Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

Khng hong cho vay th chp di chun M:

Bi hc v mt s kin ngh
Phm Ton Thin**
Phng 1217, To nh Crystal, S 2000 ph South Eads, Arlington, Virginia 22202, Hoa K
Nhn ngy 09 thng 12 nm 2008

Tm tt. Hu nh khng c bt k du hiu cnh bo no, khng hong cho vay th chp di
chun M bt ng n ra vo gia nm 2007. Cuc khng hong ny c tc ng mnh n c
h thng ti chnh ln nn kinh t thc. Cc c quan iu tit ti chnh ca M, t Cc D tr Lin
bang M (FED), y ban Chng khon (SEC) cho ti B Ti chnh u phi vo cuc nhm gii
quyt khng hong. Ngun gc ban u ca cuc khng hong ti t ny l s chng khon ho
cc khon cho vay mua nh khng tiu chun. Th nht, c ch cho vay b n gin ho,
da hon ton vo nhng nh gi ca cc cng ty nh gi mc tn nhim, dn n nhiu
khon vay khng chun. Th hai, c ch chng khon ho nh ng cc khon vay
chun v khng chun, gy ra c bong bng nh t ln chng khon. Kin ngh ca bi vit
ny l cn xem xt li chc nng ca chng khon ho vi t cch l mt cng c ti chnh, trnh
vic u t ch yu da vo nh gi ca cc t chc nh gi mc tn nhim, tm ra phng
thc nh gi ti sn trong iu kin thiu thanh khon, tng tnh minh bch v ri ro ngn hng v
suy ngm v m hnh kinh doanh mi.
Bi vit s dng khng hong cho vay th chp di chun trong h thng ti chnh ton cu nh
mt v d v tm quan trng ca qun tr ri ro trong cc t chc ti chnh. Cng nh Oxy, qun tr
ri ro ch c quan tm khi thiu n. Thng thng, khi qun tr ri ro hot ng, chng ta xem
nh n, song khi n ngng hot ng th h thng chuyn ng chm li v dng hn...

1. Gii thiu*

him ca h mt hn 1/2 ti sn do s st gim

mnh gi tr danh mc u t cho vay th chp.
Khch hng khng th rt tin v iu duy nht
h c th lm l theo di mt cch v vng s mt
gi ca cc khon u t.
2. Banque Nationale Paribas (BNP), ngn
hng ln nht ca Php nh ch hot ng cc
qu bo him ca h do th trng chng khon
th chp mt thanh khon.
3. Hai ngn hng ln ca Trung Quc, Ngn
hng Cng thng Trung Quc v Ngn hng
Trung Quc, thng bo khon l tr gi 11 t
USD v nhng ri ro lin quan n cho vay th
chp.

Thng 8/2007, cuc khng hong cho vay th

chp di chun n ra M m khng c bt
k du hiu cnh bo no. Khng hong lan
n cc trung tm ti chnh ln khc nh:
London, Tokyo, Paris, Frankfurt. Ln u tin
nhiu ngn hng ln ri vo khng hong cho vay
th chp kiu ny.
Nhng din bin u tin ca khng hong:
1. Bear Stearns, ngn hng u t ln th 5
ca M, thng bo hai trong nhiu qu bo

______
*

E-mail: ttpham25@aol.com

39

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P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

4. Anh, ln u tin k t sau cuc i suy

thoi, dn chng xp hng trc ca ngn hng
Northern Rock rt tin.
5. Tin tc v cc s kin ny lan to v to
ra c sc ti chnh ton cu.
Khng hong ti chnh bt ngun t lnh vc
cho vay th chp di chun M. Vo thng
8/2007, t l thanh ton chm tng 36%, t k
lc cao nht trong 16 nm qua. Nm 2007, v th
ti sn ca nhng ngi s hu nh thay i t
thanh ton chm n tch thu ti sn th n
v t l ny tng gp i so vi nm 2006. Cc
khon vay th chp di chun ch chim 16%
tng s vn vay th chp, nhng li chim ti
50% cc khon v n.
2. Ngun gc khng hong
2.1. Mi trng li sut thp
Cui nm 2001, khi nn kinh t M ri vo suy
thoi, FED lin tc ct gim li sut. Chnh sch
tin t m rng khuych trng cc hot ng
kinh t. n gia nm 2002, nn kinh t thc s
phc hi nhng mi lo ngi v vic suy thoi c
th quay tr li khin Ch tch FED, Alan
Greenspan, v ng nghip quyt nh gi nguyn
li sut ch o mc 1% trong sut 2 nm 2003
v 2004.
Cn c vo tn hiu ca ngn hng trung
ng, li sut trn hu khp cc th trng ti
chnh u gim mnh. c bit, li sut i vi
khon vay c nh 30 nm ch mc 4% n 5%,
thp nht trong vng 40 nm qua.
2.2. Ngun tin mt phong ph
p li chnh sch tin t ni lng ca FED,
lng cung tin trong nn kinh t M tng
mnh. Khi lng cho vay ca tt c cc loi hnh
tn dng ngn hng tng lin tc, thc y qu
trnh m rng tin t ang din ra.
S gia tng ca khi lng tn dng cn c
thc y bi dng vn nc ngoi chy vo n
nh. FED khng h thc hin bt k mt bin
php no trung ha ha tc ng ca dng

vn vo i vi cung tin v h tin rng nn kinh

t vn ang trong qu trnh phc hi. Vi s tng
trng mnh m ca nn kinh t vo cui nm
2002, thu nhp c nhn v li nhun ca cng ty
u tng ln ng k.
2.3. Gi nh tng lin tc
Cui nm 2002, hot ng ca th trng nh
din ra si ng nh thu nhp c nhn tng, li
sut cho vay th chp thp v cc khon tn dng
di do. iu ny khin cho tt c cc ch th
tham gia th trng u mun tranh th kim li.
Ngi dn x i mua nh nhm kim li
bi h tin tng rng gi nh s tng cao hn.
Nhiu nh u c thu c li ln ch n gin
bng cch mua nh v bn li, thm ch ngay c
khi nhng ngi nh cha c xy xong v
a vo s dng. Cc nh mi gii cho vay th
chp nn nng y nhanh v kt thc cc giao
dch nhm thu v cc khon ph v chuyn sang
cc giao dch k tip. V sau, ngi ta mi nhn
ra rng nhiu ngi mua nh th chp tiu
chun li b hng vo nhm i tng vay n
di chun bi v nhng ngi bn trung gian
c hng ph cao hn t loi ny.
Nhng ngi cho vay cm thy an ton v ri
ro v n ang gim theo thi gian do gi nh vn
tip tc tng. Gi tr ti sn ca nhng ngi s
hu nh cng tng theo tng ng.
Hu ht cc khon vay di chun u theo
hnh thc vay th chp vi li sut linh hot
(ARM). Theo truyn thng, ngi mua thng
mun vay tin mua nh vi li sut c nh hn l
li sut linh hot, theo , h s phi thanh ton
hng thng tin li vi li sut c nh trong sut
30 nm. Tuy nhin, li sut ARM li rt thp vi
thi hn t 3 n 5 nm. Chnh v vy, n thu
ht c nhng ngi mua c thu nhp thp. Tuy
nhin, cc khon tin li phi tr hng thng
tng dn theo thi gian do li sut cho vay c
iu chnh ln nhng mc cao hn.
2.4. Nhn thc sai v ri ro
Nhn chung, tt c cc thnh vin th trng
nh gi sai v mc ri ro thc v n khi h
nhn ra th ri ro bin thnh khng hong.

