O LNG RI RO TN DNG CA CC NGN HNG TRONG VIC CHO VAY I VI CC DOANH NGHIP CH BIN THY SN ANG NIM YT TRN

TH TRNG CHNG KHON VIT NAM

NCS. Nguyn Thnh Cng Khoa K ton Ti chnh Trng i hc Nha Trang ThS. Phm Th Anh Khoa Kinh t & Qun tr kinh doanh Trng i hc Nha Trang TM TT Mc ch ch yu ca bi vit ny l ng dng m hnh im s Z ca E.I.Altman o lng ri ro tn dng ca cc ngn hng trong vic cho vay i vi cc doanh nghip ch bin thy sn ang nim yt trn th trng chng khon Vit Nam. Kt qu nghin cu s l c s a ra mt s xut nhm gp phn nng cao hiu qu qun tr ri ro tn dng trong hot ng kinh doanh ngn hng, ng thi gip cho cc doanh nghip ch bin thy sn Vit Nam thn trng hn trong vic s dng vn vay n. T kha: M hnh im s Z. ABSTRACT This paper essentially aims at applying Z Score model by E.I.Altman to evaluate credit risks of banks in offering business loans to seafood processing enterprises currently listed on Vietnam stock market. The findings will serve as a basis to make several recommendations in order to enhance credit risk management efficiency in the banking business, and simultaneously to help raise caution of Vietnams seafood processing enterprises in their debt using practice. Key words: Z Score model. I. T VN Trong kinh doanh ngn hng vic cc ngn hng phi i mt vi ri ro tn dng l iu khng th trnh khi. Vn l lm th no cc ngn hng hn ch ri ro ny mt t l thp nht c th chp nhn c. Tr li cu hi ny, cc nh qun tr ngn hng thng vn dng cc m hnh lng ho ri ro tn dng nh: m hnh im s tn dng tiu dng, m hnh cht lng, m hnh Moodys v Standard & Poors, m hnh im s Z. Mc ch ca bi vit ny l ng dng m hnh im s Z cho im tn dng i vi cc doanh nghip ch bin Thy sn ang nim yt trn th trng chng khon Vit Nam lm c s s cho cc nh qun tr ngn hng c nhng quyt nh ng n trc khi cp tn dng cho cc doanh nghip thuc lnh vc ny. ng thi, kt qu nghin cu ny cng h tr cho cc doanh nghip ch bin Thy sn Vit Nam thn trng hn trong vic s dng vn vay n gim thiu nguy c ph sn. II. I TNG V PHNG PHP NGHIN CU o lng ri ro tn dng ca cc ngn hng trong vic cho vay i vi cc doanh nghip ch bin thy sn ang nim yt trn th trng chng khon Vit Nam, bi vit s dng m hnh im s Z ca Gio S Edward I. Altman cho im tn dng i vi cc doanh nghip vay vn. T m hnh im

s Z c Gio S Edward I. Altman pht trin ra Z v Z c th p dng theo tng loi hnh v ngnh ca doanh nghip, nh sau:

M hnh 1: i vi doanh nghip c phn ho, ngnh sn sut

Z = 1.2X1 + 1.4X2 + 3.3X3 + 0.64X4 + 1.00X5

Nu Z > 2.99 Nu 1.8 < Z < 2.99 Nu Z <1.8

Doanh nghip nm trong vng an ton, cha c nguy c ph sn. Doanh nghip nm trong vng cnh bo, c th c nguy c ph sn. Doanh nghip nm trong vng nguy him, nguy c ph sn cao.

M hnh 2: i vi doanh nghip cha c phn ho, ngnh sn sut

Z = 0.717X1 + 0.847X2 + 3.107X3 + 0.42X4 + 0.998X5

Nu Z > 2.9 Nu 1.23 < Z < 2.9 Nu Z <1.23

Doanh nghip nm trong vng an ton, cha c nguy c ph sn Doanh nghip nm trong vng cnh bo, c th c nguy c ph sn Doanh nghip nm trong vng nguy him, nguy c ph sn cao.

