Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 1

PH LC
Chng 1: RI RO THANH KHON................................................................... Trang 2
1.1 Khi nim v thanh khon v ri ro thanh khon.............................................Trang 2
1.2 Cc nguyn nhn dn n ri ro thanh khon................................................ Trang 2
1.2.1 Cung v cu v thanh khon....................................................................... Trang 4
1.2.2 nh gi trng thi thanh khon.......................................................................Trang 4
1.2.3 Cc phng php qun l ri ro thanh khon .................................................Trang 5
Chng 2: TNH HNH THANH KHON CA MT S NGN HNG THNG
MI LN................................................................................................................. Trang 9
2.1 Cc h s nh gi ......................................................................................... Trang 9
2.2. Phn tch nh gi ........................................................................................ Trang 9
2.2.1 Vn iu l................................................................................................ Trang 10
2.2.2 H s Car .................................................................................................. Trang 10
2.2.3 H s H1 v H2 ........................................................................................ Trang 11
2.2.4 H s H3 ................................................................................................... Trang 13
2.2.5 H s H4 ................................................................................................... Trang 15
2.2.6 H s H5 ................................................................................................... Trang 16
2.2.7 H s H6 ................................................................................................... Trang 17
2.2.8 H s H7 ................................................................................................... Trang 18
2.2.9 H s H8 ................................................................................................... Trang 19
Chng 3: MT S BIN PHP NHM NNG CAO HIU QU QUN TR RI
RO THANH KHON TRONG CC NGN HNG THNG MI VIT NAM
3.1 nh hng pht trin ca ngnh ngn hng Vit Nam n nm
2010 v nh hng chin lc n nm 2020 ................................................ Trang 20

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 2

3.1.1 nh hng pht trin Ngn hng Nh nc Vit Nam n nm

2010 v nh hng chin lc n nm 2020.................................................. Trang 20
3.1.2 nh hng pht trin cc t chc tn dng n nm 2010 v nh hng chin
lc n nm 2020 ............................................................................................ Trang 21
3.2 Bin php nng cao hiu qu qun tr ri ro thanh khon trong cc ngn hng thng
mi Vit Nam.....................................................................................................................................Trang 22
3.2.1 V pha Chnh ph ....................................................................................................................Trang 23
3.2.2 V pha Ngn hng trung ng ..............................................................................................Trang 23
3.2.3 V pha Ngn hng Thng mi............................................................................................Trang 24

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 3

CHNG 1

RI RO THANH KHON
1.1. Khi nim v thanh khon v ri ro thanh khon:
Tnh thanh khon ca ngn hng thng mi c xem nh kh nng tc thi
(the short-run ability) p ng nhu cu rt tin gi v gii ngn cc khon tn
dng cam kt. Nh vy, ri ro thanh khon l loi ri ro khi ngn hng khng c
kh nng cung ng y lng tin mt cho nhu cu thanh khon tc thi; hoc
cung ng nhng vi chi ph cao. Ni cch khc, y l loi ri ro xut hin trong
trng hp ngn hng thiu kh nng chi tr do khng chuyn i kp cc loi ti sn
ra tin mt hoc khng th vay mn p ng yu cu ca cc hp ng thanh
ton.
1.2. Cc nguyn nhn dn n ri ro thanh khon:
Thanh khon c vn ca mt ngn hng c th do cc nguyn nhn c bn
sau y:
Mt l, ngn hng vay mn qu nhiu cc khon tin gi ngn hn t cc c
nhn v nh ch ti chnh khc; sau chuyn ho chng thnh nhng ti sn u
t di hn. Cho nn, xy ra tnh trng mt cn i v k hn gia ngun vn v s
dng vn, m thng gp l dng tin thu v t ti sn u t nh hn dng tin chi
ra tr cc khon tin gi n hn.
Hai l, s thay i ca li sut c th tc ng n c ngi gi tin v ngi
vay vn. Khi li sut gim, mt s ngi gi tin rt vn khi ngn hng u t vo
ni c t sut sinh li cao hn; cn nhng ngi i vay tch cc tip cn cc khon tn
dng v li sut thp hn trc. Nh vy, rt cuc li sut thay i s nh hng
trng thi thanh khon ca ngn hng. Hn na, nhng xu hng ca s thay i li
sut cn nh hng n gi tr th trng ca cc ti sn m ngn hng c th em bn
tng thm ngun cung thanh khon v trc tip nh hng n chi ph vay mn
trn th trng tin t.

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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Ba l, do ngn hng c chin lc qun tr ri ro thanh khon khng ph hp

v km hiu qu nh: cc chng khon ang s hu c tnh thanh khon thp, d tr
ca ngn hng khng cho nhu cu chi tr...
1.2.1. Cung v cu v thanh khon:
Yu cu thanh khon ca mt ngn hng c th c xem xt bng m hnh
cung - cu v thanh khon.

Cung v thanh khon:

Cung thanh khon l cc khon vn lm tng kh nng chi tr ca ngn

hng, l ngun cung cp thanh khon cho ngn hng, bao gm:
- Cc khon tin gi ang n.
- Doanh thu t vic bn cc dch v phi tin gi.
- Thu hi cc khon tn dng cp.
- Bn cc ti sn ang kinh doanh v s dng .
- Vay mn trn th trng tin t.