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

Nhng ngi mua nh khng cm nhn c

ri ro bi v s gia tng lin tc ca gi nh cho
php h tr n rt d dng bng cch vay thm.
Nhng ngi cho vay cng khng duy tr cc
khon n ca h trong s sch m bn chng cho
cc ngn hng u t nhng ngn hng ny
bin chng thnh nhng ti sn c chng
khon ha v bn cho cc nh u t chng
khon. Do vy, nhng ngi cho vay th chp
lin tc c c tin mt v tip tc to ra cc
khon n tng t, y gi nh ln cao hn v
mt chu trnh mi li bt u.
2.5. Rn nt xut hin
Tuy nhin, vo u nm 2006, th trng nh
t bt u c du hiu suy gim. Nhng ngi nh
mi xy khng bn c v hu qu l s tng
gi bt u gim mnh. Nguyn nhn ca tnh
trng ny l s o ngc chnh sch tin t ca
FED. Nn kinh t M bc vo nm th 4 tng
trng lin tc v nhng du hiu lm pht gia
tng mnh xut hin. Mt lot cc ch s gi
khc cng gia tng. FED phn ng li bng
cch lin tc tng li sut.
Chnh sch tin t tht cht ca FED lm
cho li sut ARM tng cao. Li sut tng gy bt
ng i vi nhng ngi vay n di chun. Do
tnh trng ti chnh eo hp, nhiu ngi khng
kh nng thanh ton. T l n qu hn v v
n bt u tng mnh. iu ny i ngc vi
vic cc nn tng c bn ca nn kinh t vn tt
bi li sut mc d c khuynh hng tng nhng
vn mc thp trong lch s.
3. C ch cho vay th chp
Cho vay th chp ng chun l khon cho
vay mua bt ng sn c cht lng cao. N c
quyt nh mt cch cn thn bi mt nhn vin
tn dng v c m bo bng nhng giy t ca
ngi i vay chng minh kh nng thanh ton cho
ngn hng, bao gm: thu nhp hng nm, tiu s
ngh nghip, h s vay mn trc y, ti sn
v cc khon n.
Cho vay th chp di chun l khon cho
vay cht lng thp vi mc ri ro cao. Cc

41

khon vay ny khng c xem xt k lng v

thng c bo m bi rt t hoc khng c
giy t chng minh kh nng ti chnh ca ngi
i vay.
Theo truyn thng, mt ngi i vay phi
trnh ngn hng n xin vay vn. n ny c
xem xt bi mt nhn vin tn dng v vic xem
xt ny phi c th hin r rng bng vn bn.
ng thi, ngi vay phi a ra cc giy t lin
quan n thu nhp, tiu s ngh nghip, ti sn v
cc khon n. Ngn hng c th ng cho vay
th chp vi li sut c nh trong sut 30 nm
hoc cho vay th chp theo li sut c th t iu
chnh ARM. a s ngi i vay chn hnh thc
vay theo li sut c nh.
Vo nhng nm 1980, khi s lng doanh
nghip tng ln nhanh chng, cc ngn hng cho
rng th tc cho vay theo kiu truyn thng qu
cng knh v km hiu qu. Do vy, h bt u
p dng c ch tnh im tn dng cho khch
hng. Mi cng dn M u c mt mc im tn
dng, t 300 n 850, nhm phn nh lch s
thanh ton c nhn. C ba t chc tn dng thu
thp thng tin v h s thanh ton ca tng khch
hng. Cc ngn hng ly im trung bnh ca ba
t chc ny quyt nh mc tn nhim tn dng
ph hp. Mc d ngi i vay vn phi a ra
nhng giy t v thu nhp, tiu s ngh nghip,
ti sn nhng c th n gin hn. Cc nhn vin
tn dng thc hin cc quyt nh cho vay ch yu
da trn im tn dng.
Trong nhng nm u ca th k XXI, khi s
bng n ca gi nh t tr nn nh im, s
lng cc giy t c gim thiu ti mc
thp nht. Cc khon vay ny cn c gi l
khng giy t bi v chng hu nh khng
c bo m bng bt k giy t no. im tn
dng tr thnh tiu chun duy nht. Nu im tn
dng ca mt c nhn thp th khon vay mang
hnh thc di chun (y l khon vay vi cht
lng thp hn so vi khon vay t chun, vn
c cho vay vi y cc giy t cn thit).
b p li ri ro cao, nhng khon vay ny l
nhng khon vay vi li sut cao hoc ngi i
vay phi vay theo li sut ARM vi li sut ban
u thp sau c iu chnh dn ln nhng
mc cao hn.

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P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

Cc nh mi gii khi dn xp cc khon vay

ri ro ny cng yu cu khon ph cao. Nh vy,
hot ng ca ton h thng c thc y bi
khi lng tn dng cao, tiu chun tn dng thp,
li sut v ph cao. Hu ht nhng ngi cho vay
khng nhn ra ci by h ang bc vo. ng
thi, nhiu ngi i vay li dng s d di ca
mi trng cho vay u c. H khng mua nh
m ch gi mt thi gian ri bn li cho
ngi khc nhm kim li.
4. Sc mnh thn b ca ti chnh
4.1. M hnh kinh doanh To ra v nm gi
(The originate-and-hold business model)
Theo truyn thng, ngn hng ghi nh cc
khon vay trong s sch thu li hng thng v
vn gc khi n hn thanh ton. Trong trng
hp khch hng gp kh khn v ti chnh, h c
th n ngn hng gia hn nhm trnh s v n
hoc tch thu ti sn. S ng thun ny mang li
li ch cho c hai bn. Ngi i vay trnh c
vic mt nh. Ngn hng cng khng mun tr
thnh ch nh trong bt k tnh hung no v y
khng phi l hnh thc kinh doanh ca h. Hu
ht cc ngn hng bn mt phn xc nh danh
mc cho vay ca h cho Hip hi Th chp Quc
gia Lin bang (Fannie Mae) hoc Hip hi Th
chp Quc gia Chnh ph (Ginnie Mae). y l
hai c quan c bo tr bi chnh ph M
(GSE) v c nhim v lm tng tnh thanh khon
ca th trng cho vay th chp. Bng cch bn
li ny, cc ngn hng c th c thm vn cho
vay nhiu hn v do p ng c mc ch
ca chnh ph khuyn khch ngi dn s hu nh.
M hnh To ra v phn phi" (The
originate-and distribute model)
Vo nhng nm 1990, mt cng c ti chnh
ch yu mi xut hin. l C phiu c
m bo bi cc khon cho vay th chp (The
Mortgage Backed Securities, MBS). Mt nhm
ngn hng u t to ra cng c ti chnh ny
theo ngh ca FNMA.
C ch to ra cng c ti chnh ny nh sau:
Mt s lng ln cc khon vay th chp c

kt hp li v chuyn giao cho mt cng ty ti

chnh qun l. Cc ngn hng s dng cc khon
vay th chp bo m cho vic pht hnh
MBS. Mi c phiu MBS c gi tr pht hnh
bng tng s tin mt c to ra bi cc khon
vay th chp hay cn gi l tng qu chia cho s
c phiu MBS c pht hnh. Hu ht cc khon
vay th chp nh vy c xp vo loi c cht
lng tt. V cc chng khon ny c bn cho
cc nh u t ton cu.
Tri phiu c m bo bng n th chp
(The Collateral Mortgage Obligations, CMO)
Cc MBS gy ra bng n trn th trng
nh khi cc khon n c tnh thanh khon thp
trong bng cn i k ton ngn hng c chng
khon ha giao dch trn th trng vn.
Khng th nh gi thp tm quan trng lch s
ca pht minh ny. Mt cng c ti chnh khc
tng t nh tri phiu cp thp (junk bonds Loi tri phiu c ri ro cao v t sut li tc
cao) ca Michael Milken vo nhng nm 1980
cng xut hin.
+ Khi s lng cc khon vay th chp c
kt hp li (packaged) tng theo hm s m, th
nhiu trong s cc khon cho vay l cho vay
di chun. Do vy, tng qu cho vay bao gm
cc cu phn c cht lng khng ng u. C
nhng phn an ton tuyt i, vi phn cht lng
trung bnh, cn li th y ri ro.
+ Trong khi , cc nh u t trn th trng
li c xu hng chp nhn mc ri ro khng
ging nhau. Cc qu tng h (mutual funds),
qu lng (pension funds) ch c php mua
nhng ti sn c cht lng cao. Cc nh u t
khc, trong ch yu l cc qu u c (hedge
funds) li c php linh hot ti chnh nhiu
hn. Do vy, mt qu cc khon cho vay th chp
c cu trc thnh cc tri phiu c m bo
bng cc khon n c th chp CMO vi 03 gi
khc nhau:
+ Gi siu hng (The super tranche): Loi
ny c xp vo loi AAA v c v tr cao nht
trong th t u tin nhn tin mt t cc khon
thanh ton th chp.