M hnh 3: i vi cc doanh nghip khc

Ch s Z di y c th c dng cho hu ht cc ngnh, cc loi hnh doanh nghip. V s khc nhau kh ln ca X5 gia cc ngnh, nn X5 c a ra. Cng thc tnh ch s Z c iu chnh nh sau: Z = 6.56X1 + 3.26X2 + 6.72X3 + 1.05X4

Trong : X1 X2 X3 X4 X5

Nu Z > 2.6 Nu 1.2 < Z < 2.6 Nu Z <1.1

Doanh nghip nm trong vng an ton, cha c nguy c ph sn Doanh nghip nm trong vng cnh bo, c th c nguy c ph sn Doanh nghip nm trong vng nguy him, nguy c ph sn cao.

= Vn Lu ng trn Tng Ti Sn (Working Capitals/Total Assets). = Li Nhun Gi Li trn Tng Ti Sn (Retain Earnings/Total Assets). = Li Nhun Trc Li Vay v Thu trn Tng Ti sn (EBIT/Total Assets). = Vn Ch S Hu trn Tng N (Total Equity/Total Liabilities). = Doanh S trn Tng Ti Sn (Sales/Total Assets).

Theo cch tip cn ny, chng ti thu thp s liu ca 11 doanh nghip ch bin thy sn nim yt trn th trng chng kha Vit Nam giai on t nm 2007 2009, s dng cng c thng k ton vi s h tr ca phn mm EXCEL tnh ton v phn tch cc ch tiu trong m hnh. V vy, m hnh c tc gi s dng trong bi vit ny l m hnh 1 m hnh p dng i vi doanh nghip thuc ngnh sn sut c phn ho. III. KT QU NGHIN CU V THO LUN

Ri ro tn dng l kh nng khch hng nhn khon vn vay khng thc hin, thc hin khng y ngha v i vi ngn hng, gy tn tht cho ngn hng, l kh nng khch hng khng tr, khng tr y , ng hn c gc v li cho ngn hng. Mt khc, ri ro tn dng c th coi l kh nng v n ca khch hng. V vy, cc ngn hng cn thy c thc trng kh nng v n ca cc doanh nghip vay vn cng r, cng k s cng tt. Trn c s s liu l cc bo co ti chnh ca 11 doanh nghip ch bin thy sn nim yt trn th trng chng khon Vit Nam giai on 2007 - 2009, chng ti tin hnh x l s liu lin quan n cc ch tiu s dng trong m hnh im Z. Kt qu tnh ton cc ch tiu c th hin qua cc bng sau: Bng 1: M hnh im Z i vi cc doanh nghip ch bin Thy sn nm 2007
Ch tiu Cng ty Cng ty CP XNK Thy sn Bn Tre Cng ty CP XNK Thy sn Cu Long An Giang Cng ty CP XNK Thy sn An Giang Cng ty c phn BASA (*) Cng ty C phn Thc phm Sao Ta Cng ty CP u t Thng mi Thy Sn (*) Cng ty C phn Thy hi sn Minh Ph Cng ty C phn Thy sn S 1 Cng ty C phn Thy sn S 4 Cng ty CP CB v XNK TS CADOVIMEX (*) Cng ty CP XNK Lm Thy sn Bn Tre (*) X1 0.4193 0.7497 0.4268 0.4434 0.7292 0.5939 0.6581 0.9278 0.4606 0.8423 0.6351 X2 0.0944 0.1828 0.0450 0.0471 0.0718 0.0629 0.1044 0.0682 0.0520 0.0253 0.0260 X3 0.1141 0.2161 0.0622 0.0790 0.0982 0.0803 0.1144 0.0765 0.0582 0.0696 0.0669 X4 2.2519 1.5314 2.7948 0.9379 0.7399 0.7581 1.0843 4.5448 3.5547 0.3402 0.3609 X5 1.0339 1.7700 1.4614 1.0269 2.6093 0.9699 1.1116 1.7030 1.2002 1.0932 0.5872 Z 3.3968 4.5575 3.9186 2.4483 4.3526 2.4906 3.0757 5.8911 4.1507 2.5733 1.8229

(Ngun: Bo co ti chnh nm 2007 ca cc cng ty & Tnh ton ca tc gi)

