luan van MA NAM CHI

8/7/2019 luan van MA NAM CHI

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B GIO DC V O TOTRNG I HC KINH T TP H CH MINH

M TH NAM CHI

RI RO LI SUT TRONG HOT NG

KINH DOANH TI CC NGN HNGTMCP VIT NAMTHC TRNG V GII PHP

Chuyn ngnh: Kinh t - Ti chnh - Ngn hngM s: 60.31.12

LUN VN THC S KINH T

NGI HNG DN KHOA HCPGS.TS. TRN HUY HONG

TP. H CH MINH NM 2008


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MC LC

LI CAM OAN

DANH MC CC CHVIT TT

DANH MC CC BNG BIU

DANH MC CC TH

LI MU

CHNG I: CSL LUN ................................................................................. 1

1.1. Qun tr ri ro trong kinh doanh ngn hng ..................................................... 11.1.1. Nhng vn chung v ri ro ....................................................................... 1

1.1.1.1. Mt s khi nim ....................................................................................... 1

1.1.1.2. Qun tr ri ro ........................................................................................... 1

1.1.1.3. Cc nguyn nhn dn n ri ro ............................................................. 2

1.1.1.4. nh hng ca ri ro n hot ng kinh doanh ca ngn hng

v nn kinh t - x hi .................................................................................................. 2

1.1.2. Ri ro li sut trong kinh doanh ngn hng ................................................ 21.2. Qun tr TSN ......................................................................................................... 3

1.2.1. Nhng vn chung ...................................................................................... 3

1.2.1.1. Khi nim ................................................................................................... 4

1.2.1.2. Cc nguyn tc........................................................................................... 4

1.2.1.3. Mc ch ..................................................................................................... 4

1.2.2. Cc thnh phn ca TSN ............................................................................... 4

1.2.3. Cc nhn t quyt nh n quy m ngun vn huy ng tin gi ........... 6

1.2.4. c tnh chi ph cho ngun vn tin gi v phi tin gi ............................ 6

1.2.5. La chn gia chi ph v ri ro trong huy ng vn ................................. 7

1.2.6. Phng php qun tr TSN .......................................................................... 8

1.3. Qun tr TSC ....................................................................................................... 10

1.3.1. Nhng vn chung v qun tr TSC ca ngn hng .............................. 10


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1.3.1.1. Khi nim v TSC v qun tr TSC ca ngn hng ............................. 10

1.3.1.2. Cc yu t tc ng n qun tr TSC .................................................. 11

1.3.1.3. Cc nguyn tc qun tr TSC ................................................................. 11

1.3.2. Cc thnh phn ca TSC ............................................................................. 11

1.3.3. Cc phng php qun tr TSC ................................................................. 14

1.3.3.1. Phn chia TSC qun l ...................................................................... 14

1.3.3.2. Qun tr dtr........................................................................................ 15

1.3.3.3. Xy dng mt chnh sch tn dng hiu qu ........................................ 171.3.3.4. Xy dng chnh sch u thiu qu................................................... 18

1.4. Qun tr TSN v TSC hn ch ri ro li sut .............................................. 19

1.4.1. Ri ro li sut ............................................................................................... 21

1.4.2. Mc tiu ca hot ng qun l ri ro li sut ......................................... 22

1.4.3. Qun l khe hnhy cm li sut .............................................................. 23

1.4.4. Qun l khe hk hn ................................................................................. 26

KT LUN CHNG I ........................................................................................... 29

CHNG II: THC TRNG KIM SOT RI RO LI SUT TRONG

HOT NG KINH DOANH TI CC NHTMCP VIT NAM ....................... 30

2.1. Tnh hnh li sut huy ng v cho vay trn th trng tin t tcui

nm 2006 n thng 06 nm 2008 ............................................................................. 30

2.1.1. Chnh sch iu hnh tin t ca NHNN t cui nm 2006 n

thng 06 nm 2008 ..................................................................................................... 31

2.1.2. Thc trng kim sot ri ro li sut ti cc NHTMCP ............................ 34

2.2. Nguyn nhn lm tng ri ro li sut trong qun tr TSN TSC ca cc

NHTMCP .................................................................................................................... 39

2.2.1. Nguyn nhn tchnh sch iu hnh tin t ca NHNN ........................ 39

2.2.2. Nguyn nhn tpha cc NHTMCP .......................................................... 44


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2.3. Cc bin php c p dng Qun tr TSN TSC nhm hn ch ri

ro li sut ..................................................................................................................... 50

2.3.1. Ngn hng Nh nc ................................................................................... 50

2.3.2. Ngn hng TMCP trong nc .................................................................... 52

KT LUN CHNG II .......................................................................................... 54

CHNG III: GII PHP QUN TR TSN TSC HN CH RI

RO LI SUT CA CC NHTMCP ...................................................................... 553.1. Nhng thch thc i vi cc NHTMCP trong nc ...................................... 55

3.1.1. V cch qun l.......................................................................................... 55

3.1.2. V trnh cng ngh v nng lc ti chnh ............................................. 56

3.1.3. V hiu qu v cht lng hot ng ......................................................... 58

3.2. nh hng chin lc hi nhp kinh t quc t trong lnh vc Ngn

hng ............................................................................................................................. 58

3.2.1. Sp xp v nng cao nng lc cnh tranh ca cc NHTMCP ................. 583.2.2. Nng cao nng lc iu hnh v qun l NHTMCP ................................ 59

3.2.3. Marketing, to dng uy tn cho ngn hng ............................................... 60

3.2.4. o to i ng cn b, nhn vin c nng lc p ng nhu cu hi

nhp ........................................................................................................................... 60

3.3. Mt s gii php hn ch ri ro li sut trong hot ng kinh doanh ca

cc NHTMCP ............................................................................................................. 60

3.3.1. i vi NHNN ............................................................................................... 60

3.3.2. i vi cc NHTMCP trong nc .............................................................. 62

3.4. Nhng xut nhm hn ch ri ro li sut trong hot ng kinh

doanh ti cc NHTMCP ............................................................................................ 63

3.4.1. Nhng xut i vi NHNN ..................................................................... 64

3.4.2. Nhng xut i vi NHTMCP ............................................................... 64


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3.4.3. M hnh tham kho ...................................................................................... 64

3.4.3.1. Ccu ca hi ng Qun tr TSN TSC ........................................... 64

3.4.3.2. Quy trnh bo co .................................................................................... 65

3.4.3.3. Dliu cn c phn tch qun tr TSN v TSC ............................ 66

3.4.3.4. Cc bc phn tch ALM .................................................................. 66

3.4.3.5. Tnh ton cc t s ALM ........................................................................ 67

3.4.3.6. Nguyn tc kim tra ................................................................................ 70

KT LUN CHNG III ........................................................................................ 70

KT LUN

TI LIU THAM KHO

PH LC


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LI CAM OAN

Ti xin cam oan lun vn ny do chnh ti thc hin.

Tt c cc thng tin, s liu trch dn c ngun gc ng tin cy.

Tc gi

M Th Nam Chi


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DANH MC CC CHVIT TT

ABB : Ngn hng TMCP An BnhACB : Ngn hng TMCP Chu

AGRI : Ngn hng Nng nghip v pht trin nng thn Vit Nam

ALCO : Hi ng qun l TSN TSC

BCTC : Bo co ti chnh

BIDV : Ngn hng u t v pht trin Vit Nam

CKT : Cn i k ton

EAB : Ngn hng TMCP ng

EIB : Ngn hng TMCP Xut nhp khu Vit Nam

HBB : Ngn hng TMCP Nh H Ni

HDB : Ngn hng TMCP Pht trin Nh HCM

LNH : Lin ngn hng.

MB : Ngn hng TMCP Qun i

NHNN : Ngn hng Nh n

c

NHTM : Ngn hng Thng mi

NHTMCP : Ngn hng Thng mi c phn

SEAB : Ngn hng TMCP ng Nam

SCB : Ngn hng TMCP Si Gn

SGB : Ngn hng TMCP Si Gn Cng Thng

STB : Ngn hng TMCP Si Gn Thng Tn

TCB : Ngn hng TMCP K Thng Vit NamTCKT : T chc kinh t

TCTD : T chc tn dng

TSC : Ti sn c

TSN : Ti sn n

VCB : Ngn hng TMCP Ngoi Thng Vit Nam

VIB : Ngn hng TMCP Quc T Vit Nam

VP : Ngn hng TMCP cc doanh nghip ngoi quc doanh


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DANH MC BNG BIU

Bng 2.1. Li sut huy ng ................................................................................ 31

Bng 2.2. Li sut cho vay ................................................................................... 31

Bng 2.3. T l % ngun vn vay LNH c s dng u t so vi tng ti sn

ca mt s NHTMCP ........................................................................................... 38

Bng 2.4. T l lm pht t nm 2002 n thng 07/2008 .................................. 40

Bng 2.5. Li sut LNH ....................................................................................... 42

Bng 2.6. T trng thu nhp li thun so vi tng thu nhp ................................ 45

Bng 2.7. Tc tng trng tn dng ti mt s NHTMCP ............................. 48

Bng 3.1. Quy m vn t c ca cc NHTMCP Vit Nam v mt s ngn hng

trong khu vc ....................................................................................................... 57

Bng 3.2. Bng cn i k ton: Gi tr s sch .................................................. 67

Bng 3.3. Bng cn i k ton: Gi tr th trng .............................................. 68

Bng 3.4. Bng cn i k ton: Gi tr th trng khi li sut gim 0.5% ......... 69

Bng 3.5. Bng cn i k ton: Gi tr th trng khi li sut tng 0.5% .......... 69Bng 3.6. Bng cn i k ton: Thay i ca gi tr th trng ......................... 69

Bng 3.7. Bng cn i k ton: Delta v nhy cm ca vn ........................ 70


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DANH MC TH

th 2.1. Tnh hnh huy ng vn ca SCB ...................................................... 52 th 3.1. Quy m vn t c ca mt s ngn hng .......................................... 57


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LI MU

1. Gii thiuHin nay, ton cu ha nn kinh t khng cn l vn xa l m v ang

tr thnh mt xu hng pht trin tt yu khch quan i vi nn kinh t ca

mt quc gia.

Chnh thc gia nhp T chc thng mi quc t (WTO) cng vi cc t

chc h p tc khu vc, Vit Nam ni chung v h thng ngn hng ni ring

ang tng bc n lc lm mi mnh, n u hi nhp. Trong , h thng NH

TMCP c nh gi l h thng kh nng ng trong tin trnh hi nhp kinh

t quc t. Tuy nhin, n thi im ny, chng ta chang giai on u ca

qu trnh hi nhp giai on chun b nhng iu kin tt nht bc vo

cuc cnh tranh thc s s din ra t sau nm 2010, khi m cc cam kt hi

nhp thc s bt u c hiu lc.

c th tn ti v pht trin bn vng trong cuc cnh tranh ny, cc

NHTMCP phi n lc nng cao nng lc cnh tranh v mi mt. Vi tng

ny, ti xin chn ti Ri ro li sut trong hot ng kinh doanh ti ccNHTMCP Vit Nam Thc trng v gii php vi hy vng c th gip cc

NHTMCP pht trin vng vng trong thi k hi nhp.

2. Mc tiu nghin cuMc tiu nghin cu ca ti nhm mc ch hn ch ri ro li sut trong

hot ng kinh doanh ca ngn hng.

3. i tng v phm vi nghin cui tng v phm vi nghin cu ca lun vn: Thc trng v gii php

hn ch ri ro li sut trong hot ng kinh doanh ca cc Ngn hng. C th l

cc Ngn hng: ABB, MSB, SCB, HDB, TCB, STB, SGB, HBB, SeaB trong

thi gian t cui nm 2006 n ht qu II nm 2008.

4. Tnh thc tin ca tiVic duy tr li sut n nh trong mt thi gian di ca NHNN lm cho

Nh qun tr cc NHTMCP ll cng tc phng ri ro li sut. Cho n cuinm 2007 u nm 2008, tnh hnh kinh t vm c nhiu din bin bt li do


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lm pht gia tng cng vi chnh sch tht cht tin t ca NHNN y cc

NHTMCP vo cuc khng hong thanh khon, bt buc cc ngn hng bc

vo cuc ua li sut lm li sut lin tc tng cao. iu ny bc l mt yu kmtrong cng tc phng ri ro ca cc NHTMCP, c bit l ri ro li sut. Qua

vic nghin cu v hot ng ca cc NHTMCP, tc gi mong mun gip cc

ngn hng c nhn thc ng n v mi lin h gia cng tc Qun l TSN

TSC phng chng ri ro, trong c bit l ri ro li sut, gp phn nng

cao nng lc qun tr ri ro ca NHTMCP.

5. Phng php nghin cuLun vn s dng cc phng php nghin cu: Phng php tng hp s

liu, phng php nh lng, phng php nh tnh, phng php phn tch,

phng php nh gi.

6. Kh khn ca lun vnDo hu ht cc NHTMCP Vit Nam cha c s quan tm ng mc n vic

Qun l TSN TSC trnh ri ro li sut nn cc m hnh qun l hoc khng

c xy dng, hoc chc xy dng mt cch khi qut nn ti khng thnu chi tit m hnh tham kho, nh gi chi tit nhng m hnh c p

dng.

7. Kt cu ca ti ti c chia lm 3 chng:

Chng I: Csl lun.

Chng II: Thc trng kim sot ri ro li sut trong hot ng kinh doanh

ti cc NHTMCP Vit Nam

Chng III: Gii php qun tr TSN - TSC hn ch ri ro li sut ti cc

NHTMCP Vit Nam.


