Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comContents A. TNG QUAN................................................................................................................................4 1. Mc ch .......................................................................................................................................4 2. Khi nim ri ro v qun l ri ro .................................................................................................5 2.1 Khi nim ri ro v phn loi ri ro ........................................................................................5 2.1.1 Khi nim ri ro ...............................................................................................................5 2.1.2 Phn loi ri ro ................................................................................................................5 2.2 Qun l ri ro ..........................................................................................................................6 2.3 Chc nng qun l ri ro ........................................................................................................7 3. Nguyn tc ...................................................................................................................................7 4. H thng thng l quc t v ri ro v cc quy nh ca Ngn hng Nh nc ........................8 4.1 Basel.......................................................................................................................................8 4.2.1 S hnh thnh v hot ng ca y ban Basel ..............................................................8 4.2.2 Ni dung c bn ca Basel 2..........................................................................................9 4.2 Cc quy nh ca Ngn hng Nh nc ............................................................................. 12 5. Khung qun tr ri ro .................................................................................................................. 14 5.1 Quan im v ri ro v mc chp nhn ri ro ............................................................... 14 5.2 Hot ng gim st ca Hi ng Qun tr v Ban iu hnh ............................................ 14 5.2.1 Hi ng qun tr .......................................................................................................... 14 5.2.2 Ban iu hnh .............................................................................................................. 15 5.3 m bo c y chnh sch, th tc v cc gii hn .................................................... 15 5.4 H thng thng tin gim st v qun l ri ro thch hp ..................................................... 15 5.5 Kim ton v kim sot ni b ............................................................................................ 16 6. Quy trnh qun l ri ro .............................................................................................................. 17 6.1 Xy dng bi cnh .............................................................................................................. 17 6.2 Xc nh ri ro ..................................................................................................................... 17 6.3 o lng ri ro .................................................................................................................... 17 6.4 Qun l v x l ri ro ......................................................................................................... 18 6.5 Kim sot ri ro, xem xt v nh gi li ............................................................................ 19 7. M hnh qun tr ri ro (tham kho cc ngn hng nc ngoi) ............................................... 19 7.1. Hi ng qun tr ................................................................................................................ 19 7.2. Ban iu hnh .................................................................................................................... 19 7.3. y ban ALCO v qun l ri ro .......................................................................................... 19 7.4. Khi QLRR: ........................................................................................................................ 20 7.5 Cc n v trc tip kinh doanh v cc n v, c nhn khc ............................................ 20 B. QUN L CC LOI RI RO ................................................................................................... 20 1. Qun l ri ro tn dng ............................................................................................................... 20 1.1 Gii thiu ............................................................................................................................. 20 1.2. Gim st ca Hi ng Qun tr v Ban iu hnh ............................................................ 21 1.2.1 Hi ng qun tr .......................................................................................................... 21 1.2.2 Ban iu hnh .............................................................................................................. 22 1.3 Chin lc tn dng, chnh sch v cc gii hn tn dng ................................................. 22 1.3.1 Chin lc tn dng ..................................................................................................... 22 1.3.2 Chnh sch tn dng ..................................................................................................... 23 1.3.3 Tiu chun cp tn dng .............................................................................................. 23 1.3.4 Cc gii hn tn dng ................................................................................................... 24 1.3.5 C cu t chc ............................................................................................................ 24 1.3.6 Ph duyt cc khon tn dng mi v m rng tn dng hin ti ................................ 25 1.3.7 Qun l tn dng ........................................................................................................... 25 1.3.8 Kim tra v gim st tn dng ...................................................................................... 26 1.4 H thng xp hng tn dng ni b v cc cng c o lng ri ro tn dng ..................... 26 1.4.1 H thng xp hng tn dng ........................................................................................ 26 1.4.2 Cc cng c o lng ri ro tn dng .......................................................................... 26 1.5 H thng thng tin qun l .................................................................................................. 30

1

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com1.6 Kim sot v kim tra tn dng ............................................................................................ 30 1.7 Cc bo co ........................................................................................................................ 30 2. Qun l ri ro thanh khon ........................................................................................................ 30 2.1. Gii thiu ............................................................................................................................ 30 2.2. Gim st ca Hi ng Qun tr v Ban iu hnh ............................................................ 32 2.2.1 Hi ng qun tr .......................................................................................................... 32 2.2.2 Ban iu hnh .............................................................................................................. 32 2.2.3 Vai tr ca y ban ALCO v QLRR ............................................................................. 32 2.3 Chin lc qun l ri ro thanh khon ................................................................................ 33 2.4. Chnh sch, quy trnh v hn mc ................................................................................. 33 2.4.1 Chnh sch thanh khon .............................................................................................. 33 2.4.2 Quy trnh v gii hn ................................................................................................... 34 2.5. o lng v theo di ri ro thanh khon .......................................................................... 34 2.5.1. o lng v theo di ri ro thanh khon .................................................................... 34 2.5.2.Qun l thanh khon ngoi t ...................................................................................... 39 2.5.3. Qun l tip cn th trng ......................................................................................... 39 2.5.4. Xem xt cc gi nh trong qun l thanh khon ........................................................ 39 2.5.5 Kim tra khng hong .................................................................................................. 39 2.6. H thng thng tin qun l ................................................................................................. 39 2.7 Kim sot ni b.................................................................................................................. 40 2.8 Bo co ri ro thanh khon ................................................................................................ 41 3.Qun l ri ro li sut .................................................................................................................. 42 3.1 Gii thiu ............................................................................................................................. 42 3.2. Gim st ca Hi ng Qun tr v Ban iu hnh ............................................................ 44 3.2.1 Hi ng qun tr .......................................................................................................... 44 3.2.2 Ban iu hnh .............................................................................................................. 45 3.2.3 Vai tr ca y ban ALCO v QLRR ............................................................................. 45 3.3 Chin lc qun l ri ro li sut ........................................................................................ 45 3.4 Chnh sch, th tc v cc gii hn .................................................................................... 46 3.4.1 Chnh sch v th tc .................................................................................................. 46 3.4.2 Cc gii hn ................................................................................................................. 46 3.5 o lng, gim st ri ro v kim tra khng hong ............................................................ 47 3.5.1 o lng v gim st ri ro ......................................................................................... 48 3.5.2 Kim tra khng hong .................................................................................................. 57 3.6 H thng thng tin qun l .................................................................................................. 57 3.7 Kim sot ni b.................................................................................................................. 58 3.8 Cc bo co ........................................................................................................................ 59 4. Qun l ri ro t gi.................................................................................................................... 59 4.1 Gii thiu ............................................................................................................................. 59 4.2. Gim st ca Hi ng qun tr v Ban iu hnh ............................................................ 59 4.3 Chin lc i vi hot ng t gi .................................................................................... 60 4.4 Chnh sch, quy trnh v hn mc ...................................................................................... 60 4.4.1 Chnh sch v quy trnh ............................................................................................... 60 4.4.2 Hn mc ...................................................................................................................... 60 4.5 o lng v kim sot ........................................................................................................ 61 4.5.1 o lng v gim st ri ro ........................................................................................ 61 4.5.2 Kim tra khng hong .................................................................................................. 62 4.5.3 Gim st v kim sot ri ro ........................................................................................ 62 4.6 Kim sot ni b v kim ton c lp ............................................................................... 62 4.7 Cc bo co ri ro ............................................................................................................... 63 5. Qun l ri ro gi ....................................................................................................................... 63 5.1 Gii thiu ............................................................................................................................. 63 5.2 Gim st ca Hi ng qun tr v Ban iu hnh ............................................................. 64 5.3 Chin lc qun l ri ro gi ............................................................................................... 64 5.4 Chnh sch, th tc v hn mc ......................................................................................... 64 5.4.1 Chnh sch v th tc .................................................................................................. 64 5.4.2 Hn mc ...................................................................................................................... 64

