Phan Tich Thanh Khoan NH

Phn tch tnh thanh khon ca nhm cc Ngn hng ln

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

GVHD: Thy Trng Quang Thng


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



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CHNG 1

RI RO THANH KHON1.1. Khi nim v thanh khon v ri ro thanh khon: Tnh thanh khon ca ngn hng thng mi c xem nh kh nng tc thi (the short-run ability) p ng nhu cu rt tin gi v gii ngn cc khon tn dng cam kt. Nh vy, ri ro thanh khon l loi ri ro khi ngn hng khng c kh nng cung ng y lng tin mt cho nhu cu thanh khon tc thi; hoc cung ng nhng vi chi ph cao. Ni cch khc, y l loi ri ro xut hin trong trng hp ngn hng thiu kh nng chi tr do khng chuyn i kp cc loi ti sn ra tin mt hoc khng th vay mn p ng yu cu ca cc hp ng thanh ton. 1.2. Cc nguyn nhn dn n ri ro thanh khon: Thanh khon c vn ca mt ngn hng c th do cc nguyn nhn c bn sau y: Mt l, ngn hng vay mn qu nhiu cc khon tin gi ngn hn t cc c nhn v nh ch ti chnh khc; sau chuyn ho chng thnh nhng ti sn u t di hn. Cho nn, xy ra tnh trng mt cn i v k hn gia ngun vn v s dng vn, m thng gp l dng tin thu v t ti sn u t nh hn dng tin chi ra tr cc khon tin gi n hn. Hai l, s thay i ca li sut c th tc ng n c ngi gi tin v ngi vay vn. Khi li sut gim, mt s ngi gi tin rt vn khi ngn hng u t vo ni c t sut sinh li cao hn; cn nhng ngi i vay tch cc tip cn cc khon tn dng v li sut thp hn trc. Nh vy, rt cuc li sut thay i s nh hng trng thi thanh khon ca ngn hng. Hn na, nhng xu hng ca s thay i li sut cn nh hng n gi tr th trng ca cc ti sn m ngn hng c th em bn tng thm ngun cung thanh khon v trc tip nh hng n chi ph vay mn trn th trng tin t.



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Ba l, do ngn hng c chin lc qun tr ri ro thanh khon khng ph hp v km hiu qu nh: cc chng khon ang s hu c tnh thanh khon thp, d tr ca ngn hng khng cho nhu cu chi tr... 1.2.1. Cung v cu v thanh khon: Yu cu thanh khon ca mt ngn hng c th c xem xt bng m hnh cung - cu v thanh khon. Cung v thanh khon: Cung thanh khon l cc khon vn lm tng kh nng chi tr ca ngn hng, l ngun cung cp thanh khon cho ngn hng, bao gm: - Cc khon tin gi ang n. - Doanh thu t vic bn cc dch v phi tin gi. - Thu hi cc khon tn dng cp. - Bn cc ti sn ang kinh doanh v s dng . - Vay mn trn th trng tin t. Cu v thanh khon: Cu v thanh khon l nhu cu vn cho cc mc ch hot ng ca ngn hng, cc khon lm gim qu ca ngn hng. Thng thng, trong lnh vc kinh doanh ca ngn hng, nhng hot ng to ra cu v thanh khon bao gm: - Khch hng rt tin t ti khon. - Yu cu vay vn t nhng khch hng c cht lng tn dng cao. - Thanh ton cc khon vay phi tin gi - Chi ph pht sinh khi kinh doanh cc sn phm, dch v. - Thanh ton c tc bng tin. 1.2.2. nh gi trng thi thanh khon: Trng thi thanh khon rng NPL (net liquidity position) ca mt ngn hng c xc nh nh sau:GVHD: Thy Trng Quang Thng


