June 27, 2012 Foreign Trade University, HCM city campus i r

NGN HN THNG MI NG

MC TIU CA CHNG
Khi nim NHTM Chc nng ca NHTM Cc loi hnh ngn hng thng m i Cc nghip v ngn hng thng m mi Qun tr ri ro i vi cc NHTM

June 27, 2012 Foreign T Trade University, HCM city cam y mpus

BANK

Banque (Fre ench) = chest (safekeeping ) g Banca (Italia = Bench an) (Transaction ns)

KHI NIM
Lut Ngn hng thng mi v c t chc tn dng Vit Nam g g g c g 2010 iu 4:- Ngn hng l loi hnh t chc tn dng c th c t thc hin th hi tt c cc h t ngn h th quy h ca L t hot ng n hng theo nh Lut ny. Theo tnh cht v mc tiu h hot ng, cc loi hnh ngn hng bao gm ngn hng thng mi, ngn hng chnh sch, g ngn hng hp tc x. Ngn hng thng mi l loi hnh ngn hng c thc hin tt h c cc hot ng ngn hng v c hot ng kinh doanh khc c theo quy nh ca Lut ny nhm m tiu li nhun. mc

June 27, 2012 Foreign T Trade University HCM city cam y, mpus

KHI NIM
Hot ng ngn hng l vic kinh d g g g doanh, cung ng thng , g g g xuyn mt hoc mt s cc nghip v sau y: a) Nhn tin gi; b) Cp tn dng; c) Cung ng dch v thanh ton qua ti khon a

June 27, 2012 Foreign T Trade University, HCM city campus y m

HOT NG NGN HNG: C IM C

Hot ng NH phi tha mn cc im sau: g p c Th nht, hot ng ngn hng l loi hnh hot ng kinh doanh vi mc ch kim li, Th hai, hot ng ngn hng l loi hnh kinh doanh c ri nh ro cao hn nhiu so vi cc loi hn kinh doanh khc v thng c nh hng su sc, mang tnh ch dy chuyn i vi nn ht kinh t Th ba, hot ng ngn hng l lo hnh hot ng kinh doanh i c i ki iu kin

June 27, 2012 Foreign T Trade University HCM city campus y, m

CC HOT NG KINH DOAN KHC CA NGN NH

HNG THNG MI iu 107- Lut Ngn hng v cc t chc tn dng (2010) g g c g( ) 1. Dch v qun l tin mt, t vn ngn hng, ti chnh; cc dch v qun l, bo qun ti sn, c thu t, kt an ton. cho 2. T vn ti chnh doanh nghip, t vn mua, bn, hp nht, sp nhp doanh nghip v t vn u t . 3 Mua bn tri phiu Chnh ph, t 3. Mua, ph tri phiu doanh nghip nghip. 4. Dch v mi gii tin t. 5. Lu k chng khon, kinh doanh vng v cc hot ng kinh g , h g g doanh khc lin quan n hot ng ngn hng sau khi c g Ngn hng Nh nc chp thun b vn bn. ng

6
June 27, 2012 Foreign T Trade University HCM city cam y, mpus

5.2 PHN LOI NGN HNG T THNG MI

Cn c phn loi: p Cn c vo hnh thc s hu Cn c vo tnh cht hot ng Cn c vo c cu t chc

June 27, 2012 Foreign Trade University, HCM city campus y m

5.3 CHC NNG CA NHTM

Chc nng trung gian tn dng (Inte g gg g ( ermediation) ) Chc nng thanh ton (Payment) Chc nng to tin cho nn kinh t (Money creation)

June 27, 2012 Foreign Trade University, HCM city campus y m

June 27, 2012 Foreign Trade University, HCM city campus y m

CHC NNG TRUNG GIAN TN DNG (INTERMEDIATION) N

June 27, 2012

CHC NNG TO TIN:M HNH TO TIN GIN N N

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Foreign Trade University, HCM city campus y m