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- 1 -

CHNG I: CSL LUN

1.1. Qun tr ri ro trong kinh doanh ngn hng

1.1.1. Nhng vn chung v ri ro1.1.1.1. Mt s khi nim

Ri ro c th xut hin trong mi ngnh, mi lnh vc. N l mt yu t

khch quan nn con ngi khng th loi trc ht m ch c th hn ch

s xut hin ca chng cng nh nhng thit hi do chng gy ra. C rt

nhiu nh ngha khc nhau v ri ro nhng nhn chung c th chia lm 2quan im:

Theo quan im truyn thng: ri ro l nhng thit hi, mt mt, nguy

him hoc cc yu t lin quan n nguy him, kh khn, hoc iu khng

chc chn c th xy ra cho con ngi.

Theo quan im trung ha: Ri ro l s bt trc c tho lng c.

Ri ro va mang tnh tch cc va mang tnh tiu cc: Ri ro c th gy ra

nhng tn tht, mt mt, nguy him nhng cng c th mang n nhng c

hi, thi c. Nu tch cc nghin cu, nhn dng o lng ri ro, chng ta c

th tm ra c nhng bin php phng nga, hn ch nhng tiu cc v pht

huy c nhng chi tch cc mang li t ri ro.

Ri ro trong kinh doanh ngn hng l nhng bin c khng mong i m

khi xy ra s dn n s tn tht v ti sn ca ngn hng, gim st li nhun

thc t so vi d kin hoc phi b ra thm mt khon chi ph c th hon

thnh c mt nghip v ti chnh nht nh. Ri ro v li nhun k vng

ca ngn hng l hai i lng ng bin vi nhau trong mt phm vi nht

nh.

1.1.1.2. Qun tr ri roQun tr ri ro l qu trnh tip cn ri ro mt cch khoa hc, ton din v

c h thng nhm nhn dng, kim sot, phng nga v gim thiu nhng

tn tht, mt mt, nhng nh hng bt li ca ri ro. Qun tr ri ro bao


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- 2 -

gm cc bc: Nhn dng ri ro, phn tch ri ro, o lng ri ro, kim sot,

phng nga ri ro v ti trri ro.

1.1.1.3. Cc nguyn nhn dn n ri roC ba nhm nguyn nhn dn n ri ro, gm: Nhng nguyn nhn thuc

v nng lc qun tr ca ngn hng; Cc nguyn nhn thuc v pha khch

hng; Cc nguyn nhn khch quan c lin quan n mi trng hotng

kinh doanh.

1.1.1.4. nh hng ca ri ro n hot ng kinh doanh ca ngnhng v nn kinh t - x hi.

Ri ro s gy tn tht v ti sn cho ngn hng: mt vn khi cho vay, gia

tng chi ph hot ng, gim st li nhun, gim st gi tr ca ti sn; khin

ngn hng thua l, ph sn, s nh hng n nhng khch hng gi tin

cng nh khch hng vay tin, lm gim nim tin ca cng chng vo h

thng ngn hng. T c th lm nn kinh t suy thoi, gi c tng, sc

mua gim, tht nghip, s ko theo s sp ca h thng ngn hng trong

nc, trong khu vc; Ngoi ra ri ro tn dng cng nh hng n nn kinht th gii trong iu kin hi nhp v ton cu ha kinh t th gii hin nay.

1.1.2. Ri ro li sut trong kinh doanh ngn hngTrong hot ng kinh doanh, cc Ngn hng lun phi i mt vi rt

nhiu ri ro nh: Ri ro tn dng, ri ro thanh khon, ri ro t gi hi oi v

ri ro li sut. Trong phm vi ti, ti ch nghin cu v ri ro li sut.

Ri ro li sut l loi ri ro xut hin khi c s thay i ca li sut th

trng hoc ca nhng yu t c lin quan n li sut dn n tn tht v ti

sn hoc lm gim thu nhp ca ngn hng.

Ri ro li sut xut hin khi c s khng cn xng v k hn gia TSC

v TSN; Do cc ngn hng p dng cc loi li sut khc nhau trong qu

trnh huy ng vn v cho vay: Trng hp ngn hng huy ng vn vi li

sut cnh nhng cho vay, u t vi li sut bin i. Khi li sut gim,

ri ro li sut s xut hin v chi ph li phi tr ln hn li thu c, lm


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- 3 -

gim li nhun; Ngc li, khi ngn hng huy ng vn vi li sut bin i

nhng cho vay, u t vi li sut cnh. Khi li sut tng, ri ro li sut s

xut hin v chi ph li phi tr ln hn li thu c; Do c s khng ph hpv khi lng, thi hn gia ngun vn huy ng vi vic s dng ngun

vn cho vay; Do t l lm pht d kin khng ph hp vi t l lm

pht thc t lm cho vn ca ngn hng khng c bo ton sau khi cho

vay; Ngoi ra, khi li sut th trng thay i, ngn hng cn c th gp ri

ro gim gi tr ti sn.

Khi ri ro li sut xut hin s lm tng chi ph ngun vn ca ngn hng;

gim thu nhp t ti sn ca ngn hng; lm gim gi tr th trng ca TSC

v vn ch shu ca ngn hng.

Chng ta c thnh gi ri ro li sut thng qua cc ch s sau:

H s chnh lch li thun (cn gi l h s thu nhp li rng cn bin

NIM Net Interer Margin)

H s ri ro li sut ( R ) Khe hnhy cm li sut (Interest rate

sensitive gap)Khe hk hn (Duration gap):

Theo kinh nghim ca cc nc, kim sot ri ro li sut, cc ngn

hng thc hin cc bin php: Mua bo him ri ro li sut chuyn giao

ton b ri ro li sut cho cquan bo him chuyn nghi p; p dng cc

bin php cho vay thng mi (cho vay ngn hn) ngn hng c th linh

ng thay i li sut cho vay khi li sut th trng thay i theo chiu

hng tng; p dng chin lc chng trong qun tr ri ro li sut: Nu

ngn hng c th d bo c chiu hng thay i li sut, ngn hng c

th chng iu chnh khe hnhy cm li sut v khe hk hn mt cch

hp l; Vn dng cc k thut bo him li sut nh hp ng k hn, hp

ng tng lai, quyn chn, Swap.

1.2. Qun tr TSN


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- 4 -

1.2.1. Nhng vn chung1.2.1.1. Khi nim

Qun tr TSN l qun tr ngun vn phi tr cho ngn hng nhm mbo cho ngn hng lun c ngun vn duy tr v pht trin mt cch

hiu qu hot ng kinh doanh ca mnh, ng thi p ng k p thi mi

nhu cu thanh khon vi chi ph thp nht.

1.2.1.2. Cc nguyn tcKhi huy ng vn, cc Ngn hng cn phi chp hnh cc quy nh ca

lut php v cc cquan qun l: T chc tn dng khng c huy ng

vn qu nhiu so vi vn t c nhm m bo kh nng chi tr (Theo Php

lnh ngn hng nm 1990, tng ngun vn huy ng ca ngn hng thng

mi phi nh hn hoc bng 20 ln vn t c), p dng li sut huy ng ph

hp so vi cch qun l v li sut ca ngn hng Nh nc,

Ngoi ra cc ngn hng phi m bo p ng mt cch kp thi nhu cu

thanh khon ca ngn hng, hn chn mc ti a s st gim t ngt v

ngun vn ca ngn hng vi chi ph thp nht. ng thi phi s dng cccng c huy ng vn a dng hn ch ri ro v ph hp vi c im

ca ngn hng.

1.2.1.3. Mc chTrong hot ng kinh doanh ngn hng, vic qun tr TSN tt s gip cc

ngn hng khai thc ti a ngun vn nhn ri trong x hi m bo s tng

trng ngun vn n nh, bn vng nng cao th phn, nhm p ng tt

nht nhu cu vn cho khch hng c v s lng, thi hn v li sut. Nhng

vn phi m bo kh nng thanh ton v nng cao hiu qu kinh doanh ca

ngn hng.

1.2.2. Cc thnh phn ca TSNThnh phn ca TSN gm c:

Cc ti khon giao dch: l nhng nhng ti khon c khch hng

mti ngn hng s dng nhng dch v thanh ton khng dng tin mt


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- 5 -

nn ngn hng khng phi tr li sut cao. y l loi tin gi khng n nh

nn cc ngn hng thng s dng d tr, v mt phn dng cho vay

ngn hn. Gm: Ti khon tin gi khng k hn, ti khon vng li.

Cc ti khon phi giao dch: l nhng loi tin gi nh k nh nhng

khon tin gi c k hn ca cc TCKT, tin gi tit kim ca c nhn. Khi

khch hng mcc ti khon phi giao dch ti Ngn hng sc rt gc v

li theo k hn c quy nh trc nhng khng c tham gia thanh ton

khng dng tin mt. y l loi tin gi n nh nn ngn hng thng s

dng cho vay trung di hn. V khch hng gi tin sc hng li

tc vi li sut cao hn so vi tin gi khng k hn.

Vn vay trn th trng tin t: Cc ngn hng c th vay vn trn th

trng tin t bng cch vay v cho vay ln nhau thng qua th trng lin

ngn hng; Vay ngn hng Trung ng; Pht hnh chng ch tin gi; Pht

hnh k phiu, tri phiu ngn hng

Cc ti khon hn hp: L mt dng ti khon tin gi hoc phi tin

gi cho php kt hp thc hin cc dch v thanh ton, tit kim, mi giiu t, tn dng. Ngi mti khon sy thc dch v trn gi cho chuyn

vin qun l ti khon ti ngn hng. Loi ti khon ny em li nhiu tin

ch cho khch hng s dng. Theo , ti khon ca khch hng sc

qun l nhm mang li li ch ti a cho khch hng.

Vay ngn hn qua hp ng mua li (Repurchase agreement RP):

y l hp ng c k kt gia ngn hng vi khch hng (c ti khon ti

ngn hng) hoc vi ngn hng khc. Trong , ngn hng tha thun bn

tm thi chng khon cht lng vi tnh thanh khon cao (c phiu u i,

tri phiu chnh ph sp n hn thanh ton,) km theo tha thun s mua

li cc chng khon ny ti mt thi im trong tng lai vi mc gi xc

nh trong hp ng. Giao dch ny c th thuc loi qua m hoc n vi

thng, ty vo nhu cu vn ca ngn hng v kh nng ca ch th mua


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- 6 -

chng khon. Thng thng li sut trong hp ng mua li rt thp so vi

li sut huy ng vn ca ngn hng.

Chi ph trli theo RP

= S tinvay

* Li sut hinhnh ca RP

* S ngy vaytheo hp ng

Bn nv chng khon ha cc khon cho vay: Khi c nhu cu thay

i mt TSC thnh ngun vn phc v kinh doanh, cc ngn hng c th

bn cc khon cho vay; chng khon ha cc khon cho vay v cc ti sn

khc.

1.2.3. Cc nhn t quyt nh n quy m ngun vn huy ng tingi

Ngoi cc nhn t khch quan quyt nh n quy m ngun vn huy

ng tin gi: chnh sch tin t, chnh sch ti chnh ca Chnh ph; thu

nhp v ng cca ngi gi tin, cn c cc nhn t ch quan nh:

Li sut: li sut cao s lm tng chi ph, gim thu nhp tim nng ca

ngn hng. Nhng trc p lc cnh tranh, cc ngn hng buc phi duy tr

li sut cnh tranh thu ht khch hng mi v gi chn khch hng c.Cht lng dch v ngn hng: Cc ngn hng c dch v tt v a

dng s c li th hn cc ngn hng khc; Tr skin c, phng gi tin an

ton, tin nghi cng to nn u th cho ngn hng; i ng nhn s rt quan

trng trong vic pht trin quan h gia ngn hng v khch hng. Vi i

ng nhn vin c o to chuyn nghip, cc khch hng s yn tm hn

khi nhn c s t vn ca h. iu lm hnh nh ca ngn hng c n

tng su sc trong lng khch hng.

Cc chnh sch ca ngn hng (chnh sch tn dng, chnh sch u t,

chnh sch ngn qu,) l mt tiu chun o lng quan trng nh gi

nng lc, trnh ca cc nh qun l ngn hng. Mt ngn hng lun ra

nhng chnh sch ng n sc khch hng tin tng khi giao dch.

1.2.4. c tnh chi ph cho ngun vn tin gi v phi tin gi


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- 7 -

Chi ph huy ng vn l chi ph cao nht trong hot ng mt ngn hng.

c cu thnh bi chi ph li phi tr cho cc khon tin gi ca khch

hng v cc chi ph phi li pht sinh khc trong qu trnh huy ng vn. Vvy, cc ngn hng mun tng thu nhp th phi h thp chi ph tin gi. Tuy

nhin, cc ngn hng khng d dng h thp chi ph tin gi ca mnh v n

ph thuc vo nhiu yu t: cung tin gi, kh nng cnh tranh ca ngn

hng, li sut cho vay, quy m ca khon tin gi khng phi tr li v quan

trng nht l s chnh lch gia li sut tin gi v li sut i vay.

Chnh lch li sut l gi m ngi tiu dng thc tr cho cc dch v ti

chnh trung gian ca ngn hng. N c xc nh bi chi ph cho cng

ngh, chi ph cho vn, ph bo him ri ro ca cc khon vay, thu phi

np,. Mc chnh lch ny ph thuc vo sc p cnh tranh trong lnh vc

ngn hng v sc p t cc i th cnh tranh.

Thng thng, nhng loi tin gi khc nhau tng ng vi mc ri

ro khc nhau s quyt nh nhng li sut huy ng khc nhau. Nu ngn

hng huy ng c khi lng tin gi khng phi tr li cng nhiu th thunhp t li sut rng r cng ln v ngn hng cng c kh nng cnh tranh

mnh hn so vi cc i th.

