B GIO DC V O TO

TRNG I HC KINH T TP.HCM

-----oOo-----







CHU TH HNG GIANG










NG DNG HIP C BASEL II
VO H THNG QUN TR RI RO
TI CC NHTM VIT NAM







LUN VN THC S KINH T

















TP. H Ch Minh - Nm 2009



1

B GIO DC V O TO
TRNG I HC KINH T TP.HCM
-----oOo-----







CHU TH HNG GIANG







NG DNG HIP C BASEL II
VO H THNG QUN TR RI RO
TI CC NHTM VIT NAM



Chuyn ngnh: Ti Chnh Doanh Nghip
M s : 60.31.12




LUN VN THC S KINH T




Ngi hng dn khoa hc: PGS TS PHAN TH BCH NGUYT








TP. H Ch Minh - Nm 2009



2




LI CAM OAN

Ti xin cam oan y l cng trnh nghin cu ca ring ti. Nhng thng tin
v ni dung nu trong ti u da trn nghin cu thc t v hon ton
ng vi ngun trch dn.

Tc gi ti: Chu Th Hng Giang

















3
MC LC

Danh mc ch vit tt
Danh mc cc bng biu
Danh mc cc biu
Danh mc cc phng trnh
M U
1. CHNG 1
CHNG 1: BASEL II TRONG QUN TR RI RO CA NH..................1
1.1. Nhng vn chung v ri ro v qun tr ri ro NHTM.......................1
1.1.1. Khi nim ri ro trong hot ng NHTM........................................1
1.1.2. Qun tr ri ro trong hot ng NHTM............................................2
1.2. Hip c quc t v qun tr ri ro ngn hng........................................3
1.2.1. Hip c Basel I..............................................................................4
1.2.1.1. Ni dung c bn ca Basel I..................................................4
1.2.1.2. Nhng hn ch ca Basel I ....................................................5
1.2.2. B 25 nguyn tc c bn v gim st ngn hng..............................6
1.2.3. Hip c Basel II.............................................................................7
1.2.4. Hu ch ca Basel II trong qun tr ri ro ngn hng .......................8
1.2.5. Ba tr ct ca Basel II .....................................................................9
1.2.5.1. Tr ct 1 ca Basel II ............................................................9
1.2.5.2. Tr ct 2 ca Basel II ..........................................................17
1.2.5.3. Tr ct 3 ca Basel II ..........................................................18
1.2.6. Nhng sa i ca Hip c Basel II so Hip c Basel I.............19
1.3. Kinh nghim ng dng Basel II ti cc nc v bi hc t cuc khng
hang ti chnh M..................................................................................20
1.3.1. Kho st tnh hnh ng dng Basel II ti cc nc trn th gii .....20
1.3.2. L trnh ng dng Basel II ti mt s quc gia trn th gii ..........23
1.3.3. Khng hang ti chnh M ............................................................25
4
Tm lc chng 1..........................................................................................29
2. CHNG 2
CHNG 2: NGHIN CU VIC NG DNG BASEL II TRONG
QUN TR RI RO CA CC NHTM VIT NAM...................................30
2.1. Thc trng hot ng ca cc NHTM Vit Nam..................................30
2.1.1. Nhng kt qu t c trong hot ng ca cc NHTM..............30
2.1.1.1. S lng ngn hng gia tng ..............................................30
2.1.1.2. Cc ngn hng tng vn iu l ..........................................31
2.1.1.3. Huy ng & cung ng vn ln cho nn kinh t ....................33
2.1.1.4. Li nhun ca cc ngn hng c ........................................34
2.1.2. Nhng mt cn tn ti trong hot ng ca cc NHTM.................35
2.1.2.1. T l n xu ........................................................................35
2.1.2.2. Kh nng thanh khan v tnh bn vng .............................36
2.1.2.3. Cng tc d bo v phn tch th trng ............................36
2.2. Thc trng ng dng Basel II trong h thng cc NHTM Vit Nam...37
2.2.1. Quy nh an ton vn ti thiu i vi cc NHTM .......................38
2.2.1.1. Nhng ni dung thc hin c......................................38
2.2.1.2. Nhng ni dung cha p ng c....................................48
2.2.2. Hot ng thanh tra, gim st cc NHTM......................................49
2.2.3. Minh bch thng tin Vit Nam...................................................51
2.3. Nhng nguyn nhn nh hng n vic ng dng Basel II trong h
thng cc NHTM Vit Nam....................................................................54
2.3.1. Nhng nguyn nhn thuc v ni dung .........................................54
2.3.1.1. Ni dung Basel II Qu phc tp ..........................................54
2.3.1.2. Chi ph thc hin ng dng Basel II qu ln .......................55
2.3.1.3. Yu cu ca Basel II v vn kh cao....................................55
2.3.2. Nhng nguyn nhn trong ni ti h thng ngn hng ..................56
2.3.2.1. Cha c vn bn hng dn v vic thc hin Basel II .......56
2.3.2.2. NHTM Vit Nam cha p ng iu kin ca Basel II .......56
2.3.2.3. Cha xy dng c h thng c s d liu........................56
5
2.3.2.4. Ngun nhn lc ...................................................................57
2.3.2.5. Thiu nhng t chc xp hng tn nhim chuyn nghip......58
2.3.2.6. Hn ch v nng lc gim st..............................................60
2.3.2.7. Cc vn lin quan n chun mc bo co.....................61
Tm lc chng 2 ...........................................................................................64
3. CHNG 3
CHNG 3: GII PHP NNG CAO KH NNG NG DNG BASEL
II TRONG QUN TR RI RO TI CC NHTM VIT NAM..................65
3.1. S cn thit ng dng Basel II trong qun tr ri ro ngn hng......... 65
3.2. L trnh v phng php .......................................................................66
3.3. M hnh ng dng Basel II vo h thng NHTM Vit Nam.................68
3.4. Cc gii php nng cao kh nng ng dng Basel II trong h thng
NHTM Vit Nam.....................................................................................70
3.4.1. Han thin v pht trin h tng cng ngh thng tin ....................70
3.4.2. Xy dng h thng xp hng tn dng ni b.................................71
3.4.3. Ci tin quy trnh qun tr ri ro ....................................................71
3.4.4. Nng cao cht lng ngun nhn lc.............................................72
3.4.5. Tng tnh ch ng v sc mnh ti chnh cho cc NHTM............73
3.4.6. u t ti chnh ng dng Basel II............................................73
3.5. Gii php v pha Ngn hng Nh Nc ...............................................74
3.5.1. Nng cao cht lng thng tn tn dng.........................................74
3.5.2. Nng cao hiu qu cng tc thanh tra kim sot, gim st ngn hng74
3.5.3. Hon thin h thng vn bn php lut ..........................................75
3.5.4. Yu cu cc NHTM minh bch thng tin.......................................78
Tm lc chng 3 ...........................................................................................79

KT LUN
TI LIU THAM KHO
PH LC

6
DANH MC CC T VIT TT

NHTM Ngn hng thng mi
NHTM CP Ngn hng thng mi c phn
NHTM NN Ngn hng thng mi nh nc
TCTD T chc tn dng
WTO T chc thng mi th gii (World Trade Organization)

DANH MC CC BNG BIU
Bng 1.1 C cu ca hip c Basel II .......................................................... 8
Bng 1.2 Tm lc tr ct 1 ca Basel II Yu cu v vn ti thiu ........... 11
Bng 1.3 H s Beta trong phng php chun i vi ri ro hot ng ..... 15
Bng 1.4 im khc nhau c bn ca Basel II so Basel I ............................ 20
Bng 1.5 Kt qu kho st ln th 5 ca y Ban Basel v vic ng dng Basel II
trong nh gi ri ro tn dng ....................................................................... 21
Bng 1.6 Kt qu kho st ln th 5 ca y Ban Basel v vic ng dng Basel II
trong nh gi ri ro hot ng ti cc quc gia thuc nhm cc nc G10 . 22
Bng 1.7 Kho st v vic ng dng Basel II cc nc khng phi l thnh
vin ca Hi ng Basel ............................................................................... 23
Bng 1.8 L trnh p dng Basel II ca mt s nc ng Nam ........... 25
Bng 2.1 Vn iu l ca cc NHTM Nh Nc Vit Nam.......................... 32
Bng 2.2 Li nhun ca mt s cc NHTM ti Vit Nam............................ 34
Bng 2.3 Mt s ch tiu v hot ng ngn hng giai on 2006 2010.... 37
Bng 2.4 H s an tan vn (CAR) ca mt s ngn hng t 2005 2008.. 40
Bng 2.5 Mt s ch tiu ca BIDV theo chun mc k ton Vit Nam v quc
t .................................................................................................................. 61
Bng 3.1 xut l trnh v phng php ng dng Basel II ti Vit Nam.. 67
Bng 3.2 xut m hnh ng dng Basel II trong phng php nh gi ri ro
tn dng ti Vit Nam................................................................................... 68
7
DANH MC CC BIU
Biu 1.1 Tnh hnh cc ngn hng trn th gii (vn t 3 t USD tr ln) ng
dng cc phng php nh gi ri ro tn dng ca Basel II......................... 21
Biu 1.2 Tnh hnh cc ngn hng trn th gii (vn nh hn 3 t USD) ng
dng cc phng php nh gi ri ro tn dng ca Basel II......................... 22
Biu 2.1 Tnh hnh pht trin v s lng ca h thng cc NHTM Vit Nam
..................................................................................................................... 31
Biu 2.2 Vn iu l ca h thng cc NHTM Vit Nam nm 2008........ 32
Biu 2.3 Tnh hnh huy ng vn v cho vay ca cc NHTM t 2001 2008
..................................................................................................................... 33
Biu 2.4 T l n xu ca h thng ngn hng t 2002 2008................ 35
Biu 2.5 H s an tan vn CAR ca mt s cc NHTM t 2005 2007 40
DANH MC CC PHNG TRNH
Phng trnh 1.1 Cch tnh h s CAR......................................................... 4
Phng trnh 1.2 Ti sn c ri ro trong Basel I ............................................. 5
Phng trnh 1.3 Vn yu cu ti thiu theo Basel II...................................... 9
Phng trnh 1.4 Ti sn c ri ro trong phng php chun nh gi ri ro tn
dng ca Basel II.......................................................................................... 12
Phng trnh 1.5 Ti sn c ri ro trong phng php xp hng ni b nh gi
ri ro tn dng ca Basel II ........................................................................... 13
Phng trnh 1.6 Vn d phng ri ro hot ng trong phng php ch s c
bn................................................................................................................ 14
Phng trnh 1.7 Vn d phng ri ro hot ng trong phng php chun 15




8
PHN M U
1. L DO CHN TI
Vit Nam tr thnh thnh vin ca WTO v ang trong tin trnh hi
nhp quc t. Vi xu hng hi nhp v ton cu ho mnh m ny, kinh
doanh Ngn hng c xem l mt trong nhng lnh vc ht sc nhy cm,
phi m ca gn nh hon ton theo cc cam kt quc t. Trong bi cnh
chung , i hi h thng NHTM Vit Nam phi ch ng nhn thc v sn
sng tham gia vo qu trnh hi nhp c th bin thch thc thnh c hi,
bin nhng kh khn thnh li th.
h thng NHTM Vit Nam tham gia tt hn vo sn chi chung quc
t, nng cao nng lc cnh tranh trong qu trnh hi nhp, cn phi tun
th theo mt s iu c quc t, t c c s so snh, nh gi v xp
hng gia cc ngn hng Vit Nam vi cc ngn hng nc ngoi ca cc
quc gia khc trn th gii.
Mt trong nhng iu c quc t c cc nh qun tr ngn hng c
bit quan tm chnh l hip c quc t v an ton vn trong hot ng ngn
hng cn c bit thng dng vi tn gi Hip c Basel. Ra i t cch
y hn 20 nm, hip c ny c rt nhiu quc gia trn th gii p dng
lm chun mc nh gi v gim st hot ng ca h thng ngn hng
nc mnh. Hin nay hip c Basel c phin bn hai (c bit n vi
tn gi The New Basel Capital Accord) cp nht, i mi mt s ni dung
hn so vi phin bn th nht trc .
Vit Nam, vic ng dng hip c Basel ny trong cng tc gim st
v qun tr ngn hng vn cn nhiu vng mc, nn ch mi dng li
vic la chn mt s tiu ch n gin trong Hip c Basel I vn dng v
vn cha tip cn nhiu vi Basel II.
Tuy nhin, trong tng lai, cc ngn hng Vit Nam, c bit l nhng
ngn hng c hot ng quc t, sm hay mun s phi tun th cc chun
mc Basel II han thin chnh h thng qun tr ri ro ngn hng, p ng
yu cu hi nhp quc t. V vy, cn thit phi nghin cu tht su v nm
hiu r cc quy nh trong Basel II, cng nh nghin cu nhng kh khn,
vng mc, nguyn nhn v sao Vit Nam cha ng dng c Basel II, cng
nh trn c s nghin cu kinh nghim ca cc quc gia trn th gii tng
ng dng Basel II, xy dng l trnh Basel II vo h thng cc ngn hng
9
Vit Nam. cng chnh l l do tc gi chn ti nghin cu ng
dng hip c quc t Basel II vo h thng qun tr ri ro ca cc
NHTM Vit Nam.
2. MC TIU NGHIN CU
ti thc hin nghin cu cc chun mc v quy nh trong hip c
Basel c bit l nghin cu k Basel II, kinh nghim ng dng Basel II ca
cc quc gia trn th gii.
Sau khi tm hiu v gii thiu ngn gn v hip c Basel II, ti tp
trung thc hin vic nh gi quy m, hiu qu hot ng ca h thng
NHTM Vit Nam trong thi gian qua, nhng vn cn lu trong cng tc
qun tr ri ro ca cc ngn hng, t phn tch nhng kh khn, nguyn
nhn m h thng NHTM Vit Nam , ang v c th s gp phi khi ng
dng Basel II.
Trn c s , ti c gng xy dng l trnh ng dng Basel II vo h
thng qun tr ri ro ca cc NHTM ti Vit Nam v ng thi xut nhng
gii php nng cao kh nng ng dng Basel II trong vic xy dng h thng
qun tr ri ro, tnh ton nhu cu vn ti thiu cn thit i vi nhng loi ri
ro c bn ca h thng ngn hng thng mi Vit Nam
3. PHNG PHP NGHIN CU
Lun vn s dng cc phng php l thuyt suy lun logic, duy vt bin
chng, duy vt lch s, phn tch hot ng kinh t, ton hc, thng k, so
snh, i chiu, cc kinh nghim ca bn thn v ca cc nh nghin cu ti
chnh tin t.
Ngoi ra, h thng c s d liu th cp cng c s dng c chn lc
nhm gip ti c th phn tch v nh gi vn mt cch khch quan
nht. Ngun d liu th cp ny ch yu c thu thp t cc bo co ngnh
v bo co thng nin ca ngn hng Nh nc, ca cc NHTM do chnh tc
gi tng hp v x l theo yu cu ca tng chuyn mc. Ngoi ra, ngun s
liu t cc tp ch chuyn ngnh c uy tn nh Tp ch Ti chnh, tp ch Ngn
hng, tp ch Th trng tin t, Thi bo Kinh t Vit Nam v cc website
ca c quan nh nc, chnh quyn thnh ph cng c s dng lm
ngun d liu th cp cho ti.

10
4. I TNG V PHM VI NGHIN CU
Trn thc t, hip c Basel II c rt nhiu quy tc v chun mc lin
quan n quy trnh gim st hot ng ngn hng, c bit l cc chun mc
gim st hot ng ca cc tp on ti chnh ngn hng.
Tuy nhin, trong iu kin nghin cu ca mnh, ti ch gii hn thc
hin nghin cu su cc chun mc mang tnh nh lng lin quan n an
ton vn nhm gip h thng ngn hng i ph vi ri ro tn dng, ri ro
hot ng v ri ro th trng (Pillar 1 Minumum Capital Requirements).
Chun mc v quy trnh gim st hot ng ca h thng ngn hng
(Pillar 2 Supervisory Review Process) v chun mc v cc quy tc th
trng (Pillar 3 Market Discipline) ti ch dng li nu ni dung
chnh, xin li cho phn nghin cu chuyn su hn sau ny.
5. NI DUNG TI
Ngoi phn m u v kt lun, lun vn c kt cu gm 3 chng:
Chng 1: Tng quan v ri ro v qun tr ri ro
Chng 2: Thc trng ng dng Hip c Basel II trong qun tr
ri ro ti h thng ngn hng Vit Nam
Chng 3: Gii php nng cao kh nng ng dng Basel II trong
qun tr ri ro ti cc NHTM Vit Nam
6. NGHA THC TIN CA TI NGHIN CU
Sau qu trnh nghin cu v nhn c s gp ca cc thy c,
hon thin ti hn, hy vng rng ti c th c s dng lm ti liu
nghin cu v ging dy trong cc chng trnh o to chuyn su v lnh
vc gim st v qun tr hot ng ngn hng.
Ngoi ra, kt qu nghin cu ca ti cng c th c cc c quan
thanh tra v gim st ngn hng nh nc, cc c quan qun l hot ng
ca cc ngn hng thng mi xem xt s dng khi nghin cu nhm hon
thin hn quy trnh thanh tra, gim st hot ng ngn hng.







11


CHNG 1:
BASEL II TRONG QUN TR RI RO CA NGN HNG

1.1. NHNG VN CHUNG V RI RO V QUN TR RI RO
NHTM
1.1.1. Khi nim v ri ro trong hot ng NHTM
Ri ro l nhng iu khng chc chn ca nhng kt qu trong tng lai,
hay l nhng kh nng ca kt qu bt n; l kh nng m ti t sut sinh
li nhun thc t khc bit so vi t sut sinh li mong i.
Trong lch s v nh gi cc ti sn ri ro, c th k n cc l thuyt ni
ting nh: l thuyt danh mc ca Markowitz, m hnh nh gi ti sn vn
CAPM (th hin mi quan h gia ri ro v li nhun k vng), m hnh kinh
doanh chnh lch gi APT.
Ri ro trong hot ng ngn hng c ngha l kh nng ngn hng b thua
l mt phn hoc thm ch l tt c cc khon u t ban u.
Trong hot ng ca cc NHTM, thng pht sinh nhng ri ro sau:
- Ri ro tn dng: l ri ro tht thot ti sn c th pht sinh khi khch
hng khng thc hin thanh ton n cho d l n gc hay n li khi
khon n n hn.
- Ri ro thanh khon: l ri ro pht sinh ch yu t xu hng ca cc
ngn hng l huy ng ngn hn v cho vay di hn.
- Ri ro li sut: l ri ro xut hin khi c s thay i ca li sut th
trng hoc 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 gi c: l ri ro v vic gi tr cc ti sn ca mt ngn hng c
th bin ng. Ri ro ny xut hin trong tt c cc chng loi ti sn,
t bt ng sn n c phiu v tri phiu,
- Ri ro t gi: l ri ro pht sinh trong qu trnh cho vay ngoi t hoc
kinh doanh ngoi t ca ngn hng khi t gi bin ng theo chiu bt
12
li cho ngn hng. Ri ro t gi cng pht sinh khi c s chnh lch v
k hn, v loi tin t ca cc khon ngoi hi nm gi, v v th lm
cho ngn hng c th phi gnh chu thua l khi t gi ngoi hi bin
ng.
- Ri ro php l: ri ro pht sinh do ngn hng b khi kin, hoc khi
nh nc thay i t ngt chnh sch v m v c cu kinh t, lnh vc
u tin, th iu ny c th dn ti ri ro thua l cho ngn hng.
- Ri ro uy tn: l ri ro d lun nh gi xu v ngn hng, gy kh
khn nghim trng cho ngn hng trong vic tip cn ngun vn hoc
khch hng ri b ngn hng.
1.1.2. Qun tr ri ro trong hot ng NHTM
Qun tr ri ro so vi qun l ri ro l khc nhau v mt ngha. Qun l
ri ro l vic s dng cc cng c, bin php, quy trnh cn thit nhm hn
ch ti a kh nng xy ra tn tht, v vy ch cn n trnh ri ro thng qua
la chn khch hng giao dch hoc ch la chn nhng danh mc u t an
ton hn. Trong khi qun tr ri ro l vic s dng cc bin php xc nh
v o lng ri ro, la chn chp nhn ri ro, qun l kim sot ri ro
nhm t c mc tiu hiu qu v an ton.
Qun tr ri ro trong kinh doanh ngn hng l vic theo di qu trnh s
dng vn ca ngn hng vi nhim v ch yu l kim sot v hn ch cc
loi ri ro pht sinh cng nh a ra gii php x l ri ro hiu qu nht,
ng thi xc nh tng quan hp l gia vn t c ca ngn hng vi mc
mo him trong s dng vn ca ngn hng.
Qun tr ri ro ngn hng c da trn hng lot nhng nguyn tc, trong
bao gm 9 nguyn tc c bn sau:
- Nguyn tc chp nhn ri ro.
- Nguyn tc iu hnh ri ro cho php.
- Nguyn tc qun l c lp cc ri ro ring bit.
- Nguyn tc ph hp gia mc ri ro cho php v mc thu nhp.
- Nguyn tc ph hp gia mc ri ro cho php v kh nng ti chnh.
- Nguyn tc hiu qu kinh t.
- Nguyn tc hp l v thi gian.
13
- Nguyn tc ph hp vi chin lc chung ca ngn hng.
- Nguyn tc chuyn y cc loi ri ro khng cho php.
Cng tc qun tr ri ro ngn hng bao gm cc ni dung sau:
- Xc nh hn mc ri ro: Cc b phn nghip v qun tr ri ro xc
nh hn mc ri ro cho b phn mnh. Hi ng qun tr theo nh k
c trch nhim xem xt li v thng qua cc hn mc . Cc mc ny
sau c thng bo ti ton b nhn vin cc b phn nghip v v
ban iu hnh. Ban iu hnh chu trch nhim m bo cc b phn
nghip v tun th cc hn mc ny. C t l thng v pht tnh trn
tng s thp hn v ln hn tng s vt hn mc .
- nh gi ri ro: Vic nh gi ri ro i hi phi xc nh c nhng
ri ro ln lin quan n cc sn phm, dch v hay hot ng ca
TCTD, phi c cc cht kim tra nm trong quy trnh nghip v
kim ch ri ro trong cc hn mc c ra cng vi cc bin php
theo di cc trng hp ngoi l vt hn mc ri ro.
- Theo di ri ro: sau khi xc nh hn mc v nh gi c mc ri
ro ca tng loi ri ro t theo di ri ro theo tng lnh vc kinh
doanh vi nhng mc ri ro khc nhau.
- Kim sot ri ro: kim sot ri ro trn gc ton din cc hot ng
ngn hng a ra bin php gim thiu ri ro hp l.
- Bo co nh gi v qun tr ri ro: cn c da trn kt qu nh gi
ri ro bo co nh gi nhng mt c, tn ti, rt kinh nghim
v c hng gii quyt ph hp.
1.2. HIP C QUC T V QUN TR RI RO NGN HNG
Sau hng lot v sp ca cc ngn hng vo thp k 80, mt nhm
cc Ngn hng Trung ng v c quan gim st ca 10 nc pht trin (G10)
tp hp ti thnh ph Basel, Thy S vo nm 1987 tm cch ngn chn xu
hng ny. Sau mt thi gian hot ng, y ban nghin cu v a ra cc
Hip c yu cu v an ton vn nh sau:
Nm 1998: ban hnh Hip c Basel I
Nm 1999: ra 25 nguyn tc c bn v gim st ngn hng hu hiu
Nm 2004: ban hnh Hip c Basel II
14
1.2.1. Hip c Basel I (nm 1998)
1.2.1.1. Ni dung c bn ca Basel I
Nm 1988, U ban Basel v gim st ngn hng ph duyt mt vn bn
u tin ly tn l Hip c v vn ca Basel (Basel I). Ban u, Basel I ch p
dng trong hot ng ca cc ngn hng quc t thuc nhm 10 nc pht
trin. Sau ny, Basel I tr thnh chun mc ton cu v c p dng trn
120 quc gia. Theo quy nh ca Basel I, cc ngn hng cn xc nh c t
l vn ti thiu (Capital Adequacy Ratio CAR) t ti thiu 8% b p
cho ri ro, y l bin php d phng bt buc nhm m bo rng cc ngn
hng c kh nng khc phc tn tht m khng nh hng n li ch ca
ngi gi tin.
Phng trnh 1.1 H s CAR c tnh nh sau:
Tng vn
Ti sn c ri ro (RWA)
T l vn ti thiu (CAR) =

- Tng vn ca ngn hng c chia lm 2 loi:
Vn cp 1_ Vn t c c bn: bao gm c phn thng, c phn u i
di hn, thng d vn, li nhun khng chia, d phng chung cc khon
d tr vn khc, cc phng tin y thc c th chuyn i v d phng
l tn dng). chnh l phn vn iu l v cc qu d tr c cng
b.
Vn cp 2_Vn t c b sung: vn ny c xem l vn c cht lng
thp hn, bao gm: d tr khng c cng b; d tr ti sn nh gi
li; d phng chung/d phng tn tht cho vay chung; cc cng c vn
lai (n/vn ch s hu); n th cp. Tuy nhin, cc khon n ngn hn
khng c bo m khng bao gm trong nh ngha v vn ny.
Cc gii hn: Tng vn cp 2 khng c qu 100% vn cp 1; n th
cp ti a bng 50% vn cp 1; d phng chung ti a bng 1,25% ti
sn c ri ro; d tr ti sn nh gi li c chit khu 55%; thi gian
o hn cn li ca n th cp ti thiu l 5 nm; vn ngn hng khng
bao gm vn v hnh (goodwill).
- Ti sn c ri ro (RWA): Basel I mi ch cp n ri ro tn dng,
v ty theo mi loi ti sn s c gn cho mt h s ri ro.
Phng trnh 1.2 Ti sn c ri ro trong Basel I:
RWA
Basel I
= Ti sn * H s ri ro
15

Theo Basel I, h s ri ro ca ti sn c ri ro c chia thnh 4 mc l 0%,
20%, 50%, v 100% theo mc ri ro ca tng loi ti sn (Ph lc 1)
Theo bin i ca th trng, nm 1996, Hip c Basel I c sa i c
tnh n ri ro th trng v ri ro th trng c th c tnh theo 2 phng
thc: bng m hnh Basel tiu chun hoc bng cc m hnh ni b ca cc
ngn hng.
Nhn chung, Basel I th hin mt bc t ph c bn lin quan n t
l an ton vn trong hot ng ngn hng. Basel I phn loi ti sn c ri ro v
xc nh h s ri ro cho tng loi ti sn, quy nh t l an ton vn ti thiu
l 8% tnh trn tng ti sn iu chnh theo ri ro.
1.2.1.2. Nhng hn ch ca Basel I
Mc d Basel I gip qun tr ngn hng hiu qu hn, m bo kh
nng chng ca ngn hng vi ri ro tt hn. Tuy nhin, qua qu trnh di
p dng vi xu th pht trin nh v bo ca h thng ngn hng trn th gii
th Basle I vi bn sa i nm 1996 vn c kh nhiu im hn ch.
- Th nht, phn loi ri ro cha chi tit cho cc khon cho vay. H s
ri ro cha chi tit cho ri ro theo i tc (v d kh nng ti chnh ca
khch hng) hoc theo c im ca khon tn dng (v d nh theo thi
hn). iu ny ch ra rng c th cc ngn hng c cng t l an ton vn
nhng c th ang i mt vi cc loi ri ro khc nhau, mc khc
nhau.
- Th hai, Basel I cha tnh n li ch ca a dng ho hot ng. Cc
l thuyt v u t ch ra ri ro s gim thng qua a dng ho danh mc
u t. Tuy nhin, theo Basel 1, quy nh v vn ti thiu khng khc bit
gia mt ngn hng c hot ng kinh doanh a dng (t ri ro hn) v
mt ngn hng kinh doanh tp trung (nhiu ri ro hn). Mt khon n
ring l yu cu mt lng vn ging nh mt danh mc u t c a
dng ha, vi cng mt gi tr (v d khng c s khc bit no gia mt
khon vay $100 v 100 khon vay $1).
- Th ba, Basel I cha tnh n cc ri ro khc. Trong quy nh vn ti
thiu ca mnh, Basle I mi ch cp n nhng ri ro v tn dng,
cha cp n nhng ri ro khc nh ri ro hot ng, ri ro quc gia,
ri ro ngoi hi; cp cha y v ri ro th trng.
16
- Th t, mt s cc quy tc do Basle I a ra khng th vn dng
trong trng hp ngn hng sp nhp hay tp on ngn hng, ngn
hng m, ngn hng chi nhnh. Xu th pht trin hin nay l cc ngn
hng dn dn sp nhp vi nhau to thnh nhng tp on ln c kh
nng cnh tranh cao v c tim lc mnh v ti chnh, cng ngh, cc
ngn hng khng cn ch hot ng trng phm vi lnh th quc gia m
lun vn ra tm quc t, m rng mng li ngn hng di hnh thc
hot ng ca ngn hng quc t. Chnh v vy, mt s qui nh trong
Basle I khng cn ph hp khi p dng ti nhng ngn hng ny, i
hi phi c mt s ci tin ton din trong vic xy dng cc chun mc
quc t v qun tr ri ro v gim st hot ng ngn hng.
1.2.2. B 25 nguyn tc c bn v gim st ngn hng (nm 1999)
Tip theo sau Hip c Basel I, bo m an ton trong hot ng ngn
hng ca cc TCTD, c bit l i vi nhng tp on ngn hng ln c
phm vi hot ng quc t, t nm 1999, U ban Basel ra 25 nguyn
tc c bn v gim st ngn hng hu hiu. B nguyn tc c bn bao hm
mt s nhm ni dung ch yu lin quan n vic gim st ngn hng, bao
gm:
- Nguyn tc v iu kin cho vic gim st ngn hng hiu qu: nguyn tc 1.
- Nguyn tc v cp php v c cu: t nguyn tc 2 n 5.
- Nguyn tc v quy nh v yu cu thn trng: t nguyn tc 6 n 15.
- Nguyn tc v gim st nghip v ngn hng: t nguyn tc 16 n 20.
- Nguyn tc v yu cu thng tin: nguyn tc 21.
- Nguyn tc v quyn hn hp php ca chuyn gia gim st: nguyn tc 22.
- Nguyn tc v ngn hng xuyn bin gii: t nguyn tc 23 n 25.
Chi tit cc ni dung trong B 25 nguyn tc v gim st ngn hng hiu qu
(Ph Lc 2).
1.2.3. Hip c Basel II
Nhm khc phc cc hn ch ca Basel I v khuyn khch cc ngn hng
thc hin cc phng n qun l ri ro tin tin hn, cho n 2004 bn Hip
c quc t v vn Basel II chnh thc c ban hnh. Ngy hiu lc ca
Hip c Basel II l thng 12/2006.
Basel II to mt bc hon thin hn trong xc nh t l an ton vn
17
nhm khc phc cc hn ch ca Basel I v khuyn khch cc ngn hng thc
hin cc phng php qun l ri ro tin tin hn. Basel II a ra mt lot cc
phng n la chn, cho php quyn t quyt rt ln trong gim st hot
ng ngn hng. Basel II bao gm mt lot cc chun mc gim st nhm
hon thin cc k thut qun l ri ro v c cu trc theo 3 tr ct sau:
Tr ct th nht: Quy nh yu cu v vn ti thiu.
Tr ct th hai: a ra cc hng dn lin quan n cng tc gim st
ngn hng.
Tr ct th ba: Yu cu cc ngn hng cn minh bch thng tin lin quan
n vn, ri ro m bo khuyn khch cc nguyn tc ca th trng.
So snh vi Basel I, th phm vi p dng ca Basel II rng hn bao gm
khng ch cc ngn hng quc t m c cc cng ty m, Basel II thay i nh
ngha v ti sn iu chnh theo ri ro, v c nhiu phng php la chn
hn trong vic nh gi ri ro.
Bng 1.1 C cu ca hip c Basel II