2

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com5.5 o lng v gim st .......................................................................................................... 64 5.5.1 Kim tra tnh hp l ca gi v nh gi theo gi tr th trng .................................. 64 5.5.2 Gi tr ri ro - VaR ........................................................................................................ 64 5.5.3 H s beta .................................................................................................................... 65 5.5.4 Mc cnh bo MAT (Management Action Trigger) ..................................................... 65 5.6 H thng thng tin qun l .................................................................................................. 65 5.7 Kim sot v kim ton ni b ............................................................................................ 65 5.8 Cc bo co ........................................................................................................................ 65 6. Qun l ri ro hot ng ............................................................................................................ 66 6.1 Gii thiu ............................................................................................................................. 66 6.2 Gim st ca Hi ng qun tr v Ban iu hnh ............................................................. 66 6.3 Chin lc qun l ri ro hot ng .................................................................................... 67 6.4 Chnh sch v th tc.......................................................................................................... 67 6.5 Xc nh, nh gi, gim st, kim sot ............................................................................. 68 6.5.1 Xc nh ri ro .............................................................................................................. 68 6.5.2 Cc cng c nh gi ri ro ......................................................................................... 68 6.5.3 Gim st v kim sot ................................................................................................. 69 6.6 Kim sot ni b.................................................................................................................. 71 6.7 Cc bo co ........................................................................................................................ 72 7. Qun l ri ro danh ting ........................................................................................................... 73 7.1 Gii thiu ............................................................................................................................. 73 7.2 Chnh sch v th tc.......................................................................................................... 73 7.3 Qun l v gim st ri ro danh ting ................................................................................. 74 7.4 Phng php phn tch ...................................................................................................... 74 7.5 Vai tr v trch nhim ......................................................................................................... 74 8. Qun l ri ro tun th ............................................................................................................... 75 8.2 Gim st ca Hi ng qun tr v Ban iu hnh ............................................................. 75 8.3 Chnh sch v th tc.......................................................................................................... 76 8.4 Cc cng c nh gi.......................................................................................................... 76 8.5 Gim st tun th v bo co ............................................................................................. 77 C. MT S RI RO IN HNH TI CC NGN HNG TRN TH GII ............................... 78 1. Ri ro hot ng ti ngn hng Barings (1995) ................................................................... 78 2. Ri ro thanh khan ca cc ngn hng Agrentina 2001 ...................................................... 78 3. Ri ro ti cc ngn hng Nga 2004 ...................................................................................... 79 4. Ri ro ti mt s ngn hng trong nc .............................................................................. 79 5. Ri ro ti Northern Rock 2007 ri ro thanh khon v ri ro danh ting ........................... 80 6. Ri ro ca mt s ngn hng trong cuc khng hong 2007-2009 ..................................... 80 D. ALM v ALCO ........................................................................................................................... 82 E. TNG KT ................................................................................................................................ 83

3

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comA. TNG QUAN 1. Mc ch Cng vi qu trnh hi nhp quc t, t do ha ti chnh, loi b cc ro cn thng mi, ti chnh v gianh gii ton cu dn n s tng trng nhanh chng, a dng v phc tp trong hot ng ngn hng. Hot ng ngn hng i mt vi ngy cng nhiu ri ro, nh ri ro tn dng, ri ro th trng v thanh khon, ri ro hot ng, php l v cc loi ri ro khc. Cc ri ro ny c lin quan mt thit vi nhau v nh hng ti nhau. S xut hin ca ri ro ny c th ko theo s xut hin ca ri ro khc. ng thi c quan gim st v qun l ngn hng tp trung hn vo vic qun l ri ro v kh nng sinh li ca cc ngn hng. iu ny i hi cc ngn hng phi tp trung v quan tm nhiu hn ti vic qun l ri ro. Cc cuc khng kinh t ti chnh ton cu ngy cng tc ng mnh m n mi lnh vc v ngnh ngn hng ti chnh l ngnh chu tc ng u tin v mnh m, c hng nghn ngn hng b xa s mc d c nhng ngn hng vi lch s hng trm nm pht trin vi kinh nghim, i ng lnh o v vn ln hng u th gii. Ri ro l khng th trnh khi i vi bt k ngn hng no, hot ng kinh doanh ca ngn hng vn gn lin vi ri ro v th khng th loi tr ri ro m phi qun l ri ro sao cho hn ch ti mc thp nht c th chp nhn c v xa hn l qun l ri ro to ra li ch cho ngn hng bi ri ro gn lin vi li nhun. Tt nhin iu ny ty thuc vo khu v ri ro ca tng ngn hng. Cc chnh sch v qun l ri ro cn xc nh r cc loi ri ro c qun l, quy nh c cu t chc v cung cp vic o to ngun nhn lc cn thit ph hp vi cc cp qun l ri ro. Chnh sch a ra cn m bo o lng c hiu qu v ph hp vi c cu qun l ri ro, duy tr cc bin php khc nhau cng c, tng cng s tinh vi ca h thng qun l ri ro trong vic a ra cc cnh bo sm v c hnh ng kp thi cng nh cc gii php d phng. Qun l ri ro phi l mt qu trnh lin tc ti tt c cc cp ca t chc tn dng v ng vai tr quan trng i vi kh nng thc hin cc mc tiu, duy tr kh nng ti chnh v tr n ca t chc Basel 2. ng thi hnh thnh nn vn ha kim sot ri ro ti Ngn hng , mi cn b nhn vin u coi qun l ri ro l trch nhim ca mnh cc mc v phm vi khc nhau. Qun l ri ro ca ngn hng ng trn nhiu gc khc nhau v cn xem xt qun l ri ro mi cp . Cu trc qun l ri ro theo thng l mi gm ba hng phng th: hng th nht bn thn b phn kinh doanh (b phn trc tip chp nhn ri ro), hng th hai l chc nng qun l ri ro c lp v hng th ba l b phn kim sot ni b. Khi Qun l Ri ro l b phn c lp v tch khi chc nng kinh doanh, khng phi l b phn chp nhn ri ro. Hot ng ch yu ca Khi Qun l Ri ro mang tnh cht gim st v cnh bo ton b hot kinh doanh ca h thng xem c tun th theo chnh sch kim sot ri ro do Ban lnh o ra khng. T bo co kp thi, y v chnh xc ln cc cp lnh o cc biu hin sai phm c th dn n thit hi cho ngn hng.

4

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com2. Khi nim ri ro v qun l ri ro 2.1 Khi nim ri ro v phn loi ri ro 2.1.1 Khi nim ri ro Theo nh ngha truyn thng ri ro l nhng s kin xy ra c th lm cho mt mt ti sn hay lm pht sinh mt khon n. nh ngha v ri ro hin i hn bao hm ngha rng hn v khng ch tnh n ri ro ti chnh m cn bao gm c nhng ri ro lin quan n nhng mc tiu hot ng v mc tiu chin lc. Ri ro l kh nng nhng s kin cha chc chn trong tng lai s lm cho ch th khng t c nhng mc tiu chin lc v mc tiu hot ng, cng nh chi ph c hi ca vic lm mt nhng c hi th trng. Ri ro khng ch gy tn tht v vn, ti sn ca ngn hng m cn nh hng xu ti mc tn nhim v thng hiu ca ngn hng. Chp nhn ri ro l trung tm ca hot ng ngn hng. Cc ngn hng cn phi nh gi cc c hi kinh doanh da trn mi quan h ri ro-li ch nhm tm ra nhng c hi t c nhng li ch xng ng vi mc ri ro chp nhn. Ngn hng s hot ng tt nu mc ri ro m ngn hng gnh chu l hp l v kim sot c v nm trong phm vi kh nng cc ngun lc ti chnh v nng lc tn dng ca ngn hng. 2.1.2 Phn loi ri ro Ri ro rt a dng v c th c phn tch theo nhiu kha cnh khc nhau. Trong phm vi cc hot ng ca Ngn hng, nhng ri ro c bn xt n gm: Ri ro tn dng l l kh nng xy ra tn tht ca Ngn hng do khch hng ca Ngn hng khng thc hin hoc khng c kh nng thc hin ngha v ca mnh theo cam kt. Gia mc ri ro tn dng v cht lng danh mc cho vay ca ngn hng c mi lin h trc tip. Mt ngn hng c s lng cc khon cho vay khng thu hi c nhiu mt cch bt thng s c coi nh c danh mc cho vay vi mc ri ro tn dng cao. Cch phng nga ri ro tn dng tt nht l thc hin vic qun l danh mc, bao gm c vic xy dng cc chun mc cp tn dng v chnh sch a dng ha ph hp. Ri ro thanh khon l loi ri ro dn n tn tht v/hoc mt kh nng thanh ton cho Ngn hng khi Ngn hng khng vn kh dng vi chi ph hp l v/hoc khng th bn ti sn vi chi ph hp l v/hoc phi huy ng cc ngun vn vi chi ph cao vo ng thi im m Ngn hng cn p ng cc ngha v thanh ton, ti chnh m Ngn hng phi thc hin.Ri ro thanh khon ln nht khi ngn hng khng th d kin c nhu cu vay vn mi hay nhu cu rt tin gi, v ngn hng khng th tip cn c cc ngun b sung tin mt, v d nh thng qua mt hn mc tn dng k kt. (cc ngun nh cc khon cam kt, ri ro tp trung hay c cu ti sn c v ti sn n). Ri ro th trng l loi ri ro b tn tht ti sn, xy ra khi li sut, t gi hay gi c th trng bin ng theo chiu hng xu, v d nh t gi hi oi, t l li sut, gi c

