Tm tt ti NCKH cp ngnh : Phng php qun tr ri ro th trng ti cc Ngn hng thng mi Vit Nam(M s ti: KNH 2008-02; Ch nhim:

m: TS. Phm Huy Hng - Ch Tch Hi ng qun tr Ngn hng TMCP Cng thng Vit Nam). K I: C s l lun v qun tr ri ro th trng ca Ngn hng thng mi (16/11/2011) Trong qu trnh hi nhp kinh t quc t, cc T chc tn dng (TCTD) nc ngoi xut hin ti Vit Nam ngy cng nhiu vi phm vi hot ng ngy cng m rng, chia s, dnh git th phn ni a ca cc NHTM Vit Nam. Ngc li, hot ng ca cc NHTM Vit Nam cng ang c m rng ra trng quc t v chu nhiu nh hng hn t nhng bin ng kinh t th gii. Bi cnh trn khin cc NHTM Vit Nam s phi i mt vi nhiu ri ro t th trng hn bao gi ht. Cuc chy ua li sut v tnh hnh cng thng v thanh khon trong nm 2008, cng nh nhng din bin trn th trng hi oi t 2008 n nay l hi chung cnh bo v nhng nguy c ri ro th trng ngy cng gia tng i vi cc NHTM Vit Nam. Tuy nhin, vic qun tr ri ro th trng (QTRRTT) mt cch bi bn, khoa hc v hiu qu nhm tng cng hiu qu kinh doanh, m bo tnh an ton v pht trin bn vng r rng ang l mt nghip v rt mi v cha c quan tm ng mc i vi nhiu NHTM Vit Nam. Thc t cho thy cc NHTM khng lm y v chun xc cng tc QLRRTT thng phi chu nhng hu qu nghim trng trong hot ng kinh doanh ca mnh v thng xuyn phi i mt vi nguy c thua l trm trng hoc ph sn, m s sp ca hn 17 ngn hng ln ti M trong nm 2008 va qua l mt minh chng in hnh. Ri ro th trng thng chim mt t trng kh ln trong tn tht ca NHTM. Bn cnh , trn th gii cc cng c, phng php lng ha cc gi tr chu RRTT v ang c nghin cu ci tin, u t lin tc. Tuy nhin do vn cn thiu kinh nghim cng nh cha c ci nhn y v cng tc QLRR ni chung v QLRRTT ni ring, vic p dng v trin khai phng php QLRRTT tin tin v ng theo thng l quc t hin hnh vo hot ng ca cc NHTM Vit Nam cn nhiu kh khn. Vi thc trng ni trn, nhm nghin cu la chn nghin cu ti: Phng php qun tr ri ro th trng ti cc NHTM Vit Nam lm ti nghin cu khoa hc cp ngnh. ti c bo v thnh cng ngy 10/11/2009 ti Hi ng khoa hc v cng ngh ngnh ngn hng. Vin Chin lc ngn hng xin gii thiu ti bn c ni dung tm tt ca ti. Chng 1: C S L LUN V QUN TR RI RO TH TRNG CA NGN HNG THNG MI 1.1. Khi nim ri ro th trng trong hot ng ca Ngn hng thng mi 1.1.1. Khi nim ri ro th trng Ri ro th trng (RRTT) c nh ngha l ri ro gi tr ca cc trng thi ni hoc ngoi bng cn i k ton (CKT) chu nh hng bt li bi nhng bin ng trong cc th trng chng khon, li sut, t gi hi oi hay gi c hng ho.

