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Hip c vn Basel Vao nhng nm 1980, h thng NHTM trn th gii phat trin manh va co nhng du hiu cho

thy s canh tranh khng lanh manh gia cac ngn hang. ng thi, quy inh v vn iu l gia cac NHTM cac nc khac nhau, nn dn n s canh tranh khng lanh manh trong cung mt thi trng, y la iu cm ki trong c ch hi nhp. Vi vy lanh ao ngn hang cua cac nc phat trin a ngi lai vi nhau tim ra giai phap thich hp va khuyn khich canh tranh nhng am bao cng bng va an toan cho ngi gi tin, o la mt rong nhng ly do quan trong cho s ra i cua Hip c Basel. Hip c Basel Capital Accord u tin c ki kt vao nm 1988 bi mt nhom ai din ngn hang trung ng cua 10 quc giai. Lch s ngn gn ca Hip c vn Basel

Nm 1974, BCBS c thnh lp t nhm G10 Ngn hng Trung ng. 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.

Muc ich cua Hip c Basel - Lam hai hoa cac tiu chun v vn cua cac ngn hang quc t nhm tng cng s n inh cua h thng ngn hang quc t va xoa bo vic canh tranh khng cng bng gia cac ngn hang quc t.
-

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.

Basel I l g? Nn tng Vn an ton theo quy nh l mt bin php d phng bt buc nhm m bo rng cc ngn hng c kh nng khc phc tn tht m khng nh hng n li ch ca ngi gi tin.

Vic tnh ton lng vn php nh c da trn hng dn ca y ban gim st ngn hng Basel (Basel 1) Hng dn ny c y ban Basel gii thiu u tin vo nm 1988 v sa i nm 1996 b sung thm ri ro th trng. c thc hin EU thng qua mt quy nh gin tip ca EU; v thc hin Anh thng qua cc quy nh ca C quan gim st ti chnh FSA. Vn an ton theo quy nh c th bao gm vn d tr, vn c phn, n th cp, cc khon d phng n xu. C cc quy nh iu chnh mc ca cc cng c trn tham gia vo vn an ton theo quy nh nh th no.

Cc c s Thit lp "cc quy tc n gin" trong vic tnh ton t l an ton vn ti thiu bng vic s dng khung nh gi trng s ri ro. Mi ti sn c u c FSA ch nh mt trng s phn nh mc ri ro ca ti sn. FSA yu cu tt c cc ngn hng phi c mt t l vn an ton theo quy nh. y l mt bin php d phng bt buc i vi tng ngn hng c th. Trng s ri ro ch nh (RWA) x Ti sn = Ti sn c iu chnh theo ri ro. Tng ti sn c iu chnh theo ri ro x t l vn = vn an ton ti thiu. Trng s ri ro bao gm 4 mc : 0%, 20%, 50% v 100%. T l an ton vn ti thiu phi t 8%.

Cc v d v cc h s trng lng ri ro H s trng lng

Nhn xt Tin mt, vng, cc khon phi thu c m bo bng tin mt, cc khon phi thu t hoc c bo lnh bi chnh quyn trung ng khu vc A v cc ngn hng trung ng; Cc khon phi i t hoc c bo lnh bi chnh ph trung ng khu vc B v cc ngn hng trung ng (c tnh bng ng tin ni t v c cp vn bng cc cng c n cng mt n v tin). Cc chng khon chnh ph (ph thuc vo bn cht v thi hn cn li ca chng khon). Cc khon phi thu t hoc c bo lnh bi cc ngn hng pht trin a phng, cc khon phi thu t hoc c bo lnh bi cc TCTD loi A, khon phi thu t cc TCTD loi B vi thi hn cn li t 1 nm tr

0%

10% 20%

xung; Cc hng mc tin mt trong qu trnh thu, cc khon phi thu t cc cng ty u t ISD v c ghi nhn ti trung tm b tr, sn giao dch chng khon; Cc chng khon chnh ph nht nh (ph thuc vo bn cht v thi hn cn li ca chng khon). 50% Cc khon th chp t cc c nhn, cc khon n nht nh t cc hip hi v cc trng i hc, cc khon th chp c bo m ca bn th ba tham gia; Cc chng khon c bo m bng th chp hp php.

