Quản trị rui ro ngan hang

2
RI RO TN DNG TRONG
HOT NG KINH DOANH
NGN HNG
HC VIN NGN HNG
KHOA NGN HNG
3
Ni dung chng trnh
Bui 1:
Khi nim v cc nh hng ca RRTD
Cc ch tiu tnh ton RRTD
Nguyn nhn gy ra RRTD (khch quan)
Bui 2 :
Nguyn nhn gy ra RRTD (ch quan)
Qun tr RRTD (trit l chin lc chnh
sch)
4
Ni dung chng trnh
Bui 3.
Cc du hiu nhn bit RRTD
Nhng tnh hung c bit !!!!!!!!
o lng RRTD khch hng c nhn doanh
nghip
Bui 4: S dng cng c phi sinh phng nga
v hn ch
Gii thiu cc cng c phi sinh
S dng cng c hon i, cng c quyn chn, cng
c tng lai
Nghin cu cc tnh hung

5
Ni dung chng trnh
Bui 5:
Cc bin php phng nga ri ro tn dng khc
Cc bin php x l RRTD
Nghin cu cc tnh hung
6
Nhng vn c bn v RRTD
Khi nim RRTD
Cc loi RRTD
nh hng ca RRTD i vi hot ng NH
Cc ch s nh gi RRTD
Nguyn nhn gy ra RRTD
7
Tnh trng kh x ca khon vay
T xa, nhng ngi cho
vay lun i hi nhng
bo m chc chn cho s
hon tr n vay. Kh khn l
mc d h c quyn ng k
khi thng lng trc khi
k hp ng cho khon vay,
nhng ngi vay th c li
hn mt khi tin c gii
ngn.
8
Ri ro tn dng l g?
Khon l tim tng vn c c to
ra khi ngn hng cp tn dng
Nhng thit hi, mt mt m NH
gnh chu do ngi vay vn hay
ngi s dng vn khng tr ng
hn, khng thc hin ng ngha v
cam kt trong hp ng TD v bt k
l do g
9
Cc loi RRTD v nh hng
Ri ro ng vn
Ri ro mt vn
nh hng n KH s dng vn
Gy cn tr v kh khn cho vic
chi tr ngi gi tin
Tng chi ph
NQH v n kh i
Chi gim st
Chi ph php l
CF gim st
V
TD
gim
DT chm li hoc mt
Kh nng SL gim Mt gc
Thc hin d tr
10
Phi thc hin nhiu khon cho vay mi
to thu nhp thay th cho vn gc mt
S tin cho vay ban u 3000
Thi hn cho vay tnh theo tun 46
S tr n hng tun 75
Thu n thc t (14 tun) 1050
S n kh i (32 tun) 2400
Tng s thu b mt 2400
Thu t li b mt 312
N gc b mt 2088
Thu nhp kim t mi khon vay 1000 cho 46 tun 150
S mn vay cn thit b p khon vay mt 2400/150 =16
khon vay 1000
11
Cc ch s nh gi RRTD
Tnh hnh n qu hn
T l NQH =
S d NQH
Tng d n
T l KH c NQH =
S KH qu hn
Tng s KH c d n
12
N qu hn!!!

N qu hn l thc o
quan trng nht nh gi
s lnh mnh th ch. N
tc ng ti tt c cc lnh
vc hot ng chnh ca
ngn hng
13
Cc ch s nh gi RRTD
Tnh hnh RR mt vn
T l d phng RRTD =
D phng RRTD c trch lp
D n cho k bo co
Mt vn xa cho k bo co
T l mt vn =
D n trung bnh cho k bo co
14
Cc ch s nh gi RRTD
Kh nng b p ri ro
HS kh nng b p cc khon
CV b mt
D n b tht thot
HS kh nng b p RRTD =
NQH kh i
=
15
Ti sao ngn hng cn thu n nhanh chng v kp thi
365
ngy
240 ngy
120 ngy
90 ngy
60 ngy
30 days
89%
10%
50%
70%
80%
95%
0 100 200 300 400
# ngy qu hn T l hon tr
16
Cc nguyn nhn gy ra
RRTD
Nguyn nhn khch quan
Nguyn nhn t pha
ngn hng
Nguyn nhn t TSB
Nguyn nhn t pha
khch hng
17
Nguyn nhn khch quan (PEST)
Politics: nguyn nhn t chnh tr -
php lut
Trng hp Suharto Indonesia
Cc khon cho vay chnh sch c thc
hin bi NHTM
Lut php thng xuyn thay i
Lut khng nht qun, mu thun, khng
r rng: Lut t ai,
18
Nguyn nhn khch quan (PEST)
Economics: Mi trng kinh t
Vn chu k kinh t
Vn lm pht
Vn tht nghip
Vn t gi .

