1

B GIO DC V O TO
TRNG I HC NGOI THNG
---------o0o---------


Cng trnh tham d Cuc thi
Sinh vin nghin cu khoa hc Trng i hc Ngoi thng 2012


Tn cng trnh

XUT XY DNG M HNH CNH BO
SM KHNG HONG H THNG NGN HNG
THNG MI TI VIT NAM DA TRN
KINH NGHIM TH GII



Nhm ngnh: KD1



H Ni, ngy 15 thng 04 nm 2012



i

DANH MC T VIT TT

ADB : Ngn hng Pht trin Chu
BHTG : Bo him tin gi
BSF : Ch s v ngnh ngn hng
CPI : Ch s gi tiu dng
DIV : T chc bo him tin gi Vit Nam
EWS : H thng cnh bo sm
FDI : Vn u t trc tip nc ngoi
FDIC : Tp on bo him tin gi M
FED : Cc d tr lin bang M
FII : Vn u t gin tip nc ngoi
IMF : Qu tin t quc t
NHNN : Ngn hng nh nc
NHTM : Ngn hng thng mi
NHTW : Ngn hng trung ng
RBI : Ngn hng trung ng n
USD : ng Dollar M
VND : Vit Nam ng
WTO : T chc thng mi Th gii

ii

DANH MC BNG

Bng 1: Ch s d bo khng hong ti chnh v nhng l do kinh t la chn ...... 23
Bng 2: Cc giai on v theo mc ca ngnh ngn hng n ...................... 35
Bng 3: Kt qu m hnh Ordered Probit vi cc ch s chnh ..................................... 38
Bng 4: Tng hp kt qu cc giai on khng hong h thng ngn hng ti M ..... 48
Bng 5: Ch s n nh h thng ngn hng ca M ..................................................... 49
Bng 6: Ch s d bo khng hong h thng ngn hng M....................................... 50
Bng 7: Kt qu m hnh Probit cnh bo sm khng hong h thng ngn hng ti
M .................................................................................................................................. 53
Bng 8: Tc ng ca cc ch s ti xc sut xy ra khng hong ngn hng ti M .. 54
Bng 9: Tng hp ch s pht trin ti chnh ca Vit Nam nm 2011 ........................ 58
Bng 10: Cc ch s cho m hnh cnh bo khng hong h thng ngn hng Vit Nam
........................................................................................................................................ 72
Bng 11: Tc ng d kin ca cc bin s ti xc sut khng hong ngn hng ca
Vit Nam ........................................................................................................................ 73

DANH MC HNH

Hnh 1: Cc giai on ca ch s v ngnh ngn hng ............................................ 21
Hnh 2: Ch s v ngnh ngn hng (BSF) cho n (3/2000-11/2009) .............. 34
Hnh 3: Trung tm d bo khng hong ngn hng theo xut ................................. 77

iii


DANH MC BIU

Biu 1: Thay i tn dng cha thanh ton cho khu vc phi thc phm theo thng
ca cc Ngn hng Thng mi n (Tnh theo ng Rs.Crore) ............................. 30
Biu 2: Vn u t gin tip rng theo thng ca n (Rs. Crore) ..................... 31
Biu 3: Li sut FED giai on 2000-2011 .............................................................. 43
Biu 4: Thay i tng tn dng thc cho kh vc t nhn, tng tin gi theo nm
ca NHTM M (2001-2011) .......................................................................................... 46
Biu 5: Thay i n ngoi t, ti sn ngoi t v d tr ngoi t theo nm ca h
thng NHTM M (2001-2011) ...................................................................................... 46
Biu 6: Ch s v ngnh ngn hng ca M giai on 2001-2011 ..................... 47
Biu 7: Li sut huy ng ca Vit Nam v mt s nc trong khu vc ................ 63
Biu 8: So snh cc ch s cho vay/tin gi, cho vay/ti sn, cho vay/GDP ca h
thng NHTM mt s quc gia nm 2010 ...................................................................... 64
Biu 9: T l huy ng vn v tn dng bng ngoi t ti NHTM Vit Nam 2005-
2010 ................................................................................................................................ 66
Biu 10: Ch s v ngnh ngn hng ca Vit Nam qua mt s thng ............... 69






iv

MC LC
LI M U ................................................................................................................. 1
CHNG I: TNG QUAN V KHNG HONG H THNG NGN HNG
THNG MI V XY DNG M HNH CNH BO SM KHNG
HONG H THNG NGN HNG THNG MI TRN TH GII .............. 5
1. 1 Khng hong h thng ngn hng thng mi ............................................. 5
1.1.1. nh ngha ......................................................................................................... 5
1.1.2. Nguyn nhn ..................................................................................................... 7
1.1.2.1. Nguyn nhn lin quan n cc yu t vi m ............................................. 7
1.1.2.2. Nguyn nhn lin quan n chnh sch kinh t v m ................................. 9
1.1.2.3. Nguyn nhn lin quan n chin lc v hot ng ca tng ngn hng ...
............................................................................................................... 10
1.1.2.4. Cc nguyn nhn khc ............................................................................... 11
1.1.3. nh hng ca khng hong h thng ngn hng thng mi ti nn kinh
t quc dn ..................................................................................................... 11
1.1.3.1. Ti tng sn phm quc dn ..................................................................... 12
1.1.3.2. Ti khu vc phi sn xut ca nn kinh t .................................................. 12
1.1.3.3. Ti cc chnh sch kinh t ca chnh ph ................................................. 12
1.1.3.4. Ti tht nghip v c cu lao ng ca quc gia ...................................... 13
1. 2 Xy dng m hnh cnh bo sm khng hong h thng ngn hng ........ 13
1.2.1. Khi nim v m hnh cnh bo sm khng hong h thng ngn hng .. 13
1.2.1.1. Khi nim .................................................................................................. 13
1.2.1.2. Cc m hnh thc nghim c p dng .............................................. 14
1.2.2. Quy trnh xy dng m hnh cnh bo sm khng hong h thng ngn
hng ................................................................................................................ 15
1.2.2.1. Xc nh cc giai on khng hong ........................................................ 15
1.2.2.2. La chn cc ch s cnh bo .................................................................... 22
1.2.2.3. c lng xc sut khng hong .............................................................. 24
1.2.3. M hnh cnh bo sm khng hong h thng ngn hng ti u ............... 26
v

CHNG II. KINH NGHIM XY DNG M HNH CNH BO SM
KHNG HONG H THNG NGN HNG THNG MI TI MT S
QUC GIA TRN TH GII V BI HC CHO VIT NAM ........................... 29
2.1. Xy dng m hnh cnh bo sm khng hong h thng ngn hng ti n
giai on 2000-2009 .................................................................................. 29
2.1.1. Nhng kh khn trong h thng ngn hng n giai on 2000-2009 .. 29
2.1.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng thng
mi ti n giai on 2000-2009 .............................................................. 31
2.1.2.1. Xc nh cc giai on xy ra khng hong ngn hng ti n bng
phng php ch s ................................................................................... 32
2.1.2.2. La chn cc ch s cnh bo cho khng hong ngn hng ti n ..... 36
2.1.2.3. c lng xc sut xy ra khng hong ngn hng ti n bng
phng php tham s ................................................................................ 37
2.2. Xy dng m hnh bo sm khng hong h thng ngn hng thng mi
ti M giai on 2000 2011 .......................................................................... 40
2.2.1. Nhng nguyn nhn v din bin chnh ca cuc khng hong ti chnh ti
M giai on 2008-2011 ............................................................................... 40
2.2.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng thng
mi ti M giai on 2000-2011 .................................................................... 44
2.2.2.1. Xc nh cc giai on xy ra khng hong ngn hng M bng phng
php ch s ................................................................................................. 44
2.2.2.2. La chn cc ch s cnh bo cho khng hong h thng ngn hng ti
M ............................................................................................................. 50
2.2.2.3. c lng xc sut xy ra khng hong h thng ngn hng ti M bng
phng php tham s ................................................................................ 51
2.3. Bi hc kinh nghim rt ra t thc tin xy dng m hnh cnh bo sm
khng hong h thng ngn hng thng mi ti n v M ............... 55
2.3.1. Ch s v ngnh ngn hng cn c xc nh thng qua cc ri ro h
thng v iu chnh nhng tc ng ngn hn ........................................... 55
2.3.2. La chn mc ngng xc nh khng hong linh hot ............................. 55
vi

2.3.3. Vic s dng m hnh Probit c lng xc sut khng hong pht
huy tc dng ................................................................................................... 56
CHNG III. GII PHP XY DNG M HNH CNH BO SM KHNG
HONG H THNG NGN HNG THNG MI TI VIT NAM DA
TRN KINH NGHIM TH GII ........................................................................... 57
3.1. Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn
hng thng ti Vit Nam ............................................................................. 57
3.1.1. Thc trng h thng ngn hng thng mi Vit Nam ................................ 57
3.1.2. Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn
hng thng mi Vit Nam ........................................................................... 60
3.2. S cn thit xy dng m hnh cnh bo sm khng hong h thng ngn
hng thng mi ti Vit Nam ...................................................................... 61
3.3. Gii php xy dng m hnh cnh bo sm khng hong h thng ngn
hng thng mi ti Vit Nam ...................................................................... 62
3.3.1. La chn m hnh cnh bo sm khng hong h thng ngn hng thng
mi ti Vit Nam ............................................................................................ 62
3.3.2. Xy dng ch s xc nh cc giai on khng hong .................................. 62
3.3.2.1. Xc nh nhng ri ro h thng ca ngnh ngn hng Vit Nam ............. 62
3.3.2.2. Xy dng ch s v ngnh ngn hng ti Vit Nam ............................ 67
3.3.3. La chn cc ch s cnh bo ........................................................................ 70
3.3.4. c lng xc sut khng hong .................................................................. 72
3.4. Kin ngh iu kin thc hin m hnh cnh bo sm khng hong ngn
hng ti Vit Nam ........................................................................................... 74
3.4.1. i vi Chnh ph ........................................................................................... 74
3.4.2. i vi Ngn hng Nh nc ......................................................................... 74
3.4.2.1. Thng nht cc quy nh trong vic x l v cng b thng tin ca cc
ngn hng thng mi ............................................................................... 74
3.4.2.2. Hon thin cng tc gim st cc ngn hng thng mi ......................... 75
3.4.2.3. a ra l trnh xy dng m hnh cnh bo sm khng hong h thng
ngn hng thng mi ............................................................................... 76
vii

3.4.3. i vi h thng ngn hng thng mi ....................................................... 78
3.4.3.1. Nng cao mc chnh xc v minh bch trong cng b thng tin ......... 78
3.4.3.2. Nng cao cht lng qun tr ri ro .......................................................... 79
KT LUN ................................................................................................................... 80


















viii

TM TT TI

ti xut xy dng m hnh cnh bo sm khng hong h thng
ngn hng thng mi ti Vit Nam da trn kinh nghim th gii s gm 03
chng:
Trong Chng I, sau khi a ra khi nim, nguyn nhn v nh hng ca
khng hong h thng ngn hng thng mi, nhm nghin cu s gii thiu mt cch
tng qut v quy trnh xy dng mt m hnh cnh bo sm khng hong h thng
ngn hng theo cc phng php khc nhau. Kt thc Chng I, m hnh ti u c
la chn l m hnh kt hp gia hai phng php ch s v ngnh ngn hng v
tham s (sau y gi tt l m hnh BSF-tham s). M hnh ny s c s dng trong
nghin cu cc chng tip theo.
Trong Chng II, phn u, ti s tp trung vo vic nghin cu kinh
nghim p dng m hnh BSF-tham s cnh bo khng hong h thng ngn hng
ti n . T , nhm nghin cu a ra c mt s bi hc kinh nghim trong vic
p dng m hnh ti n . Ti M, sau cuc khng hong ti chnh bt u t nm
2008, h thng NHTM ca quc gia ny ri vo khng hong nghim trng. T ,
mt s bi hc kinh nghim v xy dng m hnh cng c rt ra.
Trong Chng III, vi mc ch xut xy dng mt m hnh cnh bo sm
khng hong h thng NHTM cho Vit Nam da trn kinh nghim ca hai quc gia
trn, ti i phn tch thc trng ca h thng NHTM nc ta cng nh s cn
thit xy dng mt m hnh cnh bo sm khng hong ngn hng. Sau , m hnh
cnh bo BSF-tham s c xut xy dng cho Vit Nam. Mc d cha th
kim nh c mc chnh xc ca m hnh ny do kh khn trong vic tm kim s
liu, nhm nghin cu cng kin ngh nhng gii php nhm xy dng m hnh
xut v iu kin thc hin m hnh mt cch hiu qu ti Vit Nam.
1

LI M U

1. Tnh cp thit ca ti
Cuc khng hong ti chnh ton cu 2008 bt ngun t M lan ra ton th
gii v nh hng nghim trng ti h thng ngn hng ca nhiu quc gia. Khng
hong ngn hng hay khng hong h thng ngn hng l cm t c rt nhiu
chuyn gia kinh t - ti chnh nhc n miu t tnh trng y hn lon ny vi rt
nhiu v ph sn, thu tm v sp nhp trong h thng ngn hng. Tiu biu trong
l v sp ca ngn hng u t ln th t ca M tn ti trong sut 158 nm - ngn
hng Lehman Brother. Trc giai on ny, th gii cng ghi nhn rt nhiu cuc
khng hong trong h thng ngn hng ti cc quc gia nh Mexico (1994 -1995), khu
vc Chu (1997 -1998), Nga (1998).
Nm 2007, Vit Nam gia nhp WTO, chnh thc m ca ngnh ti chnh ngn
hng. T y, nhng yu km ca h thng ngn hng bc l ngy cng r nt khi vic
t do ha ti khon vng lai v ti khon vn trong h thng ngn hng nc nh gp
phi s cnh tranh khc lit ca dng vn nc ngoi. Mc d khng hong h thng
ngn hng Vit Nam vn cha xy ra, nhng h thng NHTM nc ta cng tim
n nhiu ri ro. Do , vic xy dng m hnh cnh bo v nguy c khng hong h
thng ngn hng l ht sc cn thit v cn c nghin cu ton din gip Vit
Nam trnh c cc cuc khng hong ngn hng trong tng lai.
T nhng phn tch trn, nhm nghin cu quyt nh chn ti: xut xy
dng h thng cnh bo sm khng hong h thng NHTM ti Vit Nam da trn
kinh nghim th gii cho cng trnh nghin cu ca nhm.
2. Tng quan tnh hnh nghin cu
M hnh cnh bo sm khng hong ti chnh (EWS) th h th nht c xy
dng v pht trin bi Gio s kinh t Krugman (1979). Cui nhng nm 90, m hnh
2

cnh bo sm khng hong ngn hng c nghin cu mt cch c lp, c mt s
cng trnh nghin cu nh sau:
Demirgc-Kunt v Detragiache (1998), s dng m hnh Logit gii thch mi
quan h gia cc bin gii thch v xc sut xy ra khng hong h thng ngn
hng.
Kaminsky v Reinhart (1999), Borio v Lowe (2002), Borio v Drehmann
(2009), a ra m hnh phi tham s cnh bo khng hong ngn hng.
Duttagupta v Cashin 2008, Karim 2008, Davis v Karim (2008b), s dng m
hnh nh phn d bo khng hong da trn nhng bin s kinh t.
Kibritciouglu (2002), xy dng ch s BSF ch s v khu vc ngn hng
d bo thi gian xy ra khng hong.
Thay v s dng phng php da trn s kin xc nh thi gian khng
hong v phng php phi tham s (signal approach) a ra cnh bo, nhm nghin
cu s tin hnh nghin cu xy dng v tnh ton ch s v ngnh ngn hng c
th xc nh c cc giai on khng hong, sau dng phng php tham s
a ra cnh bo cho 2 quc gia l n v M. Nhng bi hc kinh nghim rt ra
c t vic nghin cu v xy dng m hnh cnh bo cho 2 quc gia trn s c
vn dng trong vic xut xy dng m hnh cnh bo sm khng hong h thng
ngn hng ti Vit Nam.
3. i tng v phm vi nghin cu
ti nghin cu thuc chuyn ngnh ti chnh ngn hng, tp trung chuyn
su vo nhng vn v khng hong, v ca h thng NHTM.
V khng gian, ti ch yu nghin cu v h thng NHTM ti n , M v
Vit Nam.
V thi gian, giai on nghin cu trng tm l 2000 2011, bn cnh , cc
giai on khc cng c cp n h tr nghin cu cc vn c nu trong
ti.
3

4. Mc ch nghin cu
Mc ch ca ti nhm a ra xut xy dng v hon thin m hnh cnh
bo sm khng hong h thng NHTM Vit Nam, thng qua kinh nghim p dng
thc tin t n v M.
5. Phng php nghin cu
ti c k tha v s dng kt qu nghin cu ca cc ti v m hnh cnh
bo sm khng hong ngn hng nc ngoi lm c s l lun v tham kho.
Do khng hong ngn hng chu tc ng ca rt nhiu yu t tng hp, bn
trong v bn ngoi h thng ngn hng, phng php phn tch c s dng ch yu,
ng thi kt hp thu thp d liu, nghin cu tnh hung so snh, nh gi hiu
qu m hnh.
6. Kt qu d kin
Da trn thc trng h thng NHTM Vit Nam hin nay, nhm nghin cu
mong mun t c mt s kt qu sau:
Xy dng mt m hnh cnh bo sm khng hong h thng ngn hng ti u
trn c s l lun;
nh gi thc tin xy dng m hnh cnh bo sm khng hong h thng ngn
hng ti mt s nc trn th gii nh n , M v rt ra cc bi hc cho Vit
Nam;
xut m hnh d kin cnh bo sm khng hong ngn hng ti Vit Nam,
da trn kinh nghim trn th gii.
7. Kt cu ti
Chng 1: Tng quan v khng hong ngn hng v cc m hnh cnh bo
sm khng hong h thng ngn hng thng mi trn th gii
Chng 2: Kinh nghim xy dng m hnh cnh bo sm khng hong h
thng ngn hng thng mi mt s nc trn th gii v bi hc cho Vit
Nam
4

Chng 3: Gii php xy dng v hon thin m hnh cnh bo sm khng
hong h thng ngn hng thng mi ti Vit Nam da trn kinh nghim
th gii

5

CHNG I: TNG QUAN V KHNG HONG H THNG NGN HNG
THNG MI V XY DNG M HNH CNH BO SM KHNG
HONG H THNG NGN HNG THNG MI TRN TH GII

1. 1 Khng hong h thng ngn hng thng mi
1.1.1. nh ngha
K t nhng nm 1990, c rt nhiu cc nh ngha v khng hong h thng
ngn hng thng mi (KHHT NHTM) hay khng hong h thng ngn hng c ra
i. Ty theo quan im, mc ch nghin cu cng nh kt qu nghin cu ca mi
nh nghin cu m cc nh ngha ca h v KHHT NHTM li c nhng c im
khc nhau. Trong , c mt s nh ngha c coi l kh ton din v chng hm
cha c nhng nguyn nhn, biu hin cng nh hu qu ca cc cuc khng hong
h thng ngn hng.
Nhn chung, khi ni v khng hong h thng ngn hng, c th xem xt 5 quan
im ph bin sau:
Th nht, theo quan im ca Calomiris & Gorton (1991)
1
, KHHT NHTM xy
ra khi cc ch n nhiu hoc tt c cc ngn hng trong h thng ngn hng t ngt
yu cu cc ngn hng chuyn i quyn i n ca mnh ra tin hoc tng ng
tin mc qu cao khin cc ngn hng phi tm ngng qu trnh chuyn i ny.
Th hai, theo quan im ca Caprio & Klingebiel (1996)
2
, KHHT NHTM xy
ra khi gi tr rng ca h thng ngn hng hu nh hoc hon ton b cn kit.
Th ba, theo quan im ca Luc Laeven & Fabian Valencia (2005)
3
, mt cuc
khng hong h thng ngn hng s xy ra khi khu vc ti chnh v doanh nghip ca

1
Poonam Gupta; 2002, Banking Crises: A Survey of the Literature, International Monetary Fund, xem ngy
12/01/2012, < http://www.imf.org/external/country/ind/rr/2002/pdf/050202.pdf>.
2
Gerard Caprio, Jr. and Daniela Klingebiel; 1996, Bank Insolvency: Bad Luck, Bad Policy, or Bad Banking?,
The World Bank.
6

mt quc gia ri vo tnh trng khng kh nng tr n, ng thi cc nh ch ti
chnh v cc doanh nghip s phi i mt vi cc kh khn nghim trng trong vic
hon tr cc hp ng ng hn. Kt qu l, cc khon n xu (NPLs) tng mnh khin
cho phn ln hoc tt c vn ca ton b h thng ngn hng s b cn kit.
Th t, quan im ca Demirguc Kunt & Detragiache
4
c bit n ln u
tin vo nm 1998, sau c b sung 02 ln vo cc nm 2002 v 2004. Theo ,
mt cuc khng hong ngn hng c coi l c tnh h thng khi cc thnh phn
quan trng trong khu vc ngn hng b ri vo tnh trng ph sn hoc mt tnh thanh
khon, v khng th tip tc hot ng nu khng c s tr gip c bit t cc chnh
sch tin t v gim st. Thi gian bt u mt cuc KHHT NHTM c xc nh
nu t nht mt trong 4 iu kin sau xy ra:
T l n xu (NPLs) trn tng ti sn nh hn hoc bng 10%;
Chi ph gii cu cc ngn hng ln hn 2% GDP;
Nhiu vn kh khn ca cc ngn hng dn ti cn c quc hu ha
trn din rng;
Cc bin php khn cp nh ng bng tin gi, ko di ngy l ngn hng,
bo m tin gi ton b c p dng.
Tm li, khng hong h thng NHTM c th c nh ngha theo nhiu cch
khc nhau, nhng nhn chung, cc nh ngha u cp n tnh hung trong :
Tn tht thc t hoc c tnh trong hot ng ngn hng khin mt lot cc ngn
hng khng cn kh nng thanh ton cc khon n cho khch hng hoc buc chnh
ph phi can thip ngn khng cho tnh trng lan ra trn din rng gy thit hi
cho nn kinh t, lm t lit h thng ngn hng (IMF 1998).