1.1.2. Phn loi ri ro th trng, cc yu t nh hng n ri ro th trng Ri ro li sut (RRLS) l ri ro iu kin ti chnh ca ngn hng chu nhng bin ng bt li v li sut. Bao gm: Ri ro nh gi li; Ri ro ng li tc; Ri ro c s; Ri ro tnh tu chn. Ri ro hi oi (RRH) l kh nng ri ro hin ti hoc tng lai pht sinh i vi thu nhp v vn do nhng bin ng bt li v t gi hi oi. Ri ro chng khon v ri ro hng ha (Equity&Commodity risk): l ri ro gi c (price risk), do s bin ng bt li v gi chng khon, gi hng ha lin quan n cc danh mc u t lm nh hng n thu nhp hoc vn ca ngn hng. Ri ro gi c c hai dng: ri ro h thng v ri ro khng h thng. Ri ro thanh khon l kh nng ngn hng khng p ng c cc yu cu v vn kh dng ca mnh khi pht sinh cc khon phi tr c yu cu thanh ton, dn n nguy c mt kh nng thanh ton. 1.2. Cc loi ri ro th trng ch yu trong hot ng ca Ngn hng thng mi 1.2.1. Ri ro hi oi - Trong hot ng ngn hng, yu t trc tip gy nn ri ro hi oi (RRH) l cc hot ng mua bn ngoi t v hot ng trn ti sn c v ti sn n bng ngoi t ca ngn hng, to nn trng thi ngoi t m. - C ch pht sinh ri ro hi oi c miu t r nht thng qua ba phng php c bn thu li trong hot ng kinh doanh ngoi hi ca ngn hng: Li pht sinh khi ngn hng to trng thi ngoi hi (Exchange Position); Li thu c t kinh doanh chnh lch t gi; Li thu c t chnh lch t gi mua vo v bn ra. 1.2.2. Ri ro li sut a. Tc ng ca ri ro li sut i vi hot ng NHTM: Cn c xem xt theo ba kha cnh sau: Kha cnh thu nhp: B phn thu nhp trc y c quan tm nhiu nht l thu nhp li thun (chnh lch gia tng thu nhp li v tng chi ph li); Kha cnh gi tr kinh t; Cc tn tht ngm. b. Ngun pht sinh ri ro li sut i vi cc NHTM: - Th nht l s khng ph hp v k hn ca ngun vn v ti sn c o bng khe h li sut: Khe h li sut = Ti sn nhy cm li sut Ngun vn nhy cm li sut

Cc ti sn v ngun nhy cm thng l cc loi m s d nhanh chng c chuyn sang p dng li sut mi khi li sut th trng thay i c li. - Th hai l s thay i ca li sut th trng khc vi d kin ca ngn hng v vic ngn hng s dng li sut c nh trong cc hp ng. c. Cc nhn t phn nh quy m ri ro li sut: - Khe h li sut (interest rate gap): Cc nh qun l ngn hng dng khe h li sut nh l tiu ch o kh nng thu nhp gim khi li sut thay i. Khe h li sut hnh thnh do chnh lch ti sn v ngun nhy cm. - Mc thay i ca li sut th trng cng nh hng n quy m RRLS. d. Cc din bin ca ri ro li sut: Li sut thay i khng cng mc ; Mc nhy cm li sut. 1.2.3. Ri ro thanh khon a. Bn cht ct li ca ri ro thanh khon: l s mt cn xng gia cung thanh khon v cu thanh khon do cn i khng chnh xc lung tin ra v lung tin vo hoc do tc ng t bn ngoi m khng lng trc c nn dn n ri ro thanh khon. b. Nguyn nhn gy ra ri ro thanh khon: C 2 nguyn nhn chnh sau Nguyn nhn ch quan: lin quan n chnh vic xc nh nhu cu thanh khon ca ngn hng. Nguyn nhn khch quan: Lin quan n cc tc nhn xu ngoi d kin gy ri ro nh khng hong kinh t ti chnh khu vc, cc tin n tht thit gy nh hng n uy tn ngn hng v cc khon cho vay n hn nhng khng nhn c thanh ton t pha khch hng do lm n thua l, ph sn hoc gp thin tai. c. Cc nhn t phn nh ri ro thanh khon: Cc ch tiu thanh khon; Ngun vn v s dng ngun vn theo k o hn thc t; Khe h thanh khon. 1.3. Cng c Basel v cc phng php qun tr ri ro th trng theo chun mc Basel U ban gim st ngn hng hay chnh l U ban Basel c cc ngn hng trung ng ca 10 nc kinh t pht trin thnh lp nm 1974, vi mc ch hot ng chnh l xy dng nhng khun kh chung kim sot cc ri ro v gim st an ton i vi nhng NH hot ng quc t.

