A.

Li m u
Ngn hng l mt t chc ti chnh quan trng nht ca nn
kinh t. Ngn hng bao gm nhiu loi tu thuc vo s pht trin
ca nn kinh t ni chung v h thng ti chnh ni ring, trong
ngn hng thng mi thng chim t trng ln nht v quy m ti sn,
th phn v s lng cc ngn hng. L mt trong nhng mt xch
quan trng ca bt k nn kinh t no, trung gian ti chnh, mt
nhn vt khng th thiu trong nn kinh t quc dn. Chnh v vy
h thng ngn hng quc gia hot ng thng sut, lnh mnh v
hiu qu l tin cc ngun lc ti chnh khc tng trng mt
cch bn vng. S sng cn ca cc ngn hng thng mi c lin
quan mt thit ti ton b i sng kinh t - chnh tr - x hi ca
mt quc gia.
Vi t cch l mt doanh nghip, mt doanh nghip c bit nn
Ngn hng khng th trnh khi ri ro kinh doanh. M mt trong
nhng ri ro quan trng nht trong kinh doanh ngn hng l ri ro
thanh khon. Hay ni mt cch khc l mt kh nng thanh ton.V vy
tm hiu cc nguyn nhn dn n vic mt kh nng thanh khon?
V lm th no lng ho c n, l vn sng cn ca mt
ngn hng.
Xut pht t mc tiu trn, nn khi c to iu kin thc tp ti
Ngn hng Quc t- VIBank em c tng mun thnh lp m hnh c lng ri ro thanh khon ca Ngn hng nh s tr gip ca cc m
hnh kinh t lng.
Chuyn thc tp tt nghip ca em c trnh by qua 4 chng:
Chng 1: Tng quan v Ngn hng quc t Vit Nam
Chng 2: L thuyt chung v ri ro i vi hot ng ngn
hng
1

Chng 3: L thuyt v ri ro thanh khon

Chng 4: S dng m hnh hi quy c lng ri ro thanh
khon.

Ni dung
Chng1 : Tng quan v Ngn hng Quc t Vit Nam
- VIBank
1. Gii thiu chung v Ngn hng Quc t
Ngn hng TMCP Quc T Vit Nam( tn gi tt l Ngn hng
quc t-VIB Bank) c thnh lp theo quyt nh s 22/Q/NH5
ngy 25/10/1996 ca thng c Ngn hng Nh nc Vit Nam.
C ng sng lp Ngn hng Quc T bao gm: Ngn hng
Ngoi thng Vit Nam, Ngn hng Nng nghip v pht trin nng
thn Vit Nam, cc c nhn v doanh nhn thnh t ti Vit Nam v
trn trng quc t.
Ngn hng Quc T ang tip tc cng c v tr ca mnh trn
th trng ti chnh tin t Vit Nam. T khi bt u hot ng ngy
18/9/1996 vi s vn iu l ban u l50 t ng Vit Nam Ngn
hng Quc T ang pht trin thnh mt trong nhng t chc ti
chnh dn u th trng Vit Nam. L mt Ngn hng a nng,
Ngn hng Quc T- vi nn tng cng ngh hin i tip tc cung
cp mt lot cc dch v ti chnh a nng, trn gi cho khch hng
vi nng ct l nhng doanh ngip va v nh hot ng lnh mnh v
nhng c nhn v nhng gia nh c thu nhp n nh ti cc vng
kinh t trng im trong c nc.
Sau 9 nm hot ng, n 31/12/005 vn iu l ca ngn
hng l 510 t ng t tc tng trng bnh qun hng nm l
2

113%. Tng ti sn C t trn 8.967 t ng, tng gp hn 2 ln so

vi cui nm 2004 v t tc tng trng bnh qun hng nm t l
177%. Li nhun thu t trn 95 t ng - t trn 230% so vi 2004.
T l li nhun trn vn t c bnh qun t trn 20% v mc c
tc chia cho cc c ng tng u hng nm. T l v kh nng chi
tr lun ln hn 1, t l an ton vn ti thiu lun ln hn 8% .
Ngun lc qun l v hot ng khng ngng c tng cng vi
vic b nhim nhiu chuyn gia giu kinh nghim trong cc lnh vc
ti chnh ngn hng v mt i ng chuyn vin kinh nghim giu
nhit huyt.
Hnh nh ca ngn hng trong lng cng chng v khch hng
c ci thin ng k bng nhiu chng trnh i mi v nhiu
nng lc phc v, tng cng qung b hnh nh Ngn hng.
Ngn hng Quc t c ngn hng Vit Nam xp loi A theo cc
tiu ch nh gi ca ngn hng Nh nc Vit Nam do thng c
Ngn hng Nh nc Vit Nam ban hnh ban hnh trong nhiu nm
lin tip v ln th 2 c tp on Citigroup trao tng danh hiu
Ngn hng hot ng thanh ton xut sc.
Cui nm 2005, ngoi Hi s ti H Ni, Ngn hng Quc T c
30 chi nhnh, phng giao dch ti 9 tnh, thnh ph H Ni, thnh
ph HCM, HI Phng, Qung Ninh, Nha Trang, Bnh Dng, Cn
Th. Trong nm 2006, Ngn hng Quc T s tip tc vn tm hot
ng n cc trung tm kinh t mi v nhiu tim nng khc trn c
nc vi tng s n v kinh doanh d kin ln n 60. Mng li ngn
hng i l cng khng ngng c m rng vi 2.000 ngn hng i l
trn 65 quc gia trn th gii.
Vi phng chm kinh doanh Lun gia tng gi tr cho bn,
cam kt ca Ngn hng Quc T trong nm 2006 v nhng nm tip

theo l khng ngng gia tng gi tr ca khch hng, ca i tc, ca

cn b nhn vin ngn hng v cc c ng.
2. Lnh vc hot ng ca Ngn hng
Nm 2005 nn kinh t Vit Nam tip tc t tc tng trng
kinh t cao, mang n c hi pht trin kinh doanh cho ngnh ngn
hng Vit Nam, Ngn hng Nh nc Vit Nam tip tc i mi c
ch qun l, to iu kin cho cc Ngn hng Thng mi pht trin
hot ng kinh doanh.
Cnh tranh trong ngnh Ngn hng cng ngy cng gay gt vi
vic cc Ngn hng trong nc v nc ngoi y nhanh tin trnh ci
cch, tng nng lc ti chnh, u t cng ngh, i mi c cu t
chc v c ch, pht trin ngun nhn lc c cht lng, pht trin cc
dch v Ngn hng hin i, m rng mng li kinh doanh, y mnh
cng tc tip th khuyn mi v p dng nhiu tin ch u i khc
cho khch hng .
Ngn hng quc t hot ng trn cc lnh vc ch yu sau:
2.1. Dch v ngn hng doanh nghip
Ngn hng quc t cung cp dch v cho doanh nghip v
nhng khch hng kinh doanh khc, bao gm: dch v tn dng, cc
dch v h tr doanh nghip trong lnh vc xut nhp khu, dch v
bo lnh, dch v thanh ton, dch v mua bn ngoi t. Cc khon
vay c cung cp cho nhiu mc ch khc nhau: b sung vn lu
ng, mua sm trang b ti sn c nh u t m rng sn xut.
2.2. Dch v ngn hng c nhn
Ngn hng Quc T cung cp dch v cho cc c nhn bao gm
: dch v tit kim, dch v tn dng tiu dng, dch v thanh ton,
dich v xc nhn nng lc ti chnh, dch v th, dch v mua bn
ngoi t. Cc khon cho vay tiu dng nhm n cc mc ch s
4

dng vn c th nh: mua sm, sa cha nh t, mua sm xe hi,

vt dng gia nh, i du hc, u t c phiu,
2.3. Dch v ngn hng nh ch
Ngn hng Quc T cung cp dch v cho cc ngn hng t
chc ti chnh v t chc phi ti chnh bao gm: dch v tin gi
dch v qun l ti sn dch v cho vay, dch v ng ti tr dich v
mua bn ngoi t
3. Cc hot ng ch yu ca Ngn hng
3.1. Hot ng huy ng vn
Trong 2006 hot ng ngun vn ca ngn hng Quc T t
mc tng trng k lc. Tng ngun vn tnh n 31/12/2006 t
8.967 t ng tng 117% so vi nm trc v vt 49,6% k hoch nm.
C cu ngun vn c iu tit hp l, tng thch vi t trng ca
c cu u t tn dng v m bo cho hot ng ca ngn hng.
Hot ng kinh doanh ngun vn pht trin tt, hiu qu, m bo
kh nng thanh khon v vn, ngoi t phc v khch hng.
Ngn hng Quc T ch ng trong vic iu chnh c cu
ngun vn nhm mang li li ch ti u cho cc c ng nhng vn m
bo ngun vn khi m rng cho vay trung v di hn v nhu cu tin
gi khng k hn. Vn ch s hu t 529,787 t ng tng 104,7%
so vi cui nm 2005 vn iu l tng ln 510 t ng khng nhng to
thm ngun vn p ng yu cu kinh doanh ca Ngn hng Quc
T, c bit l ngun vn trung di hn v m bo t l an ton
vn khi m rng kinh doanh, m cn to iu kin u t c s
vt cht v cng ngh nhm nng cao nng lc cnh tranh ca ngn
hng. T trng vn ch s hu trong tng ngun vn gim t 7,3%
trong nm 2005 xung cn 6,9% trong 2006- chng t kh nng m
rng qui m cc cu thnh khc c bit l tin gi t v cc t chc
kinh t .
5

Vn huy ng ca cc t chc ti chnh t ti thi im

31/12/2006 t 2852,872 t, bng 176,6% so vi u nm v chim
31,7% tng ngun vn. Trong tin gi ca cc t chc ti chnh
t 2808 t ng, chim 98% tng ngun vn huy ng ca cc t
chc ti chnh. Vic tng vn iu l ln 510 t ng cng vi kt
qu hot ng tng trng cao v an ton, uy tn giao dch trn th trng v cc quan h hp tc c duy tr tt dn n vic cc t
chc tn dng trong nc v cc t chc tn dng quc t ang hot
ng ti Vit Nam tng hn mc tin gi ti Ngn hng Quc T. Tin
vay t cc t chc ti chnh khc gim xung so vi nm 2004 cng
gp phn gim chi ph vn ca Ngn hng.
Vn huy ng t cc t chc kinh t v dn c t 5268,617 t
ng bng 163% so vi u nm v chim 58% so vi ngun vn. y
l mt kt qu ng ghi nhn trong iu kin Ngn hng Quc T
phi i mt vi s canh tranh ngy cng tng t cc Ngn hng khc.
S d vn huy ng t cc c nhn ti thi im 31/12/2006 t
3302,446 t ng, t tc tng trng 133%. Kt qu trn c c l
nh ngn hng quc t thc hn chnh sch li xut linh hot, m
rng mng li hot ng n khch hng hn v tung ra nhiu sn
phm huy ng c sc ht ra th trng. C cu vn huy ng t cc
c nhn cng c s thay i mang tnh tch cc trong t trng
tin gi c li sut thp tng mnh. S tin gi khng k hn tng ti
186,3% so vi 2005.
Trong nm 2006, do nh hng pht trin khch hng c qun
trit ti tng n v trong h thng Ngn hng Quc T, tnh hnh
hot ng khi sc ca khi ngun vn v n lc ca c h thng
trong vic m rng i tng khch hng tin gi, tng huy ng tin
gi ca cc t chc kinh t tng 234% so vi u nm v t 1.966 t
ng.
6