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

+ Gi Cp trung (The mezzanine tranche):

Gi ny c im tn dng thp hn, nm v tr
tip theo nhn cc khon thanh ton.
+ Gi S hu (The equity tranche): y l
gi c ri ro cao nht v xp v tr cui cng trong
chui thanh ton, sau hai gi trn.
Do c mc ri ro khc nhau nn mi gi c
mc t sut li tc khc nhau. Gi S hu c ri
ro cao nht nn t sut li tc l ln nht v
ngc li, gi Siu hng c mc ri ro thp nht,
nn c t sut li tc l thp nht.
4.2. Tri phiu c m bo bng n c bo
m (The Collateralized Debt Obligations, CDO)
CMO tha mn c nhu cu u t ca cc
nhm nh u t vi nhng kh nng chu ng
ri ro khc nhau. Trong cng thi gian ny, khoa
hc ti chnh (financial engineering) li ngy
cng tr nn phc tp v tinh vi hn. Cng vi
cc khon n th chp, nhm ti sn bo m cn
bao gm thm mt s lng ln nhng khon vay
cng ty, vay mua t, th tn dng, thm ch l c
cc khon n LBO. Con qui vt ging ngi
(hybrid monster) ny c gi l tri phiu c
m bo bng n c bo m CDO. Cu trc ca
n ht sc phc tp. Cc khon bo m khng
ng nht. Cc gi c chia nh theo nhiu tiu
chun thanh ton. Mi gi c nhng c im v
ri ro khc nhau.
Cu trc ca cc cng c ti chnh mi ny
phc tp n mc m chng c to ra khng
phi bi cc chuyn gia ngn hng m bi nhng
nhm cc tin s ton hc, thng k hc v khoa
hc ti chnh. Qu trnh cu trc ny c thc
hin trn my tnh ch trong cc k ngh cui tun.
5. Bng n khng hong cho vay di chun
Cc ngn hng thng mi v cc nh mi
gii cho vay di chun thc hin cc khon
cho vay ban u, sau nhng khon n ny
c a n cc ngn hng u t chuyn
ha thnh MBS, CMO, CDO.
Cc ngn hng thng mi cm thy nh
nhm khi a c cc ti sn ra ngoi bng cn

43

i k ton bng cch bn cc khon cho vay ny.

Bng cch , h trnh c gnh nng nm gi
d tr bt buc theo Hip c Basel I. Khon tin
ngn hng thu li c c th tip tc hnh trnh
cho vay hay u t. Mt s ngn hng gi li
quyn tr c tc cho cc chng khon cho vay th
chp, do vy c th thu c nhng khon ph
dch v ng k.
Phn ln cc CMO v CDO c bn cho cc
qu u c - mt loi cng c u t t nhn phc
v cho cc nh u t giu c. Nh i ng khch
hng tinh xo nn cc qu u c ny khng b
iu tit qu ngt ngho, h khng phi a ra cc
bo co ti chnh v t ngi bit v chin lc
u t ca h. Khch hng ca hnh thc ti chnh
k l ny tri rng khp ton cu, t Chu u,
Chu (c bit l Trung Quc) n Trung
ng.
Vo thng 8/2007, gi nh ngng tng,
thm ch bt u gim. Nguyn nhn chnh ca
tnh trng ny l chnh sch tin t tht cht
y li sut ln cao.
Theo quy lut ca ti chnh doanh nghip, khi
li sut th trng tng, gi tr ca cc chng
khon c thu nhp c nh s gim. Do danh mc
u t ca cc qu u c bao gm mt t trng
ln cc CMO v CDO nn gi tr ca chng cng
bt u gim. iu ny khin cc nh u t rt
vn. Cc qu u c tr nn thiu thanh khon v
phi tm ngng vic tr tin. Tm l hoang mang
bao trm khp th trng. Gi tr ca nhng danh
mc u t ny li cng gim mnh hn.
Cc ngn hng u t nhn thy vic kinh
doanh chng khon ha ang ngy cng gim st
do khi lng cc khon vay th chp mi ngy
cng gim. Chnh bn thn cc ngn hng ny
cng c nhng khon u t ln vo cc chng
khon th chp trong sut thi k bng n ca th
trng vi nhng mc li tc rt hp dn. S
gim st trong gi tr cc danh mc u t dn
n nhng khon l trong bng cn i k ton
ca ngn hng.
Khi th trng tr nn ngy cng yu i, nhiu
t chc c gng vc n dy. Nhng mt
nguyn tc sng cn trong ti chnh l khng th

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P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

bn hng trong mt th trng thiu thanh khon.

Thiu thanh khon ng ngha vi vic c t hoc
khng c ngi mua. Theo ngn ng thng mi
th l th trng tha tht (thin market). Trong
mt th trng nh vy s c rt t giao dch c
thc hin v gi tr th trng ca nhiu chng
khon s khng c xc nh mt cch khch
quan. V y chnh l im gy (breakdown)
trong qu trnh xc nh gi c. Tnh bt n v
khng chc chn ca qu trnh xc nh gi s
khin cho cc giao dch b ng bng v th
trng b t lit.
Bc tranh hon ton r rng khi cc s
kin c kt ni li. Ton b qu trnh t vic
cho vay th chp ban u n ng gi, phn phi
v thu li ch c th c thc hin trong mt mi
trng li sut thp, tnh thanh khon cao v mt
lng tin mnh lit vo th trng. Lc , s c
mt dng ngi mua khng ngt vo thc y
th trng tng lin tc. Tip theo, ngi bn c
th kt thc giao dch vi mt khon li nhun
lp li mt chu trnh giao dch khc tng t.
Ging nh trong tr chi nhng chic gh
m nhc music chairs, nhc dng l khong
thi gian nguy him. Vo thng 8/2007, nhc
dng (hoc t nht yu hn) trn th trng nh
. Nhng nghi ng v gi tr ca tt c cc khon
bo m bt u xut hin. Qu trnh nh gi ti
sn sp . Th trng mt phng hng v kh
nng vn hnh.
6. Nhng tc ng bt li trn th trng ti
chnh
6.1. Cc qu u c (Hedge Funds)
Cc qu u c b nh hng ca s tht cht
tn dng sm nht. Nhng qu ny nm gi mt
lng ln cc CMO, CDO, vn l nhng cng c
ti chnh c tnh n by cao. Vi mi la M
nhn c t cc nh u t, qu u c c th
vay thm 29 USD u t, vi kt qu l t l
n by t mc 30 ln. Nhng khon vay
mn ny (hu ht l t cc ngn hng thng
mi v ngn hng u t) c m bo bng cc
danh mc u t chng khon ca h. Khi gi tr

