cng nh thc hin hng lot cc bin php khc gim bt gnh nng v hu qu t vn tm l m ng hn lon khi xy ra khng hong. 2.2.2.2. La chn cc ch s cnh bo cho khng hong h thng ngn hng ti M Da trn kinh nghim nghin cu thc nghim ca Kaminsky, Lizondo v Reinhard (1998) v cc ch s d bo ca khng hong tin t cng vi nhng bi hc rt ra c trong nghin cu v xy dng m hnh cnh bo sm khng hong h thng ca ngnh ngn hng n , cc bin gii thch cho m hnh cnh bo sm khng hong ngn hng ti M c tng hp nh sau (Bng 6): Bng 6: Ch s d bo khng hong h thng ngn hng M STT 1 Ch s Cn cn thng mi/GDP Tng tn dng/Tng tin gi ti h thng NHTM Ch s gi tiu dng Tn dng ni a ca NHTM/GDP D tr ngoi t N ngoi t/C ngoi t M2/D tr ngoi K hiu BOT (%) Thnh phn Xut khu Nhp khu GDP Tng cho vay CD (%) Tng tin gi CPI (%) Tn dng ni a DCC (%) GDP FXRC (%) LA (%) M2C (%) N ngoi t ca NHTM C ngoi t ca NHTM Cung tin M2 FED U.S. Dept. of Labor, Bureau of Labor Statistics FED YCHARTS IMF FED FED 2 Ngun U.S. Dept. of Labor, Bureau of Labor Statistics YCHARTS 32

4 5 6 7
32

http://ycharts.com/indicators/us_monthly_gdp/historical_data, xem ngy 20/03/2012

50

hi 8 9 10 Tn dng ca NHTW/GDP Ch s gi chng khon Li sut tn phiu kho bc M thi hn 3 thng T l n xu (NPLs) ca h thng NHTM M RBC (%) SPC (%) TBILL (%) NPL (%)

D tr ngoi hi Tn dng ca NHTW (FED) GDP Ch s S&P500

IMF FED YCHARTS ECONSTATS33

FED Economic Research Federal Reserve Bank of St.Louis34

11

Ngun: Tng hp ca nhm nghin cu 2.2.2.3. c lng xc sut xy ra khng hong h thng ngn hng ti M bng phng php tham s M t phng php Di y l m hnh hi quy nh phn c phn tch: P[Y(6)=1] = (Ci + 1 BOT + 2 CD + 3 CPI + 4 DCC + 5 FXRC + 6 LA + 7 M2C + 8 RBCC + 9 SPC + 10 TBILL + 11 NPL) Trong , P[Y(6)=1] l xc sut xy ra khng hong h thng ngn hng sau 6 thng. iu c ngha l khi nhp s liu cc bin c lp quan st thng t th gi tr bin ph thuc s cho ra kt qu thi im t+6. Gi tr Y=0 cho bit khng c khng hong v ngc li gi tr Y=1 cho bit ti thng c khng hong. xc nh gi tr ny, nhm nghin cu da trn phn tch ch s BFS trnh by trn. Hu ht cc s liu trn u c ly vi tun sut theo thng. Nhng s liu ch c cng b theo qu tin hnh ni suy s liu c c s liu theo thng. Cc bin s c chuyn v phn trm thay i theo nm m bo chui bin s l chui dng.

33 34

http://www.econstats.com/eqty/eqem_mi_1.htm, xem ngy 20/03/2012 http://research.stlouisfed.org/fred2/data/NPTLTL.txt, xem ngy 25/03/2012

51

 Kt qu m hnh Bng 7 di y trnh by kt qu ca phn tch hi quy nh phn m hnh Probit. Phn tch c da trn m hnh gin n (m hnh 1) - mi nhm ch s ch chn 1 ch s tiu biu, m hnh y (m hnh 2) y cc bin c nu ra, v m hnh sau khi loi b 2 bin l TBILL v CD v h s tng quan ca 2 bin ny vi cc bin khc tng i cao. T Bng 7 c th thy rng vic loi i mt s ch s, mc d vn m bo s c mt ca mi nhm ch s s lm gim chnh xc ca m hnh, do McFadden R2 gim theo, v cc bin th khng t c mc thng k c ngha. Khi xt y cc bin th McFadden R2 t mc 82%, v cc bin gii thch c nhiu bin c ngha thng k. Vi mc ngha 5% th c 7/11 bin t ngha thng k bao gm tn dng ni a/GDP, n ngoi t/c ngoi t, M2/d tr ngoi t, t l n xu, tn dng NHTW, tng cho vay/tng tin gi v li sut tn phiu kho bc M k hn 3 thng; vi mc ngha 10% th c 1 bin l cn cn thng mi/GDP. Khi xt m hnh 2, nhm ch s v khu vc sn xut v ti khon vng lai khng c ch s no t mc ngha nh hng ti bin ph thuc, t nhm nghin cu rt ra nhn xt cuc khng hong h thng ngn hng M trong giai on ny mang nguyn nhn t khu vc cng, khu vc ti chnh v ti sn vn m khng mang nguyn nhn t sn xut hay thng mi.

52

Bng 7: Kt qu m hnh Probit cnh bo sm khng hong h thng ngn hng ti M (2000-2011) M hnh 1 Gin n -0.630322 (0.3269) 62.67504 (0.6898) -----------0.118255 (0.4381) --------------------0.035505 (0.4426) ----------0.085477** (0.0212) ----------0.012855 (0.6631) ----------104 28 132 0.079219 0.212121 0.410368 0.055338 M hnh 2 y 26.30510 (0.1032) -2969.331* (0.0516) -33.59229 (0.2842) 0.517686** (0.0124) -0.156398 (0.1588) 11.26331** (0.0031) -0.360989** (0.0024) 1.016487** (0.0026) -0.092450** (0.0076) -39.78752** (0.0212) -0.083770 (0.1145) -1.930322** (0.0141) 104 28 132 0.824383 0.212121 0.410368 0.000000 M hnh 3 iu chnh -14.13682** (0.0015) -1665.717** (0.0201) 6.717190 (0.6867) 0.189556 (0.3203) -0.120372 (0.1891) 1.930971* (0.0915) -0.244644** (0.0122) 1.684503** (0.0000) -0.040575* (0.0744) -----------0.060293 (0.2097) ---------104 28 132 0.708482 0.212121 0.410368 1.1E-16

C BOT CPI DCC FXRC LA M2C NPL RBC CD SPC TBILL N=0 N=1 N McFadden R2 Mean dependent variable S.D dependent variable Probability (LR stat)

(*: mc ngha thng k 10%, **: mc ngha thng k 5%) Ngun: Tnh ton ca nhm nghin cu 53

Sau khi rt bin CD v TBILL ra khi m hnh 2, th McFadden R2 gim xung, m hnh mi khng hiu qu bng m hnh c t kt lun tm thi c a ra rng 2 bin cho vay/tin gi (CD) v li sut tn phiu 3 thng (TBILL) cng l 2 bin quan trng ti vic d bo khng hong. Tc ng ca cc bin i vi vic tng/gim xc sut xy ra khng hong ngn hng c tng hp trong Bng 8. Bng 8: Tc ng ca cc ch s ti xc sut xy ra khng hong ngn hng ti M Ch s Cn cn thng mi/GDP Tng cho vay/tng tin gi ti cc NHTM Ch s gi tiu dng Tn dng ni a ca cc NHTM/GDP D tr ngoi t N ngoi t/C ngoi t M2/D tr ngoi t Tn dng ca NHTW Ch s gi chng khon Li sut tn phiu kho bc k hn 3 thng T l n xu (NPLs) Ngun: Tng hp ca nhm nghin cu Tm li, t m hnh 2, phng trnh xc nh xc sut xy ra khng hong da trn nhng bin c ngha thng k c a ra nh sau: Tc ng ti xc sut xy ra khng hong Tng Gim Tng/gim Tng Gim Tng Gim Gim Gim Gim Tng

