Tong Quat Ve Quan Ly Rui Ro Trong Ngan Hang

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.
com
Contents A. TNG QUAN................................................................................................................................4 1. Mc ch .......................................................................................................................................4 2. Khi nim ri ro v qun l ri ro .................................................................................................5 2.1 Khi nim ri ro v phn loi ri ro ........................................................................................5 2.1.1 Khi nim ri ro ...............................................................................................................5 2.1.2 Phn loi ri ro ................................................................................................................5 2.2 Qun l ri ro ..........................................................................................................................6 2.3 Chc nng qun l ri ro ........................................................................................................7 3. Nguyn tc ...................................................................................................................................7 4. H thng thng l quc t v ri ro v cc quy nh ca Ngn hng Nh nc ........................8 4.1 Basel.......................................................................................................................................8 4.2.1 S hnh thnh v hot ng ca y ban Basel ..............................................................8 4.2.2 Ni dung c bn ca Basel 2..........................................................................................9 4.2 Cc quy nh ca Ngn hng Nh nc ............................................................................. 12 5. Khung qun tr ri ro .................................................................................................................. 14 5.1 Quan im v ri ro v mc chp nhn ri ro ............................................................... 14 5.2 Hot ng gim st ca Hi ng Qun tr v Ban iu hnh ............................................ 14 5.2.1 Hi ng qun tr .......................................................................................................... 14 5.2.2 Ban iu hnh .............................................................................................................. 15 5.3 m bo c y chnh sch, th tc v cc gii hn .................................................... 15 5.4 H thng thng tin gim st v qun l ri ro thch hp ..................................................... 15 5.5 Kim ton v kim sot ni b ............................................................................................ 16 6. Quy trnh qun l ri ro .............................................................................................................. 17 6.1 Xy dng bi cnh .............................................................................................................. 17 6.2 Xc nh ri ro ..................................................................................................................... 17 6.3 o lng ri ro .................................................................................................................... 17 6.4 Qun l v x l ri ro ......................................................................................................... 18 6.5 Kim sot ri ro, xem xt v nh gi li ............................................................................ 19 7. M hnh qun tr ri ro (tham kho cc ngn hng nc ngoi) ............................................... 19 7.1. Hi ng qun tr ................................................................................................................ 19 7.2. Ban iu hnh .................................................................................................................... 19 7.3. y ban ALCO v qun l ri ro .......................................................................................... 19 7.4. Khi QLRR: ........................................................................................................................ 20 7.5 Cc n v trc tip kinh doanh v cc n v, c nhn khc ............................................ 20 B. QUN L CC LOI RI RO ................................................................................................... 20 1. Qun l ri ro tn dng ............................................................................................................... 20 1.1 Gii thiu ............................................................................................................................. 20 1.2. Gim st ca Hi ng Qun tr v Ban iu hnh ............................................................ 21 1.2.1 Hi ng qun tr .......................................................................................................... 21 1.2.2 Ban iu hnh .............................................................................................................. 22 1.3 Chin lc tn dng, chnh sch v cc gii hn tn dng ................................................. 22 1.3.1 Chin lc tn dng ..................................................................................................... 22 1.3.2 Chnh sch tn dng ..................................................................................................... 23 1.3.3 Tiu chun cp tn dng .............................................................................................. 23 1.3.4 Cc gii hn tn dng ................................................................................................... 24 1.3.5 C cu t chc ............................................................................................................ 24 1.3.6 Ph duyt cc khon tn dng mi v m rng tn dng hin ti ................................ 25 1.3.7 Qun l tn dng ........................................................................................................... 25 1.3.8 Kim tra v gim st tn dng ...................................................................................... 26 1.4 H thng xp hng tn dng ni b v cc cng c o lng ri ro tn dng ..................... 26 1.4.1 H thng xp hng tn dng ........................................................................................ 26 1.4.2 Cc cng c o lng ri ro tn dng .......................................................................... 26 1.5 H thng thng tin qun l .................................................................................................. 30
Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

1.6 Kim sot v kim tra tn dng ............................................................................................ 30 1.7 Cc bo co ........................................................................................................................ 30 2. Qun l ri ro thanh khon ........................................................................................................ 30 2.1. Gii thiu ............................................................................................................................ 30 2.2. Gim st ca Hi ng Qun tr v Ban iu hnh ............................................................ 32 2.2.1 Hi ng qun tr .......................................................................................................... 32 2.2.2 Ban iu hnh .............................................................................................................. 32 2.2.3 Vai tr ca y ban ALCO v QLRR ............................................................................. 32 2.3 Chin lc qun l ri ro thanh khon ................................................................................ 33 2.4. Chnh sch, quy trnh v hn mc ................................................................................. 33 2.4.1 Chnh sch thanh khon .............................................................................................. 33 2.4.2 Quy trnh v gii hn ................................................................................................... 34 2.5. o lng v theo di ri ro thanh khon .......................................................................... 34 2.5.1. o lng v theo di ri ro thanh khon .................................................................... 34 2.5.2.Qun l thanh khon ngoi t ...................................................................................... 39 2.5.3. Qun l tip cn th trng ......................................................................................... 39 2.5.4. Xem xt cc gi nh trong qun l thanh khon ........................................................ 39 2.5.5 Kim tra khng hong .................................................................................................. 39 2.6. H thng thng tin qun l ................................................................................................. 39 2.7 Kim sot ni b.................................................................................................................. 40 2.8 Bo co ri ro thanh khon ................................................................................................ 41 3.Qun l ri ro li sut .................................................................................................................. 42 3.1 Gii thiu ............................................................................................................................. 42 3.2. Gim st ca Hi ng Qun tr v Ban iu hnh ............................................................ 44 3.2.1 Hi ng qun tr .......................................................................................................... 44 3.2.2 Ban iu hnh .............................................................................................................. 45 3.2.3 Vai tr ca y ban ALCO v QLRR ............................................................................. 45 3.3 Chin lc qun l ri ro li sut ........................................................................................ 45 3.4 Chnh sch, th tc v cc gii hn .................................................................................... 46 3.4.1 Chnh sch v th tc .................................................................................................. 46 3.4.2 Cc gii hn ................................................................................................................. 46 3.5 o lng, gim st ri ro v kim tra khng hong ............................................................ 47 3.5.1 o lng v gim st ri ro ......................................................................................... 48 3.5.2 Kim tra khng hong .................................................................................................. 57 3.6 H thng thng tin qun l .................................................................................................. 57 3.7 Kim sot ni b.................................................................................................................. 58 3.8 Cc bo co ........................................................................................................................ 59 4. Qun l ri ro t gi.................................................................................................................... 59 4.1 Gii thiu ............................................................................................................................. 59 4.2. Gim st ca Hi ng qun tr v Ban iu hnh ............................................................ 59 4.3 Chin lc i vi hot ng t gi .................................................................................... 60 4.4 Chnh sch, quy trnh v hn mc ...................................................................................... 60 4.4.1 Chnh sch v quy trnh ............................................................................................... 60 4.4.2 Hn mc ...................................................................................................................... 60 4.5 o lng v kim sot ........................................................................................................ 61 4.5.1 o lng v gim st ri ro ........................................................................................ 61 4.5.2 Kim tra khng hong .................................................................................................. 62 4.5.3 Gim st v kim sot ri ro ........................................................................................ 62 4.6 Kim sot ni b v kim ton c lp ............................................................................... 62 4.7 Cc bo co ri ro ............................................................................................................... 63 5. Qun l ri ro gi ....................................................................................................................... 63 5.1 Gii thiu ............................................................................................................................. 63 5.2 Gim st ca Hi ng qun tr v Ban iu hnh ............................................................. 64 5.3 Chin lc qun l ri ro gi ............................................................................................... 64 5.4 Chnh sch, th tc v hn mc ......................................................................................... 64 5.4.1 Chnh sch v th tc .................................................................................................. 64 5.4.2 Hn mc ...................................................................................................................... 64

5.5 o lng v gim st .......................................................................................................... 64 5.5.1 Kim tra tnh hp l ca gi v nh gi theo gi tr th trng .................................. 64 5.5.2 Gi tr ri ro - VaR ........................................................................................................ 64 5.5.3 H s beta .................................................................................................................... 65 5.5.4 Mc cnh bo MAT (Management Action Trigger) ..................................................... 65 5.6 H thng thng tin qun l .................................................................................................. 65 5.7 Kim sot v kim ton ni b ............................................................................................ 65 5.8 Cc bo co ........................................................................................................................ 65 6. Qun l ri ro hot ng ............................................................................................................ 66 6.1 Gii thiu ............................................................................................................................. 66 6.2 Gim st ca Hi ng qun tr v Ban iu hnh ............................................................. 66 6.3 Chin lc qun l ri ro hot ng .................................................................................... 67 6.4 Chnh sch v th tc.......................................................................................................... 67 6.5 Xc nh, nh gi, gim st, kim sot ............................................................................. 68 6.5.1 Xc nh ri ro .............................................................................................................. 68 6.5.2 Cc cng c nh gi ri ro ......................................................................................... 68 6.5.3 Gim st v kim sot ................................................................................................. 69 6.6 Kim sot ni b.................................................................................................................. 71 6.7 Cc bo co ........................................................................................................................ 72 7. Qun l ri ro danh ting ........................................................................................................... 73 7.1 Gii thiu ............................................................................................................................. 73 7.2 Chnh sch v th tc.......................................................................................................... 73 7.3 Qun l v gim st ri ro danh ting ................................................................................. 74 7.4 Phng php phn tch ...................................................................................................... 74 7.5 Vai tr v trch nhim ......................................................................................................... 74 8. Qun l ri ro tun th ............................................................................................................... 75 8.2 Gim st ca Hi ng qun tr v Ban iu hnh ............................................................. 75 8.3 Chnh sch v th tc.......................................................................................................... 76 8.4 Cc cng c nh gi.......................................................................................................... 76 8.5 Gim st tun th v bo co ............................................................................................. 77 C. MT S RI RO IN HNH TI CC NGN HNG TRN TH GII ............................... 78 1. Ri ro hot ng ti ngn hng Barings (1995) ................................................................... 78 2. Ri ro thanh khan ca cc ngn hng Agrentina 2001 ...................................................... 78 3. Ri ro ti cc ngn hng Nga 2004 ...................................................................................... 79 4. Ri ro ti mt s ngn hng trong nc .............................................................................. 79 5. Ri ro ti Northern Rock 2007 ri ro thanh khon v ri ro danh ting ........................... 80 6. Ri ro ca mt s ngn hng trong cuc khng hong 2007-2009 ..................................... 80 D. ALM v ALCO ........................................................................................................................... 82 E. TNG KT ................................................................................................................................ 83

A. TNG QUAN 1. Mc ch Cng vi qu trnh hi nhp quc t, t do ha ti chnh, loi b cc ro cn thng mi, ti chnh v gianh gii ton cu dn n s tng trng nhanh chng, a dng v phc tp trong hot ng ngn hng. Hot ng ngn hng i mt vi ngy cng nhiu ri ro, nh ri ro tn dng, ri ro th trng v thanh khon, ri ro hot ng, php l v cc loi ri ro khc. Cc ri ro ny c lin quan mt thit vi nhau v nh hng ti nhau. S xut hin ca ri ro ny c th ko theo s xut hin ca ri ro khc. ng thi c quan gim st v qun l ngn hng tp trung hn vo vic qun l ri ro v kh nng sinh li ca cc ngn hng. iu ny i hi cc ngn hng phi tp trung v quan tm nhiu hn ti vic qun l ri ro. Cc cuc khng kinh t ti chnh ton cu ngy cng tc ng mnh m n mi lnh vc v ngnh ngn hng ti chnh l ngnh chu tc ng u tin v mnh m, c hng nghn ngn hng b xa s mc d c nhng ngn hng vi lch s hng trm nm pht trin vi kinh nghim, i ng lnh o v vn ln hng u th gii. Ri ro l khng th trnh khi i vi bt k ngn hng no, hot ng kinh doanh ca ngn hng vn gn lin vi ri ro v th khng th loi tr ri ro m phi qun l ri ro sao cho hn ch ti mc thp nht c th chp nhn c v xa hn l qun l ri ro to ra li ch cho ngn hng bi ri ro gn lin vi li nhun. Tt nhin iu ny ty thuc vo khu v ri ro ca tng ngn hng. Cc chnh sch v qun l ri ro cn xc nh r cc loi ri ro c qun l, quy nh c cu t chc v cung cp vic o to ngun nhn lc cn thit ph hp vi cc cp qun l ri ro. Chnh sch a ra cn m bo o lng c hiu qu v ph hp vi c cu qun l ri ro, duy tr cc bin php khc nhau cng c, tng cng s tinh vi ca h thng qun l ri ro trong vic a ra cc cnh bo sm v c hnh ng kp thi cng nh cc gii php d phng. Qun l ri ro phi l mt qu trnh lin tc ti tt c cc cp ca t chc tn dng v ng vai tr quan trng i vi kh nng thc hin cc mc tiu, duy tr kh nng ti chnh v tr n ca t chc Basel 2. ng thi hnh thnh nn vn ha kim sot ri ro ti Ngn hng , mi cn b nhn vin u coi qun l ri ro l trch nhim ca mnh cc mc v phm vi khc nhau. Qun l ri ro ca ngn hng ng trn nhiu gc khc nhau v cn xem xt qun l ri ro mi cp . Cu trc qun l ri ro theo thng l mi gm ba hng phng th: hng th nht bn thn b phn kinh doanh (b phn trc tip chp nhn ri ro), hng th hai l chc nng qun l ri ro c lp v hng th ba l b phn kim sot ni b. Khi Qun l Ri ro l b phn c lp v tch khi chc nng kinh doanh, khng phi l b phn chp nhn ri ro. Hot ng ch yu ca Khi Qun l Ri ro mang tnh cht gim st v cnh bo ton b hot kinh doanh ca h thng xem c tun th theo chnh sch kim sot ri ro do Ban lnh o ra khng. T bo co kp thi, y v chnh xc ln cc cp lnh o cc biu hin sai phm c th dn n thit hi cho ngn hng.

2. Khi nim ri ro v qun l ri ro 2.1 Khi nim ri ro v phn loi ri ro 2.1.1 Khi nim ri ro Theo nh ngha truyn thng ri ro l nhng s kin xy ra c th lm cho mt mt ti sn hay lm pht sinh mt khon n. nh ngha v ri ro hin i hn bao hm ngha rng hn v khng ch tnh n ri ro ti chnh m cn bao gm c nhng ri ro lin quan n nhng mc tiu hot ng v mc tiu chin lc. Ri ro l kh nng nhng s kin cha chc chn trong tng lai s lm cho ch th khng t c nhng mc tiu chin lc v mc tiu hot ng, cng nh chi ph c hi ca vic lm mt nhng c hi th trng. Ri ro khng ch gy tn tht v vn, ti sn ca ngn hng m cn nh hng xu ti mc tn nhim v thng hiu ca ngn hng. Chp nhn ri ro l trung tm ca hot ng ngn hng. Cc ngn hng cn phi nh gi cc c hi kinh doanh da trn mi quan h ri ro-li ch nhm tm ra nhng c hi t c nhng li ch xng ng vi mc ri ro chp nhn. Ngn hng s hot ng tt nu mc ri ro m ngn hng gnh chu l hp l v kim sot c v nm trong phm vi kh nng cc ngun lc ti chnh v nng lc tn dng ca ngn hng. 2.1.2 Phn loi ri ro Ri ro rt a dng v c th c phn tch theo nhiu kha cnh khc nhau. Trong phm vi cc hot ng ca Ngn hng, nhng ri ro c bn xt n gm: Ri ro tn dng l l kh nng xy ra tn tht ca Ngn hng do khch hng ca Ngn hng khng thc hin hoc khng c kh nng thc hin ngha v ca mnh theo cam kt. Gia mc ri ro tn dng v cht lng danh mc cho vay ca ngn hng c mi lin h trc tip. Mt ngn hng c s lng cc khon cho vay khng thu hi c nhiu mt cch bt thng s c coi nh c danh mc cho vay vi mc ri ro tn dng cao. Cch phng nga ri ro tn dng tt nht l thc hin vic qun l danh mc, bao gm c vic xy dng cc chun mc cp tn dng v chnh sch a dng ha ph hp. Ri ro thanh khon l loi ri ro dn n tn tht v/hoc mt kh nng thanh ton cho Ngn hng khi Ngn hng khng vn kh dng vi chi ph hp l v/hoc khng th bn ti sn vi chi ph hp l v/hoc phi huy ng cc ngun vn vi chi ph cao vo ng thi im m Ngn hng cn p ng cc ngha v thanh ton, ti chnh m Ngn hng phi thc hin.Ri ro thanh khon ln nht khi ngn hng khng th d kin c nhu cu vay vn mi hay nhu cu rt tin gi, v ngn hng khng th tip cn c cc ngun b sung tin mt, v d nh thng qua mt hn mc tn dng k kt. (cc ngun nh cc khon cam kt, ri ro tp trung hay c cu ti sn c v ti sn n). Ri ro th trng l loi ri ro b tn tht ti sn, xy ra khi li sut, t gi hay gi c th trng bin ng theo chiu hng xu, v d nh t gi hi oi, t l li sut, gi c

phiu. Do ri ro th trng bao trm mt phm vi rt rng, nn ri ro th trng s c chia ra lm ba loi ri ro c th nh hn l ri ro t gi, ri ro li sut v ri ro gi c: o o o Ri ro t gi: l kh nng xy ra nhng bin ng ca t gi dn n tc ng bt li cho cc hot ng kinh doanh, thu nhp v/hoc gi tr rng ca Ngn hng. Ri ro li sut: l kh nng xy ra nhng bin ng ca li sut dn n tc ng bt li ti hot ng kinh doanh, thu nhp v/hoc gi tr rng ca Ngn hng. Ri ro gi c (tr cc ri ro th trng trn): l kh nng xy ra nhng bin ng ca gi c dn n tc ng bt li ti hot ng kinh doanh, thu nhp v/hoc gi tr rng ca Ngn hng. Ri ro hot ng (cn gi l ri ro vn hnh, hoc ri ro tc nghip) l ri ro gy tn tht do nguyn nhn cc quy trnh ni b, con ngi v cc h thng khng y hoc sai lm, hoc bi cc yu t, s kin bn ngoi. Ri ro chin lc l ri ro pht sinh t s bt lc ca ngn hng thc hin k hoch kinh doanh, chin lc, quyt nh, phn b ngun lc thch hp v kh nng khng thch ng vi nhng thay i trong mi trng kinh doanh ca mnh. Ri ro tun th l ri ro c th pht sinh t cc vi phm hay s khng tun th cc lut, cc quy ch, cc quy nh hoc cc thng l, hoc khi cc quyn li cng nh ngha v hp php ca cc bn c thit lp. Ri ro tun th khng ch gm tun th php l m cn c cc chun mc o c ngh nghip do cc hip hi a ra. Ri ro danh ting l ri ro pht sinh nhng quan im tiu cc ca cng chng v ngn hng (khi cc thng tin khng tt v ngn hng c cng khai) dn n tnh trng thit hi v ngun huy ng vn, mt khch hng, gim thu nhp. Ri ro danh ting c th ko theo nhng hnh ng gy nn tnh trng ko di quan nim khng tt trong dn chng v hot ng chung ca ngn hng, v nh vy kh nng thit lp v duy tr mi quan h khch hng s tr nn kh khn v c th lm xi mn lng tin ca cng chng vo ngn hng. Mi loi ri ro trn li c th c nhn nhn theo nhiu kha cnh khc nhau v cn c o lng v qun l ph hp vi cc c im ring bit ca tng loi ri ro. 2.2 Qun l ri ro Qun l ri ro l n lc nhm xc nh/nhn dng, o lng, theo di, gim st v qun l s khng chc chn (bao gm c vic la chn trin khai cc bin php nhm hn ch, kim sot ri ro ca Ngn hng). Mc tiu ca qun l ri ro l gim mc ri ro thuc nhng ngnh/ni dung c la chn xung mt mc c chp nhn xc nh trc. Theo cch suy ngh hin i, qun l ri ro khng ch n thun tun th quy nh v kim sot ni b m tr thnh mt phn khng th tch ri trong mi quyt nh kinh doanh v vn ha ri ro mang tnh c trng ca mi nh ch ti chnh. K nng qun l ri ro thay v cch tip cn hu kim chuyn sang cch tip cn ri ro mang tnh phng nga, d bo trc v c s la chn. Cc quyt nh kinh doanh da trn c s ri ro. Thay v qun l ri ro vi vai tr l tc nhn hn ch chuyn sang qun l ri ro ng vai tr l tc nhn gip ch. Vic tip cn ri ro ca ngn hng theo cc loi ri ro, gm ri ro tn dng, ri ro th trng, ri ro thanh khon, ri ro hot ng, ri ro khc v qun l tng loi ri ro theo c im ca

chng. Ngoi vic qun l tng ri ro ring, ngn hng thnh lp mt y ban qun l ri ro xc nh v nh gi ri ro tng th. Trong trng hp cn thit, a ra cc phn ng thch hp v gi ri ro trong gii hn c y ban qun l ri ro chp nhn, cn a ra cc yu t nh tnh v nh lng. Cn xc nh c cc nhm ri ro v c khung phn b vn ri ro. C th hn cn phn b vn ri ro ti cc cng ty con ca ngn hng v kim sot ri ro trong gii hn t cho mi cng ty con. Ri ro vn c giao cho cc cng ty con theo th loi ri ro v c th hn l giao ti cc n v kinh doanh ca cc cng ty ny. Cc ri ro trn c a ra theo loi ri ro, tuy nhin nhiu ti sn c th bao gm nhiu loi ri ro, v d tri phiu ngoi t c th gm c ri ro tn dng, ri ro li sut v ri ro v t gi. Vic nh gi ti sn c tnh cht nhiu ri ro cn kt hp cc ri ro. Xt trn qui m ton h thng, cn ch r cc ti sn c nhiu ri ro v nh hng trng yu n hot ng ca ngn hng. Qun l ri ro l mt qu trnh lin tc cn phi c ph bin ti ton th nhn vin cc mc khc nhau v n gp phn hnh thnh nn vn ha kim sot ri ro ti Ngn hng. Walter Wriston (1993), cu ch tch & CEO ca citibank/citicorp nh gi v vai tr ca qun l ri ro ca ngn hng: thc t cc chuyn vin ngn hng ang trong mt ngnh kinh doanh v qun l ri ro. Ni mt cch trc tip v n gin, chnh l cng vic ca ngn hng. 2.3 Chc nng qun l ri ro Xy dng chin lc qun l ri ro v khu v ri ro; Xc nh cc ri ro hin hnh, ri ro cha pht hin v cc ri ro mi; Xy dng chnh sch, quy ch, quy trnh, th tc, hn mc v c ch kim sot ri ro; Xy dng v pht trin h thng thng tin qun l, h thng o lng, nh gi ri ro, cc bin php phng chng, gim thiu ri ro; Gim st m bo vic tun th quy nh v hn mc t ra; o to nhn vin, cp nht v qun l ri ro v t nh gi hiu qu qun l ri ro; Bo co kt qu gim st ri ro. 3. Nguyn tc Qun l ri ro c gn vi hot ng qun tr tng th, thng xuyn, lin tc v xuyn sut trong ton h thng; Qun l ri ro phi theo thng l quc t v c chun ha Theo thng l quc t, mt h thng qun l ri ro lnh mnh phi c: o C s gim st ca Hi ng Qun tr v Ban iu hnh (BOM); o C chnh sch, quy trnh v hn mc thch hp v y (PPL);

o o C cc h thng thng tin qun l (MIS), h thng theo di gim st v o lng ri ro thch hp; Kim sot ni b ton din (ICs).
Qun l ri ro i vi tt c cc hot ng ca ngn hng v hnh thnh vn ha kim sot ri ro trong qun tr v cn c ngun lc thc hin; Mc tiu ca qun l ri ro khng phi l gim thiu ri ro v mc bng khng m l ti u ha quan h nh i gia li nhun v ri; ri ro phi c qun l, khng phi loi b ri ro; ri ro n do s la chn ch khng phi tnh c; Kt hp qun l ri ro theo hng hin i v truyn thng: trc khi ra quyt nh kinh doanh qun l ri ro c nhn trn gc hin i, tuy nhin sau khi ra quyt nh cn s dng thm qun l ri ro theo cch truyn thng; Qun l ri ro khng n thun b phn qun l ri ro hi s m cn ph bin ti ton b nhn vin, trong c bit l b phn kinh doanh trc tip v c cc chun mc o c ngh nghip. 4. H thng thng l quc t v ri ro v cc quy nh ca Ngn hng Nh nc 4.1 Basel 4.2.1 S hnh thnh v hot ng ca y ban Basel y ban Basel c thnh lp nm 1974 bi thng c ngn hng trung ng ca 10 nc (G10). Hin nay, cc thnh vin ca y ban ny gm cc nc: Anh, Php, , c, B, H Lan, Ty Ban Nha, Thy in, Thy S, Lucxemembourg, M, Canada v Nht. Cc quc gia c i din bi ngn hng trung ng hay c quan gim st hot ng ngn hng. y ban ny nhm hp nh k mi nm 4 ln. y ban cn gm 25 nhm k thut v mt s b phn c nhm hp thng xuyn thc hin cc cng vic ca y ban. Hi ng th k ca y ban c xut bi Ngn hng Thanh ton Quc t (BIS) Basel. Hi ng th k gm 15 thnh vin l nhng nh gim st hot ng ngn hng chuyn nghip c bit phi tm thi t cc t chc ti chnh thnh vin. y ban Basel khng c bt k c quan gim st no v nhng kt lun ca n khng c tnh php l v yu cu tun th vi vic gim st hot ng ngn hng. y ban ny ch xy dng v cng b nhng tiu chun v nhng hng dn gim st rng ri, ng thi gii thiu cc bo co thc tin tt nht cho cc t chc. y ban ny khuyn khch vic p dng cch tip cn v cc tiu chun chung m khng c gng can thip vo cc k thut gim st ca cc nc thnh vin. y ban bo co cho thng c ngn hng trung ng hay c quan gim st hot ng ngn hng ca cc nc thnh vin. T tm kim s hu thun cho nhng sng kin ca y ban. Mt mc tiu quan trng ca y ban l thu hp khong cch gim st quc t trn hai nguyn l c bn l (1) khng ngn hng nc ngoi no c thnh lp m thot khi s gim st. (2) vic gim st phi tng xng.

