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B GIO DC V O TO TRNG I HC KINH T TP H CH MINH

NGUYN DUY SINH

NNG CAO HIU QU QUN TR RI RO THANH KHON TRONG CC NGN HNG THNG MI VIT NAM
Chuyn ngnh: Kinh t ti chnh - ngn hng M s: 60.31.12

LUN VN THC S KINH T

NGI HNG DN KHOA HC:

PGS.TS. NGUYN NG DN

TP H Ch Minh thng 07/2009

LI CAM OAN Ni dung v s liu phn tch trong Lun vn ny l kt qu nghin cu c lp ca hc vin v cha c cng b trong bt k cng trnh khoa hc no. -------------------

MC LC Li cam oan Mc lc Danh mc cc t vit tt Danh mc bng biu M u ........................................................................................ Chng 1 TNG QUAN V QUN TR RI RO KINH DOANH V QUN TR RI RO THANH KHON TRONG NGN HNG THNG MI ............................................................. 1.1 1.1.1 1.1.2 1.2 1.2.1 1.2.2 1.2.3 1.2.4 1.2.5 Tng quan v ngn hng thng mi ...................................... Khi nim .................................................................................... Chc nng ca ngn hng thng mi ........................................ Qun tr ri ro trong kinh doanh ngn hng .......................... Khi nim v ri ro ...................................................................... Ri ro trong kinh doanh ngn hng ............................................. Qun tr ri ro trong kinh doanh ngn hng ................................ Nguyn nhn dn n ri ro trong kinh doanh ngn hng .......... nh hng ca ri ro n hot ng kinh doanh ca ngn hng v nn kinh t -x hi .................................................................. 1.3 1.3.1 1.3.2 1.3.3 1.3.4 1.3.5 1.3.6 Qun tr ri ro thanh khon ..................................................... Khi nim v thanh khon v ri ro thanh khon ........................ Ni dung qun tr ri ro thanh khon .......................................... Cc nguyn nhn dn n ri ro thanh khon ............................. Cung v cu v thanh khon ........................................................ nh gi trng thi thanh khon .................................................. Chin lc qun tr thanh khon ................................................. 8 9 9 13 10 11 12 12 12 13 17 3 3 3 4 4 4 5 6 7 Trang 1

1.3.6.1 ng li chung v qun tr thanh khon ................................... 1.3.6.2 Cc chin lc qun tr thanh khon .......................................... 1.3.7 Cc phng php qun l ri ro thanh khon ..............................

1.3.7.1 Duy tr mt t l hp l gia vn dng cho d tr v vn dng cho kinh doanh ............................................................................ 1.3.7.2 m bo v t l kh nng chi tr ............................................... 1.3.7.3 S dng cc phng php d bo thanh khon .......................... 1.3.8 Cc tiu chun cui cng cho vic nh gi qun tr thanh khon ........................................................................................... 1.4 1.4.1 1.4.2 1.4.3 1.4.4 Kim nh cc gi thit v kh nng thanh khon ................. Kim nh v ch s trng thi tin mt H3 .................................. Kim nh v ch s nng lc cho vay H4 ................................... Kim nh v ch s d n/tin gi khch hng H5 ..................... Kim nh v ch s chng khon thanh khon H6 ..................... Kt lun Chng 1 .................................................................... Chng 2 THC TRNG QUN TR RI RO THANH KHON TRONG CC NGN HNG THNG MI VIT NAM 2.1 2.1.1 Tng quan v h thng ngn hng thng mi Vit Nam ..... Bc tranh tng quan v h thng ngn hng thng mi Vit Nam ............................................................................................. 2.1.2 Tc ng ca iu kin kinh t v m n hot ng ca h thng ngn hng thng mi Vit Nam ...................................... 2.2 Thc trng qun tr ri ro thanh khon trong cc ngn hng thng mi Vit Nam ....................................................... 2.2.1 2.2.2 2.2.3 2.2.4 2.2.5 2.2.6 2.2.7 2.2.8 Vn iu l v h s CAR ........................................................... H s H1 v H2 ............................................................................. Ch s trng thi tin mt H3 ....................................................... Ch s nng lc cho vay H4 ......................................................... Ch s d n/tin gi khch hng H5 ........................................... Ch s chng khon thanh khon H6 ........................................... Ch s trng thi rng i vi cc TCTD H7 ............................... Ch s (tin mt+tin gi ti cc TCTD)/tin gi khch hng H8 33 35 38 40 42 43 45 46 47 31 27 27 27 21 22 23 24 24 25 26 17 17 17

2.3

Trng hp Ngn hng u t v Pht trin Vit Nam (BIDV) ........................................................................................ 49 49 52

2.3.1 2.3.2

Quy nh v hot ng qun tr thanh khon .............................. Thanh khon v qun tr thanh khon ti BIDV .......................... nh gi chung v thanh khon v qun tr thanh khon ca cc ngn hng thng mi Vit Nam ................................ Kt lun Chng 2 ....................................................................

53 55

Chng 3 MT S BIN PHP NHM NNG CAO HIU QU QUN TR RI RO THANH KHON TRONG CC NGN HNG THNG MI VIT NAM ........................... 3.1 nh hng pht trin ca ngnh ngn hng Vit Nam n nm 2010 v nh hng chin lc n nm 2020 ............... 3.1.1 nh hng pht trin Ngn hng Nh nc Vit Nam n nm 2010 v nh hng chin lc n nm 2020 ........................... 3.1.2 nh hng pht trin cc t chc tn dng n nm 2010 v nh hng chin lc n nm 2020 ......................................... 3.2 Bin php nng cao hiu qu qun tr ri ro thanh khon trong cc ngn hng thng mi Vit Nam .............................................. 3.2.1 V pha Chnh ph ....................................................................... 58 58 58 59 57 56 56 56

3.2.1.1 Mt ngn hng trung ng c lp v mnh ......................... 3.2.1.2 Hon thin h thng lut php p ng yu cu hi nhp .......... 3.2.1.3 y nhanh tin c phn ho cc ngn hng thng mi nh nc ............................................................................................. 3.2.2 V pha Ngn hng Nh nc .....................................................

60 60 60 61

3.2.2.1 Thc thi chnh sch tin t linh hot v va ........................... 3.2.2.2 Kim sot vic thnh lp ngn hng thng mi ........................ 3.2.2.3 Tng cng v nng cao hiu qu cng tc gim st t xa hot ng ca cc ngn hng thng mi .......................................... 3.2.3 V pha cc ngn hng thng mi .............................................

62 63

3.2.3.1 m bo vn t c mc cn thit ............................................. 3.2.3.2 Tng cng cng tc d bo cc iu kin kinh t v m ........... 3.2.3.3 Xy dng c ch chuyn vn ni b ph hp .............................. 3.2.3.4 m bo t l cn i gia ti sn C - ti sn N ........... 3.2.3.5 Gn ri ro thanh khon vi ri ro th trng trong qun tr ...... 3.2.3.6 Xy dng v hon thin h thng nh gi ni b ...................... 3.2.3.7 Thit lp m hnh t chc ph hp .............................................. 3.2.3.8 Xy dng i ng nhn vin c trnh , nng lc v o c ngh nghip ................................................................................. Kt lun ...................................................................................... Ti liu tham kho Ph lc

63 64 64 65 66 67 68

69 70

DANH MC CC T VIT TT ADB BIDV DTBB NHNN NHTM : Ngn hng pht trin Chu . : Ngn hng u t v Pht trin Vit Nam. : D tr bt buc. : Ngn hng Nh nc. : Ngn hng thng mi.

NHTMNN : Ngn hng thng mi nh nc. NHTMCP : Ngn hng thng mi c phn. OECD TCTD WTO : T chc hp tc v pht trin kinh t. : T chc tn dng. : T chc thng mi th gii.

DANH MC BNG BIU Trang Bng 2.1: T l tng trng tn dng nm 2007 so vi 2006 ca 33 NHTM Vit Nam ......................................................................................... Bng 2.2: Vn iu l v h s CAR .......................................................... Bng 2.3: H s H1 v H2 ........................................................................... Bng 2.4: Tin gi khch hng; tin gi, vay t TCTD khc; cho vay khch hng, s dng vn khc ca i , Gia nh, Kin Long, Trustbank nm 2007 .................................................................................... Bng 2.5: Ch s trng thi tin mt ........................................................... Bng 2.6: Ch s nng lc cho vay ............................................................. Bng 2.7: Ch s d n/tin gi khch hng .............................................. Bng 2.8: Ch s chng khon thanh khon ............................................... Bng 2.9: Ch s trng thi rng i vi cc TCTD ................................... Bng 2.10: Ch s (tin mt + tin gi ti cc TCTD)/tin gi khch hng 39 41 43 44 45 46 48 34 36 38

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M U
1. Tnh cp thit ca ti: Thanh khon v qun tr ri ro thanh khon l yu t quyt nh s an ton trong hot ng ca bt k ngn hng thng mi no. Trong th gii ngy nay, nhiu ngn hng ang phi i mt vi tnh trng cng thng thanh khon (liquidity strains), khi m s cnh tranh khc lit v thu ht tin gi buc cc ngn hng phi tm kim cc ngun ti tr khc. Kh nng thanh khon khng hp l l du hiu u tin ca tnh trng bt n v ti chnh. Cng vi s pht trin ca th trng ti chnh, c hi v ri ro trong qun tr thanh khon ca cc ngn hng thng mi cng gia tng tng ng. iu ny cho thy tm quan trng ca vic k hoch c nhu cu thanh khon bng cc phng php mang tnh n nh v chi ph thp ti tr cho hot ng ca cc ngn hng thng mi trong th gii cnh tranh ngy cng gia tng. Vi tc tng trng kh cao v v th ngy cng c khng nh trn trng quc t, Vit Nam ang l im n ca cc dng vn u t nc ngoi. ng gp vo thnh cng , khng th khng k n ngnh ngn hng, c xem l mnh mu ca nn kinh t. Tuy nhin, vi xu th hi nhp ngy cng su rng vo nn kinh t khu vc v th gii, cng vi nhng g din ra trn th trng tin t Vit Nam nhng thng cui nm 2007 v u nm 2008 cho thy vn thanh khon v qun tr ri ro thanh khon ca cc ngn hng thng mi c ngha cp bch c v l lun v thc tin. Trn c s vn dng nhng l thuyt c hc trong chng trnh o to bc cao hc - Trng i hc Kinh t Thnh ph H Ch Minh vo iu kin Vit Nam, Lun vn ny bn v Nng cao hiu qu qun tr ri ro thanh khon trong cc ngn hng thng mi Vit Nam. 2. i tng v phm vi nghin cu: Tng quan v ngn hng thng mi, qun tr ri ro trong kinh doanh ngn hng v qun tr ri ro thanh khon; tnh thanh khon v qun tr thanh khon ca cc ngn hng thng mi Vit Nam; nhng tn ti, hn ch trong lnh vc ny v

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mt s bin php nng cao hiu qu qun tr ri ro thanh khon trong cc ngn hng thng mi Vit Nam. Phm vi nghin cu: n cui nm 2008, c 4 ngn hng thng mi nh nc, 37 ngn hng thng mi c phn trong 3 ngn hng mi c cp giy php thnh lp v hot ng, gm: Bo Vit, Tin Phong, Lin Vit. Nh vy, c 38/41 ngn hng hot ng, c s liu lch s; nhng trong 4 ngn hng cha cung cp bo co thng nin, bo co ti chnh trn website ca ngn hng mnh: Bc , Du Kh Ton Cu, Nht, Vit Nam Thng Tn, nn hc vin khng thu thp c s liu. Tuy nhin, cc ngn hng ny c quy m khng ln, khng c s khc bit ng k no so vi cc ngn hng cn li, do vy, khng nh hng n kt qu phn tch. Lun vn s kho st 34/41 ngn hng thng mi ni a, khng xt ngn hng lin doanh v chi nhnh ngn hng nc ngoi. 3. Phng php nghin cu: Lun vn s dng cc phng php: m t - gii thch, so snh - i chiu, phn tch - tng hp, thng k m t, kim nh gi thit... 4. Nhng kt qu t c ca Lun vn: Mt l, phn tch ni dung c bn ca qun tr ri ro trong kinh doanh ngn hng v qun tr ri ro thanh khon. Hai l, nh gi tnh thanh khon v qun tr ri ro thanh khon, tm ra nhng hn ch, tn ti v mt s bin php nhm hon thin hot ng ny trong thi gian n cc ngn hng thng mi Vit Nam. 5. Ni dung kt cu ca Lun vn: Ngoi phn m u, kt lun, th mc, ti liu tham kho, Lun vn gm 3 chng.

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CHNG 1
TNG QUAN V QUN TR RI RO KINH DOANH V QUN TR RI RO THANH KHON TRONG NGN HNG THNG MI 1.1 Tng quan v ngn hng thng mi: 1.1.1 Khi nim: Ngn hng thng mi l mt trung gian ti chnh ng vai tr quan trng trong vic m bo nn kinh t hot ng nhp nhng, hiu qu. Ngn hng thng mi l loi hnh ngn hng giao dch trc tip vi cc t chc kinh t v c nhn, bng cch nhn tin gi, tin tit kim, ri s dng s vn cho vay, chit khu, cung cp cc phng tin thanh ton v dch v ngn hng cho cc i tng nu trn. Ngn hng thng mi l loi hnh ngn hng c s lng ln v rt ph bin trong nn kinh t th trng. S c mt ca loi hnh ngn hng ny trong hu ht cc hot ng kinh t x hi chng t rng: u c mt h thng ngn hng thng mi pht trin, th s c s pht trin vi tc cao ca nn kinh t. Theo Lut cc t chc tn dng do Quc hi nc Cng ho x hi ch ngha Vit Nam, kho X, k hp th hai thng qua vo ngy 12 thng 12 nm 1997: Ngn hng l loi hnh t chc tn dng c thc hin ton b hot ng ngn hng v cc hot ng khc c lin quan (Khon 2 iu 20). Lut ny cn xc nh: T chc tn dng l doanh nghip c thnh lp theo quy nh ca Lut ny v cc quy nh khc ca php lut hot ng kinh doanh tin t, lm dch v ngn hng vi ni dung nhn tin gi v s dng tin gi cp tn dng, cung ng cc dch v thanh ton (Khon 1 iu 20) v Hot ng ngn hng l hot ng kinh doanh tin t v dch v ngn hng vi ni dung thng xuyn l nhn tin gi, s dng s tin ny cp tn dng v cung ng cc dch v thanh ton (Khon 7 iu 20). o lut ngn hng ca Cng ho Php khng nh: Ngn hng thng mi l nhng c s m ngh nghip thng xuyn l nhn tin bc ca cng chng di hnh thc k thc hoc di cc hnh thc khc v s dng ngun lc cho chnh h trong cc nghip v v chit khu, tn dng v ti chnh.

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Nh vy, ngn hng thng mi l mt nh ch ti chnh trung gian quan trng trong nn kinh t th trng. Nh h thng nh ch ti chnh trung gian ny m cc ngun tin nhn ri nm ri rc trong x hi s c huy ng, tp trung li, ng thi s vn c s dng cp tn dng cho cc t chc kinh t v c nhn vi mc ch pht trin kinh t x hi. 1.1.2 Chc nng ca ngn hng thng mi: Trong iu kin ca nn kinh t th trng v h thng ngn hng pht trin, ngn hng thng mi c ba chc nng c bn: chc nng trung gian tn dng, chc nng trung gian thanh ton, chc nng cung ng dch v ngn hng. Chc nng trung gian tn dng: ngn hng thng mi ng vai tr trung gian trong vic tp trung, huy ng cc ngun tin t tm thi, nhn ri trong nn kinh t, bao gm: tin tit kim ca dn c, vn bng tin ca cc n v, t chc kinh t; bin n thnh ngun vn tn dng cho vay (cp tn dng), p ng cc nhu cu vn kinh doanh, vn u t cho cc ngnh kinh t v nhu cu vn tiu dng ca x hi. Chc nng trung gian thanh ton: ngn hng thng mi ng ra lm trung gian thanh ton thc hin cc giao dch gia ngi mua vi ngi bn, gia cc khch hng vi nhau nhm hon tt cc quan h kinh t thng mi ca cc i tng nu trn. Chc nng cung ng dch v ngn hng: nhu cu ca khch hng ngy cng a dng; do vy, ngoi chc nng trung gian tn dng, trung gian thanh ton ton, ngn hng thng mi cn thc hin chc nng cung ng dch v ngn hng. 1.2 Qun tr ri ro trong kinh doanh ngn hng: 1.2.1 Khi nim v ri ro: C nhiu nh ngha khc nhau v ri ro, nhng nhn chung c th chia lm hai quan im sau: Theo quan im truyn thng: Ri ro l nhng thit hi, mt mt, nguy him hoc cc yu t khc lin quan n nguy him, kh khn, hoc iu khng

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chc chn c th xy ra cho con ngi. X hi loi ngi cng pht trin, hot ng ca con ngi cng a dng, th nhiu loi ri ro mi pht sinh. Theo quan im trung ho: Ri ro l s bt trc c th o lng c. Ri ro va mang tnh tch cc, va mang tnh tiu cc, theo ngha ri ro c th mang n cho con ngi nhng tn tht, mt mt, nguy him, nhng cng c th mang n nhng c hi, thi c khng ng. Nu tch cc nghin cu, nhn dng ri ro, chng ta c th tm ra c nhng bin php phng nga, hn ch mt tiu cc v tn dng, pht huy mt tch cc do ri ro mang ti. 1.2.2 Ri ro trong kinh doanh ngn hng: Ri ro trong kinh doanh ngn hng c hiu l nhng bin c khng mong i m khi xy ra s dn n s tn tht v ti sn ca ngn hng, gim st li nhun thc t so vi d kin hoc phi b ra thm mt khon chi ph c th hon thnh c mt nghip v ti chnh nht nh. Qua khi nim nu trn, c th rt ra mt s nhn xt sau hiu r hn v bn cht ca ri ro: Mt l, ri ro v li nhun k vng ca ngn hng l hai i lng ng bin vi nhau trong mt phm vi nht nh. Hai l, khi cp n ri ro, ngi ta thng nhc n hai yu t mang tnh c trng ca ri ro l bin ri ro: mc thit hi do ri ro gy ra v tn sut xut hin ri ro: s trng hp thun li ri ro xut hin/tng s trng hp ng kh nng. Ba l, ri ro l yu t khch quan, nn ngi ta khng th no loi tr c hn m ch c th hn ch s xut hin v nhng tc hi ca chng gy ra. Cc loi ri to trong kinh doanh ngn hng: C bn loi ri ro c bn trong kinh doanh ngn hng: Ri ro tn dng: l loi ri ro pht sinh trong qu trnh cp tn dng ca ngn hng, biu hin trn thc t qua vic khch hng khng tr c n hoc tr n khng ng hn cho ngn hng.

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Ri ro t gi hi oi: l loi ri ro pht sinh trong qu trnh cho vay ngoi t hoc kinh doanh ngoi t khi t gi bin ng theo chiu hng bt li cho ngn hng. Ri ro li sut: l loi ri ro xut hin khi c s thay i ca li sut th trng hoc ca nhng yu t c lin quan n li sut dn n tn tht v ti sn hoc lm gim thu nhp ca ngn hng. Ri ro thanh khon: l loi ri ro xut hin trong trng hp ngn hng thiu kh nng chi tr do khng chuyn i kp cc loi ti sn ra tin mt hoc khng th vay mn p ng yu cu ca cc hp ng thanh ton. 1.2.3 Qun tr ri ro trong kinh doanh ngn hng: Theo quan im ca trng phi mi, c nhiu ngi ng thun, cho rng cn qun tr tt c cc loi ri ro trong kinh doanh ngn hng mt cch ton din. Theo , qun tr ri ro l qu trnh tip cn ri ro mt cch khoa hc, ton din v c h thng nhm nhn dng, kim sot, phng nga v gim thiu nhng tn tht, mt mt, nhng nh hng bt li ca ri ro. Qun tr ri ro bao gm nm bc: nhn dng ri ro, phn tch ri ro, o lng ri ro, kim sot, phng nga v ti tr ri ro. Nhn dng ri ro: iu kin tin quyt qun tr ri ro l phi nhn dng c ri ro. Nhn dng ri ro l qu trnh xc nh lin tc v c h thng cc hot ng kinh doanh ca ngn hng; bao gm: vic theo di, xem xt, nghin cu mi trng hot ng v ton b hot ng ca ngn hng nhm thng k c tt c cc loi ri ro, k c d bo nhng loi ri ro mi c th xut hin trong tng lai, t c cc bin php kim sot, ti tr cho tng loi ri ro ph hp. Phn tch ri ro: y chnh l vic tm ra nguyn nhn gy ra ri ro. Phn tch ri ro nhm ra bin php hu hiu phng nga ri ro. Trn c s tm ra cc nguyn nhn, tc ng n cc nguyn nhn lm thay i chng, qua s phng nga ri ro mt cch hiu qu hn.