54

P[Y(6)=1] =(26.30509975 - 2969.331496*(-0.004051)33.59228673*0.025914+0.5176862057*DCC0.1563984197*0.202138+11.2633105*LA - 0.3609888936*M2C + 1.016487312*NPL - 0.09245019593*RBC - 0.08376971308*0.039210 - 1.93032239*TBILL 39.78751714*CD) Tm li: T vic c lng xc sut xy ra khng hong h thng ngn hng ti M s dng m hnh Probit, mt s ch sau c rt ra: T l n xu (NPLs) l mt ch s mi v hot ng tt vi gi tr Pro rt

thp trong c 2 m hinh 2 v 3. Vic thm bin NPL ci thin gi tr McFadden R2 ca m hnh t 79% ln hn 82%. Nhn chung, m hnh ca M hot ng kh tt khi a ra c cc giai on khng hong trng khp vi din bin thc t v vic c lng xc sut khng hong t ngha thng k cao. 2.3. Bi hc kinh nghim rt ra t thc tin xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti n v M 2.3.1. Ch s v ngnh ngn hng cn c xc nh thng qua cc ri ro h thng v iu chnh nhng tc ng ngn hn Vic nghin cu thc tin xy dng ch s v ngnh ngn hng ca hai nc n v Hoa K cho thy ch s BSF c th xc nh chnh xc giai on cng nh mc ca cuc khng hong th vic xy dng cn thc hin theo cc bc sau: Cn xc nh r nhng ri ro m h thng NHTM ang phi i mt t c Do ch s BSF s dng thay i % theo nm ca cc bin nn s liu v cc

th la chn cc bin phn nh chnh xc dng trong ch s BSF; bin nn c iu chnh lm pht (theo WPI hoc CPI) trnh nhng tc ng mang tnh thi v ca cc ch s. 2.3.2. La chn mc ngng xc nh khng hong linh hot Vic la chn mc ngng xc nh khng hong l rt quan trng. Trong nghin cu u tin v ch s BSF, tc gi Kibritciouglu la chn mc ngng l 55

0.5. Tuy nhin, trong trng hp ca n , mc ngng xy ra khng hong c la chn bng lch chun ca tt c cc gi tr BSF trong mu. Thc t cho thy mc ngng ny ca mi nc so vi mc 0.5 l khc nhau. C th n , c hai mc ngng ca BSF-1 v BSF-2 u nh hn 0.5. Ngc li M, 2 mc ngng u ln hn 0.5. Nh vy c th thy, mi quc gia, mc bin ng trong tnh n nh ca h thng NHTM l khng ging nhau. Do , nn chn mc ngng l lch chun ca cc gi tr BSF c th phn nh ng hn thc trng pht trin v s n nh ca h thng NHTM ca quc gia ang xem xt. 2.3.3. Vic s dng m hnh Probit c lng xc sut khng hong pht huy tc dng Vic xy dng m hnh Probit c lng xc sut khng hong h thng ngn hng n v M cho thy m hnh ny c th hot ng tt trong vic d bo khng hong ngn hng. Vi ca s cnh bo l 6 thng, c 2 m hnh u t mc ngha thng k trn 80%. Cng vi , kt qu ca 2 m hnh trn gip a ra c m s bin gii thch c th d bo tt khng hong ngn hng, l: tn dng ni a ca NHTM/GDP; M2/d tr ngoi t; tn dng ca NHTW; cho vay/tng tin gi; li sut tn phiu k hn 3 thng; t l n xu v t s n ngoi t/c ngoi t. Kt qu ny cng kh trng khp vi kt qu ca nhm tc gi Juzhong Zhuang khi thc hin xy dng m hnh cnh bo sm phi tham s khng hong tin t v khng hong ngn hng p dng cho ng 35. Theo , 5 ch s d bo tt nht i vi m hnh khng hong ngn hng l t l tng ti sn n ngoi t ca khu vc ngn hng/tng ti sn c ngoi t, d tr ngoi t tnh theo thng nhp khu, li sut thc ca M, t l n nc ngoi ngn hn/d tr ngoi t, v t l thay i li sut thc ca ng ni t trong vng 12 thng.

35

ADB, 2005. Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng , trang 67.

56

CHNG III. GII PHP XY DNG M HNH CNH BO SM KHNG HONG H THNG NGN HNG THNG MI TI VIT NAM DA TRN KINH NGHIM TH GII

3.1.

Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn hng thng ti Vit Nam

3.1.1. Thc trng h thng ngn hng thng mi Vit Nam Trong nhng nm 90 ca th k trc, h thng ngn hng Vit Nam cn kh khp kn v b chi phi bi cc ngn hng thuc khu vc nh nc vi 80% tng ti sn thuc v 4 ngn hng quc doanh ln. Tuy nhin, hin nay, vi tng trng mnh sau khi m ca hi nhp, h thng NHTM Vit Nam t c mt s thnh tu nht nh nh gia tng s NHTM, tng cng c vn iu l cng nh ti sn, tng tn dng cho nn kinh t cng lun tng trng mnh trong nhiu nm qua. Tuy nhin, nhn chung, h thng NHTM nc ta vn gp phi nhng hn ch sau y: Th nht, h thng ngn hng cn pht trin kh khim tn so vi cc nc trong khu vc v Th gii. Mc d tng v c s lng ngn hng v ti sn, tuy nhin, nu so snh vi cc ngn hng trong khu vc th quy m ti sn v ch s sinh li ca cc NHTM Vit Nam vn cn kh nh. Bn cnh , h thng NHTM nc ta cng cha t c s pht trin n nh cn thit. C th, theo Bo co v pht trin ti chnh 2011 ca Din n kinh t Th gii WEF th ch s pht trin ti chnh nm 2011 ca nc ta ch ng th 50/60 quc gia (tng ng vi 3/7 im). Ch s n nh ti chnh t 3.6/7 im, trong ch s n nh h thng ngn hng t 4.3 im (xem Bng 9).

57

Bng 9: Tng hp ch s pht trin ti chnh ca Vit Nam nm 2011 Ch s Pht trin ti chnh n nh ti chnh n nh tin t n nh h thng ngn hng Ri ro khng hong n quc gia Xp hng (trn 60) 50 53 43 36 52 im s (trn 7) 3.0 3.6 3.3 3.4 2.8

Ngun: Din n kinh t Th gii WEF, 2011. Bo co pht trin kinh t.36

Th hai, mc khng minh bch trong h thng ngn hng ca nc ta cn rt cao. Thc vy, hin rt kh c th nh gi y v tnh hnh ti sn ca khu vc ngn hng Vit Nam do thiu thng tin v cc ch s cho php phn tch c ri ro h thng nh: mc vn ha, cht lng ti sn c, d phng, thanh khon, cn bng tng kt ti sn bng ngoi t, t sut sinh li. Vic thiu thng tin chc chn v mc vn ha v cht lng ti sn hin l mt tr ngi cho vic tin hnh nh gi tnh hnh mt cch y do hai yu t phn tch trn cho php nh gi c tnh hnh cng thng c th xy ra i vi h thng ngn hng ca cc nc mi ni. Theo t chc xp hng tn dng Standard and Poors (S&P) th cc tiu chun v khung chnh sch ca Vit Nam cn thiu cc tiu chun quc t v NHTW d b tn thng trong chnh cc tha thun ca mnh. Vic hu ht cc ngn hng khng cng b bo co ti chnh kp thi, v thng khng y , chi tit tc ng tiu cc n vic iu hnh v minh bch ha thng tin trong h thng ngn hng nc ta.37