3
Luc Laeven and Fabian Valencia; 2005, Systematic Banking Crises: A New Database, IMF Working Paper
08/224, International Monetary Fund.
4
Asli Demirguc-Kunt and Enrica Detragiache; 1998, The Determinants of Banking Crises in Developing and
Developed Countries, IMF Staff Papers Vol. 45, No, 1, International Monetary Fund.
7

1.1.2. Nguyn nhn
1.1.2.1. Nguyn nhn lin quan n cc yu t vi m
S bt n ca tnh hnh kinh t vi m c th l nguyn nhn chnh dn n s
bt n ca h thng ngn hng. Cc yu t vi m c cp nhiu trong cc nghin
cu gn y nh nhng nguyn nhn gy ra KHHT NHTM bao gm ri ro li sut, ri
ro tn dng, ri ro thanh khon v ri ro th trng.
i) Ri ro tn dng
Cc nghin cu ca Borio & Lowe (2002)
5
, Eichengreen & Arteta (2000)
6
,
Kaminsky & Reinhart (1999)
7
ch ra rng tng trng tn dng nng l mt nguyn
nhn dn n khng hong h thng NHTM. Tng trng tn dng nng c th xut
pht t nhiu l do khc nhau. Trong mt s trng hp, n chnh l kt qu ca vic
t do ha ti chnh hay bi b cc quy nh v ti chnh, cho php ngn hng c nhiu
c hi hn tip cn vi nhng th trng tn dng mi. Ngoi ra, tng trng tn
dng nng cng c th bt ngun t s gia tng dng vn di chuyn vo thng qua cc
nhn t bn ngoi quc gia (v d nh vic li sut ca cc nn kinh t pht trin mc
thp) hoc ny sinh t nhng giai on m t l lm pht quc gia gim thiu mt
cch ng k. Nguyn nhn ny c th dn n vic cc ngn hng m rng chnh sch
cho vay cng nh lc quan hn trong vic nh gi ri ro t cc khon cho vay.
Vic ti tr cho qu nhiu cc d n u t c mc ri ro cao trong khi ngi i
vay li khng c kh nng hon tr khon vay s khin cho gi tr ti sn c ca
ngn hng gim ko theo gi tr rng ca ngn hng b gim st v thm ch c th dn
ti ph sn.
ii) Ri ro thanh khon

5
Borio and Lowe (2002) Asset prices, financial and monetary stability: exploring the nexus, BIS WP 114.
6
Eichengreen and Arteta (2000) Banking crises in Emerging Markets: presumptions and evidence Centre for
International and Development Economics, WP C00-115.
7
Kaminsky and Reinhart (1999) Twin Crises: The causes of Banking and Balance-ofPayment Problems, The
American Economic Review, vol. 89 No. 3.
8

Vn ri ro thanh khon xut pht t chnh c im kinh doanh ca ngn
hng chnh l dng nhng khon tin gi ngn hn cho vay trung v di hn nh
cp trn. Do , nu nh xy ra s rt vn t t nhng ngi gi tin, cc
ngn hng s rt d phi i mt vi vn mt tnh thanh khon. S rt vn t t
nhng ngi gi tin c th xut pht t mt vi nguyn nhn khc nhau. Mt trong
nhng hng gii thch vn ny chnh l s bt cn xng trong thng tin gia
ngi gi tin v h thng ngn hng. Mt l gii khc cho hin tng ny chnh l
s kch ng tm l ca m ng hn lon
8
khi nhng ngi gi tin cho rng nhng
ngi gi tin khc cng ang rt vn khi ngn hng thm ch k ra khi bng cn i
ti sn ca ngn hng vn cha h b nh hng bi bt k tc nhn tiu cc no.
iii) Ri ro li sut
S tng t bin ca li sut c xem xt nh l mt trong nhng nguyn nhn
dn n vn thng tin bt cn xng trong hot ng ngn hng. Thng thng,
nhng ngi s hu cc d n c ri ro ln nht li thng sn sng chp nhn i
vay vi mt mc li sut cao hn nhng ngi i vay khc. Do nu li sut cng
cao th cng c kh nng dn ti s mt n nh ti chnh v khi cc ngn hng s c
xu hng gim bt tn dng phng nga trng cp tn dng cho nhng d n c
ri ro cao. V vy, c th ni ri ro li sut c lin quan cht ch vi ri ro tn dng.
Tng li sut cng c th nh hng n bng cn i k ton ca ngn hng.
Thng thng, bn ti sn n ca ngn hng ch yu l tin gi ngn hn trong khi bn
ti sn c bao gm c nhng khon cho vay ngn v di hn. Tng li sut trong ngn
hn khin cho ngn hng phi tng li sut tin gi. Thm vo , nhng khon cho
vay di hn ca ngn hng thng c n nh ti mt mc li sut c nh nn li
sut sinh li trn ti sn khng th c iu chnh mt cch nhanh nh vic iu
chnh tng li sut bn mc ti sn n. Khi , s dn n vic gim gi tr hin ti ca

8
Kindleberger - 1978, Diamond, Dybvid - 1983
9

li nhun rng v khin cho ngn hng s ri vo tnh trng li nhun gim hoc thm
ch l thua l.
iv) Ri ro t gi
Ri ro t gi l kh nng xy ra nhng tn tht m ngn hng phi chu khi t
gi hi oi thay i vt qu thay i d tnh. Trong c ch th trng, t gi thng
xuyn dao ng. S thay i ny cng vi trng thi hi oi ca ngn hng to ra thu
nhp thng d hoc thm ht tm thi. Tuy nhin, c nhng thay i t gi ngoi d
kin c th dn n tn tht cho ngn hng.
c bit, ri ro t gi c th tc ng trc tip n nhng khon mc ti sn n
v ti sn c ngoi t trong bng cn i k ton ca ngn hng. S bin ng trong t
gi hi oi s lm thay i gi tr ca ng tin ni t i vi cc ti sn c (hoc n)
ny. Bn cnh , bin ng t gi cng c th tc ng gin tip n kh nng to li
nhun ca cc ngn hng. Vic m rng danh mc u t ca mnh sang cc sn phm
phi sinh, trong c phi sinh ngoi t, khin cc ngn hng cng phi i mt vi ri
ro t gi.
1.1.2.2. Nguyn nhn lin quan n chnh sch kinh t v m
i) Nhng hn ch trong c ch lut php, k ton, v.v
Nhng im cha hon thin trong c ch kim ton, k ton c th gy ra kh
khn hoc tr tr trong vic pht hin cc vn lin quan n tnh mt thanh khon
hoc ph sn ca ngn hng. Bn cnh , nhng thiu st trong h thng php lut
cng c th l tr ngi trong vic thc thi quyn s hu hoc nhng cam kt v thc
hin i vi ti sn m bo trong vic h tr vay vn ngn hng.
ii) Qu trnh t do ha ti chnh km hiu qu
V mt di hn, nhng li ch m t do ha ti chnh mang li cho nhng nc
ang pht trin l rt r rng. Tuy nhin, s thay i ny cng mang n cho h thng
10

ngn hng nhng ri ro khng th trnh khi, c bit l trong trng hp h thng
ngn hng nc cha c s chun b k lng v thch hp cho vic t do ha.
Trong giai on chuyn i ca t do ha ti chnh, cc ngn hng s phi i
mt vi rt nhiu nhng kh khn in hnh nh s bin ng mnh ca li sut, bng
n tn dng en, th trng tr nn cnh tranh hn khi xut hin nhiu i th n t
c trong v ngoi nc, v.v. Tt c nhng yu t ny c th s khin cc ngn hng
khng kp thi thch ng c vi mi trng kinh doanh mi v ko theo l s
cng thng cng nh mt phng hng hot ng trong h thng ngn hng.
iii) S can thip qu mc ca chnh ph
S can thip qu mc hoc khng ng n ca chnh ph cng l mt nguyn
nhn gy ra khng hong h thng NHTM. Nhng can thip ny c th xut pht t
hnh ng gy p lc trong vic cp tn dng cho nhng c nhn/i tng c th, p
t mc li sut, duy tr hay m rng nhng ngn hng khng cn hot ng tt, quy
nh mc d tr khng hp l hoc quy nh bt buc tr cp cho thiu ht trong ngn
sch nh nc t pha ngn hng,
iv) S thiu minh bch trong h thng ngn hng
S thiu minh bch trong hot ng ca cc ngn hng chnh l mt trong
nhng tc nhn khin th trng kh t c tnh hiu qu cao. N s gy ra nhng
ri ro lin quan n thng tin bt cn xng khi ngi gi tin (ngi dn), ngi i vay
(doanh nghip), c ng v nhng bn khc c lin quan n cc hot ng ca ngn
hng khng c thng tin la chn nhng ngn hng hot ng tt.
1.1.2.3. Nguyn nhn lin quan n chin lc v hot ng ca tng ngn hng
Khng hong h thng ngn hng c th xut pht t chnh nhng khng hong
ca tng ngn hng ring l. Do tnh cht hot ng mang tnh mng li, nn khng
hong ca tng ngn hng s d dng b lan rng v nh hng n c h thng. Thng
thng, nhng yu t sau y c th gy ra khng hong ca tng ngn hng:
11

Yu km trong vic thm nh tnh dng;
Mt cn i trong vic cp tn dng v vic vay vn gia cc ngn hng;
Nhng ri ro lin quan n li sut hoc t gi hi oi;
Hot ng trong nhng lnh vc mi cha nhiu kinh nghim;
Nhng yu km lin quan n trnh qun l, nhn s, cng ngh.
1.1.2.4. Cc nguyn nhn khc
Mt s tc nhn khc nh gian ln hay tham nhng cng c th gp phn gy ra
khng hong h thng ngn hng. Nhng nguyn nhn ny nhn chung xut pht t
trong chnh ni b ngn hng nh nhn vin, ban iu hnh; nhng ch th khc bn
ngoi h thng ngn hng nh ngi gi tin, doanh nghip, chnh ph, Hn na,
vi s pht trin nhanh chng cng vi s a dng ha trong cc hot ng ngn hng,
cc hnh vi gian ln v tham nhng cng c th thc hin di nhiu cch thc v
phng thc khc nhau, in hnh nh qua h thng cc thit b in t nh, my vi
tnh, ATM,
1.1.3. nh hng ca khng hong h thng ngn hng thng mi ti nn
kinh t quc dn
Khi xy ra khng hong, h thng ngn hng thng mi s b tc ng mt cch
trc tip v mnh m nht. Vic rt vn n t khi h thng s khin cho kh nng
thanh khon ca cc ngn hng b gim st, t cc ngn hng s phi gia tng chi
ph p ng nhu cu thanh khon ca mnh. Bn cnh , hot ng tn dng cng
s b gin on v mc gia tng n xu, li nhun ca cc ngn hng s b nh hng
nng n.
Bn cnh , h thng ngn hng lun c coi l huyt mch ca nn kinh t
nn nh hng ca cuc khng hong h thng ngn hng chc chn s tc ng n
tng trng ca nn kinh t quc dn. C th:
12

1.1.3.1. Ti tng sn phm quc dn
Khng hong h thng NHTM s gy tn tht ti tng sn phm quc ni. Khi
xy ra khng hong ngn hng, hot ng ca cc NHTM s b gin on, tr tr do b
ph sn, ng ca hoc sp nhp. T , cc ngn hng s thn trng hn trong vic ra
quyt nh cp tn dng cho cc ch th trong nn kinh t v lo ngi ri ro cao. Kt qu
l, khu vc sn xut s kh tip cn vi ngun vn vay v khng th m rng c sn
xut. Hu qu thit yu l GDP ca quc gia s b st gim. Theo nghin cu ca
Haugh, D.,P. Ollivaud & D.Turner (2009)
9
v tc ng ca khng hong ngn hng
i vi cc nc OCED th hu khng hong, sn lng u ra ca quc gia s b thit
hi t 2 n 3 ln hoc nhiu hn na so vi giai on trc khng hong v thi gian
phc hi li mc sn lng trc khng hong cn t nht 2 ln qung thi gian xy
ra khng hong.
1.1.3.2. Ti khu vc phi sn xut ca nn kinh t
Khi xy ra khng hong ngn hng, khu vc phi sn xut ca nn kinh t cng
s b nh hng nng n. Khng ch c khu vc sn xut, m khu vc phi sn xut, c
th l kinh doanh bt ng sn v chng khon s phi chng kin mt s st gim
ng k trong u t. iu ny cng c gii thch l do vic hn ch cp tn dng
ca ngn hng, c bit l cho nhng ngnh c ri ro cao nh chng khon v bt
ng sn trong thi k khng hong.
1.1.3.3. Ti cc chnh sch kinh t ca chnh ph
Khng hong ngn hng s lm chch hng cc chnh sch kinh t ca chnh
ph. Khi KHNH xy ra, NHNN s phi can thip nh ngi cho vay cui cng thng
qua vic h tr vn, mua li cc khon n kh i ca cc NHTM, bo him cho cc
khon tin gi hn ch vic rt tin t, hoc bm tin vo cc NHTM c nguy c
sp nhm cu cc ngn hng ny trc hin tng rt tin hng lot, ngn chn

9
Haugh, D., P. Ollivaud and D. Turner (2009), The Macroeconomic Consequences of Banking Crises in OECD
Countries, OECD Economics Department Working Papers, No. 683, OECD Publishing.
13

phn ng dy chuyn, hn ch ti a nhng thit hi ca cuc khng hong. Tnh
hung ny buc NHNN phi p dng chnh sch tin t lng m mc tiu khng phi l
kch cu. Ni cch khc mc ch ca chnh sch tin t, ti kha b bp mo.
1.1.3.4. Ti tht nghip v c cu lao ng ca quc gia
Khng hong ngn hng lm tng nguy c lm pht, tht nghip v nh hng
c cu lao ng ca quc gia. Nu khng hong xy ra do vic rt vn t ca ngi
gi tin th h thng NHTM s ri vo tnh trng thiu ht tin trm trng. NHNN do
s c th phi bm tin vo h thng phc v v duy tr hot ng ca cc
NHTM. Vic cung tin tng cao s to p lc gy ra lm pht, gim sc cnh tranh ca
nn kinh t. T , nn kinh t cng phi i mt vi nhng hu qu k tip nh tht
nghip, c cu lao ng quc gia b nh hng.
1. 2 Xy dng m hnh cnh bo sm khng hong h thng ngn hng
1.2.1. Khi nim v m hnh cnh bo sm khng hong h thng ngn hng
1.2.1.1. Khi nim
T nhng nghin cu thc nghim trn th gii, theo nhm tc gi, m hnh
cnh bo sm khng hong h thng ngn hng c xy dng da trn cc ch s
lin quan n hot ng ca ton b h thng ngn hng trong mt quc gia theo mt
chui thi gian xc nh, t a ra c lng v xc sut xy ra mt cuc khng
hong khu vc ngn hng trong tng lai, gip chnh ph v cc c quan chc nng
c lin quan a nhng chnh sch v hnh ng nhm trnh hoc gim thiu nhng
ri ro v hu qu m cuc khng hong mang li.
i vi khng hong ngn hng, yu t sm trong thut ng cnh bo sm,
theo nghin cu ca Goldstein, Kamisky & Reinhart (2000), c xc nh l t 1 n
12 thng trc khi bt u mt cuc khng hong hoc chm nht l n 12 thng sau
khi cuc khng hong bt u. C hai l do cho vn ny:
14

Cc cuc khng hong ngn hng thng ko di 4-5 nm;
nh im ca khng hong ngn hng thng din ra vi nm sau khi n bt
u.
Nh vy, vic t c mt tn hiu cnh bo sm ngay c khi mt cuc khng
hong bt u l vn c ch.
1.2.1.2. Cc m hnh thc nghim c p dng
Nu nh khng hong tin t c xem xt v nghin cu t nhng nm 70 ca
th k 20 th khng hong ngn hng mi bt u c ni n trong thp nin 90 ca
th k. y cng l giai on xy ra nhiu cuc khng hong ngn hng nht trn th
gii.
ng thi, m hnh cnh bo sm khng hong ngn hng thng c nghin
cu trong mi quan h vi khng hong tin t, hay cn c gi l khng hong
kp (twin crisis). Mt s nghin cu v m hnh ny c gi tr nh:
Demirguc Kunt & Detragiache (1998) xy dng m hnh Logit a bin
ca xc sut xy ra khng hong ngn hng, xc sut ny c m t bng vc-t ca
bin gi i vi cc bin gii thch vi mu thng k bao gm cc quc gia c v cha
c khng hong ngn hng.
Kaminsky & Reinhart (1999) xy dng m hnh phi tham s cnh bo sm
khng hong tin t v khng hong ngn hng da trn s pht tn hiu ca cc ch s
c la chn vi cc mc ngng khc nhau d bo khng hong ngn hng. Cc
mc ngng c phn chia thnh hai vng: vng bnh thng v vng nguy him cn
c vo xc sut xy ra khng hong. i vi mi giai on nghin cu, nu nh kt
qu quan st ca mt ch s vt qua mc ngng v ri vo vng nguy him th ch
s s pht ra tn hiu cnh bo.
Borio & Lowe (2002) pht trin da trn nghin cu ca Kaminsky &
Reinhart (1999), h xy dng nhng ch s tng hp t phn tch thnh cc tn
15

hiu ca cuc khng hong ngn hng. Cc tc gi la chn cc ch s c cho l
cha thng tin d on cuc khng hong ngn hng, sau tng hp cc bin to
ra mt tn hiu tng hp. Tn hiu v khng hong ngn hng c bt nu tt cc bin
thnh phn vt qua ngng ca mnh cng mt lc.
1.2.2. Quy trnh xy dng m hnh cnh bo sm khng hong h thng ngn
hng
1.2.2.1. Xc nh cc giai on khng hong
i. Theo phng php s kin
Trong cc nghin cu v khng hong ngn hng, cc nh nghin cu thng s
dng hai phng php xc nh thi im xy ra khng hong ngn hng. Phng
php u tin da trn s kt hp cc s kin nhn nh v xc nh thi gian xy ra
khng hong ngn hng. Nhng s kin ny thng bao gm:
Bt buc phi ng ca, sp nhp, hoc s can thip ca chnh ph i vi hot
ng ca cc t chc ti chnh;
Rt tin t khi ngn hng;
M rng cc chng trnh tr gip trn quy m ln ca chnh ph cho khu vc
ngn hng.
Phng php ny c s dng ph bin bi li th t s sn c v d tm kim
ca cc d liu thng tin v cc thi im c s can thip ca chnh ph v nhng
thay i v nhng thay i v lut l trong h thng ngn hng.
ii. Theo phng php ch s
Phng php th hai xc nh thi gian xy ra khng hong ngn hng, l s
dng cc ch s s hc nh cc t l n xu (NPLs), chi ph hot ng cu tr ca ngn
hng v s st gim vn ca ngn hng a ra nhng tn hiu d bo thi gian
khng hong ngn hng bng n.
16