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o lng ri ro: Mun vy, phi thu thp s liu, lp ma trn o lng ri ro v phn tch, nh gi. nh gi mc quan trng ca ri ro i vi ngn hng, ngi ta s dng hai tiu ch: tn sut xut hin ca ri ro v bin ca ri ro, tc l mc nghim trng ca tn tht, y l tiu ch c vai tr quyt nh. Kim sot, phng nga ri ro: Kim sot ri ro l trng tm ca qun tr ri ro. l vic s dng cc bin php, k thut, cng c, chin lc, cc chng trnh hot ng ngn nga, phng trnh hoc gim thiu nhng tn tht, nhng nh hng khng mong i c th xy ra i vi ngn hng. Cc bin php kim sot c th l: phng trnh ri ro, ngn nga tn tht, chuyn giao ri ro, a dng ri ro, qun tr thng tin, ... Ti tr ri ro: Mc d, thc hin cc bin php phng nga, nhng ri ro vn c th xy ra. Khi , trc ht cn theo di, xc nh chnh xc nhng tn tht v ti sn, ngun nhn lc hoc v gi tr php l. Sau , cn thit lp cc bin php ti tr ph hp. Nhn chung, cc bin php ny c chia lm hai nhm: t khc phc v chuyn giao ri ro. 1.2.4 Nguyn nhn dn n ri ro trong kinh doanh ngn hng: C ba nhm nguyn nhn dn n ri ro: Nhm nguyn nhn thuc v nng lc qun tr ngn hng: Do khng qun l cht ch thanh khon dn n thiu kh nng chi tr. Cho vay v u t qu mc, v d tp trung cho vay qu nhiu vo mt doanh nghip hoc mt ngnh no ; trong u t ch ch trng vo mt loi chng khon c ri ro cao. Do thiu am hiu th trng, thiu thng tin hoc phn tch thng tin khng y dn n cho vay hoc u t khng hp l. Do hot ng kinh doanh tri php lut, tham ... Do cn b ngn hng thiu o c ngh nghip, yu km v trnh nghip v.

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Nhm nguyn nhn thuc v pha khch hng: Do khch hng vay vn thiu nng lc php l. Do khch hng s dng vn sai mc ch, km hiu qu. Khch hng kinh doanh thua l lin tc, hng ho khng tiu th c. Qun l vn khng hp l dn n thiu kh nng thanh khon. Ch doanh nghip vay vn thiu nng lc iu hnh, tham , la o. Nhm nguyn nhn khch quan t mi trng hot ng kinh doanh: Do thin tai, ho hon. Tnh hnh an ninh, chnh tr trong nc, khu vc khng n nh. Do khng hong hoc suy thoi kinh t, lm pht, mt cn bng cn cn thanh ton quc t dn n t gi hi oi bin ng bt thng. Mi trng php l bt li, lng lo trong qun l v m. 1.2.5 nh hng ca ri ro n hot ng kinh doanh ca ngn hng v nn kinh t -x hi: Ri ro xy ra s gy tn tht v ti sn cho ngn hng. Nhng tn tht thng gp l mt vn khi cho vay, gia tng chi ph hot ng, gim st li nhun, gim st gi tr ca ti sn,... Ri ro lm gim uy tn ca ngn hng, s tn nhim ca khch hng v c th nh mt thng hiu ca ngn hng. Mt ngn hng kinh doanh b l lin tc hoc thng xuyn khng kh nng thanh khon c th dn n mt cuc rt tin quy m ln v con ng ph sn l tt yu. Ri ro khin ngn hng b l v b ph sn, s nh hng n hng ngn ngi gi tin, hng ngn doanh nghip khng c p ng vn... lm cho nn kinh t b suy thoi, gi c tng cao, sc mua gim st, tht nghip tng, gy ri lon trt t x hi, v hn na s ko theo s sp ca hng lot cc ngn hng trong nc v khu vc. Ngoi ra, s ph sn ca mt ngn hng s dn n s hong lon ca hng lot ngn hng khc v nh hng xu n ton b nn kinh t. Ri ro trong hot ng tn dng cn nh hng n kinh t th gii, bi l trong iu kin hi nhp v ton cu ho v kinh t hin nay, nn kinh t ca mi

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quc gia u ph thuc vo nn kinh t khu vc v th gii. Mt khc, mi lin h v tin t, u t gia cc nc gia tng rt nhanh nn ri ro tn dng mt nc lun nh hng trc tip n nn kinh t cc nc lin quan. Thc tin chng minh qua cuc khng hong tin t Chu (1997) v cuc khng hong ti chnh Nam M (2001-2002). 1.3 Qun tr ri ro thanh khon: 1.3.1 Khi nim v thanh khon v ri ro thanh khon: Tnh thanh khon ca ngn hng thng mi c xem nh kh nng tc thi (the short-run ability) p ng nhu cu rt tin gi v gii ngn cc khon tn dng cam kt. Nh vy, ri ro thanh khon l loi ri ro khi ngn hng khng c kh nng cung ng y lng tin mt cho nhu cu thanh khon tc thi; hoc cung ng nhng vi chi ph cao. Ni cch khc, y l loi ri ro xut hin trong trng hp ngn hng thiu kh nng chi tr do khng chuyn i kp cc loi ti sn ra tin mt hoc khng th vay mn p ng yu cu ca cc hp ng thanh ton. 1.3.2 Ni dung qun tr ri ro thanh khon: Qun tr ri ro thanh khon l vic qun l c hiu qu cu trc tnh thanh khon (tnh lng) ca ti sn v qun l tt cu trc danh mc ca ngun vn. Bn cht ca hot ng qun tr ri ro thanh khon trong ngn hng c th c kt hai ni dung sau: Mt l, him khi no ti mt thi im m tng cung thanh khon bng vi tng cu thanh khon. Do vy, ngn hng phi thng xuyn i mt vi tnh trng thm ht hay thng d thanh khon. Hai l, thanh khon v kh nng sinh li l hai i lng t l nghch vi nhau, ngha l mt ti sn c tnh thanh khon cng cao th kh nng sinh li ca ti sn cng thp v ngc li; mt ngun vn c tnh thanh khon cng cao th thng c chi ph huy ng cng ln v do , lm gim kh nng sinh li khi s dng cho vay.

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Ngn hng cn d tr thanh khon chi tr nhng chi ph thng xuyn, nh li tin gi..., v c nhng c sc thanh khon khng mong i, nh mt cuc rt tin gi hng lot hay yu cu vay vn ln. Mt v d in hnh cho c sc thanh khon l nhiu ngi x n ngn hng rt tin cng mt thi im. Trong hon cnh , hu nh khng mt ngn hng no c th p ng ht nhng yu cu ny v d dn n nguy c sp , ngay c khi ngn hng cha mt kh nng thanh ton. Tt nhin, kh nng d tr thanh khon km cha hn s a n s sp ca mt ngn hng, nhng chn chc, ngn hng s phi b ra mt khon chi ph ln ng ph vi mt c sc thanh khon khng lng trc. V iu s lm gim ng k li nhun ca ngn hng v suy n cng kh nng sp l hon ton c th. Thanh khon mang ngha thi im rt ln, theo ngha, mt s yu cu thanh khon l tc thi hoc gn nh tc thi. Chng hn, mt khon tin gi ln n hn v khch hng khng c nh tip tc duy tr s vn ny ti ngn hng; khi , ngn hng buc phi tm kim cc ngun vn c th s dng ngay nh vay t TCTD khc. Ngoi ra, yu t thi v, chu k cng rt ng quan trng trong vic d kin cu thanh khon di hn. V d, cu v thanh khon thng rt ln vo ma h, cui h gn vi ngy tu trng, ngy ngh v cc k hoch du lch ca khch hng. Vic k hoch c nhng yu cu thanh khon ny, s gip ngn hng hoch nh c nhiu ngun p ng cu thanh khon di hn hn l trong trng hp i vi cu thanh khon ngn hn. 1.3.3 Cc nguyn nhn dn n ri ro thanh khon: Thanh khon c vn ca mt ngn hng c th do cc nguyn nhn c bn sau y: Mt l, ngn hng vay mn qu nhiu cc khon tin gi ngn hn t cc c nhn v nh ch ti chnh khc; sau chuyn ho chng thnh nhng ti sn u t di hn. Cho nn, xy ra tnh trng mt cn i v k hn gia ngun vn v s dng vn, m thng gp l dng tin thu v t ti sn u t nh hn dng tin chi ra tr cc khon tin gi n hn.

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Hai l, s thay i ca li sut c th tc ng n c ngi gi tin v ngi vay vn. Khi li sut gim, mt s ngi gi tin rt vn khi ngn hng u t vo ni c t sut sinh li cao hn; cn nhng ngi i vay tch cc tip cn cc khon tn dng v li sut thp hn trc. Nh vy, rt cuc li sut thay i s nh hng trng thi thanh khon ca ngn hng. Hn na, nhng xu hng ca s thay i li sut cn nh hng n gi tr th trng ca cc ti sn m ngn hng c th em bn tng thm ngun cung thanh khon v trc tip nh hng n chi ph vay mn trn th trng tin t. Ba l, do ngn hng c chin lc qun tr ri ro thanh khon khng ph hp v km hiu qu nh: cc chng khon ang s hu c tnh thanh khon thp, d tr ca ngn hng khng cho nhu cu chi tr... 1.3.4 Cung v cu v thanh khon: Yu cu thanh khon ca mt ngn hng c th c xem xt bng m hnh cung - cu v thanh khon. Cung v thanh khon: Cung thanh khon l cc khon vn lm tng kh nng chi tr ca ngn hng, l ngun cung cp thanh khon cho ngn hng, bao gm: - Cc khon tin gi ang n. - Doanh thu t vic bn cc dch v phi tin gi. - Thu hi cc khon tn dng cp. - Bn cc ti sn ang kinh doanh v s dng . - Vay mn trn th trng tin t. Cu v thanh khon: Cu v thanh khon l nhu cu vn cho cc mc ch hot ng ca ngn hng, cc khon lm gim qu ca ngn hng. Thng thng, trong lnh vc kinh doanh ca ngn hng, nhng hot ng to ra cu v thanh khon bao gm: - Khch hng rt tin t ti khon. - Yu cu vay vn t nhng khch hng c cht lng tn dng cao. - Thanh ton cc khon vay phi tin gi.

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- Chi ph pht sinh khi kinh doanh cc sn phm, dch v. - Thanh ton c tc bng tin. 1.3.5 nh gi trng thi thanh khon: Trng thi thanh khon rng NPL (net liquidity position) ca mt ngn hng c xc nh nh sau: NPL = Tng cung v thanh khon - Tng cu v thanh khon C ba kh nng c th xy ra sau y: Thng d thanh khon: Khi cung thanh khon vt qu cu thanh khon (NPL>0), ngn hng ang trng thi thng d thanh khon. Nh qun tr ngn hng phi cn nhc u t s vn thng d ny vo u mang li hiu qu cho ti khi chng cn c s dng p ng nhu cu thanh khon trong tng lai. Thm ht thanh khon: Khi cu thanh khon ln hn cung thanh khon (NPL<0), ngn hng phi i mt vi tnh trng thm ht thanh khon. Nh qun tr phi xem xt, quyt nh ngun ti tr thanh khon ly t u, bao gi th c v chi ph bao nhiu. Cn bng thanh khon: Khi cung thanh khon cn bng vi cu thanh khon (NPL=0), tnh trng ny c gi l cn bng thanh khon. Tuy nhin, y l tnh trng rt kh xy ra trn thc t. 1.3.6 Chin lc qun tr thanh khon: 1.3.6.1 ng li chung v qun tr thanh khon: Mt s nguyn tc mang tnh ch o sau cn c tn trng qun tr thanh khon mt cch hiu qu: Mt l, nh qun tr thanh khon phi thng xuyn bm st hot ng ca cc b phn huy ng vn v s dng vn iu phi hot ng ca cc b phn ny sao cho n khp vi nhau. Chng hn, khi mt khon tin gi ln n hn trong vi ngy ti, thng tin ny cn c chuyn ngay n nh qun tr thanh khon, c quyt sch thch hp chun b ngun vn p ng nhu cu ny. Hai l, nh qun tr thanh khon cn phi bit u, khi no khch hng gi tin, xin vay d nh rt vn hoc b sung tin gi hay tr n vay, nht l cc khch

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hng ln. Thc hin tt nguyn tc ny s gip nh qun tr thanh khon d kin trc c phn thng d hay thm ht thanh khon v x l c hiu qu tng trng hp. Ba l, nhu cu thanh khon ca ngn hng v cc quyt nh lin quan n vn thanh khon phi c phn tch trn c s lin tc, trnh ko di qu lu mt trong hai tnh trng thng d hay thm ht thanh khon. Thng d thanh khon nn c u t ng lc khi n xy ra nhm trnh mt s gim st trong thu nhp ca ngn hng; thm ht thanh khon nn c x l kp thi gim bt s cng thng trong vic vay mn hay bn ti sn. 1.3.6.2 Cc chin lc qun tr thanh khon: x l vn thanh khon, cc ngn hng c th tip cn theo ba hng sau y: - To ra ngun cung cp thanh khon t bn trong (da vo ti sn C). - Vay mn t bn ngoi (da vo ti sn N) p ng nhu cu thanh khon. - Phi hp cn bng c hai hng nu trn. Chin lc qun tr thanh khon da vo ti sn C (d tr, bn cc chng khon v ti sn): Chin lc tip cn thanh ton thc s cn gi l hc thuyt cho vay thng mi: Khi thc hin chin lc ny, ngn hng ch cho vay ngn hn. Trong trng hp nhu cu thanh khon pht sinh, ngn hng c th thu hi cc khon cho vay hoc bn n p ng nhu cu thanh khon. Hn ch ca chin lc ny l ngn hng s mt dn th phn cho vay trung, di hn. Chin lc tip cn th trng tin t cn gi l chin lc tip cn th trng vn ngn hn: Chin lc ny i hi ngn hng phi d tr thanh khon ln di hnh thc nm gi nhng ti sn c tnh thanh khon cao, ch yu l tin mt v cc chng khon ngn hn. Khi xut hin nhu cu thanh khon, ngn hng s bn ln lt cc ti sn d tr cho n khi nhu cu thanh khon c p ng. Chin lc qun tr thanh khon theo hng ny thng c gi l s chuyn ho

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ti sn, bi l ngun cung thanh khon c ti tr bng cch chuyn i ti sn phi tin mt thnh tin mt. Ti sn thanh khon phi c cc c im sau: Ph bin trn th trng nn c th chuyn ho ra tin mt cch nhanh chng. Gi c n nh khng nh hng n tc v doanh thu bn ti sn. Ngi bn c th mua li d dng vi gi khng cao hn nhiu so vi gi c bn ra khi phc khon u t ban u. Nhng ti sn c tnh thanh khon ph bin bao gm: tri phiu kho bc, cc khon vay ngn hng trung ng, tri phiu th, tin gi ti cc ngn hng khc, chng khon ca cc c quan chnh ph, chp phiu ca ngn hng khc. Nh vy, trong chin lc qun tr thanh khon da trn ti sn C, mt ngn hng c coi l qun tr thanh khon tt nu ngn hng ny c th tip cn ngun cung thanh khon vi chi ph hp l, s lng va theo yu cu v kp thi. Chin lc qun tr thanh khon da vo ti sn C c u im l ngn hng hon ton ch ng trong vic t p ng nhu cu thanh khon cho mnh m khng b l thuc vo cc ch th khc. Tuy nhin, chin lc ny cng c nhng nhc im sau: Mt khi bn ti sn tc l ngn hng mt i thu nhp m cc ti sn ny to ra. Nh vy, ngn hng chu chi ph c hi khi bn i cc ti sn u t. Phn ln cc trng hp khi bn ti sn u tn km chi ph giao dch nh hoa hng tr cho ngi mi gii chng khon. Tn tht cng ln cho ngn hng nu cc ti sn em bn b gim gi trn th trng, hoc b ngi mua p gi do phi gp rt bn p ng nhu cu thanh khon. Ngn hng phi u t nhiu vo cc ti sn c tnh thanh khon cao, li l cc ti sn c kh nng sinh li thp nn tt yu nh hng n hiu qu s dng vn ca ngn hng. Chin lc qun tr thanh khon da vo ti sn N:

- 15 -

y l chin lc qun tr thanh khon ph bin c cc ngn hng ln s dng vo nhng nm 60 v 70 ca th k trc. Trong chin lc ny, nhu cu thanh khon c p ng bng cch vay mn trn th trng tin t. Vic vay mn ch yu l p ng nhu cu thanh khon tc thi v ch thc hin khi c nhu cu thanh khon pht sinh. Ngun ti tr cho chin lc ny thng bao gm: vay qua m, vay ngn hng trung ng, bn cc hp ng mua li, pht hnh chng ch tin gi c th chuyn nhng mnh gi ln, ...Chin lc qun tr thanh khon da trn ti sn N c cc ngn hng ln s dng rng ri v c th ln n 100% nhu cu thanh khon. Nhc im ca chin lc ny l ngn hng b ph thuc vo th trng tin t khi p ng nhu cu thanh khon (nhng ng thi cng em li li nhun cao nht) do s bin ng v kh nng cho vay v li sut trn th trng tin t. Hn na, mt ngn hng vay mn qu nhiu thng b nh gi l c kh khn v ti chnh, khi thng tin ny lan rng ra, nhng khch hng gi tin s rt vn hng lot hoc ngn hng phi huy ng vn vi chi ph cao gp nhiu ln. Cng lc , cc nh ch ti chnh khc, trnh ri ro c th gp phi, s thn trng, d dt hn trong vic ti tr vn cho ngn hng ny gii quyt kh khn v thanh khon. Chin lc cn i gia ti sn C v ti sn N (qun tr thanh khon cn bng): Nh phn tch trn, c hai chin lc qun tr thanh khon da vo ti sn C v da vo ti sn N u c hn ch: chu chi ph c hi khi bn cc ti sn d tr hoc b ph thuc qu nhiu vo th trng tin t. Do , phn ln cc ngn hng thng dung ho v kt hp c hai chin lc trn to ra chin lc qun tr thanh khon cn bng. nh hng ca chin lc ny l: cc nhu cu thanh khon thng xuyn, hng ngy s c p ng bng ti sn d tr nh tin mt, chng khon kh mi, tin gi ti cc ngn hng khc ...; cc nhu cu thanh khon khng thng xuyn nhng c th d on trc nh nhu cu thanh khon theo thi v, chu k, xu

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hng ... s c p ng bng cc tho thun trc v hn mc tn dng t cc ngn hng i l hoc nh cung ng vn khc; cc nhu cu thanh khon t xut khng th d bo c p ng t vic vay mn trn th trng tin t; cc nhu cu thanh khon di hn c hoch nh v ngun ti tr l cc khon vay ngn v trung hn, chng khon c th chuyn ho thnh tin. Cc yu t nh hng n vic la chn cc ngun d tr khc nhau khi vn dng chin lc qun tr thanh khon cn bng: Tnh cp thit ca nhu cu thanh khon: Mt nhu cu thanh khon tc thi s c ti tr bng ngn qu d tr, vay qua m hoc ti chit khu ti ngn hng trung ng. Thi hn nhu cu thanh khon: Mt nhu cu thanh khon ko di vi ngy, vi tun hoc vi thng c th c ti tr bng ngun bn ti sn C hay vay trn th trng tin t. Kh nng thm nhp th trng ti sn N: Thng ch c cc ngn hng ln mi c th tham gia th trng ti sn N; cho nn nh qun tr ngn hng phi gii hn phm vi la chn cc th trng ti sn N m ngn hng mun tham gia. Chi ph v ri ro: Li sut cc ngun vn trn th trng thay i hng ngy; do , cc ngn hng phi thng xuyn theo di th trng nm bt c cc thng tin v li sut v cc iu kin cho vay i km. D bo t l li sut: Khi lp k hoch x l tnh trng thm ht thanh khon d kin, nh qun tr phi a ra cc ngun vn c th p ng nhu cu thanh khon vi li sut mong i thp nht. Trin vng chnh sch ca ngn hng trung ng v cc khon vay mn ca kho bc: Nh qun tr cng cn nghin cu ng thi ca ngn hng trung ng, tnh hnh ngn sch nh nc nh hng iu kin tn dng v d on li sut trn th trng tin t s thay i ra sao. Chng hn, mt k hoch huy ng vn ln ca chnh ph, hoc vic thc thi chnh sch tin t tht cht s lm

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gim hn mc tn dng v gia tng li sut. Khi , qun tr thanh khon gp kh khn hn v chi ph li vay ca ngn hng cng tng tng ng. Cc quy nh lin quan n ngun vn thanh khon: Cc quy nh ca cc c quan qun l ngn hng ngy cng c xu hng quc t ho nn ngn hng trong nc phi vn dng mt cch sng to v ph hp vi thng l chung. 1.3.7 Cc phng php qun l ri ro thanh khon: 1.3.7.1 Duy tr mt t l hp l gia vn dng cho d tr v vn dng cho kinh doanh (chin lc thanh khon) sao cho ph hp vi c im hot ng ca ngn hng. 1.3.7.2 m bo v t l kh nng chi tr: Ti sn C c th thanh ton ngay T l v kh nng chi tr = Ti sn N phi thanh ton ngay T chc tn dng phi thng xuyn m bo t l v kh nng chi tr i vi tng loi ng tin, vng nh sau: - T l ti thiu 25% gia gi tr cc ti sn C c th thanh ton ngay v cc ti sn N s n hn thanh ton trong thi gian 1 thng tip theo. - T l ti thiu bng 1 gia tng ti sn C c th thanh ton ngay trong khong thi gian 7 ngy lm vic tip theo v tng ti sn N phi thanh ton trong khong thi gian 7 ngy lm vic tip theo. 1.3.7.3 S dng cc phng php d bo thanh khon: C bn phng php d bo thanh khon sau y: Phng php tip cn ngun vn v s dng vn: Phng php ny bt ngun t hai thc t n gin sau: Mt l, kh nng thanh khon ca ngn hng tng khi tin gi tng v cho vay gim. Hai l, kh nng thanh khon ca ngn hng gim khi tin gi gim v cho vay tng.