5

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comphiu. Do ri ro th trng bao trm mt phm vi rt rng, nn ri ro th trng s c chia ra lm ba loi ri ro c th nh hn l ri ro t gi, ri ro li sut v ri ro gi c: o o o Ri ro t gi: l kh nng xy ra nhng bin ng ca t gi dn n tc ng bt li cho cc hot ng kinh doanh, thu nhp v/hoc gi tr rng ca Ngn hng. Ri ro li sut: l kh nng xy ra nhng bin ng ca li sut dn n tc ng bt li ti hot ng kinh doanh, thu nhp v/hoc gi tr rng ca Ngn hng. Ri ro gi c (tr cc ri ro th trng trn): l kh nng xy ra nhng bin ng ca gi c dn n tc ng bt li ti hot ng kinh doanh, thu nhp v/hoc gi tr rng ca Ngn hng. Ri ro hot ng (cn gi l ri ro vn hnh, hoc ri ro tc nghip) l ri ro gy tn tht do nguyn nhn cc quy trnh ni b, con ngi v cc h thng khng y hoc sai lm, hoc bi cc yu t, s kin bn ngoi. Ri ro chin lc l ri ro pht sinh t s bt lc ca ngn hng thc hin k hoch kinh doanh, chin lc, quyt nh, phn b ngun lc thch hp v kh nng khng thch ng vi nhng thay i trong mi trng kinh doanh ca mnh. Ri ro tun th l ri ro c th pht sinh t cc vi phm hay s khng tun th cc lut, cc quy ch, cc quy nh hoc cc thng l, hoc khi cc quyn li cng nh ngha v hp php ca cc bn c thit lp. Ri ro tun th khng ch gm tun th php l m cn c cc chun mc o c ngh nghip do cc hip hi a ra. Ri ro danh ting l ri ro pht sinh nhng quan im tiu cc ca cng chng v ngn hng (khi cc thng tin khng tt v ngn hng c cng khai) dn n tnh trng thit hi v ngun huy ng vn, mt khch hng, gim thu nhp. Ri ro danh ting c th ko theo nhng hnh ng gy nn tnh trng ko di quan nim khng tt trong dn chng v hot ng chung ca ngn hng, v nh vy kh nng thit lp v duy tr mi quan h khch hng s tr nn kh khn v c th lm xi mn lng tin ca cng chng vo ngn hng. Mi loi ri ro trn li c th c nhn nhn theo nhiu kha cnh khc nhau v cn c o lng v qun l ph hp vi cc c im ring bit ca tng loi ri ro. 2.2 Qun l ri ro Qun l ri ro l n lc nhm xc nh/nhn dng, o lng, theo di, gim st v qun l s khng chc chn (bao gm c vic la chn trin khai cc bin php nhm hn ch, kim sot ri ro ca Ngn hng). Mc tiu ca qun l ri ro l gim mc ri ro thuc nhng ngnh/ni dung c la chn xung mt mc c chp nhn xc nh trc. Theo cch suy ngh hin i, qun l ri ro khng ch n thun tun th quy nh v kim sot ni b m tr thnh mt phn khng th tch ri trong mi quyt nh kinh doanh v vn ha ri ro mang tnh c trng ca mi nh ch ti chnh. K nng qun l ri ro thay v cch tip cn hu kim chuyn sang cch tip cn ri ro mang tnh phng nga, d bo trc v c s la chn. Cc quyt nh kinh doanh da trn c s ri ro. Thay v qun l ri ro vi vai tr l tc nhn hn ch chuyn sang qun l ri ro ng vai tr l tc nhn gip ch. Vic tip cn ri ro ca ngn hng theo cc loi ri ro, gm ri ro tn dng, ri ro th trng, ri ro thanh khon, ri ro hot ng, ri ro khc v qun l tng loi ri ro theo c im ca

6

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comchng. Ngoi vic qun l tng ri ro ring, ngn hng thnh lp mt y ban qun l ri ro xc nh v nh gi ri ro tng th. Trong trng hp cn thit, a ra cc phn ng thch hp v gi ri ro trong gii hn c y ban qun l ri ro chp nhn, cn a ra cc yu t nh tnh v nh lng. Cn xc nh c cc nhm ri ro v c khung phn b vn ri ro. C th hn cn phn b vn ri ro ti cc cng ty con ca ngn hng v kim sot ri ro trong gii hn t cho mi cng ty con. Ri ro vn c giao cho cc cng ty con theo th loi ri ro v c th hn l giao ti cc n v kinh doanh ca cc cng ty ny. Cc ri ro trn c a ra theo loi ri ro, tuy nhin nhiu ti sn c th bao gm nhiu loi ri ro, v d tri phiu ngoi t c th gm c ri ro tn dng, ri ro li sut v ri ro v t gi. Vic nh gi ti sn c tnh cht nhiu ri ro cn kt hp cc ri ro. Xt trn qui m ton h thng, cn ch r cc ti sn c nhiu ri ro v nh hng trng yu n hot ng ca ngn hng. Qun l ri ro l mt qu trnh lin tc cn phi c ph bin ti ton th nhn vin cc mc khc nhau v n gp phn hnh thnh nn vn ha kim sot ri ro ti Ngn hng. Walter Wriston (1993), cu ch tch & CEO ca citibank/citicorp nh gi v vai tr ca qun l ri ro ca ngn hng: thc t cc chuyn vin ngn hng ang trong mt ngnh kinh doanh v qun l ri ro. Ni mt cch trc tip v n gin, chnh l cng vic ca ngn hng. 2.3 Chc nng qun l ri ro Xy dng chin lc qun l ri ro v khu v ri ro; Xc nh cc ri ro hin hnh, ri ro cha pht hin v cc ri ro mi; Xy dng chnh sch, quy ch, quy trnh, th tc, hn mc v c ch kim sot ri ro; Xy dng v pht trin h thng thng tin qun l, h thng o lng, nh gi ri ro, cc bin php phng chng, gim thiu ri ro; Gim st m bo vic tun th quy nh v hn mc t ra; o to nhn vin, cp nht v qun l ri ro v t nh gi hiu qu qun l ri ro; Bo co kt qu gim st ri ro. 3. Nguyn tc Qun l ri ro c gn vi hot ng qun tr tng th, thng xuyn, lin tc v xuyn sut trong ton h thng; Qun l ri ro phi theo thng l quc t v c chun ha Theo thng l quc t, mt h thng qun l ri ro lnh mnh phi c: o C s gim st ca Hi ng Qun tr v Ban iu hnh (BOM); o C chnh sch, quy trnh v hn mc thch hp v y (PPL);

7

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.como o C cc h thng thng tin qun l (MIS), h thng theo di gim st v o lng ri ro thch hp; Kim sot ni b ton din (ICs).

Qun l ri ro i vi tt c cc hot ng ca ngn hng v hnh thnh vn ha kim sot ri ro trong qun tr v cn c ngun lc thc hin; Mc tiu ca qun l ri ro khng phi l gim thiu ri ro v mc bng khng m l ti u ha quan h nh i gia li nhun v ri; ri ro phi c qun l, khng phi loi b ri ro; ri ro n do s la chn ch khng phi tnh c; Kt hp qun l ri ro theo hng hin i v truyn thng: trc khi ra quyt nh kinh doanh qun l ri ro c nhn trn gc hin i, tuy nhin sau khi ra quyt nh cn s dng thm qun l ri ro theo cch truyn thng; Qun l ri ro khng n thun b phn qun l ri ro hi s m cn ph bin ti ton b nhn vin, trong c bit l b phn kinh doanh trc tip v c cc chun mc o c ngh nghip. 4. H thng thng l quc t v ri ro v cc quy nh ca Ngn hng Nh nc 4.1 Basel 4.2.1 S hnh thnh v hot ng ca y ban Basel y ban Basel c thnh lp nm 1974 bi thng c ngn hng trung ng ca 10 nc (G10). Hin nay, cc thnh vin ca y ban ny gm cc nc: Anh, Php, , c, B, H Lan, Ty Ban Nha, Thy in, Thy S, Lucxemembourg, M, Canada v Nht. Cc quc gia c i din bi ngn hng trung ng hay c quan gim st hot ng ngn hng. y ban ny nhm hp nh k mi nm 4 ln. y ban cn gm 25 nhm k thut v mt s b phn c nhm hp thng xuyn thc hin cc cng vic ca y ban. Hi ng th k ca y ban c xut bi Ngn hng Thanh ton Quc t (BIS) Basel. Hi ng th k 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. y ban Basel khng c bt k c quan gim st no v nhng kt lun ca n khng c tnh php l v yu cu tun th vi vic gim st hot ng ngn hng. y ban ny ch xy dng v cng b nhng tiu chun v nhng hng dn gim st rng ri, ng thi gii thiu cc bo co thc tin tt nht cho cc t chc. y ban ny khuyn khch vic p dng cch tip cn v cc tiu chun chung m khng c gng can thip vo cc k thut gim st ca cc nc thnh vin. y ban bo co cho thng c ngn hng trung ng hay c quan gim st hot ng ngn hng ca cc nc thnh vin. T tm kim s hu thun cho nhng sng kin ca y ban. Mt mc tiu quan trng 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 thot khi s gim st. (2) vic gim st phi tng xng.