Trong cng trnh nghin cu ny, nhm tc gi xin a ra mt ch s mang tnh
tng hp v c tnh nh lng cao, phn nh tt c cc ri ro m h thng ngn hng
phi i mt, l ch s v ngnh ngn hng (Banking Sector Fragility BSF).
a. Cc ri ro lin quan ti vic tnh ton ch s BSF
S v ca h thng ngn hng xut pht t rt nhiu ri ro, nhng phn ln
l:
Ri ro tn dng
Ri ro thanh khon
Ri ro th trng, trong ri ro th trng bao gm ri ro li sut, ri ro t gi,
ri ro gi vn ch s hu v ri ro gi hng ha.
Trong nghin cu ca Aykut Kibritcioglu (2002), ch s BSF c xy dng
da trn ri ro thanh khon, ri ro tn dng v ri ro t gi. Nhng ri ro ny c th
hin trc tip qua nhng bin quan st c. Ri ro thanh khon c lng ha qua
s thay i trong tng tin gi ngn hng (t bin rt tin gi v tin mt), ri ro tn
dng c o lng bng s thay i trong tng tn dng ngn hng i vi khu vc
ni a v ri ro t gi th hin qua s thay i ca n nc ngoi bng ngoi t ca
ngn hng.
Ri ro tn dng c xc nh l ri ro quan trng nht i vi h thng ngn
hng. Loi ri ro ny th hin qua s gia tng ca nhng khon mt mt tim n i
vi ngi cho vay t nhng khon n xu, khi ngi i vay khng c kh nng tr n.
Trong giai on kinh t tng trng cao, s tng trng tn dng cao c th xut pht
t s pht trin mnh m ca u t thc, xut khu v nhp khu, s tng trng ca
lao ng v s tng lng
10
, nhng cc yu t ny khng i km vi s gia tng ca
nhng khon n xu. V vy, t l nhng khon n xu i vi tng tn dng cho vay
c xem nh ch s hiu qu o lng ri ro tn dng. Ngoi ra, s bng n ca th

10
Theo Festic v Romihi 2008
17

trng cho vay th chp M cng c th l cn c ng tin cy xy dng bin s
trong cu trc ch s BSF.
Ri ro thanh khon c o lng qua s thay i ca tng tn dng ngn
hng. Ngoi ra, mt ch s ti chnh cng c tc ng n ri ro thanh khon:
Tn dng ca ngn hng trung ng i vi cc nh ch ti chnh: S thay
i ln trong tn dng ca ngn hng trung ng i vi ngn hng thng mi
v cc nh ch ti chnh thng i km vi nhng vn thanh khon trong
khu vc ti chnh.
Lng tin gi trong lng cung tin: Nhng khon cho vay gim trong lng
cung tin M2 ca h thng ngn hng c th xut pht t vn v tnh thanh
khon trong khu vc ny (hoc s st gim nim tin t khu vc t nhn, khch
hng chuyn sang nhng nh ch phi ngn hng vay tin).
Cc ch s gia ti khon cho vay v ti khon tin gi: Ch s tn dng/ tin
gi c th l du hiu cho thy kh nng huy ng tin gi p ng nhu cu
tn dng ca khch hng (c quan st trong c giai on, tin gi lin ngn
hng c loi tr).
Cu trc k hn ca ti sn v n phi tr ca cc nh ch ti chnh: Vic
quan st cu trc k hn trong danh mc ti sn cho vay v n phi tr c th
nhn thy s khng tng ng gia k hn cho vay v k hn tr n, do cn
thit phi quan tm hn n vn qun l thanh khon.
Tnh thanh khon ca th trng th cp: Th trng vi cu trc v chiu su
ca nhng ti sn d thanh khon, y l th trng m ngn hng rt a chung
khi c nhu cu v tnh thanh khon, do th trng ny rt quan trng trong
nh gi vic ngn hng x l th no i vi nhng c sc v thanh khon.
Ngoi ra, ch s o lng s rt tin gi t ngt cng l mt yu t quan trng
trong vic nh gi khng hong ngn hng.
18

Ri ro v t gi c o lng bng s thay i trong ti khon n nc ngoi
bng ngoi t ca ngn hng. iu ny l bnh thng khi ngn hng c n cao i vi
ngoi t xut pht t vic vay trn th trng ti chnh quc t. Tnh hung ny c th
dn ti s gim gi ca ng ni t, t s st gim gi tr ti sn rng ca ngn
hng.
b. Cu trc ca ch s BSF
T nhng phn tch trn, ch s o lng s v ca khu vc ngn hng theo
quan im ca Aykut Kibritcioglu c tnh ton da trn 3 yu t sau:
S thay i trong tin gi ngn hng, l i din cho s thay i trong ri ro
tnh thanh khon.
S thay i trong tn dng i vi khu vc t nhn, l i din cho s thay i
trong ri ro tn dng.
S thay i trong n nc ngoi ca ngn hng, l i din cho s thay i
trong ri ro t gi.
Cng thc ch s v ngnh ngn hng nh sau:
BSF-3
t
=

Trong :
CPS
t
=

; FL
t
=

; DEP
t
=

Trong :
CPS: thay i tn dng khu vc t nhn ni a theo nm trong h thng ngn hng
(%);
FL: thay i n nc ngoi thc theo nm ca ngn hng (%);
DEP: thay i tng tin gi thc theo nm ca ngn hng (%);
: gi tr s hc trung bnh ca mi bin trn;
19

: lch tiu chun ca mi bin trn.
Mt ch s d bo thng c tnh xu hng hoc tnh thi v. m bo rng
cc ch s d bo c s n nh v khng b nh hng, phng php ny iu chnh
cc ch s bng vic tnh ton t l phn trm thay i s liu theo thng ph hp vi
gi tr ca ch s vo cng thi im nm trc . T , gim c sai lch ca
cc bin d bo nu nh ch xem xt s thay i theo thng mt cch n thun.
Kt qu tnh ton ca ch s BSF c th c mt s sai s do nhng nguyn nhn
sau:
11

Phng php chn bin v cch tnh ton ch s BSF
Trong nghin cu ca Aykut Kibritcioglu ch tnh n 3 ri ro m ngn hng
thng gp phi nht. Tuy nhin, s v ca h thng ca h thng ngn hng c th
xut pht t nhng nguyn nhn khc. Mt trong nhng yu t chnh l tnh trng
hot ng ca h thng ngn hng, thng c th hin qua mc an ton vn ti thiu
v li nhun hay thu nhp rng ca ngn hng. Thu nhp gim st v nhng vn ny
sinh trong vic duy tr mc an ton vn c th l du hiu cho iu kin ti chnh d
v ca ngn hng. Nhng du hiu ny phn nh ri ro li sut trong h thng ngn
hng.
Vic xc nh yu t xc nh ri ro tn dng: S tng trng tn dng khng
phi lun ng ngha vi vic tng cc khon n xu.
Xc sut sai s tim n: Cc ch s th hin phn trm thay i theo nm trong
nhng bin quan st, nhng ch s BSF c tnh da trn s thay i theo thng ca
s liu. Trong mt s trng hp, s thay i t ngt ca bt k bin no trong vng 1
thng s c nh hng n vic tnh ton 12 gi tr BSF khc (mi thng c tnh c
trong 12 ln).
c. Mt s ch v gi tr ca BSF

11
Theo quan im ca Bc. Svatopluk Svoboda, Diploma Thesis Financial Stability and Fragile Banking System,
2009
20

Gi tr BSF cng cao th hin rng hot ng ca ngn hng cha ng cng
nhiu 3 ri ro c lng ha trn. Nu cc ngn hng cung cp qu nhiu khon cho
vay, xc sut cc khon cho vay khng hiu qu tch ly cng cao, ngn hng s phi
i mt vi ri ro tn dng. N nc ngoi tng trong bng cn i k ton khin ngn
hng d b tn thng hn khi t gi hi oi thay i, do , ri ro v t gi cng tng
ln. Tng tin gi ngn hng cng cao, ngn hng phi i mt vi ri ro tnh thanh
khon cng cao. Bi v, bt k khon rt tin mt ln t pha ngi gi tin s khin
ngn hng kh khn trong gii quyt. Tm li, ch s BSF c gi tr cao mc d khng
phi l du hiu ca tnh v, nhng n th hin rng hot ng ngn hng ang gp
rt nhiu ri ro, v vy ch s ny c th l s cnh bo v v trong tng lai.
Gi tr BSF cng gim th hin s v trong khu vc ngn hng. i vi ri
ro tn dng, tng trng tn dng thp c th l du hiu ngn hng ang phi i din
vi nguy c nhng khon n xu cao, iu ny khin ngn hng phi thn trng hn
trong vic cp nhng hp ng tn dng mi. Tng tin gi ngn hng gim l du hiu
ca s gim tnh thanh khon trong khu vc ngn hng. S tng trng thp trong n
nc ngoi (k c s tng trng tiu cc) cng l du hiu ca ri ro t gi ang c
c th ha. iu ny c th l hu qu t s tt gi ca ng ni t (khng hong tin
t) hay s st gim k vng tng lai ca ng ni t.
d. M hnh gi nh khng hong ngn hng vi khong gi tr ca ch s BSF
T nhng thay i ca ch s BSF trong giai on nghin cu, mt cch l
thuyt, tc gi c th xc nh c giai on xy ra khng hong ngn hng, hay t
nht c th xc nh giai on s v ca khu vc ngn hng l cao hay thp.
Nghin cu ca Aykut Kibritcioglu a ra cc mc ngng nh gi mc
v ca ngnh ngn hng nh sau:
0 > BSF-3 > - 0, 5: H thng ngn hng trong giai on v mc trung
bnh.
21

BSF-3 -0, 5: H thng ngn hng trong giai on v mc cao.
ng thi, tc gi phn chia s bin i ca ch s BSF thnh 5 giai on:
Hnh 1: Cc giai on ca ch s v ngnh ngn hng

Giai on 1: Ch s BSF tng ln hn 0 mt cch ng k. Ch s BSF tng l
du hiu cho thy s v ca khu vc ngn hng thp. ng thi, du hiu ny cng
nhn mnh rng h thng ngn hng ang trong giai on phi chu ri ro qu mc.
c th l du hiu tn ti ca nn kinh t bong bng v tng trng qu nng.
Giai on 2: Ch s BSF bt u st gim. y c th l s khi u ca giai
on khng hong, c th khng hong ngn hng s cn gia tng hn na. Mc
v ca h thng ngn hng cng tng dn theo.
Giai on 3: Ch s BSF bt u gim xung di gi tr 0, nhng vn cao hn
gi tr th hin s v ca khu vc ngn hng
12
. Trong sut giai on ny, h thng
ngn hng tin gn hn ti mc m xy ra khng hong thc s. S v ca khu vc
ngn hng gia tng ng k.
Giai on 4: Ch s BSF i qua mc gi tr xy ra khng hong ngn hng. S

12
Trong nghin cu ca tc gi l 0,5.
22

v ca khu vc ngn hng tip tc gia tng. Phn ln, khng hong ngn hng din
ra trm trng nht trong giai on ny.
Giai on 5: Ch s BSF bt u tng tr li v gi tr 0. Di gc ca s
v trong khu vc ngn hng, y l giai on phc hi. Mc v bt u gim. Cc
ngn hng dn dn qun tr c ri ro tr li. Khi gi tr BSF chm ti 0 hoc rt gn
vi gi tr 0, c th ni rng, khng hong ngn hng i qua.
kim nghim kin cho rng, hin tng t bin rt tin gi khng gi vai
tr quan trng trng khng hong ngn hng hin i, Aykut Kibritcioglu xy dng
mt ch s v ngn hng thay th BSF-2, c tnh ton nh sau:
BSF-2
t
=

Ch s BSF-2 da trn vic tnh ton BFS-3 khi loi b s thay i thc ca
trong tng tin gi ngn hng i vi s v ti chnh ca ngn hng. S chnh lch
gia BSF-2 v BSF-3 s l gii tm quan trng ca vic rt tin t ngt i vi
khng hong ngn hng.
1.2.2.2. La chn cc ch s cnh bo
Kaminsky, Lizondo v Reinhard (1998) thc hin mt cuc iu tra ton
din v rt nhiu dng khc nhau ca cc ch s d bo c s dng trong 15 nghin
cu thc nghim v khng hong tin t (Bng 1). Mc d nguyn nhn ca khng
hong ngn hng thng phc tp hn so vi nguyn nhn ca khng hong tin t,
trong cc nghin cu thc nghim trc cho thy cc ch s c dng gii thch
hoc d bo khng hong ngn hng khng qu khc so vi cc ch s c dng cho
khng hong tin t.
13


13
ADB, 2005. Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng .
23

Bng 1: Ch s d bo khng hong ti chnh v nhng l do kinh t la chn
Ch s d bo L do la chn
Ti khon vng lai
Xut, nhp khu
T gi thc p dng
T gi thc so vi ng USD
Cn cn thng mi/GDP
Xut khu km, nhp khu tng qu mc, ng ni t nh
gi cao so vi thc t c th lm cho ti khon vng lai
suy yu v gn vi khng hong tin t ti nhiu nc.
Nhng yu km trong quan h kinh t i ngoi v ng
ni t tng gi cao hn thc t cng lm tng kh nng bt
n ca khu vc ngn hng v vic mt kh nng cnh
tranh th trng quc t c th dn n s suy thoi,
v kinh doanh v gim cht lng cho vay. Khng hong
ngn hng c th dn n khng hong tin t.
Ti khon vn
Ti sn n ngoi t/ti sn c ngoi t
ca khu vc ngn hng
D tr ngoi t
M2/d tr ngoi t
Cc lung vn ngn hn/GDP
N nc ngoi ngn hn/d tr ngoi t
Vi s gia tng ton cu ha v hi nhp ti chnh, ti
khon vn c vn c th lm cho mt quc gia tr nn
d b tn thng i vi cc c sc. Ti khon vn c vn
c th bao gm s gim st d tr ngoi t, n nc
ngoi ngn hn qu nhiu, mt cn i v k hn tin t
v hin tng vn t rt ra khi t nc.
Khu vc ti chnh
Tin gi/M2
Tn dng ni a/GDP
Bin gia li sut cho vay v tin gi
Cho vay/tin gi
M1/GDP
H s cung tin t M2
Tin gi NHTM thc
Li sut thc ni a
Cc cuc khng hong ngn hng v tin t c s lin kt
vi s tng trng tn dng qu nhanh do cung tin t
tng qu mc nhiu nc. Trong khi tin gi ngn
hng gim, li sut thc trong nc cao, bin gia li
sut tin gi v cho vay ln. Nhng biu hin ny thng
phn nh tnh trng nguy him v nhng tn ti trong khu
vc ngn hng.
Khu vc sn xut
Ch s CPI
Ch s sn xut cng nghip
Ch s gi chng khon
S suy thoi v gi c ti sn tng php phng bong bng
thng bo trc khng hong ngn hng v khng hong
tin t
Khu vc ti chnh cng
Tn dng ngn hng trung ng cho khu
vc cng/GDP
Cn i ngn sch/GDP
Tiu dng ca chnh ph/GDP
Tn dng rng cho khu vc cng/GDP
Thm ht ngn sch ln c th lm ti t cn cn ti
khon vng lai, cui cng c th gy sc p i vi t gi
Kinh t ton cu
Gi du th gii
T gi thc ca ng la/Yn Nht
Li sut thc M
T l tng trng kinh t ca M
S suy thoi kinh t bn ngoi c th nh hng v ko
theo suy thoi cc nn kinh t ni a. Gi du th gii
mc cao to ra mi nguy him i vi ti khon vng lai
v cng c th dn n suy thoi trong nc. Li sut
cao trn th trng th gii thng thc y lung vn ra.
i vi nhiu nc ng , s mt gi ca ng Yn so
vi ng la M c th gy sc p cho cc ng tin
bn t khc.
Ngun: ADB 2005, Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng
24

Hu ht cc ch s c ly theo thng, nhng c mt s ch s c c theo
qu v nm. Vi nhng ch s ny, s liu theo thng c ni suy t cc s liu theo
qu hoc theo nm.
1.2.2.3. c lng xc sut khng hong
Sau khi xc nh c thi gian xy ra tnh hung khng hong ngn hng v
la chn cc ch s cnh bo, giai on tip theo ca m hnh l a ra nhng d
on v xc sut khng hong i vi tng quc gia trong tng thi k.
i. Theo phng php tham s
Nghin cu ca Kamisky v Reinahart (1999) a ra cch tip cn vn
ny theo tn hiu, hay chnh l phng php phi tham s. Gi thit c bn ca cch tip
cn tn hiu l nn kinh t phn ng khc nhau v s kin khng hong ti chnh ni
chung v khng hong ngn hng ni ring. Mt tn hiu cnh bo pht ra khi gi tr
ca cc ch s vt ra khi nhng din bin bnh thng ca n. Mt ch s a ra mt
tn hiu v c gi l tn hiu tt nu khng hong xy ra sau trong mt khong
thi gian hp l. Nu sau mt tn hiu m khng c khng hong trong mt thi gian
nht nh, n c gi l tn hiu sai, hoc nhiu. Cc ch s tt (xu) l nhng ch
s c t l thp (cao) ca h s nhiu tn hiu.
Cch tip cn theo tn hiu tm kim mt ngng ti u cho mi ch s ti a
ha kh nng d bo ca ch s . Vi cch tip cn theo tn hiu, xc sut ca mt
cuc khng hong c xc nh bng bnh qun gia quyn ca cc ch s vt qu
mc ngng ti u, trong khi t trng l kh nng d bo trong qu kh ca cc ch s.
Cc giai on ca kh nng xy ra khng hong cao l nhng giai on m nhiu ch
s vt qua mc ngng ti u. V d, nu 12 trong s 25 ch s pht tn hiu ti mt
nc A, tc l cc ch s ny vt n mc ngng, ngc li 18 ch s pht tn
hiu cho nc B, chng ta c th kt lun rng nc B c nhiu kh nng xy ra khng
hong hn nc A (gi thit rng cc ch s pht tn hiu i vi nc B c mc tin
cy nh nc A). Tng t, nu c nhiu ch s pht tn hiu trong thi gian cui nm
25

1995 so vi cui nm 1993 nc A th chng ta kt lun rng nm 1995 l thi gian
c kh nng xy ra khng hong cao hn.
ii. Theo phng php phi tham s
Phng php ny s dng cc m hnh hi quy vi bin ph thuc l ri rc
Probit hoc Logit.
M hnh Probit c xut bi Goldberger (1964) vi gi thit rng: Y s
nhn gi tr 1 hoc 0 ty thuc vo tha dng I c xc nh bi cc bin c lp.
tha dng cng ln th xc sut Y=1 cng ln:
I =
1
+
2
X
2i
(1)
Gi s rng tn ti mt mc gii hn I
*
: Y=1 nu I > I
*
v Y=0 nu I < I
*

I
*
khng quan st c, ta gi thit rng I
*
= I + u hay:
I
i
*
=
1
+
2
X
2i
+ u
i

Gi s rng u c phn b N(0,1). Khi ta c th c lng c (1):
P
i
= P(Y=1 | X
2i
) = P(I
i
*
< I
i
) = F(I
i
)
Trong , F l hm phn b xc sut tch ly ca u. V u
i
phn b chun ha
nn:
F(I
i
=
1
+
2
X
2i
) =