Qua bng 1 cho thy, trong nm 2007, c 4 doanh nghip nm trong vng cnh bo, c th c nguy c ph sn l cng ty c phn BASA ( Z = 2.4483 ), cng ty c phn u t thng mi Thy sn ( Z = 2. 4960 ), cng ty c phn ch bin v xut nhp khu thy sn CADOVIMEX ( Z = 2.5733 ), cng ty c phn xut nhp khu lm thy sn Bn tre( Z = 1.8229 ). Bng 2: M hnh im Z i vi cc doanh nghip ch bin Thy sn nm 2008
Ch tiu Cng ty Cng ty CP XNK Thy sn Bn Tre Cng ty CP XNK Thy sn Cu Long An Giang Cng ty CP XNK Thy sn An Giang (*) Cng ty c phn BASA (*) Cng ty C phn Thc phm Sao Ta X1 0.4345 0.7281 0.4760 0.3890 0.6362 X2 0.0585 0.1822 0.0085 0.0007 0.0363 X3 0.0745 0.2327 0.0424 0.0473 0.0965 X4 7.9726 0.7199 0.9013 0.7942 0.8481 X5 1.2260 1.6549 1.5436 1.0719 3.0357 Z 6.8586 3.9835 2.8075 2.1724 4.6773

Cng ty C phn u t Thng mi Thy Sn (*) Cng ty C phn Thy hi sn Minh Ph (*) Cng ty C phn Thy sn S 1 Cng ty C phn Thy sn S 4 (*) Cng ty CP CB v XNK TS CADOVIMEX (*) Cng ty CP XNK Lm Thy sn Bn Tre (*)

0.6263 0.7237 0.8550 0.3745 0.7268 0.7220

0.0338 -0.0168 0.1525 0.0417 0.0017 0.0114

0.0595 0.0639 0.2152 0.0550 0.0728 0.0533

0.6949 0.7728 5.0295 1.8056 0.2768 0.8565

1.0964 1.2689 1.8752 0.7379 0.9770 1.0394

2.5086 2.7884 6.8427 2.5107 2.2580 2.6117

(Ngun: Bo co ti chnh nm 2008 ca cc cng ty & Tnh ton ca tc gi)

Qua bng 2 cho thy, trong nm 2008, c 7 doanh nghip nm trong vng cnh bo, c th c nguy c ph sn l cng ty c phn u t thng mi Thy sn (Z = 2. 5086), cng ty c phn BASA (Z = 2.1724), cng ty c phn ch bin v xut nhp khu thy sn CADOVIMEX (Z = 2.580), cng ty c phn xut nhp khu lm thy sn Bn tre(Z = 2.6117), cng ty CP XNK Thy sn An Giang (Z = 2.8075), cng ty C phn Thy hi sn Minh Ph (Z = 2.7884), cng ty C phn Thy sn S 4 (Z = 2.5107). Nh vy, so vi nm 2007, s lng cc doanh nghip Thy sn nm trong vng cnh bo, c th c nguy c ph sn tng ln 3 doanh nghip. Bng 3: M hnh im Z i vi cc doanh nghip ch bin Thy sn nm 2009
Ch tiu Cng ty Cng ty CP XNK Thy sn Bn Tre Cng ty CP XNK Thy sn Cu Long An Giang (*) Cng ty CP XNK Thy sn An Giang (*) Cng ty c phn BASA (**) Cng ty C phn Thc phm Sao Ta (*) Cng ty C phn u t Thng mi Thy Sn Cng ty C phn Thy hi sn Minh Ph (*) Cng ty C phn Thy sn S 1 Cng ty C phn Thy sn S 4 (*) Cng ty CP CB v XNK TS CADOVIMEX (**) Cng ty CP XNK Lm Thy sn Bn Tre (*) X1 0.6991 0.7339 0.5487 0.3530 0.8112 0.5441 0.6308 0.7154 0.3794 0.6387 0.6693 X2 0.1693 0.0775 0.0119 -0.0187 0.0224 0.0787 0.0425 0.0976 0.0732 0.0019 -0.1488 X3 0.1939 0.1128 0.0472 0.0129 0.0564 0.1168 0.0515 0.1299 0.0845 0.0077 -0.1234 X4 4.5620 0.4075 1.0755 0.8670 0.3225 1.0862 0.9510 2.4631 0.8877 0.1821 0.6686 X5 1.0129 1.1730 1.1028 0.4201 1.5080 1.2071 0.4629 1.4898 0.7909 0.2554 1.3780 Z 5.4661 2.7788 2.5791 1.3803 2.8923 3.0074 2.0198 4.3913 2.1603 1.1592 1.9667