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NPL = Tng cung v thanh khon - Tng cu v thanh khon C ba kh nng c th xy ra sau y: Thng d thanh khon: Khi cung thanh khon vt qu cu thanh khon (NPL>0), ngn hng ang trng thi thng d thanh khon. Nh qun tr ngn hng phi cn nhc u t s vn thng d ny vo u mang li hiu qu cho ti khi chng cn c s dng p ng nhu cu thanh khon trong tng lai. Thm ht thanh khon: Khi cu thanh khon ln hn cung thanh khon (NPL vn iu l ti thiu (vn php nh). 1.2.3.2 H s CAR (t l an ton vn ti thiu): Vn t c CAR = Tng ti sn C ri ro quy i 1.2.3.3 H s gii hn huy ng vn (H1): Vn t c H1 = Tng ngun vn huy ngGVHD: Thy Trng Quang Thng

x 100%

x 100%


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H s ny a ra nhm mc ch gii hn mc huy ng vn ca ngn hng trnh tnh trng khi ngn hng huy ng vn qu nhiu vt qu mc bo v ca vn t c lm cho ngn hng c th mt kh nng chi tr. 1.2.3.4 H s t l gia vn t c so vi tng ti sn c (H2): Vn t c H2 = Tng ti sn C H s ny c a ra nh gi mc ri ro ca tng ti sn c ca mt ngn hng. Thng thng ngn hng no gp phi s st gim v ti sn (do ri ro xut hin) cng ln th li nhun ca ngn hng cng thp. V vy, h s ny cho php ti sn ca ngn hng st gim mt mc nht nh so vi vn t cso ca ngn hng. 1.2.3.5 Ch s H3: Tin mt+Tin gi ti cc TCTD H3 = Tng ti sn C 1.2.3.6 H s trng thi tin mt (*H3): Tin mt+TGTT ti NHNN+TGKKH ti cc TCTD *H3 = Tng ti sn C 1.2.3.7 Ch s nng lc cho vay H4: D n H4 = Tng ti sn C x 100% x 100% x 100% x 100%



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1.2.3.8

Ch s H5: D n H5 = Tin gi khch hng x 100%

1.2.3.9

Ch s chng khon thanh khon H6: Chng khon kinh doanh+Chng khon sn sng bn

H6 = Tng ti sn C 1.2.3.10 Ch s H7: Tin gi v cho vay TCTD H7 = Tin gi v vay t TCTD 1.2.3.11 Ch s H8: Tin mt + Tin gi ti TCTD H8 = Tin gi ca khch hng 1.2.3.12 Ch s *H8: Tin mt + TGKKH ti TCTD *H8 = Tin gi ca khch hng x 100% x 100% x 100%

x 100%

Kt lun Chng 1: Thanh khon l vn thng xuyn, then cht quyt nh n s tn ti ca cc ngn hng. Trong thi gian qua, khi Ngn hng Nh nc thc thi chnh sch tin t tht cht, tnh thanh khon ca cc ngn hng thng mi Vit Nam gp kh khn nht nh. Vi nhng d liu thu thp c, nhm s i phnGVHD: Thy Trng Quang Thng


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tch so snh tnh hnh thanh khon ca 4 NHTMCP ln gm: Incombank, Vietcombank, Sacombank v ACB. Qua , c th thy c tnh hnh thanh khon ca tng ngn hng c th t c th a ra cc bin php hu hiu hn nng cao hiu qu qun tr ri ro thanh khon ca cc ngn hng thng mi Vit Nam trong thi gian ti.



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CHNG 2 TNH HNH THANH KHON CA MT S NGN HNG THNG MI LN2.1 Cc h s nh gi: Vi ngun d liu thu thp c t bo co thng nin, bo co ti chnh trong ba nm t 2008 n 2010 ca 4 NHTMCP l VitinBank, Vietcombank, Sacombank v ACB nhm chn cch tip cn qua cc tiu ch v ch s thanh khon sau y nh gi tnh thanh khon ca cc ngn hng ny: Vn iu l. H s CAR: t l an ton vn ti thiu (vn t c/tng ti sn C ri ro quy i. H s H1: Vn t c/Tng ngun vn huy ng. H s H2: Vn t c/Tng ti sn C. Ch s H3: (Tin mt+Tin gi ti cc TCTD)/Tng ti sn C; hoc,*