M hnh b sung cho probit l m hnh logit, m hnh ny gi nh F(x
it
) l
hm phn phi dng log c xc sut ly k, k hiu l (x
it
), theo :
(x
t
) =

Trong ton b cc ni dung nghin cu tip theo, ti s ch s dng m hnh
Probit trong vic thc hin c lng xc sut khng hong bng phng php tham
s.
26

1.2.3. M hnh cnh bo sm khng hong h thng ngn hng ti u
i vi phng php xc nh thi gian xy ra khng hong, phng php
da trn s kin rt d dng tm kim thng tin v s can thip ca chnh ph v nhng
thay i trong quy nh ca cc ngn hng, nhng nh Kibritcioglu (2002)
14
ch ra,
phng php ny c nhng hn ch sau:
- Xc nh thi im xy ra khng hong l c th i vi cc s liu theo tn
sut nm nhng li kh khn i vi s liu thng;
- Thi gian can thip ca chnh ph thng c dng xc nh thi gian
khng hong, c th khng thc s phn nh ng thc t;
- Khng phi lun lun d phn quyt rng mt cuc khng hong l c tnh h
thng hay khng, c bit nu ngi ta ch dng thng tin v s can thip ca
chnh ph;
- Nhn chung, vic s dng cc nm khng hong b hn ch i vi nhng m
hnh b gii hn bin ph thuc (logit, probit). Do , m hnh thng c
s dng cho c cu a quc gia tng s lng khng hong c xem xt;
- i vi nhng nh nghin cu c nhn, khng d dng tm kim thng tin v
nhng kh khn ca khu vc ngn hng trn th gii.
Ngc li, phng php da trn ch s cung cp mt cng c kim sot v
gii thch s pht trin lnh vc ngn hng theo s liu thng. Da trn cc mc
ca cc ch s, ngi ta c th xc nh cc tiu ch phn bit s khc nhau gia cc
cuc khng hong c tnh h thng v khng c tnh h thng. Ngoi ra, ch s BSF
theo thng cn c th d dng s dng a ra cnh bo khng hong i vi tng
quc gia ring l.
Cc hn ch ca phng php ny ch yu lin quan n vn s liu. Cc s
liu tin cy ca khu vc ngn hng khng phi lc no cng sn c. S liu c c c

14
Aykut Kibritcioglu, 2002. Excessive Risk- Taking, Banking Sector Fragility, and Banking Crises,
<http://www.business.uiuc.edu/Working_Papers/papers/020114.pdf>, xem ngy 10/02/2012.
27

th th li b sai lch do cc vn v bo co hay do nhng quy nh c th ca mi
quc gia.
V nhng u th ni tri ca phng php ch s so vi phng php s kin,
phng php ch s thng qua vic xy dng ch s BSF nh lng tnh v ca h
thng ngn hng c la chn xc nh cc giai on khng hong.
i vi vic c lng xc sut xy ra khng hong ngn hng, phng php
phi tham s a ra cnh bo khng hong da trn vic pht tn hiu cnh bo ca cc
ch s vt qua mc ngng quy nh. T , m hnh cho php kt lun nhng ch s
tt nht cnh bo khng hong i vi tng quc gia trong tng giai on. Tuy vy,
hn ch ca cch tip cn ny l vic m phng th s nh hng ca cc ch s i
vi xc sut xy ra khng hong. Ni cch khc, cch tip cn tn hiu khng th a
ra chnh xc xc sut xy ra khng hong ngn hng. Hn ch ny ca phng php
phi tham s chnh l u th ni bt ca phng php tham s. Cch tip cn hi quy,
m trong nghin cu ny l m hnh Probit, c th tnh ton chnh xc xc sut v thi
gian xy ra khng hong ngn hng.
Ngoi ra, trong kt qu thc nghim nghin cu ca Goldstein, Kamisky v
Reinhart (2000), phng php tip cn theo tn hiu khng hot ng tt i vi
cnh bo khng hong ngn hng. Trong s 5 nc c xc nh l c kh nng bt
n nht, ch c 2 nc c khng hong trong giai on ngoi mu nghin cu. V
trong 5 nc c xc nh l c kh nng bt n thp nht th khng c nc no thc
s c khng hong. Thm vo , nghin cu ca J uzhong Zhuang
15
v khng hong
ti chnh chu ti 6 quc gia ng cng a ra kt lun rng, m hnh phi tham
s a ra cnh bo v khng hong tin t tt hn khng hong ngn hng.
Chnh v vy, phng php tham s, m c th l m hnh Probit, c la chn
c lng xc sut xy ra khng hong h thng NHTM.

15
ADB, 2005 Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng .
28

T nhng phn tch phn tch trn, kt hp vi nhng nghin cu thc nghim
ng tin cy trn th gii, m hnh cnh bo sm khng hong ngn hng ti u c
a ra l m hnh da trn phng php s dng ch s BSF xc nh thi gian
xy ra khng hong kt hp vi c lng xc sut xy ra khng hong bng
phng php tham s, sau y gi l m hnh BSF tham s xy dng m hnh
cnh bo sm khng hong ngn hng cho n , M v Vit Nam nhng chng
tip theo.













29

CHNG II. KINH NGHIM XY DNG M HNH CNH BO SM
KHNG HONG H THNG NGN HNG THNG MI TI MT S
QUC GIA TRN TH GII V BI HC CHO VIT NAM

2.1. Xy dng m hnh cnh bo sm khng hong h thng ngn hng ti n
giai on 2000-2009
2.1.1. Nhng kh khn trong h thng ngn hng n giai on 2000-2009
K t sau cuc khng hong cn cn thanh ton u nhng nm 1990, kinh t
n tin hnh hng lot nhng ci cch v thng mi, cng nghip v u t.
Nhng thay i ny phn no lm t do ha nn kinh t mt cch hiu qu, kt thc
thi k ng ca vi th trng hng ha v ti chnh quc t ca n . T , nn
kinh t ca quc gia ny cng tr nn hi nhp hn vi nn kinh t th gii. S thay
i ng k trong vic ci cch nn kinh t ca n c th hin r rng thng qua
ti khon vn ca quc gia ny. Dng vn u t nc ngoi ca n tng t 2 t
USD vo nm ti kha 2001-2002 ln 29 t USD vo nm 2007-2008. Ngun vn u
t trc tip nc ngoi (FDI) cng tng t 6.1 t USD vo nm 2001-2002 ln 34.3 t
vo nm 2007-2008.
Lun c nh gi l nn kinh t c s tng trng u n trong nhiu nm
qua, n l mt trong s nhng trng hp him hoi t b chu tc ng t cuc
khng hong ti chnh ton cu nm 2008 bt ngun t Hoa K. Khu vc ti chnh ca
n , c bit l ngnh ngn hng c nh gi l khng chu nhiu nh hng trc
tip t cuc khng hong trn. Tuy nhin, vi s lin kt cng ngy cng cht ch vi
nn kinh t th gii, n chc chn b tc ng t nhiu bi nhng tc ng thay
i bn ngoi. H thng ngn hng ti n cng chu nh hng mt cch gin tip
t nhng bt n trong tnh hnh kinh t - ti chnh trn th gii.
Th nht, s sp ca tp on Lehman Brothers ti Hoa K gy ra nhng
tc ng tiu cc v tnh thanh khon trn th trng th gii, ng thi cng khin cho
30

cc ngn hng v doanh nghip ti n chuyn cu tn dng t cc ngun vn nc
ngoi sang khu vc ngn hng ni a. S chuyn dch ny to ra nhiu p lc i
vi tnh thanh khon ti th trng ni a v dn n li sut cho vay ngn hn tng
t bin. Li sut money-call
16
cng tng ln gn 20% trong thng 10 nm 2008 v duy
tr mc cao trong khong thi gian mt thng sau
17
.
Th hai, tn dng ngn hng dnh cho khu vc phi thc phm c nhng bin
ng khng n nh. Sau t tng trng u nm 2008 n thng 5/2008, tn dng
cho khu vc phi thc phm t ngt gim t thng 11/2008, dn n tng trng tn
dng theo thng c du hiu gn vi mc 0 vo u nm 2009 (Biu 1). Vic ngun
cu v tn dng gim khin cho li nhun cn bin theo thng ca ngnh ngn hng
n cng lin tc gim t thng 11/2008 n thng 3/2009.
18

Biu 1: Thay i tn dng cha thanh ton cho khu vc phi thc phm theo
thng ca cc Ngn hng Thng mi n (Tnh theo ng Rs.Crore)

Ngun: Ngn hng Trung ng n v tnh ton ca nhm nghin cu

16
L li sut cho vay ngn hn gia ngn hng v nhng ngi mi gii nhng ngi ngc li s cho cc nh
u t vay chi tr cc ti khon k qu.
17
Ngn hng Trung ng n , RBI Bulletin,
<http://www.rbi.org.in/scripts/BS_ViewBulletin.aspx?Id=13072>, xem ngy 28/03/2012.
18
Theo Trung tm nghin cu kinh t n - CMIE
-50000
0
50000
100000
150000
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2007 2008 2009
31

Th ba, ngun vn u t gin tip (FII) ca n c s o chiu k t
u nm 2008 (Biu 2). Nu nh trong nm 2007, ngun vn u t gin tip vo
n t 20.3 t USD th sang nm 2008, tng vn u t gin tip rng gim
xung mc 15 t USD. iu ny c gii thch l do nhiu nh u t nc ngoi
mun rt vn v nc ci thin tnh hnh thanh khon ti cc cng ty chnh quc.
S chy vn mnh ny ca FII gy ra mt c sc ln trn th trng chng khon
n .
Biu 2: Vn u t gin tip rng theo thng ca n (Rs. Crore)

Ngun: y ban Chng khon v Ngoi hi n (SEBI)
19

2.1.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng
thng mi ti n giai on 2000-2009
nghin cu vic xy dng m hnh BSF tham s cnh bo khng hong
h thng ngn hng ti n , ti s dng nghin cu M hnh Ordered Probit
ca h thng cnh bo sm d on khng hong ti chnh ti n ca tc gi
Thangjam Rejeshwar thuc Ngn hng Trung ng n nh ngun tham kho chnh
thc.

19
Website: <http://www.sebi.gov.in/Index.jsp?contentDisp=FIITrends>, xem ngy 29/03/2012
-20000
-15000
-10000
-5000
0
5000
10000
15000
20000
25000
FII
32

2.1.2.1. Xc nh cc giai on xy ra khng hong ngn hng ti n bng
phng php ch s
Trong nghin cu ca mnh, Thangjam p dng phng php xy dng ch
s v ngnh ngn hng nh c trnh by trong nghin cu ca Kibritciouglu
(2002), tuy nhin c mt s iu chnh nht nh.
Tc gi nhn nh cc NHTM ca n phi i mt vi 3 loi ri ro ln nht
bao gm ri ro thanh khon, ri ro tn dng v ri ro t gi. T , ch s BSF theo
thng cho ngnh ngn hng n c xy dng vi cc bin s l tng tin
gi; tn dng cho cc ngnh phi thc phm
20
; u t vo cc chng khon khng c t
l thanh khon bt buc (non-SLR) v cc chng khon khc c nim yt
21
; ti sn
v n bng ngoi t; v d tr ngoi hi rng ca cc NHTM ti n .
02 cng thc cho ch s BSF c xy dng nh sau:

Trong :
Dep
t
: Thay i tng tin gi theo nm ti thng t (%);
Cred
t
: Thay i tn dng cho cc ngnh phi thc phm theo nm ti thng t
(%);
I nv
t
: Thay i u t vo cc chng khon khc c nim yt v chng khon
khng yu cu t l thanh khon bt buc (non-SLR) theo nm ti thng t (%);
FCA
t
: Thay i ti sn bng ngoi t theo nm ti thng t (%);

20
Tn dng ca cc NHTM n cho cc ngnh phi thc phm lun chim hn 90% trong tng tn dng ngn
hng
21
y l mt khon mc u t trong mc ti sn ca cc NHTM n
33

FCL
t
: Thay i n bng ngoi t theo nm ti thng t (%);
Resv
t
: Thay i d tr ngoi hi rng theo nm ti thng t (%);
: Trung bnh trng s thay i tng bin theo nm ti tng thng (%);
: lch chun thay i tng bin theo nm ti tng thng (%).
Tt c d liu v 6 bin s trn c iu chnh lm pht theo ch s WPI
tng ng (nm gc 1993-94). Phn trm thay i theo nm (tc l so vi cng thng
ca nm trc) c p dng vi mc ch loi b bt k s bin i mang tnh thi
v v cng nhm nhn mnh rng nhng kh khn trong h thng ngn hng s c
ra tn hiu bi nhng thay i trong di hn, khng phi bin ng thay ngn hn.
Ch s BSF-2 c xy dng xem xt n vic liu s rt vn t trong h
thng ngn hng ni a ti n c ng bt k mt vai tr quan trng no trong
sut giai on yu km ca h thng ngn hng ti quc gia ny hay khng.
Vic xc nh giai on xy ra khng hong c da vo mt mc ngng
nht nh. Theo :
BSF > 0: Giai on khng c khng hong;
BSF < 0: Giai on xy ra v.
Da vo mc ngng , cc giai on xy ra v mc trung bnh v cao
c xc nh nh sau:
v mc trung bnh (MF): - BSF 0
v mc cao (HF): BSF -
Trong : l lch chun ca cc ch s BSF
Tc gi xc nh mt cuc khng hong h thng ngn hng xy ra khi n cha
nhiu pha xen k nhau phn nh v mc trung bnh v cao. Nhng pha MF v HF
tch bit nhau s khng c xem xt nh l khng hong h thng ngn hng. H
thng ngn hng c xem xt l hon ton phc hi t khng hong khi gi tr ca
ch s BSF quay v mc 0.
34

Hnh 2: Ch s v ngnh ngn hng (BSF) cho n (3/2000-11/2009)

Ngun: Thangjam Rajeshwar Singh, Ordered Probit model of Early Warning System
for Preding Financial Crisis in India, trang 11.
Hnh 2 biu din cc ch s BSF cho ngnh ngn hng n trong giai on t
thng 3 nm 2000 n thng 11 nm 2009. Giai on xy ra v mc cao c
biu din bng nhng khu vc mu ghi. T biu ta c th thy hai ch s BSF-1 v
BSF-2 c s bin ng cng chiu v rt tng ng. T , tc gi phn no kt
lun rng s rt vn t khi h thng ngn hng khng tc ng qu nhiu n vic
gy ra cng thng trong h thng ngn hng ti n . iu ny c th c gii thch
l nh vo c ch bo him tin gi ca n . Gi tr mc ngng c xc nh cho
ch s BSF-1 l BSF-2 ln lt l 0,43 v 0,39.
Ch s BSF c xy dng ch ra rng ngnh ngn hng n tri qua
19 giai on (pha) v mc trung bnh v 8 giai on v mc cao trong sut
khong thi gian nghin cu. Tt c cc giai on trn c th hin ti Bng 2.
Da vo thi gian xy ra cc giai on v, tc gi xc nh c khng hong h
thng ti n trong cc khong thi gian sau:
35

Thng 3/2000 Thng 10/2000
Thng 12/2001 Thng 6/2001
Thng 8/2002 Thng 9/2004
Thng 6/2008 Thng 11/2008
Bng 2: Cc giai on v theo mc ca ngnh ngn hng n
BSF-1 BSF-2
Mc trung bnh Mc cao Mc trung bnh Mc cao
--------- 3/2000 10/2000
--------- 03/2000 07/2000
08/2000 09/2000
10/2000 ---------
12/2001 4/2002 ---------
12/2001 01/2002 02/2002
03/2002- 04/2002 ---------
06/2002 --------- 06/2002 ---------
09/2002 04/2003 05/2003 02/2004
08/2002 04/2003 05/2003
06/2003 07/2003 02/2004
03/2004 04/2004 05/2004 09/2004 03/2004 04/2004 05/2004 07/2004
10/2004 12/2004 --------- 08/2004 09/2004
03/2005 05/2005 --------- --------- ---------
01/2006 02/2006 --------- 01/2006 02/2006 ---------
10/2006 --------- 10/2006 ---------
--------- --------- 12/2006 ---------
--------- --------- 04/2007 ---------
03/2008 --------- 03/2008 ---------
06/2008 07/2008 10/2008 06/2008 07/2008 10/2008
11/2008 --------- 11/2008 ---------
--------- --------- 01/2009 ---------
--------- --------- 09/2009 ---------
11/2009 --------- 11/2009 ---------
Ngun: Thangjam Rajeshwar Singh, Ordered Probit model of Early Warning System
for Preding Financial Crisis in India, trang 12.
Nh vy, t kt qu trn c th thy rng trong sut giai on gia nm 2008
cho n cui nm 2009, trong khi h thng ngn hng ti nhiu quc gia b tc ng
nng n bi cuc khng hong ti chnh ton cu th ngnh ngn hng ca n
dng nh li t b chu nh hng. Ch s BSF ca n trong hai nm 2008, 2009
36

ch tri qua giai on khng hong mang tnh h thng t thng 6 n thng 11 nm
2008; cn sang nm 2009, h thng ngn hng ca quc gia ny khng chng kin bt
k mt s bt n no (ngoi tr thng 11).
S min dch ca h thng NHTM n trong giai on kh khn chung ca
th trng ti chnh th gii c gii thch ch yu qua kh nng iu hnh linh hot
v a dng ca NHTW n (RBI). Trong giai on ny, mc d phi i mt vi
nhiu thc thch t vic kim ch lm pht t na cui nm 2008 n kim ch
gim tng trng cng nh duy tr tnh n nh ca h thng ngn hng v nh ch ti
chnh, nhng RBI vn a ra c nhng chnh sch kt hp pht huy tc dng tt
trong vic m bo tnh thanh khon ca c ng Rupee v ng -la, duy tr mt th
trng hp dn i vi cc nh u t thng qua vic p dng chnh sch h li sut,
gim mc yu cu d tr v cc chnh sch trn th trng ngoi hi.
2.1.2.2. La chn cc ch s cnh bo cho khng hong ngn hng ti n
Trc khi tin hnh xy dng m hnh cnh bo sm khng hong h thng
ngn hng ti n , tc gi la chn cc bin gii thch ph hp a vo m
hnh. Tc gi Thangjam phn tch trn c s tnh cht ca h thng NHTM n
ni ring v nn kinh t n giai on 2000 2009 ni ring, cng vi nhng kt
qu nghin cu thc nghim v h thng cnh bo sm khng hong ti chnh trc
a ra cc bin gii thch cho m hnh ca mnh gm: D tr ngoi hi; t l ti sn
ngoi t/n ngoi t; xut khu; nhp khu; t l cung tin M3/d tr ngoi hi; h s
nhn cung tin M3; sn lng u ra ca nn kinh t; li sut call money; li sut thc
T-bill 91 ngy; ch s gi chng khon v lm pht.
37

2.1.2.3. c lng xc sut xy ra khng hong ngn hng ti n bng
phng php tham s
Da trn ch s BFS xc nh cc giai on khng hong ngn hng ca n ,
tc gi Thangjam s dng m hnh Ordered Probit
22
d on nhng giai on
khng hong khc nhau ca nc ny. Theo , bin ph thuc c phn loi thnh
cc gi tr 0, 1 v 2 tng ng vi tnh trng khng hong: khng c khng hong,
v mc trung bnh v tnh v cao.
y =

Trong ,

l cc mc ngng ca gi tr.
Phng trnh Ordered Probit xut pht t cng thc sau: y = x + , trong
xc sut c phn loi nh sau:
Pr (y=0|x, ) = F (

x)
Pr (y=1|x, ) = F (

x) - F (

x)
Pr (y=2|x, ) = 1 - F (

x)
Vi Y l bin gi d bo khng hong; X l mt b cc bin gii thch; l mt
vec-t ca tham s t do c c tnh; F l cu trc phn phi tch ly thng thng
m bo rng kt qu ca m hnh c d on lun nm trong khong 0 v 1. M
hnh s dng ch s Pseudo R
2
kim nh mc ngha thng k.
23

Kt qu ca m hnh

22
L mt dng ca m hnh Probit, theo y s khng ch nhn 2 gi tr 0,1 m c th nhn nhiu gi tr khc
nhau.
23
Xem thm: Thangjam Rajeshwar Singh, 2009. Ordered Probit model of Early Warning System for
Predicting Financial Crisis in I ndia, < http://www.bis.org/ifc/events/5ifcconf/singh.pdf>, xem ngy
20/02/2012.
38