1.3.1. Nhn dng v xc nh cc loi ri ro th trng Cc NHTM nu p dng phng php o lng ri ro th trng ni b th cn p ng cc yu cu ca Basel II v vic nhn dng v xc nh cc yu t gy ri ro th trng, tc l cc mc gi trn th trng c nh hng ti gi tr cc trng thi kinh doanh ca ngn hng. 1.3.2. o lng nh lng ri ro th trng 1.3.2.1. Phng php chun ho Phng php c tiu chun ho s dng nhng nn tng m t cc ri ro c th v RRTT ni chung pht sinh t cc khon n v cc trng thi chng khon c tnh ton ring bit. a. Ri ro li sut: Tiu chun vn i ph ri ro cc trng thi v chng khon n v cc cng c c lin quan ti li sut khc trong s sch kinh doanh ca ngn hng. b. Ri ro chng khon: Tiu chun vn ti thiu i ph vi cc ri ro t vic nm gi cc trng thi i vi chng khon trong s sch kinh doanh. c. Ri ro hi oi: Cc tiu chun vn ti thiu i ph vi ri ro nm gi cc trng thi ngoi t, bao gm c vng. Vng c i x nh l ngoi t hn l nh hng ho v s bin ng ca n lin h cht ch vi ngoi t hn v cc NH qun l vng tng t nh qun l ngoi t. d. Ri ro hng ho: Tiu chun vn ti thiu i ph vi ri ro nm gi cc trng thi v hng ho, bao gm c kim loi qu khng phi l vng. 1.3.2.2. Phng php s dng m hnh ni b Phng php ny cho php cc NH s dng cch o lng ri ro t cc m hnh qun l ri ro ni b ca mnh trn c s m bo 7 b iu kin, bao gm: - Cc tiu ch chung c lin quan ti s y ca m hnh qun l ri ro: - Cc tiu chun nh tnh cho vic gim st vic s dng m hnh trong ni b, c bit l vic gim st ca cc cn b qun l; - Hng dn cho vic xc nh cc yu t gy RRTT ph hp (bao gm gi c v cc t l ca th trng c nh hng ti gi tr ca cc trng thi ca NH ); - Cc tiu chun nh lng quy nh vic s dng cc tham s thng k chung ti thiu cho vic o lng ri ro;

- Hng dn cho vic thc hin kim nh khng hong (stress testing) - Cc th tc nh gi m hnh t bn ngoi - Cc quy tc NH s dng kt hp c m hnh ni b v phng php c tiu chun ho. 1.3.3. Gim st v kim sot ri ro th trng Nguyn tc 1: thc hin cc trch nhim ca mnh, HQT mt ngn hng cn ph duyt cc chin lc v chnh sch lin quan n QLRRTT v bo m rng BH thc hin cc bc cn thit theo di v kim sot cc ri ro ny theo cc chin lc v chnh sch c ph duyt. Nguyn tc 2: BH phi bo m rng c cu hot ng ca ngn hng v mc RRTT m ngn hng gnh chu c qun l hiu qu, cc chnh sch v th tc c thit lp kim sot v hn ch nhng ri ro ny, v cc ngun lc c sn nh gi v kim sot RRTT. Nguyn tc 3: Cc ngn hng cn quy nh r cc c nhn v/hoc cc u ban chu trch nhim QLRRTT v bo m rng c s phn nh r rng nhim v trong cc yu t chnh ca qu trnh QLRR trnh kh nng xung t li ch. 1.4. Khung qun tr ri ro th trng 1.4.1. Khi nim v mc tiu qun tr ri ro th trng Qun tr RRTT bao gm tt c cc hot ng ni bng v ngoi bng ca Ngn hng nhm kim sot mc RRTT, sao cho n nm trong gii hn hay cc mc ngng m Ngn hng c th chp nhn. 1.4.2. Khung qun tr ri ro th trng Hot ng ngn hng tim n rt nhiu ri ro, trong ri ro th trng l mt b phn. Bi th, khung QTRRTT cng nm trong khun kh h thng QTRR thng nht, ng b ca mt NHTM 1.4.3. Cc cng c qun l ri ro th trng Qun tr ri ro th trng (RRTT) c cc NHTM trn th gii nghin cu v pht trin khng ngng t nhiu nm qua, theo ngy cng nhiu cng c c s dng hiu qu nhm QLRRTT. 1.4.3.1 Cng c o lng ri ro th trng: Gi tr chu ri ro VaR, Back testing