36

ng dn: <http://www3.weforum.org/docs/WEF_FinancialDevelopmentReport_2011.pdf>, xem ngy 31/03/2012. 37 Din n kinh t Vit Nam, 10/11/2011. S&P: H thng ngn hng Vit Nam c tnh ri ro cao nht ng dn: <http://vef.vn/2011-11-10-s-and-p-he-thong-ngan-hang-vn-co-rui-ro-cao-nhat>. [Truy cp ngy: 01/04/2012]

58

Th ba, vic gim st v qun l ca NHTW cn bc l nhiu im thiu st. Hin nay, b my gim st ti chnh ca nc ta hot ng da trn m hnh phn tn trn c s th ch. Theo , NHNN s c chc nng gim st hot ng ca cc t chc tn dng. T ngy 30/07/2009, NHNN chnh thc cng b quyt nh thnh lp c quan thanh tra, gim st ngn hng trc thuc NHNN tng cng kh nng gim st cc NHTM ca mnh. Tuy nhin, hot ng gim st ca NHNN vn cn rt nhiu hn ch c v khu gim st t xa v gim st ti ch. Kt qu l, NHNN vn khng th qun l cht ch c hot ng cp tn dng v u t ca mt s NHTM. Mt phn l do ca vn ny chnh l cng ngh thu thp thng tin cho vic gim st t xa cn rt lc hu. Theo Bo co v pht trin ti chnh ca Din n kinh t Th gii (WEF) th ch s v cht ch ca tiu chun kim ton, k ton ca nc ta xp hng th 59/60 v ch trn Ukraine. Nh vy c th thy, chnh nhng hn ch trong khung php l, cng ngh v tiu chun an ton hot ng khin cho vic qun l v gim st ca NHNN i vi hot ng ca cc NHTM tr nn km hiu qu v khng nhy bn. Th t, h thng bo him tin gi hot ng cha thc s hiu qu. Khng th ph nhn rng, BHTG l mt cng c cn thit v hiu qu trong vic hn ch nhng ri ro cho c ngi gi tin v cc NHTM, ng thi lm gim thiu mc nghim trng ca mt cuc khng hong ngn hng mang tnh h thng. Tuy nhin hin nay, c nhiu kin cho rng mc BHTG nc ta cn qu thp. C th, mc BHTG ti a ch dng 50 triu ng (tng ng khong $2.500) cho mi c nhn gi tin. Nu so snh vi mc bo him mt quc gia cng khu vc nh Philippines th mc bo him ny ch gn bng 1/5 (mc bo him ca Phillipines l 500.000 Peso, tng ng vi $12.000). Thm vo , mc tnh ph bo him ng hng 0,15% trn tng s d tin gi theo quy nh hin nay cha thc s hp l, v khng phn bit quy m, hnh thc s hu, cng nh mc ri ro ca t chc tn dng tham gia bo him.

59

Bn cnh , a v php l ca c quan BHTG nc ta hin nay (DIV) vn cn thp v nc ta cha ban hnh Lut BHTG. ng thi, nng lc ti chnh ca DIV vn cn rt hn ch. Thm vo hot ng gim st hot ng ca DIV cng cn gp nhiu kh khn cng thm nhn thc cha cao ca ngi gi tin v vai tr ca BHTG nn gy ra nhiu tr ngi trong h thng BHTG nc ta. 3.1.2. Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi Vit Nam Trong phm vi nghin cu, ti cho rng thc t Vit Nam cha c bt k m hnh cnh bo sm khng hong ngn hng no c p dng mt cch chnh thc, v cng cha c c quan, t chc no chu trch nhim trong vic nghin cu v xy dng m hnh cnh bo sm khng hong ngn hng p dng cho nc ta. V pha cc c nhn nghin cu: Tuy mt s cng trnh nghin cu trong nc tng cp n m hnh cnh sm nh bi nh gi, d bo v cc bin php phng nga khng hong tin t v h thng ngn hng ca nhm V Th Kim Thanh, cng b trong din n Kinh t v Ti chnh hp ln th 7 nm 2008, hay M hnh cnh bo sm v chnh sch hng ti n n kinh t v m ca Nguyn Kim Ln, nhng cc bi nghin cu ny mi ch dng li vic phn tch khng hong tin t ni chung, ng thi xem xt m hnh cnh bo c p dng cc nc khc, m cha i su v tm hiu m hnh cnh bo sm khng hong cho h thng ngn hng ti Vit Nam. V pha NHNN: Ngy 25/11/2008, NHNN ra Quyt nh 2851/Q-NHNN thnh lp V D bo v thng k tin t. V D bo, thng k tin t c thnh lp tham mu cho Thng c NHNN thc hin cng tc d bo v thng k tin t. Theo iu 2 ca Quyt nh ny th V D bo, thng k tin t s c nhim v thu thp, phn tch v x l cc thng tin t cc t chc tn dng, th trng ti chnh tin t. phn tch, d bo din bin tin t, lm pht, tng trng kinh t v cn cn thanh

60

ton quc t ca Vit Nam. Nh vy, nhim v d bo ca V vn cha bao gm cc din bin trong hot ng ngn hng, m c th l khng hong h thng NHTM. 3.2. S cn thit xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam nc ta hin nay vn cha chnh thc xy dng c mt h cnh bo sm khng hong cho nn kinh t ni chung v ngnh ngn hng ni ring. c bit, vi c im ca mt nn kinh t ang pht trin, b chu nhiu tc ng bi cc yu t quc t, vic xy dng mt m hnh cnh bo sm khng hong, c bit l khng hong h thng ngn hng cho Vit Nam l rt cp thit bi hai l do: Mt l, s bt n ca c h thng ngn hng s gy ra tn tht rt ln cho cc nc xy ra khng hong cng nh cc nc b nh hng lin i. K t nm 1970, c hn 100 cuc khng hong ngn hng xy ra 93 nc (Caprio v Honohan, 2001). Mt na trong s xy ra cc nc ang pht trin, chi ph t khu vc cng gii quyt khng hong ln n 10% hoc cao hn so vi GDP ca cc quc gia chu khng hong. Vit Nam hin nay, tuy cha xy ra mt cuc khng hong ngn hng chnh thc nhng vic lun phi i mt vi nhiu ri ro khin h thng NHTM nc ta lun trong trng thi khng an ton v vn ti cu trc ton b h thng tr nn rt ng quan tm. Hai l, nu ch cn c vo nhng ch s ch s th trng truyn thng v tin t v nhng ri ro mc nh thng s khng a ra c nhiu tn hiu bo trc v mt cuc khng hong tim n. c bit, vic d bo nhng yu km tng ngn hng ti cc nn kinh t mi ni cng c nhng hn ch do tnh cht cha hon thin ca cc chun mc k ton v h thng bo co, vic phn loi cc khon n xu (NPLs) khng cht ch, cc quy nh khng hp l v cc khon d phng tn dng, cc hot ng gim st theo lut khng c thc thi hiu qu, th trng vn khng c tnh thanh khon v pht trin th s rt kh khn trong vic xc nh gi tr ca ngn hng nhm tch bit vi gi tr theo s sch. 61

