B GIO DC V O TO TRNG I HC KINH T THNH PH H CH MINH

TRN TH SAN

XY DNG QUY TRNH P DNG BASEL II VO QUN TR RI RO TRONG H THNG NGN HNG U T V PHT TRIN VIT NAM
Chuyn ngnh: Kinh t- Ti chnh- Ngn hng M s: 60.31.12

LUN VN THC S KINH T

Thnh ph H Ch Minh - 2010

B GIO DC V O TO TRNG I HC KINH T THNH PH H CH MINH

TRN TH SAN

XY DNG QUY TRNH P DNG BASEL II VO QUN TR RI RO TRONG H THNG NGN HNG U T V PHT TRIN VIT NAM
Chuyn ngnh: Kinh t-Ti chnh-Ngn hng M s: 60.31.12

LUN VN THC S KINH T

NGI HNG DN KHOA HC: PGS.TS NGUYN TH LIN HOA

Thnh ph H Ch Minh - 2010

LI CAM OAN
Ti xin cam oan y l cng trnh nghin cu khoa hc ca ring ti, khng sao chp cng trnh ca ngi khc. Cc s liu, thng tin c ly t ngun thng tin hp php, chnh xc v trung thc. Ti chu hon ton trch nhim nu c bt k s gian di no trong ti nghin cu ny. TP. H Ch Minh, ngy 24 thng 12 nm 2010 Tc gi Trn Th San

MC LC
Trang PH BA MC LC DANH MC BNG, DANH MC HNH DANH MC CC T VIT TT CHNG 1 QUN TR RI RO TRONG HOT NG CA CC NGN HNG THNG MI V HIP C BASEL II 1.1 Ri ro v vn qun tr ri ro trong hot ng ca cc ngn hng thng mi ..................................................................................................................................... .4 1.1.1 Nhn din cc ri ro ................................................................................................. .4 1.1.2 S cn thit ca qun tr ri ro trong hot ng ngn hng ..................................... .8 1.1.3 Khng hong kinh t ton cu v vn qun tr ri ro ca ngn hng .................. .9 1.1.4 Nhng nguyn nhn dn n ri ro .......................................................................... 10 1.1.5 Cc cng c qun tr ri ro ....................................................................................... 11 1.2 Nhng quy nh ca Basel II trong cng tc qun tr ri ro ca cc ngn hng thng mi ..................................................................................................................................... 16 1.2.1 Ri ro tn dng .......................................................................................................... 17 1.2.2 Ri ro hot ng ....................................................................................................... 20 1.2.3 Ri ro th trng ....................................................................................................... 20 Kt lun Chng 1 ...................................................................................................... 22

CHNG 2 THC TRNG QUN TR RI RO TI NGN HNG U T V PHT TRIN VIT NAM ( BIDV)

2.1 Gii thiu v ngn hng u t v Pht trin Vit Nam............................................. 23 2.2 Cc hot ng kinh doanh ti BIDV ........................................................................... 23 2.3 nh hng pht trin trong thi gian ti.................................................................... 24 2.2 nh gi hiu qu kinh doanh 2009 ca BIDV theo chun mc quc t ................... 25 2.2.1 Quy m vn ch s hu.............................................................................................25 2.2.2 Quy m ti sn v hot ng tn dng........................................................................27 2.2.3 Kh nng sinh li.......................................................................................................29 2.2.4 Kh nng thanh khon v huy ng vn....................................................................29 2.2.5 Hot ng dch v......................................................................................................31 2.3 nh gi ri ro v cc cng c qun tr ri ro ti BIDV............................................... 32 2.3.1 Ri ro tn dng .......................................................................................................... 32 2.3.2 Ri ro hot ng ....................................................................................................... 37 2.3.3 Ri ro th trng ....................................................................................................... 39 2.4 nh gi nhng iu kin thc hin Basel II ti BIDV .............................................. 44 2.4.1 Xy dng m hnh xp hng tn dng ni b ........................................................... 44 2.4.2 Phn loi n, trch lp v s dng d phng x l ri ro tn dng ...................... 44 2.4.3 m bo ngun vn duy tr t l an ton vn ti thiu .................................. 44 2.4.4 Xy dng m hnh t chc mi ................................................................................ 45 2.4.5 o to ngun nhn lc............................................................................................ 45 2.4.6 Thc hin chun mc k ton quc t ...................................................................... 46

2.5 Kinh nghim p dng Ba sel II ti cc quc gia trn th gii.......................................46 Kt lun Chng 2 ...................................................................................................... 48

CHNG 3 XY DNG QUY TRNH P DNG BASEL II VO NGN HNG U T V PHT TRIN VIT NAM 3.1 Xy dng quy trnh qun tr ri ro ti BIDV............................................................... 49 3.2 Gii php thc thi ........................................................................................................ 52 3.2.1 Hon thin h thng thng tin .................................................................................. 52 3.2.2 Pht trin h tng cng ngh thng tin ..................................................................... 53 3.2.3 m bo vn an ton cho NH .................................................................................. 53 3.2.4 Hon thin h thng kim tra ni b ........................................................................ 54 3.2.5 y mnh cng tc qun l nhn lc v o to cn b .......................................... 54 3.3 Kin ngh NHNN......................................................................................................... 55 3.3.1 Nng cao cht lng thng tin tn dng ................................................................... 55 3.3.2 Nng cao hiu qu cng tc thanh tra kim sot, gim st NH ................................ 55 3.3.3 Hon thin h thng vn bn php lut .................................................................... 56 3.3.4 y nhanh tin trnh c phn ha cc NHTM Nh nc ......................................... 57 Kt lun Chng 3 ...................................................................................................... 58 Kt lun ................................................................................................................. 59 Hn ch ca ti ............................................................................................... 59

Danh mc ti liu tham kho ............................................................................................. 60

Danh mc Bng: - Bng 2.1: Quy m vn ch s hu ........................................................................ 25 - Bng 2.2: C cu d n theo loi hnh nghip v ................................................. 27 - Bng 2.3: Cht lng tn dng ca BIDV .............................................................. 28 - Bng 2.4: Kt qu hot ng kinh doanh ............................................................... 29 - Bng 2.5: Cc ch s v thanh khon ..................................................................... 30 - Bng 2.6: C cu thu hot ng dch v ................................................................ 31 - Bng 2.7: Cn cn thanh ton ca Vit Nam (2007-2009) .................................... 42 Danh Mc Hnh: Hnh 1.1: Phn loi ri ro trong kinh doanh ngn hng .......................................... .7 Hnh 2.1: Vn ch s hu. ...................................................................................... 26 Hnh 2.2: Tin gi v cc khon phi tr khch hng ............................................. 30 Hnh 2.3: Thu dch v rng..................................................................................... 32 Hnh 2.4: T gi USD/VND 2008 2009 ............................................................... 42 Hnh 3.1: Quy trnh tn dng ca BIDV .................................................................. 50

Ph lc 1: - Bng PL 1.1: L trnh hip c Basel - Bng PL 1.2: Tm tt cc im khc bit gia Basel I v Basel II - Bng PL 1.3: Cc nhn t iu chnh. Ph lc 2: - Bng PL 2.1: Trng s ri ro quc gia. - Bng PL 2.2: Trng s ri ro cng ty. - Bng PL 2.3: H s ri ro ca ECAI i vi cc ngn hng. - Bng PL 2.4: H s chuyn i ri ro i vi khon mc ngoi bng. Ph lc 3: Bng PL 3.1: Ga tr LGD ti thiu i vi t trng m bo cc hot ng chnh. Bng PL 3.2: nhy cm v trng s ri ro c tnh n k hn. Bng PL 3.3: H s ri ro tng ng vi tng cp . Bng PL 3.4: Thay i trong nhu cu vn: phng php chun v IRB c bn. Ph lc 4: - Bng PL 4.1: H s i vi tng lnh vc hot ng ca ngn hng. Bng PL 4.2: Ch s ti chnh cho tng nghip v.

Bng PL 4.3: H s ri ro tng ng vi tng lnh vc hot ng Ph lc 5: Bng PL5.1: So snh s khc nhau gia Basel I vi Basel II v Thng t 13

DANH MC CC T VIT TT NHTM NHNN TCTD HQT WTO BIS IRB AMA BIA MDBs PSE SME ECAI BIDV MBS CDO OECD BIS IMF ECB CCF PD LGD CRE RRE EAD M UL EL BRW RWA PF OF CF IPRE HVCRE MRC Ngn hng thng mi Ngn hng Nh nc T chc tn dng Hi ng qun tr T chc thng mi th gii Ngn hng thanh ton quc t Phng php tip cn ni b Phng php o lng nng cao Phng php ch s c bn Ngn hng pht trin a nng Cc doanh nghip nh nc Doanh nghip va v nh T chc xp hng tn dng bn ngoi Ngn hng u T v Pht Trin Vit Nam Chng khon m bo bng ti sn th chp Giy n m bo bng ti sn T chc hp tc Kinh t v Pht trin Ngn hng Thanh ton quc t Qu tin t quc t Ngn hng Trung ng chu u H s chuyn i Xc sut v n Thit hi do v n Bt ng sn thng mi Bt ng sn c tr Gi tr thit hi khi v n K o hn hiu dng Thit hi khng mong i Cc thit hi bit trc Trng s Ri ro Tiu chun Ti sn c ri ro Ti tr d n Titr theo tiu dng Ti tr hng ha Ti tr bt ng sn to ra thu nhp Ti tr bt ng sn thng mi khng n nh Vn hot ng ti thiu hin ti

Phn m u
L do chn ti Mc tiu xy dng mt nn kinh t c kh nng hi nhp ton cu tr thnh mt xu th tt yu ca thi i, v ang din ra mnh m trn nhiu lnh vc khc nhau. Trong bi cnh chung , vic cc ngn hng thng mi Vit Nam s phi i mt vi nhng thch thc nh th no, tn dng c hi ra sao v bng cch no c th bin thch thc thnh c hi, bin nhng kh khn thnh li th ca bn thn, mun th th ton b cc thnh vin trong h thng ngn hng thng mi Vit Nam phi ch ng nhn thc tham gia vo qu trnh hi nhp. tham gia tt hn vo sn chi chung quc t, nng cao nng lc cnh tranh trong qu trnh hi nhp, h thng ngn hng thng mi Vit Nam cn phi tun th theo mt s iu c quc t, lut php 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, vi h thng ngn hng 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 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. Hip c ny hin nay c phin bn mi vi tn gi The New Basel Capital Accord, cp nht, i mi mt s ni dung hn so vi phin bn th nht trc . Ring i vi 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 vn ch mi dng li vic la chn mt s tiu ch n gin trong phin bn th nht vn dng v vn cha tip cn nhiu vi phin bn hai. iu ny thc t cng gy kh khn t nhiu cho qu trnh hi nhp trong lnh vc ngn hng ca Vit Nam. Ngn hng u T v Pht Trin Vit Nam l mt trong nhng ngn hng thng mi quc doanh c thnh lp 1957. Trc nhng thch thc mang li t hi nhp i vi cc ngn hng thng mi ni chung m vn ct yu l kh nng qun tr v chng li ri ro ca bn thn ngn hng, Ngn hng u T v Pht Trin Vit Nam cng ang dn tin ti p dng nhng tiu chun v quy tc ca Hip c Basel, nhng trn tinh thn ca Basel I, di hnh thc p dng nhng tiu chun ca cc vn bn php lut
1

ca ngn hng nh nc Vit Nam lin quan n vic hng dn cch p dng Basel I. Trong khi, l trnh p dng ca hip c Basel II i vi cc ngn hng thng mi Vit Nam ni chung phi hon tt trong nm 2015, vic xy dng cng tc qun tr ri ro theo nhng tiu chun ca Basel II cn phi c ngn hng chun b thc hin ngay t by gi. Do , tc gi chn ti Xy dng l trnh p dng Basel II vo qun tr ri ro trong h thng Ngn hng u T v Pht Trin Vit Nam lm lun vn tt nghip ca mnh. Mc tiu nghin cu: -Tm hiu v Hip c Basel II, nhng yu cu ca n i vi cng tc qun tr ri ro ca cc ngn hng. - Phn tch tnh hnh hot ng v cng tc qun tr ri ro ca Ngn hng u T v Pht Trin Vit Nam nh gi vic chun b ca ngn hng i vi vic ng dng Basel II. - Xc nh r nhng kh khn thch thc khi tin ti p dng Hip c Basel II, t ra cc gii php gip Ngn hng u T v Pht Trin Vit Nam ni ring v cc ngn hng thng mi khc ca Vit Nam ni chung nhanh chng chuyn i p dng p dng Basel II. i tng nghin cu: Cng tc qun tr ri ro trong hot ng ca h thng Ngn hng u T v Pht Trin Vit Nam. C th l qun tr ri ro trong hot ng tn dng , huy ng vn, kinh doanh ngoi t, v cc nhn t ri ro nh hng hot ng ngn hng nh li sut, t gi hi oi, tc nghip. Phm vi nghin cu: cng tc qun tr ri ro trong hot ng ca h thng BIDV trong nm 2008 v nm 2009. Phng php nghin cu: Lun vn s dng phng php nghin cu nh tnh. Phng php ny c tin hnh vi k thut tho lun nhm, nhm la chn gm cc chuyn vin ang trc tip thc hin qun l ri ro tn dng, qun l ri ro tc nghip v th trng ti cc ban thuc Hi s chnh Ngn hng u T v Pht Trin Vit Nam, cng mt s cn b ti cc
2

phng chc nng ca chi nhnh. ng thi tng hp d liu th cp v tin hnh phn tch cc s liu t d liu thu c rt ra nhn xt nh gi v xut kin ngh, gii php. ngha thc tin ca ti: T trc n nay, cng tc qun tr ri ro ca cc ngn hng thng mi c thc hin theo cc vn bn quy nh ca ngn hng nh nc, mc d trn tinh thn ca Basel I nhng c chnh sa cho ph hp vi trnh qun l v nng lc thc hin ca cc ngn hng thng mi. ti ny hng n vic phn tch r nhng mt t c cng nh tn ti trong hot ng qun tr ri ro ca Ngn hng u T v Pht Trin Vit Nam, t gip cho ngn hng xc nh mc tiu c th cn phi thc hin hon thin vic ng dng Basel II nhm nng cao sc cnh tranh trong tin trnh hi nhp quc t. Ni dung lun vn: Lun vn gm: 60 trang vi 7 bng, 6 hnh v 5 ph lc Ngoi m u v kt lun, Lun vn gm 3 chng: Chng 1: Qun tr ri ro trong hot ng ca cc ngn hng thng mi v Hip c Basel II. Chng 2 : Thc trng qun tr ri ro ti Ngn Hng u T v Pht Trin Vit Nam Chng 3: Xy dng l trnh p dng Basel II vo Ngn Hng u T v Pht Trin Vit Nam.

CHNG 1 QUN TR RI RO TRONG HOT NG CA CC NGN HNG THNG MI V HIP C BASEL II

1.1 Ri ro v vn qun tr ri ro trong hot ng ca cc ngn hng thng mi 1.1.1 Nhn din cc ri ro Bn cht t nhin ca hot ng ngn hng l ri ro.Qun tr ri ro l hot ng trung tm ca ngn hng. Ri ro chung i vi mt ngn hng c ngha l mc khng chc chn lin quan ti mt vi s kin. Cc ngn hng c coi l thnh cng khi mc ri ro h tham gia vo mc hp l, c kim sot trong phm vi v nng lc ti chnh ca h. Ri ro c th c o lng cho cc loi sn phm, dch v khc nhau ca ngn hng. Ri ro l nhng tnh hung xy ra ngoi d kin gy nn nhng tn tht kinh t, lm chi ph tng ln, thu nhp gim v lm li nhun gim i so vi d kin ban u. Thng thng mc li nhun mong i cng cao th xc sut ri ro xy ra cng cao. Ngn hng l mt doanh nghip. V l mt doanh nghip, bn thn n trc nht phi t trang b cho mnh cc bin php, cch thc sinh tn trong mi trng kinh t pht trin, lm sao va tng trng va m bo an ton. nc ta vn ri ro trong kinh doanh ngn hng v vn qun l n cn kh mi m. Vi s non yu v nghip v ngn hng, ng thi hot ng trong mi trng y ri ro, vn qun tr ri ro ngn hng ang l vn cp bch trong h thng ngn hng c nc. qun tr ri ro trc ht phi nhn dng ri ro. Nhn dng ri ro l qu trnh xc nh lin tc v c h thng cc hot ng kinh doanh ca ngn hng. Nhn dng ri ro bao gm cc cng vic theo di, xem xt, nghin cu mi trng hot ng v ton b mi hot ng ca ngn hng, nhm thng k c tt c cc ri ro, khng ch nhng loi ri ro v ang xy ra, m cn d bo c nhng dng ri ro mi c th xut hin i vi ngn hng, trn c s xut cc gii php kim sot v ti tr ri ro thch hp. Ri ro trong ngn hng v c bn c th chia thnh hai loi : ri ro mi trng v ri ro c th Ri ro mi trng hay cn gi ri ro th trng : Ri ro v mi trng lun lun tn ti trong t chc v ngoi t chc, hay ni cch khc ri ro mi trng gm hai loi: ri ro mi trng v m v ri ro mi trng cnh tranh

- Ri ro mi trng v m : mi trng m ngn hng hot ng cha y mun vn ri ro, chng tc ng n ngn hng bng nhiu cch : hoc lm suy yu kh nng chu ng ri ro ca ngn hng, hoc gy cho ngn hng nhng thit hi v ti chnh. Nhng ri ro ny rt kh kim sot nn chng c gi l ri ro khng kim sot c. Trong thc t, ngi ta c th kim sot chng mc hn ch trn c s d bo. Cc ri ro mi trng v m m ngn hng thng gp l: ri ro t nhin nh l lt, ha hon, ng t; ri ro v lut php lin quan n vic thay i cc lut l gy bt li cho ngn hng; ri ro v kinh t nh lm pht, tht nghip, suy thoi kinh t, khng hong; ri ro v iu chnh nh nhm thc hin cc chnh sch v m, cc nh lnh o a ra cc chnh sch tin t, li sut i khi gy thit hi cho ngn hng. - Ri ro mi trng cnh tranh : mt ngn hng trong hot ng kinh doanh thng chu tc ng ca khch hng hoc cc i th t nhiu pha, t lun nhn rt nhiu cc tc ng y ri ro bao gm : Th nht, ri ro thanh khon xut hin trong trng hp ngn hng thiu kh nng chi tr, khng chuyn i kp cc loi ti sn ra tin, hoc khng c kh nng vay mn p ng yu cu ca cc hp ng thanh ton. Ri ro ny xut pht t chc nng chuyn ha cc k hn s dng vn v ngun vn ca ngn hng. Thng thng cc k hn s dng vn di hn k hn cc ngun vn, nn ngn hng c th vp phi hai tnh hung kh khn: khng th p ng cc cam kt ngn hn ca mnh, c ngun vn k hn ngy cng ngn li trong khi s dng vn vn theo k hn khng i. Th hai, ri ro li sut l ri ro xut hin khi c s thay i ca li sut trn th trng hoc ca nhng yu t c lin quan n li sut, dn n tn tht v mt ti sn hoc lm gim thu nhp ca ngn hng. Ri ro li sut lm cho chi ph ngun vn tr nn cao hn thu nhp t s dng vn. Nguyn nhn c th do ngn hng huy ng vn vi li sut c nh v cho vay vi li sut bin i. Khi li sut gim, ri ro li sut s xut hin hoc huy ng vn vi li sut bin i cho vay, u t vi li sut c nh, khi li sut tng ri ro s xut hin Th ba, ri ro tn dng l ri ro gn lin vi hot ng ngn hng, n khng gii hn hot ng cho vay m cn bao gm nhiu hot ng mang tnh cht tn dng khc nh: bo lnh, cam kt, thu mua, ng ti tr v..v.Ngy nay, d c rt nhiu hnh thc kinh doanh mi trong hot ng ngn hng nhiu lnh vc khc nhau, nhng tn dng vn l hot ng kinh doanh ch yu ca cc ngn hng. V th tt c cc nc, ri ro tn
5

dng l vn c c bit quan tm khng ch phm vi cc ngn hng, m c trong ton nn kinh t. Cc ngn hng lun lun tm cc i li nhun qua vic tm kim nhng li tc cao nht c th c cc mn cho vay v chng khon; ng thi c gng gim thiu ri ro lin quan n cc hot ng cho vay nh: sng lc v gim st khch hng vay, quy nh cc mc tn dng, ti sn m bo n vayRi ro tn dng l ri ro khng thu c n khi n hn, n thng to cho ngn hng nhng tn tht v ti chnh. Nhng nhng thit hi v uy tn ca ngn hng, v mt lng tin ca x hi l nhng tn tht cn ln hn rt nhiu ln, n c th l u mi ca nhng cuc khng hong ti chnh hoc khng hong kinh t - x hi. Th t, ri ro t gi hi oi l ri ro pht sinh trong qu trnh cho vay ngoi t hoc qu trnh kinh doanh ngoi t khi t gi bin ng theo chiu hng bt li cho ngn hng. Cc ri ro trong vic giao dch ngoi hi xut pht t t gi hi oi ca cc loi tin t khc nhau do tc ng ca kinh t v chnh tr ca mt t nc Ri ro c th: lun tn ti trong lnh vc hoc ngnh ngh kinh doanh do bn cht ca ngnh hay lnh vc kinh doanh to ra nh: - Ri ro v qun l: ri ro ny c th bt ngun t ban qun l ngn hng do thiu kin thc, thiu kinh nghim hoc thiu kh nng iu hnh. N cng c th xy ra do s yu km v nng lc hay o c ca nhn vin ngn hng - Ri ro ti sn th chp: ti sn th chp khng gi tr b p thit hi cho ngn hng. - Ri ro cung cp cc dch v ti chnh hay ri ro kinh doanh bao gm: ri ro v hot ng, ri ro v sn phm, ri ro v vn ha, ri ro v cng ngh, ri ro n cn n v ri ro do thiu n lc nghin cu v pht trin. - Ri ro thch ng vn: n th hin ngn hng c quy m vn nh thng t an ton hn ngn hng c quy m vn ln. - Ri ro cung cp cc dch v ti chnh hay ri ro kinh doanh bao gm: ri ro v hot ng, ri ro v sn phm, ri ro v vn ha, ri ro v cng ngh, ri ro n cn n v ri ro do thiu n lc nghin cu v pht trin. - Ri ro thch ng vn: n th hin ngn hng c quy m vn nh thng t an ton hn ngn hng c quy m vn ln.