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Ngay t u nm, ngn hng c lng nhu cu thanh khon ca cc thng, qu trong nm. Bt c khi no cung thanh khon v cu thanh khon khng cn bng vi nhau, ngn hng c mt lch thanh khon. lch ny c xc nh nh sau: lch thanh khon (liquidity gap) = Tng cung thanh khon (1) - Tng cu thanh khon (2). Khi (1) > (2): lch thanh khon dng. Ngn hng phi nhanh chng u t phn thanh khon thng d ny sinh li. Khi (2)>(1): lch thanh khon m. Ngn hng phi tm kim kp thi cc ngun ti tr khc nhau vi chi ph thp nht. Trn thc t, cc bc c bn trong phng php tip cn ngun vn v s dng vn nh sau: Tin vay v tin gi phi c d bo trong khong thi gian hoch nh thanh khon cho (ngy, thng, qu). Nhng thay i v tin vay v tin gi phi c tnh ton cho cng khong thi gian xc nh . Nh qun tr thanh khon c lng trng thi thanh khon rng ca ngn hng, hoc thng d hay thm ht da vo s bin i ca tin gi v cho vay. xy dng m hnh d bo v tin gi v tin vay trong tng lai, nh qun tr c th s dng cc k thut thng k khc nhau cng vi kinh nghim ca mnh. Chng hn, mt m hnh d bo v s thay i trong tin gi v tin vay c th nh sau: Thay i d kin ca tin vay ph thuc vo cc bin s sau: Tc tng trng d kin ca GDP. Li nhun doanh nghip d kin. T l tng trng v cung tin ca ngn hng thng mi. T l tng trng ca tn dng thng mi. T l lm pht d bo. Thay i d kin ca tin gi ph thuc vo cc bin s sau:

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Tng trng v thu nhp c nhn d kin. Mc tng bn l d bo. T l tng trng cung tin ca ngn hng trung ng. Li sut d kin ca tin gi trn th trng tin t. T l lm pht d kin. Sau khi xy dng c m hnh d bo nu trn, ngn hng c th c lng nhu cu thanh khon bng cch tnh: Mc thng d (+) hay thm ht (-) thanh khon = Thay i d kin ca tin gi Thay i d kin ca tin vay

Phng php tip cn cu trc vn: Phng php ny c tin hnh theo trnh t hai bc: Bc 1: Chia cc khon tin gi v cc ngun khc thnh nhiu loi trn c s c lng xc sut rt tin ca khch hng. Chng hn, tin gi v cc ngun khc ca ngn hng c th chia thnh ba loi: Loi 1: n nh thp. Loi 2: n nh va phi. Loi 3: n nh cao. Bc 2: Xc nh mc d tr thanh khon cho tng loi tin gi trn c s n nh t l d tr thch hp vi trng thi ca chng. V d: Loi 1: 95%. Loi 2: 30%. Loi 3: 15%. Nh vy, nhu cu thanh khon cho tng cc loi tin gi c tnh nh sau: D tr thanh khon cho ti sn N huy ng = 95% x (Loi 1 DTBB) + 30% x (Loi 2 DTBB) + 15% x (Loi 3 DTBB). i vi nhu cu vay vn ca khch hng, ngn hng phi sn sng khi khch hng c nhu cu v m bo cc iu kin tn dng tc l cc khon vay cht lng cao. Trong trng hp ny, nhu cu thanh khon cho cc khon cho vay l:

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D tr thanh khon cho ti sn C cho vay = D tr thanh khon ti sn N huy ng + Nhu cu tin vay tim nng. Phng php xc nh xc sut mi tnh hung: Phng php ny c thc hin theo trnh t hai bc: Bc 1: Ngn hng d on kh nng xy ra ca mi trng thi thanh khon theo ba cp : Kh nng xu nht khi: tin gi xung thp di mc d kin hoc tin vay ln cao trn mc d kin. Kh nng tt nht khi: tin gi ln cao trn mc d kin hoc tin vay xung thp di mc d kin. Kh nng thc t: nm cp no gia hai cp trn. Bc 2: Xc nh nhu cu thanh khon theo cng thc:
n

Trng thi thanh khon d kin = PixSDi

i=1

Trong :

Pi: Xc sut tng ng vi mt trong ba kh nng. SDi: Thng d hay thm ht thanh khon theo mi kh nng.

Phng php tip cn ch s thanh khon: Phng php ny da trn c s kinh nghim ring c ca ngn hng v cc ch s trung bnh trong ngnh. Nm ch s thanh khon sau thng c s dng: Tin mt + tin gi ti cc nh ch ti chnh Trng thi tin mt = Ti sn C Ch s ny cng cao chng t ngn hng c kh nng x l cc tnh hung thanh khon tc thi. Trng thi tin mt ph thuc vo: Cc yu t m ngn hng c th kim sot c: - Nhm yu t lm tng qu tin t: Bn chng khon, nhn li chng khon; vay qua m, pht hnh chng ch tin gi hay nhn tin gi khch hng; nhng khon tn dng n hn thu hi.

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- Nhm yu t lm gim qu tin t: Mua chng khon, tr li tin gi; khch hng rt tin theo nh k; tr n vay n hn; cho vay qua m; thanh ton ph dch v cho ngn hng khc. Cc yu t m ngn hng khng th kim sot c: - Nhm yu t lm tng qu tin t: Nhng khon tin nhn c t nghip v thanh ton b tr; cc khon thu thu h, tin mt trong qu trnh thu (tin ang chuyn). - Nhm yu t lm gim qu tin t: Cc khon phi tr trong nghip v thanh ton tin mt; thu phi thanh ton cho ngn sch; khch hng rt tin gi trc hn. Chng khon chnh ph Chng khon c tnh thanh khon = Ti sn C T l chng khon chnh ph cng cao, trng thi thanh khon cng tt. Tng cho vay qua m - tng n qua m V tr thanh khon = cho vay qua m Kh nng thanh khon tng khi ch s ny tng. Gi tr chng khon cm c T s chng khon cm c = Tng gi tr chng khon Kh nng thanh khon tng khi ch s ny gim. Tin gi giao dch T s thnh phn tin bin ng = Tng s tin gi T s ny gim th hin yu cu thanh khon gim v tnh n nh ca tin gi tng. 1.3.8 Cc tiu chun cui cng cho vic nh gi qun tr thanh khon: Ti sn C

- 22 -

Trn thc t, khng mt ngn hng no c th khng nh d tr thanh khon ca ngn hng mnh hp l hay khng, nu nh cha vt qua th thch ca th trng. Do vy, cc nh qun tr cn ch n cc tn hiu sau y ca th trng ti chnh: Lng tin ca cng chng: Cc c nhn v t chc c lo ngi v kh nng thanh khon ca ngn hng? S vn ng trong gi c c phiu: Gi c phiu ca ngn hng ang gim st c phi do nh u t lo ngi v mt cuc khng hong thanh khon c th xy ra i vi ngn hng? Phn b ri ro trn chng ch tin gi v cc khon cho vay khc: Phn b ri ro ny c cao hn mc bnh qun trn th trng; iu th hin nh u t c nhng lo ngi v tng lai pht trin ca ngn hng? Tn tht trong vic bn ti sn: Ngn hng c phi thng xuyn bn ti sn vi tn tht ng k nhm p ng nhu cu thanh khon? Kh nng p ng yu cu tn dng ca khch hng: Vi khon tn dng cht lng cao, ngn hng lun c kh nng p ng hay t chi? Vay vn t ngn hng trung ng: Ngn hng c phi nm trong tnh hung bt buc phi vay nhng khon ln t ngn hng trung ng m bo kh nng thanh ton? Nu cu tr li l c cho bt k tn hiu no trn y, nh qun tr cn xem xt li chin lc qun tr v thc t kh nng thanh khon c cc quyt nh thay i ph hp nhm mang li mt kt qu tt hn cho trng thi thanh khon. 1.4 Kim nh cc gi thit v kh nng thanh khon: phn nh tnh thanh khon v mc an ton trong 3 nm 2006, 2007, 2008 ca cc ngn hng thng mi Vit Nam, chng ta tnh cc h s an ton v ch s thanh khon trung bnh, bng cch cng h s, ch s ca 3 nm, ri chia ba. Cc h s, ch s bao gm: H s H1: Vn t c/Tng ngun vn huy ng; H s H2: Vn t c/Tng ti sn C; Ch s H3: (Tin mt+Tin gi ti cc TCTD)/Tng ti sn C; Ch s H4: D n/Tng ti sn C; Ch s H5: D

- 23 -

n/Tin gi khch hng; Ch s H6: (Chng khon kinh doanh+Chng khon sn sng bn)/Tng ti sn C; Ch s H7: Tin gi v cho vay TCTD/Tin gi v vay t TCTD; Ch s H8: (Tin mt+Tin gi ti TCTD)/Tin gi ca khch hng. S dng phn mm SPSS, phin bn 13.0, chng ta c bng thng k m t v cc h s an ton v ch s thanh khon trung bnh nh sau:
Descriptive Statistics N Von tu co/Tong von huy dong Von tu co/Tong tai san co Trang thai tien mat Nang luc cho vay Du no/Tien gui Chung khoan thanh khoan Trang thai rong doi voi TCTD (Tien mat + tien gui tai TCTD)/Tien gui khach hang Valid N (listwise) 34 34 34 34 34 34 34 34 34 Minimum 4,6291 4,4212 1,3425 35,1357 56,5555 ,0000 ,3760 3,4572 Maximum Mean Std. Deviation 16,9287214 9,6535622 9,1065315 12,3916479 41,4561232 6,8282490 16908,30538 28,3425040

64,1514 21,102429 37,2503 15,641409 40,0438 13,615604 74,9058 55,504179 205,9790 116,5710 24,5755 98593,14 7,750004 2901,380

147,4051 30,977884

c c s xc nh tin cy cho cc nhn nh, nh gi, phn tch trong Chng 2, chng ta s dng phn mm SPSS, phin bn 13.0 tin hnh kim nh mt s gi thit v ch s thanh khon nh sau: 1.4.1 Kim nh v ch s H3 - trng thi tin mt: Gi thit t ra l H3 = 16,8%. Kt qu phn tch bng SPSS:
One-Sample Statistics N Trang thai tien mat Mean 34 13,615604 Std. Error Std. Deviation Mean 9,1065315 1,5617573

One-Sample Test Test Value = 16.8 95% Confidence Interval of the Difference Lower Upper -6,361815 -,006977

Trang thai tien mat

t -2,039

df 33

Sig. (2-tailed) ,050

Mean Difference -3,1843964

- 24 -

Ch s H3 bnh qun ca mu l 13,62%. Qua kim nh, bc b gi thit H3=16,8%, vi xc sut phm sai lm rt thp 5%, chp nhn ch s H3<16,8% (Mean Difference = -3,1843964). iu c ngha l, v tng th, cc ngn hng thng mi Vit Nam ch d tr ti sn thanh khon cha ti 16,8% so vi tng ti sn C.
1.4.2 Kim nh v ch s H4 - nng lc cho vay:

Gi thit t ra: H4=51,1%. Kt qu phn tch bng SPSS:

One-Sample Statistics N Nang luc cho vay 34 Mean 55,504179 Std. Error Std. Deviation Mean 12,3916479 2,1251501

One-Sample Test Test Value = 51.1 95% Confidence Interval of the Difference Lower Upper ,080529 8,727830

Nang luc cho vay

t 2,072

df 33

Sig. (2-tailed) ,046

Mean Difference 4,4041792

Ch s H4 bnh qun ca mu l 55,5%. Qua kim nh, bc b gi thit H4=51,1%, vi xc sut phm sai lm rt thp 4,6%<5%, chp nhn ch s H4>51,1% (Mean Difference = 4,4041792). iu c ngha l, v tng th, cc ngn hng thng mi Vit Nam cho vay trn 51,1% so vi tng ti sn C. 1.4.3 Kim nh v ch s H5 - D n/tin gi: Gi thit t ra: H5=102%. Kt qu phn tch bng SPPS:
One-Sample Statistics N Du no/Tien gui 34 Mean 116,5710 Std. Error Std. Deviation Mean 41,4561232 7,1096665

- 25 -

One-Sample Test Test Value = 102 95% Confidence Interval of the Difference Lower Upper ,106265 29,035715

Du no/Tien gui

t 2,049

df 33

Sig. (2-tailed) ,048

Mean Difference 14,570990

Ch s H5 bnh qun ca mu l 116,57%. Qua kim nh, bc b gi thit H5=102%, vi xc sut phm sai lm rt thp 4,8%<5%, chp nhn ch s H5>102% (Mean Difference = 14,570990). Nh vy, v tng th, t l d n/tin gi ca cc ngn hng thng mi Vit Nam ln hn 102%. iu ny c ngha, bnh qun ngn hng c huy ng c 1 ng th cho vay trn 1,02 ng. m bo DTBB v kh nng thanh ton, cc ngn hng phi vay mn vn ln nhau trn th trng lin ngn hng.
1.4.4 Kim nh v ch s H6 - Chng khon thanh khon:

Gi thit t ra: H6=10,2%. Kt qu phn tch bng SPPS:

One-Sample Statistics N Chung khoan thanh khoan 34 Mean 7,750004 Std. Deviation Std. Error Mean

6,8282490 1,1710350

One-Sample Test Test Value = 10.2 95% Confidence Interval of the Difference Lower Upper -4,832485 -,067508

t Chung khoan thanh khoan -2,092

df 33

Sig. (2-tailed) ,044

Mean Difference -2,4499964

Ch s H6 bnh qun ca mu l 7,75%. Qua kim nh, bc b gi thit H6=10,2%, vi xc sut phm sai lm rt thp 4,4%<5%, chp nhn ch s H6<10,2% (Mean Difference = -2,4499964). Nh vy, v tng th, t l nm gi chng khon thanh khon ca cc ngn hng thng mi Vit Nam thp hn 10,2%. Tng cng, hai ch s H3, H6 qua kim nh cho thy, ti sn d tr thanh khon ca cc ngn hng Vit Nam l 27% (16,8% +

- 26 -

10,2%), thp hn ch s bnh qun (cash + securities)/Assets ca 100 ngn hng ln nht ca M l 32% [16]. nh gi kt qu kim nh: Mc sai lm cho php l nh hn hoc bng 5%. Cc kim nh u tho mn yu cu ny; c ngha chng ta hon ton yn tm khi bc b gi thit, bi l xc sut xy ra cho tnh hung ng vi gi thit rt thp 5%. Kt qu kim nh cho thy nhng phn tch, nh gi, nhn nh v tnh thanh khon ca cc ngn hng thng mi Chng 2 l ph hp: t l nm gi ti sn d tr cho nhu cu thanh khon thp; trong khi t l cho vay cao, ngn hng s dng gn nh ton b ngun vn huy ng c cp tn dng. Thc ra, s lng ngn hng c kho st l 34/41 ngn hng hot ng, nn mc bnh qun ca cc ch s thanh khon ca mu phn nh c mc bnh qun ca cc ch s phm vi tng th. Thc hin kim nh bng phn mm SPSS, phin bn 13.0 tng thm tin cy cho cc phn tch, nh gi phn sau. Kt lun Chng 1: Nh vy, thanh khon v qun tr ri ro thanh khon l vn thng xuyn, then cht quyt nh n s tn ti ca cc ngn hng. V l thuyt, c ba chin lc, su phng php qun tr ri ro thanh khon. Ty vo c im v phm vi, quy m hot ng, nng lc qun l v mi trng kinh t v m m ngn hng la chn chin lc, phng php qun tr thanh khon tng ng. Cc ngn hng thng mi Vit Nam nu mong mun nng cao nng lc cnh tranh v hiu qu, an ton trong hot ng, nht l trong iu kin hi nhp hin nay, vn thanh khon, qun tr ri ro thanh khon khng th xem nh. Trong thi gian qua, khi Ngn hng Nh nc thc thi chnh sch tin t tht cht, tnh thanh khon ca cc ngn hng thng mi Vit Nam gp kh khn nht nh. Chng ta s tm hiu vn ny Chng 2; qua , mt s kin ngh v gi s c a ra Chng 3, vi mong mun nh gp phn nng cao hiu qu qun tr ri ro thanh khon ca cc ngn hng thng mi Vit Nam trong thi gian ti.