Cu v thanh khon:
Cu v thanh khon l nhu cu vn cho cc mc ch hot ng ca ngn

hng, cc khon lm gim qu ca ngn hng. Thng thng, trong lnh vc kinh
doanh ca ngn hng, nhng hot ng to ra cu v thanh khon bao gm:
- Khch hng rt tin t ti khon.
- Yu cu vay vn t nhng khch hng c cht lng tn dng cao.
- Thanh ton cc khon vay phi tin gi
- Chi ph pht sinh khi kinh doanh cc sn phm, dch v.
- Thanh ton c tc bng tin.
1.2.2. nh gi trng thi thanh khon:
Trng thi thanh khon rng NPL (net liquidity position) ca mt ngn hng
c xc nh nh sau:
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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NPL = Tng cung v thanh khon - Tng cu v thanh khon

C ba kh nng c th xy ra sau y:
Thng d thanh khon: Khi cung thanh khon vt qu cu thanh khon
(NPL>0), ngn hng ang trng thi thng d thanh khon. Nh qun tr ngn
hng phi cn nhc u t s vn thng d ny vo u mang li hiu qu cho ti
khi chng cn c s dng p ng nhu cu thanh khon trong tng lai.
Thm ht thanh khon: Khi cu thanh khon ln hn cung thanh khon
(NPL<0), ngn hng phi i mt vi tnh trng thm ht thanh khon. Nh qun tr
phi xem xt, quyt nh ngun ti tr thanh khon ly t u, bao gi th c v chi
ph bao nhiu.
Cn bng thanh khon: Khi cung thanh khon cn bng vi cu thanh
khon (NPL=0), tnh trng ny c gi l cn bng thanh khon. Tuy nhin, y l
tnh trng rt kh xy ra trn thc t.
1.2.3. Cc phng php qun l ri ro thanh khon:
1.2.3.1

Vn iu l ( vn c cp, vn gp):

L ngun vn ban u ca ngn hng c c khi mi hot ng v c ghi vo

bn iu l hot ng ca ngn hng. Theo quy nhc a php lut, mt t chc tn
dng c php hot ng th vn iu l thc t > vn iu l ti thiu (vn php
nh).
1.2.3.2

H s CAR (t l an ton vn ti thiu):

Vn t c
CAR =

x 100%
Tng ti sn C ri ro quy i

1.2.3.3

H s gii hn huy ng vn (H1):

Vn t c
H1 =

x 100%
Tng ngun vn huy ng

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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H s ny a ra nhm mc ch gii hn mc huy ng vn ca ngn hng trnh

tnh trng khi ngn hng huy ng vn qu nhiu vt qu mc bo v ca vn t c
lm cho ngn hng c th mt kh nng chi tr.
1.2.3.4

H s t l gia vn t c so vi tng ti sn c (H2):

Vn t c
H2 =

x 100%
Tng ti sn C

H s ny c a ra nh gi mc ri ro ca tng ti sn c ca mt ngn hng. Thng

thng ngn hng no gp phi s st gim v ti sn (do ri ro xut hin) cng ln th li nhun
ca ngn hng cng thp. V vy, h s ny cho php ti sn ca ngn hng st gim mt
mc nht nh so vi vn t cso ca ngn hng.
1.2.3.5

Ch s H3:
Tin mt+Tin gi ti cc TCTD

H3 =

x 100%
Tng ti sn C

1.2.3.6

H s trng thi tin mt (*H3):

Tin mt+TGTT ti NHNN+TGKKH ti cc TCTD

*H3 =

x 100%
Tng ti sn C

1.2.3.7

Ch s nng lc cho vay H4:

D n
H4 =

x 100%
Tng ti sn C

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

1.2.3.8

Trang 7

Ch s H5:
D n
H5 =

x 100%
Tin gi khch hng

1.2.3.9

Ch s chng khon thanh khon H6:

Chng khon kinh doanh+Chng khon sn sng bn

H6 =

x 100%
Tng ti sn C

1.2.3.10 Ch s H7:
Tin gi v cho vay TCTD
H7 =

x 100%
Tin gi v vay t TCTD

1.2.3.11 Ch s H8:
Tin mt + Tin gi ti TCTD
H8 =

x 100%
Tin gi ca khch hng

1.2.3.12 Ch s *H8:
Tin mt + TGKKH ti TCTD
*H8 =

x 100%
Tin gi ca khch hng

Kt lun Chng 1: Thanh khon l vn thng xuyn, then cht quyt nh n

s tn ti ca cc ngn hng. Trong thi gian qua, khi Ngn hng Nh nc thc thi
chnh sch tin t tht cht, tnh thanh khon ca cc ngn hng thng mi Vit
Nam gp kh khn nht nh. Vi nhng d liu thu thp c, nhm s i phn
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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tch so snh tnh hnh thanh khon ca 4 NHTMCP ln gm: Incombank,

Vietcombank, Sacombank v ACB. Qua , c th thy c tnh hnh thanh khon
ca tng ngn hng c th t c th a ra cc bin php hu hiu hn nng cao
hiu qu qun tr ri ro thanh khon ca cc ngn hng thng mi Vit Nam trong
thi gian ti.

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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CHNG 2
TNH HNH THANH KHON CA MT S NGN
HNG THNG MI LN
2.1

Cc h s nh gi:
Vi ngun d liu thu thp c t bo co thng nin, bo co ti chnh

trong ba nm t 2008 n 2010 ca 4 NHTMCP l VitinBank, Vietcombank,

Sacombank v ACB nhm chn cch tip cn qua cc tiu ch v ch s thanh khon
sau y nh gi tnh thanh khon ca cc ngn hng ny:
Vn iu l.
H s CAR: t l an ton vn ti thiu (vn t c/tng ti sn C ri ro quy i.
H s H1: Vn t c/Tng ngun vn huy ng.
H s H2: Vn t c/Tng ti sn C.
Ch s H3: (Tin mt+Tin gi ti cc TCTD)/Tng ti sn C; hoc,
*H3: (Tin mt+Tin gi thanh ton ti NHNN+Tin gi khng k hn ti
cc TCTD)/Tng ti sn C. y l ch s trng thi tin mt.
Ch s nng lc cho vay H4:D n/Tng ti sn C.
Ch s H5:D n/Tin gi khch hng.
Ch s chng khon thanh khon H6: (Chng khon kinh doanh+Chng
khon sn sng bn)/Tng ti sn C.
Ch s H7: Tin gi v cho vay TCTD/Tin gi v vay t TCTD.
Ch s H8: (Tin mt+Tin gi ti TCTD)/Tin gi ca khch hng; hoc,

*H8: (Tin mt+Tin gi khng k hn ti cc TCTD)/Tin gi ca khch hng.