HNH 1.1: PHN LOI RI RO TRONG KINH DOANH NGN HNG

Ri ro do tham Ri ro qun l Ri ro cung cp dch v ti chnh Ri ro n cn n Ri ro v t chc Ri ro do thiu nng lc

Ri ro c th

Ri ro v hot ng Ri ro chin lc Ri ro v sn ph m Ri ro v vn ha NH Ri ro v cng ngh

Ri ro thch ng vn Ri ro trong kinh doanh tn dng ngn hng

Ri ro ti sn th chp Ri ro v t nhin

Ri ro v lut php Ri ro mi trng v m Ri ro v kinh t

Ri ro v iu chnh Ri ro th trng Ri ro v thanh kho n Ri ro mi trng cnh tranh

Ri ro v li sut Ri ro v tn dng Ri ro v t gi

Ngun: gio trnh Qun tr ngn hng thng mi NXB Ti chnh 2005

1.1.2 S cn thit qun tr ri ro trong hot ng ngn hng. Hot ng kinh doanh ca bt c ngnh ngh no cng tim n ri ro, vic nhn din ri ro v qun tr ri ro t n hiu qu cao nht trong kinh doanh l mc tiu ca cc nh qun tr v qun tr ri ro trong ngn hng cng khng ngoi l v: - Ri ro lm nh hng hot ng kinh doanh ca ngn hng: Trong nn kinh t th trng, cc quy lut kinh t c th nh quy lut gi tr, quy lut cung cu, quy lut cnh tranh ngy cng pht huy tc dng. Nhng ri ro trong sn xut kinh doanh ca nn kinh t trc tip hoc gin tip tc ng n hiu qu kinh doanh ca cc ngn hng. Ri ro s gy tn tht v ti sn cho ngn hng nh mt vn khi cho vay, gia tng chi ph hot ng, gim st li nhun, gim st gi tr ca ti sn... Hn na, ngn hng thng mi l nh ch ti chnh trung gian gia ngi i vay v cho vay. Sn phm m cc ngn hng thng mi mua, bn v kinh doanh trn th trng l cc dch v lu chuyn vn v cc tin ch ngn hng khc, nhng ri ro s lm gim uy tn ngn hng, mt i s tn nhim ca khch hng v c th nh mt thng hiu ca ngn hng. Mt ngn hng lm n thua l lin tc, mt ngn hng thng xuyn khng kh nng thanh khon c th dn n mt cuc khng hong rt tin hng lot ca khch hng, v ph sn l con ng tt yu. - Hiu qu kinh doanh ph thuc vo mc ri ro. Trong hot ng kinh doanh, ngn hng c nhiu yu t ch quan v khch quan mang li ri ro, nhiu yu t bt kh khng nn khng trnh khi ri ro. Chnh v th hng nm Ngn hng c php v bt buc phi trch lp qu b p ri ro hch ton vo chi ph. Quy m b p ri ro cn c v kh nng ri ro. Nu ri ro thp th hiu qa kinh t s tng v ngc li. Nh vy hiu qu kinh doanh ca ngn hng t l nghch vi mc ri ro ca chnh n. Khi ri ro qu ln n mc ngn hng mt kh nng thanh ton s dn n ph sn doanh nghip. - Ri ro trong kinh doanh tin t v dch v ngn hngc nh hng ton b nn kinh t trong v ngoi nc. Do hot ng ngn hng c tnh nhy cm cao, nh hng mnh n s n nh kinh t x hi. nu c tin n v mt ngn hng no ang gp ri ro, lm vo tnh trng thiu kh nng thanh ton, c nguy c hoc thc s i n ph sn, iu ny d gy tm l hoang mang, hong lon khin mi ngi x i rt tin gi tht nhanh trnh tn tht v chnh iu mang n nguy c v khin cho cc ngn hng b thua l, ph sn,
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nh hng n tt c nhng ngi gi tin vo ngn hng, ko theo s sp ca hng lot cc ngn hng khc trong nc v trong khu vc. Hn na, s ph sn ca mt ngn hng s dn n s hong lon ca hng lot cc ngn hng khc, gy nh hng xu n ton b nn kinh t. Ngoi ra, ri ro tn dng cng nh hng n nn kinh t th gii, v trong iu kin hi nhp v ton cu ha kinh t th gii hin nay, nn kinh t ca mi quc gia u ph thuc vo nn kinh t khu vc v th gii. Mt khc, mi lin h v tin t, u t gia cc nc pht trin rt nhanh, nn ri ro tn dng ti mt nc lun nh hng trc tip n nn kinh t cc nc c lin quan. 1.1.3 Khng hong kinh t ton cu v vn qun tr ri ro ca ngn hng Khng hong ti chnh 2007-2010 l mt cuc khng hong bao gm s v hng lot h thng ngn hng, tnh trng i tn dng, tnh trng st gi chng khon v mt gi tin t quy m ln nhiu nc trn th gii, c ngun gc t khng hong ti chnh Hoa K, l cuc khng hong trong nhiu lnh vc ti chnh (tn dng, bo him, chng khon) din ra t nm 2007 cho n tn ngy nay. Cuc khng hong ny bt ngun t cuc khng hong tn dng nh th cp. V l ngun gc trc tip ca cuc khng hong ti chnh ton cu 2007-2010. Hoa K l im xut pht v l trung tm ca cuc khng hong. Ngay khi bong bng nh v cui nm 2005, kinh t Hoa K bt u tng trng chm li. Tuy nhin, bong bng v dn ti cc khon vay khng tr ni ca ngi u t nh i vi cc t chc ti chnh nc ny. Gia nm 2007, nhng t chc ti chnh u tin ca Hoa K lin quan n tn dng nh th cp b ph sn. Gi chng khon Hoa K bt u gim dn. S v ti chnh ln n cc im vo thng 10 nm 2008 khi ngay c nhng ngn hng khng l v lu i tng vt qua nhng cuc khng hong ti chnh v kinh t trc y, nh Lehman Brothers, Morgan Stanley, Citigroup, AIG, cng lm nn. Tnh trng i tn dng xut hin lm cho khu vc kinh t thc ca Hoa K cng ri vo tnh th kh khn, in hnh l cuc Khng hong ngnh ch to t Hoa K 2008-2010. Ch s bnh qun cng nghip Dow Jones lc ng ca ngy 9 thng 3 nm 2009 l 6.547,05, mc thp nht k t thng 4 nm 1997. Ch trong vng 6 tun l, ch s ny st ti 20%. Nhiu t chc ti chnh ca cc nc pht trin, nht l cc nc chu u, cng tham gia vo th trng tn dng nh th cp Hoa K. Chnh v vy, bng bng nh ca Hoa K b v cng lm cc t chc ti chnh ny gp nguy him tng t nh cc t
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chc ti chnh ca Hoa K. Nhng nc chu u b ri lon ti chnh nng nht l Anh, Iceland, v Ty Ban Nha. Nguyn nhn ca khng hong l do tnh trng bong bng nh v cc sn phm chng khon ha cng vi gim st ti chnh thiu hon thin Hoa K dn ti mt cuc khng hong ti chnh Sau khi bong bng Dot-com v vo nm 2001 v suy thoi kinh t hin r sau s kin 11 thng 9, Cc D tr Lin bang Hoa K c nhng bin php tin t cu nn kinh t nc ny khi suy thoi, l h li sut cho vay qua m lin ngn hng. Ch trong thi gian ngn t thng 5 nm 2001 n thng 12 nm 2002, li sut lin ngn hng gim 11 t t 6,5% xung cn 1,75%. Tn dng th cp cng gim li sut theo. iu ny kch thch s pht trin ca khu vc bt ng sn v ngnh xy dng lm ng lc cho tng trng kinh t. Trong mi trng tn dng d di, nhng t chc ti chnh c xu hng cho vay mo him, k c cho nhng ngi nhp c bt hp php vay. H qu l vay v i vay t nhm mc ch u c dn ti hnh thnh bong bng nh . Nm 2005, c ti 28% s nh c mua l nhm mc ch u c v 12% mua ch khng v khi th trng nh bt u t iu chnh khin cho gi nh t gim v cht lng ti sn m bo cho cc MBS v cc CDO gim theo khin bong bng nh ny pht trin n mc cc i v v. Sau khi bong bng nh v, cc c nhn gp kh khn trong vic tr n. Nhiu t chc tn dng cho vay mua nh gp kh khn v khng thu hi c n. Cuc khng hong tn dng nh th cp n ra gy mt lng tin ngi gi tin gy ra t bin rt tin gi cn lm cho tnh hnh thm nghim trng v din ra nhanh chng hn. Bong bng nh v lm nhiu ngi vay tin ngn hng u t nh khng tr c n dn ti b tch bin nh th chp. Nhng gi nh xung khin cho ti sn tch bin khng b p ni khon ngn hng cho vay, khin cc ngn hng ri vo kh khn dn n cuc khng hong ti chnh ton cu nh trnh by trn. 1.1.4 Nhng nguyn nhn dn n ri ro ca ngn hng thng mi: C nhiu nguyn nhn dn n ri ro nhng tu trung li c ba nguyn nhn ch yu sau: - Nguyn nhn thuc v nng lc qun tr ca ngn hng :bao gm mt s nguyn nhn nh khng qun l vn thanh khon dn n thiu kh nng chi tr hoc cho vay v u t qu mo him, c th trong cho vay ngn hng tp trung ngun
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vn qu nhiu vo mt doanh nghip hoc mt ngnh kinh t no , trong u t ch ch trng u t vo mt loi chng khon c ri ro cao; hoc thiu am hiu th trng, thiu thng tin hoc phn tch thng tin khng y dn n quyt nh cho vay hoc u t khng hp l; hoc do hot ng kinh doanh tri php lut, tham ; hoc do cn b ngn hng thiu o c ngh nghip, yu km v trnh nghip v v.v... - Nguyn nhn thuc v pha khch hng: bao gm mt s nguyn nhn nh khch hng vay vn thiu nng lc php l; S dng vn vay sai mc ch, km hiu qu lm hot ng kinh doanh thua l lin tc, hng ha khng tiu th c; hoc khch hng qun l vn khng hp l dn n thiu thanh khon khng tr c n; ngoi ra cn c trng hp ch doanh nghip vay vn thiu nng lc iu hnh, tham , la o v.v... - Nguyn nhn khch quan c lin quan n mi trng hot ng kinh doanh nh: thin tai, ha hon, tnh hnh an ninh, chnh tr trong nc, khu vc khng n nh, mi trng php l khng thun li hoc do khng hong, suy thoi kinh t, lm pht, mt thng bng cn cn thanh ton quc t dn n t gi hi oi bin ng bt thng 1.1.5 Cc cng c qun tr ri ro : - Qun tr ri ro tn dng: Qun tr ri ro tn dng l l vn trng yu ca cc ngn hng trn khp th gii, cc cng c chnh gm c: Chnh sch tn dng: Chnh sch tn dng l nn tng qun tr tn dng hiu qu. Chnh sch tn dng t ra mc tiu, tham s nh hng cho ngi lm cng tc cho vay v qun tr danh mc u t. Gii hn cp tn dng: Gii hn tn dng c xc nh trn c s chnh sch tn dng tng thi k, xp hng tn dng doanh nghip, ngnh ngh v quy m hot ng ca h, kh nng cung ng v qun tr vn ca ngn hng nh gi khon vay: thng thng, thu nhp m mt khon vay mang li cho ngn hng gm c tin li vay v ph. Li sut phi m bo b p c chi ph vn u vo, chi ph qun l, phn li nhun mong mun v phn b ri ro ca khon vay, khon vay c mc ri ro cng cao th phn b ri ro cng cao. Tuy nhin, vic ngn hng c chp nhn cho vay cc khon vay c cht lng tn dng thp thu li sut cao hay khng ty thuc vo chnh sch tn dng ca tng ngn hng trong tng thi k.
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Xp hng tn dng: cc ngn hng nh k thc hin xp hng tn dng li cho khch hng, nh gi li khon vay v ti sn th chp t c mc phn b d phng, iu chnh li gii hn cp tn dng cho ph hp hoc thc hin nhng bin php cn thit nhm thu hi n trc hn nu pht hin khon vay , ti sn m bo c du hiu bt thng nh hng n kh nng thu hi n. Ti sn m bo n vay: l ngun tr n th cp cho khon vay nu d n kinh doanh ca khch hng gp ri ro, dng tin ca khch hng khng ng nh d kin. Tuy nhin, khon vay phi c thanh ton bng tin to ra t hot ng sn xut, kinh doanh c hiu qu nn ti sn m bo ch l iu kin cn ch cha phi l iu kin cho vay; mt khc gi tr ti sn m bo ph thuc vo chu k kinh t, h thng ti chnh, tnh php l ca ti sn nn c th bin ng rt ln, tnh thanh khon thng khng cao. a dng ha danh mc u t: l gii php phng nga ri ro hu hiu nht trong qun tr tn dng. Qun tr danh mc lm cn i v kim ch ri ro danh mc bng cch nhn dng, d bo v kim sot mc ri ro vi tng th trng, ngnh hng khc nhau. Yu t quan trng u tin trong qun tr danh mc l la chn th trng mc tiu. Th trng mc tiu thng thng ph thuc vo a bn hot ng v quy m ca ngn hng - Qun tr ri ro thanh khon: l vic qun l c hiu qu cu trc tnh thanh khon ca ti sn v qun l tt cu trc danh mc ca ngun vn. Cc phng php qun tr ri ro thanh khan gm vic duy tr mt t l thch hp gia vn dng cho d tr v vn dng cho kinh doanh (chin lc thanh khon) sao cho ph hp vi c im hot ng ca ngn hng v m bo v t l kh nng chi tr Ti sn C c th thanh ton ngay T l v kh nng chi tr = -----------------------------------------Ti sn n phi thanh ton ngay Ngn hng thng mi phi thng xuyn m bo t l v kh nng chi tr i vi tng loi tin, vng. Trong : Ti sn C c th thanh ton ngay bao gm: - Tin mt - Vng - Tin gi ti ngn hng nh nc

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- S chnh lch ln hn gia tin gi khng k hn ti ngn hng thng mi khc, v tin gi khng k hn nhn ca ngn hng thng mi - Tin gi c k hn ti ngn hng thng mi khc n hn thanh ton - Cc loi chng khon do Chnh ph Vit Nam pht hnh hoc c Chnh ph Vit Nam bo lnh - Cc loi chng khon do ngn hng thng mi hot ng ti Vit Nam pht hnh hoc bo lnh - Cc loi chng khon do cc nc thuc khi OECD - T chc hp tc Kinh t v Pht trin (Organization for Economic Cooperation and Development) pht hnh . - Cc loi chng khon do cc ngn hng ca cc nc thuc khi OECD pht hnh . - Cc hi phiu ca b chng t thanh ton hng xut khu c ngn hng nc ngoi chp nhn thanh ton, c thi hn t 1 thng tr xung: 100% s tin ghi trn hi phiu - 80% cc khon cho vay m bo, cho thu ti chnh, s n hn thanh ton (gc, li) trong thi hn 1 thng - Cc loi chng khon khc - 75% cc khon cho vay khng m bo, n hn thanh ton - Cc khon khc n hn phi thu Ti sn N phi thanh ton bao gm: - S chnh lch ln hn gia tin gi nhn ca ngn hng thng mi khc v tin gi ti ngn hng thng mi n hn thanh ton - 15% tin gi khng k hn ca t chc (tr tin gi ca ngn hng thng mi khc) v c nhn - Gi tr ca cc cam kt cho vay ca ngn hng thng mi n hn thc hin - Tt c cc ti sn N khc s n hn thanh ton - Qun tr ri ro li sut: Trong nn kinh t th trng, ri ro li sut l mt hin tng thng xuyn xy ra, do cc nh qun tr ngn hng phi thng xuyn phn tch tm ra cc gii php iu tit ri ro li sut.Tuy c nhiu khi nim v ri ro li sut nhng tu trung cc nh kinh t u c quan im chung rng ri ro li sut l h s chnh lch li gim khi li sut th trng thay i:
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Thu nhp li Chi ph li H s chnh lch li thun = --------------------------------------(NIM) Tng ti sn c sinh li Thu nhp li: li cho vay , u t, li tin gi ti ngn hng khc, li u t chng khon Chi ph li: chi ph huy ng vn, i vay Ngoi ra, mun bit ngn hng c ri ro li sut hay khng, cc nh qun tr ngn hng thng phn tch lch ti sn nhy cm li sut h s ri ro li sut R hay cn c gi l khe h nhy cm li sut ( Interes Rate Sensitive Gap) : R = Ti sn c nhy cm li sut Ti sn n nhy cm li sut Trong : Ti sn c nhy cm li sut bao gm: - Cc khon cho vay c li sut bin i - Cc khon cho vay ngn hn vi thi hn di n thng - Cc khon cho vay c thi hn cn li di n thng - Chng khon c thi hn cn li di n thng (tri phiu chnh ph, cng ty, x nghip) - Tin gi trn th trng lin ngn hng, tin gi khng k hn ti ngn hng khc, cc khon u t ti chnh c thi hn cn li di n thng Ti sn n nhy cm li sut bao gm: - Tin gi thanh ton (tin gi khng k hn, tin gi giao dch) v tit kim khng k hn ca khch hng - Tin gi c k hn v tit kim c k hn ngn hn trn th trng tin t vi thi hn di n thng (vay qua m, vay ti chit khu thi hn di n thng) Cc trng hp c th xy ra: R = 0 : ri ro li sut khng xut hin R > 0 : ri ro li sut th trng gim R < 0 : ri ro xut hin khi li sut th trng tng Nhc im ca vic da vo khe h nhy cm li sut nh gi ri ro li sut l phng php ny khng nghin cu y tc ng ca ri ro li sut n gi tr ca th trng vn, m ch ch trng vo s liu trn s sch k ton ca vn khng a ra c

s liu c th v mc ri ro li sut tng th ca ngn hng. khc phc nhc im ny, c phng php da vo khe h k hn (Duration Gap) nh gi v kim sot ri ro li sut Khe h K hn = (K hn hon vn trung bnh ca Ti Sn - K hn hon tr trung bnh ca n)* (Tng n / Tng ti sn) Trong : - K hn hon vn ca Ti Sn l thi gian trung bnh cn thit thu hi khon vn b ra u t, l thi gian trung bnh da trn dng tin d tnh s nhn c trong tng lai. - K hn hon tr ca ti sn n l thi gian trung bnh cn thit hon tr khon vn huy ng, l thi gian trung bnh ca dng tin d tnh ra khi ngn hng (thanh ton li v vn vay) C ba trng hp: - Trng hp 1: Khi khe h k hn dng (K hn hon vn trung bnh ca Ti Sn > K hn hon tr trung bnh n): + Nu li sut tng s lm gim gi tr rng ca ngn hng + Nu li sut gim s lm tng gi tr rng ca ngn hng - Trng hp 2: Khi khe h k hn m (K hn hon vn trung bnh ca Ti Sn < K hn hon tr trung bnh n): + Nu li sut tng s lm tng gi tr rng ca ngn hng + Nu li sut gim s lm gim gi tr rng ca ngn hng - Trng hp 3: Khi khe h k hn bng khng (K hn hon vn trung bnh ca Ti Sn = K hn hon tr trung bnh n): gi tr rng ca ngn hng khng chu nh hng bi s thay i li sut, ngha l mc tng gim ca gi tr ti sn c cn bng vi mc tng gim ca gi tr n. - Qun tr ri ro t gi: Trng thi ngoi hi l ch tiu c bn nh gi ri ro t gi hi oi. Trng thi ngoi hi c th c tnh cho tng loi ngoi t, hoc tnh chung cho tt c cc loi ngoi t hin c ti ngn hng. Trng thi ngoi hi ca mi loi ngoi t l chnh lch gia tng ti sn C v tng ti sn N ca ngoi t , bao gm c cc ti sn ngoi bng tng

ng, cc khon mua, bn ngoi t giao ngay v c k hn. Cc phng php qun tr ri ro t gi : - a dng ha cc loi ngoi t trong d tr v thanh ton, hn ch tp trung vo mt loi ngoi t. - S dng cng c ti chnh phi sinh phng chng ri ro t gi nh hp ng k hn (Forward), quyn chn (Option), Swap ngoi t, hp ng giao sau - Duy tr trng thi ngoi hi hp l: Trng hp t gi bin ng tht thng khng theo quy lut, khng d on trc c, th ngn hng nn ch ng duy tr trng thi ngoi hi bng khng v a dng ha cc loi ngoi t trong kinh doanh. Trng hp t gi bin ng c th d bo trc c th nu t gi tng duy tr trng thi lch dng (trng th); nu t gi gim duy tr trng thi lch m (on th). 1.2 Nhng quy nh ca Basel II trong cng tc qun tr ri ro ca cc ngn hng thng mi y ban Basel v gim st nghip v ngn hng l mt y ban bao gm cc chuyn gia gim st hot ng ngn hng c thnh lp vo nm 1974 bi cc Thng c Ngn hng Trung ng ca nhm 10 nc (G10) xut pht t sau mt lot cc cuc khng hong v tin t quc t v th trng ngn hng, trong ng ch nht chnh l s sp ca ngn hng Herstatt Ty c lc by gi. Hin nay, thnh vin ca y ban ny gm cc nc: Anh, B, Canada, c, H Lan, Hoa K, Luxembuorg, Nht, Php, Ty Ban Nha, Thy in, Thy S v . Cc quc gia c i din bi ngn hng trung ng hay c quan gim st hot ng ngn hng. y ban Basel ny c nhm hp 4 ln trong mt nm. Quan im ca y ban l: s yu km trong h thng ngn hng ca mt quc gia, d l quc gia pht trin hay ang pht trin, c th e da n s n nh v ti chnh trong c ni b quc gia v trn trng quc t. V vy, nhu cu nng cao sc mnh ca h thng ti chnh nht thit phi c nhiu quc gia, t chc trn th gii ni chung v y ban Basel v gim st nghip v ngn hng ni ring c bit quan tm. Trong nhiu nm qua, y ban Basel a ra cc tiu chun gim st rng ri ton cu, qua vic hp tc cht ch vi nhiu y ban gim st hot ng ngn hng ca cc nc khng phi l thnh vin. Vo nm 1997, y ban Basel pht trin mt tp hp Cc nguyn tc nng ct cho vic gim st hot ng ngn hng hiu qu m n

cung cp mt khun kh cho h thng gim st hiu qu. Di y l nhng quy nh v nhng nguyn tc ca Hip c Basel II: 1.2.1 Ri ro tn dng Ri ro tn dng theo nh ngha y ban Basel II l ri ro xy ra s mt mt do ngi i vay hoc i tc gy ra. o lng v tnh ton h s ri ro i vi cc khon mc ti sn C khi xem xt ri ro tn dng, theo Basel II c 3 phng php la chn s dng: phng php chun, phng php da trn xp hng ni b c bn v phng php da trn xp hng ni b nng cao. - Phng php chun Phng php ny quy nh h s ri ro c nh i vi tng khon mc ti sn C trn c s b sung thm vic s dng phn nh gi xp hng tn nhim ca cc t chc c lp hoc xp hng tn nhim ni b. Mt im pht trin tng i quan trng trong phng php ny chnh l vic m rng cc sn phm phi sinh cm c, bo lnh, v cho vay ng thi cng a ra mt s quy nh ring i vi hot ng ca cc ngn hng bn l, cc khon vay phi thu vi doanh nghip va v nh (SMEs) - Phng php xp hng ni b IRB: Theo cc iu khon ca hip c Basel II, cc NHTM c chp thun s dng phng php da trn xp hng ni b IRB (IRB approach) nh gi ri ro tn dng. Phng php IRB ny l mt trong nhng nhn t rt mi v c bit ca Basel II, cho php t bn thn cc ngn hng quyt nh v c tnh nhng thnh phn trong cng thc tnh ton nhu cu vn ca h. T , h s ri ro hay phn t l vn s quyt nh thng qua s kt hp ca cc yu t u vo nh lng do c ngn hng ln c quan gim st a ra cng nh cc hm s ri ro c ch nh bi c quan gim st. Phng php lun mi ny ph hp cho ngn hng cho ngn hng vi nhiu quy m khc nhau, nhiu cu trc doanh nghip khc nhau v danh mc ri ro khc nhau. Phng php IRB ra nhng nguyn tc nh gi ri ro tn dng v mt kinh t. N xut mt s x l tng t vi phng php chun ha cho ri ro cng ty, ngn hng v quc gia, cng vi cc chng trnh ring cho kh nng b ri ro ca ngn hng bn l, ti chnh d n v vn c phn. C hai phng php IRB: phng php c bn v phng php nng cao. - Ti sn bo m