- 27 -

CHNG 2
THC TRNG QUN TR RI RO THANH KHON TRONG CC NGN HNG THNG MI VIT NAM 2.1 Tng quan v h thng ngn hng thng mi Vit Nam: 2.1.1 Bc tranh tng quan v h thng ngn hng thng mi Vit Nam: Nm 1989, h thng ngn hng Vit Nam c chuyn i t h thng ngn hng mt cp, trong Ngn hng Nh nc Vit Nam l ngn hng thc hin c chc nng ca ngn hng thng mi v ngn hng trung ng, sang h thng ngn hng hai cp c nh hng th trng hn. Cc chi nhnh ngn hng nc ngoi c php tham gia vo th trng t nm 1994. Do k tha h thng ngn hng mt cp trc y, cc ngn hng thng mi nh nc hin ng vai tr chi phi trong khu vc ngn hng. Nm ngn hng thng mi nh nc gm Ngn hng Ngoi thng (tnh n cui nm 2007 c phn ho), Ngn hng Cng thng (tnh n cui nm 2008 c phn ho), Ngn hng u t v Pht trin, Ngn hng Nng nghip v Pht trin nng thn, Ngn hng pht trin Nh ng bng Sng Cu Long chim 57,05% tng d n v 58,07% tng vn huy ng ca ton h thng ngn hng Vit Nam. Cc ngn hng thng mi c phn, d gia tng nhanh chng v s lng v mt s tng mnh v ti sn C, nhng hin vn chim mt t trng khim tn trn th trng: 33,94% tng d n v 33,14% tng vn huy ng [8]. S tham gia ca cc ngn hng nc ngoi vn cn hn ch. Hot ng ca cc ngn hng ny chim khong 10% th phn trong nm 2007. Cc ngn hng nc ngoi nhn chung u tp trung vo mt phn on hp trn th trng l cc doanh nghip c vn u t nc ngoi v mt s doanh nghip chn lc trong nc. Vo gia nhng nm 1990, Vit Nam bt u ci cch h thng ngn hng, c cp Ngn hng Nh nc v cp ngn hng thng mi. cp Ngn hng Nh nc, cc hot ng ci cch c thc hin hon thin hn na khun kh php l v to thun li cho hot ng ngn hng. C ch qun l ca ngn hng trung ng c ci thin ng k thng qua vic

- 28 -

xo b cc kim sot trc tip v can thip vo hot ng ca cc ngn hng thng mi, to thm quyn t ch v nng cao trch nhim ca cc ngn hng thng mi trong vic a ra cc quyt nh kinh doanh ca ngn hng mnh. Khun kh php l cho hot ng ngn hng cng c ci thin. Lut Ngn hng Nh nc Vit Nam v Lut cc t chc tn dng Vit Nam c ban hnh thay th cc php lnh v ngn hng t tin tin hn. Cc vn bn php l h tr khc cng c ban hnh p ng vi s pht trin mi ca h thng ngn hng v ton b khu vc ti chnh. cp ngn hng thng mi, cc ngn hng thng mi nh nc c khuyn khch hot ng theo hng thng mi hn. Cc khon n xu c ngun gc t trc c phn loi v x l thng qua mt s chng trnh x l n trn phm vi c nc. Cho vay theo ch nh v cho vay chnh sch bt u c tch khi cc hot ng thng mi vi s ra i ca Ngn hng ngi ngho tin thn ca Ngn hng chnh sch hin nay, v s ra i ca Qu h tr pht trin nay l Ngn hng pht trin. Cc ngn hng thng mi c phn c cng c vt qua nhng kh khn v s v vo nhng ngy u mi thnh lp. Qun tr ngn hng cng c ci thin vi vic ban hnh mu iu l mi cho cc ngn hng thng mi c phn. Cng c vi v sp nhp bt buc loi b nhng ngn hng thng mi c phn nh khng c kh nng tn ti. Kt qu, quan nim thng mi trong h thng ngn hng c tng cng, khu vc ngn hng c cng c v Vit Nam t c s n nh ti chnh k c khi khu vc xy ra cuc khng hong ti chnh tin t nm 1997. Vo u nm 2001, Vit Nam tip tc thc hin mt chng trnh ci cch h thng ngn hng ton din c tin hnh trong nhiu nm nhm tng cng khun kh th ch, gim st v qun l cho mt khu vc ngn hng hiu qu hn; a dng ho khu vc ngn hng thng qua pht trin th trng vn; nng cao tnh minh bch v t chu trch nhim ca khu vc ti chnh; ci thin nng lc ti chnh ca h thng ngn hng; p dng cc tiu chun quc t vo hot ng ngn hng; xy dng cc chnh sch khuyn khch cc ngn hng thng mi hot ng trn c

- 29 -

s thng mi hn. Mc ch chnh ca chng trnh ci cch l nng cao nng lc cnh tranh cho tng ngn hng trong nc v ton b h thng chun b hi nhp quc t. Ngn hng Nh nc thc hin qu trnh ci cch. C ch qun l tn dng, ngoi hi v li sut c ni lng ph hp hn vi c ch th trng. Nhng hn ch i vi hot ng ca cc ngn hng nc ngoi c xo b dn. c s minh bch hn trong qu trnh xy dng cc quy nh v trong gim st ngn hng. Khun kh php l tip tc c ci cch. im ct li trong cc n lc ci cch i vi cc ngn hng thng mi l tng vn cho cc ngn hng ny, bao gm tng vn iu l, tin ti t c h s an ton vn theo tiu chun quc t l 8% v gii quyt vn n xu. Qu trnh c cu li t c mt s tin b. Khong gn 5 nghn t ng trong vn iu l ca 5 ngn hng thng mi nh nc l do chnh ph cp. Cc ngn hng thng mi nh nc c kim ton bi cc t chc kim ton quc t, ph hp vi cc tiu chun k ton quc t. Phn ln cc ngn hng thng mi c phn tng vn iu l ti thiu t mc vn php nh. V mt th ch, cc ngn hng thng mi c t chc li tng cng cht lng qun tr v hp l ho c cu t chc ca ngn hng. C s h tng cng ngh thng tin cng c hin i ho hn, to iu kin cho cc ngn hng c th cung cp cc dch v mi cho th trng. Cc quy trnh v th tc kinh doanh mi c a vo p dng trong lnh vc tn dng, qun l ti sn N, ti sn C, kim ton ni b v qun tr ri ro. Mc d, qu trnh ci cch t c nhng kt qu nht nh nu trn, nhng h thng ngn hng thng mi Vit Nam vn cn nhng tn ti, hn ch, nh hng khng nh n an ton, hiu qu hot ng v nng lc cnh tranh ca ton h thng. im yu ln nht ca h thng ngn hng Vit Nam l s chi phi ca cc ngn hng thng mi nh nc. V mt truyn thng, trn th gii, cc ngn hng thng mi nh nc c nhng ngi ch yu km, khng c kh nng em li

- 30 -

mt kt qu kinh doanh bn vng hoc thc hin cc quy nh an ton tng t nh c t ra cho cc ngn hng t nhn. Chnh ph Vit Nam nhn thy v ra l trnh c phn ho cc ngn hng thng mi nh nc. Nhng dng nh tin thc hin qu thn trng hn mc cn thit. Mt s chuyn gia nc ngoi cn cho rng cc ngn hng thng mi nh nc c th lm suy yu ln nhau nu thc thi nhng chin lc ging nhau v tr thnh nhng ngn hng a nng. Dng nh khuyn co trn ang c chnh cc ngn hng ny hin thc ho bng nhng bc i tng t nh vic bn c phn cho nhng nh u t chin lc, lin kt vi cc tng cng ty ln v kinh doanh a lnh vc. im yu quan trng khc lm hn ch kh nng cnh tranh trong h thng ngn hng l quy m nh ca khu vc ngn hng thng mi c phn v quy m nh c v tuyt i v tng i ca tng ngn hng thng mi c phn. Cui nm 2006 v nhng thng u nm 2007 chng kin cuc ua tng vn iu l ca cc ngn hng ny vi vic bn c phn cho cc ngn hng nc ngoi v t chc, c nhn trong nc. Nhng bc i ny gp phn tng nng lc ti chnh, to iu kin cho cc ngn hng hin i ho nn tng cng ngh, nng cao k nng qun tr nhng nhn chung cn nhiu vic phi lm. Mt trong nhng vn cn quan tm l cht lng ca cc khon vay. Khng phi ngu nhin m Ngn hng Nh nc ban hnh Ch th s 03/2007/CT-NHNN ngy 28/5/2007 trong khng ch d n vn cho vay, chit khu giy t c gi u t, kinh doanh chng khon mc di 3% tng d n tn dng ca cc t chc tn dng. Sau , Ngn hng Nh nc ban hnh Quyt nh s 03/2008/Q-NHNN ngy 1/2/2008 thay th Ch th s 03/2007/CT-NHNN, trong quy nh tng d n cho vay, chit khu giy t c gi u t v kinh doanh chng khon khng vt qu 20% vn iu l ca t chc tn dng. C th ni, nu mong mun nng cao nng lc cnh tranh ca cc ngn hng thng mi Vit Nam trong cuc ua ng di vi tin trnh hi nhp, khng cn

- 31 -

la chn no khc l phi tip tc ci cch h thng ngn hng Vit Nam v tt nhin con ng khng bng phng. 2.1.2 Tc ng ca iu kin kinh t v m n hot ng ca h thng ngn hng thng mi Vit Nam: Giai on 1998-2001, tc tng trng kinh t Vit Nam t thp di 7%/nm. Chnh ph thc hin nhiu gii php kch cu nhm a nn kinh t thot khi thi k suy gim. Khng th ph nhn nhng thnh cng c mang li t chnh sch . Nhng nguyn nhn ca mc tng gi chng mt nm 2004 l do cu ko, c th c gii thch mt phn t vic thc thi chnh sch c cp trn y. T l lm pht v tc tng trng GDP nm 2004 mc 9,5% v 7,7%. C l khng th chp nhn mc lm pht cao trong khi tc tng trng GDP t thp nh vy, cho nn ngay t gia thng 01 nm 2005, Ngn hng Nh nc nng li sut chit khu v li sut ti cp vn. Sau , Ngn hng Nh nc tip tc nng hai loi li sut trn cng vi li sut c bn. Tng cng trong nm 2005, Ngn hng Nh nc ba ln nng li sut chit khu v ti cp vn, hai ln nng li sut c bn. Vi ng thi ny, t l lm pht cui nm 2005 v 2006 ln lt l 8,4% v 6,6%. Tuy nhin, nm 2007 li chng kin p lc tng gi tng t nm 2004. Tnh hnh c v phc tp hn khi nn kinh t Vit Nam thc s bc vo sn chi ln WTO. Theo B K hoch v u t, u t trc tip nc ngoi nm 2007 ln n 20,3 t USD, tng 69,3% so vi nm 2006. Cng vi vn u t trc tip, dng vn gin tip cng ang vo th trng chng khon, th trng bt ng sn thng qua cc qu u t nc ngoi. Khi c lng vn u t nc ngoi ln vo th trng trong nc gy sc p ln t gi hi oi. Ngn hng Nh nc phi tung tin ng ra mua ngoi t nhm gi t gi mc c li cho xut khu. V gim nguy c lm pht, Ngn hng Nh nc li tng t l d tr bt buc thu hi lng cung tin pht hnh. Gii php c la chn trong tnh hung ny l tng t l d tr bt

- 32 -

buc ln gp i cc loi tin gi v k hn. Ngn hng Nh nc cho rng, vi gii php s kim ch c cn tng gi. Th nhng, cui nm 2007, t l lm pht mc k lc 12,63% v 4 thng u nm 2008 l 11,6%. Trc tnh hnh kh nghim trng nh vy, Ngn hng Nh nc thc hin hng lot bin php mnh nh nng t l d tr bt buc ln 11%, pht hnh tn phiu bt buc tng tr gi 20.300 t ng, thay i c ch iu hnh v tng li sut c bn, li sut chit khu, li sut ti cp vn. Kt qu ca nhng bin php mnh nu trn dn n nhng din bin phc tp trn th trng tin t nhng thng cui nm 2007 v u nm 2008. C th c nhiu kin nh gi khc nhau v kt qu t chnh sch tin t tht cht c Ngn hng Nh nc thc thi trong giai on ny (tnh n trc thi im Ngn hng Nh nc bt u h li sut c bn bng ng Vit Nam t 14%/nm xung 13%/nm). Tuy nhin, kim sot c lm pht l iu ng c ghi nhn cho chnh sch tin t ca Ngn hng Nh nc, gp phn vo thnh cng chung ca Cng vn s 319/TTg-KTTH, ngy 03/03/2008 ca Th tng Chnh ph v vic tng cng cc bin php kim ch lm pht nm 2008. Cuc khng hong bt u t nn kinh t M t cui nm 2007 v nm 2008 khin hng trm t USD tiu tan v s ly lan ny vn cha chm dt. Vit Nam cng chu nh hng nht nh t cuc khng hong trn, khi m nn kinh t trong nc ngy cng hi nhp y v su rng hn vo kinh t khu vc v th gii. Chnh sch tht cht tin t c thc thi khi lm pht gia tng cng vi tc ng t cuc khng hong kinh t ton cu lm cho hot ng sn xut kinh doanh ca cc doanh nghip ni a tr nn ht sc kh khn, c bit doanh nghip nh v va. Nguy c hng lot doanh nghip bn vc ph sn dn hin hu. Chnh ph nhn ra vn cp thit , kp thi ban hnh Ngh quyt s 30/2008/NQ-CP ngy 11/12/2008 v nhng gii php cp bch nhm ngn chn suy gim kinh t, duy tr tng trng kinh t, bo m an sinh x hi. Trin khai Ngh quyt nu trn ca Chnh ph, Ngn hng Nh nc c Ch th s 06/2008/CTNHNN ngy 31/12/2008. Tinh thn ch o ca ch th ny l iu hnh chnh sch

- 33 -

tin t linh hot, hiu qu, va ngn nga lm pht tr li, va ngn chn suy gim kinh t. Cc gii php p dng trong tnh hung ny l iu chnh gim li sut c bn v t l DTBB. n cui nm 2008, li sut c bn bng ng Vit Nam t 14%/nm xung cn 8,5%/nm; t l DTBB gim hn mt na, t mc 11% xung cn 5%. Vi s iu hnh quyt lit ca Chnh ph, Ngn hng Nh nc, lm pht c kim ch, kinh t v m c bn c gi n nh, an sinh x hi c bo m, tc tng trng GDP nm 2008 t 6,23%, t l lm pht mc 19,89%. 2.2 Thc trng qun tr ri ro thanh khon trong cc ngn hng thng mi Vit Nam: Vi chng trnh ci cch c thit lp ton din v nhng kt qu t c tng chng nh h thng ngn hng thng mi Vit Nam vng vng trc mi th thch. Tuy nhin, nhng g din ra cui nm 2007 v nhng thng u nm 2008 chng t iu ngc li. Trc cc bin php mnh ca Ngn hng Nh nc nhm kim ch lm pht, im yu thanh khon ca cc ngn hng thng mi dn l r. m bo kh nng thanh khon, cc ngn hng tng li sut thu ht tin gi ca khch hng. iu ny dn n cuc chy ua li sut vo gia thng 2 nm 2008 v c l khng c im dng nu Ngn hng Nh nc khng tut ci bng Cng in s 02/C-NHNN ngy 26/02/2008 khng ch trn li sut huy ng l 12%/nm. Li sut vay qua m trn th trng lin ngn hng c lc vt qua con s 40%/nm, l mc tng cao nht cha tng c trong lch s th trng lin ngn hng Vit Nam. Mc d, cc ngn hng u khng nh kh nng thanh khon ca ngn hng mnh vn m bo. Nhng cuc chy ua li sut khng c im dng khng th ch do chnh sch tht cht tin t mnh t Ngn hng Nh nc. l do vn qun tr ri ro kinh doanh ni chung, qun tr ri ro thanh khon ni ring cha c coi trng; cc ngn hng tng trng tn dng qu nhanh v u t vo cc lnh vc c ri ro cao nh chng khon, bt ng sn. Khi cc th trng ny st gim th kh nng thu hi cc khon cho vay b nh hng. T l tng trng tn dng bnh qun nm 2007 so vi 2006 ca 33 ngn hng thng mi l 53,22% minh chng cho nhn nh trn y (Xem Bng 2.1).

- 34 -

Bng 2.1 T l tng trng tn dng nm 2007 so vi 2006 ca 33 NHTM Vit Nam.
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Ngn hng ACB Agribank An Bnh BIDV i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MHB MSB Nam Nam Vit OCB Ocean PAC PG Sacom Saigon SCB SHB Southern Techcom VIBank Vit Vietcombank Vietinbank VPbank Western D n (triu VND) 2006 2007 17.014.419 31.810.857 186.348.408 247.092.135 1.130.930 6.858.134 98.638.838 131.983.554 736.509 1.695.079 7.970.614 17.808.599 3.363.048 11.041.087 10.207.392 18.452.151 521.006 1.051.172 5.983.267 9.419.378 2.677.532 8.912.366 602.124 1.351.742 5.836.049 11.468.742 10.113.433 13.924.999 2.888.130 6.527.868 2.047.540 2.698.695 354.254 4.363.446 4.660.540 7.557.438 663.167 4.713.442 423.501 2.768.468 801.781 1.917.609 14.394.313 35.378.147 4.852.177 7.363.557 8.206.696 19.477.603 492.983 4.183.502 4.665.207 5.874.117 8.696.101 20.486.131 9.137.163 16.744.250 2.730.263 5.764.145 67.742.519 97.531.894 80.152.334 102.190.640 4.993.976 13.287.472 293.607 628.414 Tng cng Bnh qun Tng trng tuyt i % 14.796.438 86,96 60.743.727 32,60 5.727.204 506,42 33.344.716 33,80 958.570 130,15 9.837.985 123,43 7.678.039 228,31 8.244.759 80,77 530.166 101,76 3.436.111 57,43 6.234.834 232,86 749.618 124,50 5.632.693 96,52 3.811.566 37,69 3.639.738 126,02 651.155 31,80 4.009.192 1131,73 2.896.898 62,16 4.050.275 610,75 2.344.967 553,71 1.115.828 139,17 20.983.834 145,78 2.511.380 51,76 11.270.907 137,34 3.690.519 748,61 1.208.910 25,91 11.790.030 135,58 7.607.087 83,25 3.033.882 111,12 29.789.375 43,97 22.038.306 27,50 8.293.496 166,07 334.807 114,03 302.987.012 9.181.425 53,22

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin. T l tng trng = (D n 2007-D n 2006)/D n 2006*100. Ngn hng Trustbank khng c s liu nm 2006 so snh.

- 35 -

Theo l thuyt trnh by Chng 1, cc ngn hng c th la chn chin lc, phng php qun tr thanh khon ph hp vi c im hot ng ca ngn hng mnh. Vi ngun d liu thu thp c t bo co thng nin, bo co ti chnh trong ba nm t 2006 n 2008 ca 34/41 ngn hng thng mi ni a, lun vn chn cch tip cn qua cc tiu ch v ch s thanh khon sau y nh gi tnh thanh khon v qun tr thanh khon ca cc ngn hng thng mi Vit Nam: Vn iu l. H s CAR: t l an ton vn ti thiu (vn t c/tng ti sn C ri ro quy i. H s H1: Vn t c/Tng ngun vn huy ng. H s H2: Vn t c/Tng ti sn C. Ch s H3: (Tin mt+Tin gi ti cc TCTD)/Tng ti sn C; hoc, *H3: (Tin mt+Tin gi thanh ton ti NHNN+Tin gi khng k hn ti cc TCTD)/Tng ti sn C. y l ch s trng thi tin mt. Ch s nng lc cho vay H4:D n/Tng ti sn C. Ch s H5:D n/Tin gi khch hng. Ch s chng khon thanh khon H6: (Chng khon kinh doanh+Chng khon sn sng bn)/Tng ti sn C. Ch s H7: Tin gi v cho vay TCTD/Tin gi v vay t TCTD. Ch s H8: (Tin mt+Tin gi ti TCTD)/Tin gi ca khch hng; hoc,

*H8: (Tin mt+Tin gi khng k hn ti cc TCTD)/Tin gi ca khch

hng. Tiu chun nh gi, so snh da trn cc quy nh ca Chnh ph, Ngn hng Nh nc v bo co thc nghim ca cc t chc quc t v cc ngn hng trn th gii. 2.2.1 Vn iu l v h s CAR: (Xem Bng 2.2). Ngh nh s 141/N-CP ngy 22 thng 11 nm 2006 ca Chnh ph quy nh mc vn php nh i vi ngn hng thng mi nh nc n nm 2008 v 2010 l 3.000 t VND; i vi ngn hng thng mi c phn n nm 2008 l 1.000 t

- 36 -

VND, n nm 2010 l 3.000 t VND. Cui nm 2008, phn ln cc ngn hng t c mc vn iu l ln hn vn php nh cn thit. Nhng n pht cht vn cn 3 trng hp cha th th pho vi quy nh trn. Cc ngn hng ny buc phi tip tc xy dng phng n tng vn iu l cho mc 1.000 t khi thi im quy nh ht. So snh vi cc ngn hng cc nc trong khu vc cho thy, mc vn t c ca cc ngn hng thng mi Vit Nam l kh nh b. a phn cc ngn hng trong nc ch c s vn t c vo c t 1.000 t n 7.000 t VND. C bit mt s ngn hng c vn t c tng i nh: Agribank hn 10 nghn t VND; Vietcombank hn 12 nghn t VND tnh n cui 2008; nhng vn cha bng mt ngn hng hng trung bnh trong khu vc l khong 1 t USD tng ng hn 17 nghn t VND (theo t gi do Ngn hng Nh nc cng b). Bng 2.2 Vn iu l v h s CAR (thi im 31/12/2008). VT: t VND, %
STT Ngn hng Vn iu l CAR
* *

STT

Ngn hng

Vn iu l

CAR

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB

10.924 8.755 1.182 * 7.608 6.355 2.706 500 2.880 4.068 7.219 1.000 2.800 1.550 1.000 3.400 1.500

7,20 6,70 9,04 * 7,27 12,44 38,7 * 14,36 * 23 55,50 * 16,90 48,14 * 14,21 15,8

17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34

Nam 1.253 Nam Vit 1.000 OCB 1.474 Ocean 1.000 PAC 566 PG 1.000 Sacombank 5.115 SaigonBank 1.020 SCB 2.180 SHB 2.000 Southernbank 2.027 Techcombank 3.642 Trustbank 504 VIBank 2.000 Vit 1.359 Vietcombank 12.100 Vpbank 2.117 Western 1.000

* 17,60 12,16 9,91 13,99 10,04 8,9 21 -

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng. H s CAR tham kho thm bi vit Nim yt trn th trng quc t - C hi v thch thc i vi cc NHTM Vit Nam, Nguyn Hi Bnh, Tp ch ngn hng s 13(7/2008), trang 28-33. (*) 2007.

