S liu v ni dung ca Basel II:

- Mc tiu ca Basel II: Nng cao cht lng v s n nh ca h thng ngn hng quc t; To lp v duy tr mt sn chi bnh ng cho cc ngn hng hot ng trn bnh din quc t; y mnh vic chp nhn cc thng l nghim ngt hn trong lnh vc qun l ri ro. Hai mc tiu u ca Basel II l nhng mc tiu ch cht ca Hip c vn Basel I. Mc tiu cui cng l mi, l du hiu ca vic bt u chuyn dn t c ch iu tit da trn t l, m ch l mt phn ca khung mi, hng n mt s iu tit m s da nhiu hn vo cc s liu ni b, thng l v cc m hnh. - Basel II s dng khi nimBa tr ct: 1. Yu cu v vn ti thiu 2. Gim st, v 3. Quy lut th trng - nng cao tnh n nh trong h thng ti chnh.

Lch s hnh thnh :

Sau hng lot v sp ca cc ngn hng vo thp k 80, mt nhm cc Ngn hng Trung ng v c quan gim st ca 10 nc pht trin (G10) tp hp ti thnh ph Basel, Thy S vo nm 1987 tm cch ngn chn xu hng ny. Nm 1974, BCBS c thnh lp t nhm G10 Ngn hng Trung ng. (Basel Committee on Banking Supervision : y ban Basel v gim st ngn hng y ban Basel v Gim st Hot ng Ngn hng c thnh lp nm 1975 gm thng c cc ngn hng trung ng: B, Canada, Php, c, Italy, Nht Bn, Luxembourg, H Lan, Ty Ban Nha, Thy in, Thy S, Anh v Hoa K) Nm 1988, Hip c vn Basel u tin (Basel I) ra i v c hiu lc t 1992. Nm 1996, c sa i b sung thm ri ro th trng (c hiu lc t 1997). Thng 6/1999, xut mt khung mi chng trnh t vn ln th nht (First Consultative Package CP1). Nm 1999: ra 25 nguyn tc c bn v gim st ngn hng hu hiu Thng 1/2001, chng trnh t vn ln th hai (CP2). Thng 4/2003, chng trnh t vn ln th ba (CP3). Qu 4/2003, phin bn hon thin ca Hip c Basel mi. Thng 1/2007, Hip c vn Basel mi (Basel II) c hiu lc. 2010, chm dt qu trnh chuyn i

Nhng im chnh ca hip c Basel II :

Basel II bao gm nhng khuyn ngh v lut v quy nh ngnh ngn hng, c ban hnh bi U ban Basel v gim st ngn hng (Basel Committee on Banking Supervision BCBS). Basel II s dng khi nim ba tr ct: 4. Yu cu v vn ti thiu 5. Gim st, v 6. Quy lut th trng - nng cao tnh n nh trong h thng ti chnh. Tr ct th I Tr ct th I lin quan ti vic duy tr vn bt buc. Lng vn duy tr c tnh ton theo ba yu t ri ro chnh m ngn hng phi i mt: ri ro tn dng, ri ro vn hnh v ri ro th trng. Nhng loi ri ro khc khng c coi l c th lng ho hon ton bc ny.

T l CAR T l McDonough Cc cch tip cn tnh ton yu cu v vn: o Ri ro h thng o Ri ro th trng o Ri ro tn dng o K thut lm gim ri ro tn dng Kt qu QIS

Tr ct th II Tr ct th II lin quan ti vic hoch nh chnh sch ngn hng, cung cp cho cc nh hoch nh chnh sch nhng cng c tt hn so vi Basel I. Tr ct ny cng cung cp mt khung gii php cho cc ri ro m ngn hng i mt, nh ri ro h thng, ri ro chin lc, ri ro danh ting, ri ro thanh khon v ri ro php l, m hip c tng hp li di ci tn ri ro cn li (residual risk). Bn nguyn tc xem xt gim st 1. Ngn hng nn c mt quy trnh xc nh mc vn ni b theo mc ri ro v chin lc duy tr mc vn ca h. 2. Cc gim st vin nn xem xt v nh gi vic xc nh mc vn ni b v chin lc ca ngn hng, cng nh kh nng gim st v m bo tun th t l vn ti thiu.

3. Khuyn ngh rng ngn hng nn gi mc vn cao hn mc ti thiu theo quy nh. 4. Nhng ngi gim st s tm cch thm nhp vo nhng giai on u tin ngn cn mc vn gim xung di mc ti thiu. Tnh ton t l an ton vn ti thiu

Khung hip c mi bao gm c: o nh ngha hin ti v vn thng xuyn. o Yu cu t l vn ti thiu trn ti sn tnh theo ri ro gia quyn phi t 8% tr ln. T l tha ng v vn (CAR) 8% CAR = (Vn cp I + Vn cp II + Vn cp III)/RWA

Cch tip cn IRB cc loi mc nhy cm Cch tip cn da trn phn cp ni b (Internal Ratings Based approach) cp n mt h thng cc k thut o lng ri ro c a ra bi lut tha ng vn Basel II i vi cc t chc ngn hng. 1. Mc nhy cm ca doanh nghip (corporate exposure): ngha v n ca doanh nghip, theo ngun hon tr li tin ch yu l t hot ng hin ti ca bn vay, ch khng t dng tin t d n hoc t bt ng sn. 2. Mc nhy cm ca ngn hng (bank exposure): bao gm cc cng b i vi ngn hng v cc cng ty chng khon; h c th bao gm cc Ngn hng Pht trin a phng (MDB). 3. Mc nhy cm ca quc gia (sovereign exposure): bao gm cc quc gia (v cc ngn hng Trung ng). PSE c nh ngha nh mt php ch theo cch tip cn tiu chun, v cc MDB tha mn cc tiu ch 0% v ri ro theo cch tip cn tiu chun. Ri ro th trng Hai phng php o ri ro th trng (bt bin): 1. Cch tip cn chun ha. 2. Cch tip cn m hnh ni b (m hnh gi tr khi ri ro: Value-at-Risk VaR). Ri ro tn dng

Ri ro c nguyn nhn t s khng chc chn v kh nng hoc sn sng ca mt i tc thc thi cc ngha v trong hp ng.