Hip c chp nhn s ghi nhp rng hn v k thut lm gim ri ro tn dng, k c cm c, bo m, v cc phi sinh tn dng, v tnh gi tr rng. Nhng xut mi a ra s gim vn cho cc loi hnh giao dch khc nhau m lm gim ri ro. H cng ra cc chun mc hot ng ti thiu bi v cng tc qun l ri ro hot ng km ci k c ri ro php l s lm tng nghi ng v gi tr tht ca nhng nhn t gim nh . Hn na, cc ngn hng c yu cu nm gi vn da trn nhng ri ro cn li to nn t bt k lch no gia phng nga ri ro tn dng v kh nng b ri ro tng ng. lch cp n s chnh lch v s lng hay k o hn. Trong c hai trng hp, cc yu cu v vn s p dng i vi cc ri ro cn li. - Vt cm c y ban chn cho phng php chun ha mt nh ngha v vt cm c hp l rng hn nh ngha trong Hip c nm 1988. Ni chung, cc ngn hng c th cng nhn vt cm c l: tin mt; mt s loi hn ch cc chng khon n do cc quc gia, cc t chc thuc khu vc cng, ngn hng, cc cng ty chng khon, v cc cng ty c phn pht hnh; cc chng khon vn c giao dch trn cc th trng chnh thng; cc c phn ca cc qu h tng; vng. cm c, cn thit phi tnh n thay i thi gian ca gi tr cng nh kh nng b ri ro ca vt cm c. Mc vay th chp xc nh ti sn cm c b sung cn thit i vi kh nng b ri ro m bo vic bo v ri ro tn dng mt cch hiu qu, cn c vo cc khong thi gian cn thit iu chnh li mc cm c (cm c b sung), ghi nhn tht bi ca i tc trong vic thanh ton hoc giao li nhun v kh nng thanh l vt th chp ca ngn hng. Hai loi mc vay th chp c pht trin c mt phng php ton din hn i vi vt th chp: Nhng phng php c thnh lp bi y ban (c th nh mc vay th chp c gim st chun); nhng th khc c da trn c tnh v bin ng ca vt th chp ca chnh ngn hng ph thuc vo yu cu ti thiu. C mt sn vn, c k hiu l w, m mc ch ca n gm hai phn: khuyn khch cc ngn hng tp trung vo v gim st cht lng tn dng ca ngi i vay trong cc giao dch cm c; phn nh s kin rng bt chp mc th chp ha qu mc, mt giao dch c th chp c th khng phi s khng gp ri ro. Mt gi tr w bnh thng l 0.15. - Vt m bo v cc phi sinh tn dng

i vi mt ngn hng t c bt k s tr gip v vn no t vic nhn cc sn phm phi sinh tn dng hoc vt bo m, vic bo m tn dng phi l trc tip, r rng, khng th hy ngang v khng c iu kin. y ban ny ghi nhn rng cc ngn hng ch chu thit hi trong cc giao dch c m bo khi c s v n ca c ngi mc n v ngi bo m. nh hng s v n ca c hai s gim ri ro tn dng nu c tng quan thp gia xc sut v n ca ngi mc n v ngi bo lnh. y ban ny xem xt rng kh nh gi tnh hung ny v khng a ra s ghi nhn i vi nh hng nh hng v n kp. Phng php thay th ny a ra trong Hip c 1988 p dng cho nhng ngi c bo m v cc phi sinh tn dng, mc d c p dng sn vn tng thm, w. Phng php thay th n gin thay th ri ro ca ngi bo lnh cho ri ro ca ngi i vay ph thuc vo s ghi nhn y kh nng c hiu lc ca ngi c m bo. - Tnh gi tr rng ngoi bng cn i k ton Tnh gi tr rng ngoi bng cn i k ton trong s sch ngn hng l c th ph thuc vo cc chun mc hot ng no . Phm vi ca n c gii hn vic tnh gi tr rng ca cc khon cho vay v k gi vi ca mt i tc duy nht. - Kh nng kt thnh danh mc y ban ny xut vic m rng khc ca Hip c 1988 trong yu cu vn ti thiu khng ch ph thuc vo tnh cht ca kh nng b ri ro ca c nhn m cn ph thuc vo ri ro tp trung ca danh mc cho vay ca ngn hng. S tp trung ch r nhng quy m ln v kh nng b ri ro i vi nhng ngi i vay n l, hoc cc nhm nhng ngi i vay c quan h cht ch vi nhau, v mt tim nng gy ra thit hi ln. Hip c ny a ra mt ch tiu o lng tnh kt thnh danh mc (granularity) v gn nhn t ri ro ny vo phng php IRB bng cch iu chnh vn gim st chun c p dng cho mi kh nng b ri ro, ngoi tr nhng kh nng trong danh mc bn l. X l ny khng bao gm ngnh, a l, hoc cc dng tp trung ri ro tn dng hn l tp trung v quy m. iu chnh tnh kt thnh danh mc p dng i vi ton b nhng ti sn c iu chnh ri ro cp ngn hng hp nht, c da trn s so snh v danh mc tham kho vi granularity bit. - Cc ri ro c th khc

Cc vn chng khon khc ha lin quan n ri ro hot ng. S chng khon ho quay vng c c im tr dn trong giai on u, hoc cc dng thanh khon c cung cp cho cc sn phm phi sinh (structures) (cc cam kt cung cp tnh thanh khon cho vic ti tr structure ny theo nhng iu kin no ), to ra mt vi ri ro cn li. C mt khon vn b pht p dng cho ri ro phi h thng no . y ban xem ti chnh d n i hi phi c s x l c th. Hip c ny cng t ra cc phng php nhy cm vi ri ro cho cc v th vn c phn c nm gi trong s sch ca ngn hng. Mc ch l cu vn kh nng cc ngn hng c th hng li t mt t l vn quy nh thp hn khi h nm gi vn c phn hn l n. 1.2.2 Ri ro hot ng: Ri ro hot ng c hiu l ri ro t s mt mt trc tip hoc gin tip do quy trnh x l ni b khng c tun th y , do hot ng ca con ngi hoc do h thng hay l nhng s kin khch quan bn ngoi. Cc ngn hng c la chn 1 trong 3 cch tnh nhu cu vn cn thit i ph 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 ( The Standard Approach) v phng php nng cao (AMA Advanced Meassurement 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 thi cn phi quay tr v phng php c bn cho n khi p ng nhng yu cu ny 1.2.3 Ri ro th trng: Ri ro th trng theo y ban Basel l ri ro xy ra s mt mt trong trng thi giao dch khi gi c bin ng bt thng. thng thng ri ro tht trng s gn lin vi bn loi ri ro c bn trn cc giao dch s sch l ri ro li sut, trng thi vn, ri ro t gi v ri ro hng ha. Vn t c theo quy nh ca Basel I ( phin bn b sung) bao gm vn c phn v li nhun gi li ( vn cp 1), vn b sung vn c bn ( vn cp 2) v 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 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 tnh dng v ri ro gy ra t pha i tc ch c xem xt trong phm vi vn t c theo quy nh ca Basel I. Vn cp 3 ny b gii hn 250% vn cp 1 dng i ph vi ri ro th trng. C ngha l ch c th 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. Vic tnh ton yu cu i vi ri ro th trng c thc hin bng cch ly c tnh ri ro th trng nhn vi 12.5 v cng vo kt qu tng ti sn c ri ro tng ng vi ri ro tn dng. Ri ro th trng c o lng ph bin bng gi tr Var (Value at risk) - 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. i vi ri ro t gi, cc ngn hng s theo di trng thi rng i vi mi loi tin bng cch tng hp trng thi cc giao dch giao ngay, giao dch k hn, giao dch bo m, v th thu nhp / Chi ph ca giao dch giao sau Ring i vi cc ri ro t gi trn mt danh mc cc loi tin c vng cho php ngn hng la chn gia phng php truyn thng vi phng php shorthand( trao tay) trong xem xt tt c loi tin nh nhau. - Phng php m hnh ni b c th s dng phng php m hnh ni b khi nh gi ri ro th trng, cc ngn hng thng mi 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 thc 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 - 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 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 ny, cc ngn hng s xc nh c gi tr ca ri ro 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 cu phi t ti thiu 99%. KT LUN CHNG I Qun tr ri ro l mt trong nhng vn quan trng nht, c nh hng mang tnh cht quyt nh i vi s tn ti v pht trin ca mt ngn hng thng mi. Trong tin trnh m ca v hi nhp ca ngnh ngn hng vo sn chi ton cu, vn qun tr ri ro li tr nn cp thit hn. Tin ti vn dng h thng chun mc ca Hip c an ton vn Basel II l li gii cho bi ton qun tr ri ro ngn hng. Nhng gii thiu v tm tt v nhng yu cu ca Basel II trong cng tc qun tr cc loi ri ro chnh nh: ri ro tn dng, ri ro hot ng, ri ro th trng cho php chng ta hnh dung c mt m hnh qun tr ri ro hin i v hu hiu trong vic phng trnh v qun l ri ro trong cc hot ng kinh doanh ngn hng ni chung. Cc ni dung gii thiu trong chng 1 s l c s nh gi phn tch cc hot ng ca h thng ngn hng BIDV ti chng 2 v xut gii php ti chng 3.

CHNG 2 THC TRNG QUN TR RI RO TI NGN HNG U T V PHT TRIN VIT NAM ( BIDV)
2.1 Gii thiu v ngn hng u t v Pht trin Vit Nam Ngn hng u t v Pht trin Vit Nam (NHT&PTVN) c thnh lp theo ngh nh s177/TTg ngy 26 thng 4 nm 1957 ca Th tng Chnh ph, l mt doanh nghip Nh nc hng c bit, c t chc theo m hnh Tng cng ty Nh nc (tp on) mang tnh h thng thng nht bao gm : - Khi Ngn hng thng mi: 104 chi nhnh ngn hng vi gn 400 im giao dch, v 2000 my ATM, POS trn ton phm vi lnh th c kt ni vi 11 ngn hng thuc Banknet, Smartlink v kt ni thanh ton th Visa; Trong c 2 n v chuyn bit l: Ngn hng ch nh thanh ton phc v th trng chng khon v Ngn hng bn bun phc v lm i l y thc gii ngn ngun vn ODA. - Khi chng khon, Khi bo him; Khi u t ti chnh v Cc Lin doanh: Cng ty qun l qu u t BVIM, VID Public Bank, Vit Nam Russia Bank, Lao Vit Bank, Cng ty lin doanh thp BIDV. Ngoi ra cn c Trung tm o to v Trung tm cng ngh thng tin. 2.2 Cc hot ng kinh doanh ti BIDV Huy ng vn: Ngun vn l yu t ch yu, chim t trng ln trong ti sn n ca mi ngn hng, l yu t u vo, quyt nh m rng cho vay, m rng u t v quy m hot ng ngn hng. Vi khch hng c nhn BIDV cung cp hng lot cc sn phm huy ng vn nh: tin gi tit kim tch ly; tit kim d thng; tit kim trng vng; li sut phn tng trong ti khon tin gi thanh ton; tit kim rt dn. Huy ng vn t khch hng l t chc ln thng qua hp ng hp tc ton din (tin gi,cung cp hn mc tn dng, hn mc thanh ton quc t, cc dch v ngn hng). Nm 2006 BIDV pht hnh thnh cng tri phiu vi k hn di nht l 20 nm, gp phn tng ch s CAR theo tiu chun Basel II, nng t trng ngun vn trung di hn trn tng ngun vn huy ng v c nhn gii thng Tri phiu pht hnh bng ng ni t tt nht nm khu vc chu do tp ch Ti chnh Chu bnh chn.

Tn dng: Hot ng tn dng ca BIDV gm 3 mng chnh l tn dng u t pht trin, tn dng ngn hn v bo lnh. Tn dng u t pht trin ch yu cho vay u t nhng cng trnh, d n phc v cho nhu cu pht trin sn xut ca cc t chc kinh t, c bit l cc d n trng im ca cc ngnh kinh t ln nh Du kh, Bu chnh vin thng, in lc, Hng hi, ng st, Xi mng, Dt may, v cho vay hp vn. Tn dng ngn hn i vi doanh nghip thng l cho vay vn lu ng p ng nhu cu sn xut trong cc lnh vc xy dng, cng nghip, thng nghip, ti tr xut khu. tn dng thng mi ; i vi c nhn c cc sn phm nh cho vay h kinh doanh c th, cho vay du hc, cho vay xut khu lao ng, cho vay h tr nh , cho vay tiu dng, cho vay mua xe t, cho vay cm c chng t c giHot ng bo lnh gm bo lnh vay vn trong v ngoi nc, bo lnh thanh ton, d thu, thc hin hp ng, bo lnh m bo cht lng sn phm, bo lnh tin ng trc, cc hnh thc cam kt L/C tr chm, tr ngay v cc loi bo lnh khc. Kinh doanh i ngoi: Hot ng kinh doanh i ngoi ca BIDV gm 2 mng ln: - Quan h quc t v pht trin quan h kinh doanh vi cc nh ch ti chnh: thit lp v duy tr quan h vi cc t chc quc t v cc ngn hng i l, thc hin kinh doanh ngoi t. - Thanh ton quc t v chuyn tin quc t: m v thanh ton L/C, thanh ton TTR, nh thu D/A, D/P Hot ng ngn hng bn bun v i l y thc: Nm 1993 BIDV bt u hnh thnh nghip v y thc: gii ngn, cho vay li, thu n cc d n t ngun h tr pht trin chnh thc ODA. n nay BIDV l ngn hng thng mi u tin Vit Nam thc hin nghip v ngn hng bn bun thng qua vic qun l hai d n Ti chnh nng thn I v II do Ngn hng Th gii ti tr Dch v khc: chuyn tin, ngn qu, thanh ton, thu i ngoi t, kiu hi, th ATM, Internet - Mobile banking, chng khon, bo him 2.1.3 nh hng pht trin trong thi gian ti Th nht, hon thnh tt k hoch kinh doanh 2010 vi tng ti sn l 342.000 t ng, thc hin kim sot tng trng tn dng ton ngnh t 18 n 20% , gp phn cng

h thng ngn hng kim sot tng trng mc

25%. Gn tng trng tn dng ph

hp vi nh hng mc tiu ca nn kinh t trong nm 2010, xc nh cng tc huy ng vn l nhim v u tin hng u ca nm 2010, m bo vn cho nhu cu tng trng tn dng, m bo kh nng thanh ton, m bo cc t l v gii hn an ton ca ton h thng. Th hai, Thc hin ti c cu ton din v hot ng kinh doanh: nn khch hng, ngun vn, danh mc u t, danh mc tn dng, c cu ngun thu ca BIDV hng n s thay i mnh m v c cu, cht lng v tng trng bn vng, hp l Th ba, tip tc hon thin v c cu t chc hot ng ph hp vi quy nh, ph hp vi m hnh mi TA2 v l trnh c phn ha BIDV. Chun b y cc ni dung gn vi k hoch tin hp l chuyn i hot ng ca BIDV t m hnh NHTM 100% vn Nh nc sang NHTM c phn i chng nim yt Th t, tp trung thc hin cng tc u t vo Campuchia v chun b cc iu kin tt nht cho hot ng xc tin u t ca cc doanh nghip Vit Nam vo Myanmar. 2.2 nh gi hiu qu kinh doanh ca BIDV theo chun mc quc t: 2.2.1 Quy m vn ch s hu: BNG 2.1 : QUY M VN CH S HU n v: t ng Ch tiu Vn iu l Vn mua sm ti sn c nh Qu ca TCTD Chnh lch t gi hi oi sn Li nhun cha phn phi Tng vn ch s hu (2.173) 13.977 (2.509) 9.969 336 4.008 40% 2009 10.499 1.916 3.922 165 2008 8.756 1.597 2.041 84 Thay i 1.743 319 1.881 81 (352) 19.9% 20% 92.1% 95.7%

Chnh lch nh gi li ti (352)

Ngun: bo co thng nin 2009

T VN

Hnh 2.1: VN CH S HU n 31/12/2009, vn ch s hu ca ngn hng t 13.977 t ng, tng ng 779 triu USD v tng 40% so vi 2008, a t l vn ch s hu/tng ti sn tng t mc 4.1% nm 2008 ln 4.8% 2009 gp phn nng cao nng lc ti chnh ca ngn hng.C c nh vy l do vn iu l v cc qu tng mnh (3.624 t ), kt qu li nhun trong nm t c mc cao cng lm gim ng k khon l ly k t nhng nm trc theo chun mc quc t do c s khc nhau v chun mc trong vic trch lp d phng ri ro theo chun Vit Nam v thng l quc t. Nhng kt qu trn gp phn a h s CAR h s an ton vn ti thiu ca ngn hng - tnh theo bo co ti chnh quc t IFRS t mc 7.55%, theo bo co ti chnh chun mc VAS Vit Nam l 9.53% (quy nh ti thiu theo Thng t 13 ca ngn hng Nh nc Vit Nam l 9%) 2.2.2 Quy m ti sn v hot ng tn dng: n 31/12/2009, tng ti sn ca BIDV t 292.198 t tng ng 16.3 t la M. Vi quy m tng ti sn trn BIDV vn gi v tr th 2 trn th trng ni a sau Ngn hng Nng Nghip & Pht trin nng thn Vit Nam. Chim t trng ln nht trong tng ti sn l hot ng tn dng vi t trng 68%. y l hot ng mang li thu nhp ch yu cho Ngn hng. Tng d n trc d phng ri ro t 206.402 t tng 28% so vi 2008, ch yu l tng t cc khon cho vay thng mi (chim 95% d n tng thm). c bit l n khoanh v ch x l khng cn, cho vay ch nh v k hoch nh nc gim dn qua cc nm. Lnh vc cho vay a dng trong

nhiu lnh vc ,ngnh ngh nh c s h tng, cng nghip ch bin, thng nghip, dch v, du lch, nng lm thy sn..., t trng cho vay doanh nghip quc doanh 21%, doanh nghip ngoi quc doanh chim 65%, doanh nghip c vn nc ngoi 3%, t nhn c th 10%. Mc d nhng du hiu suy thoi kinh t ton cu nm 2009 nh hng nhiu n tnh hnh ti chnh khch hng cng nh hot ng kinh doanh ngn hng, song cht lng tn dng ca BIDV c ci thin ng k, th hin: - T l n xu tip tc c khng ch mc thp (di 3%): nm 2009 tng d n tng them hn 43.000 t 28%, song t l n xu c kim sot mc 2.82%, c tng nh so vi 2008 song l mc thp so vi mt bng chung trong bi cnh kinh t khng thun li, c bit tip tc xu hng gim so vi mc 3.98% nm 2007. - T l n tt (n nhm 1) tng ln ng k t mc 77% nm 2008 ln 81% nm 2009, ng thi t l n nhm 2 (nhoma n tim tng c nguy c pht sinh n xu cao) gim c 4% t mc 20% nm 2008 xung 16% nm 2009. BNG 2.2 : C CU D N THEO LOI HNH NGHIP V n v: t ng Ch tiu Cho vay thng mi Cho thu ti chnh Cho vay ODA Cho vay y thc u t Cho vay theo ch nh ca Chnh ph, KHNN N cho vay c khoanh n 0 v ch x l Tng d n trc DPRR 206.402 160.982 45.420 28 1.2 -1.2 -100 2009 193.962 2.878 8.268 539 755 2008 150.725 2.501 6.009 500 1.246 Tng trng 43.237 377 2.259 39 - 491 % 29 15 38 8 -39

BNG 2.3: CHT LNG TN DNG CA BIDV n v: t ng 2008 N tiu chun N cn ch N di tiu chun N nghi ng N khng thu hi c Tng N xu xu Ngun: bo co thng nin 2009 Ghi ch: tng d n c phn loi khng bao gm cho vay ODA, cho vay y thc u t - T l b p ri ro (qu d phng ri ro/n xu) m bo > 1, t 163%, gim so vi mc 199% nm 2008 cho thy qu d phng ri ro tn dng m bo b p tn tht n xu, cht lng tn dng c m bo nn t l trch lp/n xu c xu hng gim. Theo bo co kim ton BIDV thc hin trch d phng ri ro (DPRR) trong nm 2008, vi mc trch l 2.554 t, nm 2009 trch d phng ri ro thp hn 2008 do t l n xu tip tc c kim sot mc thp. V hiu qu tn dng: tng thu nhp t cc hot ng nm 2009 l 9.983 t ng tng 1.463 t so vi 2008, trong thu li rng t 6.948 t (70%), thu phi li l 3.035 t (30%). V nn khch hng: 2009 l nm th 4 BIDV trin khai thc hin phn loi n v trich lp DPRR theo iu7 quyt nh 493/2005/Q-NHNN. C 6.387 khch hngc xp hng, tng 769 khch hng so vi nm 2008, trong khch hng xp loi A tr ln l 2.509 khch hng chim 39.3% tng s khch hng, gim 5.7% so vi nm 2008; Khch hng xp loi t B n BBB l 3.761 khch hng chim 58.9% tng s khch hng, tng 118.837 76.93 % 31.452 2.833 413 937 20.36% 1.83% 0.27% 0.61% 2009 159.918 80.93% 32.108 3.531 864 1.173 16.25% 1.79% 0.44% 0.59% Thay i 41.081 656 698 451 236 43.122 1.385 0.11% 4% 4.11% 0.05% 0.17% 0.01% 154.472 100% 4.183 2.71% 197.594 100% 5.568 163% 2.82%

T l Qu DPRR/N 199%

6.5% so vi nm2008; Khch hng xp loi t CCC tr xung l 117 khch hng chim 1.8% tng s khch hng, gim 0.76% so vi nm 2008. Bn cnh , BIDV trin khai c hiu qu chng trnh h tr li sut, gp phn bnh n v kch thch tng trng trong hot ng sn xut kinh doanh i vi khch hng vay vn. 2.2.3 Kh nng sinh li: BNG 2.4 KT QU HOT NG KINH DOANH n v: t ng Ch tiu 2009 2008 So snh Tuyt i Tng ti sn Vn ch s hu Tng thu nhp rng Chnh lch thu chi trc d phng ri ro Chi ph DPRR Li nhun trc thu Li nhun rng trong nm ROA (LNST/TTSbq) ROE (LNST/Vn CSHbq) Kh nng b p ri ro CAR (1.539) 3.196 2.520 0.94% 21.04% 7.55% (3.087) 2.141 1.780 0.8% 19.38% 6.62% (1.549) 1.055 739 50% 49% 42% 292.198 13.977 9.983 4.735 242.316 9.969 8.520 5.228 49.882 4.008 1.463 -493 Tng i 21% 40% 17% -9.4%

Ngun: bo co thng nin 2009. 2.2.4 Kh nng thanh khon v huy ng vn: Nm 2009, nhng bin ng trong mi trng kinh doanh, chnh sch kinh t v m tc ng mnh n tnh hnh huy ng vn, thanh khon v tng trng ca h thng Ngn hng thng mi.