a. Khi nim: VaR ca mt danh mc ti sn ti chnh c nh ngha l khon tin l ti a trong mt thi hn nht nh, nu ta loi tr nhng trng hp xu nht (worst case scenarios) him khi xy ra. VaR l mt phng php nh gi mc ri ro ca mt danh mc u t theo hai tiu chun nh gi tr ca danh mc u t v kh nng chu ng ri ro ca ngn hng. b. Cc phng php tnh VaR Bc 1: Phng php phng sai, hip phng sai (Variance and Covariance Method) Bc 2: Phng php phn tch qu kh (Historical Simulation) Bc 3: Phng php Ma trn ri ro (Risk Metrics) Bc 4: Phng php m phng Monte Carlo (Monte Carlo Simulation) 1.4.3.2 Cng c phn tch kch bn ri ro: Stress Test, What-if scenario Mc ch nh gi ri ro theo nhng iu kin xu nht xy ra, hay ni cch khc l kim nh khng hong (street test), l lm r nhng ri ro c th xy ra bng cch d on kh nng tn tht ca danh mc u t ngn hng i vi s bin ng khng bnh thng ca th trng (nh nh hng bi khng hong ti chnh, suy thoi kinh t ton cu....i vi th trng). 1.4.3.3 Cng c bo him ri ro th trng (hedging): cc sn phm phi sinh Cc sn phm phi sinh, thc cht l nhng hp ng ti chnh m gi tr cu n ph thuc vo mt hp ng mua bn c s (hay cn gi l chnh phm), lm thay i trng thi ri ro v cho php ngn hng bo him cc trng thi ri ro, gim thiu cc nh hng bt li i vi thu nhp ca ngn hng khi yu t th trng c s bin ng. 1.4.3.4 Cng c kim sot RRTT: s dng cc hn mc H thng cc hn mc l mt cng c hu hiu cho php cc NHTM kim sot hiu qu quy m ri ro th trng. Cc hn mc hay gii hn c phn b t mc tng th n tng giao dch chi tit, nhm m bo Ngn hng kim sot c trng thi ri ro trong gii hn c th chp nhn, ph hp vi khu v ri ro ca Ngn hng. Chng 2: THC TRNG CNG TC QUN TR RI RO TH TRNG TI CC NGN HNG THNG MI VIT NAM

2.1 Tng quan v mi trng kinh doanh ca cc ngn hng thng mi Vit Nam 2.2. Din bin cc ri ro th trng chnh yu Vit Nam thi gian qua Trong bi cnh kinh t kh khn th ngnh ti chnh ngn hng lun l i tng d b tn thng nht, cng vi nhng thay i c ch chnh sch ca Ngn hng Nh nc (NHNN) tc ng rt ln n hot ng kinh doanh ca h thng cc ngn hng thng mi, c bit l nguy c tim n v ri ro thanh khon, n qu hn v n xu. 2.3. Thc trng cng tc qun tr ri ro th trng ti cc ngn hng thng mi Vit Nam Phn tip theo s i su phn tch thc trng qun l tng loi ri ro: ri ro hi oi, ri ro li sut, ri ro thanh khon ti cc NHTM Vit Nam. 2.3.1. Thc trng qun l ri ro hi oi V c bn hot ng kinh doanh ngoi t ti cc NHTM VN u c trin khai di hnh thc mua bn ngoi t tng chi nhnh ti hi s chnh v trn th trng lin ngn hng p ng nhu cu s dng ngoi t theo nhiu mc ch ca khch hng hay ca chnh ngn hng. Hin nay, cc NHTM VN s dng 4 bin php ch yu sau qun l ri ro trong hot ng kinh doanh ngoi t: 1. Bin php th nht l s dng gii hn trng thi ngoi hi. 2. Bin php th hai l cn bng trng thi ngoi hi. 3. Bin php th ba l hn ch ri ro hi oi bng cc k thut d on t gi. 4. Bin php th t l s dng cc cng c phi sinh. 2.3.2. Thc trng qun l ri ro li sut 2.3.2.1. Chnh sch qun l ri ro li sut Hu ht cc NHTM VN hin nay qun l li sut da trn mt s nguyn tc c bn nh: li sut huy ng c xc nh theo nguyn tc th trng, quy nh sn li sut cho vay m bo b p chi ph vn, cc chi ph qun l v c li. Cc chi nhnh khi cho vay li sut thp nht ti thiu l bng sn quy nh. Qun l RRLS lin h cht ch vi h thng nh gi iu chuyn vn ca mt NHTM. Cc NHTMVN thc hin qun l vn ni b theo c ch iu ho vn, cc chi nhnh tha vn HSC mua v bn li cho cc chi nhnh thiu vn. 2.3.2.2 Cc cng c qun l ri ro li sut. Thc hin duy tr t l thu nhp li cn bin NIM n nh