C 3 cch c tnh chi ph cho ngun vn tin gi v phi tin gi, gm:

Phng php chi ph qu kh bnh qun, Phng php chi ph vn bin t,

Phng php chi ph huy ng vn hn hp.

1.2.5. La chn gia chi ph v ri ro trong huy ng vnTrn thc t, vic la chn ngun vn p ng nhu cu kinh doanh

ca ngn hng khng ch ph thuc vo chi ph ca mi ngun m cn ph

thuc vo mc ri ro ca mi ngun vn. Thng thng, ngun vn no

c huy ng vi chi ph thp th c th c ri ro cao v ngc li. Cc

ngn hng c th gp cc ri ro tc ng n ngun vn huy ng nh:

Ri ro li sut: Thng xut hin i vi nhng ngun vn huy ng

di hn. Khi li sut th trng gim, ngn hng s b thit do huy ng


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- 8 -

ngun di hn vi li sut cao. Khi li sut th trng tng, ngi gi tin s

la chn u t vo lnh vc khc v li sut cao hn li sut gi tin ti ngn

hng.

Ri ro thanh khon: Xy ra khi c tnh trng rt tin hng lot ca

khch hng lm st gim nghim trng ngun vn (thng tin v ngn hng

khng tt, tnh trng tht nghip,)

Ri ro vn ch shu: Khi vn huy ng qu ln so vi vn ch s

hu, cc nh u t s lo lng n kh nng hon tr ca ngn hng v c th

h s rt vn khi ngn hng.

V vy, khi quyt nh phi huy ng ngun vn mi, nh qun tr phi

c s la chn ph hp cho mc tiu kinh doanh ca ngn hng khi nh i

gia ri ro v chi ph huy ng.

1.2.6. Phng php qun l TSN qun l TSN, cc Ngn hng cn:

Thc hin cc chnh sch v bin php ng b khi tng ngun

vn ca ngn hng, gm:+ Bin php kinh t: L bin php m ngn hng dng nhng n

by kinh t (li sut,qu tng,) khai thc v huy ng cc ngun vn

cn thit. Bin php ny rt linh hot, nhy bn c th gip ngn hng huy

ng c ngun vn trong trng hp cn thit v cp bch . Tuy nhin,

nu s dng khng ng s lm tng chi ph, nh hng n kt qu hot

ng kinh doanh ca ngn hng, gy ra nhng tn hi cho ngn hng.

+ Bin php k thut: y l bin php lu di, ch lc ca mingn hng mang li hiu qu c trong ngn hn v di hn: Trang b my

mc, cng ngh hin i, tin tin nhm m bo cho vic thanh ton c

nhanh chng, chnh xc, thun tin hn; a dng ha cc hnh thc huy ng

vn, to ra nhiu sn phm huy ng vn thu ht tin gi trn th trng;

Hon thin v pht trin mng li huy ng vn: mng li truyn thng


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(chi nhnh, phng giao dch, im giao dch,), mng li hin i (ATM,

th thanh ton, th tn dng,)

+ Bin php tm l: L bin php tc ng vo tnh cm, tm lca khch hng to lp, cng c, duy tr v pht trin mi quan h tt p,

lu di, bn vng gia Ngn hng v khch hng. lm c iu ny,

Ngn hng cn tuyn truyn, qung co rng ri, o to i ng cn b ngn

hng vng chuyn mn, c kh nng giao tip ng x to ra hnh nh p

v ngn hng c ni dung v hnh thc.

S dng cc cng c cbn tm kim ngun vn: Khi pht sinh

nhu cu vn vt qu kh nng thanh khon, ngn hng vay theo th t sau:

Vay qua m; Vay ti cp vn ca NHNN; S dng cc hp ng mua li,

pht hnh cc chng ch tin gi c mnh gi ln huy ng vn,

a dng ha cc ngun vn huy ng v to ccu ngun vn sao

cho ph hp vi nhng c im hot ng ca ngn hng. C th, i vi

ngn hng bn l ch yu cho vay ngn hn b sung nhu cu tiu dng,

nhu cu vn lu ng nn u tin huy ng vn ngn hn. i vi ngn hngbn bun ch yu cho vay trung di hn nn u tin huy ng vn trung di

hn.

Tn dng ngun vn ngn hn cho vay trung, di hn theo quy

nh ca lut php: Cc ngn hng c th dng ngun vn ngn hn cho

vay trung, di hn nhng phi m bo t l theo quy nh ca php lut.

Hin nay, theo quyt nh 457/Q/NHNN ngy 19/04/2005, t l p dng

i vi NHTMl 40% v p dng i vi t chc khc l 30%.

Thc hin y cc ni dung cbn trong qun l TSN ca ngn

hng: Xy dng k hoch ngun vn ca ngn hng m bo cn i gia

ngun vn vi s dng vn v m bo kh nng thanh ton, m bo cn

i trng thi ng. Do , khi lp k hoch ngun vn nh qun tr phi

xut pht t ccu v quy m TSC quyt nh ccu, quy m TSN, ph

hp vi kh nng qun l v m bo c hiu qu kinh doanh ca ngn


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hng. K hoch ngun vn ca ton h thng phi c xy dng trn cs

tng hp k hoch ngun vn ca cc chi nhnh v hi schnh. Sau khi k

hoch c duyt s giao ch tiu huy ng n tng chi nhnh; Thc hincng tc iu hnh vn trong ton h thng: giao k hoch ngun vn cho

tng chi nhnh, xc nh hn mc iu chuyn vn trong ni b h thng, li

sut iu chuyn vn,; Phn tch, nh gi tnh hnh thc hin k hoch

ngun vn trong tng thi k ca tng chi nhnh v ton h thng; Theo di

vic thc hin li sut, chnh lch li sut bnh qun cho vay v huy ng

ca tng chi nhnh cng nh ton b h thng.

Thc hin quy trnh qun l TSN ca ngn hng: Mi h thng ngn

hng u c quy trnh qun l TSN ring ca mnh nhng quy trnh ny vn

c nhng nt chung v xy dng k hoch ngun vn, lp k hoch ngun

vn, thc hin huy ng vn gn lin vi vic iu ha vn trong ton h

thng,

1.3.Qun tr TSC1.3.1. Nhng vn chung v qun tr TSC ca ngn hng1.3.1.1. Khi nim v TSC v qun tr TSC ca ngn hng

C quan im cho rng TSC l gi tr tin t ca cc ti sn m ngn hng

c quyn shu (bao gm cc quyn chim hu, s dng v nh hot) mt

cch hp php, chng l kt qu ca cc hot ng trc , hin ang c

s dng cho nhng mc ch khc nhau nhm mang li thu nhp cho ngn

hng, tnh n mt thi im nht nh.

mt gc tip cn khc, TSC l kt qu ca vic s dng vn ca

ngn hng, l nhng ti sn c hnh thnh t cc ngun vn ca ngn hng

trong qu trnh hot ng.

Phn loi TSC ca ngn hng:

Cn c vo hnh thc tn ti, TSC ca ngn hng c th tn ti

di dng ti sn thc, ti sn ti chnh v ti sn v hnh.


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Cn c vo ngun gc hnh thnh, ti sn ca ngn hng c

hnh thnh ch yu t ngun vn ch shu, vn tch ly trong qu trnh

kinh doanh, vn huy ng v vn i vay,

Cn c vo v tr trong bng Tng kt ti sn, ti sn ca ngn

hng bao gm ti sn ni bng v ti sn ngoi bng.

TSC = Vn ngn hng + TSN

Qun tr TSC l vic qun l cc danh mc s dng vn ca ngn hng

nhm to mt ccu TSC thch hp bao gm: ngn qu, tn dng, u t v

cc ti sn khc m bo ngn hng hot ng kinh doanh an ton v c li.

1.3.1.2. Cc yu t tc ng n qun tr TSCCc quy nh ca lut php: lut ngn hng, lut t ai, lut dn s,

lut tha k, lut doanh nghip,

Mi lin h tng h gia ngn hng vi khch hng: va l ngi i

vay va l ngi cho vay. Do c hai phi h trcho nhau.

Li nhun m ngn hng t c trong kinh doanh v nhu cu tng

c tc ca cc cng.

Hiu qu v s an ton ca ngn hng trong kinh doanh (p ng nhu

cu thanh khon)

1.3.1.3. Cc nguyn tc qun tr TSCa dng ha cc khon mc TSC phn tn ri ro.

Phi gii quyt tt nht mi quan h gia thanh khon v kh nng

sinh li trong mt khon mc TSC.

Phi m bo c s chuyn ha mt cch linh hot v mt gi tr

gia cc danh mc ca TSC nhm gip cho ngn hng lun c c mt

danh mc TSC ph hp vi nhng bin ng ca mi trng kinh doanh.

1.3.2. Cc thnh phn ca TSCTSC gm c cc thnh phn sau:


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Ngn qu:L khon TSC tnh thanh khon cao m ngn hng phi

duy tr m bo an ton trong hot ng kinh doanh, bao gm tin mt ti

qu, tin gi ti cc ngn hng khc v d tr php nh.

Thng thng y l nhng ti sn khng sinh li, c duy tr ch yu

p ng nhu cu chi tr cho khch hng gi tin, chi ph cho hot ng

ca ngn hng, b p thiu ht trong thanh ton b tr v thc hin d tr

bt buc theo quy nh ca NHNN. Trong tng lai, khon mc ny c xu

hng gim do s pht trin ca h thng thanh ton khng dng tin mt,

trnh qun l ca ngn hng.

Khon mc u t: Trong hot ng kinh doanh ngn hng, cc ngn

hng huy ng vn v s dng ngun vn huy ng c u t (c th

u t trc tip hoc gin tip) nhm t li nhun nhng vn phi m bo

thanh khon. m bo an ton v kinh doanh c li, cc ngn hng cn

xy dng mt danh mc u t nhm:

n nh ha thu nh p: nhm m bo li nhun cho ngn hng.

Trong trng h p thu nhp t cho vay ca ngn hng gim xung th thunhp t chng khon s b p khon thiu ht .

B tr ri ro tn dng trong danh mc cho vay: cc ngn hng u

t vo cc chng khon cht lng cao, chc chn c thanh ton, c tnh

thanh khon cao.

Cung cp ngun thanh khon d phng cho ngn hng: Khi nhu

cu chi tr pht sinh m d phng scp khng p ng, ngn hng c

th bn cc chng khon u t trn th trng, hoc chit khu, ti chit

khu ti NHNN nhm m bo thanh khon.

Gip cho ngn hng gim s thu phi n p nhng vn tng thu

nhp, c bit l tri phiu th (l loi tri phiu c min thu thu nhp)

To ra s phng v cho ngn hng nhm ngn nga thit hi khi

ri ro xut hin. N gip cho ngn hng c th thay i c cu danh mc

TSC mt cch linh hot v ph hp vi mi trng kinh doanh.


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Chng khon u t gm c: cc cng c ca th trng tin t v cc

cng c ca th trng vn, c th:

Cc cng c ca th trng tin t: Nhng cng c ny c c

im chung: li tc thp, ngy o hn di 1 nm, tnh kh mi cao, mc

ri ro thp. Bao gm: Tri phiu ngn hn ca cc cng ty, x nghip; Tri

phiu th thi hn di 1 nm; Cc hi phiu, k phiu thng mi

c mt ngn hng xc nhn hoc qua t nht hai ln chuyn nhng;

Tn phiu kho bc; Tn phiu NHNN; Chng ch tin gi c thi hn di 1

nm.

Cc cng c ca th trng vn: Nhng cng c ny c c im

chung l li tc cao, thi gian o hn trn 1 nm, tnh kh mi thp, nhiu

ri ro: Tri phiu Chnh ph c thi hn trn 1 nm; Tri phiu th thi

hn trn 1 nm; K phiu ngn hng c thi hn trn 1 nm; Tri phiu di

hn ca cc cng ty, x nghip,..; Cng tri.

Khon mc tn dng: y l khon mc rt quan trng v n thu ht

khong 60-75% tng TSC ca Ngn hng, mang li 2/3 tng thu nh p chongn hng v l khon mc cha ng rt nhiu ri ro. Qua c thnh

gi c trnh v hiu qu kinh doanh ca ngn hng. Gi tr cc danh

mc ca khon mc tn dng cao hay thp ty thuc vo cc yu t sau:

c im ca khu vc th trng ni ngn hng ang hot ng

(khu dn c, khu cng nghip)

Quy m ca ngn hng, c bit l quy m vn t c. C th: i

vi ngn hng c quy m ln, vn nhiu ch yu cho vay cc doanh nghip

ln, thng thng l khon vay trung di hn. i vi nhng ngn hng

nh, vn t ch yu cho vay cc tng lp dn c hoc doanh nghip va v

nh nh cho vay tiu dng, cho vay b sung vn lu ng.

Kinh nghim v trnh qun l: cc ngn hng c kinh nghim

v hiu bit su v loi hnh tn dng no th s tp trung cho vay loi hnh

tn dng tng li nhun v gim thiu ri ro.


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Li nhun mong i ca mt khon tn dng: Ngn hng s tp

trung cho vay i vi nhng khon tn dng mang li li nhun ln sau khi

tnh ton chi ph v nhng khon thit hi do ri ro gy ra.

Danh mc tn dng ca ngn hng c cu thnh bi cc loi hnh tn

dng sau: Cho vay trc tip, Cho vay gin tip, Cho thu ti chnh, Bo lnh

ngn hng.