- 37 -

Nm 2009, p lc tng vn theo nh hng trn tip tc l mt bi ton khng d g vi nhiu ngn hng. Trong khi , th trng chng khon Vit Nam c s st gim ng k t cui nm 2007, cho nn k hoch tng vn ny cng khng h d dng. Mt thng tin ng ch l Ngn hng Nh nc va trnh Th tng Chnh ph giao cho mnh ch o cc ngn hng thng mi c mc vn iu l di 2.000 t ng ch ng xy dng k hoch tng vn iu l t mc ti thiu 2.000 t ng vo thi im 31/12/2009; theo di, gim st vic tng vn ln mc 3.000 t ng vo thi im 31/12/2010; cho php c p dng cc bin php cn thit i vi ngn hng thng mi khng thc hin ng yu cu. Nh vy, c th s c thm mt hn nh vo 31/12/2009 trn hnh trnh 3.000 t ny. H s CAR (Capital Adequacy Ratios) - h s Cooke hay h s sit c tn dng, phn nh t l vn t c ti thiu ngn hng phi t c trn tng ti sn C ri ro quy i. Theo Quyt nh s 457/2005/Q-NHNN ngy 19 thng 4 nm 2005 ca Ngn hng Nh nc, cc t chc tn dng, tr chi nhnh ngn hng nc ngoi, phi duy tr t l ti thiu 8% gia vn t c so vi tng ti sn C ri ro. Nu xt theo tiu ch ny, mt s ngn hng thng mi t c; nhng nu tnh theo Hip c Basel II th rt kh t ti mc vn an ton 8% [4]. Theo nh gi chung, cc ngn hng thng mi Vit Nam s gp nhiu kh khn v thch thc nu nh p dng Hip c Basel II. Hip c Basel II quy nh t l vn an ton vn l 8%, nhng gn cht ch vi mc ri ro ca ti sn ca ngn hng; mc ri ro ny ph thuc vo nhiu yu t nh tn nhim ca khch hng, thi hn khon vay, tp trung ca khon vay vo mt nhm khch hng nht nh. Trn thc t, cc ngn hng phi duy tr mc vn cao hn so vi mc quy nh Hip c Basel I, v cc ngn hng phi b sung thm vn d phng cc ri ro hot ng. iu ny s bt li cho cc ngn hng Vit Nam, v mc ri ro hot ng thp hn cc ngn hng quc t ln nhng vn phi p dng chung mt mc vn d phng ri ro hot ng l 20% tng doanh thu. Mt bt li khc, l hu ht cc doanh nghip Vit Nam u khng c xp hng; do , cc khon vay i vi cc doanh nghip ny s chu mc ri ro 100%.

- 38 -

2.2.2 H s H1 v H2: (Xem Bng 2.3). Bng 2.3 H s H1 v H2 (thi im 31/12/2007; 31/12/2008).
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 Ngn hng NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB Nam Nam Vit OCB Ocean PAC PG Sacombank SaigonBank SCB SHB Southernbank Techcombank Trustbank VIBank Vit Vietcombank Vpbank Western Ch s H1(%) 2007 2008 4,92 6,03 4,04 6,85 7,91 16,87 60,50 13,35 14,72 22,96 58,98 15,63 5,66 40,86 13,61 12,01 14,57 6,21 16,39 8,87 17,68 13,13 12,84 16,36 11,46 21,38 14,48 9,93 102,30 5,88 16,31 7,37 13,67 22,06 4,6 5,78 7,96 41,90 31,46 11,27 36,28 45,95 14,52 21,21 55,36 11,79 6,09 28,01 10,95 18,71 8,29 13,54 19,89 12,79 15,10 7,85 18,71 12,96 10,45 24,19 7,07 16,76 6,45 14,79 45,38 Ch s H2(%) 2007 2008 4,69 5,69 3,88 6,41 4,4 5,46 -

7,33 7,38 14,44 29,53 37,70 23,93 11,77 10,13 12,83 18,67 26,62 37,10 31,48 13,52 12,68 5,36 17,50 29,01 35,63 11,98 10,55 10,72 5,74 12,72 21,88 5,85 9,87 14,08 15,76 8,15 7,65 15,02 11,93% 11,61 16,59 11,38 11,34 14,06 13,12 10,28 7,28 17,61 15,76 12,65 11,48 9,04 9,46 50,57 19,47 5,55 6,60 14,02 14,36 6,86 6,06 12,02 12,88 18,07 41,39

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin.

- 39 -

i vi hai h s H1 v H2, tiu chun chung l ln hn 5%. Nhn chung, cc ngn hng u t c. So snh ch s ny vi ch s tng ng Equity/Assets tnh bnh qun cho 100 ngn hng ln nht ca M l 8% (Theo bo co thc nghim Mananging bank liquity risk: How deposit loan synergies vary with market conditions, Evan Gate, Til Shuermann, Philip E. Strahan, April 2006, kho st 100 ngn hng ln nht M, t 1990 - 2002), cho thy phi chng vn t c ca cc ngn hng thng mi Vit Nam thp so vi quy m hot ng. Cc ngn hng tng trng ti sn qu nhanh so vi mc tng trng ca vn t c. Xt di gc an ton trong hot ng, iu nn c suy xt cn trng hn. Bng 2.4 Tin gi khch hng; tin gi, vay t TCTD khc; cho vay khch hng, s dng vn khc ca i , Gia nh, Kin Long, Trustbank nm 2007. n v tnh: t VND
Ngn hng i Gia nh Kin Long Trustbank Tin gi khch hng (1) 1.175 417 952 311,2 Tin gi, vay t TCTD khc (2) 2,4 840 505 182 Cho vay khch hng (3) 1.695 1.051 1.351 831,2 S dng Chnh vn khc lch (4) (1+2-3-4) 158,4 -676 784,5 -578,5 661,6 -555,6 151,2 -489,2

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin. S dng vn khc gm: tin mt + tin gi NHNN + tin gi v cho vay TCTD khc.

Mt ch s H1, H2 kh cao nh ngn hng i , Gia nh, Kin Long, Trustbank c th l trong nm 2007, vn t c ca cc ngn hng tng nhanh hoc tm thi cha s dng vo mc ch tng cng c s vt cht, trong khi vic thu ht tin gi khch hng khng p ng cho nhu cu cho vay. Cho nn, cc ngn hng phi huy ng cc ngun vn khc ngoi tin gi khch hng p ng nhu cu tn dng gia tng. Nhng khi hnh ng nh vy, cc ngn hng ny s gp kh khn trong u t nng cp nn tng cng ngh, m rng mng li, khi m ngun vn t c phi dnh cho vay. Xt theo phng din ny, vic duy tr mt t l cao nh vy cha hn hiu qu. Hn na, vic thu ht tin gi ca khch

- 40 -

hng gp kh khn cho thy cc ngn hng ny c nhng vn v thanh khon. S liu nm 2007 4 ngn hng nu trn cho thy r hn v nhng nhn nh ny (Xem Bng 2.4). Ring ngn hng Kin Long, do vn iu l tng cho 1.000 t vo nm 2008 theo quy nh (tng 420 t), nn h s H1, H2 nm 2008 vn cao v s vn iu l tng cha c s dng. Trng hp tng t l ngn hng Western nm 2008 vn iu l tng 800 t VND. thi cc khc, cc ngn hng thng mi Nh nc: Agribank, BIDV, MHB, Vietinbank li c h s thp, di hoc trn cht t mc 5%. Khi ri ro xy ra, cc ngn hng ny kh c kh nng chng . Bi l, vn t c c coi nh tm m gip ngn hng b p c nhng thit hi pht sinh, m bo cho ngn hng trnh khi nguy c ph sn. iu ny cho thy, tnh cp thit ca vic c phn ho cc ngn hng thng mi nh nc. Qua phn tch hai ch s H1, H2 trn y, cho thy hai thi cc khc hn nhau, mt nhm ngn hng c hai ch s tht cao, trong khi , mt nhm ngn hng c hai ch s ny tht thp. Nhm ngn hng c ch s cao cha hn tt, xt v kha cnh li nhun; hn na, c th cc ngn hng ny khng phi ch ng duy tr t l cao nh vy, m c th l huy ng vn gp kh khn. 2.2.3 Ch s trng thi tin mt H3: (Xem Bng 2.5). Ch s H3 l ch s v trng thi tin mt. Vi ngun s liu thu thp c nm 2007, 20 ngn hng c thuyt minh bo co ti chnh trong phn tch chi tit ti khon tin gi NHNN gm tin gi DTBB v tin gi thanh ton; ti khon tin gi ti cc TCTD gm tin gi khng k hn v tin gi c k hn. Trong trng hp 20 ngn hng ny, phn t s trong cng thc tnh ch s H3 bao gm: tin mt cng (+) tin gi thanh ton ti NHNN cng (+) tin gi khng k hn ti cc TCTD. Trng hp cc ngn hng cn li, do khng c thuyt minh bo co ti chnh nn phn t s nu trn s gm: tin mt cng (+) tin gi ti cc TCTD k c tin gi khng k hn v c k hn. Mc d, cch tnh gia hai trng hp c khc nhau, nhng kt qu tnh ton cng phn nh c kh nng thanh khon ca cc ngn hng. Bi l, tin gi thanh ton ti NHNN ca cc ngn hng chim t trng

- 41 -

rt nh trong ti khon tin gi ti NHNN, ch yu ti khon ny l tin gi DTBB. Ngoi ra, nu tnh c tin gi khng k hn v c k hn ti cc TCTD vo phn t s m ch s H3 thp, th khi loi tr tin gi c k hn ra khi phn t s, ch s H3 cn thp hn nhiu. Bng 2.5 Ch s trng thi tin mt (thi im 31/12/2007; 31/12/2008).
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Ngn hng NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB Ch s H3(%) 2007 2008
*

STT 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34

Ngn hng Nam Nam Vit OCB Ocean PAC PG Sacombank SaigonBank SCB SHB Southernbank Techcombank Trustbank VIBank Vit Vietcombank Vpbank Western

2,51 * 1,94 * 2,86 * 3,96 8,07 2,05 5,28 * 8,35 33,17 * 7,35 36,09 * 1,98 14,68 23,22 * 4,45 * 1,01
* * *

5,39 * 2,31 11,73 19,53 10,06 13,83 * 15,79 41,54 * 0,97 21,71 13,20 37,03 48,44

Ch s H3(%) 2007 2008 33,33 15,79 41,98 39,78 25,14 3,27 * 0,26 20,47 25,05 6,80 23,81 33,72 * 7,28 *15,54 * 1,97 13,46 * * 13,29 2,76 * * 1,39 0,71 * * 6,88 13,37 24,78 28,79 10,29 12,76 * 1,38 22,78 30,49 24,30 * * 2,77 5,92 5,39 11,05 * 11,88 32,93

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin. (*) ch s *H3.

Mt t l tin mt v tin gi cao, ngha l ch s H3 cao, m bo cho ngn hng c kh nng p ng nhu cu thanh khon tc thi. Theo s liu tnh ton nm 2007, 20 ngn hng c ch s H3 di 10%, trong mt s ngn hng c ch s rt thp di 5% nh: Agribank, BIDV, MHB, Vietinbank, An Bnh, Habubank, MB, MSB, Ocean, Saigonbank, SHB, VIBank, Vietcombank. Nhng ngn hng ny khi c nhu cu thanh khon ln, t xut, chc chn ngn hng buc phi vay trn th trng tin t vi li sut cao. Thc t chng minh cho nhn nh ny, nhng thng cui nm 2007 v u nm 2008, cc ngn hng ua nhau tng li sut tin gi v y li sut vay qua m trn th trng tin t lin ngn hng ln mc k

- 42 -

lc: 40%/nm. Mc tiu cui cng ca cc ngn hng khng c g khc l m bo kh nng thanh khon ang c nguy c suy gim. Tnh hnh ny c th gii thch nh sau: nhng bin php mnh ca Ngn hng Nh nc nh tng t l d tr bt buc, pht hnh tn phiu bt buc thu hi mt lng tin ln t lu thng v kt ca Ngn hng Nh nc. Cc ngn hng thng mi trc y khng coi trng vn thanh khon, thm ch c thi im cc ngn hng cho rng d tha vn v h li sut huy ng. Th nhng, khi chnh sch tin t tht cht c thc thi quyt lit, im yu thanh khon bc l. Khng cn cch no khc, cc ngn hng buc phi cnh tranh nhau thu ht tin gi khch hng v trong mt th cc chng , mt s ngn hng buc phi vay qua m vi li sut cao nhm m bo nhu cu thanh khon. Ch s H3 trung bnh hai nm 2006 - 2007 l 12,05%, ch s H6 trung bnh tng ng l 7,45%, tng cng hai ch s ny 19,5%; trong khi ch s tng ng (cash + securities)/Assets ca 100 ngn hng ln nht ca M l 32% [16]. iu cho thy, cc ngn hng thng mi Vit Nam d tr cc ti sn thanh khon vi t l thp so vi tng ti sn C. Ch s H3 trung bnh gia cc ngn hng nm 2006, 2007 ln lt l 11,96%, 12,14%. Sang nm 2008, nhn chung cc ngn hng c s iu chnh theo hng tch cc v ch s ny; a s trn 10%. Tuy nhin, mt s ngn hng li gim nh: Habubank, Kin Long, Nam , PAC, SHB... Trong , Habubank, SHB cha ci thin c ch s H3 m cn gim hn di 1%. 2.2.4 Ch s nng lc cho vay H4: (Xem Bng 2.6). Ch s H4 phn nh nng lc cho vay. y l ch s thanh khon m bi v cho vay l ti sn c tnh thanh khon thp nht m ngn hng nm gi. Nhn chung, hot ng ch yu ca cc ngn hng thng mi Vit Nam vn l hot ng tn dng: ch s H4 trung bnh hai nm 2006 - 2007 l 54,73%, c ngha, tnh trung bnh cc khon tn dng chim trn 54% trong tng ti sn C ca cc ngn hng. Ri ro d thy nht l ri ro li sut. Khi Ngn hng Nh nc thc thi chnh sch tin t tht cht, m bo kh nng thanh khon cc ngn hng buc phi tng li sut tin gi trong lc li sut ghi trn cc hp ng tn dng khng i.

- 43 -

Kt qu l thu nhp ca ngn hng gim i. Cha k vic mt s ngn hng s dng vn ngn hn cho vay di hn, to nn ri ro v k hn gia huy ng vn v s dng vn. Nm 2007, 14 ngn hng c ch s H4 trn 60%. Nm 2008, ch s ny cha c ci thin l my: 55,09%. Bng 2.6 Ch s nng lc cho vay (thi im 31/12/2007; 31/12/2008).
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Ngn hng NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB Ch s H4(%) 2007 2008 75,59 64,54 50,58 61,52 37,25 39,93 83,53 64,94 42,08 54,74 51,62 40,05 64,48 61,42 38,71 37,16 73,54 65,31 33,08 48,82 58,78 73,66 44,01 38,71 44,55 64,61 74,30 35,49 34,36 STT 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 Ngn hng Nam Nam Vit OCB Ocean PAC PG Sacombank SaigonBank SCB SHB Southernbank Techcombank Trustbank VIBank Vit Vietcombank Vpbank Western Ch s H4(%) 2007 2008 51,50 63,31 44,06 50,20 64,29 85,17 34,45 42,14 66,11 78,25 40,96 38,25 54,79 51,15 72,30 70,65 74,97 60,31 33,83 43,48 34,29 45,95 51,81 43,83 72,75 54,32 42,60 56,42 60,88 63,71 49,41 50,77 73,26 69,43 48,52 51,27

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin.

2.2.5 Ch s d n/tin gi khch hng H5: (Xem Bng 2.7). hiu r hn v ch s H4, chng ta xem xt chng cng vi ch s H5, l ch s d n/tin gi khch hng, nh gi cc ngn hng s dng tin gi khch hng cung ng tn dng vi t l bao nhiu phn trm. T l ny cng cao, kh nng thanh khon cng thp. Theo s liu tnh ton, nm 2007 c 21/34 ngn hng cho vay vt mc tin gi huy ng c, c bit Gia nh, HDbank, PAC, Trustbank vt trn 200%. Ch s H5 trung bnh hai nm 2006 - 2007 l 122,49%, c ngha, tnh bnh qun cc ngn hng c huy ng c 1 ng th cho vay trn 1,22 ng. Nh vy, ti sn C sinh li l cc khon tn dng chim t trng ln

- 44 -

trong tng ti sn C ca cc ngn hng, m cho vay l ti sn C c ri ro cao hn nhiu so vi cc ti sn C sinh li khc. Bn cnh , ton b tin gi khch hng c s dng cho vay, thm ch cho vay vt mc huy ng kh cao. Trong trng hp ny, cc ngn hng buc phi vay TCTD khc m bo DTBB v m bo kh nng thanh khon. Bng 2.7 Ch s d n/tin gi khch hng (thi im 31/12/2007; 31/12/2008).
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Ngn hng NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB Ch s H5(%) 2007 2008 107,43 97,52 140,09 90,68 57,54 101,21 144,25 123,90 102,76 80,56 251,98 111,24 251,77 141,95 64,49 88,59 98,19 98,52 54,24 91,52 102,22 111,13 68,76 209,11 94,89 142,39 132,19 57,95 79,44 STT 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 Ngn hng Nam Nam Vit OCB Ocean PAC PG Sacombank SaigonBank SCB SHB Southernbank Techcombank Trustbank VIBank Vit Vietcombank Vpbank Western Ch s H5(%) 2007 2008 96,32 109,28 71,06 90,91 130,94 126,50 194,80 92,62 266,82 185,15 146,17 107,56 79,98 75,89 113,87 110,49 121,96 101,35 149,15 65,76 61,53 105,47 83,70 65,16 267,11 80,59 94,67 81,94 125,94 88,25 68,88 70,89 104,10 90,68 109,78 158,78

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin.

Ch s H4 trung bnh gia cc ngn hng nm 2006, 2007 u vt trn 54%, c th l 55,38%; 54,09%. Ch s H5 trung bnh gia cc ngn hng nm 2006, 2007 u vt trn 120%: 120,19%; 124,79%. y, cn ch l: mt s ngn hng c t l cc khon tn dng/tng ti sn C thp (di 40%), nhng thc t ngn hng s dng ht tin gi ca khch hng v phi vay t TCTD khc cho vay, nh: An Bnh, Habubank, Ocean, PG, SHB; th hin qua ch s H5 u vt

- 45 -

trn 100%, ring Ocean gn 200% v ch s H7 u nh hn 1, ch ring Habubank gn nh bng 1. Nm 2008, ch s H5 trung bnh vn trn 100%: 101,54%. 2.2.6 Ch s chng khon thanh khon H6: (Xem Bng 2.8). Bng 2.8 Ch s chng khon thanh khon (thi im 31/12/2007; 31/12/2008).
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Ngn hng NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB Ch s H6(%) 2007 2008 8,75 12,85 27,26 19,91 2,53 6,68 1,59 3,18 9,83 16,88 5,47 9,44 0,22 0 2,24 12,35 9,63 12,95 1,03 10,99 1,22 2,63 3,54 14,27 0,32 0 19,86 12,04 STT 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 Ngn hng Nam Nam Vit OCB Ocean PAC PG Sacombank SaigonBank SCB SHB Southernbank Techcombank Trustbank VIBank Vit Vietcombank Vpbank Western Ch s H6(%) 2007 2008 3,76 2,60 0 0,20 2,52 1,15 17,22 27,41 3,18 1,03 17,71 19,02 17,66 12,67 0,10 0 3,64 10,84 0,07 10,08 6,66 6,05 17,30 17,69 0,59 0,12 17,00 14,03 1,30 2,96 19,22 14,32 9,98 9,96 0 0

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin.