Nm 1988, y ban gii thiu h thng o lng vn m n c cp nh l Hip c vn Basel (the Basel Capital Accord) hay Basel 1. H thng ny cung cp khung o lng ri ro tn dng vi tiu chun vn ti thiu l 8%. N c ph bin rng ri trong cc nc thnh vin v cc nc khc. Nm 1997, y ban a ra cc nguyn tc nng ct cho vic gim st hot ng ngn hng hiu qu - gm 25 nguyn tc, n cung cp khung kh cho h thng gim st hiu qu. xc tin cho vic thc hin v nh gi, thng 10/1999, y ban pht trin Phng php lun cc nguyn l nng ct. Mt s tng kt cc nguyn l nng ct v phng php lun hin ang c trin khai. Thng 6/1999, y ban Basel ban hnh xut khung o lng mi - chng trnh t vn ln th nht (First Consultative Package CP1) vi 3 tr ct chnh: - Tr ct 1: Cc yu cu vn ti thiu - Tr ct 2: Quy trnh xt duyt gim st - Tr ct 3: K lut th trng Chng trnh t vn ln 2 (CP2) v ln 3 ln lt c hon thnh vo 1/2001 v thng 4/2003. n qu 4/2003 phin bn hon thin ca Basel 2 c a ra v Basel 2 chnh thc c ban hnh vo ngy 26/06/2004, c hiu lc t thng 1/2007. Ti liu ny c th lm c s cho cc qu trnh ph duyt v xy dng lut l quc gia v gim st hot ng ngn hng v cho cc ngn hng hon chnh s chun b ca h cho vic thc hin cc tiu chun mi. So snh Basel 1 v Basel 2 STT 1 Ch tiu Cu trc v ni dung Tnh linh ng ca ng dng Nhy cm vi ri ro Basel 1 Tp trung vo mt loi ri ro n gin Ch c mt khun mu cho tt c i tng o c ri ro s b C 4 trng s: 0%, 20%, 50%, 100%, u i hn vi cc nc OECD 5 K thut gim ri ro tn dng Ch h tr v m bo Basel 2 Ba ct tr nhn mnh hn v phng php lun ni ti ca ngn hng, nh gia ca c quan gim st v nguyn tc th trng Linh hot hn, mt lot cc cch tip cn. C c ch khuyn khch i vi qun l ri ro tt hn Tng nhy vi ri ro C 5 trng s 0%, 20%, 50%, 100%, 150% v c th hn, khng c c quyn no, bao gm c phn cp bn trong v bn ngoi Nhiu k thut hn nh h tr, m bo, phi sinh tn dng, lp mng li v th (position netting)
Trng s ri ro
4.2.2 Ni dung c bn ca Basel 2

