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5/19/2018 [123doc.vn]- ng D ng M H nh Camels Trong Qu n Tr R i Ro Ng n H ng - slidepdf...
http:///reader/full/123docvn-ung-dung-mo-hinh-camels-trong-quan-tri-rui-ro-
BGIO DC V O TO
TRNG I HC KINH TTP.HCM
-----------------
CNG TRNH DTHI
GII THNG NGHIN CU KHOA HC SINH VIN
NH KINH TTRNM 2012
TN CNG TRNH: NG DNG M HNHCAMELS TRONG QUN TRRI RO NGN HNG
THUC NHM NGNH: KHOA HC KINH T
5/19/2018 [123doc.vn]- ng D ng M H nh Camels Trong Qu n Tr R i Ro Ng n H ng - slidepdf...
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MC LC
LI MU...................................................................................... 1
CHNG 1: TNG QUAN VM HNH CAMELS.................. 21.1 Scn thit phi nng cao nng lc qun trri ro ti cc NHTM Vit Nam ............... 2
1.2 Cc yu tca m hnh CAMELS ...................................................................................... 2
1.2.1 Yu t ..................................................... 2
1.2.1.1 T l an ton vn ti tiu......................................................................................... 2
1.2.1.2 Ct lng ca cc c ng c n ng ln:..................................................... 6
1.2.1.3 H s n ti cn:........................................................................................... 6
1.2.2 Yu t )............................................................ 7
1.2.2.1 Ti sn c l g ? ........................................................................................................ 71.2.2.2 Cc chtiu n gi ct lng ti sn c ............................................................ 9
1.2.3 Yu t3 m N c qun tr)................................................................ 11
1.2.3.1 Gii tiu c n..................................................................................................... 11
1.2.3.2 Cc p ng cc tiu tc n gi ti Vit Nam.............................................. 12
1.2.4 Yu t4: Earn ings (Li nhun).................................................................................. 17
1.2.4.1 Li nhun ................................................................................................................. 17
1.2.4.2 Cc chtiu n gi............................................................................................... 17
1.2.4.2.1 Li nhun trc thuso vi vn chshu ( ROE).....................................17
1.2.4.2.2 Hot ng dch vca ngn hng...................................................................18
1.2.5 Yu t5: L iquidity (tnh thanh khon)....................................................................... 20
1.2.5.1 Khi nim ................................................................................................................. 20
1.2.5.2 Mt stn hiu trn thtrng don tn tan kon ca ngn hng .. 21
1.2.5.2.1 Cc tiu c n gi knng tan kon ca ngn ng tng mi cphn ti Vit Nam............................................................................................................... 22
1.2.5.2.2 Khnng tan ton nga............................................................................... 22
1.2.5.2.3 Tlti aca ngun vn ngn hn c sdng cho vay trung v dihn ............................................................................................................................. 23
1.3 Cc tn im v xp loi ca m hnh CAMELS ......................................................... 24
1.3.1 m .............................................. 24
1.3.2 m ........................................................................... 24
1.3.2.1 Vn t c: -3 n 1 im....................................................................................... 24
1.3.2.2 Ct lng ti sn: 0 n 3 im......................................................................... 24
1.3.2.3 Nng lc qun tr: 0 n 1 im.......................................................................... 25
1.3.2.4 Li nhun: ti a 20 im...................................................................................... 25
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1.3.2.5 Tnh thanh khon: ti a 1 im........................................................................ 26
1.3.3 p loi........................................................................................................................ 27
1.3.4 Ti gian tc in vic n gi p loi............................................................... 28
CHNG 2: SO SNH M HNH CAMELS CA VIT NAMVI M HNH CAMELS CA CC NC KHC.................. 292.1 So snh m hnh CAMELS ca Mv Vit Nam ............................................................ 29
2.1.1 M hnh ca M................................................................................................................. 29
2.1.1.1 Mc an ton vn: ............................................................................................... 29
2.1.1.2 Cht lng ti sn c: ............................................................................................. 31
2.1.1.3 Nng lc qun tr: ................................................................................................... 33
2.1.1.4 Li nhun: ............................................................................................................... 35
2.1.1.5 Tnh thanh khon .................................................................................................... 36
2.1.2 So snh vi m hnh CAMELS ca Vit Nam.......................................................... 38
2.2 So snh m hnh CAMELS ca Trung Quc v Vit Nam ............................................. 38
2.2.1 M hnh CAMEL Trung Quc:................................................................................. 39
2.2.2 S m:............................................................................................... 42
2.3 So snh m hnh CAMELS ca Nht v Vit Nam................................................................ 44
CHNG 3: U NHC IM CA M HNH CAMELS... 49
3.1 u im: .............................................................................................................................. 493.2 Nc im: ........................................................................................................................ 49
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DANH MC TVIT TT
VN Vit Nam
NHTM Ngn hng Thng mi
NHNN,
NHTWNgn hng Nh nc, Ngn hng Trung ng
DANH MC BNG BIU
Bng 1: TlCAR mt sngn hng
Bng 2: Tlnxu ca hthng NH Vit Nam qua cc nm
Bng 3: Kt qukinh doanh ca cc ngn hng trong nm 2011
Bng 4: So snh c cu im ca 5 chtiu trong m hnh CAMEL p dng ti Vit
Nam v Trung Quc
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TM TT TI
1. L do chn ti:
Ti chnh l mt bphn quan trng ca nn kinh t. Trong h thng ngn hng
ng vai tr htrcho cc hot ng kinh t, huy ng vn tcc bphn tha vn
v phn phi n cc khu vc cn vn, nh gp phn vo stng trng v thnh
vng ca quc gia. Tuy nhin bi hc tcuc khng hong ti chnh 2007-2009 cho
thy rng hthng ngn hng cng chnh l nguyn nhn cho khin cho khng hong
ngy cng trnn ti thn do tnh nhy cm vi nhng bin ng. T nhn thy
tm quan trng l phi p dng mt hthng gim st hot ng ngn hng hiu qu.
CAMELS l m hnh nh gi xp loi hot ng ca cc ngn hng c p dng ti
Mtnhng nm 70 v cho thy nhng kt qunht nh. V vy ti Vit Nam,
thng c Ngn hng nh nc ra quyt nh p dng m hnh CAMELS vo vic
xp loi ngn hng thng mi cphn. Bi nghin cu i vo tm hiu cc yu tv
cc tiu chun nh gi trong m hnh CAMELS p dng ti Vit Nam trong tng
quan vi m hnh CAMELS p dng ti M, Trung Quc v Nht, t cho thy cc
khc bit trong iu kin hot ng ngn hng ti Vit Nam.
Tuy nhin, tcuc khng hong ti chnh va qua th c ththy mt m hnh nh
gi xp loi d c nhiu u im v pht huy hiu qutrong thi gian di cng khng
th m bo nh gi tng qut, ton din v a ra d bo chnh xc. V vy bi
nghin cu i vo tm hiu cc c im ca m hnh FIRST i n xut kt hp
hai m hnh nhm pht huy nhng u im ca tng m hnh trong vic nh gi
c chnh xc hn. Nh c th a ra cc gim st cn thit, h tr thch hp
5/19/2018 [123doc.vn]- ng D ng M H nh Camels Trong Qu n Tr R i Ro Ng n H ng - slidepdf...
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nhm ngn chn cc vsp ngn hng lm nh hng n sc khe ca thtrng
ti chnh v nim tin ca cc nh u t.
2. Mc tiu nghin cu
Bi nghin cu hng n vic hiu r cc c im ca m hnh CAMELS c
linh hot p dng ti Vit Nam, khc bit c bn no so vi m hnh CAMELS gc
ca M, so snh vi tnh hnh thc hin nh gi hot ng ngn hng ti cc nc
khc (Trung Quc, Nht). Thng qua so snh c ci nhn khi qut hn vthc t
p dng m hnh.
Bi nghin cu cn hng n mc tiu ln hn l nhn ra nhng u, nhc im ca
m hnh CAMELS. Tnhng u, nhc im c tha ra xut thch hp l
kt hp m hnh CAMELS v m hnh FIRST khc phc c cc nhc im cam hnh CAMELS.
3. Png pp ngin cu
- Dch thut
- So snh vi m hnh cc nc khc
- Mrng lin hvi cc vn thc tin hin nay ca hthng NHTM
4. Ni dung nghin cu
Cng 1:Phn tch cc yu ttrong m hnh CAMELS
Tm hiu v5 yu tc bn ca m hnh CAMELS Vit Nam:
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-Mc an ton vn
-Cht lng ti sn ca NHTM
-Nng lc qun tr
-Li nhun
-Tnh thanh khon
Cng 2: So snh m hnh CAMELS Vit Nam vi M, Trung Quc, Nht
Bn
-Gii thiu vm hnh CAMELS ca M, Trung Quc v Nht Bn
-Nhng im khc bit khi Vit Nam p dng m hnh ny so vi m hnh ca cc
nc khc
Cng 3: u nc im ca m hnh
5. ng gp ca ti
Bi nghin cu sgip cho ngi c c mt gc nhn tng qut v cthhn trong
vic kim tra, gim st hot ng ca ngn hng thng qua cc chsti chnh. T
, c thgip ha ra nhng nhn nh vsc khe ca hthng ngn hng hay
ton b nn kinh t. ti cng m ra mt hng mi trong qu trnh thm nh
nng lc thc sca ngn hng
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6. Hng pht trin ca ti
M hnh CAMELS spht huy hiu quhn na khi kt hp vi nhng m hnh
khc, v d: FRIST. Sph hp v tng quan gia 2 m hnh sgip nh qun tr
ngn hng pht huy sc mnh ca mnh v nng cao nng lc cnh tranh trong mi
trng kinh ty phc tp v bin ng nh hin nay.
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1
LI MU
Ngn hng thng mi l mt trong cc tchc trung gian ti chnh quan trng
nht ca nn kinh t. Vi t cch l trung gian ti chnh, NHTM l loi hnh doanhnghip kinh doanh c th v kinh doanh loi hng ho c bit l tin t. Hin nay,
trong bi cnh Vit Nam gia nhp WTO, nn kinh tVit Nam ni chung v ngnh
ti chnh ngn hng ni ring smca mnh mvi khu vc v trn thgii. Hi
nhp kinh tquc tem li nhiu c hi nhng cng khng t ri ro cho h thng
ngn hng cn non yu, v vy n lun i mt vi cc ri ro trong vn hot ng
kinh doanh nh ri ro thanh khon, thiu vn cnh tranh, thua lv mt thphn...
Thi gian qua, din bin phc tp ca nn kinh tnh lm pht cao km theo
hin tng u c... lm tin cho cc ri ro dn bc l. Do vy, vic nh gi d
bo sc khe cc tchc tn dng (TCTD) v a ra cc gii php ph hp, kp thi
lun l yu cu khng chdnh cho cc nh qun l, c quan thanh tra gim st Ngn
hng nh nc ( NHNN) m cn l vic v cng quan trng i vi cc nh phn tch,
i tc kinh doanh v cc nh u t.
Tm li, hthng ngn hng Vit Nam c sc cnh tranh cao, hot ng an
ton v hiu quth vic nghin cu p dng cc phng php nh gi ri ro ca cc
ngn hng thng mi l iu v cng cn thit. V l do , nhm nghin cu
quyt nh thc hin ti nghin cu:
NG DNG M HNH CAMELS TRONG QUN TRRI RO NGN HNG
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2
CHNG1: TNG QUAN VM HNH CAMELS
1.1 Scn thit phi nng cao nng lc qun trri ro ti cc NHTM Vit Nam
Cc Ngn hng & cc nh chti chnh phi Ngn hng trc ht l trung
gian ti chnh Chng ng gia v ng trong vng vy ca 4 nhm nhng
ngi c vn v cn vn trong nn kinh tgm: Hgia nh, Doanh nghip, Chnh
phv cc nh u t nc ngoi. C thni h thng ngn hng chnh l mch
mu ca nn kinh t. Cc ngn hng c hthng qun trcng tt, hcng c
cng cphc vthtrng, ng thi txy dng c sbo vhn chri ro
mc ti a i vi cc dch v.