(Ngun: Bo co ti chnh nm 2009 ca cc cng ty & Tnh ton ca tc gi)

Qua bng 3 cho thy, trong nm 2009, c 6 doanh nghip nm trong vng cnh bo, c th c nguy c ph sn l cng ty CP XNK Thy sn Cu long An Giang (Z = 2.7788), cng ty CP XNK Thy sn An Giang (Z = 2.5791), Cng ty C phn Thc phm Sao Ta (Z = 2.8923), cng ty C phn Thy hi sn Minh Ph (Z = 2.0198), cng ty C phn Thy sn S 4 (Z = 2.1603), cng ty c phn xut nhp khu lm thy sn Bn tre(Z = 1.9667).

Bn cnh , c 2 cng ty Doanh nghip nm trong vng nguy him, nguy c ph sn cao, l cng ty c phn BASA (Z = 1.3803), cng ty c phn ch bin v xut nhp khu thy sn CADOVIMEX (Z = 1.1592). Nh vy, so vi nm 2008, s lng cc doanh nghip Thy sn nm trong vng cnh bo, c th c nguy c ph sn tng ln 1 doanh nghip. Trong , c 2 doanh nghip c nguy c ph sn cao. IV. KT LUN V KHUYN NGH Qua vic s dng m hnh im s Z ca Gio S Edward I. Altman cho im tn dng i vi cc doanh nghip ch bin Thy sn ang nim yt trn th trng chng khon Vit Nam giai on 2007 2009 , chng ti c nhng kt lun sau y:

Cc doanh nghip nm trong vng an ton, cha c nguy c ph sn (Z > 2.99) bao gm: Cng ty CP XNK Thy sn Bn Tre, Cng ty C phn u t Thng mi Thy Sn, Cng ty C phn Thy sn S 1. Cc doanh nghip nm trong vng cnh bo, c th c nguy c ph sn (1.8 < Z < 2.99) bao gm: cng ty CP XNK Thy sn Cu long An Giang, cng ty CP XNK Thy sn An Giang, Cng ty C phn Thc phm Sao Ta, cng ty C phn Thy hi sn Minh Ph, cng ty C phn Thy sn S 4, cng ty c phn xut nhp khu lm thy sn Bn tre. Cc doanh nghip nm trong vng nguy him, nguy c ph sn cao (Z < 1.8) bao gm: cng ty c phn BASA, cng ty c phn ch bin v xut nhp khu thy sn CADOVIMEX.

T kt qu nghin cu trn, chng ti c mt s xut i vi cc ngn hng nhm gp phn nng cao hiu qu qun tr ri ro tn dng trong hot ng kinh doanh ngn hng, ng thi c nhng xut thit thc i vi cc doanh nghip ch bin thy sn ang nim yt trn th trng chng khonVit Nam hng n mc tiu gim thiu kh nng ph sn nh sau: i vi cc ngn hng:

xut 1: ng dng m hnh im s Z trc khi quyt nh tn dng

Qua kt qu nghin cu cho thy, cn c vo ch s Z, cc ngn hng c th phn loi cc doanh nghip nm trong vng an ton, cha c nguy c ph sn; doanh nghip nm trong vng cnh bo, c th c nguy c ph sn; doanh nghip nm trong vng nguy him, nguy c ph sn cao. y l c s cc ngn hng quyt nh hn mc tn dng cn thit i vi tng doanh nghip. Nh vy, m hnh im s Z c th coi l mt cng c h tr c lc cho cc nh qun tr ngn hng c nhng quyt nh ng n trc khi cp tn dng.

xut 2: p dng cc chnh sch tn dng linh hot i vi cc doanh nghip ch bin Thy sn Vit Nam

Qua kt qu nghin cu cho thy, hu ht cc doanh nghip ch bin Thy sn u gp ri ro trong kinh doanh v c kh nng ri vo trng thi c nguy c ph sn. Do , khi quyt nh tn dng i vi doanh nghip ny, cc ngn hng cn thn trng hn trong vic xem xt k lng thc trng ti chnh

v kh nng ph sn ca cc doanh nghip. Tuy nhin, h tr cho cc doanh nghip c vn hot ng, cc ngn hng nn c chnh sch tn dng u i hn i vi cc doanh nghip thuc ngnh ny nh chnh sch li sut u i, hn mc tn dng u i,

i vi cc doanh nghip ch bin Thy sn: xut 1: Qun l v s dng hiu qu ti sn ca doanh nghip