Hot ng ca doanh nghip KH c
nhn

ng vn hoc mt vn
19
Tho lun tnh hung
Vit Nam ang giai on no ca chu k
kinh t????
20
Nguyn nhn t pha khch hng
Khch hng

Ngn
hng
Nh cung
cp
Khch
Hng
tiu dng
Khng
thanh ton
hoc thanh
ton chm
Rt cc khon cho vay.
Tht bi ngn hng
Khng thanh ton
Khng thanh ton
Khng giao hng
Giao hnh chm
Hng ha di tiu chun
Khng giao hng
Giao hnh chm
Hng ha di tiu chun
21
Nguyn nhn t pha ngn hng
Chnh sch tn dng khng hp l
Vn trong thm nh tn dng
vn o lng RRTD
Vn trong gim st tn dng
Vn ri ro o c ca cn b tn
dng
Vn trong p dng cc cng c
phng chng ri ro tn dng
22
Nguyn nhn t pha bo m tn dng
Gi c bin ng
Kh nh gi
Tnh kh mi thp, ti
sn chuyn dng
Tranh chp v php l
23
Nguyn nhn t pha bo m tn
dng
Mt kh nng ti chnh
Ti sn gim gi tr, thay
i hin trng ..
24
Nhng trng hp qu hn phc tp
V d minh ha
25
Kinh doanh/Cng nghip: 4 khch sn ln
an Mch
Thi gian: 1989

Vn :
- V tr khng thch hp
- T l t phng thp
- Chi ph cao (tng i so vi cc mc chun)
- Hot ng qun l khng tp trung vo li nhun
- Khng c li nhun trc li vay
- Khng c kh nng tr n vay

26
Kinh doanh/Cng nghip: 4 khch sn ln
an Mch
Nhng hnh ng c thc hin bi ngn hng
Tt c cc khch sn c ngn hng mua li qua u gi bt buc
Thnh lp mt cng ty iu hnh hot ng ca 4 khch sn
Thay i ban qun l
Thit lp chc nng t ch v chc nng mua
Tham gia m phn vi cc cng ty bo him, nh thu dn v sinh,
nh cung cp vi lanh.
Thc hin k ton tp trung
Tham gia tip th trong nc v ngoi nc

Kt qu
Ci thin ng k t l t phng, gim chi ph v doanh thu tng
Kh nng sinh li c nng cao ng k
Cng ty qun l khch sn c bn cho ban qun l sau 2 nm
Sau b sung c mt s khch sn vo chui khch sn
Nm 1999, chui khch sn c bn cho mt t hp khch sn quc
t ln.
Gii php thc hin lm gim ng k l ca ngn hng
27
Kinh doanh/Cng nghip:
Khu ngh mt The 7 Islands
"The 7 Islands" Khu ngh mt, 350 nh tranh, nh hng, nhng phng
tin hi tho, ca hng, khu ht thuc, sn th thao, cng, sn golf, etc.
s xy dng trn 7 hn o nhn to