H3: (Tin mt+Tin gi thanh ton ti NHNN+Tin gi khng k hn ti

cc TCTD)/Tng ti sn C. y l ch s trng thi tin mt. Ch s nng lc cho vay H4:D n/Tng ti sn C. Ch s H5:D n/Tin gi khch hng. Ch s chng khon thanh khon H6: (Chng khon kinh doanh+Chng khon sn sng bn)/Tng ti sn C. Ch s H7: Tin gi v cho vay TCTD/Tin gi v vay t TCTD. Ch s H8: (Tin mt+Tin gi ti TCTD)/Tin gi ca khch hng; hoc,*

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

2.2

Phn tch nh gi: 2.2.1 Vn iu l: Tnh n thi im 31/12/2010



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Ngn hng ICB VCB ACB STB

Nm 2008 11,250 13,200 2,630 5,116

Nm 2009 11,250 13,200 6,356 6,700

Nm 2010 15,200 17,000 7,814 9,179

Ngh nh s 141/N-CP ngy 22 thng 11 nm 2006 ca Chnh ph quy nh mc vn php nh i vi ngn hng thng mi nh nc n nm 2008 v 2010 l 3,000 t VND; i vi ngn hng thng mi c phn n nm 2008 l 1,000 t VND, n nm 2010 l 3,000 t VND. Cui nm 2008, phn ln cc ngn hng t c mc vn iu l ln hn vn php nh cn thit. Tuy khng chu nhiu p lc nh cc ngn hng c phn nh nhng c 4 ngn hng vn khng ngng gia tng vn iu l tng cng kh nng hot ng ca mnh. Vn iu l tng c ngha l kh nng huy ng v cho vay ca cc ngn hng cng tng theo. T cc ngn hng c kh nng m rng mng li hot ng ca mnh chim lnh th trng. 2.2.2 H s Car : ICB VCB ACB STB 2008 8.2% 11.07% 16.19% 12.16% 2009 8.17% 12.16% 12.44% 11.41% 2010 9.1% 11.41% 9.97% 9.41%

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


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CAR ca 4 ngn hng u ln hn 8% - 9% qua cc nm. i vi Vietcombank, y l thnh vin c t l li nhun rng trn vn ch s hu (ROE) lun dn u khi ngn hng quc doanh v trong Top 5 cc ngn hng thng mi c phn trong nhng nm gn y. H s CAR t nm 2008 tr v trc lun t trn 8%.Th nhng s cht vt ca Vietcombank trong m bo yu cu CAR ti thiu bt u kh khn t nm 2009, v c nhng thi im thp hn c 8%. Nguyn do l ngn hng phi thc hin theo hng dn mi ca Ngn hng Nh nc v xc nh vn t c (Cng vn s 7634/NHNN-TCKT ngy 30/9/2009), trong c nhng iu chnh v ch tiu v gii hn xc nh vn cp 1 v vn cp 2. Nhng nguyn nhn chnh c ngn hng ny nhn mnh trong cc gii trnh trc c ng thi gian qua l do cha c tng vn iu l nn kh khn trong vic ci thin vn ch s hu. y, Vietcombank vng phi ro cn th im c phn ha, trong c rng buc v vic la chn nh u t chin lc trc khi thc hin tng vn 2.2.3 H s H1 v H2:H S H1