2.2

Phn tch nh gi:

2.2.1

Vn iu l: Tnh n thi im 31/12/2010

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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Ngn hng

Nm 2008

Nm 2009

Nm 2010

ICB

11,250

11,250

15,200

VCB

13,200

13,200

17,000

ACB

2,630

6,356

7,814

STB

5,116

6,700

9,179

Ngh nh s 141/N-CP ngy 22 thng 11 nm 2006 ca Chnh ph quy nh mc

vn php nh i vi ngn hng thng mi nh nc n nm 2008 v 2010 l 3,000 t
VND; i vi ngn hng thng mi c phn n nm 2008 l 1,000 t VND, n nm
2010 l 3,000 t VND. Cui nm 2008, phn ln cc ngn hng t c mc vn iu
l ln hn vn php nh cn thit. Tuy khng chu nhiu p lc nh cc ngn hng c phn
nh nhng c 4 ngn hng vn khng ngng gia tng vn iu l tng cng kh nng
hot ng ca mnh. Vn iu l tng c ngha l kh nng huy ng v cho vay ca cc
ngn hng cng tng theo. T cc ngn hng c kh nng m rng mng li hot ng
ca mnh chim lnh th trng.
2.2.2

H s Car :
ICB
VCB
ACB
STB

2008
8.2%
11.07%
16.19%
12.16%

2009
8.17%
12.16%
12.44%
11.41%

2010
9.1%
11.41%
9.97%
9.41%

H s CAR (Capital Adequacy Ratios) - h s Cooke hay h s sit c

tn dng, phn nh t l vn t c ti thiu ngn hng phi t c trn tng ti
sn C ri ro quy i. Theo thng t s 13/2010/TT-NHNN ngy 20/5/2010,
NHNN quy nh cc TCTD phi m bo ch s ny ti thiu l 9%. Nu xt theo
tiu ch ny, c 4 NHTM u t c. ngha ca h s CAR l mc ri
ro m cc ngn hng c php mo him trong vic s dng vn cao hay thp ty
thuc vo ln vn t c ca ngn hng, c th: i vi nhng ngn hng c vn
t c ln th n c php s dng vn vi mc liu lnh ln vi hy vng t
c li nhun cao nht, nhng ri ro s cao hn v ngc li. Nhn chung h s
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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CAR ca 4 ngn hng u ln hn 8% - 9% qua cc nm.

i vi Vietcombank, y l thnh vin c t l li nhun rng trn vn ch s
hu (ROE) lun dn u khi ngn hng quc doanh v trong Top 5 cc ngn hng
thng mi c phn trong nhng nm gn y. H s CAR t nm 2008 tr v trc
lun t trn 8%.Th nhng s cht vt ca Vietcombank trong m bo yu cu CAR
ti thiu bt u kh khn t nm 2009, v c nhng thi im thp hn c 8%.
Nguyn do l ngn hng phi thc hin theo hng dn mi ca Ngn hng Nh nc
v xc nh vn t c (Cng vn s 7634/NHNN-TCKT ngy 30/9/2009), trong c
nhng iu chnh v ch tiu v gii hn xc nh vn cp 1 v vn cp 2. Nhng
nguyn nhn chnh c ngn hng ny nhn mnh trong cc gii trnh trc c ng
thi gian qua l do cha c tng vn iu l nn kh khn trong vic ci thin vn
ch s hu. y, Vietcombank vng phi ro cn th im c phn ha, trong
c rng buc v vic la chn nh u t chin lc trc khi thc hin tng vn
2.2.3 H s H1 v H2:
H S H1

ICB
VCB
ACB
STB

2008
6.81
6.63
7.96
12.79

2009
5.44
7.14
6.41
11.31

2010
5.65
7.41
5.85
10.14

BIU H S H1 QUA CC NM CA CC NGN HNG

14.00
12.00
10.00
ICB

8.00

VCB
ACB

6.00

STB

4.00
2.00
2008

GVHD: Thy Trng Quang Thng

2009

2010

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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H S H2

ICB
VCB
ACB
STB

2008
6.37
6.21
7.38
11.34

2009
5.16
6.66
6.02
10.14

2010
5.34
6.90
5.53
9.17

BIU H S H2 QUA CC NM CA CC NGN HNG

12.00
10.00
8.00

ICB
VCB

6.00

ACB
STB

4.00
2.00
2008

2009

2010

i vi hai h s H1 v H2, tiu chun chung l ln hn 5%. H s H1 a

ra nhm mc ch gii hn mc huy ng vn ca ngn hng trnh tnh trng
khi ngn hng huy ng vn qu nhiu vt qu mc bo v ca vn t c l cho
ngn hng c th mt kh nng chi tr. H s ny cng tin gn v 5% cho thy
kh nng huy ng vn ca ngn hng cng cao trong khi mc ri ro vn
m bo theo quy nh. Trong bn ngn hng thng mi ln th ngn hng
Chu c kh nng huy ng tt nht. V ngn hng Sacombank c kh nng huy
ng vn km nht trong h thng bn ngn hng ln tuy nhin h s ny gim
dn qua cc nm.
H s H2 a ra nh gi mc ri ro ca tng ti sn c ca
mt ngn hng. Thng thng, ngn hng no gp phi s st gim v
ti sn(do ri ro xut hin) cng ln th li nhun ca ngn hng cng
gim thp. V vy, h s ny cho php ti sn ca ngn hng st gim
mt mc nht nh so vi vn t c ca ngn hng. Nhn chung, cc
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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ngn hng u t c. So snh ch s ny vi ch s tng ng