Cch tip cn tiu chun c iu chnh: o Tng cng nhy cm i vi ri ro so vi Hip c 1988. Song ging nh hip c 1988, trng s ri ro c quyt nh bi phn loi ngi vay (chnh ph, ngn hng, doanh nghip). o Trng s ri ro da vo phn loi tn dng bn ngoi (nu c). o Gia tng nhy cm v ri ro. o Hng ti cc ngn hng mong mun c mt khung vn n gin. Yu cu vn ti thiu = Mc nhy cm x Trng s ri ro (%) x 8%

Trng s ri ro Phn loi AAA ti AAQuc gia 0% Ngn Trng hp 1 20% hng Trng hp 20% 2 Doanh nghip 20%

nh gi A+ ti BBB+ ti BB+ ti Di B- Khng ABBBBxp loi 20% 50% 50% 50% 50% 100% 50% 100% 100% 100% 100% 100% 150% 150% 150% 150% 100% 100% 50% 100%

IRB c bn (F-IRB) v IRB nng cao (A-IRB): o Da vo tnh ton ni b ca mt ngn hng. o Nhy cm hn nhiu i vi ri ro. o i cng vi cc tiu chun ti thiu v yu cu cng b thng tin.

Tr ct th III Tr ct th III lm gia tng mt cch ng k cc thng tin m mt ngn hng phi cng b. Phn ny c thit k cho php th trng c mt bc tranh hon thin hn v v th ri ro tng th ca ngn hng v cho php cc i tc ca ngn hng nh gi v tham gia chuyn giao mt cch hp l. So snh gia hip c 1988 v hip c mi: Cu trc v ni dung Tnh linh ng ca Hip c 1988 Yu cu vn ti thiu Hip c mi Ba ct tr nhn mnh hn v phng php lun ni b ca ngn hng, xem xt nh gi, v quy lut th trng Mt quy nh cho tt Linh hot hn, mt lot cc cch tip cn, c khuyn khch qun l ri ro tt hn

ng dng Nhy cm vi ri ro Trng s ri ro K thut gim ri ro tn dng

o c ri ro qu s Nhy cm hn vi ri ro b 0~100, u i hn 0~150 hoc hn, khng c c quyn no, vi cc nc OECD bao gm c phn cp bn trong v bn ngoi Ch h tr v m Nhiu k thut hn nh h tr, m bo, bo phi sinh tn dng, lp mng li v th (position netting)

u im ca Basel II so vi Basel I: - V cu trc v ni dung: Basel I tp trung vo mt gii php qun l ri ro duy nht l yu cu vn ti thiu. Trong khi, Basel II tp trung nhiu hn vo cc phng php ni b ca chnh ngn hng, nh gi hot ng thanh tra, gim st v k lut trn nguyn tc th trng. Do , quyn lc ca cc nh qun l quc gia c tng ln bi h cn phi nh gi s vn ca ngn hng c tnh n c im ri ro c th ca n. - V tnh linh ng ca ng dng: Basel I quy nh chung mt chn la cho tt c cc ngn hng. Basel II linh hot hn vi mt danh sch cc phng php, cc bin php khuyn khch cc nh qun l quc gia v cc ngn hng chn la. - V tnh nhy cm vi ri ro: Basel I o c ri ro qu s b. Basel II nhy cm hn vi ri ro thng qua nhy cm ca yu cu vn i vi mc ri ro tng ln v s cng khai bt buc mt cch chi tit v nhy cm ri ro v chnh sch ri ro. - V trng s ri ro: Basel I quy nh t 0 100 v u i hn vi cc nc thuc T chc hp tc v pht trin kinh t (OECD- Organisation for Economic Co-operation and Development). Basel II quy nh t 0 - 150 hoc hn v khng c c quyn no, bao gm c phn cp bn trong v bn ngoi. - V k thut gim ri ro tn dng: Basel I ch h tr v m bo. Basel II tha nhn v k thut gim thiu ri ro tt hn, a ra nhiu k thut hn nh h tr, m bo, phi sinh tn dng, lp mng li v th (position netting).

Vit Nam c nhng im p dng khc vi Basel II: ng dng Basel I trong Quy nh t l an ton vn ti thiu l 8% trong Quyt nh 457/2005/Q NHNN v c sa i b sung bng Quyt nh 03/2007/Q-NHNN v Quyt nh 34/2008/Q-NHNN (xem 457)

Quyt nh 493/2005/Q NHNN quy nh v trch lp d phng ri ro tn dng p dng Basel I tng bc p dng cch tnh n gin ca Basel II Ch th s 03/2007/CT NHNN Quy nh v cho vay chng khon