Thi gian ti, khi hng lot cc ngn hng ngoi st "b" vo VitNam nh don, i hi vcng tc qun trscng gay gt hn i vi nh bng
ni. skhng chl sc khng cnh tranh, m cn l sc mnh cho tnh lin
kt bn vng ca cthtrng lin ngn hng. Mt ngn hng yu km trong qun
trskhng chgy tn tht cho chnh ngn hng , m cn to nn nhng ri ro
nht nh mang tnh dy chuyn cho cc n vkhc.
1.2 Cc yu tca m hnh CAMELS
1.2.1 Yu t1: Capital Aquac Mc an ton vn:
Mc an ton vn thhin svn tc h trcho hot ng kinh doanh
ca ngn hng. Ngn hng cng chp nhn nhiu ri ro th cng i hi phi c nhiu
vn tc htrhot ng ca ngn hng v b p tn tht tim nng lin quan
n mc ri ro cao hn. Cc ch tiu s dng phn tch vn.
1.2.1.1T l an ton vn ti tiu
tm hiu vtlan ton vn, u tin phi hiu vc cu vn ca ngn hng
C cu vn:tp trung vo mc quan trng tng i ca vn t c ( bao gm
vn cp 1 v vn cp 2):
Vn cp 1: thc o chyu nh gi sc mnh, tim lc ti chnh ca mt
ngn hng tquan im ca c quan qun l, c nh ngha trong Basel.
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Vn cp 1 bao gm cc loi ngun lc ti chnh c tin cy cao nht v c
tnh thanh khon tt nht, chyu cp n vn cng. Cc v dvvn
cp 1 c thkn: cphiu thng, cphiu u i khng hon li v khng
tch lu, li nhun gi li. Theo ngha ny, vn cp 1 khng hon ton gingnhng c lin quan mt thit n khi nim vn c ng, y l phn chnh
nhng khng phi tt cvn cp 1.
Vit Nam, Vn cp 1 vc bn gm1:
Vn iu l
Li nhun khng chia
Cc qudtrc lp trn c strch lp tli nhun ca tchc tn
dng nh qudtrbsung vn iu l, qudphng ti chnh v qu
u t pht trin.
Vmt l thuyt, nguyn nhn dtrvn l n gip cc ngn hng phng
vtrc nhng ri ro ngoi dkin. Khc vi ri ro ngoi dkin, ri ro lng
trc c thng c mt phn trch ring phng nga. Cthhn, vn
cp 1 l mt trong nhng thc o tlvn ca Ngn hng , l tlgia
vn nng ct ca ngn hng vi tng ti sn c iu chnh ri ro. Ti sn iuchnh ri ro l tng tt ccc ti sn do ngn hng nm gic tnh ton theo
trng si vi ri ro tn dng theo mt cng thc do c quan qun l (thng
l Ngn Hng Trung ng) a ra. Hu ht cc ngn hng Trung ng u
theo chun BIS - Ngn hng thanh ton quc t- t ra nhng trng sny.
Cc ti sn nh tin mt, tin xu thng c trng sri ro l 0, trong khi cc
khon vay khng c bo m c trng s100%. Tlvn cp 1 c tnh theo
cng thc:
Theo quyc ca Basel II th t l ny phi trn 4 th t chc tn dng
c coi l vn.
1theo Quyt nh s457/2005/Q-NHNN ngy 19 thng 4 nm 2005 ca Thng c NHNN ban hnh quy nh
vcc tlbo m an ton trong hot ng ca cc tchc tn dng
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Vn cp 2:l thc o tim lc ti chnh ca mt ngn hng lin quan n cc
dng ngun lc ti chnh c tin cy hng thhai (sau vn cp 1), xt t
quan im ca c quan qun l ngnh ngn hng. Cc dng ngun lc ti chnh
ny c tiu chun ha rt r rng trong Basel I v khng c g thay i trongBasel II. Vn cp 2 c coi l c tin cy, an ton thp hn. C quan qun
l ca hu ht cc quc gia, kcban thng c ca FED, u p dng tiu
chun vvn ny trong hthng php l ca mnh. C mt vi cch phn loi
vn cp 2, nu theo chun Basel I, vn cp 2 bao gm:
Li nhun cha cng b.
Gi trti sn nh gi li.
Cc khon dphng ri ro chung.
Vn cp 2 ti a bng 100 vn cp 1.
*u Trong vn t c khng c tnh cc khon sau:
Ton bphn gi trgim i ca cc TSC hay chng khon u t
do nh gi li
Tng svn gp hoc cphn trong tchc tn dng khc Phn gp vn, lin doanh, mua c phn ca qu u t, doanh
nghip vt mc 15% vn tc
Lkinh doanh, kclly k
T haich tiu vn cp I v cp II, ta tnh c t l an ton vn ti thiu
(CAR):
T lny thng c dng bo vnhng ngi gi tin trc ri ro ca ngn
hng v tng tnh n nh cng nh hiu quca hthng ti chnh ton cu. Bng t
lny ngi ta c thxc nh c khnng ca ngn hng thanh ton cc khon n
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c thi hn v i mt vi cc loi ri ro khc nh ri ro tn dng, ri ro vn hnh.
Hay ni cch khc, khi ngn hng m bo c tlny tc l n tto ra mt
tm m chng li nhng c sc vti chnh, va tbo vmnh, va bo vnhng
ngi gi tin.
Chnh v l do trn, cc nh qun l ngnh ngn hng cc nc lun xc nh r v
gim st cc ngn hng phi duy tr mt tlan ton vn ti thiu.
Vit Nam theo thng t s13/2010/TT-NHNN ngy 20/5/2010 tlny c quy
nh l 9%. Theo chun mc Basel II m cc hthng ngn hng trn thgii p dng
phbin l 8%.
Khi tnh ton tlan ton vn ti thiu, ngi ta xt n hai loi vn: vn cp I(vn
nng ct) v vn cp II(vn bsung), trong vn cp I c coi l c tin cy v
an ton cao hn.
y c thc coi l mc iu chnh tin gn hn n mc m cc ngn hng
thgii hin nay ang p dng l 10 - 11% cho giai on n nm 2019 theo Basel
III. Tuy nhin mc an ton ca hthng ngn hng Vit Nam vn cn thp nu so
vi hthng ngn hng trong khu vc. Nu so snh mc bnh qun 13,1% ca ccngn hng khu vc chu Thi Bnh Dng (gm 52 ngn hng thuc 10 nc)
vi tl12,3% ca cc ngn hng cc nc chu mi ni (14 ngn hng ca Thi
Lan, Indonesia, Malaisia, Philipin) th tlca cc ngn hng Vit Nam hin nay cn
thp hn nhiu chtrn 9%.
ng1: TlCAR 1 sngn hng (%)2
2007 2008 2009 2010
VCB ( Vit Nam) 9,2 8,9 8,11 10
Vietinbank ( Vit Nam) 11,62 11,45 8,06 8,02
DBS( Singapore) 13,4 14 s16,7 18,4
Bangkok ( Thi Lan) 14,54 13,79 15,51 16,09
2(Ngun: Bo co ti chnh ca cc NHTM qua cc nm)
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Madiri ( Insonesia) 21,1 15,7 15,6 -
Tbng trn, VCB v Vietinbank l 2 trong s nhng ngn hng ln ca Vit
Nam, nhng tlan ton vn (CAR) cng chmc 8 - 9, trong khi , mt s
ngn hng ln ti khu vc ng Nam c tlCAR cao hn rt nhiu nh ngn
hng DBS ca Singapore t mc CAR l 18,4 nm 2010, hay ca ngn hng
Bangkok Bank ca Thi Lan l 16,04 nm 2010.
Cho n hin nay, vic cng bCAR cha phi l bt buc. NHNN cng cha
bao gicho bit thng tin y vchsny ca chthng v tng TCTD. V
vy, thtrng khng c y dliu nh gi. Lu CAR ca VN hin thi
vn cha c tnh theo tiu chun quc tm chdng li theo tiu chun ktonVN v thNHNN cn tip tc nng dn yu cu vCAR m bo an ton hot
ng hthng khi ngy cng nhiu NH hot ng theo hng Cty m- con v nn
kinh t v thtrng ti chnh VN ngy cng m, hot ng NH ngy cng trnn
ri ro hn.
1.2.1.2 Ct lng ca cc c ng c n ng ln:
y l vn rt ng c quan tm v nhng c ng ny l nhng ngi c
nh hng rt ln n tnh cng nh sc kho ca t chc, mt s thay i cng
nh suy yu v tnh hnh ti chnh ca c nhn h cng c th y t chc vo
mt tnh th kh khn: thay i thnh vin HQT do vic bn, thoi vn,
chuyn nhng c phn cho cc c nhn khc (c bit l i th), gy mt
nim tin nhng c ng khc. Hn na v vn lm dng quyn hn ca
mnh thao tng gi chng khon, c phiu cng c nh gi l hnh ngtrc tip gy thit hi n t chc hin ti. Chnh v th vic kim sot tnh hnh
ti chnh c nhn c lin quan, nh hng ln n t chc tn dng cng phn
no gip ta c th hiu c tnh hnh t chc tn dng hin ti.
1.2.1.3 H s n ti cn:
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(thng thng i vi cc ngn hng Vit Nam, con s trung bnh l
12.5)
Vic huy ng vn cho vay l mt trong nhng hot ng chnh yu ca
ngn hng, tuy nhin, di p lc trn li sut cng nh v kh nng thanh khon ca
h thng, cc ngn hng thng b gii hn bi mt mc cho vay c nh, t lm
cn c tnh ton kh nng huy ng p ng nh cu cho vay ca mnh trn c s
m bo hot ng ca ngn hng cng nh an ton cho h thng.
Nu vic huy ng qu nhiu tuy nhin u ra cho vay khng thc s tt
(nhng khon li thu khng ng hn do khch hng tr hn, n c nguy c mtvn,) th vic chi tr li tin gi cho khch hng gi tin cng s dn n mt p lc
v chi ph i vi ngn hng, n mt lc no s dn n kit qu ti chnh v khi
v l khng th trnh khi.
1.2.2 Yu t2: Asset Qualit Ct lng ti sn c
Cht lng ti sn ca NHTM l 1 chtiu tng hp ni ln khnng bn vng vti chnh, nng lc qun l ca mt tchc tn dng. Hu ht ri ro trong kinh doanh
tin tu tp trung ti sn c.
Cht lng ti sn c l nguyn nhn c bn dn n cc vvngn hng. Nu
thtrng bit rng cht lng ti sn km th sto p lc ln trng thi ngun vn
ngn hn ca ngn hng, v iu ny c thdn n khng hong thanh khon, hoc
dn n tnh trng x i rt tin ngn hng.
