Mc ch ca Hip c Basel

m bo vic phn b ngun vn nhy hn i vi ri ro. Tch bit ri ro vn hnh vi ri ro tn dng, v lng ho c hai. C gng gn kt ngun vn kinh t v ngun vn bt buc gim bt hot ng kinh doanh chng khon bt buc.

Mt s nhng khi nim c lin quan Ri ro Nh bt k mt cng ty hay t chc no khc, mt ngn hng thc hin mc tiu kim tin bng vic chp nhn ri ro, do ngn hng s c th i mt vi thua l. Trong trng hp t nht, ngn hng c th ph sn. Nhng ri ro trng yu nht l:

Ri ro tn dng: Ri ro do tnh khng chc chn v kh nng hay s sn sng ca i tc trong vic p ng cc ngha v c quy nh trong hp ng. Ri ro vn hnh: Ri ro do h thng my tnh k ton hay cc lnh vc vn hnh khc ca n v gp sai hng, dn ti thua l. Ri ro th trng: Ri ro do thay i gi tr ti sn v cc khon n do s thay i li sut v t gi hi oi. Ri ro thanh khon : Ri ro do ngn hng b ht tin mt thanh ton cho cc ngha v tc thi, mc d gi tr ti sn hin ti vn ln hn cc ngha v . Ri ro php l: Ri ro b kin do s cu th hay s phn bit i x, hay ri ro mt i tc khng kh nng php l tham gia mt hp ng. Ri ro khc.

Chc nng ca ngun vn bo v ngn hng v cc khch hng khi nhng ri ro ni trn v gim thiu kh nng ph sn, mt ngn hng cn (v c yu cu) phi nm gi mt lng vn nhm:

Cung cp mt vng m khi s thm nhp ca l. Bo v ngi gi tin khi l. Bo v qu bo him v ngi chu thu. Cung cp kh nng sn sng gia nhp vo th trng ti chnh, bo v khi nhng vn lin quan ti tnh thanh khon, ngha l loi b ri ro thanh khon. Thc y tng trng v hn ch vic chu ri ro.

Phn bin vn kinh t v vn bt buc Vn kinh t l lng ngun lc cn thit chu nhng ri ro bt ng, vi mt mc t tin hp l, trong mt khong thi gian nh trc. Tt c cc n v kinh doanh u cn vn, song ch c nhng t chc ti chnh phi tun th yu cu v mc vn ti thiu. Vn bt buc l lng vn ti thiu m cc nh hoch nh chnh sch ra. Lch s ngn gn ca Hip c vn Basel

Nm 1974, BCBS c thnh lp t nhm G10 Ngn hng Trung ng.

Nm 1988, Hip c vn Basel u tin (Basel I) ra i v c hiu lc t 1992. Nm 1996, c sa i b sung thm ri ro th trng (c hiu lc t 1997). Thng 6/1999, xut mt khung mi chng trnh t vn ln th nht (First Consultative Package CP1). Thng 1/2001, chng trnh t vn ln th hai (CP2). Thng 4/2003, chng trnh t vn ln th ba (CP3). Qu 4/2003, phin bn hon thin ca Hip c Basel mi. Thng 1/2007, Hip c vn Basel mi (Basel II) c hiu lc. 2010, chm dt qu trnh chuyn i.

Hip c Basel 1988 (Basel I) T l vn da trn ri ro T l Cook T l ny c pht trin bi BCBS vi mc ch cng c h thng ngn hng quc t, i tng ban u l nhng ngn hng hot ng quc t, nhng sau ny c thc thi trn hn 100 quc gia. Ngn hng phi gi li lng vn bng t nht 8% ca r ti sn, c tnh ton theo nhiu phng php khc nhau v ph thuc vo ri ro ca chng. Vn bt buc >= 8% x Ti sn tnh theo ri ro gia quyn T l tho ng v vn (CAR) = Vn bt buc / Ti sn tnh theo ri ro gia quyn Vn cp 1, cp 2 v cp 3 Cp 1 - Vn nng ct