Ba l, m hnh cnh bo sm khng hong h thng NHTM, nu hot ng tt, s gip Chnh ph a ra c nhng chnh sch kp thi v ng n, gp phn hn ch kh nng xy ra mt cuc khng hong. Do c th thy vic xy dng mt m hnh hot ng hiu qu trong vic cnh bo sm khng hong h thng ngn hng Vit Nam l v cng cn thit. 3.3. Gii php xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam 3.3.1. La chn m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam Thng qua nghin cu xy dng m hnh cnh bo sm khng hong h thng NHTM ti u trong Chng I cng nh kinh nghim xy dng m hnh ti hai nc n v M trong Chng II ti nhn thy m hnh BSF tham s ph hp c xy dng ti Vit Nam trong vic cnh bo sm khng hong h thng ngn hng vi nhng l do sau: Mt, i vi mt nc cha chnh thc xc nhn bt k mt cuc khng hong ngn hng no nh Vit Nam, ng thi nhng s kin lin quan n vn khng hong ngn hng cn kh xc nh, s thun li hn nu s dng ch s BSF xc nh cc giai on khng hong thay v dng phng php da trn s kin. Hai, phng php c lng xc sut khng hong phi tham s c chng minh l khng t hiu qu cao trong vic cnh bo khng hong ngn hng. Tuy nhin, khi s dng phng php tham s a ra cnh bo khng hong ngn hng cho 2 nc n v M th phng php ny pht huy c tnh hiu qu cao. 3.3.2. Xy dng ch s xc nh cc giai on khng hong 3.3.2.1. Xc nh nhng ri ro h thng ca ngnh ngn hng Vit Nam

Trc khi tin hnh xy dng v tnh ton ch s v ngnh ngn hng Vit Nam xc nh cc giai on khng hong, vic tm hiu v nhng ri ro m h 62

thng NHTM nc ta ang phi i mt l rt quan trng. Nhn chung, h thng NHTM nc ta ang phi i mt vi 04 loi ri ro chnh sau y: i. Ri ro thanh khon C th ni, h thng ngn hng Vit Nam lun i din vi ri ro thanh khon, c bit trong nm 2011 vi mc nghim trng v ko di, khin cc mc li sut lun mc cao nht trong khu vc. Cho n cui thng 8 nm 2011, li sut cho vay trung bnh k hn 1 nm ca Vit Nam cao gp 3 ln mc li sut tng ng ca Trung Quc v cc nc ASEAN (ngoi tr Indonesia) (Biu 7). Biu 7: Li sut huy ng ca Vit Nam v mt s nc trong khu vc
20.0 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 2008 2009 2010 2011 Q1 2011 Q2 2011 Q3 2011 Q4

Thi Lan Indonesia Singapore Trung Quc Malaysia Vit Nam

Ngun: International Financial Statistics, 201238 V pha cc NHTM, iu kin kinh doanh thun li trong nhng nm gn y lm ny sinh t tng ch quan, tng trng tn dng qu nng trong khi li bung lng chnh sch qun l ri ro lm mt cn i trong c cu ti sn. C th, t l tn dng trn huy ng ca Vit Nam nm 2010 l 130.7% (Biu 8), cao hn nhiu so vi cc nc khc trong khu vc v c xu hng tng so vi nm 2009.

38

ng dn: < http://elibrary-data.imf.org/DataReport.aspx?c=1449311&d=33120&e=170185>, xem ngy 20/03/2012.

63

Biu 8: So snh cc ch s cho vay/tin gi, cho vay/ti sn, cho vay/GDP ca h thng NHTM mt s quc gia nm 2010
300 250 200 150 100 50 0 Cho vay/ Tin gi Cho vay/ Ti sn Cho vay/ GDP

Ngun: Business Monitor International, 2011. Bo co v NHTM Vit Nam39 Vi c trng ca mt nn kinh t mi ni, tc tng trng tn dng v huy ng ca Vit Nam lun mc cao trn 20% trong sut giai on 2000 2010. Mc tng trung bnh cho tn dng, huy ng v GDP trong giai on ny ln lt l 31,55%, 28,91% v 7.15%, trong nh im l nm 2007 vi tng trng tn dng 53,89% v huy ng 47,64%. Tc cung tin M2 trong giai on 2005 2010 cng t trung bnh 29,19%. y l mt trong nhng nguyn nhn dn n tnh trng bong bng ti sn m nhiu nc mi ni nh Vit Nam mc phi khi ngun vn chy vo cc lnh vc c ri ro cao nh bt ng sn, lm tng mc ri ro thanh khon ca ngn hng. ii. Ri ro tn dng

39

< http://www.vietnam-report.com/wp-content/uploads/downloads/2012/02/B-VN-Banking-Q4-2011.pdf>, xem ngy 03/04/2012.

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Do nh hng ca vic tng trng tn dng cao, n xu lun l mt trong nhng vn ni cm ca ngnh ngn hng Vit Nam t trc ti nay, trong c hai vn chnh cn ch : Th nht, s khc bit trong phn loi n theo chun Vit Nam (VAS) v chun quc t (IAS): Hu ht cc NHTM ti Vit Nam hin nay u phn loi n da vo nh lng

m thiu i phn nh tnh nh tnh hnh ti chnh, kt qu sn xut kinh doanh ca doanh nghip. iu ny dn n vic phn loi n khng phn nh thc cht khon n. Ngoi ra, mt s ngn hng Vit Nam cn bin nghip v gia hn n, vn l mt nghip v bnh thng ca ngn hng, thnh mt hnh thc gim t l n xu ca mnh do n gia hn khng c tnh vo n xu. Chnh v vy, s chnh lch gia phn loi n xu theo VAS v IAS ngy cng ln. Th hai, n xu ca h thng NHTM nc ta ang gia tng. V nguyn nhn khch quan, do nh hng ca khng hong ti chnh 2008, kinh t Vit Nam giai on 2009 2011 gp nhiu kh khn, thm vo l ngh quyt s 11/NQ-CP ca Chnh ph vo thng 2 nm 2011, yu cu tht cht tin t, nh hng khng nh n tnh hnh sn xut kinh doanh ca doanh nghip. Theo b k hoch v u t, trong 9 thng u nm 2011, c n 4700 doanh nghip gii th, vi s vn ng k kinh doanh vo 34.000 t ng, tng p lc n xu cho ngnh ngn hng. V ch quan, do tng trng tn dng nng, cng vi cht lng qun l tn dng khng tt ca cc NHTM Vit Nam l nguyn nhn chnh dn n s gia tng ca n xu trong thi gian qua. c bit, giai on 2006 2007, s tng trng qu nng ca th trng chng khon v th trng bt ng sn, cng vi mc tiu tng trng nhanh ca nhiu ngn hng, th trng ny ht mt lng tn dng khng l, to ra p lc v n xu cho cc NHTM. Mt khc, cc ngn hng phi i mt vi ri ro o c ca i tng i vay. Tn dng cho khu vc doanh nghip nh nc chim khong 30% tng d n ang i 65

mt vi nguy c ri ro o c cao hnh vi thiu trch nhim vi cc khon vay chi phi thp. iii. Ri ro t gi hi oi Vic tham gia cc giao dch ngoi hi ngy cng gia tng t cc NHTM trc nguy c ri ro t gi do s bin ng ca t gi v do cc ngn hng thng xuyn khng cn bng v trng thi ngoi t. Biu 9: T l huy ng vn v tn dng bng ngoi t ti NHTM Vit Nam 2005-2010