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Hnh 2.2 : TIN GI V CC KHON PHI TR KHCH HNG u nm 2009, chn suy gim tc tng trng kinh t, NHNN thc hin chnh sch tin t ni lng, ct gim lin tc li sut c bn t 12% xung 7%, duy tr n ht thng 11/2009 ri tng ln 8% trong thng 12, ng thi Chnh ph thc hin gi chnh sch kch cu h tr li sut. Quy m tn dng tng ln hn quy m tng trng ngun vn dn n kh khn trong thanh khon, p lc cnh tranh chia s th phn khin cc ngn hng suy gim tc tng trng huy ng vn. Cc ch tiu bng trn u gim so vi 2008 BNG 2.5: CC CH S V THANH KHON Ch tiu D n/Tin gi (*) TS thanh khon/Tng n phi tr Tin gi khch hng/Tng n phi tr Tng trng tin gi 2009 94.6% 7.1% 73.8% 11.2% 2008 83% 7.9% 79.4% 27.3%

Ngun: bo co thng nin 2009 Ghi ch: (*) Tin gi gm tin gi ca dn c v t chc kinh t, pht hnh giy t c gi, khng bao gm tin gi B Ti Chnh, Kho Bc Nh Nc, tin gi v tin vay cc TCTD khc

2.2.5 Hot ng dch v: Nm 2009, thu dch v rng ca ngn hng t hn 1.300 t ng, tng xp x 35% so vi nm trc, thu dch v rng bnh qun u ngi t 97 triu /ngi, tng 20% so vi 2008 BNG 2.6: C CU THU HOT NG DCH V TT 1 2 3 4 5 6 Ch tiu Hot ng thanh ton Hot ng bo lnh Hot ng ngn qu Dch v i l Dch v khc Tng thu % Tng trng 44 20 3 17 39 32 % T trng 45 39 1 1 14 100

Ngun: bo co thng nin 2009 Hot ng bo lnh l dng sn phm c th mnh ca BIDV, nm 2009 thu hn 560 t chim 39% tng thu v tng 20% so vi 2008; Hot ng thanh ton (bao gm cc dch v thanh ton trong nc, thanh ton quc t v ti tr thng mi) chim t trng ln nht trong tng thu, trong : doanh s thanh ton trong nc t gn 4 triu t ng, tng 53% so vi 2008; doanh s chuyn tin quc t t gn 450 ngn t ng (quy i) tng 87% so vi 2008; Doanh s ti tr xut khu khong 1.200 triu USD, doanh s ti tr nhp khu khong 5.100 triu USD, thu rng t hot ng ny t hn 230 t ng, tng 51% so vi 2008 v cc hot ng dch v khc nh th, bo him cng thu hn 200 t ng tng 39% so vi 2008. Tm li, hot ng kinh doanh ca cc ngn hng thng mi Vit Nam ni chung v BIDV ni ring trong nm 2009 gp nhiu kh khn, thch thc do nhng din bin bt li trong mi trng kinh doanh. Song vi mc tiu duy tr s n nh v pht trin, hng ti c phn ha, nm 2009 BIDV n lc m bo hiu qu hot ng kinh doanh theo ng ng li, k hoch t ra.

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Hnh 2.3 : THU DCH V RNG 2.3 nh gi ri ro v cc cng c qun tr ri ro ti BIDV: 2.3.1 Ri ro tn dng: Hin nay hot ng tn dng l mt trong nhng hot ng em li ngun thu nhp ch yu cho ngn hng. Nm 2010, th trng vn cn xut hin kh khn cng ch trng khng ch tng trng tn dng ca Ngn hng Nh nc khng qu 25% buc cc ngn hng phi hn ch cho vay xung mc cho php. i ph vi nhng bin ng ca mi trng kinh doanh, vn qun l ri ro c t ln hng u. gim thiu ri ro tn dng, BIDV thc hin mt s cng c qun tr ri ro sau: - Ban hnh S tay tn dng quy nh v chnh sch tn dng, quy trnh cho vay v qun l tn dng, chnh sch khch hng, nh gi tin vay, bo m tin vay....mc ch nhm chun ha vic tun th cc quy trnh nghip v, nng cao cht lng tn dng ng u trong h thng. - Chuyn i m hnh t chc : vi mc tiu hin i ha m hnh hot ng theo thng l v chun mc quc t, t thng 9/2008 BIDV thc hin chuyn i m hnh t chc theo n TA2 n chuyn i m hnh t chc BIDV giai on 2007-2010 c xy dng trn c s khuyn ngh ca cc chuyn gia t vn thuc Cc chng trnh lin kt k thut nhm h tr ti c cu BIDV giai on 2 chuyn t m hnh phn tn theo chiu ngang (theo cc mng nghip v tn dng, huy ng vn, dch v) sang m

hnh tp trung theo chiu dc, ph hp vi c cu t chc ca mt nh ch ti chnh hin i, hng vo khch hng v hng vo sn phm.Theo m hnh mi mng nghip v tn dng bao gm ba khi: Khi ngn hng bn bun: chu trch nhim duy tr v pht trin quan h vi cc khch hng doanh nghip ln, cc nh ch ti chnh, cc doanh nghip va v nh. Khi ngn hng bn bun khng c thm quyn ph duyt bt k mt khon tn dng no, mi xut phi thng qua Khi qun l ri ro l ni r sot, ph duyt cc xut tn dng ca Khi ngn hng bn bun Khi ngn hng bn l : ph trch cc sn phm tn dng v dch v cho cc khch hng c nhn v h gia nh Khi qun l ri ro: chu trch nhim kim sot tt c cc ri ro tn dng v cc ri ro khc ca ngn hng, xut bin php nng cao cht lng tn dng, nh gi ri ro tim n i vi danh mc tn dng, phn loi n v trch lp d phng ri ro, nh gi ti sn m bo n vay theo quy nh v x l n xu. Khi tc nghip : l ni hon tt cc giao dch sau khi c cp c thm quyn ph duyt, c nhim v kim tra tnh y , hp l v cc iu kin ca h s gii ngn cho vay, bo lnh v trc tip thc hin hch ton k ton. u im ca m hnh TA2 l khc phc hn ch ca m hnh trc khi chuyn i, l chc nng qun l ri ro c thit k nm trong cc quy trnh nghip v, qun l ri ro s l ni ph duyt trc khi nghip v kinh doanh thc s tin hnh ch khng phi ng ngoi quy trnh thc hin chc nng gim st sau khi nghip v thc s pht sinh, m hnh mi vn hnh theo nguyn tc khng c nhn vin no va m phn vi khch hng li va c trch nhim chi tr. y l s bo v rt c bn v mang tnh nn tng i vi ngn hng, s lun lun c hai ngi bo co cho hai khi khc nhau cng thc hin mt khon thanh ton. Khi ngn hng bn bun v bn l hot ng trn nguyn tc c bn l giao dch, thng lng vi khch hng nhng khng th nhp d liu vo ti khon m ch c th tham kho thng tin v cc ti khon . Cn cc Khi qun l ri ro, Khi tc nghip hot ng trn nguyn tc c bn l khng lin h vi khch hng v c nhim v nhp d liu vo ti khon (tr tin, nhn tin v chuyn tin), h tr v ri ro, tc nghip v ti chnh. - Ban hnh h thng xp hng tn dng ni b i vi khch hng:

Mc ch : phn loi n, trch lp d phng v phc v qun l cht lng tn dng, kt qu xp loi khch hng l mt trong nhng cn c ra quyt nh cp tn dng v thc hin chnh sch khch hng, gp phn gip cho cng tc qun tr kinh doanh ca ngn hng vng vng khi hi nhp kinh t quc t. Phng php xp hng: h thng xp hng tn dng ni b ca BIDV s dng phng php chm im cc nhm ch tiu ti chnh v phi ti chnh ca tng khch hng; kt hp vi phng php chuyn gia v phng php thng k xp hng khch hng. Trong mi nhm ch tiu ti chnh hoc phi ti chnh s bao gm nhiu ch tiu nh. S lng cc ch tiu nh; thang im v trng s ca mi ch tiu s khc nhau i vi mi loi khch hng hay ngnh kinh t khc nhau. BIDV xy dng 3 h thng chm im khc nhau cho 3 loi khch hng chnh l: t chc tn dng, t chc kinh t v c nhn. Cn c vo tng s im t c, khch hng s c phn loi vo mt trong cc mc xp hng sau: STT Mc xp hng ngha L khch hng c bit tt, hot ng kinh doanh c hiu qu rt cao v lin tc tng trng mnh; tim 1 AAA lc ti chnh c bit mnh p ng c tt mi ngha v tr n; Cho vay i vi khch hng ny c kh nng thu hi y c n gc v li ng hn. L khch hng rt tt, hot ng kinh doanh c hiu qu cao v tng trng vng chc; tnh hnh ti chnh 2 AA tt m bo thc hin y cc ngha v ti chnh cam kt. Cho vay i vi khch hng ny c kh nng thu hi y c n gc v li ng hn. L khch hng tt, hot ng kinh doanh lun tng 3 A trng v c hiu qu ; tnh hnh ti chnh n nh, kh nng tr n m bo. Cho vay i vi khch hng ny c kh nng thu hi y c n gc v li ng hn khch hng tng i tt, hot ng kinh doanh c hiu qu nhng nhy cm vi cc thay i v iu 4 BBB kin ngoi cnh; tnh hnh ti chnh n nh; Cho vay

i vi khch hng ny c kh nng thu hi y c n gc v li nhng c du hiu khch hng suy gim kh nng tr n. L khch hng bnh thng, hot ng kinh doanh c hiu qu tuy nhin hiu qu khng cao v rt nhy 5 BB cm vi cc iu kin ngoi cnh. Khch hng ny c mt s yu im v ti chnh; v kh nng qun l. Cho vay i vi khch hng ny c kh nng thu hi y c n gc v li nhng c du hiu khch hng suy gim kh nng tr n. L khch hng cn ch , hot ng kinh doanh hu 6 B nh khng c hiu qu, nng lc ti chnh suy gim, trnh qun l cn nhiu bt cp; D n vay ca cc khch hng ny c kh nng tn tht mt phn n gc v li. L khch hng yu, hot ng kinh doanh cm chng, nng lc qun tr khng tt, ti chnh mt cn i v 7 CCC chu tc ng ln khi c cc thay i v mi trng kinh doanh. D n vay ca cc khch hng ny c kh nng tn tht mt phn n gc v li. L khch hng yu km, hot ng kinh doanh cm 8 CC chng, khng thc hin ng cc cam kt v tr n; D n vay ca cc khch hng ny c kh nng tn tht mt phn n gc v li. L khch hng rt yu, kinh doanh thua l v rt t c 9 C kh nng phc hi. D n vay ca cc khch hng ny c kh nng tn tht rt cao. L khch hng c bit yu km, kinh doanh thua l 10 D ko di v khng cn kh nng khi phc. D n vay ca cc khch hng ny khng cn kh nng thu hi, mt vn.

Nguyn tc chm im: cc trng hp khch hng lun tr n ng hn cho ngn hng nhng c tnh hnh ti chnh yu km s khng c xp nhm hng tt nht. - Phn loi n, trch lp d phng ri ro theo quy nh ca Ngn hng Nh nc: Hin nay, cc t chc tn dng ang thc hin phn loi n, trch lp v s dng d phng x l ri ro tn dng theo quyt nh 493/2005/Q-NHNN. Qua cc t kho st mt s ngn hng c nh gi qun l tt, xy dng h thng xp hng tn dng ni b nhng theo nh gi ca nhng cn b chuyn mn ca V cc ngn hng th cc ngn hng vn cha diu kin v c s thc hin vic phn loi n theo iu 7 (phn loi n theo phng php nh tnh ), vic phn loi ny s lm tng mc trch d phng ri ro ca ngn hng nhng gip cht lng tn dng t theo chun mc quc t. BIDV cn c trn h thng xp hng tn dng ni b ca mnh trnh Ngn hng nh nc chnh sch d phng ri ro v c chp thun phn loi n theo iu 7. Cc nhm n: Nhm 1 (N tiu chun) bao gm: Cc khon n c Ngn hng nh gi l c kh nng thu hi y c n gc v li ng hn. Nhm 2 (N cn ch ) bao gm: Cc khon n c Ngn hng 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. Nhm 3 (N di tiu chun) bao gm: Cc khon n c Ngn hng nh gi l khng c kh nng thu hi n gc v li khi n hn. Cc khon n ny c Ngn hng nh gi l c kh nng tn tht mt phn n gc v li. Nhm 4 (N nghi ng) bao gm: Cc khon n c Ngn hng nh gi l kh nng tn tht cao. Nhm 5 (N c kh nng mt vn) bao gm: Cc khon n c Ngn hng nh gi l khng cn kh nng thu hi, mt vn. Cn c vo kt qu ca H thng Xp hng Tn dng Ni b, cc khon n ca khch hng s c phn loi vo cc nhm n tng ng nh sau: T l trch lp d phng c th i vi cc nhm n nh sau: Nhm 1: 0% Nhm 2: 5% Nhm 3: 20%

Nhm 4: 50% Nhm 5: 100% Xp hng khch hng theo H thng Xp hng Tn dng Ni b AAA AA A BBB BB B CCC CC C D N nhm 4 N nhm 5 N nhm 3 N nhm 2 N nhm 1 Phn loi Nhm n

Ghi ch: N xu (NPL) l cc khon n thuc cc nhm 3, 4 v 5. - p dng chnh sch cp tn dng i vi khch hng doanh nghip: Ty theo xp hng khch hng m BIDV s c chnh sch tn dng khc nhau c th i vi cho vay u t d n: BIDV p ng ti a 85% tng mc u t ca d n v khch hng tham gia ti thiu 15% tng mc u t ca d n. V ti sn bo m khch hng c BIDV xem xt cho vay, bo lnh khi p ng t l ti sn bo m ti thiu 20% n 100% Qua cc bin php trn, hot ng tn dng ca BIDV c iu hnh ch ng, linh hot, kp thi m bo hot ng tn dng va tng trng c v quy m ln cht lng, gp phn bnh n th trng tin t, n nh kinh t v m ng thi ph hp vi din bin th trng. 2.3.2 Ri ro hot ng :

Ri ro hot ng hay cn gi l ri ro tc nghip v c hiu l ri ro pht sinh do yu t con ngi (cu th, gian ln), s yu km trong h thng cng ngh, thng tin, s s h, yu km trong cc quy nh nghip v; hoc t nhng yu t bn ngoi. Cc nguyn nhn dn n ri ro hot ng trong hot ng ca cc ngn hng c th c khi qut nh sau: Do cn b ngn hng thc hin cc nghip v, nhim v khng c y quyn hoc ph duyt vt qu thm quyn cho php v khng tun th theo quy nh,quy trnh nghip v ca ngn hng v cc vn bn php lut hin hnh. Khng tun th cc quy nh/ quy trnh ca h thng h tr Khng chp hnh ni quy c quan, hp ng lao ng v cc vn bn php lut i vi ngi lao ng ni cng s nh: an ton lao ng, thc hnh tit kim, chng lng ph, phng chng tham nhng. C hnh vi la o hoc hnh ng phm ti, cu kt vi i tng bn ngoi nhm trc li c nhn gy thit hi cho ngn hng. Ngoi ra quy trnh nghip v cn nhiu bt cp, cha hon chnh, to k h cho k xu li dng Ri ro t h thng cng ngh thng tin: Do d liu khng y hoc h thng bo mt thng tin khch hng khng an ton, do thit k h thng khng ph hp, gin on h thng x l v phn mm chng trnh h tr ci t trong h thng li thi, hoc hng hc hoc khng hot ng. V d my ATM t ng thc hin, do vy, c nhiu trng hp khch hng c tr tin nhiu hn bt ton ghi n hoc ngc li.. Vic ch o, hng dn v h tr kp thi, cha hiu qu hoc chng cho gy kh khn, ch tc cho b phn nghip v. Do c ch, quy ch v cng tc h tr cha ph hp, cha p ng yu cu h tr cho nghip v. BIDV nhn thc c y l loi ri ro xy ra kh thng xuyn trong hot ng ca ngn hng nn thnh lp Ban qun l ri ro tc nghip v th trng nhm ngn nga, pht hin kp thi nhng sai st trong qu trnh tc nghip, gip ngn hng trnh nhng ri ro v tn tht, ng thi ban hnh Chnh sch, quy nh qun l ri ro tc nghip vi mc ch nhn din, o lng, gim st v hn ch ti a ri ro tc nghip trong h thng BIDV, m bo hot ng kinh doanh ca BIDV c an ton v hiu qu. Xc nh trch nhim, quyn hn v chc nng nhim v ca c nhn, tp th trong cng tc qun l ri ro tc nghip.

Kinh t Vit Nam nm 2010 c nhn nh s cn nhiu kh khn, tuy nhin BIDV s tip tc chin lc m rng mng li ra nc ngoi, xy dng nhiu sn phm, dch v mi... nhm p ng ti a nhu cu ca khch hng. T nh hng ny, cng tc qun l ri ro ti BIDV s tip tc c ci tin nhm m bo li ch ca khch hng, c ng, nh u t cng nh pht trin hot ng ca Ngn hng trn c s an ton v hiu qu. 2.3.3 Ri ro th trng: Ri ro li sut: T u nm 2010 n nay, do chnh sch iu hnh li sut ca NHNN cng vi chng trnh h tr li sut vay vn i vi cc doanh nghip nhm chng suy gim kinh t nn li sut huy ng vn ca cc ngn hng dn dn n nh v khng qu 150% li sut c bn (8%).Tuy nhin, hin nay li sut huy ng ang c hin tng bt n c th l Mt lot cc ngn hng thng mi cng b p dng mt mc li sut cao nht cho hng lot cc k hn gi tin ngay sau quyt nh gi nguyn li sut ca c bn ca Ngn hng Nh nc cho thy biu li sut huy ng chung trn th trng ngy cng c vn . Nhng ngy trc khi NHNN c quyt nh gi nguyn li sut c bn 8% v gia ngn ngang nhng n on v vic c hay khng vic iu chnh li sut c bn, biu li sut huy ng VND ti nhiu NHTM vn c c s chnh lch t i v mang nhiu tnh hnh thc cc k hn.Song gn nh ngay sau quyt nh ca NHNN, mt ln sng t trn th trng huy ng vn dn c v t chc xut hin vi xu hng mt li sut cao nht cho cng lc nhiu k hn. Khng hn l mi, song s xut hin ngy cng dy c m phn ln cc NHTM c phn quy m nh cho thy thc t ngy cng gian nan trong knh huy ng vn tin ng t th trng dn c v t chc. Mi y nht, cc NHTM ang p dng biu li sut mt mc duy nht cho mt lot cc k hn gi tin ng t 3 thng n 36 thng vi mc ph bin ln ti 12%/nm. Nhng thc t cn nhng khon thng bng tin hoc hin vt lm li sut thc t cao hn t 1 n 2%. Trong khi cc doanh nghip cn vn cho sn xut kinh doanh ch chp nhn mt mc li vay nht nh lm cho khong cch u vo u ra ca ngn hng cng thu hp. Thm ch c nhng khon vay di hn vi li sut c nh cng gy nhiu p lc cho ngn hng. Hin nay, ngn hng qun l ti sn n (TSN) ti sn c (TSC) bo v li nhun ca ngn hng trnh ri ro li sut bng biu lch. y l phng php o lng bng biu , phng php ny th hin s vn chu ri ro li sut v s vn theo

tng thi k ti nh gi. Bng cch s dng khe h nhy cm li sut cng vi vic phn loi cc TSN TSC theo k hn ti nh gi lp biu lch. Da vo biu lch trn Nh qun tr c th c ci nhn tng qut v tnh hnh TSN TSC ca ngn hng, c th nh gi c tnh thanh khon ca h thng ng vi tng thi im ri da vo kinh nghim ca bn thn, din bin th trng c kt lun nh tnh v thu nhp ca ngn hng ch khng c mt kt qu nh lng trong trng hp li sut th trng bin ng. Khi c mt s thay i li sut trn th trng, cc nh qun tr s khng th tnh ton c mc nh hng ca s thay i li sut n li nhun ca ngn hng gy kh khn cho vic kim sot ri ro li sut. Ngoi ra, cc Ngn hng nh ch qun l TSN TSC theo kinh nghim. qun tr ri ro li sut, BIDV thnh lp Hi ng ALCO l Hi ng qun l Ti sn N - Ti sn C (Assets and Liabilities Committee) v ban hnh quy nh v h thng ch tiu gim st ti chnh m bo an ton trong hot ng, nhm gii hn mc tn tht gi tr ti sn ngn hng trc nhng bin ng li sut th trng, trong nm BIDV xy dng v gim st thc hin hn mc khe h ti sn nhy cm li sut cho cc gi k hn di 1 nm, ng thi xy dng chng trnh qun l VAR li sut l gi tr chu ri ro li sut (value at risk) t thng 9/2008, gip o lng mc tn tht ngn hng gp phi t ri ro li sut, t c th gii hn mc tn tht ti a, ph hp vi a thch ri ro ca ngn hng trong tng thi k. o lng ri ro li sut bng phng php phn tch khe h nhy cm li sut v xc nh mc thay i thu nhp li rng do bin ng li sut: NIIk Trong : k = 0, 1, 2, n thng. NIIk: mc thay i ca thu nhp li rng trong k thng ti i: mc thay i li sut. T: thi gian nh gi li. Gapk: khe h nhy cm li sut ca di k hn th k: Gapk= Ak-Lk Ak: gi tr nhm ti sn C nhy cm li sut thi gian nh gi li k thng. Lk: gi tr nhm ti sn n nhy cm li sut thi gian nh gi li k thng. = Gapk * i% * (Tk + 1 Tk)/12