Bng 3: Kt qu m hnh Ordered Probit vi cc ch s chnh
24

Bin
H s Sai s chun Z-statistic
Prob.
Forex Reserves -2.22 0.98 -2.26 0.0237
Forex Reserves (-5) 3.47 1.55 2.24 0.0249
FCA/FCL ratio (-6) 57.31 25.78 2.2.2 0.0262
Export(-2) -0.47 0.22 -2.08 0.0373
Export(-4) -0.27 0.11 -2.39 0.0170
Import(-4) 0.15 0.07 2.30 0.0213
M3/Forex Reserve ratio -32.00 14.34 -2.23 0.0256
M3-Multiplier 62.83 29.09 2.16 0.0307
M3-Multiplier(-1) 15.36 7.26 2.12 0.0344
Credit/Deposit ratio -1404.54 617.70 -2.27 0.0230
Credit/Deposit ratio(-2) 711.55 312.14 2.28 0.0226
Output(-2) -4.10 1.71 -2.40 0.0164
Call Money rate 10.23 4.58 2.23 0.0255
Call Money rate (-1) 2.58 1.31 1.97 0.0484
Real yield 91TB(-1) 14.73 6.71 2.20 0.0280
Stock Price Index 0.38 0.17 2.16 0.0306
Stock Price Index(-1) 0.20 0.09 2.22 0.0263
Inflation 11.91 5.35 2.23 0.0260
Inflation(-5) -5,51 2.38 -2.31 0.0207
Limit Points
LIMIT-1 (
1
) -139.73
LIMIT-2 (
2
) -104.73
Pseudo R-square 0.87
Akaike info. Criterion 0.64
LR statistic 190.25
Prob(LR statistic) 0.0000
Ngun: Thangjam Rajeshwar Singh, Ordered Probit model of Early Warning System
for Preding Financial Crisis in India, trang 18.
Nh vy t bng trn ta thy tt c cc bin u c ngha thng k ti mc
5%. M hnh cng cho thy s tng ln ca t s ti sn ngoi t/n ngoi t
(FCA/FCL ratio), nhp khu, h s nhn cung tin M3, li sut Call Money, li sut

24
Cng vi cc bin iu chnh tr ca n
39

thc (T-bill 91 ngy), ch s gi chng khon v lm pht s c th dn n tng nguy
c v trong ngnh ngn hng, trong khi gim t l cung tin M3/d tr ngoi
hi, sn lng u ra, xut nhp, d tr ngoi hi v tn dng/tng tin gi ni a
cng s lm tng kh nng v cao trong ngnh ngn hng n .
Mt im quan trng ca m hnh l n c th d on cuc khng hong ti
chnh ton cu gn y mt cch chnh xc trc 6 thng. Thm vo , trong sut giai
on c v mc cao v trung bnh, xc sut c khng hong c d on trong
m hnh rt thp v ngc li.
Tm li, c th thy vic xy dng m hnh cnh bo sm ti n c mt s
ch sau:
- Cch xy dng ch s v ngnh ngn hng n ca Thangjam c 1 s
thay i so vi trong nghin cu ban u ca Kibritciouglu (2002). Cng thc tnh ch
s BSF c a thm 3 bin mi l: Ti sn c bng ngoi t; u t v d ng
ngoi t. Vic a thm 3 bin mi ny phn nh r hn v nhng ri ro m h
thng ngn hng n gp phi. c bit ri ro t gi khng ch c phn nh qua
mi bin N ngoi t m khi ri ro t gi xy ra, hai bin khc l Ti sn c ngoi t
v D tr ngoi t cng s bin ng mnh. Thm vo , mc ngng khng hong
khng cn l 0.5, m thay vo l gi tr lch chun ca tt c cc BSF theo thng.
Thc t n , c hai mc ngng ca BSF-1 v BSF-2 u nh hn 0.5. iu ny
cho thy mc bin ng trong tnh v ca h thng NHTM n thp hn so vi
mc 0.5 c a ra trong nghin cu ban u.
- Tc gi Thangjam s dng m hnh Ordered Probit vi 12 bin gii thch
c la chn, m hnh d bo c chnh xc 87% cc giai on khng hong
trong h thng NHTM vi ca s ngng l 6 thng.
40

2.2. Xy dng m hnh bo sm khng hong h thng ngn hng thng
mi ti M giai on 2000 2011
2.2.1. Nhng nguyn nhn v din bin chnh ca cuc khng hong ti chnh
ti M giai on 2008-2011
Cuc khng hong ti chnh Hoa K trong giai on 2007 -2009 bt u t th
trng cho vay th chp. Cc du hiu cho nhng vn xut hin t u nm 2007,
khi Federal Home Loan Mortgage Corporation thng bo rng cng ty ny s khng
mua cc khon th chp ri ro cao na. ng thi, New Century Financial Corporation
mt nh cho vay th chp hng u i vi cc khch hng mo him ri vo
khng hong.
Vic gi nh bt u gim v s lng cc v tch thu ti sn tng mnh l
nguyn nhn dn n vic cc hng xp hng tn dng ng lot h thp mc xp hng
ri ro i vi nhng cng c ti chnh c ti sn m bo vo gia nm 2007 bo hiu
mt s chuyn bin ngay lp tc v khc lit ca th trng ti chnh ni chung v khu
vc ngn hng ni ring.
Ngy 11/07/2008, I ndyMac nh cho vay th chp ln nht ca M sp v
ti sn ca hng thuc quyn s hu ca Chnh ph lin bang M. y l mt trong
nhng v ng ca ngn hng ln nht trong lch s nc M sau khi nhng ngi gi
tin rt ra hn 1,3 t USD trong vng ch 11 ngy.
Ngy 15/09/2008, ngn hng u t Lehman Brothers chnh thc ph sn.
Cng ngy, Bank of America mua li ngn hng u t Merrill Lynch mc 50 t
USD.
Ngy 16/09/2008, FED cho php The Federal Reserve Bank of New York
bm 85 triu USD vo AI G (American I nternational Group) khi tp on bo him
ln nht th gii ny mt kh nng thanh khon do nhng thua l nghim trng lin
quan ti n cm c.
41

Ngy 25/09/2008, Washington Mutual I nc. (WaMu), mt trong nhng ngn
hng cho vay v tit kim ln nht M sp cng do nh cc rt ln vo th
trng cho vay th chp. FDIC ot quyn kim sot WaMu.
Ngy 12/10/2008, Wachovia tp on ngn hng ln th t ti M - b mua
li bi Wells Fargo.
Ngy 30/12/2008, B thng mi M bo co GDP gim t 0,3% t thng 7
n thng 9 nm 2008, mt du hiu cho thy khng hong cng trm trng hn.
Thng 01 02/2009, 9 ngn hng ca M ph sn.
Ngy 29/05/2009, B thng mi thng bo tng sn phm quc ni GDP gim
5,7% trong qu 1/2009 thp hn qu 4/2008 l 6,3%.
Nh vy, giai on thng 07/2008 n 06/2009 c ghi nhn l giai on
khng hong trm trng nht ca cuc khng hong ti chnh ti M ni ring v ton
cu ni chung. S v ca rt nhiu ngn hng v tp on ln, mc thm ht ngn
sch v cng ln, nc M chng kin giai on en ti nht trong lch s hn 100
nm ngnh ti chnh ngn hng k t cuc i suy thoi 1930.
Hu ht cc chuyn gia kinh t, ti chnh hng u th gii u cho rng nguyn
nhn ca cuc khng hong kinh t ti M ni chung v khu vc ngn hng ni ring
bt ngun t hot ng cho vay di chun, l khi im cho bong bng ti th trng
nh t. Cc ngn hng cho vay cm c bt ng sn m khng quan tm ti kh nng
chi tr ca khch hng. D n trong mng ny nhy vt t 160 t USD nm 2001 ln
540 t vo nm 2004 v bng n thnh 1300 t vo nm 2007.
Trc tnh hnh trn, cc ngn hng, cng ty bo him, t chc ti chnh,v.v
mua li cc hp ng th chp v bin chng thnh ti sn m bo pht hnh tri
phiu ra th trng. Loi sn phm phi sinh ny ban u c nh gi cao bi cc t
chc nh gi tn dng. Tuy nhin, chnh s gim gi mnh ca ti sn thc, ch yu l
bt ng sn, l gim mnh hp dn ca nhng cng c ny. T gia nm 2007, cc
42

hng xp hng tn dng khng ngng h thp mc xp hng ri ro ca mnh i vi
nhng cng c ti chnh c ti sn m bo. Trong giai on t qu III/2007 n qu
II/2008, c 1,9 triu USD chng khon c m bo bng nhng khon th chp
b nh tt mc tn nhim. Ri ro tng ln hn ch kh nng tr li ca nh pht hnh,
ri ro tn dng lin tc tng cao.
Khi cc cng c phi sinh khng cn tc dng, th trng nh t khng th gii
ngn, iu ny e da n tnh thanh khon ca h thng ngn hng. Nghim trng
hn, ni lo s v kh nng v n hng lot khin cc ngn hng xit cht tn dng,
y li sut ngn hng v li sut lin ngn hng tng vt. Cc ngun cung v ti chnh
tr nn cn kit, h thng ngn hng mt tnh thanh khon dn n nguy c sp
hon ton ca h thng ti chnh ngn hng.
Thm vo , ti khon n nc ngoi ca M lin tc tng, c bit tng mnh
t nm 2005 v k t nm 2005, M lun ng u danh sch nhng quc gia dn u
th gii v n nc ngoi
25
. N nc ngoi tng mnh gy p lc rt ln n kh nng
tr n ca M khi t gi hi oi gia USD vi cc ngoi t khc bin ng, c bit l
t gi i vi ng tin ca cc quc gia ch n. Cng trong giai on ny, nhng tc
ng xut pht t th trng ti chnh khin FED khng ngng iu chnh li sut
vi bin rt mnh (Biu 3).
T , tc ng ng k n s bin ng ca li sut i vi ng USD, khin
t gi USD giao ng mnh. y chnh l ngun gc ca ri ro t gi i vi h thng
ngn hng M.


25
<https://www.cia.gov/library/publications/the-world-factbook/rankorder/2079rank.html>, xem ngy 12/04/2012
43

Biu 3: Li sut FED giai on 2000-2011

Ngun:FED, 2012
26
.
Nh vy, bong bng bt ng sn v khng hong trong khu vc cho vay th
chp di chun giai on 2007 2008 ko theo khng hong nghim trng trong
ton h thng ngn hng M khi hng lot ngn hng phi i mt vi ri ro tn
dng, ri ro thanh khon v ri ro t gi lun mc cao. Khng th chng vi
qu nhiu ri ro trm trng cng p n, rt nhiu ngn hng ln v lu i ti M
i n ph sn, Chnh ph lin tc phi bm tin cu tr nhng tp on c tm nh
hng ln, ng thi giai on ny cng ghi nhn rt nhiu v sp nhp v thu tm
ln nhau ca cc nh ch ti chnh m c bit l cc ngn hng ln. Nhng du hiu
bo hiu cho s v ca h thng ngn hng thng mi ca M.
lng ha v chng minh cho tnh v ny, da trn nhng s liu xc
thc, nhm nghin cu tin hnh xy dng ch s o lng tnh v ngnh ngn
hng ti M giai on 2000 2011 trong phn tip theo.

26
<http://www.federalreserve.gov/releases/h15/data.htm>, xem ngy 12/04/2012
0
1
2
3
4
5
6
7
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

(
%
)

FED fund rate
44

2.2.2. Xy dng m hnh cnh bo sm khng hong h thng ngn hng
thng mi ti M giai on 2000-2011
Da vo nhng kinh nghim sau khi tm hiu v m hnh cnh bo sm ca
ngnh ngn hng n , nhm nghin cu p dng quy trnh xy dng m hnh
cnh bo sm khng hong h thng ngn hng thng mi M giai on 2000-2011.
2.2.2.1. Xc nh cc giai on xy ra khng hong ngn hng M bng phng
php ch s
Vic xy dng ch s v ngnh ngn hng (BSF) cho M c nhm nghin
cu thc hin da trn kinh nghim xy dng ch s ny trong nghin cu ca
Kibritciouglu (2002) v vic p dng ch s BSF ny cho ngnh ngn hng ca n
trong nghin cu ca Thangjam (2009). T vic phn tch nhng din bin trong khng
hong ngn hng ca M giai on 2008-2011, nhm tc gi nhn nh ngnh ngn
hng ca M phi i mt vi 03 nhm ri ro chnh l ri ro thanh khon, ri ro tn
dng v ri ro t gi. Do , cng thc c nhm tc gi xy dng cho ch s v
ngnh ngn hng ca M l nh sau:

Trong :
Dep
t
: Thay i tng tin gi thc t theo nm ti tt c cc NHTM ca M ti
thng t (%);
Cred
t
: Thay i tng tn dng theo nm ca NHTM tr khi cc khon chng
khon chnh ph ti thng t (%);
FCL
t
: Thay i cc khon n ngoi t theo nm ca tt c cc NHTM M ti
thng t (%);
FCA
t
: Thay i tng ti sn bng ngoi t theo nm ca cc NHTM M ti
thng t (%);
45

Resv
t
: Thay i d tr ngoi t theo nm ca cc NHTM M ti thng t (%);
: Gi tr trung bnh ca cc bin s theo thng;
: lch chun ca cc bin s theo thng.
kim tra tc ng ca vic rt tin hng lot, nhm tc gi cng xy dng ch
s BSF(Us) 2 tng t nh ch s BSF(Us) 1 nhng loi i bin s tng tin gi
Dep.

S liu v tng tin gi, tn dng, n ngoi t/c ngoi t ca h thng NHTM
ca M c nhm tc gi thu thp ti ngun d liu ca Cc d tr lin bang M
(FED) tng hp trong cc bo co theo thng trong giai on t thng 01/2003 n
thng 12/2011.
27
Ring s liu v D tr ngoi t ca cc NHTM M c nhm tc
gi thu thp t Qu tin t Quc t IMF.
28
Cc s liu trn c nhm tc gi iu
chnh lm pht bng vic s dng ch s CPI ca M thu thp t ngun d liu ti Cc
Thng k lao ng M (BLS).
29

S bin ng ca cc bin s trong cng thc BSF ca h thng NHTM M
c biu din ln lt qua cc Biu 4,5.

27
FED 2012, http://www.federalreserve.gov/econresdata/statisticsdata.htm, xem ngy 20/03/2012
28
IMF 2012, http://www.imf.org/external/np/sta/ir/IRProcessWeb/data/usa/eng/curusa.htm#I, xem ngy
20/03/2012
29
BLS 2012, Consumer Price Index, < http://www.bls.gov/cpi/#tables>, xem ngy 20/03/2012.
46

Biu 4: Thay i tng tn dng thc cho kh vc t nhn, tng tin gi theo
nm ca NHTM M (2001-2011)

Ngun: Tnh ton ca nhm nghin cu
Biu 5: Thay i n ngoi t, ti sn ngoi t v d tr ngoi t theo nm ca
h thng NHTM M (2001-2011)

Ngun: Tnh ton ca nhm nghin cu
-15
-10
-5
0
5
10
15
J
a
n
-
0
1

J
u
l
-
0
1

J
a
n
-
0
2

J
u
l
-
0
2

J
a
n
-
0
3

J
u
l
-
0
3

J
a
n
-
0
4

J
u
l
-
0
4

J
a
n
-
0
5

J
u
l
-
0
5

J
a
n
-
0
6

J
u
l
-
0
6

J
a
n
-
0
7

J
u
l
-
0
7

J
a
n
-
0
8

J
u
l
-
0
8

J
a
n
-
0
9

J
u
l
-
0
9

J
a
n
-
1
0

J
u
l
-
1
0

J
a
n
-
1
1

J
u
l
-
1
1
%
BC
Dep
-30
-20
-10
0
10
20
30
40
J
a
n
-
0
1

J
u
l
-
0
1

J
a
n
-
0
2

J
u
l
-
0
2

J
a
n
-
0
3

J
u
l
-
0
3

J
a
n
-
0
4

J
u
l
-
0
4

J
a
n
-
0
5

J
u
l
-
0
5

J
a
n
-
0
6

J
u
l
-
0
6

J
a
n
-
0
7

J
u
l
-
0
7

J
a
n
-
0
8

J
u
l
-
0
8

J
a
n
-
0
9

J
u
l
-
0
9

J
a
n
-
1
0

J
u
l
-
1
0

J
a
n
-
1
1

J
u
l
-
1
1

%

FCL
FCA
FCR
47

Sau khi thu thp v x l s liu, ch s v ngnh ngn hng BSF(Us)-1 v
BSF(Us)-2 c tnh ton v kt qu c biu din trong Biu 6.
Biu 6: Ch s v ngnh ngn hng ca M giai on 2001-2011

Ngun: Tnh ton ca nhm nghin cu
Qua biu trn ta c th thy 2 ch s BSF(Us)-1 v BSF(Us)-2 bin ng kh
cng chiu v tng ng. Gi tr mc ngng ca BSF(Us)-1 v BSF(Us)-2 c xc
nh ln lt l
1
= 0.583 v
2
= 0.713. Da vo gi tr ngng trn, cc giai on
xy ra khng hong thnh c phn thnh 03 mc:
- Mc yu: -
t
/2

< BSF(Us)
t
< 0
- Mc trung bnh: -
t
< BSF(Us)
t
< -
t
/2
- Mc cao: BSF(Us)
t
> -
t

Vic phn loi thnh 3 mc trn cho php nhn nhn c mc nguy him
ca cc giai on xy ra khng hong bi v c mt s giai on h thng NHTM c
th c xc nh l xy ra khng hong mc yu nhng mc ny hon ton
khng phn nh y mc nghim trng ca khng hong.
-2
-1.5
-1
-0.5
0
0.5
1
1.5
J
a
n
-
0
1

J
u
l
-
0
1

J
a
n
-
0
2

J
u
l
-
0
2

J
a
n
-
0
3

J
u
l
-
0
3

J
a
n
-
0
4

J
u
l
-
0
4

J
a
n
-
0
5

J
u
l
-
0
5

J
a
n
-
0
6

J
u
l
-
0
6

J
a
n
-
0
7

J
u
l
-
0
7

J
a
n
-
0
8

J
u
l
-
0
8

J
a
n
-
0
9

J
u
l
-
0
9

J
a
n
-
1
0

J
u
l
-
1
0

J
a
n
-
1
1

J
u
l
-
1
1

BSF(Us)-1
BSF(Us)-2
48

,Cuc khng hong h thng ngn hng c xem l mang tnh h thng khi m
n cha lin tip cc giai on xy ra khng hong mc trung bnh v cao.
Tng hp li, cc giai on xy ra khng hong ngn hng mang tnh h thng
c xc nh nh sau:
Bng 4: Tng hp kt qu cc giai on khng hong h thng ngn hng ti M
BSF(Us)-1 BSF(Us)-2
06/2008 04/2009 07/2008 06/2009
11/2009 12/2011 10/2009 12/2010
-------- 07/2011 12/2011
Ngun: Tnh ton ca nhm nghin cu
Nhn xt
Th nht, du hiu ca cuc khng hong h thng ngn hng ca nc M
bt u t thng 04/2008 khi m ch s BSF(Us)-1 gim mt cch ng k t 0.56
ca thng 03 xung ch cn 0.16 vo thng 04, v ch cn -0.0085 vo thng 5/2008
chnh thc xc nhn mt s v ca ngnh ngn hng M, d ch l mc yu. Tuy
nhin, ch s BSF(Us)-1 nhanh chng gim t thng 7/2008 (-0.90) v lin tc mc
v cao n thng 4/2009. Ch s BSF(Us)-1 c du hiu tng dn t thng 05/2009
v h thng ngn hng M chnh thc c phc hi t thng 07/2009 n thng
09/2009. Tuy nhin, bt u t thng 11/2009, ch s BSF(Us)-1 li c du hiu gim
ng k v lin tc dao ng mc trung bnh v cao n cui thng 12/2011.
Nhn chung, cuc khng hong mang tnh h thng ca cc NHTM M ko
di dai dng t thng 07/2008 n tn thng 12/2011, ngoi tr giai on t thng
07/2009- 10/2009. Giai on khng hong trm trng nht ko di t thng 07/2008
n thng 04/2009.
Kt qu ny phn no st vi din bin thc t nh phn tch phn trn.
Thm vo , qua tng hp Bo co v pht trin ti chnh t nm 2008 2011 ca
49