CHC NNG TO TIN CA N NHTM

M HNH TO TIN TRONG TH T HC

1 =MB* C RR ER D D D

27/06/2012

Ti chnh tin t- Chng 3 g

11

CUNG CP CC DCH V TI C CHNH KHC

Cc hot ng ngoi bng; g g g; chng khon v bo him; tn thc

June 27, 2012

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Foreign Trade University, HCM city campus y m

CHC NNG CA NGN HNG HIN I N

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June 27, 2012

5.4 BNG CN I K TON

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June 27, 2012

CN I TS C- TS N CA NGN HNG

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Foreign Trade University, HCM city campus y m

A. NGHIP V TI SN N (NG GHIP V HUY NG VN)

-

a. b.

Phn Ti sn n (Ngun vn) cho b NHTM huy ng vn t ( g ) bit y g u. Cc khon n phi tr (Liabilities s) Tin gi Vn i vay Vn h hu (Bank V ch s h (B k capital) it l) Vn iu l Cc qu ngn hng Li nhun gi li Ngun vay n c th chuyn i thnh c phn g y y p
16

A.

CC KHON N PHI TR

* Tin gi: Ngun vn ln v qu trng nht ca cc uan

NHTM Cc loi tin gi: - Tin gi than ton nh - Tin gi tit kim t - Tin gi c k hn k

* Vn i vay

Vay t NHTW - Vay t cc NHTM khc - Vay di hnh thc pht hnh c giy t c gi c - Vay khc
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B. NGHIP V TI SN C (HO NG S DNG OT VN)

Nghip v Ti sn C (Ti sn) cho bit NHTM s dng ngun g p ( ) o g g vn huy ng c nh th no

a. Nghip v ngn qu b. Nghip v tn dng c Nghip v u t c. d. Ti sn khc

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5.5 HOT NG C BN CA N NHTM

Q Qu trnh chuyn bin ti sn (asset transformation): Cc y ( f ) NHTM huy ng cc ti sn n v dng s tin ny s dng vo cc ti sn c vi nhng c tn khc nh i vay ngn h hn v cho vay di h (b h hn (borrow short and l d h d lend long): cc NHTM thng cho vay cc khon vay di hn v ti y tr cho chng bi nhng khon tin gi ngn hn n

June 27, 2012

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Foreign T Trade University, HCM city campus y m

BASIC BANKINGCASH DEPOSIT C

First National Bank Assets Vault Cash +$100 Liabilities Checkable deposits +$100 0 First National Bank Assets Reserves +$100 Liabilities Checkable deposits +$100

O Opening i

of a checking acc f h ki count leads to an increase in the tl d t i i th banks reserves equal to th increase in checkable deposits he

9-20

BAS C BA ASIC ANKINGCHEC DEPOSIT G C ECK OS

First National Bank Assets Cash items in process of collection +$100 Liabilities Checkable deposits +$ $100

W hen a bank receives additional deposits, it gains an equal amount of reserves; when it loses deposits deposits, it loses an equal amount of reserves
Second National Bank S d N ti lB k Assets Reserves -$100 Liabilities Checkable deposits -$100

First N ti Fi t National Bank lB k Assets Reserves +$100 Liabilities Checkable deposits 00 +$10

9-21

BASIC BANKINGASSET TRANSFORMATION A

First National Bank Assets Required reserves reser es Excess reserves +$10 +$90 Liabilities Checkable deposits +$100 0 First National Bank Assets Required reserves reser es Loans +$10 +$90 Liabilities Checkable deposits +$100

Asset transformation-selling li iabilities with one set of characteristics and using the proceeds to buy assets with a different set of characteristics The bank borrows short and le ends long

9-22

5.5 HOT NG C BN CA N NHTM

June 27, 2012

Hat ng ngoi bng (Off-Balance g g g( e-Sheet Activities) :L cc ) hot ng kinh doanh ngn hng t nn ngun thu nhp cho o ngn hng nhng khng lm thay c cu bng cn i ti sn i ca ngn hng hng.

