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m bo vic phn b ngun vn nhy hn i vi ri ro. Tch bit ri ro vn hnh vi ri ro tn dng, v lng ho c hai. C gng gn kt ngun vn kinh t v ngun vn bt buc gim bt hot ng kinh doanh chng khon bt buc.
Mt s nhng khi nim c lin quan Ri ro Nh bt k mt cng ty hay t chc no khc, mt ngn hng thc hin mc tiu kim tin bng vic chp nhn ri ro, do ngn hng s c th i mt vi thua l. Trong trng hp t nht, ngn hng c th ph sn. Nhng ri ro trng yu nht l:
Ri ro tn dng: Ri ro do tnh khng chc chn v kh nng hay s sn sng ca i tc trong vic p ng cc ngha v c quy nh trong hp ng. Ri ro vn hnh: Ri ro do h thng my tnh k ton hay cc lnh vc vn hnh khc ca n v gp sai hng, dn ti thua l. Ri ro th trng: Ri ro do thay i gi tr ti sn v cc khon n do s thay i li sut v t gi hi oi. Ri ro thanh khon : Ri ro do ngn hng b ht tin mt thanh ton cho cc ngha v tc thi, mc d gi tr ti sn hin ti vn ln hn cc ngha v . Ri ro php l: Ri ro b kin do s cu th hay s phn bit i x, hay ri ro mt i tc khng kh nng php l tham gia mt hp ng. Ri ro khc.
Chc nng ca ngun vn bo v ngn hng v cc khch hng khi nhng ri ro ni trn v gim thiu kh nng ph sn, mt ngn hng cn (v c yu cu) phi nm gi mt lng vn nhm:
Cung cp mt vng m khi s thm nhp ca l. Bo v ngi gi tin khi l. Bo v qu bo him v ngi chu thu. Cung cp kh nng sn sng gia nhp vo th trng ti chnh, bo v khi nhng vn lin quan ti tnh thanh khon, ngha l loi b ri ro thanh khon. Thc y tng trng v hn ch vic chu ri ro.
Phn bin vn kinh t v vn bt buc Vn kinh t l lng ngun lc cn thit chu nhng ri ro bt ng, vi mt mc t tin hp l, trong mt khong thi gian nh trc. Tt c cc n v kinh doanh u cn vn, song ch c nhng t chc ti chnh phi tun th yu cu v mc vn ti thiu. Vn bt buc l lng vn ti thiu m cc nh hoch nh chnh sch ra. Lch s ngn gn ca Hip c vn Basel
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). 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.
Hip c Basel 1988 (Basel I) T l vn da trn ri ro T l Cook T l ny c pht trin bi BCBS vi mc ch cng c h thng ngn hng quc t, i tng ban u l nhng ngn hng hot ng quc t, nhng sau ny c thc thi trn hn 100 quc gia. Ngn hng phi gi li lng vn bng t nht 8% ca r ti sn, c tnh ton theo nhiu phng php khc nhau v ph thuc vo ri ro ca chng. Vn bt buc >= 8% x Ti sn tnh theo ri ro gia quyn T l tho ng v vn (CAR) = Vn bt buc / Ti sn tnh theo ri ro gia quyn Vn cp 1, cp 2 v cp 3 Cp 1 - Vn nng ct
Vn ch s hu vnh vin D tr cng b (Li nhun gi li) Li ch thiu s (minority interest) ti cc cng ty con, c hp nht bo co ti chnh Li th kinh doanh (goodwill)
Cp 2 Vn b sung
Li nhun gi li khng cng b D phng nh gi li ti sn D phng chung/d phng tht thu n chung Cng c vn hn hp Vay vi thi hn u i u t vo cc cng ty con ti chnh v cc t chc ti chnh khc
Cp 3 (Dnh cho ri ro th trng) = Vay ngn hn Vn cp 1 >= Vn cp 2 + Vn cp 3 Vn tnh theo ri ro gia quyn
Ti sn tnh theo ri ro gia quyn (RWA) = Tng (Ti sn x Mc ri ro phn nh cho tng ti sn trong bng CKT) + Tng (N tng ng x Mc ri ro ngoi bng) 5 nh mc v vn 1. Mc vn tt: CAR > 10% 2. Mc vn thch hp: CAR > 8% 3. Thiu vn: CAR < 8% 4. Thiu vn r rt: CAR < 6% 5. Thiu vn trm trng: CAR < 2%
Nhng thiu st ca Basel I 1. Khng phn bit theo loi ri ro o Mt khon n i vi t chc xp hng AA c coi nh mt khon n i vi t chc xp hng B. o Mt khon n cho mt ngn hng Th Nh K ch cn mt lng vn bng 1/5 khon n cho General Electric (GE-mt cng ty xp hng AAA) Vic gi cc ti sn c ri ro thp t sinh li hn ti sn c ri ro cao. 2. Khng c li ch t vic a dng ha o Mt khon n ring l yu cu mt lng vn ging nh mt danh mc u t c a dng ha, vi cng mt gi tr. o Khng c s khc bit no gia mt khon vay $100 v 100 khon vay $1. 3. C li c tnh h thng 4. Khng c yu cu vn d phng ri ro vn hnh Ni dung c bn ca 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: 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. 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.
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 Quc gia Ngn Trng hp 1 hng Trng hp 2 Doanh nghip
nh gi AAA ti A+ ti A- BBB+ ti BB+ ti B- Di B- Khng xp AABBBloi 0% 20% 50% 100% 150% 100% 20% 50% 100% 100% 150% 100% 20% 50% 50% 100% 150% 50% 20% 50% 100% 100% 150% 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: Hip c 1988 Cu trc v ni Yu cu vn ti thiu dung 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 c Linh hot hn, mt lot cc cch tip cn, khuyn khch qun l ri ro tt hn o c ri ro qu s b Nhy cm hn vi ri ro
Tnh linh ng ca ng dng Nhy cm vi ri ro Trng s ri ro 0~100, u i hn vi 0~150 hoc hn, khng c c quyn no, bao
cc nc OECD gm c phn cp bn trong v bn ngoi Ch h tr v m bo Nhiu k thut hn nh h tr, m bo, phi sinh tn dng, lp mng li v th (position netting)