ICB VCB ACB STB

2008 6.81 6.63 7.96 12.79

2009 5.44 7.14 6.41 11.31

2010 5.65 7.41 5.85 10.14

BIU H S H1 QUA CC NM CA CC NGN HNG14.00 12.00 10.00 8.00 6.00 4.00 2.00 2008 2009 2010 ICB VCB ACB STB



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H S H2

ICB VCB ACB STB

2008 6.37 6.21 7.38 11.34

2009 5.16 6.66 6.02 10.14

2010 5.34 6.90 5.53 9.17

BIU H S H2 QUA CC NM CA CC NGN HNG12.00 10.00 8.00

ICB VCB ACB STB

6.00 4.00 2.00 2008 2009 2010

i vi hai h s H1 v H2, tiu chun chung l ln hn 5%. H s H1 a ra nhm mc ch gii hn mc huy ng vn ca ngn hng trnh tnh trng khi ngn hng huy ng vn qu nhiu vt qu mc bo v ca vn t c l cho ngn hng c th mt kh nng chi tr. H s ny cng tin gn v 5% cho thy kh nng huy ng vn ca ngn hng cng cao trong khi mc ri ro vn m bo theo quy nh. Trong bn ngn hng thng mi ln th ngn hng Chu c kh nng huy ng tt nht. V ngn hng Sacombank c kh nng huy ng vn km nht trong h thng bn ngn hng ln tuy nhin h s ny gim dn qua cc nm. H s H2 a ra nh gi mc ri ro ca tng ti sn c ca mt ngn hng. Thng thng, ngn hng no gp phi s st gim v ti sn(do ri ro xut hin) cng ln th li nhun ca ngn hng cng gim thp. V vy, h s ny cho php ti sn ca ngn hng st gim mt mc nht nh so vi vn t c ca ngn hng. Nhn chung, ccGVHD: Thy Trng Quang Thng


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



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H S H3

ICB VCB ACB STB

2008 4.14 14.79 26.45 13.97

2009 10.13 19.90 23.04 15.54

2010 10.13 27.25 13.97 22.74

BIU H S H3 QUA CC NM CA CC NGN HNG30.00 25.00 20.00 15.00 10.00 5.00 2008 2009 2010

ICB VCB ACB STB

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


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coi trng vn thanh khon, thm ch c thi im cc ngn hng cho rng d tha vn v h li sut huy ng. Th nhng, khi chnh sch tin t tht cht c thc thi quyt lit, im yu thanh khon bc l. Khng cn cch no khc, cc ngn hng buc phi cnh tranh nhau thu ht tin gi khch hng v trong tnh th bt buc mt s ngn hng buc phi vay qua m vi li sut cao nhm m bo nhu cu thanh khon. Nhng mt ch s H3 qu cao cho thy ngn hng tin mt qu nhiu s khng m bo kh nng ti a ha li nhun ca ngn hng. Ngn hng cn duy tr mt ch s H3 hp l va m bo kh nng thanh khon va to c li nhun cao. 2.2.5 Ch s nng lc cho vay H4: Ch s H4 phn nh nng lc cho vay. y l ch s thanh khon m bi v cho vay l ti sn c tnh thanh khon thp nht m ngn hng nm gi. Nhn chung, hot ng ch yu ca bn ngn hng thng mi lnVit Nam vn l hot ng tn dng: ch s H4 trung bnh 3 nm 2007-2009 l 47,37%, c ngha, tnh trung bnh cc khon tn dng chim trn 47% trong tng ti sn C ca cc ngn hng. Ri ro d thy nht l ri ro li sut. Khi Ngn hng Nh nc thc thi chnh sch tin t tht cht, m bo kh nng thanh khon cc ngn hng buc phi tng li sut tin gi trong lc li sut ghi trn cc hp ng tn dng khng i. Kt qu l thu nhp ca ngn hng gim i. Cha k vic mt s ngn hng s dng vn ngn hn cho vay di hn, to nn ri ro v k hn gia huy ng vn v s dng vn. Trong bn ngn hng thng mi ln th ngn hang Vietinbank c h s H4 kh cao H S H4 ICB VCB ACB STB 2008 61.26 50.82 33.08 51.15 2009 66.30 55.31 37.14 57.35 2010 63.66 55.64 44.43 54.35

BIU H S H4 QUA CC NM CA CC NGN HNG



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70.00 60.00 50.00 40.00 30.00 20.00 10.00 2008 2009 2010 ICB VCB ACB STB