Ngoi ra cn c danh mc TSC khc, gm: ti sn cnh, cc khon

phi thu, chi ph,

1.3.3. Cc phng php qun tr TSC1.3.3.1. Phn chia TSC qun l

Ty theo c im, mc tiu ca mnh, cc ngn hng c th phn chia

TSC theo nhiu cch qun l, bao gm:

Cn c vo th tu tin ca cc khon mc TSC:

D tr scp: Nhm p ng nhu cu chi tr pht sinh hng ngy,

thng xuyn ti ngn hng. Gm tin mt, tin gi (bao gm tin gi

NHNN v tin gi vt mc ti thiu duy tr ti khon ti cc ngn hngkhc). y l TSC khng sinh li nn cc ngn hng ch d tr va .

D tr th cp: Dng cho nhng nhu cu mang tnh chu k hoc

t xut khi d tr scp khng p ng, l u tin th hai ca ngn

hng, c s dng khi d tr scp b cn kit. y l nhng chng khon

c tnh thanh khon cao m ngn hng ang u t, cc chng khon ny

phi tha mn ng thi ba iu kin: An ton (phi chc chn c thanh

ton khi n hn); Thi gian o hn ngn (di 1 nm); C tnh thanh

khon cao.

Tn dng: Bao gm cc khon cho vay, chit khu cc cng c

chuyn nhng v giy t c gi, cho thu ti chnh, bo lnh, bao thanh

ton,

u t: y l nhng khon u t v li tc gm cc tri phiu

ca cng ty, x nghip c thi hn di, li tc cao.


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TSC khc

Cn c vo c im v tnh cht ca ngun hnh thnh TSC: Da vo

nhng c im v tnh cht ca ngun hnh thnh ti sn, ngn hng c th

xy dng nn khon mc ca TSC thch hp.

i vi tin gi khng k hn: y l loi tin gi khng n nh,

li sut thp nn ngn hng s dng hu ht cho d tr scp, mt phn cn

li dng cho vay ngn hn.

i vi ngun vn huy ng c k hn: y l loi tin gi n

nh, ri ro th p, nhu cu d tr cho loi tin gi ny tng i th p nnphn ln ngun ny c dng cho vay trung di hn.

i vi vn iu l v cc qu: y l vn ch shu ca ngn

hng, tnh n nh ln nn nhu cu d tr cho ngun vn ny l khng cn

thit, thng c s dng mua sm ti sn c nh, hn vn, lin

doanh,

Phng php m hnh lp trnh tuyn tnh: Nh qun tr xc nh t

sut li nhun mang li ca tng loi TSC, sau xc nh khi lng ca

tng danh mc TSC m ngn hng phi u t ti a ha li nhun.

Khon mc T sut (%) Khi lng

1. D tr scp2. D tr th cp3. Tn dng4. u t5. Ti sn khc

2

4

8

6

1

X1

X2

X3

X4

X5

F(x) = 2X1 + 4X2 + 8X3 + 6X4 + X5 -> Max

1.3.3.2. Qun tr dtrD tr l mt b phn ti sn ca ngn hng, c duy tr song song

vi ti sn sinh li nhm m bo kh nng chi tr thng xuyn ca ngn

hng. lm c iu , TSC lun lun phi ln hn TSN. Nu xt kh


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- 16 -

nng chi tr trong ngn hn, TSC ngn hn phi lun lun ln hn TSN ngn

hn.

Cc hnh thc d tr ca ngn hng:

Cn c vo yu cu d tr: gm d tr php nh v d tr thng

d. Trong , d tr php nh l khon d tr m NHTM phi thc hin

theo yu cu ca NHNN; d tr thng d l khon d tr bao gm khi

lng qu vt qu nhu cu d tr php nh v bt c s vn b sung no

m cc NHTM xem l cn thit cung ng thm ngun thanh khon cho

cc TSN.

Cn c vo cp d tr: gm d tr scp v d tr thc cp.

Cn c vo hnh thi tn ti: gm tin mt, tin gi ngn hng

khc v cc chng khon c tnh thanh khon cao.

Ti sn d tr v nhu cu d tr:

D tr php nh (d tr bt buc): l khon d tr m NHNN

buc cc TCTD hot ng ti Vit Nam phi duy tr trn ti khon tin gi

thanh ton ti NHNN. D tr bt buc c duy tr bo v quyn li ca

ngi gi tin vo ngn hng, m bo cho NHNN c th iu chnh

c kh nng to tin ca NHTM nhm thc hin chnh sch tin t ca

mnh.

Tin mt ti qu: c duy tr p ng nhu cu rt tin mt

hng ngy ca khch hng, chi tr li v cc khon tin gi n hn, cho vay

v thc hin cc khon chi tiu bng tin mt trong ngy ca ngn hng.

Hin nay Vit Nam, lng tin mt ti qu chim khong 5% tng TSC,

trong khi t l ny cc nc pht trin ch xp x 1%. Cc ngn hng ch

gi mt lng tin mt va m bo an ton v ti a ha li nhun.

Bn cnh , mc d tr tin mt ca NHTM ph thuc vo cc yu t:

khong cch t ngn hng n trung tm tin mt (NHNN, hi s ca

NHTM); thi quen s dng tin mt ca khch hng; nhu cu ca khch

hng ti tng thi im.


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- 17 -

Tin gi thanh ton ti ngn hng khc: y l loi tin gi khng

sinh li, tn km chi ph v ngn qu. Do , khi nhu cu chi tr cha pht

sinh, cc ngn hng ch m bo tin gi thanh ton mc va ,

thng mc s d ti thiu theo quy nh duy tr ti khon (chim

khong 1%-2% trong tng TSC ca ngn hng). Bao gm: tin gi khng k

hn ti NHNN v tin gi ti cc NHTM khc.

Tin ang chuyn: Khon tin ny khng ln, ch chim khong

1% tng TSC. Khi trnh hch ton k ton v lun chuyn chng t ngy

cng pht trin th khon tin ny s ngy cng gim i. Bao gm: tin ang

trong thi gian chi hon tt th tc lun chuyn chng t nh tin mt

np vo NHNN nhng cha nhn c giy bo c ca NHNN, cc tsc

m ngn hng l ngi th hng, np vo ngn hng chi tr nhng cha

c thanh ton,

1.3.3.3. Xy dng mt chnh sch tn dng hiu quChnh sch tn dng l h thng cc quan im, ch trng, nh hng

quy nh cho hot ng tn dng v u t ca ngn hng, do Hi ngqun tra ra ph hp vi chin lc pht trin ca ngn hng v nhng

quy nh php l hin hnh. Mc ch ca chnh sch tn dng:

Cung cp ng li c th ca ngn hng cho nhn vin tn dng

v cc nh qun tr khi a ra quyt nh cho vay i vi khch hng.

H trcho ngn hng hng ti mt danh mc cho vay c th kt

hp nhiu mc tiu khc nhau (tng li nhun; phng chng, kim sot ri

ro; tha mn cc yu cu v mt php l; ph hp vi th mnh ca ngn

hng)

xy dng mt chnh sch tn dng, chng ta cn:

Phi xc nh quy m tn dng: Xc nh t trng ca khon mc

tn dng trong danh mc TSC.

Cc thnh phn ca mt khon tn dng: hn mc tn dng, thi

hn cho vay, thi gian u i tn dng, thi gian tr n, k hn tr n,..


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- 18 -

Quyn phn quyt v mc phn quyt: Quyn phn quyt thuc v

thnh vin ca ban iu hnh (gim c, ph gim c chi nhnh, tng gim

c, ph tng gim c, ch tch hi ng qun tr). Ngi c chc v cng

ln th quyn phn quyt cng cao v n gn lin vi trch nhim ca ngi

a ra phn quyt.

Xc nh xem nhng giy t, h sphp l no ca khch hng

i hi phi i km vi n xin vay v cn bo qun ti ngn hng.

Nhng nguyn tc tip nhn, nh gi v qun l ti sn th chp,

cm c.

Nhng tiu chun cht lng ti thiu p dng vi tt c cc

khon cho vay; trnh t, th tc gii quyt mt h svay vn ca ngn hng.

Xc nh r khch hng chin lc v ngnh hng chin lc ca

ngn hng.

Chnh sch u i khch hng: u i v li sut cho vay, v hn

mc tn dng, v ti sn m bo, phng thc cho vay v thi hn vay,

Chnh sch cnh tranh, marketing: Ngn hng qung b chnh sch

tn dng v iu kin vay vn nhm gip khch hng vay hiu v thc hin

ng, gim st vic trin khai thc hin ca cn b tn dng, thng tin ngc

li cho ngn hng bng cc xut, kin ngh cn sa cha v hon thin

chnh sch tn dng ca ngn hng.

Xc nh chnh sch li sut cho vay.

Chnh sch qun l ri ro tn dng: Phi m bo cc nguyn tc:

Phn tn ri ro; Quy trnh xt duyt cp tn dng phi qua nhiu cp, nhiu

ngi hoc tp th; Kim tra, gim st thng xuyn.

V vic phn tch tn dng cc ngn hng c th thc hin khc nhau

nhng u phn tch trn hai kha cnh l phn tch ti chnh, phn tch phi

ti chnh v mc ch chung u l xc nh kh nng, thnh ca khch

hng trong hon tr tin vay, li vay theo nhng iu khon ca hp ng tn

dng c k kt.


30/103

- 19 -

1.3.3.4. Xy dng chnh sch u thiu qu xy dng mt chnh sch u t hiu qu, cc ngn hng da vo:

Cc nhn tnh hng n chnh sch u t ca ngn hng nh: t

sut li nhun k vng khi u t chng khon, t l thu nhp sau thu so

vi t l thu nhp trc thu, cc nhn t ri ro v li sut, ri ro v tn dng,

ri ro thanh khon, ri ro thu hi trc hn ca ngi pht hnh chng

khon, ri ro lm pht, ri ro v k hn nm gi chng khon.

Chnh sch u t ca ngn hng: Ngn hng cn c mt chnh sch

u t hu hiu, c a s cng thng qua v ban hnh di dng vn

bn, bao gm cc ni dung ch yu: nu r mc tiu hot ng u t ca

ngn hng, xc nh ccu danh mc chng khon, xc nh t trng ca

khon mc u t chng khon trong tng TSC ca ngn hng, xc nh r

kh nng cm c chng khon, chit khu hoc ti chit khu khi nhu cu

vn pht sinh,

Chin lc v k hn u t: Ngn hng phi phn phi cc loi

chng khon vi cu trc v mt thi hn sao cho c li nht.1.4. Qun tr TSN v TSC trnh ri ro li sut

Ngn hng l mt t chc rt phc tp, bao gm nhiu phng ban cung

cp cc loi dch v tin ta dng. Mt ngn hng c qun l tt, mi

quyt nh cn c phi hp vi nhau m bo sng b, thng nht

trong hot ng. Trong , cc danh mc TSC v TSN phi c nhn nhn

nh mt th thng nht trong qu trnh nh gi nh hng ca chng ti

mc tiu c ra, m bo kh nng sinh li vi mc ri ro c th

chp nhn. Qu trnh ra quyt nh mang tnh phi hp v tng hp nh vy

c gi l phng php qun l TSN v TSC ca ngn hng. Qun l tt

TSN v TSC s gip cc Ngn hng chng li nhng ri ro do s thay i li

sut.

Mc ch ca qun tr TSN v TSC l to lp v thc hin cc chin lc

cng c Bng cn i k ton, nhm m bo cho ngn hng: c th ti a


31/103

- 20 -

ha hoc t nht l n nh mc thu nhp t li (chnh lch gia thu t li v

chi t li); Ti a ha hoc t nht l bo v tr gi ti sn ca ngn hng (gi

c phiu) vi mc ri ro hp l.Trc y, khng phi ngn hng no cng c thnh gi ton din v

danh mc TSC TSN ca mnh. Bi vy, trong mt thi gian di, vi quan

im qun l ti sn, khch hng ca ngn hng l yu t chnh quyt nh

quy m v loi hnh ca cc ngun vn m ngn hng c th huy ng. Ngn

hng ch qun l qu trnh phn b cc ngun vn huy ng thng qua vic

quyt nh xem khch hng no sc vay vn v hp ng vay vn s

gm nhng iu khon no. n thp k 60 v 70, i ph vi xu hng

gia tng li sut v cnh tranh gay gt v ngun vn, cc ngn hng bt u

quan tm ti vic khi mnhng ngun vn mi, qun l cu trc v chi ph

ca tin gi cng nh ca cc ngun vn phi tin gi. y c gi l l

thuyt qun l TSN. Theo , ngn hng tng cng hot ng qun l

ngun vn: qun l cht ch gi c ca ngun vn hay li sut m ngn hng

phi thanh ton i vi cc khon tin gi v cc khon vn vay nhm tc mc tiu v chi ph, quy m v cu trc ca ngun vn. Nu nhu cu

vay vn vt qu lng vn kh dng, ngn hng c th tng li sut huy

ng ht vn. V ngc li, nu nhu cu vay vn thp hn lng vn kh

dng, ngn hng c th h thp li sut huy ng.

Cho n khi th trng xut hin s bt n nh trong li sut nh hng

ln n hot ng kinh doanh ca ngn hng, vic dung ha gia qun l

TSC v TSN mi c s dng. y c gi l chin lc qun l hn hp

vi nhng im chnh:

t c mc tiu k hoch ra, nh qun tr phi ch

trng kim sot quy m, cu trc, chi ph v thu nhp ca c hai bn TSC v

TSN.


32/103

- 21 -

Qun tr TSN v TSC phi l mt qu trnh thng nht, h trln

nhau ti a ha thu nhp ca ngn hng ng thi gip kim sot cht ch

cc ri ro m ngn hng phi i mt.

Thu nhp v chi ph c th pht sinh t c TSC v TSN. Do ,

chnh sch ca ngn hng cn c iu chnh ph hp nhm ti a ha thu

nhp, ti thiu ha chi ph trong mi hot ng ca ngn hng d hot ng

xut pht t pha TSN hay TSC.