Ngun : International Convergence of Capital Measurement & Capital
Standards
18
1.2.4. Hu ch ca Basel II trong qun tr ri ro ngn hng
Hip c Basel II l mt lot cc quy tc nhm iu chnh hot ng ngn
hng a quc gia. Ngy nay, dng nh khng mt ngn hng no c th tch
ri m khng c mi lin h vi cc ngn hng trn th gii. Do vy, hiu bit
v p dng nhng quy nh Basel II s l rt quan trng i vi pht trin v
hot ng n nh ca cc ngn hng.
Basel II a ra nhiu quy nh cc ngn hng trnh khi nhng ri ro v
mt d liu v thng tin ngn hng c th pht sinh t khi nim, quy tc n
so snh, kt hp nhng yu t qun l nh mt cha kho gim thiu ri ro.
ng dng Basel II gip cc ngn hng qun tr ri ro ngn hng tt hn.
1.2.5. Ba tr ct ca Basel II
1.2.5.1. Tr ct 1 ca Basel II - Yu cu vn ti thiu
Tng t nh Basel I, Basel 2 vn qui nh mc vn an ton (CAR) 8%,
c xc nh bng cch ly tng vn chia cho ti sn c ri ro.
Phng trnh 1.3 Vn yu cu ti thiu theo Basel II:
Tng vn (ging Basel I)
RWA ri ro tn dng + (K ri ro hoat ng * 12,5) + (K ri ro th trng * 12,5)
T l vn ti thiu = 8%

- Tng vn: xc nh tng t nh trong Basel I.
- Ti sn c ri ro (RWA): Ngoi ri ro tn dng v ri ro th trng
c qui nh ti Basel 1, Basel 2 b sung thm mt loi ri ro na l
ri ro hot ng. Ngai ra, cch tnh RWA trong Basel II cng phc
tp hn so vi Basel I, v c kh nng nh gi chnh xc hn mc an
ton vn:
RWA
Basel I
= ti sn * h s ri ro (khng cp n xp hng
tn dng).
RWA
ri ro tn dng phng php chun Basel II
= ti sn * h s ri ro (
cp n xp hng tn dng).
RWA
Basel II
= vn yu cu ti thiu i vi tng ri ro (K) *
12,5.
Theo Basel 2, c cc phng php o lng ri ro sau:
19
- Cc phng php o lng ri ro tn dng:
Phng php chun ha: ph thuc vo nh gi ca cc t chc xp
hng tn nhim c lp;
Phng php da trn h thng nh gi ni b c bn: Cc ngn
hng a ra nhng khon ri ro ngm nh;
Phng php da trn h thng nh gi ni b nng cao: Cc ngn
hng a ra mt lot thng tin u vo v ri ro.
- Cc phng php o lng ri ro hot ng
Phng php ch tiu c bn: Mt ch tiu p dng cho mt qui nh;
Phng php chun ha: Nhiu ch tiu p dng cho mt qui nh;
Phng php o lng ni b nng cao: Cc ngn hng p dng cc
m hnh ni b.
- Cc phng php o lng ri ro th trng:
Phng php chun ha: Do c quan qun l ngn hng thit lp;
Phng php s dng cc m hnh ni b: Cc ngn hng p dng
cc m hnh ni b.













20
Bng 1.2 Tm lc tr ct 1 ca Basel II Yu cu v vn ti thiu

Ngun : International Convergence of Capital Measurement & Capital Standards

21
a. Ri ro tn dng
Theo Basel II, o lng v tnh ton h s ri ro i vi cc khon
mc ti sn c ri ro tn dng c 3 phng php c th la chn: Phng
php chun (Standardized), Phng php da trn xp hng ni b (c bn
(F IRB), phng php xp hng ni b nng cao (A IRB).
Phng php chun nh gi ri ro tn dng:
Phng trnh 1.4 Ti sn c ri ro trong phng php chun nh
gi ri ro tn dng ca Basel II:

Phng php ny gn ging nh phin bn Basle I m hin nay cc ngn
hng ang p dng. Tuy nhin, im khc bit ca Basel II so vi Basle I
trong phng php ny l:
- Basel I: khng cp n xp hng tn dng, cc khan cho vay
tng ng vi tng h s ri ro.
- Basel II: cp n xp hng tn dng, khng p t h s ri ro r
rng cho tng khon mc m cn ty thuc vo vic khon mc
c thc hin vi ch th no, uy tn v xp hng tn dng ca ch
th. Vic xp trng s bao nhiu ty thuc mc tn nhim (xp
hng tn dng) ca ch n (t AAA n di B- v khng xp
hng) do cc c quan xp hng tn nhim quy nh nh c quan
S&P.
- im khc bit na trong Basel II l: n c chia thnh 5 nhm
c thm h s 150% trng s ln lt l 0%, 20%, 50%, 100% v
150% (Ph lc 3).
Phng php xp hng ni b nh gi ri ro tn dng:
Ngoi phng php chun, Basel II cho php cc ngn hng c th la
chn phng php nh gi xp hng tn nhim ni b ca mnh xc nh
d n ca khch, xc sut v n, k o hn hiu dng, t trng tn tht tn
dng, t tnh ton ti sn c ri ro tn dng. Tuy nhin, ngn hng mun p
dng phng php ni b ny cn c s chp thun ca c quan gim st
ngn hng (nh thanh tra ngn hng hoc ngn hng nh nc).
Theo phng php xp hng ni b ny, th vn yu cu ti thiu i vi
ri ro tn dng s c xc nh chnh xc hn, v c s phn bit v vn yu
RWA
Phng php chun ca Basel II
= Ti sn * H s ri ro
22
cu ti thiu gia cc khan cho vay i vi cc i tng khch hng khc
nhau.
Phng trnh 1.5 Ti sn c ri ro trong phng php xp hng ni
b nh gi ri ro tn dng ca Basel II:

Trong :
EAD: Exposure at Default - tng d n ca khch hng ti thi im
khch hng khng tr c n.
K Capital required: t l vn cn thit d phng nhng trng
hp ri ro tn dng khng lng trc nhng li xy ra, c xc nh
thng qua PD (probability of default) xc sut v n, LGD (Loss
Given Default) t trng tn tht, M (effective maturity) k o hn
hiu dng. Cc yu t xc nh K v cch tnh K (Ph lc 4)
RWA - Ti sn c ri ro: c xc nh c th cho tng hnh thc cho
vay, RWA khc bit i vi doanh nghip va v nh vi cc khon
cho vay i vi doanh nghip ln (Ph lc 5)
b. Ri ro hot ng
Ri ro hot ng l ri ro tn tht xy ra do cc hot ng qun l ni b,
do con ngi, do h thng, hoc do cc s c bn ngoi khng ph hp hoc
b hng; bao gm c ri ro php l, nhng khng bao gm ri ro chin lc v
ri ro thng hiu.
Cc ngn hng c la chn mt trong ba cch tnh nhu cu vn cn
thit d phng ri ro hot ng vi mc phc tp v nhy cm vi ri ro
tng dn bao gm: Phng php ch s c bn (BIA The Basic Indicator
Approach), Phng php chun (TSA - The Standardized Approach),
Phng php nng cao (AMA Advanced Measurement Approaches).
Khi hot ng ca ngn hng cng phc tp th cn phi p dng
phng php c phc tp cao hn, ng thi khng cho php cc
ngn hng chuyn ngc tr li phng php n gin mt khi c chp
thun s dng cc phng php nng cao. Ngc li, nu cc ngn hng c
nh gi l khng iu kin tip tc s dng phng php nng cao th
cn phi quay tr v phng php c bn cho n khi p ng c nhng
yu cu ny.
RWA
Phong php IRB ca Basel II
= 12.5 * EAD * K
23
Phng php ch s c bn BIA
Cc ngn hng s dng phng php ny cn phi nm gi mc vn
d phng ri ro hot ng bng mc bnh qun tng thu nhp hng nm
(> 0) ca thi k ba nm trc nhn vi t l phn trm c nh (gi l
alpha).
Phng trnh 1.6 Vn d phng ri ro hot ng trong phng php ch
s c bn:

3
1
*
n
n
B I A
G I
K
n

=
=

, vi iu kin GI
n
>0 v = 15%
KBIA: vn yu cu phi d phng cho ri ro hot ng theo phng
php BIA
GI: thu nhp hng nm (> 0) ca 3 nm trc
n: s nm c thu nhp hng nm >0
Phng php chun TSA
p dng theo phng php chun, hot ng ngn hng c chia lm 8
nhm nghip v, mi nhm nghip v c h s Beta tng ng.
Bng 1.3 H s trong phng php chun i vi ri ro hot ng
Nghip v H s beta ()
Ti tr doanh nghip (1) 18%
Giao dch v bn hng (2) 18%
Ngn hng bn l (3) 12%
Nghip v NHTM (4) 15%
Dch v thanh ton (5) 18%
Dch v i l (6) 15%
Qun tr ti sn (7) 12%
Mi gii (8) 12%
Ngun : International Convergence of Capital Measurement & Capital Standards p140
24
Trong mi nhm, tng thu nhp l mt ch s ph bin coi nh mt thc
o cho hot ng v cng l cn c xc nh mc ri ro hot ng. Thu
nhp hng nm c o cho tng loi nghip v.
Phng trnh 1.7 Vn d phng ri ro hot ng trong phng php
chun:
8
1 3
1
m a x * , 0
3
n a m i i
i
T S A
G I
K

=
| |
|
\
=


K
TSA
l vn yu cu d phng cho ri ro hot ng theo phng php chun
GI

thu nhp hng nm i vi tng nhm nghip v trong s 8 nhm.
V d c th v cch xc nh vn yu cu phi d phng cho ri ro hot ng
tnh theo phng php c bn v phng php chun (Ph lc 6)


Phng php nng cao
S la chn hin i nht cho n ngy nay khi tnh ton nhu cu vn d
phng cho ri ro hot ng chnh l s dng phng php AMA. Theo
phng php ny, yu cu vn c tnh da trn h thng ni b nh gi
ri ro hot ng c bn ca ngn hng. H thng khng ch thng k thit hi
bn trong v bn ngoi thc t m cn phn tch theo trnh t thi gian cc
yu t lin quan n mi trng kinh doanh cng nh mi trng kim sot
ni b ca ngn hng. Ngn hng mun s dng phng php nng cao
AMA cn phi c c quan gim st ch qun ng v c s h tr
ca c quan ny, nn phng php AMA ny tr nn t thng dng hn so
vi phng php chun TSA.
c. Ri ro th trng
Ri ro th trng l ri ro tn tht xy ra trong bng cn i do gi c
bin ng tht thng. Ri ro th trng gn lin vi bn loi ri ro c bn
l: ri ro li sut (ri ro do li sut thay i); ri ro trng thi vn (ri ro do gi
chng khon thay i); ri ro t gi (ri ro do gi cc loi ngoi t thay i);
ri ro hng ho (ri ro do gi hng ha thay i).
Vn yu cu i vi ri ro th trng: ngoi vn t c theo quy nh ca
Basle I bao gm vn cp 1 & vn cp 2, khi nh gi ri ro th trng cho
25
php cc ngn hng tnh thm phn vn cp 3 gm cc khon n ph thuc
ngn hn vi mc ch d tr (Ph lc 7)
Phng php chun
Yu cu vn i ph vi ri ro th trng theo phng php chun s
c xem xt i vi tng yu t ri ro bao gm: ri ro li sut, ri ro trng
thi vn, ri ro t gi v ri ro hng ha. Cc quy nh c th v cch tnh
ton yu cu vn ti thiu i ph vi bn loi ri ro ny theo phng php
chun c quy nh chi tit trong phn A (t A1 n A5) ca ti liu
Amendment to the Capital Accord to incorporate market risks do y ban
Basel thng qua vo thng 11 nm 2005.
Phng php m hnh ni b
c th s dng phng php m hnh ni b khi nh gi ri ro
th trng, cc NHTM cn c s chp thun t pha c quan gim st
ngn hng. Yu cu ti thiu m mi ngn hng phi p ng bao gm: phi
c h thng qun tr ri ro tng thch, hin i v y d liu cn thit; c
s lng chuyn vin c trang b k nng s dng cc m hnh phc
tp khng ch trong giao dch m cn trong qun tr ri ro, kim ton; m hnh
ca ngn hng c c quan gim st nh gi c cht lng, qua kim
nh v tnh hp l v chnh xc khi o lng ri ro. Mt khi c chp
thun thc hin phng php m hnh ni b, cc ngn hng s xy dng m
hnh qun tr ri ro theo cc tiu chun nh:
i vi ri ro li sut, phi xc nh c cc nhn t nh hng n li
sut ca mi ng tin lin quan n danh mc u t ca ngn hng trn
c s nhy cm ri ro li sut k c cc khon mc trong v ngoi bng cn
i k ton.
i vi ri ro t gi (bao gm c bin ng gi vng), h thng qun tr ri
ro phi kt hp cc nhn t ri ro lin quan n tng loi tin ring l
i vi s bin ng gi c ca cc loi hng ha: t nht phi thit k
c h thng theo di bin ng gi c loi hng ha trn phm vi th
gii, v th mua bn hoc li l i vi tng giao dch lin quan n s bin
ng ny.
Trn c s nhng tiu chun v m hnh qun tr ri ro ny, cc ngn
hng s xc nh c gi tr VaR ca mi giao dch, ca cc danh mc v
ca ton b hot ng ngn hng. tin cy ca vic tnh ton ny theo yu
26
cu phi t ti thiu 99%.
1.2.5.2. Tr ct 2 ca Basel II Thanh tra, gim st ngn hng
Trong tr ct 2 ca Basel II cp n cc ni dung sau:
a ra cc nguyn tc ch cht ca vic kim tra, gim st,
cp n cc vn c th phi c quan tm trong qu trnh
kim tra gim st: ri ro li sut trong s ngn hng, ri ro tn dng,
ri ro hot ng, ri ro th trng
Cc hng khc ca qu trnh kim tra gim st: tnh minh bch
gim st, thng tin lin lc v s hp tc tng cng qua bin gii.
Vi ct tr ny, Basel II nhn mnh 4 nguyn tc ch cht ca cng tc
kim tra, gim st:
- Nguyn tc 1: Cc ngn hng cn c mt quy trnh nh gi mc
vn ni b theo danh mc ri ro v phi c c mt chin lc duy
tr mc vn ca h. Trong ni dung ny, qun l ngn hng phi gnh
trch nhim c bn i vi vic khng nh rng ngn hng c vn
h tr cc ri ro xy ra. Qu trnh qun l ri ro ngn hng bao gm cc
ni dung sau: gim st qun l ca ban gim c v cp cao; nh gi vn
chc chn; nh gi v ri ro ton din, thanh tra v bo co; kim tra
kim sot ni b.
- Nguyn tc 2: Cc t chc gim st cn r sot, kim tra v nh gi
li quy trnh nh gi v yu cu vn ni b v chin lc ca ngn
hng, cng nh kh nng ca h thanh tra v khng nh s tun
th t l vn ti thiu. Cc t chc gim st cn thc hin hnh ng
gim st ph hp nu cc ngn hng khng hi lng vi kt qu ca
quy trnh ny. Cc t chc gim st cn kim tra cc ni dung sau: kim
tra tnh y vn ca cc nh gi ri ro, nh gi v tnh y vn,
nh gi v mi trng kim sot, kim tra gim st v s tun th cc
tiu chun ti thiu, p ng gim st.
- Nguyn tc 3: Cc t chc gim st cn k vng cc ngn hng hot
ng trn cc t l vn yu cu ti thiu v khuyn ngh ngn hng
cn duy tr mc vn cao hn mc ti thiu theo quy nh.
- Nguyn tc 4: Cc t chc gim st s tm cch thm nhp vo nhng
giai on u tin ngn cn mc vn gim xung di mc ti
27
thiu, v c th yu cu sa i ngay lp tc nu mc vn khng c
duy tr trn mc ti thiu.
1.2.5.3. Tr ct 3 ca Basel II Nguyn tc th trng v minh bch
thng tin
Trong tr ct 3, y ban Basel II a ra nguyn tc minh bch chung: cc
ngn hng cn c chnh sch v tnh minh bch c hi ng qun tr thng
qua. Chnh sch ny phi th hin r cch tip cn ca ngn hng i vi vic
xc nh s minh bch no v kim sot ni b no s thc hin theo qu trnh
minh bch; th hin r cc mc tiu v chin lc dnh cho vic cng khai
ha cc thng tin v thc trng ti chnh v hot ng ngn hng.
Ngoi ra, cc ngn hng cng phi xy dng k hoch thc hin cng
khai ti chnh bao gm c chu k cng b. l cng khai c cu vn, cng
khai c cu ri ro v cc nh gi ri ro, cng khai hin trng ph hp vn.
iu ny cho php cc bn tham gia th trng c th thm nh mc vn
an ton v c s so snh. Cc ngn hng phi c chnh sch cng khai r rng
v mt quy trnh nh gi s chnh xc trong cc bo co ca h. i vi
tng loi ri ro ring bit, cc ngn hng phi m t cc mc tiu v cc chnh
sch qun tr ri ro ca h.
Nh vy, t mt vn bn 30 trang (Basel I) c pht trin thnh mt
vn bn gn 250 trang l mt s xy dng chi tit. Vi qu trnh pht trin ca
Basel v nhng Hip c m t chc ny a ra, nu p dng ng cc tiu
chun ny th vic nh gi sc khe ca cc ngn hng ni ring, cc t chc
ti chnh ni chung s tr nn d dng v minh bch hn, m bo phng
nga nhiu loi ri ro hn v do vy hy vng s gim thiu c ri ro.
1.2.6. Nhng sa i ca Hip c Basel II so Hip c Basel I
- Basel 2 vn qui nh mc vn an ton ti thiu l 8% v ch thay i cch
tnh mu s trong cng thc tnh t l vn. Theo , mu s phi bao
gm c ba loi ri ro: ri ro tn dng, ri ro th trng, ri ro hot ng.
- H thng o lng theo Basel 2 phc tp hn, nhiu phng php la
chn hn, nhng c kh nng nh gi chnh xc mc an ton vn, v
cho php quyn t quyt rt ln trong gim st hot ng ngn hng. i
vi ri ro tn dng, nu Basel I a ra mt phng php chung th Basel II
li a ra cc la chn. C th, 2 phng php c xut: Phng
php chun v phng php phn hng ni b.
28
Phng php chun: Phng php tip cn ny o lng ri ro tn
dng tng t nh Basel I, nhng mc nhy cm vi ri ro hn v
s dng xp hng ti chnh do cc t chc phn hng c lp cung cp
lm h s khi tnh ton ti sn iu chnh theo ri ro.
Phng php nh gi ni b: Phng php ny ch yu da vo nh
gi ni b ca ngn hng v h s ri ro xc nh t l vn cn thit.
Tuy nhin, vn da vo hng dn ca U ban Basel xc nh ri ro
cho tng loi ti sn, bao gm: Yu t cu thnh ri ro, Phng trnh
ri ro, Mc yu cu vn ti thiu:.
- Basel 2 phn nh cc mc ri ro trn c s xp hng, do cc ngn
hng s phi ph thuc ch yu vo kt qu xp hng v nh gi tn
nhim ca cc t chc c lp nh Moody, S&P.
- Xt v phm vi p dng ni chung ca Basel II rng hn so vi Basle I,
bao gm khng ch cc ngn hng quc t m c cc cng ty m, hay thay
i nh ngha v ti sn c ri ro.
Bng 1.4: im khc nhau cn bn ca Basle II so vi Basle I
Basle I Basel II
Mc vn an ton ti thiu l 8%, mu s
gm: ri ro tn dng.
Mc vn an ton ti thiu l 8%, mu s gm: ri ro tn dng,
ri ro th trng, ri ro hot ng
Ch tp trung vo ri ro tn dng
Basel 2 b sung thm ri ro hot ng, quy trnh gim st v
cc quy tc th trng
C mt phng php duy nht p dng
cho tt c cc trng hp
Linh ng hn, c nhiu phng php la chn, hng n
vic qun tr ri ro tt hn
H thng o lng n gin hn H thng o lng theo Basel 2 phc tp hn
Basle I ch c th vn dng ngn hng
theo kiu n thun tu
Phm vi p dng ca Basel II s rng hn bao gm cc ngn
hng quc t v cc cng ty m
Da trn cu trc theo din tri rng Nhy cm hn vi ri ro

1.3. KINH NGHIM NG DNG BASEL II TI CC NC V BI
HC RT RA T CUC KHNG HANG TI CHNH M
1.3.1. Kho st tnh hnh ng dng Basel II ti cc nc trn th gii
Nhm nghin cu ng dng v tc ng Basel n cc quc gia, tnh n
nay, y Ban Basel thc hin 5 cuc kho st iu tra, trong cuc kho
st gn y nht (QIS 5) c t chc vo thng 10 12 nm 2005 nhm
29
nh gi tc ng ca Basel II n hn 350 ngn hng thuc 31 quc gia.
Trong cuc kho st QIS 5, y Ban Basel phn chia cc ngn hng
c kho st thnh 2 nhm ngn hng: Nhm 1 v Nhm 2; trong cc
ngn hng thuc nhm 1 l nhng ngn hng c vn cp 1 t 3 t USD tr ln
v hot ng a ngnh, a quc gia.
Theo kt qu kho st v vic ng dng cc phng php Basel II trong
nh gi ri ro tn dng, nhn thy cc ngn hng thuc cc quc gia G10 ch
yu ng dng cc phng php xp hng ni b (trong cc ngn hng ln
thuc nhm 1 cc nc G10 ch yu ng dng phng php xp hng ni b
nng cao). Trong khi cc ngn hng c quy m vn nh hn 3 t USD thuc
cc quc gia khng nm trong nhm cc nc G10 li ch yu ng dng
phng php n gin (phng php chun) ca Basel II khi nh gi ri ro
tn dng.
Bng 1.5: Kt qu kho st ln th 5 (QIS 5) ca y Ban Basel v
vic ng dng cc phng php Basel II trong nh gi ri ro tn dng:
Total RSA FIRB AIRB Total RSA FIRB AIRB
G10 (12 nc) 82 0 23 59 146 33 102 11
Khng thuc G10 (19 nc) 14 2 6 6 140 127 10 3
Tng cng 96 2 29 65 286 160 112 14
S lng ngn hng
Nhm 1 (vn 3 t USD) Nhm 2 (vn < 3 t USD)
Ngun: Results of the fifth quantitative impact study (QIS 5) Banks for international
settlements page 7.
Tnh hnh cc ngn hng c vn 3 t USD (ngn hng nhm 1)
ng dng cc phng php nh gi ri ro tn dng ca Basel II
0% RSA
14% RSA
28% FIRB
43% FIRB
72% AIRB
43% AIRB
0%
20%
40%
60%
80%
G10 (12 nc) Khng thuc G10 (19 nc)
RSA - Phng php chun FIRB - Phng php xp hng ni b n gin
AIRB - Phng php xp hng ni b nng cao

Biu 1.1 Tnh hnh cc ngn hng ca cc quc gia trn th gii (vn
t 3 t USD tr ln) ng dng cc phng php nh gi ri ro tn dng
ca Basel II
Ngun: Results of the fifth quantitative impact study (QIS 5) Banks for international
settlements page 7
30
Tnh hnh cc ngn hng c vn < 3 t USD (ngn hng nhm 2)
ng dng cc phng php nh gi ri ro tn dng ca Basel II
91% RSA
23% RSA
7% FIRB
70% FIRB
2% AIRB
8% AIRB
0%
20%
40%
60%
80%
100%
G10 (12 nc) Khng thuc G10 (19 nc)
RSA - Phng php chun FIRB - Phng php xp hng ni b n gin
AIRB - Phng php xp hng ni b nng cao

Biu 1.2 Tnh hnh cc ngn hng ca cc quc gia trn th gii (vn
nh hn 3 t USD) ng dng cc phng php nh gi ri ro tn dng
ca Basel II
Ngun: Results of the fifth quantitative impact study (QIS 5) Banks for
international settlements page 7
Ngai ra, theo kt qu kho st QIS 5 ca y Ban Basel v vic ng
dng cc phng php trong nh gi ri ro hot ng ti cc nc G 10
(ngoi tr M) th cc phng php phc tp nh phng php nng cao cng
ch c 39% cc ngn hng thuc nhm 1 p dng (nhm cc ngn hng c
vn cp 1 t 3 t USD tr ln); cn cc ngn hng c quy m nh hn 3 t
USD ch yu ng dng phng php c bn v phng php chun.
Bng 1.6: Kt qu kho st ln th 5 ca y Ban Basel v vic ng dng
cc phng php Basel II trong nh gi ri ro hot ng cc nc G10
S lng ngn hng T trng S lng ngn hng T trng
Phng php ch s c bn 2 4% 81 59%
Phng php chun 32 57% 56 41%
Phng php nng cao 22 39% 0 0%
Tng cng 56 100% 137 100%
Nhm 1 (vn cp 1 3 t USD)
Phng php p dng
Nhm 2 (vn cp 1 < 3 t USD)

Ngun: Results of the fifth quantitative impact study (QIS 5) Banks for
international settlements page 8
Ngoi ra, theo kt qu nghin cu ca Vin khoa hc pht trin ca i
hc Sussex, Brighton thc hin kho st vo nm 2004 v tip theo nm
2006 v vic ng dng Basel II cc nc khng phi l thnh vin ca
Hi ng Basel, nhn thy c 84% cc nc c kho st trn th gii c
d nh ng dng Basel II t nm 2007 n nm 2015. C th nh sau:
31
Bng 1.7 Kho st v vic ng dng Basel II cc nc khng phi
l thnh vin ca Hi ng Basel
S lng quc gia S lng quc gia
c kho st d nh ng dng Basel II
Chu Phi 17 12 71%
Chu 16 16 100%
Vng Caribbean 7 4 57%
Chu M La tinh 14 12 86%
Vng Trung ng 8 8 100%
Quc gia chu u khng thuc
Hi ng Basel 36 30 83%
TNG CNG 98 82 84%
Khu vc %