Thi gian: 1989

Vn :
- Nhng ngi nh tranh khng th bn nh d kin ban u ca
ngi vay
- T l t phng thp hn nhiu so vi k hoch
- C thm i th cnh tranh gia nhp th trng
- Chi ph hot ng cao hn so vi k hoch
- Chi ph bo dng cao hn nhiu so vi k hoch
- Hng nm, cn phi gia c rt tn km do cht lng xy dng ca
khu ngh mt ti.
- Nh thu xy dng b ph sn
- Hu qu l: b l hng nm v cc khon vay ca ngn hng khng
c thanh ton
28
Kinh doanh/Cng nghip:
Khu vc ngh mt The 7 Islands
Cc hng ng c thc hin
Vai tr qun l c chuyn giao cho ngn hng qua vic thnh
lp mt cng ty iu hnh bt ng sn khng c chuyn giao
C cu li hot ng: tp trung tip th trong v ngoi nc, mua
t bn ngoi ton b cc lnh vc kinh doanh ngoi tr chc nng
bn bng v chc nng t phng
C hai giai on di, ton b khu vc c cho thu lm nh
cho ngi t nn v lm trng hc
Ngn hng c mt i din tham gia Hi ng qun tr

Kt qu
Ci thin kt qu hot ng
Tuy nhin, do chi ph gia c v chi ph bo dng chung, trong
hu ht cc nm hot ng, ny sinh thiu ht
Ngn hng mt ton b s d n

29
Kinh doanh/cng nghip: Hu ht cc loi
Thailand

Thi gian: 1997
Vn :
- Trong cuc khng hong Chu c s gim st gh
gm v doanh s bn hng
- Cc cng ty thng khng s dng s tin vay ngn hng
theo ng qui nh, m dng vo vic u c bt ng sn
Hot ng c thc hin:
- Cc ngn hng chuyn nghip tr gip khc hng ca
h trong vic ti c cu ti chnh v hot ng, bao gm
vic gim qui m.
- nh gi hot ng qun l v nu c th th thay i ban
qun l
Kt qu:
Trong nhiu trng hp tng c kh nng sinh li, v
nng lc tr n ca khch hng tng v v vy gim
c thit hi tim tng
30
Cc du hiu
phi ti chnh
Khon cho vay
Cc du hiu
ti chnh
31
Cc du hiu ti chnh
Cc ch s thanh khon
cho thy du hiu suy yu
C cu vn
khng hp l
Cc vng quay hot ng
th hin s suy yu
Cc ch s kh nng sinh li
cho thy du hiu suy yu
32
Cc du hiu phi ti chnh
Du hiu lin quan n ngn hng
Gim st mnh s d tin gi
Cng n gia tng
Mc vay thng xuyn
Yu cu khon vay vt qu nhu cu d kin
Chp nhn s dng ngun ti tr li sut cao
Chm thanh ton n gc v li cho ngn hng
33
Cc du hiu phi ti chnh
Du hiu lin quan n phng php qun l vi KH
C s thay i v c cu NS trong h thng qun tr
Xut hin s bt ng trong h thng iu hnh
t kinh nghim, xut hin nhiu hnh ng nht thi
Thuyn chuyn nhn vin qu thng xuyn
Tranh chp trong qu trnh qun l
Chi ph qun l bt hp php
Qun l c tnh gia nh

34
Du hiu vn k thut v thng mi
Kh khn trong pht trin sn phm mi, hoc
khng c sn phm thay th
Nhng thay i chnh sch ca NN
Sn phm c tnh thi v cao
C biu hin ct gim chi ph
Thay i trn th trng v li sut, t gi, mt KH
ln, vn th hiu

35
Du hiu v x l thng tin ti chnh
S gia tng t l khng cn i n
Chun b s liu ti chnh khng , tr hon np
bo co
Kh nng tin mt gim
Phi thu tng nhanh v thi hn thanh ton n ko
di
Kt qu KD l
C tnh lm p BCTS bng TS v hnh
36
Du hiu phi ti chnh khc
C s xung cp ca c s kinh doanh
Hng tn kho tng do khng bn c, h hng,
lc hu
C s k lut vi cn b ch cht
37
Qun tr RRTD
Trit l v vn ha qun tr RRTD
Chin lc qun l RRTD
Chnh sch cho vay v th tc cho vay
Kim sot tn tht cho vay
Chnh sch nh gi khon vay
Nhng vn v o c v mu thun
li ch
o lng RRTD
38
o lng RRTD
M hnh
nh lng
o lng
RRTD
M hnh
nh tnh
39
M hnh nh tnh

