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BI TP QUN TR RI RO LI SUT

CU 1: V d minh ha v cc phng php c s dng kim sot ri ro li sut (RRLS):

Di gc Ngn hng: Khi li sut c nh th thi hn ngun v ti sn l yu t to ra ri ro li sut tim nng. V d: Gi s mt ngn hng ang c nhu cu cho vay 2 khon: 100 triu, thi hn 1 nm, li sut tho thun 12%/nm (1 nm thay i li sut 1 ln) 100 triu, thi hn 2 nm, li sut tho thun 14%/nm (2 nm thay i li sut 1 ln)

Ngn hng ny tm kim ngun cho vay bng cch vay trn th trng lin ngn hng 200 triu vi li sut c nh 8%/nm, nu vay 1 nm v 9%/nm, nu vay 2 nm. a.Ngn hng v th ti ti tr Tnh trng ti ti tr l tnh trng trong k hn ca ti sn di hn k hn ca ngun ti tr hay thi hn cho vay > thi hn ngun vn ti tr n. - Gi s ngn hng vay trn th trng lin ngn hng 200 triu, k hn 1 nm vi li sut 8%/nm. - Sau 1 nm: + 100 triu cho vay thi hn 1 nm c tr. + 200 triu vay trn th trng lin ngn hng n hn tr. Khon gc thu c khng p ng c nhu cu chi tr, c tin tr 100 triu cn li, ngn hng tip tc vay thm khon tin ny trn th trng lin ngn hng. Nh vy, ngn hng phi ti tr khon cho vay 2 nm bng mt khon vay vo nm th 2. i vi khon cho vay 1 nm, chnh lch li sut m ngn hng thu c = 12% - 8% = 4%. Vo nm th 2, nu li sut trn th trng lin ngn hng khng i l 8%/nm khi vay vi thi hn 1 nm th chnh lch li sut ngn hng thu c ca khon cho vay 2 nm l: 14% - 8% = 6%. Nhng nu li sut trn th trng lin ngn hng tng ln ln hn 8%/nm th chnh lch li sut ngn hng thu c s gim xung nh hn 6% hay thu nhp ca ngn hng gim xung, c th ngn hng cn b l. b.Ngn hng v th ti u t

Tnh trng ti ti tr l tnh trng trong k hn ca ti sn nh hn k hn ca ngun ti tr. Hay thi hn cho vay < thi hn ngun vn ti tr n. Cng vi v d nh trn, gi s ngn hng vay trn th trng lin ngn hng 200 triu, k hn 2 nm vi li sut 9%/nm. - Sau 1 nm: + 100 triu cho vay thi hn 1 nm c tr. + 200 triu vay trn th trng lin ngn hng cha n hn tr. Khon gc 100 triu thu c c th cho vay mt khon mi: ti u t cho khon vay va c tr. i vi khon cho vay 1 nm, chnh lch li sut m ngn hng thu c = 12% - 9% = 3%. Vo nm th 2, nu li sut cho vay trn th trng khng i l 12%/nm vi thi hn 1 nm th chnh lch li sut ngn hng thu c ca khon ti u t ny l: 3%. Nhng nu li sut cho vay tho thun ca khon 100 triu ny gim xung nh hn 12%/nm th chnh lch li sut ngn hng thu c s gim xung nh hn 3% hay thu nhp ca ngn hng gim xung, c th ngn hng cn b l. CC PHNG PHP C S DNG HN CH RRLS
Th nht, hn ch ri ro li sut nhiu NH p dng ch th ni li sut, theo

li sut cho vay s thay i ty thuc vo s thay i li sut ngun trn th trng, c iu chnh theo nh k 3 thng, 6 thng hay 1nm. NHN XT: Phng php ny d p dng nht v ang c s dng ngy cng nhiu i vi cc giao dch trn th trng lin ngn hng, hoc trong cc hp ng ngn hn. Tuy nhin, tn dng th ni ngn chn ri ro li sut cho cc NH bng cch trt ri ro t NH sang ngi vay, n khng th thay th cho li sut c nh. Phn ln ngi gi tit kim yu cu li sut c nh. Cc khch hng vay trung v di hn thng yu cu li sut c nh d tnh c trc hiu qu ca d n. i vi bn huy ng vn th cng c ny t c chp nhn v thng s dng theo hng c li cho khch hng, iu chnh tng khi mt bng li sut tng ch khng gim khi mt bng li sut gim. Th hai l, NH c th t bo v trc nhng thay i ca li sut trn th trng bng cch bo m cn bng sau: Gi tr ti sn nhy cm li sut = Gi tr n nhy cm li sut Tc l tm kim cc ngun c k hn ph hp vi k hn ca ti sn, duy tr khe h nhy cm li sut gn bng 0.

NHN XT: phng php ny loi tr lun c vic gia tng cc khon thu khi li sut thay i ph hp vi d on ca nh qun l. Th ba l, nu ngn hng tin vo kh nng d bo li sut ca mnh, h thng xuyn

thay i khe h nhy cm li sut, t ngn hng vo trng thi nhy cm TSC hoc nhy cm TSN. y c gi l phng php qun l khe h nng ng: Nhng d on ca ngn hng v s thay i ca li sut. Li sut th trng tng Li sut th trng gim Gi tr khe h nhy cm li sut ti u Khe h dng Khe h m Phn ng ca cc nh qun l Kt qu (nu d on ng)

Tng ti sn nhy cm li sut Gim n nhy cm li sut Gim ti sn nhy cm li sut Tng n nhy cm li sut

Thu nhp li t TSC s tng nhiu hn chi ph tr li Chi ph tr li cho cc khon n s gim nhiu hn thu li.

NHN XT: chin lc qun l nng ng buc cc ngn hng phi i mt vi nhiu ri ro hn v kh nng d on ng chiu hng thay i ca li sut rt thp nn phn ln cc ngn hng ch s dng phng nga ri ro ch khng phi tng thu nhp. K thut qun l khe h nhy cm li sut cn c nhiu hn ch. S la chn thi gian phn tch hon ton ty theo tng ngn hng. Tnh cht hot ng v mc tiu kinh doanh trong mi thi k ca tng ngn hng quyt nh trng thi khe h li sut, thay i trng thi ny i hi phi c thi gian tng i lu trong khi thay i ca li sut thng rt nhanh chng.V cui cng, vic qun l khe h nhy cm li sut khng nhm mc ch bo v gi tr TSC v c bit l khng bo v c gi tr rng ca ngn hng.

Th t l, Qun l khe h k hn c s dng khc phc nhc im ca vic da Th nm l, thc hin hon i li sut hn ch ri ro li sut. Mt NH do c im

vo khe h nhy cm li sut

sn xut kinh doanh buc phi duy tr khe h li sut dng c th hon i ri ro (hoc sinh

li) vi NH c khe h li sut m. Nh vy hp ng hon i xc nh li khe h li sut khi li sut thay i. Hon i li sut l k thut tng i phc tp, i hi NH phi nghin cu k lng xu hng v mc thay i c th ca li sut. Trong nhiu trng hp 2 NH hon i phi nh NH trung gian sp xp. Chi ph hon i cao hay thp ph thuc vo d tnh ca mi bn v lm tng chi ph ca NH. Nu d on ca NH sai hon i li sut c th gy tn tht cho NH.

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