Ch s H6 phn nh t l nm gi cc chng khon c th d dng chuyn i thnh tin mt, p ng nhu cu thanh khon trn tng ti sn C ca ngn hng. T l ny cng cao, trng thi thanh khon ca ngn hng cng tt. Kt qu tnh ton cho thy, hu ht cc ngn hng u nm gi chng khon vi t l thp. c bit, c ngn hng khng d tr loi ti sn ny cho nhu cu thanh khon nh: Kin Long, Nam Vit, Western. Ch s H6 trung bnh hai nm 2006 - 2007 ch t 7,45%. So vi nm 2006, trong nm 2007 cc ngn hng dnh mt phn vn u t chng khon. C 23/34 ngn hng gia tng ch s H6; c ngn hng t 1,84% tng ln 17,66% (Sacombank); t 9,61% ln 19,91% (Vietinbank). Mt im cn

- 46 -

lu y l, c th mt vi ngn hng d tr chng khon mc tng i, nhng cui nm 2007 th trng chng khon Vit Nam gim st rt ln nn vic nm gi cc chng khon ny cng khng ci thin c trng thi thanh khon; nu khng ni c ngn hng b thua l v kinh doanh chng khon. Sang nm 2008 mt s ngn hng tng cng nm gi cc chng khon thanh khon, nng ch s H6 ln ng k: i (1,59-10,99); SHB (0,07-10,08); tuy nhin ch s H6 trung bnh trong nm ny cng ch l 7,95%. 2.2.7 Ch s trng thi rng i vi cc TCTD H7: (Xem Bng 2.9). Bng 2.9 Ch s trng thi rng i vi cc TCTD (thi im 31/12/2007; 31/12/2008).
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Ngn hng NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB Ch s H7 2007 2008 0,68 3,30 0,57 2,37 4,17 0,78 40,40 0,50 0,90 3,91 0,87 1,01 0,21 0,95 2,65 1,05 0,81 3,38 2,64 2,53 0,77 6,06 0,84 1,04 0,94 2,63 0,59 1,08 STT 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 Ngn hng Nam Nam Vit OCB Ocean PAC PG Sacombank SaigonBank SCB SHB Southernbank Techcombank Trustbank VIBank Vit Vietcombank Vpbank Western Ch s H7 2007 2008 0,93 0,58 1,41 1,23 0,68 0,18 0,48 0,46 0,43 0,13 0,39 0,72 1,03 1,57 0,64 0,73 0,61 0,60 0,76 1,32 0,96 0,25 1,10 1,73 0,55 1,06 1,07 0,95 0,63 1,25 2,32 1,12 0,28 1,21 1,61 1,40

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin.

Nhng nhn nh khi phn tch 2 ch s H4 v H5 s c minh chng thm khi xt ch s H7 - ch s trng thi rng i vi cc TCTD. Trong nm 2007, vi 34 ngn hng c kho st c 20 ngn hng c ch s H7 nh hn 1, ngha l cc ngn hng ny i vay nhiu hn gi li i vi TCTD khc. Mt vi ngn hng nu

- 47 -

xt ring ch s H3 th kh cao, nhng khi xt kt hp vi ch s H7 cho thy ti sn thanh khon (tin mt cng(+) tin gi ti TCTD) c th c ti tr bi i vay t cc TCTD khc, nh: ng Nam , Gia nh, Kin Long, Nam , OCB, PAC, PG, Vit ; ch s H3 ln lt l 33,17%; 36,09%; 23,22%; 33,33%; 25,14%; 25,05%; 23,81; 30,49%; trong khi ch s H7 tng ng l 0,9; 0,87; 0,95; 0,93; 0,68; 0,43; 0,39; 0,63. Ring trng hp ngn hng i c ch s H7 rt cao 40,4 c th gii thch: thc cht ngn hng ny cho vay vt mc vn huy ng 144,25% (H5) v d n chim ti 83,53% trn tng ti sn C (H4), cho nn vic duy tr mc chnh lch ln gia tin gi cng (+) cho vay i vi TCTD v tin gi cng (+) i vay t TCTD ch c th l khon vn gp ca cc c ng tm thi cha s dng c gi v cho vay ti cc TCTD. Mt im cn lu y l 3/5 ngn hng thng mi nh nc: BIDV, Vietcombank (cui nm 2007 mi c phn ho) v Vietinbank u c ch s H7 ln hn 1, ln lt l: 3,3; 3,28; 2,37. iu ny chng t rng, vi li th quy m ln, nm gi nhiu giy t c gi, do vy trong cc phin u gi ca Ngn hng Nh nc bm vn, gip tng cng tnh thanh khon ca h thng, th cc ngn hng thng mi nh nc lun chim u th. Cc ngn hng thng mi c phn khng tip cn c ngun vn ny, buc phi vay li t nhng ngn hng trn nhm khc phc tnh trng cng thng thanh khon, mt phn t chnh sch tht cht tn dng ca Ngn hng Nh nc. Sang nm 2008, tnh hnh c ci thin hn, 16/34 ngn hng c ch s H7 ln hn 1. 2.2.8 Ch s (tin mt + tin gi ti cc TCTD)/tin gi khch hng H8: (Xem Bng 2.10). Ch s H8 c tnh tng t nh ch s H3, i vi trng hp 20 ngn hng c thuyt minh bo co ti chnh nm 2007, phn t s tnh ch s H8 bao gm: tin mt cng (+) tin gi khng k hn ti cc TCTD. i vi trng hp cc ngn hng cn li, phn t s nu trn tnh c tin mt cng (+) tin gi khng k hn v c k hn ti cc TCTD. Nu tnh c tin gi c k hn vo m ch s H8 thp, th khi loi khon tin gi ny ra khi tnh ton, ch s H8 cn thp hn. Do vy, c

- 48 -

hai trng hp u phn nh c kh nng thanh khon ca cc ngn hng. Vi kt qu tnh ton, 15 ngn hng c ch s H8 nh hn 10%, trong 7 ngn hng c ch s ny di 5% nh: Agribank, BIDV, MSB, Ocean, Saigonbank, VIBank, Vietcombank, ngha l cc ngn hng ny d tr cha y 10% trn tin gi khch hng m bo nhu cu thanh khon. Bng 2.10 Ch s (tin mt + tin gi ti cc TCTD)/tin gi khch hng: (thi im 31/12/2007; 31/12/2008).
STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Ngn hng NHTMNN Agribank BIDV MHB Vietinbank NHTMCP ACB An Bnh i ng ng Nam Eximbank Gia nh Habubank HDbank Kin Long MB MSB Ch s H8(%) 2007 2008
* *

STT 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34

Ngn hng Nam Nam Vit OCB Ocean PAC PG Sacombank SaigonBank SCB SHB Southernbank Techcombank Trustbank VIBank Vit Vietcombank Vpbank Western

3,57 2,92 * 7,91 * 5,83 12,47 * 5,20 9,13 15,94 81,01 * 10,82 176,15 * 5,49 57,32 53,68 * 7,42 * 2,40
* *

7,19 3,48 -

19,24 36,60 17,50 20,86 * 24,66 224,39 * 2,07 47,85 23,48 60,46 112

Ch s H8(%) 2007 2008 62,34 27,25 67,71 72,03 51,19 4,86 * 1,46 44,98 101,11 16,09 84,95 94,84 * 10,63 *23,06 * 3,11 21,05 * * 21,61 4,63 * * 6,13 1,07 * * 12,34 30,69 40,04 42,80 37,78 18,93 * 3,06 33,08 63,06 33,65 * * 3,86 8,26 7,66 14,43 * 26,88 101,99

Ngun: Bo co thng nin, Bo co ti chnh hng nm ca cc ngn hng v kt qu tnh ton ca hc vin. (*) ch s *H8.

Mt s ngn hng c ch s H8 cao nh: ng Nam , Gia nh, HDbank, Kin Long, Nam , OCB, PAC, PG, Vit . Tuy nhin, khi xt chng kt hp vi ch s H5 v H7 cho thy t l d n/tin gi khch hng (H5) ca hu ht cc ngn hng ny kh cao, t 96% tr ln; c trng hp trn 250%: Gia nh, HDbank, PAC, do vy vic duy tr mt t l cao ca ch s H8 ch yu l tin vay t TCTD khc v duy tr s vn vay ny ti khon tin mt, hoc tin gi ti cc TCTD. Ch s H7 ca hu ht cc ngn hng ny u nh hn 1, c bit c ngn hng t

- 49 -

rt thp nh: HDbank (0,21), PAC (0,43), PG(0,39) cng c thm cho nhn nh trn. Sang nm 2008, trc yu cu phi m bo mc vn iu l trn 1.000 t VND, cc ngn hng s dng nhiu phng thc tng vn iu l. Nhng s vn ny tm thi cha c s dng nn c gi cc TCTD hoc di dng tin mt, lm cho ch s H8 tng cao t bin nh: PG, Western. 2.3 Trng hp Ngn hng u t v Pht trin Vit Nam (BIDV): Ngn hng u t v Pht trin Vit Nam l mt trong nhng ngn hng thng mi nh nc. n cui nm 2008, s vn iu l ca BIDV hn 8 ngn t VND. Vi b dy pht trin 52 nm, BIDV c mng li rng khp c nc, ch xp sau Ngn hng Nng nghip v Pht trin nng thn v s im giao dch. Trong nm 2007, 2008, khng nm ngoi xu hng chung ca h thng ngn hng Vit Nam, tnh thanh khon ti BIDV cng c nhng kh khn nht nh. 2.3.1 Quy nh v hot ng qun tr thanh khon: BIDV ban hnh quy nh v qun l thanh khon vo thng 3 nm 2007. Mc ch ca quy nh ny nhm: p ng kp thi cc ngha v thanh ton n hn ca ton h thng vi chi ph hp l, m bo an ton trong hot ng; gim thiu ri ro thanh khon thng qua qu trnh nhn bit, c tnh, theo di, kim sot ri ro theo chun mc quc t; nng cao hiu qu s dng vn trong hot ng kinh doanh ngn hng. Qun l thanh khon theo quy nh ca BIDV da trn s kt hp 2 phng php: phn tch thanh khon tnh v phn tch thanh khon ng. Phng php phn tch thanh khon tnh l phng php qun l thanh khon bng cch phn tch cc ch s rt ra t bng tng kt ti sn v c s d liu hin ti, t a ra gii hn cho cc ch s m bo thanh khon. Phng php phn tch thanh khon ng l phng php qun l thanh khon bng cch d on cung, cu thanh khon, d on chnh lch cung cu (khe h) thanh khon, t a ra chnh sch qun l thanh khon. Hi ng qun l ti sn n c (ALCO) chu trch nhim m bo kh nng thanh khon ca ton h thng.

- 50 -

Phng php phn tch thanh khon tnh: cc ch s thanh khon sau y c s dng: Ch s d tr s cp: ALCO quyt nh ch s d tr s cp ca ton h thng v ca tng chi nhnh trong cuc hp nh k. D tr s cp Ch s d tr s cp = Ngun vn huy ng D tr s cp gm: s d tin mt ti qu, vng, tin gi ti NHNN, tin gi thanh ton ti cc TCTD khc. Ngun vn huy ng bng tng ti sn n tr vn ch s hu. Ch s d tr thanh ton: ALCO quyt nh ch s d tr thanh ton v cc cu phn d tr thanh ton ca ton h thng trong cuc hp nh k. D tr thanh ton Ch s d tr thanh ton = Ngun vn huy ng D tr thanh ton = D tr s cp + Giy t c gi c tnh thanh khon cao x t l iu chnh + Tin gi lin ngn hng n hn trong 1 thng ti. Giy t c gi c tnh thanh khon cao gm tn phiu, tri phiu chnh ph, cng tri gio dc, tri phiu th. T l iu chnh theo quy nh ca ALCO nhng ti a bng mc quy nh ca Ngn hng Nh nc. Ch s cho vay/tin gi: ALCO quyt nh ch s d n cho vay /tin gi trong cc cuc hp nh k. Cho vay Ch s cho vay/tin gi = Tin gi Cho vay: d n cho vay t chc kinh t, t chc ti chnh v c nhn trc d phng ri ro, cho vay cc TCTD khc, u t tin gi lin ngn hng. x 100% x 100% x 100%

- 51 -

Tin gi: Tin gi ca t chc kinh t, t chc ti chnh v c nhn (khng bao gm tin gi v vay ca cc TCTD khc). Ch s kh nng thanh ton: ALCO quyt nh gii hn ch s thanh ton 7 ngy v gii hn ch s thanh ton 1 thng nhng khng thp hn gii hn theo quy nh hin hnh ca Ngn hng Nh nc. Ch s kh nng thanh ton 7 ngy: Tng ti sn C c th thanh ton ngay trong 7 ngy lm vic tip theo = Tng ti sn N phi thanh ton ngay trong 7 ngy lm vic tip theo Ch s kh nng thanh ton 1 thng: Tng ti sn C c th thanh ton ngay trong 1 thng tip theo = Tng ti sn N phi thanh ton ngay trong 1 thng tip theo Tng ti sn C c th thanh ton ngay v tng ti sn N c th thanh ton ngay theo Quyt nh s 457/2005/Q- NHNN ngy 19/04/2005 ca Thng c Ngn hng Nh nc v vic ban hnh Quy nh v cc t l m bo an ton trong hot ng ca TCTD. Phng php phn tch thanh khon ng: gm cc bc sau: Lp bo co cung cu thanh khon: B phn h tr ALCO (phng Cn i tng hp) xy dng bo co cung cu thanh khon bng cch phn b d liu gc lung tin vo, lung tin ra n hn vo cc di k hn: 1 ngy, 2 7 ngy, 8 ngy 1 thng, 1 3 thng, 3 6 thng. Phn tch m phng thanh khon: Hng tun, b phn h tr ALCO (phng Cn i tng hp) thit lp cc kch bn trong tng lai da trn cc gi nh vi xc sut xy ra ti thiu 5%. Cc gi nh nu trong kch bn bao gm: - Gi nh thay i li sut. - Gi nh thay i mi trng kinh t v m (lm pht, tng trng, chu k kinh t) v mi trng vi m (cnh tranh ca cc t chc tn dung khc, uy tn BIDV).

- 52 -

Vi mi kch bn, cn d bo cc yu t sau: + K hoch cho vay mi. + Kh nng huy ng tin gi mi t cc t chc, c nhn. + Kh nng huy ng vn mi t pht hnh giy t c gi. + Kh nng vay cm c, chit khu ca Ngn hng nh nc. + Kh nng huy ng thm tin gi, vay cc T chc tn dng khc. + Kh nng thc hin hp ng repo (bn chng khon c cam kt mua li). + Kh nng chuyn cc ti sn khc (ti sn c nh, vn lin doanh, c phn) thnh tin mt. Phn tch kh nng thanh khon: theo tng kch bn, b phn h tr ALCO (phng Cn i tng hp) xy dng li bo co lung tin vo, lung tin ra; xc nh trng thi thanh khon d on thanh khon trong thi gian ti d tha hay thiu ht. Trn c s kt qu ca 2 phng php nu trn, ALCO s quyt nh cc bin php x l thch ng. 2.3.2 Thanh khon v qun tr thanh khon ti BIDV: Khng nm ngoi xu hng chung ca c h thng ngn hng Vit Nam, khi Ngn hng Nh nc thc thi chnh sch tin t tht cht nhm kim sot lm pht, BIDV trong vi thi im gp kh khn nht nh v thanh khon. Ch s H3 ca BIDV trong 2 nm 2006, 2007 l: 4,17%; 1,94%. Lng tin gi thanh ton ti cc t chc tn dng khc nm 2007 gim ng k so vi nm 2006; t mc trn 5 ngn t VND xung cn 2 ngn t VND, gim hn 3 ngn t VND. Trong khi , lng tin gi c k hn ti cc t chc tn dng khc tng rng trn 6 ngn t VND. D n cho vay nm 2007 tng hn 33 ngn t VND so vi nm 2006; t l tng trng l 33,8%. T l d n/tin gi mc cao trn 90%; c th l 92,62% (2006), 97,52%(2007). Nh vy, vi vic y mnh cho vay v tng lng tin gi c k hn trong nm 2007, sang u nm 2008 khi chnh sch tin tht cht c thc thi quyt lit, BIDV gp vn v thanh khon. gii quyt vn ny, BIDV tng cng tip cn cc tp on, tng cng ty nhm thu ht nhng ngun vn ln;

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tch cc tham gia cc phin u gi h tr thanh khon ca Ngn hng Nh nc ... v quy nh h s K (t s gia d n/tin gi) i vi cc chi nhnh. Vi h s K c giao, chi nhnh no c h s cao hn phi gim xung bng cch hoc y mnh huy ng vn; hoc gim d n tng ng. C th vi nhng bin php ng b nh vy, kh nng thanh khon ca BIDV c m bo; tuy nhin cc ch s thanh khon nm 2008 cha c ci thin nhiu: H3-2,31%; H5-98,52%. Ngoi l do nh hng khch quan t cc chnh sch v iu kin kinh t v m, nhng hn ch v thanh khon ca BIDV c th xut pht t cc nguyn nhn ch quan nh sau: - Mc d quy nh v qun l thanh khon c ban hnh, nhng vic trin khai p dng nht l ti cc chi nhnh cha c quan tm ng mc t cp lnh o n nhn vin. - Hi s chnh cha c quy nh c th v cc t l an ton trong hot ng cn m bo i vi cc chi nhnh. Cc gii hn t ra cho cc ch s cho ton h thng phi chng cha ph hp, nh t l d tr ti thiu ch l 8%. - B phn h tr ALCO khi lp bo co cung cu thanh khon, xy dng cc kch bn phi chng k vng nhiu vo th trng nn c nhng nh gi kh quan; t y mnh cho vay, gim d tr. Ngay c khi vn kh khn v thanh khon qua cha lu, nhng d n ca BIDV tng mnh vo cc thng cui nm 2008 - thi im Ngn hng Nh nc gim li sut c bn nhm chng suy gim kinh t, kch cu u t, tiu dng. Hin ti, cng nh cc ngn hng thng mi khc, BIDV ang tm kim nhiu gii php tng trng ngun vn p ng nhu cu vn cho hai gi kch cu ca Chnh ph theo quyt nh 131/Q-TTg ngy 23/01/2009 v 443/Q-TTg ngy 04/04/2009. nh gi chung v thanh khon v qun tr thanh khon ca cc ngn hng thng mi Vit Nam: Vi cch tip cn qua cc tiu ch v ch s thanh khon nu trn, Lun vn phn tch, nh gi, so snh cc tiu ch, ch s ny vi cc quy nh ca Chnh ph, Ngn hng Nh nc v tiu ch, ch s tng ng ca cc ngn hng trn

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th gii. Qua , phn nh di gc nht nh v tnh thanh khon v qun tr thanh khon ca cc ngn hng thng mi Vit Nam. Nhng phn tch, nh gi trn y cho thy s yu km trong hot ng qun tr ri ro thanh khon cc ngn hng thng mi Vit Nam xut pht t cc nguyn nhn ch yu nh sau: - c trng ca nn kinh t chuyn i: C th ni nhng im yu trong kh nng thanh khon ni ring v hot ng kinh doanh ni chung ca nhm ngn hng c kho st th hin cc c trng ca h thng ngn hng thng mi cc nn kinh t chuyn i. S chi phi ca s hu nh nc, nng lc qun l v mc tc ng ca cc cng c chnh sch tin t ca Ngn hng Nh nc cn yu, cha ng b, quy m cc ngn hng thng mi nh, k nng qun tr thp, nn tng cng ngh cha hin i, ... l nhng c trng d thy. Trong iu kin , khng th mong c c mt h thng ngn hng thng mi mnh nh cc quc gia pht trin khc. - Chnh sch tin t thiu nht qun v c qu nhiu mc tiu lm cho Ngn hng Nh nc trong mt s tnh hung tr nn kh khn hn khi la chn cng c tc ng, nht l trong iu kin Vit Nam, cc cng c iu tit v m trong lnh vc ti chnh, tin t cha nhiu, cha hon thin. Kt qu l, th trng tin t v cc th trng lin quan: chng khon, bt ng sn chu nh hng khng ng c t chnh sch tin t y tham vng . - Nng lc ni ti yu km ca cc ngn hng thng mi: Nhng yu km trong qun tr thanh khon ca cc ngn hng thng mi khng ch bt ngun t nhng hn ch ca iu tit v m, m cn do cc nguyn nhn ni ti ca chnh cc ngn hng ny. Mt s ch quan, mt k hoch tng trng tn dng, m rng mng li qu nhanh so vi ni lc ca ngn hng, kh nng qun l cha theo kp vi bin ng nhanh chng ca th trng, k c bin ng do chnh sch, ... u l nguyn nhn dn n cng thng thanh khon trong mt s ngn hng thng mi thi gian qua. Mt vn khc cn xem xt, l liu c phi cng tc d bo nhng thay i ca mi trng kinh doanh cc ngn hng cha c quan tm ng mc. Nu phn tch k hn, tn hiu v vic thc thi chnh sch tin t tht

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cht c Ngn hng Nh nc pht i kh sm vi ng thi tng t l DTBB ln gp i bng Quyt nh s 1141/Q-NHNN ngy 28/05/2007 v vic iu chnh t l d tr bt buc i vi TCTD. Th nhng, cc ngn hng thng mi dng nh khng quan tm, vn tip tc tng trng tn dng m khng c nhng bin php phng nga thch ng. Vic tng trng tn dng qu mc nm 2007 - c xem l mt trong nhng nguyn nhn gy ra lm pht - mt mt th hin s ch quan nht nh trong qun tr, iu hnh ca cc ngn hng; mt khc, cho thy, hot ng ca cc ngn hng thng mi Vit Nam cha theo kp xu hng ca ngn hng hin i, trong dch v l knh mang li thu nhp chnh cho ngn hng ch khng phi l knh tn dng. Nh vy, cho d c nhiu nhn t bn ngoi tc ng n kh nng thanh khon nhng cc nguyn nhn ni ti t chnh cc ngn hng thng mi Vit Nam gy ra tnh trng cng thng thanh khon trong thi gian qua l khng th ph nhn. Kt lun Chng 2: Phn tch thc t tnh thanh khon v qun tr thanh khon ca cc ngn hng c kho st cho thy: Khi li sut trn th trng lin ngn hng cn thp, cc ngn hng vay qua m m bo DTBB v kh nng thanh ton; cn ngun vn huy ng c em cho vay, m li cho vay u t vo chng khon, bt ng sn - nhng lnh vc c ri ro cao. Khi lng cung tin b sit cht cng l lc li sut tng cao, trong khi cc khon cho vay cha th thu hi (hay kh thu hi), kh nng thanh khon st gim l iu tt yu. Thm vo , cc ti sn khc nh chng khon c th d dng chuyn i sang tin mt li c d tr vi t l kh thp, cng lm cho tnh trng cng thng thanh khon trm trng thm. R rng khi Ngn hng Nh nc thc thi chnh sch tht cht tin t, kh nng thanh khon ca cc ngn hng thng mi gp kh khn nht nh. D nhin, l thch thc nhng cng l c hi cc ngn hng nhn li mnh v c cc gii php hp l nhm t n s tng trng bn vng trong tng lai trc khi qu mun. Xt mt kha cnh no , phi chng l gi tr ca lm pht.