Din n Kinh t Th gii (WEF) cho thy Ch s n nh h thng ngn hng ca
M cng cho thy mt kt qu tng t v mc n nh ca h thng ngn hng M
giai on 2008-2011 (Bng 5). Nhn chung, ngnh ngn hng ca M phi i mt vi
cuc khng hong nng n nht vo nm 2008. Sang nm 2009, cc NHTM ca M
phn no khc phc c tnh trng bt n nh ca mnh. Tuy nhin, hai nm 2010 v
2011 li chng kin nhng kh khn trong h thng ngn hng M.
Bng 5: Ch s n nh h thng ngn hng ca M
Nm Ch s n nh h thng ngn hng (trn 7)
2008 2.2
30

2009 4.7
2010 3.4
2011 3.6
Ngun: WEF, Bo co v pht trin ti chnh
Th hai, hai ch s BSF(Us)-1 v BSF(Us)-2 c xu hng bin ng rt tng
ng vi nhau. T , kt qu v tnh v ca ngnh ngn hng M m hai ch s
ny mang li cng kh ging nhau. iu ny c tc gi gii thch nh vo c ch
bo him tin gi linh hot ti M cng nh vi tr ca c quan Bo him tin gi M
(FDIC) trong qun l v khc phc hu qu ca khng hong. C th:
FDIC phi chi nht nhiu tin cho vic x l v tip nhn cc ngn hng
b ph sn. Qu vn ca FDIC st gim 3 ln t 52,4 t USD vo cui nm 2007
xung cn 17,3 t USD vo cui nm 2008
31
. Mc d vy, c th ni hnh ng cu
tr ny ca FDIC gp phn gim bt thit hi v n nh th trng. FDIC rt
chuyn nghip trong vic x l khng hong thng qua vic sp xp ton b tin gi

30
Ring nm 2008, WEF ch o lng ch s Ri ro xy ra khng hong h thng ngn hng v ch s ny
ca M t mc 4.8/7. T , nhm tc gi tnh ton ra Ch s n nh h thng ngn hng ca M nm ny
l 2.2.
31
Nguyn Thanh Trc, L Qunh Phng, inh Huy c, H Hi H, Nguyn Th Huyn Trang, 2010. Bi
hc cho t chc Bo him tin gi Vit Nam (DI V) t vi tr ca Tp on Bo him tin gi Lin bang M
(FDI C) trong cuc khng hong ti chnh M 2007-2010, Trng i hc Ngoai thng H Ni.
50

ca khch hng mt ngn hng c chuyn sang mt ngn hng khc nu nh ngn
hng u tin b ng ca, nng hn mc BHTG cng nh thc hin hng lot cc bin
php khc gim bt gnh nng v hu qu t vn tm l m ng hn lon
khi xy ra khng hong.
2.2.2.2. La chn cc ch s cnh bo cho khng hong h thng ngn hng ti M
Da trn kinh nghim nghin cu thc nghim ca Kaminsky, Lizondo v
Reinhard (1998) v cc ch s d bo ca khng hong tin t cng vi nhng bi hc
rt ra c trong nghin cu v xy dng m hnh cnh bo sm khng hong h
thng ca ngnh ngn hng n , cc bin gii thch cho m hnh cnh bo sm
khng hong ngn hng ti M c tng hp nh sau (Bng 6):
Bng 6: Ch s d bo khng hong h thng ngn hng M
STT Ch s K hiu Thnh phn Ngun
1
Cn cn thng
mi/GDP
BOT (%)
Xut khu U.S. Dept. of Labor,
Bureau of Labor
Statistics
Nhp khu
GDP YCHARTS
32

2
Tng tn
dng/Tng tin gi
ti h thng
NHTM
CD (%)
Tng cho vay
FED
Tng tin gi
3
Ch s gi tiu
dng
CPI (%)
U.S. Dept. of Labor,
Bureau of Labor
Statistics
4
Tn dng ni a
ca NHTM/GDP
DCC (%)
Tn dng ni a
FED
GDP
YCHARTS
5 D tr ngoi t FXRC (%) IMF
6
N ngoi t/C
ngoi t
LA (%)
N ngoi t ca
NHTM
FED
C ngoi t ca
NHTM
7 M2/D tr ngoi M2C (%) Cung tin M2 FED

32
http://ycharts.com/indicators/us_monthly_gdp/historical_data, xem ngy 20/03/2012
51

hi D tr ngoi hi IMF
8
Tn dng ca
NHTW/GDP
RBC (%)
Tn dng ca
NHTW (FED)
FED
GDP YCHARTS
9
Ch s gi chng
khon
SPC (%) Ch s S&P500
ECONSTATS
33

10
Li sut tn phiu
kho bc M thi
hn 3 thng
TBILL
(%)
FED
11
T l n xu
(NPLs) ca h
thng NHTM M
NPL (%)
Economic Research
Federal Reserve Bank
of St.Louis
34

Ngun: Tng hp ca nhm nghin cu
2.2.2.3. c lng xc sut xy ra khng hong h thng ngn hng ti M bng
phng php tham s
M t phng php
Di y l m hnh hi quy nh phn c phn tch:
P[Y
(6)
=1] = (C
i
+
1
BOT +
2
CD +
3
CPI +
4
DCC +
5
FXRC +
6
LA +
7

M2C +
8
RBCC +
9
SPC +
10
TBILL +
11
NPL)
Trong , P[Y
(6)
=1] l xc sut xy ra khng hong h thng ngn hng sau 6
thng. iu c ngha l khi nhp s liu cc bin c lp quan st thng t th gi
tr bin ph thuc s cho ra kt qu thi im t+6. Gi tr Y=0 cho bit khng c
khng hong v ngc li gi tr Y=1 cho bit ti thng c khng hong. xc
nh gi tr ny, nhm nghin cu da trn phn tch ch s BFS trnh by trn.
Hu ht cc s liu trn u c ly vi tun sut theo thng. Nhng s liu
ch c cng b theo qu tin hnh ni suy s liu c c s liu theo thng.
Cc bin s c chuyn v phn trm thay i theo nm m bo chui bin s l
chui dng.

33
http://www.econstats.com/eqty/eqem_mi_1.htm, xem ngy 20/03/2012
34
http://research.stlouisfed.org/fred2/data/NPTLTL.txt, xem ngy 25/03/2012
52

Kt qu m hnh
Bng 7 di y trnh by kt qu ca phn tch hi quy nh phn m hnh
Probit. Phn tch c da trn m hnh gin n (m hnh 1) - mi nhm ch s ch
chn 1 ch s tiu biu, m hnh y (m hnh 2) y cc bin c nu ra, v
m hnh sau khi loi b 2 bin l TBILL v CD v h s tng quan ca 2 bin ny
vi cc bin khc tng i cao.
T Bng 7 c th thy rng vic loi i mt s ch s, mc d vn m bo s
c mt ca mi nhm ch s s lm gim chnh xc ca m hnh, do McFadden R
2

gim theo, v cc bin th khng t c mc thng k c ngha. Khi xt y cc
bin th McFadden R
2
t mc 82%, v cc bin gii thch c nhiu bin c ngha
thng k. Vi mc ngha 5% th c 7/11 bin t ngha thng k bao gm tn dng
ni a/GDP, n ngoi t/c ngoi t, M2/d tr ngoi t, t l n xu, tn dng
NHTW, tng cho vay/tng tin gi v li sut tn phiu kho bc M k hn 3 thng;
vi mc ngha 10% th c 1 bin l cn cn thng mi/GDP.
Khi xt m hnh 2, nhm ch s v khu vc sn xut v ti khon vng lai khng
c ch s no t mc ngha nh hng ti bin ph thuc, t nhm nghin cu
rt ra nhn xt cuc khng hong h thng ngn hng M trong giai on ny mang
nguyn nhn t khu vc cng, khu vc ti chnh v ti sn vn m khng mang nguyn
nhn t sn xut hay thng mi.
53

Bng 7: Kt qu m hnh Probit cnh bo sm khng hong h thng ngn hng
ti M (2000-2011)
M hnh 1
Gin n
M hnh 2
y
M hnh 3
iu chnh
C -0.630322
(0.3269)
26.30510
(0.1032)
-14.13682
**
(0.0015)

BOT 62.67504
(0.6898)
-2969.331
*
(0.0516)

-1665.717
**
(0.0201)

CPI ----------- -33.59229
(0.2842)
6.717190
(0.6867)
DCC -0.118255
(0.4381)
0.517686
**
(0.0124)

0.189556
(0.3203)
FXRC ----------- -0.156398
(0.1588)
-0.120372
(0.1891)
LA ----------- 11.26331
**
(0.0031)

1.930971
*
(0.0915)

M2C 0.035505
(0.4426)
-0.360989
**
(0.0024)

-0.244644
**
(0.0122)

NPL ----------- 1.016487
**
(0.0026)

1.684503
**
(0.0000)

RBC 0.085477
**
(0.0212)
-0.092450
**
(0.0076)

-0.040575
*
(0.0744)

CD ----------- -39.78752
**
(0.0212)

-----------
SPC 0.012855
(0.6631)
-0.083770
(0.1145)
-0.060293
(0.2097)
TBILL ----------- -1.930322
**
(0.0141)

----------
N=0 104 104 104
N=1 28 28 28
N 132 132 132
McFadden R
2
0.079219 0.824383 0.708482
Mean dependent variable 0.212121 0.212121 0.212121
S.D dependent variable 0.410368 0.410368 0.410368
Probability (LR stat) 0.055338 0.000000 1.1E-16
(*: mc ngha thng k 10%, **: mc ngha thng k 5%)
Ngun: Tnh ton ca nhm nghin cu
54

Sau khi rt bin CD v TBILL ra khi m hnh 2, th McFadden R
2
gim xung,
m hnh mi khng hiu qu bng m hnh c t kt lun tm thi c a ra rng
2 bin cho vay/tin gi (CD) v li sut tn phiu 3 thng (TBILL) cng l 2 bin quan
trng ti vic d bo khng hong.
Tc ng ca cc bin i vi vic tng/gim xc sut xy ra khng hong ngn
hng c tng hp trong Bng 8.
Bng 8: Tc ng ca cc ch s ti xc sut xy ra khng hong ngn hng ti M
Ch s Tc ng ti xc sut xy ra
khng hong
Cn cn thng mi/GDP Tng
Tng cho vay/tng tin gi ti cc NHTM Gim
Ch s gi tiu dng Tng/gim
Tn dng ni a ca cc NHTM/GDP Tng
D tr ngoi t Gim
N ngoi t/C ngoi t Tng
M2/D tr ngoi t Gim
Tn dng ca NHTW Gim
Ch s gi chng khon Gim
Li sut tn phiu kho bc k hn 3 thng Gim
T l n xu (NPLs) Tng
Ngun: Tng hp ca nhm nghin cu
Tm li, t m hnh 2, phng trnh xc nh xc sut xy ra khng hong da
trn nhng bin c ngha thng k c a ra nh sau:

55

P[Y
(6)
=1] =(26.30509975 - 2969.331496*(-0.004051)-
33.59228673*0.025914+0.5176862057*DCC-
0.1563984197*0.202138+11.2633105*LA - 0.3609888936*M2C + 1.016487312*NPL
- 0.09245019593*RBC - 0.08376971308*0.039210 - 1.93032239*TBILL -
39.78751714*CD)
Tm li: T vic c lng xc sut xy ra khng hong h thng ngn hng ti M s
dng m hnh Probit, mt s ch sau c rt ra:
- T l n xu (NPLs) l mt ch s mi v hot ng tt vi gi tr Pro rt
thp trong c 2 m hinh 2 v 3. Vic thm bin NPL ci thin gi tr McFadden R
2
ca m hnh t 79% ln hn 82%.
- Nhn chung, m hnh ca M hot ng kh tt khi a ra c cc giai on
khng hong trng khp vi din bin thc t v vic c lng xc sut khng hong
t ngha thng k cao.
2.3. Bi hc kinh nghim rt ra t thc tin xy dng m hnh cnh bo
sm khng hong h thng ngn hng thng mi ti n v M
2.3.1. Ch s v ngnh ngn hng cn c xc nh thng qua cc ri ro h
thng v iu chnh nhng tc ng ngn hn
Vic nghin cu thc tin xy dng ch s v ngnh ngn hng ca hai nc
n v Hoa K cho thy ch s BSF c th xc nh chnh xc giai on cng
nh mc ca cuc khng hong th vic xy dng cn thc hin theo cc bc sau:
- Cn xc nh r nhng ri ro m h thng NHTM ang phi i mt t c
th la chn cc bin phn nh chnh xc dng trong ch s BSF;
- Do ch s BSF s dng thay i % theo nm ca cc bin nn s liu v cc
bin nn c iu chnh lm pht (theo WPI hoc CPI) trnh nhng tc ng mang
tnh thi v ca cc ch s.
2.3.2. La chn mc ngng xc nh khng hong linh hot
Vic la chn mc ngng xc nh khng hong l rt quan trng. Trong
nghin cu u tin v ch s BSF, tc gi Kibritciouglu la chn mc ngng l
56

0.5. Tuy nhin, trong trng hp ca n , mc ngng xy ra khng hong c
la chn bng lch chun ca tt c cc gi tr BSF trong mu. Thc t cho thy
mc ngng ny ca mi nc so vi mc 0.5 l khc nhau. C th n , c hai
mc ngng ca BSF-1 v BSF-2 u nh hn 0.5. Ngc li M, 2 mc ngng
u ln hn 0.5. Nh vy c th thy, mi quc gia, mc bin ng trong tnh n
nh ca h thng NHTM l khng ging nhau. Do , nn chn mc ngng l
lch chun ca cc gi tr BSF c th phn nh ng hn thc trng pht trin v s
n nh ca h thng NHTM ca quc gia ang xem xt.
2.3.3. Vic s dng m hnh Probit c lng xc sut khng hong pht
huy tc dng
Vic xy dng m hnh Probit c lng xc sut khng hong h thng ngn
hng n v M cho thy m hnh ny c th hot ng tt trong vic d bo
khng hong ngn hng. Vi ca s cnh bo l 6 thng, c 2 m hnh u t mc
ngha thng k trn 80%. Cng vi , kt qu ca 2 m hnh trn gip a ra c
m s bin gii thch c th d bo tt khng hong ngn hng, l: tn dng ni a
ca NHTM/GDP; M2/d tr ngoi t; tn dng ca NHTW; cho vay/tng tin gi; li
sut tn phiu k hn 3 thng; t l n xu v t s n ngoi t/c ngoi t.
Kt qu ny cng kh trng khp vi kt qu ca nhm tc gi Juzhong Zhuang
khi thc hin xy dng m hnh cnh bo sm phi tham s khng hong tin t v
khng hong ngn hng p dng cho ng
35
. Theo , 5 ch s d bo tt nht i
vi m hnh khng hong ngn hng l t l tng ti sn n ngoi t ca khu vc ngn
hng/tng ti sn c ngoi t, d tr ngoi t tnh theo thng nhp khu, li sut thc
ca M, t l n nc ngoi ngn hn/d tr ngoi t, v t l thay i li sut thc ca
ng ni t trong vng 12 thng.


35
ADB, 2005. Cc c ch cnh bo sm khng hong ti chnh p dng cho khu vc ng , trang 67.

57

CHNG III. GII PHP XY DNG M HNH CNH BO SM KHNG
HONG H THNG NGN HNG THNG MI TI VIT NAM DA
TRN KINH NGHIM TH GII

3.1. Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn
hng thng ti Vit Nam
3.1.1. Thc trng h thng ngn hng thng mi Vit Nam
Trong nhng nm 90 ca th k trc, h thng ngn hng Vit Nam cn kh
khp kn v b chi phi bi cc ngn hng thuc khu vc nh nc vi 80% tng ti
sn thuc v 4 ngn hng quc doanh ln. Tuy nhin, hin nay, vi tng trng
mnh sau khi m ca hi nhp, h thng NHTM Vit Nam t c mt s thnh
tu nht nh nh gia tng s NHTM, tng cng c vn iu l cng nh ti sn,
tng tn dng cho nn kinh t cng lun tng trng mnh trong nhiu nm qua. Tuy
nhin, nhn chung, h thng NHTM nc ta vn gp phi nhng hn ch sau y:
Th nht, h thng ngn hng cn pht trin kh khim tn so vi cc nc
trong khu vc v Th gii. Mc d tng v c s lng ngn hng v ti sn, tuy
nhin, nu so snh vi cc ngn hng trong khu vc th quy m ti sn v ch s sinh
li ca cc NHTM Vit Nam vn cn kh nh. Bn cnh , h thng NHTM nc
ta cng cha t c s pht trin n nh cn thit. C th, theo Bo co v pht
trin ti chnh 2011 ca Din n kinh t Th gii WEF th ch s pht trin ti chnh
nm 2011 ca nc ta ch ng th 50/60 quc gia (tng ng vi 3/7 im). Ch s
n nh ti chnh t 3.6/7 im, trong ch s n nh h thng ngn hng t 4.3
im (xem Bng 9).