T l khe h nhy cm li sut ly k/Tng ti sn nm trong gii hn do Hi ng ALCO ph duyt trong tng thi k. Ban Thng tin qun l v H tr ALCO c nhim v xy dng bo co khe h nhy cm li sut theo quy nh qun l ri ro li sut ca Ngn hng trong tng thi k, nh gi bin ng thu nhp li rng (NII) khi li sut thay i; Ban Qun l ri ro th trng v tc nghip chu trch nhim a ra cc cnh bo, nh gi trong qu trnh hot ng v xy dng cc gii hn trong qun l ri ro li sut. Ri ro ngoi hi: T gi hi oi gia VND v cc loi ngoi t v s bin ng ca n khng ch l mi quan tm trc tip ca cc doanh nghip xut khu hay nhp khu, ca nhng ngi cho vay hay vay ngoi t ca cc NHTM. Trong hot ng kinh doanh ngoi hi, thanh ton quc t, hay cc hot ng kinh doanh khc c lin quan trc tip n bin ng t gi, nu khng c s qun l, kim sot cht ch v khng c kh nng d bo tt th c nh hng rt ln ti kt qu kinh doanh ca cc ngn hng thng mi Nm 2009 c th coi l nm tin t ti Vit Nam. T gi USD/VND tng mnh, nhp siu cao, lm pht ng trc p lc tng tr li vo nm 2010, khan him cc b USD, gi vng st nng, li sut ngn hng ln kch trn... T gi chnh thc gia USD v VND trong nm 2010 tri qua vi ln iu chnh. Mc d sau mi ln iu chnh, t gi chnh thc u ln kch trn nhng t gi trn th trng t do vn lun nm ngoi bin cho php ca Ngn hng Nh nc. Trn thc t, th trng ngoi hi lun cng thng. Nguyn nhn ca tnh trng cng thng t gi l do VND chu sc p gim gi so vi USD trong mt thi gian di. So vi u nm 2007, VND tng gi khong 20% so vi USD tnh theo t gi hiu dng thc, trong nguyn nhn chnh l do lm pht (o bng CPI) Vit Nam trong hai nm

Hnh 2.4: T gi USD/VND 2008 2009

2009 Ngun: Global Financial Data, Ngn hng Nh nc v tng hp ca Trng Fulbright. Bng 2.7: Cn cn thanh ton ca Vit Nam (2007-2009) n v: triu USD 2007 2008 2009 Qu 1 Qu 2 Qu 3 Cn cn ti khon vng lai (khng k vng) - Thng mi - Kiu hi - Khc Cn cn ti khon ti chnh (k c vng) - C bn - Chnh thc -5.692 -7.966 121 10.042 6.804 -2.442 -3.544

-9.000 6.180

-208 1.488

-2.597 -3.528 1.469 1.243

-2.812 -4.728 -1.159 -1.314 -1.259 15.891 8.439 -964 -306 1.840 470 1.370 1.446 3.013 484 2.529

14.917 11.449 1.211 2.045 993 322

- T nhn (FDI, FPI, tn 12.872 10.456 889

dng thng mi) - Khng c bn - Ti sn nc ngoi rng ca ngn hng thng mi - Vng - Sai s v thiu st Cn cn tng th 974 2.623 -3.010 -2.175 -2.146 -1.567 677 -688 -265 70 1.500 0

-1.300 -2.740 2.530 -349 -947

-4.017 -1.951 -3.067 -843 -2.748 -2.098

10.199 473

Ngun: Ngn hng Nh nc v Qu Tin t Quc t 2007 v 2008 rt cao, ln lt l 12,7% v 20%. ng lu l trong nm 2009, mc d CPI mc thp (6,52%) nhng sc p gim gi VND vn c duy tr, ln ny l do thm ht cn cn thanh ton. Theo B Cng Thng tng mc nhp siu 10 thng u nm 2010 l 9,5 t la, bng 16.45% so vi tng kim ngch xut khu l 57,77 t la. Kim ngch nhp khu 10 thng l 67.3 t la, tng 20.7% so vi cng k nm 2009, trong cc mt hng thuc danh mc hng ha cn thit phi nhp khu chim 81.8 tng kim ngch nhp khu. Nh vy, nu khng y mnh xut khu th vic thm ht cn cn thanh ton s l iu kh trnh khi. Nhn vo Bng 2.10, c th thy cn cn thanh ton ca Vit Nam thng d ln trong nm 2007 (+10,2 t USD), tuy nhin mc thng d ny gim mnh trong nm 2008 (ch cn + 0,5 t USD), v chuyn sang thm ht (-5,7 t USD) trong ba qu u nm 2009. Mt gi thuyt kh d l gii cho tnh trng ny l do s kt hp gia chnh sch h tr li sut 4% ca Chnh ph v k vng ca th trng. Khi doanh nghip c h tr li sut 4% th gi vn bng VND gim mt cch ng k so vi USD, khin cc doanh nghip tha mn phn ln nhu cu vn lu ng ngn hn bng vic i vay VND t cc ngn hng thng mi. Bn cnh , vi li sut USD v vng khng thp, cng thm vi k vng gim gi VND, tnh trng cng thng trn th trng ngoi hi, v vic gi vng lin tc leo thang khin cc doanh nghip cng c thm ng c gm gi USD v vng.

Ni cch khc, chnh sch ca nh nc cng vi tm l ca th trng lm doanh nghip v h gia nh chuyn danh mc tin t t VND sang USD v vng, c th hin r qua trng thi nm gi VND gim v USD tng trong h thng ngn hng thng mi. Hin nay, qun l ri ro ngoi hi, BIDV ang thc hin qun l theo gii hn ca ALCO ph duyt gi tr chu ri ro ngoi hi (VAR- value at risk) i vi 3 ng tin ch yu l USD, EUR v JPY, ng thi cng theo di VAR cho c gi ngoi t gm 3 loi ng tin ny.Var ngoi hi l gi tr chu ri ro ngoi hi o lng mc tn tht d kin ln nht xy ra i vi gi tr ti sn ca ngn hng do cc bin ng t gi hi oi trong iu kin th trng thng thng vi mt tin cy cho trc Ngh Quyt Hi ng ALCO trong tng thi k gim st ri ro ngoi hi thng qua ch tiu v gii hn trng thi ngoi t v hn mc chu ri ro ngoi hi (VAR ngoi hi). - Trng thi ngoi t: % - VAR ngoi hi: VAR ngoi hi = Gi tr tuyt i ca trng thi ngoi hi x bin ng t gi hi oi d bo (vi mt tin cy cho trc). VAR ngoi hi c xc nh cho tng loi ngoi t (USD, EUR, JPY,) v c gi ngoi t. - Ch tiu gii hn tng trng thi ngoi t/Vn t c: ngn hng duy tr tng trng thi ngoi t khng qu 30% vn t c. 2.4 nh gi nhng iu kin thc hin Basel II ti BIDV 2.4.1 Xy dng m hnh xp hng tn dng ni BIDV hin nay ang tng bc thc hin xy dng m hnh xp hng tn dng ni b ph hp vi phm vi hot ng, tnh hnh thc t, c im kinh doanh ca cc NHTM theo tinh thn ca Quyt nh 493/2005/Q-NHNN ngy 22/4/2005 ca thng c NHNN. y l mt bc tin mi trong tip cn an ton vn, khng ch nhm mc ch phn loi n m nhm nh gi ri ro khon vay, qun l cht lng tn dng. Trn c s h thng xp hng tn dng ni b ny BIDV c NHNN chp thun bng bn bn = Tng trng thi ngoi t Vn t c x 100%

sau thi gian p dng th nghim trong vng mt nm trc khi chnh thc a vo thc hin. 2.4.2 Phn loi n, trch lp v s dng d phng x l ri ro tn dng Quy nh phn loi n, trch lp v s dng d phng x l ri ro tn dng trong hot ng ngn hng ca t chc tn dng, n cho vay ca ngn hng c phn ra lm nm nhm vi mc trch lp c th t 0-100% ty mc ri ro. Ngoi mc trch c th ny cc ngn hng phi trch lp v duy tr d phng chung bng 0,75% tng gi tr ca cc khon n. Theo quyt ton hai nm lin k 2008, 2009 BIDV trch d phng ri ro theo quy nh ca NHNN. 2.4.3 m bo ngun vn duy tr t l an ton vn ti thiu Ngy 20/5/2010, Ngn hng Nh nc ban hnh Thng t s 13 quy nh v cc t l bo m an ton trong hot ng ca cc t chc tn dng. Thng t ny thay th Quyt nh 457/2005/Q-NHNN v mt s vn bn lin quan ca Ngn hng Nh nc. Mt quy nh mi quan trng trong thng t trn, theo iu 4, l cc t chc tn dng, tr chi nhnh ngn hng nc ngoi, phi duy tr t l an ton vn ti thiu 9% gia vn t c so vi tng ti sn C ri ro ca t chc tn dng. Theo , t l an ton vn ti thiu m cc t chc tn dng phi m bo c nng t 8% ln 9%. Thi im bt u p dng t l mi l t ngy 1/10/2010. n thi im hin nay BIDV thc hin t l an ton vn l 9.53%. 2.4.4 Xy dng m hnh t chc mi Mt trong nhng iu kin p dng Basel II vo qun tr ngn hng l phi xy dng c mt m hnh t chc mi ph hp vi yu cu qun l ri ro ngn hng trn cc mt : ri ro tn dng, ri ro hot ng v ri ro th trng. Mun vy, mi ngn hng cn phi xy dng ring cho mnh mt m hnh t chc ph hp vi c im, tnh cht hot ng cng nh chnh sch, nh hng chin lc ring ca tng ngn hng, nhm m bo nng cao cng tc qun tr iu hnh, ngn nga ri ro hiu qu, mang li nn tng cho hot ng ngn hng. Nm bt c yu cu ny BIDV thc hin chuyn i m hnh t chc mi t hi s chnh n cc chi nhnh theo m hnh chun ca mt ngn hng thng mi hin i giai on 2007-2010 trn c s khuyn ngh ca cc chuyn gia t vn thuc cc chng trnh lin kt k thut nhm h tr ti c cu BIDV giai on 2 (gi tt l n TA2)

2.4.5 o to 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 ngn hng thng mi Vit Nam chnh l s thiu ht ngun nhn lc cht lng cao. y l vn chung i vi tt c cc ngn hng thng mi v k c c i vi c quan gim st ngn hng thng mi 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. BIDV vn c chng trnh o to, bi dng cho cn b, nhn vin nhm nng cao k nng tc nghip, kin thc chuyn mn cng nh kh nng qun tr iu hnh cc cp, tuy nhin hn ch ln nht l c ch tin lng, thng vn theo quy nh ca doanh nghip nh nc nn phn no lm mt i mt phn ngun nhn lc ca ngn hng. 2.4.6 Thc hin chun mc k ton quc t T nm 2006 ngn hng u t v Pht trin (BIDV) tip tc k hp ng vi t chc xp hng tn nhim c lp nc ngoi Moodys Investors Service xp hng cho ngn hng. Bng bo co cn i k ton phi lp theo 2 h thng tiu chun l: Chun mc k ton Vit Nam (VAS) v Chun mc k ton quc t (IFRS). V kt qu t 2 h thng chun mc ny c chnh lch nht nh. Ly v d l gi tr ti sn theo IFRS v VAS khc nhau khong 3,428 t ng do chnh lch qu d phng ri ro theo hai chun mc . S khc bit ny dn n phn nh gi vn t c ca BIDV nu theo VAS l 6.530 t ng nm 2005, so vi tng quy m ti sn C l chim t trng l 5.4% trong khi nu nh gi theo IFRS th vn t c ch l 3.150 t, chim t trng l 2.7%, iu ny s dn n kh khn rt ln cho BIDV ni ring v h thng cc ngn hng thng mi Vit Nam ni chung trong vic p dng cc chun mc quc t vo nh gi hot ng qun tr ri ro ng thi to ra mt s lng ph rt ln trong vic duy tr cng mt lc hai h thng 2.5 Kinh nghim p dng Basel II ti cc quc gia trn th gii

46

i vi cc ngn hng ca cc nc thuc OECD, hip c Basel I 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 ny, theo bo co ca ngn hng Trung ng chu u, ch c khong 20% s ngn hng trong ton b 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. Trong qu trnh p dng, cn phi ht sc tun th theo cc quy tc do c quan gim st ngn hng a ra, i vi M, mt trong nhng quc gia c xem l c th mnh v tim lc rt ln trong lnh vc ti chnh ngn hng cng bo co rng ch c cc ngn hng c tng gi tr ti sn hp nht trn 250 t USD v hot ng chi nhnh nc ngoi l 10 t USD mi chu s bt buc p dng cc phng php nng cao nh gi ri ro, cn khong 6500 ngn hng vi quy m va v nh th d kin s p dng theo Basel II va duy tr theo Basel I cho n khi t tiu chun Basel II Theo thng k chnh thc ca ph trng i din vn phng ngn hng BIS ti khu vc chu , ng Eli Remolona trong ti liu nghin cu cng b vo thng 3 nm 2006, h thng ngn hng khu vc chu xy dng mt l trnh gp rt p dng cc phng php o lng v kim sot ri ro theo chun mc 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 cui nm 2007 vi cc phng php c th p dng nh phng php chun ( i vi ri ro tnh dng v ri ro hot ng), phng pho IRB c bn v 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, HongKong, Trung Quc, i Loan s c mt s phng php c a vo p dng ngy t thi im cui nm 2006 nh phng php chun ( ri ro tn dng v 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 cui nm 2007 nh cc quc gia trn. i vi Thi Lan, Philipin, Malaysia v Indonesia, thi hn trin khai p dng Basel I s li li sau mt nm, ngha l vo cui nm 2008. Nhng phng php nng cao v phc tp c th c p dng vo cui nm 2009 hoc 2010 ty iu kin thc t ca tng quc gia, c bit l vi nhng phng php i hi cao nh AMA ( ri ro th trng), AIRB ( ri ro tn dng) thi im p dng ti cc quc gia ny cha xc nh c.

47

Tuy nhin, tri ngc vi nhng xu th chung ca cc quc gia ni trn, Trung Quc chn mt hng i rt khc l p dng theo chun mc Basel 1.5. Ngha l kt hp cc chun mc trong hip c Basel I vi quy tc 2 v 3 trong Basel II. Lc ny tt c cc phng php mi c cp 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 Basel I v nh gi ri ro tn dng. Song vi tnh hnh khng hong ti chnh vi quy m ton cu, l trnh p dng Basel II b thc hin chm li. Hu ht cc quc gia ang tm thi hon vic p dng hip c ny, nhm cng c tim lc ti chnh vt qua cn khng hong ny, sau mi thit lp h thng qun tr ri ro hin i theo Basel II nhm trnh khi nhng ri ro khn lng trong tng lai.

Kt lun chng 2 Chng 2 ca lun vn gii thiu v BIDV v cng tc qun tr ri ro ca ngn hng. L mt trong nhng ngn hng quc doanh hng u ca Vit Nam, BIDV lun quan tm n cng tc qun tr ri ro. Cc cng c qun tr ri ro m ngn hng s dng l: Xy dng v ban hnh S tay tn dng, Sp xp chuyn i m hnh t chc, ban hnh h thng xp hng tn dng ni b, Phn loi n v trch lp d phng ri ro, Xy dng quy trnh qun l ri ro tc nghip, Ban hnh quy nh v h thng gim st ti chnh m bo an ton trong hot ng Kt qu ca hot ng qun tr ri ro gip cho BIDV t c nhng thnh tu trong 2 nm 2008, 2009. Tuy nhin, trong l trnh gia nhp WTO ngnh ngn hng Vit Nam phi chp nhn cnh tranh vi cc t chc ti chnh tn dng quc t. tn ti v pht trin BIDV phi c bc chuyn mnh hn na trong cng tc tr ri ro theo chun mc ca hip c Basel II. Nhng nh gi ti chng 2 l c s tc gi phn tch nhng ni dung cn thit ng dng thnh cng hip c Basel II ny vo cng tc qun tr ri ro ca mnh. T gip BIDV vng tin pht trin trong hi nhp kinh t quc t.

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CHNG 3 XY DNG QUY TRNH P DNG BASEL II VO NGN HNG U T V PHT TRIN VIT NAM 3.1 Xy dng quy trnh qun tr ri ro ti BIDV Hin nay BIDV c hu ht cc quy trnh lin quan n cc mt hot ng chnh cc chi nhnh thc hin. Tuy nhin, hot ng tn dng vn l hot ng ch yu, v thu nhp t tn dng vn chim t trng cao trong tng thu nhp ca ngn hng, do qun tr tn dng l cng vic quan trng trc mt cn quan tm. Quy trnh tn dng ca BIDV hin nay c khi qut nh sau: (1) Tip th v nhn h s: Cn b phng quan h khch hng l u mi tip th; Tip nhn nhu cu t Khch hng v hng dn khch hng lp H s tn dng - nh gi v tnh hnh ti chnh ca khch hng, chm im tn dng khch hng p dng chnh sch cp tn dng. Ngoi ra, cn tham kho thm thng tin t Trung tm thng tin tn dng ca NHNN nh gi thm v khch hng. Phn tch, nh gi v Phng n sn xut, kinh doanh; D n u t; Kh nng vay tr ca khch hng xc nh hnh thc cp tn dng ph hp. nh gi v ti sn bo m theo quy nh. nh gi ton din ri ro v cc bin php phng nga (2) Sau khi nh gi, phn tch H s tn dng ca khch hng Cn b quan h khch hng lp Bo co xut tn dng (3) Lnh o Phng kim tra li cc ni dung trong Bo co xut, ghi kin, k kim sot (4) Trnh cp c thm quyn ph duyt: Ph gim c, Gim c, Hi ng tn dng (5) Sau khi c duyt, cn b quan h khch hng thc hin thng tho vi khch hng v cc iu kin tn dng c cp c thm quyn ph duyt . Nu khch hng ng s k kt Hp ng tn dng, bo lnh; Hp ng bo m v cc vn bn tn dng c lin quan khc v bn giao h s cho cn b qun tr tn dng. (6) Cn b Qun tr tn dng chu trch nhim kim tra tnh php l ca h s gii ngn, cng nh cc iu kin c ph duyt, nu y th lp t trnh gii ngn (7) Lnh o Phng kim tra li cc ni dung trong t trnh gii ngn, ghi kin v k kim sot. (8) Trnh ban gim c ph duyt (9) Gii ngn.
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Mc d quy trnh trn tch bch gia khu xut tn dng v gii ngn l do hai cn b thc hin kim tra ln nhau, trnh tnh trng ch quan, ty tin ca cn b tn dng trong vic cho vay i vi khch hng. Tuy nhin, tnh trung thc v khch quan cha cao, l do c hai cn b xut v gii ngn u cng chung mt phng, cng lnh o kim sot v ph gim c ph duyt nn thiu kin quyt v mang tnh gia nh trong gii quyt cng vic. Quy trnh ngh chnh sa l tch hai khu xut tn dng v gii ngn thnh hai phng ring bit, c lp v do hai ph gim c ph trch, bn cnh cn ch vic phi hp gia hai phng khng ko di thi gian gii quyt h s cho khch hng. i vi ri ro hot ng : hin nay Quy trnh qun l ri ro tc nghip c tp trung ch yu ti hi s chnh nh sau: - S dng phng php nh tnh v phng php nh lng o lng ri ro theo nguyn tc ch s dng phng php nh tnh i vi nhng du hiu ri ro khng th s dng phng php o lng nh lng, xc nh mc nh hng ca tng loi ri ro. Phn loi theo 3 mc : ri ro cao, ri ro trung bnh v ri ro thp. Xc nh kh nng khc phc ri ro ca BIDV i vi cc du hiu ri ro cao.Xc nh c mc ri ro c th chp nhn c v mc ri ro khng th chp nhn c ca tng du hiu, tng nghip v v tng n v - Thc hin cc bin php trin khai phng nga v gim nh ri ro nh: chnh sa, hon thin chnh sch, quy nh nghip v; Bin php v sp xp, b tr, lun chuyn, o to cn b; Bin php lin quan n h thng cng ngh thng tin v cc bin php khc phng nga v gim nh ri ro. - Gim st ri ro thng qua h thng bo co gia Tr s chnh v chi nhnh, thng qua cng tc kim tra, kim sot ni b v thng qua s liu thng k v d liu ri ro tc nghip gia cc k bo co. Nhc im ca quy trnh trn l cc chi nhnh khng ch ng pht hin nhng sai st chnh sa khc phc kp thi, do li tc nghip thng xy ra nhiu ln thnh h thng, mt thi gian khc phc, chnh sa. Quy trnh ngh b sung l cho cc chi nhnh t r sot, nhn din ri ro pht sinh trong quy ch, quy nh nghip v ca BIDV. Tng chi nhnh nhn din, theo di v lu tr tt c cc sai st tc nghip ca cn b v cc s c ri ro tc nghip pht sinh ca
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mnh. T chc hp, tho lun gia Ban Qun l ri ro Th trng v Tc nghip vi lnh o cc chi nhnh xc nh cc ri ro tim n ca tng chi nhnh v bin php khc phc. 3.2 Cc gii php thc thi : p dng Basel II vo qun tr ri ro trong h thng ngn hng u T v Pht Trin Vit Nam, BIDV cn thc hin cc gii php sau: 3.2.1 Hon thin h thng thng tin i vi ri ro tn dng, BIDV phi xy dng mt h thng thng tin vi 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. Thang o lng ri ro tn dng cn xt ti cc yu t: tnh cht ca khon tn dng, cc iu kin ti chnh v hp ng nh thi hn, li sut tham chiu, ri ro tht thot c th xy ra cho ti khi n hn khon vay do nhng bin ng ca th trng, ti sn th chp hoc bo lnh, xp hng tn nhim ni bVic xp hng tn dng i vi khch hng nhm nh gi xc sut khng tr c n, tnh mc tn tht d kin, t , xc nh mc gi khc nhau i vi tng loi khch hng. b p ri ro v tn dng, ngn hng thu tin li vay theo li sut cc ngn hng p dng cho thy mc ri ro m ngn hng phi chu. o lng ri ro hot ng v ri ro th trng, 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. ng thi, thu thp d liu v tng ri ro ca nhiu ngn hng theo thi gian. Nh vy, c th o lng tng th ri ro th trng, d liu v ri ro phi c trao i cho gia nhiu ngn hng vi nhau. Vic xy dng mt h thng tin phc v vic qun tr ri ro phi p ng mt s yu cu c bn nh sau: * Th nht: h thng ny phi h thng ny phi h tr c vic tnh ton gi tr ti ri ro Var * Th hai: thng tin lu tr gip thc hin phn tch chui s kin theo trnh t thi gian, t nhng s kin n l. * Th ba: c kh nng o lng c gi tr hot ng hin ti v tng lai vi tng i tc khc nhau.
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* Th t: p ng c c ba yu cu trn vi nhiu cp quy m hot ng ngn hng khc nhau, nhiu nhm ri ro khc nhau, nhiu loi sn phm khc nhau v nhiu i tc khc nhau. y l mt th thch ln cho vic qun tr ri ro trong vic hon thin h thng thng tin phc v nhu cu ca ngn hng. Thng tin t i tc th ba cn c vo h s vay ca khch hng cng rt quan trng. Pht trin h thng thng tin tp trung v qun l ri ro ny chu s gim st ca Thanh tra chuyn ngnh ngn hng. 3.2.2 Pht trin h tng cng ngh thng tin Ch trng hn na n u t cng ngh thng tin nhm phc v cho vic phn tch, nh gi, o lng ri ro, trong c ri ro tn dng. Tip tc hon thin h thng thng tin, thng k, bo co ni b xy dng c h thng thng tin qun l, c s d liu hin i, tp trung v thng nht. Trin khai mng thng tin ni b rng khp ton h thng trn c s ng dng cng ngh thng tin v cng ngh mng. Tip tc nng cp mng in 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 v thng l quc t. Hon thin v pht trin cc phng php qun l nghip v ngn hng c bn, cc quy trnh, th tc qun l v tc nghip theo thng l, chun mc quc t, ng thi theo hng hin i, t ng ha 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. Trin khai cc n ci to, nng cp cc gii php an ninh mng, bo mt d liu, bo m an ton ti sn v hot ng ca ngn hng. 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. 3.2.3 m bo vn an ton cho NH Mc d h s CAR h s an ton vn ti thiu ca BIDV- tnh theo bo co ti chnh quc t ca BIDV t mc 7.55%, theo bo co ti chnh chun mc Vit Nam l 9.53% - t theo chun quy nh ca Ngn hng Nh nc. Tuy nhin, ngh phi nng dn ln t theo t l chung ca cc ngn hng trn th gii, n u cho vic pht trin v hi nhp quc t. Gii php trc mt l y nhanh tin c phn ha nhm thu ht ngun vn u t t cc c nhn v t chc kinh t bn ngoi, bi c phn l sc mnh
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tng hp ang nm trong mi thnh phn kinh t v n s to ra sc mnh, to ra qu trnh tng vn iu l mt cch nhanh nht, hiu qu nht cho cc ngn hng nu cc ngn hng bit khai thc v pht huy. 3.2.4 Hon thin h thng kim tra ni b BIDVcn a ra cc gii php hon thin h thng kim sot ni b ca mnh theo hng nng cao cht lng phn tch tnh hnh v pht trin h thng cnh bo sm nhng tim n trong hot ng ca cc n v trong h thng thng qua vic thnh lp cc on kho st trc tip v kim tra cho gia cc n v theo nguyn tc chn mu ngu nhin, phn tch bo co ti chnh xc nh cc im nhy cm trong bo co ti chnh v a ra cc bin php x l. V thi gian kim tra c th thc hin theo nh k thng hoc qu, hoc kim tra t xut .. 3.2.5 y mnh cng tc qun l nhn lc v o to cn b C phn ha l iu kin BIDV thc hin ng b cc chnh sch, ch nng cao cht lng cn b. S dng c hiu qu ngun nhn lc, p ng yu cu kinh doanh, khai thc trit mi kh nng, tim nng ca lao ng, pht huy truyn thng vn ha doanh nghip, tinh thn gn b lu di vi doanh nghip, qun l ngun nhn lc theo thng l quc t hin i ph hp vi iu kin c th ca Vit Nam. Thc hin chnh sch i ng v thu ht nhn ti, b tr nhn lc ph hp, khoa hc, chuyn mn ha. Ngoi ra, cc ch lng, thng cn gn vi trch nhim v hiu qu cng vic. Kin quyt x l tnh trng cn b ngn hng li dng quyn hn mu cu toan tnh c nhn, gy thit hi v nh hng uy tn ca ngn hng. Cc k nng cn o to : Theo tng cp qun l, tng nhm cng vic c giao m b my qun l ni chung phi c o to cc k nng (Required skills) v kin thc (Knowledges) lin quan n qun l ngn hng Cc k nng cn thit: K nng phn tch ti chnh, d n u t, sn xut kinh doanh K nng qun l thi gian v tin K nng thng lng v m phn K nng qun l ngun lc
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Cc bc cn thit phi o to: Kin thc chung v cc quy nh ca php lut trong lnh vc ti chnh tin t. Quy nh v nghip v ngn hng nh tn dng, huy ng vn.... Quy nh v o c ngh nghip v quy tc ng x