3.2. Hot ng tn dng

im ng ch l trn c s mng li hot ng c m rng c
s khch hng tng trng mnh v tc huy ng vn rt tt nn hot
ng tn dng tip tc tng trngtrong nm 2006.
D n tn dng n thi im 31/12/2006 at 5.255 t ng, tng
235% so vi u nm v vt 24,3% so vi k hoch nm. Trong , tn
dng ngn hn t 3.570,7 t ng, chim 67,9% tng d n v tn
dng trung v di hn t 1.707,9 t ng, chim 32,1% tng d n.
Cc doanh nghip va v nh hot ng trn nhiu lnh vc khc
nhau ca nn kinh t l i tng khch hng ch yu ca Ngn hng
Quc T. Cc doanh nghip va v nh l mt b phn rt quan
trng trong chui sn xut x h nhng hin nay cc doanh nghip
ny ang gp kh khn trong vic tng cng kh nng cnh tranh,
hin i ho cng ngh v tip cn cc ngun vn tn dng. Chnh
sch ca Ngn hng Quc T gip cc doanh nghip va v nh
tip cn c ngun vn vi chi ph hp l u t tng nng sut lao
ng, tng sc cnh tranh v m rng sn xut kinh doanh. Ngoi ra
trong nm 2006, Ngn hng Quc T tip tc y mnh cho vay ti
tr hot ng xut khu hng ho nh cho vay doanh nghip sn
xut, thu mua hng ho xut khu, cho vay chit khu b chng t
hng xut khu. D n tn dng doanh nghip ti thi im
31/12/2006 l 3.904 t, tng152% so vi u nm v vt 29,75% so vi
k hoch nm.
Nm 2006, Ngn hng Quc T tp trung y mnh cho vay tiu
dng c nhn bng vic tung ra v i mi mt lot cc sn phm tn
dng c nhn bm st nhu cu ca khch hng nh cho vay mua, sa
cha nh t, cn h chung c, cho vay mua t, cho vay du hc, cho
vay mua sm vt dung gia nh. Mt lot cc sn phm tn dng
nhm n nhng nhm khch hng c th nh cho vay tn chp Cn
7

b qun l iu hnh, Cho vay i vi cn b cng nhn vin d n

tn dng c nhn ti thi im 31/12/2006 l10351 t, tng 106% so
vi u nm.
Hot ng tn dng c hot ng theo phng thc ph duyt tp
trung, ch trng cht lng tn dng lun c kim sot tt do hot
ng tn c t chc cht ch, tun th ng cc quy nh ca
php lut v cc quy nh, quy trnh nghip v ca Ngn hng Quc
T
T l n qu hn tnh n ti im cui nm ch chim 0.87%
tng d n, gim so vi mc 1.11% ca nm 2005.
3.3. Hot ng dch v
Trong nm 2006, song song vi vic gia tng cc hot ng huy
ng vn v tn dng, hot ng dch v c quan tm c
bit v c qun trit t Hi s chnh n tng n v trong h
thng Ngn hng Quc T c v cht v lng. Tng dch v tng
11.98% v tng thu thun dch v tng gp 4 ln so vi nm 2005.
Nm 2006, hot ng thanh ton quc t c tng cng theo c
chi rng ln chiu su qua vic b sung nhn s cho Phng ti tr
Thng mi Hi s, cho cc chi nhnh v m cc chi nhnh c kh nng
thu ht khch hng xut khu. Trong nm 2006, Ngn hng m
1.647 L/C nhp khu, t tng gi tr 162 triu USD, tng 209% v
mt s lng v 219% v mt gi tr so vi nm 2005. S lng L/C xut
khu cthng bo cng tng 278%so vi nm 2005. Cht lng L/C
nhp khu c m bo tt, cc khon thanh ton u c thc hin
ng hn cho cc ngn hng nc ngoi. Doanh s nh thu nhp khu
v xut khu cng tng trng ln lt l 159% v 89% v mt s lng,
172% v 152% v mt gi tr so vi nm 2005. Doanh thu dch v
thanh ton quc t ton h thng tng ti 218,5% so vi nm 2005. Cc
n v ng gp nhiu nht vo kt qu chung ca hot ng ti tr
8

thng mi trong nm qua l H s, chi nhnh VIB H Ch Minh, chi

nhnh VIB HI Phng, chi nhnh VIB H Ni v chi nhnh VIB Ba nh.
Cc chi nhnh mi thnh lp cng c nhng bc pht trin nht
nh.
Dch v chuyn tin kiu hi pht trin. Trong nm 2006,
Ngn hng Quc T hp tc vi nhiu cng ty chuyn tin quc t
nh Travelex, RIA, Anelik, Xoom cung cp dch v chuyn tin
Quc t phc v khch hng l Vit Kiu v nhng ngi i hp tc lao
ng nc ngoi.
Dch v pht hnh v thanh ton th bt u c y mnh qua
vic Ngn hng Quc T hp tc vi Ngn hng Ngoi Thng Vit
Nam pht hnh th tn dng Quc T Master Card ci ngun v chp
nhn thanh ton cc loi th Master card, Visa, Diner Club hot ng
pht hnh th ghi n ni a Values cng c y mnh qua vic pht
trin mt i ng i l ng o, xy dng mt mng li chp nhn
th rng khp v mt h thng ngnh hng u i cho ch th phong
ph.
Cc dch v mang li gi tr gia tng cho khch hng cng c
u t pht trin. Trn nn tng cng ngh hin i, Ngn hng Quc
T bt u a ra nhng tin ch to s thun li cho khch hng khi
giao dch vi ngn hng nh Mobile Banking v Internet Banking.
3.4. Hot ng u t
Hot ng u t tin gi ngn hng ti thi im 31/12/2004 t
1.238 t ng, tng 138,6% so vi u nm. hot ng u t gp
phn ti u ho hiu qu vn c bit l ngun ngoi t huy ng
thng qua cc nghip v hon i ly VND p ng yu cu tn
dng, hp l ho k hn tng kh nng sinh li.

S d u t chng t c gi ti thi im cui nm 2004 t 524 t

ng, tng 73% so vi u nm, l do Ngn hng ch ng m
rng danh mc u t nhm gim thiu ri ro v tng kh nng sinh li.
3.5. Hot ng qung co, khuych trng v quan h cng
chng
Trong nm 2006, vic y mnh qung b hnh nh, thng hiu
ca ngn hng n cng chng c hoch nh ngay t u nm vi
cc chng trnh hnh ng c th. Cc hot ng xy dng thng
hiu c duy tr tt trong nm v phn b u trong phm vi ton
quc. S n nh v cht lng dch v v tnh hnh ti chnh, t
chc, hot ng cng kh nng pht trin bn vngl nhng yu t
quan trng gip thng hiu Ngn hng Quc T ngy cng ln mnh.
B nhn din thng hiu Ngn hng Quc T, hon chnh trong
nm 2005, tip tc c p dng thng nht trn ton h thng ngn
hng to ra hnh nh mi trong mi hot ng giao tip ca ngn
hng v l mt bc pht trin mang tnh chuyn nghip trong qun l
hnh nh ca Ngn hng.
Cng trong nm 2006, vi hng lot sn phm,dch v gn b
thit thc vi i sng cng ng c a ra phc v khch hng,
nhiu bo i trung ng v a phng tham gia vit bi v a tin
v Ngn hng v cc sn phm cua Ngn hng nh: bo Lao ng,
H Ni mi, thi bo Kinh t Vit Nam, Si Gn gii phng, Thanh
Nin, Vietnam Net, VnExpress cc chuyn trang, chuyn mc c cc
bo co u t, Thi bo Ngn hng xy dng nhm cung cp cc
thng tin v tin ch sn phm ti chnh ngn hng cho bn c
cng lin tc vit bi v sn phm ca Ngn hng Quc T.
Vi mong mun c ho nhp vo cng ng x h, trong nm
2006 Ngn hng Quc T tham gia nhiu chng trnh vn ho, vui
10

chi gii tr b ch v thu ht nhiu ngi quan tm nh : Hy chn

gi ng, nh ch nht, im hn m nhc pht sng trn knh
VTV3 i truyn hnh Vit Nam.
Ngoi ra, vi trch nhim cng x h, Ngn hng Quc T t
chc cc chng trng c ngha x hi su sc nh: Triu tm lng
ng cm ng h tr em cht c mu da cam v nhiu chng
trnh ng h khc.

3.6. Pht trin mng li chi nhnh

Do yu cu pht trin dch v v to iu kin thun li cho vic
phc v khch hng, cng tc pht trin mng li chi nhnh c coi l
mt trng im trong k hoch pht trin ca Ngn hng Quc T.
Nm 2006, mng li hot ng ca Ngn hng Quc t c m
rng c v quy m v vng a l. n ngy 31/12/2006 Ngn hng
th hin ti 9 tnh, thng ph trn khp c nc- y u l nhng
trung tm kinh t nng ng v c nhiu tim nng dch v cho ti
chnh, ngn hng nh: H Ni, thnh ph H Ch Minh, Hi Phng,
Qung Ninh, ng Nai, Nha Trang, Nng, Bnh Dng v Cn
Th vi tng s 31 chi nhnh. Vi mng li chi nhnh tng bc c m
rng, cng vi vic khng ngng nng cao cht lng phc v, Ngn
hng quc T dn nng cao hnh nh thng hiu v tch lu c
lng tin ca cng chng.
Trong chin lc pht trin ca mnh, Ngn hng Quc T tip
tc m cc chi nhnh mi trong nhng nm ti n gn hn na vi
khch hng v phc v nhu cu ca khch hng tt hn. Theo k
hoch, n cui nm 2007, d kin Ngn hng Quc T s c tt c
60 chi nhnh trn ton quc. Tt c cc chi nhnh mi trong h thng
u c nhanh chng t chc, pht trin c s khch hng, trin khai
11

hot ng kinh doanh an ton, hiu qu v ton din. Trong nhng

nm qua, cc chi nhnh v phng dao dch ca ngn hng duy tr
tt cc chng trnh hot ng ti cc a bn kt hp vi cc hot
ng qung b thng hiu, s dng tt cng c li sut, cho hiu qu
huy ng vn dn c tng trng cao.
3.7. Cng ngh ngn hng v thng tin
Trong nm 2006, Ngn hng Quc T bt u trin khai H
thng ngn hng a nng SYMBOL do System Access cung cp y l gii php ngn hng a nng trn gi cung cp cc cc chc
nng cho cc h thng nghip v Ngn hng bn l, Ngn hng bn
bun, Ngn hng Internet v h thng qun l quan h khch hng.
Nm 2006 cng l thi im n tp trung ho d liu v
giao dch trc tuyn ca Ngn hng pht huy tc dng mnh m. Tnh
an ton d liu v kh nmg i chiu giao dch tng ng k.
Cng trong nm 2006,

Ngn hng Quc T chnh thc k hp

ng mua h thng Chuyn mch ti chnh v Qun l th t Cng ty

Card Tech Limited (CTL) - Vng quc Anh. y l Gii php cng
ngh th hin i, ton din, linh hot c thit k theo phn h ph
hp vi mi quy m ca t chc ti chnh, bao gm qun l pht hnh
th, qun l thanh ton th, chun chi, chuyn mch ti chnh v bo
mt. Gii php cng ngh th ny s h tr VIBank t ph trong lnh
vc th thng qua vic cung ng hng lot sn phm dch v mi p
ng nhu cu v ph hp vi tng nhm khch hng. Vic trin khai
thnh cng D n cng ngh th VIBank s to ra hng lot cc sn
phm dch v thanh ton cht lng cao mang li nhiu li ch v gi
tr gia tng cho khch hng.
3.8. Hon thnh n ti c cu Ngn hng Quc t