Qua kt qu nghin cu cho thy, ch tiu Z ph thuc ch yu vo tng ti sn. Do , vic qun l v s dng hiu qu ti sn ca doanh nghip s gp phn gim thiu kh nng ph sn ca doanh nghip. Mun vy, cc doanh nghip ang ri vo trng thi c nguy c ph sn cn phi phn loi v xc nh ti sn no khng hot ng, tc l nhng ti sn khng gp phn trc tip hay gin tip to ra doanh s v thanh l ngay nhng ti sn ny. Bi v, khi thanh l cc ti sn ny, doanh nghip s chuyn ha ti sn c nh thnh ti sn ngn hn lm cho X1 s tng ln. Bn cnh chi ph khu hao cng s gim xung, dn n t sut li nhun tng, tc l X2 v X3 s tng theo v lm cho Z tng ln, tc l gim thiu c kh nng ph sn.

xut 2: Ti cu trc ti chnh theo hng gia tng vn ch s hu

Qua kt qu phn tch cho thy, ch tiu X4 ca hu ht cc doanh nghip ri vo trng thi nguy c ph sn u c gi tr nh hn 1. Do , vic ti cu trc ti chnh theo hng gia tng vn ch s hu s gp phn gim thiu kh nng ph sn ca cc doanh nghip. Mun vy, cc doanh nghip ri vo trng thi c nguy c ph sn cn phi n chnh sch phn chia c tc cho nh u t. C tc chia t i th li nhun gi li s tng ln lm vn ch s hu sng tng ln v X3 s tng theo v lm cho Z tng, tc l gim thiu c kh nng ph sn. Tuy nhin, doanh nghip khng th gim c tc n mc qu thp v khi nh u t s phn ng, dn n gi c phiu thp, lc ny s gy ra tc ng ngc li s lm gim c X3 v X4 s ko theo lm cho Z gim xung, tc l kh nng ph sn s tng. Mt khc, ti cu trc ti chnh theo hng ny, doanh nghip nn hn ch vic vay n, thay vo c th pht hnh thm c phiu, tng th gi c phiu khi c c hi. Thc hin gii php ny s lm cho X4 tng ln v dn n Z tng, tc l kh nng ph sn ca doanh nghip s gim.

xut 3: Nng cao hiu qu hot ng sn xut kinh doanh ca doanh nghip

Qua kt qu phn tch cho thy, ch tiu X2, X3 ca hu ht cc doanh nghip ri vo trng thi nguy c ph sn u rt thp thm ch b m. Do , vic nng cao hiu qu hot ng sn xut kinh doanh ca cc doanh nghip s gp phn gim thiu kh nng ph sn ca cc doanh nghip. tng X2, X3 doanh nghip cn phi cn bng gia chi ph ca vic tng doanh s. Nu chi ph tng qu cao, th t s X1, X2, X3 s gim, khi vic tng t s X5 s l v ngha v khng sc b p cho s gim ca cc ch s X1, X2, X3 v tt nhin Z s gim, tc l kh nng ph sn ca doanh nghip gia tng. Tm li, hn ch ri ro i vi cc ngn hng v cho c cc doanh nghip ch bin Thy sn Vit Nam, cc doanh nghip nn quan tm n ch s Z trong vic quyt nh i vay n, cn cc ngn hng s dng ra quyt nh cp tn dng. ng thi cn phi thc hin ng b cc xut gia tng ch s Z,

tc l gim thiu kh nng ph sn ca doanh nghip; hn ch ri ro tn dng trong vic cho vay ca cc ngn hng i vi cc doanh nghip ch bin thy sn. TI LIU THAM KHO: 1- H Diu, Qun tr ngn hng, Nh xut bn Thng k 2002.

2- Lm Minh Chnh (2009), MBA , Ch s Z: Cng c pht hin nguy c ph sn v xp hng nh

mc tn dng, http://luattaichinh.wordpress.com

3- The Z score Bankruptcy Model: Past, Present, and Future, Edward I. Altman, 1977. 4- The use of Credit scoring Models and the Importance of a Credit Culture, Edward I. Altman.