ca cc khon bo m ny bt u gim, cc qu
u c phi thc hin vic k qu b sung (b
sung th chp). l l do ti sao vo u thng
8/2007, hai qu bo him ca Bear Stearns gp
phi vn thanh khon. Nhng kh khn tng
t cng xy ra vi cc qu ca BNP hay
Lehman Brothers.
u nm 2008, nhiu qu M v Lin minh
Chu u (EU) ph sn, cun theo vn ca
cc nh u t. S sp ngon mc nht l
ca cng ty Carlyle Capital, mt cng ty con ca
tp on Carlyle v cu Tng thng M G.W.H.
Bush c coi l mt trong nhng i tc ca
cng ty c phn t nhn c bit ny.
6.2. Cc ngn hng
Nhiu t chc ti chnh (nh Citigroup,
Goldman Sachs, Bank of America) thit lp
cc chi nhnh (affiliates) c tn gi l Cc
Phng tin Cu trc u t (Structured
Investment Vehicles, SIV). Nhng ti sn ri ro
cao (hu ht lin quan n vay th chp) c
chuyn giao n cc SIV, sau SIV thm nhp
vo th trng thng phiu tm ngun ti chnh.
Khi cc chng khon th chp ri t do, th
trng thng phiu mt 300 t USD vo cui
nm 2007. Nhiu SIV khng th o hn c
cc thng phiu ca h (n ngn hn, c gia
hn hng ngy hoc hng tun).
Vo thng 11/2007, vi s ng h ca FED
mt t hp cc ngn hng ln a ra k hoch
gii cu th trng. Theo , mt qu vi s vn
80 t USD s c thit lp. Qu ny s mua cc
chng khon n t SIV vi mc gi thp nhm
tng tnh thanh khon v gim thiu ri ro trong
bng cn i k ton ca h. Bng cch , th
trng thng phiu c th c hi sinh. Tuy
nhin, m phn gia cc ngn hng ny ko
di hng thng trong khi th trng li ngy cng
tr nn xu hn. Cui cng, k hoch cu nguy
ny b hy b vo cui nm 2007 v mi ngn
hng t gii quyt vn theo cch ring ca
mnh. khng c s la chn no khc ngoi
vic chuyn cc ti sn SIV v li bng cn i
k ton ca ngn hng. Hu qu l cc ngn hng

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

ni ui nhau thng bo s thua l nng n sau

khi nh gi li danh mc u t ca h.
Cc ngn hng u t s dng cc m hnh
my tnh tnh ton gi tr ca nhng chng
khon vn rt phc tp hoc khng c giao
dch thng xuyn. Nhng m hnh nh th ny
khng th iu chnh c trong iu kin th
trng ang ngy cng tr nn ti t hn.
Mt cu hi c t ra l tng gi tr thua l
cui cng l bao nhiu sau khi s nh gi li kt
thc. Nhiu phng on khc nhau c a
ra. Theo IMF, gi tr thua l ca tt c cc khon
cho vay th chp mc 495 t USD. Nu tnh
thm c nhng thua l c lin quan n cc hnh
thc n khc (vay kinh doanh bt ng sn, n
cng ty, nhng khon vay LBO) th con s ny c
th s t ti mc 945 t USD.
Vi mc khc nhau, cc ngn hng trn
khp th gii u b nh hng. Bo ch tp
trung a tin v nhng ngn hng ln b thua l
nng nht nh Citigroup, BOFA, Lehman
Brothers. Chu u, UBS l ngn hng b thua
l nhiu nht. iu ny dn n nhng thay
i trong qun l mt s ngn hng. Gim c
iu hnh ca Merrill Lynch (Stanley ONeil),
Citigroup (Chuck Prince) v UBS (Marcel Ospel)
phi ri gh ra i. cp thp hn, nhng
nhn vin chu trch nhim v qun tr ri ro hay
chng khon c m bo bi cc khon cho
vay th chp cng b sa thi hay c ngh
ngh hu sm.

6.3. C quan iu tit tin t

FED hon ton ng h k hoch gii cu th
trng cp trn v l gii php ca khu
vc t nhn t gii quyt vn ca mnh. Tuy
nhin, khi k hoch tht bi, FED nh phi
hnh ng. FED tin hnh ct gim li sut
nhiu ln, t mc 5,25% vo thng 8/2007 xung
cn 2% vo thng 4/2008. Sau , FED tuyn
b tm dng gim li sut v thc hin vic nh
gi nhng tc ng ca chnh sch ti th trng.
FED cng bm mt lng tin ln vo lu
thng qua knh nghip v th trng m bng
cch mua tri phiu kho bc v t chc cc

45

chng trnh u gi cho vay k hn cc ngn

hng c th c c ngun tin mt cn thit,
trnh thiu ht thanh khon.
iu ny khuyn khch cc ngn hng
thng mi vay mn t do thng qua ca s
chit khu bng cch m rng danh mc ti sn
m bo. Vic m rng danh mc ti sn m bo
c chp nhn ging nh mt hnh thc h tr.
c bit, cc chng khon c m bo bi cc
khon cho vay th chp cng c chp nhn vo
danh mc ti sn m bo.
Vo thng 3/2008, FED cu Bear Stearns
(mt ngn hng u t ln) khi ph sn v thu
xp J.P. Morgan Chase (mt ngn hng vi
bng cn i k ton lnh mnh) mua li. giao
dch ny din ra thun li, FED cng vi B
trng B Ti chnh Henry Paulson ng ra
m bo cho khon n tng ng 29 t USD
chng khon ca Bear Stearns. Nh vy, ln u
tin, vic cu mt ngn hng t nhn khin
bng cn i k ton ca FED cng nh tin thu
ca ngi dn b ri ro. Trong khun kh ca
khon cu tr c gi, FED cng m ca s
chit khu cho cc ngn hng u t v cc cng
ty mi gii chng khon. y l mt quyt nh
cha tng c trong lch s bi v iu l ch cho
php FED cho cc ngn hng thnh vin (ch yu
l cc ngn hng thng mi v cc t chc tn
dng khc) vay. Cc ngn hng u t cha bao
gi l thnh vin ca FED k t khi Cc ny c
thnh lp vo nm 1913. S thay i trong iu l
nh vy i hi mt cuc b phiu tn thnh ca
Hi ng qun tr FED. Mt cuc hp khn cp
c triu tp vo mt ngy cui tun v ch c 5/7
thnh vin c mt, trong c 3 phiu thun.
S cu nguy bt ng ca FED i vi Bear
Stearns v vic can thip su ca FED v B Ti
chnh ngay lp tc khin cho th trng bnh
tnh li.
Mt mng li an ton ang c thit lp
li. R rng rng Chnh ph M s thc hin
nhng bc i cn thit nhm ngn nga s sp
ca h thng ti chnh M - mt s sp c
th lm v c h thng ti chnh ton cu. Bi
hc t cuc i khng hong nm 1933 khng

46

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

b qun lng. Nguyn nhn ca thm ha chnh

l do s sp ca ton h thng.

ri ro vo bng cn i k ton ca mnh. Tuy

nhin, ri ro ny nh hn nhiu so vi 900 t
USD tri phiu kho bc trong ti khon ca FED.