1.2.2.1 Ti sn c l g ?
TS c c thhin bn ti sn c trn Bng cn i kton ca NHTM . Quy
m, c cu v cht lng ti sn c s quyt nh n s tn ti v pht trin ca
NHTM m ti sn c bao gm ti sn sinh li (Chim t80-90% tng ti sn c) v
ti sn khng sinh li (chim t10-20% tng ti sn c). TS c bao gm
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+ Dtr(Reserves)
+ Cho vay (Loans)
+ u t (Investment)
+ Ti sn C khc (Other Assets)
Dtr:
Hot ng tn dng ca ngn hng nhm mc ch kim li, song cn phi bo
m an ton givng c lng tin ca khch hng. Mun c c stin cy
vpha khch hng, trc ht phi bo m khnng thanh ton: p ng c
nhu cu rt tin ca khch hng. Mun vy cc ngn hng phi dnh mt phn
ngun vn khng sdng n sn sng p ng nhu cu thanh ton. Phn vn
dnh ny gi l dtr. Ngn hng TW c php n nh mt tldtrbt buc
theo tng thi knht nh, vic trli cho tin gi dtrbt buc do chnh ph
qui nh. Dtrbao gm:
+ Dtrs cp (Primary Reserves): bao gm tin mt, tin gi ti ngn hng TW,
ti cc ngn hng khc
+ Dtrthcp (Secondary Reserves): (cp hai) l dtrkhng tn ti bng tin
m
bng chng khon, ngha l cc chng khon ngn hn c thbn chuyn thnh
tin mt cch thun li.
Cp tn dng (Credits):
Sngun vn cn li sau khi dnh mt phn dtr, cc ngn hng thng mic thdng cp tn dng cho cc tchc, c nhn bao gm:
- Cho vay (Loans):
-Chit khu (Discount)
- Cho thu ti chnh (Financial leasing):
- Bo lnh ngn hng: (Bank Guarantee)
- Cc hnh thc khc (Other)
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u t Invstmnt
Khon mc u t c vtr quan trng thhai sau khon mc cho vay, n mang li
khon thu nhp ln v ng kca ngn hng thng mi. Trong nghip vny,
ngn hng sdng ngun vn ca mnh v ngun vn n nh khc u t di
cc hnh thc nh:
- Hn vn mua cphn, cphiu ca cc Cng ty; hn vn mua cphn chc
php thc hin bng vn ca ngn hng
Mua tri phiu chnh ph, chnh quyn a phng, tri phiu cng ty
Tt chot ng u t chng khon u nhm mc ch mang li thu nhp, mt
khc nhhot ng u t m cc ri ro trong hot ng ngn hng sc phn
tn, mt khc u t vo tri phiu chnh phth mc ri ro srt thp.
Ti sn C khc:
Nhng khon mc cn li ca ti sn C trong chyu l ti sn cnh nhm:
xy dng hoc mua thm nh ca lm tr s vn phng, trang thit b, my
mc, phng tin vn chuyn, xy dng h thng kho qungoi ra cn cc
khonphi thu, cc khon khc
1.2.2.2 Cc chtiu n gi ct lng ti sn c
Cht lng cc khon cho vay v ng trc cho khch hng:
Chtiu ny c nh gi thng qua tlnxu, vic phn loi nv lp d
phng ca NHTM
Phn loi nv tltrch lp dphng:
- Nhm 1(Ntiu chun): 0%
- Nhm 2 (Ncn ch ): 5%
- Nhm 3 (Ndi tiu chun): 20%
- Nhm 4 (Nnghi ng): 50%
- Nhm 5 (Nc khnng mt vn): 100%
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Tlnxu: l tlgia tng cc khon nthuc nhm 3, 4, 5 so
vi tng d n
Bng 2: tlnxu ca hthng NH Vit Nam qua cc nm 3
2008 2009 2010
Ton hthng ngn hng 3,5 1,9 2,5
VCB 4,61 2,47 4,15
Viettin bank 1,81 0,61 0,66
BIDV 4,02 2,98 2,92
Agribank 3,25 4,15 _
ACB 0,89 0,41 0,37
Sacombank 0,59 0,64 0,62
Tlnxu ca hthng ngn hng Vit Nam nhng nm trc y khng phi
l iu lo ngi v tlnxu ca hthng ngn hng lun thp hn 5 ( tiu chun
quc t). Tuy nhin tnm 2009 n nm 2010 th tlnxu tng t1,9% ln
2,5% v tip tc tng vt ln 2,91%/tng d nvo cui thng 7/2011. Khng chvy
cc con scng bcha chc phn nh ht nxu ca cc ngn hng. Trong mt
phn tch gn y, cc chuyn gia Trung tm thng tin v dbo kinh tx hi cho
bit, theo tchc nh mc tn nhim Fitch Rating, tlnxu ca Vit Nam l 13%
trong khi con sny do NHNN tnh ton chl 2,37% (tnh thi im 20/6/2011).
Cht lng ca cc khon u t: ch tiu ny c nh gi qua t ldphng gim gi chng khon trn tng sd cc khon u t trn bng
cn i kton
C cu ti sn C ni bng: c thhin qua tlti sn c sinh li so
vi tng ti sn
3Ngun: bo co ti chnh ca cc NHTM
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Ti sn C sinh li: l tng cc khon mc ti sn c c kh
nng sinh li ca tchc tn dng ti thi im 31/12 nhm nh
gi xp loi, bao gm cc khon mc sau y:
-
Tin, vng gi ti cc tchc tn dng khc- Cc khon cho vay
- u t chng khon
- Gp vn, u t di hn, bt ng sn u t
Tlny cng cao th cng tt cho NHTM
Cht lng cc khon cam kt ngoi bng: ch tiu ny c thhin
qua tlphn nh cht lng cc khon cam kt ngoi bng Cc khon cam kt ngoi bng bao gm: cc khon bo lnh,
chp nhn thanh ton v cam kt cho vay khng hy ngang v
iu kin v c thi im thc hin cth
Tlphn nh cht lng cc khon cam kt ngoi bng: l tl
gia tng sd cc khon cam kt ngoi bng thuc nhm 3,4,5
chia cho tng s d cc khon cam kt ngoi bng. T l ny
cng nhth NHTM c nh gi cng cao
1.2.3
Yu t3: Management Nng lc qun tr)
1.2.3.1
Gii tiu c n
Ti Vit Nam, theo Quy nh xp loi ngn hng thng mi cphn th ch
tiu nng lc qun tr c mc im ti a l 15 im, ti thiu l 0 im.
Nguyn tc tnh im l ly sim ti a tri sim btrtng chtiu.
Theo iu 7 Quy nh xp loi ngn hng thng mi c phn, ngn hng
thng mi cphn t im ti a 15 im phi tha mn y 5 iu kin :
a) Thnh vin Hi ng qun tr, thnh vin Ban kim sot s lng theo
quy nh.
b) Ban hnh y , chun ha v thc hin ng cc quy chni b.
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c) Hthng kim tra, kim ton ni btng xng vi quy m ngn hng v
hot ng hiu qu, m bo cc ri ro quan trng lun c nhn dng, o
lng, kim tra, kim sot mt cch lin tc.
d) Cc thnh vin Hi ng qun tr, Ban kim sot, Ban iu hnh c nnglc, on kt, c thc chp hnh php lut, c trch nhim, thc hin ng
nhim v, quyn hn trong vic qun tr, kim sot, iu hnh ngn hng
thng mi cphn.
e) m bo cc quy nh ca ngn hng nh nc v c ng, c phn, c
phiu.
Vi mi iu kin vi phm, ngn hng thng mi cphn sbtrmc im
tng ng vi tng iu kin.
1.2.3.2 Cc p ng cc tiu tc n gi ti Vit Nam
a) N mi cphn btr3 m r rng hp khng
m bo mt trong u kin sau :
- Khng slng thnh vin Hi ng qun tr, thnh vin Ban kim sot
theo quy nh ca Ngn hng Nh nc v iu l ca ngn hng thng
mi cphn ;
Theo iu 62 Lut cc tchc tn dng, Hi ng qun trca tchc tn dng
l cng ty cphn phi c khng t hn 05 thnh vin v khng qu 11 thnh
vin, trong c t nht 01 thnh vin c lp. Hi ng qun trphi c t nht
mt phn hai tng sthnh vin l thnh vin c lp v thnh vin khng phi
l ngi iu hnh tchc tn dng.
C nhn v ngi c lin quan ca c nhn hoc nhng ngi i din vn
gp ca mt cng l tchc v ngi c lin quan ca nhng ngi ny c
tham gia Hi ng qun tr, nhng khng c vt qu mt phn ba tng s
thnh vin Hi ng qun trca mt tchc tn dng l cng ty cphn, tr
trng hp l ngi i din phn vn gp ca Nh nc.
Theo Khon 2, iu 44 Lut cc tchc tn dng, Ban kim sot ca tchc tndng c t nht 03 thnh vin, s lng cthdo iu lca tchc tn dng
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quy nh, trong phi c t nht mt phn hai tng sthnh vin l thnh vin
chuyn trch, khng ng thi m nhim chc v, cng vic khc ti tchc
tn dng hoc doanh nghip khc.
-
Khng ban hnh y , chun ha cc quy chni bvhot ng ca Hi
ng qun tr, Ban kim sot v Ban iu hnh, kim sot ni bv cc quy
ch cn thit khc cho hot ng ca ngn hng thng mi c phn (tn
dng, bo lnh, hch ton kton v cc nghip vkhc) hoc c kin ca
Thanh tra Ngn hng Nh nc (ti Kt lun ca Thanh tra trong nm nh
gi xp loi), kim ton c lp (ti Bo co kim ton c lp, Th Qun l
cho nm nh gi xp loi) v vic quy trnh ni b ca ngn hng khng
hiu qudn n vic gii hn qu trnh thanh tra v kim ton.
Theo iu 93, Lut cc tchc tn dng, tchc tn dng phi xy dng v ban
hnh cc quy nh ni bi vi cc hot ng nghip vca tchc tn dng,
bo m c c chkim sot, kim ton ni b, qun l ri ro gn vi tng quy
trnh nghip vkinh doanh, phng n xl cc trng hp khn cp.
T chc tn dng phi ban hnh cc quy nh ni b sau y:
Quy nh v cp tn dng, qun l tin vay bo m vic s dng vn vay
ng mc ch;
Quy nh v phn loi ti sn c, trch lp v s dng d phng ri ro;
Quy nh v nh gi cht lng ti sn c v tun th t l an ton vn ti
thiu;
Quy nh v qun l thanh khon, trong c cc th tc v cc gii hn qun
l thanh khon;
Quy nh v h thng kim sot ni b v c ch kim ton ni b ph hp vi
tnh cht v quy m hot ng ca t chc tn dng;
Quy nh v h thng xp hng tn dng ni b;
Quy nh v qun tr ri ro trong hot ng ca t chc tn dng;
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Quy nh v quy trnh, th tc, bao gm c nguyn tc nhn bit khch hng
bo m ngn nga vic t chc tn dng b lm dng cho cc mc ch ra
tin, ti tr khng b v ti phm khc;
Quy nh v phng n x l cc trng hp khn cp.
Theo iu 40, Lut cc tchc tn dng quy nh vHthng kim sot ni b:
H thng kim sot ni b l tp hp cc c ch, chnh sch, quy trnh, quy
nh ni b, c cu t chc ca t chc tn dng, chi nhnh ngn hng nc
ngoi c xy dng ph hp vi hng dn ca Ngn hng Nh nc v
c t chc thc hin nhm bo m phng nga, pht hin, x l kp thi r i
ro v t c yu cu ra.
T chc tn dng, chi nhnh ngn hng nc ngoi phi xy dng h thng
kim sot ni b bo m cc yu cu sau y:
Hiu qu v an ton trong hot ng; bov, qun l, s dng an ton, hiu
qu ti sn v cc ngun lc;
H thng thng tin ti chnh v thng tin qun l trung thc, hp l, y
v kp thi;
Tun th php lut v cc quy ch, quy trnh, quy nh ni b.
b) B m km r, km b km, k
r 4 m r r m r b
- V c cu t chc, b my kim ton ni b khng trc thuc v chu s ch
o trc tip ca Ban kim sot v v ch lng, thng v ph cp trch
nhim ca b phn kim ton ni b c quyt nh bi Ban iu hnh
(Tng gim c, Ph Tng gim c ca ngn hng thng mi c phn);
Theo khon 1 iu 41 Lut cc t chc tn dng th T chc tn dng phi thnh
lp kim ton ni b chuyn trch thuc Ban kim sot thc hin kim ton ni
b t chc tn dng.