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Foreign Trade University, HCM city campus y m

HOT NG NGOI BNG CA NGN HNG A

Cung cp cc dch v thanh ton/ th h g p hu Bo lnh Tn thc

June 27, 2012

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Foreign Trade University, HCM city campus y m

5.6. NGUYN TC C BN CA QUN TR NHTM Q

Q Qun tr tnh thanh khon (liquidity m g ( q y management) ) Qun tr ti sn c (asset managemen nt) Qun tr ti sn n (liability managem ment) Qun tr vn ch s hu (capital ade equacy management) Qun tr ri ro (risk management)

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QUN TR TNH THANH KHON N

Ngn hng phi m bo c tin tr cho ngi gi tin khi g gp n g g h rt tin. D tr vt mc bo him cc N NH trc c nhng chi ph lin li quan vic ngi gi ti r ti t. Nh chi ph ny n i i i tin tin t Nhng hi h t cng cao th cc NH cng mun gi nhiu d tr vt mc D tr vt mc khng mang li l nhun cho cc NH i

6/27/2012

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LIQUIDITY MANAGEMENT: T AMPLE EXCESS RESERVES S

Assets Reserves Loans Securities $20M $80M $10M

Liabilities Deposits Bank Capital M $100M $10M M

Assets Reserves Loans Securities $10M $80M $10M

Liabilities Deposits Bank Capital $90M $10M

If

a bank has ample excess reserves, a deposit outflow does not necessitate changes in other parts of its balance sheet g n p

9-27

LIQUIDITY MANAGEMENT: T SHORTFALL IN RESERVES

Assets Reserves Loans Securities $10M $90M $10M

Liabilities Deposits Bank Capital M $100M $10M M

Assets Reserves Loans Securities $0 $90M $10M

Liabilities Deposits Bank Capital $90M $10M

D tr l yu cu php l v s thiu ht ny phi c loi b D tr di ra l phng tin bo cho NH khng phi chu m cc khon chi ph gn vi dng tin gi chy ra g

9-28

LIQUIDITY MANAGE EMENT: BORROWING

Assets Reserves Loans Securities M $9M Deposits $90M Borrowing M $10M Bank Capital M Liabilities $90M $9M $10M

Chi

ph ca hot ng ny l li sut phi tr cho tin vay y

9-29

LIQUIDITY MANAGEMENT: T SECURITIES SALE

Assets Reserves Loans Securities M $9M Deposits $90M Bank Capital M $1M M

Liabilities $90M $10M

NH

phi chu mt t chi ph mi gii v chi ph giao dch h khc khi bn chng khon g n

9-30

LIQUIDITY MANAGEMENT: T FEDERAL RESERVE

Assets Reserves Loans Securities M $9M Deposits

Liabilities $90M $9M $10M $90M Borrow from Fed M $10M Bank Capital M

Chi

ph gn vi khon cho vay chit khu t NHTW l li o chit khu

9-31

LIQUIDITY MANAGEMENT: REDUCE LOANS T

Assets Reserves Loans Securities

Liabilities M $9M Deposits $81M Bank Capital M $10M M $90M $10M

y l phng n tn km nh i vi cc NH t C kh nng gy ra s th ch ca nhng khch hng khng c gg y h g g g vay li. NH khc khng sn sng mua cc khon cho vay ng bng gi tr ca chng h
9-32

QUN TR TNH THANH KH -K LUN HON KT

D tr di ra l phng tin m bo cho NH khng phi ch cc chi ph gn vi dng tin chy ra. Chi ph gn vi dng tin chy ra cng cao, mc d tr di ra m cc p g g y g , NH mun nm gi cng ln

9-33

QUN TR TI SN - ASSET MA ANAGEMENT

Chin

lc c bn vi ba mc ti u: ti a ho li nhun, NH p phi tm kim li tc cao nht t nhng khon cho vay v u t, gim thiu ri ro v m bo tnh thanh khon vi vic nm g cc ti sn c tnh thanh khon gi cao.