Equity/Assets tnh bnh qun cho 100 ngn hng ln nht ca M l 8% (Theo
bo co thc nghim Mananging bank liquity risk: How deposit loan
synergies vary with market conditions, Evan Gate, Til Shuermann, Philip E.
Strahan, April 2006, kho st 100 ngn hng ln nht M, t 1990 - 2002), cho
thy phi chng vn t c ca cc ngn hng thng mi Vit Nam thp so vi
quy m hot ng. Cc ngn hng tng trng ti sn qu nhanh so vi mc
tng trng ca vn t c. Xt di gc an ton trong hot ng, iu nn
c suy xt cn trng hn.
Mt ch s H1, H2 kh cao nh ngn hng Sacombank c th l trong
nm 2008, vn t c ca cc ngn hng tng nhanh hoc tm thi cha s
dng vo mc ch tng cng c s vt cht, trong khi vic thu ht tin gi
khch hng khng p ng cho nhu cu cho vay. Cho nn, cc ngn hng phi
huy ng cc ngun vn khc ngoi tin gi khch hng p ng nhu cu tn
dng gia tng. Nhng khi hnh ng nh vy, cc ngn hng ny s gp kh khn
trong u t nng cp nn tng cng ngh, m rng mng li, khi m ngun
vn t c phi dnh cho vay. Xt theo phng din ny, vic duy tr mt t l
cao nh vy cha hn hiu qu. Hn na, vic thu ht tin gi ca khch
hng gp kh khn cho thy ngn hng ny c nhng vn v thanh khon.
Qua phn tch hai ch s H1, H2 trn y, cho thy hai thi cc khc hn
nhau, mt nhm ngn hng c hai ch s tht cao, trong khi , mt nhm ngn
hng c hai ch s ny tht thp. Nhm ngn hng c ch s cao cha hn tt,
xt v kha cnh li nhun; hn na, c th cc ngn hng ny khng phi ch
ng duy tr t l cao nh vy, m c th l huy ng vn gp kh khn.
2.2.4 Ch s trng thi tin mt H3:
Ch s H3 l ch s v trng thi tin mt. Vi ngun s liu thu thp
c cc nm 2008, 2009, 2010 bn ngn hng thng mi ln, ta c bng s liu
sau:

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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H S H3

ICB
VCB
ACB
STB

2008
4.14
14.79
26.45
13.97

2009
10.13
19.90
23.04
15.54

2010
10.13
27.25
13.97
22.74

BIU H S H3 QUA CC NM CA CC NGN HNG

30.00
25.00
20.00

ICB
VCB

15.00

ACB
STB

10.00
5.00
2008

2009

2010

Mt t l tin mt v tin gi cao, ngha l ch s H3 cao, m bo cho

ngn hng c kh nng p ng nhu cu thanh khon tc thi. Theo s liu
tnh ton nm 2008, ngn hng incombank c ch s H3 di 10%, nn khi c
nhu cu thanh khon ln, t xut, chc chn ngn hng buc phi vay trn th
trng tin t vi li sut cao. Thc t chng minh cho nhn nh ny, nhng
thng cui nm 2007 v 2008, cc ngn hng ua nhau tng li sut tin gi v
y li sut vay qua m trn th trng tin t lin ngn hng tng ln kh cao.
Mc tiu cui cng ca cc ngn hng khng c g khc l m bo kh nng
thanh khon ang c nguy c suy gim. Tnh hnh ny c th gii thch nh sau:
nhng bin php mnh ca Ngn hng Nh nc nh tng t l d tr bt buc,
pht hnh tn phiu bt buc thu hi mt lng tin ln t lu thng v
kt ca Ngn hng Nh nc. Cc ngn hng thng mi trc y khng
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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coi trng vn thanh khon, thm ch c thi im cc ngn hng cho rng
d tha vn v h li sut huy ng. Th nhng, khi chnh sch tin t tht cht
c thc thi quyt lit, im yu thanh khon bc l. Khng cn cch no
khc, cc ngn hng buc phi cnh tranh nhau thu ht tin gi khch hng v
trong tnh th bt buc mt s ngn hng buc phi vay qua m vi li sut cao
nhm m bo nhu cu thanh khon. Nhng mt ch s H3 qu cao cho thy ngn
hng tin mt qu nhiu s khng m bo kh nng ti a ha li nhun ca
ngn hng. Ngn hng cn duy tr mt ch s H3 hp l va m bo kh nng
thanh khon va to c li nhun cao.
2.2.5 Ch s nng lc cho vay H4:
Ch s H4 phn nh nng lc cho vay. y l ch s thanh khon m bi v cho
vay l ti sn c tnh thanh khon thp nht m ngn hng nm gi. Nhn
chung, hot ng ch yu ca bn ngn hng thng mi lnVit Nam vn l
hot ng tn dng: ch s H4 trung bnh 3 nm 2007-2009 l 47,37%, c ngha,
tnh trung bnh cc khon tn dng chim trn 47% trong tng ti sn C ca cc
ngn hng. Ri ro d thy nht l ri ro li sut. Khi Ngn hng Nh nc thc
thi chnh sch tin t tht cht, m bo kh nng thanh khon cc ngn hng
buc phi tng li sut tin gi trong lc li sut ghi trn cc hp ng tn
dng khng i. Kt qu l thu nhp ca ngn hng gim i. Cha k vic mt s
ngn hng s dng vn ngn hn cho vay di hn, to nn ri ro v k hn gia
huy ng vn v s dng vn. Trong bn ngn hng thng mi ln th ngn hang
Vietinbank c h s H4 kh cao
H S H4
ICB
VCB
ACB
STB