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- Ngi ph trch b phn kim ton ni b khng c trnh chuyn mn (t
i hc tr ln) chuyn ngnh Ti chnh-Ngn hng hoc K ton-Kim
ton; khng c 03 nm lm vic trong lnh vc ti chnh ngn hng;
-
Ngn hng thng mi c phn khng ban hnh quy nh chnh thc v quy
trnh kim ton ni b p dng thng nht trong ton h thng hoc quy
trnh kim ton ni b c ban hnh nhng khng hiu qu (nhng pht
hin ca kim ton ni b cn thiu, chnh lch so vi Bo co kim ton
c lp v Kt lun ca Thanh tra Ngn hng Nh nc dn n vic lm
nh hng ti tnh trung thc hp l xt trn phng din trng yu ca Bo
co ti chnh v tnh tun th cc quy nh php lut ca ngn hng).
c)
Khng m b k r 6 m
- Ni b mt on kt: tr 3 im;
- C thnh vin Hi ng qun tr, Ban kim sot v Ban iu hnh vi phm
cc quy nh ca php lut v ca Ngn hng Nh nc, khng thc hin
ng nhim v, quyn hn trong vic qun tr, kim sot, iu hnh ngn
hng thng mi c phn, c bit trong vic ch o thc hin cc quy nhv an ton hot ng ngn hng v quy nh v ch bo co thng k p
dng i vi cc t chc tn dng ca Ngn hng Nh nc: tr 3 im.
d) V m , , r m, k
m m r r
- Khng s lng c ng theo quy nh hin hnh v c ng, c phn, c
phiu v vn iu l ca ngn hng thng mi c phn do Thng c Ngnhng nh nc ban hnh;
Theo Khon 6 iu 52 Lut cc t chc tn dng th T chc tn dng c phn
phi c ti thiu 100 c ng v khng hn ch s lng ti a.
Theo iu 55 Lut cc t chc tn dng v t l s hu c phn, Mt c ng l
c nhn khng c s hu vt qu 5 vn iu l ca mt t chc tn
dng.Mt c ng l t chc khng c s hu vt qu 15 vn iu l ca
mt t chc tn dng, tr mt s trng hp lut nh.
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Theo Ngh nh sa i, b sung mt s iu ca Ngh nh s 141/2006/N-CP
ngy 22 thng 11 nm 2006, ngn hng thng mi c phn phi c s vn thc
gp t mc 3000 t ng.
-
Vi phm mt trong cc ni dung di y H s c ng theo di khng y
, ngi i din khng m bo t cch, vi phm quy nh v ngun vn
gp v gii hn s hu c phn c quy nh ti quy nh hin hnh v c
ng, c phn, c phiu v vn iu l ca ngn hng thng mi c phn
do Thng c Ngn hng Nh nc ban hnh.
Theo iu 12 Lut cc t chc tn dng,
Ngi i din theo php lut ca t chc tn dng c quy nh ti iu l ca
t chc tn dng v phi l mt trong nhng ngi sau y:
a) Ch tch Hi ng qun tr hoc Ch tch Hi ng thnh vin ca t chc tn
dng;
b) Tng gim c (Gim c) ca t chc tn dng.
Ngi i din theo php lut ca t chc tn dng phi c tr ti Vit Nam,
trng hp vng mt Vit Nam phi y quyn bng vn bn cho ngi khc l
ngi qun l, ngi iu hnh ca t chc tn dng ang c tr ti Vit Nam
thc hin quyn, ngha v ca mnh.
Theo iu 55 Lut cc t chc tn dng v t l s hu c phn, Mt c ng
l c nhn khng c s hu vt qu 5 vn iu l ca mt t chc tn
dng.Mt c ng l t chc khng c s hu vt qu 15 vn iu l ca
mt t chc tn dng, tr mt s trng hp lut nh.
- Vi phm mt trong cc ni dung di y Vic pht hnh c phiu, qun l
theo di c ng khng thc hin ng quy nh ti quy nh hin hnh v c
ng, c phn, c phiu v vn iu l ca ngn hng thng mi c phn
do Thng c Ngn hng Nh nc ban hnh.
Trng hp ngn hng thng mi c phn ang b t trong tnh trng kim
sot c bit cho im 0 i vi ch tiu qun tr, kim sot, iu hnh.
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Theo khon 1 iu 146, Kim sot c bit l vic mt t chc tn dng b t di
s kim sot trc tip ca Ngn hng Nh nc do c nguy c mt kh nng chi
tr, mt kh nng thanh ton.
1.2.4 Yu t4: Earnings (Li nhun)
1.2.4.1 Li nhun:
L chsquan trng nht nh gi cng tc qun l v cc hot ng chin
lc ca nh qun l thnh cng hay tht bi. Li nhun sdn n hnh thnh
thm vn, y l iu ht sc cn thit thu ht thm vn v sh tr pht
trin trong tng lai tpha cc nh u t. Li nhun cn cn thit b pcc khon cho vay btn tht v trch dphng y .
1.2.4.2
Cc chtiu n gi:
Theo m hnh CAMELS ca Vit Nam, kt qukinh doanh ca ngn hng c nh
gi da trn
Li nhun trc thuso vi vn chshu
Tlthu dch vtrong tng thu nhp
Tlthu nhp rng thot ng dch vtrong li nhun trc thu
1.2.4.2.1 Li nhun trc thuso vi vn chshu ( ROE)
ROE = 100% x
Chsny l thc o chnh xc nh gi mt ng vn bra v tch ly to ra
bao nhiu ng li.TlROE cng cao cng chng tngn hng sdng hiu qu
ng vn ca cng. y cng l chsng tin cy vkhnng sinh li ca ngn
hng trong tng lai. Theo iu 8 Quy nh xp loi ngn hng thng mi cphn,
kt qukinh doanh ca cc ngn hng c tnh ti a 15 im:
Nu ngn hng c li th:
ROE 17 : 15 im
14 ROE < 17 : 13 im
10 ROE < 14 : 10 im
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5 ROE < 10 : 8 im
ROE < 5 : 5 im
Nu ngn hng khngc li: 0 im
Bng 3: kt qukinh doanh ca cc ngn ng trong nm 20114
Chtiu Vietinbank Vietcombank Bidv Sacombank
Tng ti sn (tng) 460.421 369.200 428.000 144.000
Vn iu l( tng) 20.229 23.174 14.970 10.740
Li nhun trc thu 8.105 5.700 4.926 2.728
Huy ng vn 422.955 242.300 285.000 126.000
Tng trng huy ng
vn
24.4% 17% 7% 22%
D ntn dng 430.360 210.000 279.000 78.500
Tng trng d n tn
dng
24,8% 18,5% 17% -3,4%
ROA 1,96% 1,3% - -
ROE 25.4% 17,5% - -
Nxu 0,74% 2.1% 2.8% 0,6%
1.2.4.2.2 Hot ng dch vca ngn hng:
Theo WTO, dch vngn hng l mt bphn cu thnh trong dch vti chnh
ni chung.
4Ngun: bo co ti chnh ca cc NHTM
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Dch vngn hng c hai c im ni bt:
Thnht: l cc dch vm chc cc ngn hng vi nhng u thca n mi c
ththc hin mt cch trn vn v y .
Thhai: l cc dch vgn lin vi hot ng ngn hng.
Nh vy, c th cho rng ton b hot ng tin t, tn dng, thanh ton, ngoi
hi,ca h thng ngn hng u l hot ng cung cp dch v ti chnh cho nn
kinh t. C thphn loi dch vngn hng nh sau:
Cc dch vtruyn thng:
Thc hin trao i ngoi t
Chit khu thng phiu v cho vay thng mi
Nhn tin gi
Cung cp cc ti khon giao dch
Cung cp dch vy thc ...
Cc dch vhin i:
Cho vay tiu dng
T vn ti chnh
Qun l tin mt
Cung cp cc dch vmi gii u t chng khon
Cung cp dch vngn hng u t v ngn hng bn bun ...
Tuy nhin, nhn vo bo co ti chnh ca cc ngn hng hin nay, ta c th
thy li nhun ca nhiu ngn hng vn ph thuc phn ln vo ngun thu t hot
ng tn dng. Nguyn nhn l do u t vo hot ng dch v c xem l mt
gnh nng v tsut li nhun so vi hot ng tn dng l rt thp, chnh lch "mt
tri, mt vc" trong khi chi ph li cao. Tuy vy, bi cnh hin ti, tn dng ca
cc ngn hng nh ang b bp nght bi trn li sut cng vi vic hn ch tng
trng tn dng, y sl thi im thch hp y mnh u t vo hot ng dch
vnhm cn i ngun thu.
Trong m hnh CAMELS VN cng c nh gi hot ng dch vca ngn hng:
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Nu tlthu dch vtrong tng thu nhp:
T8% trln: thng 3 im
T2 n di 8: thng 1 im
Di 2: khng c im thng Tlthu nhp rng thot ng dch vtrong li nhun trc thu:
t 30% trln: thng 2 im
t 14 n di 30: 1 im
t di 14: 0 im
1.2.5
Yu t5: Liquidity (tnh thanh khon)1.2.5.1 Khi nim:
Tnh thanh khon ca ngn hng thng mi c xem nh khnng tc
thi (the short-run ability) p ng nhu cu rt tin gi v gii ngn cc
khon tn dng cam kt.
Ngn hng cn dtrthanh khon chi trnhng chi ph thng xuyn
nh li tin gi, v nhng c sc thanh khon khng nh mong i nh mt
cuc rt tin hng lot hay yu cu vay vn ln. Mc d khnng dtrthanh
khon km cha hn sdn n ssp ca mt ngn hng, nhng chn chc
ngn hng phi b ra mt khon chi ph ln ng ph vi nhng c sc v
thanh khon. iu lm cho li nhun ca ngn hng gim ng kv co th
dn n khnng sp hon ton.
Cung vthanh khon: Cung thanh khon l cc khon vn lm tng khnng
chi tr ca ngn hng, l ngun cung cp thanh khon cho ngn hng, bao
gm:
- Cc khon tin gi ang n.
- Doanh thu tvic bn cc dch vphi tin gi.
- Thu hi cc khon tn dng cp.
- Bn cc ti sn ang kinh doanh v sdng.
- Vay mn trn thtrng tin t.
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Cu vthanh khon: Cu vthanh khon l nhu cu vn cho cc mc ch hot
ng ca ngn hng, cc khon lm gim qu ca ngn hng. Thng thng,
trong lnh vc kinh doanh ca ngn hng, nhng hot ng to ra cu vthanh
khon bao gm:
- Khch hng rt tin tti khon.
- Yu cu vay vn tnhng khch hng c cht lng tn dng cao.
- Thanh ton cc khon vay phi tin gi
- Chi ph pht sinh khi kinh doanh cc sn phm, dch v.
- Thanh ton ctc bng tin.
C ba khnng c thxy ra sau y:
Thng d thanh khon: Khi cung thanh khon vt qu cu thanh khon (NPL>0),
ngn hng ang trng thi thng d thanh khon. Nh qun trngn hng phi
cn nhc u t s vn thng d ny vo u mang li hiu qu cho ti khi
chng cn c sdng p ng nhu cu thanh khon trong tng lai.