6.4. U ban Chng khon

Cc t chc iu tit, trc ht l SEC b
ch trch gay gt v b qua nhiu du hiu cnh
bo v tnh trng nguy him ca cc t chc ti
chnh.
Nhim v ca SEC l gim st cc ngn hng
u t, cng ty mi gii v cc qu u c. Song
nhng iu ti t nht li xy ra trong cc t
chc ny m SEC khng nm bt c. Cc
ngn hng u t s dng nhng m hnh ton
hc cu trc cc sn phm tn dng thnh
nhng sn phm ngy cng phc tp v tinh vi
hn. i ng cc tin s ton hc ca h nhanh
nhy hn cc nhn vin ca SEC trong vic bt kp
vi s pht trin mi nht trn th trng ti chnh.
Tri ngc vi FED, vn c i ng nhn
vin kim sot ngay ti mi ngn hng ln (nh
ti J.P. Morgan, Citigroup) v gim st cc hot
ng thng nht ca nhng ngn hng ny, SEC
ch tin hnh cc t kim tra nh k.
bin h cho mnh, SEC a ra l do l
t chc ny c thnh lp t cuc i suy thoi
nm 1929 nhm bo v cc nh u t th trng
chng li nhng th on khng cng bng ca
cc nh giao dch chng khon, chng hn nh
giao dch ni b, giao dch ngm, bo co ti
chnh sai lch, thao tng gi c phiu... Vai tr
chnh ca SEC l bo v cc nh u t, khng
phi l bo v cc ngn hng u t bi v cc ngn
hng ny c gi nh l h bit h ang lm g.
Hnh ng ng n nht ca SEC l hp tc
vi FED v B Ti chnh cu nguy cho Bear
Stearns vo ngy 19/3/2008. Nhn vin k ton
ca SEC lm vic Bear Stearns c nhng
ngy cui tun, nghin cu hng trm h s
chng khon. H tnh c con s 30 t USD
ti sn ri ro (sau gim xung cn 29 t USD)
m J.P. Morgan Chase khng mun a vo bng
cn i k ton ca h. FED v B Ti chnh
bo m n b cho bt k s thua l no ca
Bear Stearns v y l ln u tin FED a

6.5. B Ti chnh M
Theo truyn thng, B trng B Ti chnh
thay mt Tng thng M gii quyt tt c cc vn
lin quan n kinh t v ti chnh. ng ng
thi l ngi chu trch nhim v chnh sch ti
kha.
i mt vi khng khong cho vay th chp
di chun xy ra vo thng 8/2007, B trng
Paulson chp thun cc chnh sch ca FED
vi vai tr l t chc gim st cao nht ca h
thng ngn hng. ng ng h cc bin php
chnh sch ca FED nhm tng tnh thanh khon
v ct gim li sut. Paulson l ngi hiu bit su
v Ph Wall v cng l ngi kh quen thuc vi
ni ny. ng tng l Ch tch ca Goldman
Sachs trc khi n lm vic ti B Ti chnh.
Ngc li, trong con mt ca nhng ngi quan
st th trng, vic xut thn t gii hc thut
(gio s kinh t ti i hc Princeton) ca Ch
tch FED, Ben Bernanke khin ng ri vo th
bt li. Kh nng trc gic ca ng v hot ng
ca th trng ti chnh khng th so c vi
Paulson.
L mt ng vin ca ng Cng ha cm
quyn, Paulson coi cuc khng khong l vn
ca khu vc t nhn v k vng rng chnh quyn
ca ng Cng ha ch c vai tr rt nh trong
vic gii quyt khng hong. Vo thng 11/2007,
ng ng h phng n gi cu nguy 80 t
USD ca nhm cc ngn hng ln. Nhng cui
cng k hoch ny tht bi. Sau , Paulson
nhng li cho FED vai tr lnh o v cung cp
s ng h chnh tr khi cn thit.
Vo thng 3/2008, Paulson c mt quyt
nh quan trng khi ng vi Bernanke v vic
cu nguy Bear Stearns. ng tin rng can thip l
ht sc cn thit khi i mt vi nguy c s sp
mang tnh h thng, mt s sp c th nhn
chm h thng kinh t ton cu.

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

Tp ch Wall Street min cng tn thnh

vi vic cu nguy Bear Stearns v tha nhn
nhng tc ng su sc ca hnh ng ny bng
vic a ra mt tuyn b dng tt Nm ngy
thay i ch ngha t bn.
i ph vi nhng g ang xy ra, Ngi
Paulson thng bo mt k hoch ci t ln
ti c cu v cng c vic gim st tt c cc th
ch th trng. Cc ngn hng u t v cc nh
mi gii c a vo khun kh gim st bi v
gi y h c quyn vay mn thng qua ca
s chit khu, mt c quyn m trc kia ch
ginh cho cc t chc tn dng. Cn c vo k
hoch a ra, FED m nhn thm trch nhim
khng ch bo v s n nh ca h thng ti
chnh M m cn ca ton th gii. SEC s b mt
mt phn quyn lc khi cc ngn hng u t v
cc cng ty chng khon hot ng di s gim
st trc tip ca FED. Cuc khng khong
bc trn mt s tht au thng rng i ng
nhn vin cng nh ngun lc ti chnh ca SEC
yu hn so vi FED. Chnh iu ny khin SEC
khng th m nhn vai tr chnh trong vic n
nh th trng.

47

ny thnh cc CDO v bn chng cho cc nh u

t kt thc giao dch. Tuy nhin, trong bi
cnh khng hong ca th trng ti chnh, cu v
CDO gim mnh, khin cho cc khon vay ny
vn nm trn ti khon ca rt nhiu ngn hng,
v chnh h cng nhn ra rng h ang b
vng ly vi hng nghn t USD ti sn khng
th bn c.
(c) Th trng cho vay lin ngn hng (The
Interbank Lending Market): Cho n qu 2
nm 2008, th trng LIBOR vn khng th hot
ng nh bnh thng. Li sut LIBOR m cc
ngn hng a ra cho cc khon vay ngn hn vn
mc cao so vi li sut ca FED. C hai ngun
m cc ngn hng c th vay l: Th trng cc
qu ca FED v th trng lin ngn hng
London. Li sut ph bin trn c hai th trng
ny ch chnh lch nhau khi cc iu kin th
trng khng bnh thng.
Li sut LIBOR cao phn nh trng thi cng
thng ca th trng khi cc ngn hng cn nhiu
tin mt trong mt thi gian ngn. Ri ro i tc
cng mc cao do s khng chc chn v cc
khon l ca ngn hng vn cha c thng bo
song c th b l ra vo bt k thi im no.

6.6. Hiu ng ly lan (The Contagion Effect)

Bt u t khu vc nh ca M, khng
hong cho vay th chp di chun nhanh
chng tc ng ti tt c cc ngc ngch ca th
trng ti chnh, c bit l ti cc khon cho vay
ng chun v chng khon c m bo bng
nhng khon cho vay ny. S ly lan din ra
nhanh chng khin cc khu vc ny bt u ri
vo tnh trng cng thng:
(a) Bt ng sn thng mi (Commercial
Real Estates): l cc to nh vn phng, trung
tm mua sm v khu cn h cao tng. Con s 8 t
USD doanh thu xy dng ca General Motors ti
New York hu nh mt bi v cc nh u t
khng th vay tin t cc ngn hng.
(b) Nhng khon vay mua li c
phn(LBO): Trong sut thi k bng n ca th
trng, cc cng ty t nhn vay ca cc t hp
ngn hng hng nghn t USD. Nhng ngn hng
ny k vng vo vic cu trc cc khon vay

7. Tc ng ti nn kinh t thc
Th trng nh M tip tc suy yu. T l
bn cc cn nh mi gim sau mi thng trong u
nm 2008. Con s hn 800.000 ngi nh cha bn
c nng ln th trng, gy sc p ti
gi nh. Hu ht cc nh quan st u cho rng gi
nh s tip tc gim trong nm 2008 v ko di ti
nm 2009. Ch c rt t cc nh phn tch cho rng
gi nh s chm y trong tng lai gn.
S khan him tn dng cho cc hot ng
kinh doanh cho thy th trng ang suy gim.
Nhiu cng ty ct gim d n u t, mt s khc
buc phi t b k hoch kinh doanh hiu qu do
khng tm kim c ngun ti tr t ngn hng.
Mt kho st iu tra cc nhn vin cho vay cp
cao ti cc ngn hng M cho thy cc tiu
chun cho vay ang c tht cht, li sut cao v
iu kin cho vay nghim ngt.