1.4.1. Ri ro li sutLi sut c th hiu l gi c ca tn dng, l gi m ngi cho vay t ra

nh i ly quyn s dng vn cho vay ca h. Hay li sut l t l gia

mc ph chng ta phi tr nhn c khon vay trn gi tr khon vay.

Mt ngn hng d ln hay nh cng ch l mt ch th c nhu cu i vay

v cho vay trn mt th trng c hng ngn ngi i vay v ngi cho vay

nn ngn hng khng th l ngi to gi m ch l ngi chp nhn gi,

chp nhn v lp k hoch hot ng trn csmc hin ti v khuynh

hng vn ng ca li sut. Mt s thay i li sut snh hng n gitr th trng ca TSC v TSN, lm thay i gi tr vn ch shu ca ngn

hng; tc ng trc tip n li nhun ca ngn hng.

Khi li sut thay i, ngn hng t nht phi ng u vi hai loi ri ro

li sut: ri ro v gi v ri ro ti u t. Ri ro v gi pht sinh khi li sut

th trng tng s lm gim gi tr cc khon u t di hn li sut cnh

ca ngn hng. Ri ro ti u t xut hin khi li sut th trng h khin

ngn hng phi chp nhn u t ngun vn ca mnh vo nhng TSC mc

sinh li thp hn, h thp thu nhp k vng trong tng lai ca ngn hng.

Cc b phn cu thnh li sut: Li sut ca mt khon vay c cu

thnh bi rt nhiu thnh phn:

Li sut th trng

ca mt khon vay

hay mt chng khon

=

Li sut thc ca cc

chng khon khng c ri

ro

+

Phn b

ri ro cho

vay


33/103

- 22 -

Trong :

Chng khon khng c ri ro: li sut tri phiu chnh hc iu

chnh theo lm pht.

Phn b ri ro cho vay: ri ro khng thu hi c n, ri ro lm pht,

ri ro k hn, ri ro v kh nng tiu th, ri ro thu hi,

Ngoi ra, mt yu t cu thnh cbn ca li sut l phn b k hn. Mt

khon cho vay di hn s c li sut cao hn v xc sut xy ra ri ro cao hn

so vi nhng khon vay ngn hn. Trn thc t, cc nh qun tr khng th

d bo chnh xc li sut th trng v vic d bo chnh xc li sut th

trng cn phi c kh nng d bo nhng thay i trong snh gi ca th

trng i vi tt c nhng nhn t cu thnh li sut c cp trn. Do

, cc ngn hng phi chp nhn rng ngn hng khng th kim sot v d

bo chnh xc v li sut nn ngn hng phi tm nhng bin php bo v

i ph vi ri ro li sut.

1.4.2. Mc tiu ca hot ng qun l ri ro li sutMc tiu quan trng trong hot ng qun l ri ro li sut l bo v thu

nhp d kin mc tng i n nh bt chp s thay i ca li sut.

t c mc tiu ny, ngn hng phi duy tr t l thu nh p li cn bin

(NIM) cnh. y l h s gip cho ngn hng d bo trc kh nng sinh

li ca ngn hng thng qua vic kim sot cht ch ti sn sinh li v tm

kim nhng ngun vn c chi ph thp nht. H s ny cho thy nu chi ph

huy ng vn tng nhanh hn li thu t cho vay v u t hoc li thu t cho

vay v u t gim nhanh hn chi ph huy ng vn s lm cho NIM b thu

hp li, ri ro li sut s ln.

Thu nhp li Chi ph liH s chnh lch li

thun (NIM)=

Tng TSC sinh li*100

Trong :

Thu nhp li: li cho vay, u t, li tin gi ti ngn hng khc, li

u t chng khon,


34/103

- 23 -

Chi ph li: chi ph huy ng vn, i vay,..

Tng TSC sinh li = Tng TSC Tin mt & Ti sn cnh

Nh vy, t l thu nhp li cn bin ca ngn hng chu s tc ng ca

nhiu yu t nh:

Nhng thay i trong li sut

Nhng thay i trong mc chnh lch gia li thu t TSC v chi ph

phi tr li cho TSN.

Nhng thay i v gi tr ti sn nhy cm li sut m ngn hng nm

gi khi mrng hay thu hp quy m hot ng ca mnh.Nhng thay i v gi tr TSN phi tr li m ngn hng s dng

ti trcho danh mc ti sn sinh li khi mrng hoc thu hp hot ng.

Nhng thay i v cu trc ca TSC v TSN m ngn hng thc hin

khi tin hnh chuyn i TSC, TSN gia li sut cnh v li sut thay i,

gia k hn ngn v k hn di, gia ti sn mang li mc thu nhp thp vi

ti sn mang li mc thu nhp cao.

Thng qua vic duy tr t l thu nhp li cn bin chng ta thy rng, vic

phi h p gia qun tr TSN v TSC phi lun lun c thc hin song

song, h tr ln nhau mi c th bo v thu nhp d kin ca Ngn hng

khi ri ro li sut. c th thy r hn quan h gia qun tr TSN v qun

tr TSC, chng ta xem xt cch phng chng ri ro li sut thng qua vic

xc nh - kim sot khe hnhy cm li sut v vic qun l khe hk hn

ca cc ngn hng.

1.4.3. Qun l khe hnhy cm li sut thc hin vic qun l khe hnhy cm li sut, ngn hng cn tin

hnh phn tch k hn, nh gi li cc chi gn vi nhng ti sn sinh li

ca ngn hng, nhng khan tin gi cng nh vi nhng khon vn vay

trn th trng. Ti bt c thi im no, ngn hng c th t bo v trc

nhng thay i ca li sut bng cch bo m cn bng sau:

Gi tr ti sn nhy cm li sut = Gi tr nnhy cm li sut


35/103

- 24 -

Trong :

Ti sn nhy cm li sut l nhng TSC thc nh gi li khi li

sut thay i: cc khon cho vay sp n hn, cc khon cho vay v chng

khon c li sut th ni,

Nnhy cm li sut l nhng khon vn m li sut c iu chnh

theo iu kin th trng: tit kim ngn hn, tin gi mang li sut th

ni,

Khi gi tr ti sn nhy cm li sut v gi tr nnhy cm li sut khng

cn bng, khe hnhy cm li sut c hnh thnh:

Khe h nhy

cm li sut (R)=

Gi tr ti sn nhy

cm li sut-

Gi tr n nhy

cm li sut

Trong mi giai on k hoch (ngy, tun, thng,), nu gi tr ti sn

nhy cm li sut ln hn gi tr nnhy cm li sut, ta c khe hnhy cm

li sut dng hay khe hnhy cm ti sn. V ngc li, nu gi tr ti sn

nhy cm li sut nh hn gi tr nnhy cm li sut, ta c khe hnhy

cm li sut m hay khe hnhy cm n.Trng h p R = 0: gi tr ti sn nhy cm li sut bng gi tr n

nhy cm li sut: khi li sut tng hay gim cng khng lm nh hng n

li nhun ca ngn hng.

Trng hp R > 0: gi tr ti sn nhy cm li sut ln hn gi tr n

nhy cm li sut: Khi li sut th trng tng, li nhun ca ngn hng s

tng. V ngc li, khi li sut th trng gim, thu nhp t li gim nhanh

hn chi ph li phi tr, ri ro li sut s xut hin lm gim li nhun ca

ngn hng.

Trng hp R < 0: Gi tr ti sn nhy cm li sut nh hn gi tr n

nhy cm li sut. Khi li sut th trng gim, li nhun ca ngn hng s

tng. V ngc li, khi li sut th trng tng, thu li tng chm hn chi ph

li, ri ro li sut xut hin lm gim li nhun ca ngn hng.

Nh vy:


36/103

- 25 -

Khi R = 0: Ri ro li sut khng xut hin

Khi R > 0: Ri ro li sut xut hin khi li sut th trng gim

v NIM gim. Lc , ngn hng c th khng lm g v nghli sut s tng

li hoc n nh; hoc ko di k hn ca TSC hoc thu hp k hn ca danh

mc TSN; hoc tng TSN nhy cm li sut hoc gim TSC nhy cm li

sut

Khi R < 0: Ri ro li sut xut hin khi li sut th trng tng

v NIM gim. Ngn hng c th khng lm g v ngh li sut s gim hoc

n nh; hoc thu hp k hn ca TSC hoc ko di k hn ca danh mc

TSN; hoc gim TSN nhy cm li sut hoc tng TSC nhy cm li sut.

Mc thay i li nhun = R * Mc thay i li sut.

Nu ngn hng tin vo kh nng d bo li sut ca mnh, h thng

xuyn thay i khe hnhy cm li sut, t ngn hng vo trng thi nhy

cm TSC hoc nhy cm TSN. y c gi l phng php qun l khe h

nng ng:

Nhng don ca ngn

hng v s

thay i ca

li sut.

Gi tr khe

hnhy

cm li

sut ti u

Phn ng ca cc nh qun

l

Kt qu (nu don

ng)

Li sut th

trng tng

Khe h

dng

Tng ti sn nhy cm li

sut

Gim nnhy cm li sut

Thu nh p li t TSC

s tng nhiu hn chi

ph tr li

Li sut th

trng gim

Khe h

m

Gim ti sn nhy cm li

sut

Tng nnhy cm li sut

Chi ph tr li cho cc

khon n s gim

nhiu hn thu li.

Tuy nhin, chin lc qun l nng ng buc cc ngn hng phi i

mt vi nhiu ri ro hn v kh nng don ng chiu hng thay i ca

li sut rt thp nn phn ln cc ngn hng ch s dng phng nga ri

ro ch khng phi tng thu nhp.


37/103

- 26 -

Cc ngn hng ln ngy nay thng s dng my vi tnh xc nh gi

tr TSC nhy cm li sut v gi tr TSN nhy cm li sut trong nhng

khong thi gian khc nhau v qun l mc nhy cm li sut da trnquan im qun l ri ro v da trn s nhy cm v ri ro ca nhng ngi

qun l ngn hng. Tuy nhin, k thut qun l khe hnhy cm li sut cn

c nhiu hn ch. S la chn thi gian phn tch hon ton ty theo tng

ngn hng. ng thi, li sut trong hot ng ngn hng v li sut th

trng thay i vi nhng tc khc nhau. V cui cng, vic qun l khe

hnhy cm li sut khng nhm mc ch bo v gi tr TSC v c bit l

khng bo vc gi tr rng ca ngn hng. lm c vic , chng

ta phi i vo phn tch khe hk hn.

1.4.4. Qun l khe hk hn.c s dng khc phc nhc im ca vic da vo khe hnhy

cm li sut nh gi ri ro li sut l ch ch trng vo s liu trn s

sch k ton ca vn m khng nghin cu y tc ng ca ri ro li

sut n gi tr th trng ca vn. Hn na, qun l khe hnhy cm lisut khng a ra mt con s c th v mc ri ro li sut tng th ca

ngn hng.

i vo phn tch khe hk hn, trc tin chng ta lm quen vi khi

nim k hn hon vn v k hn hon tr.

K hn hon vn ca ti sn l thi gian trung bnh cn thit thu hi

khon vn b ra u t, l thi gian trung bnh da trn dng tin d

tnh s nhn c trong tng lai.

K hn hon tr ca TSN l thi gian trung bnh cn thit hon tr

khon vn huy ng, l thi gian trung bnh ca dng tin d tnh ra khi

ngn hng.

Tng nKhe h

k hn=

K hn hon

vn trung bnh

ca ti sn

-

K hn hon tr

trung bnh ca

n

*Tng ti sn


38/103

- 27 -

phng chng ri ro li sut, cc ngn hng thng c gng duy tr cn

i gia ti sn v ngun vn vay sao cho khe hk hn tin gn ti 0, lc

k hn hon vn trung bnh ca ti sn s gn bng k hn hon tr trungbnh ca ngun vn.

Bn cnh , trong mt ngn hng, gi tr TSC lun lun phi ln hn gi

tr TSN m bo kh nng thanh ton, nn nu ngn hng mun c khe h

k hn bng 0 cn phi m bo:

Tng gi tr TSNK hn hon vn

trung bnh theo gi

tr ti sn

=

K hn hon tr trung

bnh theo gi tr ca

TSN

*

Tng gi tr TSC

Nh vy, c th loi b ri ro li sut, gi tr vn vay phi thay i

nhiu hn gi tr TSC.

Theo cng thc, nu k hn hon vn trung bnh ca TSC khng tng

ng vi k hn hon tr trung bnh ca TSN th ngn hng s phi chu ri

ro li sut, c th:

Khi khe hk hn dng: K hn hon vn trung bnh ca ti sn lnhn K hn hon tr trung bnh n.

Nu li sut tng s lm gim gi tr rng ca ngn hng bi v gi

tr TSC gim nhiu hn gi tr TSN.

Nu li sut gim s lm tng gi tr rng ca ngn hng.

Khi khe hk hn m: K hn hon vn trung bnh ca ti sn nh

hn K hn hon tr trung bnh n.

Nu li sut tng s lm tng gi tr rng ca ngn hng.

Nu li sut gim s lm gim gi tr rng ca ngn hng.