Ngun: Review of Basel II Implementation in Low Income Countries done
by Institute of Development Studies University of Sussex, Brighton
Thng qua cc cuc kho st ca nhng t chc c uy tn trn th gii
nhn thy, cc quc gia hin nay u c xu hng ng dng Basel II trong
qun tr ri ro ngn hng, nhng ch yu ng dng cc phng php n
gin; cn nhng phng php phc tp nh phng php nng cao ch c
ng dng cc ngn hng c quy m hot ng ln, a ngnh ngh, a quc
gia.
1.3.2. L trnh ng dng Basel II ti mt s quc gia trn th gii
i vi cc ngn hng ca 30 quc gia thuc khi cc nn kinh t hp
tc v pht trin OECD, hip c Basel ch nh r thi hn p dng
theo ton b chun mc ca hip c l vo cui nm 2006. Tuy nhin, ti
thi im cui 2006, theo bo co ca ngn hng trung ng Chu u,
ch c khong 20% s ngn hng trong ton h thng l m bo c y
theo chun mc Basel, cc ngn hng cn li s c xem xt p dng
song song gia phng n c v mi cho n nm 2009.
M, c nhiu im khc bit trong vic ng dng Basel II M so vi
cc quc gia khc trn th gii. Basel II c p dng M vo khang
gia u nm 2008 v ch c ng dng mt s cc t chc ti chnh.
C 4 c quan c lin quan n vic thc hin v ng dng Basel II: C quan
kim sot tin t (OCC), t chc h thng d tr lin bang (Board), Tp an
bo him tin gi (FDIC), c qun kim sot tin gi (OTS). Bn c quan
ny mi xc nh phn loi ngn hng thuc 3 nhm sau:
CORE BANKS: bao gm 8 ngn hng c tng gi tr ti sn hp nht
t 250 t USD tr ln v c bng cn i ti sn hot ng chi
32
nhnh nc ngoi t 10 t USD tr ln; 8 ngn hng ny bt buc
phi p dng cc phng php nng cao nh gi ri ro tn dng
v ri ro hot ng.
OPT IN BANKS: l cc ngn hng c khuyn khch nn p dng
phng php nng cao trong nh gi ri ro.
GENERAL BANKS: l cc ngn hng khng p dng phng phng
nng cao, m ch p dng phng php n gin trong nh gi ri ro (c
khong 6.500 ngn hng M vi quy m va v nh d kin s va p
dng theo Basel II va duy tr theo Basle I cho n khi t c tiu
chun ca Basel II).
Ti mt s quc gia nh c, Nht Bn, Hn Quc, tt c cc ngn hng
ca nhng quc gia ny s p dng hip c Basel II tr nht vo u nm
2008, vi cc phng php c th p dng nh phng php chun (i vi
ri ro tn dng v ri ro hot ng), phng php IRB c bn & nng cao,
phng php ch s c bn BIA, phng php o lng nng cao AMA.
Nhm nhng nc c coi l pht trin tng i mnh trong khu vc
Chu nh Singapore, Hng Kng-Trung Quc, i Loan s c mt s
phng php c a vo p dng ngay t thi im u nm 2007 nh
phng php chun (ri ro tn dng & ri ro hot ng), phng php IRB c
bn v phng php ch s c bn BIA. Cc phng php nng cao d kin
c p dng vo u nm 2008.
i vi Thi Lan, Philipines, Malaysia v Indonesia, thi hn trin
khai p dng Basel II s li li sau mt nm, ngha l cui nm 2008. Nhng
phng php nng cao v phc tp c th p dng vo cui nm 2009 hoc
2010 ty iu kin thc t ca tng quc gia.
Bng 1.8 L trnh p dng Basel II ca mt s nc ng Nam :
Phng php
chun
Phng php
xp hng ni b IRB
c bn
Phng php
xp hng ni b IRB
nng cao
Phng php c bn BIA
&
Phng php chun TSA
Phng php
nng cao
Thi Lan Cui 2008 Cui 2008 Cui 2009 Cui 2008 Cha xc nh
Philippines 2007 2010 2010 2007 2010
Malaysia u 2008 u 2010 Cha xc nh u 2008 p dng BIA Cha xc nh
Indonesia 2008 2010 2010
2008 p dng BIA
2010 p dng TSA
2010
Quc gia
Ri ro tn dng Ri ro hot ng
Ngun: Basel II and financial stability: Singapores Experience done by Executive
Director, Prudential Policy Monetary Authority of Singapore
33
Tuy nhin, tri ngc vi nhng xu th chung ca cc quc gia k trn,
Trung Quc chn mt hng i rt khc l p dng theo chun mc
Basel 1.5. Ngha l s kt hp cc chun mc trong hip c Basle I vi qui
tc 2 v 3 trong Basel II. Lc ny, tt c cc phng php mi c cp
n trong Basel II nh gi ri ro tn dng hon ton khng c quc gia
ny la chn p dng. Cho n cui nm 2007, Trung Quc s hon thnh
vic p dng y theo Basle I v nh gi ri ro tn dng.
1.3.3. Khng hang ti chnh M
Nhiu chuyn gia kinh t t ra nhng cu hi l: ti sao h thng cc
ngn hng M vn ang p dng cc phng php qun tr ri ro ti u
nht trong Basel II nhng li khng trnh khi cuc khng hong ti
chnh khng khip nh va qua.
Cuc khng hang ti chnh M bt u bng pht t cui nm 2007,
trong khi mt s quc gia ln mi ch ng dng Basel sau ny (nh c ng
dng Basel II vo u nm 2008, M ng dng Basel II vo khang gia nm
2008 v cng ch ng dng 8 t chc ti chnh ln, c quy m hot ng
tan cu). V th, Basel II khng phi l mt php mu nhim gip cc
ngn hng M trnh c cuc khng hang ti chnh khng khip nh va
qua.
Cuc khng hang ti chnh M bt ngun t chng khon ha bt
ng sn, chng khon ha cc khon n t to ra nhng chui gi tr
o. C th, sau cuc tn cng khng b nm 2001, Cc D tr Lin bang M
(FED) ct gim li sut 11 ln t mc 6,5%/nm xung ch cn
1,75%/nm. Thm vo , chnh quyn Bill Clinton ban hnh mt o lut
ti pht trin cng ng tp trung vo mc tiu x hi l gii quyt nh cho
ngi c thu nhp thp. Hai yu t ny thc y dn chng vay tin ngn
hng mua nh. Mt khc, cc ngn hng cng sn lng cho vay, c vi
nhng khch hng c hng mc tn nhim di chun. T l t chi cho
vay mua nh xung thp k lc l 14%, ch bng mt na so vi nm 1997.
Bi l, cc ngn hng ny li s bo m ngm ngm t Chnh ph m
hin thn l hai cng ty Fannie Mae v Freddie Mac. Hai cng ty ny c
chnh ph bo tr mua cc khon cho vay c th chp, phn ln l t cc
NHTM, sau bn li trn th trng. Nhng ngn hng dng tin thu c
tip tc cho vay. Fannie Mae v Freddie Mac nm gi n 70% cc khon
m bo cho vay mua nh M. Vic mua bn cc khon n ny, trong c
34
nhiu khon n di chun m cc ngn hng mun bn i lm p bng
cn i ti sn, c bi trn v nh bng bi nhng ngn hng u t ln
Ph Wall thng qua pht kin ti chnh ca chnh h: chng khon ha cc
ti sn th chp. Cc loi chng khon t ti sn tng hp c cc ngn
hng u t pht hnh cho cng chng, cc ngn hng M v cc nh ch
ti chnh trn ton cu, trong c nhiu nh ch khng c gim st cht
ch nh ngn hng. iu ny v hnh chung a ri ro dch chuyn t ngn
hng sang cc t chc khc. Chnh cc cng c ny l mt vi bm hi vo
qu bng gi ti sn khi n c quay vng: cho vay th chp - chng khon
ha cc khon cho vay - dng tin thu c tip tc cho vay. Khi li sut gia
tng, qu bng x hi v th trng nh tut dc, ko theo s tut dc ca
gi cc loi chng khon. Khi cc nh u t mt lng tin v quay lng vi
cc loi chng khon, th trng khng ln cho cc ngn hng, v cc cng
ty nh Fannie Mae, Freddie Mac s dng nhng cng c ti chnh tng t,
th h phi nm gi ton b nhng khon vay .
V theo quy nh v hot ng ngn hng Basel I, Basel II, cc t chc
ti chnh phi b 8% vn t c cho cc khon vay , ngha l nu h cho
vay 10 t USD, h phi c t nht 800 triu USD vn (equity capital). iu
dn n bic bt thnh lnh, hu nh tt c cc ngn hng cn c bm vn
c th duy tr cc khon vay . V khi khng c ngun vn, khng
nhng h c nguy c vi phm cc quy nh v hot ng ngn hng v
nguyn tc m bo vn, h b cc c quan nh gi cht lng tn dng h
thp ch s tn dng, iu ny li lm tng chi ph cc khon vay ca h v
qua dn n s thua l trong hot ng cho vay. Gi tr th trng ca
nhng ngn hng u t rt thm m pht sng m mn M l s v ca
ca ngn hng u t Bear Stearns. Tip l s v hng lot cc cng ty
cho vay kinh doanh bt ng sn, ngn hng u t, NHTM, ngn hng tit
kim, cng ty bo him... nh Fannie Mae v Freddie Mac, Lehman Brothers,
AIG...
Nh vy, nguyn nhn su xa ca cuc khng hang ti chnh va
qua m bt ngun t M l do:
- Hot ng ti chnh ca cc ngn hng ti M pht trin qu cao, qu tinh
vi v phc tp, v to ra cc gi tr o t vng xoay: cho vay th chp -
chng khon ha cc khon cho vay - dng tin thu c tip tc cho vay.
- Trong cng tc cho vay, mt s cc ngn hng M vi phm quy tc
35
m bo an tan trong cng tc tn dng, khi sn lng cho vay, c vi
nhng khch hng c hng mc tn nhim di chun, v li s bo m
ngm ngm t Chnh ph m hin thn l hai cng ty Fannie Mae v
Freddie Mac.
- Cc ngn hng s dng n by ti chnh qu cao, s dng vn vay ti
tr cho tng trng ti sn qu ln, gy ri ro cho ngn hng khi ti sn
gim. T nm 1975, cc ngn hng u t khng c php c t l n
by ti chnh cao hn 15 ln. Tuy nhin t nm 2004 U ban chng
khon M bi b quy nh ny, lm cho cc ngn hng ny s dng
n by kh cao, ln n 30 ln, thm ch hai i gia bt ng sn Freddie
Mac, Fannie Mae s dng n by n 60 ln - cao gp i so vi cc
ngn hng u t khc.
- Khi thc hin chng khon ha cc khan cho vay, cc ngn hng v
hnh chung a ri ro dch chuyn t ngn hng sang cc t chc khc,
trong c nhiu nh ch khng c gim st cht ch nh ngn hng.
- Kh nng qun l ri ro ca cc ngn hng khng theo kp s phc tp ca
nhng "pht minh" v chng khan ha cc khon vay, v cc nghip v
hon i ri ro nh credit default swap...
- Cng tc thanh tra, gim st v qun l ri ro ca cc ngn hng, nht l
i vi cc ngn hng hot ng kinh doanh rng ri trn ton cu cn bc
l nhiu im yu, cha theo kp vi s pht trin ca th trng ti chnh.
l kt lun ca y ban Gim st Ngn hng (Basel) khi a ra Chin
lc ton din gii quyt nhng im yu c bn c bc l trong cuc
khng hong ti chnh th gii va qua.
Thng qua c th rt ra bi hc kinh nghim cho Vit Nam l:
- Nguy c khng hang ti chnh khng loi tr bt c quc gia, t chc
no; nhng quc gia v t chc cng ln th nguy c khng hang cng
cao do bt ngun t s yu km ca cng tc qun tr ri ro, ri ro vt
qu tm kim sot.
- Ri ro khng hang ti chnh thng bt ngun, lin quan n ri ro tn
dng, c bit l ri ro t tn dng bt ng sn ca cc NHTM. Ti M
La Tinh cng nh mt s nc cng nghip pht trin nh Phn Lan,
Nauy, Thy in, Nht Bn v M, khng hong ngn hng xy ra sau
bng n cho vay. Bng n cho vay di tiu chun ca M dn ti cuc
36
khng hong ti chnh ngn hng nm 2008, v nghim trng hn lan
rng trn ton cu. V vy, cc ngn hng cn tun th ng v y cc
quy nh v quy ch cho vay, o to v nng cao thc trch nhim,
trnh nng lc thm nh nh gi ca cc nhn vin tn dng, bo m
chnh xc ngay t khu u tin ca qu trnh cho vay l phng php
phng chng ri ro hiu qu nht. Ngn hng cn ch trng n vic nh
gi kh nng tr n ca khch hng, phng n kinh doanh hiu qu hn
l ch trng n ti sn th chp. Ngoi ra, Ngn hng cng cn quan tm
n giai on sau gii ngn, c k hoch kim tra vic s dng vn ca
khch hng theo nh k, nh k nh gi li khch hng cng nh ti sn
m bo hn ch ti a ri ro c th xy ra cho Ngn hng.
- Yu cu vn ti thiu i vi cc t chc ti chnh, ngn hng l rt quan
trng, tuy nhin vn cha m bo tnh n nh cho hot ng ca
ngn hng;
- Trong qu trnh hot ng, cc NHTM phi ch trng cng tc qun tr ri
ro v cc cng tc thanh tra, gim st ri ro c th kp thi pht hin v
kim sot ri ro.
- Khi cc loi hnh hot ng kinh doanh khc pht trin nh vic mua bn
cng ty, mua bn n, cc sn phm phi sinh,... s lm cho cng tc qun
l ri ro s ngy mt kh khn. Cc ngn hng cn nng cao hn na cng
tc gim st v qun tr ri ro, d bo v phng nga ri ro trong hot
ng, ri ro thanh khon, to s n nh v pht trin cho hot
ng ngn hng.








37
KT LUN CHNG 1
Trong qu trnh tn ti, hot ng cc ngn hng khng th khng tp
trung vo vn qun tr ri ro khi mun ti a ho li nhun. V vy, vn
ri ro ngn hng lun c cc nc pht trin c bit ch trng nghin cu,
phn tch, thm ch ngay c khi nn kinh t ang rt n nh. Hin nay cc
ngn hng trn th gii ang c xu hng chung hng n vic tun th
Basel II - Hip c ca cc nc thuc G-10 tha thun thng nht v o
lng vn v cc tiu chun vn ca ngn hng c k kt vo nm
2004, ra i nm 2006.
i vi cc nc khng phi thnh vin ca G-10, vic tun th Basel II
khng phi l bt buc, tuy nhin cc nc trn th gii hin nay u hng
ch n vic tun th cc tiu chun vn ca Basel II v mc nhin cc tiu
chun ca Basel II c tha nhn l s thng nht quc t v o lng vn
v cc tiu chun vn
Nhng phng php nh phng php chun, phng php IRB c bn
v nng cao, phng php ch s c bn, phng php m hnh ni b,
phng php nng cao tr nn quen thuc ti nhiu quc gia, tr thnh
nhng cng c h tr c lc cho vic qun tr ri ro hiu qu, gip hn
ch phn no tn tht trong qu trnh hot ng ca h thng NHTM.
Tuy nhin, qua bi hc kinh nghim t cuc khng hang th gii va
qua, m bt ngun t M, xut pht t pht kin ti chnh chng khon ha
cc ti sn th chp ca cc ngn hng M, kt hp vi bng n ca th
trng bt ng sn M; cho thy cng tc thanh tra, gim st v qun l
ri ro ca cc ngn hng M cn nhiu l hng, nn khng trnh c ri ro
t khng hang ti chnh. T , rt ra bi hc kinh nghim cho Vit Nam v
vic khng ngng nng cao cng tc qun tr ri ro ti cc NHTM, cng tc
thanh tra, gim st ngn hng.






38
CHNG 2:
NGHIN CU VIC NG DNG BASEL II
TRONG QUN TR RI RO CA CC NHTM VIT NAM

2.1 THC TRNG HOT NG CA CC NHTM VIT NAM
Hai nm i qua t khi Vit Nam l thnh vin WTO, bn cnh nhng
thun li v thi c, vn cn nhiu kh khn thch thc m Vit Nam phi vt
qua c th snh tm vi th gii. i vi h thng ngn hng ca nc ta,
mc d trong nhng nm qua c c nhiu ng thi chun b cho cuc ua mi
khi gia nhp WTO v cng c nhiu thnh tu quan trng trong i mi,
trng thnh v ln mnh hn nhiu so vi trc y, nhng so vi th gii, vi
i hi ca thi i v ca s pht trin kinh t t nc th vn cn nh b,
khim tn v bt cp.
2.1.1 Nhng kt qu t c trong hot ng ca NHTM
2.1.1.1 S lng ngn hng gia tng vt bc
Tnh n ht nm 2008, trong h thng cc TCTD Vit Nam c 4 NHTM
NN, 1 ngn hng chnh sch x hi, 39 NHTM CP, 47 chi nhnh ngn hng
nc ngoi, 6 ngn hng lin doanh, 14 cng ty ti chnh, 13 cng ty cho thu ti
chnh v 998 qu tn dng nhn dn c s. ng thi, thc hin cam kt m
ca th trng dch v ngn hng trong khun kh WTO, bt u t ngy
1/4/2007, cc ngn hng 100% vn nc ngoi c php thnh lp ti Vit
Nam, to thm mt loi hnh ngn hng mi trong h thng. Hin nay, c 5
ngn hng 100% vn nc ngoi c thnh lp Vit Nam l ngn hng
Standard Chartered, HSBC, ANZ, Shinhan Vit Nam v Ngn hng trch nhim
hu hn mt thnh vin Hong Leong Vit Nam vi thi hn hot ng ti Vit
Nam l 99 nm.
39
TNH HNH PHT TRIN V S LNG CA CC NGN HNG
4
5 5 5 5 5
6
22
41
48
51
48
36
37
34
0
31
4
38
34
4
47
41
8
5
18
24
26
28 31
0
10
20
30
40
50
1991 1992 1993 1995 1997 2000 2004 2005 2006 2007 2008
NHTM Nh Nc NHTM C Phn Chi nhnh NH Nc ngoi

Biu 2.1 Tnh hnh pht trin v s lng ca h thng NHTM Vit Nam
Ngun: Tng hp t Ngn hng nh nc, bo & internet
Nu so vi cch y hn chc nm th y qu l mt s trng thnh
vt bc. Tuy nhin, iu quan trng khng phi s lng m l cht lng
hot ng ca cc TCTD. Trong iu kin th trng ti chnh c cc yu t bt
li, vic gim st ri ro ca c quan qun l cn thiu v yu, tnh hnh qun tr
ca cc TCTD cn hn ch, bt cp, v vy m thng 8/2008, ngn hng Nh
nc ra Vn bn s 7171/NHNN-CNH thng bo tm dng thnh lp cc
NHTM CP mi nhm nghin cu cc tiu ch thnh lp NHTM CP, trong
ngoi iu kin vn, cn cn n cc iu kin khc nh nng lc qun l, nng
lc qun tr doanh nghip, cng ngh thng tin v nhn lc.
2.1.1.2 Cc ngn hng ua nhau tng vn iu l
Thc hin theo quy nh s 141/2006/N CP ca Chnh Ph ban hnh
ngy 22/11/2006 v vic quy nh cc TCTD phi c bin php bo m s vn
iu l thc gp hoc c cp ti thiu tng ng mc vn php nh: i
vi NHTM Nh Nc l 3.000 t (n nm 2008), i vi NHTM C phn l
1.000 t (n nm 2008) v 3.000 t (n nm 2010); trong hai nm va qua,
cc ngn hng ni a y mnh vic tng vn iu l, mt s cc NHTMCP
ua nhau bn li c phn cho cc ngn hng nc ngoi.
Theo thng k ti thi im cui nm 2008, mc vn iu l ca hu ht
cc NHTM Nh Nc vt xa so vi mc vn php nh.


40
Bng 2.1 Vn iu l ca cc NHTM Nh Nc Vit Nam
STT NGN HNG T NG TRIU USD
1 VBARD 10.500 597
2 BIDV 7.700 438
3 VDB 5.000 284
4 MHB 850 48
Ngun: Ngn hng nh nc, t gi quy i USD/VND 17.600
i vi nhm cc NHTM CP, nm 2007 v u nm 2008 l khong thi
gian m rt nhiu NHTM bc vo cuc ua tng vn iu l nh: ACB tng t
1.100 t ln 5.806 t (tng gp hn 5 ln), Sacombank tng t 2.089 t ng ln
5.116 t ng (tng gp 2,5 ln), Eximbank tng t 1.212 t ng ln 4.229 t
ng (tng gn gp 3,5 ln), tnh n ht thng 4/2009 vn iu l Eximbank
tng ln 7.219,9 t. Tnh n 31/12/2008, tng vn iu l ca 38 ngn hng c
phn l 85,5 ngn t, chim 70,4% tng vn iu l ca h thng cc ngn hng
thng mai. Trong , c 15 NHTM CP c vn iu l t 2.000 t tr ln (Ph
lc 8), 13 NHTM CP c vn iu l t 1.000 t ng n di 2.000 t, v cn
10 ngn hng thong mi c phn c vn iu l nh hn 1.000 t ng.
Vn iu l ca cc ngn hng nm 2008
23.634 t ng
19%
85.538 t ng
71%
3.800 t ng
3%
8.500 t ng
7%
NHTM Nh Nc
NHTM CP
NH Lin doanh
Chi nhnh NN
Nc ngai

Biu 2.2 Vn iu l ca h thng cc NHTM Vit Nam nm 2008
Ngun: tng hp t s liu ca Ngn hng nh nc v thng k s lng v s
vn iu l ca cc ngn hng.
41
Mc d trong hai va qua cc ngn hng khng ngng gia tng vn
iu l (n cui nm 2008, vn ch s hu ca ton h thng ngn hng tng
30% so vi cui nm 2007, t l an ton vn tng t 8,9% ln 9,7%), tuy nhin
mc vn iu l hin nay ca cc NHTM NN so vi cc ngn hng trong khu
vc v trn th gii l cn kh khim tn. Quy m vn ln nht ca ngn hng
ca Vit Nam l 15.000 t, ch l khong gn 900 triu USD, cn thp nu so
vi mt s NHTM trong khu vc nh DBS ngn hng ln nht ca Singapore c
vn iu l l 4 t USD, Maybank ngn hng ln nht ca Malaysia c vn iu
l l 15 t USD, cc ngn hng vi quy m trung bnh ca M c mc vn
iu l ti thiu l 10 t USD. Hin ti, cc ngn hng vn cn tip tc ln k
hoch nng vn iu l bi vn iu l ang l vn mu cht gii quyt
nhiu bi ton khc. Tng vn iu l s gip cc Ngn hng nng cao kh nng
cnh tranh, gim ri ro, nng cao tim lc ti chnh, gip ngn hng c ngun
lc hin i ho cng ngh, m rng mng li, chiu m i ng nhn lc
tt v t c hiu qu kinh doanh cao hn.
2.1.1.3 Huy ng & cung ng vn ln cho nn kinh t
H thng ngn hng huy ng v cung cp mt lng vn kh ln cho
nn kinh t, c tnh hng nm chim khong 16-18% GDP, gn 50% vn u
t ton x hi. Tng huy ng lin tc tng qua cc nm v nm 2007 tng hn
45,8%, tn dng tng trng mnh hn 53% trong nm 2007.
Tnh hnh huy ng vn v cho vay ca cc ngn hng
216
259
325
433
572
782
1.154
1.364
702
559
427
180
241
301
1,308
1,080
32,1% 33,2%
25,8% 25%
19,8%
18,2%
36,5%
47,6%
31,1%
41,7%
25%
34%
38,4%
21,1%
25,4%
53,9%
-
500
1,000
1,500
2,000
2,500
2001 2002 2003 2004 2005 2006 2007 2008
ngn t
-80%
-60%
-40%
-20%
0%
20%
40%
60%
tc
tng trng %
Huy ng vn D n cho vay
Tc tng trng huy ng vn Tc tng trng d n cho vay

Biu 2.3 Tnh hnh huy ng vn v cho vay ca cc NHTM t 2001 - 2008
Ngun: s liu bo co thng nin ca Ngn hng nh nc qua cc nm.
Nhm NHTM NN chim th phn huy ng vn v cho vay ln nht trong
h thng ngn hng (t trng gn 60%). Tuy nhin, th phn huy ng v cho
42
vay ca cc NHTM Nh nc ang c chiu hng thu hp dn, t mc t trng
gn 70% vo nm 2006, n nm 2007 ch cn chim t trng khong gn 60%
(Ph lc 9 - th phn huy ng vn v cho vay ca h thng ngn hng qua hai
nm 2006 v 2007)
Mt trong nhng nguyn nhn ca s gim st v th phn ca nhm
cc NHTM NN chnh l do s vn ln ca h thng NHTM CP. Cc NHTM
CP to c mt li th cnh tranh tng i bng cch nng cao cht lng
phc v, a dng ha cc loi hnh sn phm dch v, nng cao tim lc ti
chnh v c bit l tng li sut huy ng vn ln rt cao. Tng trng huy
ng vn v cho vay ca khi ngn hng c phn tng mnh c ngn hng t
trn 100%; trong khi tc tng trng huy ng vn v cho vay ca khi ngn
hng Nh nc thp hn. Chi tit tc tng trng huy ng v cho vay ca
mt s NHTM (Ph lc 10)
2.1.1.4 Li nhun ca cc ngn hng c du hiu khi sc
Hot ng ngn hng trong thi gian qua nh du rt nhiu s khi sc,
mt trong nhng im ng lu chnh l mc li nhun t c cc
NHTM v t sut sinh li ca vn ch s hu theo tnh ton t bo co thng
nin ca mt s NHTM.
Bng 2.2 Li nhun ca mt s cc NHTM ti Vit Nam
2006 2007 So 2006 2008 So 2007
1 Agribank 2089 2379 14% 2437 2.44%
2 ACB 687 2127 210% 2556 20%
3 BIDV 650 2103 224%
4 STB 611 1582 159% 1243 -21%
5 Vietinbank 525 778 48%
6 Techcombank 356 709 99% 1600 126%
7 Eximbank 359 629 75% 969 54%
8 MB 252 609 142% 941 55%
9 Habubank 248 461 86% 500 8%
10 EAB 211 454 115% 701 54%
11 VIB 200 426 113% 323 -24%
12 SCB 152 359 136% 646 80%
13 Navibank 29 103 255% 74 -28%
STT Ngn hng
Li nhun (t ng)

Ngun: Bo co thng nin ca cc ngn hng
Theo nhm cc NHTM CP c t sut sinh li rt cao so vi cc NHTM
NN. T l ROE ti ngn hng BIDV l 25%, th ngn hng Chu l gn
43
54%, Si Gn thng tn l 39%; t l ROA ca nhm cc ngn hng nh nc
di 1%, th ACB l 3,3%, Sacombank l 2,91%.
2.1.2 Nhng mt cn tn ti trong hot ng ca cc NHTM
2.1.2.1 T l n xu vn cn cao
T nm 2000 n nm 2007, tnh hnh n xu c ci thin, gim t
mc 7,2% xung cn 1,38%. Tuy nhin, bc sang nm 2008, t l n xu tng
cao ln mc 3,5% nguyn nhn do pht sinh n xu t tn dng bt ng sn.
T l n xu ca ngn hng
4.60%
3.50%
1.38%
2.48%
3.18%
4.74%
7.20%
0%
2%
4%
6%
8%
2002 2003 2004 2005 2006 2007 2008
T l
n qu hn
%

Biu 2.4 T l n xu ca h thng ngn hng t 2002 - 2008
Ngun: s liu bo co thng nin ca Ngn hng nh nc qua cc nm.
Tnh hnh n xu vn cn cao, trong ng ch l khi cc TCTD nh
nc. N tn ng trong cho vay u t xy dng c bn bng VN ang
mc cao trn tng d n. Theo tnh ton ca cc chuyn gia, vi tc tng
trng GDP nm 2007 mc 7% th mc tng trng tn dng an ton nm
trong khang 14 20%. Trong khi , tng trng tn dng thc t nm 2007 l
hn 50%, iu ny to nn ri ro ln cho tnh thanh khan v an ton ca
cc ngn hng. y cng l l do khin t l n xu ca cc NHTM Vit Nam
thng cao hn so vi chun mc quc t. Mt khc, tnh trng o n, gia hn
n hoc lm sai lch mc tiu vay vn trong h s tn dng ca khch hng lm
cho ri ro tim tng ca cc NHTM trong hot ng tn dng tr nn cao hn.