2008
61.26
50.82
33.08
51.15

2009
66.30
55.31
37.14
57.35

2010
63.66
55.64
44.43
54.35

BIU H S H4 QUA CC NM CA CC NGN HNG

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 16

70.00
60.00
50.00

ICB

40.00

VCB

30.00

ACB
STB

20.00
10.00
2008

2009

2010

2.2.6 Ch s d n/tin gi khch hng H5:

hiu r hn v ch s H4, chng ta xem xt chng cng vi ch s H5,
l ch s d n/tin gi khch hng, nh gi cc ngn hng s dng tin gi
khch hng cung ng tn dng vi t l bao nhiu phn trm. T l ny cng
cao, kh nng thanh khon cng thp.
H S H5

2008
97.51
71.81
54.24
73.29

ICB
VCB
ACB
STB

2009
108.93
83.71
71.74
98.58

2010
118.29
83.60
80.87
106.67

BIU H S H5 QUA CC NM CA CC NGN HNG

140.00
120.00
100.00
ICB

80.00

VCB
ACB

60.00

STB
40.00
20.00
2008

GVHD: Thy Trng Quang Thng

2009

2010

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 17

Theo bng s liu trn cho thy 2 ngn hng cho vay vi t l kh cao trn
s tin gi ca khch hng v ngn hng Icombank v Sacombak. T l ny vo
nm 2010 ca Incombank l 118.28% v Sacombank l 106.67%, nh vy bnh
qun c huy ng c 1 ng th hai ngn hng ny cho vay vt s tin huy
ng Nh vy, ti sn C sinh li l cc khon tn dng chim t trng ln
Trong tng ti sn C ca cc ngn hng, m cho vay l ti sn C c ri
ro cao hn nhiu so vi cc ti sn C sinh li khc. iu ny s nh hng rt
ln n tnh thanh khon ca ngn hng.
2.2.7 Ch s chng khon thanh khon H6
H S H6

ICB
VCB
ACB
STB

2008
19.52
13.76
1.03
1.18

2009
14.01
8.36
0.62
12.67

2010
16.78
7.45
1.18
9.96

BIU H S H6 QUA CC NM CA CC NGN HNG

25.00

20.00

ICB

15.00

VCB
ACB
10.00

STB

5.00

2008

2009

2010

Ch s H6 phn nh t l nm gi cc chng khon c th d dng

chuyn i thnh tin mt, p ng nhu cu thanh khon trn tng ti sn C
ca ngn hng. T l ny cng cao, trng thi thanh khon ca ngn hng cng
tt. Kt qu tnh ton cho thy, c 2 ngn hng l ACB( trung bnh 3 nm khong
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 18

0.94%) v Vietcombank( trung bnh 3 nm khong 9.86%) nm gi chng khon

vi t l thp. Ring hai ngn hng Incombank v Sacombank vn gi ch s H6 cao
trn 10% cho thy cc ngn hng ny vn dnh mt phn vn u t chng
khon.
2.2.8 Ch s trng thi rng i vi cc TCTD H7:
2.2.9 H S H7

ICB
VCB
ACB
STB

2008
2.07
1.25
2.64
1.57

2009
1.60
1.23
3.51
5.55

2010
1.58
1.32
1.23
1.37

BIU H S H7 QUA CC NM CA CC NGN HNG

6.00
5.00
4.00

ICB
VCB

3.00

ACB
STB

2.00
1.00
2008

2009

2010

Ch s H7 (ch s trng thi rng i vi cc TCTD) l t l gia Tin gi v

cho vay TCTD/Tin gi v vay t TCTD. Ch s ny cng cao cho thy tnh thanh
khon ca NH cng tt.
Qua bng trn ta thy ch s H7 ca bn ngn hng thng mi ln qua cc nm
u ln hn 1 chng t l cc ngn hng ny i gi nhiu hn vay i vi TCTD
khc. iu chng t cc ngn hng ny c nhiu li th trong vic huy ng
m bo kh nng thanh khon ca mnh.
2.2.10 Ch s (tin mt + tin gi ti cc TCTD)/tin gi khch hng H8:
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 19

H S H8
ICB
VCB
ACB
STB

2008
6.59
20.90
43.37
23.06

2009
16.65
30.13
44.51
39.09

2010
19.51
40.95
26.88
43.60

BIU H S H8 QUA CC NM CA CC NGN HNG

50.00
45.00
40.00
35.00
30.00
25.00
20.00
15.00
10.00
5.00
-

ICB
VCB
ACB
STB

2008

2009

2010

Ch s H8 c tnh bng cng thc (Tin mt+Tin gi ti TCTD)/Tin gi

ca khch hng. Ch s H8 cng cao th kh nng thanh khon cng tt.
Nhn chung, h s H8 cho thy kh nng thanh khon ca 03 ngn hng
Vitcombank, ACB, v Sacomank rt tt, dao ng t 25-41% vo thi im cui nm
2010, ch s ny i vi Incombank cn kh thp nhng dc ci tthin qua cc
nm t 6.59% vo nm 2008 tng n 19.51% v nm 2010. Cn i vi ACB, ch
s vo cui nm 2010 vn mc an ton nhng c s st gim ng k so vi nm
2008 v 2009. Nhng iu ng mng l ch s ny i vi c 4 ngn hng u ln
10%.

