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CC BIN PHP TI TR RI RO TN DNG TRONG NGN HNG: Ti tr ri ro l mt hot ng th ng nu em so vi kim sot ri ro.

Trong khi hot ng kim sot ri ro l ch ng nhm gim tn tht ca mt hot ng hoc ti sn, th ti tr ri ro li i ph theo ngha n ch hnh ng sau khi tn tht xut hin ( Gio trnh qun tr ri ro- Ng Quang Hun, V Th Qu, Nguyn Quang Thu, Trn Quang Trung). Di y l mt s bin php c s dng ti tr cho cc khon n xu trong ngn hng: Tng cng cng tc trch lp d phng v x l ti sn m bo. Mc ch ca vic phn loi n v trch lp d phng l b p tn tht vi cc khon n ca t chc tn dng. Phng nga n xu thng qua vic m rng cc nghip v phi sinh, nghip v chng khon ho bng tng kt ti sn ca ngn hng - Chng khon ho cc khon cho vay v cc ti sn khc (Sercuritization): Chng khon ho ti sn l vic ngn hng em ti sn c ni bng cha n hn bn cho nhng ngi u t di hnh thc pht hnh chng khon. Cc chng khon c to ra t qu trnh chng khon ho c gi l cc chng khon ho. Cng ngh chng khon ho ti sn hp dn nhiu ngn hng bi v thng qua m ngn hng c th gim c thi lng (duration) ca danh mc u t, tng kh nng thanh khon ca ti sn, cung cp mt phng tin ti tr mi, gim c cc chi ph c tnh cht thu quy ch v tng thu nhp t chi ph. Chng khon ho ti sn i hi ngn hng phi dnh ring mt nhm cc ti sn sinh li (v d nh cc khon cho vay mua nh th chp hoc cho vay tiu dng) bn ra th trng cc chng khon c pht hnh trn nhng ti sn . Khi cc ti sn c thanh ton, v d khi ngi vay hon tr vn vay l li cho ngn hng, ngn hng s chuyn khon thanh ton ny cho ngi s hu nhng chng khon c mua bn t do. V phn mnh, ngn hng s nhn li phn vn b ra c cc ti sn v s dng ngun vn ny vo vic to ra nhng ti sn mi hoc trang tri chi ph hot ng. u t thng qua hot ng chng khon ho gip ngn hng a dng ho, gim ri ro, gim cc chi ph i vi vic gim st khon cho vay. Chng khon ho cng gip ngn hng to ra cc ti sn c tnh thanh khon cao trn c s nhng ti sn km thanh khon, to cho ngn hng mt ngun vn mi t cc khon cho vay ca mnh. - Cc cng c tn dng phi sinh (credit derivatives): y l cc hp ng ti chnh bo v ngi th hng trong trng hp cc khon n khng th c thanh ton, c

th c s dng hiu qu trong vic gim ri ro pht sinh n xu cng nh gim ri ro li sut ca ngn hng. + Hp ng trao i tn dng: L hnh thc trong hai t chc tn dng trao i cho nhau mt phn cc khon thanh ton theo cc hp ng tn dng ca mi bn. V d, ngn hng A v ngn hng B tm c mt trung gian ti chnh l cng ty bo him, ng lp mt hp ng trao i tn dng cho hai bn. Sau , ngn hng A s tin hnh chuyn mt lng tin (gi s l 100 triu USD gm c gc v li) m ngn hng thu t nhng ngi vay vn cho t chc trung gian. Tng t, ngn hng B cng chyn mt lng tin tng ng (100 triu USD) gi tr cc khon thanh ton n cho t chc trung gian. T chc trung gian cui cng s chuyn nhng khon tin ny cho cc bn k kt hp ng. Khi tham gia hp ng trao i tn dng, cc ngn hng c th nng cao tnh a dng ho ca danh mc cho vay, c bit nu cc ngn hng hot ng trong cc lnh vc khc nhau. Cc t chc trung gian khi tham gia hp ng trao i tn dng c hng mt khon ph cho dch v trung gian m h thc hin. T chc trung gian cng c th thc hin m bo cho cc bn v vic hp ng tn dng s c hon tt nhn c nhng khon ph b sung. Mt dng khc ca hp ng trao i tn dng thc hin ph bin l Hp ng trao i ton b thu nhp (total return swap). Hp ng ny c th bao gm c nhng t chc ti chnh ng ra m bo cho cc bn tham gia mt t l thu nhp c th trn cc khon tn dng ca h. V d, t chc trung gian s m bo cho ngn hng A c mt t l thu nhp trn khon cho vay kinh doanh cao hn mc li sut tri phiu di hn ca Chnh ph l 3%. Nh vy, ngn hng A i nhng khon thu nhp ri ro t khon tn dng ly nhng thu nhp n nh hn. Hp ng trao i ton b thu nhp c th c xy dng da trn mt khon cho vay thng mi m ngn hng A mi thc hin. Ngn hng A sau ng thanh ton cho ngn hng B ton b cc khon thu t mn vay ny bao gm c gc v li v cc nhng khon tng (gim) gi tr th trng ca khon cho vay. V phn mnh, ngn hng B s cam kt thanh ton cho ngn hng A li su LIBOR cng vi mt li sut b sung v thanh ton cho ngn hng B mc gim gi tr th trng ca khon vay. V bn cht, ngn hng B chp nhn ton b ri ro tn dng v c ri ro li sut (nu khon cho vay c li sut th ni hay gi tr ca khon vay nhy cm vi nhng bin ng ca li sut th trng) gn vi khon cho vay ca ngn hng A, iu ny nh th ngn hng B l ngi cho vay. Hp ng ny c th b chm dt sm nu ngi vay vn mt kh nng thanh ton. + Hp ng quyn tn dng (Credit options): Hp ng quyn tn dng l cng c bo v ngn hng trc nhng tn tht trong gi tr ti sn tn dng, gip b p mc chi ph vay vn cao hn khi cht lng tn dng ca ngn hng gim st. V d, nu mt ngn hng lo ngi v cht lng tn dng ca mt khon cho vay 100 triu USD mi c thc hin,