2.1.2.2 Kh nng thanh khan v tnh bn vng cha cao
S tng trng tn dng qu nng i km vi c cu u t khng hp l,
tp trung ln vo u t bt ng sn, chy theo li nhun lm pht sinh ri ro
44
cao khi th trng ng bng, to s mt cn i v k hn gia ti sn c v ti
sn n do ngn hng s dng qu nhiu ngun vn ngn hn cho vay di
hn. Chnh iu ny to ra s ri ro thanh khon cao i vi ngn hng
thng mi.
Phn ln vn ca cc NHTM Vit Nam u thp nn kh nng thanh
khon v tnh bn vng ca h thng cha c cao. C cu h thng ti chnh
cn mt cn i, h thng ngn hng vn l knh cung cp vn trung v di hn
cho nn kinh t ch yu. T trng tin gi c k hn di trn 1 nm ti cc
NHTM chim t l thp, khong 30%, cn li l ngn hn di 1 nm chim ti
70%. Trong khi , t l tn dng trung v di hn hin mc trn 40% v
ang c sc p tng ln vi qu trnh cng nghip ha ca t nc. Tnh chung
c ni t v ngoi t, th s vn huy ng ngn hn s dng cho vay trung v
di hn chim qu cao ti khong 50% tng s vn huy ng ngn hn, v y
l yu t gy ri ro ln v c nguy c gy ra thiu an ton cho ton b h thng.
Nhiu TCTD cha xy dng quy trnh v thc hin qun l tp trung i
vi ri ro thanh khon thng qua vic xy dng phn tch k hn. Vic qun l
ri ro thanh khon hu nh ch thc hin nhng chi nhnh n l, do khi
xut hin nhng bin ng bt thng, mt s NHTM lun phi i mt vi
nguy c mt kh nng chi tr tm thi trn ton h thng.
2.1.2.3 Cng tc d bo v phn tch th trng cn yu
Cng tc thng k, d bo v cng tc thanh tra, gim st ngn hng cn
hn ch, cho nn nhng iu chnh trong iu hnh chnh sch tin t ca Ngn
hng Nh Nc cha theo kp din bin ca nn kinh t v kt qu t cha cao.
Cc cng c iu tit chnh sch li sut ca Ngn hng Nh nc cn cn
phi bn v cn bt cp nn tc dng iu tit cha cao. Do , khi li sut th
trng ln cao trong khi vn kh dng ca cc NHTM d tha, Ngn hng Nh
nc thiu kh nng can thip iu tit mt bng li sut.
H thng ngn hng cha to dng c mt h thng thng tin c th
p ng kp thi, c hiu qu cho phn tch, d bo tnh hnh tin t, li sut, tn
dng, tnh hnh kinh doanh ca cc doanh nghip.
Nhn chung, hi nhp kinh t quc t i lin vi cc cam kt quc t v
m ca th trng ti chnh, cho php cc ngn hng quc t c hot ng v
i x bnh ng nh nhng ngn hng trong nc s cn to ra nhng sc p
ln hn i vi h thng ngn hng trong thi gian ti.
45
2.2 THC TRNG NG DNG BASEL II TRONG H THNG CC
NHTM VIT NAM
Xt v ng li, ch trng ca Chnh Ph v vic ng dng Hip c
quc t Basel trong h thng NHTM Vit Nam (cn c theo Quyt nh s
112/2006/Q TTg ngy 24/05/2006 ca Th tng Chnh Ph ban hnh v
vic ph duyt n pht trin ngnh ngn hng Vit Nam n nm 2010 v
nh hng n 2020), th n ht nm 2010, Vit Nam phn u thc hin
p dng han chnh cc chun mc quc t Basel I, v cha cp nhiu
n vic ng dng Basel II.
Bng 2.3 Mt s ch tiu v hot ng ngn hng giai on 2006 2010
Tng trng bnh qun tn dng (% nm) 18-20
T l an ton vn n nm 2010 (%) Khng di 8
T l n xu/ tng d n n nm 2010 (%) Di 5
Chun mc gim st ngn hng n nm 2010
Chun mc quc t Basel I, hng n vic ban
hnh Lut Gim st an ton hot ng
N xu c xc nh theo tiu chun phn loi n ca Vit Nam, ph hp vi thng l quc t.
Ngun: Theo quyt nh 112/2006/Q-TTg
Tuy nhin, v pha Ngn hng Nh Nc vn ang n lc nghin cu v
vic ng dng Basel II trong qun tr ri ro ngn hng. C th, gn y nht vo
cui nm 2007, ti H Ni, Ngn hng Nh nc Vit Nam phi hp vi
Citibank t chc to m gii thiu v Basel II vi hot ng ca NHTM v vai
tr qun l ca Ngn hng Nh nc, c c hi hiu bit su sc hn v Basel
II, hc tp kinh nghim trin khai Basel II ca Citibank v rt ra nhng bi hc
b ch vi h thng ngn hng Vit Nam.
2.2.1 Quy nh an tan vn ti thiu i vi cc NHTM
Theo quy nh trong tr ct 1 ca Hip c Basel II, cc ngn hng phi
m bo t l an ton vn ti thiu i vi ri ro tn dng, ri ro hot ng, ri
ro th trng l 8% da trn c s vn cp 1, vn cp 2. Trong , cc phng
php nh gi ri ro ca Basel II cng phc tp hn so Basel I, nhng chnh xc
hn do nh gi da trn nhiu c s.
Trong thi gian va qua, nhm m bo h thng ngn hng tng trng
hiu qu, an tan v bn vng, ng thi nhm ngn nga v hn ch ri ro; h
46
thng ngn hng Vit Nam cng tng bc c ng dng Hip c Basel
trong cng tc qun tr ri ro ngn hng c bit l ri ro tn dng nh: quy nh
t l an ton vn ti thiu, quy nh v trch lp d phng cho ri ro tn dng,
quy nh v an ton vn i vi ri ro pht sinh t cho vay chng khan,..Tuy
nhin, h thng qun tr ri ro ca cc ngn hng Vit Nam mi ch dng li
vic ng dng Basel I, cha ng dng cc phng php nh gi ri ro theo quy
nh ca Tr ct 1 trong Basel II.
2.2.1.1 Nhng ni dung thc hin c
ng dng Basel I trong Quy nh t l an ton vn ti thiu l 8%:
Theo Quyt nh 457/2005/Q NHNN ngy 19/04/2005, c sa i
b sung bng Quyt nh 03/2007/Q-NHNN ngy 19/01/2007 v Quyt nh
34/2008/Q-NHNN ngy 05/12/2008, Ngn hng Nh Nc quy nh cc
NHTM phi thc hin cc yu cu sau:
- Th nht, cc TCTD (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. Trong
: vn t c bao gm vn cp 1, vn cp 2 v cc khon phi loi tr
khi vn t c (Ph lc 11); tng ti sn C ri ro l tng ti sn C
ni bng v ti sn C ngoi bng c iu chnh theo h s ri ro. H
s ri ro cho ti sn C ni bng gm 4 nhm l 100%, 50%, 20% v
0%.
- Th hai, cc NHTM phi tun theo cc gii hn tn dng: tng d n
cho vay i vi mt khch hng khng c vt qu 15% vn t c, v
tng d n cho vay i vi mt nhm khch hng c lin quan khng
vt qu 50% vn t c.
- Th ba, cc Ngn hng phi thng xuyn m bo t l v kh nng
chi tr: 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, v ti thiu bng 100% gia tng ti sn C c th thanh ton
ngay v tng ti sn N phi thanh ton trong khong thi gian 7 ngy
lm vic tip theo.
- Th t, ngn hng phi m bo t l ca ngun vn ngn hn c s
dng cho vay trung hn v di hn ti a l 40%.

47
Thng qua bn quy nh trong Quyt nh 457, nhn thy:
- Quy nh th nht, th hai v th t cp n ri ro tn dng, quy
nh th ba cp n ri ro thanh khan. Cha c quy nh no
cp n ri ro hot ng v ri ro th trng.
- Ngn hng Nh Nc c quy nh t l an ton vn chun i vi cc
ngn hng l 8%, v t l ny cng c xc nh da trn tng vn v
ti sn c ri ro, tng t nh quy nh ca Basel I.
- Cch xc nh vn yu cu ti thiu cho ri ro tn dng theo Q 457
theo cch tnh ca Basel I: Ti sn c ri ro = ti sn * h s ri ro.
Trong , h s ri ro ch cn c vo khon mc ti sn, cha cn c
vo i tng khch hng, v khng da trn cc cn c xp hng tn
dng. iu ny c th dn n s nh gi khng tht s l chnh xc.
V d nh cng l khon cho vay khng m bo bng ti sn ca mt
doanh nghip c xp hng rt uy tn trn th trng v ca mt
doanh nghip c nh gi rt ri ro, theo Q 457/2005, h s ri ro
tnh l nh nhau u l 100%. y l mt trong nhng nhc im ca
Q 457.
Nh vy, quy nh v an ton vn ti thiu trong Quyt nh 457 gn nh
ch mi p ng c chun mc an tan vn ti thiu ca hip c Basle
I, ch yu hng n cc hot ng qun tr ri ro tn dng (theo cch tnh ca
Basel I), cha cp n vic xp hng tn dng, cha cp nhiu n ri ro
hot ng v ri ro th trng v cng cha ng dng cc phng php ca
Basel II.
Xt v h s an tan vn ca cc ngn hng Vit Nam trong hai nm tr
li y, th s tng trng nhanh v quy m vn gip cc ngn hng ci thin
ng k nng lc ti chnh v h s an tan vn CAR. Trc thng 6/2004, h s
CAR ca h thng cc NHTM Vit Nam rt thp, CAR trung bnh ca cc
NHTM Nh Nc l 3,05%. T nm 2005 tr i, quy m vn ca cc ngn hng
tng ln, CAR ca ngn hng cng theo dn c ci thin.




48
Bng 2.4 : H s an tan vn (CAR) ca mt s ngn hng t 2005 - 2008
Ngn hng 2005 2006 2007 2008 (c tnh)
Agribank 0.41% 4.97% 7.20% < 8%
BIDV 3.36% 5.50% 6.67% > 8%
Vietcombank 9.57% 12.28% 12.25% > 12%
Vietinbank 6.07% 5.18% 8.10% > 10.9%
ACB 12.10% 10.89% 16.19%
Sacombank 15.40% 11.82% 11.07%
ng 8.94% 13.57% 14.36%
Eximbank 15.29% 27.00% 45.89%

Ngun: Bo co thng nin cc ngn hng
H s an tan vn CAR mt s ngn hng
12.25%
8.10%
16.19%
14.36%
27.00%
6.67%
7.20%
11.07%
0%
4%
8%
12%
16%
20%
24%
28%
Agribank BIDV Vietcombank Vietinbank ACB Sacombank ng Eximbank
2005
2006
2007

Biu 2.5 H s an tan vn CAR ca mt s cc NHTM t 2005 2007
Ngun: Bo co thng nin cc ngn hng
Bnh qun, h s CAR ca cc NHTM NN tng t 7% trong nm 2006
ln 9% trong nm 2007; t l ny ca cc NHTM CP cao hn, bnh qun trn
12%. n cui nm 2008, vn ch s hu ca ton h thng ngn hng tng
30% so vi cui nm 2007, t l an ton vn tng t 8,9% ln 9,7% (theo pht
biu ca ng Nguyn Ngc Giu).
Tuy nhin, so vi h thng ngn hng ca mt s quc gia trong khu vc
chu , CAR ca h thng NHTM Vit Nam vn cn thp. CAR nm 2007 ca
khu vc chu Thi Bnh Dng l 13,1%, khu vc ng l 12,3%.
49
(Ph lc 12: v d in hnh cch xc nh ch s CAR ti Ngn hng Eximbank)