12

Nm 2004 l nm Ngn hng ch trng n vic cng c t

chc b my, trin khai mt s chng trnh nhm xy dng nn tng
v nng cao nng lc trong cng tc t chc v qun l.
Cui nm 2004, Ngn hng Quc t hon thnh n ti c cu
theo nh hng ngn hng a nng, to s thun li cho giao dch
khch hng,tp trung cho pht trin lnh vc sinh li, hnh thnh
nhng c cu c chc nng qun l ri ro v h tr hiu qu cho hot
ng kinh doanh.
3.9. Pht trin ngun nhn lc
Ngun lc quan trng nht ca ngn hng l ngun lc con ngi
v li th cnh tranh ca ngn hng cng l ngun lc con ngi, do
Ngn hng lun c gng xy dng mt mi trng lm vic cho php
khuyn khch mi cn b nhn vin pht huy ht kh nng ca mnh.
Ngn hng Quc T xy dng mt chng trnh pht trin k nng ton
din cho cn b nhn vin nhm tng kh nng thch nghi trc nhng
bin i ca mi trng kinh doanh.
Chnh sch tin lng ca Ngn hng trong nm 2006 c nhiu
ci thin ng k theo chiu hng kt hp hi ho gia li ch ca
ngn hng v ngi lao ng. Chnh sch thu nhp ca ngn hng
khuyn khch i ng nhn vin yn tm lm vic, ng thi vn
m bo tnh cnh tranh v thu ht nhn ti phc v cho ngn hng.
Cng tc khen thng cng c Ngn hng quan tm c bit,
cng tc khen thng c bng vt cht ln tinh thn khuyn khch
c tinh thn lm vic v ch phn u ca cn b nhn vin c
khen thng v cc cn b nhn vin khc.
Cng tc o to ca ngn hng Quc t bm st yu cu hon
thin vn ho lm vic, nng cao trnh v k nng nghip v
chuyn mn cho cn b nhn vin, trong c bit ch trng o
to nhng kin thc v Giao dch khch hng, Tn dng, Phn tch
13

ti chnh, Marketing, Quan h cng chng, Thanh ton quc t v

Php lut. Trong nm 2006, Ngn hng t chc 79 kho hc vi
90% s cn b nhn vin tham gia gp phn nng cao ng k
kin thc v k nng lm vic ca cn b nhn vin ngn hng.
Cng tc tuyn dng p ng c nhu cu b sung nhn s cho
hot ng kinh doanh ca Ngn hng Quc T. Quy trnh tuyn dng
cht ch m bo la chn c nhng cn b nhn vin u t nht cho
ngn hng. S nhn s tuyn dng mi trong nm 2006 l 439 cn b
nhn vin v tng s cn b nhn vin tnh n 31/21/2006 l 851 ngi
gp hn 2 ln so vi thi im u nm.
3.10. Kt qu kinh doanh
Nm 2006, tng thu nhp trc thu ca Ngn hng Quc T l
95.264 triu ng, bng 231% so vi nm 2005. n ht nm 2006,
Ngn hng Quc T l mt trong nhng ngn hng c mc tng trng
li nhun trc thu cao hn rt nhiu so vi mc tng trng chung
khong 45% ca h thng ngn hng Vit Nam.
Trong nm 2006, hot ng u t sinh li ch yu ca Ngn
hng vn l hot ng tn dng vi ng gp ti 96,56% tng thu
nhp.Thu nhp t cc hot ng dch v trong nm 2006 t 33.178
triu ng.

Chng 2: L thuyt chung v ri ro i vi hot ng ca

Ngn hng
1. Gii thiu chung
c mt nn kinh t lnh mnh, tc tng trng cao, bn
vng i hi cc trung gian ti chnh phi lun chuyn c vn t
nhng ngi tit kim n nhng nh u t sn xut. Ngn hng l
mt trong nhng trung gian ti chnh thc hin chc nng y. Hot
14

ng kinh doanh ca ngn hng mang tnh c th v c nh hng

rt ln n ton b nn kinh t v nh hng ca n mang tnh dy
truyn, ly lan v su rng.
hiu c chc nng c bit ca ngn hng trong nn kinh
t, ta th hnh dung mt th gii khng c hot ng ngn hng.
Trong mt th gii nh vy, nhng khon tin tit kim ca dn c ch
c th c s dng hoc di dng tin mt hoc tip u t vo cc
chng khon cng ty. Trong th gii khng c ngn hng qui m lun
chuyn cc dng tin ny gia ngi tit kim v cc nh u t l rt
thp. L do l:
* Chi ph gim st trc tip hot ng ca cng ty l rt tn
km. Khi mua chng khon cng ty, ngi mua chng khon phi c
m bo rng tnh hnh kinh doanh ca cng ty l c hiu qu, tnh
hnh ti chnh ca cng ty l lnh mnh, gim st c hot ng
ca cng ty, nhng ngi u t chng khon phi mt rt nhiu chi
ph v thi gian cung nh tin bc vo vic thu thp thng tin, phn
tch v x l thng tin. Nu nh c mt t chc chuyn nghip ng
ra hay h lm cng vic gim st hot ng ca cng ty th s tit
kim c chi ph v hiu qu hn nhiu. Vic gim st cng ty kh
khn v tn km nh vy khin vic nm vng chng khon km hp
dn.
* Vi c tnh di hn ca c phiu v tri phiu lm nn
lng ca nhng nh u t. Bi tm l ngi mo him, nhng ngi c
tin tit kim u tin nm gi tin mt tiu dng hn l u t vo
c phiu v tri phiu.
* u t chng khon l hnh thc u t cha ng nhiu ri ro
do gi c ca chng lun bin ng. iu ny nh hng n nh
u t v c nh pht hnh.

15

Trong mt th gii khng c ngn hng, quy m lun chuyn

tin tit kim gia ngi dn v nh u t l rt thp.Tuy nhin trong
x hi ngy nay h thng ngn hng pht trin mnh m v c coi nh
b xng sng ca nn kinh t. H thng ngn hng cung cp mt
knh dn vn gin tip t nhng ngi tiet kim n nhng ngi c
nhu cu v vn.
Ngn hng thc hin hai chc nng c bn sau :
+ Chc nng lun chuyn ti sn.
+ Chc nng cung cp cc dch v thanh ton, mi gii, bo lnh
V chc nng dch v thanh ton mi gii t vn Ngn hng hot
ng nh i l ca khch hng trong vic mi gii cung cp cc dch
v thanh ton v cc thng tin cho khch hng. Thng qua chc nng t
vn v cung cp dch v thanh ton lm cho chi ph u t ca khch
hng gim xung v ngi u t c th nm bt c tnh hnh ti
chnh v hot ng kinh doanh ca cng ty mt cch chnh xc v
ton din hn. Do , thng qua chc nng cung cp dch v t vn
v u t, h thng ngn hng khuyn khch c t l tit kim
trong dn chng tng ln.
V chc nng lun chuyn ti sn, Ngn hng tin hnh ng
thi hai hot ng. Th nht, Ngn hng huy ng vn bng cch pht
hnh cc chng ch tin gi. Cc chng ch tin gi do ngn hng
pht hnh thng hp dn ngi u t hn so vi cc chng khon cc
cng ty pht hnh, do i vi hu ht nhng ngi u t th vic mua
cc chng ch tin gi ca ngn hng s gim c ng k cc chi
ph nh chi ph gim st, chi ph thanh khon v ri ro gi c. Th hai,
ngn hng tin hnh u t bng cch cp tn dng mua c phiu
v tri phiu do cc cng ty pht hnh, nhng chng khon ny l
chng khon s cp.

16

2. Nhng ri do ch yu trong kinh doanh ngn hng

Kinh doanh ngn hng l loi kinh doanh mang tnh c th, do
ri ro i vi hot ng ngn hng cng mang tnh cht c th.
Nhng ri ro m Ngn hng thng gp phi nh:
- Ri ro li sut
- Ri ro tn dng
- Ri ro thanh khon
- Ri ro hi oi
- Ri ro cng ngh
- Ri ro mi trng
- Ri ro khc
2.1. Ri ro li sut
Li sut l gi c ca sn phm ngn hng, nn mi tc ng trc
tip n gi tr ti sn n v ti sn c ca ngn hng. Mi s thay
i ca li sut n vic tng, gim thu nhp, chi ph v li nhun
ca Ngn hng. Nu thu nhp t li khng ln hn chi ph v li th
ngn hng s chu thua l.
Li sut l yu t thay i trn th trng, rt kh c th d bo trc ri ro li sut xy ra khi li sut thay i lm gim thu nhp ca
Ngn hng. i vi ngun vn huy ng khi li sut tng s lm chi ph
vn vay ca ngn hng tng, i vi cc khon tn dng, khi li sut
gim s lm gim thu nhp t li ca ngn hng. V do lm gim
thu nhp ca ngn hng.
Nguyn nhn chnh gy ra ri ro li sut l do s khng cn
xng gia cc k hn ca ti sn n v ti sn c. Nu ngn hng dng
ti sn n ngn hn u t vo ti sn c di hn th khi li sut
ngn hn tng ln, trong khi li sut u t vn gi nguyn, ngn hng
s gp ri ro. Ngc li nu ngn hng dng ti sn n di hn u
17

t vo ti sn c ngn hn th khi li sut u t gim Ngn hng cng

c nguy c b ri ro.
Ngoi ra ri ro li sut cn c th xy ra do cc nguyn nhn khc
nh: do bt li trong cnh tranh, buc ngn hng phi tng li sut huy
ng v h li sut cho vay thu tht khch hng, do lm tng
chi ph v gim thu nhp ca ngn hng: Do cung tin t nh hn
cu tin t nn ngn hng phi tng li sut huy ng vn: Do
chnh sch u i cho vay ca nh nc, nn Ngn hng phi gim li
sut cho vay.
2.2. Ri ro tn dng
Ri ro tn dng l ri ro do ngn hng khng thu c y c
gc v li ca cc khon vay, hoc l vic thanh ton n gc v li vay
khng ng thi hn.
Ri ro tn dng khng ch gii hn hot ng cho vay m cn
bao gm nhiu hot ng mang tnh cht tn dng khc ca Ngn
hng nh hot ng bo lnh, ti tr ngoi thng, cho thu ti chnh.
Ri ro tn dng l ri ro c bn nht ca Ngn hng thng mi,
do nhng nguyn nhn sau:
- Ngi vay vn lm vo tnh trng kh khn v ti chnh nn
khng c kh nng thanh ton n cho Ngn hng.
- Do thiu thng tin v khch hng nn ngn hng cho nhng
khch hng kinh doanh km hiu qu vay vn, nn vic thu n gp
kh khn.
- Cn b Ngn hng c trnh thp hoc vi phm o c
ngh nghip, dn n cc khon n xu, cho vay vn khng, cho vay
khng ng mc ch,
- Gi tr ti sn m bo khng p ng c yu cu thu n ca
Ngn hng.