8

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comNm 1988, y ban gii thiu h thng o lng vn m n c cp nh l Hip c vn Basel (the Basel Capital Accord) hay Basel 1. H thng ny cung cp khung o lng ri ro tn dng vi tiu chun vn ti thiu l 8%. N c ph bin rng ri trong cc nc thnh vin v cc nc khc. Nm 1997, y ban a ra cc nguyn tc nng ct cho vic gim st hot ng ngn hng hiu qu - gm 25 nguyn tc, n cung cp khung kh cho h thng gim st hiu qu. xc tin cho vic thc hin v nh gi, thng 10/1999, 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. Thng 6/1999, y ban Basel ban hnh xut khung o lng mi - chng trnh t vn ln th nht (First Consultative Package CP1) vi 3 tr ct chnh: - Tr ct 1: Cc yu cu vn ti thiu - Tr ct 2: Quy trnh xt duyt gim st - Tr ct 3: K lut th trng Chng trnh t vn ln 2 (CP2) v ln 3 ln lt c hon thnh vo 1/2001 v thng 4/2003. n qu 4/2003 phin bn hon thin ca Basel 2 c a ra v Basel 2 chnh thc c ban hnh vo ngy 26/06/2004, c hiu lc t thng 1/2007. 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. So snh Basel 1 v Basel 2 STT 1 Ch tiu Cu trc v ni dung Tnh linh ng ca ng dng Nhy cm vi ri ro Basel 1 Tp trung vo mt loi ri ro n gin Ch c mt khun mu cho tt c i tng o c ri ro s b C 4 trng s: 0%, 20%, 50%, 100%, u i hn vi cc nc OECD 5 K thut gim ri ro tn dng Ch h tr v m bo Basel 2 Ba ct tr nhn mnh hn v phng php lun ni ti ca ngn hng, nh gia ca c quan gim st v nguyn tc th trng Linh hot hn, mt lot cc cch tip cn. C c ch khuyn khch i vi qun l ri ro tt hn Tng nhy vi ri ro C 5 trng s 0%, 20%, 50%, 100%, 150% v c th hn, khng c c quyn no, bao gm c phn cp bn trong v bn ngoi Nhiu k thut hn nh h tr, m bo, phi sinh tn dng, lp mng li v th (position netting)

2

3

4

Trng s ri ro

4.2.2 Ni dung c bn ca Basel 2

9

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comMc tiu ca hip c Basel 2 v vn l: o o o o o Tng cng an ton v lnh mnh i vi h thng ti chnh; Tip tc m rng cnh tranh cng bng; To nn phng php ton din hn xc nh ri ro; a ra mc vn ti thiu nhy cm hn vi ri ro; a ra cc khuyn khch vi cc ngn hng nhm m rng kh nng o lng ri ro;

Ni dung chnh ca Basel 2 gm:

Khi qut 3 tr ct ca hip c Basel 2: Tr ct 1 Cc yu cu vn ti thiu Ban hnh nhng mc chun ti thiu i vi qun tr vn trn mt c s nhy cm hn vi cc ri ro: - Ri ro tn dng - Ri ro vn hnh - Ri ro th trng Tr ct 2 Quy trnh xt duyt gim st Tng thm trch nhim v mc quyn t quyt i vi cc xt duyt gim st v kim sot b p: - nh gi chin lc vn ti thiu ca ngn hng - Xc nhn cc m hnh ni - Mc chi ph vn - Theo di phng v cc mc vn v m bo hnh ng chng Tr ct 1: Cc yu cu vn ti thiu Tr ct 3 K lut th trng - Ngn hng c yu cu tng cng cng khai thng tin, c bit cc ch s o lng ri ro tn dng v hot ng. - M rng ni dung v tng tnh minh bch i vi th trng v cc cng b ti chnh

10

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comTr ct ny lin quan ti vic duy tr vn an ton ti thiu. Lng vn duy tr c tnh ton theo ba yu t ri ro chnh m ngn hng phi i mt l ri ro tn dng, ri ro hot ng/ vn hnh v ri ro th trng. Nhng loi ri ro khc khng c coi l c th lng ha hon ton bc ny. Trong tr ct ny Basel 2 cp ti cch tnh yu cu vn ti thiu, cc cu thnh ca vn vn (vn cp 1, cp 2 v cp 3), cch tnh yu cu vn i vi ri ro tn dng, ri ro hot ng, ri ro th trng. Theo quy nh trong Basel, mt t chc ti chnh c gi l vn khi h s vn (Capital Adequacy Ratio CAR) t ti thiu 4% i vi vn cp 1 v 8% i vi vn cp 2. H s CAR c tnh nh sau: CAR = vn ngn hng/ti sn c iu chnh ri ro Vn ngn hng: c chia thnh hai cp, vn cp 1 (tier 1) v vn cp 2 (tier2). Vn cp 1 bao gm vn c phn thng v d tr c cng b. Vn cp 2 gm d tr khng c cng b, d tr ti sn nh gi li, d phng chung/d phng tn tht cho vay chung, cc cng c vn lai (gia n v vn ch s hu, v d tri phiu chuyn i), n th cp. Gii hn i vi vn cp 2 c a vo tnh ton t l vn khng c qu 100% vn cp 1; n th cp ti a bng 50% vn cp 1; d phng chung ti a bng 1,25% ti sn c ri ro; d tr ti sn nh gi li c chit khu 55%; thi gian o hn cn li ca n th cp ti thiu l 5 nm; vn ngn hng khng bao gm vn v hnh (goodwill). Ti sn c iu chnh ri ro: Mi loi ti sn c gn cho mt trng s ri ro. Vic xp trng s bao nhiu ty thuc mc tn nhim ca ch n. Mt im khc bit gia basel 1 v basel 2 l n the basel 2 c chia thnh 5 nhm: nhm 0%, 20%, 50%, 100% v 150%; basel 1 ch c 4 nhm u). Ti Vit Nam ang p dng trng s ri ro ca ti sn c chia thnh 5 mc l 0%, 20%, 50%, 100% v 150% (quyt nh 457/2005/Q - NHNN v cc quyt nh sa i, b dung nh quyt nh 03/2007/Q -NHNN, quyt nh s 34/2008/Q NHNN) ty theo mc ri ro ca tng loi ti sn. Tr ct 2: Quy trnh xt duyt gim st Tr ct ny hot ng tp trung vo vic xy dng h thng qun l ri ro cho ngn hng v cc nh hoch nh chnh sch. Quy trnh kim tra kim sot trong Basel 2 khng ch m bo rng ngn hng c vn gii quyt tt c cc ri ro trong hot ng kinh doanh m cn khuyn khch ngn hng pht trin v s dng k thut qun l ri ro tt hn trong vic kim sot v qun l cc loi ri ro. Tr ct ny cng cung cp mt khung gii php cho cc ri ro khc m ngn hng phi i mt nh ri ro h thng, ri ro chin lc, ri ro danh ting, ri ro thanh khon v ri ro tun th/php l m Basel tng hp li di ci tn ri ro cn li residual risk. Bn nguyn tc chnh ca tr ct 2: - Ngn hng nn c quy trnh nh gi s thch hp ca tng vn v h s ri ro ca ngn hng v mt chin lc duy tr cc mc vn khc nhau. - Nhng ngi gim st cn kim tra li v nh gi cc chin lc, nh gi mc vn thch hp ni b ca ngn hng, cng nh kh nng gim st v m bo tun th cc mc vn iu tit. Nhng ngi gim st cn phi c nhng hnh ng gim st ph hp nu h khng tha mn vi kt qu cua quy trnh nh gi. - Kim sot 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.

11

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com- Kim sot 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 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. Tr ct 3: K lut th trng Tr ct ny tp trung vo vic a 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. iu ny gip th trng c mt bc tranh hon thin hn v v th ri ro tng th ca ngn hng v cho php i tc ca ngn hng nh gi chnh xc hn v ngn hng.

4.2 Cc quy nh ca Ngn hng Nh nc Ngy 27/5/2009, Th tng Chnh ph ban hnh Quyt nh s 83/2009/Q-TTg quy nh chc nng, nhim v, quyn hn v c cu t chc ca C quan Thanh tra, gim st ngn hng trc thuc NHNN. y l mt c quan cp tng cc trc thuc NHNN, c thnh lp trn c s sp nhp mt s V, Cc ca NHNN. C quan ny c chc nng thanh tra hnh chnh, thanh tra chuyn ngnh v gim st chuyn ngnh v ngn hng trong cc lnh vc thuc phm vi qun l nh nc ca NHNN; tham mu, gip Thng c NHNN qun l nh nc i vi cc TCTD, t chc ti chnh quy m nh, hot ng ngn hng ca cc t chc khc; thc hin phng, chng ra tin theo quy nh ca php lut. Theo Quyt nh ny, thng qua hot ng gim st ngn hng, trong trng hp pht hin cc vi phm quy nh an ton hot ng ngn hng v quy nh ca php lut hoc c du hin mt an ton hot ng, C quan Thanh tra, gim st ngn hng p dng ngay cc bin php ngn chn v x l theo thm quyn hoc kin ngh c quan nh nc c thm quyn x l theo quy nh ca php lut. Ni dung gim st c xy dng vi cc Quyt nh s 398/1999/Q-NHNN3 v hot ng gim st t xa, Quyt nh s 06/2008/Q-NHNN v xp loi NHTM c phn, Quyt nh s 457/2005/Q-NHNN v cc t l bo m an ton trong hot ng ngn hng, Quyt nh s 493/2005/Q-NHNN v phn loi n, trch lp v s dng d phng x l ri ro,....