ng dng Basel I trong Quy nh v trch lp d phng ri ro tn
dng:
Theo Quyt nh 493/2005/Q NHNN ngy 22/04/2005, c sa i
b sung bng Quyt nh s 18/2007/Q - NHNN ngy 25/04/2007493, tt c
cc TCTD hot ng ti Vit Nam phi thc hin vic phn loi n, trch lp v
s dng d phng x l ri ro tn dng, b p nhng tn tht i vi cc
khon n ca TCTD.
Theo Quyt nh 493, cc NHTM thc hin phn loi n theo 2 cch:
- Cch 1: quy nh ti iu 6 ca Quyt nh 493, cc NHTM thc hin
phn loi n theo 5 nhm (nhm 1 - Tt, nhm 2 - Xu, nhm 3 -
Trung bnh, nhm 4 - Yu, nhm 5 - Km), cn c da trn thi gian
qu hn ca cc khan n.
- Cch 2: quy nh ti iu 7, cc NHTM thc hin phn loi n theo 5
nhm, cn c trn h thng xp hng tn dng ni b (Chi tit iu 7
ca Quyt nh 493 xem ti Ph lc 13)
Ngoi ra theo Quyt nh ny, cc NHTM phi trch lp hai loi d
phng:
- D phng c th: c trch lp trn c s phn loi cc khon n t
nhm 1 n nhm 5. S tin trch d phng c th khng ch ph thuc
vo gi tr khon n v t l trch lp d phng, m cn ph thuc vo
gi tr ti sn bo m. Trong : s tin trch d phng cho cc nhm
n t nhm 3 tr ln kh cao trn 20% so vi d phng ca nhm 2 l
5%.
- D phng chung p dng cho tt c cc khon n: bng 0,75% tng
gi tr cc khon n t nhm 1 n nhm 4.
Thng qua Quyt nh 493, nhn thy:
- Vic quy nh vn d phng ri ro tn dng c mi quan h vi ti
sn m bo ca khan n l quy nh hp l, gip cc ngn hng
cn nhc trong vic cho vay cc khan c ti sn m bo. C th: Nu
gi tr ti sn bo m ca khch hng ln hn gi tr khon n, th s
tin trch d phng c th bng 0, c ngha l TCTD khng phi trch
50
lp d phng cho khon n ca khch hng. V vy, cc ngn hng
cng s u tin cho vic cho vay c ti sn bo m gim gnh nng
chi ph, v d phng ri ro c hch ton vo chi ph hot ng ca
TCTD.
- Theo quy nh ti iu 6 v iu 7 ca Quyt nh 493, cho thy bn
cnh vic Ngn hng Nh Nc ng dng Hip c Basel I trong
vic yu cu cc NHTM phi thc hin trch d phng vn x l ri
ro trong hot ng tn dng, b p nhng tn tht ca nhng khan
n qu hn; Ngn hng Nh Nc tng bc ng dng
phng php n gin ca Basel II khi gn kt phn loi n vi h
thng xp hng tn dng ni b.
- Vic phn loi n, trch lp v d phng ri ro theo Quyt nh 493
c xc nh ch yu trn cc khon n c vn khi qu thi
gian o hn, vic trch lp v d phng nh th ny ch gii quyt cho
nhng thit hi c kh nng nhn bit c, cn i vi cc thit
hi khng nhn bit c th ng thi cha c qui nh v vic d
bo v phng nga.
- Do s chnh lch ln v t l trch d phng ri ro tn dng gia nhm
2 v nhm 3 t mc 5% ln 20%, nn bn thn mt s ngn hng cng
ch ng trong vic gia hn n, lm bc mn che giu n xu, v
nu nh tt khon vay ca khch hng xung nhm n 3 th d phng
ri ro tng vt ln 20%, v d phng ri ro ca nhm 4 tr ln cn cao
hn na. Khng t ngn hng linh hot hn ch phn loi n xung
nhm 3, 4, 5 phi trch d phng ri ro, trnh nh hng n thu
nhp ca nhn vin.
- Vic quy nh phn loi n theo iu 6 ca Quyt nh 493 ch yu
da vo thi hn, thiu hn s nh gi kt hp cc yu t khc nh
tnh hnh ti chnh, kt qu sn xut kinh doanh ca doanh nghip s
dn n s nh gi sai lch v n xu ca ngn hng khi khch
hng thc hin o n, vay tin ngn hng ny tr n ngn hng khc,
...Mt th d in hnh l cng ty A tr n tt, nhng ang lm n thua
l, vn ch s hu m, vn c ngn hng xp vo nhm 1, trong khi
theo thng l quc t, khon n ca cng ty A phi nm nhm 3 hoc
4. Hoc cng ty B l khch hng ca nhiu ngn hng, c th ly
khon vay ngn hng sau tr n khon vay ngn hng trc. Vy l
51
h ch c n xu mt ngn hng, cn vi nhng ngn hng khc l
n tt... Vic phn loi n ch ph thuc vo tnh hnh tr n (thanh
ton) m khng da vo vic nh gi uy tn tn dng ca ngi cho
vay v gi tr th trng ca ti sn th chp, s dn ti tnh trng ngn
hng v ngi vay thng ng vi nhau che y tn tht bng nhiu
phng php khc nhau nh c cu li khon vay chng hn. Nu cc
khon n xu khng c nh gi ng mc mt cch h thng, d
phng tn tht khon vay s khng , thu nhp rng v vn ca ngn
hng khng phn nh ng thc t tnh hnh ti chnh ca ngn hng.
cng l do ti sao m trong khi theo thng k ca Vit Nam th n
xu ca cc NHTM Vit Nam t 1 con s tr xung nhng theo Ngn
hng Th gii (WB) v Qu Tin t Quc t (IMF), trong cc bn bo
co nh k, thng trch dn kin cho rng n xu ca h thng
ngn hng Vit Nam khng thp hn hai con s.
- Do nhng nhc im ca vic phn loi n theo iu 6 nn Quyt
nh 493 c quy nh trong thi gian ti a 3 nm, TCTD phi xy
dng H thng xp hng tn dng ni b thc hin phn loi n theo
iu 7. Nh vy, chm nht thng 6 nm 2008, cc TCTD phi hon
thnh xy dng v chnh thc p dng H thng xp hng tn dng ni
b. Nhng n thi im hin nay, nhiu NHTM vn ang thc hin
phn loi n theo iu 6 Quyt nh 493. Hin nay, mi ch c ngn
hng BIDV, ngn hng Qun i thc hin xp hng ni b, Ngn
hng Chu (ACB) cng k kt tha thun t vn vi Ernst &
Young hon thin H thng xp hng ni b ca mnh; mt s
NHTMCP nh Vit , ngn hng Hng Hi cng ang trong qu trnh
xy dng h thng ny
- Tuy nhin, theo nh gi ca Cng ty Kim ton quc t Ernst &
Young, nu thc hin phn loi khch hng v n theo iu 7 ca
Quyt nh 493 s trung thc hn, khi t l n xu s tng thm 2 -
3 ln, dn n vic cc NHTM phi trch lp d phng ri ro nhiu
hn, li nhun gim. Trn thc t, hin nay mi ch c 2 NHTM ti
Vit Nam thc hin theo iu 7 ca Quyt nh 493 v vic xy dng
h thng xp hng tn dng ni b phn loi n ca khch hng l
ngn hng BIDV v ngn hng Qun i:
52
Ngn hng BIDV: ngy 14/11/2006, Thng c NHNN "chp
thun cho BIDV thc hin chnh sch trch d phng ri ro theo
quy nh ti iu 7 Quyt nh 493 t qu IV/2006. Nm 2005,
BIDV bt u thc hin phn loi n theo iu 7, n xu ca BIDV
ln ti 31%. Nhng n 2006, t l ny gim xung 9,6%, nm
2007 l 3,9% v n thng 5/2008 ch cn 2,77%.
BIDV s dng phng php chm im cc nhm ch tiu ti
chnh, phi ti chnh ca tng khch hng, kt hp vi phng php
chuyn gia v phng php thng k xp hng khch hng,
xy dng ba h thng chm im khc nhau cho ba loi khch hng
chnh l: t chc kinh t, t chc tn dng (cn gi l cc nh
ch ti chnh) v khch hng l c nhn; la chn 35 ngnh kinh t.
Mt khch hng c 54 ch tiu (14 ch tiu ti chnh, 40 ch tiu phi
ti chnh). Phn mm c Trung tm Cng ngh thng tin BIDV
xy dng vi hn 28 ngn d liu. Khch hng c xp vo cc
mc: AAA, AA, A, BBB, BB, B, CCC, CC, C, D theo thang im
100, 80, 60, 40, 20; km theo l chnh sch khch hng v ra i
Hi ng tn dng cc cp.
Ngn hng Qun i: Ngy 25/9/2008, Ngn hng Nh nc c
vn bn s 8738/NHNN-CNH chp thun cho NHTM CP Qun i
c thc hin chnh sch trch lp d phng ri ro theo iu 7
Quyt nh s 493/2005/Q-NHNN k t Qu 4/2008. Trc ,
NHTM CP Qun i tin hnh xy dng h thng xp hng tn
dng v p dng th nghim t thng 3/2008.
ng dng Basel I trong Quy nh v cho vay chng khon:
Theo Ch th s 03/2007/CT- NHNN ngy 28/5/2007, c sa i b
sung bng ch th Quyt nh s 03/2008/Q-NHNN ngy 01/02/2008, Ngn
hng Nh Nc yu cu cc ngn hng phi kim sot cht ch khi lng
vn cho vay kinh doanh chng khon, c th nh sau:
- Th nht, yu cu cc ngn hng phi ban hnh quy trnh nghip v
cho vay chng khon lm c s cho vic thanh tra, gim st hot ng
cho vay; m bo cc t l an ton theo quy nh ca ngn hng nh
nc; c t l n xu so vi tng d n tn dng di 5%; thc hin
hch ton, thng k chnh xc, bo co ng thi hn cc khon cho
53
vay phc v cho qun tr kinh doanh ni b v gim st ca ngn
hng nh nc.
- Th hai, h s ri ro ca cc khon cho vay chng khon tnh h s
an ton vn ti thiu l 250% (trc y l 150%).
- Th ba, tng d n cho vay chng khon khng vt qu 20% vn
iu l ca TCTD, thay cho quy nh tng d n cho vay chng khon
khng vt qu 3% trn tng d n trong ch th 03/2007/CT
NHNN.
- Th t, cc ngn hng p ng c cc quy nh nu trn th tip tc
cho vay chng khon, nu cha p ng c cc quy nh th
khng c php cho vay chng khon.
Thng qua ch th 03, nhn thy:
- Quy nh ca ch th 03/2007 v t l cho vay chng khon < 3% trn
tng d n p dng cho tt c cc ngn hng, d l ngn hng rt
ln c vn hng ngn t ng hay ngn hng vn ch vi chc n vi
trm t ng l quy nh khng hp l. V mi ngn hng p dng mt
h thng qun tr ri ro khc nhau, kh nng chu ng ri ro, mc
a dng ha hot ng cng khc nhau, v vy vic a ra mt t l
quy nh chung 3% trn tng d n cho tt c cc ngn hng thc hin
nghip v cho vay chng khan, ging nh quy tc mt c dnh cho
tt c ca Basel I (khng cn c vo xp hng tn dng).
- Mc d sau ny ch th 03/2007 c sa i b sung bng ch th
03/2008, vi vic quy nh d n cho vay chng khon ti a bng
20% vn iu l, l mt s thay i ln trong hot ng qun l ri
ro ca cc c quan chc nng khi gn d n cho vay chng khan vo
quy m hot ng vn ca ngn hng. Tuy nhin, quy nh ny vn
cha ph hp vi cc quy nh ca Hip c quc t Basel II v theo
thng l quc t trong iu hnh qun tr ri ro h thng s dng khi
nim vn php l (vn cp 1 v cp 2) ch khng phi vn iu l.
- Vic iu chnh kim sot cho vay chng khon thng qua quy nh h
s ri ro tng ln 5/3 ln (t 150% ln 250%), cho thy tng bc
ngnh ngn hng Vit Nam ang ng dng chun mc Basel I vo
cng tc qun tr ri ro ngn hng.
54
V khi h s ri ro c tng ln, th m bo yu cu v t l an
ton vn ti thiu 8% theo yu Quyt nh 457, cc ngn hng bt
buc phi hoc l gim tng ng 40% cc khon cho vay u t
chng khon hc l phi gim cc ti sn c ri ro khc. Do , tc
ng ngn hn ca Quyt nh 03 chnh l vic lm gim cung tn
dng cho vay chng khon, gim bt ri ro tn dng trong cho vay
kinh doanh chng khon.
- Tuy nhin, ch th 03 cng ch dng li vic ng dng Basel I trong
cng tc qun tr ri ro ngn hng, cha thc hin ng dng Basel II.
Thay cho tinh thn ca Ch th 03 v nu nh p dng theo Basel II,
Ngn hng Nh Nc ch cn yu cu cc ngn hng phn loi, nh
mc tn nhim v ri ro ca ti sn ngn hng (bao gm cc khon
vay), cho php cc ngn hng chn la phng thc nh gi ri ro v
qun tr ri ro ph hp (trong s nhiu phng php do Basel II
xut), vi iu kin phi bo co cch nh gi, phng thc qun tr
ph hp NHNN thng qua v gim st. Bn cnh , theo tinh thn
Basel II, cn yu cu cc ngn hng phi minh bch, cng khai cc
thng tin v cc ri ro mnh ang gp phi, cu trc vn ca ngn hng
v mc d phng, cng nh kh nng y vn p ng trong
trng hp c ri ro.
Bn thm v vn cho vay chng khan, gn y nht, theo khon 7,
iu 126, chng 6 ca d tho ln th tm Lut Cc TCTD ang c
ly kin ng gp ca cc b, ngnh trc khi chnh thc trnh Quc hi
thng qua vo k hp thng 10-2009, m bo an tan cho hot ng
ca h thng ngn hng, cc NHTM, chi nhnh ngn hng nc ngoi
khng c cho vay u t, kinh doanh chng khon. NHTM ch c
php m rng hot ng sang lnh vc chng khon, bo him, qun l ti
sn, thng tin tn dng thng qua vic lp cc cng ty c lp. Khng cho
php cc TCTD c hot ng trong cc lnh vc khng c lin quan
trc tip n hot ng chnh thng qua vic thnh lp cc cng ty con,
cng ty lin kt
Ngoi quy nh khng c cho vay, u t kinh doanh chng khon, d
tho Lut cn quy nh: TCTD khng c cho vay gp vn vo mt
TCTD khc trn c s nhn ti sn m bo bng c phiu ca chnh
TCTD c gp vn (khon 6) v TCTD khng c cp tn dng cho
55
cc doanh nghip hot ng trong lnh vc chng khon m TCTD nm
quyn kim sot (khon 4). Theo khon 6, ni c th th ngn hng A
khng th cho khch hng vay tin bng cch nhn cm c c phiu ca
ngn hng B mua c phiu ngn hng B. Cn nhn cm c c phiu
ca ngn hng B cho vay mua c phiu ca ngn hng C c c
khng th cha r. Theo khon 4, cc ngn hng s khng c cp tn
dng cho cc cng ty chng khon ni h nm quyn kim sot. i
tng nhn tn dng y c th khng ch l chnh cc cng ty chng
khon m c khch hng ca cc cng ty ny (theo iu 7).
ng Ph thng c Ngn hng Nh nc Nguyn ng Tin cho bit,
hin d n cho vay kinh doanh chng khon khng nhiu, ch dao ng
hn chc nghn t ng, song m bo an ton cho hot ng ca h
thng ngn hng, cn thit phi a ra quy nh kht khe nh trn. Tuy
nhin, ng gc khc, vic chn vn ngn hng sang chng khon c
th l quy nh qu kht khe. Hn ai ht chnh ngn hng l ngi hiu v
chu trch nhim bo m an ton cho ng vn ca h. Thc t gn y
cho thy, nhiu ngn hng rng ca vi cho vay chng khon song khng
phi nh u t no cng c th tip cn vi dch v, khng phi c phiu
no cng c cm c.
Nhn chung, thng qua cc quy nh Ngn hng Nh nc ban hnh trong
vic iu hnh cng tc qun tr ri ro ngn hng, cc vn bn quy nh mi ch
dng li vic ng dng Hip c Basel I, cha cp nhiu n cc quy nh
v xp hng tn dng, v cc quy nh cho php cc ngn hng ch ng la
chn phng php nh gi ri ro v bo co vi NHNN NHNN gim st,
cha th hin vic ng dng Basel II trong cng tc qun tr ri ro ngn hng.
2.2.1.2 Nhng ni dung cha p ng c
- Cha cp n ri ro hot ng, ri ro th trng: ngay trong chnh
cc vn bn quy nh ca Ngn hng Nh Nc mi ch ch trng n
cng tc qun tr ri ro tn dng, cha cp n ri ro khc nh ri ro
hot ng, th trng. Cn v pha cc NHTM tuy cha dnh nhiu thi
gian cho vic nghin cu ng dng Basel II; tuy nhin, cc ngn hng vn
rt quan tm n vic nng cao cng tc qun tr ri ro trong ngn hng,
nhiu ngn hng c cc phng ban chuyn v chc nng qun tr ri ro
ngn hng, nhng ch dng li qun tr ri ro tn dng, ri ro thanh
khon, cha quan tm nhiu n ri ro hot ng, ri ro th trng.
56
- Cha ng dng phng php chun v phng php nh gi ni b
ca Basel II trong nh gi ri ro tn dng:
p dng c phng php chun ca Basel II trong nh gi ri ro tn
dng, cc ngn hng cn phi da trn xp hng tn dng hoc xp hng
tn nhim ca ngn hng i vi khch hng, ch khng p dng chung
chung cng mt h s ri ro cho tt c cc khch hng.
Trong khi phng php chun nh gi ri ro tn dng ca Basel II m h
thng ngn hng Vit Nam cn cha p ng c, th vic p dng c
phng php nh gi ni b ca Basel II li cng kh khn do phi nh
gi ri ro trn c s nhiu yu t nh k o hn hiu dng, xc sut v
ntrong khi cng tc phn tch, nh gi ri ro khch hng ca mt s
ngn hng cn nhiu bt cp, nng lc ti chnh ca cc NHTM Vit Nam
cn yu km, trnh qun l kinh doanh cn non yu, cng tc qun l
ri ro ngn hng lng lo, nng lc thm nh tn dng yu, cn c tnh
trng mt khch hng vay vn ti nhiu NHTM nhng khng c s kim
tra, nh gi v mc ri ro.
2.2.2 Hot ng thanh tra, gim st cc NHTM
Hin ti, th trng ti chnh Vit Nam hnh thnh y c 3 b phn
l th trng tn dng - ngn hng, th trng bo him v th trng chng
khon. V vy, gim st th trng ti chnh Vit Nam bao hm hot ng gim
st c 3 th trng ny.
Gim st th trng ti chnh Vit Nam hin c thc hin theo m
hnh phn tn:
- Cc TCTD: do NHNN, B Ti chnh v Bo him tin gi Vit Nam c
trch nhim thanh tra, gim st. Ti B Ti chnh v NHNN, cng tc
gim st cng c thc hin bi nhiu v, cc.
- Lnh vc bo him, chng khon: chu s kim tra, gim st ca B Ti
chnh.
- Ngoi ra, cc doanh nghip nh nc (DNNN) trong lnh vc bo him,
cc cng ty chng khon trc thuc NHTM NN: chu s gim st ca
c quan Kim ton Nh nc.
Cng tc thanh tra gim st thc hin thng qua 2 phng thc: gim st
t xa v thanh tra ti ch
57
- Hot ng gim st t xa: c thc hin thng qua vic thu thp v x
l cc s liu bo co ca TCTD nh gi vic thc hin cc ch tiu
an ton c bn trong hot ng ngn hng; ng thi tng hp nh gi
chung hot ng ca c h thng cc TCTD phc v cho s ch o,
iu hnh ton ngnh ca Thng c NHNN. Hin nay hot ng gim
st t xa c tin hnh hng thng v c thc hin qua mng my
tnh.
- Hot ng thanh tra ti ch: y l hot ng kim tra trc tip ca
Thanh tra Ngn hng ti cc TCTD thng qua cc on thanh tra. Hng
nm Thanh tra Ngn hng xy dng chng trnh k hoch thanh tra
trnh Thng c ph duyt v xy dng cng chi tit ch o ton
h thng trin khai thc hin.
Trong thi gian va qua, hot ng thanh tra, gim st ca NHNN
c tng bc c i mi trn c s cc thng l v chun mc quc t v
qun tr ri ro v gim st an ton hot ng ngn hng. C th: Ngn hng nh
nc cng c nhng quy nh, thng t v vic yu cu cc ngn hng phi
m bo duy tr t l an ton vn ti thiu l 8% v 10% (i vi TCTC c quy
m nh), v ng thi cng quy nh v vic NHNN c th yu cu cc TCTC
duy tr cc t l bo m an ton cao hn mc quy nh, cn c vo kt qu
thanh tra, kim tra ca c quan thanh tra, gim st ngn hng.
Tuy nhin, cng tc thanh tra, gim st cc t chc ti chnh vn cn
nhiu bt cp:
- B my gim st ti chnh ngn hng ti Vit Nam cha c xy
dng ng b v hiu qu m bo gim thiu ri ro. Hin nay,
Ngn hng Nh nc Vit Nam cha c chuyn i hot ng theo
m hnh Ngn hng Trung ng. Thanh tra ngn hng c giao thc
hin mt s hot ng gim st an ton h thng ngn hng trong khi
vn c chc nng thanh tra chuyn ngnh nh mi c quan thanh tra
trong cc B, c quan ngang b khc. y l mt trong nhng nguyn
nhn dn n hn ch vic thc thi c hiu qu chnh sch gim st
ngn hng.
- M hnh t chc, c ch gim st ca Vit Nam l phn tn nhng rt
chng cho, lm gim hiu qu cng tc gim st, gy kh khn cho
cc nh ch ti chnh. C th: Vic phn nh chc nng, phi hp
58
nghip v v trao i thng tin gia cc c quan thc hin gim st
cha c quy nh c th gy kh khn trong qu trnh tc nghip,
hot ng chng cho.
- Quy ch gim st cn cha ng b, nhiu quy nh cha ph hp vi
thng l quc t.
- Nng lc cn b so vi yu cu qun l mi cn khong cch ng k.
Nng lc pht hin, x l vi phm cn hn ch, trong khi ch ti x l
vi phm cha mnh. Chnh v vy, khng him trng hp cc
thnh vin tham gia th trng ch ng vi phm v chu pht
thu c khon li nhun nhiu hn mc thit hi do b pht.
- Tnh trng nhiu lng", nhng cht t, thm ch gim chn ln
nhau cng ang khin h thng gim st th trng ti chnh bc l
nhiu "l hng" ng lo ngi.
- Phng php thanh tra gim st ang tng bc c i mi nhng
cha p ng c yu cu qun l. Kim tra ti ch, thanh tra tun
th vn l ni dung hot ng ch yu, kh nng gim st ton b th
trng tin t, cnh bo sm v ngn nga ri ro cn yu.
- Kim ton ni b cha pht huy c vai tr, trong nhiu trng hp
ch l hnh thc...
- Khun kh th ch, php l cha thch ng c vi s thay i mnh
m ca mi trng hot ng th trng ti chnh.
Hin cng tc thanh tra, gim st ngn hng ti Vit Nam cha p ng
c yu cu ca Tr ct II trong Hip c quc t Basel II.
2.2.3 Minh bch thng tin Vit Nam
Hin ti ti Vit Nam c cc quy nh v vic cc t chc ti chnh
phi thc hin cng khai minh bch thng tin, c th:
- Nm 2004, Thng c Ngn hng Nh Nc c ban hnh Quyt nh
s 1407/2004/Q NHNN quy nh cc NHTM CP phi cng b
cng khai cc thng tin trong bo co ti chnh nm ti ni t tr s
chnh v cc a im hot ng, trn bo trung ng v a phng 3
s lin tip. i vi bo co ti chnh nm, khi cng khai cc t chc
ny phi km theo kt lun ca c quan kim ton c lp. NHTM CP
t quyt nh vic cng b cng khai thng tin trong bo co ti chnh
59
di cc hnh thc: trn website, di hnh thc pht hnh n phm,
bng vn bn ti cc c quan qun l, truyn hnh trung ng... Bn
cnh , cc ngn hng ny c trch nhim tr li cht vn khi c yu
cu ca c quan qun l Nh nc, c ng, khch hng v bn hng
v nhng thng tin cung cp. Thi hn cng b nhng thng tin trn
c n nh trong thi hn 120 ngy k t khi kt thc nm ti chnh.
- Ngy 07/09/2006, y ban chng khon Nh nc c cng vn s
450/UBCK-PTTT v vic cng b thng tin ca NHTM CP khi nim
yt c phiu, tri phiu trn th trng chng khon. Theo , cc
NHTM CP khi nim yt c phiu, tri phiu trn TTGDCK ngoi vic
phi lp v np bo co ti chnh qu, nm thc hin cng b thng
tin trn th trng chng khon, cn phi np b sung Bo co kt qu
hot ng kinh doanh hng qu. ng thi ny ca y ban chng
khon nh nc nhm tng cng tnh minh bch v thng tin ca
doanh nghip khi tham gia th trng chng khon, bo v quyn
li ca nh u t.
- Ngy 18-4-2007, theo quy nh ti iu 101, Lut Chng khon v
thng t s 38/2007/TT-BTC ca B Ti chnh hng dn v vic
cng b thng tin trn th trng chng khon, cng ty i chng phi
thc hin ngha v: Cng b bo co ti chnh nm trn ba (03) s bo
lin tip ca mt (01) t bo trung ng v mt t bo a phng ni
cng ty ng tr s chnh hoc thng qua phng tin cng b thng
tin ca y ban Chng khon Nh nc; cng b thng tin bt thng
trn cc n phm, trang thng tin in t ca cng ty v trn trang
thng tin in t ca y ban Chng khon Nh nc v phi nu r s
kin xy ra, nguyn nhn, k hoch v gii php khc phc (nu c);
cng b thng tin theo quy nh trong thi hn hai mi bn (24) gi
k t khi nhn c yu cu ca y ban Chng khon Nh nc thng
qua cc n phm, trang thng tin in t ca cng ty, qua phng tin
thng tin i chng hoc phng tin cng b thng tin ca y ban
Chng khon Nh nc.
Trn thc t, tnh trng cng b thng tin ca cc TCTD thiu tnh chuyn
nghip, ni dung thng tin bo co qu v nm nim yt kh s si. c bit i
vi cc thng tin bo co qu, nhiu NHTM ch a ra gn gn hai trang bo
co cn i k ton v bo co thu nhp vn tt, m rt t khi km theo cc
60
thuyt minh theo quy nh v bo co ti chnh gia nin ca Chun mc k
ton VAS 27. Trong khi ti M, bo co qu (Mu 10-Q) v bo co nm (Mu
10-K) a ra quy nh rt chi tit v cc thng tin cn bo co. Cc thng tin ny
khng ch bao gm cc thng tin ti chnh m cn bao gm rt nhiu thng tin
hot ng v qun l b ch nh Mc Gii trnh v Phn tch ca Ban iu
hnh (Management Discussion and Analysis).
Hu ht cc TCTD cng b cc bo ti chnh qu ca ring cng ty m
(trong khi cc khon li, l ca cng ty con khng c th hin). Mt s cng
b bo co ti chnh cng ty m km bo co ti chnh ca mt s cng ty con
thay v bo co ti chnh hp nht ca c tp on. iu ny gy nn tnh trng
lon thng tin cho nh u t, c bit l cc nh u t khng c kin thc su
v k ton, ti chnh.
Ngoi ra, cn c thc trng cng b thng tin ti chnh mt cch kh ngu
hng v tu tin, cc thng tin a ra cha c kim chng v c th rt khc
so vi s liu kim ton sau , cc thng tin a ra c chn lc theo hng
c li cho ban iu hnh nn thng khng y v ton din (v d ch a
tin doanh thu v li nhun ca thng), cc thng tin do c a ra mt cch
ngu hng v nhiu khi a theo lung khng chnh thc trong khi khng
phi l cc thng tin bt thng nn nhiu nh u t khng ch ng tip cn.
iu ny to nn tnh thiu chuyn nghip v khng cng bng.
Ti cc th trng pht trin, cc thng tin ti chnh ch c cng b theo
ng chnh thng. Ban iu hnh khng ty tin a ra cc s liu kt qu ti
chnh cho bo ch trc khi c kt qu sot xt ca kim ton v trc khi cng
b theo ng chnh thng. Vic a ra cc con s d bo li nhun tng lai
c thc hin bi cc nh nghin cu chng khon c lp (phng phn tch
ca cc cng ty chng khon) nhm nh hng k vng cho th trng. Kt qu
li l chnh thc s c doanh nghip cng b theo lch trnh v th trng s
phn ng bng vic so snh vi cc d bo trc ca cc nh nghin cu
chng khon. tng cng tnh chuyn nghip v quan h nh u t, ban
iu hnh c th t chc cc bui hp bo v hi tho nh u t, cc nh phn
tch chng khon ngay trong ngy cng b kt qu qu v nm chnh thc (c
th qua conference call). Cuc hp ny c quay video v a ln trang mng
dng webcast cng vi cc ti liu thuyt trnh lin quan.
V cch thc a thng tin, cc bo co ca nhiu doanh nghip hin nay
thiu s chuyn nghip v tnh nht qun. Mt s doanh nghip dng bng
61
Excel, mt s doanh nghip dng vn bn Word v mt s doanh nghip dng
vn bn PDF. Khi nh u t load bng Excel v Word xung, cc s v cng
thc c th b nhy, phng ch ting Vit c th bin dng khng c c v
doanh nghip khng dng Unicode.
Cn c theo cc vn bn quy nh ca Ngn hng Nh nc, y ban
Chng khan, B ti chnh v vic yu cu bt buc cc ngn hng cng khai
cc thng tin bo co ti chnh, hoc kt qu kinh doanh, cha quy nh cng
khai c cu vn, cng khai c cu ri ro v cc nh gi ri ro, mc tiu v cc
chnh sch qun tr ri ro ca h; cn c theo thc trng cng b thng tin ca
cc TCTD ni chung v cc NHTM ni ring, nhn thy h thng cc NHTM
Vit Nam cha p ng c cc yu cu theo Tr ct 3 ca Hip c Basel II
v vic thc hin minh bch ha cc thng tin v ri ro tn dng, ri ro hot
ng, ri ro th trng, cu trc ri ro,
2.3 NHNG NGUYN NHN NH HNG N VIC NG DNG
BASEL TRONG H THNG CC NHTM VIT NAM
2.3..1 Nhng nguyn nhn thuc v ni dung ca Basel II
2.3.1.1 Ni dung Basel II Qu phc tp
Mt trong nhng tr ngi ln nht i vi vic tip cn cc quy tc trong
hip c Basel (k c phin bn I v II) chnh s khc bit v ngn ng. Ngn
ng c th hin trong hip c Basel l ting Anh, hon ton cha c mt ti
liu nghin cu hoc dch thut chnh thc no v hip c Basel bng ting
Vit. V vy, cho d rt nhiu chuyn gia qun l ngn hng mun tip cn
nhng cng rt kh khn. Mi vn bn ban hnh t y ban Basel k c l vn
bn chnh thc ln nhng vn bn b sung hng dn thi hnh u c di t
400 n hn 500 trang giy, nhng thut ng c s dng cng tht s khng
d hiu, l nhng t mi v t kh. Ngoi ra, mt khi lng s cc vn bn
ca Basle vi nhiu cng thc tnh ton phc tp, cha gn gi vi tnh hnh
thc t trong hot ng ca h thng ngn hng Vit Nam cng l l do cc
chuyn gia cha dnh nhiu thi gian tm hiu v nghin cu.
Mt khc, mt trong nhng kh khn i vi vic vn dng cc phng
php ca Basel II vo h thng ngn hng Vit Nam chnh l phc tp ca
mi phng php. S phc tp ny th hin c trong cch tnh ton v vn
dng ln trong vic xy dng mt h thng c s d liu qun l khch hng.
62
i vi phng php c coi l n gin v d p dng nht phng
php chun th mi khch hng n giao dch vi ngn hng cng phi
c lu tr thng tin y nhm phc v cho vic nh gi, chm im
khch hng . Nh vy s c rt nhiu h s ri ro c p dng cho mi
khch hng vi tng loi giao dch khc nhau. Thc t, mi ngn hng c n
vi trm ngn khch hng, mi khch hng li c vi trm giao dch cc loi, vn
tnh ton nhu cu vn ti thiu cho hot ng ca ngn hng thc s tr thnh
mt bi ton khng n gin.
i vi hai phng php cn li l IRB c bn vo IRB nng cao th hai
phng php ny l qu phc tp. Cc cng thc tnh ton h s ri ro l nhng
cng thc da trn ton hc phc tp bao gm ton thng k, xc sut v kinh t
lng.
2.3.1.2 Chi ph thc hin ng dng Basel II qu ln
Mt trong nhng kh khn nh hng n vic quyt nh p dng Basel
II vo h thng gim st v qun tr ri ro ca cc NHTM Vit Nam chnh l
chi ph vn hnh theo ton b chun mc ca Basel II qu ln. i vi cc ngn
hng quc t ln, h p dng k thut qun l ri ro gn tng thch vi
Basel II v c th tit kim chi ph thng qua quy m hot ng. i vi cc
nc ang pht trin, nhiu ngn hng ca cc nc mi ni s gp kh khn, v
vic chuyn sang Basel II l rt tn km, cc ngn hng c nh kh c th chu
c chi ph c nh lin quan n vic nng cp ngn hng. y l mt thch
thc ln i vi h thng ti chnh Vit Nam. Theo c tnh, cc NHTM c nh
phi tn xp x 10 triu la M, tng ng vi 160 t ng Vit Nam,
khong 15% vn iu l ca cc NHTM CP. Trong khi , nu l ngn hng c
ln th chi ph vn hnh h thng Basel ny c th ln n 200 triu la M,
tng ng vi 3.200 t ng Vit Nam, cao hn mc vn php nh ca cc
NHTM Nh nc theo ngh nh 141 ca Chnh ph.
2.3.1.3 Yu cu ca Basel II v vn kh cao
Hip c Basel II nhm iu chnh hot ng ca cc tp on ngn hng
hot ng trn phm vi nhiu quc gia, v vy yu cu an ton vn l mt trong
nhng mc tiu t ra hng u i vi nhng ngn hng ny. Vn ny nhm
gim thiu n mc ti a kh nng xy ra v n i vi cc ngn hng. Mc d
t l vn an ton ti thiu trong Basel II vn gi mc 8% nhng trn thc t, cc
ngn hng phi duy tr mc vn cao hn so vi mc quy nh Basle I bi cc
63
ngn hng phi b sung thm vn d phng cc ri ro hot ng v ri ro th
trng. iu ny s cc k bt li cho cc ngn hng Vit Nam v ri ro hot
ng cng nh ri ro th trng thp hn cc ngn hng quc t ln bi phm vi
hot ng ca cc ngn hng tng i hp.
2.3.2 Nhng nguyn nhn trong ni ti ca h thng ngn hng Vit Nam
2.3.2.1 Cha c vn bn hng dn v vic thc hin Basel II
Theo quy nh trong hip c Basel II, cc NHTM c la chn mt
trong ba phng php nh gi ri ro tn dng v tnh ton t l an ton vn theo
tng phng php vi s ng ca c quan gim st v ph hp vi nng lc
hin ti ca tng ngn hng. Trn thc t, Vit Nam hin nay cha c mt vn
bn no hng dn v vic thc hin mt trong ba phng php ny cho cc
NHTM hot ng trn lnh th Vit Nam.
2.3.2.2 NHTM Vit Nam cha p ng iu kin ca Basel II
ng dng c cc phng php Basel II nh phng php IRB c
bn, cc ngn hng phi c tnh c xc sut v n (PD), thit hi do
v n (LGD) da trn cc c im v iu kin ti chnh, ti sn m bo, nng
lc hot ng. Cn i vi phng php IRB nng cao th ngoi hai yu t ny
ra, cc ngn hng cn cn c tnh c gi tr o hn hiu dng M, v gi tr
hot ng khhi v n EAD. V nhng thng tin nh vy ch c th tn dng
cng vi d liu qu kh c tnh yu cu vn cho cc khon vay c bit v
ton b danh mc cho vay ca ngn hng. Mc d cc ngn hng u c h
thng qun tr ri ro tn dng ring cho mnh v nu cn thit th iu
chnh cho ph hp vi phng php nng cao nhng pht trin v s dng
c mt h thng qun tr ri ro hin i th c rt t ngn hng ln trn th gii
kh nng lm c iu ny, l mt bi ton kh c v chi ph thc hin
ln h thng thng tin h tr v nng lc qun tr ca cc ngn hng
Yu cu v c s d liu vt qu kh nng ca rt nhiu
ngn hng. Do vy, khng c g ngc nhin khi ch c mt s t ngn hng hin
nay c th p dng.
2.3.2.3 Cha xy dng c h thng c s d liu
Theo cc iu khon v iu kin v vic ng dng phng php IRB, y
ban Basel yu cu s duy tr v pht trin h thng c s d liu v cc khch
hng vay ca mnh theo c im, cc xp hng, quy trnh qun l, hng mc tn
64
nhim t c nhng tiu chun kht khe ny l mt vic lm hon ton
khng d vi cc NHTM Vit Nam hin nay.
c bit l khi mun s dng c phng php IRB, cc ngn
hng phi duy tr thng tin v xp hng tn nhim trong lch s ca khch hng
bao gm im s, ngy xp hng phng php xp hng v cc thng tin quan
trng c s dng cho vic xp hng, ngi chu trch nhim xp hng. Vic
xc nh ngi vay v cc cng c v n, tn sut xut hin v chu k xut
hin ca nhng kiu v n ging nhau cng cn c duy tr trong h thng c
s d liu ca ngn hng.
Cc NHTM mun s dng phng php IRB nng cao cn phi t tch
ly v lu tr thng tin v cc c tnh LGD v EAD.
2.3.2.4 Ngun nhn lc
Mt trong nhng kh khn khi xem xt vic ng dng hip c Basel II
vo cng tc qun tr ri ro ti cc NHTM Vit Nam chnh l s thiu ht
ngun nhn lc cht lng cao. y l vn chung i vi tt c cc NHTM
v k c i vi c quan gim st NHTM nh Ngn hng Nh nc. Thng qua
tm hiu nhng chun mc Basel II trong chng I, c th thy rng nm
vng v vn dng c cc chun mc ny i hi cc chuyn gia trong lnh
vc qun tr, gim st ngn hng v nhn vin ph trch phi c mt tm hiu
bit nht nh, gii v ngoi ng ln kin thc ton hc v kin thc qun tr.
Ngoi ra cc k nng phn tch, d bo cng l nhng k nng khng th thiu.
y thc s l nhng yu cu cao i vi cc chuyn gia ngn hng Vit Nam
ti thi im ny.
Hin nay, cc NHTM Vit Nam ang cnh tranh nhau rt ln c th
gi chn nhng chuyn gia gii, am hiu trong lnh vc ngn hng thng qua
vic u i v mc lng, thng v cc hnh thc khc nh thng c phiu,
trang b nh v phng tin i li Nhng vi tc pht trin mnh m nh
hin nay ca h thng ngn hng th s lng chuyn gia gii vn cha v
cn mt s o to v b sung rt ln.
Ngoi ra, cng c nhiu chuyn gia gii ang m nhim nhng v tr cp
cao trong cc NHTM, nhng do khng c iu kin hoc khng thi gian
c o to v tip cn nhng kin thc mi ny nn cng cha c kh nng
vn dng vo cng vic thc t. Chi ph cho nhng kha hc vi cc
65
chuyn gia nc ngoi trong lnh vc ti chnh ngn hng thng thng l rt
ln, i hi nhiu thi gian, cng sc ca nhng ngi c i hc.
2.3.2.5 Thiu nhng t chc xp hng tn nhim chuyn nghip
Khng ging nh cch o lng theo kiu mt cho tt c (one size
fits all) ca chun mc vn trong hip c Basle I, hip c Basel II da vo
rt nhiu yu t c th xc nh c h s ri ro cho tng khon mc ti sn
lin quan n tng nhm i tng khc nhau, m mt trong nhng yu t ny
chnh l kt qu xp hng tn nhim ng tin cy ca mt t chc c lp.
Hin nay thc t l mi NHTM Vit Nam u ang tng bc xy dng
mt h thng xp hng tn nhim cho tng nhm i tng khch hng. Tuy
nhin vic xp hng ny ch yu nhm phc v qu trnh thm nh, ra quyt
nh cho vay ca ngn hng, rt t c chia s thng tin hay ph bin rng ri
bn ngoi, t dn n mnh ngn hng no th ngn hng t lo v kt qu
l i khi s nh gi cn mang nng v yu t ch quan, cm gic hn l khch
quan. Ngoi ra, n cn dn n nhng kt lun thiu chnh xc ch v l do l
thng tin khng y .
Vit Nam, hin ti c 3 t chc hot ng trong lnh vc xp hng tn
nhim nhng vn cha c quc t cng nhn v vn cha thc hin ng
chc nng ca mt t chc nh gi h s tn nhim:
Trung tm thng tin tn dng ca Ngn hng Nh Nc (CIC) va
c chc nng thu thp v cung cp thng tin tn dng cho ngn
hng nh nc, cc TCTD - c bit l cc NHTM v t chc c nhn
khc, li va thc hin vic xp loi tn dng doanh nghip (theo
Quyt nh s 473/Q NHNN ngy 28/4/2004)
Cng ty thng tin v xp hng doanh nghip (C & R) - mi
thnh lp nm 2004, c tch ra t cng ty Gii php Vit Nam, l
doanh nghip t nhn u tin ti Vit Nam cung cp cc loi bo co
tn nhim da trn cc tiu chun nh gi ca cc t chc ln trn th
gii nh Standard & Poors, Moodys, Equifax, Jcr
Trung tm nh gi tn nhim Vietnamnet (CRVC) thuc cng ty phn
mm v truyn thng VASC, c ra i vo ngy 4/6/2005
Cc n v ny vn cha phi l t chc nh gi tn nhim theo ng
ngha bi l hot ng chnh vn ch l cung cp cc thng tin c lin quan ti
cc doanh nghip m cha thc hin nghip v nh gi tn nhim theo chun
66
mc quc t. Trong s 3 n v ni trn, CRVC hin phi tm ngng hot
ng do cha nhn c s quan tm ng mc ca cc cp chc nng v ca
th trng.
iu c th nhn thy rng nhng t chc xp hng tn nhim ny u cn
rt non tr i vi mt lnh vc cng cn ht sc mi m Vit Nam, nh vy
xy dng c mt h thng c s d liu tht s ln, a dng, c cht
lng v c chp thun rng ri th s phi mt mt khong thi gian ng k.
l cha ni n nhng tiu chun v h thng xp loi ca cc t chc ny
u ang tm thi s dng t cc t chc khc nhau ch cha th xy dng
c mt h thng ch tiu thng nht cho Vit Nam, m s vay mn ny cng
s t nhiu gy kh khn trong vic p dng vo tnh ton i vi cc doanh
nghip Vit Nam.
Theo nh gi chung, cc ngn hng Vit Nam s gp khng t kh khn
v thch thc khi d tho Hip c Basel II c chnh thc thng qua. Basel II
quy nh t l vn an ton ti thiu gn cht ch vi mc ri ro ca ti sn
ngn hng. Bn thn mc ri ro ca ti sn cn tnh n nhiu yu t nh
tn nhim ca khch hng, thi hn khon vay, tp trung ca cc khon vay
vo mt nhm khch hng nht nh. Tuy nhin, phng php chun ha c
a ra trong Hip c li qu nhn mnh vai tr ca c quan xp hng trong
vic phn loi ri ro ti sn. Trong khi , kinh nghim cho thy, cc cng ty ln
trong ngnh xp hng tn nhim c tng i ln s v xp hng khng chnh
xc.
Mt vn na l vic hu ht cc doanh nghip cc nc ang pht
trin cha c xp hng c th dn ti tnh trng cc cng ty xp hng s tin
hnh chm im xp hng doanh nghip m khng xut pht t yu cu ca
doanh nghip. Khi , im xp hng s do nhng cng ty ny cung cp
s khng chnh xc do thng tin v doanh nghip cha y v nh vy s
bt li cho doanh nghip.
Hin nay mi ch c mt s NHTM CP quy m ln mi ch trng vo
vic xy dng h thng xp hng tn nhim ni b, trong c ngn hng
TMCP Chu, ngn hng TMCP Si Gn Thng tn, t l s lng ngn
hng c xy dng h thng ny ch chim khong 30 40% trong tng s 36
NHTM CP ang hot ng ti Vit Nam.
67
Mt iu d nhn thy trong h thng xp hng tn nhim ni b ca cc
ngn hng chnh l nhm phc v nhiu cho vic thm nh ra quyt nh cho
vay hn l phc v cho cng tc qun tr ri ro ca ngn hng trong khi nu
so snh vi h thng xp hng tn nhim ni b ca cc ngn hng lin doanh
ang hot ng ti Vit Nam nh ngn hng Vit Thi (Vinasiam) th h s gn
lin trc tip gia kt qu nh gi vi d phng ri ro v tiu chun an ton
vn ti thiu.
cc nc c th trng ti chnh pht trin nh M, Anh, Australia, vic
thu cc t chc nh mc tn nhim cung cp dch v c cc doanh nghip
thc hin nh k nh vic thu kim ton bo co ti chnh hng nm. Tuy
nhin, Vit Nam do chi ph qu cao, nn hin mi ch c BIDV thc hin thu
t chc nh mc tn nhim quc t Quc t Moodys nh gi cc h s ri
ro trong hot ng ngn hng v minh bch ha thng tin. Sau BIDV, l ngn
hng Techombank cng thu Moodys xp hng tn nhim.
2.3.2.6 Hn ch v nng lc gim st
Cuc khng hong ti chnh ton cu tuy ch mi gi tn hiu t xa ti
th trng ti chnh Vit Nam nhng ang t ra vn rt thi s, l nng
lc gim st ca nhiu quc gia, trong c Vit Nam...
Gim st ti chnh Vit Nam cha hnh thnh mt h thng m ang
c tin hnh ring r cho tng lnh vc. Ngay c vic gim st ring r
cng nng v gim st tun th hn l gim st ri ro. Trong khi , ni n h
thng ti chnh l ni n nhng ri ro c tnh h thng, l nhng ri ro trong
tng lnh vc v ri ro cho t lnh vc ny sang lnh vc khc. V nu hiu
theo ngha c th thy, h thng gim st ti chnh ca Vit Nam cn v cng
s khai. l v t chc.
V k thut, cho n gi hon ton cha c mt quy nh chung no v
gim st h thng ti chnh tng qut. Mc d cc ch tiu gim st t xa theo
CAMELS bt u c Thanh tra ngn hng thuc Ngn hng trung ng p
dng nhng mi ch l nhng ch tiu mang tnh nh lng v ch p dng
cho cc NHTM CP, qu tn dng nhn dn. Nhng gi tr ch dn ca ch tiu
nh lng thng rt hn ch bi nhng ch tiu ny da trn chun k ton
Vit Nam v phi cn c vo kt qu thng k, m kt qu thng k th ph
thuc vo thi gian: cui qu, cui nm...Trong khi , ri ro th n tng ngy.
V th, Vit Nam ang rt cn mt h thng ch tiu nh tnh. cc nc,
68
ngoi h thng gim st ti chnh cng quyn cn c h thng nh gi ti chnh,
xp hng ti chnh ca cc tp on xp hng ti chnh nh Standard & Poors,
Fitch Ratings...cng a ra nhng ch tiu gn vi h thng ch tiu gim st
chung. Nh vy, th trng c y cc thng tin, k c thng tin v gim st
chung ca Chnh ph cng nh nhng thng tin v nh gi hoc thng tin v
xp hng tn nhim ca cc cng ty xp hng c lp v n to ra mt h thng
gim st ti chnh tng i ton din.
V cng ngh, thc ra gim st ti chnh rt cn c cng ngh hin i, t
nht l phi c h thng thng tin qun l (MIS) c th cp nht thng tin t
c s n c quan gim st nhanh chng v nhy bn. iu Vit Nam cha
lm c. Ngn hng Trung ng ang xy dng h thng MIS hin i c tng
tr gi 70 triu USD nhng phi n nm 2012 tr i th mi c th ng dng
c. Chng ti hy vng n thi im s c h thng phn cng, h thng
data base tin hnh c cc phn tch ti chnh v m, cp nht thng tin
phn tch, xc nh ri ro v a ra nhng cnh bo cho khu vc ti chnh mt
cch nhanh chng v chnh xc.
Hip c Basel II giao cho c quan qun l ngn hng c quyn xem
xt kh nng ng dng tng loi h thng nh gi ri phn loi ri ro ti sn
ca TCTD. Trong thc t, nu nh ngn hng trung ng c quan qun l v
gim st hot ng ngn hng khng trnh kim chng h thng nh
gi ri ro ca cc TCTD c ph hp hay khng th s rt nguy him cho hot
ng ca ton h thng ngn hng. Chng hn nh khi c s dng h thng
nh gi ri ro ni b, nhiu TCTD c th qu lc quan v trin vng khch
hng ca mnh v khng c cc bin php i ph cng nh phng nga thch
hp, dn n kh nng v n ca khch hng c th ko theo s v n ca ngn
hng ni ring v ton h thng ngn hng ni chung.
2.3.2.7 Cc vn lin quan n chun mc bo co
Hin nay, cc NHTM Vit Nam ang bi ri trong vic thc hin theo cc
chun mc k ton ca Vit Nam (VAS) v cc chun mc k ton quc t
(IFRS). Khi thc hin bo co theo hai chun mc ny hoc thu cc t chc
xp hng tn nhim c lp trong nc v ngoi nc nh gi th kt qu l rt
khc bit. C th thy r iu ny thng qua bo co cn i k ton ca ngn
hng u t & Pht trin Vit Nam di y khi ngn hng ny thu t chc
xp hng tn nhim Moodys xp hng..
69
R rng c mt s khc bit khi lp v bo co cc ch tiu trn bng cn
i k ton theo tiu chun ca VAS v theo chun mc k ton quc t (IFRS).
Gi tr tng ti sn nm 2007 ca BIDV theo VAS v theo IFRS tng ng l
203,5 ngn t v 200,2 ngn t; chnh lch khong 3,3 ngn t ng. Vn t c
ca ngn hng BIDV nu theo VAS l 11,2 ngn t nm 2007, so vi tng quy
m ti sn c l chim t trng 5,53%, trong khi nu theo nh gi ca IFRS
th vn t c ch l 7,8 ngn t chim t trng l 3,94%, hon ton khc bit.
Vy ngn hng s cn c vo u iu chnh vn hoc ti sn c ri ro ca
mnh, thc hin c mc tiu qun tr ri ro. iu ny s dn n kh khn
rt ln cho ngn hng u t & Pht trin VN ni ring v cc NHTM Vit
Nam ni chung trong vic p dng cc chun mc quc t vo nh gi hot
ng hoc cng tc qun tr ri ro ca mnh, c th y l cc chun mc theo
hip c Basel II.
Bng 2.5 Mt s ch tiu ca BIDV theo chun mc k ton Vit Nam v
quc t
n v: triu ng
2007 2006 2007 2006
Tng Ti sn 200,260 158,064 203,539 161,160
Vn t c 7,888 4,181 11,266 7,341
Vn t c/Tng Ti sn 3.94% 2.64% 5.53% 4.55%
IFRS VAS
Ch tiu ca BIDV

Ngun: Bo co thng nin ngn hng u t & PTVN 2007
i vi mt s chi nhnh ngn hng nc ngoi hot ng lu nm ti
Vit Nam nh ngn hng HSBC, ngn hng Citygroup, ANZ th nhng ngn
hng ny u c hai h thng bo co s sch k ton, mt h thng theo chun
mc k ton Vit Nam VAS dng bo co vi ngn hng nh nc Vit Nam
v c quan thu, mt h thng theo chun mc k ton quc t IAS dng phc
v cho cng tc qun tr ngn hng. iu ny to ra mt s lng ph rt ln trong
vic duy tr cng mt lc hai h thng nhng khng lm khc c bi nhn
nh chung ca cc chuyn gia ngn hng l hai h thng ny cn qu nhiu
im khc bit, kh c th nhp chung.
Trong khi , hin nay cc doanh nghip ni chung v cc NHTM ni
ring Vit Nam ang bc vo mt sn chi chung ton th gii vi nhiu lut
l v quy nh quc t, nu khng nhanh chng thch nghi vi nhng lut l
ny v xy dng cho mnh h thng bo co tng thch th s rt b thit thi
v kh nng cnh tranh cng nh kh nng chng ri ro.
70
Thng thng, khi cc ngn hng phn tch hot ng trong mt thi gian,
s s dng cc d liu trn bng cn i k ton v cc bo co ti chnh khc.
Tuy nhin, c mt vn cn quan tm y l gi tr cc khon mc trn bng
cn i nn th hin nh th no c th tnh n nhng yu t bin ng trn
th trng tc ng n gi tr s sch ca nhng khon mc ny bao gm bin
ng v li sut, t gi, bin ng gi cc loi chng khon v cc sn phm
phi sinh theo thi gian o hn cn li chnh l vic tnh n ri ro th
trng trong gi tr s sch ca cc NHTM.
Theo bng cn i k ton c cng b ca mt s cc NHTM k c
NHTM c phn v NHTM nh nc, c th thy rng hu ht cc ngn hng
cha tnh n yu t ri ro th trng vo gi tr cc khon u t trn s sch
ca cc NHTM. Ch c mt s NHTM CP ln nh ngn hng Chu, ngn
hng Si Gn thng tn vi s tham gia gp vn ca nhng tp on quc t
giu kinh nghim trong lnh vc ti chnh ngn hng hoc ngn hng u t &
Pht trin Vit Nam vi s nh gi, xp hng ca mt t chc c uy tn mi
quan tm v th hin mt cch tng i chi tit nhng yu t ny.