48

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

S thiu ht ti chnh ang gy p lc ln cc

hot ng kinh t. GDP ca M ch tng 0,6%
trong qu IV nm 2007 v qu I nm 2008, so vi
mc 4% nm 2006. Vi vic con s tht nghip
thng gia tng lin tc k t thng 4/2008 nhiu
nh kinh t tuyn b rng kinh t M ang
trong tnh trng suy thoi cho d NBER khng
ng tnh, v theo nh ngha ca c quan ny suy
thoi l tnh trng m nn kinh t t mc tng
trng m trong 2 qu lin tip.
S kin ng ch nht l vic Gio s
Martin Feldstein ca Trng i hc Harvard
ri khi v tr Ch tch NBER vo nm 2007 v
gi y ng c th t do ni ra tt c nhng
suy ngh ca ring mnh. Trong mt bi bo ng
trn tp ch Wall Street, ng tuyn b rng nn
kinh t M ang trong thi k suy thoi, cho d
NBER khng tha nhn iu ny.
Chu u, cc nn kinh t u tng
trng chm li nhng cha n mc ri vo suy
thoi. Tuy nhin, IMF phi h d on gn y
nht v tc tng trng ton cu do nh hng
ca khng hong ti chnh.
Cc nn kinh t ang pht trin (c bit l
cc nc Chu ) c kh nng chu ng rt tt
v vn ang ng vng. Tuy nhin, nhng tc
ng khng ng mong i t cuc suy thoi ko
di ca M s nh hng n cc nc ph thuc
vo xut khu nh: Trung Quc, Nht Bn, Hn
Quc, Thi Lan v Vit Nam.
8. Bi hc t khng hong
8.1. Cc t chc ti chnh
a) S tht bi ca qun tr ri ro
Ngm li nhng g xy ra, c th thy rng
s tht bi ca h thng qun tr ri ro cc ngn
hng ln tht ng ngc nhin. Ri ro ca n th
chp di chun tng nh c phng nga
bng cch nhng khon n ny c cu trc li
thnh v s chng khon v c phn phi ti
mi ngc ngch trn th gii. Nhng, khi tn dng
b tht cht, ri ro xut hin tr li ngay trn
bng cn i k ton ca cc ngn hng hoc ti

cc chi nhnh ca chng nh ca SIV v cc t

chc trung gian. Ri ro mt danh ting khin
cho nhng ngn hng ny khng th cc cng
ty con ca h sp m khng c bt k trch
nhim no.
Theo Hip c Basel I, mt khi khon vay
c a ra ngoi bng cn i k ton th khon
d tr bt buc s t hn. iu ny khuyn
khch cc ngn hng xy dng cc phng tin
(vehichles) a cc khon vay ra ngoi bng cn
i k ton. Bng cch lm nh vy ngn hng c
th thu c li t s chnh lch gia gi tr ti
sn c (cc khon cho vay th chp di hn) v
cc khon n (thng phiu ngn hn). Trn thc
t, li nhun bin dng ch c duy tr trong
mt mi trng kinh t n nh v th trng t
bin ng. Bt c s khng chc chn no i vi
cc ti sn bo m s dn n vic th trng cc
thng phiu b ng bng v cc thng phiu
s mt tnh thanh khon. Tnh trng ny xy ra
ng nh vy vo thng 8/2007.
Cc ch s ri ro ca hu ht cc ngn hng
b thu hp li bi v h loi tr cc khon n
tim nng ca SIV. Hu qu l cc nh u t
khng c cung cp y thng tin v ton b
ri ro ca mi ngn hng.
b) n by qu mc
Mi trng kinh t M u nhng nm 2000
kh n nh, c bit sau cuc suy thoi ngn nm
2002, vi mc li sut thp, tnh thanh khon cao
v cc th trng ti chnh t bin ng. Cc ngn
hng b ru ng v tha mn vi nhng g ang
xy ra. kim c nhng khon li nhun cao
hn, h s dng lc n by phng i
nhng kt qu u t. Trong thi k ny, cc
ngn hng thng mi duy tr mc n by
trung bnh l 12 ln, con s ny ti cc ngn hng
u t l 20 ln v ti cc qu u c l 30 ln.
n by y c nh ngha nh l s nhn
cc ti sn c c qua vn c phn. Minh ha
mt cch n gin l: Vi 1 USD vn c phn,
cc ngn hng thng mi c th nm gi mt
khon u t l 10 USD, cc ngn hng u t
nm gi 20 USD v con s ny l 30 USD i vi
cc qu u c. Vi n by cao nh vy, d

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

ch mt mc dao ng nh cng c th lm suy

gim tnh thanh khon.
Cu trc u t ca ngn hng ging nh hnh
chp ngc. y ln l cc ti sn em li li
nhun da trn nn tng ca y b l mt ngun
vn nh. Nu th trng mt lng tin, gi tr ca
cc ti sn em li thu nhp s st gim nhanh v
mnh. Trong khi , nhng ti sn ny l ti sn
bo m cho cc khon vay tn dng mua bn
chng. Khi gi tr ti sn bo m gim, ngi
cho vay s yu cu ngi i vay k qu b sung.
Nu gi tr ca ti sn k qu b sung khng ,
ngi cho vay s tch thu ti sn k qu v bn
chng b p cho s thiu ht ca ti sn th
chp. Nh phn tch trn, vic bn ti sn
trong mt th trng tha tht s to nn vng
xoy gim gi. Yu cu k qu b sung s c
a ra vi hu qu l ti sn s tip tc c bn
tho v vng quay c th tip tc.
c) Nhng sn phm phc tp
Nhng sn phm tn dng c cu trc li l
mt pht minh ln, lm tng tnh thanh khon ca
th trng cho vay th chp. Khng th ph nhn
li ch ca chng. Nhiu nhm ngi tip cn
c vi cc ngun ti chnh ny c c nh
m bng cch khc h khng th c c.
Khi th trng tr nn qu nng, cc cu trc
s ti chnh li cng lm cho n nng hn. Bt
u t kt cu n gin ca MBS, tng qu ca
cc ti sn gc tr nn khng ng nht. Kt cu
ca n c m rng v bao gm c cc khon
vay cng ty, cc tri phiu ri ro, cc khon vay
LBO, th tn dng. Mi cu phn ny u c mc
nh gi tn dng ring v c trng dng tin
mt ring.
Ngay c nhng nh qun l lu nm ti nhiu
ngn hng cng khng th nm chc v tham s
ri ro thc trong cc hot ng ca h. H ph
thuc vo cc chuyn gia, cc cu trc s ti
chnh - nhng ngi hiu rt r v c ch hot
ng ca mi loi sn phm. Cc my tnh ch
c dng chy cc chng trnh cu trc nhm
to ra cc sn phm phc tp nh CMO, CDO.
Chnh s phc tp ca cc sn phm khin
chng ta kh xc nh chnh xc gi tr thc ca