i chiu vic thc hin cc nguyn tc gim st ca Basel trong hot ng gim st ca NHNN Nguyn tc s 1. 2. 3. Cc nguyn tc c bn ca Basel v gim st ngn hng hiu qu Chc nng, nhim v, s c lp, s minh bch v hp tc Phm vi hot ng ngn hng Cc tiu ch cp php Cha p ng X X X

p ng

ang xc tin

12

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. Chuyn i quyn s hu ln Cc sp nhp c bn An ton vn Quy trnh qun tr ri ro Ri ro tn dng Cc ti sn c vn , d tr v d phng Gii hn tn dng vi khch hng ln Nguy c ri ro i vi cc bn lin quan Ri ro chuyn i v ri ro chnh tr Ri ro th trng Ri ro thanh khon Ri ro hot ng Ri ro li sut trong ghi s ca ngn hng Kim ton v kim sot ni b Phng trnh ri ro trong dch v ti chnh Phng php gim st K thut gim st Thng tin bo co gim st Ch k ton v cng b thng tin Thc hin yu cu v kt lun thanh tra gim st Gim st tng th Phi hp gim st trong v ngoi nc X X X X X X X X X X X X X X X X X X X X X X

13

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comTng 6 13 (Ngun: www.sbv.gov.vn) 6

5. Khung qun tr ri ro 5.1 Quan im v ri ro v mc chp nhn ri ro Ri ro i lin vi li nhun, v chnh l s nh i. Khi a ra khu v ri ro cn xem xt kh nng ri ro, tnh trng ti chnh, sc mnh ca thu nhp li v kh nng n hi ca uy tn v thng hiu, kh nng qun l ri ro ca tng ngn hng. Khu v ri ro c th c nh ngha l kh nng, cch thc, mc v phm vi chp nhn ri ro nhm t c nhng mc tiu hot ng, kinh doanh m ngn hng theo ui. Khu v ri ro c m t nh lng vi mi ri ro v c a vo trong chin lc ca ngn hng. Khu v ri ro l trung tm ca vic tip cn ri ro, qun l vn v kinh doanh ca ngn hng. N bao gm c kha cnh li v bt li. Trong mi giai on cn xc nh r khu v ri ro, v nh gi mc ri ro mong mun c xng ng vi li ch, mc tiu tng trng khng v ph hp vi mc tiu chin lc ca cng ty v cc bn lin quan khng. Khu v ri ro thc hin thng qua cc cc gii hn hot ng kim sot mc ri ro do ngn hng, cc vng v nhm khch hng. 5.2 Hot ng gim st ca Hi ng Qun tr v Ban iu hnh 5.2.1 Hi ng qun tr Hi ng qun tr chu trch nhim cui cng v quyt nh v mc ri ro m Ngn hng c th chp nhn c. ng thi, HQT chu trch nhim v qun l, hng dn v gim st i vi Ban iu hnh, thit lp v duy tr h thng kim sot ni b hot ng tt v hiu qu. lm iu ny, HQT cn phi: Ph duyt cc chin lc kinh doanh tng th v cc chnh sch, gii hn v qun l ri ro ca Ngn hng v nh k c xem xt nh gi li; Ch ng theo di tnh hnh thc hin v danh mc ri ro ca Ngn hng; nh k r sot thng tin nm bt v nh gi tt c cc loi ri; Xy dng c cu t chc ph hp; Bo m Ban iu hnh thc hin y cc bc cn thit xc nh, nh lng, gim st v qun l ri ro; Bo m Ban iu hnh gim st c hiu qu ca h thng kim sot ni b.

14

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com m bo hon thnh tt nhim v ca minh, Hi ng qun tr nn phn trch nhim cho mt b phn chuyn trch v Qun l ri ro - U ban Qun l ri ro, c iu hnh bi mt thnh vin Hi ng qun tr khng phi l gim c iu hnh v c kin thc v qun l ri ro. 5.2.2 Ban iu hnh Ban iu hnh thc hin cc nhim v c Hi ng qun tr giao. Trch nhim ca Ban iu hnh nh sau: Thc hin cc chin lc v chnh sch c Hi ng qun tr ph duyt; Xy dng cc quy trnh nhm xc nh, o lng, gim st v kim sot nhng ri ro pht sinh trong hot ng ca ngn hng; Duy tr mt c cu t chc phn cng r chc nng, nhim v, v trch nhim bo co trnh nhng trng hp mu thun v quyn li; Bo m nhng chc nng nhim v c phn cng c thc hin mt cch hiu qu; Xy dng nhng chnh sch kim sot ni b ph hp; Gim st tnh hiu qu v y ca h thng kim sot ni b. 5.3 m bo c y chnh sch, th tc v cc gii hn Ngn hng cn c y chnh sch, th tc v cc gii hn v ri ro. Mi loi ri ro cn c xc nh ng cch, m bo c chnh sch v th tc y nhn din, nh gi, o lng, kim sot v phng chng thch hp. ng thi cc chnh sch, th tc v cc gii hn cn chnh sa kp thi ph hp vi s thay i trong mi trng hot ng ngn hng. Cc yu cu i vi chnh sch, th tc v cc gii hn: o o o o C cc tiu chun v xc nh ri ro, o lng, gim st v kim sot nhng ri ro t cc hot ng quan trng ca mnh; Ph hp vi kinh nghim ca cp qun l ca ngn hng, ph hp vi cc tuyn b v mc tiu ca ngn hng v sc mnh ti chnh tng th ca ngn hng; Phn r quyn v trch nhim ca cc cp, cn b trong hot ng; C chnh sch xem xt li cc hot ng mi ca ngn hng m bo ngn hng c c s h tng cn thit xc nh, gim st v kim sot ri ro lin quan ti hot ng c a ra trc khi hot ng c thc hin. 5.4 H thng thng tin gim st v qun l ri ro thch hp C cc h thng thng tin qun l, h thng theo di v o lng ri ro thch hp. Gim st ri ro hiu qu yu cu ngn hng cn xc nh v o lng tt c cc ri ro c bn. Do , hot ng gim st ri ro phi c h tr bi h thng thng tin cung cp cho Hi ng qun tr v Ban lnh o cc bo co kp thi v tnh trng ti chnh, hiu qu hot ng, v cc nguy c ri ro ca ngn hng. ng thi cc bo co phi m bo y , thng xuyn, chi tit, n gin v d hiu tham gia vo hot ng qun l hng ngy.

15

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comNgn hng phi c h thng thng tin qun l v gim st ri ro cung cp cho Ban lnh o mt s hiu bit r rng v tnh trng ca ngn hng v cc nguy c ri ro. Cc yu cu ti thiu m bo hiu qu ca h thng o lng, gim st ri ro v h thng thng tin: o o Gim st ri ro c thc hin v bo co ng a ch v gm tt c cc ri ro; Cc gi nh chnh, cc ngun d liu, cc th tc/quy trnh c s dng trong o lng v gim st ri ro cn thch hp, y ti liu v c kim tra th nghim vi tin cy nht nh.; o Cc bo cc v cc hnh thc giao tip khc cn c thng nht trong hot ng ca ngn hng, cu trc gim st v tun th hn mc c thit lp, t ra mc tiu, so snh hiu qu thc t v d kin; o Cc bo co qun l phi chnh xc, kp thi v y nh gi mc ri ro m ngn hng phi i mt.

5.5 Kim ton v kim sot ni b Cu trc kim sot ni b ca ngn hng c vai tr quan trng i vi an ton v s lnh mnh ca ngn hng ni chung v h thng qun l ri ro ni ring. Thit lp v duy tr h thng kim sot ni b hiu qu bao gm c vic thc thi quyn hn, trch nhim v phn tch nghip v ca cc b phn. Khi h thng kim sot ni b ng cu trc s khuyn khch cc hot ng ca ngn hng hot ng c hiu qu, cc bo co ti chnh v php l ng tin cy, bin php bo v ti sn v gip bo m tun th php lut lin quan, cc quy nh, chnh sch v th ch. Kim sot ni b nn c kim tra bi kim ton ni b c lp bo co trc tip ln Hi ng qun tr v Ban lnh o. m bo kim sot ni b v cc th tc kim ton, cn ch : o H thng kim sot ni b phi ph hp vi loi hnh v mc ri ro gy ra bi tnh o o cht v phm vi hot ng ca ngn hng; C cu t chc ca ngn hng phi thit lp r rng thm quyn v trch nhim gim st s tun th chnh sch, th tc v cc gii hn; Cc bo co cn cung cp y , c lp ca b phn kim sot t cc lnh vc kinh doanh v phn tch nhim v ca cc b phn trong ngn hng nh b phn kinh doanh o o o o trc trip (front office), b phn middle-office, b phn back-office; Cu trc ca ngn hng nn phn nh hot ng thc t; Cc bo co ti chnh, hot ng v php l phi m bo tin cy, chnh xc, kp thi; vi trng hp ngoi l phi c ghi nhn v nhanh chng iu tra tm hiu; Kim ton ni b hoc hot ng xem xt kim sot khc nn cung cp c lp v khch quan; Hiu qu ca kim ton ni b, kim sot ni b v h thng thng tin nn c kim tra v xem xt li nh k.