Mc tiu ca hip c Basel 2 v vn l: o o o o o Tng cng an ton v lnh mnh i vi h thng ti chnh; Tip tc m rng cnh tranh cng bng; To nn phng php ton din hn xc nh ri ro; a ra mc vn ti thiu nhy cm hn vi ri ro; a ra cc khuyn khch vi cc ngn hng nhm m rng kh nng o lng ri ro;
Ni dung chnh ca Basel 2 gm:
Khi qut 3 tr ct ca hip c Basel 2: Tr ct 1 Cc yu cu vn ti thiu Ban hnh nhng mc chun ti thiu i vi qun tr vn trn mt c s nhy cm hn vi cc ri ro: - Ri ro tn dng - Ri ro vn hnh - Ri ro th trng Tr ct 2 Quy trnh xt duyt gim st Tng thm trch nhim v mc quyn t quyt i vi cc xt duyt gim st v kim sot b p: - nh gi chin lc vn ti thiu ca ngn hng - Xc nhn cc m hnh ni - Mc chi ph vn - Theo di phng v cc mc vn v m bo hnh ng chng Tr ct 1: Cc yu cu vn ti thiu Tr ct 3 K lut th trng - Ngn hng c yu cu tng cng cng khai thng tin, c bit cc ch s o lng ri ro tn dng v hot ng. - M rng ni dung v tng tnh minh bch i vi th trng v cc cng b ti chnh
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Tr ct ny lin quan ti vic duy tr vn an ton ti thiu. Lng vn duy tr c tnh ton theo ba yu t ri ro chnh m ngn hng phi i mt l ri ro tn dng, ri ro hot ng/ vn hnh v ri ro th trng. Nhng loi ri ro khc khng c coi l c th lng ha hon ton bc ny. Trong tr ct ny Basel 2 cp ti cch tnh yu cu vn ti thiu, cc cu thnh ca vn vn (vn cp 1, cp 2 v cp 3), cch tnh yu cu vn i vi ri ro tn dng, ri ro hot ng, ri ro th trng. Theo quy nh trong Basel, mt t chc ti chnh c gi l vn khi h s vn (Capital Adequacy Ratio CAR) t ti thiu 4% i vi vn cp 1 v 8% i vi vn cp 2. H s CAR c tnh nh sau: CAR = vn ngn hng/ti sn c iu chnh ri ro Vn ngn hng: c chia thnh hai cp, vn cp 1 (tier 1) v vn cp 2 (tier2). Vn cp 1 bao gm vn c phn thng v d tr c cng b. Vn cp 2 gm d tr khng c cng b, d tr ti sn nh gi li, d phng chung/d phng tn tht cho vay chung, cc cng c vn lai (gia n v vn ch s hu, v d tri phiu chuyn i), n th cp. Gii hn i vi vn cp 2 c a vo tnh ton t l vn khng c qu 100% vn cp 1; n th cp ti a bng 50% vn cp 1; d phng chung ti a bng 1,25% ti sn c ri ro; d tr ti sn nh gi li c chit khu 55%; thi gian o hn cn li ca n th cp ti thiu l 5 nm; vn ngn hng khng bao gm vn v hnh (goodwill). Ti sn c iu chnh ri ro: Mi loi ti sn c gn cho mt trng s ri ro. Vic xp trng s bao nhiu ty thuc mc tn nhim ca ch n. Mt im khc bit gia basel 1 v basel 2 l n the basel 2 c chia thnh 5 nhm: nhm 0%, 20%, 50%, 100% v 150%; basel 1 ch c 4 nhm u). Ti Vit Nam ang p dng trng s ri ro ca ti sn c chia thnh 5 mc l 0%, 20%, 50%, 100% v 150% (quyt nh 457/2005/Q - NHNN v cc quyt nh sa i, b dung nh quyt nh 03/2007/Q -NHNN, quyt nh s 34/2008/Q NHNN) ty theo mc ri ro ca tng loi ti sn. Tr ct 2: Quy trnh xt duyt gim st Tr ct ny hot ng tp trung vo vic xy dng h thng qun l ri ro cho ngn hng v cc nh hoch nh chnh sch. Quy trnh kim tra kim sot trong Basel 2 khng ch m bo rng ngn hng c vn gii quyt tt c cc ri ro trong hot ng kinh doanh m cn khuyn khch ngn hng pht trin v s dng k thut qun l ri ro tt hn trong vic kim sot v qun l cc loi ri ro. Tr ct ny cng cung cp mt khung gii php cho cc ri ro khc m ngn hng phi i mt nh ri ro h thng, ri ro chin lc, ri ro danh ting, ri ro thanh khon v ri ro tun th/php l m Basel tng hp li di ci tn ri ro cn li residual risk. Bn nguyn tc chnh ca tr ct 2: - Ngn hng nn c quy trnh nh gi s thch hp ca tng vn v h s ri ro ca ngn hng v mt chin lc duy tr cc mc vn khc nhau. - Nhng ngi gim st cn kim tra li v nh gi cc chin lc, nh gi mc vn thch hp ni b ca ngn hng, cng nh kh nng gim st v m bo tun th cc mc vn iu tit. Nhng ngi gim st cn phi c nhng hnh ng gim st ph hp nu h khng tha mn vi kt qu cua quy trnh nh gi. - Kim sot vin nn yu cu ngn hng duy tr mc cao hn t l vn iu chnh ti thiu v phi c kh nng yu cu cc n v thnh vin duy tr mc vn cao hn mc ti thiu.
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- Kim sot vin cn phi c bin php can thip ngay giai on u tin ngn mc vn khng b rt xung thp hn mc ti thiu gii quyt nhng thuc tnh ri ro ca mt ngn hng nht nh v cn c hnh ng gii quyt tc th nu vn khng duy tr hoc khi phc c. Tr ct 3: K lut th trng Tr ct ny tp trung vo vic a cc ni dung v vic tun th cc k lut th trng, vn cng b thng tin y v minh bch. Trong nhn mnh n vic cng b cc loi thng tin v ri ro, d tr, vn. iu ny gip th trng c mt bc tranh hon thin hn v v th ri ro tng th ca ngn hng v cho php i tc ca ngn hng nh gi chnh xc hn v ngn hng.
4.2 Cc quy nh ca Ngn hng Nh nc Ngy 27/5/2009, Th tng Chnh ph ban hnh Quyt nh s 83/2009/Q-TTg quy nh chc nng, nhim v, quyn hn v c cu t chc ca C quan Thanh tra, gim st ngn hng trc thuc NHNN. y l mt c quan cp tng cc trc thuc NHNN, c thnh lp trn c s sp nhp mt s V, Cc ca NHNN. C quan ny c chc nng thanh tra hnh chnh, thanh tra chuyn ngnh v gim st chuyn ngnh v ngn hng trong cc lnh vc thuc phm vi qun l nh nc ca NHNN; tham mu, gip Thng c NHNN qun l nh nc i vi cc TCTD, t chc ti chnh quy m nh, hot ng ngn hng ca cc t chc khc; thc hin phng, chng ra tin theo quy nh ca php lut. Theo Quyt nh ny, thng qua hot ng gim st ngn hng, trong trng hp pht hin cc vi phm quy nh an ton hot ng ngn hng v quy nh ca php lut hoc c du hin mt an ton hot ng, C quan Thanh tra, gim st ngn hng p dng ngay cc bin php ngn chn v x l theo thm quyn hoc kin ngh c quan nh nc c thm quyn x l theo quy nh ca php lut. Ni dung gim st c xy dng vi cc Quyt nh s 398/1999/Q-NHNN3 v hot ng gim st t xa, Quyt nh s 06/2008/Q-NHNN v xp loi NHTM c phn, Quyt nh s 457/2005/Q-NHNN v cc t l bo m an ton trong hot ng ngn hng, Quyt nh s 493/2005/Q-NHNN v phn loi n, trch lp v s dng d phng x l ri ro,....
i chiu vic thc hin cc nguyn tc gim st ca Basel trong hot ng gim st ca NHNN Nguyn tc s 1. 2. 3. Cc nguyn tc c bn ca Basel v gim st ngn hng hiu qu Chc nng, nhim v, s c lp, s minh bch v hp tc Phm vi hot ng ngn hng Cc tiu ch cp php Cha p ng X X X
p ng
ang xc tin
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4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. Chuyn i quyn s hu ln Cc sp nhp c bn An ton vn Quy trnh qun tr ri ro Ri ro tn dng Cc ti sn c vn , d tr v d phng Gii hn tn dng vi khch hng ln Nguy c ri ro i vi cc bn lin quan Ri ro chuyn i v ri ro chnh tr Ri ro th trng Ri ro thanh khon Ri ro hot ng Ri ro li sut trong ghi s ca ngn hng Kim ton v kim sot ni b Phng trnh ri ro trong dch v ti chnh Phng php gim st K thut gim st Thng tin bo co gim st Ch k ton v cng b thng tin Thc hin yu cu v kt lun thanh tra gim st Gim st tng th Phi hp gim st trong v ngoi nc X X X X X X X X X X X X X X X X X X X X X X
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Tng 6 13 (Ngun: www.sbv.gov.vn) 6
5. Khung qun tr ri ro 5.1 Quan im v ri ro v mc chp nhn ri ro Ri ro i lin vi li nhun, v chnh l s nh i. Khi a ra khu v ri ro cn xem xt kh nng ri ro, tnh trng ti chnh, sc mnh ca thu nhp li v kh nng n hi ca uy tn v thng hiu, kh nng qun l ri ro ca tng ngn hng. Khu v ri ro c th c nh ngha l kh nng, cch thc, mc v phm vi chp nhn ri ro nhm t c nhng mc tiu hot ng, kinh doanh m ngn hng theo ui. Khu v ri ro c m t nh lng vi mi ri ro v c a vo trong chin lc ca ngn hng. Khu v ri ro l trung tm ca vic tip cn ri ro, qun l vn v kinh doanh ca ngn hng. N bao gm c kha cnh li v bt li. Trong mi giai on cn xc nh r khu v ri ro, v nh gi mc ri ro mong mun c xng ng vi li ch, mc tiu tng trng khng v ph hp vi mc tiu chin lc ca cng ty v cc bn lin quan khng. Khu v ri ro thc hin thng qua cc cc gii hn hot ng kim sot mc ri ro do ngn hng, cc vng v nhm khch hng. 5.2 Hot ng gim st ca Hi ng Qun tr v Ban iu hnh 5.2.1 Hi ng qun tr Hi ng qun tr chu trch nhim cui cng v quyt nh v mc ri ro m Ngn hng c th chp nhn c. ng thi, HQT chu trch nhim v qun l, hng dn v gim st i vi Ban iu hnh, thit lp v duy tr h thng kim sot ni b hot ng tt v hiu qu. lm iu ny, HQT cn phi: Ph duyt cc chin lc kinh doanh tng th v cc chnh sch, gii hn v qun l ri ro ca Ngn hng v nh k c xem xt nh gi li; Ch ng theo di tnh hnh thc hin v danh mc ri ro ca Ngn hng; nh k r sot thng tin nm bt v nh gi tt c cc loi ri; Xy dng c cu t chc ph hp; Bo m Ban iu hnh thc hin y cc bc cn thit xc nh, nh lng, gim st v qun l ri ro; Bo m Ban iu hnh gim st c hiu qu ca h thng kim sot ni b.
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m bo hon thnh tt nhim v ca minh, Hi ng qun tr nn phn trch nhim cho mt b phn chuyn trch v Qun l ri ro - U ban Qun l ri ro, c iu hnh bi mt thnh vin Hi ng qun tr khng phi l gim c iu hnh v c kin thc v qun l ri ro. 5.2.2 Ban iu hnh Ban iu hnh thc hin cc nhim v c Hi ng qun tr giao. Trch nhim ca Ban iu hnh nh sau: Thc hin cc chin lc v chnh sch c Hi ng qun tr ph duyt; Xy dng cc quy trnh nhm xc nh, o lng, gim st v kim sot nhng ri ro pht sinh trong hot ng ca ngn hng; Duy tr mt c cu t chc phn cng r chc nng, nhim v, v trch nhim bo co trnh nhng trng hp mu thun v quyn li; Bo m nhng chc nng nhim v c phn cng c thc hin mt cch hiu qu; Xy dng nhng chnh sch kim sot ni b ph hp; Gim st tnh hiu qu v y ca h thng kim sot ni b. 5.3 m bo c y chnh sch, th tc v cc gii hn Ngn hng cn c y chnh sch, th tc v cc gii hn v ri ro. Mi loi ri ro cn c xc nh ng cch, m bo c chnh sch v th tc y nhn din, nh gi, o lng, kim sot v phng chng thch hp. ng thi cc chnh sch, th tc v cc gii hn cn chnh sa kp thi ph hp vi s thay i trong mi trng hot ng ngn hng. Cc yu cu i vi chnh sch, th tc v cc gii hn: o o o o C cc tiu chun v xc nh ri ro, o lng, gim st v kim sot nhng ri ro t cc hot ng quan trng ca mnh; Ph hp vi kinh nghim ca cp qun l ca ngn hng, ph hp vi cc tuyn b v mc tiu ca ngn hng v sc mnh ti chnh tng th ca ngn hng; Phn r quyn v trch nhim ca cc cp, cn b trong hot ng; C chnh sch xem xt li cc hot ng mi ca ngn hng m bo ngn hng c c s h tng cn thit xc nh, gim st v kim sot ri ro lin quan ti hot ng c a ra trc khi hot ng c thc hin. 5.4 H thng thng tin gim st v qun l ri ro thch hp C cc h thng thng tin qun l, h thng theo di v o lng ri ro thch hp. Gim st ri ro hiu qu yu cu ngn hng cn xc nh v o lng tt c cc ri ro c bn. Do , hot ng gim st ri ro phi c h tr bi h thng thng tin cung cp cho Hi ng qun tr v Ban lnh o cc bo co kp thi v tnh trng ti chnh, hiu qu hot ng, v cc nguy c ri ro ca ngn hng. ng thi cc bo co phi m bo y , thng xuyn, chi tit, n gin v d hiu tham gia vo hot ng qun l hng ngy.
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Ngn hng phi c h thng thng tin qun l v gim st ri ro cung cp cho Ban lnh o mt s hiu bit r rng v tnh trng ca ngn hng v cc nguy c ri ro. Cc yu cu ti thiu m bo hiu qu ca h thng o lng, gim st ri ro v h thng thng tin: o o Gim st ri ro c thc hin v bo co ng a ch v gm tt c cc ri ro; Cc gi nh chnh, cc ngun d liu, cc th tc/quy trnh c s dng trong o lng v gim st ri ro cn thch hp, y ti liu v c kim tra th nghim vi tin cy nht nh.; o Cc bo cc v cc hnh thc giao tip khc cn c thng nht trong hot ng ca ngn hng, cu trc gim st v tun th hn mc c thit lp, t ra mc tiu, so snh hiu qu thc t v d kin; o Cc bo co qun l phi chnh xc, kp thi v y nh gi mc ri ro m ngn hng phi i mt.
5.5 Kim ton v kim sot ni b Cu trc kim sot ni b ca ngn hng c vai tr quan trng i vi an ton v s lnh mnh ca ngn hng ni chung v h thng qun l ri ro ni ring. Thit lp v duy tr h thng kim sot ni b hiu qu bao gm c vic thc thi quyn hn, trch nhim v phn tch nghip v ca cc b phn. Khi h thng kim sot ni b ng cu trc s khuyn khch cc hot ng ca ngn hng hot ng c hiu qu, cc bo co ti chnh v php l ng tin cy, bin php bo v ti sn v gip bo m tun th php lut lin quan, cc quy nh, chnh sch v th ch. Kim sot ni b nn c kim tra bi kim ton ni b c lp bo co trc tip ln Hi ng qun tr v Ban lnh o. m bo kim sot ni b v cc th tc kim ton, cn ch : o H thng kim sot ni b phi ph hp vi loi hnh v mc ri ro gy ra bi tnh o o cht v phm vi hot ng ca ngn hng; C cu t chc ca ngn hng phi thit lp r rng thm quyn v trch nhim gim st s tun th chnh sch, th tc v cc gii hn; Cc bo co cn cung cp y , c lp ca b phn kim sot t cc lnh vc kinh doanh v phn tch nhim v ca cc b phn trong ngn hng nh b phn kinh doanh o o o o trc trip (front office), b phn middle-office, b phn back-office; Cu trc ca ngn hng nn phn nh hot ng thc t; Cc bo co ti chnh, hot ng v php l phi m bo tin cy, chnh xc, kp thi; vi trng hp ngoi l phi c ghi nhn v nhanh chng iu tra tm hiu; Kim ton ni b hoc hot ng xem xt kim sot khc nn cung cp c lp v khch quan; Hiu qu ca kim ton ni b, kim sot ni b v h thng thng tin nn c kim tra v xem xt li nh k.
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6. Quy trnh qun l ri ro Mt ngn hng c th thc hin nhng la chn sau y qun l ri ro: o o Trnh ri ro (risk avoidance): c v hp l nhng khng thc t i vi ngn hng v ngn hng ch yu da vo vic kinh doanh ri ro tm kim li nhun. Gim ri ro (risk mitigation): thc hin cc bin php cn thit nhm gim xc sut xy ra tn tht hay cc tc ng ca n. V d, ngn hng c th cho vay v yu cu bn vay c ti sn th chp nhm hn ch ri ro tn dng. o Chuyn ri ro (risk transfer): vic chuyn ri ro n mt i tc th ba c th c thc hin thng qua cc hp ng bo him hoc cc bin php phng nga ri ro (hedging) nh vo cc cng c phi sinh nh hp ng k hn, hp ng tng lai, hp ng hon i...). o Chp nhn ri ro (risk acceptance): ngn hng chp nhn cc loi ri ro mt mc nht nh m khng thc hin hnh ng c th no gim hoc chuyn ri ro v cc bin php rt tn km. Do s a dng ca ri ro, khng c nhng bt buc c th v quy trnh qun l ri ro cho tt c cc ngn hng, mi ngn hng nn da vo nhu cu v hon cnh ca mnh a ra chng trnh qun l ri ro ph hp. Tuy nhin, mt quy trnh qun l ri ro nn bao gm: 6.1 Xy dng bi cnh Cn hiu c mc tiu v chin lc kinh doanh, qun tr ri ro, r sot mi trng kinh doanh, hiu c khu v ri ro v xc nh r lng ri ro m mnh chp nhn nm ly, cc tiu chun cho cc ri ro s c nh gi 6.2 Xc nh ri ro Tt c cc ri ro trng yu (gm c ri ro ang c, ri ro cha c pht hin v ri ro mi) nh hng n chin lc kinh doanh ca ngn hng phi c ngn hng nhn ra v hiu c. Xc nh ri ro phi l qu trnh lin tc v nn c hiu c cp giao dch v cp danh mc. 6.3 o lng ri ro Mt khi cc ri ro c xc nh, chng ta phi nh gi c v mc thua l v xc sut ny sinh. iu ny c th c thc hin bng cch s dng cc k thut khc nhau, t cc cng c v m hnh n gin n cc cng c v m hnh phc tp. o lng ri ro chnh xc v kp thi l rt cn thit cho h thng qun l ri ro hiu qu. Nu khng c mt h thng o lng ri ro, ngn hng hn ch kh nng kim sot hoc gim st mc ri ro ca mnh. Ngn hng nn kim tra nh k cc cng c o lng ri ro chc chn rng chng chnh xc. H thng o lng ri ro tt cn phi nh gi c ri ro ca cc giao dch c nhn v danh mc.
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Cc ri cn phi c nh lng, o lng c. C nhiu cng thc tnh ri ro nhng cng thc c chp nhn rng ri nht nh lng ri ro l: Ri ro = Tn sut xut hin x Tc ng ca s kin ri ro Cc cng c o lng ri ro: o o o Phn tch GAP (GAP Analysis); K hn (Duration): s nhy cm ca danh mc u t khi li sut thay i; M phng (Simulation) hay phn tch nhy (nghin cu nhy ca gi tr ti sn tng ng vi nhng thay i ca nhng yu t cu thnh gi tr ti sn ), phn tch tnh hung/kch bn (la chn nhiu tnh hung khc nhau ca th trng v xem xt gi tr ti sn thay i nh th no tng ng vi mi tnh hung), phn tch Monte Carlo, Stress tests (kim nh nh gi xem mt danh mc hay mt t chc no v kh nng chu ng trong iu kin khng hong); o o o o Value at Risk (VaR): gi tr tn tht k vng ln nht trong mt thi hn u t nht nh vi tin cy xc nh; lch chun (), bin ng (gi tr thc so vi gi tr trung bnh) Beta (); Tracking error (gi tr thc so vi mt ch s chun) Risk metrics (metrics ri ro);...
6.4 Qun l v x l ri ro Ngn hng nn c h thng thng tin qun l hiu qu (MIS) gim st cc mc ri ro v to iu kin xem xt li kp thi trng thi ri ro v cc trng hp ngoi l. Bo co gim st phi thng xuyn, kp thi, chnh xc, nhiu thng tin v cn c phn phi cho cc c nhn thch hp m bo hnh ng kp thi khi cn thit. Vic gim st cc ri ro nn ch : o Tt c nhng trng thi giao dch lin quan n li sut, ngoi t, c phiu, hng ha u cn phi nh gi li theo gi th trng nhm mc ch qun l tt nht cc ri ro lin quan; o Thit lp cc gii hn v ri ro i vi mi loi ri ro v d nh i vi tri phiu c th nh mc v VaR, k hn hoc tnh li; i vi nhng giao dch quyn chn nn a ra cc nh mc v delta, gamma v vega; nh mc thanh khon; a ra cc nh mc v trng thi v gii hn tn tht (Stop loss limits); i vi ri ro tn dng cn c h thng theo di v nh gi mc tn nhim khch hng.
o o
X l ri ro tim nng: Sau khi xc nh v nh gi ri ro, c th s dng mt trong 4 nhm cc k thut qun l ri ro sau: Trnh hn ch (avoidance elimination); Gim thiu Phng nga (reduction hedging); Chuyn i Mua bo him (transfer buying insurance) v chp nhn ri ro (risk acceptance).
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6.5 Kim sot ri ro, xem xt v nh gi li Hot ng kim sot phi c thc hin nhiu cp vi cc mc khc nhau. cp Hi ng Qun tr v Ban iu hnh c thc hin thng qua nhn c cc bn trnh by v cc bo co nh k v v th ri ro, s tun th v cc ngoi l v ri ro, bo co thc trng ri ro. cp phng ban gm vic kim tra cc hot ng ri ro, cc bo co v th ri ro, tnh trng v cc ngoi l v ri ro. Cc bo co v ri ro phi cung cp thng tin thch hp, chnh xc v kp thi. Bn cnh , cn nh gi tnh hiu qu trong qun l ri ro vi quan im pht hin sai st sa cha v hon thin hn. kim sot ri ro, ngn hng nn thit lp v truyn t cc hn mc ri ro thng qua cc chnh sch hn ch ri ro, cc tiu chun v cc th tc xc nh trch nhim v quyn hn ca cc cn b, cc cp lnh o. Cc gii hn ri ro s c s dng nh mt phng tin kim sot cc ri ro khc nhau lin quan n hot ng ca ngn hng. Ngn hng cng cn thm tra v i chiu trc tip pht hin cc sai st hoc cc vn n cha trong cc hot ng. Kt qu ca vic thm tra v i chiu cn c bo co ln lnh o cp cao ph hp. Cui cng, cn phi nhn mnh mt iu rng, mc tiu p dng quy trnh qun l ri ro ny khng phi l gim thiu mc ri ro tuyt i m chnh l ti u ha quan h nh i gia ri ro li nhun. 7. M hnh qun tr ri ro (tham kho cc ngn hng nc ngoi) 7.1. Hi ng qun tr Hi ng qun tr thc hin qun l ri ro tm chin lc, vai tr ca Hi ng qun tr mc 5.2.1. 7.2. Ban iu hnh Ban iu hnh thc hin qun l ri ro tm v m v thnh lp b phn chuyn trch v qun l ri ro l khi QLRR. Vai tr ca Ban iu hnh mc 5.2.2 7.3. y ban ALCO v qun l ri ro Xy dng h thng qun l ri ro cho ton b hot ng ca Ngn hng; Xy dng v trnh Hi ng Qun tr, i hi C ng ph duyt chin lc qun l ri ro v khu v ri ro trong hot ng ca Ngn hng; Xy dng cc chin lc ng ph vi ri ro trong c cc chng trnh d phng v duy tr hot ng kinh doanh thng xuyn; Ph duyt m hnh t chc, phng php, quy trnh, h thng cc cng c o lng, nh dng ri ro v cc bin php qun l ri ro do Khi QLRR trnh;
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iu phi cc hot ng chc nng khc nhau c lin quan n vn qun l ri ro trong Ngn hng; Theo di vic thc hin chin lc vch ra. 7.4. Khi QLRR: Khi qun l ri ro l Khi nghip v trc thuc Ban iu hnh, c thnh lp thc hin cc nghip v qun l ri ro ca Ngn hng. Cc chc nng ca khi QLRR nh sau: Xy dng chin lc v cc chnh sch qun l ri ro trnh ln Hi ng Qun tr, Ban iu hnh; Xc nh cc ri ro hin hnh, ri ro cha pht hin v cc ri ro mi ca Ngn hng Ngn hng; xut chnh sch, quy ch, quy trnh, th tc, hn mc v c ch kim sot ri ro; Xy dng v pht trin h thng thng tin qun l, h thng o lng, nh gi ri ro, cc bin php phng chng, gim thiu ri ro; Gim st m bo vic tun th quy nh v hn mc t ra; o to nhn vin, cp nht v qun l ri ro v t nh gi hiu qu qun l ri ro; Bo co kt qu gim st ri ro ln Hi ng qun tr, Ban iu hnh. 7.5 Cc n v trc tip kinh doanh v cc n v, c nhn khc Cc n v trc tip kinh doanh thc hin qun l ri ro tm vi m. H l ngi trc tip chp nhn mc ri ro v cng phi qun l ri ro theo cc quy nh ca Ngn hng. Ngoi ra qun l ri ro khng ch b phn kinh doanh, m tt c cc cn b trong ngn hng u phi tham gia qun l ri ro cc mc khc nhau. Qua hnh thnh nn vn ha kim sot ri ro ti Ngn hng. Ri ro gn lin vi hot ng ca ngn hng. Ri ro v li ch lun tn ti thng nht trong 2 mt i lp. Vi s pht trin v hi nhp, cc ri ro mi c pht hin cng nhiu v mc tinh vi ca cc ri ro cng cao. Cng vi thi gian, cn phi cp nht cho khung qun l ri ro tng th ph hp vi tnh hnh mi. Ghi ch: thun li cho vic i su vo cc ri ro, chng ti tch qun l ri ro thanh khon v ri ro th trng ring bit khi vit. Ring qun l ri ro th trng s c nhn mnh v vit thnh qun l ri ro li sut, qun l ri ro hi oi v qun l ri ro gi. Ngoi ra chng ti cp ti qun l ri ro tun th, qun l ri ro uy tn/danh ting. B. QUN L CC LOI RI RO 1. Qun l ri ro tn dng 1.1 Gii thiu
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Hot ng tn dng l mt trong nhng hot ng quan trng nht ca ngn hng, c bit l cc ngn hng ti Vit Nam. Ri ro tn dng nu xy ra c th dn ti thit hi ln cho ngn hng, nh hng trc tip ti thu nhp ca ngn hng v c th dn ti cc ri ro khc v vy vic hiu v nhn bit tt v ri ro tn dng l c s qun l ri ro tn dng. Vic ngn hng pht hin tt c cc ri ro tn dng trong cc sn phm v hot ng ca mnh l rt quan trng. lm c nh vy ngn hng cn xem xt k lng cc c th ri ro tn dng ca tng sn phm hay hot ng. Qun l ri ro tn dng hiu qu lin quan n vic qun l cht ch mi quan h gia ri ro/li nhun v kim sot v gim thiu ri ro tn dng trong nhiu kha cnh khc nhau, chng hn nh cht lng tn dng, mc tp trung, loi tin t, thi gian o hn, cc hnh thc bo m v cc loi cng c tn dng. Khi xem xt ri ro tn dng cn ch ti cc yu t to nn ri ro tn dng: o o Cc khch hng khc nhau v cc ngnh ngh khc nhau c cc ri ro khc nhau; Cc sn phm khc nhau (cc hnh thc cho vay hoc theo loi tin t) th hin cc ri ro khc nhau; o o Ri ro thanh ton gn vi cc cng c ti chnh (cc giao dch MM, FX); Chuyn mn ca cn b tn dng v cc ngun lc ca ngn hng (trong c h thng cng ngh thng tin); o Mc tp trung ca danh mc tn dng.
1.2. Gim st ca Hi ng Qun tr v Ban iu hnh 1.2.1 Hi ng qun tr Hi ng Qun tr c vai tr quan trng i vi vic gim st cp tn dng v chc nng qun l ri to tn dng trong ngn hng. Trch nhim ca Hi ng Qun tr l ph duyt chin lc ri ro tn dng, cc chnh sch quan trng lin quan n qun l ri ro tn dng v qun l n da trn chin lc kinh doanh tng th ca ngn hng. Cc chin lc tng th v cc chnh sch quan trng phi c xem xt li hng nm. Trch nhim ca Hi ng qun tr i vi qun l ri ro tn dng gm: o Ph duyt chin lc, chnh sch tn dng, c cu t chc hot ng tn dng ca ngn hng v ph bin ti ton b nhn vin; o m bo rng ri ro tn dng m ngn hng tip xc c duy tr mc thn trng v ph hp kh nng v vn ca ngn hng, cn phi t trong mi tng quan vi mc chp nhn ri ro chung ca ngn hng; m bo rng cc nh qun l cp cao v c nhn chu trch nhim qun l ri ro tn dng c kinh nghim chuyn mn v kin thc tt, cp nht thc hin chc nng qun l ri ro; o m bo ngn hng c khung qun l ri ro mnh xc nh, o lng, gim st v kim sot ri ro tn dng;
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o o o o m bo kim ton ni b xem xt hot ng tn dng nh gi, cc chnh sch, th tc c c tn trng v y khng; Xem xt chnh sch tn dng ni b v ngi lin quan; Ph duyt cc khon tn dng vt mc/thm quyn; Xem xt bo co nh k ca Ban iu hnh, thanh tra v kim ton (ni b v bn ngoi) nhm m bo tnh tun th v hiu qu hot ng ca chnh sch. 1.2.2 Ban iu hnh Ban iu hnh c nhim v thc hin chin lc v chnh sch qun l ri ro tn dng ca ngn hng. ng thi, m bo rng cc quy trnh, th tc t ra qun l v kim sot ri ro tn dng, cht lng tn dng ph hp vi chin lc v chnh sch v qun l ri ro tn dng. Trch nhim ca Ban iu hnh gm: o Thit lp v pht trin chnh sch tn dng, quy trnh/th tc qun l tn dng nh l mt phn trong khun kh tng th qun l ri ro tn dng c ph duyt bi Hi ng Qun tr; Trin khai thc hin chnh sch qun l ri ro tn dng; m bo thc hin v pht trin h thng bo co ph hp v ni dung, hnh thc, tn s thng tin lin quan n danh mc tn dng v ri ro tn dng, cho php phn tch hiu qu, qun l thn trng v kim sot ri ro tn dng hin ti v tim nng; o o o o o o Gim st v kim sot bn cht v thnh phn ca danh mc tn dng; Gim st cht lng tn dng; Thit lp kim sot ni b c phn nh r trch nhim v quyn hn m bo hiu qu qu trnh qun l ri ro tn dng;\ Ph bin kp thi chnh sch qun l ri ro tn dng, cc th tc ti tt c cc c nhn trong quy trnh; Trnh ln Hi ng Qun tr cc khon vt mc thm quyn phn quyt; Bo co ton din cc khon tn dng quan trng, thnh phn v bn cht ca danh mc tn dng, vn qun l ri ro tn dng ln Hi ng Qun tr t nht 1 nm mt ln. 1.3 Chin lc tn dng, chnh sch v cc gii hn tn dng 1.3.1 Chin lc tn dng Mc ch c bn ca chin lc tn dng l xc nh khu v ri ro tn dng. Khi xc nh c khu v ri ro tn dng, ngn hng c th pht trin k hoch ti u ha li ch trong khi vn gi ri ro tn dng trong gii hn nh trc. Chin lc tn dng cn din t c: o o Tiu chun cp mt khon tn dng da trn cc phn on khch hng khc nhau, sn phm, ngnh, v tr a l, tin t v k hn; Mc tiu cho tng phn khc th trng cho vay v mc a dng ha hoc mc tp trung ;
o o
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o Chin lc gi. iu cn thit a ra chin lc ri ro tn dng i hi ngn hng cn xem xt n th trng mc tiu ca mnh. Cc th tc tn dng phi nhm mc ch hiu su sc v y cc khch hng ca ngn hng. Chin lc tn dng nn cung cp cch tip cn lin tc v a vo ti khon kha cnh tnh hnh kinh t t nc, ngnh v nhng kt qu thay i trong thnh phn v cht lng ca danh mc tn dng. Chin lc ny s c xem xt nh k v sa i l cn thit nhng nn tn ti lu di v qua cc chu k kinh t khc nhau. 1.3.2 Chnh sch tn dng Vic thit lp khun kh chnh sch tn dng cho u t v quyt nh cho vay phn nh sc chu ng ca t chc tn dng vi ri ro tn dng. c hiu qu, chnh sch cn phi c truyn t kp thi v tt c cc cp, vi ton b nhn vin. nh k sa i a vo ti khon thay i hon cnh ni b v bn ngoi. Chnh sch tn dng gm cc ni dung ti thiu nh sau: o Tiu chun cp tn dng (th trng, i tng khch hng theo ngnh, a l, ti sn m bo; chi tit v chnh thc ho vic nh gi tn dng/qu trnh thm nh, h thng nh gi ni b ,cu trc khon tn dng); o Thm quyn ph duyt cc cp (thit lp h thng phn cp thm quyn v trch nhim trong ph duyt cc khon tn dng v thay i trong iu khon tn dng; thm quyn cho vay ca cn b phi ph hp vi kinh nghim, kh nng v tnh cch ca c nhn; cc khon tn dng vt thm quyn); o Hn mc tn dng i vi mt khch hng v nhm khch hng lin quan, vi ngnh hoc lnh vc kinh t, khu vc a l v cc sn phm c th. m bo tun th cc gii hn ca c quan qun l nh nc;\ o o o o o o o Thm quyn ph duyt cc thit hi c th xy ra v cc khon n c kh nng mt vn; Gi c tn dng; Vai tr v trch nhim ca cc n v/c nhn lin quan n t chc v qun l tn dng; Qun l tn dng (h s tn dng, hp ng tn dng, ti liu, ti sn bo m v bo lnh); Kim tra tn dng; Hng dn v x l cc khon cho vay c vn ; Hng dn r rng v h thng xp hng tn dng ni b.
1.3.3 Tiu chun cp tn dng Tp hp thng tin v khch hng xin vay. Ti thm cc khch hng tim nng Phn tch ngun tr n Cu trc ca khon tn dng
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Cc khon cho vay hp vn 1.3.4 Cc gii hn tn dng Mt yu t quan trng trong qun l ri ro tn dng l thit lp cc gii hn tn dng bao trm trn bng cn i k ton v cc khon ngoi bng cho mi khch hng v nhm khch hng lin quan. Mc ch l ngn chn ngn hng da qu nhiu vo mt khch hng hoc mt nhm khch hng i vay v m bo cc quy nh ca c quan qun l nh nc. Mc gii hn cho khch hng ph thuc vo kh nng tr n ca khch hng, cc yu cu tn dng, iu kin kinh t v khu v ri ro ca ngn hng. Gii hn cng nn c t cho cc sn phm tng ng, cc hot ng, ngnh ngh c th, thnh phn kinh t v/hoc khu vc a l trnh ri ro tp trung. i vi vic cp hn mc tn dng cho khch hng, cn c xem xt thng xuyn v nh k. Cc yu cu v tng hn mc ca khch hng cn c chng minh. o Nhng hng dn sau y cn phi c xem xt trong qu trnh t ra cc gii hn: Cc gii hn cn bao gm ton b cc ri ro i vi tng khch hng c th i vi ton b cc hot ng ca ngn hng, nh tn dng, ti tr thng mi (ngoi bng cn i k ton), hot ng lin ngn hng v hot ng ngun vn (t gi hi oi) v cc giao dch khc lin quan n ri ro tn dng; o Nhng khon vt qu gii hn trn cn c Hi ng tn dng ph duyt theo tng trng hp c th, c xem xt n cht lng ca khon th chp b sung m n v vay vn c th cung cp cho ngn hng; Phng php b tr s d c th c p dng hn ch ri ro tn dng, chng hn nh cc giao dch lin ngn hng. c th thc s hn ch ri ro nhng tho thun b o tr nh vy cn phi c th thc hin c trong khun kh php lut; Gii hn cho tng khch hng c th c to lp ban u da trn xp hng ri ro tnh t H thng xp hng tn dng. Gii hn cao hn c th c p dng cho cc khch hng c im cao; o Gii hn i vi tng nhm khch hng vay c quan h vi nhau cn c to lp song song vi gii hn cho vay cho tng khch hng n l. Gii hn nhm rt quan trng do mi tng quan tim nng ca cc nhn t lin quan n ri ro tn dng ca cc n v thnh vin trong nhm, v s gia tng mc tp trung ri ro m mi tng quan ny to ra cho ngn hng. Nhm n v vay vn c xem l c quan h vi nhau khi h c chung gim c/lnh o, hoc c s ng s hu t nhn v c phiu, hoc nm gi c phiu ln nhau. Mt v d v tp trung ri ro l khi cc hot ng ca n v vay ny ph thuc vo quan h thng mi vi n v vay khc. Nguyn l domino c th c p dng, pht sinh t vic s tht bi ca mt n v ko theo s tht bi ca cc n v khc trong nhm; o Cc gii hn p dng cho s phi hp trong danh mc tn dng c xc nh da vo chin lc tn dng ca ngn hng v da vo s phi hp danh mc mc tiu c ph duyt trong chin lc tn dng ; Ri ro thc t i vi cc gii hn cn c gim st cp tng n v vay ring l, tng nhm n v vay c quan h vi nhau v tng danh mc tn dng. 1.3.5 C cu t chc
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a. Hi ng Qun tr b. Ban iu hnh c. y ban ALCO v QLRR d. y ban tn dng/Hi ng tn dng e. Ban gim c chi nhnh 1.3.6 Ph duyt cc khon tn dng mi v m rng tn dng hin ti duy tr mt danh mc tn dng lnh mnh, ngn hng phi quy nh r rng v hp l quy trnh ph duyt tn dng. Cc quyt nh phi c thc hin theo hng dn bng vn bn v c cp bi cc cp qun l thch hp. Ngn hng nn c b phn kim tra m bo rng qu trnh ph duyt c tun th v ph hp. Cc cp ph duyt tn dng cn c ghi r thnh vn bn v bao gm ti thiu nhng mc sau: o o o o Cp ph duyt tn dng theo gi tr tuyt i v gi tr tng dn; Cp ph duyt d phng v xo s khon vay; Cn b tn dng v cc v tr hay u ban c cp quyn ph duyt; Kh nng ngi c u quyn tip tc u quyn ph duyt v ri ro v xo s kho vay; Cc hn ch, nu c, p dng i vi vic s dng cc cp ph duyt.