49

n. Vi cc sn phm c giao dch thng

xuyn, khng kh xc nh gi tr th trng
ca chng. Tuy nhin, c rt nhiu sn phm
c to ra nhm p ng nhu cu ca nhng
nhm u t c bit. Chng t khi c giao dch
nn qu trnh xc nh gi b t on. Trong thi
k khng hong, gi tr giao dch ca chng tr
nn khng th xc nh c.
Rt nhiu ngn hng dng m hnh nh
gi trn my tnh ca ring mnh c lng
gi. Nhng cc m hnh ny li khng c cng
khai vi cc nh giao dch ti cc ngn hng khc.
Do , cng mt loi chng khon nhng gi tr
ca chng li rt khc nhau, ph thuc vo m
hnh lng gi. Chnh s khng chc chn ny
dn n s mt nim tin gia nhng ngi mua
cng nh nhng ngi bn. Th trng b t lit
v cc giao dch gim dn cho n khi dng hn.
d) M hnh kinh doanh khng hon thin
Theo truyn thng, cc ngn hng to ra cc
khon vay hoc thc hin u t v gi chng cho
n k hn thanh ton. y l m hnh kinh
doanh to ra v nm gi. Vo nhng nm 1990,
cc ngn hng cu trc li cc khon cho vay
hoc cc ti sn c khc ca h thnh nhng
chng khon c th mua i bn li v bn chng
cho cc nh u t. y l m hnh kinh doanh
to ra v phn phi. Do vy, mt khon vay th
chp mt th trn nh ca M c th c kt
hp vo mt CDO c nm gi bi mt ngn
hng Trung Quc. Do ri ro c phn tn i
khp bn phng khi cc ti sn c cu trc li
v bn i, nhng ngi cho vay c rt t ng c
thc hin vic qun tr ri ro thn trng. Cc
tiu chun bo him c ni lng, cc iu
khon cho vay c n gin ha. Thiu k lut,
thiu minh bch v d tho mn tr thnh c
trng ca hot ng ngn hng trong u nhng
nm 2000.
8.2. C quan iu tit tin t
FED duy tr li sut 1% trong sut thi k
2002-2003. y l phn ng nhm i ph vi s
n v ca bong bng cng ngh cao nm 2000 v
suy thoi kinh t sau di tc ng ca s kin

50

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

ngy 11/9/2001. Ch tch FED - ng Alan

Greespan st sng vc dy nn kinh t v c
gng duy tr mc tng trng cao. y l li bo
cha ca ng cho chnh sch tin t ni lng. B
m nh bi gim pht ko di hng thp k
Nht Bn trong nhng nm 1990, Greenspan v
cc ng nghip trong Hi ng FED th s
lm bt c iu g c th, bao gm c vic duy tr
li sut mc 1% trong vi nm, ngn chn
tnh hung tng t xy ra vi M.
Vi nhng g tng xy ra, y l mt chnh
sch sai lm. N gp phn to ra mt mi
trng kinh doanh d di c thc y bi s
di do ca thanh khon, li sut thp v thiu
vng cc tiu chun cho vay.
8.3. Cc t chc nh gi mc tn nhim
Khi cc sn phm tn dng c cu trc li
tr nn qu phc tp, rt t nh u t c nng
lc hoc s nhn ni thc hin vic qun tr ri
ro thn trng. Do vy, nh gi ca cc t chc
nh gi mc tn nhim c xem l bin php
nhanh chng nht nh gi ri ro tn dng.
Moody, Standard and Poor, v Fitch l ba t
chc nh gi mc tn nhim chi phi th
trng. H cng chia s mt li ch kh mu
thun: thu v cc khon ph t cc ngn hng thu
h nh gi mc tn nhim cho cc chng
khon ca chnh nhng ngn hng ny.
Hn th na, tt c cc t chc ny u c
nhng m hnh c thit k ring nh gi
cc sn phm n gin nh cc tri phiu cng ty.
Khi h p dng m hnh ny cho cc sn phm
tn dng c cu trc li, th cc kt qu khng
cn ng tin cy. Hai loi chng khon ny khng
ging nhau v mi loi cn mt phng php
nh gi ring bit.
9. Mt s kin ngh
9.1. nh gi li chng khon ha ti sn nh
mt k thut ti chnh
n lc chng ta cn phi nh gi li mt
cch nghim tc qu trnh chng khon ha. Qu

trnh ny cn c s dng mt cch thn trng

hn v v nhng mc ch thch hp hn.
Qu trnh chng khon ha to ra mt
nhm cc sn phm u t. Cu trc v ri ro ca
chng ngy cng tr nn khng r rng. Do ,
cc c quan iu tit khng nn c nhng phn
ng qu mc trong thi im khn kh ca cc
pht minh ny trn cc th trng ti chnh, thay
vo , h cn phi cung cp nhng quy nh iu
tit thn trng tn dng nhng gi tr ch thc
ca n.
Nhn li nhng nm 1980, cc chng khon
c m bo bng cc khon cho vay th chp MBS thc s l mt tng mi y hu ch. N
to ra mt cuc cch mng trong ti tr cho
vay th chp. Nhng nh tin phong nh John
Merriwether, Lewis Ranieri tr thnh nhng
tn tui bt t trong hi k Liar Poker ca
Michael Lewis Ph Wall. V h xng ng
c nh vy.
Tuy nhin, khi mt nhm cc chuyn gia,
tin s ton hc, thng k hc, vn tr hc ta ra
khp Ph Wall, th bt k mt sn phm mi no
u c tin hnh qua mt dy cc bin i, ri
a n vo mt hp en, ni ch c mt vi nh
u t hoc thm ch ch nhng nh qun l cao
cp mi hiu c.
Nhng sn phm tn dng c cu trc li
trong tng lai cn phi c cng khai v minh
bch. Nhng ngi sng to ra cc sn phm
phc tp ny cng phi c trch nhim duy tr mt
vi sn phm trong ti khon ca h. Nh vy, h
cng s c nhng quyn li ti chnh trong vic
thc hin thnh cng nhng sng to ca chnh h.
9.2. n lc cc nh u t phi vo cuc
n lc cc nh u t phi t thc hin
cng vic qun tr ri ro ca chnh h v t ph
thuc hn vo cc t chc nh gi mc tn
nhim. Warren Buffet ni rt hay rng: Bn
nn hiu bn ang mua ci g. ng trnh
vic mua bn chng khon trong sut giai
on bng n cng ngh cao nm 2000 - 2001
v nhng l do ny.

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

Warren Buffet khng th hiu ni vic

mt cng ty Silicon Valley vi mt vi sn
phm m nht v khng c bt k lch s kim li
no li c gi tr hng t USD. V iu ng bn
khon c chng minh l ng.
9.3. Mt m hnh mi cho cc t chc nh gi
mc tn nhim
Ti cc t chc nh gi mc tn nhim,
cc sn phm khc nhau cn c phn tch khc
nhau bng vic s dng cc m hnh nh gi
khc nhau. Phng php lun mt c va cho tt
c thc s sai lm. Vo cui nm 2007, hng
trm CMO, CDO quy m ln ng gi nhiu t
USD b nh gi thp hn bi v nhng nh
gi ban u c pht hin l khng c c s v
s nh gi thp hn :
Tn ph mnh hn gi tr ca cc danh mc
u t chng khon ca cc qu u c v ngn
hng u t.
To ra mt mi trng bt n, trong cc
t nh gi th trng c cho n vi s hoi
nghi dn n vic gi c ti sn cng st gim.
Cc t chc nh gi mc tn nhim cn
ci cch h thng n b ca h loi tr, hoc
t ra l gim i s xung t li ch theo ngn
hng tr ph cho dch v nh gi mc tn
nhim ti sn ca chnh cc ngn hng ny. Mt
ngh c a ra l nhng ngi to ra sn
phm v cc nh u t cng cn phi chu trch
nhim nh nhau v nhng nh gi ny. Mt s
gi khc cng cn c tnh n.
9.4. ng thi ca gi ti sn trong thi k th
trng cng thng
Cn phi thc hin nhng nghin cu nghim
tc v ng thi gi tr chng khon trong mi
trng thiu thanh khon.
Rt nhiu chng khon c lin quan mt
thit vi nhau, hoc c lin quan n mt tham s
chung th 3 no (v d nh li sut ca FED
hay li sut LIBOR). Do vy, s khan him tn
dng ch bt u t cho vay th chp nh di
chun c th lan nhanh n cc khon cho vay