Ngun: Bo co ca NHNN nm 2010 T Biu 9, ta c th nhn thy t trng ca tn dng v huy ng vn bng ngoi t ngy cng tng, do , sc nh hng ca bin ng t gi cng ngy cng ln. Tuy Vit Nam p dng ch t gi th ni c iu tit, vi s bao bc ca NHNN, nhng thi gian qua, t gi bin ng vt ngoi s kim sot, khin khng t ngn hng gp kh khn. iv. Ri ro li sut Thng 6 nm 2002, NHNN Vit Nam chnh thc chuyn sang thc hin c ch li sut tho thun trong hot ng tn dng thng mi bng ng Vit Nam ca t chc tn dng i vi khch hng, to nn cuc chin li sut gia cc ngn hng, ng thi bin li sut thnh nhn t nhy cm vi bin ng ca tnh hnh kinh t. 66

in hnh l 09 thng u nm 2008, khi li sut c bn tng t ngt t 8.75% (thng 2) n 12% (thng 6) ri 14% (thng 7), cuc ua li sut huy ng bng n, nhiu NHTM, c bit cc ngn hng nh c nguy c mt thanh khon lin tc tng li sut huy ng vi cc k hn di, tuy nhin sau li sut gim mnh, khin cho nhng ngn hng ny chu ri ro li sut khi nm gi cc khon tin gi vi li sut huy ng cao trong khi ch c th cho vay theo mt bng li sut mi thp hn hn. Trn l thuyt, cn mt s ri ro m cc ngn hng c th gp phi nh ri ro vn hnh, ri ro chnh tr,Mc d, nhng ri ro ny cha c hoc cha ng k h thng ngn hng Vit Nam nhng vic tnh n cc ch tiu ri ro ny cng l iu m cc nh hoch nh nn quan tm. 3.3.2.2. Xy dng ch s v ngnh ngn hng ti Vit Nam T vic phn tch nhng ri ro m h thng NHTM ca Vit Nam ang phi i mt, nhm nghin cu a ra xut v vic xy dng ch s v ngnh ngn hng theo thng cho h thng NHTM Vit Nam nh sau:

Tng t, cng thc BSF(Vn)-2 cng c xy dng bng vic loi b i bin tng tin gi:

Trong : Dept: Thay i tng tin gi thc t theo nm ti tt c cc NHTM ti thng t (%); 67

 Credt: Thay i tng tn dng theo nm ca NHTM cho khu vc t nhn ti thng t (%); FCLt: Thay i tng cc khon n bng ngoi t theo nm ca tt c cc NHTM ti thng t (%); FCAt: Thay i tng ti sn bng ngoi t theo nm ca cc NHTM ti thng t (%); Resvt: Thay i d d ngoi t theo nm ca cc NHTM ti thng t (%); NIt: Thay i tng thu nhp rng theo nm ca cc NHTM ti thng t (%); : Gi tr trung bnh ca cc bin s theo thng; : lch chun ca cc bin s theo thng; Trong , bin tng tin gi ti cc NHTM s biu hin cho ri ro thanh khon; bin tng tn dng s biu hin cho ri ro tn dng; ba bin tng n bng ngoi t, c bng ngoi t v d tr ngoi t ca h thng NHTM s biu hin cho ri ro t gi. Ring bin tng thu nhp rng s biu hin cho ri ro li sut ca h thng ngn hng. Do gp nhiu kh khn trong vic tm kim s liu theo thng nn ti cha th tnh ton c ch s v ngnh ngn hng ca Vit Nam trong mt gian on ko di v lin tc nh lm vi M. Tuy nhin, da vo mt s d liu thu thp c t Qu tin t Quc t IMF, hai ch s BSF(Vn)-1 v BSF(Vn)-240 cho thng 12 ca cc nm t 2005-2009 v 10 thng u nm 2010 c tnh ton. Kt qu c trnh by trong Biu 10.

40

Tuy nhin, do khng tm c s liu v d tr ngoi t v thu nhp rng ca NHTM nn hai ch s BSF ca Vit Nam trong tnh ton ca nhm tc gi ch cn gm c 5 v 4 bin cn li.

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Biu 10: Ch s v ngnh ngn hng ca Vit Nam qua mt s thng

1.2 1 0.8 0.6 Ch s BSF 0.4 0.2 0 Mar-06 BSF(Vn)-1 BSF(Vn)-3

Jun-06

Mar-07

Jun-07

Mar-08

Jun-08

Mar-09

Jun-09

Mar-10

Sep-06

Sep-07

Sep-08

Sep-09

Jun-10

Dec-05

Dec-06

Dec-07

Dec-08

-0.2 -0.4 -0.6

Ngun: Tnh ton ca nhm nghin cu Nhn xt: Th nht, ngnh ngn hng Vit Nam c th tri qua mt s bt n nh vo cui nm 2005, khi m ch s BSF(Vn) thi im ny t m. Tuy nhin, s bt n ny ch dng mc trung bnh (v mc ngng xc nh l 0.46). n cui nm 2008, ngnh ngn hng Vit Nam cng chng kin mt s bt n tng t. iu ny c gii thch l do tc ng tiu cc t th trng ti chnh bn ngoi do xy ra cuc khng hong ti chnh ton cu t gia nm 2008. Tuy nhin sang n u nm 2010, ngnh ngn hng ca nc ta t mc n nh kh cao. Th hai, hai ng ch s BSF(Vn)-1 v BSF(Vn)-2, mc d bin ng cng chiu nhng li c khong cch tng i xa nhau. Nh vy c th thy vic rt vn t ra khi h thng ngn hng ti nc ta c th gy ra nhng tc ng mnh m n hot ng ca cc NHTM. iu ny c nhm tc gi nhn nhn di 2 gc sau: H thng BHTG nc ta cn cha hiu qu;

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Dec-09

Sep-10

 minh bch trong h thng ngn hng trong nc cn rt thp, do s tin tng ca dn chng vo h thng ngn hng ni a cn cha cao. 3.3.3. La chn cc ch s cnh bo i vi mt nn kinh t cn non tr nh nc ta, s n nh ca ngnh ngn hng khng ch b chi phi bi nhng yu t trong nc m cn chu s nh hng bi nhng tc ng t nn kinh t ton cu. Vic la chn bin gii thch cho m hnh cnh bo sm khng hong h thng ngn hng ti Vit Nam c xem xt di 4 yu t chnh sau: i. Cn cn ti khon vng lai Trong giai on 2000 -20011, cn cn xut nhp khu ca Vit Nam lun tnh trng thm ht. Vit Nam l nc nhp siu trong c giai on, iu ny gy bin ng ln trong vic chi ngoi t v cn i vn ca cc NHTM cn bng vi cung cu ngoi t phc v hot ng xut nhp khu, h thng ngn hng d ri vo tnh trng mt kh nng thanh khon ngoi t. ii. Cn cn ti khon vn H thng NHTM thiu ngun ngoi t c lng ha bng s tng ln ca t l ti sn n ngoi t/ti sn c ngoi t. Ngoi ra, vic NHNN buc phi bn ngoi t trn th trng tin t cho cc NHTM m bo thanh khon gy p lc ln i vi d tr ngoi hi quc gia, y l ngun ti sn quan trng duy tr tnh thanh khon cho th trng ngoi hi cng nh iu tit lng cung ngoi hi ca h thng ngn hng thng mi khi tn dng tng trng qu nng. iii. Khu vc ti chnh Chnh sch tin t l mt trong nhng cng c tc ng trc tip v nhanh chng ti khu vc ngn hng. NHNN lin tc iu chnh trn li sut huy ng v cho vay i vi NHTM trong giai on 2000 -2011, gy nh hng mnh m ti tc