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QUN L TI SN C

June 27, 2012

Bn cch thc c bn: Tm kim nhng ngi i vay c nng lc ti chnh tt, tr li cao Mua chng khon c li tc cao v ri ro thp a dng ho ti sn gim ri ro m bo tnh thanh khon b t h th h kh ca ti s sn

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Foreign T Trade University HCM city campus y, m

QUN L TI SN C

June 27, 2012

Bn cch thc c bn: Tm kim nhng ngi i vay c nng lc ti chnh tt, tr li cao Mua chng khon c li tc cao v ri ro thp a dng ho ti sn gim ri ro m bo tnh thanh khon b t h th h kh ca ti s sn

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Foreign T Trade University HCM city campus y, m

QUN TR TI SN N- LIABIL LITY MANAGEMENT

ng vai tr ngy cng quan trng g g y gq g Huy ng vn vi chi ph thp Hnh thc huy ng vn ngy cng a dng g NH ch ng hn trong hot ng ny

6/27/2012

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QUN TR VN CH S HU- CAPITAL ADEQUACY

MANAGEMENT
June 27, 2012

V sao NH phi quyt nh v s v ch s hu m h phi c? p q y n p Vn ch s hu gip cc NH khng b ph sn g Vn ch s hu nh hng n li tc m ch NH c hng Cc c quan php lut yu cu phi duy tr mt t l vn ch s i hu ti thiu

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Foreign T Trade University, HCM city campus y m

CAPITAL ADEQUACY MAN NAGEMENT: PHNG NGA S

PH SN CA NHN HNG KHI TI SN GIM ST G

High Bank Capital Assets Reserves Loans $10M $90M Liabilities Deposits Bank Capital $9 90M $1 10M Assets Reserves Loans

Low Bank Capital Liabilities $10M $90M Deposits Bank Capital $96M $4M

High Bank Capital Assets Reserves Loans $10M $85M Liabilities Deposits Bank Capital $9 90M $5M $ Assets Reserves Loans

Low Bank Capital Liabilities $10M $85M Deposits Bank Capital $96M -$1M

NH cn duy tr mc vn s h sao cho gim bt c hu nguy c b mt kh nng thanh ton

9-39

CAPITAL ADEQUACY MANAGE EMENT: RETURNS TO EQUITY HOLDER RS

Return on Assets: net pro after taxes per dollar of assets ofit et ne profit after taxes ROA = assets Return on Equity: net profit a after taxes per dollar of equity capital et ne profit after taxes ROE = equity capital Relationship between RO and ROE is expressed by the OA Equity Multiplier: the amoun of assets per dollar of equity capital nt Assets EM = Equity Capital E it C it l net profit after taxes net profit after taxes t assets equity capital assets equity capital ROE = ROA EM
9-40

TC NG CA VN CH S H TI LI TC CA HU
NGI CH ROE = ROA * EM EM = Tng gi tr ti sn/ Tng gi tr vn c phn

June 27, 2012 Foreign Trade University HCM city cam y, mpus

NH A Ti sn (Assets) Vn c phn (Equity) Nhn t vn c phn (EM) Gi s hai NH qun l tt nh nhau (ROA) ROE? 100 tr 10 tr 10 1% 10%

NH B 100 tr 4 tr 25 1% 25%

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QUN TR RI RO
Q Qun tr ri ro tn dng g Qun tr ri ro li sut

6/27/2012

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CC LOI RI RO
Ri ro tn dng g Ri ro li sut Ri ro hi oi Ri ro thanh khon Cc loi ri ro khc: cp NH, ha hon, li cng ngh a

June 27, 2012

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Foreign T Trade University, HCM city campus y m

RI RO TN DNG

June 27, 2012

Ri ro tn dng l kh nng xy ra n g g y nhng tn tht ngoi d kin g g cho NH do khch hng vay tr khn ng hn, khng tr hoc ng tr khng y vn v li.