i vi mi khon tn dng c ngh cn phi tun th cc quy nh, c chuyn vin tn dng c trnh chuyn mn v kinh nghim ph hp vi gi tr v phc tp ca khon tn dng nh gi mt cch cn trng. Ngn hng nn quy nh c th thng tin v ti liu cn thit chp nhn cc khon tn dng mi, gia hn tn dng hin c v/hoc thay i cc iu khon v iu kin ca cc khon tn dng trc y c duyt. Nhng thng tin nhn c s l c s cho cc nh gi ni b, chnh xc v y ca n c vai tr quan trng ra quyt nh tn dng thch hp. Giao dch vi cc bn lin quan phi chu s chp thun ca Hi ng Qun tr (khng bao gm cc thnh vin hi ng vi cc xung t quan tm). 1.3.7 Qun l tn dng Qun l tn dng l l yu t quan trng bo m khon cho vay c duy tr mt cch ng n, an ton sau khi vn c gii ngn. Qun l tn dng gm vic lu gi h s tn dng, hp ng tn dng v cc ti liu lin quan, thu thp thng tin ti chnh hin hnh, cc hot ng lin quan ti ti sn th chp, gi ra thng bo mi v chun b cc ti liu khc nh tha thun cho vay. H s tn dng. Hp ng tn dng v nhng ti liu c lin quan
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Ti sn bo m v bo lnh 1.3.8 Kim tra v gim st tn dng a. Gim st tng khon vay b. Gim st tng th danh mc tn dng c. B phn x l n 1.4 H thng xp hng tn dng ni b v cc cng c o lng ri ro tn dng 1.4.1 H thng xp hng tn dng H thng xp hng tn dng ni b l t hp cc quy trnh phn loi khch hng theo ngnh ngh, quy m, tnh cht s hu, b ch tiu ti chnh v b phi ti chnh chm im khch hng. H thng xp hng tn dng ni b l mt cng c quan trng trong vic qun l v gim st cht lng i vi tng khch hng cng nh ton b danh mc tn dng. H thng xp hng tn dng ni b tt l mt phng tin tt cho thy s khc bit v mc ri ro tn dng ca cc khch hng ca ngn hng. N cng cho php xc nh chnh xc hn v c im ca danh mc tn dng, mc , cc khon tn dng c vn v y cc d phng tn tht tn dng. Khi d phng tn tht tn dng cc ngn hng t nht phi m bo theo quy nh ca Ngn hng Nh nc. Mc ch ca xp hng tn dng: Ra quyt nh cp tn dng: xc nh hn mc tn dng, thi hn, mc li sut, bin php bo m tin vay, ph duyt hay khng ph duyt; Gim st v nh gi khch hng tn dng khi khon tn dng ang cn d n; Hng khch hng cho php ngn hng lng trc nhng du hiu cho thy khon vay ang c cht lng xu i v c nhng bin php i ph kp thi; Qun l, gim st cht lng ca danh mc tn dng v xu hng ca n; Pht trin chin lc marketing nhm hng ti cc khch hng c t ri ro hn; c lng mc vn cho vay s khng thu hi c trch lp d phng tn tht tn dng. H thng xp hng tn dng ni b phi c xy dng c th ring cho ba nhm i tng khch hng gm: khch hng doanh nghip; t chc tn dng v khch hng c nhn, h kinh doanh. Tng s im ca khch hng c xc nh theo thang im ti a l 100, c chia cho b ch tiu ti chnh v b ch tiu phi ti chnh theo t trng nht nh. Ngn hng cn xy dng h thng xp hng tn dng ni b cho ring mnh v m bo cc quy nh v xp hng tn dng ni b ca Ngn hng Nh nc a ra (tham kho d tho 493 mi ca Ngn hng Nh nc). 1.4.2 Cc cng c o lng ri ro tn dng
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M hnh im s Z (Z credit scoring model): Z dng lm thc o tng hp phn loi ri ro tn dng i vi ngi vay, ph thuc vo: ch s ti chnh ca ngi vay, tm quan trng ca cc ch s ny trong vic xc nh xc sut v n trong qu kh. Z = 1.2X1 + 1.4X2 + 3.3X3 + 0.6X4 + 1.0X5 X1 l h s vn lu ng /tng ti sn X2 l h s li cha phn phi/tng ti sn X3 l h s li nhun trc thu v li/tng ti sn X4 l h s gi tr th trng ca vn ch s hu/gi tr hch ton ca tng n X5 l h s doanh thu/tng ti sn im Z cng cao th xc sut v n cng thp, nu Z thp hoc l mt s m l cn c xp khch hng vo nhm nguy c ri ro v n cao. Z<1.8: khch hng c kh nng ri ro cao 1.8<Z<3: khng xc nh c Z>3: khch hng khng c kh nng v n Bt k doanh nghip no c Z<1.81 phi c xp v o nhm c nguy c ri ro tn dng cao. Phng php ny n gin song m hnh ny ch cho php phn loi khch hng vay c ri ro v khng c ri ro. Trong thc t mc ri ro tn dng tim nng ca mi khch hng khc nhau t mc thp nh chm tr li, khng c tr li cho n mt hon ton c vn gc v li vay. Ngoi ra khng tnh n cc yu t kh nh lng nh iu kin kinh doanh, th trng thay i, danh ting khch hng, mi quan h gn b lu di vi khch hng, s bin ng ca chu k kinh t. nh gi ri ro khon vay: Phng php c tnh tn tht tn dng da trn h thng c s d liu nh gi ni b IRB (Internal Ratings Based). EL = EAD x PD x LGD Trong : EL (expected loss) l tn tht tn dng d kin; EAD (Exposure at Defaut) l tng d n ca khch hng ti thi im khch hng khng tr c n; PD (Probability of default) l xc sut khch hng khng tr c n; LGD (Loss given default) l t trng tn tht c tnh. PD - xc sut khng tr c n
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C s ca xc sut ny l cc s liu v cc khon n trong qu kh ca khch hng, gm cc khon n tr, khon n trong hn v khon n khng thu hi c. Theo yu cu ca Basel II, tnh ton c n trong vng mt nm ca khch hng, ngn hng phi cn c vo s liu d n ca khch hng trong vng t nht l 5 nm trc . Nhng d liu c phn theo 3 nhm sau: - Nhm d liu ti chnh lin quan n cc h s ti chnh ca khch hng cng nh cc nh gi ca cc t chc xp hng - Nhm d liu nh tnh phi ti chnh lin quan n trnh qun l, kh nng nghin cu v pht trin sn phm mi, cc d liu v kh nng tng trng ca ngnh, - Nhng d liu mang tnh cnh bo lin quan n cc hin tng bo hiu kh nng khng tr c n cho ngn hng nh s d tin gi, hn mc thu chi T nhng d liu trn, ngn hng nhp vo mt m hnh nh sn, t tnh c xc xut khng tr c n ca khch hng. c th l m hnh tuyn tnh, m hnh probit v thng c xy dng bi cc t chc t vn chuyn nghip. EAD - tng d n ca khch hng ti thi im khch hng khng tr c n. i vi khon vay c k hn, EAD c xc nh khng qu kh khn. Tuy nhin, i vi khon vay theo hn mc tn dng, tn dng tun hon th vn li kh phc tp. Theo thng k ca y ban Basel, ti thi im khng tr c n, khch hng thng c xu hng rt vn vay ti mc gn xp x hn mc c cp. Do , y ban Basel II yu cu tnh EAD nh sau: EAD = D n bnh qun + LEQ x Hn mc tn dng cha s dng bnh qun Trong , LEQ - Loan Equivalent Exposure l t trng phn vn cha s dng c nhiu kh nng s c khch hng rt thm ti thi im khng tr c n. LEQ x Hn mc tn dng cha s dng bnh qun chnh l phn d n khch hng rt thm ti thi im khng tr c n ngoi mc d n bnh qun. Vic xc nh LEQ - t trng phn vn rt thm c ngha quyt nh i vi chnh xc ca c lng v d n ca khch hng ti thi im khng tr c n. C s xc nh LEQ l cc s liu qu kh. iu ny dn n nhng kh khn ln trong tnh ton. V d, khch hng uy tn, tr n y thng him khi ri vo tnh trng ny, do , khng th tnh chnh xc c LEQ ca mt khch hng tt. Ngoi ra, mt s vn dn n s phc tp ca LEQ c th cn gm: loi hnh kinh doanh ca khch hng, kh nng khch hng tip cn vi th trng ti chnh, quy m hn mc tn dng, t l d n ang s dng so vi hn mc, LGD - t trng tn tht c tnh y l t trng phn vn b tn tht trn tng d n ti thi im khch hng khng tr c n. LGD khng ch bao gm tn tht v khon vay m cn bao gm cc tn tht khc pht sinh khi khch hng khng tr c n, l li sut n hn nhng khng c thanh ton v cc chi ph hnh chnh c th pht sinh nh: chi ph x l ti sn th chp, cc chi ph cho dch v php l v mt s chi ph lin quan. T trng tng tht c tnh c th tnh ton theo cng thc sau y: LGD = (EAD - S tin c th thu hi)/EAD. Trong , s tin c th thu hi bao gm cc khon tin m khch hng tr v cc khon tin thu c t x l ti sn th chp, cm c. LGD cng c th c coi l 100% - t l vn c
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th thu hi c. Theo thng k ca y ban Basel, t l thu hi vn thng mang gi tr rt cao (70% - 80%) hoc rt thp (20 - 30%). Do , chng ta khng nn s dng t l thu hi vn bnh qun. Theo nghin cu ca y ban Basel, hai yu t gi vai tr quan trng nht quyt nh kh nng thu hi vn ca ngn hng khi khch hng khng tr c n l ti sn bo m ca khon vay v c cu ti sn ca khch hng. C cu ti sn ca khch hng c nhc n y vi ngha th t u tin tr n khc nhau ca cc khon phi tr trong trng hp doanh nghip phi ph sn. Trn thc t, khi mt doanh nghip ph sn, t l thu hi vn t cc khon vay ca ngn hng thng cao hn t l thu hi vn t tri phiu bi ngn hng c quyn c u tin tr n trc cc nh u t tri phiu. Bn cnh , khi kinh t trong tnh trng suy thoi, t l thu hi vn cng st gim. Ngnh ngh kinh doanh cng nh hng nht nh n t l thu hi vn: cc khch hng hot ng trong lnh vc cng nghip nng thng cho t l thu hi vn cao hn cc khch hng kinh doanh trong lnh vc dch v. Hin nay, tn ti ba phng php chnh tnh LGD: Mt l, Market LGD - t trng tn tht cn c vo th trng. Phng php ny c s dng khi cc khon tn dng c th c mua bn trn th trng. Ngn hng c th xc nh t trng tn tht ca mt khon vay cn c vo gi ca khon vay mt thi gian ngn sau khi n c xp vo hng khng tr c n. Gi ny c tnh trn c s c tnh ca th trng bng phng php hin ti ha tt c cc dng tin c th thu hi c ca khon vay trong tng lai. Hai l, Workout LGD - t trng tn tht cn c vo vic x l cc khon tn dng khng tr c n. Ngn hng s c tnh cc lung tin trong tng lai, khong thi gian d kin thu hi c lung tin v chit khu cc lung tin ny. Vic xc nh li sut chit khu ph hp l vn mu cht v nan gii nht. Ba l, Implied Market LGD - xc nh t trng tn tht cn c vo gi cc tri phiu ri ro trn th trng.
Nh vy, thng qua cc bin s LGD, PD v EAD, ngn hng s xc nh c EL - tn tht c tnh ca cc khon cho vay. Nu ngn hng tnh chnh xc c tn tht c tnh ca khon cho vay th s mang li cho ngn hng rt nhiu ng dng ch khng ch n thun gip ngn hng xc nh chnh xc hn h s an ton vn ti thiu trong mi quan h gia vn t c vi ri ro tn dng. nh gi ri ro danh mc: Phng php xc nh gi tr ri ro VaR VaR ca danh mc c nh ngha l khon l ti a trong mt thi gian nht nh nu loi tr nhng trng hp xu nht him khi xy ra . y l phng php nh gi ri ro theo hai tiu chun: gi tr danh mc cho vay v kh nng chu ng ri ro tn dng ca ngn hng. VaR c th hiu nh sau: nu khng tn ti s kin c bit th tn tht ti a trong X% cc trng hp s khng vt qu V ng trong vng N ngy. V l gi tr ri ro ph thuc vo tin cy, thi gian o lng VaR, v s phn b li/l trong khong thi gian ny ( lch chun).
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1.5 H thng thng tin qun l Hiu qu ca qu trnh o lng ri ro tn dng ca ngn hng ph thuc nhiu vo cht lng ca h thng thng tin qun l. Cc thng tin c to ra t h thng cho php Ban lnh o v cc cp qun l hon thnh vai tr gim st ca mnh, bao gm c vic xc nh mc vn t c ca ngn hng cn c. V vy, cht lng, mc chi tit v s kp thi ca thng tin c vai tr rt quan trng. c bit, thng tin v thnh phn v cht lng ca danh mc tn dng cho php cp qun l nh gi mt cch nhanh chng v chnh xc mc ri ro ca ngn hng hin ti. Ngn hng phi c h thng thng tin ti ch cho php qun l xc nh mc ri ro ca danh mc tn dng. Phm vi ca thng tin nn c xem xt nh k bi cc nh qun l kinh doanh, qun l cp cao v Hi ng Qun tr. 1.6 Kim sot v kim tra tn dng 1.7 Cc bo co C cu danh mc (Theo a bn, loi tin, ti sn bo m); Ri ro tp trung tn dng; nh gi ri ro; Ti sn bo m. 2. Qun l ri ro thanh khon 2.1. Gii thiu Ri ro thanh khon l mt trong nhng ri ro thng trc, bao trm v l loi ri ro quan trng hng u i vi s tn ti v pht trin ca ngn hng. Ri ro thanh khon c th lm gim thu nhp, uy tn ca ngn hng, ln hn c th khin ngn hng mt kh nng thanh ton. Ri ro thanh khon c th xut pht t nhng nguyn nhn nh c im ti sn ti chnh (nh s nhy cm ca ti sn ti chnh vi nhng thay i li sut); do ngn hng suy gim v nim tin; do d mt cn i v thi hn gia ngun vn huy ng v u t vn; do nhng ngi rt tin t, tc thi; hoc lin quan n cc cam kt tn dng ca ngn hng, cc khon ngoi bng. Mt ngn hng nu c cc khon ngoi bng ln hoc ph thuc nhiu vo tin gi ca cc doanh nghip ln c mc ri ro thanh khon cao. Ngoi ra, mt ngn hng c s gia tng nhanh chng v tng ti sn mc ri ro thanh khon c th gia tng v cn c s quan tm ng mc. Ri ro thanh khon cn c xem xt trong mi quan h vi cc ri ro khc. Ri ro thanh khon c th b kch hot bi cc ri ro khc nh ri ro th trng, ri ro tn dng... Nu ngn hng c ri ro tn dng gia tng do vic gia tng v tp trung tn dng c th dn ti s gia tng ri ro thanh khon. Tng t, mt mc nh cho vay ln hoc thay i li sut bt li c th tc ng n tnh trng thanh khon ca ngn hng.
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Thanh khon v kh nng sinh li c s nh i vi nhau, m bo qun l ri ro thanh khon hiu qu, khi Ngun vn l b phn trc tip qun l thanh khon. Nguyn tc qun l thanh khon ti khi Ngun vn cn m bo: - Hi s chnh chu trch nhim qun l thanh khon ton h thng theo nguyn tc qun l ngun vn tp trung; - Thanh khon phi c qun l hng ngy, theo chin lc ca Hi ng Qun tr, chnh sch v cc quy nh v gii hn ca y ban ALCO v QLRR; - Hi ng Qun tr, y ban ALCO v QLRR phi c thng tin kp thi v tnh hnh thanh khon; - Qun l thanh khon c thc hin thng qua cc quy nh, quy trnh, thit lp v kim sot hn mc thanh khon; - Qun l thanh khon theo phng php phn tch thanh khon tnh v ng: Bo co MCO (chia theo thi gian o hn O/N, 2-7 ngy, 8 ngy 1M, 1M 2M, 2M 3M, 3M-6M, 6M1Y, 1Y-2Y, 2Y tr i, ring i vi cc khan khng k hn cn tnh v chia vo cc thang k hn thch hp); phn tch cc ch s thanh khon; nh k lp cc kch bn trong tng lai da trn cc thay i v li sut, v m v vi m t cc kch bn a ra cc d bo v k hoch cho vay mi, kh nng huy ng vn mi t t chc tn dng, khch hng, pht hnh giy t c gi, kh nng vay cm c, chit khu, kh nng chuyn cc ti sn thnh tin mt; theo tng kch bn xy dng li bo co lung tin vo v lung tin ra, xc nh khe h thanh khon d on thanh khon trong thi gian ti; - Qun l thanh khon bao gm c cc bin php, k hoch thc hin trong trng hp d tha, thiu ht v khng hong thanh khon. Mt s ch tiu cnh bo sm (khng nht thit dn ti vn thanh khon ca t chc) nn c quan tm: - Xu hng ng k hoc tiu cc ca nn kinh t gy ra s gia tng cc ri ro i vi lnh vc hot ng hoc vi cc dng sn phm; c bit l khng hong ti chnh quc gia hoc th gii lm gim nim tin vo h thng ngn hng; - C s ph sn ca mt s ngn hng; - S tp trung ca ti sn c hoc ti sn n; - Mt cn i nghim trng v thi gian o hn gia ti sn n v ti sn c; - S suy gim ca cht lng danh mc tn dng; - S suy gim ca li nhun thc hin; - S tng trng nhanh chng ca ti sn c ti tr bi tin gi ln khng n nh/ hay bin ng; - Quy m ca cc khon tn dng ngoi bng; - S nh gi xu i ca bn th 3/ t chc xp hng tn dng/SBV i vi ngn hng; - Nim tin ca cng chng gim; - Li sut bin ng mnh v s cng thng vn ca cc ngn hng. Qun l ri ro thanh khon lin quan ti vic khng ch phn tch bng cn i k ton v cc khon ngoi bng ca ngn hng m cn phi d bo dng tin tng lai cng nh cc yu cu ti tr m ngn hng cn p ng. ng thi ngn hng cn xc nh c kh nng huy ng/vay mn trn th trng, gim st cc du hiu xi mn lng tin ca th trng.
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Quy trnh qun ri ro thanh khon cn phn nh c tnh cht, kch c v mc phc tp ca cc hot ng ca ngn hng. Ngn hng cn phi c s hiu bit tng tn nhng yu t ni ti c th a n gia tng ri ro thanh khon v kim sot n gim nh tc ng. 2.2. Gim st ca Hi ng Qun tr v Ban iu hnh 2.2.1 Hi ng qun tr Ph duyt chin lc v cc chnh sch quan trng lin quan n qun l ri ro thanh khon; B nhim cc chc danh qun l cp cao v qun l ri ro thanh khon; Gim st tnh hnh thanh khon v c cu ri ro ca ngn hng mt cch nh k v nh gi ri ro thanh khon ca ngn hng; xem xt y cc k hoch d phng ca ngn hng; 2.2.2 Ban iu hnh Ban iu hnh c nhim v thc thi chin lc v chnh sch ph hp vi khu v ri ro Hi ng qun tr a ra. t hiu qu ca vic gim st hng ngy v nh k ri ro thanh khon, Ban iu hnh nn: Thc hin v pht trin cc th tc theo hng tiu chun ph hp vi mc tiu ca Hi ng qun tr; Thnh lp b phn chuyn trch qun l ri ro thanh khon, quy nh r quyn hn v trch nhim; Gim st vic thc hin v duy tr h thng thng tin qun l m bo xc nh, o lng, gim st v kim sot ri ro thanh khon ca ngn hng; Thit lp kim sot ni b hiu qu trong qu trnh qun l ri ro thanh khon cng nh m bo rng truyn t ti tt c nhn vin. 2.2.3 Vai tr ca y ban ALCO v QLRR Hi ng QLRR: m bo hot ng ca ngn hng ph hp vi chin lc thanh khon t ra; m bo cc chnh sch v th tc cn thit cho qun l ri ro thanh khon c thc hin; Qun l tnh hnh thanh khon v c cu ri ro ca ngn hng mt cch nh k v nh gi ri ro thanh khon ca ngn hng;
Gim st hot ng ca hi ng ALCO v vic x l cc vn quan trng ca y ban ny. Hi ng ALCO: C trch nhim qun l kh nng thanh khon ni chung bao gm cc cng vic chnh sau: Xy dng chin lc, chnh sch, quy trnh/th tc, hn mc qun l thanh khon v ri ro thanh khon; m bo rng cc th tc quy trnh lun c cp nht m bo tnh y , thn trng; cc trng hp vt hn mc c xem xt v ph duyt; Ph duyt cc cng c o lng, kim sot ri ro thanh khon v d kin cc bin php phng nga v x l;
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Quyt nh c cu bng cn i k ton cc ti sn v cng n theo tnh thanh khon v theo thi gian o hn; Lp k hoch d phng ch r cc hot ng qun l trong trng hp c khng hong v kh nng thanh khon; Lp bo co cho y ban ALCO & QLRR, Hi ng Qun tr v cc hot ng thanh khon v c cu ri ro ca ngn hng mt cch thng xuyn. 2.3 Chin lc qun l ri ro thanh khon Ngn hng cn c chin lc thanh khon thch hp cho vic qun l thanh khon hng ngy. Chin lc nn t ra cc phng php tip cn tng hp ca ngn hng v thanh khon, gm cc mc tiu nh tnh v nh lng. Chin lc nn t trong mi tng quan sc mnh ti chnh ca ngn hng v kh nng chu c ca ngn hng trong bi cnh khng hong kh nng thanh khon tm thi v di hn. Chin lc thanh khon do Hi ng Qun tr ra phi nu r cc chnh sch c th v cc kha cnh ca qun l ri ro thanh khon, chng hn: - Thnh phn ca ti sn n - ti sn c. Chin lc cn phc tho cc kt hp ca ti sn n v ti sn c duy tr thanh khon. Qun l ri ro thanh khon v qun l ti sn n - ti sn c nn c tch hp vi nhau trnh nhng chi ph do tc ng ngc chiu nhau nhm ti a ha li nhun v tng tnh thanh khon. Bn cnh , chin lc thanh khon cn phn nh c c im ca ngn hng l cc khon huy ng a s l cc khon ngn hn. - a dng ha v s n nh ca ngun vn: S ph thuc vo mt ngun tin gi ln c th dn n tnh thanh khon ca ngn hng b e da khi t chc gi tin t ngt rt tin khin ngn hng khng kp p ng c th dn ti mt thanh khon tm thi, hoc ngn hng phi huy ng vi chi ph cao p ng nhu cu rt tin. ng thi, vic ngn hng dng cc ngun vn khng n nh, bin ng mnh cp tn dng c th dn ti ri ro thanh khon khi cc ngun ny t nhin b rt ra khi ngn hng. V vy, ngn hng nn c cc quy nh lin quan n vic a dng ha ngun vn huy ng m bo theo yu cu thanh khon hng ngy v c ngun vn n nh. phn tch ton din s n nh ca ngun vn, ngn hng cn xc nh: ngun vn s li ngn hng trong bt k trng hp no; ngun vn ra khi ngn hng gim dn nu pht sinh vn ; ngun vn ngay lp tc ra khi ngn hng khi xut hin cc du hiu u tin; - Qun l thanh khon cc loi tin t khc nhau: ngn hng cn c chin lc v cch qun l thanh khon vi cc loi tin t khc nhau; - i ph vi s gin on thanh khon: ngn hng cn t v tr chin lc i ph vi kh nng thanh khon b gin on tm thi v di hn. Chin lc nn a vo tnh hung khng hong v vic tip cn th trng lin ngn hng kh khn v tn km. 2.4. Chnh sch, quy trnh v hn mc 2.4.1 Chnh sch thanh khon Hi ng Qun tr phi m bo rng c cc chnh sch ph hp qun tr ri ro thanh khon. Vi cc ngn hng khc nhau, cc chi tit c th khc nhau v ph thuc v bn cht
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kinh doanh ca tng ngn hng. Tuy nhin, chnh sch thanh khon phi gm cc yu t then cht sau: - Chin lc thanh khon tng th (ngn hn v di hn), mc tiu c th lin quan n qun l ri ro thanh khon, quy trnh xy dng chin lc v mc c ph duyt bi Hi ng Qun tr; - Vai tr v trch nhim ca cc c nhn thc hin chc nng qun l ri ro thanh khan, bao gm c qun l cu trc bng cn i k ton, gi c, k hoch d phng, bo co qun l, thm quyn v trch nhim v quyt nh kh nng thanh khon; - Cu trc qun l ri ro thanh khon xc nh, o lng, gim st v kim sot ri ro thanh khon (gm cc loi hn mc thanh khon, t l thanh khon v l do cho vic thit lp cc gii hn v h s); - K hoch x l khng hong thanh khon. c hiu qu, chnh sch thanh khon phi c truyn t xung cc phng ban v cc nhn vin trong h thng. Chnh sch thanh khon cn c xem xt li t nht mi nm mt ln v khi c bt k thay i trong hin ti v tng lai ca ngn hng c nguy c gp phi ri ro thanh khon. Thay i nh vy c th xut pht t hon cnh ni b (v d nh thay i trong tp trung kinh doanh) hoc hon cnh bn ngoi (v d nh thay i trong iu kin kinh t). 2.4.2 Quy trnh v gii hn Ngn hng cn thit lp quy trnh v cc gii hn thch hp thc hin chnh sch thanh khon. Quy trnh cn hng dn r rng cc bc cn thit v qu trnh hot ng thc hin kim sot ri ro thanh khon. Quy trnh v cc gii hn nn c xem xt li nh k v cp nht v c th thay i h thng v cch tip cn qun l ri ro. Ngoi nhng gii hn theo lut nh, ngn hng cn phi thit lp gii hn v tnh cht v mc ri ro thanh khon ca ngn hng. Cc gii hn cn c xem xt nh k v iu chnh khi iu kin hoc mc chp nhn ri ro thay i. S phc tp ca bng cn i k ton s xc nh c bao nhiu v nhng loi gii hn phi thit lp ca ngn hng vi khung thi gian hng ngy v thi gian lu di. Cn ch l cc gii hn ny khng ngn chn c mt cuc khng hong thanh khon nhng n c th l ch bo sm ca nhiu ri ro. Trong trng hp, qun l ri ro thanh khon khng y hoc gy ra nhiu ri ro cn phi sa i mc tiu hoc cc gii hn. 2.5. o lng v theo di ri ro thanh khon 2.5.1. o lng v theo di ri ro thanh khon K hoch vn d phng (CFP - Contingency Funding Plans) xy dng mt khun kh qun l ri ro thanh khon ton din, ngn hng nn t k hoch cho tnh hung c khng hong v kh nng thanh khon (khi ngn hng c th b mt uy tn & thiu vn kh dng v th trng bin ng thiu vn kh dng). N gm tp hp cc chnh sch v th tc phc v cho ngn hng p ng nhu cu ti tr ca mnh mt cch kp thi
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vi chi ph hp l. Mt k hoch vn d phng l mt k hoch v dng tin mt trong tng lai v cc ngun ti tr ca ngn hng theo kch bn th trng gm c s tng trng ti sn mnh v s xi mn ngun vn nhanh chng. Phm vi ca ca CFP gm: S dng CFP cho qun l thanh khon hng ngy i vi qun l thanh khon hng ngy, cc kch bn thanh khon s m bo ngn hng c s chun b tt nht i ph vi mt vn khng mong mun. Trong ngha ny, mt CFP l mt phn m rng ca qun l thanh khan ang din ra v chnh thc ha mc tiu qu qun l thanh khon bng cch m bo: mt s lng hp l cc ti sn lng c duy tr; o lng v t k hoch cc yu cu ti tr trong cc kch bn khc nhau; qun l cc ngun ti tr. S dng CFP cho trng hp khn cp v khng hong CFP khng lun cho thy cuc khng hong thanh khon ang ti dn dn. Tuy nhin, trong trng hp cng thng thanh khon t ngt, n m bo cho ngn hng p ng tt cc ngha v ca mnh cho cc bn lin quan. Khi c mt yu cu bt ng, ngn hng c k hoch i ph vi tnh hnh nh vy nn c th gii quyt vn thanh khon hiu qu. Thanh khon ca ngn hng c s nhy cm vi xu hng tiu cc trong tn dng, vn hay danh ting. N cng nhy cm vi tnh trng ti chnh xu i ca ngn hng (phn nh trong cc hng mc nh ch s cht lng ti sn, thu nhp hoc vn), s thay i thnh phn qun l hoc cc vn lin quan khc c th dn n vic gim ngun ti tr. K hoch vn kh dng nh gi kh nng ngn hng c th chu c Phm vi CFP Cht lng ca CFP ph thuc vo quy m, tnh cht, mc phc tp ca hot ng kinh doanh, cc ri ro m ngn hng tip xc v c cu t chc ca ngn hng. Cc CFP nn d on tt c cc ngun ti tr ca ngn hng v cc nhu cu thanh khon bng cch: Phn tch v lp k hoch nh lng tt c cc dng vn ni v ngoi bng v cc hiu ng ca n; Ph hp vi kh nng lu lng tin mt v s dng ngun vn; Thit lp cc ch s qun l cnh bo cc mc ri ro tim nng. CFP nn gm k hoch ti tr ca ngn hng trong thi gian tm thi v di hn c nh hng ti tnh thanh khon ca ngn hng, bao gm c nguyn nhn gy ra s xi mn ti sn n. Cc CFP nn xc nh r rng, nh lng v xp hng tt c cc ngun ti tr theo tiu ch nht nh, nh: bn ti sn, thay i cu trc hoc tng ti sn n, s dng cc cng c phi sinh hoc cc khon ngoi bng cho vic kim sot cc thay i ca bng cn i. CFP nn bao gm chin lc v ti sn n (Liabilities) v ti sn c (Assets) i ph vi khng hong thanh khon. Cc chin lc v ti sn c c th gm: thanh l ti sn thng d trn th trng tin t; bn ti sn lng hoc ti sn di hn. Trong khi , chin lc v ti sn n ghi r cc chnh sch nh chnh sch gi cho ti tr, cc n v c th gip khi khng
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hong thanh khon, chnh sch yu cu hon n sm, s dng ca s chit khu... CFP cng nn ch ra vai tr v trch nhim ca cc c nhn khc nhau vo thi im khng hong thanh khon v h thng thng tin qun l gia b phn qun l, ALCO, cc trader v cng ng ni chung. Thang o hn Thang o hn l mt cng c hu ch so snh cc dng tin vo v ra khi ngn hng hng ngy v trn mt lot cc khong thi gian xc nh trong tng lai. S lng cc khung thi gian trong thang o hn c tm quan trng ng k v n ph thuc phn ln vo bn cht ngun vn hoc cc ngun ti tr ca ngn hng. Ngn hng da vo cc ngun ti tr ngn hn s tp trung ch yu vo vic qun l thanh khon trn khung k hn rt ngn trong khi mt s ngn hng c th ch ng qun l cc yu cu ti tr rng trong mt khong thi gian di hn. Trong ngn hn, dng vn ti tr ca ngn hng c th c c lng chnh xc v iu ny rt quan trng khi a ra cc quyt nh ca ngn hng. Hn na, vic phn tch trong thi gian di s ti a ha c hi cho ngn hng khi qun l mc chnh lch ca dng vn vo v ra khi ngn hng trc khi n xy ra. V khung thi gian trn thang o hn, ngn hng c th s dng khung thi gian 1 ngy, 2-7 ngy, 8 ngy - 1 thng, 1-2 thng, 2-3 thng, 3-6 thng, 6M 1 nm, 1-2 nm v trn 2 nm. Khi c tnh cc dng tin, cc kha cnh sau y cn ch : * Cc yu cu vn pht sinh t cam kt ngoi bng (nm ngoi bng cn i k ton) cng cn c a vo; * Cc dng tin gn vi cc sn phm khc nhau chu nh hng bi li sut hoc hnh vi ca khch hng. V iu ny, ngn hng nn a vo ti khon lu tr mt hnh vi (d on s o hn) thay v o hn theo hp ng. gc ny, kinh nghim trong qu kh c th l ch dn quan trng a ra cc gi nh; * Mt s dng tin mang tnh chu k/ma v; * Nh qun l cng nn xem xt vic tng hoc gim tnh thanh khon thng xy ra trong cc giai on khc nhau ca chu k kinh t. m bo kh nng thanh khon y v p ng nhng bin ng trong cc khon vay v tin gi, ngn hng nn duy tr/d tr mc thanh khon da tha so vi quy nh ca c quan gim st ngn hng. m bo mc thanh khon c duy tr, ngn hng nn c tnh nhu cu thanh khon trong mt lot cc tnh hung c th xy ra. MCO l mt cng c qun l ri ro thanh khon da trn thang o hn. MCO o lng ln ca cc chnh lch thng qua cc dng vn ra cng dn ti a hay o lng lng vn thanh khon cn thit. MCO theo di cc ti sn c, v ti sn n khi n hn. Li nhun ri ro (EAR) o lng nh hng ca s dch chuyn li sut ln li nhun tim tng do c cc chnh
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lch trn bng cn i. Do vy vic xc nh thi gian o hn v ti nh gi ca ti sn n, v ti sn c rt quan trng i vi ngn hng. tnh c chnh lch cng dn, ti sn n v ti sn c c a vo bo co MCO theo thi gian o hn. Khon cng dn l khon chnh lch gia ti sn n v ti sn c, th hin khon vn kh dng cn thit loi tr chnh lch. Dng vn ra th hin ri ro thanh khon nu ngn hng khng c kh nng p ng vn khi n hn. V vy, dng vn ra cn c gim st v t trong hn mc. Thng tin cn thit theo di v m bo duy tr hn mc vn kh dng theo tng ngy c th hin trong bo co MCO. Cn thit lp kh nng duy tr s d cho tt c cc khon mc trn bng cn i v cc khon mc ngoi bng. Bo co MCO bao gm cc ni dung sau: Ti sn n v c ca ngn hng vi i tc th ba Tt c cc hot ng ca ngn hng vi i tc th ba (khch hng) bn ngoi ngn hng l ht nhn ca bng cn i. Ti sn n v c gia cc t chc bn trong ca ngn hng (nu c) Cc khon vay v cho vay gia cc b phn hoc chi nhnh trong ngn hng. Ti sn n v c ngoi bng: Tt c cc lung tin pht sinh t cc khon mc ngoi bng, cc sn phm phi sinh. Cc ngun vn vo v ra b sung Cc ngun vn v ngun cn s dng trong trng hp d phng. Bo co MCO phi c chun b da trn thi hn thanh ton thc. Cn phi p dng cc gi nh v kh nng quay vng v phi xem xt cc gi nh mt cch hp l. Cc gi nh c th nh sau: Cho php cc khon cho vay c k hn v hn tc khng th gi nh tt c cc khon cho vay u c th thu hi theo ng hp ng cho vay, v nu c thu hi th s c khon vay mi pht sinh. Thi hn thanh ton ca cc giao dch trn th trng lin ngn hng c th tnh theo ng hp ng i vi tin gi khch hng cn phi c phn tch v xc nh s d bin ng thit lp s d bt bin, c th tn ti lu di vi ngn hng v d nh c th tnh da trn s d trung bnh trong vng 3 thng trc v s dng phng php tnh lch chun. Hn mc MCO Hn mc MCO phi c thit lp cho tt c cc hot ng ln ng k ca ngn hng. Hn mc MCO phi c thit lp cho tng loi ngoi t v tng k hn.
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Hn mc MCO tng hp: i vi loi ngoi t c th chuyn i t do, tc l c th dng lung tin vo ca ngoi t ny trit tiu vi lung tin ra ca ngoi t khc qua sn phm hon i, ta c th dng hn mc MCO tng hp. T l thanh khon v hn mc Ngn hng c th s dng mt lot cc t l nh lng thanh khon. T l ny cng c th c dng to ra gii hn cho qun l thanh khon. T l ny lun c dng cng vi cc thng tin s lng nh kh nng vay vn, kh nng tng yu cu cho rt tin sm, s suy gim tn dng, quy m giao dch hoc thi hn cc ngun ti tr c sn b rt ngn. Ngn hng cn a ra cch thc chun xy dng, thnh phn, bn cht ca cc cu thnh nn t l thanh khon v phm vi cc kt lun c th c rt ra t cc t l ny. T l thanh khon Cc t l thanh khon l mt cng c quan trng trong vic xem xt nh gi vn kh dng trn bng cn i v l mt phn trong k hoch vn kh dng hng nm. Phn tch xu hng pht trin ca cc t l c th cnh bo khi c tnh hung xu i. Nu bt c t l no b vt mc cnh bo, cn phi khn cp a trnh ngay ln cp lnh o v tin hnh cc bin php cn thit. Trong qu trnh nh gi cc t l cn nh gi theo thi gian, so snh vi hn mc quy nh v cc mc cnh bo, kt hp cc ch s thanh khan vi nhau v so snh vi gi tr tuyt i cc khan mc bng cn i c ci nhn ton din. Ngoi ra cn phn tch trong mi tng quan vi t trng cc khon mc dng tnh ch s so vi tng ti sn v cc khon mc lin quan. Mt s t l sau nn xem xt: T l d tr bt buc theo yu cu ca Ngn hng Nh nc Cc t l c quy nh bi quyt nh 457/2005/Q-NHNN: t l ti a ngun vn ngn hn c s dng cho vay trong v di hn; t l ti sn c c th thanh ton ngay /ti sn n s n hn thanh ton trong thi gian 1 thng tip theo, t l gia tng ti sn c c th thanh ton ngay trong khong thi gian 7 ngy lm vic tip theo/tng ti sn n phi thanh toan trong khong thi gian 7 ngy tip theo. Cc t l do ngn hng a ra v cc mc cnh bo: t l cc ti sn o hn trong tun/cc ti sn n o hn trong tun; vn huy ng Interbank/tng ngun vn (theo quy i, tin t v theo k hn v/hoc thi hn cn li); vn huy ng khch hng/tng ngun vn (theo quy i, loi tin t v theo k hn v/hoc thi hn cn li); khch hng c tin gi ln/huy ng khch hng; vn huy ng trn Interbank/cho vay Interbank; vn huy ng Interbank/huy ng khch hng; huy ng khch hng/cho vay khch hng; cho vay khch hng/tng ti sn.....