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tng trng tn dng ca khu vc ngn hng, c c th ha thng qua lng cung tin t M2, tng tin gi v t l cho vay/ tin gi ca h thng ngn hng. Thm vo , tng trng tn dng qu nng trong khu vc ngn hng giai on ny cng a n nhng ri ro khng nh trong cht lng ti sn c ca ngn hng, c phn nh rt r nt qua ch s n xu (NPLs). iv. Khu vc sn xut Hot ng ca thng NHTM Vit Nam bao gm nhiu nghip v lin quan n th trng chng khon nh c bo lnh pht hnh chng khon, t doanh chng khon (mua bn c phiu, tri phiu doanh nghip), mi gii chng khon, thng qua cc cng ty con, nghip v trc tip cp tn dng i vi nhng khon u t v kinh doanh chng khon nhm a dng ha danh mc u t ca mnh v m rng li nhun. V vy, nhng bin ng bt ng ca th trng chng khon hay chnh l s bin ng ca ch s gi chng khon lun l du hiu cho thy nhng ri ro khn lng i vi nn kinh t ni ring v hot ng ngn hng ni chung. v. Nn kinh t ton cu K t nm 2000 n 2011, t gi danh ngha USD/VND c NHNN cng b lun tng cao, thiu n nh. iu khin t gi mua vo v bn ra USD ca NHTM lun bin ng rt mnh. ng thi, Vit Nam lun trong tnh trng nhp siu cao, l p lc rt ln y t gi ln cao, VND mt gi kh mnh so vi USD cng lm gia tng p lc trong vic m bo cn i vn ngoi t trong hot ng kinh doanh ca h thng NHTM. Thm vo , gi vng trong nc tng rt mnh vi nhiu bin ng theo xu hng ca th gii, rt nhiu phin giao dch t nh gy nh hng ln ti kh nng huy ng vn ca NHTM.

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T nhng phn tch trn cng vi nhng kinh nghim xy dng m hnh ca n v M, cc ch s xy dng m hnh BSF tham s cho Vit Nam c a ra nh sau: Bng 10: Cc ch s cho m hnh cnh bo khng hong h thng ngn hng Vit Nam Khu vc kinh t Cn cn ti khon vng lai Cc ch s d bo Cn cn thng mi/GDP T gi thc hiu dng ca VND D tr ngoi t Ti sn n ngoi t/ti sn c ngoi t ca khu vc ngn hng M2/d tr ngoi t Tn dng ni a/GDP T l cho vay/ tng tin gi ti cc NHTM Trn li sut huy ng T l n xu/ tng cho vay (NPLs)

Cn cn ti khon vn

Khu vc ti chnh

Khu vc sn xut

Ch s gi chng khon Ch s gi tiu dng Tc tng gi vng th gii

Kinh t ton cu

Ngun: Tng hp ca nhm nghin cu 3.3.4. c lng xc sut khng hong Do gp kh khn trong vic thu thp cc s liu vi tn sut theo thng ca cc bin gii thch m bo s lng quan st ln cho m hnh Probit, ng thi cha tnh ton c mt chui ch s BSF trong khong thi gian lin tc di nn ti cha th tin hnh c lng xc sut khng hong ngn hng cho Vit Nam. Tuy nhin, qua nhng kinh nghim c c trong vic nghin cu m hnh cnh bo ca n cng nh xy dng m hnh cho M, m hnh hi quy Probit gm 12 bin gii thch c la chn phn 3.3.2 c xut xy dng. M hnh s s dng ca s cnh bo 6 thng. Tt c cc bin s s c ly theo tun sut thng. 72

Nhng bin s s theo nm hoc qu s c ni suy ra theo thng. Cc ch s s c bin i v thay i % theo nm m bo chui ch s l chui dng. M hnh hi quy c a ra l: P[Y(6)=1] = (Ci + 1 BOT + 2 CD + 3 CPI + 4 DCC + 5 FXRC + 6 LA + 7 M2C + 8 IN + 9 VNI + 10 NPL + 11 GG + 12 REER) Tc ng d kin ca cc bin s ti xc sut xy khng hong trong m hnh c tng hp trong nh sau: Bng 11: Tc ng d kin ca cc bin s ti xc sut khng hong ngn hng ca Vit Nam Ch s Cn cn thng mi/GDP BOT Tc ng d kin ti xc sut xy ra khng hong Tng Tng Tng/gim Tng Gim Tng Gim Tng Gim Tng Tng Tng

Tng cho vay/tng tin gi ti cc CD NHTM Ch s gi tiu dng Tn dng ni a ca cc NHTM/GDP D tr ngoi t N ngoi t/C ngoi t M2/D tr ngoi t Trn li sut huy ng Ch s gi chng khon T l n xu (NPLs) Tc tng gi vng th gii T gi thc hiu dng ca VND Ngun: Tng hp ca nhm nghin cu CPI DCC FXRC LA M2C IN VNI NPL GG REER

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3.4.

Kin ngh iu kin thc hin m hnh cnh bo sm khng hong ngn hng ti Vit Nam

3.4.1. i vi Chnh ph Cho n thi im hin ti nc ta vn cha c mt nh hng c th cho vic xy dng m hnh cnh bo sm khng hong h thng ngn hng. Bn cnh vic ln l trnh ti cu trc h thng ngn hng vi mc tiu t nm 2013 n nm 2015 s tp trung vo vic nng cao cc hiu qu an ton, tun th cc chun mc quc t v cng c xy dng cc nhm ngn hng lnh mnh c sc lm tr ct cho hot ng ngn hng trong nc, Chnh ph cng cn a ra c nh hng xy dng mt m hnh cnh bo sm khng hong h thng NHTM gip ton b h thng ngn hng trong nc hiu v nm bt c tm quan trng trong vic xy dng mt m hnh cnh bo hiu qu v cp thit. Nh , vic hin thc ha m hnh cnh bo mi c th din ra mt cch thun tin v nhanh chng, gp phn vo cng cuc ti cu trc h thng NHTM trong nc cng nh thc y s pht trin lnh mnh v bn vng ca h thng ngn hng. 3.4.2. i vi Ngn hng Nh nc 3.4.2.1. Thng nht cc quy nh trong vic x l v cng b thng tin ca cc ngn hng thng mi Hin nay nc ta vn ang tn ti song song hai h thng k ton p dng cho cc doanh nghip v NHTM. Mc d NHNN khuyn khch vic s dng h thng k ton theo tiu chun quc t, tuy nhin, vn c nhiu NHTM trong nc s dng cc tiu chun k ton ca Vit Nam (VAS) trong vic tnh ton v cng b thng tin, ch s, mc d so vi tiu chun quc t, VAS cn kh nhiu im cha hon thin. V vy, to s ng b trong vic x l thng tin gia cc NHTM, NHNN nn ban hnh quy nh chung v vic s dng cc tiu chun k ton trong h thng ngn hng m bo tnh chnh xc v thng nht trong cc thng tin c cng b t h thng NHTM. 74

Thm vo , vic kim nh tnh hiu qu ca m hnh s thc hin tt hn nu nh c s tham gia ca nhiu bin gii thch. Do , c th nng cao kh nng cnh bo sm khng hong ngn hng ca m hnh, NHNN cng cn ban hnh quy nh c th v nhng thng tin, ch s m cc NHTM cn phi cung cp NHNN c th c c mt ngun bin s cn thit phc v cho m hnh cnh bo. 3.4.2.2. Hon thin cng tc gim st cc ngn hng thng mi