Cc khon phi thu t khu vc t nhn phi ngn hng, cc khon phi thu t cc ngn hng loi B vi thi gian cn li trn mt nm; Cc khon phi thu t hoc c bo lnh bi cc chnh ph khu vc B v cc ngn 100% hng trung ng (Tr khon phi thu v cp vn bng ng ni t); Cc khon phi thu t cc ch th ca khu vc cng; Cc ti sn c nh v cc ti sn khc. Basel I - Ti sao phi thay i ? u l ng lc ca s thay i ? Nhu cu a ra cch x l cc ri ro nhy cm hn quy nh vn an ton phn nh mt cch chnh xc cc ri ro co th xy ra. Cn thit phi cng nhn cc k thut hn ch ri ro tn dng. Tnh cht phc tp trong ngnh ngy cng tng. Cc khng hong ti chnh nh AIB, BCCI, Barings, v.v... S thiu quan tm n ri ro hot ng. Mong mun mang li s minh bch hn trong vn ha qun tr ri ro ca ngn hng.

Nhng hn ch l g ? Basel I ch bao gm nhng ri ro tn dng, ri ro th trng v ri ro li sut m khng cp n ri ro hot ng mt cch r rng. C s gii thch khng r V d : - Vay th chp : rng i vi chng khon $100,000 - Trng s/H s bao gm khon n v ri ro : 50% - Ti sn c ri phm vi gii hn nhm ro : $50,000 - Vn ti thiu iu chnh cc sn phm ti t l 8% : $4,000 chnh mi. Trng s ri ro c quyt nh bi loi sn phm hoc loi hnh khch hng - khng c s khc bit theo xp hng tn dng.

Basel I khng thc s khuyn khch cc ngn hng nng cao qun tr ri ro bng cch nm gi t vn hn trong vic qun l ri ro hn hp. Tm hiu Basel II

Mc tiu ca Basel II Nhm duy tr mc vn hin ti trong tng th h thng. Phng php tip cn cc ri ro phi ton din v linh hot hn. Nhn mnh hn vo cc phng php lun v qun tr ri ro ni b ca bn thn ngn hng. Nhy cm hn vi ri ro. Cc nguyn tc Basel II p dng ngn hng ni chung, trong ch trng vo cc ngn hng c hot ng quc t.

Cc c im ch yu ca Basel II

Vn ti thiu vn l 8% ca ti sn c ri ro. Trng s ri ro s ph thuc vo xp hng tn dng ca tng khch Chng khon s c xem xt khi tnh ton mc vn yu cu. Cng nhiu phng php phc tp th cng t vn an ton. Vn phi b p cho tt c cc loi ri ro k c ri ro hot ng. Hip c vn mi nhy cm hn vi ri ro v qun l ri ro tt Hip c mi bt u c hiu lc t 31-12-2006.

hng.

hn.

Tc ng ca Basel II n vn Hip c mi cho bit chng ta cn bao nhiu vn : Vn chia c tc, b p chi ph c hi mt. Vn khng phi lc no cng c th tng mt cch d dng. Vn cn cho hot ng hn l b p cc ri ro. VD: cc hot ng M&A, tng trng ni b, cng c xp hng tn dng.

p dng Basel II mang li c hi cho cc ngn hng :


S dng t vn mt cch tim nng b p cc ri ro. Qun l kinh doanh tt hn. Qun l vn hiu qu hn. Nng cao li nhun trn vn - mt bin php qun l ch yu.

Tc ng ca Basel II

Trn phm vi quc t : Chu u, mi ngn hng v cng ty t vn dch v u t (c bit l cc cng ty c hot ng

Gim st : Cc nh lp php c l hy vng cc th ch dn u s t n cc phng php tin tin nht. Qun tr ri ro : S c quy nh v

quc t) phi tun th cc quy nh mi v vn v qun tr ri ro i vi mi thnh phn kinh doanh. Li th cnh tranh : Cc cng ty c cc danh mc ri ro a dng v m rng c c hi nng cao v th trn th trng. Bo co minh bch : Cc quy tc m v vn v qun tr ri ro s tc ng trc tip n xp hng tn dng v gi c phiu. Hot ng kinh doanh hn hp : Cc quy nh mi v vn v qun tr ri ro c tc ng trc tip n cc quyt nh u t hay khng u t.

th trng tin b hn rt nhiu ch trng vo qun tr ri ro hiu qu.

N lc thc thi Basel II : Mc d cc ngn hng qun tr ri ro nhiu cp phc tp khc nhau, kin trc d liu v h tng c s khc nhau, nhng Basel II s a ra mt chng trnh thay i ch yu vi chi ph c th chp nhn c.