71
KT LUN CHNG 2
Thng qua phn tch thc trng ng dng cc Hip c chun mc quc
t v an tan vn vo h thng cc ngn hng Vit Nam, nhn thy v ch
trng, v thc tin Vit Nam mi ch dng li vic ng dng Basel I v vic
quy nh t l an ton vn ti thiu 8% da trn vn t c v ti sn c ri ro,
trong ti sn c ri ro c xc nh cn c vo h s ri ro c quy nh
c th, cha cn c vo kt qu xp hng tn dng. V r rng l hin Vit
Nam cha ng dng Basel II trong hot ng qun tr ri ro ngn hng.
Vn hin nay m h thng ngn hng Vit Nam gp phi cng ging
nh cc nn kinh t mi ni khc, chnh l s cha n nh v h thng
lut php cng nh hot ng ngn hng. Trong giai on va qua, h thng
ngn hng Vit Nam cha c iu kin hon thin cc c s h tng ti
chnh, h thng cng ngh thng tin cng nh h thng vn bn php lut
phc v nhu cu ng dng Hip c Basel II. Ngoi ra, s thiu ht ngun
nhn lc cht lng cao lm vic trong lnh vc ngn hng cng l mt trong
nhng nguyn nhn gy kh khn cho qu trnh vn dng nhng m hnh
qun tr ri ro hin i vo hot ng ca h thng ngn hng Vit Nam.
Tuy nhin, trong xu th hi nhp kinh t ton cu, mt s nhu cu v
vic m rng quy m, phm vi hot ng cng nh mng li chi nhnh
ngn hng tr nn ht sc cn thit. T , dn n i hi pht trin h
thng qun tr ri ro tng thch vi quy m. Mt s quy nh trong hip c
Basle I ngy nay khng cn ph hp i vi nhiu quc gia. V cc ngn
hng Vit Nam mun pht trin bn vng trong h thng cn nng cao kh
nng chng ri ro thng qua vic xc nh nhu cu vn ph hp vi nhiu
loi ri ro khc ngoi ri ro tn dng nh ri ro hot ng v ri ro
th trng. Mun lm c iu ny, ngn hng Vit Nam cn xem xt n
kh nng p dng hip c Basel II vo hot ng ca mnh.






72
CHNG 3:
GII PHP NNG CAO KH NNG
NG DNG HIP C BASEL II
TRONG QUN TR RI RO TI NHTM VIT NAM

3.1 S CN THIT NG DNG HIP C BASEL II TRONG QUN
TR RI RO NGN HNG VIT NAM
Nhng l do c th k n khin h thng NHTM Vit Nam cn xem
xt ng dng Basel trong qun tr ri ro v gim st hot ng ngn hng l:
Th nht, hot ng ca ngn hng khng cn b hp trong phm vi
mt quc gia m tri rng ra rt nhiu quc gia, nhiu khu vc vi
nhng danh mc sn phm dch v a dng. Trn thc t, mt s
NHTM NN ca Vit Nam v ang tm cch m chi nhnh ca mnh
nc ngoi nhm tng tnh ch ng trong hot ng ng thi tn
dng tt th trng tim nng trn th gii. Khi la chn phng n
m chi nhnh ngn hng ti quc gia khc th phi tun theo php lut
hin hnh ca h, khng th ch gi ring theo lut php ca Vit
Nam.
Th hai, trong thi gian ti, hot ng ngn hng nc ngoi
d bo s pht trin mnh trn lnh th Vit Nam, vic kim sot
hn ch n mc ti a ri ro cho h thng ngn hng Vit Nam cng
nh bo v quyn li ca nhng ngi gi tin l ht sc cn thit.
Nu khng c quy nh lut php i trc mt bc th khi chm chn
hn, h thng ngn hng chng ta s phi nhn nhng hu qu c th
rt nng n.
Th ba, han thin theo cc chun mc quc t s gip cc ngn hng
c th so snh v nh gi mt cch chnh xc, khch quan nht v
nhng im yu, im mnh, t c nhng bin php kp thi nng
cao nng lc cnh tranh ca h thng, gim thiu nhng im yu v
bt li. iu ny s gip h thng ngn hng Vit Nam c th pht
trin bn vng v an ton hn.
Vi nhng l do nu trn, vic hng n ng dng hip c an ton
vn Basel II trong qun tr ri ro ngn hng c xc nh l mt trong nhng
73
mc tiu qun tr ri ro i vi cc TCTD Vit Nam. Vic tun th cc chun
mc quc t v gim st ngn hng, c bit tun th cc nguyn tc c bn
Basel c ngha quan trng trong vic xy dng h thng ngn hng ti chnh
vng mnh, p ng cc iu kin tin quyt ca qu trnh gia nhp WTO v
hi nhp kinh t quc t. Ngoi ra, tun th cc chun mc quc t cn gip
chng ta xy dng mt h thng thanh tra gim st hiu qu, h tr vic pht
trin th trng ti chnh, pht trin hot ng ngn hng vng mnh, nng cao
kh nng cnh tranh, gia tng gi tr cho cc TCTD, ng thi m rng th
trng trong nc v quc t.
3.2 L TRNH V PHNG PHP
Xt theo kinh nghim ca cc nc thuc nhm G10 v cc nc khng
thuc nhm G10 v vic ng dng Basel II trong h thng qun tr ri ro ngn
hng nhn thy mc d Basel II c hiu lc t nm 2006 nhng phi n hn
hai nm sau nhng quc gia c nn kinh t ln nh M, c, Nht ,mi
ng dng Basel II v ti M cng ch ng dng phng php phc tp
(phng php nng cao) ti cc ngn hng c quy m vn ln hn 250 t
USD v c hot ng a quc gia. Cn hu ht cc ngn hng c quy m vn
nh (di 3 t USD) thng chn phng php n gin (phng php chun
trong nh gi ri ro tn dng, phng php c bn v phng php chun
trong nh gi ri ro hot ng).
Xt iu kin ca Vit Nam hin nay, h thng c s d liu phc v
cho qu trnh phn tch v nh gi ri ro l mt trong nhng kh khn ln,
bn cnh cn thiu cc vn bn hng dn, thiu cc iu kin tin
quyt v tnh ch ng trong mi ngn hng cng nh kh khn v mt
chi ph, v vy Vit Nam cha th mt sm mt chiu ng dng ngay c
Hip c quc t Basel II trong hot ng qun tr ri ro ngn hng, m cn
phi xy dng l trnh dn tip cn Basel II v tng bc han thin b my
gim st, qun l ri ro chun b cho vic ng dng Basel II.

Cn c vo tnh hnh thc t ti cc Vit Nam v kinh nghim ti cc
nc ng dng Basel II, tc gi xut xy dng l trnh ng dng Basel
II t 2010 n 2020 cho h thng cc ngn hng ti Vit Nam:
Bng 3.1 xut l trnh v phng php ng dng Basel II ti Vit
Nam
74
Thi gian nh gi ri ro Phng php p dng M hnh ngn hng p dng
T 2010 n 2013 Ri ro tn dng Phng php chun
Ngn hng c vn iu l t 400 triu USD tr ln bt buc
phi xy dng h thng xp hng tn dng
Ri ro tn dng Phng php chun
Ngn hng c vn iu l t 200 triu USD tr ln bt buc
phi xy dng h thng xp hng tn dng
Ri ro hot ng Phng php ch s c bn
Ngn hng c vn iu l t 400 triu USD tr ln bt buc
phi xy dng h thng xp hng tn dng
Ri ro tn dng Phng php chun p dng cho tt c cc ngn hng
Ri ro hot ng Phng php ch s c bn
Ngn hng c vn iu l t 200 triu USD tr ln bt buc
phi xy dng h thng xp hng tn dng
Phng php xp hng ni b c bn Ngn hng c quy m vn ln
Phng php chun p dng cho hu ht cc ngn hng
Ri ro hot ng Phng php ch s c bn p dng cho tt c cc ngn hng
Ri ro th trng Phng php chun ha Ngn hng c quy m vn ln
T 2018 n 2020
T 2013 n 2015
T 2015 n 2018
Ri ro tn dng

Theo l trnh ng dng Basel I, mc d Basel I ban hnh nm 1998 nhng
phi mt hn 7 nm sau mi c hin thc ha ti Vit Nam di hnh
thc Quyt nh 457 v quy nh an ton vn ti thiu. V vy, cng c th
phi mt hn 6 7 nm sau khi Basel II c ban hnh nm 2004, ngha l
sau nm 2010, Vit Nam mi tng bc ng dng Basel II trong qun tr ri
ro ngn hng.
Bc u, khi ng dng vo Vit Nam, th im ng dng ti cc ngn
hng c quy m ln trc, v cng ch nhng ngn hng ny mi c iu
kin vt cht, con ngi vn hnh Basel II vo h thng ngn hng. Nhng
ngn hng c quy m vn iu l t 400 triu USD tng ng khang hn
7.000 t l nhng ngn hng c kh nng t nm 2010 2013 han thin cng
tc xy dng xp hng tn dng. Sau , nhng ngn hng ny s truyn li
kinh nghim v cng ngh cc ngn hng khc c th ng dng trong
nhng nm sau ny.
V ri ro hot ng, th phng php ch s c bn vi cch tnh da trn
thu nhp ca 3 nm lin tc trc nhn vi t l c nh 15% l phng
php n gin nht m Vit Nam c th ng dng trong 3 nm ti. Tuy l
phng php n gin, nhng khi ng dng vo h thng ngn hng, th i
75
hi ngn hng c phi duy tr vn ln trang tri cho ri ro hot ng, v
vy cng cn thi gian cho ngn hng chun b khi p dng.
3.3 M HNH NG DNG BASEL II VO H THNG NGN HNG
VIT NAM
M hnh Basel II c th p dng ti h thng ngn hng Vit Nam:
Tng vn (ging Basel I)
RWA ri ro tn dng + (K ri ro hoat ng * 12,5)
T l vn ti thiu = 8%

Trong :
RWA
ri ro tn dng
= ti sn * h s ri ro (c quan h vi xp hng tn dng).
Bng 3.2 xut m hnh ng dng Basel II trong phng php nh gi
ri ro tn dng ti Vit Nam
AAA n
AA-
A+ n A-
BBB+ n
BBB-
BB+ n
BB -
B+ n B - di B-
Khng
xp hng
i vi Ngn hng v cng ty bo him 20% 50% 100% 100% 100% 150% 100%
i vi Ngn hng v cng ty bo him
(cho vay t 3 thng tr xung)
20% 20% 20% 50% 50% 150% 20%
i vi Doanh nghip 20% 50% 100% 100% 150% 150% 100%
i vi vay bng th tn dng
i vi ti sn cm c
i vi cho vay bt ng sn
i vi ti sn c ri ro cao
i vi ti sn khc
35%
100%
150%
100%
H s ri ro (RW)
i vi khon cho vay
75%


3
1
*
n
n
GI
Kruirohoatdong
n

=
=

, vi iu kin GI
n
>0 v = 15%
K ri ro hot ng: vn yu cu phi d phng cho ri ro hot ng
GI: thu nhp hng nm (> 0) ca 3 nm trc

Bc u, kt qu xp hng tn dng ca cc khch hng c nhn,
khch hng doanh nghip c th do chnh bn thn cc ngn hng a ra cn
c vo s tay xp hng tn dng ca mi ngn hng nhm to iu kin cho
cc ngn hng ch ng trong tnh ton v cng khng tn km nhiu chi ph.
Sau , khi cc cng ty xp hng tn nhim doanh nghip Vit Nam c
hon thin, c th cn c theo kt qu ca cc cng ty ny xp hng tn
dng cho khch hng. Sau khi ngn hng Nh nc c vn bn hng dn c
th v thnh lp v hot ng ca cc t chc xp hng tn nhim ti Vit
Nam cng nh khuyn khch cc NHTM s dng kt qu xp hng tn nhim
76
ca t chc bn ngoi, cc NHTM Vit Nam c c s p dng theo
phng php chun nh gi ri ro tn dng ca Basel II.
Ring phng php IRB c bn v IRB nng cao, trong thi im hin
nay v trong mt vi nm ti, cc NHTM Vit Nam cha cn thit p dng.
C th tip cn tm hiu v hc hi kinh nghim t cc quc gia trong khu
vc cng nh ch i s chuyn giao cng ngh t cc tp on ti chnh
ngn hng nc ngoi khi u t vo nhm NHTM CP Vit Nam. iu ny s
gip tit kim chi ph ban u cng nh trnh c nhng ri ro khi p dng
cc phng php hin i.
Tuy nhin, to iu kin cho kh nng ng dng cc phng php IRB
c bn cng nh IRB nng cao trong tng lai, ngay ti thi im ny, mi
NHTM cn tch cc ch ng xy dng mt c s d liu v thng tin khch
hng cng nh thng k cc xc sut, mc thit hi v gi tr hot ng ti
mi mc ri ro c lin quan. Bi v khng th no quyt nh p dng c
phng php IRB nu kh nng phn tch v c lng xc sut xy ra tn
tht ca cc ngn hng cn yu, cng nh ngn hng khng thu thp y s
liu lch s v mi khch hng n giao dch vi ngn hng.
Ngai ra, cc NHTM Vit Nam cn thit tng bc ng dng Basel II
trong nh gi ri ro hot ng d phng cc khan vn cho ri ro hot
ng xy ra. Trong , phng php ch s c bn ca Basel II trong nh gi
ri ro hot ng l n gin nht, cc ngn hng Vit Nam c th p dng
ngay vi thng tin v thu nhp hng nm ca 3 nm trc .
Ring i vi phng php chun ca Basel II trong nh gi ri ro hot
ng yu cu hot ng ca ngn hng chia thnh 8 nhm nghip v, hin
cha ph hp vi iu kin ngn hng Vit Nam, do vn bn thn cc ngn
hng Vit Nam khng c thng tin phn tch thnh 8 nhm nghip v, v
trn thc t cng khng cung ng cc nghip v . V vy, c th phi sau
10 nm na, khi h thng ngn hng Vit Nam pht trin n chng mc nht
nh mi c th ng dng phng php chun ha ca Basel II vo nh gi
ri ro hot ng ca ngn hng.
3.4 CC GII PHP NNG CAO KH NNG NG DNG BASEL II
TI CC NHTM VIT NAM
3.4.1. Han thin v pht trin h tng cng ngh thng tin
Ch trng hn na n u t cng ngh thng tin nhm phc v cho
77
vic phn tch, nh gi, o lng ri ro, trong c ri ro tn dng. Tip tc
hon hin h thng thng tin qun l, c s d liu hin i, tp trung v
thng nht.
Tip tc nng cp mng din rng v h tng cng ngh thng tin vi cc
gii php k thut v phng thc truyn thng ph hp vi trnh pht
trin ca h thng ngn hng Vit Nam v cc chun mc, thng l quc
t, ng thi theo hng hin i, t ng ho v c tch hp trong h
thng qun tr ngn hng hon chnh v tp trung.
Tng cng h thng an ton, bo mt thng tin, d liu v an ninh
mng. Xy dng h thng bo mt thng tin, d liu v an ton mng,
nghin cu v xy dng ng truyn d liu, lin kt vi mng thng tin
quc gia to th ch ng cho ngn hng.
Nhp khu cng ngh tin tin l mt s la chn khng t m li hiu
qu. Hin Admerex va k Tha thun ti tr phn mm qun l ri ro tn
dng v qun l cc khon phi thu cho vay tiu dng vi cng ty o to v
t vn nghip v ngn hng cho mc ch o to cc nhn vin, cn b
ngnh ngn hng ti chnh Vit Nam.
i vi ri ro tn dng, cc ngn hng cn c h thng thng tin v k
thut phn tch c kh nng o lng c ri ro trong tt c cc hot ng
ni bng v ngoi bng cn i ti sn.
i vi ri ro hot ng v ri ro th trng, o lng cc ri ro
ny cc TCTD cn c mt h thng thng tin tng i phc tp hn. H
thng thng tin ny phi kt hp c cc d liu t nhng giao dch n l
thnh mt h thng cu trc c th c tnh c ri ro tng th ca n v.
3.4.2. Xy dng h thng xp hng tn dng ni b
Kp thi trin khai vic xy dng h thng xp hng tn dng ni b
nhm h tr cho qun tr ri ro, chnh sch d phng ri ro, xc nh gii
hn tn dng i vi khch hng, ban hnh s tay tn dng, trong quy nh
chnh sch tn dng ca ngn hng, chin lc tng trng tn dng phn
theo i tng khch hng, khu vc, ngnh v pht trin cc chnh sch
khch hng da vo vic nh gi v phn loi khch hng, qun tr li sut
v qun tr thanh khon nhm m bo tnh hiu qu v pht trin bn vng
trong hot ng tn dng.
Trong cng tc qun tr ri ro tn dng, ngoi vic xp hng tn dng,
78
xc nh gii hn tn dng i vi khch hng, ngn hng cn cn phi
thng xuyn xem xt khon vay, nh gi nhng thay i hng mc tn
dng ca khch hng. Bn cnh , ngn hng cng cn xc nh hn mc
cho tng ngnh ngh hoc khu vc kinh t c th, cho tng vng min v sn
phm c th nhm kim sot ri ro tn dng.
3.4.3. Ci tin quy trnh qun tr ri ro
Theo yu cu ca y ban Basel, c cu t chc ca NHTM cn c s
thay i nhm thc hin tt hn qun tr ri ro. Cc ngn hng thnh lp
Ban qun tr ri ro, trong , c cc nh chuyn mn v cc loi ri ro (th
trng, tn dng, hot ng,...) nh gi c ton b ri ro ca ngn hng.
ng thi ti c cu b my t chc qun tr ri ro theo hng b phn
chuyn trch qun l, tch bch b my qun tr ri ro c lp vi kinh doanh;
tin ti thc hin qun tr ri ro theo ngnh dc, gim dn mc y quyn
phn cp theo hng ngang. Nng cao cht lng cc cng c o lng ri ro
v tip tc p dng cc cng c o lng ri ro mi. Thit lp v tch
bch cc nhm nghip v nh: Qun l ri ro; Qun l tn dng; Qun l
ti sn n/c, Qun l ti chnh - k ton; Qun l nhn lc; Qun l thanh
ton; Qun l cng ngh; Qun l chin lc kinh doanh & Marketing;
Ci tin cng tc bo co kp thi, theo ng yu cu v ri ro, nh k
v ni dung bo co c p dng thch hp cho tng i tng nhn bo
co. Chng hn nh bo co cho Hi ng qun tr v Tng gim c th
ch tp trung vo phn nh gi chung, tng hp ri ro v ch nu cc ri ro
ln nht, cc bin php, chin lc. Bo co c km theo cc biu , s ,
bng s liu tng hp v s dng biu tng n giao thng vi tn hiu n
, vng, xanh th hin cc cp ri ro. nh k bo co c th l tun,
thng, qu. Bo co cho lnh o b phn nghip v th yu cu biu bng
chi tit hn v thng ch tp trung vo mt loi ri ro. nh k bo co hng
ngy v bo co tc thi.
Cc NHTM cn y mnh cng tc kim sot ni b vi mc tiu quan
trng xy dng c h thng tm kim nhng xu hng tim n tiu cc, bt
n v thiu st trong hot ng ca ngn hng a ra bin php chn chnh.
3.4.4. Nng cao cht lng ngun nhn lc
Nhm p ng kp thi cho nhng nhu cu v nhn lc trc mt, cn c
s phi hp lin thng gia Ngn hng Nh nc Vit Nam, cc NHTM
79
trong h thng cng vi cc chuyn gia nhiu kinh nghim t ngn hng BIS
khu vc Chu . Cc t chc ny c th phi hp vi cc n v lin quan
thng xuyn t chc cc kho o to v bi dng kin thc cp nht
nng cao nng lc nh gi, o lng, phn tch, kim sot ri ro tn
dng cho cn b nhn vin.
Ngoi ra, cn xy dng chin lc o to v bi dng ngun nhn lc
trung v di hn c kh nng n u pht trin h thng ngn hng
thng mi Vit Nam trong thi gian ti. p dng ch u i cn thit
i vi nhng chuyn vin, cn b trong lnh vc ngn hng cng cn c
quan tm. Trnh xy ra tnh trng chy mu cht xm trong iu kin
Vit Nam hin nay. ng thi nng cao o c ngh nghip v trch nhim
ca cn b ngn hng.
Cc ngn hng cn c chin lc pht trin ngun nhn lc lu di, c k
hoch o to v nng cao cht lng ngun nhn lc, m bo cn b ngn
hng c nghip v chuyn mn gii, p ng c yu cu hin i ho cng
ngh ngn hng. C chnh sch hp l v xy dng mi trng vn ho lm
vic ph hp n nh v khai thc c cc u th ti a ca ngun nhn
lc. Xy dng chin lc pht trin ngun nhn lc c tnh di hn thng qua
hnh thc o to ti nc ngoi. Tham gia cc chng trnh o to do cc t
chc quc t t chc ti Vit Nam, hc tp kinh nghim qun l iu hnh
thng qua cc c ng nc ngoi.
3.4.5 Tng tnh ch ng v sc mnh ti chnh cho cc NHTM
Phng n then cht trong vic tng sc mnh ti chnh cho cc NHTM
l gim bt s lng nhng t chc ti chnh nh, khng p ng nhu cu vn
ti thiu, tng cng s lng cc ngn hng c quy m vn ln, hot ng
hiu qu thng qua n ti c cu cc NHTM Vit Nam. C th thc hin
c iu ny thng qua mt s gii php nh:
Trc ht, thc hin tng vn t c ca cc ngn hng bng li nhun
gi li, cho php v khuyn khch cc ngn hng pht hnh c phiu, tri
phiu huy ng vn di hn trn th trng chng khon s cp. Tip tc tng
vn iu l tng cng nng lc ti chnh, nng cao kh nng cnh tranh,
i i vi vic m bo kh nng qun l hiu qu ca vn iu l tng ln.
Th hai, nhanh chng x l dt im n tn ng v lm sch
bng cn i. Xy dng c ch ngn chn s gia tng ca n xu mi.
80
Th ba, cng c v pht trin h thng NHTM c phn theo hng tng
cng nng lc ti chnh v qun l, ng thi gii th, sp nhp, hp
nht hoc bn li cc NHTM c phn yu km v hiu qu kinh doanh.
Th t, song song vi vic tng sc mnh ti chnh cho h thng NHTM
Vit Nam, cn to tnh ch ng trong hot ng cho cc ngn hng. Cc
ngn hng phi thy c ngha ca vic xy dng cc h thng qun tr ri
ro v t mnh s la chn nhng phng php ph hp nht da trn nng lc
hin c. Ngn hng Nh nc cng nh cc c quan gim st khng can thip
qu su vo hot ng ca ngn hng tr khi c cc bin c c bit xy ra.
3.4.6 u t ti chnh ng dng Basel II
V ng dng Basel II vo h thng qun tr ri ro ca cc ngn hng,
cc NHTM Vit Nam cn tn mt khan chi ph khong 10 triu USD tng
ng gn 180 t ng, tuy nhin tnh hiu qu ca Basel II em li s gip
ngn hng qun tr ri ro tt hn v trnh c nhng nguy c t khng
hong ngn hng. V vy, cc NHTM cng cn cn nhc nn u t chi ph
cho vic tng bc ng dng Basel II, trc mt c th l u t chi ph
xy dng h thng xp hng tn dng ni b, sau tng bc ng dng cc
phng php phc tp hn ca Basel II.
3.5.GII PHP V PHA NGN HNG NH NC
3.5.1. Nng cao cht lng thng tn tn dng
Nng cao hn na cht lng thng tin tn dng ti Trung tm Thng tin
tn dng ca NHNN nhm p ng yu cu thng tin cp nht v chnh xc v
khch hng. Cn c nhng bin php tuyn truyn thch hp cc
NHTM nhn thy r quyn li v ngha v trong vic cung cp v s dng
thng tin tn dng.
Ban hnh cc vn bn hng dn vic xy dng h thng xp hng tn
nhim tng ngn hng cng nh vic thnh lp v hot ng ca cc t chc
xp hng tn nhim c lp. i vi cc ngn hng, Ngn hng Nh nc
cng cn nu r iu kin tin quyt c th xy dng mt h thng xp
hng tn nhim c lp. Nhng ngn hng no khng t yu cu s phi s
dng kt qu xp hng tn nhim c lp ca mt t chc c uy tn do ngn
hng Nh nc ch nh. nh k, ngn hng Nh nc cng hng dn cc
NHTM b sung kp thi cc tiu ch xp hng da trn chun mc Basel II.
i vi cc t chc xp hng tn nhim c lp, cho php thnh lp vi
81
nhiu hnh thc s hu khc nhau nhng cng phi gim st cht ch bo
m cht lng ca cc kt qu xp hng tn nhim ny. Khng xy ra
tnh trng thng ng gia t chc xp hng vi t chc c xp hng.
Nhng tiu ch ca t chc xp hng ny cng phi ph hp vi Hip c
Basel.
Tng cng cc quy ch cng b thng tin, nng cao cht lng v mc
tin cy ca thng tin thng qua ci thin cht lng v hiu qu hot ng
kim ton c lp.
3.5.2 Nng cao hiu qu cng tc thanh tra kim sot, gim st ngn hng
Theo hip c Basel, ngn hng Nh nc ng vai tr l c quan gim
st ngn hng gi v tr c bit quan trng i vi s n nh cho hot ng
ca ton h thng ngn hng, bao gm c mng li cc chi nhnh ca ngn
hng nc ngoi cng nh ngn hng 100% vn nc ngoi. V vy, ngn
hng Nh nc c quyn ch ng rt ln, bao gm ch ng trong vic
a ra quy nh chi tit cho ton h thng, cp php hoc ngng cp php
cho mi ngn hng khi mun la chn mt phng php nh gi ri ro,
ng thi c quyn ra phn quyt ti cao i vi TCTD. khi pht hin nhng
sai phm so vi ni dung cp php. m nhim c trch nhim nng n
ny, trong thi gian ti cn nng cao hiu qu hot ng thanh tra kim
sot v gim st ngn hng ca Ngn hng Nh nc Vit Nam.
u tin, hon thin m hnh t chc b my thanh tra Ngn hng theo
ngnh dc t trung ng xung c s v c s c lp tng i v iu
hnh v hot ng nghip v trong t chc b my ca ngn hng Nh nc.
Quy tc gim st ca b my thanh tra da trn c s ng dng nhng
nguyn tc c bn v gim st hiu qu hat ng Ngn hng ca y ban
Basel ng thi tun th nghim ngt nhng quy tc thn trng trong cng tc
thanh tra.
Th hai, tip tc y mnh hp tc quc t v tham gia cc hip c, tho
thun quc t v gim st ngn hng v an ton h thng ti chnh. Tng
cng trao i thng tin vi cc c quan gim st ngn hng nc ngoi.
Th ba, pht trin i ng cn b thanh tra, gim st v s lng v c
trnh nghip v cao, c phm cht chnh tr v o c tt, c trang b
y kin thc v php lut, qun l v cc cng c thc thi nhim v;
Th t, xy dng v trin khai khun kh quy trnh v phng php
82
thanh tra, gim st da trn c s tng hp v ri ro. Xy dng h thng gim
st ri ro trong hot ng ngn hng c kh nng cnh bo sm i vi cc
TCTD c vn v cc ri ro trong hot ng ngn hng. Ban hnh quy nh
mi nh gi, xp hng cc TCTD theo tiu chun CAMEL(S)
Xy dng h thng gim st ri ro trong hot ng ngn hng c kh
nng cnh bo sm i vi cc TCTD. Thit lp h thng cc quy nh, quy
trnh v s tay hng dn trn c s ri ro, ng thi tin hnh nh gi tng
qua cng tc thanh tra, gim st ca ngn hng theo 25 nguyn tc c bn ca
y ban Basel.
3.5.3. Hon thin h thng vn bn php lut
iu quan trng c th tin hnh vic ng dng thnh cng quy trnh
gim st v qun tr ri ro theo nhng chun mc ca Basel II chnh l
vai tr cng nh trch nhim ca ngn hng trung ng trong vic a ra
cc nn tng lut php hon thin. Trong quy nh r v thm quyn ca
cc t chc cng nh nhng nh ngha r rng v cc thut ng hoc chun
mc dng lm c s phn tch ri ro. Hin ti, h thng lut cc TCTD ca
Vit Nam c ra i t nm 1997 hu nh cha tnh cp nht so vi
nhng quy nh mi trong Basel, ngoi ra cc quyt nh c lin quan nh t
l an ton cho TCTD (Q 457/2005, Q 03/2007) hoc ngh nh v mc vn
iu l ti thiu, quy trnh cn rt ri rc, cn hnh thnh mt b lut iu
chnh v hot ng ca cc TCTD trong nh hng r rng v mi hot
ng v ch tiu ca cc t chc ny.
Cc quy nh lin quan n bo him tin gi cng rt cn c quan tm
c bit trong thi gian sp ti, v cc quy nh ny nn gn lin vi phn
nh gi ri ro ca TCTD i vi cc khon mc hoc danh mc ni chung
c nhng quy nh c th hn v mc ph, iu l tham gia
Ci cch h thng k ton ngn hng hin hnh theo cc chun mc k
ton quc t, c bit l cc vn phn loi n theo cht lng/mc ri
ro, trch lp d phng ri ro, hch ton thu nhp/chi ph. Phi hp vi cc B,
ngnh hon thin h thng k ton theo chun mc k ton quc t (IAS). Xy
dng cc gii php chnh sch hon thin phng php kim sot v kim
ton ni b trong cc ngn hng v tin ti theo cc chun mc quc t.
To iu kin cho cc ngn hng ng dng cng ngh qun tr ngn hng
hin i v to ro chn chng li s lm dng v gian ln, trong c bit
83
lu n s khc bit gia chun mc k ton M (GAAP) v chun mc k
ton quc t (IFRS) trong xu hng hp nht gia hai chun mc ny.
Xy dng th ch gim st ngn hng mi i i vi thc hin c ch
gim st da trn c s ri ro v xy dng Lut gim st an ton hot ng
ngn hng trn nguyn tc ci thin tnh c lp gn lin vi tnh trch nhim
v minh bch ca c quan gim st ngn hng.
Hon thin h thng quy ch qun l v bin php thn trng
trong lnh vc ngn hng theo hng ph hp vi nguyn tc th trng v
cam kt m ca th trng dch v ngn hng, thc y cnh tranh lnh mnh
trn c s tng bc to sn chi bnh ng, loi b cc ro cn gia nhp th
trng v tip cn dch v ngn hng. C bin php khuyn khch kt hp
cng ch cc ngn hng nng cao nng lc qun tr ri ro. ng thi,
nng cao cc iu kin cp php lin quan n an ton hot ng v qun
tr i vi cc ngn hng c thnh lp mi.
Hnh thnh ng b khun kh php l, p dng y hn cc thit ch
v chun mc quc t v an ton kinh doanh tin t - ngn hng. Xy dng
mi trng php lut trong lnh vc tin t, hot ng ngn hng minh bch
v cng bng nhm thc y cnh tranh v bo m an ton h thng tin t,
ngn hng. Cc chnh sch v quy nh php lut v tin t, hot ng ngn
hng gp phn to mi trng lnh mnh v ng lc cho cc ngn hng,
doanh nghip v ngi dn pht trin sn xut kinh doanh. Loi b cc
hnh thc bo h, bao cp, u i trong lnh vc ngn hng v phn bit i
x gia cc TCTD. Ban hnh Lut Ngn hng Nh nc mi thay th Lut
Ngn hng Nh nc nm 1997, Lut sa i, b sung mt s iu ca Lut
TCTD nm 2003; Lut cc TCTD mi thay th Lut cc TCTD nm 1997,
Lut sa i, b sung mt s iu ca Lut cc TCTD nm 2004 to c s
thc y qu trnh ci cch, pht trin h thng tin t, ngn hng an ton,
hin i v hi nhp quc t c hiu qu. Lut Ngn hng Nh nc v Lut
cc TCTD hng ti iu chnh mi hot ng tin t, ngn hng, khng phn
bit i tng tin hnh hot ng ngn hng. Nng cao hiu lc thi hnh
php lut trong lnh vc tin t v hot ng ngn hng. Tng cng hiu lc
nhng ch ti php l, kinh t v hnh chnh bo m thc hin y ngha
v tr n ca ngi i vay v bo v quyn li chnh ng ca cc ngn hng.
Hn ch v tin ti xo b vic hnh s ha cc quan h kinh t trong lnh vc
ngn hng.
84
Ban hnh vn bn hng dn thc hin cc chun mc ca y ban Basel
trn c s la chn chun mc thch hp. Trong ch trng n cc vn bn
quy nh v vic xp hng tn nhim ni b ca mi NHTM, iu kin tin
quyt ngn hng Nh nc ng cho vic xy dng h thng xp hng
tn nhim ni b.
i vi cc t chc xp hng tn nhim c lp, ngn hng Nh nc t
vn cho Chnh Ph v B Ti chnh ra vn bn hng dn c th trn c s
quy nh trong phng php chun ca hip c Basel II.
B sung nh hng thc hin hip c Basel trong chnh sch pht trin
h thng ngn hng giai on 2010-2020, trong nu c th v chi tit v l
trnh p dng, cc iu kin p dng.
Ngn hng Nh nc vi vai tr mt c quan gim st cn tch cc hng
dn, n c cc NHTM sm ban hnh quy nh v tiu chun, yu cu ti thiu
i vi h thng qun tr ri ro p dng ti ngn hng, bao gm h thng kim
sot, kim ton ni b, h thng qun l ti sn c, ti sn n, qun tr ri ro tn
dng, ri ro hot ng v ri ro th trng. Nhng yu cu ti thiu m cc
ngn hng cn t c chnh l iu kin tin quyt gip c quan gim st nh
nc chp thun vic s dng h thng qun tr ri ro tng ng ca ngn hng.
3.5.4. Yu cu cc NHTM minh bch thng tin
Vic minh bch ha, cng khai ha cc hot ng ca ngn hng s l liu
thuc gip h thng vng mnh. Ti cc quc gia m h thng k ton, c ch
cng khai thng tin v khun kh php l gy tr ngi cho vic thc hin k
cng th trng v thc thi hot ng gim st hiu qu s nh hng bt li
n hot ng cng nh gy tn hi li nhun ca ngn hng.
Chnh v vy, cc c quan nh nc nn nghin cu, b sung thm cc yu
cu cc NHTM minh bch ha thng tin, cng b cc thng tin ging nh ca
cc bo co qu v bo co nm ca M a ra quy nh rt chi tit v cc thng
tin cn bo co. Cc thng tin ny khng ch bao gm cc thng tin ti chnh m
cn bao gm rt nhiu thng tin hot ng v qun l b ch nh Mc Gii trnh
v Phn tch ca Ban iu hnh.
Cn c quy nh hn ch cc NHTM nim yt cung cp cc thng tin ngu
hng v ty tin, c bit cng b thng tin khng qua ng chnh thng nhm
hn ch cc thng tin tha v ngoi lung. Cc thng tin kt qu ti chnh ngoi
thng tin qu v nm mun c cng b cng bt buc phi c sot xt.
85
Kt qu xp loi tn dng cc t chc ngn hng cng nn cng khai trn
cc phng tin truyn thng v kt qu ny nu do cc t chc xp loi tn dng
thc hin th cn c thm nh hai nm mt ln. Achentina gn y yu cu
cc ngn hng phi c xp loi bi cc c quan xp loi tn dng c lp.
Trong khi vn cn nhiu kin khc nhau v gi tr cc ch s nh gi xp loi
tn dng, nhng kt qu xp loi cc ngn hng do cc t chc quc t c lp
thc hin s khuyn khch qun tr tt v kim sot ri ro ni b nghim tc hn.
m bo cht lng thng tin ngn hng, chun b bo co ti chnh ph
hp vi Tiu chun K ton Quc t v theo mu bo co thng nht. Nh vy,
hiu qu ca cng khai thng tin cng c ci thin v to iu kin cho
cng chng c th so snh hot ng ca cc ngn hng vi nhau (trong nc v
vi cc nc khc).
Quy nh bo co nht thit phi chuyn sang ch PDF v quy nh
phng ch, c ch thng nht tng cng tnh chuyn nghip.
Nn quy nh bo co thng tin bng c ting Vit v ting Anh. iu ny
s gip to mt mi trng u t bnh ng v hp dn hn i vi nh u t
nc ngoi v c li cho bn thn tnh thanh khon c phiu ca tng NHTM.