18

- Cc nguyn nhn khc: ngi vay c khng tr n, hoc cc l

do bt kh khng nh ngi vay qua i hoc mt tch,
2.3. Ri ro thanh khon
Ri ro thanh khon l ri ro nguy him nht i vi Ngn hng,
c lin quan n s sng cn ca mt Ngn hng. Mt Ngn hng
hot ng bnh thng phi m bo c kh nng thanh ton hin
ti, trong tng lai v t xut. Nu khng p ng c cc nhu cu
thanh ton Ngn hng c th b mt kh nng thanh ton v c
nguy c b ph sn.
Ri ro thanh ton khon l ri ro c trng ca Ngn hng, kh
i ph nht. Do , ni r hn v ri ro thanh ton khon, em
xin trnh by r hn phn sau.
2.4. Ri ro hi oi
Ri ro hi oi l ri ro do s bin ng ca t gi hi oi gy
nn. Nhng ri ro ny c th pht sinh trong tt c cc nghip v v lin
quan n ngoi t ca Ngn hng nh: cho vay, huy ng vn bng
ngoi t, mua bn ngoi t, u t chng khon bng ngoi t,
Trong cc giao dch ngoi hi v trong cn i ti sn bng ngoi
t ca Ngn hng, bt c mt trng thi ngoi hi trng hay on
u c th gp ri ro hi oi khi t gi ngoi t thay i. Nu
ngn hng trng thi ngoi t trng, th khi ngoi t tng gi Ngn
hng s c li, ngc li Ngn hng s b l khi ngoi t xung gi.
Nu Ngn hng ang trng thi on v mt ngoi t no , khi
ngoi t ln gi Ngn hng s b l v ngc li.
Nh vy, vic to ra cc trng thi ngoi t trng hay on chnh
l nguyn nhn gy ri ro hi oi cho Ngn hng. y chnh l kt
qu ca vic Ngn hng thc hin cc giao dch ngoi t phc v
cho khch hng v cho chnh bn thn mnh, hoc ngn hng huy
ng vn bng ngoi t v u t vo cc ti sn c bng ngoi t.
19

2.5. Ri ro mi trng
Ri ro mi trng l ri ro do hot ng ca Ngn hng gy nn,
bao gm: ri ro do s bin ng ca thin nhin (l lt, ng t), ri
ro v kinh t (khng hong, suy thi), ri ro do s thay i chnh
sch php lut ca Nh nc gy nn bt li cho Ngn hng.
Ri ro mi trng l ri ro m Ngn hng kh kim sot c chng
c th lm suy yu kh nng chu ng ri ro ca Ngn hng hoc
gy cho Ngn hng nhng thit hi v ti chnh.

20

2.6. Ri ro trong cng ngh

Ri ro trong cng ngh thng xy ra trong cc trng hp: Ngn
hng u t rt ln vo pht trin cng ngh nhng hiu qu s
dng li khng cao, khng tit kim chi ph cho Ngn hng theo nh
mong mun hoc h thng cng ngh ca Ngn hng trc trc lm
nh hng n vic iu hnh hot ng kinh doanh ca Ngn hng
gy ra nhng tn tht nht nh.
2.7. Cc ri ro khc
Nh ri ro hot ng, ri ro quc gia, ri ro php l

21

Chng 3: L thuyt v ri ro thanh khon

1. Khi qut ri ro thanh khon i vi hot ng Ngn hng
i vi cc t chc ni chung, th ri ro thanh khon gy ra i
vi cc ngn hng l thng xuyn v nghim trng hn c. Nguyn
nhn chnh xut pht t c im mang tnh c th ca bng
cn i ti sn l: Ngn hng dng cc ngun vn ngn hn bn ti
sn n ti tr cho cc ti sn c. Ngoi ra, khi nhng ngi gi tin
nhn thy Ngn hng gp rc ri v thanh khon th ng lot rt
tin ngay lp tc ra khi Ngn hng, hn na hnh ng rt tin ca
nhng ngi gi tin c tnh ly lan v phn ng dy chuyn nhanh
chng v rng khp.
Cc ri ro nh li sut, t gi, tn dng C th e do n kh
nng thanh ton cui cng ca Ngn hng, nhng ri ro thanh khon
ch l vn thng thng xy ra hng ngy i vi hot ng Ngn
hng . Ch trong trng hp c bit hn hu, ri ro thanh khon mi
e ro n kh nng thanh ton cui cng ca Ngn hng.V vn
thanh khon l vn thng nht, cho nn mt trong nhng nhim
v hng u i vi nh qun l ngn hng l m bo kh nng
thanh ton mt cch thng xuyn, lin tc v y .
Mt Ngn hng c coi l thanh khon nu c kh nng tip cc
c y vi cc ngun thanh khon mt cch tc thi ti mc chi
ph hp l v thi im c nhu cu. T khi nim ny cho thy
c xem l thanh khon th ngn hng phi:
- Hoc l c sn trong tay mt lng ti sn cn thit (lng ti sn
d tr thanh khon bn ti sn c Stored liquidities)
- Hoc l phi c kh nng i vay hay huy ng tc thi c
ngun vn thanh khon, hay bn c cc ti sn thuc bn ti sn c.
22

- Trc trc trong thanh khon thng l tn hiu u tin v

nhng kh khn ti chnh i vi Ngn hng v hu qu tip n c
th l:
+ Mt dn nhng ngi gi tin mt cch truyn thng.
+ Buc phi chuyn ho cc ti sn c thanh khon tin do thiu
ht tin mt.
+ Tip cn vi th trng tin t tng vn vi nhng iu kin
kht khe hn : v d nh phi c ti sn th chp, chu mc li sut
cao v c th b t chi cho vay.
Tt c nhng biu hin ny u l cho Ngn hng tin gn
n b vc mt kh nng thanh ton v i n ph sn
Ngy nay, th trng tin t pht trin vi nhiu cng c phong
ph, a dng, tin dng v hiu qu,, chnh v vy nhiu Ngn
hng cho rng c th i vay c mt lng vn ln ti bt k thi iim
no p ng c nhu cu thanh khon cn thit, do coi
nh vic duy tr mt lng ti sn thanh khon nhm p ng nhu cu
thanh khon thng xuyn ca Ngn hng.
2. Nguyn nhn lm pht sinh ri ro thanh khon
2.1. Nhng ngyn nhn tin
C ba nguyn nhn chnh khin Ngn hng i mt vi ri ro
thanh khon thng xuyn l:
Nguyn nhn th nht: Ngn hng huy ng v i vay vn vi
thi hn ngn, v c tun hon chng s dng cho vay vi thi hn
di hn. Do , nhiu Ngn hng phi i mt vi s khng trng
khp v thi hn n hn gia ti sn c v ti sn n. Thc t l
Ngn hng thng c mt t l ng k ti sn n, c c in l
phi c hon tr tc thi nu ngi gi c nhu cu, nh tin gi khng
k hn, tin gi c k hn c th rt trc thi hn, ti khon NOW do
Ngn hng lun phi sn sng thanh khon.
23

Nguyn nhn th hai: S nhy cm ca ti sn ti chnh vi nhng

thay i li sut. Khi li sut tng, nhiu ngi gi tin s rt tin ra
tim kim ni gi khc c mc li sut cao hn. Nhng ngi c nhu
cu tn dng s hon li, hoc rt ht s d hn mc tn dng vi mc
li sut thp tho thun. Nh vy thay i li sut nh hng n
lung tin gi cng nh lung tin vay, v cui cng l n thanh
khon ca Ngn hng. Ngoi ra li sut thay i s nh hng n
th gi ca cc ti sn m Ngn hng em bn tng thanh khon,
v trc tip nh hng n chi ph i vay trn th trng tin t ca
Ngn hng.
Nguyn nhn th ba: Ngn hng lun phi p ng nhu cu
thanh khon mt cch hon ho. Nhng trc trc v thanh khon s
lm si mn nin tin ca dn chng vo Ngn hng. Nu nh vo mt
bui sng cc quy chi tr tin hay cc my tr tin t ng ca Ngn
hng ng ca vi l do l thiu tin mt tm thi, v khng th
thanh ton cc t sc chuyn n cng nh nhng khon tin gi n
hn th Ngn hng ng trc nguy c ph sn v nu c vc li c th mt phn no cng gim bt lng tin gi tin ca khch
hng. Mt trong nhng vic quan trng i vi nh qun l Ngn
hng l lun lin h cht ch vi nhng khch hng c s d tin gi
ln v nhng khch hng ang cn hn mc tn dng ln cha s dng
bit c k hoch ca h, khi no th rt tin v rt bao nhiu
c phng n thanh khon thch hp.
2.2. Nguyn nhn t hot ng
Ri ro thanh khon c th pht sinh t hot ng bn ti sn n
hay bn ti sn c ca Ngn hng.
Nguyn nhn bn ti sn n: ri ro thanh khon c th pht sinh
bt c lc no khi nhng ngi gi tin thc hin rt tn ngay lp tc.
Khi nhng ngi gi rt tin t ngt, buc ngn hng phi i vay b
24

sung hoc bn bt ti sn thanh khon p ng nhu cu thanh

khon.Trong tt c cc nhm ti sn c, th tin mt l phng tin
u tin v trc tip p ng nhu cu thanh khon. Nhng ng
tic l tin mt l ti sn khng em li thu nhp li sut cho Ngn
hng, do cc Ngn hng c xu hng gim thiu ti sn c dng
tin mt. V vy thu c thu nhp t li sut, cc Ngn hng phi
u t tin vo cc ti sn t thanh khon hn hoc nhng ti sn c
th chuyn ho thnh tin, nhng chi ph chuyn ho thnh tin
ngay lp tc vi cc ti sn khc nhau th rt khc nhau. Khi phi bn
mt ti sn ngay lp tc th gi ca n c th thp hn rt nhiu so
vi trng hp c thi gian tm kim ngi mua v thng lng v gi.
Kt qu l mt s ti sn ch c th chuyn ho thnh tin ngay lp
tc ti mc gi bn rt thp, do c th e do n kh nng thanh
ton cui cng ca ngn hng. Ngoi thanh l ti sn Ngn hng c
th tm kim cc ngun vn b sung thng qua vic vay trn th trng tin t.
Nguyn nhn bn ngoi ti sn c: Ri ro thanh khon pht sinh
lin quan n cc cam kt tn dng. Mt cam kt tn dng c ngi
vay tin c quyn hnh rt tin bt c lc no trong thi hn ca n.
Khi mt cam kt tn dng c ngi vay thc hin, th ngn hng phi
m bo c tin ngay tc thi p ng nhu cu ca khch
hng, nu khng Ngn hng s i mt vi ri ro thanh khon. Tng
t nh bn ti sn n, p ng nhu cu thanh khon bn ti sn c,
Ngn hng c th gim s d tin mt, chuyn ho cc ti sn c
khc thnh tin mt, hoc i vay cc ngun vn b xung trn th trng tin mt.
2.3. Mt s bin php nghip v phng trnh ri ro thanh
khon
2.3.1. X l ri ro thanh khon pht sinh bn ngoi ti sn n
25

Trn bng cn i ti sn n ca Ngn hng, phn ln ti sn n

c c in chung l ngn hn, nh tin gi khng k hn, v cc loi
tin gi ngn hn khc, trong khi , phn ln ti sn c li c thi hn
di hn, nh tn dng, cc khon u t, cho thui vi tin gi
khng k hn, ngi gi c th rt tin bt c lc no vo nhng ngy
lm vic ca Ngn hng. Nh vy, v mt l thuyt, nu mt Ngn
hng c t trng ln v tin gi khng k hn, th n lun phi sn
sng i ph vi tnh hung khch hng c th rt tin bt c lc
no.
Trn thc t cc Ngn hng u bit rng, trong iu kin bnh
thng th ch c mt tng s t trong tng s nhng ngi gi tin
c nhu cu rt tin hng ngy. Do phn ln s tin d gi hng
ngy tr thnh s tin d gi thng xuyn hng ngy, cung cp ngun
vn di hn cho Ngn hng. ng thi, nhng nhu cu rt tin gi
hng ngy, c cn i ch yu bng cc khon tin gi mi, v cc
khon thu nhp t hot ng Ngn hng.
C hai phng n chnh Ngn hng gii quyt ri ro thanh
khon l:
(1). Thng qua qun l ti sn n.
(2). L thng qua qun l ti sn c.
Theo truyn thng, Ngn hng thng da vo qun l ti sn c,
nhng ngy nay cc Ngn hng, c bit l cc Ngn hng ln thng
s dng phng n qun l ti sn n thng qua vic tip cn th trng
tin tng ngun vn tn dng tc thi p ng nhu cu thanh
khon ca Ngn hng.
2.3.2. Phng php qun l ti sn n
Phng php qun l ti sn n l vic ngn hng tip cn vi th
trng tin t tng vn tc thi bng cc khon tn dng ngn hn,
26