Cng thc chun tnh k hn hon vn v k hn hon tr ca mt

cng c ti chnh l:


39/103

- 28 -

DA =

=

=

+

+n

tt

n

tt

YTMoooooooooooooooooooooooooooooooooo

YTM

tfffffffffffffffffffffffdddfffffffffffffffffffffffffffffff

1

1

)1( 1

)1(

Nh ta bit:

Gi tr rng ca

ngn hng=

Gi tr tng

ti sn-

Gi tr tng vn

huy ng

NW = A L

Khi li sut thay i th NW = A L

ng thi, L thuyt Danh mc u t trong lnh vc ti chnh ch rarng: Li sut tng s lm gim gi tr th trng ca cc ti sn v ca cc

khon nmang li sut cnh; V K hn ca TSC v ca TSN cng di th

gi tr th trng ca chng cng gim mnh khi li sut tng. V vy, mc

thay i gi tr rng di tc ng ca li sut ph thuc vo tng quan

v k hn gia ti sn v cc khon vn vay ca ngn hng. Ta c cng thc:

NW = - DA * r)(1

r

+

* A - (DL* r)(1

r

+

* L)

Trong :

NW: S thay i gi tr rng ca ngn hng

DA : K hn hon vn trung bnh theo gi tr ca danh mc ti sn

A: Tng gi tr Ti sn

DL: K hn hon tr trung bnh theo gi ca danh mc n

L: Tng gi tr n

r: S thay i li sut

i: Li sut ban u.

Mc d cc ngn hng c th s dng cng c khe hk hn mt cch d

dng nhng n vn tn ti mt s hn ch: rt kh khn trong vic tm kim

cc TSC, TSN c k hn hon vn v k hn hon tr ph hp vi yu cu

ca ngn hng; i vi mt s loi ti khon khng th xc nh c chnh

xc m hnh lung tin vo ra lm cho vic tnh k hn hon tr, k hn hon

Dng tin d tnh trong khong thi gian t *

Dng tin d tnh trong khong thi gian t *


40/103

- 29 -

vn rt kh khn. Tuy nhin, n vn c s dng gip cc ngn hng

hn ch ri ro li sut.

KT LUN CHNG 1

Ngn hng l mt t chc kinh doanh rt c bit. Hot ng kinh doanh

ca mt ngn hng c th lm nh hng n hot ng kinh doanh ca ton

h thng ngn hng v x hi v cc ch th gi tin v vay tin ca ngn

hng l nhng cc TCKT, cc tng l p dn c trong ton x hi. V vy,

trong hot ng kinh doanh ca mnh, cc ngn hng cn cao cng tc

qun tr ri ro bo v ngn hng, bo v khch hng.


41/103

- 30 -

CHNG II: THC TRNG KIM SOT RI RO LI SUT TRONG

HOT NG KINH DOANH TI CC NHTMCP VIT NAM

2.1 Tnh hnh li sut huy ng v cho vay trn th trng tin t tcui nm 2006 n thng 06 nm 2008.

Li sut huy ng v li sut cho vay c duy tr kh n nh cho n

cui nm 2007. T thng 01/1008, do chnh sch tht cht tin t NHNN

thc hin nhiu bin php nhm gim lng tin trong lu thng. T, cc

Ngn hng bt u tng li sut huy ng vn, m bo thanh khon.

Tnh hnh li sut huy ng: Li sut huy ng VNc duy tr tng

i n nh t cui nm 2006 cho n thng 12/2007. Li sut huy ng cho

k hn 3 thng dao ng mc 7.80%/nm - 8.52%/nm; 6 thng (7.80

9.06%/nm); 12 thng (8.40 9.48%/nm). T u nm 2008, cc Ngn

hng ng lot tng li sut thu ht ngun tin gi t dn c. Li sut

bnh qun huy ng vo thng 04/2008 cho k hn 3 thng l 10.32%/nm

(tng khong 2%/nm so vi nm 2007); 6 thng l 10.50%/nm (tngkhong 1.5%/nm so vi nm 2007); 12 thng l 10.98%/nm (tng khong

1.5%/nm). Li sut tip tc tng cho n thng 08/2008, li sut huy ng

cho k hn 3 thng l 18.20%/nm; 6 thng l 18.00%/nm; 12 thng l

17.90%/nm. Nh vy, tnh n thng 08/2008, li sut huy ng VN tng

gp 2 ln so vi nm 2007.

Ring i vi li sut huy ng USD: p dng theo cch li sut th ni

gn vi li sut th trng tin t quc t, chu tc ng nh hng nhiu bi

cc t iu chnh, thay i li sut ca FED. n thng 05/2008, li sut

ca FED mc 2%/nm, tuy nhin, li sut tin gi USD Vit Nam ang

mc 7.2%/nm, cao hn 1.95% so vi mc li sut ca tri phiu chnh ph

1 nm ca M l 5.25%/nm.


42/103

- 31 -

Bng 2.1. Li sut huy ng

VN USD VN USD VN USDLoi k hn 3 thng 7.80 - 8.52 3.80 - 4.25 7.20 - 8.82 4.50 - 5.00 6.49 - 17.3 6.34 - 6.95Loi k hn 6 thng 7.80 - 9.06 4.00 - 4.40 7.56 - 9.12 4.60 - 5.20 6.59 - 17.616.48 - 7.09Loi k hn 12 thng 8.40 - 9.48 4.52 - 5.20 7.84 - 9.45 4.60 - 5.40 6.97 - 17.51 6.52 - 7.10Ngun: Bo co ca NHNN

Ch tiuT12/06 (%/nm) T 12/2007 (%/nm) T6/2008 (%/nm)

Tnh hnh li sut cho vay: T cui nm 2006 n thng 12/2007, li sut

cho vay VN ngn hn khong 12%/nm; trung di hn khong 13.5%/nm.

Cho n thng 06/2008, li sut cho vay ngn hn, trung di hn u mc

21%/nm, tng gp 1.55 ln so vi nm 2007.

i vi USD, trong nm 2006 v nm 2007, li sut cho vay dao ng

trong khong 6%/nm 8.7%/nm. n thng 06/2008, li sut cho vay dao

ng trong khong 9.5%/nm 13%/nm, tng gp 1.5 ln so vi nm 2007.

Bng 2.2. Li sut cho vay

VN USD VN USD VN USD

Cho vay ngn hn 10.80 - 13.80 6.00 - 7.50 10.80 - 13.80 6.40 - 7.50 0.00 - 21.0 9.50 - 12.00Cho vay trung, di hn 12.00 - 15.48 6.50 - 8.70 12.36 - 15.48 7.00 - 7.80 21.00 9.50 - 13.00

Ngun: Bo co ca NHNN

Ch tiuT12/06 (%/nm) T 12/2007 (%/nm) T6/2008 (%/nm)

2.1.1 Chnh sch iu hnh tin t ca NHNN tcui nm 2006 n

thng 6 nm 2008.

Trong giai on t nm 2001-2006, mc tiu ca chnh ph Vit Nam l

u tin tng trng kinh t nn chnh sch ti kha v chnh sch tin t lin

tc c mrng. Lng cung tin mi nm tng 25% trong khi li sut v

t l d tr gi nguyn khng i.

T cui nm 2005 n 31/12/2007, li sut cbn, li sut ti cp vn, li

sut chit khu c duy tr mc 8.25%/nm 6.5%/nm 4.5%/nm.

Cui thng 05/2007, NHNN ban hnh Ch th 03/2007/CT-NHNN

ngy 28/05/2007 v vic kim sot quy m, cht lng tn dng v cho vay

u t kinh doanh chng khon nhm kim sot lm pht, thc y tng

trng kinh t trong khng ch d nvn cho vay, chit khu giy tc


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gi u t, kinh doanh chng khon mc di 3% tng d nca t

chc tn dng, hn cht 31/12/2007 phi m bo t l ny.

Trong thng 06/2007, NHNN a vo lu thng 130 ngn tng

mua 8.1 t USD.

Ngy 01/06/2007, NHNN iu chnh tng t l d tr bt buc ln

gp i i vi c ni t v ngoi t: t 5% ln 10% i vi tin gi VND k

hn di 12 thng v t 2% ln 4% i vi k hn t 12 thng n 24 thng,

tng t 8% ln 10% i vi tin gi ngoi t k hn di 12 thng v t 2%

ln 4% i vi k hn t 12 thng n di 24 thng.

Ngy 30/01/2008, NHNN thng bo iu chnh cc li sut: li sut

cbn t 8.25%/nm tng ln 8.75% nm; li sut ti cp vn t 6,5%/nm

tng ln 7,5%/nm; li sut chit khu t 4,5%/nm tng ln 6.0%/nm.

Ngy 01/02/2008, tng d tr bt buc t 10% ln 11% i vi VND

v t 10% ln 11% i vi ngoi t, ng thi mrng k hn tin gi phi

thc hin DTBB t di 24 thng thnh tt c cc k hn (Quyt nh

187/Q-NHNN, p dng t 01/02/2008 ca NHNN). Ngy 13/02/2008 NHNN ra quyt nh s 346/Q-NHNN v vic

pht hnh tn phiu NHNN bt buc. Theo , bt buc cc t chc tn dng

mua tn phiu bt buc vi tng gi tr 20.300 tng, li sut 7.8%/nm,

ngy pht hnh 17/03/2008

Ngy 26/02/2008 thng qua cng in 02/C-NHNN ca NHNN Vit

Nam, cc NHTMphi iu chnh li sut huy ng vn khng vt qu

12%/nm; Cc NHTM nh nc tch cc tham gia nghip v th trng m

v cc knh ti cp vn khc ca NHNN m bo kh nng thanh ton v

h trvn cho cc NHTM trn th trng LNH vi li sut ti a bng li

sut nghip v th trng mti phin giao dch gn nht cng vi 1%/nm.

Ngy 24/04/2008, NHNN Vit Nam ban hnh cng vn s

3764/NHNN-CSTT v vic ti cp vn di hnh thc cho vay c bo m.

Theo , h trkh nng thanh ton cho cc ngn hng thng mi, c


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bit l cc NHTM c quy m nh, NHNN Vit Nam xem xt, quyt nh ti

cp vn di hnh thc cho vay c bo m mt cch kp thi, trn cs

ngh ca NHTM, iu kin cung - cu vn thc t v mc tiu iu hnhchnh sch tin t, cch ti cp vn hin hnh.


cbn t 8.75%/nm tng ln 12% nm; li sut ti cp vn t 7,5%/nm

tng ln 13%/nm; li sut chit khu t 6%/nm tng ln 11/nm. ng

thi, thng qua quyt nh s 16/2008/Q-NHNN ca NHNN Vit Nam,

theo cc TCTD n nh li sut kinh doanh bng VNi vi khch hng

khng vt qu 150% ca li sut cbn do NHNN Vit Nam cng b p

dng trong tng thi k.


cbn t 12%/nm tng ln 14% nm; li sut ti cp vn t 13%/nm tng

ln 15%/nm; li sut chit khu t 11%/nm tng ln 15%/nm.

Ngy 11/06/2008, t gi bnh qun LNH tng mnh t mc

16.139VND/USD ln 16.461VND/USD, tng 322VND/USD.T qu II/2008, tip tc chuyn khong 52 ngn tng tin gi ca

kho bc ti cc ngn hng quc doanh v NHNN.

Ngy 26/06/2008, iu chnh li sut tn phiu bt buc, theo t

01/07/2008, li sut tn phiu NHNN bng VND di hnh thc bt buc

pht hnh ngy 17/03/2008 s tng t 7.8%/nm ln 13%/nm, p dng i

vi thi hn thanh ton cn li ca tn phiu (Quyt nh 1435/Q-NHNN

ngy 26/06/2008 ca NHNN).

Ngy 26/06/2008, NHNN iu chnh tng bin t +-1% ln +-2%

so vi t gi bnh qun lin ngn hn p dng cho ngy giao dch do NHNN

thng bo theo Quyt nh 1436/Q-NHNN.

Ngy 03/07/2008 ca NHNN Vit Nam ban hnh 6076/NHNN-TTR

v vic kim tra li sut huy ng bng ng Vit Nam ca cc TCTD, theo

, yu cu cc TCTD c mc huy ng vn bnh qun t 17.5%/nm trln


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bo co phng n kinh doanh ph hp vi mc li sut huy ng vn v c

bin php x l kin quyt ph hp vi cc quy nh ca php lut i vi

cc TCTD c mc li sut huy ng vn mc cao, khng c kh nng b

p chi ph kinh doanh.

Ngy 19/08/2008, theo Quyt nh s 1849/Q-NHNN, cc t chc

tn dng n nh li sut huy ng v li sut cho vay bng ng Vit Nam

gia cc TCTD trn th trng LNH khng vt qu 150% li sut cbn do

NHNN cng b

Ngy 29/08/2008, iu chnh li sut tin gi d tr bt buc bng

ng Vit Nam i vi t chc tn dng: iu chnh t 1,2%/nm (theo

Quyt nh s 923/Q-NHNN ngy 20/7/2004) tng ln 3,6%/nm (Quyt

nh s 1907/Q-NHNN ngy 29/8/2008). Mc ch ca vic tng mc li

sut ny nhm h trcc t chc tn dng c iu kin gim li sut cho vay,

gp phn chia s cng doanh nghip v ngi vay tc ng thc y u t,

sn xut, kinh doanh pht trin.

Ngy 25/09/2008, NHNN ban hnh Quyt nh 2133/Q-NNNN theo mc li sut tin gi d tr bt buc bng ng Vit Nam i vi TCTD

c tng ln 5%; Quyt nh 2132/Q-NHNN theo , sa i Khon 7

iu 1 Quyt nh 346/Q-HNN nh sau:Tn phiu NHNN bt buc pht

hnh ngy 17/03/2008 c cm c vay vn, chit khu ti NHNN, c

s dng lm cng c cho nghip v th trng mdo NHNN thc hin theo

quy nh hin hnh.

2.1.2 Thc trng kim sot ri ro li sut ti cc Ngn hng TMCPTrong thc t, cc Ngn hng rt kh thuyt phc khch hng c th

huy ng ph hp vi chng trnh Qun l TSN v TSC ti Ngn hng.