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 20

CHNG 3
MT S BIN PHP NHM NNG CAO HIU QU
QUN TR RI RO THANH KHON TRONG CC NGN
HNG THNG MI VIT NAM
3.1

nh hng pht trin ca ngnh ngn hng Vit Nam n nm

2010 v nh hng chin lc n nm 2020:

n pht trin ngnh ngn hng Vit Nam n nm 2010 v nh hng
chin lc n nm 2020 c Th tng chnh ph ph duyt bng Quyt nh
s 112/2006/Q-TTg ngy 24/05/2006; trong t ra:
3.1.1 nh hng pht trin Ngn hng Nh nc Vit Nam n nm
2010 v nh hng chin lc n nm 2020:
i mi t chc v hot ng ca Ngn hng Nh nc hnh thnh b
my t chc tinh gn, chuyn nghip, c ngun lc, nng lc xy dng v thc
thi chnh sch tin t theo nguyn tc th trng da trn c s cng ngh tin tin,
thc hin cc thng l, chun mc quc t v hot ng ngn hng trung ng, hi
nhp vi cng ng ti chnh quc t, thc hin c hiu qu chc nng qun l nh
nc trn lnh vc tin t v hot ng ngn hng, ng thi to nn tng n sau
nm 2010 pht trin Ngn hng Nh nc tr thnh ngn hng trung ng hin i,
t trnh tin tin ca cc ngn hng trung ng trong khu vc Chu .
Xy dng v thc thi c hiu qu chnh sch tin t nhm n nh gi tr ng
tin, kim sot lm pht, gp phn n nh kinh t v m, tng trng kinh t v thc hin
thng li cng cuc cng nghip ho, hin i ho t nc. iu hnh tin t, li sut v
t gi hi oi theo c ch th trng thng qua s dng linh hot, c hiu qu cc cng c
chnh sch tin t gin tip. ng dng cng ngh thng tin, m rng nhanh cc hnh thc
thanh ton khng dng tin mt v thanh ton qua ngn hng. Nng dn v tin ti thc
hin y tnh chuyn i ca ng tin Vit Nam. Chnh sch tin t to iu kin huy
ng v phn b c hiu qu cc ngun lc ti chnh. Kt hp cht ch chnh sch tin t
vi chnh sch ti kho nh hng v khuyn khch cng chng tit kim, u t v
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 21

pht trin sn xut kinh doanh.

3.1.2

nh hng pht trin cc t chc tn dng n nm 2010 v nh

hng chin lc n nm 2020:

Ci cch cn bn, trit v pht trin ton din h thng cc TCTD theo
hng hin i, hot ng a nng t trnh pht trin trung bnh tin tin trong khu
vc ASEAN vi cu trc a dng v s hu, v loi hnh TCTD, c quy m hot ng ln
hn, ti chnh lnh mnh, ng thi to nn tng n sau nm 2010 xy dng c h
thng cc TCTD hin i, t trnh tin tin trong khu vc Chu , p ng y cc
chun mc quc t v hot ng ngn hng, c kh nng cnh tranh vi cc ngn hng
trong khu vc v trn th gii. Bo m cc TCTD, k c cc TCTD nh nc hot ng
kinh doanh theo nguyn tc th trng v v mc tiu ch yu l li nhun. Pht trin h
thng TCTD hot ng an ton v hiu qu vng chc da trn c s cng ngh v trnh
qun l tin tin, p dng thng l, chun mc quc t v hot ng ngn hng thng
mi. Pht trin cc TCTD phi ngn hng gp phn pht trin h thng ti chnh a dng
v cn bng hn. Pht trin v a dng ha cc sn phm, dch v ngn hng, c bit l
huy ng vn, cp tn dng, thanh ton vi cht lng cao v mng li phn phi pht
trin hp l nhm cung ng y , kp thi, thun tin cc dch v, tin ch ngn hng
cho nn kinh t trong thi k y mnh cng nghip ha, hin i ha. Hnh thnh th
trng dch v ngn hng, c bit l th trng tn dng cnh tranh lnh mnh, bnh ng
gia cc loi hnh TCTD, to c hi cho mi t chc, c nhn c nhu cu hp php,
kh nng v iu kin c tip cn mt cch thun li cc dch v ngn hng. Ngn chn
v hn ch mi tiu cc trong hot ng tn dng.
Tip tc y mnh c cu li h thng ngn hng. Tch bch tn dng chnh sch
v tn dng thng mi trn c s phn bit chc nng cho vay ca ngn hng chnh sch
vi chc nng kinh doanh tin t ca ngn hng thng mi. Bo m quyn t ch, t
chu trch nhim ca TCTD trong kinh doanh. To iu kin cho cc TCTD trong nc
nng cao nng lc qun l, trnh nghip v v kh nng cnh tranh. Bo m quyn
kinh doanh ca cc ngn hng v cc t chc ti chnh nc ngoi theo cc cam kt ca
Vit Nam vi quc t. Gn ci cch ngn hng vi ci cch doanh nghip, c bit l
doanh nghip nh nc. Tip tc cng c, lnh mnh ho v pht trin cc ngn hng
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 22

c phn; ngn nga v x l kp thi, khng xy ra v ngn hng ngoi s

kim sot ca Ngn hng Nh nc i vi cc TCTD yu km. a hot ng ca
qu tn dng nhn dn i ng hng v pht trin vng chc, an ton, hiu qu.
Phng chm hnh ng ca cc TCTD l An ton - Hiu qu - Pht trin
bn vng - Hi nhp quc .
Mt s ch tiu tin t v hot ng ngn hng giai on 2006 - 2010
Thp hn tc tng
1. Lm pht (%/nm)

trng kinh t

2. Tng trng bnh qun tng phng tin thanh ton

3. T l M2/GDP n cui nm 2010 (%)

18 20
100 - 115

4. T trng tin mt lu thng ngoi h thng ngn

hng/M2 n nm 2010 (%)
5. Tng trng bnh qun tn dng (%/nm)
6. T l an ton vn n nm 2010 (%)
7. T l n xu/tng d n n nm 2010 (%)