58

Bng 9: Tng hp ch s pht trin ti chnh ca Vit Nam nm 2011
Ch s Xp hng (trn 60) im s (trn 7)
Pht trin ti chnh 50 3.0
n nh ti chnh 53 3.6
n nh tin t 43 3.3
n nh h thng ngn hng 36 3.4
Ri ro khng hong n quc gia 52 2.8
Ngun: Din n kinh t Th gii WEF, 2011. Bo co pht trin kinh t.
36

Th hai, mc khng minh bch trong h thng ngn hng ca nc ta cn
rt cao. Thc vy, hin rt kh c th nh gi y v tnh hnh ti sn ca khu vc
ngn hng Vit Nam do thiu thng tin v cc ch s cho php phn tch c ri ro h
thng nh: mc vn ha, cht lng ti sn c, d phng, thanh khon, cn bng
tng kt ti sn bng ngoi t, t sut sinh li. Vic thiu thng tin chc chn v mc
vn ha v cht lng ti sn hin l mt tr ngi cho vic tin hnh nh gi tnh
hnh mt cch y do hai yu t phn tch trn cho php nh gi c tnh hnh
cng thng c th xy ra i vi h thng ngn hng ca cc nc mi ni.
Theo t chc xp hng tn dng Standard and Poors (S&P) th cc tiu chun
v khung chnh sch ca Vit Nam cn thiu cc tiu chun quc t v NHTW d b
tn thng trong chnh cc tha thun ca mnh. Vic hu ht cc ngn hng khng
cng b bo co ti chnh kp thi, v thng khng y , chi tit tc ng tiu
cc n vic iu hnh v minh bch ha thng tin trong h thng ngn hng nc
ta.
37


36
ng dn: <http://www3.weforum.org/docs/WEF_FinancialDevelopmentReport_2011.pdf>, xem ngy
31/03/2012.
37
Din n kinh t Vit Nam, 10/11/2011. S&P: H thng ngn hng Vit Nam c tnh ri ro cao nht
ng dn: <http://vef.vn/2011-11-10-s-and-p-he-thong-ngan-hang-vn-co-rui-ro-cao-nhat>. [Truy cp ngy:
01/04/2012]
59

Th ba, vic gim st v qun l ca NHTW cn bc l nhiu im thiu st.
Hin nay, b my gim st ti chnh ca nc ta hot ng da trn m hnh phn tn
trn c s th ch. Theo , NHNN s c chc nng gim st hot ng ca cc t
chc tn dng. T ngy 30/07/2009, NHNN chnh thc cng b quyt nh thnh
lp c quan thanh tra, gim st ngn hng trc thuc NHNN tng cng kh nng
gim st cc NHTM ca mnh. Tuy nhin, hot ng gim st ca NHNN vn cn rt
nhiu hn ch c v khu gim st t xa v gim st ti ch. Kt qu l, NHNN vn
khng th qun l cht ch c hot ng cp tn dng v u t ca mt s NHTM.
Mt phn l do ca vn ny chnh l cng ngh thu thp thng tin cho vic gim
st t xa cn rt lc hu.
Theo Bo co v pht trin ti chnh ca Din n kinh t Th gii (WEF)
th ch s v cht ch ca tiu chun kim ton, k ton ca nc ta xp hng th
59/60 v ch trn Ukraine. Nh vy c th thy, chnh nhng hn ch trong khung php
l, cng ngh v tiu chun an ton hot ng khin cho vic qun l v gim st
ca NHNN i vi hot ng ca cc NHTM tr nn km hiu qu v khng nhy
bn.
Th t, h thng bo him tin gi hot ng cha thc s hiu qu. Khng
th ph nhn rng, BHTG l mt cng c cn thit v hiu qu trong vic hn ch
nhng ri ro cho c ngi gi tin v cc NHTM, ng thi lm gim thiu mc
nghim trng ca mt cuc khng hong ngn hng mang tnh h thng. Tuy nhin
hin nay, c nhiu kin cho rng mc BHTG nc ta cn qu thp. C th, mc
BHTG ti a ch dng 50 triu ng (tng ng khong $2.500) cho mi c nhn
gi tin. Nu so snh vi mc bo him mt quc gia cng khu vc nh Philippines
th mc bo him ny ch gn bng 1/5 (mc bo him ca Phillipines l 500.000 Peso,
tng ng vi $12.000). Thm vo , mc tnh ph bo him ng hng 0,15% trn
tng s d tin gi theo quy nh hin nay cha thc s hp l, v khng phn bit quy
m, hnh thc s hu, cng nh mc ri ro ca t chc tn dng tham gia bo him.
60

Bn cnh , a v php l ca c quan BHTG nc ta hin nay (DIV) vn cn
thp v nc ta cha ban hnh Lut BHTG. ng thi, nng lc ti chnh ca DIV vn
cn rt hn ch. Thm vo hot ng gim st hot ng ca DIV cng cn gp
nhiu kh khn cng thm nhn thc cha cao ca ngi gi tin v vai tr ca BHTG
nn gy ra nhiu tr ngi trong h thng BHTG nc ta.
3.1.2. Thc trng xy dng m hnh cnh bo sm khng hong h thng ngn
hng thng mi Vit Nam
Trong phm vi nghin cu, ti cho rng thc t Vit Nam cha c bt k
m hnh cnh bo sm khng hong ngn hng no c p dng mt cch chnh thc,
v cng cha c c quan, t chc no chu trch nhim trong vic nghin cu v xy
dng m hnh cnh bo sm khng hong ngn hng p dng cho nc ta.
V pha cc c nhn nghin cu: Tuy mt s cng trnh nghin cu trong nc
tng cp n m hnh cnh sm nh bi nh gi, d bo v cc bin php
phng nga khng hong tin t v h thng ngn hng ca nhm V Th Kim
Thanh, cng b trong din n Kinh t v Ti chnh hp ln th 7 nm 2008, hay M
hnh cnh bo sm v chnh sch hng ti n n kinh t v m ca Nguyn Kim
Ln, nhng cc bi nghin cu ny mi ch dng li vic phn tch khng hong tin
t ni chung, ng thi xem xt m hnh cnh bo c p dng cc nc khc,
m cha i su v tm hiu m hnh cnh bo sm khng hong cho h thng ngn
hng ti Vit Nam.
V pha NHNN: Ngy 25/11/2008, NHNN ra Quyt nh 2851/Q-NHNN
thnh lp V D bo v thng k tin t. V D bo, thng k tin t c thnh lp
tham mu cho Thng c NHNN thc hin cng tc d bo v thng k tin t. Theo
iu 2 ca Quyt nh ny th V D bo, thng k tin t s c nhim v thu thp,
phn tch v x l cc thng tin t cc t chc tn dng, th trng ti chnh tin t.
phn tch, d bo din bin tin t, lm pht, tng trng kinh t v cn cn thanh
61

ton quc t ca Vit Nam. Nh vy, nhim v d bo ca V vn cha bao gm cc
din bin trong hot ng ngn hng, m c th l khng hong h thng NHTM.
3.2. S cn thit xy dng m hnh cnh bo sm khng hong h thng
ngn hng thng mi ti Vit Nam
nc ta hin nay vn cha chnh thc xy dng c mt h cnh bo sm
khng hong cho nn kinh t ni chung v ngnh ngn hng ni ring. c bit, vi
c im ca mt nn kinh t ang pht trin, b chu nhiu tc ng bi cc yu t
quc t, vic xy dng mt m hnh cnh bo sm khng hong, c bit l khng
hong h thng ngn hng cho Vit Nam l rt cp thit bi hai l do:
Mt l, s bt n ca c h thng ngn hng s gy ra tn tht rt ln cho cc
nc xy ra khng hong cng nh cc nc b nh hng lin i. K t nm 1970,
c hn 100 cuc khng hong ngn hng xy ra 93 nc (Caprio v Honohan,
2001). Mt na trong s xy ra cc nc ang pht trin, chi ph t khu vc cng
gii quyt khng hong ln n 10% hoc cao hn so vi GDP ca cc quc gia
chu khng hong. Vit Nam hin nay, tuy cha xy ra mt cuc khng hong ngn
hng chnh thc nhng vic lun phi i mt vi nhiu ri ro khin h thng
NHTM nc ta lun trong trng thi khng an ton v vn ti cu trc ton b
h thng tr nn rt ng quan tm.
Hai l, nu ch cn c vo nhng ch s ch s th trng truyn thng v tin t
v nhng ri ro mc nh thng s khng a ra c nhiu tn hiu bo trc v mt
cuc khng hong tim n. c bit, vic d bo nhng yu km tng ngn hng ti
cc nn kinh t mi ni cng c nhng hn ch do tnh cht cha hon thin ca cc
chun mc k ton v h thng bo co, vic phn loi cc khon n xu (NPLs)
khng cht ch, cc quy nh khng hp l v cc khon d phng tn dng, cc hot
ng gim st theo lut khng c thc thi hiu qu, th trng vn khng c tnh
thanh khon v pht trin th s rt kh khn trong vic xc nh gi tr ca ngn hng
nhm tch bit vi gi tr theo s sch.
62

Ba l, m hnh cnh bo sm khng hong h thng NHTM, nu hot ng tt,
s gip Chnh ph a ra c nhng chnh sch kp thi v ng n, gp phn hn
ch kh nng xy ra mt cuc khng hong.
Do c th thy vic xy dng mt m hnh hot ng hiu qu trong vic
cnh bo sm khng hong h thng ngn hng Vit Nam l v cng cn thit.
3.3. Gii php xy dng m hnh cnh bo sm khng hong h thng ngn
hng thng mi ti Vit Nam
3.3.1. La chn m hnh cnh bo sm khng hong h thng ngn hng
thng mi ti Vit Nam
Thng qua nghin cu xy dng m hnh cnh bo sm khng hong h thng
NHTM ti u trong Chng I cng nh kinh nghim xy dng m hnh ti hai nc
n v M trong Chng II ti nhn thy m hnh BSF tham s ph hp
c xy dng ti Vit Nam trong vic cnh bo sm khng hong h thng ngn hng
vi nhng l do sau:
Mt, i vi mt nc cha chnh thc xc nhn bt k mt cuc khng hong
ngn hng no nh Vit Nam, ng thi nhng s kin lin quan n vn khng
hong ngn hng cn kh xc nh, s thun li hn nu s dng ch s BSF xc
nh cc giai on khng hong thay v dng phng php da trn s kin.
Hai, phng php c lng xc sut khng hong phi tham s c chng
minh l khng t hiu qu cao trong vic cnh bo khng hong ngn hng. Tuy
nhin, khi s dng phng php tham s a ra cnh bo khng hong ngn hng
cho 2 nc n v M th phng php ny pht huy c tnh hiu qu cao.
3.3.2. Xy dng ch s xc nh cc giai on khng hong
3.3.2.1. Xc nh nhng ri ro h thng ca ngnh ngn hng Vit Nam
Trc khi tin hnh xy dng v tnh ton ch s v ngnh ngn hng Vit
Nam xc nh cc giai on khng hong, vic tm hiu v nhng ri ro m h
63

thng NHTM nc ta ang phi i mt l rt quan trng. Nhn chung, h thng
NHTM nc ta ang phi i mt vi 04 loi ri ro chnh sau y:
i. Ri ro thanh khon
C th ni, h thng ngn hng Vit Nam lun i din vi ri ro thanh khon,
c bit trong nm 2011 vi mc nghim trng v ko di, khin cc mc li sut
lun mc cao nht trong khu vc. Cho n cui thng 8 nm 2011, li sut cho vay
trung bnh k hn 1 nm ca Vit Nam cao gp 3 ln mc li sut tng ng ca Trung
Quc v cc nc ASEAN (ngoi tr Indonesia) (Biu 7).
Biu 7: Li sut huy ng ca Vit Nam v mt s nc trong khu vc

Ngun: International Financial Statistics, 2012
38

V pha cc NHTM, iu kin kinh doanh thun li trong nhng nm gn y
lm ny sinh t tng ch quan, tng trng tn dng qu nng trong khi li bung
lng chnh sch qun l ri ro lm mt cn i trong c cu ti sn. C th, t l tn
dng trn huy ng ca Vit Nam nm 2010 l 130.7% (Biu 8), cao hn nhiu so
vi cc nc khc trong khu vc v c xu hng tng so vi nm 2009.

38
ng dn: < http://elibrary-data.imf.org/DataReport.aspx?c=1449311&d=33120&e=170185>, xem ngy
20/03/2012.
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
2008 2009 2010 2011 Q1 2011 Q2 2011 Q3 2011 Q4
%

Thi Lan
Indonesia
Singapore
Trung Quc
Malaysia
Vit Nam
64

Biu 8: So snh cc ch s cho vay/tin gi, cho vay/ti sn, cho vay/GDP ca
h thng NHTM mt s quc gia nm 2010

Ngun: Business Monitor International, 2011. Bo co v NHTM Vit Nam
39

Vi c trng ca mt nn kinh t mi ni, tc tng trng tn dng v huy
ng ca Vit Nam lun mc cao trn 20% trong sut giai on 2000 2010. Mc
tng trung bnh cho tn dng, huy ng v GDP trong giai on ny ln lt l 31,55%,
28,91% v 7.15%, trong nh im l nm 2007 vi tng trng tn dng 53,89% v
huy ng 47,64%. Tc cung tin M2 trong giai on 2005 2010 cng t trung
bnh 29,19%. y l mt trong nhng nguyn nhn dn n tnh trng bong bng ti
sn m nhiu nc mi ni nh Vit Nam mc phi khi ngun vn chy vo cc lnh
vc c ri ro cao nh bt ng sn, lm tng mc ri ro thanh khon ca ngn hng.
ii. Ri ro tn dng

39
< http://www.vietnam-report.com/wp-content/uploads/downloads/2012/02/B-VN-Banking-Q4-2011.pdf>, xem
ngy 03/04/2012.
0
50
100
150
200
250
300
Cho vay/ Tin gi
Cho vay/ Ti sn
Cho vay/ GDP
65

Do nh hng ca vic tng trng tn dng cao, n xu lun l mt trong
nhng vn ni cm ca ngnh ngn hng Vit Nam t trc ti nay, trong c
hai vn chnh cn ch :
Th nht, s khc bit trong phn loi n theo chun Vit Nam (VAS) v chun
quc t (IAS):
Hu ht cc NHTM ti Vit Nam hin nay u phn loi n da vo nh lng
m thiu i phn nh tnh nh tnh hnh ti chnh, kt qu sn xut kinh doanh ca
doanh nghip. iu ny dn n vic phn loi n khng phn nh thc cht khon n.
Ngoi ra, mt s ngn hng Vit Nam cn bin nghip v gia hn n, vn l
mt nghip v bnh thng ca ngn hng, thnh mt hnh thc gim t l n xu
ca mnh do n gia hn khng c tnh vo n xu. Chnh v vy, s chnh lch gia
phn loi n xu theo VAS v IAS ngy cng ln.
Th hai, n xu ca h thng NHTM nc ta ang gia tng. V nguyn nhn
khch quan, do nh hng ca khng hong ti chnh 2008, kinh t Vit Nam giai on
2009 2011 gp nhiu kh khn, thm vo l ngh quyt s 11/NQ-CP ca Chnh
ph vo thng 2 nm 2011, yu cu tht cht tin t, nh hng khng nh n tnh
hnh sn xut kinh doanh ca doanh nghip. Theo b k hoch v u t, trong 9 thng
u nm 2011, c n 4700 doanh nghip gii th, vi s vn ng k kinh doanh vo
34.000 t ng, tng p lc n xu cho ngnh ngn hng.
V ch quan, do tng trng tn dng nng, cng vi cht lng qun l tn
dng khng tt ca cc NHTM Vit Nam l nguyn nhn chnh dn n s gia tng
ca n xu trong thi gian qua. c bit, giai on 2006 2007, s tng trng qu
nng ca th trng chng khon v th trng bt ng sn, cng vi mc tiu tng
trng nhanh ca nhiu ngn hng, th trng ny ht mt lng tn dng khng l,
to ra p lc v n xu cho cc NHTM.
Mt khc, cc ngn hng phi i mt vi ri ro o c ca i tng i vay.
Tn dng cho khu vc doanh nghip nh nc chim khong 30% tng d n ang i
66

mt vi nguy c ri ro o c cao hnh vi thiu trch nhim vi cc khon vay chi
phi thp.
iii. Ri ro t gi hi oi
Vic tham gia cc giao dch ngoi hi ngy cng gia tng t cc NHTM
trc nguy c ri ro t gi do s bin ng ca t gi v do cc ngn hng thng
xuyn khng cn bng v trng thi ngoi t.
Biu 9: T l huy ng vn v tn dng bng ngoi t ti NHTM Vit Nam
2005-2010

Ngun: Bo co ca NHNN nm 2010
T Biu 9, ta c th nhn thy t trng ca tn dng v huy ng vn bng
ngoi t ngy cng tng, do , sc nh hng ca bin ng t gi cng ngy cng
ln. Tuy Vit Nam p dng ch t gi th ni c iu tit, vi s bao bc ca
NHNN, nhng thi gian qua, t gi bin ng vt ngoi s kim sot, khin khng
t ngn hng gp kh khn.
iv. Ri ro li sut
Thng 6 nm 2002, NHNN Vit Nam chnh thc chuyn sang thc hin c ch
li sut tho thun trong hot ng tn dng thng mi bng ng Vit Nam ca t
chc tn dng i vi khch hng, to nn cuc chin li sut gia cc ngn hng,
ng thi bin li sut thnh nhn t nhy cm vi bin ng ca tnh hnh kinh t.
67

in hnh l 09 thng u nm 2008, khi li sut c bn tng t ngt t 8.75% (thng
2) n 12% (thng 6) ri 14% (thng 7), cuc ua li sut huy ng bng n, nhiu
NHTM, c bit cc ngn hng nh c nguy c mt thanh khon lin tc tng li
sut huy ng vi cc k hn di, tuy nhin sau li sut gim mnh, khin cho
nhng ngn hng ny chu ri ro li sut khi nm gi cc khon tin gi vi li sut
huy ng cao trong khi ch c th cho vay theo mt bng li sut mi thp hn hn.
Trn l thuyt, cn mt s ri ro m cc ngn hng c th gp phi nh ri ro vn
hnh, ri ro chnh tr,Mc d, nhng ri ro ny cha c hoc cha ng k h
thng ngn hng Vit Nam nhng vic tnh n cc ch tiu ri ro ny cng l iu m
cc nh hoch nh nn quan tm.
3.3.2.2. Xy dng ch s v ngnh ngn hng ti Vit Nam
T vic phn tch nhng ri ro m h thng NHTM ca Vit Nam ang phi i
mt, nhm nghin cu a ra xut v vic xy dng ch s v ngnh ngn
hng theo thng cho h thng NHTM Vit Nam nh sau:

Tng t, cng thc BSF(Vn)-2 cng c xy dng bng vic loi b i bin
tng tin gi:

Trong :
Dep
t
: Thay i tng tin gi thc t theo nm ti tt c cc NHTM ti thng t
(%);
68

Cred
t
: Thay i tng tn dng theo nm ca NHTM cho khu vc t nhn ti
thng t (%);
FCL
t
: Thay i tng cc khon n bng ngoi t theo nm ca tt c cc
NHTM ti thng t (%);
FCA
t
: Thay i tng ti sn bng ngoi t theo nm ca cc NHTM ti thng t
(%);
Resv
t
: Thay i d d ngoi t theo nm ca cc NHTM ti thng t (%);
NI
t
: Thay i tng thu nhp rng theo nm ca cc NHTM ti thng t (%);
: Gi tr trung bnh ca cc bin s theo thng;
: lch chun ca cc bin s theo thng;
Trong , bin tng tin gi ti cc NHTM s biu hin cho ri ro thanh khon;
bin tng tn dng s biu hin cho ri ro tn dng; ba bin tng n bng ngoi t, c
bng ngoi t v d tr ngoi t ca h thng NHTM s biu hin cho ri ro t gi.
Ring bin tng thu nhp rng s biu hin cho ri ro li sut ca h thng ngn hng.
Do gp nhiu kh khn trong vic tm kim s liu theo thng nn ti cha
th tnh ton c ch s v ngnh ngn hng ca Vit Nam trong mt gian on
ko di v lin tc nh lm vi M. Tuy nhin, da vo mt s d liu thu thp
c t Qu tin t Quc t IMF, hai ch s BSF(Vn)-1 v BSF(Vn)-2
40
cho thng 12
ca cc nm t 2005-2009 v 10 thng u nm 2010 c tnh ton. Kt qu c
trnh by trong Biu 10.