bao gm th trng chnh thc (giao dch vi NHTW), th trng

Interbank v hp ng mua li. Ngoi ra, Ngn hng c th thc hin
mt phng n khc l Ngn hng c th pht hnh k phiu ngn hn,
hay pht hnh mt s tri phiu c thi hn di. Nhng phng php ny
c mt hn ch l chi ph ca n rt cao. V trn th trng Iterbank l
th trng bn bun nn li sut ca n cao hn so vi li sut trn th trng bn l.
Bin php qun l ti sn n khng lm thay i quy m bng
cn i ti sn v kt cu ti sn c, m ch lm thay i kt cu
ti sn n. Do , nu Ngn hng c mt phng php qun l, ti sn
n hiu qu th bn ti sn n s khng b nh hng khi khch hng rt
tin bt thng. y l l do ti sao ngy nay, cc k thut qun l ti
sn n li pht trin nhanh v nhiu n vy. c bit vi s pht
trin ca th trng chng khon l ngun cung cp ngun vn huy
ng cho Ngn hng khi cn.
2.3.3. Phng php qun l ti sn c (chuyn ho ti sn)
Thay v vay trn th trng bn bun p ng nhu cu thanh
khon, ngn hng c th chuyn ho mt b phn ti sn thanh
khon, Ngn hng c th chuyn thnh tin mt.
Mt ti sn c coi l ti sn thanh khon th phi p ng c
cc iu kin sau:
- C th chuyn ho thnh tin mt nhanh chng.
- Chi ph chuyn i thp.
- Vi gi c tng ng vi gi th trng
- c giao dch trn th trng hon ho. Th trng hon ho l
th trng m ti mc gi nht nh ca th trng th nhu cu mua c p ng, v c bao nhiu hng ho mun bn u c bn ht.
Tin mt l ti sn c tnh thanh khn cao nht. N c th c
gi di dng tin gi ti NHTW, hay cc t chc tn dng khc, hay ti
27

cc qu d phng ca Ngn hng. Tip n l tri phiu kho bc, tri

phiu chnh ph. Vic duy tr mt lng ti sn thanh khon, mt mt
lm gim c ri ro thanh khon, mt khc lm cho Ngn hng phi
chu chi ph c hi, do vic ti sn thanh khon mang li thu nhp
thp cho Ngn hng. Nhng vic Ngn hng duy tr qu t ti sn
thanh khon s khin Ngn hng i mt vi ri ro rt tin v cc
cam kt tn dng.
Nh vy, ngn hng lun phi nh i gia vic m bo kh
nng thanh khon vi li nhun. Vic nm gia ti sn thanh khon
m bo cho Ngn hng gim thiu ri ro thanh khon vi li nhun.
Vic nm gi ti sn thanh khon m bo cho Ngn hng gim
thiu ri ro thanh khon, nhng em li li nhun thp. Nhng ti sn
t thanh khon c thu nhp cao nhng li lm gim kh nng thanh
khon ca Ngn hng, t Ngn hng vo ri ro thanh khon cao
khi khch hng rt tin v khi cc cam kt tn dng c thc hin.
2.3.4. X l ri ro thanh khon pht sinh bn ti sn c
S rt tin qu mc c th gy nn nhng vn thanh khon
cho Ngn hng. Tng t nh vy, khi nhng ngi vay tin thc hin
cc cam kt tn dng hay s dng cng c th gy cho Ngn hng
gp phi nhng vn v thanh khon.
3. Chin lc qun l ti sn n
3.1. Chin lc pht trin n nh th trng bn l
Chin lc qun l ti sn n i vi hu ht cc Ngn hng l pht
trin vng chc cc th trng bn l. Nhng khon tin bn l (cc
khon tin gi ca khch hng c nhn v t chc kinh t) l ngun
vn chin lc chnh hnh thnh sc mnh ca Ngn hng, bi v
chng c c im l n nh trong di hn v c chi ph thp
hn trong th trng bn bun.

28

Xt v mt k hn, ngun vn bn l bao gm nhiu tin gi

khng k hn, tin gi tit kim, tin gi khng k hn c th rt ra
bt k lc no, tin gi c k hn l ngn hoc c th rt ra trc hn.
Nhng trong thc t, phn ln s d ca ngun vn bn l li n nh thng xuyn nh ngun vn di hn v ngi gi tin ch rt tin trong
nhng trng hp bt thng.
Bn cnh nhng u im v c chi ph thp, chin lc ny c nhc
im l phi chu chi ph c s h tng cao. thu ht c ngun
vn khch hng, th Ngn hng phi c mng li chi nhnh rng khp,
cung cp c nhng dch v tt nht, c h thng thng tin in t
duy tr v pht trin th trng bn l. Ngoi ra cuc chin tranh li
xut vi cc Ngn hng i hi Ngn hng phi lun c nhng phng
n kh thi i ph vi nhng thay i trn th trng.
V Ngn hng lun lun thng xuyn u t m rng ng mc
i vi th trng bn l.
3.2. Chin lc a dng ho ngun vn
Vic a dng ho ngun vn nhm gim s ph thuc vo bt k
mt th trng no, khu vc a l no, cng c huy ng no, k hn
no, khch hng no hay ng tin no. Khi th trng bin ng,
vic ph thuc vo mt s t ngun huy ng s lm cho Ngn hng
gp kh khn trong vic huy ng vn ti thi im . Khi ngun
vn ca ngn hng c a dng ho cao, Ngn hng c m bo tt
hn v thanh khon trong mi iu kin ca th trng. Tuy nhin chi
ph vn cng cao hn.
Ngy nay, ngy cng c nhiu cng c cho cc ngn hng huy
ng vn trong mt thi gian ngn nh:
- Ngun vn huy ng c th t th trng lin ngn hng, cc t
chc phi tn dng nh bo him, ti chnh, bu in

29

- Huy ng t nhiu loi khch hng: khch hng c nhn, cng ty

va v nh, cng ty lin doanh vi nc ngoi, tng cng ty, cng ty
quc gia
- T th trng chng khon vi vic Ngn hng pht hnh c
phiu, tri phiu ca mnh huy ng vn.
3.3. Chin lc tng cng ngun vn di hn c li sut c nh
Danh mc ti sn n ca cc Ngn hng hu ht l thiu ht cc
ngun vn di hn c li sut c nh. l s khng yu thch u
t di hn ca mt b phn ln cc nh u t. iu ny cng th hin
r khi li sut bin ng v t l lm pht khng chc chn. kt qu
l Ngn hng dng vn ngn hn ti tr cho cc khon tn dng
di hn. iu ny to ra ri ro thanh khon v cc kh khn trong vic
thng xuyn phi tm ra ngun vn mi thay th.
Nhn r s chnh lch v k hn gia ti sn c v ti sn n. Cc
nh qun l Ngn hng tch cc tm kim danh mc ti sn n c
k hn di hn. Mt danh mc ti sn n c k hn di s cho php
Ngn hng trnh c s khng chc chn v ngun vn trong tng
lai, gim c ti sn d tr thu nhp thp, v gii quyt c chi ph
lin quan n vic phi tun hon thng xuyn ngun vn ngn hn,
ng thi do li sut c nh chi ph vn l bit trc, iu ny cho
php Ngn hng trnh c ri ro li sut (khi li sut tng) v c phng
n kinh doanh c hiu qu. Chin lc ngun vn di hn vi li sut c
nh cn gip Ngn hng trnh c nhng nh hng xu khi th trng vn bt n, v khng b tn thng trc nhng tin n xu lin
quan n li ch ca Ngn hng.
Nu qu trnh thc hin chin lc ngun vn di hn vi li xut c
nh bc l ri ro li sut (khi li sut gim), nh qun l Ngn hng
c th s dng cc cng c phng nga nh hon i li sut t
c li sut mong mun.
30

C nhiu phng php khc nhau Ngn hng tng c k hn

ca danh mc ti sn n. V d trn th trng bn l, p dng chnh
sch li sut di hn hp dn hn hn so vi ngn hn. Tuy nhin vic
xc nh mc li sut ti u l mt vn ht sc phc tp, bi v
vn phc tp cn gii quyt l: vi mc li sut ngn hn ang p
dng, khch hng gi tin ang chp nhn mt cch bnh thng, vy
mc li sut di hn phi l bao nhiu :
- Nhng ngi gi tin t nguyn chuyn t u t ngn hn sang
di hn.
- Ngn hng vn t c mc ch kinh doanh c li bnh thng,
tc l c s nh i gia mt bn l chi ph vn tng v bn kia l
gim c ti sn d tr thu nhp thp, gim c ngun vn ngn hn
v gim c ri ro thanh khon.
Mt phng n khc l tng mc li sut i vi ngun gi khng k
hn n nh s d ca con s ny. Tuy nhin, trong thc t cc
Ngn hng thng khng p dng phng php ny, tr khi ngun vn
ny gim st nghim trng. L do l li sut tin gi khng k hn tng,
lm tng chi ph li sut i vi c s d khng k hn hin hnh v s
d huy ng mi tng thm, trong khi li sut tin gi c k hn ch
lm tng chi ph li sut i vi cc khon huy ng mi.
Trn th trng bn bun mi Ngn hng c th tng ngun vn di
hn c li sut c dnh bng cch pht hnh tri phiu. thng vn
thng qua pht hnh tri phiu Ngn hng phi c xp hng tn
nhim cao, hay phi c danh ting trn th trng.
Nh vy vn qun l ti sn thanh khon v qun l ti sn n
i vi Ngn hng c mt quan h vi nhau. C nhiu yu t nh hng ti s la chn s lng ti sn c lm d tr thanh khon. Mt
Ngn hng c quyn qun l ti sn n tc ng ti ri ro rt vn.
Tuy nhin, gim ri ro rt vn th chi ph ca ngn hng thng
31

tng, v nhng ngun vn c ri ro rt vn thp thng c chi ph cao,

v cc ngun vn c ri ro cao th c chi ph thp.
Cc chin lc qun l ti sn n u th hin mt quy lut nh
i: thu nhp v kh nng thanh khon.
4. Lng ho ri ro thanh khon
4.1. Phng php tip cn cung cu thanh khon
Mt trong nhng phng php c lng yu cu thanh khon l phn
tch m hnh cung cu thanh khon.
4.1.1. Cu thanh khon
* Khch hng rt tin gi: y l nhu cu thanh khon c tnh
thng xuyn, tc thi, bao gm cc loi tin gi khng k hn, tin gi
thanh ton, tin gi c k hn c th rt tin trc hn. Trong , tin
gi khng k hn v tin gi thanh ton, ngn hng lun phi ch
m bo mt khon tin mt ti qu p ng nhu cu thanh ton
t ti khon ny.
* Cc cam kt tn dng v cc hn mc tn dng: y l cc
khon tn dng m Ngn hng cam kt cho khch hng vay trong tng lai. Khi n hn hay c yu cu ca khch hng, Ngn hng cn
phi p ng kp thi to uy tn v duy tr quan h vi khch
hng, c bit l vi khch hng cht lng.
* Hon tr n vay: L khon tin m Ngn hng phi hon tr
cho cc khon i vay t cc t chc kinh t, c nhn, cc t chc tn
dng khc t NHTW,
* Chi ph hot ng v tr thu: Bao gm cc khon chi ph lin
quan n hot ng qun l, tin lng, tin bo him, tin mua
sm, tin tr cc loi thu.
* Thanh ton cho c ng:Yu t thi im ca cu thanh
khon l ht sc quan trng.Nhu cu thanh khon c th pht sinh
trong ngn hn. c th l mt khch hng c s d tin gi khng
32

k hn Ngn hng rt tin, hay nhu cu thanh khon thng xuyn

nht l ti khon tin gi thanh ton. p ng nhu cu thanh
khon ny Ngn hng c th nh lng tin mt ti qu hay gi ti
NHTW, hay bn cc ti sn thanh khon
Nhu cu thanh khon pht sinh trong di hn: bao gm nhng nhu
cu c tnh thi v, chu k hay xu hng. V d s c ln sng rt tin
vo ma h chi tiu cho cc k ngh v chun b cho cc con i
hc, hay mua sm vo cc dp l tt p ng nhu cu thanh
khon ny Ngn hng phi c k hoch trong di hn, ngoi cc khon
cung thanh khon thng xuyn, Ngn hng cng tng cng tch tr cc
ti sn thanh khon hay s dng nhng ngun vn di hn, cc hn
mc di hn vi cc Ngn hng khc
4.1.2. Cung thanh khon
Bao gm:
- Tin gi mi ca khch hng: y c xem l ngun cung thanh
khon quan trng nht ca Ngn hng nhu cu thanh khon thng xuyn. Vi nhng c im dng vn ngn hn ti tr cho ti
sn c di hn, vic huy ng thm c cc ngun vn mi rt l tt
i vi Ngn hng.
- Khch hng hon tr tn dng: y c xem nh l ngun cung
thanh khon quan trong th hai. Hot ng tn dng l hot ng
chnh ca Ngn hng, mang li ngun thu ln nht cho Ngn hng.
Nhng cng tim n ri ro cao, nh hng n kh nng thanh ton cui
cng ca Ngn hng. Nu nh mi khon tn dng u c thanh ton
ng hn th khng nhng m bo kinh doanh, m cn l ngun
cung thanh khon ln cho Ngn hng.
- i vay trn th trng tin t: Ngn hng c th tng ngun
cung vn thanh khon bng cch i vay trn th trng tin t, bao