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

ICB VCB ACB STB

2008 97.51 71.81 54.24 73.29

2009 108.93 83.71 71.74 98.58

2010 118.29 83.60 80.87 106.67

BIU H S H5 QUA CC NM CA CC NGN HNG140.00 120.00 100.00 80.00 60.00 40.00 20.00 2008 2009 2010 ICB VCB ACB STB



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Theo bng s liu trn cho thy 2 ngn hng cho vay vi t l kh cao trn s tin gi ca khch hng v ngn hng Icombank v Sacombak. T l ny vo nm 2010 ca Incombank l 118.28% v Sacombank l 106.67%, nh vy bnh qun c huy ng c 1 ng th hai ngn hng ny cho vay vt s tin huy ng Nh vy, ti sn C sinh li l cc khon tn dng chim t trng ln Trong tng ti sn C ca cc ngn hng, m cho vay l ti sn C c ri ro cao hn nhiu so vi cc ti sn C sinh li khc. iu ny s nh hng rt ln n tnh thanh khon ca ngn hng. 2.2.7 Ch s chng khon thanh khon H6H S H6

ICB VCB ACB STB

2008 19.52 13.76 1.03 1.18

2009 14.01 8.36 0.62 12.67

2010 16.78 7.45 1.18 9.96

BIU H S H6 QUA CC NM CA CC NGN HNG25.00

20.00

15.00

ICB VCB ACB

10.00

STB

5.00

2008 2009 2010

Ch s H6 phn nh t l nm gi cc chng khon c th d dng chuyn i thnh tin mt, p ng nhu cu thanh khon trn tng ti sn C ca ngn hng. T l ny cng cao, trng thi thanh khon ca ngn hng cng tt. Kt qu tnh ton cho thy, c 2 ngn hng l ACB( trung bnh 3 nm khongGVHD: Thy Trng Quang Thng


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0.94%) v Vietcombank( trung bnh 3 nm khong 9.86%) nm gi chng khon vi t l thp. Ring hai ngn hng Incombank v Sacombank vn gi ch s H6 cao trn 10% cho thy cc ngn hng ny vn dnh mt phn vn u t chng khon. 2.2.8 Ch s trng thi rng i vi cc TCTD H7: 2.2.9 H S H7

ICB VCB ACB STB

2008 2.07 1.25 2.64 1.57

2009 1.60 1.23 3.51 5.55

2010 1.58 1.32 1.23 1.37

BIU H S H7 QUA CC NM CA CC NGN HNG6.00 5.00 4.00 3.00 2.00 1.00 2008 2009 2010 ICB VCB ACB STB

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


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H S H8 ICB VCB ACB STB 2008 6.59 20.90 43.37 23.06 2009 16.65 30.13 44.51 39.09 2010 19.51 40.95 26.88 43.60

BIU H S H8 QUA CC NM CA CC NGN HNG

50.00 45.00 40.00 35.00 30.00 25.00 20.00 15.00 10.00 5.00 2008 2009 2010

ICB VCB ACB STB

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



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CHNG 3 MT S BIN PHP NHM NNG CAO HIU QU QUN TR RI RO THANH KHON TRONG CC NGN HNG THNG MI VIT NAM3.1 nh hng pht trin ca ngnh ngn hng Vit Nam n nm

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


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pht trin sn xut kinh doanh. 3.1.2 nh hng pht trin cc t chc tn dng n nm 2010 v nh