Vn ch s hu vnh vin D tr cng b (Li nhun gi li) Li ch thiu s (minority interest) ti cc cng ty con, c hp nht bo co ti chnh Li th kinh doanh (goodwill)

Cp 2 Vn b sung

Li nhun gi li khng cng b D phng nh gi li ti sn D phng chung/d phng tht thu n chung Cng c vn hn hp Vay vi thi hn u i u t vo cc cng ty con ti chnh v cc t chc ti chnh khc

Cp 3 (Dnh cho ri ro th trng) = Vay ngn hn Vn cp 1 >= Vn cp 2 + Vn cp 3 Vn tnh theo ri ro gia quyn

Ti sn tnh theo ri ro gia quyn (RWA) = Tng (Ti sn x Mc ri ro phn nh cho tng ti sn trong bng CKT) + Tng (N tng ng x Mc ri ro ngoi bng) 5 nh mc v vn 1. Mc vn tt: CAR > 10% 2. Mc vn thch hp: CAR > 8% 3. Thiu vn: CAR < 8% 4. Thiu vn r rt: CAR < 6% 5. Thiu vn trm trng: CAR < 2%

Nhng thiu st ca Basel I 1. Khng phn bit theo loi ri ro o Mt khon n i vi t chc xp hng AA c coi nh mt khon n i vi t chc xp hng B. o Mt khon n cho mt ngn hng Th Nh K ch cn mt lng vn bng 1/5 khon n cho General Electric (GE-mt cng ty xp hng AAA) Vic gi cc ti sn c ri ro thp t sinh li hn ti sn c ri ro cao. 2. Khng c li ch t vic a dng ha o 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. o Khng c s khc bit no gia mt khon vay $100 v 100 khon vay $1. 3. C li c tnh h thng 4. Khng c yu cu vn d phng ri ro vn hnh Ni dung c bn ca Basel II Basel II bao gm nhng khuyn ngh v lut v quy nh ngnh ngn hng, c ban hnh bi U ban Basel v gim st ngn hng (Basel Committee on Banking Supervision BCBS). Basel II s dng khi nim ba tr ct: 1. Yu cu v vn ti thiu 2. Gim st, v 3. Quy lut th trng - nng cao tnh n nh trong h thng ti chnh. Tr ct th I Tr ct th I lin quan ti vic duy tr vn bt buc. Lng vn duy tr c tnh ton theo ba yu t ri ro chnh m ngn hng phi i mt: ri ro tn dng, ri ro vn hnh v ri ro th trng. Nhng loi ri ro khc khng c coi l c th lng ho hon ton bc ny.

T l CAR T l McDonough Cc cch tip cn tnh ton yu cu v vn: o Ri ro h thng o Ri ro th trng

Ri ro tn dng K thut lm gim ri ro tn dng Kt qu QIS

o o

Tr ct th II Tr ct th II lin quan ti vic hoch nh chnh sch ngn hng, cung cp cho cc nh hoch nh chnh sch nhng cng c tt hn so vi Basel I. Tr ct ny cng cung cp mt khung gii php cho cc ri ro m ngn hng i mt, nh ri ro h thng, ri ro chin lc, ri ro danh ting, ri ro thanh khon v ri ro php l, m hip c tng hp li di ci tn ri ro cn li (residual risk). Bn nguyn tc xem xt gim st 1. Ngn hng nn c mt quy trnh xc nh mc vn ni b theo mc ri ro v chin lc duy tr mc vn ca h. 2. Cc gim st vin nn xem xt v nh gi vic xc nh mc vn ni b v chin lc ca ngn hng, cng nh kh nng gim st v m bo tun th t l vn ti thiu. 3. Khuyn ngh rng ngn hng nn gi mc vn cao hn mc ti thiu theo quy nh. 4. Nhng ngi gim st s tm cch thm nhp vo nhng giai on u tin ngn cn mc vn gim xung di mc ti thiu. Tnh ton t l an ton vn ti thiu