86

KT LUN CHNG 3
Mc d hin nay Vit Nam mi ch ang ng dng Hip c Basel I
trong cng tc qun tr ri ro ngn hng, tuy nhin khi hi nhp WTO gia
nhp vo sn chi quc t, ph hp vi cc chun mc quc t v cng l
ci tin chnh hot ng qun tr ri ro ca h thng ngn hng Vit Nam,
th cn thit phi xem xt kh nng ng dng Basel II trong nhng nm sp
ti.
Cn c vo l trnh v kinh nghim cc nc G10 cng nh cc nc
khng thuc nhm G10 tng ng dng Basel II, tc gi mnh dn xy dng
l trnh, phng php v m hnh ng dng Basel II vo h thng qun tr
ri ro ca Vit Nam t nm 2010 n 2020. ng thi, a ra nhng gii
php i km nng cao kh nng p ng Basel II ca cc ngn hng Vit
Nam.
Theo , tc gi ch yu nhn mnh gii php han thin v pht trin h
tng cng ngh thng tin c c s xy dng h thng xp hng tn dng ni
b, tng bc ng dng phng php n gin ca Basel II trong nh gi ri
ro tn dng v phng php chun ha ca Basel II trong nh gi ri ro hot
ng. Bn cnh , tc gi cng rt quan tm n cc gii php nng cao cng
tc thanh tra, gim st ngn hng, v minh bch ha thng tin.










87
PHN KT LUN

Vn hin nay m h thng ngn hng Vit Nam gp phi cng ging
nh cc nn kinh t mi ni khc, chnh l s cha n nh v h thng
lut php cng nh hot ng ngn hng. Cn c rt nhiu bin ng mang
tnh cht thay i ton din nh hng n c h thng ngn hng. V vy,
trong giai on va qua, h thng ngn hng Vit Nam cha c iu kin
hon thin cc c s h tng ti chnh, h thng cng ngh thng tin cng
nh h thng vn bn php lut phc v nhu cu ng dng Hip c Basel
mi. Ngoi ra, s thiu ht ngun nhn lc cht lng cao lm vic trong
lnh vc ngn hng cng l mt trong nhng nguyn nhn gy kh khn cho
qu trnh vn dng nhng m hnh qun tr ri ro hin i vo hot ng
ca h thng ngn hng Vit Nam.
Thng qua ton b ni dung ti t chng I n chng III, t vic
phn tch tnh hnh hot ng ca h thng ngn hng n vic tm hiu
nhng kh khn m cc ngn hng c th gp phi trong qu trnh vn
dng theo chun mc ca hip c Basel, ti c gng ra l trnh ng
dng Basel II trong h thng qun tr ri ro ti cc NHTM Vit Nam v xut
mt s gii php c ngha trong vic nng cao hiu qu ng dng Basel ti
cc NHTM Vit Nam.
Hng pht trin ti sp ti l thc hin phn nghin cu nh lng
c th xy dng mt h thng qun tr ri ro tng thch vi iu kin
ca h thng ngn hng Vit Nam nhng vn m bo tun th ti a theo
chun mc quc t do y ban Basel a ra trong Hip c Basel II.








88
TI LIU THAM KHO

Ting Vit
1. Bo co thng nin ca Ngn hng nh nc Vit Nam nm 2005, 2006,
2007
2. Nguyn Hng Giang, Mt s kh khn trong vic thc hin Basel II i vi
cc nc ang pht trin, Tp ch Ngn hng s 12/2005
3. Khc Quang Huy (2007), Basel II S thng nht quc t v o lng v
cc tiu chun vn, Nh xut bn vn ha thng tin, H Ni.
4. Nguyn i Lai, Nhng ni dung c bn rt ra t cc bi vit trong
hi tho Nng cao nng lc qun tr ri ro ca cc NHTM Vit
Nam, www.sbv.gov.vn
5. Nguyn i Lai, Bnh lun v gii thiu khi qut 25 nguyn tc c bn
ca y ban Basel v Thanh tra Gim st ngn hng, www.sbv.gov.vn
6. Quyt nh 112/2006/Q TTg, n pht trin ngnh ngn hng Vit
Nam n 2010 v nh hng n 2020, ngy 24 thng 5 nm 2006
7. Quyt nh 03/2007/Q-NHNN, Sa i b sung quyt nh 457/2005/Q-
NHNN qui nh v t l m bo an ton trong hot ng ca TCTD, ngy
19 thng 1 nm 2007.
8. VietNamNet, Basel II s lm kh dng vn vo Vit Nam, Ngy 26/01/2005
9. Vneconomy, Nhng thch thc t Basel II vi ngnh Ngn hng,
Ngy 4/11/2004
10. Cc thng tin truy cp trn cc trang web: ngn hng Nh Nc, Kinh t Vit
Nam, u t ti chnh, ...






89
Ting Anh
11. Andrew Cornford (June 2005), The Global Implementation of Basel II:
Prospects and Outstanding Problems, Research Fellow, Financial Markets
Center.
12. Basel Committee on Banking Supervision (January 2001), Overview of the
New Basel Cappital Accord, Bank for international settlements.
13. Basel Committee on Banking Supervision (June 2004), International
Convergence of Capital Measurement and Capital Standards, Bank for
international settlements.
14. Basel Committee on Banking Supervision (July 2005), An Explanatory Note on
the Basel II IRB Risk Weight Functions, Bank for international settlements.
15. Basel Committee on Banking Supervision (July 2008), Proposed revisions to
the Basel II market risk framework, Bank for international settlements.
16. Banking and Financial Supervision (February 2003), Credit risk Factor
Modeling and the Basel II IRB Approach, Deutsche BundesBank.
17. Bryan J.Balin (10 May 2008), Basel I, Basel II, and Emerging Markets: A
Nontechnical Analysis.
18. Ricardo Gottschalk and Stephany Griffith Jones (December 2006), Review
of Basel II Implemetation in Low-Income Countries, Institute of
Development Studies University of Sussex.










90
PH LC 1
H S RI RO CA TI SN C RI RO THEO BASEL I



Khon mc H s ri ro
(a) Tin mt.
(b) Tin gi ti ngn hng nh nc v Chnh ph nc s
ti bng ng bn t.
(c) Cc khon phi i i vi Chnh ph Trung ng v ngn
hng trung ng ca cc nc thuc khi OECD.
(d) Cc khon phi i c bo m bi chng khon ca
Chnh Ph trung ng hoc bo lnh bi Chnh Ph trung
ng ca cc nc thuc OECD.
(a) Khon phi i i vi cc t chc thuc khu vc kinh t
cng trong nc, ngoi tr khon phi i ti t chc Chnh ph
trung ng v cc khon vay c bo lnh bng chnh t chc
ny.
0%, 10%, 20%, 50%
(tu mi quc gia)
(a) Cc khon phi i i vi cc ngn hng pht trin a
phng (IBRD, IADB, AsDB, AfDB, EIB) v cc khon phi i
c cc ngn hng ny bo lnh hoc c bo m bi
chng khon do cc ngn hng ny pht hnh.
(b) Cc khon phi i i vi cc ngn hng c thnh
lp ti cc nc thuc khi OECD v cc khon vay c bo
lnh bi cc ngn hng ny.
(c) Cc khon phi i i vi cc ngn hng c thnh
lp cc nc ngoi OECD vi thi hn cn li di 1 nm v
cc khon vay thi hn di mt nm c cc ngn hng ny
bo lnh.
(d) Cc khon phi i i vi t chc thuc khu vc cng ca
cc nc ngoi khi OECD, ngoi tr Chnh ph trung ng v
cc khon vay c bo lnh bi chnh cc t chc ny.
(e) Cc khon tin mt ang thu.
0%
20%


RWA
Basel I
= Ti sn * H s ri ro
91
Khon mc H s ri ro
(a) Cc khon vay c m bo hon ton bi ti sn th chp
hoc cc ti sn gn lin vi ti sn th chp
50%
(a) Cc khon phi i ti khu vc t nhn.
(b) Cc khon phi i i vi cc ngn hng c thnh
lp cc nc khng thuc khi OECD vi thi hn cn li t 1
nm tr ln.
(c) Cc khon phi i i vi chnh quyn trung ng ca
cc nc khng thuc khi OECD, tr trng hp cho vay
bng ng bn t v ngun gc cho vay cng bng ng bn
t ca cc nc .
(d) Cc khon phi i i vi cc cng ty thng mi s hu bi
khu vc cng.
(e) Nh ca, t ai, cy trng, cc trang thit b v cc ti
sn c nh khc.
(f) Bt ng sn v cc khon u t khc (bao gm phn vn
gp u t khng hp nht vo cc cng ty khc).
(g) Cng c vn pht hnh bi cc ngn hng khc (ngoi
tr khon gim tr t vn).
(h) Tt c ti sn khc.
100%

Ngun: International Convergence of Capital Measurement & Capital
Standards










92
PH LC 2:
25 NGUYN TC C BN CA BASEL I V GIM ST NGN HNG
Trong qu trnh hot ng, U ban xy dng v xut bn b 25
nguyn tc c bn Basel trong cng tc gim st ngn hng. Cc nguyn tc
ny c thit k cho cc chuyn gia gim st, nhm gim st khu vc v
th trng ni chung theo nguyn tc d p dng v kim chng. B nguyn
tc c bn bao hm mt s nhm ni dung ch yu sau:
Cc Nguyn tc thuc v iu kin tin quyt cho vic gim st
ngn hng hiu qu: c th hin bi nguyn tc 1. Nguyn tc ch
ra iu kin ca mt h thng gim st nghip v ngn hng c hiu
qu l: i) phi c mt khung php l ph hp; ii) phn nh mc tiu,
ngun lc v trch nhim r rng gia cc c quan gim st; iii) quy
nh v chia s v bo mt thng tin.
Cc nguyn tc v cp php v c cu: bao gm t nguyn tc 2 n
nguyn tc 5, vi cc ni dung chnh: i) xc nh r rng cc hot ng
t chc ti chnh c php lm v chu s gim st; ii) quyn a ra
cc tiu ch v bc b n xin thnh lp nu khng t yu cu ca c
quan cp php; iii) quyn r sot v t chi bt k mt xut no i
vi vic chuyn quyn s hu hoc quyn kim sot ngn hng hin ti
cho cc bn khc.
Cc nguyn tc v cc quy nh v yu cu thn trng: bao gm t
nguyn tc s 6 n s 15. Ni dung chnh ca nhm nguyn tc l a
ra cc chun mc m cc chuyn gia gim st nghip v ngn hng
c lm v nht thit phi bit x l trong hot ng ca mnh v d
nh: yu cu v an ton vn cho cc ngn hng, xc nh r nhng khu
vc no ca vn ngn hng chu ri ro; nh gi cc chnh sch, thc
tin hot ng, cc th tc cho vay vn, u t, vic kim sot vn vay
hin ti v h s u t ca ngn hng ; nh gi cht lng ti sn
v tnh thch hp ca cc iu khon chng tht thot v qu d tr tht
thot khon vay.
Cc nguyn tc v gim st nghip v ngn hng hin nay: bao
gm t nguyn tc s 16 n nguyn tc s 20. Nhm nguyn tc ny
quy nh yu cu i vi mt h thng gim st nghip v ngn hng
hiu qu bao gm c cc hnh thc gim st t xa v gim st ti ch.
93
C quan gim st cn thng xuyn lin h vi Ban gim c ngn
hng hiu r v hot ng ca ngn hng, xy dng phng php
phn tch bo co thng k v c bin php thm nh c lp thng tin
gim st thng qua kim tra ti ch.
Nguyn tc yu cu v thng tin: nguyn tc s 21 ch ra cn b gim
st phi bit chc mi ngn hng c h thng lu tr ti liu ph hp
cho php chuyn gia gim st c th tip cn v thy c tnh hnh ti
chnh thc t ca ngn hng.
Nguyn tc v quyn hn hp php ca chuyn gia gim st:
nguyn tc s 22 ch ra cc bin php gim st bt buc c th a
ra c hnh ng can thip kp thi khi ngn hng khng p ng
c nhng yu cu c bn (v d t l an ton vn ti thiu khng
m bo, nng lc qun tr iu hnh yu...). Trong trng hp khn
cp, hot ng can thip ny bao gm c vic thu hi giy php lp tc
hoc ngh thu hi giy php hot ng.
Cc nguyn tc v nghip v ngn hng xuyn bin gii: bao gm
t nguyn tc s 23 n nguyn tc s 25 vi ni dung hng dn
gim st i vi cc nghip v giao dch ngn hng quc t, yu cu
cc ngn hng nc ngoi hot ng theo ng cc tiu chun cao
bng tiu chun ca cc ngn hng trong nc v thit lp quan h v
h thng trao i thng tin vi cc chuyn gia gim st khc, c bit
l vi chuyn gia gim st ca nc s ti.










94
PH LC 3
H S RI RO CA CC TI SN C RI RO
TRONG PHNG PHP CHUN V NH GI RI RO TN DNG
THEO BASEL II



AAA n
AA-
A+ n A-
BBB+ n
BBB-
BB+ n
BB -
B+ n B - di B-
Khng
xp hng
i vi quc gia, NHTW 0% 20% 50% 100% 100% 150% 100%
i vi Ngn hng v cng ty bo him 20% 20% 50% 100% 100% 100% 150% 100%
i vi Ngn hng v cng ty bo him
(cho vay t 3 thng tr xung)
20% 20% 20% 50% 50% 150% 20%
i vi Doanh nghip 20% 50% 100% 100% 150% 150% 100%
i vi BIS, the IMF, the ECB, the
EC and the MDBs
0% 0%
i vi hng ha bn l nh th tn dng,
cng ty t nhn
100% 75%
i vi ti sn cm c 50% 35%
i vi cho vay bt ng sn 100% 100%
i vi ti sn c ri ro cao 150%
i vi ti sn khc 100%
i vi tin mt 0%
H s ri ro (RW)
i vi khon cho vay
BASEL I
BASEL II

Ngun: International Convergence of Capital Measurement & Capital
Standards p15-47











RWA
Phng php chun ca Basel II
= Ti sn * H s ri ro
95

PH LC 4
CCH XC NH T L VN CN THIT
D PHNG RI RO TN DNG (K)
TRONG CCH TNH CA PHNG PHP NI B (IRB)
V NH GI RI RO TN DNG THEO BASEL II



Trong :
EAD: Exposure at Default - tng d n ca khch hng ti thi im
khch hng khng tr c n.
K Capital required: t l vn cn thit d phng nhng trng
hp ri ro tn dng khng lng trc nhng li xy ra, c xc nh
thng qua PD (probability of default) xc sut v n, LGD (Loss
Given Default) t trng tn tht, M (effective maturity) k o hn
hiu dng.
Cc yu t xc nh K:
Th nht, PD - Xc sut v n, o lng kh nng xy ra ri ro tn dng
tng ng trong mt khong thi gian, thng l 01 nm. C s tnh PD l
cc s liu v cc khon n trong qu kh ca khch hng, gm cc khon n
tr, khon n trong hn v khon n khng thu hi c.
Theo yu cu ca Basel II, tnh ton c n trong vng mt nm ca
khch hng, ngn hng phi cn c vo s liu d n ca khch hng trong
vng t nht l 5 nm trc . Nhng d liu c phn theo 3 nhm sau:
Nhm d liu ti chnh lin quan n cc h s ti chnh ca khch hng
cng nh cc nh gi ca cc t chc xp hng
Nhm d liu nh tnh phi ti chnh lin quan n trnh qun l, kh
nng nghin cu v pht trin sn phm mi, cc d liu v kh nng
tng trng ca ngnh,
RWA
Phong php IRB ca Basel II
= 12.5 * EAD * K
96
Nhng d liu mang tnh cnh bo lin quan n cc hin tng bo
hiu kh nng khng tr c n cho ngn hng nh s d tin gi, hn
mc thu chi
T nhng d liu trn, ngn hng nhp vo mt m hnh nh sn, t
tnh c xc xut khng tr c n ca khch hng. c th l m hnh
tuyn tnh, m hnh probit v thng c xy dng bi cc t chc t vn
chuyn nghip.
Th hai, LGD T trng tn tht c tnh y l t trng phn vn b
tn tht trn tng d n ti thi im khch hng khng tr c n. LGD
khng ch bao gm tn tht v khon vay m cn bao gm cc tn tht khc
pht sinh khi khch hng khng tr c n, l li sut n hn nhng
khng c thanh ton v cc chi ph hnh chnh c th pht sinh nh: chi ph
x l ti sn th chp, cc chi ph cho dch v php l v mt s chi ph lin
quan.
Trong phng php IRB c bn:
Cc khon phi i chnh i vi cc cng ty, c quan chnh ph v cc
ngn hng khng c ti sn m bo: LGD l 45%,
Cc khon phi i ph i vi cc t chc trn: LGD l 75%.
Cc khon phi i c ti sn m bo l khon phi thu, bt ng sn
thng mi (CRE) v bt ng sn c tr (RRE) v cc ti sn m bo
khc: vn dng nh phng php chun vi cc gi tr LGD ti thiu
m t trong bng di y.
Gi tr LGD ti thiu i vi t trng m bo ca cc hot ng chnh
Loi ti sn m bo
LGD ti
thiu
Mc m bo ti
thiu yu cu i vi
hot ng
Mc m bo yu
cu vt qu i vi
LGD y
Ti sn ti chnh tiu chun 0% 0% Cha quy nh
Khon phi thu 35% 0% 125%
CRE/RRE 35% 30% 140%
Khon cm c khc 40% 30% 140%

Ngun: International Convergence of Capital Measurement & Capital
Standards
Trong phng php IRB nng cao
LGD c th tnh ton theo cng thc sau y:
97
EAD - S tin c th thu hi
EAD
LGD =

Trong , s tin c th thu hi bao gm cc khon tin m khch hng tr
v cc khon tin thu c t x l ti sn th chp, cm c.
Theo thng k ca y ban Basel, t l thu hi vn thng mang gi tr rt
cao (70% - 80%) hoc rt thp (20 - 30%). Do , chng ta khng nn s
dng t l thu hi vn bnh qun.
Theo nghin cu ca y ban Basel, hai yu t gi vai tr quan trng nht
quyt nh kh nng thu hi vn ca ngn hng khi khch hng khng tr
c n l ti sn bo m ca khon vay v c cu ti sn ca khch hng.
C cu ti sn ca khch hng c nhc n y vi ngha th t u tin
tr n khc nhau ca cc khon phi tr trong trng hp doanh nghip phi
ph sn. Trn thc t, khi mt doanh nghip ph sn, t l thu hi vn t cc
khon vay ca ngn hng thng cao hn t l thu hi vn t tri phiu bi
ngn hng c quyn c u tin tr n trc cc nh u t tri phiu. Bn
cnh , khi kinh t trong tnh trng suy thoi, t l thu hi vn cng st gim.
Ngnh ngh kinh doanh cng nh hng nht nh n t l thu hi vn: cc
khch hng hot ng trong lnh vc cng nghip nng thng cho t l thu
hi vn cao hn cc khch hng kinh doanh trong lnh vc dch v.
K o hn hiu dng (M effective maturity)
Trong phng php IRB c bn: M s l 2.5 nm tr cc giao dch repo vi
M ch l 6 thng.
Trong phng php IRB nng cao: M cn c tnh ton cho tng cng c
theo cng thc sau, tuy nhin, M khng c ln hn 5 nm.
*
t
t
t
t
t C F
M
C F
=

vi CF
t
biu th cc dng tin (gc, li v ph) c kh nng thanh ton theo
hp ng ca ngi i vay trong k hn t.
Nu ngn hng khng tnh c M theo cng thc trn th s s dng
cch c in khi tnh M, l M bng vi thi gian o hn ti a cn li
(theo nm) m ngi vay chp nhn thanh ton ton b theo ngha v hp
ng vay (gc, li v ph). Thng thng, chnh l thi gian o hn danh
ngha ca khon vay.
98
Cng thc chung tnh K:
K = UL * f(M)
iu chnh k o hn f(M) c xc nh bng cng thc
1 ( 2.5) *
( )
1 1.5*
M b
f M
b
+
=

2
(0.11852 0.05478*ln( )) b PD =
MI QUAN H GIA b V PD
0.137
0.111
0.096
0.087
0.080
0.074
0.070
0.066
0.063
0.060
-
0.05
0.10
0.15
0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
PD
b

Tn tht khng lng trc c (UL) Unexpected Loss c xc
nh:
UL = VaR EL

Ngun: An Explanatory Note on the Basel II IRB Risk Weight Functions p7

EL Expected Loss: tn tht tn dng c th lng trc c: EL = PD*LGD
VaR Value at Risk: tng tn tht tn dng: VaR = LGD * f(R,PD)
99


f(R, PD): hm s c xc nh qua h s tng quan (R) v xc sut v n
(PD).
1
( , ) * ( ) * (0.999)
1 1
R
f R PD NORMSDIST NORMSINV PD NORMSINV
R R
(
= +
(