16

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com6. Quy trnh qun l ri ro Mt ngn hng c th thc hin nhng la chn sau y qun l ri ro: o o Trnh ri ro (risk avoidance): c v hp l nhng khng thc t i vi ngn hng v ngn hng ch yu da vo vic kinh doanh ri ro tm kim li nhun. Gim ri ro (risk mitigation): thc hin cc bin php cn thit nhm gim xc sut xy ra tn tht hay cc tc ng ca n. V d, ngn hng c th cho vay v yu cu bn vay c ti sn th chp nhm hn ch ri ro tn dng. o Chuyn ri ro (risk transfer): vic chuyn ri ro n mt i tc th ba c th c thc hin thng qua cc hp ng bo him hoc cc bin php phng nga ri ro (hedging) nh vo cc cng c phi sinh nh hp ng k hn, hp ng tng lai, hp ng hon i...). o Chp nhn ri ro (risk acceptance): ngn hng chp nhn cc loi ri ro mt mc nht nh m khng thc hin hnh ng c th no gim hoc chuyn ri ro v cc bin php rt tn km. Do s a dng ca ri ro, khng c nhng bt buc c th v quy trnh qun l ri ro cho tt c cc ngn hng, mi ngn hng nn da vo nhu cu v hon cnh ca mnh a ra chng trnh qun l ri ro ph hp. Tuy nhin, mt quy trnh qun l ri ro nn bao gm: 6.1 Xy dng bi cnh Cn hiu c mc tiu v chin lc kinh doanh, qun tr ri ro, r sot mi trng kinh doanh, hiu c khu v ri ro v xc nh r lng ri ro m mnh chp nhn nm ly, cc tiu chun cho cc ri ro s c nh gi 6.2 Xc nh ri ro Tt c cc ri ro trng yu (gm c ri ro ang c, ri ro cha c pht hin v ri ro mi) nh hng n chin lc kinh doanh ca ngn hng phi c ngn hng nhn ra v hiu c. Xc nh ri ro phi l qu trnh lin tc v nn c hiu c cp giao dch v cp danh mc. 6.3 o lng ri ro Mt khi cc ri ro c xc nh, chng ta phi nh gi c v mc thua l v xc sut ny sinh. iu ny c th c thc hin bng cch s dng cc k thut khc nhau, t cc cng c v m hnh n gin n cc cng c v m hnh phc tp. o lng ri ro chnh xc v kp thi l rt cn thit cho h thng qun l ri ro hiu qu. Nu khng c mt h thng o lng ri ro, ngn hng hn ch kh nng kim sot hoc gim st mc ri ro ca mnh. Ngn hng nn kim tra nh k cc cng c o lng ri ro chc chn rng chng chnh xc. H thng o lng ri ro tt cn phi nh gi c ri ro ca cc giao dch c nhn v danh mc.

17

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comCc ri cn phi c nh lng, o lng c. C nhiu cng thc tnh ri ro nhng cng thc c chp nhn rng ri nht nh lng ri ro l: Ri ro = Tn sut xut hin x Tc ng ca s kin ri ro Cc cng c o lng ri ro: o o o Phn tch GAP (GAP Analysis); K hn (Duration): s nhy cm ca danh mc u t khi li sut thay i; M phng (Simulation) hay phn tch nhy (nghin cu nhy ca gi tr ti sn tng ng vi nhng thay i ca nhng yu t cu thnh gi tr ti sn ), phn tch tnh hung/kch bn (la chn nhiu tnh hung khc nhau ca th trng v xem xt gi tr ti sn thay i nh th no tng ng vi mi tnh hung), phn tch Monte Carlo, Stress tests (kim nh nh gi xem mt danh mc hay mt t chc no v kh nng chu ng trong iu kin khng hong); o o o o Value at Risk (VaR): gi tr tn tht k vng ln nht trong mt thi hn u t nht nh vi tin cy xc nh; lch chun (), bin ng (gi tr thc so vi gi tr trung bnh) Beta (); Tracking error (gi tr thc so vi mt ch s chun) Risk metrics (metrics ri ro);...

6.4 Qun l v x l ri ro Ngn hng nn c h thng thng tin qun l hiu qu (MIS) gim st cc mc ri ro v to iu kin xem xt li kp thi trng thi ri ro v cc trng hp ngoi l. Bo co gim st phi thng xuyn, kp thi, chnh xc, nhiu thng tin v cn c phn phi cho cc c nhn thch hp m bo hnh ng kp thi khi cn thit. Vic gim st cc ri ro nn ch : o Tt c nhng trng thi giao dch lin quan n li sut, ngoi t, c phiu, hng ha u cn phi nh gi li theo gi th trng nhm mc ch qun l tt nht cc ri ro lin quan; o Thit lp cc gii hn v ri ro i vi mi loi ri ro v d nh i vi tri phiu c th nh mc v VaR, k hn hoc tnh li; i vi nhng giao dch quyn chn nn a ra cc nh mc v delta, gamma v vega; nh mc thanh khon; a ra cc nh mc v trng thi v gii hn tn tht (Stop loss limits); i vi ri ro tn dng cn c h thng theo di v nh gi mc tn nhim khch hng.

o o

X l ri ro tim nng: Sau khi xc nh v nh gi ri ro, c th s dng mt trong 4 nhm cc k thut qun l ri ro sau: Trnh hn ch (avoidance elimination); Gim thiu Phng nga (reduction hedging); Chuyn i Mua bo him (transfer buying insurance) v chp nhn ri ro (risk acceptance).

18

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.com6.5 Kim sot ri ro, xem xt v nh gi li Hot ng kim sot phi c thc hin nhiu cp vi cc mc khc nhau. cp Hi ng Qun tr v Ban iu hnh c thc hin thng qua nhn c cc bn trnh by v cc bo co nh k v v th ri ro, s tun th v cc ngoi l v ri ro, bo co thc trng ri ro. cp phng ban gm vic kim tra cc hot ng ri ro, cc bo co v th ri ro, tnh trng v cc ngoi l v ri ro. Cc bo co v ri ro phi cung cp thng tin thch hp, chnh xc v kp thi. Bn cnh , cn nh gi tnh hiu qu trong qun l ri ro vi quan im pht hin sai st sa cha v hon thin hn. kim sot ri ro, ngn hng nn thit lp v truyn t cc hn mc ri ro thng qua cc chnh sch hn ch ri ro, cc tiu chun v cc th tc xc nh trch nhim v quyn hn ca cc cn b, cc cp lnh o. Cc gii hn ri ro s c s dng nh mt phng tin kim sot cc ri ro khc nhau lin quan n hot ng ca ngn hng. Ngn hng cng cn thm tra v i chiu trc tip pht hin cc sai st hoc cc vn n cha trong cc hot ng. Kt qu ca vic thm tra v i chiu cn c bo co ln lnh o cp cao ph hp. Cui cng, cn phi nhn mnh mt iu rng, mc tiu p dng quy trnh qun l ri ro ny khng phi l gim thiu mc ri ro tuyt i m chnh l ti u ha quan h nh i gia ri ro li nhun. 7. M hnh qun tr ri ro (tham kho cc ngn hng nc ngoi) 7.1. Hi ng qun tr Hi ng qun tr thc hin qun l ri ro tm chin lc, vai tr ca Hi ng qun tr mc 5.2.1. 7.2. Ban iu hnh Ban iu hnh thc hin qun l ri ro tm v m v thnh lp b phn chuyn trch v qun l ri ro l khi QLRR. Vai tr ca Ban iu hnh mc 5.2.2 7.3. y ban ALCO v qun l ri ro Xy dng h thng qun l ri ro cho ton b hot ng ca Ngn hng; Xy dng v trnh Hi ng Qun tr, i hi C ng ph duyt chin lc qun l ri ro v khu v ri ro trong hot ng ca Ngn hng; Xy dng cc chin lc ng ph vi ri ro trong c cc chng trnh d phng v duy tr hot ng kinh doanh thng xuyn; Ph duyt m hnh t chc, phng php, quy trnh, h thng cc cng c o lng, nh dng ri ro v cc bin php qun l ri ro do Khi QLRR trnh;

19

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comiu phi cc hot ng chc nng khc nhau c lin quan n vn qun l ri ro trong Ngn hng; Theo di vic thc hin chin lc vch ra. 7.4. Khi QLRR: Khi qun l ri ro l Khi nghip v trc thuc Ban iu hnh, c thnh lp thc hin cc nghip v qun l ri ro ca Ngn hng. Cc chc nng ca khi QLRR nh sau: Xy dng chin lc v cc chnh sch qun l ri ro trnh ln Hi ng Qun tr, Ban iu hnh; Xc nh cc ri ro hin hnh, ri ro cha pht hin v cc ri ro mi ca Ngn hng Ngn hng; xut chnh sch, quy ch, quy trnh, th tc, hn mc v c ch kim sot ri ro; Xy dng v pht trin h thng thng tin qun l, h thng o lng, nh gi ri ro, cc bin php phng chng, gim thiu ri ro; Gim st m bo vic tun th quy nh v hn mc t ra; o to nhn vin, cp nht v qun l ri ro v t nh gi hiu qu qun l ri ro; Bo co kt qu gim st ri ro ln Hi ng qun tr, Ban iu hnh. 7.5 Cc n v trc tip kinh doanh v cc n v, c nhn khc Cc n v trc tip kinh doanh thc hin qun l ri ro tm vi m. H l ngi trc tip chp nhn mc ri ro v cng phi qun l ri ro theo cc quy nh ca Ngn hng. Ngoi ra qun l ri ro khng ch b phn kinh doanh, m tt c cc cn b trong ngn hng u phi tham gia qun l ri ro cc mc khc nhau. Qua hnh thnh nn vn ha kim sot ri ro ti Ngn hng. Ri ro gn lin vi hot ng ca ngn hng. Ri ro v li ch lun tn ti thng nht trong 2 mt i lp. Vi s pht trin v hi nhp, cc ri ro mi c pht hin cng nhiu v mc tinh vi ca cc ri ro cng cao. Cng vi thi gian, cn phi cp nht cho khung qun l ri ro tng th ph hp vi tnh hnh mi. Ghi ch: thun li cho vic i su vo cc ri ro, chng ti tch qun l ri ro thanh khon v ri ro th trng ring bit khi vit. Ring qun l ri ro th trng s c nhn mnh v vit thnh qun l ri ro li sut, qun l ri ro hi oi v qun l ri ro gi. Ngoi ra chng ti cp ti qun l ri ro tun th, qun l ri ro uy tn/danh ting. B. QUN L CC LOI RI RO 1. Qun l ri ro tn dng 1.1 Gii thiu