33

gm cc khon vay mi, gia hn v tun hon n vayCc giao dch

din ra gia cc Ngn hng vi cc Ngn hng khc hay vi NHTW.
- Thu nhp bn t ti sn: p ng nhu cu thanh khon,
Ngn hng c th chuyn ho mt phn ti khon thanh khon thnh
tin mt. Ti sn thanh khon ch yu ca Ngn hng ch yu bao
gm tin mt ti qu, tin gi ti NHTW, tin gi khng k hn hoc
cc t chc tn dng khc, tri phiu chnh ph, tri phiu kho bc.
- Thu nhp t cung cp cc dch v Ngn hng: L thu nhp t
vic cung cp cc dch v nh bo lnh, thanh ton, t vn.
4.1.3. Trng thi thanh khon rng
Trng thi thanh khon rng (Net liquidity position NLP) l chnh
lch gia cung v cu thanh khon ti mt thi im xc nh.
NPL = cu thanh khon cung thanh khon
Nu cu vt cung (NPL<0), xy ra tnh trng thm ht thanh
khon. Nh qun l ngn hng cn phi xem xt, v quyt nh b
sung ngun cung thanh khon kp thi vi cc chi ph thp.
Nu cung vot cu (NLP>0), xy ra tnh trng thng d thanh
khon. Nh qun l Ngn hng phi u t vo cc khon thng d
cho ti khi chng cn s dng thanh khon trong tng lai.
Mt thc t thng xuyn xy ra l him khi cung v cu li bng
nhau ti mt thi im no. iu ny hm , Ngn hng phi thng
xuyn i mt v x l cc tnh trng thm ht thanh khon hay
thng d thanh khon.
Gii quyt vn thanh khon cha ng s nh i gia
tnh thanh khon v kh nng sinh li ca Ngn hng. c kh
nng thanh khon cao, Ngn hng phi nm gi cc ti sn thanh
khon, m thng em li thu nhp thp hoc khng thu nhp cho
Ngn hng.
4.2. Phng php tip cn ch s thanh khon
34

4.2.1 Ch s v trng thi tin mt

Trng thi tin mt = tin mt v tin gi cc t chc tn dng /
tng ti sn.
Mt t l tin mt cao s gip cho Ngn hng c kh nng p
ng nhu cu thanh khon nhanh chng.
4.2.2. Ch s v chng khon thanh khon
L t s gia chng khon lng v tng ti sn, nm gi mt ti
sn chng khon lng cng tng kh nng thanh khon ca Ngn
hng.
4.2.3. T l cam kt tn dng/ tng ti sn
T l ny cao phn nh nhu cu thanh khon cng cao. Cng c
ngha l Ngn hng s i mt vi ri ro thanh khon cao.
4.2.4. Ch tiu tin nng
Ch tiu tin nng = tin nng bn ti sn c/ tin nng bn ti
sn n.
Tin nng l cc loi tin nhy cm vi li sut, thng bao gm tin
mt, tin gi khng k hn, chng khon chnh ph ngn hn, v cc
ti sn c th chuyn ho thnh tin mt trong ngn hn. Nu ch
tiu tin nng cng cao th Ngn hng c xem l thanh khon.
4.2.5. Ch tiu tin gi thng xuyn
Ch tiu tin gi thng xuyn = tin gi thng xuyn/ tng ti sn
nu ch tiu ny cng ln th Ngn hng c xem nh thanh khon.
4.2.6. Ch tiu c cu tin gi
Ch tiu c cu tin gi = tin gi khng k hn/ tin gi c k
hn.
Ch tiu ny cng ln th nhu cu thanh khon i vi mt ngn
hng cng tng. Ri ro thanh khon theo cng tng.
4.2.7. Ch tiu nng lc cho vay
Nng lc cho vay= n qu hn/ tng ti sn.
35

Ch tiu ny phn nh kh nng thu hi ca Ngn hng. Nu cc

khon n qu hn tng c th nh hng n ngun cung thanh khon.
Do , nu t l ny tng th ri ro thanh khon cng tng.
4.3. Cc tiu ch tng hp nh gi thanh khon-cc tn hiu
t th trng
i. S tin tng ca dn chng: c bng chng v Ngn hng nh
mt nim tin ca ngi gi tin, bi v cc c nhn hay t chc kinh
t u lo ngi ngn hng khng tin mt v khng c kh nng
hon tr tin gi.
ii. S bin ng ca th gi c phiu do Ngn hng pht hnh:
th gi c phiu gim v cc nh u t t nhn thy ngn hng
ang ng trc mt khng hong thanh khon.
iii. p dng mc li sut huy ng cao hn th trng: c bng
chng cho thy ngn hng p dng mc li sut th trng mt cc bt
thng. Hay ni mt cch khc th trng i hi phn b ri ro cao di
hnh thc p dng mc chi ph vn vay cao: bi v Ngn hng c
xem l ang phi i mt vi cuc khng hong thanh khon.
iv. Chu l khi bn ti sn: c bng chng Ngn hng phi bn vi
v ti sn ca mnh v chu l ln p ng nhu cu thanh khon.
Vic chuyn i ti sn thnh tin mt ca Ngn hng c mt thng xuyn.
v. p ng y cc nhu cu cam kt tn dng: Ngn hng c
kh nng p ng ng hn v y cc cam kt tn dng? Nhu
cu xin vay ca nhng khch hng c h s tn nhim cao c c
gii quyt?
vi. Vay NHTW: Ngn hng buc phi vay NHTW vi khi lng ln v
thng xuyn hn.

36

Chng 4: S dng m hnh hi quy c lng ri ro thanh

khon ca Ngn hng Quc t Vit Nam- VIB
1. Gii thiu
i vi bt k mt Ngn hng no, kh nng thanh ton tc thi l
ht sc quan trng. Bn ti sn n ca Ngn hng, tin gi khng k
hn v tin gi thanh ton chim t trng ln bi chi ph vn ca n
rt thp. Nhng vic nm gi t trng ln loi tin gi ny cng ng
ngha vi vic Ngn hng thng xuyn phi i mt vi tnh hung
ngi gi tin c th rt bt k lc no v vi khi lng l bao nhiu.
Nu gi c kh nng thanh ton tc thi th Ngn hng s ly c
nim tin ca ngi gi tin. Nh vy, kh nng thanh ton tc thi lin
quan n s tn ti v pht trin ca mt Ngn hng. Trong chuyn
ny em xin gii thiu mt phng php o lng h s thanh khon
ca Ngn hng. l bng m hnh hi quy trong kinh t lng kt hp
vi vic s dng cc cng c ton hc c lng h s thanh khon
ca Ngn hng Quc t Vit Nam- VIBank.
2. T l thanh khon
Ngun cung chnh m Ngn hng s dng p ng nhu cu
thanh khon tc thi ch yu l tin mt v chng khon lng. V
o lng kh nng thanh khon nhanh ca Ngn hng ta c th s
dng t s gia Trng thi tin mt + chng khon lng v tin gi
khng k hn + tin gi thanh ton.
- Trng thi tin mt ca Ngn hng bao gm: Tin mt ti qu,
tin gi ti NHTW, tin gi khng k hn ti cc t chc tn dng khc.
- Chng khon lng ca Ngn hng bao gm: Tri phiu Chnh
ph, tri phiu kho bc.

37

T s gia Trng thi tin mt + chng khon lng vtin gi

khng k hn + tin gi thanh ton, cng cao th kh nng thanh
khon ca Ngn hng cng c m bo.
3. M hnh c lng

Yt = 1

X t2 Yt 13

(1)

Trong :
Yt: l t s gia Trng thi tin mt + chng khon lng v
tin gi khng k hn + tin gi thanh ton, cho ta thy kh nng
sn sng thanh ton ca Ngn hng trong trng hp ngi gi tin thc
hin rt tin vi khi lng ln.
Nu t l ny ln hn hoc bng 1, Ngn hng c kh nng
thanh ton trong trng hp xu nht.
Nu t s ny nh hn 1, Ngn hng cn phi xem xt trn th
trng, xem c ng thi no khin ngi gi tin s rt tin ng lot
hay khng t c s chun b ph hp.
Xt: l t s gia u t v tng ti sn. Nu nh Ngn hng s
dng nhiu ti sn hn u t s lm gim bt lng tin mt m
Ngn hng c. Ngn hng l mt n v kinh doanh mang tnh cht
c th. Cng nh cc doanh nghip khc, Ngn hng lun tm cch
ti a ho li nhun ca mnh. Nhng Ngn hng khc doanh
nghip kinh doanh thng thng ch Ngn hng lun phi nh i
gia thu nhp cao v kh nng thanh ton ca mnh. Nu nh trong
mt thi k Ngn hng ch trng vo kinh doanh t li nhun
cao( tng u t) th kh nng thanh khon ca Ngn hng s thp.
Ngc li, m bo kh nng thanh khon cao, Ngn hng tng cng nm gi cc ti sn c tnh lng cao, l nhng ti sn em li thu
nhp thp cho Ngn hng. Do khi t l ny tng( X tng ) th bin
ph thuc Yt s gim, h s 2 c k vng l mang du (-).
38

Yt-1: l bin tr mt thi k ca bin ph thuc Y t. Nu thi k trc Ngn hng c t l thanh ton nhanh nht nh th thi k sau
n s c duy tr hoc tng ln. Do h s 3 c k vng l mang
du (+).
t: l thi gian tnh theo thng (bt u t thng 1/2003 n
12/2006)
4. c lng m hnh bng phng php bnh phng nh nht
4.1. M hnh:
Bin i m hnh (1) tr thnh:
Log (Yt) = log( 1 ) + 2 log(Xt) + 3 log(Yt-1)
t log( 1 ) = ta c:
Log (Yt) = + 2 log(Xt) + 3 log(Yt-1)
M hnh hi quy mu c dng:
Log (Yt) = + 2 log(Xt) + 3 log(Yt-1) + Ut

(2)

(Ut l sai s ngu nhin)

4.2. Gi thit:
1. Cc bin c lp l cc bin xc nh v gi tr ca chng l
cc bin s c bit trc.
2. Vi bt k gi tr no ca bin c lp th nh hng trung
bnh ca yu t ngu nhin hay ca tt c cc yu t khng c mt
trong m hnh n bin ph thuc l khng ng k. Tc l:
E(U/X=Xi) = E(Ui) = 0

(vi i)

3. Phng sai ca cc yu t ngu nhin v phng sai ca cc yu

t khc l ng u.
Var(U/X=Xi) = Var(Ui) = 2 (vi i).
3. Cc yu t ngu nhin khng tng quan vi nhau.
39

Cov(Ui,Uj) = E(Ui,Uj) = 0

(vi i).