Thm ht thanh khon: Khi cu thanh khon ln hn cung thanh khon (NPL
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- Sbin ng trong gi ccphiu: Gi cphiu ca ngn hnhang gim st c
phi do nh u t lo ngi vmt cuc khng hong thanh khon c thxy ra i
vi ngn hng
- Phn b ri ro trn chng chtin gi v cc khon cho vay khc
- Tn tht trong vic bn ti sn: Ngn hng c thng xuyn bn ti sn vi
nhng tn -tht ng knhm p ng nhu cu thanh khon
- Khnng p ng yu cu tn dng ca ngn hng
- Vay vn tngn hng trung ng: Ngn hng c nm trong tnh hnh bt buc
phi vay nhng khon ln tngn hng trung ng m bo khnng thanh
ton
1.2.5.2.1 Cc tiu c n gi k nng tan kon ca ngn hng
tng mi cphn ti Vit Nam
1.2.5.2.2 Khnng tan ton nga
Khnng thanh ton ngay = Ti sn c c ththanh ton ngay/ Ti sn nphi
thanh ton ngay
Theo quy nh ca Ngn hng nh nc (Thng t s 13/2010/TT) th cc t
chc tn dng cn phi m bo 2 tlkhnng chi trsau:
Tlgia tng ti sn c thanh ton ngay/ Tng nphi tr: phi t ti thiu
15%
Tlgia tng ti sn c n hn thanh ton trong 7 ngy tip theo ktngy
hm sau/ tng ti sn N n hn thanh ton trong 7 ngy tip theo ktngy
hm sau i vi ng Vit Nam, ng Euro, ng Bng Anh v ng la M:
phi t ti thiu bng 1
Cch thc co im khnng tan ton nga:
a- Ngn hng thng mi cphn m bo t lkhnng chi tr theo quy nh
ca Ngn hng nh nc c im ti a 12im.
b- Ngn hng thng mi cphn m bo t lkhnng chi tr theo quy nhca Ngn hng nh nc btrim nh sau:
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+ Vi phm 1 ln khng m bo tlkhnng chi tr: tr5 im;
+ Vi phm nhiu ln dn n vic Ngn hng Nh nc c vn bn nhc nh
hoc x pht vi phm hnh chnh i vi ngn hng thng mi c phn v
vic vi phm quy nh bo m tlkhnng chi tr: tr12 im.
1.2.5.2.3 T l ti a ca ngun vn ngn hn c s dng cho vay
trung v di hn
Ngun vn ngn hn ca t chc tn dng c s dng cho vay
trung hn v di hn bao gm:
a. Tin gi khng khn, c khn di 12 thng ca tchc (kctchc tn
dng khc), c nhn.
b. Tin gi tit kim khng khn, c khn di 12 thng ca c nhn.
c. Ngun vn huy ng di hnh thc pht hnh giy tc gi ngn hn.
d. Phn chnh lch ln hn gia stin vay ca tchc tn dng khc v tin cho
tchc tn dng vay c khn di 12 thng.
Theo quy nh ca Ngn hng Nh nc (Quyt nh s 457/2005/Q-NHNN
ngy 19 thng 4 nm 2005 ca Thng c Ngn hng Nh nc) th t l ti a
ca ngun vn ngn hn ngn hng thng mi c sdng cho vay trung
hn v di hn l 40%.
Cch thc co im Tlti a ca ngun vn ngn hn c sdng
cho vay trung v di hn:
a- Khng vi phm vic m bo t l ti a ca ngun vn ngn hn c s
dng cho vay trung v di hn: 3 im
b- Vi phm 1 ln khng m bo t l ti a ca ngun vn ngn hn c s
dng cho vay trung v di hn: tr2 im;
c- Vi phm nhiu ln khng m bo tlti a ca ngun vn ngn hn c s
dng cho vay trung v di hn: tr2 im.
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1.3 Cc tn im v xp loi ca m hnh CAMELS
1.3.1 C cu tn im ca tng c tiu n gi p ng:
-Vn t c (C): -3 n 15 im
-Cht lng ti sn (A): 0 n 35 im
-Nng lcqun tr (M): 0 n 15 im
- Li nhun (E): 0 n 20 im
-Kh nng thanh khon (L): 0 n 15 im
- nhy (S): 0 im
1.3.2 Tang im c t co tng c tiu:
1.3.2.1Vn t c: -3 n 15 im
- t c 15 im trong phn ny cc NHTMCP phi hi
+ Vn iu l trong nm xp loi khng thp hn vn php nh
+m bo an ton vn: CAR 9, s dng vn iu l ng quy nh ca NHNN
+ m bo nh hng khuyn khch tng vn hiu qu ca NHNN
-Nu khng t c nhng ch tiu trn c th b tr 18 im (theo th t trn n 5,
8, 5 im)
1.3.2.2 Ct lng ti sn: 0 n 35 im
-Cht lng cc khon cho vay v ng trc cho khch hng v cc khon cho vay
cc TCTD khc: ti a 20 im i vi NHTMCP c s d cc khon cho vay v ngtrc khch hng v cc khon cho vay cc TCTD khc nh hn 50 tng ti sn; ti
a 25 im i vi NHTMCP c s d cc khon cho vay v ng trc khch hng v
cc khon cho vay cc TCTD khc chim t 50 tng ti sn tr ln.
-Cht lng ca cc khon u t: 0 n 5 im
-C cu ti sn c ni bng: 0 n 5 im
+ Ti sn c sinh li t 75 so vi tng ti sn c ni bng: 5 im
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+ Ti sn c sinh li di 75 so vi ti sn c ni bng, tr ti a 5 im, c th:
T 65 -di 75: tr 2 im
T 50 -di 65: tr 3 im
Di 50: tr 5 im
-Cht lng cc khon cam kt ngoi bng: 0 n 5 im khi t c
+ T l phn nh cht lng cc khon cam kt ngoi bng nh hn hoc bng 3
Lu : nu t 3 -5 b tr 3 im.
+ Tun th quy nh ca NHNN v phn loi n, trch lp v s dng d phng
x l ri ro tn dng i vi cc khon cam kt ngoi bng.
Lu : nu khng tun th hay t l phn nh cht lng cc khon cam kt
ngoi bng ln hn 5, b tr 5 im.
1.3.2.3 Nng lc qun tr:0 n 15 im
-Thnh vin HQT, thnh vin Ban kim sot s lng theo quy nh
-Ban hnh y , chun ho v thc hin ng cc quy ch ni b
Nu khng m bo mt trong hai yu t trn: tr 3 im
-H thng kim tra, kim ton ni b tng xng vi quy m ngn hng v hot nghiu qu
Nu b my kim tra, kim ton ni b yu km, hot ng khng hiu qu: tr
4 im
-Cc thnh vin qun tr, kim sot, iu hnh u phi on kt c nng lc v trch
nhim, thc hin ng quyn v ngha v ca mnh.
Nu khng t c tiu chun ny: tr 6 im
Ngoi ra nu vi phm cc quy nh v c ng, c phn, c phiu: tr 2 im
* Nu NHTMCP b t di tnh trng kim sot c bit: cho 0 im i vi ch tiu
qun tr, kim sot, iu hnh.
1.3.2.4 Li nhun: ti a 20 im,
-Kt qu hot ng kinh doanh: ti a 15 im
+ Kt qu hot ng kinah doanh li, im ti a 15 im:
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Li nhun trc thu so vi vn ch s hu bnh qun t t 17 tr
ln: 15 im;
Li nhun trc thu so vi vn ch s hu bnh qun t t 14 n
di 17: 13 im; Li nhun trc thu so vi vn ch s hu bnh qun t t 10 n
di 14: 10 im;
Li nhun trc thu so vi vn ch s hu bnh qun t t 5 n
di 10: 8 im;
Li nhun trc thu so vi vn ch s hu bnh qun t di 5: 5
im
+ Kt qu hot ng kinh doanh trong k khng c li: 0 im.
-im thng t hot ng dch v: ti a 5 im
+ T l thu dch v trong tng thu nhp: 3 im
t 8 tr ln: 3 im;
t t 2 tr ln n di 8: 1 im;
t di 2: 0 im.
+ T l thu nhp rng t hot ng dch v trong li nhun trc thu: 2 im
t 30 tr ln: 2 im
t 14 n di 30: 1 im
t di 14: 0 im
1.3.2.5
Tnh thanh khon: ti a 15 im-Kh nng thanh ton ngay = Ti sn c c th thanh ton ngay / Ti sn n phi
thanh ton ngay
+ NHTMCP m bo t l kh nng chi tr theo quy nh ca NHNN c im ti
a 12 im
+ NHTMCP khng m bo t l kh nng chi tr theo quy nh ca NHNN b tr
im nh sau:
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Vi phm 1 ln khng m bo t l kh nng chi tr: tr 5 im;
Vi phm nhiu ln dn n vic NHNN c vm bn nhc nh hoc x pht vi
phm hnh chnh i vi NHTMCP v vic vi phm quy nh bo v kh nng
chi tr: tr 12 im
-T l ti a ca cc ngun vn ngn hn c s dng cho vay trung v di hn:
Thc hin theo quy nh ca nh nc.
Khng vi phm vic m bo t l ti a ca ngun vn ngn hn c s
dng cho vay trung v di hn: 3 im
Vi phm 1 ln khng m bo t l ti a ca ngun vn ngn hn c s
dng cho vay trung v di hn: tr 2 im Vi phm nhiu ln khng m bo t l ti a ca ngun vn ngn hn c s
dng cho vay trung v di hn: tr 3 im
-Vic nh gi, xp loi ch tiu ny c ly s liu bnh qun thng/ngy theo quy
nh v ch bo co thng k ca NHNN
1.3.3
p loi:
- Tng im c tnh l im bao gm 5 mc trong phn II
- Xp loi cc NHTMCP
Loi A:tng im 80 tr ln, im ca tng ch tiu khng thp hn 65 s
im ti a ca ch tiu
Loi : tng im t 60 n 79 v im mi phn khng di 50 im ti a
ca phn hay tng im cao hn 79 im nhng c t nht mt ch tiu c t
50 -di 65 s im ti a ca ch tiu
Loi C: tng im t 50 n 59 v khng c ch tiu no di 45 im ti a
ca tng mc hay tng im im cao hn 95 nhng c t nht mt ch tiu c
t trn 45 n di 50 s im tia ca ch tiu
Loi : tng im di 50 hay tng im cao hn 50 nhng c t nht mt ch
tiu thp hn 45 s im ti a ca ch tiu .
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1.3.4 Ti gian tc in vic n gi p loi:
a. S liu nh gi xp loi c cn c vo s liu k ton chnh thc nm nh
gi xp loi ca NHTMCP c kim toan bi t chc kim ton c lp.
Ring i vi ch tiu v an ton hot ng ngn hng, s liu nh gi xploi c cn c vo s liu bo co nm nh gi xp loi theo ng ch
thng tin bo co hin hnh. Ch tiu Nng lc qun tr c nh gi chung
cho c nm ti chnh.
b. Thi gian xem xt, xp loi:
i. Chm nht ngy 10 thng 5 nm sau, tng NHTMCP t nh gi xp loi
v gi NHNN Chi nhnh tnh, thnh ph trc thuc Trung ng ni t
tr s chnh.
ii. Chm nht ngy 31 thng 5 nm sau, NHNN Chi nhnh tnh, thnh ph
trc thuc Trung ng c kin nh gi kt qu t nh gi xp loi ca
cc NHTMCP c tr s chnh t ti 9ia5 bn v ti63ng hp bo co kt
qu nh gi, xp loi gi NHNN (Thanh tra Ngn hng Nh nc)
iii. Thng 6 hng nm, thng c NHNN ph chun kt qu nh gi xp loi
cc NHTMCP.