20

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comHot ng tn dng l mt trong nhng hot ng quan trng nht ca ngn hng, c bit l cc ngn hng ti Vit Nam. Ri ro tn dng nu xy ra c th dn ti thit hi ln cho ngn hng, nh hng trc tip ti thu nhp ca ngn hng v c th dn ti cc ri ro khc v vy vic hiu v nhn bit tt v ri ro tn dng l c s qun l ri ro tn dng. Vic ngn hng pht hin tt c cc ri ro tn dng trong cc sn phm v hot ng ca mnh l rt quan trng. lm c nh vy ngn hng cn xem xt k lng cc c th ri ro tn dng ca tng sn phm hay hot ng. Qun l ri ro tn dng hiu qu lin quan n vic qun l cht ch mi quan h gia ri ro/li nhun v kim sot v gim thiu ri ro tn dng trong nhiu kha cnh khc nhau, chng hn nh cht lng tn dng, mc tp trung, loi tin t, thi gian o hn, cc hnh thc bo m v cc loi cng c tn dng. Khi xem xt ri ro tn dng cn ch ti cc yu t to nn ri ro tn dng: o o Cc khch hng khc nhau v cc ngnh ngh khc nhau c cc ri ro khc nhau; Cc sn phm khc nhau (cc hnh thc cho vay hoc theo loi tin t) th hin cc ri ro khc nhau; o o Ri ro thanh ton gn vi cc cng c ti chnh (cc giao dch MM, FX); Chuyn mn ca cn b tn dng v cc ngun lc ca ngn hng (trong c h thng cng ngh thng tin); o Mc tp trung ca danh mc tn dng.

1.2. Gim st ca Hi ng Qun tr v Ban iu hnh 1.2.1 Hi ng qun tr Hi ng Qun tr c vai tr quan trng i vi vic gim st cp tn dng v chc nng qun l ri to tn dng trong ngn hng. Trch nhim ca Hi ng Qun tr l ph duyt chin lc ri ro tn dng, cc chnh sch quan trng lin quan n qun l ri ro tn dng v qun l n da trn chin lc kinh doanh tng th ca ngn hng. Cc chin lc tng th v cc chnh sch quan trng phi c xem xt li hng nm. Trch nhim ca Hi ng qun tr i vi qun l ri ro tn dng gm: o Ph duyt chin lc, chnh sch tn dng, c cu t chc hot ng tn dng ca ngn hng v ph bin ti ton b nhn vin; o m bo rng ri ro tn dng m ngn hng tip xc c duy tr mc thn trng v ph hp kh nng v vn ca ngn hng, cn phi t trong mi tng quan vi mc chp nhn ri ro chung ca ngn hng; m bo rng cc nh qun l cp cao v c nhn chu trch nhim qun l ri ro tn dng c kinh nghim chuyn mn v kin thc tt, cp nht thc hin chc nng qun l ri ro; o m bo ngn hng c khung qun l ri ro mnh xc nh, o lng, gim st v kim sot ri ro tn dng;

o

21

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.como o o o m bo kim ton ni b xem xt hot ng tn dng nh gi, cc chnh sch, th tc c c tn trng v y khng; Xem xt chnh sch tn dng ni b v ngi lin quan; Ph duyt cc khon tn dng vt mc/thm quyn; Xem xt bo co nh k ca Ban iu hnh, thanh tra v kim ton (ni b v bn ngoi) nhm m bo tnh tun th v hiu qu hot ng ca chnh sch. 1.2.2 Ban iu hnh Ban iu hnh c nhim v thc hin chin lc v chnh sch qun l ri ro tn dng ca ngn hng. ng thi, m bo rng cc quy trnh, th tc t ra qun l v kim sot ri ro tn dng, cht lng tn dng ph hp vi chin lc v chnh sch v qun l ri ro tn dng. Trch nhim ca Ban iu hnh gm: o Thit lp v pht trin chnh sch tn dng, quy trnh/th tc qun l tn dng nh l mt phn trong khun kh tng th qun l ri ro tn dng c ph duyt bi Hi ng Qun tr; Trin khai thc hin chnh sch qun l ri ro tn dng; m bo thc hin v pht trin h thng bo co ph hp v ni dung, hnh thc, tn s thng tin lin quan n danh mc tn dng v ri ro tn dng, cho php phn tch hiu qu, qun l thn trng v kim sot ri ro tn dng hin ti v tim nng; o o o o o o Gim st v kim sot bn cht v thnh phn ca danh mc tn dng; Gim st cht lng tn dng; Thit lp kim sot ni b c phn nh r trch nhim v quyn hn m bo hiu qu qu trnh qun l ri ro tn dng;\ Ph bin kp thi chnh sch qun l ri ro tn dng, cc th tc ti tt c cc c nhn trong quy trnh; Trnh ln Hi ng Qun tr cc khon vt mc thm quyn phn quyt; Bo co ton din cc khon tn dng quan trng, thnh phn v bn cht ca danh mc tn dng, vn qun l ri ro tn dng ln Hi ng Qun tr t nht 1 nm mt ln. 1.3 Chin lc tn dng, chnh sch v cc gii hn tn dng 1.3.1 Chin lc tn dng Mc ch c bn ca chin lc tn dng l xc nh khu v ri ro tn dng. Khi xc nh c khu v ri ro tn dng, ngn hng c th pht trin k hoch ti u ha li ch trong khi vn gi ri ro tn dng trong gii hn nh trc. Chin lc tn dng cn din t c: o o Tiu chun cp mt khon tn dng da trn cc phn on khch hng khc nhau, sn phm, ngnh, v tr a l, tin t v k hn; Mc tiu cho tng phn khc th trng cho vay v mc a dng ha hoc mc tp trung ;

o o

22

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.como Chin lc gi. iu cn thit a ra chin lc ri ro tn dng i hi ngn hng cn xem xt n th trng mc tiu ca mnh. Cc th tc tn dng phi nhm mc ch hiu su sc v y cc khch hng ca ngn hng. Chin lc tn dng nn cung cp cch tip cn lin tc v a vo ti khon kha cnh tnh hnh kinh t t nc, ngnh v nhng kt qu thay i trong thnh phn v cht lng ca danh mc tn dng. Chin lc ny s c xem xt nh k v sa i l cn thit nhng nn tn ti lu di v qua cc chu k kinh t khc nhau. 1.3.2 Chnh sch tn dng Vic thit lp khun kh chnh sch tn dng cho u t v quyt nh cho vay phn nh sc chu ng ca t chc tn dng vi ri ro tn dng. c hiu qu, chnh sch cn phi c truyn t kp thi v tt c cc cp, vi ton b nhn vin. nh k sa i a vo ti khon thay i hon cnh ni b v bn ngoi. Chnh sch tn dng gm cc ni dung ti thiu nh sau: o Tiu chun cp tn dng (th trng, i tng khch hng theo ngnh, a l, ti sn m bo; chi tit v chnh thc ho vic nh gi tn dng/qu trnh thm nh, h thng nh gi ni b ,cu trc khon tn dng); o Thm quyn ph duyt cc cp (thit lp h thng phn cp thm quyn v trch nhim trong ph duyt cc khon tn dng v thay i trong iu khon tn dng; thm quyn cho vay ca cn b phi ph hp vi kinh nghim, kh nng v tnh cch ca c nhn; cc khon tn dng vt thm quyn); o Hn mc tn dng i vi mt khch hng v nhm khch hng lin quan, vi ngnh hoc lnh vc kinh t, khu vc a l v cc sn phm c th. m bo tun th cc gii hn ca c quan qun l nh nc;\ o o o o o o o Thm quyn ph duyt cc thit hi c th xy ra v cc khon n c kh nng mt vn; Gi c tn dng; Vai tr v trch nhim ca cc n v/c nhn lin quan n t chc v qun l tn dng; Qun l tn dng (h s tn dng, hp ng tn dng, ti liu, ti sn bo m v bo lnh); Kim tra tn dng; Hng dn v x l cc khon cho vay c vn ; Hng dn r rng v h thng xp hng tn dng ni b.