40
Tuy nhin, do khng tm c s liu v d tr ngoi t v thu nhp rng ca NHTM nn hai ch s BSF ca
Vit Nam trong tnh ton ca nhm tc gi ch cn gm c 5 v 4 bin cn li.
69

Biu 10: Ch s v ngnh ngn hng ca Vit Nam qua mt s thng

Ngun: Tnh ton ca nhm nghin cu
Nhn xt:
Th nht, ngnh ngn hng Vit Nam c th tri qua mt s bt n nh vo
cui nm 2005, khi m ch s BSF(Vn) thi im ny t m. Tuy nhin, s bt n
ny ch dng mc trung bnh (v mc ngng xc nh l 0.46). n cui nm 2008,
ngnh ngn hng Vit Nam cng chng kin mt s bt n tng t. iu ny c
gii thch l do tc ng tiu cc t th trng ti chnh bn ngoi do xy ra cuc
khng hong ti chnh ton cu t gia nm 2008. Tuy nhin sang n u nm 2010,
ngnh ngn hng ca nc ta t mc n nh kh cao.
Th hai, hai ng ch s BSF(Vn)-1 v BSF(Vn)-2, mc d bin ng cng
chiu nhng li c khong cch tng i xa nhau. Nh vy c th thy vic rt vn
t ra khi h thng ngn hng ti nc ta c th gy ra nhng tc ng mnh m n
hot ng ca cc NHTM. iu ny c nhm tc gi nhn nhn di 2 gc sau:
H thng BHTG nc ta cn cha hiu qu;
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
D
e
c
-
0
5

M
a
r
-
0
6

J
u
n
-
0
6

S
e
p
-
0
6

D
e
c
-
0
6

M
a
r
-
0
7

J
u
n
-
0
7

S
e
p
-
0
7

D
e
c
-
0
7

M
a
r
-
0
8

J
u
n
-
0
8

S
e
p
-
0
8

D
e
c
-
0
8

M
a
r
-
0
9

J
u
n
-
0
9

S
e
p
-
0
9

D
e
c
-
0
9

M
a
r
-
1
0

J
u
n
-
1
0

S
e
p
-
1
0

C
h

B
S
F

BSF(Vn)-1
BSF(Vn)-3
70

minh bch trong h thng ngn hng trong nc cn rt thp, do s tin
tng ca dn chng vo h thng ngn hng ni a cn cha cao.
3.3.3. La chn cc ch s cnh bo
i vi mt nn kinh t cn non tr nh nc ta, s n nh ca ngnh ngn
hng khng ch b chi phi bi nhng yu t trong nc m cn chu s nh hng bi
nhng tc ng t nn kinh t ton cu. Vic la chn bin gii thch cho m hnh cnh
bo sm khng hong h thng ngn hng ti Vit Nam c xem xt di 4 yu t
chnh sau:
i. Cn cn ti khon vng lai
Trong giai on 2000 -20011, cn cn xut nhp khu ca Vit Nam lun
tnh trng thm ht. Vit Nam l nc nhp siu trong c giai on, iu ny gy bin
ng ln trong vic chi ngoi t v cn i vn ca cc NHTM cn bng vi cung
cu ngoi t phc v hot ng xut nhp khu, h thng ngn hng d ri vo tnh
trng mt kh nng thanh khon ngoi t.
ii. Cn cn ti khon vn
H thng NHTM thiu ngun ngoi t c lng ha bng s tng ln ca t
l ti sn n ngoi t/ti sn c ngoi t. Ngoi ra, vic NHNN buc phi bn ngoi t
trn th trng tin t cho cc NHTM m bo thanh khon gy p lc ln i
vi d tr ngoi hi quc gia, y l ngun ti sn quan trng duy tr tnh thanh
khon cho th trng ngoi hi cng nh iu tit lng cung ngoi hi ca h thng
ngn hng thng mi khi tn dng tng trng qu nng.
iii. Khu vc ti chnh
Chnh sch tin t l mt trong nhng cng c tc ng trc tip v nhanh
chng ti khu vc ngn hng. NHNN lin tc iu chnh trn li sut huy ng v cho
vay i vi NHTM trong giai on 2000 -2011, gy nh hng mnh m ti tc
71

tng trng tn dng ca khu vc ngn hng, c c th ha thng qua lng cung
tin t M2, tng tin gi v t l cho vay/ tin gi ca h thng ngn hng.
Thm vo , tng trng tn dng qu nng trong khu vc ngn hng giai on
ny cng a n nhng ri ro khng nh trong cht lng ti sn c ca ngn hng,
c phn nh rt r nt qua ch s n xu (NPLs).
iv. Khu vc sn xut
Hot ng ca thng NHTM Vit Nam bao gm nhiu nghip v lin quan n
th trng chng khon nh c bo lnh pht hnh chng khon, t doanh chng
khon (mua bn c phiu, tri phiu doanh nghip), mi gii chng khon, thng
qua cc cng ty con, nghip v trc tip cp tn dng i vi nhng khon u t v
kinh doanh chng khon nhm a dng ha danh mc u t ca mnh v m rng li
nhun. V vy, nhng bin ng bt ng ca th trng chng khon hay chnh l s
bin ng ca ch s gi chng khon lun l du hiu cho thy nhng ri ro khn
lng i vi nn kinh t ni ring v hot ng ngn hng ni chung.
v. Nn kinh t ton cu
K t nm 2000 n 2011, t gi danh ngha USD/VND c NHNN cng b
lun tng cao, thiu n nh. iu khin t gi mua vo v bn ra USD ca NHTM
lun bin ng rt mnh. ng thi, Vit Nam lun trong tnh trng nhp siu cao, l
p lc rt ln y t gi ln cao, VND mt gi kh mnh so vi USD cng lm gia tng
p lc trong vic m bo cn i vn ngoi t trong hot ng kinh doanh ca h
thng NHTM.
Thm vo , gi vng trong nc tng rt mnh vi nhiu bin ng theo xu
hng ca th gii, rt nhiu phin giao dch t nh gy nh hng ln ti kh
nng huy ng vn ca NHTM.
72

T nhng phn tch trn cng vi nhng kinh nghim xy dng m hnh ca n
v M, cc ch s xy dng m hnh BSF tham s cho Vit Nam c a ra
nh sau:
Bng 10: Cc ch s cho m hnh cnh bo khng hong h thng ngn hng Vit Nam
Khu vc kinh t Cc ch s d bo
Cn cn ti khon vng lai Cn cn thng mi/GDP
T gi thc hiu dng ca VND
Cn cn ti khon vn D tr ngoi t
Ti sn n ngoi t/ti sn c ngoi t ca khu
vc ngn hng
M2/d tr ngoi t
Khu vc ti chnh Tn dng ni a/GDP
T l cho vay/ tng tin gi ti cc NHTM
Trn li sut huy ng
T l n xu/ tng cho vay (NPLs)
Khu vc sn xut Ch s gi chng khon
Ch s gi tiu dng
Kinh t ton cu Tc tng gi vng th gii
Ngun: Tng hp ca nhm nghin cu
3.3.4. c lng xc sut khng hong
Do gp kh khn trong vic thu thp cc s liu vi tn sut theo thng ca
cc bin gii thch m bo s lng quan st ln cho m hnh Probit, ng thi
cha tnh ton c mt chui ch s BSF trong khong thi gian lin tc di nn
ti cha th tin hnh c lng xc sut khng hong ngn hng cho Vit Nam.
Tuy nhin, qua nhng kinh nghim c c trong vic nghin cu m hnh cnh bo
ca n cng nh xy dng m hnh cho M, m hnh hi quy Probit gm 12 bin
gii thch c la chn phn 3.3.2 c xut xy dng. M hnh s s
dng ca s cnh bo 6 thng. Tt c cc bin s s c ly theo tun sut thng.
73

Nhng bin s s theo nm hoc qu s c ni suy ra theo thng. Cc ch s s c
bin i v thay i % theo nm m bo chui ch s l chui dng.
M hnh hi quy c a ra l:
P[Y
(6)
=1] = (C
i
+
1
BOT +
2
CD +
3
CPI +
4
DCC +
5
FXRC +
6
LA +
7

M2C +
8
IN +
9
VNI +
10
NPL +
11
GG +
12
REER)
Tc ng d kin ca cc bin s ti xc sut xy khng hong trong m hnh
c tng hp trong nh sau:
Bng 11: Tc ng d kin ca cc bin s ti xc sut khng hong ngn hng
ca Vit Nam
Ch s Tc ng d kin ti xc sut
xy ra khng hong
Cn cn thng mi/GDP BOT Tng
Tng cho vay/tng tin gi ti cc
NHTM
CD Tng
Ch s gi tiu dng CPI Tng/gim
Tn dng ni a ca cc NHTM/GDP DCC Tng
D tr ngoi t FXRC Gim
N ngoi t/C ngoi t LA Tng
M2/D tr ngoi t M2C Gim
Trn li sut huy ng IN Tng
Ch s gi chng khon VNI Gim
T l n xu (NPLs) NPL Tng
Tc tng gi vng th gii GG Tng
T gi thc hiu dng ca VND REER Tng
Ngun: Tng hp ca nhm nghin cu
74

3.4. Kin ngh iu kin thc hin m hnh cnh bo sm khng hong ngn
hng ti Vit Nam
3.4.1. i vi Chnh ph
Cho n thi im hin ti nc ta vn cha c mt nh hng c th cho
vic xy dng m hnh cnh bo sm khng hong h thng ngn hng. Bn cnh vic
ln l trnh ti cu trc h thng ngn hng vi mc tiu t nm 2013 n nm 2015 s
tp trung vo vic nng cao cc hiu qu an ton, tun th cc chun mc quc t v
cng c xy dng cc nhm ngn hng lnh mnh c sc lm tr ct cho hot
ng ngn hng trong nc, Chnh ph cng cn a ra c nh hng xy dng
mt m hnh cnh bo sm khng hong h thng NHTM gip ton b h thng
ngn hng trong nc hiu v nm bt c tm quan trng trong vic xy dng mt
m hnh cnh bo hiu qu v cp thit. Nh , vic hin thc ha m hnh cnh bo
mi c th din ra mt cch thun tin v nhanh chng, gp phn vo cng cuc ti cu
trc h thng NHTM trong nc cng nh thc y s pht trin lnh mnh v bn
vng ca h thng ngn hng.
3.4.2. i vi Ngn hng Nh nc
3.4.2.1. Thng nht cc quy nh trong vic x l v cng b thng tin ca cc
ngn hng thng mi
Hin nay nc ta vn ang tn ti song song hai h thng k ton p dng cho
cc doanh nghip v NHTM. Mc d NHNN khuyn khch vic s dng h thng
k ton theo tiu chun quc t, tuy nhin, vn c nhiu NHTM trong nc s dng
cc tiu chun k ton ca Vit Nam (VAS) trong vic tnh ton v cng b thng tin,
ch s, mc d so vi tiu chun quc t, VAS cn kh nhiu im cha hon thin. V
vy, to s ng b trong vic x l thng tin gia cc NHTM, NHNN nn ban
hnh quy nh chung v vic s dng cc tiu chun k ton trong h thng ngn hng
m bo tnh chnh xc v thng nht trong cc thng tin c cng b t h thng
NHTM.
75

Thm vo , vic kim nh tnh hiu qu ca m hnh s thc hin tt hn nu
nh c s tham gia ca nhiu bin gii thch. Do , c th nng cao kh nng cnh
bo sm khng hong ngn hng ca m hnh, NHNN cng cn ban hnh quy nh c
th v nhng thng tin, ch s m cc NHTM cn phi cung cp NHNN c th c
c mt ngun bin s cn thit phc v cho m hnh cnh bo.
3.4.2.2. Hon thin cng tc gim st cc ngn hng thng mi
Thanh tra, gim st ngn hng cn c ci thin hot ng ca c quan ny
khng ch n thun l gim st cc hot ng hin ti ca cc NHTM m cn phi
pht hin ra nhng hn ch v ri ro ang tim n trong h thng, ng thi a ra
c nhng nhng du hiu cnh bo sm di gc nhn ca c quan thanh tra gim
st.
NHNN cng cn c nhng bin php v chnh sch quyt lit hn trong vic
iu hnh c ch qun l, gim st hot ng ca cc NHTM, c bit trong vic cp
tn dng cho cc lnh vc mang tnh ri ro cao nh bt ng sn v chng khon; v
qun tr ri ro ca cc NHTM. t c hiu qu cao trong hot ng gim st,
NHNN nn xy dng mt khung php l r rng cho hot ng gim st t xa, phn
nh r chc nng ca cc b phn trnh gy ra nhng chng cho trong vic
qun l v thc thi nhim v. Thm vo , cht lng ca hot ng gim st t xa
cng s c ci thin nu nh xy dng c b ch tiu gim st ph hp vi thc
trng pht trin ca h thng NHTM nc ta, song cng khng tch ri khi cc chun
mc quc t; p dng cc cng ngh tin tin trong qu trnh thu thp thng tin; nng
cao cht lng phn tch v x l cc ch tiu,
Bn cnh , hot ng thanh tra v gim st ca NHNN cng cn c thc
hin mt cch thng nht v cng bng i vi tt c cc NHTM, khng phn bit v
quy m ln hay nh; khi NHTM quc doanh v c phn. Ch c nh vy, nhng
ngun thng tin thu v t c quan gim st mi c chnh xc cao, phc v cho vic
76

xy dng mt m hnh cnh bo sm khng hong h thng ngn hng hot ng hiu
qu.
3.4.2.3. a ra l trnh xy dng m hnh cnh bo sm khng hong h thng
ngn hng thng mi
Da vo nhng nh hng ca Chnh ph trong vic xy dng m hnh cnh
bo sm khng hong h thng NHTM, NHNN cn c th ha nh hng bng vic
a ra mt l trnh cho vic xy dng mt m hnh c th hot ng tt ti Vit Nam.
Giai on nghin cu, NHNN cn nghin cu k lng v nhng m hnh cnh
bo khng hong h thng ngn hng c p dng trn th gii v kim nh tnh
ph hp ca m hnh i vi h thng NHTM nc ta.
Giai on th nghim, sau khi chn la c mt m hnh ph hp vi h
thng NHTM trong nc, NHNN cn xy dng mt m hnh th nghim hot ng
trong mt khong thi gian di nh gi mc chnh xc v hiu qu ca m
hnh xy dng trong vic cnh bo khng hong.
Giai on p dng: y l giai on m m hnh s c p dng vo thc t
v hot ng nh mt nhim v c nh ca NHNN trong vic d bo v hn ch ri ro
ca khng hong. c th hon thin hn m hnh, NHNN cn thnh lp mt trung
tm d bo khng hong ring, vi chc nng nh mt b my vn hnh m hnh.
Trung tm d bo khng hong c xut nh sau (Hnh 3):
V mt t chc: y l c quan trc thuc V D bo, thng k tin t, trc
thuc NHNN v di s iu hnh ca Chnh ph.
V mt hot ng: Trung tm s thu thp, x l thng tin v p dng m hnh
cnh bo c th gip NHNN a ra c nhng chnh sch v hnh ng ph hp.
Trung tm s a ra cnh bo theo thng, vi ngng cnh bo sm t 6-12 thng.
Nhng kt qu cnh bo ny s c trnh ln NHNN t NHNN s ra quyt nh
iu hnh chnh sch v hnh ng c th ph hp.
77

V mt cu to: Trung tm d bo sm khng hong s gm 3 b phn chnh l:
B phn cnh bo nh tnh, B phn cnh bo nh lng v B phn khuyn ngh
chnh sch.
- B phn cnh bo nh tnh s c 2 nhim v chnh l thu thp d liu cc
bin s cho m hnh cnh bo v s dng m hnh c lng xc sut khng hong.
Cc bin s s c ly t 5 khu vc l: ti khon vng lai, ti khon vn, khu vc ti
chnh, khu vc sn xut, khu vc ti chnh cng v kinh t ton cu. D liu c tng
hp t ngun d liu ca Tng cc Thng k v V d bo v thng k tin t ngn
hng. B phn cnh bo nh tnh c th p dng nhiu m hnh khc nhau d bo
khng hong. Thm vo , cc bin s cng c th c thay i cho ph hp vi
tng giai on.
Hnh 3: Trung tm d bo khng hong ngn hng theo xut

Ngun: Nhm nghin cu
Chnh ph
Ngn hng Nh nc
V D bo, thng k tin t
Trung tm cnh bo sm khng hong ti chnh-ngn
hng
B phn cnh bo nh tnh
Thu thp d liu bin
s
c lng xc sut
khng hong
B phn cnh bo tnh lng
B phn phn tch
th trng quc t
B phn phn tch th
trng ni a
B phn khuyn ngh
chnh sch
78

- B phn cnh bo nh lng gm 2 b phn nh l phn tch th trng quc
t v phn tch th trng ni a. Hai b phn ny s nh k cung cp cc bn bo co
v din bin, tnh hnh ca c 2 th trng quc t v ni a; phn tch nhng ri ro v
tc ng ca th trng quc t ti th trng trong nc.
- B phn khuyn ngh chnh sch s tng hp kt qu t c 2 b phn cnh bo
nh tnh v nh lng v xut chnh sch ln NHNN, gip NHNN a ra chnh
sch phn ng mt cch kp thi v ng n.
3.4.3. i vi h thng ngn hng thng mi
i vi vic xy dng mt m hnh cnh bo sm khng hong h thng
NHTM th bn thn cc NHTM l nhng ch th c c li ch trc tip nht. Tuy
nhin, m hnh hot ng mt cch hiu qu th bn thn cc NHTM cng phi
thc c trong vic to ra c mt ngun d liu u vo tt cho m hnh.
3.4.3.1. Nng cao mc chnh xc v minh bch trong cng b thng tin
M hnh cnh bo ch c th hot ng hiu qu v c ngha khi nhng s liu
tnh ton phn nh chnh xc thc trng ca nn kinh t v h thng ngn hng. Mc d
NHNN l c quan cng b hu ht cc s liu cn s dng trong m hnh, tuy nhin
NHTM mi l cc ch th trc tip cung cp cc thng tin v s liu NHNN tng
hp. V vy, phi m bo rng, ngay t khu u tin, cc s liu v thng tin u
m bo c mc chnh xc v minh bch nht nh.
thc hin c iu ny, cc NHTM cn tm kim nhng gii php nng
cao mc chnh xc ca cc thng tin cng b. Mt gii php c a ra l cc
NHTM c th thnh lp b phn kim ton ni b trong chnh ngn hng ca mnh,
xy dng mi quan h gia thanh tra ngn hng, kim ton ni b v kim ton c
lp. Thm vo , cc NHTM nn c trch nhim trong vic cng b cc thng tin mt
cch kp thi v chnh xc hn thng qua vic thc hin nghim tc cc quy nh, yu
cu ca Chnh ph v NHNN trong vic cung cp cc thng tin v tnh hnh hot ng
79

ca bn thn ngn hnh. Hn na, cc NHTM cng nn la chn vic p dng cc tiu
chun k ton kim ton tin tin, chnh xc v ph hp hn.
3.4.3.2. Nng cao cht lng qun tr ri ro
Cht lng qun tr ri ro cn yu km ca cc NHTM chnh l nguyn nhn
lm gia tng thiu chnh xc trong cc thng tin c cng b. ng thi, vic cha
nhn thc r c tm quan trng ca qun tr ri ro trong ni b ngn hng s gy ra
nhng thiu st trong vic xc nh v nh gi mc nguy him ca nhng ri ro.
V th, n c th lm gim tnh hiu qu ca m hnh cnh bo khng hong trong vic
c th qun tr ri ro hiu qu, cc NHTM cn ch xy dng v thc hin
cc khung qun tr, chin lc, chnh sch qun l v bo co v ri ro mt cch ng
nht theo chun mc v qun tr ri ro. Cc ngn hng cn t chc tt khu phn tch
v d bo th trng, nh gi cc ri ro c th xy ra trong tng quy trnh nghip v,
ng thi p dng cc tin b v khoa hc cng ngh t c s chnh xc v chi
tit hn.











80

KT LUN
i vi h thng NHTM Vit Nam hin nay, vic ti cu trc h thng c
xem nh l mt vn rt cp thit. Hot ng trong mt nn kinh t cn non tr, mc
d cha chnh thc xc nhn bt k mt cuc khng hong mang tnh h thng no,
nhng ngnh ngn hng nc ta ang phi i mt vi rt nhiu ri ro v thch thc.
Do vy, ngn nga cng nh gim thiu c hu qu m mt cuc khng hong h
thng ngn hng c th gy ra trong tng lai, ngnh ngn hng nc ta cn xy dng
c mt m hnh cnh bo sm khng hong h thng ngn hng hiu qu, nm trong
h thng cnh bo sm quc gia.
Vi mc ch tm ra c mt m hnh cnh bo sm khng hong h thng
NHTM c th p dng c cho Vit Nam da trn kinh nghim ca mt s nc trn
th gii, nhm nghin cu tin hnh thc hin ti mang tn xut xy dng
m hnh cnh bo sm khng hong h thng ngn hng thng mi ti Vit Nam
da trn kinh nghim th gii. Trong qu trnh nghin cu, nhm thu c mt
s kt qu sau:
- Th nht, ti h thng ha cc vn l lun tng quan v khng hong
ngn hng v cc m hnh cnh bo sm khng hong h thng NHTM trn th gii.
T vic so snh cc m hnh, mt m hnh ti u c a ra.
- Th hai, nhm nghin cu thc tin p dng m hnh cnh bo sm khng
hong h thng NHTM ti n v tin hnh xy dng, kim nh m hnh cnh bo
tng t cho Hoa K.
- Th ba, ti a ra c cc gii php xy dng m hnh cnh bo sm
khng hong h thng NHTM ti Vit Nam da trn kinh nghim th gii.
Do tnh cht hn ch v quy m nghin cu ca sinh vin, kh khn trong vic
tm kim nhng ngun d liu quan trong phc v vic kim nh m hnh cnh bo
sm ti Vit Nam nn ti ch dng vic xut mt m hnh cnh bo sm cho
khng hong h thng NHTM nc ta. Hy vng rng, kt qu nghin cu s l mt
81

ti liu tham kho hu ch gp phn vo vic nghin cu, xy dng v hon thin m
hnh cnh bo sm v khng hong h thng NHTM ni ring v h thng cnh bo
sm quc gia ni chung; t c th a ra c nhng d bo hu ch v quan
trng h tr cc c quan chc nng a ra nhng chnh sch kp thi v cn thit.


















82

DANH MC TI LIU THAM KHO
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