NIM h s chnh lch li thun = [(Thu nhp li Chi ph li) / Tng TSC sinh li] * 100 Nu chi ph huy ng vn tng nhanh hn li thu t cho vay v u t, hoc li thu t cho vay v u t gim nhanh hn chi ph huy ng vn, th NIM s b thu hp li, ri ro li sut ln. S dng cng c khe h k hn, theo cc ti sn ca Ngn hng c phn loi vo cc thang k hn tng ng, da trn k nh gi li. Biu lch i vi TSN-TSC, th hin s vn chu ri ro li sut v s vn theo tng thi k ti nh gi. Biu lch c lp n gin bng cch s dng khe h nhy cm li sut cng vi vic phn loi cc TSN-TSC theo k hn ti nh gi. S dng cc cng c thi lng v thi lng iu chnh (Duration and Modified Duration), c bit l cng c VaR cho php o lng mc tn tht ngn hng gp phi t ri ro li sut, t c th gii hn mc tn tht ti a, ph hp vi khu v ri ro ca ngn hng trong tng thi k. Cc ngn hng ny cng ang tng bc nghin cu v p dng phng php phn tch kch bn (Scenario Analysis) tnh ton s thay i li nhun ca ngn hng khi li sut thay i, phng php Th nghim khng hong (Stress Testing) gi nh tnh hung th trng gp phi khng hong thanh khon, li sut lin ngn hng tng cao... S dng cc cng c phi sinh bo him ri ro li sut l mt bin php tin tin v rt hiu qu. D vy hot ng ny vn cha c cc NHTM Vit Nam pht trin mnh. 2.3.2.3. Vai tr ca b phn qun l ri ro chuyn trch Tng t nh i vi RRH, RRLS cng c qun l chuyn trch bi b phn QLRRTT trong ngn hng. Bn cnh , b phn Qun l ti sn n - ti sn c cng c trch nhim phi hp cht ch vi b phn QLRRTT trong cng tc qun l RRLS.

2.3.3 Thc trng qun l ri ro thanh khon 2.3.3.1 Chnh sch qun l ri ro thanh khon Hu ht cc NHTM Vit Nam u tun theo mt s nguyn tc qun l ri ro thanh khon c bn nh: - a dng ho ngun vn huy ng nhm m bo kh nng linh hot trong iu kin th trng cng thng. - Xy dng mt nn tng tin gi c nhn n nh v bn vng