4. Yu t ngu nhin v bin c lp khng tng quan vi nhau.

Sai s khng nh hng ti bin c lp.
Cov(U,X) = 0
4.3. Kt lun:
Vi cc gi thit 1-5 cc c lng nhn c t phng php bnh phng nh nht l cc c lng tuyn tnh, khng chch v c phng sai
nh nht.
5. Kt qu c lng bng EVIEWS
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 04/25/07 Time: 00:44
Sample: 2003:02 2005:12
Included observations: 35
Convergence achieved after 5 iterations
Variable
Coefficient Std. Error
t-Statistic
LOG(X)
-0.008415 0.021703
-0.387748
C
-2.726644 0.763811
-3.569788
AR(1)
0.823963 0.104089
7.915988
R-squared
0.672735
Mean dependent var
Adjusted R-squared 0.652281
S.D. dependent var
S.E. of regression
0.783491
Akaike info criterion
Sum squared resid
19.64346
Schwarz criterion
Log likelihood
-39.55478
F-statistic
Durbin-Watson stat
2.201162
Prob(F-statistic)
Inverted AR Roots
.82

Prob.
0.7008
0.0012
0.0000
-2.545044
1.328678
2.431702
2.565017
32.89002
0.000000

40

T kt qu c lng trn ta thy: vi mc ngha 5% th cc h s

u c ngha v mt kinh t. iu ny ni ln rng cc bin c
cho vo m hnh gii thch s thay i ca bin ph thuc.
Ta c phng trnh c lng:
LOG(Y) = -2,726644 0,008415*LOG(X) + 0,823963*LOG(Y t-1)
ngha ca h s betas:

2 =

- 0,008415 .Khi gi nguyn yu t tr mt thi k ca

bin Y, nu LOG(X) tng 1 n v th LOG(Y) gim 0,008415 n

v. Ph hp v mt l thuyt. T l u t trn tng ti sn nh hng ngc chiu ti t l thanh ton ca Ngn hang.

3 = 0,823963. Khi gi nguyn cc yu t khc, nu LOG(Y t-1)

tng 1 n v th LOG(Y) tng 0,823963 n v. iu ny ph hp v

mt l thuyt. T l thanh ton ca Ngn hang thi trc trc s tc
ng dng ti t l thanh ton thi k sau .
R2= 67,27 cho bit 67,27% s thay i ca bin ph thuc c gii thch bi cc bin LOG(X) v LOG(Yt-1).
6. Kim nh cc gi thit ca m hnh
6.1. Phng sai ca sai s thay i
Kim nh White
B1: c lng m hnh (2) bng phng php OLS. Thu c phn d tng ng RESID.
B2: c lng m hnh sau y:
RESID2 = 1 + 2LOG(X) + 3( LOG(X) 2
41

B3: Kim nh cp gi thit sau:

Ho: 2 = 3 =0 (phng sai ca sai s khng i)
H1: phng sai ca sai s thay i
Bng c lng EVIEWS:
Test
Equation:
Dependent
Variable:
RESID^2
Dependent
Variable: RESID
Method: Least Squares
Method:Time:
Least03:13
Squares
Date: 08/20/05
Date: 08/20/05
03:33
Sample(adjusted):
2003:02Time:
2005:12
Presample
missing
value
laggedendpoints
residuals set to zero.
Included observations: 35 after adjusting
Coefficient
Error
t-Statistic
Prob.
Variable Variable
Coefficient
Std. ErrorStd.t-Statistic
Prob.
LOG(X)
0.005604
0.022790
0.245874
LOG(X)
0.197431 0.127110
1.553228
0.1302 0.8075
C
0.076461
0.804279
0.095068
LOG(X)^2
0.005187 0.004124
1.257866
0.2175 0.9249
AR(1)
-0.056136
0.166895
-0.336358
C
1.119065 0.408967
2.736320
0.0101 0.7390
RESID(-1)
-0.015084 0.261130
-0.057764 0.9543
R-squared
0.079381
Mean dependent var
0.561242
RESID(-2)
0.258509 0.236096
1.094930
0.2826
Adjusted R-squared 0.021842
S.D. dependent var
1.343069
R-squared
0.054797
Mean
dependent
var
S.E. of regression
1.328321
Akaike info criterion
3.487524-3.23E-13
Adjusted
R-squared
-0.075576
S.D.
dependent
var
0.771244
Sum squared resid
56.46193
Schwarz criterion
3.620840
S.E.
of
regression
0.799857
Akaike
info
criterion
Log likelihood
-58.03167
F-statistic
1.3796052.526285
Sum
squared
resid
18.55337
Schwarz
criterion
Durbin-Watson stat
1.859288
Prob(F-statistic)
0.2662452.750750
Log likelihood
-37.94685
F-statistic
0.420309
Durbin-Watson stat
1.958970
Prob(F-statistic)
0.792632

Da vo kt qu c lng: vi mc ngha 5% c gi tr P_value l

0,266245 ( kim nh F). Chp nhn gi thit H o.Hay phng sai ca
sai s l ng u.
Kim nh t tng quan

42

Gi thit cn kim nh:

Ho: khng tn ti hin tng t tng quan
H1 : tn ti hin tng t tng quan bc nht.
Da vo bng c lng: S dng thng k F, gi tr P_value l
0,792632, vi mc ngha l 5% cho ta kt lun rng chp nhn gi
thit Ho. Hay khng tn ti hin tng t tng quan bc nht.
Kim nh s phn phi chun ca yu t ngu nhin
Kim nh gi thit:
Ho: U c phn b chun
H1 : U khng c phn b chun
20

Series: Residuals
Sample 2003:03 2005:12
Observations 34

16
12
8
4
0
-2

-1

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

-3.23E-13
0.095915
2.007120
-2.457066
0.771244
-0.800848
6.400318

Jarque-Bera
Probability

20.01410
0.000045

43

Da vo kim nh: JB= 20,01410, P_value l 0,000045.Vi

ngha thng k l 5% th Ho b bc b.Do cc kim nh T v F
khng cn ngha na.Hay U khng c phn b chun.
6.2. Kim nh s thiu bin ca m hnh( kim nh
Ramsey)
Kt qu c lng di y cho thy: Kim nh F, c gi tr
P_value nh hn mc ngha 0,05%. V vy bc b gi thit H o.Hay
m hnh a ra l khng hon ho.Vn cn thiu bin.

44

F-statistic
Log likelihood ratio

3.956298
8.202739

Test Equation:
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 08/20/05 Time: 04:46
Sample: 2003:03 2005:12
Included observations: 34
Convergence achieved after 6 iterations
Variable
Coefficient
LOG(X)
0.015966
C
0.283899
FITTED^2
-0.984196
FITTED^3
-0.184126
AR(1)
0.181109
R-squared
0.742952
Adjusted R-squared
0.707497
S.E. of regression
0.729225
Sum squared resid
15.42130
Log likelihood
-34.80352
Durbin-Watson stat
2.021627
Inverted AR Roots
.18

Probability
Probability

Std. Error
t-Statistic
0.028804
0.554308
0.589973
0.481206
0.226573 -4.343836
0.050073 -3.677185
0.265317
0.682615
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.030251
0.016550

Prob.
0.5836
0.6340
0.0002
0.0010
0.5003
-2.540089
1.348331
2.341384
2.565849
20.95485
0.000000

Kt lun: M hnh a ra trn y v c bn p ng y

cc gi thit ca phng php OLS.V vy phng php c lng ri ro
thanh khon bng m hnh kinh t lng trn y c th l mt cng
c gip ch t nhiu cho cng tc qun tr ri ro ca Ngn hng. Tuy
nhin v kin thc vn cn hn ch v b s liu s dng khng c
y nn m hnh em a ra vn cn mt s khuyt tt nh.

C - Kt lun
Qu trnh phn tch v nh gi cho thy hot ng kinh doanh
ca Ngn hng Quc t Vit Nam - VIBank pht trin mnh c v
quy m ln cht lng. Mc d hot ng cho vay v u t chim t
45

trng ln xong mc ri ro vn trng thi an ton v c th kim

sot c. Tuy nhin Ngn hng VIbank cn phi phng cc bin
ng kinh t xy ra. V t c bin php phng trnh ri ro kp
thi.
Trn y em trnh by v cc yu t nh hng ti ri ro thanh
khon, mt trong nhng ri ro quan trng nht i vi hot ng Ngn
hng v phng php c lng ri ro . Hy vng phng php s dng m
hnh Kinh t lng c lng c th mang li cho pha cc nh qun tr
Ngn hng mt hng mi d bo v ri ro thanh khon. Mc d
rt c gng xong kin thc cn nhiu hn ch v b s liu s dng
khng y nn m hnh a ra cn nhiu thiu st. Em mong c
s ng gp kin ca cc anh, ch phng Qun l tn dng gip em
hon thin chuyn thc tp ca mnh.
Em xin chn thnh cm n thy gio.TS. Trn Trng Nguyn
nhit tnh hng dn em hon thnh ti ny. Em cng xin cm n cc
c, ch ban lnh o Ngn hng Quc t Vit Nam - VIBank gip
em trong cng vic thc tp ca mnh, em hon thnh chuyn
thc tp ny.

46

Danh mc ti liu tham kho

1. Gio trnh Kinh t lng. PGS.TS. Nguyn Quang Dong

2. Tin t Ngn hng v th trng ti chnh.Frederic
S.Mishkin;NXB Khoa hc v k thut H Ni-2001.
3. Gio trnh Ngn hng thng mi.PGS.TS. Phan th Thu H
4. Ngn hng Quc T Vit Nam- VIBank, bo co thng nin cc
nm.
5. Ngn hng Quc T Vit nam- VIBank,ti liu tng kt hot
ng cc nm 2003-2006.
6. Tp ch Ngn hng cc s nm 2003-2005
7. Qun tr Ngn hng thng mi.Peter Rose.NXB.Ti chnh
8. Gio trnh M hnh ton kinh t.TS. Nguyn Khc Minh.H Ni
1995

47

Ph lc
Bng 1:

Jan-03
Feb-03
Mar-03
Apr-03
May-03
Jun-03
Jul-03
Aug-03
Sep-03
Oct-03
Nov-03
Dec-03
Jan-04
Feb-04
Mar-04
Apr-04
May-04
Jun-04
Jul-04
Aug-04
Sep-04
Oct-04
Nov-04

TS lng

Cho vay

u t

54546780305
48427379054
1.01136E+11
85116640381
45930916263
44998871485
44850220845
48640721620
1.05521E+11
1.36571E+11
1.90467E+11
2.2702E+11
2.48356E+11
2.50215E+11
2.58502E+11
2.72587E+11
2.50578E+11
3.45105E+11
3.58287E+11
3.62676E+11
3.82611E+11
3.92685E+11
3.67005E+11

9.16081E+11
9.22833E+11
9.02699E+11
9.19039E+11
9.49409E+11
9.69435E+11
9.80578E+11
1.05804E+12
1.04813E+12
1.01854E+12
1.05186E+12
1.09163E+12
1.16017E+12
1.18431E+12
1.27236E+12
1.34206E+12
1.31608E+12
1.38137E+12
1.47908E+12
1.55165E+12
1.64646E+12
1.78219E+12
1.9291E+12