1.3.3 Tiu chun cp tn dng Tp hp thng tin v khch hng xin vay. Ti thm cc khch hng tim nng Phn tch ngun tr n Cu trc ca khon tn dng

23

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comCc khon cho vay hp vn 1.3.4 Cc gii hn tn dng Mt yu t quan trng trong qun l ri ro tn dng l thit lp cc gii hn tn dng bao trm trn bng cn i k ton v cc khon ngoi bng cho mi khch hng v nhm khch hng lin quan. Mc ch l ngn chn ngn hng da qu nhiu vo mt khch hng hoc mt nhm khch hng i vay v m bo cc quy nh ca c quan qun l nh nc. Mc gii hn cho khch hng ph thuc vo kh nng tr n ca khch hng, cc yu cu tn dng, iu kin kinh t v khu v ri ro ca ngn hng. Gii hn cng nn c t cho cc sn phm tng ng, cc hot ng, ngnh ngh c th, thnh phn kinh t v/hoc khu vc a l trnh ri ro tp trung. i vi vic cp hn mc tn dng cho khch hng, cn c xem xt thng xuyn v nh k. Cc yu cu v tng hn mc ca khch hng cn c chng minh. o Nhng hng dn sau y cn phi c xem xt trong qu trnh t ra cc gii hn: Cc gii hn cn bao gm ton b cc ri ro i vi tng khch hng c th i vi ton b cc hot ng ca ngn hng, nh tn dng, ti tr thng mi (ngoi bng cn i k ton), hot ng lin ngn hng v hot ng ngun vn (t gi hi oi) v cc giao dch khc lin quan n ri ro tn dng; o Nhng khon vt qu gii hn trn cn c Hi ng tn dng ph duyt theo tng trng hp c th, c xem xt n cht lng ca khon th chp b sung m n v vay vn c th cung cp cho ngn hng; Phng php b tr s d c th c p dng hn ch ri ro tn dng, chng hn nh cc giao dch lin ngn hng. c th thc s hn ch ri ro nhng tho thun b o tr nh vy cn phi c th thc hin c trong khun kh php lut; Gii hn cho tng khch hng c th c to lp ban u da trn xp hng ri ro tnh t H thng xp hng tn dng. Gii hn cao hn c th c p dng cho cc khch hng c im cao; o Gii hn i vi tng nhm khch hng vay c quan h vi nhau cn c to lp song song vi gii hn cho vay cho tng khch hng n l. Gii hn nhm rt quan trng do mi tng quan tim nng ca cc nhn t lin quan n ri ro tn dng ca cc n v thnh vin trong nhm, v s gia tng mc tp trung ri ro m mi tng quan ny to ra cho ngn hng. Nhm n v vay vn c xem l c quan h vi nhau khi h c chung gim c/lnh o, hoc c s ng s hu t nhn v c phiu, hoc nm gi c phiu ln nhau. Mt v d v tp trung ri ro l khi cc hot ng ca n v vay ny ph thuc vo quan h thng mi vi n v vay khc. Nguyn l domino c th c p dng, pht sinh t vic s tht bi ca mt n v ko theo s tht bi ca cc n v khc trong nhm; o Cc gii hn p dng cho s phi hp trong danh mc tn dng c xc nh da vo chin lc tn dng ca ngn hng v da vo s phi hp danh mc mc tiu c ph duyt trong chin lc tn dng ; Ri ro thc t i vi cc gii hn cn c gim st cp tng n v vay ring l, tng nhm n v vay c quan h vi nhau v tng danh mc tn dng. 1.3.5 C cu t chc

o

o

24

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.coma. Hi ng Qun tr b. Ban iu hnh c. y ban ALCO v QLRR d. y ban tn dng/Hi ng tn dng e. Ban gim c chi nhnh 1.3.6 Ph duyt cc khon tn dng mi v m rng tn dng hin ti duy tr mt danh mc tn dng lnh mnh, ngn hng phi quy nh r rng v hp l quy trnh ph duyt tn dng. Cc quyt nh phi c thc hin theo hng dn bng vn bn v c cp bi cc cp qun l thch hp. Ngn hng nn c b phn kim tra m bo rng qu trnh ph duyt c tun th v ph hp. Cc cp ph duyt tn dng cn c ghi r thnh vn bn v bao gm ti thiu nhng mc sau: o o o o Cp ph duyt tn dng theo gi tr tuyt i v gi tr tng dn; Cp ph duyt d phng v xo s khon vay; Cn b tn dng v cc v tr hay u ban c cp quyn ph duyt; Kh nng ngi c u quyn tip tc u quyn ph duyt v ri ro v xo s kho vay; Cc hn ch, nu c, p dng i vi vic s dng cc cp ph duyt.

o

i vi mi khon tn dng c ngh cn phi tun th cc quy nh, c chuyn vin tn dng c trnh chuyn mn v kinh nghim ph hp vi gi tr v phc tp ca khon tn dng nh gi mt cch cn trng. Ngn hng nn quy nh c th thng tin v ti liu cn thit chp nhn cc khon tn dng mi, gia hn tn dng hin c v/hoc thay i cc iu khon v iu kin ca cc khon tn dng trc y c duyt. Nhng thng tin nhn c s l c s cho cc nh gi ni b, chnh xc v y ca n c vai tr quan trng ra quyt nh tn dng thch hp. Giao dch vi cc bn lin quan phi chu s chp thun ca Hi ng Qun tr (khng bao gm cc thnh vin hi ng vi cc xung t quan tm). 1.3.7 Qun l tn dng Qun l tn dng l l yu t quan trng bo m khon cho vay c duy tr mt cch ng n, an ton sau khi vn c gii ngn. Qun l tn dng gm vic lu gi h s tn dng, hp ng tn dng v cc ti liu lin quan, thu thp thng tin ti chnh hin hnh, cc hot ng lin quan ti ti sn th chp, gi ra thng bo mi v chun b cc ti liu khc nh tha thun cho vay. H s tn dng. Hp ng tn dng v nhng ti liu c lin quan

25

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comTi sn bo m v bo lnh 1.3.8 Kim tra v gim st tn dng a. Gim st tng khon vay b. Gim st tng th danh mc tn dng c. B phn x l n 1.4 H thng xp hng tn dng ni b v cc cng c o lng ri ro tn dng 1.4.1 H thng xp hng tn dng H thng xp hng tn dng ni b l t hp cc quy trnh phn loi khch hng theo ngnh ngh, quy m, tnh cht s hu, b ch tiu ti chnh v b phi ti chnh chm im khch hng. H thng xp hng tn dng ni b l mt cng c quan trng trong vic qun l v gim st cht lng i vi tng khch hng cng nh ton b danh mc tn dng. H thng xp hng tn dng ni b tt l mt phng tin tt cho thy s khc bit v mc ri ro tn dng ca cc khch hng ca ngn hng. N cng cho php xc nh chnh xc hn v c im ca danh mc tn dng, mc , cc khon tn dng c vn v y cc d phng tn tht tn dng. Khi d phng tn tht tn dng cc ngn hng t nht phi m bo theo quy nh ca Ngn hng Nh nc. Mc ch ca xp hng tn dng: Ra quyt nh cp tn dng: xc nh hn mc tn dng, thi hn, mc li sut, bin php bo m tin vay, ph duyt hay khng ph duyt; Gim st v nh gi khch hng tn dng khi khon tn dng ang cn d n; Hng khch hng cho php ngn hng lng trc nhng du hiu cho thy khon vay ang c cht lng xu i v c nhng bin php i ph kp thi; Qun l, gim st cht lng ca danh mc tn dng v xu hng ca n; Pht trin chin lc marketing nhm hng ti cc khch hng c t ri ro hn; c lng mc vn cho vay s khng thu hi c trch lp d phng tn tht tn dng. H thng xp hng tn dng ni b phi c xy dng c th ring cho ba nhm i tng khch hng gm: khch hng doanh nghip; t chc tn dng v khch hng c nhn, h kinh doanh. Tng s im ca khch hng c xc nh theo thang im ti a l 100, c chia cho b ch tiu ti chnh v b ch tiu phi ti chnh theo t trng nht nh. Ngn hng cn xy dng h thng xp hng tn dng ni b cho ring mnh v m bo cc quy nh v xp hng tn dng ni b ca Ngn hng Nh nc a ra (tham kho d tho 493 mi ca Ngn hng Nh nc). 1.4.2 Cc cng c o lng ri ro tn dng

26

Qun l ri ro trong ngn hng By Tng hp, su tm v vit daibang168@gmail.comM hnh im s Z (Z credit scoring model): Z dng lm thc o tng hp phn loi ri ro tn dng i vi ngi vay, ph thuc vo: ch s ti chnh ca ngi vay, tm quan trng ca cc ch s ny trong vic xc nh xc sut v n trong qu kh. Z = 1.2X1 + 1.4X2 + 3.3X3 + 0.6X4 + 1.0X5 X1 l h s vn lu ng /tng ti sn X2 l h s li cha phn phi/tng ti sn X3 l h s li nhun trc thu v li/tng ti sn X4 l h s gi tr th trng ca vn ch s hu/gi tr hch ton ca tng n X5 l h s doanh thu/tng ti sn im Z cng cao th xc sut v n cng thp, nu Z thp hoc l mt s m l cn c xp khch hng vo nhm nguy c ri ro v n cao. Z