- Xy dng/duy tr mt danh mc ti sn c tnh thanh khon cao (ti sn lng) - Cn c cc ti sn ngn hn v di hn n hn cng lc - Qun l cht lng ti sn Mc d vy, c cu h thng ti chnh ti Vit Nam cn mt cn i, h thng ngn hng vn l knh cung cp vn trung v di hn cho nn kinh t ch yu. 2.3.3.2 Cng c qun l ri ro thanh khon Phn tch chnh lch thi hn NHTM xy dng thang thi hn phn b cc ngun vo (Ti sn c) v ngun ra (Ti sn n) vo cc di thi gian, theo thi hn hp ng ca chng. Mc chnh lch thi hn c tnh ton vi tng di thi gian. MCO Dng tin cng dn ti a Bo co MCO th hin tt c cc khon thanh ton c nhn v phi tr, s n hn trong khong thi gian ti a 56 ngy (hoc 8 tun). Cc dng tin c cng gp v b tr theo tng loi tin t v n v kinh doanh. Tnh ton nhu cu d tr thanh khon Cc ngn hng cng s dng cc quy tc v c lng d tr thanh khon cho tng thi k. Khi , d tr thanh khon vn c tnh ton: D tr thanh khon vn = 0.95 x (Ngun vn nng-DTBB) + 0.30 x (Ngun vn km n nhDTBB) + 0.15 x (Ngun vn n nh DTBB) Tip , ngn hng xc nh phn d tr cn thit cho cc khon vay cam kt trong k k hoch. Tng d tr thanh khon cho ngn hng trong k k hoch c tnh ton: Tng d tr thanh khon = D tr thanh khon vn + D tr thanh khon cho vay S dng cc ch s phn nh kh nng thanh khon 2.3.3.3. Vai tr ca b phn qun l ri ro chuyn trch i vi mt NHTM, trch nhim chnh i vi QLRRTK thuc b phn qun l ti sn n - ti sn c, bn cnh b phn QLRR c trch nhim theo di, gim st v h tr. Cc NHTMVN a phn thnh lp cc b phn ny, tuy nhin vai tr cn rt m nht, kh nng d bo v phn tch th trng phc v QLRRTK cn nhiu hn ch. 2.4. Cc hn ch trong vic qun tr ri ro th trng v nguyn nhn - Thiu mt chin lc QLRRTT tng th, ng b.

- C cu t chc cha hon thin, ngun nhn lc chuyn su QLRRTT cn thiu - Cng ngh v h thng bo co thiu ng b Chng 3: XUT NHM NNG CAO CHT LNG CNG TC QUN TR RI RO TH TRNG TI CC NGN HNG THNG MI VIT NAM 3.1. Yu cu i vi cng tc qun tr ni chung, qun tr ri ro ni ring ca cc NHTM VN hin nay a. Cc NHTM Vit Nam cn ch n khu qun tr chin lc, n c ngha quyt nh n s thnh cng ca mt Ngn hng. Qun tr chin lc gip cho Ngn hng thy r mc ch v nh hng kinh doanh ca mnh. Qun tr chin lc lm tng tnh ch ng ca Ngn hng, tng kh nng thch nghi ca Ngn hng vi nhng khuynh hng mi v mi trng kinh doanh mi. b. Song song vi i mi qun tr chin lc, cc NHTM Vit Nam cn thay i c cu t chc theo m hnh Ngn hng hin i.

c. Cc NHTM cng cn phi quan tm c bit n vic qun tr ri ro h thng.

d. Mun thc hin c nhng mc tiu trn, cc NHTM Vit Nam khng th khng quan tm n vn qun tr ngun nhn lc. 3.2. xut nhm nng cao cht lng cng tc qun tr ri ro th trng ti cc NHTM Vit Nam 3.2.1. p dng m hnh gi tr chu ri ro (VaR) nhm lng ha ri ro th trng Trong hot ng QLRRTT, m hnh gi ch chu ri ro (VaR) c p dng nh l mt cng c o lng nh lng hu hiu nht hin nay. Hu ht cc NHTM trn th gii u ang p dng m hnh tnh VaR xc nh mc chu ri ro ti a i vi cc hot ng kinh doanh trn th trng ti chnh ca mnh, trn c s cc ngn hng c th a ra cc yu cu vn ti thiu lin quan n RRTT. 3.2.2 p dng m hnh thi lng trong qun l ri ro li sut Thi lng ca mt ti sn l thc o thi gian tn ti lung tin ca ti sn ny, c tnh trn c s cc gi tr hin ti ca n. Cc ngn hng c th thc hin chnh sch cn xng k hn n hn ca ti sn c v ti sn n, d vy khi nim thi lng ca ti sn cho thy ngn hng vn lun phi chu ri ro li sut. a. Thi lng trong mi lin h vi k hn o hn ca ti sn b. Thi lng v nh hng ca bin i li sut th trng c. S dng m hnh thi lng phng nga ri ro li sut 3.2.3 Xy dng h thng qun l ti sn n - ti sn c S dng NPV gi tr hin ti rng ca bng CKT v cc gi nh Vn hnh vi hay quyn chn tim n (Behaviour & Implicit options) 3.2.4. p dng cc cng c mi trong qun l ri ro thanh khon