Ngoi ra, i vi cc khon tin gi, tin tit kim, rt kh don c

khon tin ny s tng ln hay gim xung? V kh nng thu hi nn hn

ca khch hng cng khng chnh xc. Nn vic xy dng c mt dng


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tin ra - vo cn xng k hn rt kh thc hin. V vy, ri ro li sut lun

lun tn ti trong mt ngn hng.

Hin nay, mt s ngn hng Qun l TSN - TSC bo v li nhun cangn hng trnh ri ro li sut bng biu lch. y l phng php o

lng bng biu , phng php ny th hin s vn chu ri ro li sut v

s vn theo tng thi k ti nh gi. Bng cch s dng khe hnhy cm li

sut cng vi vic phn loi cc TSN - TSC theo k hn ti nh gi lp

biu lch.

V d: Ta xc nh cc TSN TSC theo tng k hn ti nh gi nh sau:

VT: tng Nhm K hn ti nh gi Gi tr ca TSN Gi tr ca TSC

1 1 tun 100 110

2 1 tun 1 thng 320 240

3 1 thng 2 thng 400 470

4 2 thng 6 thng 720 700

5 6 thng 1 nm 650 670

6 1 nm 2 nm 560 670

7 2 nm 5 nm 980 1200


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Ta c biu lch nh sau:

Biu lch

-1400-1300-1200-1100-1000

-900-800-700-600-500-400-300-200-1000

100200300400500600700800900

10001100

1w 1w -

1m

1m -

2m

2m -

6m

6m - 1y 1y - 2y 2y - 5y

1 2 3 4 5 6 7

Khn ti nh gi

Gitrtisn

Gi tr ca TSN

Gi tr ca TSC

Da vo biu lch trn Nh qun tr c th c ci nhn tng qut v

tnh hnh TSN TSC ca ngn hng, c thnh gi c tnh thanh khon

ca h thng ng vi tng thi im ri da vo kinh nghim ca bn thn,

din bin th trng c kt lun nh tnh v thu nhp ca ngn hng ch

khng c mt kt qunh lng trong trng hp li sut th trng bin

ng. Khi c mt s thay i li sut trn th trng, cc nh qun tr skhng th tnh ton c mc nh hng ca s thay i li sut n li

nhun ca ngn hng gy kh khn cho vic kim sot ri ro li sut.

Ngoi ra, cc Ngn hng nh ch qun l TSN TSC theo kinh nghim.

Da vo kinh nghim v s liu qu kh don mc thay i ca

dng tin vo, c bit l ngun vn huy ng. Sau , ty vo tng thi k

phn phi ngun vn ny theo t l thch hp i vi tin mt ti qu, u


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t chng khon c tnh thanh khon cao, cho vay. Thng thng, ti cc

ngn hng khi d ncho vay chim khong 75%-90% tng ngun vn huy

ng s hn ch cho vay ng thi y mnh hn na cc bin php thuht ngun tin gi.

Bn cnh , vic kim sot ri ro li sut ti cc Ngn hng cn tn ti

nhng vn sau:

Chin lc qun l dng tin vo ra ca ngn hng TMCP u rt

bao qut. Cc NHTMCP cha c cng c ph hp lng ha ri ro, bo

co phc v qun l thanh khon ch yu l ngn hn (thng di 2 tun),

cc bo co v k hoch gii ngn, k hoch thu hi ntrong ngn hn c

lp nhng s liu bo co thng khng theo st thc t; cc bo co phn

tch di hn phc v mc tiu huy ng v s dng ngun vn hiu qu.

Mc d ccu t chc qun l ri ro thanh khon c xy dng nhng

vic vn hnh n cha hiu qu, vai tr ca ALCO cn mnht. Rt t t

chc tn dng xy dng k hoch i ph vi tnh trng khng hong thanh

khon, ri ro li sut nu c xy dng th cng cha c luyn tp v cpnht thng xuyn, lin tc.

Cc NHTM cha xy dng c chnh sch li sut ph hp vi mc

ri ro v hot ng ca Ngn hng, chnh sch li sut hin nay ca cc

Ngn hng rt d b dn dt bi cc yu t th trng; cha lng ha c

ri ro li sut cho ccu TSN - TSC hin ti ca Ngn hng.

H thng cng ngh thng tin qun l cha h trc vic lp bo

co phc v qun l ri ro li sut. Hu ht cc Ngn hng u cha c cc

cng c nhm phn tch nhy ca li sut xc nh nh hng ca vic

thay i li sut i vi kt qu hot ng kinh doanh khi th trng thay

i.

Nhiu ngn hng vay tin trn th trng LNH khng phi b p

thiu ht thanh khon tm thi m u t: Ngoi tr mt s t ngn hng

(TCB, STB, MSB) s dng ngun tin vay LNH m bo thiu ht thanh


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khon tm thi, cn li a s cc ngn hng u s dng ngun vn vay

LNH u t, c ngn hng s dng ngun tin ny u t ln n 47%

tng ti sn. V vy mc ri ro trong kinh doanh ca cc NHTMCP trongthi gian qua rt cao nu ngun cung tin gim i, ng thi cng tc Qun

tr TSN TSC ti cc NHTMCP khng c quan tm hoc cc nh qun tr

cho rng nguy cngun cung tin gim i l khng c, bc lim yu km

v nng lc d bo ca nhng nh qun tr ngn hng. c th thy r mc

ri ro li sut, ta c th s dng s liu v ngun vn vay LNH c s

dng u t ti cc ngn hng (y l khon chnh lch gia tin gi v

vay ca TCTD khc vi tin gi v cho vay TCTD khc). Ngun vn vay

LNH thng c gi tr rt ln, mi khon vay trung bnh tr gi khong 50 t

ng, v vy khi ngun vn vay ny b rt v, nu khng th vay LNH tr

th vic huy ng vn t TCKT v dn c b p khon thiu ht ny

phi mt nhiu thi gian, iu ny d dng y cc ngn hng vo tnh trng

thiu thanh khon. Ta c s liu t l % ngun vn vay LNH c s dng

u t so vi tng ti sn ca mt s NHTMCP:Bng 2.3. T l (%) ngun vn vay LNH c sdng u tso vi

tng ti sn ca mt s NHTMCP

STT Ngn hng Nm 2006 Nm 2007 Qu I/08 Qu II/081 ABB - 9.46% 12.28% 1.01%

2 SCB 37.48% 7.97% 14.69% 12.55%

3 STB - - - 1.79%

4 HDB 17.54% 46.62% null 21.93%

5 TCB 3.54% - null -6 MSB null null 3.17% -

7 SGB 4.73% 6.81% null null

8 HBB 10.73% - null null

9 SEAB 14.87% 3.50% null null

Ngun: Tng hp t BCTC ca cc Ngn hngTrong hot ng kinh doanh ngn hng, vic thiu thanh khon rt nguy

him v n c thnh hng n ton h thng. Khi ngun vn vay LNH b

rt v trong khi cc khon u t cha n hn thu hi. Nu ngn hng c


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th huy ng kp b p ngun vn LNH phi tr th ngn hng cng phi

i mt vi ri ro li sut rt cao s lm gim li nhun ngn hng v tc

tng cc khon li thu c tng chm hn nhiu so vi tc tng cckhon li phi tr.

Rt t cc NHTMCP s dng cng c phi sinh bo v li nhun

ngn hng trnh ri ro li sut. cc nghip v phi sinh cn mang tnh th

im v n l mc d chng c s dng tu nm 2000, mt s TCTD

c NHNN cho php thc hin cc cng c phi sinh nh: VCB, VIB,

ACB, TCB, MB, EIB, nhng doanh s v hot ng ny vn khng ng k

so vi doanh s cc hot ng truyn thng.

2.2 Nguyn nhn lm tng ri ro li sut trong qun tr TSN TSC cacc NH TMCP

2.2.1 Nguyn nhn tchnh sch iu hnh tin t ca NHNNm bo mc tiu tng trng kinh t, t nm 2003 n 2007, cung

tin mi nm tng 25% trong khi li sut v t l d tr bt buc gi nguyn

khng i khin lm pht lin tc mc cao, tnh trng d VN ko di,li sut th trng LNH gim, c thi im li sut huy ng LNH k hn 1

thng ch khong 4.2%/nm. Vi li sut thc m (gi vn qu r), cc nh

u t d dng vay tin u t vo bt ng sn v chng khon bt chp

ri ro. Ngay c cc ngn hng hu nh cng b qua cc bin php kim sot

ri ro tn dng, ri ro li sut (dng ngun vn ngn hn, vn vay trn th

trng LNH cho vay trung di hn) y mnh tng trng tn dng nhm

t c li nhun cao hn. C ngn hng d n tn dng cui nm 2007

tng 500% so vi nm 2006. Cui nm 2007, lm pht mc 12%. Tng d

ngia 2007 gn 1000 tng, tng hn ba ln so vi nm 2003 v bng

khong 90% GDP nm 2007.


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Bng 2.4. T l lm pht tnm 2002 n thng 7/2008

Nm Thng

2002 01/2008

2003 02/2008

2004 03/2008

2005 04/2008

2006 05/2008

2007 06/2008

07/2008

Ngun: Website www.gso.gov.vn ca Tng cc Thng k

19.78

9.19

11.6

15.96

18.44

Ch s lm pht t 7 thng nm 2008

so vi 12/2007T l lm pht (%)

2.38

6.02

7.8

8.3

7.5

8.3

Ch s lm pht t 2002 - 2007

(nm trc =100)T l lm pht (%)

3.9

3.1

T cui nm 2007, trc sc p lm pht NHNN buc phi thc hin

chnh sch tht cht tin t bng mt lot bin php: pht hnh tn phiu bt

buc ht tin trong lu thng v, chuyn tin gi ca Kho bc Nh nc

ti cc Ngn hng v NHNN, tng t l d tr bt buc, tng li sut cbn,

li sut ti cp vn, li sut chit khu, mrng bin t gi hi oi, tng

mnh t gi, khng ch d ntn dng,. ng l vi nhng bin php ny,NHNN c th kim chc lm pht nhng hnh ng ny ca NHNN

y cc NH TMCP vo cuc ua li sut m bo thanh khon mc d

bit trc ri ro li sut s xy ra rt cao. L do:

Trn thc t, tn ti mt nghch l: Li sut LNH thp nhng li

sut huy ng dn c v cc TCKT ti cc ngn hng vn tip tc tng.

Nghch l ny vn tn ti v kh nng tip cn vi khch hng cc ngn

hng khc nhau l khc nhau. Cc ngn hng TMCP nh ngun vn huy

ng khng p ng nhu cu vay vn nn phi tng li sut thu ht

khch hng. Trong khi , cc ngn hng c quy m ln, ngun vn huy

ng c vt nhu cu cho vay nhng vn gi li sut huy ng cao gi

khch.

Thc trng ny s gy kh khn cho vic thc thi chnh sch tin

t: Mt khi cn c cc ngn hng d tha vn trong khi cn c nhng ngn


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hng thiu vn. Vic NHNN thay i cung tin, thay i li sut cbn

thc thi cc chnh sch tin t l rt kh khn. V mt l thuyt, khi ngun

vn ngn hn trn th trng tin t d tha, n nh li sut, NHNN phiht tin vm bo cung cu vn cn bng, khng gy p lc gim li

sut th trng v ngc li.

Ngoi ra, v cc ngn hng quy m ln, ngun vn huy ng vt

nhu cu cho vay, trong ccu tng ti sn lun dnh mt phn ngun vn

u t vo cc giy tc gi, c th tham gia vo th trng m vay vn

ca NHNN vi li sut thp tng tnh thanh khon cho Ngn hng. Trong

khi , cc ngn hng quy m nh, di p lc li tc cho cng khng

nhng s dng hu ht vn huy ng c m cn s dng vn vay LNH

y mnh cho vay tn dng m khng u t hoc u t rt t vo giy t

c gi nn khng th vay tin NHNN thng qua th trng m. Khi NHNN

ht mt lng ln tin lu thng trn th trng v, cc khon tin gi c k

hn ca cc Ngn hng khc b rt v s lm cho cc ngn hng nh b mt

cn i ngun vn trm trng, m bo thanh khon, cc ngn hng nhphi vay cc ngn hng c quy m ln vi li sut cao, c thi im ln n

gn 35%/nm v bt u cuc ua li sut b p khon tin gi b cc

Ngn hng khc rt v.