Hn mc: Mt s hn mc sau ngn hng nn a ra v theo di a ra cnh bo:
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Hn mc khe h trong tng k hn ca thang o hn; Hn mc thanh khon cho tng loi tin t; Hn mc khch hng c tin gi ln.
2.5.2.Qun l thanh khon ngoi t Ngn hng cn c h thng o lng, gim st v kim sot trng thi thanh khon cho cc loi ngoi t chnh. Ngn hng nn c chin lc phn tch ring bit mi loi tin t. 2.5.3. Qun l tip cn th trng Ngn hng nn nh k xem xt li cc n lc thit lp v duy tr mi quan h vi cc ch n, c bit l cc khch hng c tin gi ln duy tr s a dng ha cc khon n v bo m kh nng bn ti sn khng chm tr. 2.5.4. Xem xt cc gi nh trong qun l thanh khon Trng thi thanh khon trong tng lai ca ngn hng b nh hng bi nhiu yu t v khng phi lc no cng d on c chnh xc. Cc gi nh cn c xem xt li thng xuyn xc nh s ph hp ca chng, c bit l khi th trng c nhng thay i nhanh chng. 2.5.5 Kim tra khng hong Ngn hng cn tin hnh kim tra khng hong nh k vi cc kch bn khc nhau m bo rng ngn hng c kh nng thanh khon trong iu kin ti t nht. Hi ng qun tr v Ban iu hnh cn xem xt kt qu kim tra khng hong v xy dng chin lc thch hp gii quyt nhu cu dng tin bng cch phn tch kch bn. V d, gim ri ro thanh khon bng cch ly thm ngun vn di hn hoc ti c cu cc thnh phn ca ti sn. iu quan trng l ngn hng cn xy dng kch bn hp l khi kim tra khng hong thanh khon v kim tra kt qu nhu cu dng tin. Kim tra kh nng chu khng hong ca ngn hng di cc iu kin: Ngn hng b khng hong Th trng b khng hong
2.6. H thng thng tin qun l Yu t ch cht qun l ri ro tt bao gm mt h thng thng tin qun l hiu qu xc nh, o lng, gim st v kim sot nhng ri ro thanh khon hin ti v tng lai, v bo co chng Hi ng Qun tr, Ban iu hnh c th pht hin kp thi v a ra hnh ng ch ng khc phc hu qu.
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H thng thng tin c lin quan n hot ng ngn qu, cc giao dch, hot ng ca ngun vn v chc nng qun l ri ro nn c tch hp kim sot ri ro. Hn na cn m bo lu lng ph hp v kp thi ca thng tin gia cc b phn trong ngn hng (front office, middle office v back office), tuy nhin cc bo co cn c gi ring bit m bo s c lp ca chc nng qun l ri ro. Bn cnh , cc loi thng tin quan trng cho vic qun l cc hot ng hng ngy v cu trc vn ca ngn hng c th dn ti ri ro thanh khon cn c theo di v lu vo h thng thng tin gm: Cht lng ti sn v xu hng ca n; D bo thu nhp; Danh ting ca ngn hng trn th trng v cc iu kin th trng; Cc loi v thnh phn ca cu trc bng cn i k ton; Cc loi tin gi mi s thu c cng nh ngun gc, thi gian o hn v gi c ca n. Mt h thng thng tin mnh l h thng c th a ra cc quyt nh tt lin quan ti kh nng thanh khon ca ngn hng. H thng thng tin c th tnh ton c trng thi thanh khon v d on thanh khon ca ngn hng: o Mt cch y , cho ton ngn hng trn c s tng hp, bao gm tt c cc khon mc ni bng ca ti sn v ngun vn; o c thc hin hng ngy; o c thc hin theo cc mc thi gian trong ngn hn v di hn; o Theo cc loi tin t chnh; o C th gip nh qun l ngn hng nm bt cc thng tin quan trng, bit v gim st thanh khon; c bit n cho php gim st thanh khon trong mt cuc khng hong; o Cung cp cc bo co theo yu cu v qun l thanh khon.
Vic bo co kp thi cho php so snh ri ro thanh khon hin ti vi hn mc lp. tr gip cho qu trnh ra quyt nh, cc bo co ny cn bao gm cc thng tin thch hp cho Ban Gim c v Hi ng Qun tr nhm cho php phn tch, nh gi xu th ca ton ngn hng. 2.7 Kim sot ni b Ngn hng cn phi c h thng kim sot ni b y m bo rng qu trnh qun l ri ro thanh khon ca h c thc hin ton din v ng vi quy nh. iu ny l mt phn ca h thng kim sot ni b nhm thc y hiu qu hot ng, s tin cy ca bo co ti chnh, s tun th cc quy nh ca php lut v chnh sch qu ngn hng. Mt h thng kim sot ni b hiu qu i vi qun l ri ro thanh khon gm:
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o o o o o Mi trng kim sot lnh mnh; Mt quy trnh y xc nh v nh gi ri ro thanh khon; Vic thnh lp cc hot ng kim sot c c th trong chnh sch v quy trnh; H thng thng tin qun l y ; Lin tc xem xt s tun th cc chnh sch v th tc ban thnh.
Cc chnh sch v th tc kim sot nn c t trong cc quy trnh ph duyt ph hp, cc gii hn, cc c ch nh gi khc m bo rng ngn hng ang t c cc mc tiu qun l ri ro thanh khon. Ngoi ra, mt yu t quan trng ca h thng kim sot ni b trong qu trnh qun l ri ro thanh khon ca ngn hng l thng xuyn xem xt v nh gi li. iu ny bao gm vic bo m nhn vin ang tun theo cc chnh sch v th tc ca ngn hng, cng nh m bo rng cc th tc c ban hnh thc hin c cc mc tiu d nh. Ngn hng cn m bo rng tt c cc nh gi c tin hnh thng xuyn, c ph trch bi cc c nhn c chc nng c lp. Khi cc vi phm xy ra, cn c nhc nh, cnh bo v gii quyt theo cc quy nh c ph duyt. 2.8 Bo co ri ro thanh khon M t Mc tiu nh k Thc hin
Tn bo co 1. Trng thi thanh khon Bo co lu chuyn tin t
Phn tch lung tin hng ngy i vi nhng khon mc ln Tm tt v tnh hnh ca ti sn v cng n ca ngy v ngy trc o Cc t l theo yu cu ca SBV o T l do ngn hng a ra
Nu bt xu hng s dng v huy ng vn Thng tin nhanh v nu bt nhng thay i ln v tnh hnh thanh khon o Tun th yu cu ca SBV o nh gi kh nng thanh khon v xem xt vi hn mc Gi tr cc ti sn c th bn c ngay p ng nhu cu thanh khon ca ngn hng vi chi ph hp l
Hng ngy
Treasury
Bo co thanh khon hng ngy
Hng ngy
Treasury
T l thanh khon
Hng thng
K ton + P.QLRR
Phn tch ti sn lng
Danh mc cc ti sn lng
Hng thng
Treasury/ P.QLRR
Phn tch c cu ti sn n
Phn tch ti sn n theo loi hnh ngun vn v thi hn cc ngun vn
Nu bt cc ngun cng n v pht hin s mt cn bng gia cc ngun v theo k hn
Hng thng
P.QLRR
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2. Tp trung ngun vn T l % tin gi ca 10 khch hng ln nht S d tin gi ca 10 khch hng (hoc nhm khch hng c lin h) ln nht 3. D ton thanh khon Bo co MCO cho tng loi tin t K hoch vn kh dng v ch s hu Tnh ton v phn tch dng vn vo v ra trong ngn hng Tm tt hot ng chung ca ngn hng, nhu cu vn trong nm ti v tnh hnh pht trin th trng K hoch vn d phng (CFP) Cc ngun vn d phng khi khng hong da trn cc gi nh Cc ngun vn ngoi cc D phng thanh khon khi ngn hng gp s c Hng thng Treasury o lng lng vn thanh khon cn thit Phc v cho qun l thanh khon Hng thng Treasury Pht hin cc ri ro tp trung vi mt khch hng hay mt nhm khch hng c lin h Hng thng P.QLRR
Hng nm
Treasury / P.k hoch
Ngun vn b sung
Cc khon c th gip ngn hng p ng thanh khon tm thi, phc v tnh MCO
Hng thng
Treasury
khon ni-ngoi bng c th b sung p ng thanh khon cho ngn hng Kim tra khng hong Xy dng cc kch bn khng hong ti ngn hng hoc th trng 4. Bo co gim st ri ro thanh khon Hn mc MCO, t l thanh khon, khch hng c tin gi ln, huy ng vn t cc la tin t 5. Cc hn mc cn xt duyt Cc hn mc v MCO, t l thanh khon, khch hng c tin gi ln, huy ng vn t cc loi tin 3.Qun l ri ro li sut 3.1 Gii thiu
nh gi kh nng chu ng khng hong ca ngn hng
Hng qu
Treasury + PQLRR
Gim st s tun th hn mc v a ra cnh bo
Hng thng
P.QLRR
Cp nht hn mc ph hp vi tnh hnh ca ngn hng v th trng
Hng thng
P.QLRR
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Ri ro li sut xut hin khi li sut bin ng bt li gy tn tht cho ngn hng. Vic chp nhn ri ro li sut l vic bnh thng ca ngn hng v tin li l mt ngun quan trng ca li nhun v gi tr ca c ng. Nhng thay i li sut nh hng n thu nhp thng qua thay i thu nhp li rng ca ngn hng, c th n nh hng ti thu nhp/chi ph ca cc ti sn n v ti sn c nhy cm vi li sut. Nhng thay i v li sut cng nh hng n gi tr tim n ca gi tr ti sn n - ti sn c v cc cng c ti chnh hay cc khon mc ngoi bng bi li sut thay i s dn ti thay i gi tr hin ti ca dng tin tng lai thu c t cc ti sn . V qua nh hng ti gi tr kinh t ca vn c phn. Qun l ri ro li sut nhm m bo lung thu nhp n nh v ti u, ng thi kim sot c ri ro li sut (bao gm c cc kh nng la chn gn lin). Qun l mc ri ro i vi cc bin ng li sut bt li nhm hn ch tc ng tim n ca nhng bin ng ny. Cc ngun ri ro li sut chnh: - Ri ro nh gi li (Repricing Risk) thi hn hay k hn nh gi li khc nhau Ri ro li sut pht sinh t s khc bit v thi gian o hn (i vi li sut c inh) v thi im ti nh gi (i vi li sut th ni) ca ti sn n, ti sn c v cc khon mc ngoi bng. S mt cn xng k hn ca ti sn n - ti sn c lun tn ti trong hot ng kinh doanh ca ngn hng, v iu ny ni ln rng li sut lun tc ng n hot ng ca ngn hng, v ri ro li sut khng th loi b. Mt ngn hng dng ngun vn ngn hn ti tr cho cc ti sn di hn c th i mt vi s suy gim thu nhp ngn hng v tt nhin gi tr hin ti ca khon cho vay cng b suy gim. Tc l n chu c hai tc ng: gim thu nhp trong ngn hn v gim gi tr kinh t hay gi tr dng tin tng lai. Nguyn nhn chnh l do dng tin t khon cho vay ca ngn hng c nh vi k hn di, trong khi li c tr l bin, v n tng sau khi cc khon tin gi ngn hn o hn. - Ri ro ng cong thu nhp (Ri ro ng cong li sut) (Yield Curve Risk) (ng cong thu nhp v th mi quan h gia mc li tc n hn v thi gian n hn ca cc chng khon n vi cc cng c c ri ro v n - trc tung l li tc n hn, trc honh l thi gian n hn). Nguyn nhn l do s thay i dc v hnh dng ca ng cong thu nhp. Ri ro ng cong thu nhp xy ra khi ng cong thu nhp dch chuyn khng d on c gy nh hng bt li ti thu nhp hoc gi tr kinh t ca ngn hng. - Ri ro c bn (Basic Risk) mi tng quan khng hon ho gia cc ng cong thu nhp khc nhau (v d: Libor 3 thng so vi tn phiu kho bc (Tbill) 3 thng) Ri ro c bn l ri ro pht sinh t s tng quan khng hon ho trong vic iu chnh thu li v chi li trn cc cng c khc bit c thi gian ti nh gi tng t nhau. Khi thay i li sut, nhng khc bit ny c th lm gia tng s thay i khng nh k vng trong dng tin mt v chnh lch thu nhp gia ti sn n, ti sn c v cc cng ti chnh/ti sn ngoi bng c cng k hn hoc s ln ti nh gi. v d, mt khon cho vay 1 nm vi k ti nh gi l 1 thng da trn li sut c bn v mt khon tin gi k hn 1 nm vi k hn ti nh gi l 1
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thng da trn li sut T-bill 1 thng; ri ro y l s chnh lch gia hai mc li sut ny thay i khng nh k vng. - Ri ro quyn la chn/Ri ro li sut do quyn la chn/Ri ro quyn chn gn lin (Embbed Options) Ri ro khi khch hng c th s dng quyn tham gia hay chm dt hp ng vi li sut c nh. iu ny c th do vic thc hin quyn la chn trong hp ng hay do khch hng chm dt hp ng bi li sut u i hn trn th trng. V d nh, khon vay vi li sut c nh cho php khch hng thanh ton ton b cng n bt c lc no (iu kin vay tr trc thi hn), v d nh khi li sut ang c xu hng gim. Hoc khon tin gi vi li sut c nh cho php khch hng rt tin bt c lc no, chng hn khi li sut ang c xu hng tng. Hoc ngn hng nm gi cc tri phiu m ngi bn c quyn mua li trc ngy o hn. Hin ti c hai quan im ph bin nht nh gi ri ro li sut ca ngn hng: l quan im v thu nhp v quan im v gi tr kinh t. Quan im v thu nhp tp trung vo tc ng ca s thay i li sut ti thu nhp ca ngn hng trong ngn hn, trong khi quan im v gi tr kinh t tp trung vo gi tr ca dng tin mt rng ca ngn hng (xt trong di hn). Vic phn tch ri ro li sut khng ch gip ngn hng qun l ri ro mt cch hiu qu m cn tm kim cc c hi to ra li nhun ln cho ngn hng. Nu cc bin ng li sut (tng/gim) nm trong d on ca ngn hng, ngn hng c th thu c cc khon li ln khi c s chun b trc v hnh ng theo xu hng li sut. V d, khi xem xt cc giai on ca chu k li sut: li sut tng ln nh (m rng ti sn c, mua tri phiu, rt ngn ti sn n,...); cn nu li sut xung y (m rng ti sn n, bn tri phiu, ko di ti sn n,...). Bn cnh , vic xc nh hnh dng ca ng cong li sut cng c vai tr quan trng; nu hnh dng thng thng li sut n hn t l thun vi thi hn n hn (C nh chi ph vn l t, thi gian tt c cu li ti sn n di hn, u t di, tm vn ngn), cn nu hnh dng ng cong li sut l ngc (vay ngn hn t, tng ngun vn di hn, u t ngn hn), cn trong trng hp ngang bng (thi im tt c cu li bng cn i mt cch ton din). 3.2. Gim st ca Hi ng Qun tr v Ban iu hnh 3.2.1 Hi ng qun tr Hi ng Qun tr c trch nhim cui cng cho s hiu bit v bn cht v mc ri ro li sut ca ngn hng. Nhim v ca Hi ng Qun tr: Ph duyt chin lc v chnh sch kinh doanh chi phi hoc nh hng ti ri ro li sut ca ngn hng; Xem xt li cc mc tiu tng th ca ngn hng trn kha cnh ri ro li sut; Cung cp cc hng dn r rng v mc chp nhn ri ro li sut ca ngn hng; Ph duyt cc chnh sch trong xc nh thm quyn v trch nhim qun l ri ro li sut;
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m bo rng ban iu hnh c kin thc y v hon ton c kh nng tin hnh cc hot ng lin quan n li sut bao gm c vic thc hin cc bc cn thit xc nh, o lng, gim st v kim sot ri ro; m bo thng tin xem xt li nh k chi tit v kp thi, cho php hiu v nh gi hiu qu ca Ban iu hnh trong gim st v kim sot nhng ri ro ny trong vic tun th cc chnh sch c ph duyt; m bo rng Hi ng Qun tr hoc mt trong cc y ban ca mnh nh k ti nh gi chnh sch qun l ri ro li sut cng nh chin lc kinh doanh tng th c nh hng ti ri ro li sut ca ngn hng. 3.2.2 Ban iu hnh Ban iu hnh chu trch nhim: Thit lp v pht trin cc chnh sch v th tc qun l ri ro li sut c trong thi gian di hn v thi gian ngn hn (hng ngy); Duy tr r rng quyn hn v trch nhim qun l v kim sot ri ro ny; Thc hin cc chin lc mt cch gii hn nhng ri ro lin kt vi mi chin lc v m bo vic tun th php lut v cc quy nh; Duy tr gii hn thch hp v ri ro ny; Duy tr h thng y v tiu chun o lng ri ro; Duy tr cc tiu chun nh gi v o lng hiu qu; Duy tr bo co ri ro li sut ton din v quy trnh/th tc xem xt li qun l ri ro li sut; Duy tr hiu qu kim sot ni b v tiu chun o c; Bo m rng bo co ri ro li sut cung cp cc thng tin tng hp cng nh h tr y , chi tit cho php nh gi s nhy cm ca ngn hng khi iu kin th trng thay i v cc yu t ri ro quan trng khc; nh k xem xt li chnh sch v quy trnh qun l ri ro li sut m bo rng chng vn cn thch hp v mnh vo mi lc; m bo rng hot ng phn tch v qun l ri ro lin quan ti ri ro li sut c thc hin bi i ng nhn vin c thm quyn vi kin thc k thut v kinh nghim ph hp vi tnh cht, phm vi hot ng ca ngn hng; m bo rng nhn vin c kin thc su v rng.
3.2.3 Vai tr ca y ban ALCO v QLRR y ban ALCO v QLRR thc hin qun l ri ro li sut tm v m v gim st ri ro ny. 3.3 Chin lc qun l ri ro li sut Chin lc hot ng ca ngn hng nh hng ti ri ro li sut; Mc ri ro li sut ngn hng c th chp nhn c: xem xt mc tiu ngn hn (kim sot s bin ng ca thu nhp li rng NII) v mc tiu di hn (kim sot d bin ng ca gi tr kinh t ca vn c phn EVPE), so snh hai mc tiu ; Ghi nhn ri ro li sut pht sinh mt cch ring r i vi tng loi tin t;
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Tt c cc nhn vin trong cc phng ban thc hin nhng hot ng c nh hng ti thu nhp li thun cn nhn thc y v chin lc ri ro li sut. 3.4 Chnh sch, th tc v cc gii hn 3.4.1 Chnh sch v th tc Chnh sch v th tc v qun l ri ro li sut ca ngn hng phi c xc nh r v ph hp vi tnh cht v phc tp ca cc hot ng ca ngn hng. Ngn hng nn c th tc v chnh sch r rng hn ch v kim sot ri ro li sut. Cc chnh sch v th tc nn phn nh r rng trch nhim v quyn hn v quyt nh ri ro li sut, chin lc phng nga ri ro v cc trng thi nm gi. Chnh sch ri ro li sut nn xc nh cc thng s nh lng v mc ri ro li sut m ngn hng chp nhn. Tt c cc chnh sch ri ro li sut nn c xem xt li nh k v sa i khi cn thit. Ngn hng nn xc nh c th v ph duyt cc th tc cn thit cho cc ngoi l i vi cc chnh sch, cc gii hn v y quyn. Trc khi gii thiu mt sn phm mi, phng nga ri ro/bo him, hoc chin lc, ngn hng phi m bo rng cc chnh sch v th tc c a ra y . Hi ng Qun tr cng nn ph duyt bin php phng nga ri ro (bo him ri ro) hoc cc sng kin qun l ri ro trong tin trnh thc hin. 3.4.2 Cc gii hn Ngn hng nn t ra cc gii hn cho mc ri ro li sut v cc gii hn ny c th c p dng trn danh mc c nhn, cc hot ng hoc cc n v kinh doanh. Mt h thng gii hn thch hp s cho php nh qun l ngn hng kim sot ri ro li sut, tho lun v c hi v ri ro, gim st ri ro thc t vi dung sai ri ro xc nh trc. H thng gii hn phi m bo rng cc trng hp vt qu mc nh trc nhn c s quan tm ca nh qun l. H thng gii hn c th c thit lp trn c s tng hp cng nh theo tng loi danh mc hoc cng c. Cc gii hn c thit lp phi ph hp vi quy m, mc phc tp v mc vn ca ngn hng, cng nh kh nng ca ngn hng o lng v qun l ri ro ca mnh, ng thi phi nht qun trong vic xem xt cc nh hng ca thay i li sut i vi thu nhp rng ca ngn hng. Cc gii hn sau cn c theo di: Hn mc yu t nhy cm, hn mc GAP, hn mc VaR Hn mc VaR cho tt c cc danh mc giao dch (trading portfolio) phi c xc nh cho tng b phn kinh doanh ri ro, hn mc ny do ALCO ph duyt, khi nim VaR c trnh by mc 3.5.1 Hn mc Yu t Nhy cm (Factor Sensitivity - FS): l hn mc dnh cho cc yu t th trng quan trng nh hng ti tng b phn kinh doanh ri ro. y l hn mc hiu qu nht mc tng giao dch vin. Hn mc Yu t nhy cm = Gi tr ri ro / bin ng
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Trong , yu t nhy cm l l thay i gi tr ca mt cng c hay danh mc cc cng c ti chnh khi li sut thay i 1%, vi iu kin cc yu t th trng khc khc l c nh. Yu t nhy cm c o bng gi tr tuyt i v c nh gi trn c s m hnh ti nh gi (Repricing models) do ALCO xt duyt v nh k nh gi trong qu trnh s dng. Hn mc GAP c xy dng da trn chin lc kinh doanh v chin lc qun l ri ro li sut ca ngn hng. Hn mc GAP tnh theo phn trm, cc t l sau nn ch GAP cng dn tng k hn/tng ti sn, GAP cng dn/tng ti sn c doanh thu li, GAP cng dn/vn ch s hu. Mt lu rng, i vi GAP n khng ch c mt l ri ro m n hm cha c c hi, tc l nu ngn hng duy tr GAP mc ph hp vi xu hng li sut th s c li cho ngn hng, c th l tng li nhun ca ngn hng. Qun l GAP m bo cn bng ri ro v li nhun i hi ngn hng phi d bo c xu hng li sut. 3.5 o lng, gim st ri ro v kim tra khng hong Thay i li sut c th nh hng ti c thu nhp v gi tr kinh t ca ngn hng. Chng ta xem xt hai quan im khc nhau nhng b sung cho nhau nh gi ri ro li sut: Quan im thu nhp: Trong quan im thu nhp, phn tch tp trung vo tc ng ca s thay i li sut ln thu nhp ca ngn hng. y l cch tip cn truyn thng nh gi ri ro li sut v c nhiu ngn hng s dng. Bin ng ca cc khon thu nhp l mt im quan trng phn tch ri ro li sut v thu nhp b gim hoc b mt mt c th e da s n nh ti chnh ca ngn hng bng cch gim s an vn v s tin tng ca th trng. V vn ny, theo truyn thng, khon thu nhp m nh hng trc tip ti l thu nhp li rng (tc l hiu s gia tng thu nhp li v tng chi ph li). Trn quan im ny chng ta xem xt nh hng ca li sut ln thu nhp li rng (NII Net Interest Income). Quan im gi tr kinh t/gi tr th trng: S bin ng ca li sut th trng cng c th nh hng n gi tr kinh t ca ti sn n, ti sn c v cc cng c ngoi bng/ v th ca cc khon mc ngoi bng. V th, s nhy cm gi tr kinh t ca ngn hng do bin ng ca li sut nn c xem xt bi Hi ng Qun tr v Ban iu hnh. Gi tr kinh t ca mt cng c c nh gi theo gi tr hin ti ca dng tin mt d kin trong tng lai (tc chit khu dng tin tng lai) phn nh gi tr th trng ca cng c . V vy, gi tr kinh t ca ngn hng c th c xem xt nh l gi tr hin ti ca cc dng tin rng k vng, ngha l dng tin mt d kin v ti sn tr i cc dng tin mt k vng v cc khon n cng vi dng tin mt rng d kin t v th cc khon mc ngoi bng/hay dng tin mt rng d kin ca cc khon mc ngoi bng. Trong ngha ny, quan im gi tr kinh t phn nh mt cch nhn v s nhy cm gi tr ca ngn hng do s bin ng li sut. i vi c ng ca ngn hng, chng ta xem xt gi tr kinh t ca vn c phn (EVPE Economic Value of Portfolio Equity). Mc tiu ca qun l ri ro li sut gm c mc tiu ngn hn v di hn. Mc tiu ngn hn l kim sot s bin ng ca thu nhp rng v mc tiu di hn l kim sot s bin ng ca gi tr kinh t ca vn c phn qua kim sot gi tr kinh t ca ti sn n, ti sn c v cc cng c/khon mc ngoi bng. Mi mc tiu u c mc quan trng khc nhau v nh hng ti nhau. Ch qun l di hn th khng ph hp bi tr khi mc tiu ngn hn c qun l tt th mc tiu di hn mi kh thi. Mc tiu di hn khng th t c tr khi ngn hng c th sng st trong ngn hn. Ngc li, mt ngn hng c th m qung nu trng tm ca n
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ch hng vo ngn hn. Mi ngn hng u cn phi kim sot s bin ng ca c NII v EVPE. Sau y l so snh gia NII v v EVPE Ch tiu NII Kim sot bin ng thu nhp li rng k ton Ngn hn i ph Bo co thu nhp o Phng php v cng c o o GAP Phn tch gi nh thu nhp li rng EAR EVPE Kim sot bin ng gi tr kinh t - kinh t Di hn Chin lc Bng cn i k ton o o K hn (Duration) Phn tch gi nh gi tr kinh t ca vn c o phn VaR
Mc tiu Thi gian Loi hnh qun tr ALM Tp trung
3.5.1 o lng v gim st ri ro Ty thuc vo s phc tp v phm vi hot ng ca mnh, ngn hng cn c h thng o lng ri ro li sut nh gi nh hng ca thay i li sut ln c thu nhp v gi tr kinh t ca ngn hng. H thng ny s cung cp mc ri ro li sut hin hnh ca ngn hng v kh nng xc nh bt k cc ri ro li sut ln c th pht sinh trong tng lai. H thng o lng nn: nh gi tt c cc ri ro li sut c bn lin kt vi ti sn n - ti sn c v cc cng c ngoi bng ca ngn hng; Cc khi nim ti chnh c chp nhn chung v cng c o lng ri ro; C cc dn chng gi nh v cc thng s.
S dng cc phng php tip cn sau: Phn tch GAP, K hn (Duration), M phng (Simulation), EAR.... a. Phn tch GAP Phn tch GAP- phn tch khe h nhy cm li sut l mt cng c c bn o lng ri ro li sut. N o lng s khc bit gia ti sn c (TSC) nhy cm vi li sut vi ti sn n (TSN) nhy cm vi li sut. GAP c nh ngha l s khc bit gia gi tr TSC nhy cm vi li sut v TSN nhy cm vi li sut.
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GAP = TSC nhy cm vi li sut (RSA) TSN nhy cm vi li sut (RSL) RSA = Rate Sensitive Assets = TSC nhy cm vi li sut RSL = Rate Sensitive Liabilities = TSN nhy cm vi li sut Bo co GAP l mt ti liu gii thch hiu k thut phn tch GAP. mt s quc gia, cc t chc ti chnh cng b bo co GAP trong bo co ti chnh ca mnh. Bo co GAP tnh ton GAP trong cc khong thi gian khc nhau cng nh GAP cng dn ca c mt giai on. Bo co GAP cng c tn l Bo co nhy cm vi li sut hoc bo co GAP n hn. Mt bo co GAP tnh ton GAP trong cc khong thi gian khc nhau cng nh GAP cng dn ca mt giai on. TSC v TSN khng nhy cm vi li sut b b qua hoc cho vo nhm cui cng. Cc cng c phi sinh c xem xt trong khi xy dng bo co GAP. Cc cng c ny c xc nh da trn k o hn hoc ngy ti nh gi. Chng ta cn phn bit o hn do ti nh gi v o hn theo hp ng. o hn theo nh gi l giai on m sau khon vay s ti nh gi, trong khi o hn theo hp ng l giai on m sau khon vay phi c thanh ton. Mi khon vay c th c ti nh gi hn mt ln trc khi n cui cng c thanh ton. V nhy cm vi li sut, k o hn do ti nh gi l ci m chng ta quan tm. V d, khon vay 1 nm c ti nh gi hng qu s c a vo nhm 3 thng. V ri ro li sut c o lng, o hn do ti nh gi c xem xt, ch khng phi o hn do hp ng. V chng ta cn ch rng bt cn xng v o hn do ti nh gi gy nn ri ro li sut trong khi bt cn xng v o hn do hp ng gy nn ri ro thanh khon. GAP cng dn (Cumulative Gap Cum Gap) l tng s tt c cc GAP mi thi gian khc nhau. Cum Gap l mt ch s quan trng trong vic tnh ton cc h s c bn v xc nh hn mc GAP. l mt cng c kim sot ri ro. Cum GAP chu k N = GAP chu k N + Cum GAP trong chu k N-1 Cc loi GAP: c hai loi GAP cn quan tm GAP m (nhy cm vi TSN): Ngn hng c coi l c GAP m nu TSN nhy cm vi li sut ln hn TSC nhy cm vi li sut. Ngn hng c GAP m c coi l c TSN nhy cm. Trong mt GAP TSN nhy cm, TSN ti nh gi trc TSC. Nu chng ta d on li sut s gim trong thi gian ti, chng ta c th t tin, hay cho vay tin vi k hn di hn v i vay/huy ng vi k hn ngn, vi vic lin tc quay vng tin huy ng vo. GAP dng (nhy cm vi TSC): Ngn hng c coi l c GAP dng nu TSC nhy cm vi li sut ca n ln hn TSN nhy cm vi li sut. Ngn hng c GAP dng c coi l c TSC nhy cm. Trong mt GAP TSC nhy cm, TSC ti nh gi trc TSN. Nu chng ta d on li sut s tng trong thi gian ti, chng ta c th t tin, hay cho vay tin vi k hn
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ngn hn v i vay/huy ng vi k hn di hn, vi vic lin tc quay vng tin cho vay hay tin i gi. So snh cc loi GAP Trng thi GAP cho bit tnh hnh ti tr/vn ca ngn hng. Mt GAP TSC nhy cm cho bit rng TSC ngn hn c ti tr bi TSN di hn. Ngc li, mt GAP TSN nhy cm cho bit rng TSC di hn c ti tr bi TSN ngn hn. S so snh cc kha cnh khc nhau ca hai trng thi GAP c lit k trong bng di y.
GAP dng Loi GAP Asset sensitive TSC c nh gi trc TSN
GAP m Liability sensitive TSN c nh gi trc TSC
Dng vn huy ng di hn cung cp Trng thi cho ti sn c ngn hn
Dng vn huy ng ngn hn cung cp cho ti sn c di hn
nh hng ca thay i li sut
Tng li sut lm tng thu nhp li rng Gim li sut lm gim thu nhp li rng
Tng li sut lm gim thu nhp li rng Gim li sut lm tng thu nhp li rng
Bo co GAP v nh hng n thu nhp li rng (NII) Bo co GAP c s dng kim sot NII, cn xc nh mi quan h gia NII v trng thi GAP. GAP c th m hoc dng. Tng t, li sut c th ln hoc xung. Mt s kt hp c hai s c nhng nh hng khc nhau. Thu nhp li rng = tng thu li tng chi li = li sut tng ti sn nhy cm li sut * lng ti sn nhy cm li sut tng ng + li sut trn nhng ti sn khng nhy cm li sut * lng ti sn khng nhy cm li sut tng ng - li sut trn cc khon n nhy cm li sut * gi tr n nhy cm li sut tng ng - li sut trn nhng khon n khng nhy cm li sut * n khng nhy cm li sut tng ng. Mt lu quan trng khi phn tch tc ng ca GAP ln thu nhp l cc gi nh v li sut, chng ta gi nh rng li sut tc ng tc thi v mc thay i v li sut gia TSC v TSN nh nhau. Trong trng hp nu li sut gia TSC v TSN thay i khc nhau, chng ta cn tnh ton ring r s thay i li sut TSC dn n s thay i thu nhp t li v s thay i li sut
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TSN dn n s thay i chi ph li. Khi ny, o lng ri ro li sut tc ng ti thu nhp li rng ca ngn hng ta ly hiu s thu nhp rng sau khi li sut thay i tr i thu nhp rng trc khi li sut thay i m s khng tnh GAP (hay tnh nh sau = thu nhp li sau khi li sut thay i chi ph li sau khi li sut thay i - thu nhp li trc khi li sut thay i + chi ph li trc khi li sut thay i). Tuy nhin, trong gi nh ta ngm hiu rng li sut thay i nh nhau i vi TSC v TSN. Trong trng hp thay i li sut TSC v TSN nh nhau, ta tnh ton tc ng ca thay i li sut ln thu nhp rng t li nh sau: Thay i trong thu nhp rng t li = Thay i li sut * GAP
Chng ta cn ch rng GAP m hoc dng c th l c hi tt gia tng li nhun ca ngn hng khi li sut c d bo ng. Vic d bo li sut ng gip ngn hng c th ngn chn tn tht bng cch thc hin mt s iu chnh i vi TSC, TSN gim quy m GAP hoc s dng cc cng c bo v, mnh hn l tng thu nhp ca ngn hng (nu ngn hng d bo li sut tng, n s duy tr GAP dng, cn nu ngn hng d bo li sut gim n duy tr GAP m). Trong trng hp li sut bin ng ngc vi d bo c th gy ra gim st thu nhp rng, tc l chng ta gp ri ro li sut. Khng phi lc no ngn hng cng d on ng v xu hng li sut hay hnh vi ca khch hng nh hng ti ri ro li sut ca ngn hng, v th, ngn hng cn xem xt cc tc ng ca thay i li sut n thu nhp ca ngn hng v a ra hn mc GAP ph hp. Hin ti mt s ngn hng qun l GAP theo phng php qun l GAP nng ng, tc l ngn hng thng xuyn thay i GAP, t ngn hng vo trng thi nhy cm TSC hoc nhy cm TSN da trn kh nng tin cy i vi cc d bo v li sut ca ngn hng. Vic phn tch GAP v s dng chin lc ti c cu thay th gip chng ta ci thin thu nhp ca Treasury khi d on ng li sut (y chnh l phng php qun l GAP nng ng, mt s ngn hng gi l GAPPING). iu cn ch l khi s dng GAPPING tng thu nhp ca khi Treasury phi m bo GAP nm trong hn mc c ph duyt. Chin lc ti c cu thay th C 5 loi chin lc ti c cu thay th m ngn hng c th theo ui t c trng thi GAP tt. Gm:
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- Ti c cu TSC: thay i tp hp TSC (ch thay i c cu TSC trn bng cn i k ton, n c th l danh mc u t hoc danh mc cho vay ca ngn hng). V d, tng TSC ngn hn v gim TSC di hn; - Ti c cu TSN: thay i tp hp TSN. V d, gim TSN ngn hn v tng TSN di hn; - Tng trng: Theo ui tng trng bng cn i k ton bng cch tng TSC v TSN. y chnh l 1 trng hp ca chin lc qun l hn hp. V d, tng TSC ngn hn c ti tr bi TSN di hn; - Thu hp: Theo ui thu hp bng cn i k ton bng cch gim TSC v TSN. y cng l 1 trng hp ca chin lc qun l hn hp. V d, gim TSC di hn v vic thanh ton cc TSN ngn hn; - Phi sinh: s dng cc cng c phi sinh nh FW, SWAP. V d, tham gia vo hon i li sut nhn c th ni/li sut thanh ton c nh. GAP l cng c ph bin trong o lng ri ro ca ngn hng. trnh ri ro qu ln v li sut, ngn hng nn quy nh hn mc GAP i vi cc k hn. Bn cnh l cng c dng qun l ri ro li sut, GAP cng l cng c ngn hng tng thu nhp. lm iu ny ngn hng cn phi d on li sut trong thi gian ti v vch r k hoch hnh ng khi li sut thay i khng nh d bo. Bn cnh tnh tin ch ca cng c GAP, GAP cng c nhng hn ch nht nh. V d nh s la chn cc khung thi gian ty thuc vo mi ngn hng, li sut trong hot ng ngn hng v li sut trn th trng thay i vi tc khc nhau. V iu quan trng na m GAP khng th hin l n khng tnh n gi tr thi gian ca cc ti sn, tc l vic qun l GAP khng nhm mc ch bo v gi tr ti sn v c bit l khng bo v c gi tr rng ca ngn hng, ni cch khc l gi tr kinh t ca vn c phn. Duration s gii quyt c vn ny. b. K hn Duration K hn (Duration) cn gi l k hn Macaulay, l mt cng c nh lng o lng s nhy cm vi li sut ca TSC v TSN. Duration l k hn o hn trung bnh ca mt tri phiu trong gi tr hin ti ca dng tin c s dng lm t trng trung bnh. C thi gian v ln ca dng tin ca mt chng khon c xem xt trong vic tnh ton duration. Duration cng l mt bin php o lng s bin ng v gi ca mt tri phiu. Khi nim duration c th s dng cho tt c cc TSC, TSN, phi sinh hoc mt ti sn duy nht, mt danh mc ti sn hoc c bng cn i k ton. tm hiu cch o lng ri ro li sut ti gi tr kinh t ca vn c phn, trc tin chng ta nghin cu k hn hon vn v k hn hon tr. K hn hon vn l gi tr k hn trung bnh xc nh trn c s thi gian xut hin cc dng tin vo c to ra t ti sn. y l thc o thi gian trung bnh ca dng tin d tnh trong tng lai (v d nh dng thanh ton m ngn hng mong i nhn c t cc khon cho