Khung hip c mi bao gm c: o nh ngha hin ti v vn thng xuyn. o Yu cu t l vn ti thiu trn ti sn tnh theo ri ro gia quyn phi t 8% tr ln. T l tha ng v vn (CAR) 8% CAR = (Vn cp I + Vn cp II + Vn cp III)/RWA

Cch tip cn IRB cc loi mc nhy cm Cch tip cn da trn phn cp ni b (Internal Ratings Based approach) cp n mt h thng cc k thut o lng ri ro c a ra bi lut tha ng vn Basel II i vi cc t chc ngn hng. 1. Mc nhy cm ca doanh nghip (corporate exposure): ngha v n ca doanh nghip, theo ngun hon tr li tin ch yu l t hot ng hin ti ca bn vay, ch khng t dng tin t d n hoc t bt ng sn. 2. Mc nhy cm ca ngn hng (bank exposure): bao gm cc cng b i vi ngn hng v cc cng ty chng khon; h c th bao gm cc Ngn hng Pht trin a phng (MDB). 3. Mc nhy cm ca quc gia (sovereign exposure): bao gm cc quc gia (v cc ngn hng Trung ng). PSE c nh ngha nh mt php ch theo cch tip cn tiu chun, v cc MDB tha mn cc tiu ch 0% v ri ro theo cch tip cn tiu chun. Ri ro th trng Hai phng php o ri ro th trng (bt bin):

1. Cch tip cn chun ha. 2. Cch tip cn m hnh ni b (m hnh gi tr khi ri ro: Value-at-Risk VaR). Ri ro tn dng Ri ro c nguyn nhn t s khng chc chn v kh nng hoc sn sng ca mt i tc thc thi cc ngha v trong hp ng.

Cch tip cn tiu chun c iu chnh: o Tng cng nhy cm i vi ri ro so vi Hip c 1988. Song ging nh hip c 1988, trng s ri ro c quyt nh bi phn loi ngi vay (chnh ph, ngn hng, doanh nghip). o Trng s ri ro da vo phn loi tn dng bn ngoi (nu c). o Gia tng nhy cm v ri ro. o Hng ti cc ngn hng mong mun c mt khung vn n gin. Yu cu vn ti thiu = Mc nhy cm x Trng s ri ro (%) x 8%

Trng s ri ro Phn loi Quc gia Ngn Trng hp 1 hng Trng hp 2 Doanh nghip

nh gi AAA ti A+ ti A- BBB+ ti BB+ ti B- Di B- Khng xp AABBBloi 0% 20% 50% 100% 150% 100% 20% 50% 100% 100% 150% 100% 20% 50% 50% 100% 150% 50% 20% 50% 100% 100% 150% 100%

IRB c bn (F-IRB) v IRB nng cao (A-IRB): o Da vo tnh ton ni b ca mt ngn hng. o Nhy cm hn nhiu i vi ri ro. o i cng vi cc tiu chun ti thiu v yu cu cng b thng tin.

Tr ct th III Tr ct th III lm gia tng mt cch ng k cc thng tin m mt ngn hng phi cng b. Phn ny c thit k cho php th trng c mt bc tranh hon thin hn v v th ri ro tng th ca ngn hng v cho php cc i tc ca ngn hng nh gi v tham gia chuyn giao mt cch hp l. So snh gia hip c 1988 v hip c mi: Hip c 1988 Cu trc v ni Yu cu vn ti thiu dung Hip c mi Ba ct tr nhn mnh hn v phng php lun ni b ca ngn hng, xem xt nh gi, v quy lut th trng Mt quy nh cho tt c Linh hot hn, mt lot cc cch tip cn, khuyn khch qun l ri ro tt hn o c ri ro qu s b Nhy cm hn vi ri ro

Tnh linh ng ca ng dng Nhy cm vi ri ro Trng s ri ro 0~100, u i hn vi 0~150 hoc hn, khng c c quyn no, bao

K thut gim ri ro tn dng

cc nc OECD gm c phn cp bn trong v bn ngoi Ch h tr v m bo Nhiu k thut hn nh h tr, m bo, phi sinh tn dng, lp mng li v th (position netting)