Cc lp bi dng m theo tng chuyn ph hp vi tng i tng. Ging vin phi l nhng ngi va c trnh va c thc tin. Th trng cc n v bt buc phi hc qua cc lp qun l chung trc khi c b nhim 3.3 Kin ngh NHNN : 3.3.1 Nng cao cht lng trung tm thng tin 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, NHNN 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 NHNN cng hng dn cc ngn hng thng mi 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 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. 3.3.2 Nng cao hiu qu cng tc thanh tra, gim st ngn hng Theo hip c Basel II, 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,
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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 t chc tn dng. 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 NHNN 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 NHNN. 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 hot 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, tha thun quc t v gim st ngn hng v an ton h thng ti chnh. Tng cng trao thng tin vi cc c quan 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 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 t chc tn dng c vn v cc ri ro trong hot ng ngn hng. Xy dng h thng thanh tra gim st ri ro trong hot ng ngn hng c kh nng cnh bo sm i vi cc t chc tn dng. 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 quan cng tc thanh tra, gim st ca ngn hng theo 25 nguyn tc c bn ca y ban Basel. 3.3.3 Hon thin h thng vn bn php lut v qun tr ri ro. 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 NHTW trong vic a ra cc nn tng php lut 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 t chc tn dng
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ca Vit nam cha c tnh cp nht so vi nhng quy nh mi trong Basel, ngoi ra cc quyt nh c lin quan n hot ng ngn hng cn rt ri rc, cn hnh thnh mt b lut iu chnh v hot ng ca cc t chc tn dng trong nh hng r rng v mi hot ng v ch tiu ca cc t chc ny. 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 . 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 chun mc quc t. 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 ngn hng thng mi, 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 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 ngn hng thng mi 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. 3.3.4 y nhanh tin trnh c phn ha cc NHTM Nh nc Tin trnh c phn ha Ngn hng Ngoi thng v Cng thng c hon tt. Nhng vn cn cc ngn hng thng mi nh nc khc nh Ngn hng pht trin nh ng bng sng Cu Long, Ngn hng Nng nghip v Pht trin nng thn Vit Nam v Ngn hng u t v Pht trin Vit Nam cn nhanh chng c phn ha. y l bin php cn thit tng tnh t ch, nng cao nng lc qun l iu hnh trong hot ng v tng
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cng nng lc qun tr ri ro ca cc ngn hng thng mi nh nc trong thi gian ti trc khi chnh thc p dng cc chun mc nng cao theo hip c Basel II. Mt khi vn cha c c phn ha th s ph thuc vo chnh sch v chin lc kinh doanh ca Nh nc s lm cc ngn hng thng mi nh nc gim li th cnh tranh. ng thi, vic khng c ch ng trong tm kim, la chn khch hng s dn n tnh trng ri ro tng cao trong hot ng ca mt s ngn hng Nh nc hin nay. Trc mt, nhm ci thin h s an ton vn t t 8% tr ln v tin ti l 12%, NHNN cn to iu kin thun li cho cc ngn hng ny pht hnh tri phiu di hn, tri phiu c kh nng chuyn i nhm p ng nhu cu tng vn t c. Ngoi ra, vi nhng ngn hng thng mi Nh nc c mc tiu hot ng ging nhau v mng li chi nhnh trng lp, c th p dng gii php sp nhp, hp nht v cc gii php khc tp trung vn nng cao nng lc cnh tranh vi cc ngn hng nc ngoi. Song song vi vic tip tc tin hnh sp xp li h thng Ngn hng, y nhanh qu trnh c phn ha cc ngn hng thng mi Nh nc, Ngn hng Nh nc cng cn ch trng gn lin vi vic nim yt c phiu trn th trng chng khon phn tn ri ro v i mi c cu sn phm dch v. KT LUN CHNG III T nhng tng hp v phn tch tnh hnh ca chng II, chng III ny trnh by nhng gii php cn thc hin ti BIDV nhm nng cao hiu qu ca vic ng dng hip c Basel II trong thi gian sp n. Khng ch c th, chng ny cn trnh by mt s xut kin ngh cc chun mc quc t v thc hin chc nng gim st hot ng ca cc ngn hng. L trnh tin n ng dng Basel II gn k, nhng gii php xut phn ny hi vng s ng gp mt phn nh vo cng cuc hi nhp kinh t quc t i vi lnh vc ngn hng Vit Nam ni chung v vic ng dng hip c ny vo cng tc qun tr ri ro ca cc ngn hng ni ring

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KT LUN Qun tr ri ro l mt phn quan trng trong qun l ngn hng tt c cc nc. Trong giai on hin nay, qun tr ri ro ngn hng ti Vit Nam ht sc quan trng v hot ng ngn hng l huyt mch ti chnh tin t ca nn kinh t quc gia., gp phn kch thch tng trng kinh t, thc hin chnh sch kinh t v m ca Nh nc, v vy Ngn hng u T v Pht Trin Vit Nam cng khng nm ngoi xu hng . Vn t ra cho ngn hng l lm sao qun tr ri ro ngy mt tt hn trong iu kin kinh t th trng. Qun tr ri ro tt l tin tng trng v pht trin bn vng. Lun vn bc u trnh by hip c Basel II v cc phng php qun tr ri ro trong ngn hng. ng thi trnh by thc trng v nh gi qun tr ri ro ti h thng Ngn hng u T v Pht Trin Vit Nam.T Lun vn xut xy dng quy trnh qun tr ri ro ti BIDV vi 5 nhm gii php v 4 kin ngh, tc gi hy vng rng hiu qu qun tr ri ro s c nng cao, p ng k vng ca BIDV v NHNN. Qun tr ri ro hiu qu s ci thin cht lng tn dng, hn ch cc nhn t ri ro nh hng hot ng ngn hng, gip ngn hng tng trng bn vng, t vng bc hi nhp kinh t th gii. Hn ch ca ti: Phm vi nghin cu gii hn trong h thng Ngn hng u T v Pht Trin Vit Nam, cha xem xt ti iu kin ca cc ngn hng thng mi Vit Nam. Do c gii hn v thi gian nghin cu nn ti ch phn tch tnh hnh hot ng trong hai nm 2008, 2009 ca BIDV.

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DANH MC TI LIU THAM KHO Ting Vit 1. PGS.TS Nguyn Th Lin Hoa Hip c Basel mi v vn kim sot ri ro trong cc ngn hng thng mi - Tp ch pht trin kinh t 6/2008. 2. Bin dch Khc Quang Huy Basel II S thng nht quc t v o lng v cc tiu chun vn NXB Vn ha thng tin nm 2008. 3.PGS.TS Nguyn th Ngc Trang Qun tr ri ro ti chnh trong cc doanh nghip Vit Nam thi k hu WTO 4. PGS.TS Trn Ngc Th v Th.S H Quc Tun Mt c cho tt c Tp ch kinh t pht trin 5. Th.S Nguyn Th Thy Linh ng dng hip c an ton vn Basel II vo cng tc qun tr ri ro ca cc NHTM Vit Nam nm 2006 6. TS. Nguyn Vn Tin nh gi v phng nga ri ro trong hot ng kinh doanh ngn hng NXB Thng k 7. TS Trn Huy Hong Qun tr ngn hng thng mi NXB Thng k 2006 8. Hunh Th Du S hnh thnh v hot ng ca Basel Chng trnh ging dy FullBright nin kha 2005-2006 9. TS Trn Huy Hong 25 nguyn tc c bn ca y ban Basel v thanh tra gim st ngn hng Tp ch Ngn hng 10. c v mt khi p dng Basel II www.vneconomy.com.vn 11. Bo co thng nin Ngn Hng u T v Pht trin Vit Nam 2008, 2009. 12. Thi bo kinh t Si gn, Thi bo kinh t Vit Nam 13. Tp ch Ngn hng ca Ngn hng Nh nc Vit Nam 14. Tp ch Thng tin v pht trin ca Ngn hng u T v Pht trin Vit Nam Ting Anh 15. Basel Committee on Banking Supervision The New Basel Capital Accord 31 May 2001 16. LSE Financial Markets Group an ESRC Research Centre Special Paper Series An Academic Response to Basel II May 2001

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PH LC 1 Basel II Tng quan v hip c quc t v tiu chun an ton vn ca ngn hng. Gii thiu lch s ra i ca y ban Basel v cc thnh vin y ban Basel v gim st nghip v ngn hng l mt y ban bao gm cc chuyn gia gim st hot ng ngn hng c thnh lp vo nm 1974 bi Thng c Ngn hng Trung ng ca nhm 10 nc (G10) xut pht t sau mt lot cc cuc khng hong v tin t quc t v th trng ngn hng, trong ng ch nht chnh l s sp ca ngn hng Herstatt Ty c lc by gi. Hin nay, thnh vin ca y ban ny gm cc nc: Anh, B,Canada, c, H Lan, Hoa K, Luxembuorg, Nht, Php, Ty Ban Nha, Thy in, Thy S v . Cc quc gia c i din bi ngn hng trung ng hay c quan gim st hot ng ngn hng. y ban Basel ny c nhm hp 4 ln trong mt nm C cu y ban: y ban Basel c Hi ng th k v 25 nhm k thut. Ngoi ra, cn c mt s b phn h tr. Hi ng th k c thnh lp theo xut ca Ngn hng Thanh ton Quc t Basel, bao gm 15 thnh vin l nhng nh gim st hot ng ngn hng chuyn nghip c bit phi tm thi t cc t chc ti chnh thnh vin. Cc nhm v b phn c hp thng xuyn thc hin cc ni dung cng vic ca y ban. y ban Basel lun sn sng a ra nhng li t vn cho cc c quan gim st hot ng ngn hng tt c cc nc. Nguyn tc hot ng ca y ban: y ban bo co cho thng c c ngn hng trung ng hay c quan gim st hot ng ngn hng ca nhm G10. ng thi tm kim s hu thun cho nhng sng kin ca y ban. Mt mc tiu quan trng trong cng vic ca y ban l thu hp khong cch gim st quc t trn hai nguyn l c bn l (1) khng ngn hng nc ngoi no c thnh lp m khng c gim st; v (2) vic gim st phi chc ch v lin tc. Hot ng da trn quan im: S yu km trong h thng ngn hng ca mt quc gia, d l quc gia pht trin hay ang pht trin, c th e da n s n nh v ti chnh trong c ni b quc gia v trn ton th gii do , nhu cu nng cao sc mnh

ca h thng ti chnh phi c nhiu t chc, quc gia v chnh bn thn y ban c bit lu tm, y ban n lc tm ra cc bin php nhm gim bt khong cch trong cng tc gim st ngn hng, nng cao cht lng cng tc gim st hot ng ngn hng trn ton th gii. lm c iu ny, y ban Basel c gng tm hiu v thc hin 3 iu c bn: trao i thng tin v hot ng gim st cp quc gia, ci thin hiu qu k thut gim st hot ng ngn hng quc t v t ra nhng tiu chun gim st ti thiu trong nhng lnh vc m y ban thc s quan tm. Bn cnh , k t khi thnh lp n nay, y ban Basel ban hnh rt nhiu vn bn, ti liu lin quan n vn ny. Vo nm 1988, y ban quyt nh gii thiu h thng o lng vn m n c cp nh l Hip c vn Basel (The Basel Capital Accord) hay Basel I. Hip c ny nhanh chng c ph bin p dng khng ch trong cc quc gia thnh vin m cn rng ri hu ht cc nc khc vi cc Ngn hng hot ng quc t. Trong nhiu nm qua, y ban Basel chuyn dch mt cch nhanh chng a ra cc tiu chun gim st rng ri ton cu, qua vic hp tc cht ch vi nhiu y ban gim st hot ng ngn hng ca cc nc khng phi l thnh vin. Vo nm 1997, y ban Basel pht trin mt tp hp Cc nguyn tc nng ct cho vic gim st hot ng ngn hng hiu qu m n cung cp mt khun kh cho h thng gim st hiu qu. xc tin cho vic thc hin v nh gi, vo thng 10 nm 1999, y ban pht trin Phng php lun cc nguyn l nng ct. Mt s tng kt cc nguyn l nng ct v phng php lun hin ang c trin khai. Vo thng 06/1999, y ban Basel ban hnh xut khung o lng mi vi 3 cp chnh: (1) Yu cu vn ti thiu trn c s k tha Basel I; (2) S xem xt gim st ca qu trnh nh gi ni b v s vn ca cc t chc ti chnh; v (3) S dng hiu qu vic cng b thng tin, nhm lnh mnh k lut th trng nh l mt s b sung cho cc n lc gim st. Sau nhng tng tc rng ri vi cc ngn hng, cc nhm ngnh v cc c quan gim st khng phi thnh vin ca y ban, Basel II c ban hnh vo ngy 26/06/2004. Ti liu ny c th lm c s cho cc qu trnh ph duyt v

xy dng lut l quc gia v gim st hot ng ngn hng v cho cc ngn hng hon chnh s chun b ca h cho vic thc hin cc tiu chun mi. Hip c Basel I Hip c Basel I c ra i sau cuc hp ca y ban Basel v gim st hot ng ngn hng vo thng 7 nm 1988 vi ni dung c bn l mc tun th ch tiu an ton vn ti thiu v cc phng php o lng vn ca cc ngn hng khi tham gia vo th trng vn quc t. Basel I a ra cc nguyn tc c bn v d nh v ri ro tn dng, v sau vo nm 1996 c sa i b sung thm ri ro th trng. Basel I c xy dng da trn c s nn tng: Vn an ton theo quy nh l mt 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. Do vy, trong hip c ny, nhng khi nim v: (1) vn c bn (core capital basic equity) bao gm: vn c phn thng, li nhun b sung hng nm, v qu d tr; (2) vn b sung ( supplmentary capital) bao gm: d tr khng cng khai ( undisclosed reserves), ngun gi tr tng them do nh gi li ti sn ( asset revaluation reserves), d phng chung ( general provisions) hay d phng chung v tn tht tn dng ( general loan loss reserves), cc cng c n c kh nng chuyn i thnh c phiu (hybird debt capital instruments), cc khon n th cp c k hn ( subordinated term debt), cc khon gim tr vn (deduction from capital) v (3) Vn s dng ngun vay ngn hn (dnh cho ri ro th trng). Cc yu t ny c a ra lm r, gip ngn hng c th xc nh c chnh xc cc yu t cu thnh nn ngun vn t c ca mnhBn cnh , hip c cn cp n cc trng s ri ro (risk weights) lin quan n ri ro tn dng v ri ro th trng. Hip c Basel I c ban hnh nm 1988, trnh by v khi nim v T l Cook l T l vn da trn ri ro hay cn c gi l t l an ton vn CAR (Capital Adequacy Ratio). 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. Mt ngn hng hay t chc tn dng phi gi li lng

vn t nht 8% ca tng s ti sn, c tnh ton theo nhiu phng php khc nhau v ph thuc vo mc ri ro ca mi loi ti sn Tng vn t c CAR ( 8%) = ------------------------------------------Tng ti sn c iu chnh ri ro Trong : Tng ti sn c iu chnh ri ro (RWA) = (Ti sn ni bng x Mc ri ro phn nh cho tng ti sn trong bng Cn i K Ton) + (Ti sn cam kt ngoi bng 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% Basel I chia ngun vn t c ca ngn hng ra thnh hai cp : Vn cp 1 ( Tier 1) v Vn cp 2 ( Tier 2) Vn cp 1 ( Vn t c bt buc) bao gm cc yu t: Vn ch s hu, Li nhun gi li ( d tr cng khai). Vn cp 2 ( Vn t c b sung ) bao gm : d tr khng cng khai, chnh lch do nh gi li ti sn, cc khon d phng chung v d phng tn tht tn dng, cc cng c n c kh nng chuyn i ( tri phiu, c phiu u i c kh nng chuyn i thnh c phiu), cc khon n th cp, ... Mt ngn hng hay t chc tn dng c gi l vn khi h s an ton vn t ti thiu 4% i vi vn cp 1 v 8% i vi tng s vn t c ca ngn hng. Tuy nhin, n nm 1996, hip c Basel I b sung thm phn ri ro th trng lm xut hin khi nim Vn cp 3 dnh cho ri ro th trng khi s dng n vay ngn hn. Theo th: Vn cp 1 Vn cp 2 + Vn cp 3