3.2.5. S dng cc sn phm phi sinh bo him ri ro Sn phm phi sinh l cng c ti chnh c gi tr ph thuc vo gi tr ca mt ti sn c bn (TSCB - underlying asset), ra i xut pht t nhu cu qun tr ri ro bao gm vic chia tch, kim sot v chuyn i ri ro t ch th ny sang ch th khc. Ni cch khc, sn phm phi sinh l cng c bo him ri ro. 3.2.6. Qun l ri ro chng khon v ri ro hng ho Nh cp trong Chng I, hin nay ri ro chng khon v ri ro hng ho cha c cc NHTM VN quan tm nhiu so vi cc dng ri ro th trng khc, bi l cc NHTMVN cha trc tip c hot ng kinh doanh hng ho, chng khon. 3.2.7. Mt s gii php khc - Nng cao nng lc ti chnh. - Hon thin h thng thng tin qun l. - Mua sm, trang b phn mm qun tr ri ro th trng. - Hon thin m hnh t chc qun tr ri ro th trng. - o to ngun nhn lc qun l ri ro. 3.3. Mt s kin ngh Bn cnh nhng gii php a ra i vi cc NHTM, qu trnh QTRRTT c c sm trin khai thnh cng vi h thng NHTM Vit Nam hay khng, cn ph thuc nhiu vo s ch o, hng dn cng nh to iu kin h tr t pha cc c quan chc nng, cc B, ngnh lin quan, m c bit l Ngn hng Nh nc Vit Nam v Hip hi Ngn hng.

3.3.1. Kin ngh vi Chnh ph, B, Ngnh lin quan - C chnh sch ci cch khu vc Ngn hng, bao gm c NHNN v NHTM, thc y nhanh qu trnh c phn ha cc NHTM Nh nc nhm tng cng nng lc ti chnh, tng cng qun tr, iu hnh ca cc NHTM Nh nc hin nay; - Khuyn khch hot ng ca Cng ty Kim ton c lp, nhm to lp mi trng cng khai minh bch v ti chnh ca tt c doanh nghip; - Cn c s r sot thng xuyn cc vn bn php lut, cc quy nh, hng dn c lin quan n hot ng ca NHTM nm bt cc kh khn vng mc khi p dng, t c s chnh sa kp thi v to iu kin cho cc NHTM hot ng hiu qu hn gp phn lm cho nn kinh t pht trin vng chc 3.3.2. Kin ngh vi Ngn hng Nh nc Qun tr ri ro th trng l mng hot ng kh phc tp v kh khn, bi phm vi ca n rt rng, ng thi cc yu t ni hm li c mi tng quan phc tp, c nh hng qua li ln nhau di nhiu gc . Chnh v vy, qun tr RRTT mt cch hiu qu, cn thc hin ng b, thng nht phi hp tt c cc cp , m cp cao nht chnh l NHNN vi cc chnh sch iu hnh c nh hng trc tip v su rng n ton h thng. 3.3.3. Kin ngh vi Hip hi Ngn hng Hip hi Ngn hng l t chc ngh nghip trong lnh vc hot ng kinh doanh Ngn hng, t vn cho cc NHTM gii quyt cc vn v nghip v pht sinh trong thc t. Vi t cch , nhm pht trin hot ng QTRRTT ti Vit Nam, Hip hi Ngn hng Vit Nam cn: Th nht, ng ra t chc cc bui to m, Hi tho nghin cu v hot ng QTRRTT trong cn tp trung vo mt s chuyn quan trng nh: s phi hp gia cc TCTD tham gia QTRRTT, hn ch ri ro trong hot ng QTRRTT... Th hai, lm u mi cho cc NHTM Vit Nam cng chia s kin thc, kinh nghim trong qu trnh tm kim i tc, nghin cu trin khai h thng QTRRTT... Th ba, tm hiu v nghin cu vic trin khai hot ng QTRRTT ti cc nc trn th gii, qua c s t vn kp thi cho cc Ngn hng v vn xy dng v hon thin qu trnh QTRRTT, c th nh vic xy dng Quy nh QLRRTT i vi cc NHTM, cc Mu biu p dng m bo tnh khoa hc, thng nht v ph hp vi thng l quc t..../.