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Foreign Trade University, HCM city campus y m

NHNG VN LM KH NN V N D XY RA NG
S la chn i nghch: Nhng ng c ri ro tn dng cao g g gi g (nhng ngi c nhiu kh nng kh hng hon tr c cc khon tin vay ca mnh) lun tm mi c vay tin ch S suy gim S i o t t i t th t c tn ti trn h trng cho vay bi v ngi h i i vay c th c ng c tham gia v nhng hot ng kng vo mong mun nu xt theo quan im ca ngi cho vay m

June 27, 2012

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Foreign T Trade University, HCM city campus y m

NGUYN TC QUN L RI RO TN DNG O

Sng lc v gim st g g Mi quan h di hn vi khch hn ng Cam kt cho vay Th chp v s d b Hn ch tn dng

June 27, 2012

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Foreign Trade University, HCM city campus y m

RI RO LI SUT
Ri ro li sut l kh nng xy ra t tht cho ngn hng khi li g y n g g sut thay i ngoi d tnh Li sut ngn hng (c bn ti sn l ln bn ngun vn) thng xuyn bi vi cc mc kh nhau c th d t bin ng i hc h h dn n tn tht Ri ro li sut c lin quan cht ch vi ri ro tn dng

June 27, 2012

47

Foreign T Trade University HCM city campus y, m

RI RO LI SUT
Ri ro v thu nhp
Cc loi l i RRLS

Ri R ro gim gi tr ti sn
48

INTEREST-RATE RIS R SK
First N National Bank Assets Rate-sensitive assets Variable-rate and short-term loans V i bl t d h tt l Short-term securities Fixed-rate assets Reserves Long-term loans Long-term securities $80M $ $20M $ Liabilities Rate-sensitive liabilities Variable-rate CDs V i bl t CD Money market deposit accounts Fixed-rate liabilities Checkable deposits Savings deposits Long-term CDs Equity capital

$50M

$50M

Nu mt NH c nhiu khon n nh cm vi li sut hn l ti sn th s gia tng y trong li sut s lm gim li nhun v s gim st trong li sut s lm tng li nhun ca n
9-49

INTEREST RA RISK: GA ANALYSIS S ATE S AP A SS

Basic G Analysis: Gap (rate sensitive (rate-sensitive assets rate sensitive liabilities) interest rate = in bank profits es Maturity B Bucket Approach measures the gap for s several maturity subintervals Standardiz ed Gap Analysis ccou s o d e g deg ees o e se s v y accounts for differing degrees of rate sensitivity
Copyright 2007 Pearson Addison-Wesley. All rights reserved.

9-50

Copyright 2007 Pear rson Addison n-Wesley. All rig ghts reserv ved.

INTEREST RATE RISK: DURATI ANALYSIS ION

Duration Analysis: % market v value of security percentage point interest rate duration in years Uses the weighte average duration of ed a financial institution's assets and of its liabilities institution s to see how net worth responds to a change in inte erest rates

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June 27, 2012

KHI NIM DI MACAULAY A

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Foreign Trade University, HCM city campus y m

RI RO LI SUT
Nguyn nhn N
53

S bin ng c li sut th trng ca S khng c xng v k hn n TSC v T TSN ca NHTM

C NHN T LM LI S BIN NG C SUT

T sut li tc d tnh ca CC n Ti sn v thu nhp Lm pht d tnh
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Cung tn dng

LS S

Cu tn dng

Li tc d tnh ca CC u t

Tnh lng CC n RR ca CC n Thm ht NSNN

RI RO T GI

June 27, 2012

L kh nng xy ra tn tht ngoi d kin cho NH khi t gi hi g y g d g oi thay i vt qu thay i d tnh

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Foreign Trade University, HCM city campus y m