Ngoi ra Basel I cn a ra thm mt s gii hn cn thit nh: - Tng vn cp 2 c a vo tnh ton t l an ton vn khng c vt 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 cc khon li th thng mi (goodwill) Mt tiu chun quan trng m Basel I cng cp chnh l yu cu tnh ton ti sn ri ro c iu chnh. Ty theo mi loi ti sn s c gn cho mt trng s ri ro. Theo Basel I (hin Vit Nam ang p dng) trng s ri ro ca ti sn c chia thnh 4 mc l 0%, 20%, 50% v 100% theo mc ri ro ca tng loi ti sn. V d tin mt ti qu hay tri phiu chnh ph c trng s ri ro l 0%, my mc thit b l 100%. Tuy nhin, hn ch ln nht phng php ny l khng phn bit cc loi ri ro c th. Nhng hn ch ca Basel I Hip c Basel I mang li mt bc tin quan trng trong cng tc qun tr ri ro ca cc ngn hng trn ton th gii, th nhng bn thn n vn tn ti mt s bt cp nh: Basel I mi ch cp n nhng ri ro v tn dng v sau ny tuy b sung thm ri ro th trng, nhng n vn cha cp n ri ro hot ng. Thm vo , cc yu t ri ro ca Basel I khng c phn loi mt cch r rt. Mt khon n ca i vi mt t chc xp hng tn nhim AAA c nh ng vi mt khon n i vi mt t chc c xp hng B. Ngoi ra, mt s nguyn tc do Basel I a ra ch c th vn dng trong trng hp ngn hng hot ng theo kiu n, thun ty ( stand alone bank), tc l ngn hng khng da trn mt s sp nhp hay hot ng theo kiu tp on ngn hng, ngn hng m, ngn hng chi nhnhTrong khi 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 trong 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 mt ngn hng quc t. Chnh v vy, mt s quy nh trong trong Basel I khng cn ph hp khi p dng ti cc 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. Cui cng, nhng tiu chun ca Basel I khng khuyn khch cc ngn hng nng cao cng tc qun tr ri ro bng cch nm gi t vn hn trong qun tr ri ro tng hp. Trc i hi ca xu hng pht trin ny, bo m an ton trong hot ng ngn hng ca cc t chc tn dng, c bit l i vi nhng tp on ngn hng ln c phm vi hot ng quc t, Basel II ra i. y l hip c quc t v tiu chun an ton vn, tng cng qun tr ton cu ha ti chnh cng nh vic khai thc ti a tim nng li nhun v hn ch ri ro. N c xem nh l gii php nng cao cc chun mc hot ng ngn hng ni chung vi nhng yu cu v qun tr ri ro tn dng, ri ro hot ng v ri ro th trng S cn thit phi p dng hip c basel II Hot ng kinh doanh ngn hng trong xu hng hi nhp kinh t quc t ngy cng a dng v phong ph v cc lnh vc, nghip v. Khng ch c th, trc bi cnh v tnh hnh chung ca quc t v khu vc hay chnh bn thn nn kinh t ca chnh quc gia , cc ngn hng phi i mt vi rt nhiu ri ro ngy cng phc tp v tim tng nhng hu qu to ln. Basel II ra i p ng nhu cu an ton trong hot ng kinh doanh ngn hng, vn l mt ngnh rt nhy cm v nh hng trc tip v ton din n an nguy ti chnh ca mt quc gia. Basel II hu ch gip cc ngn hng s dng t vn mt cch tim nng b p cc ri ro. Bn cnh , vic qun l kinh doanh v qun tr ngun vn c thc hin hiu qu hn khi p dng cc phng php v chun mc ca hip c ny, t nng cao c t sut li nhun trn vn s hu. Trong xu th hi nhp v t do ha hot ng ngn hng vi nhiu loi hnh dch v ngn hng mi, p dng Basel II l yu cu cp thit v bt buc i vi mi NHTM, trn c s s tng cng nng lc hot ng v gim thiu ri ro, mc d vic tip cn Basel II i hi k thut phc tp, trong khi h thng ngn hng Vit Nam mi ang

giai on pht trin ban u. Cc TCTD c th t xc nh c thc trng ri ro hot ng theo tng lnh vc kinh doanh v xc nh th mnh ca ngn hng trong tng lnh vc kinh doanh nh hng hot ng ngn hng, tng bc p dng cc chun mc Basel II. Phm vi v l trnh p dng Basel II Hip c Basel II c xc nh l c kh nng p dng cho cc ngn hng v t chc quc t trn c s hp nht v sp nhp. Ngha l hip c ny nhm bo ton vn tt nht cho cc ngn hng c nhiu cng ty con hoc chi nhnh. i vi cc ngn hng cha p ng c nhng yu cu do hip c Basel II ch nh bao gm v cp tp ton ngn hng, hot ng ngn hng mang tnh quc t hoc trn c s hp nht, sp nhp th s c l trnh 3 nm chun b nhng iu kin y trc khi p dng theo hip c Basel II. Ngoi ra, v mt trong nhng mc tiu quan trng ca vic gim st theo chun mc ca hip c Basel II l bo v quyn li ca ngi gi tin nn cn phi lun chc rng nhng cch o lng v tnh ton v vn ti thiu m bo sn sng cho nhu cu ca ngi gi tin. Theo , nhng thnh vin chu trch nhim gim st hot ng ngn hng cn phi kim tra thng xuyn cc ngn hng t nhn, ngn hng n l. Nhng im mi ca Basel II Mc tiu ca Basel II nhm duy tr mc vn hin ti trong tng th h thng vi phng php tip cn cc ri ro ton din v linh hot hn, nhn mnh hn vo cc phng php lun v qun tr ri ro ni b ca bn thn ngn hng. Cc nguyn tc Basel II nhy cm hn vi ri ro v p dng cho cc ngn hng ni chung, trong ch trng vo cc ngn hng c hot ng quc t. So vi hip c Basel I, Basel II c xem l th hin mt s linh ng hn i vi vic x l cc trng hp khc nhau xc nh nhu cu vn ti thiu cho tng khon mc ti sn c ri ro ca cc ngn hng thng mi, ng thi nhng tiu chun do hip c Basel II a ra cng c mc nhy cm hn vi ri ro thng qua vic x l cc bin xc sut k vng.

BNG PL 1.1: L TRNH HIP C BASEL 1 2 3 4 5 6 7 8 9 Thng 7/1988 Cui nm 1992 Nm 1996 Thng 6/1999 Thng 1/2001 Thng 4/2003 Qu 4/2003 Thng 1/2007 Nm 2010 Hip c vn Basel u tin (Basel I) ra i Basel I c hiu lc v bt u trin khai Basel I c sa i b sung thm ri ro th trng xut mt khung mi chng trnh t vn ln th nht (First Consultative Package CP1) Chng trnh t vn ln th hai (CP2) Chng trnh t vn ln th ba (CP3) Phin bn hon thin ca Hip c Basel II Hip c vn Basel mi (Basel II) c hiu lc Chm dt qu trnh chuyn i Ngun: The New Basel Capital Accord Hip c Basel II to ra mt bc hon thin hn trong vic xc nh t l an ton vn nhm khc phc cc hn ch ca Basel I v khuyn khch cc ngn hng thc hin phng php qun tr ri ro tin tin hn. Hip c 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. N bao gm mt lot cc chun mc gim st nhm hon thin cc k thut qun tr ri ro v cu trc c chia ra lm 3 cp chnh: Cp 1 ( Pillar 1): Cc yu cu vn ti thiu Cp th nht 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 hot ng (ri ro vn hnh hay ri ro tc nghip) v ri ro th trng. Nhng loi ri ro khc khng c coi l c th lng ho hon ton bc ny. Nhng thay i c bn i vi yu cu vn ti thiu c ra trong Hip c 1988 l nhng phng cch tip cn ri ro tn dng v tnh c nhng yu cu vn v ri ro hot ng. Hip c ny a v mt lot nhng chn la nhy cm vi ri ro

nhn mnh n c hai loi ri ro. i vi ri ro tn dng, nhng chn la ny bao gm phng php chun ha, vi nhng yu cu n gin nht, v m rng thnh cc phng php Xp hng Ni b (IRB) c bn v nng cao. Xp hng ni b l nhng nh gi ri ro tn dng tng i ca ngi i vay v/hoc cc t chc i vay, do cc ngn hng quy nh. y ban ny mong mun khng a ra mt s gia tng thun hoc gim thun tnh trung bnh trong vn iu l ti thiu. Vi cc phng php IRB, mc tiu cui cng ca y ban ny l nng cao s vn iu l h tr cho ri ro tn dng v a ra nhng khch l v vn i vi phng php chun ha thng qua trng s ri ro tn dng thp, tnh trung bnh, cho cc phng php c bn v nng cao. Cp 2 ( Pillar 2): Tng cng c ch gim st, c bit l vic nh gi cht lng qun l ri ro ca ngn hng. Cp 2 lin quan ti vic hoch nh chnh sch ngn h ng, 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 cc ri ro khc (residual risk). Bn nguyn tc chnh xem xt gim st - Ngn hng nn c mt quy trnh xc nh mc vn ni b theo mc ri ro v chin lc duy tr mc vn khc nhau. - Nhng ngi gim st cn kim tra li v nh gi cc chin lc v vic nh gi mc vn thch hp ni b ca ngn hng, cng nh kh nng gim st v m bo s tun th t l vn ti thiu. Nhng ngi gim st cn phi c nhng hnh ng gim st ph hp nu h khng tha mn vi kt qu ca quy trnh nh gi. - Kim st vin nn yu cu ngn hng duy tr mc cao hn t l vn iu chnh ti thiu v phi c kh nng yu cu cc n v thnh vin duy tr mc vn cao hn mc ti thiu. - Kim st vin cn phi c bin php can thip ngay giai on u tin ngn mc vn khng b rt xung thp hn mc ti thiu gii quyt nhng thuc tnh d

phng nhm x l ri ro trong hot ng ngn hng ca t chc tn dng ri ro ca mt ngn hng nht nh v cn c hnh ng gii quyt tc th nu vn khng duy tr hoc khi phc c. Cp 3 ( Pillar 3): Tun th k lut th trng Cp ny tp trung vo vic a ra cc ni dung v vic tun th cc k lut th trng, vn cng b thng tin y v minh bch. Trong nhn mnh n vic cng b cc loi thng tin v ri ro, d tr, vn. Xt v phm vi p dng ni chung, Basel II rng hn Basel I bao gm khng ch cc ngn hng quc t m c cc cng ty m kinh doanh trn cc lnh vc: bo him, chng honni chung l cc tp on ti chnh a nng. Hip c mi ny cn thay i nh ngha v ti sn iu chnh ri ro, i vi ri ro tn dng nu Basel I a ra mt phng php chung th Basel II li a ra cc la chn. BNG PL 1.2: TM TT CC IM KHC BIT GIA BASEL I V BASEL II Basel I Basel II Ch tp trung o lng mt loi ri ro Tp trung hn vo phng php tip chnh: ri ro tn dng (Hip c Basel cn ni b ca bn thn mi ngn hng I s khai 1988) nhm xp loi v phn hng khch hng, bn cnh o lng thm cc ri ro mt cch bao qut hn: ri ro th trng v ri ro hot ng. xut cc quy trnh gim st cht ch v tun th quy tc th trng Ch c mt phng php o lng duy Linh ng hn, c nhiu phng php nht p dng cho tt c cc trng hp cc ngn hng la chn, hng n (khng phn loi ri ro) Da trn cu trc theo din tri rng vic qun tr ri ro tt hn Nhy cm hn vi ri ro

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn

Tm tt ni dung cp 1 ( Pillar 1) ca Basel II Nhng tiu chun i vi yu cu vn ti thiu Vn yu cu ti thiu c xc nh bng cng thc: Tng vn t c CAR ( 8%) = ----------------------------------------------------------------------Ri ro tn dng + Ri ro th trng + Ri ro hot ng Theo quy nh ca hip c Basel II, t l vn c tnh ton da trn nh ngha vn t c v cc ti sn iu chnh ri ro. Tng t l an ton vn ( CAR) phi ln hn hoc bng 8 %. Vn cp 2 c gii hn ti a bng 100% vn cp 1. Vn t c ( Vn iu chnh) nh ngha v vn t c ging nh trong hip c Basel I (phin bn b sung nm 1996, trnh by mc trn). Vn t c = Vn cp 1 + vn cp 2 + vn cp 3 Trong : Cc yu t c khu tr ra khi Vn bao gm: - Li th thng mi (Good will) - S gia tng vn t c c mang n t cc giao dch ri ro c m bo (cc giao dch gn lin vi s gia tng thu nhp k vng tng lai FMI) b loi tr ra khi vn cp 1. Ti sn iu chnh ri ro Tng ti sn iu chnh ri ro = (Ti sn c ni bng H s ri ro) + (Ti sn ngoi bng h s chuyn i H s ri ro) Theo Hip c mi ny, Tng ti sn c iu chnh ri ro c xc nh bng cch ly nhu cu vn i vi ri ro th trng v ri ro hot ng nhn vi 12.5 ( tng ng vi t l vn ti thiu bng 8%) cng vi kt qu tnh ton ca ti sn c ri ro tn dng hay ni cch khc mu s ca t s tng vn ti thiu s bao gm 3 phn: tng ti sn iu chnh vi ri ro i vi ri ro tn dng, cng vi 12.5 ln tng t l vn quy nh cho ri ro th trng v ri ro hot ng. Gi nh rng mt ngn hng c 875$ ti sn iu chnh ri ro, t l vn quy nh i vi ri ro th trng l 10$ v t l vn quy nh cho ri ro hot ng l 20$, mu s ca t s tng vn s bng 875+[(10+20)x12.5] hay bng 1.250$.

Trong phng thc o lng ri ro tn dng, y ban cho php cc ti sn c nh gi ri ro theo phng php tip cn ni b c s (IRB c s) hay cn gi phng php chun duy tr mc ph hp ca cc yu cu vn ti thiu, trong khi vn m bo khuyn khch cc cch tip cn vi ri ro mt cch nhy cm hn. Cc tha thun ca thi k chuyn tip i vi cc ngn hng ang s dng phng php tip cn IRB i vi ri ro tn dng hoc phng php tip cn o lng nng cao (AMA) i vi ri ro hot ng, s tn ti yu cu v mc sn vn ti thiu (Capital floor), nh vy cn tnh ton nhng khc bit gia sn vn ti thiu c nh ngha theo Basel I vi vn ti thiu theo Basel II. Nu sn vn ti thiu ln hn s phi yu cu cng thm 12.5 ln chnh lch ti sn c trng s ri ro. Trong : Sn vn ti thiu c nh ngha theo phin bn Basel I nm 1988 c da trn c s iu chnh cc yu t sau: (i) 8% ca tng ti sn c trng s ri ro ri ro cng (ii) cc khu tr vn cp 1 v cp 2 v tr i (iii) d phng chung cho cc ri ro c nh gi trong phn vn cp 2. BNG PL 1.3: CC NHN T IU CHNH Nm 2005 Phng Phng v AMA php p dng song song c hai cch tnh 95% p dng song song c hai cch tnh 90% 80% 90% 80% php p dng song song c nghin cu cc nh hng Nm 2006 Nm 2007 Nm2008

IRB c bn

IRB nng cao hai cch tnh hoc

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn

Cc nhn t iu chnh i vi cc ngn hng ang s dng cch tip cn IRB c s bt u t cui nm 2006 l 95%, nhn t iu chnh cho cc ngn hng s dng IRB c bn v IRB nng cao hoc AMA trong nm 2007 l 90% v nm 2008 l 80%.

PH LC 2: PHNG PHP CHUN CA BASEL II y ban cho php cc ngn hng c th la chn mt trong hai cch tnh nhu cu vn phng nga ri ro tn dng. Cch th nht l o lng ri ro tn dng bng cch s dng nh gi ca nhng t chc xp hng tn nhim c lp. Cch th hai l cc ngn hng s dng nh gi xp hng tn nhim ni b ca mnh tnh h s ri ro, v trong trng hp ny cc ngn hng mun s dng th cn c s chp thun ca c quan gim st ngn hng ( nh thanh tra gim st ngn hng hoc ngn hng Nh nc) Hip c Basel II phn bit r rng gia cc trng s ri ro, s dng mt danh mc cc phng php c chn l chun ha, c bn, nng cao, cc trng s ri ro ph thuc vo loi ngi i vay: quc gia, ngn hng, hoc cng ty. Khng ging nh trong hip c Basel I, s khng c s khc bit v trng s i vi ri ro quc gia ph thuc vo vic quc gia c l thnh vin T chc Hp tc v Pht trin Kinh t (OECD) hay khng. Thay vo , cc trng s ri ro i vi cc yu t ri ro ph thuc vo nh gi tn dng bn ngoi. Vic x l kh nng b ri ro ngoi bng cn i k ton vn hu nh khng thay i tr mt vi ngoi l. ci thin nhy cm ri ro trong khi vn gi phng php chun c n gin, y ban ngh c s xc nh trng s ri ro l nh gi tn dng ca cc t chc bn ngoi. Vic s dng cc trng s gim st l s khc bit ln so vi phng php IRB, m ch yu da trn vic xp hng ca t chc bn ngoi. Phng php ny nhy cm vi ri ro hn hip c hin ti, thng qua vic a thm ri ro cng ty vo (50%), vi trng s ri ro 150% cho kh nng xp hng thp. Trng hp khng c xp hng c trng s 100%, thp hn trng s 150%. Loi c ri ro cao (150%) cng c dng cho mt s loi ti sn nht nh. Phng php chun ha khng cho php trng s thay i theo k hn, ngoi tr trong trng hp cho vay ngn hn i vi cc i tc ngn hng trong loi xp hng trung bnh, ni trng s gim t 50% xung cn 20% v t 100% xung cn 50% ty thuc vo mc xp hng. Loi cha c xp hng c trng s 150% c th gy ra mt hnh vi la chn ngc/ bt li, theo cc th nhn b xp hng thp c th t b vic xp hng

hng trng s ri ro 100% thay v 150%. Mt khc, hu ht cc cng ty v nhiu nc, phn ln cc ngn hng khng cn c xp hng ti tr cho cc hot ng ca h. Do vy, vic m mt ngi i vay khng c xp hng thng khng phi l mt du hiu v cht lng tn dng thp. Hip c ny c gng ph b s tha hip gia cc s kin mu thun ny v khuyn khch cc t chc thanh gia gim st ca quc gia c s linh hot trong vic iu chnh trng s. Trng s 150% hin nay vn ph thuc vo vic tham vn ca ngnh ngn hng. i vi ri ro quc gia, cc xp hng ca t chc bn ngoi l nhng xp hng ca cc t chc nh gi tn dng bn ngoi (ECAI hoc ECA). i vi ngn hng, thc o trng s ri ro cng ging nh vy nhng cng tc xp hng c th phi theo mt hoc hai quy trnh. Hoc l vic xp hng quc gia ny l mt mc thp hn cc xp hng quc gia, hoc n l xp hng ngn hng theo l thuyt. Trong bng di y chng ta a ra cc bng v cc trng s ri ro cho xp hng quc gia v cng ty. Bng v cc ngn hng theo chn la u tin ny l hon ton ging vi bng xp hng quc gia. BNG PL 2.1: TRNG S RI RO QUC GIA T AAA A+ n n AATrng s 0% ri ro BNG PL 2.2: TRNG S RI RO CNG TY T AAA A+ n AATrng s 20% ri ro Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn A50% n BBB+ n BB100% 150% Di BB- Khng c xp hng 100% A20% BBB+ n BBB50% BB+ n Di BB100% 150% Cha xp hng 100%

Ngoi ra, xp hng tn nhim cc khon vay phi thu lin quan n ngn hng trung ng hoc hoc c quan quyn lc ti cao, cc c quan gim st c th xem xt n im nh gi ri ro quc gia do ECAI thc hin. Tuy nhin, ECAI phi cng b rng ri v c chp thun theo quy nh ca cc tha thun trong khi T chc Hp tc v Pht trin Kinh t OECD. Cch nh gi di ca ECAI dnh cho cc ri ro lin quan n cc ngn hng, bao gm cc giao dch di hn v ngn hn: BNG PL 2.3: H S RI RO CA ECAI I VI CC NGN HNG nh dng H s ri ro 20% 50% 100% 150% gi tn A-1/P-1 A-2/P-2 A-3/P-3 Loi khc

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn Khon vay phi thu ti ngn hng Thanh ton quc t ( BIS Bank for International Settletments), qu tin t quc t ( IMF) v ngn hng Trung ng chu u (ECB) c h s ri ro l 0% . Ring i vi cc khon mc ngoi bng cn i k ton, khi nh gi ri ro tn dng s c chuyn i thng qua mt h s chuyn i (CCF Credit conversion factors). Cc h s chuyn i ny c quy nh c th nh sau: BNG PL 2.4: H S CHUYN I RI RO I VI KHON MC NGOI BNG Khon mc ngoi bng cn i k ton Cc cam kt vi thi gian o hn n 1nm Cam kt vi thi hn t 1 nm tr ln CCF 20% 50%

Cam kt vi cc t chc ng tin cy km theo iu kin khng th hy ngang hoc t ng hy b khi o hn Cc giao dch kiu repo, cc bo lnh nim yt chng khon ca ngn hng bo lnh cho vay ca ngn hng Th tn dng ngn hn v t ng thanh khon i vi s vn chuyn ca hng ha (th tn dng m bo bng iu kin giao hng) p dng cho c ngn hng pht hnh v ngn hng xc nhn Cc khon mc khc ngoi nhng khon c lit k trn c p dng theo Basel I Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn 20% 100% 0%

PH LC 3: PHNG PHP XP HNG NI B IRB C s l thuyt ca phng php IRB l da trn m hnh gi nh mt nhn t ri ro (m hnh ASRF) i vi ri ro tn dng. Trong , kh nng khng tr c n vay ca khch hng c th v s khc bit gia gi tr ti sn v gi tr danh ngha ca khon n vay. Gi tr ti sn ca cc doanh nghip s l mt bin thay i theo thi gian, chu mt phn tc ng ca cc bin c ngu nhin. Kh nng v n s xut hin mt khi gi tr ti sn ca ngi i vay qu thp so vi khon n. Phng php ny cn c vo c tnh ca ngn hng v cc thnh t ri ro bao gm: - Xc sut v n (PD Probability of defaut): o lng kh nng xy ra ri ro tn dng tng ng trong mt khong thi gian, thng l mt nm. - Thit hi do v n ( LGD loss given default): Nhng thit hi trn c s vic v n ca khch hng, thng thng l c m t bng mt t l phn trm trn gi tr danh ngha nguyn thy ca khon n. Cc ngn hng phi c tnh phn LGD ny cho cc khon n phi thu i vi mi doanh nghip, c quan chnh ph v cc ngn hng khc. Trong phng php IRB c bn th i vi cc khon n phi thu chnh i vi cc cng ty, c quan chnh ph v cc ngn hng khng c ti sn m bo s c ch nh gi tr LGD l 45%, nu l cc khon n phi thu ph i vi cc t chc trn th s c ch nh l 75%. i vi cc khon n phi thu c ti sn m bo l khon phi thu, bt ng sn thng mi (CRE), bt ng sn c tr (RRE) v cc ti sn m bo khc tha iu kin ca t hip c t khon 509 n 524 nm 2006 th c vn dng nh phng php chun vi cc gi tr LGD ti thiu m t trong bng 1.9 di y: Gi tr LGD hiu dng LGD * p dng cho cc giao dch c ti sn m bo v c th tnh theo cng thc: LGD* = LGD x (E*/E) Trong : -LGD l gi tr i vi giao dch trc khi tnh t trng m bo (45%)

- E l gi tr hin hnh ca cc ti sn c ri ro ( v d nh cho vay bng tin mt hay cho vay chng khon) - E* l gi tr hot ng sau khi gim thiu ri ro bng phng php chun BNG PL 3.1: GI TR LGD TI THIU I VI T TRNG M BO CCHOT NG CHNH Mc m bo ti Loi ti sn m bo LGD ti thiu thiu yu cu i vi hot ng (C*) Mc m bo yu cu vt qu i vi LGD y (C**) Ti sn ti chnh tiu chun Khon phi thu CRE/RRE Khon cm c khc 35% 35% 40% 0% 30% 30% 125% 140% 140% 0% 0% Cha quy nh