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CHNG2: SO SNH M HNH CAMELS CA VIT NAM VI M HNHCAMELS CA CC NC KHC
2.1 So snh m hnh CAMELS ca Mv Vit Nam
2.1.1 M hnh ca M
M hnh ny da trn bo co ti chnh, ngha l thng qua thanh tra ti chv
da trn thang im t1 - 5 cc nh qun l a ra nh gi, xp hng ngn hng.
C 6 nhn tm m hnh CAMELS a ra l: vn, cht lng ti sn, qun l, li
nhun, thanh khon v nhy cm ri ro i vi th trng. Da trn m hnh
CAMELS cc ngn hng ra thnh 5 nhm:
Nhm 1: lnh mnh vmi mt
Nhm 2: lnh mnh vc bn
Nhm 3: c biu hin mt vi yu km cn quan st
Nhm 4: c biu hin thiu an ton
Nhm 5: hot ng cc k thiu an ton
Da trn vic phn loi , Cc Dtrlin bang Mcng cc c quan chnh phs
tp trung vo nhm ngn hng no "sc khe yu" a ra bin php phng nga
ph sn.
Mc ch ca m hnh CAMELS M: dbo khnng gp kh khn ca cc
ngn hng, t htrtrnh ph sn.
2.1.1.1Mc an ton vn:
Cn cnh gi da trn:
Tnh cht v tlnhng ti sn xu so vi tng ngun vn, dtrca
ngn hng v c ngi cho vay cui cng c uy tn m bo kh
nng thanh khon
Cu trc bng cn i kton, kcnhng khon nv ti sn ngoi
bng, ri ro thtrng v ri ro tp trung
Tnh cht cc hot ng kinh doanh v ri ro ca nhng hot ng
i vi ngn hng
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Tc tng trng vn, ti sn ca ngn hng trong qu khv trin
vng tng lai
Li nhun v sphn chia ctc
Tlan ton vn theo ng lut nh Khnng tip cn ngun vn thtrng
Nng lc ca bphn qun l trong vic gii quyt cc vn trn
nh gi vmc an ton vn
Cp 1:
- Tlan ton vn ti thiu phi cao hn yu cu lut nh
- Li nhun cao
-
Kim sot tc tng trng tt
- La chn mc an ton vn ph hp
- Mc ctc hp l v c khnng huy ng ngun vn mi
- Slng ti sn xu t
Cp 2: gn ging nh cp 1 nhng c mt vn cn vi im yu.
VD:
-
Tlan ton vn ti thiu cao hn quy nh nhng tlti snxu tng i cao
- Bmy qun l khng c khnng duy tr ngun vn hp l
i ph vi ri ro
Cp 3: t c nhng yu cu vmc an ton vn v khnng
thanh khon nhng c vi yu km nghim trng:
- Tlti sn xu vt qu 25% tng ngun vn
-
Li nhun thp- Khng c khnng huy ng thm ngun vn mi t c
nhng yu cu mi
- Phi gim st bmy qun l v cng trong vic gii quyt
cc vn ca ngn hng
Cp 4: Ngn hng gp kh khn torng vic bo m mc an ton
vn
- Pht sinh thit hi trong tt clnh vc hot ng
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- Tlnkhng thu hi c vt qu 50% tng ngun vn
- Sdng vn khng hiu qu
- Khng tun thlut nh
-
B my qun l cn c nhng bin php mnh gii quytnhng vn trn nu khng mun i n ph sn
Cp 5: Ngn hng mt khnng thanh khon
- Phi b lut nh gim st cht ch gim nh thit hi cho
ngi gi tin v chn
- Khnng bmy qun l c thtngn nga ssp ca ngn
hng l cc kthp
-
Chc cng mi c thngn c tnh trng ph sn
2.1.1.2 Cht lng ti sn c:
Cn cnh gi:
Tlti sn xu trn tng ti sn
Tlnqu hon v nti cu trc
Khnng qun l ti sn v thu hi nxu Tlcc khon cho vay v cho vay ni b
Sa dng ha danh mc u t
Squn l danh mc cho vay, cc chnh sch v quy trnhring ca ngn
hng, hthng thng tin qun l
Tldtrso vi tng d nca ngn hng trn bng cn i kton
Tc tng trng tn dng so nng lc ca ngn hng
ng gi vcht lng ti sn c: Cp 1 :
- Tlti sn xu so vi tng ngun vn t2%-3%
- Kim sot c nqu hn v ngia hn theo ng lut nh
- Vic cp tn dng ni bphi m bo ri ro thp nht
- Danh mc cho vay hiu qu, gim st cht chnhng khon n
xu
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- T ldtrso vi tng d nca ngn hng trn bng cn i
kton phi m bo ng quy nh ca CBI
- Ti sn phi tn dng khng c du hiu bthit hi
Cp 2: gn ging cp 1 nhng c mt vi im yu km khngtrng yu v bmy qun l hon ton c th tgii quyt m khng
cn bgim st
Ti sn xu khng vt qu 10% vn nhng:
- Ngn hng gp vn vi tlnqu hn v vi ngi cho vay
cui cng
- C mt vi yu km trong vic thm nh tn dng v kim sot
quy trnh cp tn dngca ngn hng
- Cc khon tn dng cp cho ni bkhng ng quy nh nhng
c thddng khc phc
- Thu hi t cc ti sn phi tn dng thp v ri ro cao hn mc
bnh thng nhng kho c du hiu bthit hi
Cp 3: nhiu yu km hn cp 2 v cn c gim st theo lut
nh m bo rng bmy qun l c thgii quyt cc kh khn cangn hng:
- Tlnqu hn vnti cu trc cao
- Ngi cho vay cui cng khng an ton
- Tiu chun thm nh tn dng khng hiu qu
- Cc chnh sch, quy trnh khng c thc hin nghim tc
- Cp cc khon tn dng cho ni bkhng hp l
-
Ti sn phi tn dng c ri ro cao hn bnh thng v c du hiubthit hi
Cp 4: Ngn hng gp vn nghim trng vmc an ton vn
c thi ph vi ri ro tcc hot ng kinh doanh ca ngn hng:
- Bthit hi nhiu tcc khon tn dng
- Cc khon tn dng xu gia tng v c th dn ti mt thanh
khon
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- Nghi ng s thit hi t tn dng vt qu khnng ca ngi
cho vay cui cng v trthnh mi e doti ngun vn
- Ti sn phi tn dng gy s thit hi nghim trng vvn v c
thdn n mt thanh khon- Quy trnh v chnh sch khng ng n
Cp 5: Tlti sn tn dng v ti sn phi tn dng xu cao, gy thit
hi cho ngun vn:
- Tlti sn xu so vi ngun vn trn 50%
- Khnng bmy qun l ci thin c tnh trng ngn hng l
rt thp
-
Cn c gim st nghim ngt hn chsthit hi vn hn
na v bo vnhng ngi gi tin v chn
- Lut cho php CBI cngi gim st v htrngn hng
2.1.1.3
Nng lc qun tr:
Cn cnh gi:
Ban qun trngn hng c khnng qun tr, iu hnh, kim sot cchot ng kinh doanh ; nhn dng, o lng, kim sot ri ro, hoch
nh cc khoch v c khnng thch nghi, ng ph vi nhng thay
i.
Ban hnh y , chun ha v thc hin cc quy chqun l ni b,
cc quy nh van ton hot ng ngn hng, quy nh vchbo
co thng k p dng i vi cc tchc tn dng, hthng qun trri
ro.
Hthng kim ton ni bhot ng hiu qu.
Chlng thng, m tcng vic.
Ri ro ngn hng v hot ng tng th.
ng gi vnng lc qun tr:
Cp 1: cho thy khnng qun trvng mnh
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- Nhn dng c cc ri ro lin quan n hot ng ngn hng
- Nhn thc c v phn ng vi nn kinh tbin ng
- Thc hin tt cc chc nng qun trbao gm hoch nh, kim
sot, gim st- Hthng kim ton ni btng xng vi quy m ngn hng
- Ban hnh y , chun ha v thc hin cc quy chni b
- Cc thnh vin Ban qun trc trch nhim v on kt
- Nhn vin tt cmi vtr c thc trch nhim.
Cp 2: c trnh qun trtng tmc 1, chkhc bit mt s
cc yu tkhng quan trng khng cn gim st thng xuyn v c th
khc phc c. Tnh hnh ti chnh ca ngn hng nn c nhn
mnh.
Cp 3: Ngn hng thhin mt vi yu km quan trng. Cn thit
phi c cc gim st thng xuyn xem xt ban qun trc kp thi
a ra hnh ng cn thit gii quyt vn ny sinh hay khng
- Thnh vin ban qun trkhng thc hin ng nhim v, quyn
hn- Vi phm cc quy nh ca php lut v quy chni b
- Hthng nh gi, qun trri ro yu km
- Tnh hnh hot ng ti chnh km hiu qu
- Khng ban hnh y , chun ha cc quy chni b, quy nh
vquy trnh kim ton ni b
Cp 4: ngn hng cn nhiu yu km nhiu mt:
-
Quy ch, quy inh, chnh sch bt hp l- Thnh vin ban qun trli dng chc v, quyn hn
- Vi phm cc quy nh, php lut
- Bqua cc hot ng kim tra, gim st thng xuyn
- Hot ng yu km c thdn n ph sn
- Cc hot ng qun trcn phi c thay thhoc y mnh .
Cp 5: cn phi c nhng hnh ng ngay lp tc cu vn tnh
hnh:
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- Hot ng yu km trong tt ccc lnh vc
- Hot ng ti chnh yu km
- Tn ti nguy c ph sn
-
Ban qun trc nguy c cao bthay th.