51

khc nh cho vay th chp thng mi, tri phiu

cng ty, nhng khon n ca cng ty v LBO.
Nguyn tc iu chnh theo gi th trng
(mark-to-market) trong vic nh gi gi tr ti
sn theo tiu chun k ton c nhng tc ng
mang tnh chu k ti gi ti sn. Vo cui mi
ngy giao dch, mt qu u c hoc cc nh mi
gii buc phi p dng gi th trng hin hnh
trong ngy nh gi li gi tr ti sn ca h.
Khi th trng ri vo khng hong gi c th
trng hoc khng tn ti (v c t giao dch) hoc
khng ng tin cy (do b tc ng ca hn lon).
Vic nh gi gi tr ca ti sn thp hn
qu mc trong mi chu k tip theo dn ti:
a) Nhng yu cu k qu b sung t nhng
ch n hoc nhng ngi cho vay vn ang nm
gi chng khon nh vt bo m v ang nhn
thy gi tr ca nhng chng khon ny ang
gim xung.
b) Cc qu u c v ngn hng s thay i v
th u t mt cch ty tin v buc phi bn
chng khon trong mt th trng thiu thanh
khon.
Tc ng ca chnh sch iu chnh theo gi
th trng c minh chng r nt trong trng
hp ca mt giao dch la o ti Societe
Generale, mt ngn hng ln ca Php. Tn la
o to dng cc giao dch trong nhng hp
ng giao sau ln n 50 t USD (C th nh
sau: Do nm vng cc th tc x l v kim sot
cc giao dch, nn bt u t u nm 2007 n
ngy 18/1/2008, Jerome Kerviel b mt thc
hin cc v giao dch c phiu ln m khng h b
pht hin. Li dng s h ca SG ch ch kim
tra gi tr chnh lch ch khng kim tra, theo di
gi tr thc ca tng giao dch, nn Jerome
Kerviel c la chn nhng hot ng khng
dnh n tin mt v khng yu cu phi xc nhn
ngay, thc hin nhiu phi v mua bn c gi tr
khng l... Khng ch bit n vng gii, m
Jerome Kerviel cn bit chi mp rt ti, khi
xo du vt bng cch s dng mt khu ca cc
nhn vin khc, truy cp tri php vo mt s
my tnh, to ra mt s th in t, ti liu gi
mo...). Hp ng ny c thanh ton chng

52

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

khc g mt v bn r vo mt th trng ang

gim lin tc. V khi c bn tho xong, gi tr
thua l ln n mc xp x 7,8 t USD.
9.5. Minh bnh hn trong vic cng khai ri ro
ca ngn hng
Cc ngn hng cn m rng vnh ai ri ro
ca mnh nh bao gm c cc chi nhnh nh SIV,
SPV v c nhng t chc trung gian. Nhng th
ch bn ngoi bng cn i k ton ny cn phi
l mt phn ca bn bo co hp nht to nn
mt bc tranh r rng v nhng ri ro m ngn
hng ang phi i mt.
Hip c Basel I c th gp phn y
nhanh vic hnh thnh cc phng tin u t
ngoi bng, bi v s khc nhau trong yu cu v
vn d tr bt buc ph thuc vo vic mt ti
sn c gi bn ngoi hay bn trong bng cn
i k ton ca ngn hng.
Hip c Basel II, c thng qua nm
2007, s c nhng bc tin xa hn vi vic xc
nh r trch nhim ca mi ngn hng trong vic
nh gi ri ro ca mi loi ti sn em li li
nhun v xc nh ngun vn d tr bt buc
tng ng.
9.6. Thi im suy ngm li v m hnh kinh
doanh mi
M hnh to ra v phn phi hot ng nh l
mt bin php gim thiu ri ro bng vic phn
chia ri ro cho nhng nhm cc nh u t c kh
nng chu ng c nhng ri ro . H thng
s hot ng tt nu:
Tt c nhng ngi tham gia vo knh phn
phi nh gi chnh xc ri ro m h phi i mt.
Cc tiu chun cao i vi kim sot ri ro
phi c t ra v duy tr ngay t u. Ngc
li, ton b ri ro s c phn tn cho nhng
ngi khc trong khi ngi to ra nhng ri ro

s khng trung thc hoc thiu minh bch khi

cng khai cc thng tin. Hu qu l ri ro c
phn tn s n du trong hng ngn danh mc u
t v ri ro ny ch b pht hin trong tnh trng
cc iu kin th trng cng thng, nh khi gi
nh bt ng i hng vo thng 8/2007.
10. Kt lun: Khun kh iu tit mi cho
th k XXI
Chng ti nh gi cao bn k hoch ci t
ca B trng B Ti chnh M - Ngi Paulson.
y l mt bn k hoch ci t ton din nht k
t cuc i suy thoi ca nhng nm 1930:
Theo bn k hoch ny, FED c trao
trch nhim ch cht trong vic m bo s n
nh mang tnh h thng ca tt c cc th trng
ti chnh M.
FED cng c thm quyn lc gim st
cc ngn hng u t v cc cng ty mi gii ln.
p li, cc t chc ny c php vay mn
thng qua ca s chit khu ca FED.
Bn k hoch cn tng cng s gim st
ca FED i vi cc ngn hng v cc nh mi
gii cho vay th chp. Cho n thi im hin
nay, cc t chc ny c chnh ph cp php v
hot ng vi nhng mc hiu qu khc nhau.
Sau tt c nhng g xy ra, tm chn ca
cuc khng hong hin nay chnh l khng hong
cho vay th chp di chun. Bt k k hoch ci
t no cng s tht bi nu khng gii quyt c
nhng vn cn bn ang tn ti trong th
trng ny.
Cui cng, chng ta cn phi tun th nhng
nguyn tc c bn ca tn dng l:
* Bit sn phm ca bn.
* Hiu r khch hng ca bn.

P.T. Thin / Tp ch Khoa hc HQGHN, Kinh t v Kinh doanh 25 (2009) 39-53

53

The US sub prime mortgage turmoil:

Lessons from the crisis recommendations for changes
Pham Toan Thien
Crystal Hall, Room 1217, 2000 South Eads Street, Arlington, Virginia 22202, United States of America

In August 2007, without much warning, the sub prime mortgage crisis suddenly emerged on the US
financial market. Severe impacts have been imposed to both financial and real economy sectors. All
monetary authorities in the US including FED, SEC and the Treasury should have their own interventions.
The first genesis of this severe crisis is so-called securitization of sub prime mortgage by borrowers for
buying houses. First, the borrowing mechanism was simplified on the only base of rating companies
leading to sub prime mortgages. Second, the way of securitization has an indifferent treatment to sub prime
and prime mortgage, creating bubbles in both security and housing markets. The recommendations for
changes include reconsider securitization as a financial tool, avoid investment decisions based only on
rating agencies, search for a pricing model that is proper in an illiquidity market, increase transparency in
pointing out bank risks and search for a new business model.
This paper use the sub prime mortgage crisis in the global financial system as a case study of the
importance of risk management in financial institutions. Just like oxygen, people notice the absence of risk
management only when it is not there. When it functions normally, people take it for granted. When it fails,
the system grinds to a halt.