Thanh tra, gim st ngn hng cn c ci thin hot ng ca c quan ny khng ch n thun l gim st cc hot ng hin ti ca cc NHTM m cn phi pht hin ra nhng hn ch v ri ro ang tim n trong h thng, ng thi a ra c nhng nhng du hiu cnh bo sm di gc nhn ca c quan thanh tra gim st. NHNN cng cn c nhng bin php v chnh sch quyt lit hn trong vic iu hnh c ch qun l, gim st hot ng ca cc NHTM, c bit trong vic cp tn dng cho cc lnh vc mang tnh ri ro cao nh bt ng sn v chng khon; v qun tr ri ro ca cc NHTM. t c hiu qu cao trong hot ng gim st, NHNN nn xy dng mt khung php l r rng cho hot ng gim st t xa, phn nh r chc nng ca cc b phn trnh gy ra nhng chng cho trong vic qun l v thc thi nhim v. Thm vo , cht lng ca hot ng gim st t xa cng s c ci thin nu nh xy dng c b ch tiu gim st ph hp vi thc trng pht trin ca h thng NHTM nc ta, song cng khng tch ri khi cc chun mc quc t; p dng cc cng ngh tin tin trong qu trnh thu thp thng tin; nng cao cht lng phn tch v x l cc ch tiu, Bn cnh , hot ng thanh tra v gim st ca NHNN cng cn c thc hin mt cch thng nht v cng bng i vi tt c cc NHTM, khng phn bit v quy m ln hay nh; khi NHTM quc doanh v c phn. Ch c nh vy, nhng ngun thng tin thu v t c quan gim st mi c chnh xc cao, phc v cho vic

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xy dng mt m hnh cnh bo sm khng hong h thng ngn hng hot ng hiu qu. 3.4.2.3. a ra l trnh xy dng m hnh cnh bo sm khng hong h thng

ngn hng thng mi Da vo nhng nh hng ca Chnh ph trong vic xy dng m hnh cnh bo sm khng hong h thng NHTM, NHNN cn c th ha nh hng bng vic a ra mt l trnh cho vic xy dng mt m hnh c th hot ng tt ti Vit Nam. Giai on nghin cu, NHNN cn nghin cu k lng v nhng m hnh cnh bo khng hong h thng ngn hng c p dng trn th gii v kim nh tnh ph hp ca m hnh i vi h thng NHTM nc ta. Giai on th nghim, sau khi chn la c mt m hnh ph hp vi h thng NHTM trong nc, NHNN cn xy dng mt m hnh th nghim hot ng trong mt khong thi gian di nh gi mc chnh xc v hiu qu ca m hnh xy dng trong vic cnh bo khng hong. Giai on p dng: y l giai on m m hnh s c p dng vo thc t v hot ng nh mt nhim v c nh ca NHNN trong vic d bo v hn ch ri ro ca khng hong. c th hon thin hn m hnh, NHNN cn thnh lp mt trung tm d bo khng hong ring, vi chc nng nh mt b my vn hnh m hnh. Trung tm d bo khng hong c xut nh sau (Hnh 3): V mt t chc: y l c quan trc thuc V D bo, thng k tin t, trc thuc NHNN v di s iu hnh ca Chnh ph. V mt hot ng: Trung tm s thu thp, x l thng tin v p dng m hnh cnh bo c th gip NHNN a ra c nhng chnh sch v hnh ng ph hp. Trung tm s a ra cnh bo theo thng, vi ngng cnh bo sm t 6-12 thng. Nhng kt qu cnh bo ny s c trnh ln NHNN t NHNN s ra quyt nh iu hnh chnh sch v hnh ng c th ph hp.

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V mt cu to: Trung tm d bo sm khng hong s gm 3 b phn chnh l: B phn cnh bo nh tnh, B phn cnh bo nh lng v B phn khuyn ngh chnh sch. B phn cnh bo nh tnh s c 2 nhim v chnh l thu thp d liu cc

bin s cho m hnh cnh bo v s dng m hnh c lng xc sut khng hong. Cc bin s s c ly t 5 khu vc l: ti khon vng lai, ti khon vn, khu vc ti chnh, khu vc sn xut, khu vc ti chnh cng v kinh t ton cu. D liu c tng hp t ngun d liu ca Tng cc Thng k v V d bo v thng k tin t ngn hng. B phn cnh bo nh tnh c th p dng nhiu m hnh khc nhau d bo khng hong. Thm vo , cc bin s cng c th c thay i cho ph hp vi tng giai on. Hnh 3: Trung tm d bo khng hong ngn hng theo xut
Chnh ph Ngn hng Nh nc V D bo, thng k tin t Trung tm cnh bo sm khng hong ti chnh-ngn hng B phn cnh bo nh tnh Thu thp d liu bin s c lng xc sut khng hong B phn cnh bo tnh lng B phn khuyn ngh chnh sch

B phn phn tch th trng quc t

B phn phn tch th trng ni a

Ngun: Nhm nghin cu 77

B phn cnh bo nh lng gm 2 b phn nh l phn tch th trng quc

t v phn tch th trng ni a. Hai b phn ny s nh k cung cp cc bn bo co v din bin, tnh hnh ca c 2 th trng quc t v ni a; phn tch nhng ri ro v tc ng ca th trng quc t ti th trng trong nc. B phn khuyn ngh chnh sch s tng hp kt qu t c 2 b phn cnh bo nh tnh v nh lng v xut chnh sch ln NHNN, gip NHNN a ra chnh sch phn ng mt cch kp thi v ng n. 3.4.3. i vi h thng ngn hng thng mi i vi vic xy dng mt m hnh cnh bo sm khng hong h thng NHTM th bn thn cc NHTM l nhng ch th c c li ch trc tip nht. Tuy nhin, m hnh hot ng mt cch hiu qu th bn thn cc NHTM cng phi thc c trong vic to ra c mt ngun d liu u vo tt cho m hnh. 3.4.3.1. Nng cao mc chnh xc v minh bch trong cng b thng tin

M hnh cnh bo ch c th hot ng hiu qu v c ngha khi nhng s liu tnh ton phn nh chnh xc thc trng ca nn kinh t v h thng ngn hng. Mc d NHNN l c quan cng b hu ht cc s liu cn s dng trong m hnh, tuy nhin NHTM mi l cc ch th trc tip cung cp cc thng tin v s liu NHNN tng hp. V vy, phi m bo rng, ngay t khu u tin, cc s liu v thng tin u m bo c mc chnh xc v minh bch nht nh. thc hin c iu ny, cc NHTM cn tm kim nhng gii php nng cao mc chnh xc ca cc thng tin cng b. Mt gii php c a ra l cc NHTM c th thnh lp b phn kim ton ni b trong chnh ngn hng ca mnh, xy dng mi quan h gia thanh tra ngn hng, kim ton ni b v kim ton c lp. Thm vo , cc NHTM nn c trch nhim trong vic cng b cc thng tin mt cch kp thi v chnh xc hn thng qua vic thc hin nghim tc cc quy nh, yu cu ca Chnh ph v NHNN trong vic cung cp cc thng tin v tnh hnh hot ng

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ca bn thn ngn hnh. Hn na, cc NHTM cng nn la chn vic p dng cc tiu chun k ton kim ton tin tin, chnh xc v ph hp hn. 3.4.3.2. Nng cao cht lng qun tr ri ro

Cht lng qun tr ri ro cn yu km ca cc NHTM chnh l nguyn nhn lm gia tng thiu chnh xc trong cc thng tin c cng b. ng thi, vic cha nhn thc r c tm quan trng ca qun tr ri ro trong ni b ngn hng s gy ra nhng thiu st trong vic xc nh v nh gi mc nguy him ca nhng ri ro. V th, n c th lm gim tnh hiu qu ca m hnh cnh bo khng hong trong vic c th qun tr ri ro hiu qu, cc NHTM cn ch xy dng v thc hin cc khung qun tr, chin lc, chnh sch qun l v bo co v ri ro mt cch ng nht theo chun mc v qun tr ri ro. Cc ngn hng cn t chc tt khu phn tch v d bo th trng, nh gi cc ri ro c th xy ra trong tng quy trnh nghip v, ng thi p dng cc tin b v khoa hc cng ngh t c s chnh xc v chi tit hn.