2.1.1.4
Li nhun:
Cn cnh gi:
Li nhun b p cc thit hi tim tng, bo m mc an ton
vn v chi trmc ctc hp l
Cc ngun thu nhp rng v tnh n nh ca chng
Chi ph hot ng
Mc phthuc vo cc ngun thu tgiao dch chng khon v cc
hot ng ri ro cao
Sphthuc vo cc ngun thu tcc hot ng khng thng xuyn
ca ngn hng
Mc dphng an ton
Snh hng ca ri ro thtrng ln thu nhp nh gi li nhun:
Cp 1:
- Li nhun to ngun dtran ton, tip tc tng trng vn
v chia mc ctc hp l cho cc cng
- Ngn sch di do, c khoch kim sot thu nhp v chi ph
- Thu nhp v chi ph chuyn bin theo hng tch cc
-
Sphthuc vo cc ngun thu khng mang tnh tnh thng xuynl rt thp
Cp 2: vc bn ging cp 1 nhng c mt sim yu km hn:
- Hi phthuc vo cc ngun thu khng thng xuyn
- Cn gia tng ngn sch, ln khoch v kim sot qu trnh
Cp 3: ngn hng c nhiu yu km vcc tiu chun nh gi
- Sgim st l cn thit m bo bmy qun l thc hin cc
bin php cn thit ci thin li nhun ngn hng
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- Li nhun khng to mc vn an ton
Cp 4:Ngn hng gp nhiu vn nghim trng. D cho c li
nhun rng th cng khng trch lp dtrv tip tc tng trng
ngun vn- Cn c gim st cht chtrnh tht thot vn
- Cn c nhng hnh ng ngay lp tc ci thin li nhun v gim
chi ph, trnh dn n mt thanh khon
- Mt vi hot ng ca ngn hng c thbnh ch
Cp 5: Ngn hng ang b thit hi rt nng v c thdn n mt
thanh khon. Cn c nhng hnh ng ngay lp tc v phi c sgim
st tCBI
2.1.1.5 Tnh thanh khon
Cn cnh gi:
Qutin mt v cc ti sn c tnh lng cao thc hin cc ngha
vngn hn
Sbin ng tin gi v nhu cu vay Li sut, cc ti sn v ngha vti hn
Khnng tip cn thtrng tin tv cc qukhc
a dng ha cc ngun lp qu
Sphthuc vo thtrng lin ngn hng
Khoch dphng
ng gi tnh thanh khon:
Cp 1:- Ti sn c tnh lng cao p ng nhu cu vay trong trng
hp tin gi gim st
- Phthuc t vo thtrng lin ngn hng
- C khoch dphng
Cp 2: c mt vi im yu hn cp 1 nhng c thkhc phc
c
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- Ngn hng p ng yu cu vthanh khon nhng khng c k
hoch cng nh skim sot hiu qu
- Khi gp vn v thanh khon, ngn hng c th t khc phc
nhng vn cha thphng nga nhng ri ro nh k- Bmy qun l khng nhn thc c nhng vn lin quan n
thanh khon
Cp 3: Ngn hng c yu km vnhiu mt
- Cn sgim st cht ch
- Vic qun l tnh thanh khon yu km dn n nhiu trng hp
gp ri ro vthanh khon
Cp 4: Ngn hng gp vn trm trng vthanh khon
- Cn tng cng khnng hn na p ng cho cc ngha v
sp ti
- Cn c cc khoch dphng iph vi cc tnh hung bt
ng
Cp 5: Ngn hng cn sgip tbn ngoi p ng nhu cu
thanh khon nu khng mun i n ph snf/ Mc nhy cm vi ri ro th trng: Mc d CBI khng c thang im c th
cho yu tny nhng n vn c nh gi da trn cc cn csau:
nhy cm ca ngn hng i vi nhng thay i bt li trong li
sut, tgi hi oi, gi chng ha v gi trti sn cnh
Khnng bmy qun l nhn din, dbo v kim sot c ri ro th
trng
g/ Chstng hp
Nh trnh by trn,mi yu tc nh gi tcp 1 ti 5. Sau , da vo
nhng nh gi trn, chstng hp c tnh ton v cc ngn hng c xp hng
t1 n 5. Chstng hp khng phi c tnh bng trung bnh cng shng ca
cc yu ttrn m phi c tnh ton da trn mi lin kt gia cc yu tv tng
thri ro ca ngn hng
nh gi tng th
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Cp 1: Ngn hng an ton vmi mt, n nh, qun trtt, tun th
ng lut nh v hon ton c khnng chu ng c suy thoi kinh
t
Cp 2: Ngn hng vc bn l an ton, khng c bt kyu tnoc xp hng thp hn 3 v tun thng lut nh, chc mt vi yu
km tn ti nhng ban qun tr sn lng cng nh c kh nng khc
phc. Nhng ngn hng loi 2 cng kh n nh v c th chu ng
c hu ht cc t suy thoi kinh t
Cp 3: ngn hng c yu km mt vi lnh vc v nu khng c
khc phc kp thi c nh hng nghim trng n kh nng thanh
khon. Nhng ngn hng ny d btn thng khi gp phi nhng bin
i bt li
Cp 4: nhng ngn hng ny c bit khng an ton, c nhng vn
ti chnh nghim trng v bmy qun l yu km. Tnh thanh khon
cu ngn hng b e da nu ko c nhng hnh ng tc thi hay b
gim st
Cp 5: khnng ngn hng ph sn l rt cao. Bmy qun l honton khng c khnng ci thin tnh hnh. Scu tr tbn ngoi l
cn thit nu ngn hng khng mun i n ph sn
2.1.2 So snh vi m hnh CAMELS ca Vit Nam
M hnh M:
Xp hng cc tchc tn dng t1-5
Khng tnh im chi tit cho tng yu tm chnh gi theo 5 cp Phthuc nhiu vo ngi nh gi
M hnh Vit Nam
Xp hng cc tchc thnh loi A, B,C, D
Tnh im cng v trcho tng khon mc chi tit
Khch quan hn nhng rc ri hn
2.2 So snh m hnh CAMELS ca Trung Quc v Vit Nam
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M hnh Camels c p dng xp loi cc ngn hng thng mi cphn ti Vit
Nam t nm 2008. Trong khi Trung Quc hon thnh vic trin khai p dng
phng php qun tr ri ro da trn h thng xp hng ni b theo nguyn tc
CAMELS trong ton hthng ngn hng tcui nm 2010.
2.2.1 M hnh CAMEL Trung Quc:
Chtiu C (vn): l nhn t nh gi nng lc ca ngn hng v vn cn thit
chng trc cc ri ro v nng lc qun trnhm xc nh, o lng, theo di, v
kim sot cc ri ro .
Cc chsnh lng nh gi vn (ti a 60 im):
ChsMc im ti
a
Tlquy
nh
Tlan ton vn chung (CAR) 30 im 8%
T l an ton vn i vi vn ch s hu (Core
CAR) 30 im 6%
Cc chsnh tnh nh gi vn(ti a 40 im):
C cu v cht lng ngun vn: 6 im
Trng thi ti chnh ca ton bngn hng v nh hng ca n ti ngun vn:
8 im
Cht lng ti sn v tc ng ca n ti ngun vn: 8 im Khnng tng vn ca ngn hng: 8 im
Qun l ngun vn ca ngn hng: 10 im
Chtiu A (ch ng ti sn):l nhn tphn nh mc ri ro tn dng i km
vi hot ng cho vay, danh mc u t v cc khon mc ngoi bng ca ngn
hng.
Cc chsnh lng (ti a 60 im):
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ChsMc im
ti aTlqu nh
Tlnc vn 15 im Di 5%
Tlltrn khon vay 10 im Di 2%
T lcp tn dng ti a i vi 01 khch hng
hoc 01 nhm khch hng
10 im
01 khch hng
10%
01 nhm khchhng15%
Tltrch lp dphng chung 20 im 100%
Tlltrn ti sn phi tn dng 5 im Di 1%
Cc chsnh tnh (ti a 40 im):
Chiu hng thay i i vi ti sn c vn v nhng tc ng: 5 im
Tltp trung tn dng vo mt lnh vc v tc ng ca n: 5 im
Quy trnh, hthng v hiu quca cng tc qun trri ro tn dng: 10 im
Mc hon thin v hiu quca hthng phn loi ri ro tn dng: 10 im
Hin trng cho vay c bo lnh, cho vay thchp v cng tc qun l chng: 5
im
Thc tcng tc qun l ri ro i vi ti sn phi tn dng: 5 imChtiu M (qun tr):phn nh nng lc ca hi ng qun tr, lnh o cp cao v
quy trnh xc nh, o lng, gim st v kim sot ri ro. Chtiu ny gm 2 bch
snh gi tnh hp l v hiu quca cng tc qun trtrong ngn hng v hthng
kim sot ni b.
Cc chtiu nh gi cng tc qun tr(50 im):
C cu tchc: 10 im.
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C chra quyt nh: 10 im.
C chchp hnh: 10 im.
C chgim st: 10 im.
C chthc y ng lc lm vic v trch nhim gii trnh: 10 im.
Cc chtiu nh gi hthng kim sot ni b(50 im):
Vn ha v mi trng kim sot ni b: 10 im.
Xc nh v nh gi ri ro: 10 im.
Hnh vi kim sot v phn chia nhim v: 10 im.
Cng b, cung cp v chia sthng tin: 10 im.
Gim st v khc phc sai st: 10 im.
Chtiu E (kt qukinh doanh):Phn nh gi tr, chiu hng v cc nhn tc th
nh hng ti tnh bn vng v cht lng ca kt qu hot ng ca t chc tn
dng.
Cc chsnh lng (60 im):
Chs Mc im tia
Tlqu nh
Khnng sinh li ca ti sn 15 im 1%
Kh nng sinh li ca ngun
vn15 im 20%
Tlthu tli sut 15 im 95%
Tlph tn tti sn 15 im0,75%. T2% trln sb0
im
Cc chsnh tnh (40 im):
Hin trng v chiu hng ca ph tn, thu nhp v khnng sinh li: 15 im.
Cht lng li nhun v tc ng ca n ti spht trin ca ngn hng v d
trdn tch i vi khon ltrn ti sn: 15 im.
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Ngn qucui cng v hthng thanh ton cui cng, tnh hon thin v hiu
quca cng tc qun l ti chnh: 10 im.
Chtiu L (thanh khon):Phn nh stng xng gia ngun thanh khon hin ti
v trong tng lai ca ngn hng vi cc thng lqun l ngun vn.
Cc chsnh lng (60 im):
Chs Mc im ti a Tlqu nh
T l thanh khon (Liquidity ratio t l o
lng khnng thc hin ngha vnngn hn)20 im 35%
Tlthm dng dtri vi ng ni t (RMB
excess reserve ratio)10 im 5%
T lcp tn dng so vi tin gi bng ni tv
ngoi t10 im Di 65%
Tlcp tn dng so vi tin gi bng ngoi t 5 im Di 70%
Tlcho vay rng trn thtrng lin ngn hng 10 im Di -4%
Cc chsnh tnh (40 im):
Cu trc, xu hng thay i v tnh bn vng ca ngun vn: 5 im.
Chnh sch qun l ti sn c v ti sn nv thc trng phn bvn: 5 im.
Qun l thanh khon ca ngn hng (trong gm cc yu tsau: c bphn
phtrch qun l thanh khon, dbo nhu cu, chnh sch qun l, v cng tcqun l thanh khon hng ngy): 20 im.
Nng lc ca ngn hng trong vic p ng nhu cu thanh khon di dng ti
sn nc sdng trong giao dch (active liabilities): 5 im.
Nng lc ca ngn hng trong vic xc nh, gim st v kim sot trng thi
thanh khon mt cch hiu qu: 5 im.
2.2.2
So sn cc tn im:
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im ging nhau:
M hnh xp hng CAMEL c ci tin tHthng xp hng tchc tn dng thng
nht (the Uniform Financial Institution Rating SystemUFIRS), c p dng ti M
ktngy 13/11/1979. Mc tiu ban u ca vic p dng m hnh l nh gi 5
ch tiu cho bit tnh trng hot ng ca ngn hng bao gm: vn t c (C), cht
lng ti sn (A), nng lc qun tr (M), kt qu kinh doanh (E), kh nng thanh
khon (L). Chtiu th6 nhy cm vi cc ri ro thtrng (S) - c bsung
vo nm 1997. Tuy nhin, cho n nay th m hnh CAMELS c p dng ti c
Vit Nam v Trung Quc chnh gi 5 ch tiu u CAMEL. Trong tng lai nu
iu kin hot ng ngnh ngn hng ti Vit Nam hay Trung Quc ri ro hn th vic
cp nht chtiu th6 l c th.
im khc nhau:
Mc d u nh gi hot ng ca cc ngn hng da trn 5 chtiu nhng cch tnh
im ca Vit Nam v Trung Quc khng ging nhau. Tng sim nh gi xp loi
ti a cho mt ngn hng thng mi cphn ti Vit Nam l 100 im, tng chtiu
c cc mc im ti a khc nhau. Trong khi , cc ch tiu trong CAMEL ti cc
ngn hng Trung Quc c tnh theo n vphn trm (),tng im ti a cho h
thng xp hng ni bl 100%, mc im tuyt i ca tng chtiu l 100 im v
c ly trng stnh tl tng ng.