Khung php l ca Basel II l g ? Hip c an ton vn Basel II c cu trc vi 3 tr ct chnh, vi cc yu cu chi tit cn phi p ng. Mi tr ct c thit k vi mt b cc kim tra v cc cn i trong qun l ri ro v vn. Tr ct 1 : Cc yu cu vn an ton ti thiu Tr ct 2 : Tng quan v gim st Tr ct 3 : K lut - th trng

Ri ro tn dng - cc Bn nguyn tc c bn : bc chnh : 1. Cc ngn hng cn 1. La chn c mt quy trnh phng php nh gi mc tip cn. vn c lin quan n 2. Phn loi ton ri ro v c chin b ri ro. lc bo ton mc 3. nh gi xp vn. loi ri ro, s 2. Gim st vin s dng h thng xem xt li cc nh xp hng tun gi mc vn v th Basel. kh nng ca ngn 4. Thu thp d hng tun th quy liu. nh v cc t l bo 5. Tnh mc vn m an ton vn. theo quy nh. 3. Gim st vin 6. Quan st vic khuyn khch cc thc hin cc ngn hng hat ng yu cu trong t l ln hn t l qun tr, quy an ton ti thiu v trnh v d c th khng nh liu. c kh nng ti chnh ca mnh. Ri ro hot ng cc bc quan trng 4. Cc gim st vin : ch ng gim st cc mc an ton vn v bo m c 1. La chn bin php x l kp phng php thi khi cn thit. tip cn. 2. Thu thp d liu. 3. Tnh mc vn theo quy nh. 4. Quan st vic thc hin cc yu cu trong qun tr, quy trnh v d liu.

1. Phn ny bao gm cc cng b v vn, ti sn c ri ro v cc quy trnh nh gi ri ro. iu ny cho php cc bn tham gia th trng c th thm nh mc vn an ton v c s so snh. 2. Cc ngn hng phi c chnh sch cng khai r rng v mt quy trnh nh gi s chnh xc trong cc bo co ca h. 3. i vi tng loi ri ro ring bit, cc ngn hng phi m t cc mc tiu v cc chnh sch qun tr ri ro ca h.

Basel 3 cng c thm bc tng thnh an ninh ti chnh - ngn hng Trc nhng din bin phc tp ca khng hong ti chnh ton cu v h ly lu di ca chng i vi h thng ti chnh - ngn hng ton th gii, U ban Basel mt ln na li d tho v thng qua phin bn th 3 (Basel 3) v cc tiu chun an ton vn ti thiu. Ni dung bao trm l: - Nng t l vn ch s hu ti thiu (c phn ph thng) t 2% ln 4,5%. - Nng t l vn cp 1 ti thiu t 4% ln 6%. - B sung phn vn m d phng ti chnh m bo bng vn ch s hu 2,5%. - Ty theo bi cnh ca mi quc gia, mt t l vn m phng nga s suy gim theo chu k kinh t c th c thit lp vi t l t 0 - 2,5% v phi c m bo bng vn ch s hu ph thng (common equity). Phn vn d phng ny ch i hi trong trng hp c s tng trng tn dng nng, nguy c dn n ri ro cao trong hot ng tn dng mt cch c h thng. Ngoi ra, Basel 3 cn a ra cc bin php gim st cht ch cc ngn hng v nhm ngn chn vic lm dng chia thng, hoc chia c tc cao trong bi cnh tnh trng ti chnh v t l an ton vn khng m bo. Basel 3 cng ng thi r sot li cc tiu chun (nh ngha) vn cp 1, vn cp 2 v s loi b cc khon vn khng tiu chun khi gim st ch tiu an ton vn ti thiu. Nh vy, c th thy rng, loi tr khon vn m phng nga ri ro ti chnh 2,5%, tiu chun an ton vn ti thiu khng thay i (vn l 8%). Tuy nhin, kt cu ca cc loi vn c s thay i ng k theo hng tng t trng vn cp 1, ng thi tng t trng vn ch s hu ph thng trong vn cp 1. Nu tnh y c 2 khon vn m d phng suy gim ti chnh v d phng chng hiu ng chu k kinh t th t l vn ch s hu c iu chnh tng t 2% (Basel 2) tng ln thnh 9,5% (4,5% + 2,5% + 2,5%) Basel 3. Nu loi tr phn vn m chng chu k kinh t 2,5% (khng bt buc trong iu kin bnh thng) th mc ti thiu vn ch cng phi t mc 7%. Bn cnh , c th mt s khon trc y c tnh vo vn ch s hu nay phi bc tch ra v khng iu kin coi l vn ch s hu. Chng hn, khon vn vt qu gii hn 15% u t vo cc t chc ti chnh khc, khon vn c ngun gc t s thu thu nhp lu k (hon li)... V th, yu cu nng cao t l vn ch s hu l bi ton khng n gin i vi nhiu ngn hng xt trong bi cnh kinh t x hi ang c nhiu bin ng. Cc tiu chun ca Basel 3 khng c hiu lc ngay lp tc. Chng bt u c hiu lc t nm 2013, c thc hin theo mt l trnh n ht nm 2018 v s thc hin y vo ngy 1/1/2019. Bng sau s cho thy l trnh c th ca vic thc thi hip c Basel 3: (xem bng 1). Ch tiu
T l vn ch s hu ti thiu Vn m d phng Vn ch s hu ti thiu cng vn m d phng 3,5 % 4% 20% 5,5 4,5 % 40% 6,0