7.94434E+11
8.42729E+11
7.82894E+11
7.34844E+11
7.55739E+11
7.90059E+11
6.89411E+11
5.95174E+11
4.68051E+11
4.66663E+11
6.06379E+11
6.4596E+11
5797581276
4696864361
8298845398
4179802214
7888794818
48790168140
20281099379
8321910056
7545018080
3223453405
3266183968

TG khng k hn
v TG thanh ton
7.1125E+11
7.30393E+11
7.44793E+11
6.91827E+11
7.03244E+11
8.14575E+11
5.52813E+12
5.54392E+11
1.06905E+12
3.65271E+11
5.25443E+11
7.42831E+11
8.84486E+11
1.01821E+12
8.83874E+11
1.07963E+12
1.0072E+12
1.00081E+12
1.10346E+12
1.23871E+12
1.20564E+12
1.28164E+12
1.41146E+12

Tng TS

1.78405E+12
1.84527E+12
1.82266E+12
1.77004E+12
1.77014E+11
1.84318E+12
1.75729E+12
1.76747E+12
1.64447E+12
1.63663E+12
1.86333E+12
1.99229E+25
2.24143E+12
2.48778E+12
2.39481E+12
2.62753E+12
2.56354E+12
2.59544E+12
2.83637E+12
3.10213E+12
3.18895E+12
3.39688E+12
3.56777E+12

0.44529768
0.456696803
0.429533705
0.415156385
4.269383318
0.428638189
0.392315139
0.336738051
0.28462101
0.285136334
0.325427772
3.24229E-14
0.002586552
0.001887975
0.003465347
0.001590774
0.003077299
0.018798455
0.007150376
0.002682641
0.002365989
0.000948945
0.000915468

0.076691395
0.066303215
0.135790323
0.123031684
0.065312944
0.055242119
0.008113091
0.087737002
0.098704803
0.373890005
0.362489053
0.305615042
0.280791676
0.245740961
0.292464226
0.252481716
0.248785929
0.34482662
0.32469336
0.292786166
0.317351794
0.306392066
0.260018659

48

Dec-04
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05

3.34748E+11
1.06026E+11
1.31903E+11
1.50146E+11
1.36174E+11
2.79158E+11
1.53794E+11
2.37779E+11
2.73973E+11
1.50806E+11
1.79254E+11
1.80423E+11
3.92313E+11

5.79571E+11
2.35613E+12
2.40512E+12
2.62373E+12
2.733E+12
3.00189E+12
3.29016E+12
3.63282E+12
3.92806E+12
4.17205E+12
4.33497E+12
4.63708E+12
5.05112E+12

3563514305
5.29011E+11
5.29011E+11
5.03717E+11
5.03717E+11
5.03717E+11
5.18907E+11
6.13895E+11
6.18708E+11
8.72148E+11
8.96108E+11
9.15132E+11
9.18217E+11

1.59522E+12
7.41315E+12
8.0195E+12
8.52395E+12
9.06823E+12
9.74561E+12
9.87237E+12
1.07994E+13
1.16105E+13
1.2579E+13
1.30742E+13
1.35983E+13
1.53399E+13

2.44993E+12
4.42199E+12
4.95347E+12
5.24636E+12
5.69634E+12
5.96085E+12
5.90951E+12
6.31486E+12
6.78973E+12
7.384E+12
7.66385E+12
7.86572E+12
8.97824E+12

0.001454538
0.11963178
0.106796021
0.096012798
0.088428303
0.084504326
0.087808908
0.09721439
0.091124024
0.118113204
0.11692659
0.116344368
0.102271391

0.209845024
0.014302455
0.016447793
0.017614559
0.015016569
0.028644464
0.015578266
0.022017874
0.023597086
0.011988735
0.013710572
0.013268001
0.025574713

49

Bng 2:
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 08/20/05 Time: 04:46
Sample(adjusted): 2003:03 2005:12
Included observations: 34 after adjusting endpoints
Convergence achieved after 5 iterations
Variable
Coefficient
Std. Error
t-Statistic
LOG(X)
-0.008359
0.022045
-0.379197
C
-2.706567
0.785500
-3.445660
AR(1)
0.823937
0.105705
7.794661
R-squared
0.672817 Mean dependent var
Adjusted R-squared
0.651708 S.D. dependent var
S.E. of regression
0.795734 Akaike info criterion
Sum squared resid
19.62897 Schwarz criterion
Log likelihood
-38.90489 F-statistic
Durbin-Watson stat
2.167012 Prob(F-statistic)
Inverted AR Roots
.82

Prob.
0.7071
0.0017
0.0000
-2.540089
1.348331
2.464994
2.599673
31.87408
0.000000

50

Bng 3
Method: Least Squares
Date: 08/20/05 Time: 03:13
Sample(adjusted): 2003:02 2005:12
Included observations: 35 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
LOG(X)
0.197431
0.127110
1.553228
LOG(X)^2
0.005187
0.004124
1.257866
C
1.119065
0.408967
2.736320
R-squared
0.079381 Mean dependent var
Adjusted R-squared
0.021842 S.D. dependent var
S.E. of regression
1.328321 Akaike info criterion
Sum squared resid
56.46193 Schwarz criterion
Log likelihood
-58.03167 F-statistic
Durbin-Watson stat
1.859288 Prob(F-statistic)

Prob.
0.1302
0.2175
0.0101
0.561242
1.343069
3.487524
3.620840
1.379605
0.266245

51

Bng 4:

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 08/20/05 Time: 03:33
Presample missing value lagged residuals set to zero.
Variable
Coefficient Std. Error t-Statistic
LOG(X)
0.005604
0.022790 0.245874
C
0.076461
0.804279 0.095068
AR(1)
-0.056136 0.166895 -0.336358
RESID(-1)
-0.015084 0.261130 -0.057764
RESID(-2)
0.258509
0.236096 1.094930
R-squared
0.054797
Mean dependent var
Adjusted R-squared
-0.075576
S.D. dependent var
S.E. of regression
0.799857
Akaike info criterion
Sum squared resid
18.55337
Schwarz criterion
Log likelihood
-37.94685
F-statistic
Durbin-Watson stat
1.958970
Prob(F-statistic)

Prob.
0.8075
0.9249
0.7390
0.9543
0.2826
-3.23E-13
0.771244
2.526285
2.750750
0.420309
0.792632

52

Bng 5:
20

Series: Residuals
Sample 2003:03 2005:12
Observations 34

16
12
8
4
0
-2

-1

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

-3.23E-13
0.095915
2.007120
-2.457066
0.771244
-0.800848
6.400318

Jarque-Bera
Probability

20.01410
0.000045

53

Mc lc
A. Li m u.........................................................................................
1
Ni dung..................................................................................................
2
Chng1 : Tng quan v Ngn hng Quc t Vit Nam VIBank.......
2
1. Gii thiu chung v Ngn hng Quc t
.................................................................................................................
2
2. Lnh vc hot ng ca Ngn hng
.................................................................................................................
3
2.1. Dch v ngn hng doanh nghip
.................................................................................................................
4
2.2. Dch v ngn hng c nhn
.................................................................................................................
4
2.3. Dch v ngn hng nh ch
.................................................................................................................
4
3. Cc hot ng ch yu ca Ngn hng
.................................................................................................................
4
3.1. Hot ng huy ng vn
.................................................................................................................
4
3.2. Hot ng tn dng

54

.................................................................................................................
6
3.3. Hot ng dch v
.................................................................................................................
7
3.4. Hot ng u t
.................................................................................................................
8
3.5. Hot ng qung co, khuych trng v quan h cng
chng.......................................................................................................
9
3.6. Pht trin mng li chi nhnh
.................................................................................................................
10
3.7. Cng ngh ngn hng v thng tin
.................................................................................................................
10
3.8. Hon thnh n ti c cu Ngn hng Quc t
.................................................................................................................
11
3.9. Pht trin ngun nhn lc
.................................................................................................................
11
3.10. Kt qu kinh doanh
.................................................................................................................
12
Chng 2: L thuyt chung v ri ro i vi hot ng ca Ngn hng. .
13
1. Gii thiu chung
.................................................................................................................
13
55

2. Nhng ri do ch yu trong kinh doanh ngn hng

.................................................................................................................
15
2.1. Ri ro li sut
.................................................................................................................
15
2.2. Ri ro tn dng
.................................................................................................................
16
2.3. Ri ro thanh khon
.................................................................................................................
16
2.4. Ri ro hi oi
.................................................................................................................
17
2.5. Ri ro mi trng
.................................................................................................................
17
2.6. Ri ro trong cng ngh
.................................................................................................................
18
2.7. Cc ri ro khc
.................................................................................................................
18
Chng 3: L thuyt v ri ro thanh khon.............................................
19
1. Khi qut ri ro thanh khon i vi hot ng Ngn hng
.................................................................................................................
19
2. Nguyn nhn lm pht sinh ri ro thanh khon
.................................................................................................................
20
56

2.1. Nhng ngyn nhn tin

.................................................................................................................
20
2.2. Nguyn nhn t hot ng
.................................................................................................................
21
2.3. Mt s bin php nghip v phng trnh ri ro thanh
khon.......................................................................................................
22
2.3.1. X l ri ro thanh khon pht sinh bn ngoi ti sn n
.................................................................................................................
22
2.3.2. Phng php qun l ti sn n
.................................................................................................................
23
2.3.3. Phng php qun l ti sn c (chuyn ho ti sn)
.................................................................................................................
23
2.3.4. X l ri ro thanh khon pht sinh bn ti sn c
.................................................................................................................
24
3. Chin lc qun l ti sn n
.................................................................................................................
24
3.1. Chin lc pht trin n nh th trng bn l
.................................................................................................................
24
3.2. Chin lc a dng ho ngun vn
.................................................................................................................
25
3.3. Chin lc tng cng ngun vn di hn c li sut c nh

57

.................................................................................................................
26
4. Lng ho ri ro thanh khon
.................................................................................................................
28
4.1. Phng php tip cn cung cu thanh khon
.................................................................................................................
28
4.1.1. Cu thanh khon
.................................................................................................................
28
4.1.2. Cung thanh khon
.................................................................................................................
29
4.1.3. Trng thi thanh khon rng
.................................................................................................................
29
4.2. Phng php tip cn ch s thanh khon
.................................................................................................................
30
4.2.1 Ch s v trng thi tin mt
.................................................................................................................
30
4.2.2. Ch s v chng khon thanh khon
.................................................................................................................
30
4.2.3. T l cam kt tn dng/ tng ti sn
.................................................................................................................
30
4.2.4. Ch tiu tin nng
.................................................................................................................
30
58

4.2.5. Ch tiu tin gi thng xuyn

.................................................................................................................
31
4.2.6. Ch tiu c cu tin gi
.................................................................................................................
31
4.2.7. Ch tiu nng lc cho vay
.................................................................................................................
31
4.3. Cc tiu ch tng hp nh gi thanh khon-cc tn hiu t
th trng..................................................................................................
31
Chng 4: S dng m hnh hi quy c lng ri ro thanh khon ca
Ngn hng Quc t Vit Nam- VIB.......................................................
33
1. Gii thiu
.................................................................................................................
33
2. T l thanh khon
.................................................................................................................
33
3. M hnh c lng
.................................................................................................................
34
4. c lng m hnh bng phng php bnh phng nh nht
.................................................................................................................
35
4.1. M hnh
.................................................................................................................
3.5
4.2. Gi thit
59

.................................................................................................................
35
4.3. Kt lun
.................................................................................................................
35
5. Kt qu c lng bng EVIEWS
.................................................................................................................
36
6. Kim nh cc gi thit ca m hnh .......................................
37
6.1. Phng sai ca sai s thay i..................................................
37
6.2. Kim nh s thiu bin ca m hnh( kim nh
Ramsey)..................................................................................................
39

C - Kt lun...............................................................................
41
Danh mc ti liu tham kho..................................................................
42
Ph lc.....................................................................................................
43

60