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vay hay cc khon u t). V bn cht, k hn hon vn xc nh thi gian trung bnh cn thit thu hi khon vn u t. K hn hon tr l thc o thi gian trung bnh ca dng tin d tnh i ra khi ngn hng (v d nh cc khon thanh ton li v vn vay) v do v bn cht, k hn hon tr xc nh thi gian trung bnh cn thit hon tr vn huy ng. Cng thc tnh k hn hon vn v k hn hon tr ca mt cng c ti chnh (nh khon cho vay, chng khon, tin gi,.) l: Di = [ Tng( t: 1 ti n) { Ct* t/(1+YTM)^t} ] / P0 Trong : Di: l k hn hon vn/hon tr ca cng c ti chnh i t: l khong thi gian khon tin c thanh ton (t chy t 1 ti n) Ct : l gi tr khon tin d tnh trong giai on t YTM: t l li sut khi n hn P0: gi tr hin ti ca cng c ti chnh tnh Duration ca mt danh mc ta s dng cng thc sau: Dp = Tng(i: 1 ti n) (Di * W i ) Trong : Dp = K hn hon vn ca danh mc gm n ti sn hoc khon n Di = k hn hon vn ca ti sn i, i chy t 1 ti n Wi = t trng ca ti sn i trong danh mc, ch Tng Wi = 1 Mt khc, Gi tr rng ca ngn hng (nu tnh ti yu t thi gian, n chnh l gi tr kinh t/gi tr th trng - EVPE) = Gi tr tng ti sn ca ngn hng (k hiu A) Gi tr cc khon n (k hiu Le ch phn bit vi tng ti sn n, ti sn n n bao gm c vn ch s hu), do khi li sut thay i s dn ti gi tr tng ti sn ca ngn hng thay i v gi tr cc khon n thay i nn gi tr rng ca ngn hng cng thay i. EVPE = A - Le Theo l thuyt danh mc u t trong lc vc ti chnh, khi li sut tng s lm gim gi tr th trng ca cc ti sn v cc khon n mang li sut c nh; k hn ca cc ti sn v cc khon n cng di th gi tr th trng ca chng cng gim mnh khi li sut tng. Do , mc thay i gi tr rng di tc ng ca li sut ph thuc vo tng quan v k hn gia ti sn (ti sn c) v cc khon n ca ngn hng (ch rng ti sn n bao gm c n v vn ch s hu). V k hn hon vn v k hn hon tr l mt thc o thi gian nn khi li sut tng ln, ngn hng c k hn hon vn ca ti sn di hn k hn hon tr ca cc khon vay th gi tr rng ca n s gim nhiu hn so vi ngn hng khc. Bng cch cn bng k hn hon vn ca ti sn v k hn hon tr ca cc khon n, ngn hng c th cn i c thi gian trung bnh ca ca dng tin vo bn ti sn vi thi gian trung bnh ca cc dng tin ra bn ngun vn. Do vic phn tch k hn hon vn v k hn hon tr c th c s dng n nh gi tr rng ca ngn hng hay nu c tnh n yu t thi gian n chnh l gi tr kinh
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t ca ngn hng (EVPE). Ngi ta s dng khe h k hn nh gi tc ng ca li sut i vi s thay i ca EVPE (gi nh li sut i vi ti sn v n thay i nh nhau). Khe h k hn ca ngn hng = k hn hon vn trung bnh theo gi tr ca danh mc ti sn k hn hon tr trung bnh theo gi tr ca danh mc n Khe h k hn dng khi k hn hon vn ca ti sn ln hn k hn hon tr ca n. Lc , nu li sut bn ti sn v bn n cng thay i mt lng nh nhau th s thay i trong gi tr ca danh mc ti sn v n s khc nhau. Trong trng hp khe h k hn dng, li sut tng s lm gim gi tr rng ca ngn hng bi v gi tr ti sn gim nhiu hn gi tr cc khon n. Theo , gi tr th trng ca vn ch s hu s gim. Ngc li, khe h k hn m khi k hn hon tr trung bnh ca danh mc n ln hn k hn hon vn ca danh mc ti sn, mt s thay i nh nhau v li sut bn ngun vn vay v ti sn s dn n tnh trng gi tr ca ngun vn vay thay i ln hn bn ti sn. Nu li sut gim, gi tr ngun vay tng nhiu hn gi tr ti sn v khi gi tr vn ch s hu gim. Tng t khi li sut tng, gi tr ngun vn vay gim nhanh hn gi tr ti sn dn ti s gia tng trong gi vn ch s hu (EVPE).
Chng ta c th tnh ton s thay i gi tr th trng ca vn ch s hu ( EVPE ) nu chng ta bit k hn hon vn trung bnh ca danh mc ti sn, k hn hon tr trung bnh ca danh mc n. Gi nh chnh y l li sut thay i nh nhau bn ti sn v bn n v s thay i li sut l tc thi.. Cng thc tnh: EVPE = A - Le = {- Da* i*A/(1+i)} { - DLe * i * Le/(1+i)} Trong : EVPE l s thay i gi tr th trng/gi tr kinh t ca vn ch s hu hay gi tr rng ca ngn hng. Da l k hn hon vn trung bnh theo gi tr ca danh mc ti sn DLe l k hn hon tr trung bnh theo gi tr ca danh mc n A l tng gi tr ti sn Le l tng gi tr n i i l s thay i li sut l li sut ban u
Vic phn tch k hn cn c th phn tch k hn cn tnh ton c phn trm thay i ca gi tr ti sn khi li sut thay i. P/P = - D * i (1+i)
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Du m th hin mi quan h ngc chiu gia gi tr th trng v li sut. V d khi Duration ca mt tri phiu bng 3, li sut i = 10%/nm, th P/P = 3*1%/(1+10%) = - 2.7%. iu ny ni ln rng gi tr tri phiu gim 2.7% khi li sut th trng tng ln 1%. Khi li sut th trng bng 9% th gi tr mi ca tri phiu l 102.7$ v khi li sut bng 11% th gi tr mi ca tri phiu l 97.3$. R rng phn tch Duration hu ch trong vic nh gi EVPE tuy nhin n cng c nhng hn ch nht nh. Ngn hng rt kh tm kim cc ti sn v ngun vn c k hn hon vn v k hn hon tr bng nhau trnh tc ng ca ri ro li sut ln EVPE. Bn cnh , mt s khon tin gi ngn hng khng th xc nh chnh xc m hnh lung tin vo do vic tnh ton k hn hon tr kh khn hn. Hn na nu khch hng thanh ton trc hn hoc khng hon tr c n cc lung tin d tnh s khng chnh xc. Ngoi ra li sut thng thay i t t v tc ng khc nhau ln ti sn v ngun vn. Chng ta c th thy rng tc ng ca li sut ln NII v EVPE c th ngc nhau. V th ngn hng cn cn bng gia mc tiu ngn hn v di hn.
c. M phng Simulation M phng l mt qu trnh a ra cc kt qu trong tng lai da trn cc kch bn c th xy ra. M phng l mt qu trnh tng tc nhm mc ch nh gi tc ng ca s thay i li sut ln li nhun v gi tr kinh t ca vn bng cch m phng tng lai ca li sut v tc ng ca chng ln dng tin. N khng phi l m hnh ti u nhng l mt cng c d on nhng kt qu ti chnh khc nhau trong cc kch bn khc nhau. C mt s thut ng khc m t quy trnh m phng nh phn tch nhy cm, phn tch c sock li sut, m phng Monte Carlo. Cc thut ng ny c nhng im tng ng v khc bit song mc tiu u tin ca m phng l nh gi nhng quyt nh chin lc khc nhau. Trng tm l quy trnh nh gi tt c cc mi tng tc. M phng c s dng o lng ri ro li sut. Ngn hng m phng tnh hnh hot ng ca k hoch kinh doanh ca mnh trong cc kch bn li sut khc nhau v nh gi s bin ng xy ra trong NII v cc mc tiu khc. Trong m phng tnh, cc lung tin pht sinh t cc khon mc ni bng v ngoi bng ca ngn hng c nh gi. nh gi cc tnh hung thu nhp, m phng c tnh dng
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tin mt v cc kt qu thu nhp trn mt dng thi gian c th da trn mt hoc nhiu kch bn li sut gi nh. Cc m phng ny nn i thng vo s dch chuyn hoc dc ca ng cong thu thu nhp/ng cong li sut hoc s thay i chnh lch (Spreads) gia cc li sut khc bit. Khi xc nh dng tin m phng, ngn hng tin hnh chit khu dng tin v gi tr hin ti c tnh cc thay i v gi tr kinh t ca ngn hng. Trong cch tip cn m phng nng ng, cc gi nh c xy dng chi tit hn v li sut tng lai v s thay i k vng trong hot ng kinh doanh ca ngn hng. Nhng k thut phc tp hn cho php s tc ng tng tc nng ng ca cc dng thanh ton v li sut, nm c tt hn hiu qu ca la chn gn lin. iu quan trng v quyt nh tnh hu dng ca h thng o lng l tnh hp l ca cc gi nh v tnh chnh xc ca cc phng php s dng trong cc m hnh ri ro li sut. Trong khi thit k h thng o lng ri ro li sut, ngn hng cn m bo mc chi tit v bn cht ca cc yu t nhy cm li sut tng xng vi s phc tp v ri ro vn c ca cc yu t ny. p ng vi mc ch qun l ri ro ngn hng nn kt hp s thay i li sut ln bao hm cc ri ro khc ca ngn hng. Ngn hng nn xem xt s dng nhiu kch bn, gm cc nh hng tim nng trong s thay i mi quan h gia cc li sut (nh ri ro ng cong li sut v ri ro c bn) cng nh s thay i cc mc li sut chung. i vi vic xc nh cc thay i c th xy ra trong cc mc li sut, k thut m phng c th s dng phn tch thng k trong vic nh gi tng quan cc gi nh i vi ri ro c bn v ri ro ng cong li sut. Trong nh gi hiu qu ca h thng o lng ri ro li sut, iu quan trng l: - Cc nh qun l phi hiu r cc gi nh c bn ca h thng; - K thut s dng m phng phc tp nn c s dng mt cch cn thn chng khng tr thnh hp en tc l trong m hnh yu cu n phi chnh xc nhng trong thc t khng phi l chnh xc khi cc gi nh c th v cc thng s c tit l; - Cc gi nh quan trng phi c cng nhn bi cc nh qun l cp cao v cc nh qun l ri ro, ng thi cc gi nh ny cn c nh gi t nht mi nm mt ln; - Cc gi nh c s dng trong nh gi nhy cm li sut ca cc khon mc, cng c phc tp vi thi gian o hn khng chc chn cn phi tun theo cc tiu chun nht nh v cn xem xt li. d. Li nhun ri ro EAR Li nhun ri ro o lng nhy cm ca li nhun ca cc danh mc tch lu khi c s chuyn dch song song ca li sut. Vi cc danh mc c hch ton tch lu, phng php li nhun ri ro c dng o lng phn li nhun c th b nh hng bi s dch chuyn bt li ca li sut. Li nhun ri ro o lng nh hng ca li nhun trc thu tim tng ln danh mc phi kinh doanh (hay cn gi l danh mc tch lu) ti mt khong thi gian xc nh, v vi mt s dch chuyn song song ca li sut. Mc dch chuyn li sut nht nh phi c ALCO thng k v xc nh. i vi cc danh mc khng c options, li nhun ri ro c tnh bng cch nhn khong cch ti nh gi (repricing gap) vi mc dch chuyn li sut nht nh.
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Vic tnh li nhun ri ro c tin hnh cho c giai on 12 thng v cho c thi gian tn ti ca danh mc. Theo thng l, khi ti sn c, ti sn n thng c thi gian tn ti rt di (khng xc nh), li nhun ri ro cho c thi gian tn ti s c tnh trong 5 nm. Bn bc xy dng m hnh EAR nh sau: Xy dng bo co Gap da trn ti inh gi cc ti sn c, ti sn n nh k (c th hng thng, hng qu, hoc hng nm). nh ngha thi gian thanh khon Xc nh s nh hng ca s dch chuyn song song ca ng li Lng ho s nh hng ca cc yu t bin ng ln li nhun tim tng dang n v tin t.
e. Mc cnh bo danh mc tch ly TRAP Mc cnh bo danh mc tch ly - TRAP (Triggers for Accrual Portfolios)- o lng s thay i thc gi tr kinh t ca danh mc tch ly trong sut thi gian t trc ti thi im bo co. TRAP phi c thit lp cho tt c cc danh mc tch ly (Accrual Portfolios). Mi khi mc bo ng b vi phm, trng phng cc b phn kinh doanh ri ro phi thit lp mt k hoch hnh ng qun l danh mc ny cho n khi n quay tr li hn mc cho php. 3.5.2 Kim tra khng hong H thng o lng ri ro ca ngn hng nn h tr cho vic nh gi tc ng ca iu kin th trng khng hong. Kim tra khng hong nn c thit k cung cp thng tin v cc iu kin m cc chin lc hoc trng thi d b tn thng nht, v do c th c thit k nhp cc c tnh ri ro ca ngn hng. Tnh hung khng hong c th bao gm: t ngt thay i mc li sut chung; Thay i trong mi quan h gia li sut th trng ch cht (tc ri ro c bn); Thay i trong dc v hnh dng ca ng cong thu nhp (tc ri ro ng cong thu nhp); Thay i thanh khon trong th trng ti chnh trng im hoc thay i trong s bin ng nhanh ca li sut th trng; iu kin m cc thng s v gi nh kinh doanh chnh b ph v.
Vic kim tra khng hong nn xem xt kch bn trng hp xu nht v thm vo nhiu s kin c th xy ra. Ban lnh o Ngn hng nn nh k xem xt li c vic thit k v kt qu kim tra khng hong v bo m rng k hoch d phng c a ra ph hp. 3.6 H thng thng tin qun l H thng thng tin qun l chnh xc, kp thi v y l iu cn thit cho vic qun l ri ro li sut, gip nh qun l thng bo v h tr vic tun th chnh sch do Hi ng Qun tr
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a ra. Bo co o lng ri ro phi c thc hin thng xuyn v so snh vi cc hn mc c t ra. Ngoi ra d on qu kh hoc c lng ri ro nn so snh vi kt qu thc t xc nh bt k s hn ch ca m hnh. Cc bo co chi tit v ri ro li sut cn c xem xt thng xuyn bi Hi ng Qun tr. Cc bo co ti thiu bao gm: - Tm lc tng th li sut ca ngn hng; - Mc ri ro li sut ca ngn hng; - Bo co chng minh vic tun th cc chnh sch v gii hn; - Cc gi nh chnh, chng hn thng tin hnh vi ngi i vay tr n trc hn hoc hnh vi ca ngi gi tin rt tin trc hn nhm rt ngn hng c th thit lp nhng gi nh v ri ro quyn la chn; - Kt qu kim tra khng hong gm c nh gi s c trong cc gi nh chnh v cc thng s; - Tm tt nhng pht hin ca cc nh gi chnh sch ri ro li sut, tnh y ca h thng o lng ri ro li sut bao gm c nhng pht hin ca kim ton vin ni b hoc bn ngoi hay bt k nhng ngi nh gi c lp khc. 3.7 Kim sot ni b Ngn hng cn c kim sot ni b y m bo tnh ton din ca th tc qun l ri ro li sut. Kim sot ni b ny l mt phn ca h thng kim sot ni b tng th ngn hng. Chng khuyn khch: - Hiu qu v hot ng hiu qu; - Bo co ti chnh ng tin cy v ng quy nh; - Tun th lut php lin quan, quy nh v chnh sch ca t chc. Mt h thng kim sot ni c hiu qu i vi ri ro li sut phi m o rng: - C mi trng kim sot lnh mnh; - Phi c mt qu trnh y xc nh v nh gi ri ro; - C cc hot ng kim sot y nh cc chnh sch, th tc, phng php; - C mt h thng thng tin qun l hiu qu. Ngn hng nn xem xt li chc nng o lng, gim st v kim sot mt cch thng xuyn bi mt bn c lp (nh kim ton ni b hay kim ton bn ngoi). m bo tt c nhng ngi nh gi c lp nm bt cc yu t vt cht ca ri ro li sut, d hot ng pht sinh trong hay ngoi bng cn i k ton. V vy, ngi nh gi nn xem xt cc yu t sau y trong vic a ra nhng nh gi ri ro: - S lng ri ro li sut: khi lng v nhy cm gi ca cc sn phm khc nhau; cc l hng ca cc khon thu nhp v vn theo t l thay i khc nhau, gm ng cong thu nhp;
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vic tip xc cc khon thu nhp v gi tr kinh t di nhiu hnh thc khc ca ri ro li sut, bao gm c ri ro c bn v ri ro quyn la chn. - Cht lng qun l ri ro li sut: h thng o lng ca ngn hng l ph hp vi tnh cht, phm vi v mc phc tp ca ngn hng; ngn hng c n v kim sot ri ro c lp chu trch nhim thit k v qun l chc nng o lng, gim st v kim sot ri ro; Hi ng Qun tr v Ban iu hnh tch cc tham gia vo qu trnh kim sot ri ro; cc chnh sch, kim sot v cc th tc lin quan n qun l ri ro li sut cng l ti liu v cn tun th; gi nh h thng o lng ri ro l ti liu, d liu chnh xc x l, tp hp d liu l ng v ng tin cy; ngn hng c nhn vin tin hnh mt qu trnh qun l ri ro ln. 3.8 Cc bo co Bo co li sut, bo co GAP, bo cc tc ng ca li sut ln NII, bo co EAR v mc cnh bo TRAP. 4. Qun l ri ro t gi 4.1 Gii thiu Ri ro t gi l nhng tc ng tim nng ca cc chuyn ng t gi bt li ln thu nhp v gi tr kinh t. T gi bin ng bt li tc ng ln ti sn c, ti sn n hoc cc khon mc ngoi bng di dng ngoi t khi ngn hng ang c cc trng thi m. Kh nng thu l c th pht sinh do qu trnh nh gi li trng thi ngoi t chuyn sang VN. Trng thi ngoi hi pht sinh t: - S mt cn i v c cu gia ti sn v cng n bng ngoi t; - Kinh doanh ngoi t thng qua giao dch giao ngay, k hn, tng lai v quyn chn; - Trng thi ngoi t ngn hng ang nm gi trong s sch (v d tin gi v cho vay bng ngoi t, cc khon u t tri phiu ngoi t. ); - Tham gia vo cc giao dch phi sinh nh tin gi cu trc, u tc thanh ton bng ngoi t cho mc ch kinh doanh hoc bo him ri ro. Ri ro t gi c xt trn hai kha cnh sau: - Ri ro do giao dch: xut hin khi t gi thay i gia thi gian ngha v pht sinh (ngy giao dch - trade date) v thi gian thanh ton (tc ngy hiu lc - value date) do nh hng ti dng tin thc t. - Ri ro do yu t kinh t: phn nh s thay i gi tr hin ti ca dng tin tng lai ca ngn hng do s thay i t gi bt ng/khng d on c. 4.2. Gim st ca Hi ng qun tr v Ban iu hnh Hi ng Qun tr v Ban iu hnh chu trch nhim cui cng v tnh cht v mc ri ro t gi ca ngn hng v qun l n. Trch nhim ca Hi ng Qun tr v Ban iu hnh gm: Xy dng chin lc qun l ri ro t gi v mc chp nhn ri ro;
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m bo c h thng qun l ri ro v kim sot ni b hiu qu; Gim st cc giao dch ngoi t ln; m bo rng hot ng ngoi hi ca ngn hng tun th cc quy nh kim sot ngoi hi ca Nh nc v ca ngn hng; Xem xt li cc chnh sch, th tc v cc gii hn ph hp vi nhng thay i trong mi trng kinh t. 4.3 Chin lc i vi hot ng t gi Ngn hng xy dng chin lc i vi ri ro ngoi hi trong phn nh mc chp nhn cc ri ro lin quan n hot ng ngoi hi v a ra ph duyt v: Cc hot ng ngoi hi ngn hng tham gia v mc ch ca hot ng ; Cc loi tin t v cc sn phm ngoi hi ngn hng giao dch. Mi phng ban trong ngn hng thc hin cc hot ng lin quan n ngoi hi u cn nhn thc y v chin lc hot ng ngoi hi ca ngn hng. 4.4 Chnh sch, quy trnh v hn mc 4.4.1 Chnh sch v quy trnh Ngn hng cn c cc vn bn v chnh sch, th tc cho vic xc nh, o lng v kim sot ri ro t gi. Cc chnh sch v th tc phi ph hp vi chin lc ca ngn hng, iu kin ti chnh v mc chp nhn ri ro ca ngn hng. Cc chnh sch v th tc cn c b sung vo cc quy inh v o c v cc tiu chun thit lp cho cc nhn vin tham gia vo cc giao dch ngoi hi. Cc chnh sch v th tc nn: Xc nh quyn hn v trch nhim cc c nhn hay y ban v pht trin chin lc qun l ri ro t gi , a ra cc quyt nh qun l ri t gi v tin hnh gim st; a ra cc hnh vi, nguyn tc ng x trong phng kinh doanh; Xc nh thm quyn v cc loi cng c ti chnh v chin lc phng chng/bo him ri ro; M t tp hp cc bin php cho kim sot tng th ri ro; Xc nh gii hn mc chp nhn ri ro t gi ca ngn hng, gm c gii hn v loi tin t, i tc, nhn vin kinh doanh (dealer), gii hn giao dch, gii hn ngng l. Xc nh cc th tc v iu kin cho cc giao dch ngoi l.
4.4.2 Hn mc Ngn hng cn tun th cc gii hn v ngoi t theo quy nh v qun l ngoi hi ca ngn hng nh nc. V d ti Vit Nam l Quyt nh 18/1998/Q-NHNN quy nh trng thi ca ng USD v tng trng thi ca tt c cc ngoi t.
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i vi cc hn mc cho ngn hng mnh, ngn hng cn c ti thiu cc gii hn sau cho hot ng ngoi hi: Cc gii hn cho tng loi tin t, c qua m ln hn mc trong ngy ti hi s chnh v ti cc chi nhnh/phng giao dch; Cc hn mc cho giao dch vin, cho mi giao dch v cho tng i tc; Gii hn dng l v gii hn cnh bo MAT; Cc hn mc yu t nhy cm v hn mc VaR. Cc gii hn trn cn c xem xt t nht mi nm mt ln hoc thng xuyn hn, ph hp vi nhng thay i ca th trng v qu trnh iu hnh. 4.5 o lng v kim sot 4.5.1 o lng v gim st ri ro
Ngn hng phi c h thng o lng v a vo ti khon tt c cc ngun ca ri ro t gi. H thng cn nh gi c cc thay i ca t gi ti li nhun v gi tr kinh t ca ngn hng. H thng o lng nn: nh gi tt c cc ri ro ngoi hi k hn pht sinh t TSC, TSN v cc khon mc ngoi bng; S dng cc m hnh ti chnh hoc cc phng php o ri ro quyn chn ngoi t; Tnh ton cc yu t nhy cm cho mc ch nm gi trng thi ngoi t; D liu chnh xc v kp thi; nh gi theo gi tr th trng hng ngy; Cho php ngn hng gim st ri ro thanh ton ngoi t ca mnh trong thi gian thc m bo rng cc gii hn thanh ton khng b vt. a. Kim tra tnh hp l ca gi v nh gi theo gi tr th trng b. VaR (gi tr ri ro) VaR o khon tn tht ti a v gi tr th trng ca danh mc u t vi tin cy cho trc. VaR c tnh theo n v tin t hoc n v phn trm danh mc nm gi. L phng php xc xut ca vic o lng tn tht tim n trong gi tr danh mc u t trong khong thi gian v trong mt tin cy cho trc. Thc o VaR c s dng bi cc nh qun l cho ri ro th trng l tn tht trn s sch kinh doanh c th k vng xut hin trong khong 10 ngy vi tin cy 1%. V d, VaR bng 1 triu USD ngha l ngn hng 99% tin tng rng khng c tn tht no ln hn 1 triu USD trong khong thi gian 10 ngy. VaR c th tnh theo cng thc sau: VaR(x%) = Zx% *
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Vi VaR (x%) = x% gi tr xc sut ri ro; Zx% = gi tr ti hn Z; = lch chun ca thu nhp hng ngy trn c s c s phn trm VaR (x%) c s la = VaR(x%) c s thp phn * gi tr cng c ti chnh Chuyn i thi gian i vi VaR VaR(x%) = VaR (x%)1 ngy * J^(1/2) VaR ngy l 1 ngy, VaR tun l 5 ngy, VaR thng 20 ngy, VaR bn nin l 125 ngy; VaR nm l 250 ngy. V d cho VaR(10%) hng ngy theo c s USD l 12500$. Vic o lng VaR trong ri ro t gi gm cc phn sau: Yu t nhy cm - factor of sensibility: l thay i gi tr ca mt cng c hay danh mc cc cng c ti chnh/trng thi khi t gi thay i, vi iu kin cc yu t th trng khc khc l c nh. V d, trong trng hp bin thin t gi USD/VND, mt n v bin thin l 1% tng gi ca USD so vi VND bin ng volatility: hay l s dch chuyn c th ca yu t th trng trong khong thi gian thanh khon. bin ng c nh gi trn c s d liu qu kh trong 3 nm gn thi gian nghin cu nht. N thng c biu hin di dng lch chun theo nm. Thi gian thanh khon defeasance period: l khong thi gian thanh ton hay ng cc trng thi ri ro. Danh mc kinh doanh thng c thi gian thanh khon l 1 ngy. Thi gian thanh khon phi do U ban ALCO ng thng qua. VAR = MV* VOL * Zx* DP Trong : MV l gi tr ca cng c ti chnh VOL bin ng hng ngy (cch i t VOL hng nm ra VOL hng ngy, VOL hng ngy = VOL hng nm/s ngy) DP l thi gian thanh khon Zx l gi tr ca tin cy ng xc xut x% c. Cnh bo MAT (Management Action Triggers) 4.5.2 Kim tra khng hong 4.5.3 Gim st v kim sot ri ro
4.6 Kim sot ni b v kim ton c lp
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Kim sot ni b phi m bo khng cho php nhng ngi chu trch nhim thc hin cc giao dch hi oi c ng thi thc hin cc chc nng nh thc hin chi tr, i chiu xc nhn giao dch vo v ra, i chiu cc khon tin gi bng ngoi t ca cc ngn hng khc, v lp bo co qun l. Cn c s phn cng trch nhim r rng gia hai b phn giao dch (Front Office) v h tr (Back Office). ng thi, ngn hng phi tin hnh nh gi nh k kim sot ni b v th tc qun l ri ro t gi m bo rng tnh ton vn, chnh xc v hp l. N cn c tin hnh bi cc bn c lp v mt chc nng. Vic nh gi cn m bo: - chnh xc v y ca cc ghi m cho tt c cc giao dch; - Hiu qu ca s phn bit gia cc chc nng kinh doanh, thanh ton v k ton; - Hiu qu v tnh chnh xc ca cc bo co v gii hn v ngoi l. S ch c bit cn c xem xt khi c s bt thng trong li nhun v thit hi, giao dch v xu hng bt thng v cc trng hp vt hn mc. Kim ton ni b phi m bo rng s c nh vy l ng v c s thng qua ca lnh o cp cao. Bt c cc vn lin quan n kim sot ti b phn kinh doanh cn c bo ng thch hp v kp thi cho lnh o cp cao. Ngn hng cn phi kp thi pht hin bt k nhng hnh vi vi phm lin quan n cc quy nh v m bo rng c cc y th tc cho cc im yu hay bt thng c nghi nhn vi chc nng kim sot ri ro, kim ton vin ni b hay bn ngoi.
4.7 Cc bo co ri ro Cc bo co sau cn c ngn hng thc hin: Kim tra tnh hp l ca gi; Bo co trng thi ngoi hi c ni bng v ngoi bng ; Bo co li l hot ng kinh doanh ngoi hi; Bo co tnh hnh chp hnh hn mc; Bo co yu t nhy cm t gi; Bo co Var; Bo co cnh bo MAT; Cc bo co khc pht sinh.
5. Qun l ri ro gi 5.1 Gii thiu Ri ro gi l ri ro ngn hng c th gp tn tht do s chuyn ng bt li trong gi c th trng. N pht sinh t s bin ng ca mt trong bn yu t th trng c bn nh nhy cm li sut ca chng khon n, c phn, tin t v hng ha.
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S bin ng ca cc yu t th trng ny lm cho gi tr th trng ca cc cng c ti chnh m ngn hng nm gi b nh hng, bao gm c cc cng c ti chnh ni bng v ngoi bng. S thay i gi c phiu, hng ha v cc cng c ti chnh khc to ra ri ro gi v gy ra cc khon thit hi tim nng cho ngn hng. C nhiu yu t nh hng ti ri ro gi nh tnh thanh khon ca th trng, ri ro hi oi i vi cc ti sn ngoi t, ri ro quc gia Trong phm vi ca ri ro gi c nghin cu y chng ta xt i vi chng khon, hng ha v cc cng c phi sinh. 5.2 Gim st ca Hi ng qun tr v Ban iu hnh Hi ng qun tr v Ban iu hnh chu trch nhim cui cung v cc ri ro gi v mc chp nhn ri ro gi ca ngn hng. a ra chin lc qun l ri ro gi; Xem xt v a ra chnh sch v th tc qun l ri ro gi da trn kin ngh ca lnh o b phn qun l ri ro; Xem xt v ph duyt cc th tc o lng, gim st v kim sot ri ro gi; nh k xem xt v ph duyt hn mc ri ro gi ph hp vi s thay i trong chin lc ca ngn hng, cc sn phm mi v nhng thay i trong iu kin th trng; m bo rng lnh o b phn qun l ri ro c thm quyn v c kh nng qun l cc ri ro gi c th pht sinh t nhng thay i trong mi trng cnh tranh hoc t cc hot ng th trng. 5.3 Chin lc qun l ri ro gi 5.4 Chnh sch, th tc v hn mc 5.4.1 Chnh sch v th tc 5.4.2 Hn mc 5.5 o lng v gim st 5.5.1 Kim tra tnh hp l ca gi v nh gi theo gi tr th trng 5.5.2 Gi tr ri ro - VaR VaR Value at Risk, gi tr ri ro th hin gi tr tn tht ti a i vi mt xc sut cho trc (gi l tin cy) trong mt khong thi gian nht nh. y l cng c dng nh lng ri ro song n khng cung cp bt c thng tin g v mc nghim trng trong trng hp tn tht thc t ln hn Var. VaR c 3 tham s: Khung thi gian (thi k) lin quan n khong thi gian m t chc ti chnh cam kt s duy tr danh mc ca mnh, hoc lin quan n khong thi gian cn thit thanh l ti sn. Khung thi gian in hnh thng l 1 ngy, 10 ngy hay 1 nm. Khung
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thi gian 10 ngy c s dng tnh ton vn theo Ch th v mc an ton vn ca y ban Chu u (CAD) v tha c vn Basel 2 i vi ri ro th trng, cn khung thi gian 1 nm th s dng cho ri ro tn dng. tin cy l gi tr c tnh cc khong thi gian, trong VaR c k vng s khng vt qu mc tn tht ti a. Cc tin cy thng c s dng l 99% v 95%. tin cy khng phi l cc ch s th hin xc sut. Gi tr ri ro c xc nh bng n v tin t. tnh gi tr ri ro cn tnh lch chun , y cng l mt cng c o lng ri ro v gi. 5.5.3 H s beta y l ch s quan trng o lng ri ro ca mt ti sn so vi th trng. Beta c tnh v s dng rng ri, m hnh CAPM trong Beta l h s cho bit mc ri ro ca ti sn. Ngoi ra c th s dng beta ca c danh mc v yu t tng quan ca danh mc u t. Nhng d liu ny c tnh ton theo qun l danh mc u t. 5.5.4 Mc cnh bo MAT (Management Action Trigger) Ngoi cc cng c trn c th s dng thm cc cng c v kim tra khng hong o lng ri ro gi. gim thiu ri ro c th s dng kt hp cc cng c ti chnh phi sinh khc nh hp ng quyn chn, hp ng k hn 5.6 H thng thng tin qun l 5.7 Kim sot v kim ton ni b Kim sot v kim ton ni b nn nh k xem xt nh gi li quy trnh qun l ri ro gi. N m bo nh qun l quan st c chnh sch, th tc qun l ri ro gi v cc th tc k ton cn thit chnh xc v y . 5.8 Cc bo co Bo co phn tch nh gi u t; Bo co c cu danh mc u t; Bo co tun th hn mc; Bo co kim tra tnh hp l ca gi v nh gi theo gi tr th trng; Bo co gi tr cc cng c phi sinh (nu cn); Bo co Var danh mc u t; Bo co cnh bo MAT; Cc bo co pht sinh khc.
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6. Qun l ri ro hot ng 6.1 Gii thiu Ri ro hot ng l ri ro/nguy c tn tht do thiu hoc li cc quy trnh ni b, con ngi, h thng v cc s kin bn ngoi. Ton cu ha, cng vi s i mi ti chnh tng ln ang lm cho cc hot ng ca ngn hng cha ng nhiu ri ro v mc phc tp hn. Phm vi v thi gian xy ra nhng ri ro hot ng rt rng ln. Ri ro hot ng l ri ro gy ra nhng khon l ln nht trong th trng quc t. Cc thng l tt nht ngy cng ch trng ti vic nh lng ri ro hot ng kh nng xy ra mt s kin v tc ng ti chnh ca s kin . Do ri ro hot ng c th tng ln cng vi mc phc tp trong hot ng ca ngn hng, vic p dng khung qun l ri ro nhm qun l cc ri ro ny l rt quan trng. Cc s kin ri ro hot ng c kh nng dn n thit hi ng k bao gm: - Gian ln ni b, v d nh c trm cp, c bo co sai trng thi, kinh doanh ni b trn ti khon ring; - Gian ln bn ngoi nh cp ti sn, gi mo, thit hi t hack my tnh; - Hot ng ni lm vic nh cng nhn i bi thng thit hi, vi phm cc quy tc an ton, tuyn b phn bit i x - Khch hng, sn phm v thc tin kinh doanh nh y thc vi phm, lm dng thng tin khch hng, ra tin, bn cc sn phm tri php - Thit hi v ti sn vt l nh khng b, ph hoi, ng t, ha hon, l lt - Gin on kinh doanh v tht bi ca h thng nh phn cng v phn mm tht bi, cc vn vic thng, - Thc hin, phn phi v qun l quy trnh nh d liu nhp cnh, qun l ti sn th chp tht bi. 6.2 Gim st ca Hi ng qun tr v Ban iu hnh Hi ng qun tr v Ban iu hnh chu trch nhim cho vic to vn ha t chc u tin cao v hiu qu qun l ri ro hot ng v kim sot hot ng lnh mnh. Hot ng qun l ri ro c coi l hiu qu nht khi vn ha ngn hng nhn mnh cc tiu chun cao v hnh vi o c mi cp ca ngn hng. Hi ng qun tr v Ban iu hnh cn phi thc y nn vn ha ring ca ngn hng thng qua cc hnh ng v li ni ca tt c nhn vin trong vic iu hnh kinh doanh. Hi ng qun tr Hi ng Qun tr phi nhn thc c cc kha cnh chnh ri ro hot ng ca ngn hng, nh k xem xt nh gi li khung qun l ri ro hot ng. Khun kh ny nn cung cp mt cch ton din nh ngha v ri ro hot ng v nguyn tc ca ri ro hot ng, trong c xc nh, nh gi, gim st v kim sot/gim nh ri ro hot ng. Hi ng Qun tr c trch nhim cui cng v mc ri ro hot ng c thc hin bi ngn hng. Hi ng Qun tr tuyn dng cc nh qun l cp cao v ph duyt cc chnh sch tng ng c pht trin bi qun l cp cao.
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Hi ng Qun tr c trch nhim thit lp mt c cu qun l thc hin qun l ri ro hot ng. ng thi thit lp r rng trch nhim qun l, trch nhim v bo co. Hi ng Qun tr nn xem xt li thng xuyn khun kh qun l ri ro hot ng nh gi sn phm mi, hot ng v h thng. V cui cng h phi ph bin cc chnh sch v qun tr ri ro hot ng ti ton b nhn vin v xy dng vn ha kim sot ri ro trong ngn hng ca mnh. Ban iu hnh Ban iu hnh c trch nhim trong vic thc hin khun kh qun l ri ro hot ng c chp thun bi Hi ng Qun tr. Khun kh ny cn c thc hin nht qun trong ton b ngn hng, v tt c cc nhn vin nu hiu trch nhim ca h i vi qun l ri ro hot ng. Ban iu hnh cng c trch nhim cho vic pht trin cc chnh sch, quy trnh, th tc qun l ri ro hot ng cho tt c cc sn phm, cc hot ng, cc quy trnh v h thng. Qun l ngn hng nn dch khun kh qun l ri ro hot ng c thit lp bi Hi ng Qun tr vo cc chnh sch c th, quy trnh v th tc; th tc c th c thc hin v kim tra bn trong cc n v kinh doanh khc nhau. Ban iu hnh nn quy nh r rng thm quyn, trch nhim v bo c mi quan h duy tr v khuyn khch trch nhim ny v m bo rng cc ngun lc cn thit c sn qun l ri ro hot ng c hiu qu. Ban iu hnh phi m bo rng hot ng ny c thc hin bi i ng nhn vin c trnh , kinh nghim cn thit v kh nng k thut. ng thi m bo trch nhim nhn vin gim st v thc thi tun th cc chnh sch ri ro ca ngn hng phi c thm quyn c lp vi cc n v. Ban iu hnh cn m bo rng chnh sch qun l ri ro hot ng c ph bin/ truyn t ti tt c cc nhn vin tt cc cc cp trong cc n v ton h thng. 6.3 Chin lc qun l ri ro hot ng Chin lc qun l ri ro hot ng ca ngn hng cn a ra nhng hng dn r rng v: Nhn din cc ri ro hot ng ch yu: trong giai on pht trin v ti c cu, mt s ri ro hot ng nht nh s c tm quan trng hn cc ri ro khc. V d, ti c cu t chc v nhn s d gy ra nhng sai st ca nhn vin hn trong giai on thay i ban u. Tng t, nhng sai st trong k thut ca mt phn mm c th nhiu hn trong giai on th nghim. Mc ri ro hot ng m ngn hng c th chp nhn (khu v ri ro vn hnh): Ri ro hot ng c th c o lng bng cch s dng phng php nh gi nh tnh nh xp hng ca kim ton ni b, d liu v khi lng hot ng, mc quay vng v t l sai st quyt nh mc ri ro c th chp nhn. Nhng tn tht nh trong hot ng, nh nhng tn tht do li thng thng, khng thng xuyn ca con ngi l rt ph bin i vi nhiu doanh nghip, v chi ph gim st v gim thiu cc li c th ln hn so vi khon tn tht m cc li gy ra. Ngc li, nhng ri ro hot ng ln vi xc sut nh nhng nh hng nghim trng cn c ch hn. 6.4 Chnh sch v th tc Cc chnh sch cn bao gm:
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Cc chin lc c a ra bi Hi ng Qun tr; H thng v th tc xy dng khung qun l ri ro hot ng hiu qu; Chc nng ca c cu qun l ri ro hot ng, vai tr v trch nhim ca cc c nhn lin quan. Cc chnh sch phi thit lp mt quy trnh m bo rng bt k hot ng mi hoc thay i, chng hn nh cc sn phm mi hoc cc h thng chuyn i, s c nh gi ri ro trc khi i vo hot ng trc tuyn. N phi c s chp thun ca Hi ng Qun tr bng vn bn. Cc chnh sch cn c xem xt v cp nht thng xuyn, m bo n vn tip tc phn nh mi trng hot ng ca t chc.
6.5 Xc nh, nh gi, gim st, kim sot 6.5.1 Xc nh ri ro Ngn hng nn xc nh v nh gi ri ro hot ng vn c trong tt c cc sn phm, hot ng, quy trnh h thng. Xc nh ri ro c vai tr quan trng cho s pht trin ca h thng gim st v kim sot ri ro hot ng y . Nhn dng ri ro hiu qu cn xem xt c yu t ni b (nh c cu t chc, bn cht hot ng, cht lng ngun nhn lc) v cc yu t bn ngoi (nh thay i trong ngnh cng ngh, ti phm, thin tai). C th cc nguyn nhn gy ra ri ro gm: Ri ro do con ngi (gian ln ni b, cc hot ng khng theo thm quyn,....); Ri ro do quy trnh (li quy trnh, h thng kim sot ni b, h thng bo co khng hiu qu hay c li); H thng (h thng thng tin phn cng, phn mm, mng,....); Cc yu t bn ngoi (ti phm, thin tai, ....).
6.5.2 Cc cng c nh gi ri ro T nh gi Ngn hng nh gi hot ng ca mnh nhm xc nh cc l hng tim nng trong hot ng. Qu trnh ny hng ni v thng kt hp cc bng kim mc v/hoc hi tho xc nh cc im mnh v im yu ca mi trng ri ro hot ng. Bn ri ro Trong qu trnh ny, cc n v kinh doanh khc nhau, cc chc nng t chc v dng quy trnh l bn ca cc loi ri ro. iu ny c th pht hin cc khu vc yu v hnh ng u tin gip qun l sau ny Cc ch s ri ro: cc ch s thng k/s liu thng v ti chnh cung cp ci nhn su sc v ri ro ca ngn hng. Xu hng ca nhng ch s ny c xem xt trn c s nh k cnh bo ngn hng cc thay i ch s ri ro quan tm. Ch s ny c th bao gm s ln giao dch li, tn s nhn vin v/hoc mc nghim trng ca cc sai st v thiu st. Cc ngng/gii hn c th c gn lin vi nhng ch s ny, khi b vt qu phi tin hnh cnh bo.
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o lng Mt s trng hp nh lng ri ro hot ng ca h bng mt lot cc phng php tip cn. V d, mt mt d liu trn kinh nghim lch s ca mt t chc c th cung cp thng tin y ngha nh gi ri ro hot ng v pht trin chnh sch gim thiu/kim sot ri ro. Mt cch c hiu qu l tn dng nhng thng tin ny thit lp mt khun kh c h thng theo di v ghi m tn s, mc nghim trng v thng tin lin quan khc v v s kin mt mt c nhn. Ngn hng c th kt hp d liu ni b mt vi d liu t bn ngoi (cc t chc khc), phn tch kch bn v cc yu t nh gi ri ro. 6.5.3 Gim st v kim sot Gim st ri ro Ngn hng nn thc hin thng xuyn qu trnh gim st cu hnh ri ro hot ng v ri ro tip xc c bn. ng thi nn bo co thng xuyn thng tin cn thit cho ban lnh o h tr qun l ch ng ri ro hot ng. Mt qu trnh gim st hiu qu l cn thit cho hot ng qun l ri ro y . Hot ng gim st c th nhanh chng pht hin v sa cha thiu st trong cc chnh sch, th tc, quy trnh qun l ri ro hot ng. Kp thi pht hin v nu ra nhng thiu st c th lm gim ng k tn s v/hoc mc nghim trng ca mt s kin mt mt. Ngoi vic theo di cc s kin hot ng l, ngn hng nn xc nh cc ch s thch hp cnh bo sm nguy c gia tng thua l trong tng lai. Cc ch s nh vy cn c nghin cu xy dng v c th phn nh c mc ri ro hot ng nh tng trng nhanh chng, gii thiu sn phm mi, doanh thu ca nhn vin, ngh giao dch, thi gian cht ca h thng. Ban iu hnh c cung cp cc bo co thng xuyn t cc n v kinh doanh, nhm chc nng nng, b phn qun l ri ro hot ng v kim ton ni b. Cc bo co ri ro hot ng nn cha d liu ni b v ti chnh, v tnh tun th, thng tin th trng bn ngoi v cc s kin v iu kin c lin quan. Bo co c cung cp n ng a ch cc cp qun l thch hp. Bo co nn phn nh bt c vng xc nh c vn v nn khuyn khch kp thi hnh ng sa sai cc vn ni bt. m bo tnh hu dng v tin cy ca cc bo co ri ro, bo co kim ton, nh qun l nn thng xuyn kim tra kp thi, chnh xc v s lin quan ca cc h thng bo co v kim sot ni b ni chung. Ngoi ra cc bo co bn ngoi cng l mt ngun nh gi tnh hu dng v tin cy ca cc bo co ni b. Bo co phi c phn tch nhm nng cao hiu qu qun l ri ro cng nh pht trin cc chnh sch qun l ri ro mi, th tc v thc hnh. Kim sot ri ro/gim nh Ngn hng cn chnh sch, quy trnh v th tc kim sot v/hoc gim thiu ri ro hot ng c bn. Ngn hng cng nn xem xt li nh k chin lc kim sot v gii hn ri ro v iu chnh ri ro hot ng bng cch s dng chin lc thch hp. Cc hot ng kim sot c thit k gii quyt cc ri ro hot ng c xc nh. i vi nhng ri ro hot ng c xc nh, ngn hng quyt nh quy trnh thch hp kim sot v/hoc loi tr ri ro, hoc chu ng ri ro. i vi nhng ri ro m ngn hng khng kim sot c, ngn hng nn quyt nh c chp nhn nhng ri ro, gim bt mc hot ng kinh doanh lin quan hoc rt khi hot ng ny hon ton.
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i vi cc hot ng quan trng, ngn hng c th cn phi xem xt k hoch d phng, c bit l k hoch tip tc kinh doanh bao gm c s sn c ca bn ngoi v cc chi ph, ngun lc cn thit. Ngn hng c th s dng cc cng c gim thiu ri ro nhng khng phi l thay th triu kim sot ri ro hot ng. Ngoi ra, u t vo cng ngh x l thch hp v an ninh cng ngh gim thiu ri ro hot ng. Cc quy trnh v kim sot ca h thng cng ngh thng tin gip m bo an ton h thng v bo mt thng tin c s d liu Tnh tin cy, ton vn v sn c ca d liu t my gi vai tr quan trng trong hot ng thng nht ca ngn hng. Ngn hng hot ng trong mt mi trng cng ngh thng tin phc tp. Mi trng ny, cng vi nhng mc tiu pht trin hin ti v tng lai, lm tng thm tnh phc tp trong h thng qun l thng tin ca ngn hng. Trn quan im , ngn hng cn xy dng cc mc tiu v chin lc c th v chc nng ca h thng cng ngh thng tin. Trong chin lc cng ngh thng tin ny, nhng vn sau cn c ch trng do nh hng quan trng ca chng i vi vic qun l ri ro hot ng: - Phng php tip cn c t chc i vi vic trin khai cc h thng mi nhm gim bt ri ro v sai st c th c nhng phn mm mi hay do h thng mi khng p ng c yu cu s dng. Cm nang hng dn s dng v cc ti liu o to l rt quan trng m bo ngi s dng hiu ng h thng mnh ang s dng nhm gim ri ro sai st. - Vn bn v cc chnh sch v quy trnh v bo m an ton v qun l h thng thng tin bao gm cc yu cu c bn nh: Nhn dng, xc thc, kim sot quyn truy cp, bo mt, m ho, qun l bo mt v kim sot viruts. Vic ny lin quan n c an ton vt l ca h thng thng tin ti Trung tm d liu v cc chi nhnh v an ton v mt logic nh s dng mt khu, tng la cho nghip v ngn hng in t. - K hoch phc hi thm ha cn c thit lp vi cc chnh sch v quy trnh chi tit phc hi trong trng hp thm ho c th gy nh hng ti hot ng ca Trung tm d liu hay nh hng ti ton b h thng ngn hng. K hoch phc hi thm ha cn bao gm tt c nhng bc cn thit phc hi hot ng v kh nng truy cp vo h thng hot ng mt cch kp thi. K hoch ny cn c th nghim 6 thng mt ln m bo tnh hiu qu v thc thi v c th cp nht khi mi trng thay i. Bn sao ca k hoch ny cn c lu tr ni ring bit v phn pht cho cc nhn vin ch cht trong tt c cc phng ban lin quan. Cc quy trnh m bo an ton v bo him cn thit i vi ti sn c nh Cc tn tht v ti chnh c th xy ra do hng hc, mt trm hay mt mt khc v ti sn hu hnh c gi tr ln thuc s hu ca ngn hng (hay ngn hng gi h khch hng). Cc tn tht ny cn c gim thiu qua cc quy trnh nh m t di y: - Bo qun v vt cht i vi cc ti sn c gi tr ln nh tin mt v vng ti Ngn hng v trong qu trnh vn chuyn gia cc a im; - Nh ca, thit b cn c bo him chy n, mt cp,... - Quy trnh mua hng ho v dch v cho mc ch s dng ca ngn hng cn m bo hng ho v dch v t cht lng yu cu v vic mua bn c tin hnh trn vi cc iu khon thng mi thng thng. u thu cnh tranh gip ngn hng m bo nhn c hng ho v dch v trong trao i ngang gi. Hng gi ch s dng cn c bo qun hp l.
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Cc chnh sch nhn s nhm to lp trch nhim ca nhn vin v mi trng lm vic lnh mnh khuyn khch nhn vin lm vic phc v cho li ch ngn hng, cc chnh sch nhn s sau y cn c cn nhc: - C ch tin lng cn phi nht qun vi mc ch ca ngn hng. Khng nn c chnh sch tin lng chp nhn cc hnh vi sai tri, nh to thu nhp ngn hn i ngc li chnh sch hay vt qu hn mc cho php, v cc chnh sch nh vy c th lm gim tnh chnh trc ca hot ng kinh doanh ngn hng. - Mc tiu hot ng r rng v nh gi hiu qu cng vic: C ch b nhim, thng pht hiu qu; Cc chnh sch v ngh nghip, phc li, o to cho nhn vin; Quan h lm vic chuyn nghip v lnh mnh trn c s tn trng ln nhau gia cc nhn vin. Trao i c hiu qu gia ngn hng v nhn vin X l cc vn ca nhn vin mt cch c h thng v hp l trn c s quy
nh. Mt h thng pht trin v nh gi nhn lc l cng c quan trng i) hng mc tiu ca nhn vic theo mc ch v chin lc ca ngn hng, v ii)pht trin nhn lc thng xuyn da trn phn hi t cng tc ca nhn vin. H thng ny bao gm hai yu t: - t mc tiu ca mi c nhn kt hp cht ch vi cc yu t chin lc ca ngn hng vo u mi giai on nh gi; v - Tin hnh nh gi v phn hi v cng tc ca cc nhn vin vo cui mi k. Cc mc tiu ca c nhn phi SMART, t vit tt cho Specific c th, Measurale c th o lng, Achivable c th t c, Relevant Hp l v Time-frame- nh mc thi gian. Khi ra cc mc tiu ny, chng cn c thng nht gia nhn vin v ngi ph trch. Vic nh gi nh k v cng tc ca nhn vin cn c trao i vi nhn vin, bao gm c quan h gia vic nh gi vi lng bng ca nhn vin . H thng nh gi v pht trin nhn s cn c ngh khen thng cho nhn vin cng tc tt. nht qun vi c cu v hot ng ca ngn hng, chi tit ca h thng ny cn c thit lp v theo di bi Phng nhn s.
6.6 Kim sot ni b Cc nguyn tc chnh H thng kim sot ni b nn c thnh lp m bo y cc khun kh qun l ri ro v tun th cc quy nh, chnh sch lin quan n h thng qun l ri ro. Cc nguyn tc chnh gm: Cp cao nht nh gi s tin b ca ngn hng hng t mc tiu c nu; Kim tra s tun th v kim sot qun l; Cc chnh sch, quy trnh v th tc lin quan n vic xem xt, x l v gii quyt vn khng tun th; H thng ti liu v chp thun y quyn m bo trch nhim n mt mc ph hp ca qun l.
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Mc d mt khun kh chnh thc cc chnh sch bng vn bn l rt quan trng nhng n cn phi c tng cng vn ha kim sot ri ro, khuyn khch qun l ri ro t cc nhn vin, c th thng qua hm th gp , phn nh bng ming, th ln lnh o qun l ngn hng. C Hi ng Qun tr v Ban iu hnh chu trch nhim thit lp vn ha kim sot ni b vng mnh, trong cc hot ng kim sot l mt phn khng th tc ri cc hot ng thng xuyn ca ngn hng. iu ny c th cho php nhanh chng phn ng vi cc iu kin thay i v trnh nhng chi ph khng cn thit cho ngn hng. Hi ng Qun tr phi m bo s c lp ca kim ton c duy tr trong vic gim st khun kh hot ng qun l ri ro. Chc nng kim ton c th cung cp u vo c gi tr cho nhng ngi chu trch nhim qun l ri ro hot ng nhng khng nn t n c trch nhim qun l trc tip ri ro hot ng. Cc k thut kim sot ni b Nhng k thut c bn trong kim sot ni b bao gm tch bit cc chc nng, kim tra cc giao dch, duy tr h s giao dch, o to v cung cp cc cng c phng nga v cc cng c hnh chnh khc. - Tch bit cc chc nng l cng c c bn nht thit lp h thng kim sot ni b. N thit lp cc thang bc thm quyn, trch nhim c phn cng hp l v c nh. - Cc giao dch c th c kim tra trc hoc sau khi thc hin. Vic kim tra trc gip ngn nga nhng giao dch khng hp l hay khng c ph duyt chng no ngi kim sot nhn c cc giao dch . Vic kim tra sau khng th ngn nga c nhng giao dch khng c ph duyt nhng c th pht hin c chng. V d, vic kim tra i chiu s d ngn hng c th gip pht hin vic s dng ti khon khng theo ph duyt. Tuy nhin, vic kim tra ch c th c hiu qu khi c tin hnh mt cch cn trng v ton din pht hin c nhng sai st v ngi tin hnh kim tra phi c lp vi ngi thc hin cc hot ng c kim tra. - Duy tr h s giao dch ng vai tr quan trng c h thng kim sot ni b tt. Cc h s ny gip cho vic xem xt kim tra cc giao dch, h tr cng vic ca kim ton ni b v kim ton c lp v l c s cho cc thng tin bo co ca ngn hng. - Cung cp cc cng c bo v nh kt gi tin, kho lu tr an ton, ca c kho v my camera. Nhng cng c ny ngn nga cc hot ng v giao dch khng c php v nn c s dng mi lc v ni c th. - Cung cp cc cng c kim sot hnh chnh ni b bng cch gim bt nhng li do v khi ghi chp cc giao dch. Cc cng c kim sot ny bao gm cc cng c my mc, nh my tnh, my m tin cng nh nhng cng c khng dng my nh h thng s sch ghi chp kp v tnh tng c lp. 6.7 Cc bo co Cc bo co pht hin ca kim sot ni b, do kim ton ni b v kim ton c lp hay thanh tra NHNN tin hnh; Bo co d liu v t l li trong x l thng tin da trn khi lng giao dch;
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Bo co s ln h thng thng tin (hay b phn ca h thng) b ngng hot ng trong thng; Bo co nhng tn tht khng c bo him v mt mt hay hng hc ti sn.
7. Qun l ri ro danh ting 7.1 Gii thiu Ri ro danh ting l nguy c ph nh cng khai v thc tin kinh doanh ca ngn hng, cho d ng hay khng, gy ra s st gim v khch hng, chi ph kin tng hoc gim doanh thu, thu nhp ca ngn hng v quan nim khng tt ca cng chng v ngn hng. Ri ro danh ting c th ni ln mi cp kinh doanh v gm nhng thnh phn chnh: - Ri ro danh ting ca ngn hng lin quan n hiu qu, chin lc, thc hin v cung cp dch v ca ngn hng; - Ri ro lin quan ti hot ng v kinh doanh ni m mt hot ng, hnh ng, hoc lp trng ca ngn hng hoc bt k chi nhnh ca n hay chnh n s lm gim hnh nh ca mnh vi mt hoc nhiu bn lin quan ca n dn n tn tht kinh doanh, v/hoc gim gi tr ca ngn hng. Ri ro danh ting c th pht sinh t cc ngun sau: - Gian ln v khng tun th cc yu cu lut nh hoc quy nh; - Thng tin khch hng khng c bo v, mt khi lng ln cc khiu ni ca khch hng, hoc x pht quy nh cng cng; - Xut hin cc ri ro khc c th e da hnh nh ca ngn hng v c ng. Ngn hng cn c bit ch n ba im sau ca cc s kin hoc hon cnh c th lm tng ri ro danh ting. - Ri ro c hu: y l nhng ri ro pht sinh t bn cht c trng ca sn phm v dch v hoc phng thc giao hng ca h tc ng tiu cc ti th trng v s hi lng ca khch hng. V th, ri ro vn c ch yu xut pht t nhng thch thc trong ri ro hot ng, bo m cht lng v s hi lng ca khch hng. - Ri ro mi trng: ri ro ny pht sinh t cc iu kin bn ngoi ngn hng nh a l, chnh tr, x hi m khng lin quan ti cht lng ca sn phm hoc dch v. - Qun l v kim sot ri ro: nhng ri ro pht sinh t tn tht do thiu hoc khng thnh cng ca quy trnh ni b, nhn vic v cc h thng. y cng c th bao gm thit hi gy ra bi s tht bi ca ngn hng tun theo lut p dng, quy nh, tiu chun cng nghip m tc ng tiu cc ti th trng v nhn thc ca khch hng. 7.2 Chnh sch v th tc Ngn hng yu cu phi c cc chnh sch v cc th tc: m bo ri ro danh ting c x l kp thi, nhanh chng; Thng qua thc tin qun l ri ro danh ting gm thc hnh xy dng vn danh ting v thu nhp v hnh cho cc c ng;
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Qun l ri ro danh ting thng qua quy trnh d on, phn tch ri ro v lp k hoch, sau c gng qun l nhng k vng c trong v ngoi; o xu hng danh ting ca ngn hng nh mt ti sn khc phc hu qu; Xc nh s kin ri ro c th hoc h thng, v qu trnh hnh ng sa sai.
7.3 Qun l v gim st ri ro danh ting Lnh o ngn hng nn khai thc c hi pht trin vn u t danh ting ca ngn hng. Thng tin tch cc v ngn hng cng nn c truyn mt cch thch hp cho th trng. Lnh o ngn hng nn nhn thc y v mt s kin m c kh nng nh hng n danh ting ca ngn hng. Ngn hng phi m bo thit lp mt quy trnh qun l khng hong qun l cc tc ng tim nng ca cc s kin danh ting. Ti cc chi nhnh, phng giao dch o bo khng a ra cc thng tin cho cng chng, bo ch m khng c s chp thun ca lnh o cp cao. Ri ro danh ting c th dn ti mt th phn hoc tin cy, thit hi v danh ting. Ngn hng phi thc hin mt quy trnh qun l ri ro danh ting ton din xc nh, gim st, kim sot v bo co tt c ri ro m c th gy tn hi n danh ting ca ngn hng. 7.4 Phng php phn tch Ngn hng phi tin hnh xem xt cc mng, khu vc c ri ro danh ting tim n. Hi ng Qun tr nn yu cu cp qun l phi s dng cc phng php phn tch chng minh cng nh cc nh gi c lp v khch quan a ra v phn tch nh tnh v nh lng cc yu t ri ro v xem xt li cc im kim sot quan trng trong ngn hng. Qu trnh ny s h tr ngn hng khm ph cc yu t chnh lm tng ri ro danh ting. Ngn hng cn m bo rng cc phng php phn tch c s dng nhy cm vi cc nhu cu c th v cc yu cu ca mnh cng nh cc vn ri ro trnh by ca ngnh. Qu trnh xem xt phi m bo c hon ton khch quan. Mi ngn hng nn xy dng c s d liu danh ting v xc nh cc cha kha kim sot v theo di cc bo co. L mt phn ca qun l ri ro ngy, ban lnh o ngn hng nn yu cu o to nng cao nhn thc nhn vin mi cp ca ngn hng vi o to c bit lin quan n khu vc ri ro cao tim n. Cui cng, tt c cc kha cnh ca qun l ri ro danh ting nn c xem xt bi kim ton ni b. 7.5 Vai tr v trch nhim Hi ng Qun tr chu trch nhim m bo rng quy trnh v cu trc ph hp cho qun l ri ro danh ting hiu qu. y ban qun l ri ro v kim ton ca ngn hng nn c trch nhim xem xt cc tiu chun v hiu qu ca h thng kim sot ni b bao gm c nhng ri ro danh ting lin quan v cc phng tin qun l ri ro danh ting. Nhm qun l ri ro danh ting chu trch nhim cho vic p dng cc nguyn tc ny v qun l cc thng tin i chng trn th trng, xy dng vn danh ting hoc gim thiu s tc
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ng ca s kin bt li ln ri ro danh ting. Bn cnh , ngn hng nn theo di danh ting ca mnh trn th trng. 8. Qun l ri ro tun th 8.1 Gii thiu Ri ro tun th l ri ro b trng pht do vic khng tun th cc lut, quy nh, quy tc, t chc quy nh tiu chun tin hnh p dng i vi hot ng ca ngn hng. Tun th php lut, quy tc v tiu chun c nhiu ngun khc nhau bao gm cc quy nh php lut, cc quy tc v tiu chun do nh lp php v gim st, quy c th trng, m s hnh ngh ca cc hip hi. V th, ri ro tun th vt xa nhng rng buc php l v gm cc tiu chun rng hn v tnh ton vn v t cch o c. Hi ng Qun tr chu trch nhim m bo s tun th ca ngn hng vi tt c cc lut c lin quan, quy tc v tiu chun. Ban iu hnh tin hnh phn b cc ngun lc cho cc chng trnh tun th bao gm vic tun th php lut v cc vn lin quan ti hot ng ngn hng. Lnh o ngn hng phi thit lp mt chc nng tun th y t cc hot ng c lp. 8.2 Gim st ca Hi ng qun tr v Ban iu hnh Hi ng qun tr Hi ng Qun tr gim st hiu qu l nn tng ca qu trnh qun l ri ro tun th hiu qu. Hi ng Qun tr cn hiu r tnh cht, mc ri ro tun th m ngn hng tip xc v lm th no ri ro ph hp vi chin lc kinh doanh tng th. Trch nhim ca Hi ng Qun tr nh sau: - Ph duyt chnh sch tun th, trong c vn bn chnh thc thit lp chc nng tun th thng xuyn v c hiu qu; Xem xt mc ngn hng qun l ri ro tun th ca mnh; Gim st vic thc hin cc chnh sch tun th bao gm c vic m bo cc vn tun th c gii quyt mt cch hiu qu v nhanh chng; m bo qun l c cc bc cn thit xc nh, o lng, gim st v kim sot ri ro tun th. Ban iu hnh Ban iu hnh chu trch nhim qun l c hiu qu cc ri ro tun th ca ngn hng. Nh vy, Ban iu hnh chu trch nhim v vic thnh lp chnh sch tun th ph hp bng vn bn c cha cc nguyn tc c bn. Qun l cp cao cn phi: - Xc nh v nh gi cc ri ro tun th chnh ngn hng phi i mt v k hoch qun l cc thiu st cng nh b sung cho bt k chnh sch hay th tc i ph vi nhng ri ro tun th mi; - m bo ngn hng c khung qun l ri ro tun th r rng v thm quyn, bo co v c ph bin ti nhn vin trong ngn hng;
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- nh k bo co Hi ng Qun tr hoc y ban ca Hi ng qun tr v qun l ri ro tun th; - Bo co kp thi ln Hi ng Qun tr hoc y ban ca Hi ng Qun tr bt k tht bi tun th chnh no; - m bo nhn vin c trnh , k nng v kinh nghim qun l ri ro php lut v tun th; - t nht mt nm mt ln tin hnh nh gi ri ro tun th; - nh k xem xt li khung qun l ri ro tun th m bo rng n vn cn thch hp. 8.3 Chnh sch v th tc Chnh sch v th tc qun l ri ro tun th cn c xc nh r rng v ph hp vi tnh cht phc tp ca hot ng ca ngn hng. Chnh sch tun th nn tun th cc vn sau: - Phn nh trch nhim v m bo rng Hi ng Qun tr v Ban iu hnh c y cc bo co v s kin tun th chnh; - Mi quan h ca n vi chc nng qun l cc ri ro khc trong ngn hng v chc nng kim ton ni b; - Trong trng hp c trch nhim tun th c thc hin bi cc nhn vin trong phng ban khc th trch nhim thuc v phng ban thc hin nhim v ; - Xc nh quyn c th truy cp cc thng tin cn thit thc hin trch nhim v ngha v tng ng ca nhn vin ngn hng hp tc trong vic cung cp thng tin; - Quyn iu tra cc vi phm c th c ca chnh sch tun th; - Quyn t do by t v tit l nhng pht hin ca mnh cho qun l cp cao. 8.4 Cc cng c nh gi T nh gi y l cng c c s dng rng ri nht v nhn mnh n trch nhim qun l chnh lin quan n vic qun l ph hp v gim thiu ri ro tun th. N gip lm tng thc tun th trong cc n v kinh doanh c thc hin n. Bn ri ro L cng c c s dng rng ri ca kim ton ni b v c th rt hu ch cho vic xem xt ri ro tun th. y l nhng biu tm tt v s tr gip cho ngn hng xc nh, tho lun, hiu ri ro do cc ngun v cc loi ri ro, cc chc nng c lin quan. Xem li bn ri ro cho php tun th nhng ri ro c xc nh v th tc thch gim thiu ri ro c thc hin. Bn ri ro cng s h tr trong vic pht trin th tc ph hp v cc bin php gim nh i vi nhng ri ro c xc nh.
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Cc ch s chnh Ngn hng nn pht trin cc ch s ri ro nh gi mc ri ro tun th ca cc chc nng kinh doanh khc nhau. Vic tun th cc ch s ny cn phn nh tnh cht v c im cng tng n v kinh doanh. Ngn hng nn thit k mt bng im cc s liu ri ro m cho php cc nhn vin tun th s dng s liu thc t t cc t chc khc c cng cc nh gi cht lng. Thang cnh bo y l nhng bo co c bn ca vn tun th tim nng cho cc cp qun l cao hn. Chng c th cung cp mt cnh bo sm ca s gia tng ri ro tun th hoc vi phm tim nng trong cc yu cu qun l. Khi thang cnh bo t c cc ch s nh du cn bo co cho Ban iu hnh. Cc bn ghi vi phm Gi mt bn ghi cc vi phm quy nh v c th s dng c cho cc theo di qun l ri ro tun th. Ngn hng nn rt ra cc bi hc t nht k ch khng ch n thun phn b trch nhim. Phn tch cc bn ghi h tr trong vic nh gi v kim sot chnh sch gim thiu hin hnh v gip qun l cp cao c th kt lun v tnh hiu qu ca chnh sch ri ro tun th. Nht k nh vy cng c th c ch trong vic xc nh xu hng v tp trung ngun lc. Bo co ca kim ton ni b Kim ton ni b cng c cc cng c ring trong kho st ri ro tun th. Ngoi ra kim ton ni b thng s dng tun th cc th tc v hng dn s dng nh mt im khi u nh gi ri ro ting ca mnh. Do , rt c gi tr cho trng phng qun l ri ro tun th trong vic xem xt bo co kim ton v chit xut cc yu t ri ro tun th t cc bo co kim ton. Kim sot trc Kim sot trc c th coi l tuyn kim sot ri ro u tin trong cng tc kim sot ri ro c s dng bi cc nhn vin tun th m bo rng nhng hot ng ln u l tun v gip gim thiu ri ro php l trong ngn hng. Gm c: Phn nh r vai tr v trch nhim; Tip cn thng tin qun l chnh xc, kp thi v r rng; Thit lp cc quy trnh vi giao din hng dn ti thiu.
8.5 Gim st tun th v bo co
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Ngn hng phi m bo c h thng qun l thng tin y cung cp cho lnh o cc bo co kp thi v tun th. Chc nng gim st nn: Xc nh, cu trc v nhng ri ro php l m ngn hng tip xc; Nu bt cc trng hp c th xy ra v bin php kim sot gim thiu hoc loi b cc ri ro php l; Lm vic vi cc lnh o v nhn vin ca cng ty kt hp cc yu cu php l v quy nh trong th tc nh gi cht lng kinh doanh v bo co qun l.
Cc cng c qun l ri ro tun th gm: Chng trnh tun th; Gio dc, o to v tuyn truyn; Gim st hiu qu; H thng thng tin gp .
C. MT S RI RO IN HNH TI CC NGN HNG TRN TH GII 1. Ri ro hot ng ti ngn hng Barings (1995) Trc khi gii th vo nm 1995, Baring Bank l ngn hng thng mi lu i, thnh lp vo nm 1762, v c uy tn nht London. y cng l ngn hng c nhn ca N Hong v tng ti tr cho cuc chin ca Napoleon vo th k 19. Cn nguyn ca mi chuyn bt ngun t vic mt trong nhng nhn vin ca ngn hng ti chi nhnh Singapore, Nick Leeson, 28 tui, gy nn khon l ti 827 triu bng, tng ng 1,4 t la, do u c vo cc hp ng tng lai. Thay v cng khai sai lm ca mnh, Leeson che giu mi th bng mt serie cc bn bo co k ton phc tp, vi hy vng ko di thi gian ch th trng hi phc nhng mi vic i theo hng ngc li. Tuy nhin, ti tn thng 3/1995, mi chuyn mi c a ra nh sng. Thng tin c cng b, t du chm ht cho ngn hng thng mi lu i v uy tn nht London. Baring Bank b bn cho ING, Tp on Ti chnh c tr s ti H Lan, vi gi 1 bng. (Ngun: VnExpress) 2. Ri ro thanh khan ca cc ngn hng Agrentina 2001 Sau s rt chy ca dng vn u t nc ngoi, chnh ph Argentina thng qua mt nhm o lut mi c bit ti di ci tn Corralito. Theo , cc ti khon ngn hng trong ton quc u b ng bng trong vng 12 thng. Ch ti khon ch c php rt mt lng nh tin, phc v cho chi tiu c nhn. H thng ngn hng b "bp nght" khin nn thiu tin tr nn nghim trng. Cc ca hng, siu th b ngi dn cp sch trong s bt lc ca nh cm quyn. Kinh t Argentina ri vo suy thoi nghim trng, t l tht nghip ln ti 25%. Ch trong mt nm, Buenos Aires t th t bc nht chu M Latin tr thnh thnh ph r nht khu vc. Suy thoi kinh t ko
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theo bt n v chnh tr, Argentina ch trong thi gian ngn qua ln lt 4 i Chnh ph khc nhau. (Ngun: VnExpress) 3. Ri ro ti cc ngn hng Nga 2004 Thng 7/2004, cc ngn hng ng trc nguy c ri ro thanh khon rt ln. n ngy 9/7/2004, Guta Bank i gia trong ngnh ngn hng Nga thng bo tm kha cc ti khon tin gi, ng ca 76 chi nhnh v ngng hot ng hn 400 my ATM. Sau ngi dn x i rt tin cc ngn hng khc do lo s b ri vo hon cnh tng t. Cc ngn hng khng tin tng nhau v t chi cp tn dng cho nhau, li sut tin gi tng song khch hng vn t rt tin. Trc tnh hnh , ngy 17/7/2004, Alfa i gia th 4 trong ngnh ti chnh quyt nh p dng pht 10% nu rt tin trc hn v thng c Ngn hng Trung ng Nga quyt nh gim t l d tr tin mt t 7% xung 3,5% p ng thanh khon, p dng nhiu bin php cu Guta. Tuy nhin, nim tin ca cng chng vo ngn hng sp khin ngi dn tip tc x i rt tin v nhiu ngn hng b sp , Chnh ph Nga ra k hoch Vneshtorgbank mua li Guta Bank v mua li cc ngn hng ln vi gi r bt ng v tng cng vai tr s hu ca Nh nc vI ngnh ngn hng
4. Ri ro ti mt s ngn hng trong nc Ri ro tn dng Gn y bo ch c a tin v v la o 400t ng ti ba ngn hng VCB Bnh Dng, BIDV Bnh nh, v Vit Nga H Ch Minh. Trong vng 2 nm 2008, 2009 ba ngn hng trn cho khch hng vay theo cc hp ng mua bn m thc cht l cc hp ng ma do khch hng dng ln la vay tin ca ngn hng. Ngn hng ch pht hin ra khi khch hng khng thc hin ngha v tr n theo hp ng. Ri ro thanh khon ti ACB thng 10/2003 Vi ngy trc 14/10/2003 c mt tin "khng chnh thc" l ng Phm Vn Thit - Tng gim c Ngn hng Chu (ACB) - tham lm cng qu, "tht kt" ht s tin trong ngn hng ri b trn, v sau b bt "b t". Thm ch, mt s khch hng cn nhn c cc cuc in thoi cho hay ngn hng "ph sn". Tm l lo ngi dy ln trong mt s khch hng. Thng tin c "truyn tai" bng lan nhanh nh mt th bnh dch. Ngy 14/10/2003, hng lot khch hng ca ACB n n ko n rt tin ti hi s v mt s chi nhnh ca ACB ti TP. H Ch Minh. Hng trm ngi kin quyt "bm tr" li vi hy vng phi "cm c trn tay" ng tin ca mnh mi chu ra v. Ngn hng Nh nc pht hng ngn t thng bo ph nhn tin n c km theo nh lnh o ACB ti tay ca khch hng ch rt tin. Cng vi s xut hin ca lnh o ACB, Ngn hng Nh nc v C quan Bo him tin gi ngi dn ngng rt tin v Ngn hng vt qua c kh khn. S c rt tin ngn hng Phng Nam 7/2005
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Hoang mang v thng tin Ngn hng Phng Nam c tn trong mt s h s cho vay tiu dng c du hiu la o Sc Sn (H Ni), ngy 22/7/2005, hng trm khch hng ko n cc chi nhnh ngn hng ti th yu cu rt ton b tin gi trong ti khon tit kim, d cha o hn. Tuy nhin, cui cng s c ny ngn hng cng vt qua. Ri ro ti ngn hng TMCP nng thn Ninh Bnh 5/2007 Nhiu ngi n rt tin ra khi Ngn hng TMCP Nng thn tnh Ninh Bnh do tin n Ngn hng c lin quan n v n Nguyn c Chi vi khon cho vay ln ti 10 triu USD v b Nguyn Th Hu, Gim c Ngn hng, b trn. S vic c gii quyt khi lnh o ngn hng Nh nc, lnh o ngn hng Ninh Bnh bc b tin n v m bo s yn tm cho ngi dn. 5. Ri ro ti Northern Rock 2007 ri ro thanh khon v ri ro danh ting Mt bi hc in hnh cho ri ro thanh khon v ri ro danh ting l trng hp ca Ngn hng Northern Rock ti Anh nm 2007. Xut pht t v khng hong ti chnh ti M v Chu u, bo ch Anh a ra cc thng tin xu v bt li cho Northern Rock nh Ngn hng ny ang khan him tin mt, hay ang phi gnh chu hu qu do cho vay th chp trn ln v.v.. Ch trong vng 3 ngy 14, 15, 17/09/2007 cc t chc, ngi dn x i rt tin ti Northern Rock, khin Ngn hng trung ng Anh (BOE) phi h tr 3 t GBP (Bng Anh) m bo thanh khon cho Ngn hng ny. ngn chn phi ng dy chuyn c th xy ra do s mt thanh khon ca Northern Rock, ngn hng ny b quc hu ha vo thng 2 nm 2008. 6. Ri ro ca mt s ngn hng trong cuc khng hong 2007-2009 a. Ri ro hot ng Ti Ngn hng Chinfon: Thng 11/2009, c quan iu tra cho bit ngn hng Chinfon chi nhnh H ni trnh bo v vic nhn vin la o chim ot gn 2 t ng ca ngn hng. S tin tuy khng ln, nhng vic chim ot tin ca ngn hng din ra trt lt trong vng hai nm, t nm 2007, nhn vin ny dng nghip v k ton lm sai s sch giy t, v li dng s kim sot lng lo chuyn tin ca ngn hng vo ti khon c nhn ca mnh. Ti ngn hng Societe Generale (Php): Societe Generale (SG) ngn hng ln th 2 ti Php - b thit hi ti 4,9 t euro (7,15 t USD) do mt nhn vin ca mnh c tn l Jerome Kerviel, 31 tui, b mt nng vo cc giao dch bt hp php lin quan n mua bn c phiu, chng khon ti nhiu s giao dch chng khon chu u nh Paris, London, Frankfurt. Jerome Kerviel thc hin cc giao dch bt minh c tng gi tr ln ti hn 73 t USD, ln hn nhiu so vi th gi ca chnh (52,6 t USD). C th, Jerome Kerviel rt rut SG 44,12 t USD vo th trng chng khon (TTCK) Paris; 26,47 t USD vo TTCK Frankfurt v 2,94 t USD vo TTCK London. Jerome Kerviel chi nh con bc kht nc, thua th c g v
80