201 3
3,5 %

201 4
4.0 %

201 5
4,5 %

2016
4,5% 0,625 % 5,125 % 60% 6,0%

2017
4,5% 1.25 % 5,76 % 80% 6,0%

2018
4,5% 1,875 % 6,375 % 100% 6,0%

2019
4,5% 2,5% 7% 100 % 6,0%

Loi tr khi vn ch s hu cc khon vn khng tiu chun T l vn cp 1 ti thiu 4,5

% % % T l tng vn ti thiu 8% 8% 8% 8% 8% 8% 8% Tng vn ti thiu cng vn m d phng bt 8% 8% 8% 8,625 9,125 9,875 10,5 buc Loi tr khi vn cp 1 v cp 2 cc khon khng Thc hin theo l trnh 10 nm bt u t nm 2013 tiu chun Vn d phng chng hiu ng chu k Tu theo iu kin ca quc gia: mc t 0% - 2,5%

(Ngun: http://www.basel-iii-accord.com/) Kh nng tun th Basel 3 ca cc ngn hng Vit Nam Theo nh gi t cc ngun s liu cng b, hu ht cc ngn hng thng mi nh nc v cc ngn hng thng mi nh nc mi c phn ho (Vietcombank, Vietinbank, sp ti l BIDV) u m bo t l an ton vn ti thiu 8% theo Quyt nh 457/2005/Q-NHNN v cc quyt nh b sung. Tuy nhin, bt u t ngy 1/10/2010, t l an ton vn ti thiu theo quy nh ca Thng t 13/TT-NHNN phi l 9%. Cc ngn hng s phi c mt s iu chnh nh t c ch tiu an ton vn ti thiu theo quy nh ca Ngn hng Nh nc. t c t l ny, cc ngn hng thng mi nc ta s c iu kin thun li tho mn tiu chun an ton vn ti thiu ca Basel 3 n nm 2017 v ch phi iu chnh gia tng t l ny vo cc nm tip theo t 2018 tr i t c t l vn ti thiu 10,5% k c phn vn m d phng ti chnh. Nu ch c vy th khng c g ng lo ngi v vn ca cc ngn hng thng mi nc ta hin nay hu ht l vn cp 1 v l vn ch s hu. Tuy nhin, theo nh gi ca Ngn hng Nh nc v s liu sn c t mt s ngn hng, vn nm ch, t l an ton vn ni trn l t l tnh ton theo chun mc k ton Vit Nam. Nu tnh theo chun mc k ton quc t th t l an ton vn CAR ca cc ngn hng thng mi Vit Nam c mt s sai lch kh xa. V d sau y s cho thy r iu ny: (xem bng 2). Bng s 2: Ch s CAR ca Ngn hng u t v Pht trin Vit Nam qua cc nm 2005 2009 Ch tiu 2005 2006 9,1% 5,9% 2007 6,7% 2008 8,94% 6,5% 2009 9,53% 7,55%

Ch s CAR (%) theo 6,86% VAS Ch s CAR (%) theo 3,36% IFRS

Ngun: BIDV- Trch li t bi Gim st ngn hng theo Basel 2 v vic tun th ca Vit nam (Tc gi: H Th Thiu Dao). S liu ca cc ngn hng khc nhau c th khc nhau, nhng c th thy mt im chung l chun mc k ton Vit Nam c nhiu im khc bit so vi chun mc k ton quc t. C mt thc t c bn lun nhiu l ngay c chun mc k ton Vit Nam cng cha c thc hin mt cch y cc doanh nghip. V vy, thit ngh cn c mt s kho st ton din v kh nng tun th cc tiu chun ca Basel 2, cao hn na l Basel 3 ni chung v kh nng tun th tiu chun an ton vn ni ring theo tiu chun k ton quc t. Sau na, cn c mt cuc tng r sot tiu chun p ng

vn ch s hu ph thng theo thng l quc t trn c s loi tr cc khon vn khng tiu chun v c bin php x l theo l trnh ca Basel 3 m bo s ph hp. Bn cnh , phi tnh n kh nng c mt t l vn d phng chng hiu ng chu k kinh t thch hp vi iu kin ca nn kinh t nc ta nhm ch ng i ph vi nhng din bin xu t ni ti nn kinh t v t nhng bin ng ngoi lai. C nh vy, mi m bo cho s pht trin an ton v vng chc ca h thng ti chnh - ngn hng nc ta, ng thi, hng n vic tun th cc chun mc ca Basel 3 trn c s ch ng hi nhp v hp tc quc t.

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