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CHNG 3
MT S BIN PHP NHM NNG CAO HIU QU QUN TR RI RO THANH KHON TRONG CC NGN HNG THNG MI VIT NAM 3.1 nh hng pht trin ca ngnh ngn hng Vit Nam n nm 2010 v nh hng chin lc n nm 2020: n pht trin ngnh ngn hng Vit Nam n nm 2010 v nh hng chin lc n nm 2020 c Th tng chnh ph ph duyt bng Quyt nh s 112/2006/Q-TTg ngy 24/05/2006; trong t ra: 3.1.1 nh hng pht trin Ngn hng Nh nc Vit Nam n nm 2010 v nh hng chin lc n nm 2020: i mi t chc v hot ng ca Ngn hng Nh nc hnh thnh b my t chc tinh gn, chuyn nghip, c ngun lc, nng lc xy dng v thc thi chnh sch tin t theo nguyn tc th trng da trn c s cng ngh tin tin, thc hin cc thng l, chun mc quc t v hot ng ngn hng trung ng, hi nhp vi cng ng ti chnh quc t, thc hin c hiu qu chc nng qun l nh nc trn lnh vc tin t v hot ng ngn hng, ng thi to nn tng n sau nm 2010 pht trin Ngn hng Nh nc tr thnh ngn hng trung ng hin i, t trnh tin tin ca cc ngn hng trung ng trong khu vc Chu . Xy dng v thc thi c hiu qu chnh sch tin t nhm n nh gi tr ng tin, kim sot lm pht, gp phn n nh kinh t v m, tng trng kinh t v thc hin thng li cng cuc cng nghip ho, hin i ho t nc. iu hnh tin t, li sut v t gi hi oi theo c ch th trng thng qua s dng linh hot, c hiu qu cc cng c chnh sch tin t gin tip. ng dng cng ngh thng tin, m rng nhanh cc hnh thc thanh ton khng dng tin mt v thanh ton qua ngn hng. Nng dn v tin ti thc hin y tnh chuyn i ca ng tin Vit Nam. Chnh sch tin t to iu kin huy ng v phn b c hiu qu cc ngun lc ti chnh. Kt hp cht ch chnh sch tin t vi chnh sch ti kho nh hng v khuyn khch cng chng tit kim, u t v pht trin sn xut kinh doanh.

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3.1.2. nh hng pht trin cc t chc tn dng n nm 2010 v nh hng chin lc n nm 2020: Ci cch cn bn, trit v pht trin ton din h thng cc TCTD theo hng hin i, hot ng a nng t trnh pht trin trung bnh tin tin trong khu vc ASEAN vi cu trc a dng v s hu, v loi hnh TCTD, c quy m hot ng ln hn, ti chnh lnh mnh, ng thi to nn tng n sau nm 2010 xy dng c h thng cc TCTD hin i, t trnh tin tin trong khu vc Chu , p ng y cc chun mc quc t v hot ng ngn hng, c kh nng cnh tranh vi cc ngn hng trong khu vc v trn th gii. Bo m cc TCTD, k c cc TCTD nh nc hot ng kinh doanh theo nguyn tc th trng v v mc tiu ch yu l li nhun. Pht trin h thng TCTD hot ng an ton v hiu qu vng chc da trn c s cng ngh v trnh qun l tin tin, p dng thng l, chun mc quc t v hot ng ngn hng thng mi. Pht trin cc TCTD phi ngn hng gp phn pht trin h thng ti chnh a dng v cn bng hn. Pht trin v a dng ha cc sn phm, dch v ngn hng, c bit l huy ng vn, cp tn dng, thanh ton vi cht lng cao v mng li phn phi pht trin hp l nhm cung ng y , kp thi, thun tin cc dch v, tin ch ngn hng cho nn kinh t trong thi k y mnh cng nghip ha, hin i ha. Hnh thnh th trng dch v ngn hng, c bit l th trng tn dng cnh tranh lnh mnh, bnh ng gia cc loi hnh TCTD, to c hi cho mi t chc, c nhn c nhu cu hp php, kh nng v iu kin c tip cn mt cch thun li cc dch v ngn hng. Ngn chn v hn ch mi tiu cc trong hot ng tn dng. Tip tc y mnh c cu li h thng ngn hng. Tch bch tn dng chnh sch v tn dng thng mi trn c s phn bit chc nng cho vay ca ngn hng chnh sch vi chc nng kinh doanh tin t ca ngn hng thng mi. Bo m quyn t ch, t chu trch nhim ca TCTD trong kinh doanh. To iu kin cho cc TCTD trong nc nng cao nng lc qun l, trnh nghip v v kh nng cnh tranh. Bo m quyn kinh doanh ca cc ngn hng v cc t chc ti chnh nc ngoi theo cc cam kt ca Vit Nam vi quc t. Gn ci cch ngn hng vi ci

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cch doanh nghip, c bit l doanh nghip nh nc. Tip tc cng c, lnh mnh ho v pht trin cc ngn hng c phn; ngn nga v x l kp thi, khng xy ra v ngn hng ngoi s kim sot ca Ngn hng Nh nc i vi cc TCTD yu km. a hot ng ca qu tn dng nhn dn i ng hng v pht trin vng chc, an ton, hiu qu. Phng chm hnh ng ca cc TCTD l An ton - Hiu qu - Pht trin bn vng - Hi nhp quc t. Mt s ch tiu tin t v hot ng ngn hng giai on 2006 - 2010 1. Lm pht (%/nm) 2. Tng trng bnh qun tng phng tin thanh ton (M2) (%/nm) 3. T l M2/GDP n cui nm 2010 (%) 4. T trng tin mt lu thng ngoi h thng ngn hng/M2 n nm 2010 (%) 5. Tng trng bnh qun tn dng (%/nm) 6. T l an ton vn n nm 2010 (%) 7. T l n xu/tng d n n nm 2010 (%) Thp hn tc tng trng kinh t 18 - 20 100 - 115 Khng qu 18

18 - 20 Khng di 8 Di 5 Chun mc quc t 8. Chun mc gim st ngn hng n nm 2010 (Basel I) 9. D tr quc t ti thiu n nm 2010 12 tun nhp khu Ghi ch: N xu c xc nh theo tiu chun phn loi n ca Vit Nam, ph hp vi thng l quc t. Mt s ngn hng thng mi t mc vn t c tng ng 800 - 1.000 triu USD n nm 2010, c thng hiu mnh v kh nng cnh tranh quc t. Phn u hnh thnh c t nht mt tp on ti chnh hot ng a nng trn th trng ti chnh trong v ngoi nc. 3.2 Bin php nng cao hiu qu qun tr ri ro thanh khon trong cc ngn hng thng mi Vit Nam: 3.2.1 V pha Chnh ph: 3.2.1.1 Mt ngn hng trung ng c lp v mnh: Trong n pht trin Ngn hng Nh nc, Chnh ph cha nu r m hnh Ngn hng Nh nc s theo m hnh no: trc thuc Chnh ph hay c lp vi

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Chnh ph. Tuy nhin, cho d p dng m hnh no i na, vn then cht l phi nng cao v th v tnh c lp ca Ngn hng Nh nc vi Chnh ph. C nh vy Ngn hng Nh nc mi c th a ra cc quyt nh iu hnh chnh sch tin t mt cch nhanh chng, nhm tc ng n nn kinh t mt cch kp thi v mang li hiu qu cao. 3.2.1.2 Hon thin h thng lut php p ng yu cu hi nhp: Cuc khng hong ti chnh Chu nm 1997 xy ra bt u Thi Lan; sau nhanh chng lan sang mt lot cc nc trong khu vc v tc ng ti ton th gii. Trong s nhng nc t do ha th trng vn v nm trong vng xoy cuc khng hong , khng phi ngu nhin m nc khng ch tt nht nhng tc ng ca cuc khng hong, Singapore, chnh l nc c h thng lut php tt nht. Vit Nam ang hi nhp ngy cng su rng hn vo nn kinh t khu vc v th gii. Cho nn, vic tip tc hon thin h thng hnh lang php l ni chung v h thng hnh lang php l v hot ng ngn hng ni ring l cn thit v cp bch. Trong thi gian ti, cn tp trung trin khai xy dng Lut Ngn hng Nh nc, Lut cc t chc tn dng, Lut gim st hot ng ngn hng v Lut bo him tin gi; r sot, sa i h thng vn bn php quy trong lnh vc ngn hng m bo ph hp vi cc cam kt ca Vit Nam khi gia nhp WTO. Vic hon thin h thng lut php nhm xy dng h thng ngn hng thng mi lnh mnh, minh bch, vn hnh theo c ch th trng c s kim sot hp l ca Chnh ph. Mun vy, cn quy nh r chc nng, nhim v ca tng loi hnh ngn hng: thng mi, u t, chnh sch, pht trin trnh nhng c im ring c ca loi hnh ngn hng ny tr thnh li th cnh tranh khng cng bng vi loi hnh ngn hng khc. Trong d tho Lut bo him tin gi, cn nghin cu nng mc bo him tin gi ca khch hng ti cc ngn hng. Bi l, vic nng mc tin gi c bo him lm cho ngi gi tin yn tm hn, trnh tnh trng rt tin hng lot. iu ny s gip cc ngn hng thng mi n nh c ngun tin gi, nht l khi xy ra tnh trng cng thng thanh khon nh nhng thng u nm 2008.

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3.2.1.3 y nhanh tin c phn ho cc ngn hng thng mi nh nc: Bo co nghin cu Hi nhp quc t trong h thng ngn hng thng 5 nm 2005, c son tho bi Trung tm kinh t (Center for International Economics, TS. Jenny Gordon, ng Bob Warrner), Cng ty TNHH t vn Erskinomics (Erskinomics Consulting Pty Limited, Alex Erskine, Chuyn gia t vn trng quc t), Vietbid (Nguyn Thanh H, Phm Quang Thnh, Nguyn Vn Anh) cho rng, s chi phi ca s hu nh nc trong cc ngn hng l khng tng thch vi mt h thng ngn hng c s cnh tranh cao. Mt h thng ngn hng hiu qu cn c mc cnh tranh cao; do vy, nu c s hu nh nc th ngn hng ny phi c kh nng hot ng nh mt php nhn c lp. Thc t Vit Nam cho thy, s chi phi ca cc ngn hng thng mi nh nc trong h thng ngn hng l kh ln. iu ny c xem l mt im yu ca h thng ngn hng Vit Nam. Khng cn s la chn no khc l phi tin hnh c phn ho cc ngn hng thng mi nh nc tng nng lc cnh tranh v hiu qu hot ng ca cc ngn hng ny. Mt im cn lu y l, vic c phn ho cc ngn hng thng mi nh nc phi thay i c cch thc qun tr ngn hng, trnh tnh trng bnh mi ru c. Cng vi tin trnh hi nhp v cc cam kt quc t, c th gim dn t l nm gi vn c phn ca nh nc trong cc ngn hng ny sau khi c phn ho. 3.2.2 V pha Ngn hng Nh nc: 3.2.2.1 Thc thi chnh sch tin t linh hot v va : Nhn chung, trong thi gian qua, chnh sch tin t c thc thi bi Ngn hng Nh nc gp phn vo thnh tch tng trng kinh t cho Vit Nam, n nh t gi c li cho xut khu, tng cng d tr ngoi hi cho t nc, gi mc lm pht trong vng kim sot theo hng thp hn tc tng trng GDP. Tuy nhin, vic kt hp cc cng c trong chnh sch tin t; gia chnh sch tin t thuc iu tit ca Ngn hng Nh nc v chnh sch ti kho trong vng kim sot ca B ti chnh i lc cn tri chiu, cha ng b. Chnh sch tin t ca

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Ngn hng Nh nc i khi cn qu tham vng, theo ui nhiu mc tiu, lm gim hiu qu tc ng ca chnh sch ny i vi nn kinh t; to ra s mu thun khng ng c trong vic pht i tn hiu cho th trng. R rng vi xu th hi nhp ngy cng su rng vo nn kinh t khu vc v th gii, vic hon thin cc cng c ca chnh sch tin t Vit Nam nhm nng cao hn na hiu qu ca chnh sch ny, thc y kinh t tng trng cao v bn vng l yu cu cp bch hin nay. Chng ta c th thy rt r thi im cui nm 2007 v u nm 2008, cc bin php kim ch lm pht ca chnh ph ch tp trung vo lnh vc tin t. V dng nh th hin quyt tm chng lm pht n cng ca mnh, Ngn hng Nh nc thc hin hng lot gii php mnh, trong vic pht hnh tn phiu bt buc vi tng gi tr 20.300 t ng c xem l mt bin php hnh chnh kh mnh. Kt qu, th trng tin t b xo trn, cc ngn hng chy ua li sut nhm thu ht tin gi p ng nhu cu thanh khon, th trng chng khon, bt ng sn st gim,... Trong tnh hung kim ch lm pht, vic thc thi chnh sch tin t tht cht l cn thit, nhng vic s dng lin tip nhiu bin php mnh nh th trong mt khong thi gian cha th trng thch ng, nn c xem xt cn trng hn. Hn na, lm pht khng ch do nguyn nhn t tin t, cho nn, mun kim ch thnh cng cn tng gi phi thc hin nhiu gi gii php ng b t cc lnh vc khc ngoi lnh vc tin t, tn dng. 3.2.2.2 Kim sot vic thnh lp ngn hng thng mi: C kin cho rng, hin nay c qu nhiu ngn hng thng mi hn mc cn thit ti Vit Nam [4]; do , c c mt h thng ngn hng mnh, nn sp nhp cc ngn hng nh v c th sp nhp ba ngn hng thng mi ln: Ngn hng Ngoi thng, Ngn hng Cng thng, Ngn hng u t v Pht trin thnh mt ngn hng tm c trong khu vc. Quan im ca hc vin, c nhiu hay khng nhiu s lng ngn hng thng mi khng phi l yu t quyt nh nng lc cnh tranh ca cc ngn hng, m vn l cn kim sot cht ch hn v nng dn cc tiu chun khi thnh lp cc ngn hng mi. Lm sao cho cc quy nh, tiu

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chun ny l th thch u tin v l thc o tng i chnh xc v nng lc ca cc sng lp vin ca mt ngn hng thng mi mi. Vic quy nh mc vn php nh 1.000 t ng khi thnh lp ngn hng thng mi l ph hp; tuy nhin, trong thi gian ti nn xem xt nng dn mc vn ny, ng thi, c th ban hnh cc quy nh cht ch hn, chng hn quy nh v vic gp vn thnh lp ngn hng ca cc tp on kinh t ln. y l s vic m bo ch trong nc thi gian qua cp kh nhiu v c coi l mt trong nhng nguyn nhn gy ra lm pht v lm gim sc cnh tranh ca cc doanh nghip v ca chnh ngn hng c thnh lp. Trong tin trnh xy dng h thng ngn hng thng mi Vit Nam thc s vng mnh, cn ra quy ch, quy nh i vi cc ngn hng khng p c cc tiu chun chung; c th tnh n vic sp nhp, mua li nhng ngn hng ny. 3.2.2.3 Tng cng v nng cao hiu qu cng tc gim st t xa hot ng ca cc ngn hng thng mi: Cng tc gim st t xa hin nay vn c chi nhnh Ngn hng Nh nc ti cc tnh, thnh ph thc hin. Nhng tnh xc thc ca cc bo co gim st ny phc v cho cng tc qun l v m cha cao, cha phn nh trung thc tnh trng hot ng ni chung v tnh trng thanh khon ni ring ca cc ngn hng. Bo co ca Ngn hng pht trin Chu Strengthening the banking supervision and liquidity risk management system of the peoples bank of China c a ra mt s gi nhm tng cng hot ng gim st ca ngn hng trung ng nh: pht trin h thng cnh bo sm (early warning system), s dng d liu h thng thanh ton phn tch thanh khon, xy dng h thng ch s thanh khon,... Ngn hng Nh nc c th tham kho khi d tho Lut gim st hot ng ngn hng. Trc mt, cn r sot Quyt nh 477/2004/Q-NHNN ngy 28 thng 4 nm 2004 ca Ngn hng Nh nc v vic ban hnh ch bo co thng k p dng i vi cc n v thuc Ngn hng Nh nc v cc TCTD, sa i nhng biu mu cha ph hp nhm nng cao hiu qu s dng cc bo co ny trong vic thc hin chc nng qun l nh nc v tin t v hot ng ngn hng v chc nng ngn hng trung ng ca Ngn hng Nh nc.