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Bng 2.5. Li sut LNH

n v tnh: %/nm

K hn T03/07 T07/07 T12/07 T01/08 T02/081 ngy 5.64 3.24 7.00 24.00 31.00

1 tun 6.24 3.48 9.20 15.00 25.002 tun 6.48 3.96 8.80 12.50 29.00

1 thng 7.56 4.20 9.50 18.00 28.00

2 thng 8.16 4.80 9.50 9.60 28.00

3 thng 8.40 6.24 9.00 23.50 28.00

6 thng 9.00 7.44 9.20 10.60 18.00

1 nm 9.60 8.16 10.00 10.55 16.00

K hn T03/08 T04/08 T05/08 T06/08 T07/08 T09/081 ngy 7.50 25.00 25.00 21.00 17.46 14.50

1 tun 14.00 25.00 26.00 21.00 19.00 15.002 tun 12.00 26.00 26.00 22.00 19.17 15.50

1 thng 15.00 22.00 26.00 22.00 19.33 16.00

2 thng 14.70 19.00 - - - 16.20

3 thng 14.50 18.00 - - 19.58 16.50

6 thng 13.00 16.00 - - 19.38 17.80

1 nm 16.00 18.00 - - 19.04 18.20Ngun: Bo co li sut LNH ti Ngn hng TMCP Thi Bnh Dng

NHNN khng nghin cu k, khng bao qut ht c tt c nhng

trng hp c th xy ra khi ra cc Quyt nh, ch th; khng tm hiu k

tnh hnh cc Ngn hng v kh nng cc Ngn hng c th thc hin c

khng? Tht vy, v lo ngi ri ro qu ln t cc khon cho vay bt ng sn

v c phiu v trc sc p ca lm pht NHNN thc hin chnh sch tht

cht tin t, cui thng 05 nm 2007, NHNN ban hnh Ch th 03/2007/CT-

NHNN v vic kim sot quy m, cht lng tn dng v cho vay u t

kinh doanh chng khon nhm kim sot lm pht, thc y tng trng

kinh t trong khng ch d nvn cho vay, chit khu giy tc gi

u t, kinh doanh chng khon mc di 3% tng d nca t chc tn

dng, hn cht 31/12/2007 phi m bo t l ny. i ngc li mong mun

ca NHNN. a s cc Ngn hng y mnh cho vay nhm lm tng tng d


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nln m bo d ncho vay u t chng khon xung di mc 3%

tng d n. Vic tng qu nhanh d ncho vay ca cc NHTMCP km theo

l ni lng iu kin cho vay nn khng th c cht lng tn dng tt

c. y cng l nguyn nhn lm tng ri ro li sut ti cc NHTMCP do

pht sinh nqu hn, lm nh hng n k hoch qun l TSN - TSC ca

NHTMCP. Chng ta hy xem xt v d sau:

Ti Ngn hng TMCP ABC, s liu n ht 31/05/2007: Tng d ntn

dng t 1.575.138 triu ng; d ncho vay chng khon l 545.943 triu

ng, chim 34.66% tng d n, vt quy inh 31.66%. gim d ncho

vay chng khon xung, Ngn hng ABC thu hi cc khon nn hn

c 400.000 triu ng, i vi cc khon ncha n hn (145.943 triu

ng), vic thng lng thu hi ni vi khch hng rt kh khn nn

Ngn hng ABC y mnh tng trng tn dng nhm tng tng d nln

m bo cho vay u t chng khon xung di mc 3% tng d n. V

vy n 31/12/2007, d n tn dng ca ngn hng ln n 4.864.767 triu

ng, tng hn 200% so vi thi im 31/05/2007. Vi tc tng nhanh dn tn dng nh vy khng th trnh khi nhng lng lo trong khu xt

duyt h s, khch hng nn s pht sinh nqu hn, lm nh hng n k

hoch thu hi nca Ngn hng ABC.

Vic thay i lin tc cc quyt nh v li sut huy ng p dng ti cc

ngn hng TMCP ca NHNN (n nh li sut trn huy ng 12%/nm; thay

i li sut cbn t 8.75%/nm ln n 12%/nm, 13%/nm, 14%/ nm)

to tm l khng n nh cho khch hng gi tin, v vy khch hng ch gi

tin vi k hn ngn do k vng li sut s tng. iu ny lm nh hng

n k hoch kinh doanh ca cc Ngn hng, gy kh khn n cng tc

Qun tr TSN TSC ca ngn hng. V cc ngn hng ch yu huy ng

c cc ngun vn ngn hn, v khch hng sn sng rt tin t ch c li

sut thp sang ni c li sut cao, lm cc ngn hng bng trong hot ng

kinh doanh ca mnh.


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2.2.2 Nguyn nhn tpha cc ngn hng thng miTheo Quyt nh 457/2005/Q-NHNN ngy 19 thng 4 nm 2005 ca

NHNN v vic ban hnh Quy nh v cc t l bo m an ton trong hot

ng ca t chc tn dng. Trong quy nh: T l ti a ca ngun vn

ngn hn NHTM c s dng cho vay trung hn v di hn l 40%. Nh

vy, theo quy nh khong 60% ngun vn huy ng c k hn di 12

thng c dng cho vay ngn hn m ch yu l cho vay k hn 12 thng,

40% ngun vn huy ng c k hn di 12 thng a sc s dng

cho vay trn 12 thng.

Trn thc t, cc NHTMCP thng gp kh khn trong vic huy ng

ngun vn trung di hn do xu hng gi tin ca khch hng. Bn cnh ,

trong nm 2007, cc ngn hng y mnh cho vay bt ng sn, t trng d

n cho vay bt ng sn chim 15% - 20% tng d n cho vay ca ngn

hng, c bit i vi cc ngn hng quy m nh, cc sn phm dch v cha

pht trin, tng li nhun ch c thy mnh tn dng trong tn dng

bt ng sn tng nhanh nht vi t trng t 50% - 70% tng d n.Theo thng k ca NHNN Vit Nam, ccu cho vay bt ng sn trung

di hn lun chim t trng khong 80% tng d ncho vay bt ng sn.

Trong iu kin th trng tin tn nh, ngun cung tin di do, vic s

dng 40% ngun vn ngn hn cho vay trung di hn c thm bo an

ton cho h thng v cc ngn hng c th d dng huy ng c ngun tin

gi ln, cho d a s ngun huy ng c u l ngun ngn hn. Nn hu

nh cc ngn hng u c khe hk hn dng (k hn hon vn trung bnh

ca ti sn ln hn k hn hon tr trung bnh ca n), iu ny c th lm

gim li nhun ca ngn hng nu li sut tng. Trong nhng thng u nm

2008, do NHNN thc hin chnh sch tht cht tin t, ngun cung tin gim.

m bo s d huy ng phc v cho vic duy tr cc khon cho vay bt

ng sn trung di hn, cc ngn hng phi cnh tranh quyt lit huy ng

vn vi cng c ch yu l li sut lm li sut huy ng tng lin tc


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V cc ngn hng dng ngun vn huy ng ngn cho vay trung di

hn nn khi ngun cung tin gim, cng vi cc t tng li sut lin tip

lm nh hng n kh nng thanh khon v li nhun ca ngn hng. Hin

c mt s ngn hng TMCP phi iu chnh k hoch li nhun cho nm

2008. Cho n thng 07/2008, c mt s ngn hng TMCP cng biu

chnh k hoch li nhun: ABC iu chnh k hoch t 2.800 tng xung

2.500 t ng; EIB iu chnh k hoch t 1500 t ng xung 1.300 t

ng; ABB iu chnh k hoch t 555 tng xung 500 tng. So vi

k hoch d kin ban u, li nhun iu chnh trong nm 2008 ca mt s

ngn hng gim xung khong 10% - 20%.

Hin nay, hot ng cho vay ca ngn hng vn l ch yu, chim

khong 70% n 90% tng TSC v mt t l tng ng trong tng thu

nhp ca h thng ngn hng. Xem bng 1.5.

Bng 2.6. T trng thu nhp li thun so vi tng thu nhp mt s

NHTMCP

STT Ngn hng Nm 2006 Nm 2007 Qu I/08 Qu II/081 ABB 62.7% 76.9% 96.8% 99.1%

2 SCB 85.5% 64.4% 63.1% 75.4%

3 HDB 89.3% 77.3% null 59.0%

4 TCB 74.8% 76.1% null 69.8%

5 STB 71.0% 51.0% null null

6 SGB 89.0% 89.1% null null

7 HBB 57.2% 84.4% null null

8 MSB null null 87.6% 77.1%

9 SEAB 89.9% 84.9% null nullNgun: Tng hp t BCTC ca cc Ngn hng

Trong khi t l nxu ang c xu hng tng ln v: vic cho vay ch

yu da vo ti sn m bo, m th trng bt ng sn, th trng chng

khon bng bng; sc p cnh tranh v cch khon trong kinh doanh dn

ti ni lng iu kin vay vn lm cho cht lng tn dng thp, d pht sinh

nqu hn do khng thu hi c n, vic pht mi ti sn ca khch hng

thu hi ncng gp rt nhiu kh khn v mt nhiu thi gian. c bit


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trong lnh vc bn l, cc ngn hng cho vay tn chp ln ti 300 triu ng

vi thi gian cho vay c th ln n 20 nm. Ri ro li sut xut hin v k

hn hon vn ln hn k hn hon tr. Trong khi qu t p trung vo tngtrng tn dng th nhng yu t bt li xut hin: gi c leo thang, doanh

nghip vay vn gp kh khn do chi ph tng, lm pht. Trc tnh hnh ,

Chnh ph phi thc hin chnh sch tht cht tin t bt buc 41 Ngn hng

mua 20.300 tng tn phiu bt buc, tng t l d tr bt buc, tng li

sut cbn, li sut ti cp vn, li sut chit khu, ng thi chuyn ht s

tin gn 52.000 tng ca kho bc nh nc gi ti cc Ngn hng Quc

doanh v lm cho cc ngn hng b mt cn i ngun vn v s dng vn.

m bo thanh khon, cc ngn hng tng li sut huy ng, ng ca tn

dng. Ri ro li sut tng ln v li sut huy ng tng nhanh hn, vt li

sut cho vay lm nh hng n li nhun ca ngn hng. C th:

Vo u thng 01/2008, li sut huy ng LNH k hn 1 nm chmc

10.55%/nm, li sut huy ng TCKT v dn c tnh thm d tr bt buc

mc khong 10.50%/nm, li sut cho vay khong 12.36%/nm. Nh vycc ngn hng c chnh lch li sut cho vay v huy ng khong 1.86%.

Phn chnh lch li sut ny c dng trang tri cc chi ph qun l v

to li nhun cho ngn hng. Vi cc hp ng tn dng li sut iu chnh 3

thng 1 ln hoc 6 thng 1 ln, hoc 1 nm 1 ln gii ngn vo u thng 1

hoc va iu chnh li vo u thng 1/2008 th n u thng 7 mi c th

iu chnh li sut. Trong khi , tu nm 2008, li sut huy ng tng

lin tc, n thng 02/2008 li sut huy ng tng ln n 12%/nm, nu

tnh thm li sut bt buc th li sut huy ng vo khong 13.48%/nm, so

vi li sut cho vay 12.36%/nm th ngn hng b l v s phi chu mc

l ny trong nhng thng cn li. Thm vo , li sut huy ng tng lin

tc v cho n thng 08/2008 mc 19%/nm (tnh thm d tr bt buc

l 21.35%/nm). Vi li sut huy ng 21.35%/nm, nu cc ngn hng c

thiu chnh li sut cho vay cng khng c vt 21%/nm. Nhn vo


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nhng con s trn chng ta c th thy c s thay i li sut trong thi

gian quan nh hng nghim trng ti li nhun ca ngn hng. Mt s

ngn hng, trong hp ng tn dng, li sut iu chnh hng qu cng bnhhng nhng mc nh hng t hn.

Ngoi ra, vi vic khng ch t l tng trng tn dng khng qu 30%,

cc t chc tn dng trong qu I nm 2008 gii ngn vt mc t l tng

trng tn dng cho php khi c quyt nh ngng gii ngn, ch tp trung

thu hi n. Mt s khch hng ti hn tr nnhng khng tr v e ngi ngn

hng khng cho vay li v kh c th vay ti ngn hng khc trong iu kin

th trng tn dng hu nhng bng hoc nu vay li phi chu li sut qu

cao (li sut vay c khong 12%/nm, li sut pht qu hn l 18%/nm, thp

hn so vi li sut vay mi 21%/nm) nn khng tr n, ch p nhn n

qu hn. V vy, ngn hng mt mt phi cnh tranh quyt lit huy ng

vn m bo thanh khon (c thi im phi huy ng LNH vi li sut ln

n 35%/nm), mt mt khng th thu hi n lm xut hin khe hk hn

dng, vi li sut huy ng ngy cng tng lm nh hng n li nhunngn hng.

Chnh sch tin t ni lng ca NHNN (t nm 2003 2007, cung tin

tng trung bnh mi nm 25%, li sut cbn v t l d tr bt buc khng

i) lm tin trong lu thng d tha. Cc ngn hng d dng vay trn th

trng LNH, to tm l ch quan i vi cc nh qun tr ngn hng. Mt s

ngn hng s dng ngun vn vay trn th trng LNH (y l ngun vn

ch s dng h trkh nng thanh ton gia cc ngn hng) y mnh

cho vay. Tc tng trng tn dng rt cao: gn 50 TCTD c tc tng

trng d n tn dng trn 50% v gn 30 TCTD c tc tng trng tn

dng trn 100% (Xem bng 2.7)


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Bng 2.7. Tc tng trng tn dng ti mt s NHTMCP

STT Ni dung 2007 so vi 2006 Qu I/08 so vi 2007 Qu II/08 so vi 2007

1 ABB 509.07% 4.96% -3.13%2 SCB 131.10% 10.20% 8.10%

3 STB 145.90% 20.30% 11.00%

4 HDB 233.80% null -26.40%

5 TCB 135.60% null 31.60%

6 SGB 51.70% null null

7 HBB 57.00% null null

8 SEAB 227.80% null null

Ngun: Tng hp t BCTC ca cc Ngn hng

Trong khi , khng phi ngn hng no cng c tc tng trng huy

ng th trng 1 tng xng vi tc tng trng tn dng ca mnh. V

vy, khi nh nc thc hin chnh sch tht cht tin t, cc ngn hng khng

c thi gian huy ng mt s tin ln b p vo phn thiu ht do cc

khon tin gi LNH n hn u b rt v v khng th vay tin trn th

trng LNH. Lm mt cn i gia ngun vn v s dng vn, y cc ngn

hng vo cuc ua li sut m bo thanh khon vi ri ro li sut rt ln.

c ci nhn khch quan hn, ta hy xem tnh hnh ngun vn (gm:tin gi ca khch hng; cc cng c ti chnh khc; vn ti tr,

luan van MA NAM CHI

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