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn Cn trong phng php IRB nng cao th vic c tnh LGD c th phn nh hiu qu tc ng gim thiu ri ro hot ng bo lnh v cc sn phm tn dng phi sinh thng qua iu chnh xc sut v n PD hoc thit hi do v n LGD. LGD phi c tnh theo t l phn trm phn thit hi do v n so vi gi tr ca ti sn c ri ro khi v n (EAD) - Gi tr thit hi khi v n (EAD exposure at defaut):o lng phn n ch x l ( write off) v d phng c bit. Cc cng c v h s ri ro c p dng ging nh trong phng php chun vi mt vi trng hp ngoi l. Gi tr rng trn bng cn i k ton khi so snh khon vay vi tin gi c cng loi tin v k o hn hon ton khp vi nhau s c xem xt ging nh phng php chun. Cc khon mc ngoi bng cn i k ton ngoi tr cam kt giao dch hi oi v chng khon phi sinh s

c tnh ton bng cch nhn vi h s CCF. C hai cch c tnh h s CCFs ny, l phng php c bn v phng php nng cao. Theo phng php c bn th cc loi cng c v h s CCF p dng s ging trong phng php chun. i vi hn mc tn dng th p dng CCF 75%, vi mt s trng hp c bit nh hn mc c th hy ngang v iu kin hoc t ng hy khi o hn c th p dng CCF l 0%. Theo phng php nng cao, cc ngn hng t c tnh gi tr CCF l 100% trong phng php c bn. Ring i vi cc cam kt giao dch hi oi, li sut, vn v chng khon phi sinh lin quan n hng ha th IRB c quy nh ring theo cch tnh hn mc tn dng tng ng ty thuc vo gi tr thc hin tng lai v chi ph giao dch vi k hn khc nhau. - K o hn hiu dng (M effective maturity): Khi cc ngn hng s dng phng php IRB c bn th k o hn hiu dng s l 2.5 nm tr cc giao dch repo vi k o hn mi ch l 6 thng. C quan gim st quc gia c th la chn mc yu cu trong phm vi quyn hn ca mnh ( i vi nhng ngn hng s dng IRB c bn v nng cao) tnh ton cc k o hn ca cc khon vay theo cng thc 1 di y. Tuy nhin, M khng c ln hn 5 nm. Nu cc ngn hng s dng IRB nng cao, th M cn c tnh ton cho tng cng c theo cng thc 1. Nu mun p dng cho cc trng hp ngoi l c bit th phi m bo rng cc khon vay phi thu i vi hot ng ca cc doanh nghip trong nc c quy m nh c k o hn hiu dng trung bnh l 2.5 nm ging nh trong phng php IRB c bn. i vi cc cng c ph thuc vo dng ngn lu, M c tnh theo cng thc : M = t t CFt t CFt Vi CFt l ngn lu hng nm ( n gc, tin li v ph) theo hp ng phi tr trong k hn t. Nu ngn hng khng tnh c M theo cng thc 1 th s s dng cch c in khi tnh M, l M bng vi thi gian o hn cn li ( theo nm) m ngi vay chp (1)

nhn thanh ton ton b theo ngha v hp ng vay ( n gc, tin li v ph). Thng thng, chnh l thi gian o hn danh ngha ca cc khon vay hoc cc cng c. Ngoi ra, phng pho IRB cng hng dn quy nh ring cho cc khon mc bn l theo iu khon t 326 n 338, cc giao dch vn, cc khon phi thu theo iu khon t 327 n 373. Phng php IRB s da trn vic o lng nhng thit hi khng mong i UL (unexpected losses) v cc thit hi bit trc ( EL expected losses) thit lp c ch d phng ri ro. Hm s h s ri ro c s dng lm c s tnh ton nhu cu vn cn thit cho t trng cc thit hi khng mong i UL. Phn thit hi c th nhn bit trc EL s c xem xt ring trong mc G t iu khon 374 n 385. Mi ngn hng cn tnh tng cc phn thit hi c th nhn bit trc vi cng gi tr hot ng ca mnh. i vi khch hng l doanh nghip, ngn hng khc, hot ng bn l v c quan chnh ph EL = LD x LGD. i vi cc hot ng cho vay (SL), EL c tnh bng cch ly 8% x ti sn c ri ro t cc h s ri ro tng ng. K o hn l mt thnh phn ri ro tn dng m s nh hng n cc trng s ri ro, cn c vo mc tiu ca nhy cm ri ro tng ln. Tuy nhin, vic tnh n c k o hn s lm tng thm tnh phc tp v lm nn ch i vi vic cho vay di hn. Do vy, hip c ny a ra cc cng thc thay th cho vic tnh n c k o hn, m lm gim bt nh hng n gin ca c ch ln vn. Phng php BIS a vo Trng s Ri ro Tiu chun (BRW) cho vic tnh n nh hng ca k o hn ln ri ro tn dng v cc trng s vn. Chc nng ny ph thuc vo xc sut v n PD. Cc tiu chun ri ro cp n trng hp c th ca mt ti sn c k hn 3 nm, vi cc xc sut v n khc nhau v mt LGD 50%. Ba im i din ny th hin nhy ca cc trng s ri ro i vi xc sut v n hng nm . BNG PL 3.2: nhy cm v trng s ri ro c tnh n k hn: PD (%) BRW (%) 0.03 14 0.7 100 20 625

i vi PD = 0.7, BRW l 100% v trng s ri ro ti a, vi PD = 20% t 625%.Gi tr ny l mc trn (Cap) cho mi k o hn v mi xc sut v n. Nt c trng trng s ny vi s thay i PD nhy cm hn cc trng s trong phng php chun ha m thay i t 20% n 150% cho mi k hn di hn 1 nm. Nhng trng s ny tng vi t l t hn vi xc sut v n cho n khi chng t mc trn. Hip c ny ngh s dng k hn pht 3 nm i vi mi ti sn cho phng php c bn nhng m ca i vi vic s dng k o hn hiu dng. Cc trng s ri ro iu chnh i vi k hn hiu dng c p dng trong phng php nng cao. Ngoi ra, vi phng php IRB ny th cc ngn hng cng phi phn hng ti sn trn s sch ca mnh theo nhiu loi khc nhau, vi nhng tnh cht c th ty theo tng nhm khon vay phi thu i vi cc ch th nh: doanh nghip, chnh quyn nh nc, ngn hng, cc nhn, danh mc bn l v vn. Mi hng mc ti sn ny theo phn loi ca IRB s bao gm 3 nhn t c bn: - Yu t ri ro: c tnh bin s ri ro ca cc ngn hng hoc c quan gim st. - Hm s v h s ri ro: cc phng tin gip thnh t ri ro c chuyn i thnh ti sn c ri ro v t tnh ton nhu cu vn - Yu cu ti thiu: cc chun mc ti thiu phi t n i vi mt ngn hng mun p dng phng php IRB. Cu trc c bn ca phng php IRB PD

LGD Hm s ri ro theo EAD quy nh v gim st H s ri ro

Nh ni trn, y ban cho php cc ngn hng c hai s la chn khi p dng IRB, mt l phng php IRB c bn v hai l phng php IRB nng cao. Nu s dng IRB c bn, theo quy nh chung, cc ngn hng t c tnh PD v da trn c tnh ca c quan gim st v cc thnh t ri ro khc. Nu s dng IRB nng cao, ngn hng s phi t a ra c tnh cho tt c thnh t ri ro bao gm PD, LGD v EAD, ng thi t tnh ton bin s thi gian o hn ca cc khon vay (M), nhng phi tun theo cc chun mc ti thiu. i vi c hai phng php c bn v nng cao, cc ngn hng phi lun lun s dng hm s h s ri ro theo quy nh c th ca hip c. PD v LGD c o bng s thp phn hoc t l phn trm, EAD c o lng bng n v tin t ( v d nh EUR, USD) ngoi tr c nhng quy nh c bit khc c ghi ch. Phng php IRB c bn: Phng php IRB c bn cho php cc ngn hng p ng cc chun mc gim st thit thc a vo nh gi ca chnh mnh v PD cng vi con n. Nhng c tnh v nhng nhn t ri ro tng thm nh thit hi xy b gnh chu bi ngn hng trn c s v n LGD v EAD, s theo nhng c tnh c chun ha. Kh nng b ri ro khng c m bo bi mt hnh thc cm c c cng nhn s nhn c LGD c nh ph thuc vo vic giao dch ny l giao dch chnh hay giao dch ph. Cc yu cu ti thiu cho phng php IRB c bn lin quan n s khc bit y ngha v ri ro tn dng vi hot ng xp hng ni b, tnh ton din ca h thng xp hng, cc tiu ch ca h thng xp hng v s tng t. C nhiu phng php v ngun d liu m cc ngn hng c th s dng kt hp mt c tnh v PD vi tng mc im ni b ca n. Ba phng php ln l: s dng d liu da trn kinh nghim v n ca chnh ngn hng; phc tho d liu bn ngoi nh nhng d liu ECA; s dng m hnh thng k v ph sn. Do vy, mt ngn hng c th s dng phng php c bn nh n phc tho ra, theo mt cch tt, vic nh gi ring ca n v xp hng theo xc sut v n, bao gm c vic s dng d liu bn ngoi.

Phng php nng cao: S khc bit u tin so vi phng php c bn l vic cc ngn hng nh gi cc thnh phn ri ro cng vi thng s LGD m t s phc hi. S th hin sau ny ca cc m hnh ri ro tn dng quyt nh rng vn c nhy cm cao i vi nhn t ri ro ny. Ni chung, cc ngn hng thc hin cc thang xp hng trong mt thi gian, nhng h thiu d liu ri ro v s phc hi. Vic x l k o hn cng khc phng php c bn, cp n mt chun mc duy nht cho mi ti sn. BRW ph thuc vo k o hn trong phng php nng cao. Mc trn 625% s p dng nh trong mc pht k hn 3 nm. nh hng k hn ny ph thuc vo xc sut v n hng nm nh trong phng php c bn, cng vi s hng b trong hm BRW ca DP v k o hn ph thuc vo k o hn hiu dng ca ti sn. y l mt phn ng ton din hn i vi nhu cu lm cho vn nhy cm hn vi nh hng k hn. N ph v mt tha thun gia s nhy cm ri ro v yu cu thc t v vic trnh t l vn quy nh nng i vi cc cam kt di hn m s lm nn lng cc ngn hng trong vic tham gia vo cc giao dch nh vy. Nh ghi ch, cc m hnh ri ro tn dng nm bt nhng nh hng k hn thng qua vic nh gi li c s vt cht theo loi ri ro cui cng ca h trong 1 khong thi gian c nh l 1 nm. Quy trnh nh gi li theo khong thi gian ny ph thuc vo k o hn bi v n chit khu dng tin trong tng lai t cc khon vay vi sut chit khu iu chnh ri ro. Tuy nhin, mi quan h ny ph thuc vo ri ro v sut sinh li cao hn ca ti sn so vi sut sinh li i hi ca th trng. Do vy, s khng c mi quan h n gin gia ri ro tn dng v k o hn. C l, hm BRW bao gm nhng ng gp v d liu thc nghim ca hnh vi theo thi gian v tn sut v n trong qu kh v nhng quan h gia vn v k o hn t m hnh. Tuy nhin, y ban chm dt ngay vic cho php cc ngn hng tnh yu cu vn ca h da trn cc m hnh ri ro tn dng cho danh mc ca chnh mnh. Cc l do l hin nay thiu tin cy ca cc thng tin u vo c i hi bi cc m hnh nh vy, cng vi kh khn trong vic xc nh tin cy ca cc c tnh v vn ca m

hnh. Tuy nhin, bng cch ra vic hnh thnh d liu ri ro cho ba nm ti, Hip c Mi ny chun b cho vic thc hin sau ny. Do kh khn ca vic nh gi ngha ca nhng phng php ny v yu cu vn, y ban a ra mt vi hng dn thn trng nh mt ci sn v vn cn c. y ban ny nhn mnh rng nhu cu i vi cc ngn hng d on cc yu cu quy nh theo thc hin vic kim nh cng thng v thit lp mc m vn tng thm ca chnh h trong cc k tng trng kinh t. Trong di hn, y ban khuyn khch cc ngn hng xem xt cng lao ca vic xy dng nhng xem xt cng thng mt cch trc tip vo khun kh xp hng ni b ca h. Ghi ch: Phn nh gi h s ri ro ny c s dng cc gi nh chun v cc thnh t ri ro khc ngoi PD c bit trc, cc h s ri ro ch dng nh gi phn thit hi khng mong i UL tha mn nhu cu vn ti thiu. Mc d vic tnh ton nhu cu vn ti thiu l ch nhm b p cho cc thit hi khng mong i, nhng cc ngn hng cng phi t x b p cc thit hi bit trc c th c tnh c EL da trn c s tng t, bao gm chnh sch gi, d phng v x l loi b hon ton. H s ri ro cc khon vay phi thu lin quan n doanh nghip, t chc chnh ph v hot ng ngn hng: * H s tng quan: 0.12 (1-EXP(-50 PD) (R) = 1-EXP (-50) + 1-EXP (-50)
2

0.24 (1- (1-EXP(-50 PD)

*iu chnh k hn o hn (b) = (0.11852 0.05478 ln(PD)) *Yu cu vn (K) K = (LGD N[(1 R) b) (1+ M 2.5) b)
-1 -0.5

G(PD) + (R/1-R )

0.5

G(0.999)] PD LGD(1 1.5

*Ti sn c ri ro (RWA Risk weight assets) = K 12.5 EAD Yu cu vn (K) i vi ri ro v n ny phi bng hoc ln hn 0 v s khc bit

gia gi tr LGD v phn c tnh ca ngn hng i vi ri ro nhn bit trc. Tng s ti sn c ri ro i vi kh nng v n l kt qu ca K, 12.5 v EAD. Theo phng php IRB, i vi cc khon tn dng dnh cho doanh nghip, ngn hng phi tch ring nhm doanh nghip va v nh (SMEs theo quy nh ca Basel l c doanh thu nh hn 50 triu EUR) ra khi nhm doanh nghip ln ni chung. Khi s thm phn iu chnh quy m ca doanh nghip trong cng thc xc nh h s ri ro cho nhng khon vay vi doanh nghip ny Trong S chnh l tng doanh thu hng nm tnh bng triu EUR vi gi tr ca S l: 5 triu EUR S 50 triu EUR Ngha l, s c h s tng quan:
0.12 (1-EXP(-50 PD) (R) = 1-EXP (-50) + 1-EXP (-50) 0.24 (1- (1-EXP(-50 PD) - 0.04 (1 45 S-5 )

Ring i vi cc khon cho vay c bit nh ti tr d n PF Project Finance, ti tr theo tiu dng OF Object finance, ti tr hng ha CF Commodities Finance, ti tr bt ng sn to ra thu nhp IPRE Income producing real eastate, ti tr bt ng sn thng mi khng n nh HVCRE High volatility commercial real estate th IRB c nhng quy nh ring v t tnh ton c cc h s ri ro tng ng. Trong , cc khon mc ny s chia thnh 5 cp nh gi: mnh (strong), tt (good), tha mn yu cu (satisfactory), yu (weak), v v n (defaut). .

BNG PL 3.3: H S RI RO TNG NG VI TNG CP Strong T BBB tr ln 70% Good BB+ n BB 90% Satisfactory BB- n B+ 115% Weak B n C 250% Default Khng p dng 0%

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn Nhu cu vn ti thiu theo phng php IRB:

BNG PL 3.4: Thay i trong nhu cu vn: Phng php chun v IRB c bn Nhm 1 Phng php chun Ri ro tn dng Ri ro hot ng Ri ro tng th 0% 10% 10% Phng php IRB c bn -7% 10% 3% Phng php chun -6% 7% 1% Nhm 2 Phng php IRB c bn -27% 7% -19%

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn Bng trn m t s thay i c tnh i vi nhu cu vn theo chun mc ca Basel II i vi hai nhm ngn hng khc nhau, khi mi ngn hng tnh phn chi ph vn trn danh mc u t hin ti theo c hai phng php. Nhng s liu r rng cho thy nhu cu vn i ph vi ri ro tn dng khi s dng phng php IRB c bn s thp hn nhiu so vi phng php chun.

PH LC 4: CC PHNG PHP TNH NHU CU VN CHO RI RO HOT NG Phng php ch s c bn BIA Cc ngn hng s dng phng php ny phi duy tr mc vn i ph vi ri ro hot ng bng mc trung bnh qua 3 nm trc vi mt t l phn trm c nh () trn li nhun gp hng nm. Cng thc tnh h s vn KBIA nh sau: GIn KBIA
1 = n

KBIA : Yu cu vn tnh theo phng BIA GI: li nhun gp hng nm ( > 0), qua 3 nm trc n : S ln 3 nm c li nhun gp > 0 = 15% do y ban quy nh lin quan n quy m ngnh cng nghip. Li nhun gp c nh ngha l phn thu nhp rng t li vay cng vi thu nhp rng ngoi li. Phng php chun p dng theo phng php chun, hot ng ngn hng c chia lm 8 nhm nghip v bao gm: ti tr doanh nghip, bn hng v giao dch, nghip v ngn hng bn l, nghip ngn hng thng mi, dch v thanh ton, dch v i l, qun tr tfi sn v mi gii. Trong mi nhm, li nhun gp l mt ch s ph bin coi nh mt thc o cho hot ng v nh vy cng l cn c xc nh mc ri ro hot ng. Yu cu vn c tnh ton bng cch nhn li nhun ny vi mt h s tng ng vi tng nhm. H s Beta ny i din cho mi quan h v m ca ngnh cng nghip gia thit hi t ri ro hot ng i vi tng nhm nghip v v tng th li nhun gp ca nhm . Cn ch rng trong phng php chun, li nhun gp c o cho tng loi nghip v ch khng phi theo tng loi t chc. Tng yu cu vn c tnh theo phng php cng gin n yu cu vn trung bnh tng 3 nm mt cho mi loi nghip v trong mi nm. Tng vn yu cu c th m t nh sau:

KTSA = Trong :

nm 1-3 max [ (GI1-8 1-8), 0 ] 3

KTSA l yu cu vn theo phng php chun GI1-8 li nhun gp trong nm cho trc, nh ngha ging nh phng php BIA i vi tng nhm nghip v trong s 8 nhm 1-8 t l phn trm c nh do y ban Basel a ra lin quan n mc vn yu cu cho tng mc li nhun rng i vi mi nhm nghip v. Gi tr ca c cho trong bng sau: BNG PL 4.1: H S I VI TNG LNH VC HOT NG CA NGN HNG Nghip v Ti tr doanh nghip Giao dch v bn hng Ngn hng bn l Nghip v ngn hng thng mi Dch v thanh ton Dch v i l Qun tr ti sn Mi gii 1 2 3 4 5 6 7 8 H s b ta () 18% 18% 12% 15% 18% 15% 12% 12%

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn H s trong phng php chun cng c th c tnh ton da trn 20% tng yu cu vn hot ng ti thiu hin ti (MRC Minimum regulatory capital) t mu ca ngn hng ( i din cho tng vn i ph vi ri ro hot ng ) v trng s ca tng nghip v trong tng hot ng ngn hng, chia cho tng ca ch s ti chnh i din cho nghip v, nh cng thc sau: = [(20% tng MRC hin ti ( trng s nghip v )] / ( Ch s ti chnh ca tng nghip v t mu ngn hng)

BNG PL 4.2: CH S TI CHNH CHO TNG NGHIP V Nghip v Ti tr doanh nghip Giao dch v bn hng Ngn hng bn l Nghip v ngn hng thng mi Dch v thanh ton Mi gii Qun tr ti sn Ch s ti chnh Li nhun gp Li nhun gp Bnh qun ti sn hng nm Bnh qun ti sn hng nm Doanh s thanh ton hng nm Li nhun gp Tng ngun qu qun l

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn Trong cc ch s ti chnh ca tng nghip v c xut trong bng 1.14; H s ri ro lin quan cho tng nhm nghip v nh sau: BNG PL 4.3: H S RI RO TNG NG VI TNG LNH VC HOT NG Nghip v Ti tr doanh nghip Giao dch v bn hng Ngn hng bn l Nghip v ngn hng thng mi Dch v thanh ton Mi gii Qun tr ti sn Tng cng H s ri ro (%) 8 12 15 23 17 25 13 20 12 18 69 8 - 12 80 - 120

Ngun: Basel II S thng nht quc t v o lng v cc tiu chun vn

Phng php nng cao: S la chn hin i nht cho n ngy nay khi tnh ton nhu cu vn i ph vi 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 mi trng kim sot ni b ca ngn hng. Hn th na, phng php AMA cn t n chun mc c th so snh tng ng vi phng php IRB nng cao v yu cu thng k cng nh c s d liu khi m yu cu vn da vo th thi gian theo tng 1 nm v tin cy 99.9%. Cc ngn hng c t do pht trin phng php ring ca mnh. S t do ny gii thch ti sao cho n hin nay cha c mt ngn hng no c th tr thnh ng c vin cho vic xy dng m hnh chun nh gi ri ro hot ng. Thm vo , vic mt ngn hng mun s dng AMA cn phi c c quan gim st ch qun ng v c s h tr ca c quan ny lm cho phng php tr nn t thng dng hn so vi phng php chun.

PH LUC 5: SO SNH S KHC NHAU GIA BASEL I VI BASEL II V THNG T 13 BASEL I BASEL II THNG T 13

H s an ton vn CAR ch H s an ton vn CAR H s an ton vn CAR tp trung vo mt loi ri ro c tnh ton theo 3 ri ro c tnh cho ri ro tn chnh l ri ro tn dng, sau chnh: ri ro tn dng, ri ro dng v ri ro th trng. c b sung thm ri ro hot ng v ri ro th th trng nhng khng r trng rt Vn t c bao gm: Vn cp 1, vn cp 2, vn cp 3. Vn t c bao gm: Vn Vn t c bao gm: Vn cp 1, vn cp 2, vn cp 3. cp 1, vn cp 2.

Phng php tnh ti sn C B sung thm phn nh gi Phng php tnh ti sn C ri ro l quy nh h s ri ro c nh i vi tng khon mc ti sn C o lng v tnh ton h s ri ro i vi ti sn C khi xem xt ri ro tn dng: ch c mt phng php o lng duy nht cho tt c cc trng hp xp hng tn nhim ca cc ri ro l quy nh h s ri t chc c lp hoc xp ro c nh i vi tng hng tn nhim ni b. khon mc ti sn C

C 3 phng php la Ch c mt phng php o chn s dng: phng php lng duy nht cho tt c chun, phng php xp cc trng hp l quy hng ni b c bn v nh h s ri ro c nh i phng php xp hng ni vi tng khon mc ti sn b nng cao C.