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3.2.3 V pha cc ngn hng thng mi: Qua phn tch Chng 2, dng nh cc ngn hng thng mi Vit Nam khng ch trng n tnh thanh khon v qun tr thanh khon. iu ny c nhiu nguyn nhn, nhng c l vic theo ui mc tiu tng trng kinh t ca Chnh ph to ra nhng iu kin v mi trng kinh doanh kh thun li cho vic gia tng nhanh chng cc khon tn dng; v d, chnh sch tin t ni lng nhm thc y tng trng kinh t cho php mt mc cung tin kh di do. Trong bi cnh nh vy, cc ngn hng thng mi xao lng hot ng then cht, quyt nh n s an ton trong hot ng ngn hng: l qun tr thanh khon. Mt s gi sau c th mang li hiu qu trong hot ng qun tr thanh khon ca cc ngn hng thng mi mc no . 3.2.3.1 m bo vn t c mc cn thit: R rng khi thnh lp, ngn hng phi m bo mc vn iu l cao hn mc vn php nh. y, mun cp n vn , ngn hng nn duy tr mc vn t c mt cch hp l, cn i so vi quy m v phm vi hot ng ca ngn hng mnh. Mt ch s H1, H2 qu cao hay qu thp u khng hiu qu v an ton i vi ngn hng. Ti thi im s liu thu thp c, cn 3 ngn hng cha m bo mc vn iu l ln hn mc vn php nh. Cc ngn hng ny cn xy dng phng n tng vn t c mc vn cn thit theo quy nh. Tuy nhin, khng phi tng vn bng mi gi. Cc ngn hng cng nn ngh ti phng n sp nhp vi nhau khi phng n tng vn l bt kh thi hoc tn nhiu chi ph. Trong ch tiu tin t v hot ng ngn hng giai on 2006 - 2010, Ngn hng Nh nc c t ra ch tiu v h s CAR khng thp hn 8%. Tuy nhin, theo Financial Management and Analysis of Projects ca ADB nm 2005, c kin ngh rng: h s CAR mc 8% p dng vi cc nc OECD, cn i vi cc nn kinh t mi ni h s ny nn l 12%. Do vy, mc d Ngn hng Nh nc khng yu cu, nhng cc ngn hng thng mi nn t ra mc tiu h s CAR 12% phn u. iu theo kin hc vin l cn thit trong iu kin quy m v tim lc ti chnh ca cc ngn hng trong nc cn hn ch. Tng t h s H1, H2, h s CAR

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cao qu hoc thp qu cn c phn tch, nh gi y nhm m bo mt h s CAR ph hp vi quy m, c im v phm vi hot ng ca tng ngn hng. 3.2.3.2 Tng cng cng tc d bo cc iu kin kinh t v m: iu kin kinh t v m thay i s nh hng n hot ng ca ngn hng. Khi Ngn hng Nh nc thc thi chnh sch tin t tht cht bng cch ban hnh lin tip hng lot cc gii php mnh, kh nng thanh khon ca cc ngn hng thng mi Vit Nam gp nhiu kh khn. Bi trc , c thi im tnh trng d tha vn kh dng xy ra mt s ngn hng. Cc ngn hng ny gim li sut huy ng tin gi. Nhng khi, iu kin kinh t v m thay i, cc ngn hng tr nn lng tng. iu ny chng t, vic tng cng v nng cao hiu qu ca cng tc d bo kinh t cc ngn hng l cn thit. Nghin cu Liquidity, banking regulation and the macroeconomy ca Oriol Aspachs, Erlend Nier, Muriel Tiesset v 57 ngn hng ni a Anh Quc, giai on t nm 1992 n nm 2003, cho thy c s tc ng qua li gia cc iu kin kinh t v m v kh nng thanh khon ca ngn hng. Khi nn kinh t thi k suy gim, cc ngn hng c xu hng d tr nhiu ti sn thanh khon; ngc li, khi nn kinh t tng trng mnh, cc ti sn d tr thanh khon c gim bt i. 3.2.3.3 Xy dng c ch chuyn vn ni b ph hp: Cc ngn hng thng mi Vit Nam trong thi gian qua khng ngng m rng mng li hot ng. y l mt li th rt ng k so vi cc ngn hng nc ngoi khi m chi nhnh ti Vit Nam. Tuy nhin, ngoi vic tnh bi ton chi ph li nhun mang li khi m cc chi nhnh, phng giao dch, cc ngn hng phi tnh n vic lun chuyn cc dng vn gia chi nhnh, phng giao dch vi hi s chnh nh th no m bo tnh thanh khon ca c h thng vi chi ph thp nht. Mun lm c iu ny, cn c mt nn tng cng ngh (h thng ngn hng ct li - core banking) hin i. Do vy, khng cn cch no khc, cc ngn hng cn phi u t nhiu hn vo cng ngh thng tin; tt nhin, khng d dng g thc hin c trong khi quy m vn t c ca cc ngn hng thng mi cn nh nh hin nay. Tuy nhin, trong mi tnh hung, vic lun chuyn vn ni b phi

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gn vi hiu qu kinh doanh ca tng chi nhnh, phng giao dch v vn c tp trung v hi s chnh; c nh vy mi d bo, o lng c nhu cu thanh khon mt cch chnh xc v t c chin lc qun tr thanh khon ph hp. Trng hp BIDV, do hi s chnh khng quy nh c th cc gii hn an ton trong hot ng i vi cc chi nhnh, nn c nhiu thi im lng vn trn ti khon tin gi ca mt s chi nhnh ti Ngn hng Nh nc chi nhnh tnh, thnh ph mc qu cao; trong khi nu lng vn ny c iu chuyn kp thi v hi s chnh th kh nng thanh khon ca ton h thng c tng cng ng k. C ch chuyn vn ni b cn phi tnh n s khc bit v iu kin kinh t - x hi a bn m chi nhnh, phng giao dch hot ng. Mt chnh sch ging nhau i vi mi im giao dch c th dn n vic mt th phn khng ng c; chng hn, li sut huy ng tin gi cc a bn u ging nhau c th lm gim lng tin gi mt s a bn c mc cnh tranh cao hoc c iu kin kinh t - x hi kh khn. Mt chnh sch phn bit ho ph hp s gp phn nng cao hiu qu kinh t nh li th quy m. 3.2.3.4 m bo t l cn i gia ti sn C - ti sn N: Thc cht y l vic p dng chin lc cn i gia ti sn C v ti sn N hay qun tr thanh khon cn bng. Bt k mt s mt cn i no gia ngun vn huy ng v s dng vn u c th dn n nhng ri ro v thanh khon. Thc t, cc ngn hng thng mi Vit Nam dng nh da nhiu vo vic vay mn p ng nhu cu thanh khon. Trong thi gian qua, mt s ngn hng thng mi c phn c t l i vay trn th trng lin ngn hng rt ln, chim ti 50% hoc cao hn so vi d n cho vay. Do th trng tin t bin ng phc tp bi chu nh hng ca chnh sch tin t tht cht, nn cc ngn hng ny c nhiu thi im phi i vay trn th trng lin ngn hng vi li sut trn 20%/nm, thm ch ti 30%/nm v c bit ti 40%/nm, nhng li sut cho vay ch c ti a l 21%/nm. Do vy khng nhng kh nng thanh khon b e do m cn nh hng n kt qu li nhun. thi cc khc, mt s ngn hng c ngun vn kh dng tng i, nht l cc ngn hng mi thnh lp, s vn gp ca cc c ng tm

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thi cha s dng cho mc ch khc, thay v cho khch hng thng thng vay, cho vay trn th trng lin ngn hng nhm tm kim chch lch li sut cao hn. Nh vy, vic vay mn vn ln nhau gia cc ngn hng thi gian qua vi t l v mc li sut cao nh th l khng c li, gy mt an ton cho c h thng v chnh bn thn cc ngn hng. Vi phn tch, nh gi, so snh nu trn, mt t l di 50% ti sn C sinh li l cc khon tn dng c l hp l cho cc ngn hng thng mi Vit Nam. Mt vn khc, cc ngn hng thng mi cng cn quan tm l duy tr t l s dng ngun vn ngn hn cho vay trung, di hn mt mc hp l. 3.2.3.5 Gn ri ro thanh khon vi ri ro th trng trong qun tr: Trong hoch nh chin lc cng nh qun tr, iu hnh thanh khon hng ngy cn gn lin phn tch, nh gi ri ro thanh khon vi ri ro th trng. C nh vy, chin lc qun tr ra mi c tnh kh thi v hiu qu cao. Ri ro th trng l nhng thay i v gi tr th trng ca ti sn v cc khon n, nh hng n thu nhp v vn ca ngn hng. Trn thc t, dng ri ro th trng in hnh nht i vi nhiu ngn hng l ri ro li sut. Mt thay i t ngt v li sut c th tc ng n hot ng kinh doanh ngn hng di nhiu cch thc khc nhau: Th nht, tng li sut ng ngha vi vic ngn hng s c phn thu nhp tng thm t ti sn C sinh li v phi tr thm mt phn chi ph cho cc khon n. Tuy nhin, chi ph cho cc khon n thng c xu hng tng nhanh hn phn thu nhp c c t ti sn trong ngn hn; do li nhun c th b gim. Th hai, li sut thay i s nh hng trc tip n gi tr th trng ca ti sn v cc khon n nhy cm vi li sut. Chng hn, khi li sut tng, gi tr ca c ti sn v n u gim; nhng thng thng, tc ng n ti sn ln hn i vi n, dn n s gim st v gi tr rng. Mc d, nhng thay i ny khng tc ng n li nhun, nhng lm thay i trng thi vn ca ngn hng.

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Th ba, mt loi ri ro c xem l ri ro c bn, l cc mc li sut khng thay i nh nhau. Tc ng ca thay i li sut n vn v thu nhp ca ngn hng ph thuc vo loi ti sn v khon n m ngn hng nm gi v s thay i li sut ca loi ti sn v n ny lin quan n loi ti sn v n khc ra sao. nh gi v qun l ri ro th trng l mt cng vic kh khn, phc tp. Nhn chung, cu trc li bng cn i ti sn, s dng cc cng c phi sinh v li sut l cc tng nn c xem xt, lm du bt tc ng ca thay i li sut khng mong i theo cch chi ph v thu nhp pht sinh do thay i li sut s cn bng vi nhau v nh hng thp nht n trng thi vn ca ngn hng. Thanh khon v ri ro th trng l hai khi nim tch bit nhau; nhng chng c s an xen vi nhau theo nhiu cch khc nhau. Thng th, n lc qun l ri ro loi ny s gip gim nh tn tht do ri ro loi kia gy ra; tt nhin, i khi cc hot ng qun l ny c mu thun vi nhau. Hi ng qun l ti sn N - ti sn C (ALCO) ca ngn hng c trch nhim gim st ng thi hai loi ri ro ny. Qu trnh gim st nn l chui ra cc quyt nh kp thi, chnh xc lm cn bng gia ngun vn c th khai thc ti tr vi nhu cu thanh khon; ti sn nhy cm li sut vi khon n nhy cm li sut; v hai loi ti sn, n nu trn vi mc tiu li nhun ca ngn hng. 3.2.3.6 Xy dng v hon thin h thng nh gi ni b: Hin nay, phn ln cc ngn hng thng mi thc hin phn loi n, trch d phng ri ro theo iu 6 Quyt nh s 493/2005/Q-NHNN ngy 22 thng 4 nm 2005 ca Ngn hng Nh nc ban hnh Quy nh v phn loi n, trch lp v s dng d phng x l ri ro tn dng trong hot ng ngn hng ca t chc tn dng. Cc ni dung ca Quyt nh trn nhn chung tip cn c vi cch phn loi n v trch lp d phng ca cc ngn hng trn th gii. Vic thc hin Quyt nh ny gip cc ngn hng thng mi nh gi ng, trung thc hn cht lng cc khon tn dng; t , trch lp d phng hn ch thp nht ri ro c th xy ra. Tuy nhin, cc quy nh ti iu 6 Quyt nh nu trn mang tnh nh

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lng, do vy cng c khim khuyt nht nh. V d, c nhng khon n cha phi n qu hn, nu theo iu 6 l n nhm 1 (N tiu chun); nhng c nhiu thng tin khng tt v doanh nghip m ngn hng thu thp c, trong trng hp ny ngn hng c th chuyn khon n trn sang nhm n c mc ri ro cao hn. Nh vy, cc ngn hng Vit Nam nn t xy dng cho ngn hng mnh h thng nh gi ni b ring theo iu 7 Quyt nh 493/2005/Q-NHNN, trong c cc ch tiu nh tnh, nhm phng nga, hn ch tt nht ri ro c th xy ra i vi cc khon cho vay. Kt qu ca vic ny l, ngn hng c qu d tr cn thit, tng ng vi mc ri ro ca tng khon cho vay; y cng l ngun ti tr cho thanh khon khi khon vay gp ri ro. 3.2.3.7 Thit lp m hnh t chc ph hp: Nhn chung, cc ngn hng thng mi hin nay u c m hnh b my t chc tng t nhau: Hi s chnh v cc chi nhnh tnh, thnh ph. Li th d thy nht ca mt mng li rng khp nh Agribank, l thun li trong thu ht tin gi v tng trng tn dng cng dch v. Tuy nhin, cc chi nhnh thc s l nhng ngn hng nh trong ngn hng, cng c chc nng ca mt ngn hng thng mi c lp: cn i ngun vn v s dng vn, m bo kh nng thanh ton, qun l ri ro,... Vi m hnh , khi c ngun vn tm thi nhn ri, chi nhnh gi hi s chnh; ngc li, khi c thiu ht, chi nhnh vay hi s chnh. Thc t, chc nng ny thng giao cho phng k hoch thc hin; cho nn, c lc vic tnh ton cha kp thi, chnh xc gy ra tnh trng d tha hoc thiu ht ngun vn khng ng c. Bn cnh , qua kho st chi nhnh ca cc ngn hng, chc nng qun l ri ro b phn tn: mi phng thc hin qun l ri ro thuc nghip v ca phng mnh, v d phng dch v khch hng qun l cc loi ri ro thanh ton, phng tn dng qun l ri ro t pha khch hng khng tr c n, phng k hoch ngun vn qun l ri ro thanh khon, ri ro k hn, ri ro li sut, Do vy, cn tp trung chc nng qun l ri ro v hi s chnh; cc chi nhnh ch nn thc hin hai chc nng c bn l marketing v tc nghip. Mun

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thc hin iu ny, i hi cc ngn hng thit lp c m hnh t chc ph hp vi c im, phm vi, quy m hot ng ca ngn hng mnh. 3.2.3.8 Xy dng i ng nhn vin c trnh , nng lc v o c ngh nghip: Pht trin ngun nhn lc bao gi cng l mc tiu hng u ca mi t chc, doanh nghip. Vic pht trin i ng nhn vin qun l ni chung v qun l thanh khon ni ring l cn thit i vi bt k ngn hng thng mi no. Chnh b phn ny s tham mu c lc cho cp lnh o ngn hng trong vic a ra cc quyt nh ng n, kp thi nhm ngn chn, khc phc nhng ri ro pht sinh v hng hot ng kinh doanh n nhng thnh cng mi. Do vy, ngn hng cn c k hoch tuyn dng, o to, s dng nhn vin mt cch khoa hc, minh bch v bnh ng. t nhn vin vo nhng v tr thch hp vi kh nng ca h l mt khu quan trng trong cng tc cn b, nhm m bo rng chnh i ng nhn vin ny s l nhng ngi gp phn vo thnh cng chung ca ngn hng. Mt nh lnh o c kinh nghim lun hiu rng, bit r v s ph hp ca mi c nhn cho tng v tr cng tc l c s ca tt c nhng n lc trong hin ti v tng lai. S thiu quan tm hay thiu hiu bit v vic ny c th khin ngn hng tn km c v thi gian v tin bc trong sut qu trnh hot ng. Cc ngn hng cng nn xy dng vn ho doanh nghip cho ngn hng mnh. Mt mi trng lm vic ci m, thn thin v c bn sc vn ho ring ca ngn hng s l ng lc thc y i ng nhn vin nhit tnh cng hin, sng to v lun trung thnh vi ngi nh th hai ca mnh.

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KT LUN
Trn c s vn dng tng hp cc phng php nghin cu, nhng l thuyt c hc trong chng trnh o to bc cao hc - Trng i hc Kinh t Thnh ph H Ch Minh vo iu kin thc t Vit Nam, Lun vn thc hin c cc ni dung sau y: Th nht, phn tch ni dung c bn v qun tr ri ro trong kinh doanh ngn hng v qun tr ri ro thanh khon. Th hai, nh gi tnh thanh khon v qun tr thanh khon, tm ra nhng hn ch, tn ti v mt s gi nhm hon thin hot ng ny trong thi gian n cc ngn hng thng mi Vit Nam. Lch s ngnh ngn hng trn th gii tri qua hng my trm nm. Trong qung thi gian y, loi ngi chng kin s pht trin nhanh chng ca ngnh ngn hng nhng cng khng t nhng ln tht bi. Ngn hng thng mi l mt nh ch ti chnh trung gian, lun kinh doanh bng tin ca ngi khc: vay ca cng chng, cc TCTD, ngn hng trung ng trong v ngoi nc. Do vy, s sp ca bt k ngn hng no, nu khng c x l thng minh v kho lo u c th lan nhanh v ko theo s sp ca hng lot cc ngn hng thng mi khc. Cng vi bc thng trm trong h thng ngn hng, l thuyt v qun tr thanh khon pht trin khng ngng v b sung cho ph hp vi thc tin bin ng. Vn ch khng phi s thnh cng c mang li t vic thc thi chin lc qun tr thanh khon ny mt ngn hng ny cng em li s thnh cng tng t cho mt ngn hng khc. l iu m nhng nh hoch nh chin lc qun tr ni chung v qun tr thanh khon ni ring ca cc ngn hng cn phi quan tm. ng v Nh nc ta ch trng pht trin nn kinh t th trng nh hng x hi ch ngha, vi mc tiu dn giu, nc mnh, x hi cng bng, dn ch, vn minh. pht trin hiu qu nn kinh t, phi pht trin vng chc th trng ti chnh ngn hng p ng vn cho yu cu y mnh cng nghip ho, hin i ho t nc. Trong thi gian qua, h thng ngn hng thng mi Vit Nam gp phn khng nh vo pht trin kinh t - x hi ca t nc. Tuy nhin, pht

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trin bn vng v tip tc cung ng vn p ng yu cu tng trng kinh t trong bi cnh hi nhp ngy cng su rng hn vo nn kinh t khu vc v th gii, vn thanh khon v qun tr thanh khon ca cc ngn hng cn c coi trng hn. Lun vn ch mong gp phn nh b vo vn cp bch nu trn. Lun vn ny c hon thnh vi s ging dy tn tnh ca tp th ging vin Trng i hc Kinh t TP H Ch Minh, s hng dn y tm huyt ca PGS.TS. Nguyn ng Dn. Mc d c gng nghin cu ti liu v vn dng l thuyt vo tnh hung c th, nhng do trnh v thi gian c hn nn khng trnh khi nhng sai st. Rt mong cc qu thy c trong Hi ng v PGS.TS Nguyn ng Dn cm thng v cho kin bn thn nng cao c k nng nghin cu trong thi gian n. Xin chn thnh cm n!

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TI LIU THAM KHO

I. Ting Vit
1. Nguyn Hi Bnh (2008), Nim yt trn th trng quc t - C hi v thch thc i vi cc ngn hng thng mi Vit Nam, Tp ch ngn hng (13), tr 28-33. 2. 3. H Diu (2002), Qun tr ngn hng, Nxb thng k, TP H Ch Minh. Nguyn ng Dn (2005), Tin t ngn hng, Nxb thng k, TP H Ch Minh. 4. Hunh Th Du (2008), C cu li cc ngn hng thng mi: Vic cn lm ngay, Tp ch cng ngh ngn hng (27), tr 10-14. 5. Frederic S.Mishkin (1995), Tin t, ngn hng v th trng ti chnh, Nxb khoa hc v k thut, H Ni. 6. Nguyn Th Mi (2008), Qun tr ngn hng thng mi, Nxb ti chnh, H Ni. 7. Trn Huy Hong (2007), Qun tr ngn hng thng mi, Nxb lao ng x hi, H Ni. 8. 9. Ngn hng Nh nc (2005, 2006, 2007), Bo co thng nin. Ngn hng thng mi (2006, 2007, 2008), Bo co thng nin.

10. Nguyn Vn Tin (2005), Qun tr ri ro trong kinh doanh ngn hng, Nxb thng k, H Ni. 11. Nguyn Th Ngc Trang (2007), Qun tr ri ro ti chnh, Nxb thng k, TP H Ch Minh. 12. Peter S.Rose (2001), Qun tr ngn hng hng thng mi, Nxb ti chnh, H Ni.

II. Ting Anh

13. ADB (2005), Financial Management and Analysis of Projects, Manila, Philippines. 14. Oriol Aspachs, Erlend Nier, Muriel Tiesset, Liquidity, banking regulation and the macroeconomy, Bis.

15. Eddie Cade (1999), Banking risk - Reducing uncertainty to improve bank performance, Glenlake publishing company ltd. 16. Evan Gatev, Til Schuermann, Philip E. Strahan (2006), Managing bank liquidity risk: How deposit-loan synergies vary with market conditions, Financial institutions center. 17. Benton E. Gup, James W. Kolari (2005), Commercial banking - The management of risk, John Wiley & Son, Inc. 18. Joseph F. Sinkey (1998), Commercial bank financial managemnet, Prentice Hall. 19. Denis G. Uyemura, Donald R. Van Deventer (1993), Financial risk management in banking, A bank line publication. III Website 20. http://www.adb.org/ 21. http://www.federalreserve.gov/ 22. http://www.sbv.gov.vn/ 23. http://vietnamnet.vn/ 24. http://www.vneconomy.vn/ 25. Website cc ngn hng thng mi Vit Nam.

DANH MC PH LC Ph lc 1: Bng tnh H s H1 v H2 Ph lc 2: Bng tnh ch s H3 Ph lc 3: Bng tnh ch s H4 Ph lc 4: Bng tnh ch s H5 Ph lc 5: Bng tnh ch s H6 Ph lc 6: Bng tnh ch s H7 Ph lc 7: Bng tnh ch s H8 Ph lc 8: Bng tnh h s, ch s thanh khon trung bnh 3 nm (2006-2008)