hng chin lc n nm 2020: Ci cch cn bn, trit v pht trin ton din h thng cc TCTD theo hng hin i, hot ng a nng t trnh pht trin trung bnh tin tin trong khu vc ASEAN vi cu trc a dng v s hu, v loi hnh TCTD, c quy m hot ng ln hn, ti chnh lnh mnh, ng thi to nn tng n sau nm 2010 xy dng c h thng cc TCTD hin i, t trnh tin tin trong khu vc Chu , p ng y cc chun mc quc t v hot ng ngn hng, c kh nng cnh tranh vi cc ngn hng trong khu vc v trn th gii. Bo m cc TCTD, k c cc TCTD nh nc hot ng kinh doanh theo nguyn tc th trng v v mc tiu ch yu l li nhun. Pht trin h thng TCTD hot ng an ton v hiu qu vng chc da trn c s cng ngh v trnh qun l tin tin, p dng thng l, chun mc quc t v hot ng ngn hng thng mi. Pht trin cc TCTD phi ngn hng gp phn pht trin h thng ti chnh a dng v cn bng hn. Pht trin v a dng ha cc sn phm, dch v ngn hng, c bit l huy ng vn, cp tn dng, thanh ton vi cht lng cao v mng li phn phi pht trin hp l nhm cung ng y , kp thi, thun tin cc dch v, tin ch ngn hng cho nn kinh t trong thi k y mnh cng nghip ha, hin i ha. Hnh thnh th trng dch v ngn hng, c bit l th trng tn dng cnh tranh lnh mnh, bnh ng gia cc loi hnh TCTD, to c hi cho mi t chc, c nhn c nhu cu hp php, kh nng v iu kin c tip cn mt cch thun li cc dch v ngn hng. Ngn chn v hn ch mi tiu cc trong hot ng tn dng. Tip tc y mnh c cu li h thng ngn hng. Tch bch tn dng chnh sch v tn dng thng mi trn c s phn bit chc nng cho vay ca ngn hng chnh sch vi chc nng kinh doanh tin t ca ngn hng thng mi. Bo m quyn t ch, t chu trch nhim ca TCTD trong kinh doanh. To iu kin cho cc TCTD trong nc nng cao nng lc qun l, trnh nghip v v kh nng cnh tranh. Bo m quyn kinh doanh ca cc ngn hng v cc t chc ti chnh nc ngoi theo cc cam kt ca Vit Nam vi quc t. Gn ci cch ngn hng vi ci cch doanh nghip, c bit l doanh nghip nh nc. Tip tc cng c, lnh mnh ho v pht trin cc ngn hngGVHD: Thy Trng Quang Thng


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c phn; ngn nga v x l kp thi, khng xy ra v ngn hng ngoi s kim sot ca Ngn hng Nh nc i vi cc TCTD yu km. a hot ng ca qu tn dng nhn dn i ng hng v pht trin vng chc, an ton, hiu qu. Phng chm hnh ng ca cc TCTD l An ton - Hiu qu - Pht trin bn vng - Hi nhp quc . Mt s ch tiu tin t v hot ng ngn hng giai on 2006 - 2010 Thp hn tc tng 1. Lm pht (%/nm) 2. Tng trng bnh qun tng phng tin thanh ton 3. T l M2/GDP n cui nm 2010 (%) 4. T trng tin mt lu thng ngoi h thng ngn hng/M2 n nm 2010 (%) 5. Tng trng bnh qun tn dng (%/nm) 6. T l an ton vn n nm 2010 (%) 7. T l n xu/tng d n n nm 2010 (%) 8. Chun mc gim st ngn hng n nm 2010 9. D tr quc t ti thiu n nm 2010 Khng qu 18 18 - 20 Khng di 8 Di 5 Chun mc quc t (Basel I) 12 tun nhp khu 18 20 100 - 115 trng kinh t

Ghi ch: N xu c xc nh theo tiu chun phn loi n ca Vit Nam, ph hp vi thng l quc t. Mt s ngn hng thng mi t mc vn t c tng ng 800 - 1.000 triu USD n nm 2010, c thng hiu mnh v kh nng cnh tranh quc t. Phn u hnh thnh c t nht mt tp on ti chnh hot ng a nng trn th trng ti chnh trong v ngoi nc. 3.2 Bin php nng cao hiu qu qun tr ri ro thanh khon trong cc ngn

hng thng mi Vit Nam: 3.2.1 V pha Chnh ph:GVHD: Thy Trng Quang Thng


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


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



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3.2.3.1 nng lc:

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

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

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


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

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


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

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


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Phan Tich Thanh Khoan NH