Trong : H s tng quan (R) c tnh nh sau:
i vi khon cho vay c ti sn m bo bng bt ng sn: R = 0.15
i vi khon cho vay bn l c cht lng nh cho vay th tn dng: R =
0.04
i vi khon cho vay doanh nghip, ngn hng, v cc quc gia:
12%* 24%* R = +
V
50
50
1
1

=
e
e
PD

MI QUAN H GIA R V PD
19.28%
16.41%
14.68%
13.62%
12.99%
12.60% 12.36% 12.22% 12.13% 12.08%
24.00%
0%
10%
20%
30%
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1PD
R

i vi khon cho vay doanh nghip c quy m nh, trung bnh t 5 50
triu EUR:
)
45
5
1 ( * 04 , 0 ) 1 ( * % 24 * % 12

+ =
S
R

V
50
50
1
1

=
e
e
PD

S: doanh thu hng nm tnh bng triu EUR, 5 triu EUR S 50 triu EUR

i vi khon cho vay bn l khc:
K = LGD *[ f(R,PD) PD) ] * f(M)
100
3%* 16%*(1 ) R = +

V
35
35
1
1
PD
e
e

101

PH LC 5
CNG THC TNH TI SN C RI RO (RWA)
TRONG PHNG PHP NI B V NH GI RI RO TN DNG
Cng thc tnh RWA i vi tng trng hp c th nh sau:
a. Trng hp cho Doanh nghip, ngn hng v cc nc vay:
H s tng quan
50 50
50 50
1 1
( ) 12%* 24%*(1 )
1 1
PD PD
e e
R
e e



= +


iu chnh k o hn
2
2
1 ( 2.5) *(0.11852 0.05478*ln( ))
( )
1 1.5*(0.11852 0.05478*ln( ))
M PD
f M
PD
+
=


T l vn yu cu
1
* * ( ) * (0.999) * * ( )
1 1
R
K LGD NORMSDIST NORMSINV PD NORMSINV PD LGD f M
R R
| | (
= +
|
(
\
Ti sn c ri ro (RWA) = 12.5 * K * EAD
b. Trng hp cho Doanh nghip va v nh vay:
H s tng quan
50 50
50 50
1 1 5
( ) 12%* 24%*(1 ) 0.4*(1 )
1 1 45
PD PD
e e S
R
e e



= +


f(M), K, RWA tng t nh trng hp (a)
c. Trng hp cho vay th chp bng bt ng sn:
H s tng quan (R) = 0.15
T l vn yu cu
1
* * ( ) * (0.999) *
1 1
R
K LGD NORMSDIST NORMSINV PD NORMSINV PD LGD
R R
(
= +
(

Ti sn c ri ro (RWA) = 12.5 * K * EAD
d. i vi khon cho vay bn l c cht lng nh cho vay th tn dng:
H s tng quan (R) = 0.04
K, RWA tng t nh trng hp (c)
e. i vi khon cho vay bn l khc:
H s tng quan
35 35
35 35
1 1
( ) 3%* 16%*(1 )
1 1
PD PD
e e
R
e e



= +


K, RWA tng t nh trng hp (c)
102
PH LC 6
V D V CCH XC NH VN YU CU
I VI RI RO HOT NG THEO BASEL II
TRONG PHNG PHP C BN & PHNG PHP CHUN
Phng php ch s c bn BIA
Cng thc tnh h s vn nh sau
3
1
*
n
n
B I A
G I
K
n

=
=

, vi iu kin GI
n
>0
K
BIA
: vn yu cu phi d phng cho ri ro hot ng tnh theo phng php
BIA
GI: thu nhp hng nm (> 0) ca 3 nm trc
n: s nm c thu nhp hng nm >0
= 15%
V d 1: Ngn hng A c thu nhp 3 nm 2006 - 2008 l 120, 20, 250. Vn yu
cu i vi ri ro hot ng nm 2009 l 19,5. C th nh sau:
Nm Thu nhp hng nm (GI)
2006 120
2007 20
2008 250
Tng thu nhp dng ca 3 nm 390
Bnh qun thu nhp 3 nm 130
Alpha () 15%
Vn yu cu i vi ri ro hot ng 19,5




103
V d 2: Ngn hng A c thu nhp 3 nm 2006 - 2008 l -120, 20, 250. Vn yu
cu i vi ri ro hot ng nm 2009 l 20,25. C th nh sau:
Nm
Thu nhp hng nm
(GI)
2006 -120
2007 20
2008 250
Tng thu nhp dng ca 2 nm 270
Bnh qun thu nhp 2 nm 135
Alpha () 15%
Vn yu cu i vi ri ro hot ng 20,25

Phng php chun TSA
Cng thc tnh h s vn nh sau
8
1 3
1
m a x * , 0
3
n a m i i
i
T S A
G I
K

=
| |
|
\
=


Trong
K
TSA
l vn yu cu phi d phng cho ri ro hot ng tnh theo phng
php chun
GI

thu nhp hng nm i vi tng nhm nghip v trong s 8 nhm.





104
V d:
Phng php
ch s c bn (BIA)
Phng php chun
(TSA)
Thu nhp hng nm
(GI)
Thu nhp hng nm
(GI) * Beta
Nghip v
Nm 1 Nm 2 Nm 3
H s
beta ( )
Nm 1 Nm 2 Nm 3
Ti tr doanh nghip $20 $30 $40 18% $3.6 $5.4 $7.2
Giao dch v bn hng $20 $30 $40 18% $3.6 $5.4 $7.2
Ngn hng bn l $20 $30 $40 12% $2.4 $3.6 $4.8
Nghip v NHTM $20 $30 $40 15% $3.0 $4.5 $6.0
Dch v thanh ton $20 $30 $40 18% $3.6 $5.4 $7.2
Dch v i l $20 -$1,000 $40 15% $3.0
-
$150.0
$6.0
Qun tr ti sn $20 $30 $40 12% $2.4 $3.6 $4.8
Mi gii $20 $30 $40 12% $2.4 $3.6 $4.8
Tng cng $160 -$790 $320 $24
-
$118.5
$48
Thu nhp > 0 $160 $320 $24 $48

Bnh qun 2 nm
thu nhp >0
$240
Alpha 15%
Bnh qun 3 nm $24
Vn yu cu $36 $24






105
PH LC 7
VN YU CU I VI RI RO TH TRNG THEO BASEL II

Vn yu cu i vi ri ro th trng: Vn t c theo quy nh ca
Basle I bao gm vn c phn v li nhun gi li (vn cp 1) & vn b
sung vn c bn (vn cp 2). Tuy nhin, quy nh ca Basel II khi nh gi
ri ro th trng cho php cc ngn hng tnh thm phn vn cp 3 (tier 3)
gm cc khon n ph thuc ngn hn vi mc ch d tr.
Theo , cc ngn hng ch c s dng vn cp 3 i ph vi ri
ro th trng, cn cc loi ri ro tn dng v ri ro gy ra t pha i tc
ch c xem xt trong phm vi vn t c theo quy nh ca Basle I.
Vn cp 3 b gii hn 250% vn cp 1 dng i ph vi ri ro th
trng. C ngha l c th ch c 28.5% ri ro th trng cn vn cp 1 m
bo. Nu c vn cp 2 bo m cho ri ro th trng, vn cp 3 cng b chi
phi theo t l gii hn 250% vn cp 2.
Cc khon n ph thuc ngn hn ch c xp vo nhm vn cp 3 (tier
3) khi t nht phi tha mn cc iu kin nh sau: khng cn m bo, l
khon n ph thuc v c ngha v hon tr y , thi gian o hn ban u
ti thiu l 2 nm, khng phi hon tr trc thi gian o hn tho thun, c
iu khon lock-in clause (kha s trng hp c bit) ngha l khng
phi tr c gc v li thm ch n khi o hn trong trng hp ngn hng
cha t c mc vn yu cu ti thiu.









106
PH LC 8
VN IU L CA CC NHTM C PHN

n ht nm 2008 c 15 NHTM c phn c vn iu l t 2.000 t
ng tr ln

2006 2007 2008 2008 so 2006
1 Vietcombank 4,370 15,000 15,000 343%
2 Vietinbank 3,505 3,616 13,400 382%
3 ACB 1,100 2,630 5,806 528%
4 Sacombank 2,089 4,449 5,116 245%
5 Eximbank 1,212 2,800 4,229 349%
6 Lin Vit 3,300
7 Techcombank 1,500 2,524 3,165 211%
8 Seabank 1,000 2,000 3,000 300%
9 An Bnh 1,131 2,300 2,706 239%
10 Qun i 1,045 2,000 2,363 226%
11 SCB 600 1,970 2,180 363%
12 Phng Nam 1,291 1,434 2,027 157%
13 SHB 500 2,000 2,000 400%
14 Habubank 1,000 2,000 2,000 200%
15 VIBank 1,000 2,000 2,000 200%
Vn iu l (t ng)
STT Ngn hng

(Ngun: S liu da trn Bng cn i k ton trong bo co ti chnh ca
cc NHTM)






107
PH LC 9
TH PHN HUY NG VN V CHO VAY
CA H THNG CC NGN HNG

T trng huy ng vn ca cc ngn hng
nm 2007
58.1%
33.1%
8.8%
NHTM Nh
Nc
NHTM CP
NH Lin doanh
& Chi nhnh NN
Nc ngai

T trng cho vay ca cc ngn hng
nm 2007
57.1%
33.9%
9.0%
NHTM Nh
Nc
NHTM CP
NH Lin doanh
& Chi nhnh
NN Nc ngai

T trng huy ng vn ca cc ngn hng
nm 2006
68.9%
23.0%
8.1%
NHTM Nh
Nc
NHTM CP
NH Lin doanh &
Chi nhnh NN
Nc ngai

T trng cho vay ca cc ngn hng
nm 2006
67.0%
23.7%
9.3%
NHTM Nh
Nc
NHTM CP
NH Lin doanh
& Chi nhnh NN
Nc ngai













108
PH LC 10
TC TNG HUY NG VN V CHO VAY
CA MT S CC NGN HNG

2007 so 2006 2007 so 2006
1 Agribank 160,397 233,638 46% 181,252 246,188 36%
2 Vietcombank 111,916 141,589 27% 66,251 95,430 44%
3 BIDV 106,496 135,336 27% 93,453 125,596 34%
4 Vietinbank 84,387 99,683 18% 74,632 80,152 7%
5 ACB 23,395 55,283 136% 17,365 31,974 84%
6 Sacombank 21,514 54,791 155% 14,539 34,317 136%
7 Techcombank 9,566 24,477 156% 8,811 19,958 127%
8 Eximbank 13,142 22,914 74% 10,207 18,407 80%
9 SCB 7,743 22,753 194% 8,207 19,478 137%
10 MB 23,136 11,612
11 Habubank 9,735 19,970 105% 5,983 9,419 57%
12 VIB 9,814 17,686 80% 9,111 16,661 83%
13 EAB 9,271 14,373 55% 7,957 17,745 123%
14 Navibank 550 6,140 1016% 353 4,357 1134%
STT Ngn hng
Tng huy ng (t ng) Tng cho vay (t ng)
2006
2007
2006
2007

Ngun: S liu da trn Bng cn i k ton trong bo co ti chnh ca cc
NHTM)








109
PH LC 11
VN TC THEO QUY NH 457/2005/Q NHNN

Vn t c bao gm vn cp 1, vn cp 2 v cc khon phi loi tr khi
vn t c (Ph lc )
- Vn cp 1 v c bn gm (i) vn iu l, (ii) li nhun khng chia v
(iii) cc qu d tr c lp trn c s trch lp t li nhun ca t
chc tn dng nh qu d tr b sung vn iu l, qu d phng ti
chnh v qu u t pht trin. Theo Quyt nh 457, vn cp 1 c
dng xc nh gii hn mua, u t vo ti sn c nh ca t chc
tn dng (theo quy nh hin hnh khng qu 50%).
- Vn cp 2 v c bn bao gm (i) phn gi tr tng thm do nh gi li
ti sn ca t chc tn dng (bao gm 50% gi tr tng thm i vi ti
sn c nh v 40% gi tr tng thm i vi cc loi chng khon u
t), (ii) ngun vn gia tng hoc b sung t bn ngoi (bao gm tri
phiu chuyn i, c phiu u i v mt s cng c n th cp nht
nh) v (iii) d phng chung cho ri ro tn dng (ti a bng 1,25%
tng ti sn C ri ro). Tuy nhin, Quyt nh 457 a ra mt s hn
ch v vn cp 2. Ngoi mt s iu kin khc, tng gi tr vn cp 2
ti a bng 100% tng gi tr vn cp 1 v tng gi tr tri phiu chuyn
i, c phiu u i v cc cng c n khc ti a bng 50% vn cp 1.
- Cc t chc tn dng phi tr khi vn t c ca mnh (i) ton b phn
gi tr gim i ca cc ti sn c nh hay chng khon u t do nh
gi li, (ii) tng s vn gp hoc c phn trong t chc tn dng khc,
(iii) phn gp vn, lin doanh, mua c phn ca qu u t, doanh
nghip vt mc 15% vn t c, v (iv) l kinh doanh k c cc khon
l ly k.





110
PH LC 12
V D IN HNH CCH XC NH
CH S AN TAN VN TI THIU (CAR) TI EXIMBANK

STT Ch tiu 12-2007 12/2008 04/2009
I Vn t c 5,764,335 12,874,788 12,805,851
1 Vn cp 1 5,815,881 12,839,961 12,779,161
2 Vn cp 2 45,000 165,000 165,000
3 Cc khon phi tr khi vn t c 96,546 130,173 138,310
II Tng ti sn "C" ri ro 21,351,560 28,055,382 34,762,808
1
Gi tr ti sn "C" ri ro ca cc cam kt ngoi
bng
675,611 582,213 1,217,715
2 Gi tr ti sn "C" ri ro ni bng 20,675,949 27,473,169 33,545,093
III T l an ton vn ti thiu (%) 27.00 45.89 36.84


111
BAO CAO TY LE AN TOAN VON TOI THIEU
Ngay 29/04/2009
(Theo Quyet nh 457/2005/Q-NHNN ngay 19.04.2005)
VT: Trieu o ng
Muc I. Von tu co Ty le So tie n
1. Von tu co cua EXIMBANK 12,805,850.57
1.1. Von cap 1 12,779,160.62
a. Von dieu le (von da duoc cap, von da gop) 100 7,219,999.34
b. Quy du tru bo sung von dieu le 100 72,700.53
c. Thang du von co phan 100 5,291,552.06
d. Quy du phong tai chinh 100 136,722.77
. Quy dau tu phat trien nghiep vu 100 325.65
e. Loi nhuan khong chia 100 57,860.27
1.2. Von cap 2 164,999.97
a. 50% phan gia tri tang them cua tai san co dinh duoc dinh gia
lai theo quy dinh cua phap luat
50
b. 40% phan gia tri tang them cua cac loai chung khoan dau tu
(ke ca co phieu dau tu, von gop) duoc dinh gia lai theo quy dinh
cua phap luat
40
c. Trai phieu chuyen doi hoac co phieu uu dai do TCTD phat
hanh
100
d. Cac cong cu no khac 100
dd. Du phong chung 100 164,999.97
2. Cac khoan phai tru khoi von tu co 0 138,310.02
2.1. Toan bo phan gia tri giam di cua TSCD do dinh gia lai theo
quy dinh cua phap luat
0
2.2. Toan bo phan gia tri giam di cua cac loai chung khoan dau tu
(ke ca co phieu dau tu, von gop) duoc dinh gia lai theo quy dinh
cua phap luat
0
2.3. Gop von mua co phan 0 138,310.02
a. Tong so von cua EIB dau tu vao TCTD khac duoi hinh thuc
gop von, mua co phan
0 138,310.02
b. Tong cac khoan dau tu cua EIB gop von mua co phan nham
nam quyen kiem soat vao cac DN bao hiem, chung khoan
0
2.4. Phan vuot muc von tu co cua Eximbank 0 0.00
a. Phan vuot muc 15% von tu co cua EIB doi voi cac khoan gop
von, mua CP vao mot DN, Quy dau tu, Du an dau tu
0
b. Phan vuot muc 40% von tu co cua EIB doi voi cac khoan gop
von, mua CP vao mot DN, Quy dau tu, Du an dau tu ngoai tru
phan vuot muc 15% neu tren
0
2.5. Khoan lo kinh doanh, bao gom ca cac khoan lo luy ke 0


112
VT: Trieu o ng
Muc II. Ty le an toan von toi thieu
HS chuyen
o i
HS rui ro Gia tr so sa ch
Gia tr ta i sa n co
ru i ro noi bang
tng ng
A. Tai san "Co" rui ro cac cac cam ket ngoai bang 7,555,798.22 1,217,715
1. Cac cam ket bao lanh, tai tro cho khach hang 4,403,665.56 1,154,672
1.1. He so chuyen doi 100% 411,269.80 356,780
a. Bao lanh vay 0.00 0
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 100 0 0
ii. Bao dam bang BDS cua ben vay 100 50 0
iii. Bao dam bang tai san khac 100 100 0
b. Bao lanh thanh toan 411,269.80 356,780
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 100 0 31,089.14 0
ii. Bao dam bang BDS cua ben vay 100 50 46,800.96 23,400
iii. Bao dam bang tai san khac 100 100 333,379.70 333,380
c. Cac khoan khac 0.00 0
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 100 0 0
ii. Bao dam bang BDS cua ben vay 100 50 0
iii. Bao dam bang tai san khac 100 100 0
1.2. He so chuyen doi 50% 477,148.12 191,101
a. Bao lanh thuc hien hop dong 169,407.27 69,967
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 50 0 26,057.41 0
ii. Bao dam bang BDS cua ben vay 50 50 6,831.17 1,708
iii. Bao dam bang tai san khac 50 100 136,518.69 68,259
b. Bao lanh du thau 75,577.99 22,957
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 50 0 29,527.12 0
ii. Bao dam bang BDS cua ben vay 50 50 272.00 68
iii. Bao dam bang tai san khac 50 100 45,778.87 22,889
c. Bao lanh khac 156,580.86 60,386
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 50 0 27,511.10 0
ii. Bao dam bang BDS cua ben vay 50 50 16,596.27 4,149
iii. Bao dam bang tai san khac 50 100 112,473.49 56,237
d. Thu tin dung du phong ngoai thu tin dung quy dinh tai diem
1.1.c
75,582.00 37,791
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 50 0 0.00 0
ii. Bao dam bang BDS cua ben vay 50 50 0.00 0
iii. Bao dam bang tai san khac 50 100 75,582.00 37,791
dd. Cac cam ket khac co thoi han ban dau tu 1 nam tro len 0.00 0
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 50 0 0
ii. Bao dam bang BDS cua ben vay 50 50 0
iii. Bao dam bang tai san khac 50 100 0



113
VT: Trieu ong
Muc II. Ty le an toan von toi thieu
HS chuye n
oi
HS ru i ro Gia tr so sach
Gia tr tai san co
ru i ro noi bang
tng ng
1.3. He so chuyen doi 20% 3,515,247.64 606,791
a. Thu tin dung khong huy ngang 3,142,589.11 539,996
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 20 0 442,611.20 0
ii. Bao dam bang BDS cua ben vay 20 50 0.00 0
iii. Bao dam bang tai san khac 20 100 2,699,977.91 539,996
b. Chap nhan thanh toan hoi phieu thuong mai ngan han, co bao
dam bang hang hoa
0.00 0
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 20 0 0
ii. Bao dam bang BDS cua ben vay 20 50 0
iii. Bao dam bang tai san khac 20 100 0
c. Bao lanh giao hang 0
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 20 0 0
ii. Bao dam bang BDS cua ben vay 20 50 0
iii. Bao dam bang tai san khac 20 100 0
d. Cac cam ket khac lien quan den thuong mai 372,658.53 66,795
i. Bao dam hoan toan bang tien mat, STK, tien ky quy 20 0 38,682.85 0
ii. Bao dam bang BDS cua ben vay 20 50 0.00 0
iii. Bao dam bang tai san khac 20 100 333,975.68 66,795
1.4. He so chuyen doi 0% 0
a. Thu tin dung co the huy ngang 0 0
b. Cac cam ket co the huy ngang vo dieu kien, co thoi han ban
dau duoi 1 nam
0 0
2. Cac hop dong giao dich lai suat va hop dong giao dich ngoai
te
3,152,132.66 63,043
2.1. He so chuyen doi 0
2.1.1. Hop dong giao dich lai suat 0.00 0
a. Co ky han ban dau duoi 1 nam 0.5 100 0
b. Co ky han ban dau tu 1 nam den duoi 2 nam 1 100 0
c. Co ky han ban dau tu 2 nam tro len 2 100 0
2.1.2. Hop dong giao dich ngoai te 3,152,132.66 63,043
a. Co ky han ban dau duoi 1 nam 2 100 3,152,132.66 63,043
b. Co ky han ban dau tu 1 nam den duoi 2 nam 5 100 0.00 0
c. Co ky han ban dau tu 2 nam tro len 8 100 0
B. Tai san "Co" duoc phan mhom theo cac muc do rui ro nhu
sau
51,562,529.33 33,545,093
1. Nhom tai san "Co" co he so rui ro 0% 6,365,346.26 0
a. Tien mat 100 0 804,168.60 0
b. Vang 100 0 849,815.93 0
c. Tien gui bang VND cua cac TCTD NN da duy tri tai NH chinh
sach XH theo ND so 78/2002/ND-CP ngay 4/10/2002 cua CP ve
tin dung doi voi nguoi ngheo va cac doi tuong chinh sach khac
100 0 0.00 0
d. Cac khoan cho vay bang von tai tro, uy thac dau tu theo cac
hop dong uy thac trong do TCTD chi huong phi uy thac va khong
chiu rui ro
100 0 0.00 0
dd. Cac khoan phai doi bang VND doi voi Chinh phu Viet Nam,
Ngan hang Nha nuoc Viet Nam
100 0 4,685,959.25 0
e. Cac khoan chiet khau, tai chiet khau giay to co gia do chinh
TCTD phat hanh
100 0 25,402.48 0
g. Cac khoan phai doi bang VND duoc bao dam bang giay to co
gia do chinh TCTD phat hanh; Cac khoan phai doi duoc bao dam
hoan toan bang tien mat, so tiet kiem, tien ky quy, giay to co gia
do CP, NHNNVN phat hanh
100 0 0.00 0
h. Cac khoan phai doi doi voi Chinh Phu Trung uong, Ngan hang
Trung uong cac nuoc thuoc khoi OECD
100 0 0.00 0
i. Cac khoan phai doi duoc bao dam bang chung khoan cua CP
TW cac nuoc thuoc khoi OECD hoac duoc bao lanh boi CP TW
cac nuoc thuoc khoi OECD
100 0 0.00 0
114
VT: Trieu ong
Muc II. Ty le an toan von toi thieu
HS chuyen
oi
HS rui ro Gia tr so sach
Gia tr tai sa n co
ru i ro no i ba ng
tng ng
3. Nhom tai san "Co" co he so rui ro 50% 12,102.00 6,051
a. Cac khoan dau tu cho du an theo hop dong, quy dinh tai Nghi
dinh so 79/2002/ND-CP ngay 25/10/2002 cua Chinh phu ve to
chuc va hoat dong cua cong ty tai chinh
100 50 0.00 0
b. Cac khoan phai doi co bao dam bang Bat dong san cua ben vay 100 50 12,102.00 6,051
4. Nhom tai san "Co" co he so rui ro 100% 28,360,378.03 28,360,378
a. Cac khoan cap von dieu le cho cac Cty truc thuoc khong phai
la TCTD, co tu cach phap nhan, hach toan doc lap
100 100 0.00 0
b. Cac khoan dau tu duoi hinh thuc gop von, mua co phan vao cac
doanh nghiep, to chuc kinh te khac
100 100 0.00 0
c. Cac khoan phai doi doi voi cac NH duoc thanh lap o cac nuoc
khong thuoc khoi OECD, co thoi han con lai tu 1 nam tro len
100 100 0.00 0
d. Cac khoan phai doi doi voi chinh quyen trung uong cua cac
nuoc khong thuoc khoi OECD, tru truong hop cho vay bang dong
ban te va nguon cho vay cung bang dong ban te cua cac nuoc do
100 100 0.00 0
dd. Bat dong san, may moc, thiet bi va tai san co dinh khac 100 100 890,773.91 890,774
e. Cac khoan phai doi khac. 100 100 27,469,604.12 27,469,604
5. Nhom tai san "Co" co he so rui ro 150% 730,511.27 1,095,767
a. Cac khoan cho vay cac doanh nghiep ma Eximbank nam
quyen kiem soat
100 150 0.00 0
b. Cac khoan gop von, mua co phan vao cac doanh nghiep, quy
dau tu, du an dau tu, tru phan da duoc tru khoi von tu co cua EIB
theo qui dinh tai diem 4 Khoan 3 Dieu 3 QD 457/2005/QD-
NHNN
100 150 730,511.27 1,095,767
6. Nhom tai san "Co" co he so rui ro 250% 375,677.54 939,194
a. Cac khoan cho vay de dau tu vao chung khoan 100 250 347,851.54 869,629
b. Cac khoan cho vay cac cong ty chung khoan voi muc dich kinh
doanh, mua ban chung khoan
100 250 27,826.00 69,565
TONG TAI SAN CO RUI RO 34,762,808
VON TU CO 12,805,851
TY LE AN TOAN VON TOI THIEU (%) 36.84
Nh vay t le an toan von toi thieu van am bao so vi qui nh la 8%



115
PH LC 13
QUY NH IU 7 TI QUYT NH 493/2005/Q NHNN
NGY 22/04/2005 V VIC PHN LOI N, TRCH LP
V S DNG D PHNG X L RI RO TN DNG TI TCTD.
iu 7.
T chc tn dng c kh nng v iu kin thc hin phn loi n theo phng
php nh tnh th xy dng chnh sch phn loi n v trch lp d phng ri ro nh sau:
1- Cn c trn H thng xp hng tn dng ni b, t chc tn dng trnh Ngn hng
Nh nc chnh sch d phng ri ro v ch c thc hin sau khi Ngn hng Nh nc
chp thun bng vn bn.
2- iu kin Ngn hng Nh nc chp thun chnh sch d phng ri ro:
a) H thng xp hng tn dng c p dng th nghim ti thiu mt (01) nm;
b) Kt qu xp hng tn dng c Hi ng qun tr ph duyt;
c) H thng xp hng tn dng ni b ph hp vi hot ng kinh doanh, i tng
khch hng, tnh cht ri ro ca khon n ca t chc tn dng;
d) Chnh sch qun l ri ro tn dng, m hnh gim st ri ro tn dng, phng php
xc nh v o lng ri ro tn dng c hiu qu, trong bao gm cch thc nh gi v
kh nng tr n ca khch hng, hp ng tn dng, cc ti sn bo m, kh nng thu hi
n v qun l n ca t chc tn dng;
) Phn nh r rng trch nhim, quyn hn ca Hi ng qun tr, Tng gim c
trong vic ph duyt, thc hin v kim tra thc hin H thng xp hng tn dng v chnh
sch d phng ca t chc tn dng v tnh c lp ca cc b phn qun l ri ro;
e) H thng thng tin c hiu qu a ra cc quyt nh, iu hnh v qun l i
vi hot ng kinh doanh ca t chc tn dng v thch hp vi H thng xp hng tn dng
v phn loi n.
3- H s ca t chc tn dng ngh Ngn hng Nh nc (V Cc Ngn hng v
t chc tn dng phi ngn hng) chp thun chnh sch d phng ri ro gm:
a) Vn bn ca Ch tch Hi ng qun tr ngh Ngn hng Nh nc chp thun
chnh sch d phng ri ro, trong phi gii trnh c H thng xp hng tn dng v
chnh sch d phng ca t chc tn dng p ng cc iu kin c quy nh ti cc
Khon 2 iu ny.
116
b) Bn sao H thng xp hng tn dng ni b v chnh sch d phng ri ro v cc
d tho vn bn hng dn thc hin phn loi n v trch lp d phng ri ro ca t chc
tn dng.
4- Trong thi gian ba mi (30) ngy k t ngy nhn h s theo quy nh ti
Khon 3 iu ny, Ngn hng Nh nc c vn bn chp thun chnh sch d phng ri ro
ca t chc tn dng. Trng hp khng chp thun, Ngn hng Nh nc c vn bn yu
cu t chc tn dng chnh sa theo quy nh.
5- Hng nm, t chc tn dng phi nh gi li H thng xp hng tn dng ni b
v chnh sch d phng ri ro cho ph hp vi tnh hnh thc t v cc quy nh ca php
lut. Vic thay i, iu chnh chnh sch d phng ri ro ca t chc tn dng phi c
Ngn hng Nh nc chp thun bng vn bn.
6- T chc tn dng c chnh sch d phng ri ro c Ngn hng Nh nc chp
thun quy nh ti Khon 1, iu ny thc hin phn loi n v trch lp d phng c th
nh sau:
6.1- Phn loi n :
a) Nhm 1(N tiu chun) bao gm: Cc khon n c t chc tn dng nh gi
l c kh nng thu hi y c n gc v li ng hn.
b) Nhm 2 (N cn ch ) bao gm: Cc khon n c t chc tn dng nh gi l
c kh nng thu hi y c n gc v li nhng c du hiu khch hng suy gim kh
nng tr n.
c) Nhm 3 (N di tiu chun) bao gm: Cc khon n c t chc tn dng nh
gi l khng c kh nng thu hi n gc v li khi n hn. Cc khon n ny c t chc
tn dng nh gi l c kh nng tn tht mt phn n gc v li.
d) Nhm 4 (N nghi ng) bao gm: Cc khon n c t chc tn dng nh gi l
kh nng tn tht cao.
) Nhm 5 (N c kh nng mt vn) bao gm: Cc khon n c t chc tn dng
nh gi l khng cn kh nng thu hi, mt vn.
6.2- T l trch lp d phng c th i vi cc nhm n quy nh ti Khon 6.1 iu
ny nh sau :
a) Nhm 1: 0% b) Nhm 2: 5%
c) Nhm 3: 20% d) Nhm 4: 50%
) Nhm 5: 100%