Khng qu 18
18 - 20
Khng di 8
Di 5
Chun mc quc t

8. Chun mc gim st ngn hng n nm 2010

9. D tr quc t ti thiu n nm 2010

(Basel I)
12 tun nhp khu

Ghi ch: N xu c xc nh theo tiu chun phn loi n ca Vit Nam, ph hp vi

thng l quc t.
Mt s ngn hng thng mi t mc vn t c tng ng 800 - 1.000 triu
USD n nm 2010, c thng hiu mnh v kh nng cnh tranh quc t. Phn u
hnh thnh c t nht mt tp on ti chnh hot ng a nng trn th trng ti chnh
trong v ngoi nc.
3.2

Bin php nng cao hiu qu qun tr ri ro thanh khon trong cc ngn

hng thng mi Vit Nam:

3.2.1 V pha Chnh ph:
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 23

Mt ngn hng trung ng c lp v mnh: nng cao v th v tnh c

lp ca Ngn hng Nh nc vi Chnh ph. C nh vy Ngn hng Nh nc
mi c th a ra cc quyt nh iu hnh chnh sch tin t mt cch nhanh
chng, nhm tc ng n nn kinh t mt cch kp thi v mang li hiu qu
cao.
Hon thin h thng lut php p ng yu cu hi nhp: Vit Nam ang
hi nhp ngy cng su rng hn vo nn kinh t khu vc v th gii. Cho nn,
vic tip tc hon thin h thng hnh lang php l ni chung v h thng hnh
lang php l v hot ng ngn hng ni ring l cn thit v cp bch.Vic
hon thin h thng lut php nhm xy dng h thng ngn hng thng mi
lnh mnh, minh bch, vn hnh theo c ch th trng c s kim sot hp l
ca Chnh ph. Mun vy, cn quy nh r chc nng, nhim v ca tng loi
hnh ngn hng: thng mi, u t, chnh sch, pht trin trnh nhng c
im ring c ca loi hnh ngn hng ny tr thnh li th cnh tranh khng
cng bng vi loi hnh ngn hng khc. Trong d tho Lut bo him tin gi,
cn nghin cu nng mc bo him tin gi ca khch hng ti cc ngn hng.
Bi l,vic nng mc tin gi c bo him lm cho ngi gi tin yn tm
hn, tinh trng rt tin hng lot. iu ny s gip cc ngn hng thng mi
n nh c ngun tin gi, nht l khi xy ra tnh trng cng thng thanh
khon
3.2.2 V pha Ngn hng Nh nc:
Thc thi chnh sch tin t linh hot v va : NHNN iu hnh CSTT mt
cch thn trng, ch ng v linh hot, theo nguyn tc th trng; phi hp
cht ch vi chnh sch ti kha v cc chnh sch kinh t v m khc nhm
kim sot lm pht, n nh kinh t v m Li sut v t gi c iu hnh
mc ph hp vi cc cn i kinh t v m, m bo an ton h thng, nng cao
hiu qu qun l nh nc ca NHNN. T gi v qun l ngoi hi linh hot
hn theo tn hiu th trng, ph hp vi din bin li sut, cn i hi ha
cung cu ngoi t, tng tnh thanh khon cho th trng v thc y xut
khu, hn ch nhp siu, gim dn tnh trng la ho trong nn kinh t; thc
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 24

hin a dng ha ngoi t trong thanh ton. NHNN s phi hp vi cc b,

ngnh lin quan theo di, qun l cht ch th trng vng v th trng ngoi
t.
Kim sot vic thnh lp ngn hng thng mi: C kin cho rng, hin
nay c qu nhiu ngn hng thng mi hn mc cn thit ti Vit Nam,do ,
c c mt h thng ngn hng mnh, nn sp nhp cc ngn hng nh c
nhiu hay khng nhiu s lng ngn hng thng mi khng phi l yu t
quyt nh nng lc cnh tranh ca cc ngn hng, m vn l cn kim sot
cht ch hn v nng dncc tiu chun khi thnh lp cc ngn hng mi. Lm
sao cho cc quy nh, tiu chun ny l th thch u tin v l thc o tng
i chnh xc v nng lc ca cc sng lp vin ca mt ngn hng thng mi
mi.C th ban hnh cc quy nh cht ch hn, chng hn quy nh v vic
gp vn thnh lp ngn hng ca cc tp on kinh t ln. Trong tin trnh xy
dng h thng ngn hng thng mi Vit Nam thc s vng mnh, cn ra
quy ch, quy nh i vi cc ngn hng khng p c cc chun chung; c
th tnh n vic sp nhp, mua li nhng ngn hng ny.
Tng cng v nng cao hiu qu cng tc gim st t xa hot ng ca
cc ngn hng thng mi: Cng tc gim st t xa hin nay vn c chi
nhnh Ngn hng Nh nc ti cc tnh, thnh ph thc hin. Nhng tnh xc
thc ca cc bo co gim st ny phc v cho cng tc qun l v m cha
cao, cha phn nh trung thc tnh trng hot ng ni chung v tnh trng
thanh khon ni ring ca cc ngn hng. V vy cn pht trin h thng cnh
bo sm (early warning system), s dng d liu h thng thanh ton phn
tch thanh khon, xy dng h thng ch s thanh khon,...
3.2.3 V pha cc ngn hng thng mi:
Trong bi cnh hin nay, cc ngn hng thng mi xao lng hot ng
then cht, quyt nh n s an ton trong hot ng ngn hng: l qun tr thanh
khon. Mt s gi sau c th mang li hiu qu trong hot ng qun tr thanh khon
ca cc ngn hng thng mi mc no .

GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

3.2.3.1

Trang 25

Cn i c cu v t trng ti sn n, ti sn c cho ph hp vi

nng lc:
Vic lm ny l cc k quan trng trong vic gi vng thanh khon cho Ngn
hng.
m bo vn t c mc cn thit: r rng khi thnh lp, ngn hng phi m
bo mc vn iu l cao hn mc vn php nh. y, mun

vn ,

ngn hng nn duy tr mc vn t c mt cch hp l, cn i so vi quy m v

phm vi hot ng ca ngn hng mnh, cn xy dng v m bo ch s CAR
ph hp vi quy m, phm vi hot ng v c im ca tng ngn hng.
Thc hin c cu huy ng v cho vay, t ra mt t l ph hp v huy ng
ngn hn, cho vay trung v di hn, iu chnh t l huy ng t dn c v t
cc t chc kinh t (th trng 1) v t l tham gia th trng lin Ngn hng
(th trng 2).
Xem xt u tin pht hnh cc giy t c gi cho nghip v huy ng v cc
loi giy t ny m bo cho Ngn hng c ngun vn n nh, khng bin
ng thng xuyn nh tin gi thng thng.
Hn ch cho vay tp trung vo mt s khch hng ln, hn ch tn dng vo
mt s ngnh ngh hay a phng c th, a dng khch hng v ngnh ngh
ti u ha v hn ch ri ro danh mc cho vay. Hn ch cho vay vo nhng
lnh vc c ri ro v c tnh u c cao nh chng khon, bt ng sn.
Nghim tc thc hin cc Qui nh v d tr bt buc v d tr thanh khon
ca Ngn hng Nh nc.
u tin u t vo cc ti sn d dng chuyn i thnh tin mt mt cch
nhanh chng nhng vn m bo c hiu qu kinh doanh.
3.2.3.2

Thc hin vic qun l tt cht lng tn dng, k hn tn dng, ri

ro li sut v khe h li sut:

Gim ti thiu t l n xu, n qu hn, c k hoch tm hiu khch hng v
d tr cho nhng tnh hung xu nht.
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

Trang 26

Cn thit a ra mt t l nht nh v vic ly ngun huy ng ngn hn

cho vay trung v di hn ph hp vi tng Ngn hng, tng thi k, trnh t
l qu cao dn n mt an ton thanh khon.
C nhng sn phm, dch v ph hp cho tng loi khch hng nhm gi
chn khch hng c v trnh tnh trng rt tit kim trc hn gy kh khn
cho vic cn i k hn huy ng v cho vay.
Ngy cng hon thin cc Qui ch, qui trnh gii quyt mt cch khoa hc
v hiu qu bi ton cn i k hn, hn ch ri ro li sut v khe h li sut.
3.2.3.3 Nghin cu v tm gii php cho mi quan h ri ro gia ri ro tn dng, ri
ro li sut, ri ro t gi n ri ro thanh khon c chnh sch ng n v phng
nga n mc ti a nhng thit hi do yu t thanh khon gy ra.
3.2.3.4

Lun cp nht v p dng cc cng c ti chnh hin i gim thiu ri ro

thanh khon. p dng cng c Repo cho cc khon u t l chng khon n, Future
hay Forward gim thiu nhng ri ro v s bin ng li sut, SWAP c cu li
tu sn n, ti sn c nhm hn ch tc ng ca ri ro li sut, ri ro k hn.
3.2.3.5 Cn thit phi xem Qun tr ri ro thanh khon l mt u tin hng u trong
hot ng kinh doanh ca Ngn hng bng cch nng cao nng lc qun tr ca ban
iu hnh, nng cao nng lc hoch ch v d bo c k hoch ch ng i ph
kp thi.
3.2.3.6 Xy dng c ch chuyn vn ni b ph hp:
Cc ngn hng thng mi Vit Nam trong thi gian qua khng ngng m rng mng
li hot ng. y l mt li th rt ng k so vi cc ngn hng nc ngoi khi m
chi nhnh ti Vit Nam. Tuy nhin, ngoi vic tnh bi ton chi ph -li nhun mang li
khi m cc chi nhnh, phng giao dch, cc ngn hng phi tnh n vic lun chuyn
cc dng vn gia chi nhnh, phng giao dch vi hi s chnh nh th no m
bo tnh thanh khon ca c h thng vi chi ph thpnht. Mun lm c iu ny,
cn c mt nn tng cng ngh (h thng ngn hngct li - core banking) hin i.
Do vy, khng cn cch no khc, cc ngn hng cn phi u t nhiu hn vo cng
ngh thng tin.
GVHD: Thy Trng Quang Thng

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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3.2.3.7 Xy dng i ng nhn vin c trnh , nng lc v o c ngh nghip:

Pht trin ngun nhn lc bao gi cng l mc tiu hng u ca mi t chc, doanh
nghip. Vic pht trin i ng nhn vin qun l ni chung v qun l thanh khon
ni ring l cn thit i vi bt k ngn hng thng mi no. Chnh b phn ny s
tham mu c lc cho cp lnh o ngn hng trong vic a ra ccquyt nh ng
n, kp thi nhm ngn chn, khc phc nhng ri ro pht sinh v hng hot ng
kinh doanh n nhng thnh cng mi. Do vy, ngn hng cn ck hoch tuyn dng,
o to, s dng nhn vin mt cch khoa hc, minh bch v bnh ng. t nhn vin
vo nhng v tr thch hp vi kh nng ca h l mt khu quan trng trong cng tc
cn b, nhm m bo rng chnh i ng nhn vin ny s l nhng ngi gp phn
vo thnh cng chung ca ngn hng .

GVHD: Thy Trng Quang Thng