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KT LUN i vi h thng NHTM Vit Nam hin nay, vic ti cu trc h thng c xem nh l mt vn rt cp thit. Hot ng trong mt nn kinh t cn non tr, mc d cha chnh thc xc nhn bt k mt cuc khng hong mang tnh h thng no, nhng ngnh ngn hng nc ta ang phi i mt vi rt nhiu ri ro v thch thc. Do vy, ngn nga cng nh gim thiu c hu qu m mt cuc khng hong h thng ngn hng c th gy ra trong tng lai, ngnh ngn hng nc ta cn xy dng c mt m hnh cnh bo sm khng hong h thng ngn hng hiu qu, nm trong h thng cnh bo sm quc gia. Vi mc ch tm ra c mt m hnh cnh bo sm khng hong h thng NHTM c th p dng c cho Vit Nam da trn kinh nghim ca mt s nc trn th gii, nhm nghin cu tin hnh thc hin ti mang tn xut xy dng m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam da trn kinh nghim th gii. Trong qu trnh nghin cu, nhm thu c mt s kt qu sau: Th nht, ti h thng ha cc vn l lun tng quan v khng hong

ngn hng v cc m hnh cnh bo sm khng hong h thng NHTM trn th gii. T vic so snh cc m hnh, mt m hnh ti u c a ra. Th hai, nhm nghin cu thc tin p dng m hnh cnh bo sm khng hong h thng NHTM ti n v tin hnh xy dng, kim nh m hnh cnh bo tng t cho Hoa K. Th ba, ti a ra c cc gii php xy dng m hnh cnh bo sm

khng hong h thng NHTM ti Vit Nam da trn kinh nghim th gii. Do tnh cht hn ch v quy m nghin cu ca sinh vin, kh khn trong vic tm kim nhng ngun d liu quan trong phc v vic kim nh m hnh cnh bo sm ti Vit Nam nn ti ch dng vic xut mt m hnh cnh bo sm cho khng hong h thng NHTM nc ta. Hy vng rng, kt qu nghin cu s l mt 80

ti liu tham kho hu ch gp phn vo vic nghin cu, xy dng v hon thin m hnh cnh bo sm v khng hong h thng NHTM ni ring v h thng cnh bo sm quc gia ni chung; t c th a ra c nhng d bo hu ch v quan trng h tr cc c quan chc nng a ra nhng chnh sch kp thi v cn thit.

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DANH MC TI LIU THAM KHO Ti liu Ting Vit 1. ADB 2005, Cc c ch cnh bo sm khng hong ti chnh p dng i vi ng , xut bn ln th nht, ADB. 2. Cao Bch Hu 2005, Khng hong ngn hng Nht Bn nhng nm 90 v bi hc kinh nghim cho Vit Nam, i hc Ngoi thng H Ni. 3. Nguyn Phi Ln 2011, M hnh cnh bo sm v chnh sch hng ti n nh kinh t v m, Tp ch Ngn hng, s 02+03, k pht hnh thng 1, trang 27-32. 4. Nguyn Thanh Trc, L Qunh Phng, inh Huy c, H Hi H, Nguyn Th Huyn Trang 2010, Bi hc cho t chc Bo him tin gi Vit Nam (DIV) t vi tr ca Tp on Bo him tin gi Lin bang M (FDIC) trong cuc khng hong ti chnh M 2007-2010, Trng i hc Ngoai thng H Ni. 5. PGS.TS. Phan Th Thu H 2009, Ri ro tn dng v ri ro li sut, trong Qun tr ngn hng thng mi, Nh xut bn Giao thng vn ti, trang 152-155. 6. TS. T Trung Thnh 2012, Nhn din ri ro h thng ngn hng v nhng khuyn ngh cho qu trnh ti cu trc h thng, Tp ch Kinh t v Pht trin, s 1+2, pht hnh thng 1, trang 28-33. 7. TS. Nguyn Quang Dong 2002, Hi quy vi bin ph thuc l ri rc- M hnh LPM, Logit v Probit, trong Kinh t lng chng trnh nng cao, Nh xut bn Khoa hc v K thut, H Ni, trang 44-51. Ti liu Ting Anh 1. Bartholomew, Philip, E, Larry, RM & Whalen, G 1995, The Definition of Systemic Risk, U.S. Office of the Comptroller of the Currency, Department of Economic and Policy Analysis, Bank Research Division, Washington, D.C. 2. Borio & Lowe, 2002, Asset prices, financial and monetary stability: exploring the nexus, BIS WP 114.

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Borio, C & Drehmann, M 2009, Towards an operational framework for financial stability: fuzzy measurement and its consequences, Monetary and Economic Department, Bank for International Settlements.

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Borio, C & Lowe, P 2002, valuation du risque de crise bancaire, Rapport trimestriel BRI.

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Caprio, GJ & Klingebiel, D 1996, Bank Insolvency: Bad Luck, Bad Policy, or Bad Banking?, The World Bank.

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Duttagupta, R & Cashin, P 2008, The Anatomy of Banking Crises, International Monetary Fund.

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Eichengreen & Arteta, 2000, Banking crises in Emerging Markets: presumptions and evidence, Centre for International and Development Economics, WP C00115.

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Gupta, P 2002, Banking Crises: A Survey of the Literature, International Monetary Fund.

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Haugh, D, Ollivaud, P & Turner, D 2009, The Macroeconomic Consequences of Banking Crises in OECD Countries, OECD Economics Department Working Papers, No. 683, OECD Publishing.

10. Kaminsky & Reinhart, 1999, Twin Crises: The causes of Banking and BalanceofPayment Problems, The American Economic Review, vol. 89, No. 3. 11. Kaminsky, GL, Lizondo, S & Carmen, MR 1998, Leading Indicators of Currency Crises, IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pp. 1-48, viewed 12 january 2012. <http://ideas.repec.org/a/pal/imfstp/v45y1998i1p148.html> 12. Kaminsky, GL & Reinhart, CM 1999, The Twin Crises: The Causes of Banking and Balance-of-Payments Problems, American Economic Association, vol. 89(3), pp. 473-500, viewed 15 January 2012. 83

<http://ideas.repec.org/a/aea/aecrev/v89y1999i3p473-500.html> 13. Kibritciouglu 2002, Excessive Risk Taking, Banking Sector Fragility and Banking Crisis, University of Illinois at Urbana Champain. 14. Kunt, AD & Detragiache, E 1998, Financial Liberalization and Financial Fragility, International Monetary Fund. 15. Kunt, AD & Detragiache, E 1998, The Determinants of Banking Crises in Developing and Developed Countries, IMF Staff Papers, Vol. 45, No. 1, International Monetary Fund. 16. Laeven, L and Valencia, F 2005, Systematic Banking Crises: A New Database, IMF Working Paper 08/224, International Monetary Fund. 17. Reinhart, Carmen, Goldstein, M & Kaminsky, G 2000, Methodology for an Early Warning System: The Signals Approach, Published in Assessing Financial Vulnerability: An Early Warning System for Emerging Markets, Institute for International Economics, 2000. 18. Singh, TR 2009, Ordered Probit model of Early Warning System for Predicting Financial Crisis in India, viewed 12 January 2012, <http://www.bis.org/ifc/events/5ifcconf/singh.pdf > 19. Svoboda, BS 2009, Diploma Thesis Financial Stability and Fragile Banking System. Website 1. Central Intelligence Agency 2012, The World FactBook, xem ngy 12/04/2012, < https://www.cia.gov/library/publications/the-worldfactbook/rankorder/2079rank.html> 2. FED 2012, Data Release, xem ngy 20/03/2012, <http://www.federalreserve.gov/econresdata/statisticsdata.htm> 84

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