Bng 4: So sn ccu im ca 5 chtiu trong m hnh CAMEL p dng ti
Vit Nam v Trung Quc
VIT NAM TRUNG QUC
Vn tc (C) 15 im 20%
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Cht lng ti sn (A) 35 im 20%
Nng lc qun tr(M) 15 im 25%
Kt qukinh doanh (E) 20 im 20%
Khnng thanh khon(L) 15 im 15%
Tng 100 im 100%
T trng im skhc nhau 3 ch tiu u vn tc (C), cht lng ti sn (A),
nng lc qun tr (M) 2 quc gia cho thy mi quc gia c nhng nh gi khc
nhau vmc quan trng ca tng ch tiu. Trong khi Vit Nam nh gi cao ch
tiu cht lng ti sn (A) v 2 chtiu cn li ngang bng nhau th Trung Quc li
dnh 25% t trng cho nng lc qun tr(M). Theo nhng nh gi gn y th ch
tiu nng lc qun trngy cng ng vai tr quan trng trong hiu quhot ng ca
mt ngn hng.
Ngoi ra ty theo iu kin v tnh hnh hot ng ring c ca mi quc gia m tiu
ch nh gi tng chtiu v cch cho im khc nhau.
2.3 So snh m hnh CAMELS ca Nht v Vit Nam
M hnh CAMELS ca Nht cngphn loi ngn hng thnh 5 nhm:
Nhm 1: rt an ton
Nhm 2 : an tonNhm 3: vn
Nhm 4: khng an ton
Nhm 5: khng an ton nghim trng
M hnh gm cc yu t
C (capital) - Khnng tcn i vn: y l phn vn chshu ca ngn
hng v kh nng ca ngn hng p ng cc mn vay ngy cng m rng
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cng nh cc nh hng pht trin ti sn tim nng m ngn hng cn t
c. Hthng phn tch CAMEL xem xt khnng ca ngn hng trong vic
huy ng thm vn chshu trong trng hp thua lv khnng cng nh
chnh sch thit lp dtrtrong trng hp c ri ro hot ng.
Cc chtiu sdng phn tch vn
C cu vn, tp trung vo mc quan trng tng i ca vn cp1, cp 2:
Vn cp 2 ti a bng 100% vn cp 1
Cht lng ca cc cng c nh hng ln
Tun thquy nh vmc vn ti thiu cn thit (CAR)(8%)
Hsn by ti chnh L = tng nphi tr/Vn chshu (avg 12.5) Hsto vn ni b(internal capital generation) ICG (%) = Li nhun khng
chia/Vn cp 1 (>12%)
Cht lng v khnng ti chnh ca cc cng
Stham gia ca cc cng trong ban gim c v quyn biu quyt
Nhng thay i nh dkin trong c cu vn gp
Chsvn dtr= Dtrmt vn thc t/Dphng mt vn iu chnh theo
CAMEL
A (assets) - Cht lng ti sn.
Cht lng ni chung ca cc mn vay v cc ti sn khc, bao gm cc khon cho
vay c shtng. iu ny i hi vic xem xt phi xem xt sph hp ca h
thng phn loi cc mn vay, qu trnh thu thp thng tin v cc chnh sch
xo n.
Danh mc cho vay/tng TS = D ntn dng/Tng TS c
Tc tng trng tn dng (credit growth rate) = [D ntn dng cui k- d
ntn dng u k]/ D ntn dng cui k
Ttrng d ntheo ngnh = D ntn dng theo ngnh /d ntn dng
Tlnxu/tng d n
Tlnqu hn/Tng d n( 5%)
Ncc nhm/tng d n
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M (management)Qun l:
Cc chnh sch vqun l con ngi, cc chnh sch qun l chung ca tchc,
cc h thng thng tin, cc ch kim sot v kim ton ni b, cc khoch
chin lc v ngn sch u c xem xt mt cch ring rphn nh ton b
cht lng ca hot ng qun l
Phn tch nhn sv phong cch lm vic ca
Hi ng qun tr
Ban qun l
Mi quan hgia hai bn
E (earnings)Li nhun:
y l nhn tquan trng ca vic phn tch doanh thu v chi ph, bao gm c
mc hiu quca hot ng v chnh sch li sut cng nh cc kt quhot
ng tng qut c o lng bng cc chs.Phn tch khnng to thu nhp
b p chi ph v tng vn bn vng
Cc chtiu sdng
ROA (>1%)
ROE ( 15-20%)
Tlthu nhp li cn bin (NIM) = (Thu li cho vay v u t CK Chi trli
tin gi v nkhc) /Tng ti sn sinh li bnh qun
Tlthu nhp ngoi li cn bin (NNIM) = (Thu ngoi liChi trngoi li) /
Tng ti sn sinh li bnh qun
Chnh lch li sut = Thu tli / TS sinh li bnh qun Chi trli/Nphi trbnh qun
Tsut chi ph huy ng vn = (li nvay + li tin gi ) / tng TS bnh qun
Chschi ph hot ng = cc chi ph hot ng / tng TS bnh qun
Chstlc hot ng OSS= Tng thu nhp ti chnh / Tng chi ph ti chnh
Chstlc ti chnh FSS = Tng thu nhp ti chnh/(Tng chi ph ti chnh+
Chi ph vn + chi ph hot ng + dphng ri ro)
Cc chsvhiu quhot ng
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Chi ph tnh trn mt n v cho vay = chi ph hot ng/S tin gii ngn
trong k
Chi ph trn mt khon cho vay = chi ph hot ng/s khon cho vay mi
trong k Slng khch hng vay trn mt cn btn dng.
Cc chsvcht lng danh mc cho vay.
Hsdphng ri ro tn dng
Danh mc cho vay gp ri ro
Tlmt vn.
Cc du hiu cnh bo
Li nhun gim, hoc pht sinh l
Li nhun tng bt thng thng qua cc giao dch nh thanh l ti sn, mua
bn chng khon, tin t...
L (liquidity)tnh lng:y l nhn tc sdng khi phn tch khnng
ca tchc trong vic xc
\nh nhu cu ti trcho dn ni chung cng nh nhu cu vn cho vay ni ring. Cu
trc nv vn chshu ca tchc, khnng thanh ton ca cc ti sn ngn hn
cng l mt nhn t rt quan trng trong vic nh gi tng quan khnng qun l
tnh lng ca tchc.
Khnng thanh khon:
Tlthanh khon ca ti sn = Ti sn thanh khon/tng TS (20- 30%)
Hsm bo tin gi = Ti sn thanh khon/Tng Tin gi (30- 45%)
Hsthanh khon ngn hn = ti sn thanh khon/tng nngn hn (30%)
Tld ncho vay v tin gi = tng d ncho vay/tng tin gi (80-100%)
Mc cng nv ngha vthanh ton cng n
Bin ng tin gi v rt vn
Cc khon phi tr
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Cc khon trch trc
Cng ntim tng (ti khon ngoi bng)
Du hiu cnh bo sm:
- Mc phthuc ngy cng tng vo nngn hng, c bit vi li sut cao
hn
- Khch hng tin gi rt nhiu
- Tsut thanh khon gim
- Tng cc khon chm trhoc kh i
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49
CHNG 3: U NHC IM CA M HNH CAMELS
3.1 uim:
L cng chiu qu nh gi, xp hng ngn hng trong giai on kinh t hinhp hin ti, lm c s nh gi mc cnh tranh cng nh kh nng hot
ng hiu qu ca cc ngn hng khi gia nhp vo mi trng ton cu. Da vo
nhng ch tiu ca m hnh, ta c th nhn ra c nhng im yu km trong
tnh hnh ti chnh ca mi ngn hng t tm cch khc phc, ci thin n
theo mun ch quan ca ngi u hnh.
Vic p dng m hnh Camels trong giai on hin ti gp phn trch lc ra c
nhng ngn hng yu km, t khoanh vng qun l, khng gy tc ng mnh
n h thng ngn hng, gi cho n c an ton, lnh mnh lm nn tng vng
chc cho s pht trin ca nn kinh t Vit Nam.
y l mt m hnh c p dng kh lu i ti nhng quc gia c nn kinh
t pht trin nn c tnh n nh kh cao v nhng ch tiu c thay i linh
hot d ph hp qua cc thi k pht trin ca nn kinh t, t c th thy c
tnh linh hot ho quyn trong tnh n nh, gip m hnh ngy cng hon thinhn.
3.2 Ncim:
Vic ch s dng cc ch tiu ti chnh da trn phn tch BCTC ca m hnh
nh gi tnh hnh ti chnh ca ngn hng c th gp mt s rc ri do s khc
nhau, th thut trong vic la chon ch k ton, t dn n vic nh gi
khng chnh xc, khng phn nh ng bn cht thc t, ci m c th ngn hng
ang c tnh che y.
Trong m hnh ch tp trung ch yu vo cc ch tiu v ti chnh, nhng thc t
vn tn ti nhng yu t phi ti chnh nh qun l, mc nhy cm i vi ri
ro ca th trng nn c th y lm mt trong nhng nhc im kh ln ca m
hnh CAMELS. Trong giai on hi nhp hin nay, yu t qun l c nh gi
cao v ngy cng tr nn quan trng. V th, ngy nay, c nhng m hnh ra i
da trn vic khc phc nhng nhc im ca m hnh Camels, t to nn
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mt s kt hp hon ho, gip cho vic p dng m hnh nh gi v ngn hng
ngy cng c chnh xc v hu hiu hn.
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51
KT LUN
Cng vi spht trin kinh tkhng ngng th hthng ngn hng lun gp mt vai tr quan
trng, v ngn hng l trung gian huy ng v iu phi ngun vn chnh ca cnn kinh t.Stng trng v pht trin n nh ca hthng ny tc ng trc tip v mnh mn s
tng trng ca cnn kinh t. Chnh v th, hthng ny hot ng hiu qunht, th
vic qun trhot ng ngn hng l v cng thit yu. M hnh CAMELS l mt m hnh
nh gi nng lc hot ng ngn hng kh phbin hin nay. M hnh ny da trn cc ch
svmc an ton vn, cht lng ti sn, nng lc qun tr, kt qukinh doanh, tnh
thanh khon, mc nhy cm i vi ri ro thtrng. Tuy nhin, mi quc gia sc
nhng tiu ch nh gi khc nhau nhng vn m bo sph hp ca m hnh. M hnh da
trn nhng chsti chnh nn phn nh kh chnh xc tnh hnh ngn hng. Nhng bn cnh
, do khng ch trng n nhng yu tphi ti chnh v sdng nhng phng php k
ton khc nhau c thdn n nhng sai lch. Do , cn p dng m hnh CAMELS linh
hot c tht c kt quchnh xc nht, phn nh nng lc ca ngn hng
5/19/2018 [123doc.vn]- ng D ng M H nh Camels Trong Qu n Tr R i Ro Ng n H ng - slidepdf...
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DANH MC TI LIU THAM KHO
Quyt nh s 457/2005/Q-NHNN ngy 19 thng 4 nm 2005 ca Thng c
NHNN
Lut cc tchc tn dng
Quy nh xp loi ngn hng thng mi cphn
Patrick Y. Traumant ( 2006) CAMELS rating, USAID- funded economic
governance II project
ng Hu Mn Nng cao nng lc cnh tranh ca cc ngn hng thng mi, ihc Nng
Uyen Dang The Camelrating system in banking supervision , Arcada university of
applied science
Cole, Rebel A. and Gunther, Jeffery W. A Camel ratings shelf life, DePaul
university
Kawashima, keisuke Camel management system
Ngn hng Nh nc Vit Nam Qun trri ro theo nguyn tc CAMELS trong h
thng ngn hng Trung Quc
Alexis Derviz Predicting bank Camels and S&P rating
R. Alton Gilbert, Andrew P. Meyer, Mark De Vaughan The role of a Camel
downgrade model in bank surveillance