cng g li... cng thua. iu ng ni l s vic ny sau 2 nm Jerome Kerviel thc hin mi b pht hin v cho thy s lng lo trong h thng kim sot ni b ca SG.
b. Ri ro tun th v php l Thng 8/2007 American Express phi i mt vi n pht 65 triu la, ln nht trong lch s cc ngn hng ti M vo thi im . Nguyn nhn ca v vic l do Amex vi phm lut phng chng ra tin ca chnh ph lin bang. B t php, Cc d tr lin bang v Mng li chng ti phm ti chnh a ra phn quyt ny sau khi pht hin ra chi nhnh ngn hng ti Miami khng p dng cc quy trnh phng chng ra tin ph hp v cc nhn vin iu tra tin rng mt s ti khon ti ngn hng quc t American Express c s dng ra 55 triu la tin bun bn ma ty. c. Ri ro ti mt s ngn hng trong cuc khng hong tn dng di chun 2007 n nay Cuc khng hong 2007- nay ko theo s sp ca hng trm ngn hng. Ring ti nc M, nm 2008 c 25 ngn hng b ng ca, 2009 ln ti 140 ngn hng v trong qu 1/2010 l 41 ngn hng. Trong cc ngn hng b ph sn, mt s ngn hng in hnh c xem xt di y: Lehman Brothers (2008) nh ch ti chnh 158 nm tui ph sn ngy 15/9/2008 khi mi ch 1 nm trc cn l ngn hng ln th t nc M vi s nhn vin ln ti hn 26 nghn. Thit hi m ngn hng ny phi gnh chu l kt qu ca vic bin cc khon cho vay mua bt ng sn thnh cc gi tri phiu c gc bt ng sn y ri ro cung cp cho th trng. Khi nn kinh t i xung, ngi vay tin mua nh khng tr c cc khon vay mua nh th ri ro tn dng c chuyn sang cc gi tri phiu c cc danh mc tn dng bt ng sn lm ti sn m bo. Khng hong cng gia tng khin vic pht mi ti sn cng tng lm gi bt ng sn cng gim. iu ny c ngha gi tr ti sn m bo ca tri phiu cng gim v ri ro tn dng cng tng. Vng xoy khng hong c tip tc nh vy, lm cho gi chng khon st gim mnh. Hu qu l hng lot ngn hng u t, trong c Lehman Brothers, ln lt bo co cc khon l kinh doanh. Gi tr vn ha nh im khong 45 t vo cui nm 2007 ca Lehman Brothers v s 0 ch sau gn 10 thng, to nn mt trong nhng v sp ngn hng chng vnh nht. (Ngun: VnExpress) Washington Mutual (2008) Trc khi ph sn, Washington Mutual l ngn hng ln th su nc M. Ngn hng ny cng s hu Washington Mutual Saving Bank, t chc cho vay v tit kim hng u quc gia.
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Tng t nh Lehman Brothers, nguyn nhn y Washington Mutual n b ph sn cng bt ngun t cuc khng hong trm nm mi c mt ln ti th trng tn dng v bt ng sn. Thit hi ko di khin hng phi ng nhiu chi nhnh v ct gim nhn cng. Gi c phiu ca Washington Mutual t i xung th thm, t 30 la, vo thng 9/2007, thm ch 45 la trong nm 2006, xung ch cn 2 la vo thng 2/2008. Sau nhiu n lc ci t bng cch sa thi ban gim c hoc tm i tc mua li c phn nhng khng thnh cng, ngn hng trn li b ging mt n nng khi ch trong 10 ngy cc khch hng ua nhau rt ra mt khon tin k lc ln ti 16,7 t la. Vo ngy 26/9, Washington Mutual Bank n xin ph sn. y l v sp ngn hng ln nht trong lch s vi s ti sn "bc hi" ln ti 307 t la. (Ngun: VnExpress) Bear Stearns (2008) Th ba, ngy 11/3, t nh u t, ngi cho vay, v khch hng u c rt ra khi Bear Stearn, ngn hng danh ting trn ph Wall. Bear Stearn ban u khng phi l ngn hng thng mi m ch yu hot ng thng qua cc khon u t vo vic bn khng tri phiu sp o hn, mt hnh thc kinh doanh y ri ro. Nhng bin ng bt thng ca khi ti chnh khin hng thua l v gp nhiu kh khn. Mi chuyn cng ti t hn khi Gim c tn dng ca mt ngn hng khc cho rng Bear Stearn s khng th t c li nhun nh cng b trc . H qu l, ch trong hai ngy, vn c phn ca ngn hng ny t 17 t la tin mt ch cn li 2 t la. Trc tnh hnh trn, Bear Stearn khng c la chn no khc ngoi tuyn b ph sn. (Ngun: VnExpress)
D. ALM v ALCO Qun l ti sn n v ti sn c l qu trnh ngn hng thc hin qun l ti sn c v ti sn n ca mnh nhm ti a ha li nhun thu v cho c ng. Vic qun l ti sn c v ti sn n bao gm mt qu trnh c lp k hoch v thit k : p ng nhu cu ca ngn hng v thanh khon; Trnh ri ro v n/thanh ton; Xy dng lch trnh cc k hn khc nhau ca ti sn c v ti sn n nhm hn ch ri ro li sut; v Kim sot mc li sut c nhn v li sut thanh ton m bo duy tr mc chnh lch gia chi ph v thu nhp ca ngun vn. Ti thiu, hiu qu qun l ca ti sn v cc khon n nn kt hp cc hot ng sau: nh gi trng thi bng cn i k ton hin ti; nh gi cc yu t bn ngoi nh v m, i tc, cnh tranh.... Chin lc pht trin ti sn n - ti sn c; Cc m hnh chin lc; Xc nh chin lc thch hp nht;
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Thit lp mc tiu; Truyn t cc mc tiu n qun l v nhn vin; Gim st v nh gi hiu qu. Chc nng nhim v ca ALCO: a ra cc quyt nh i vi cng tc qun l ti sn n - ti sn c trong hot ng kinh doanh trn c s cc mc tiu, c cu ln trong k hoch di hn v hng nm ca ngn hng; Ch o cc b phn c lin quan thc hin cc quyt nh v quy m, c cu, danh mc, ri ro tin t v ngoi hi i vi ti sn n - ti sn c ca ngn hng; Xy dng, thc thi chnh sch qun l tp trung ton b mi ngun vn ca ngn hng, m bo kh nng thanh ton v ngun vn cho hot ng ngn hng; Xy dng h thng cc gii hn qun l ti sn n - ti sn c ti ngn hng; Xy dng, thc thi chnh sch qun l ri ro ti sn n - ti sn c: ri ro thanh khon, ri ro li sut, ri ro ngoi hi, ri ro chnh sch... Phn tch v xc nh c cu ti sn n - ti sn c ti u ng thi m bo thc thi c cu ny; Kim sot vic chp hnh cc gii hn v cc chnh sch qun l ti sn n - ti sn c ca ton h thng; Thc thi v gim st thc hin k hoch ti chnh v ch tiu li nhun i vi ton h thng;
E. TNG KT C cu ti sn c v ti sn n ca ngn hng c th ni ln ri ro ca ngn hng. Vic xy dng c cu ti sn c v ti sn n ng vai tr quan trng cng vi vic a ra chin lc v qun l ri ro. Ri ro lun gn lin vi hot ng ca ngn hng. Mi quyt nh u lin quan n ri ro. Mc chp nhn ri ro ca tng ngn hng khc nhau v do Hi ng qun tr ca Ngn hng quyt nh da trn chin lc pht trin ca Ngn hng. Chng ti lu rng vic qun l ri ro l trch nhim ca ton b cn b nhn vin trong ngn hng, t cc giao dch vin ra quyt nh hng ngy cho ti n b phn back office. Hot ng qun l ri ro thc hin tt c cc cp (t cc nhn vin thc hin giao dch, cc lnh o phng ban/chi nhnh, Khi qun tr ri ro, Ban iu hnh v Hi ng qun tr) v c s phn cng trch nhim v quyn hn c th. Chng ti xem xt cc ri ro mt cch ring bit, tuy nhin, khi qun l ri ro cn nhn mt cch tng th cc ri ro v cc ri ro ny lin quan vi nhau. Bn cnh , nu xt v mt ti sn, mt ti sn c th c nhiu ri ro. giao dch vin thc hin qun l ri ro mc vi m, khi qun l ri ro tm v m (xt trn tng th ngn hng v tt c cc ti sn, tt c cc ri ro), Hi ng qun tr tm chin lc. Vic tip cn ri ro s theo c phng php truyn thng v hin i. y trc khi chng ta ra quyt nh, th l lc chng ta la chn ri ro v mc chp nhn ca chng ta vi ri
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ro. Khi cc quyt nh c a ra, chng ta tin hnh kim sot sau v a ra cc tnh hung x l, phng chng ri ro hoc s dng cc cng c phi sinh. Qun l ri ro phi i lin vi cc hot ng, v cn hnh thnh vn ha kim sot ri ro cho Ngn hng, hng theo tun chun ca Basel. Phng qun l ri ro s tin hnh thc hin qun ly ri ro vi cc ri ro chnh v cn ban hnh cc chnh sch v quy trnh qun tr ri ro. Chng ti rt mong s ng gp kin ca cc phng ban nghip v v tt c cc anh/ch trong h thng hot ng qun tr ri ro ngy cng han thin hn v tt nhin qun tr ri ro xt trn mt li ch nhiu hn, nh hng trc tip ti quyt nh kinh doanh v li ch ca cc giao dch c th cng nh ton h thng m bo AN TON v SINH LI. G. Danh mc ti liu tham kho. Cc trang web: sbv, vnexpress, cafef, cc bi bo trn mng, basel 2, cc quy nh ca ti liu, bi bo, SBV v cc bi vit v ti liu khc.
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4.2.2 Ni dung c bn ca Basel 2

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Ni dung chnh ca Basel 2 gm:

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Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Hn mc: Mt s hn mc sau ngn hng nn a ra v theo di a ra cnh bo:

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Tn bo co 1. Trng thi thanh khon Bo co lu chuyn tin t

Bo co thanh khon hng ngy

Phn tch ti sn lng

Phn tch ti sn n theo loi hnh ngun vn v thi hn cc ngun vn

Nu bt cc ngun cng n v pht hin s mt cn bng gia cc ngun v theo k hn

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Treasury / P.k hoch

nh gi kh nng chu ng khng hong ca ngn hng

Gim st s tun th hn mc v a ra cnh bo

Cp nht hn mc ph hp vi tnh hnh ca ngn hng v th trng

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Mc tiu Thi gian Loi hnh qun tr ALM Tp trung

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com

GAP dng Loi GAP Asset sensitive TSC c nh gi trc TSN