ngn hng s c th k hp ng quyn tn dng vi mt t chc kinh doanh quyn (option dealer). Hp ng ny s m bo thanh ton ton b khon cho vay nu nh khon cho vay ny gim gi nh k hoc khng th c thanh ton. Nu nh khch hng vay vn tr n nh k hoch, ngn hng s thu c nhng khon thanh ton nh d tnh v hp ng quyn s khng c s dng, nh vy ngn hng s mt ton b chi ph tr trn hp ng quyn. Ngn hng cng thc hin cc hp ng quyn tng t bo v danh mc u t trong trng hp nhng t chc pht hnh khng th hon thnh trch nhim thanh ton hoc trong trng hp gi tr th trng ca cc khon chng khon gim st ng k do cht lng tn dng ca t chc pht hnh thay i. Hp ng quyn tn dng cng c th c s dng bo v ngn hng trc nhng ri ro chi ph vay vn tng do cht lng tn dng ca ngn hng gim. V d, mt ngn hng lo ngi rng mc xp hng tn dng ca khon vay c th gim trc khi ngn hng pht hnh cc tri phiu di hn huy ng thm vn, v do vy ngn hng c th b rng buc phi tr mt mc li sut huy ng vn cao hn. Mt gii php trong hon cnh ny l ngn hng mua hp ng quyn bn vi mc chnh lch li sut c bn cam kt trong hp ng c xc nh l mc ph bin trn th trng hin ti p dng i vi mc ri ro tn dng hin ti ca ngn hng. Ging nh cc hp ng quyn khc, hp ng quyn ri ro tn dng cng mang mc chnh lch li sut c bn. Hp ng quyn s thanh ton ton b phn chnh lch mc li sut c bn thc t (so vi mt chng khon khng c ri ro) vt trn phn li sut c bn c tho thun. + Hp ng trao i cc khon tn dng ri ro: Thng qua nhng ngi mi gii, ngn hng s mua mt hp ng quyn bn i vi mt b phn danh mc cho vay hoc danh mc u t nhm ngn chn tn tht do gi tr ti sn gim. V d, ngn hng va thc hin mt s khon cho vay vi tng tr gi 100 triu USD phc v cho cng vic xy dng mt s d n u t. Do lo ngi nhng khon vay bt ng sn ny s c vn trong iu kin nn kinh t a phng ang gp kh khn, ngn hng quyt nh mua mt hp ng quyn bn phng cc trng hp cc n v vay vn khng tr c n. V do , nu cc khon vay ny khng th thu hi, ngn hng s nhn c phn chnh lch ca 100 triu USD tr i gi tr thanh l ca ti sn dng lm vt th chp cho khon vay. Trong trng hp ny, ngn hng cng c th tm mt t chc m bo cho cc khon vay trong trng hp khng th thu hi vn. + Tri phiu rng buc: (Credit-limited Notes - CLN): Tri phiu rng buc l mt cng c tn dng phi sinh mi xut hin, kt hp c tnh ca cc khon n thng thng v hp ng quyn tn dng. Tri phiu ny gip cho khch hng vay vn c th linh hot hn trong qu trnh thanh ton. Tri phiu rng buc to ra cho t chc pht hnh mt c quyn trong vic gim mc thanh ton nu nh c nhng thay i ln trong mt s yu t. V d, mt ngn hng pht hnh tri phiu huy ng vn ti tr cho mt nhm cc khon vay vi mc li coupon hng nm l 10% (v d 100 USD mi nm i vi 1.000 USD mnh gi). Tuy nhin, tri phiu rng buc c mt s iu khon quy nh rng nu t l tn tht tn dng trn cc khon n l qu ln (v d 7% trn tng d n)

th ngn hng s ch thanh ton cho cc nh u t mt t l li coupon l 7% (70 USD cho mi 1.000 USD mnh gi). Nh vy, c th thy ngn hng phn no c c s m bo t pha ngi u t i vi cc khon tn dng ca mnh. ( ngun: cib.vn)

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