Phn tch tn dng
Kim tra tn dng

40
5 Yu t xem xt trong phn tch Tn dng
Vn
Danh ting
Ti sn
m bo
iu kin
Nng lc
41
Nm ch C
T cch (Character)
Ting tm ca cng ty, thin tr n v lch s tn
dng ca cng ty. Tui i ca cng ty l mt thc
o tt nhng khng th da hon ton vo iu ny.
Vn (Capital)
ng gp ca cc ch s hu v cc t s n
Nng lc (Capacity)
Nng lc tr n.
Ti sn th chp (Collateral)
Gi tr ca ti sn th chp l bao nhiu trong trng
hp khng tr c n.
Chu k hoc cc iu kin kinh t (Cycle)
Trng thi ca chu k kinh doanh
42
Kim tra tn dng
Tin hnh kim tra tt c cc loi tn dng theo nh k nht nh 30, 60, 90 ngy
Xy dng k hoch, chng trnh, ni dung qu trnh kim tra thn trng v chi tit,
bo m nhng kha cnh quan trng nht c kim tra
Kim tra cc thng xuyn cc khon tn dng ln
Kim tra thng xuyn cc khon tn dng c vn
Kim tra nhng ngnh ngh c du hiu suy thoi
43
M hnh im s
M hnh xc sut tuyn tnh
M hnh phn bit tuyn tnh
44
M hnh xc sut tuyn tnh
Chia cc khon vay c thnh 2 nhm: nhm ri ro
mt vn (Z
i
=1) v nhm khng ri ro (Z
i
=0)
Thit lp mi quan h gia nhm ny vi nhn t
nh hng tng ng (X
ij
)
M hnh: Z
i
= B
j
X
ij
+ sai s
B
J
: phn nh mc quan trng ca ch tiu th j
45
Z = 1,2X
1
+ 1,4X
2
+3,3X
3
+0,6X
4
+0,99X
5

X
1
= TSL/Tng TSC
X
2
= Li nhun tch ly/tng TSC
X
3
=LNTT&L/Tng TSC
X
4
=gi th trng VTC/gi tr k ton ca khon n
X
5
= doanh thu/Tng TSC
46
Z>3: ngi vay khng c kh nng v n
1,8>Z>3: khng xc nh c
Z<1,8: ngi vay c kh nng ri ro
47
V d h thng im s ca
NHTM ti Vit Nam
48
Cc ch tiu mc 1:
1.Tin n, tin s
Khng 25
Ch vi phm lut l giao thng 20
C, trong vng 20 nm 0
C, ngoi 20 nm 15
49
Cc ch tiu mc 1
2.Tui
18-25 0
25-55 20
>55 10
3.Trnh hc vn
Trn i hc 20
i hc 15
Trung hc 5
Di trung hc -5
50
Cc ch tiu mc 1
4. Thi gian cng tc
Di 6 thng 5
6 thng 1 nm 10
1 5 nm 15
> 5 nm 20
5.Thi gian lm cng vic hin ti
Di 6 thng 5
6 thng 1 nm 10
1 5 nm 15
> 5 nm 20

51
Cc ch tiu mc 1
6.Ngh nghip
Chuyn mn 25
Th k
15
Kinh doanh 5
Ngh hu 0
7.Tnh trng c tr
Ch/t mua 30
Thu
12
Vi gia nh khc 5
Khc 0
52
Cc ch tiu mc 1
8.c cu gia nh
Ht nhn 20
Sng vi cha m 5
Sng cng 1 gia nh ht nhn khc 0
Sng cng nhiu gia nh ht nhn -5
9.S ngi n theo
c thn 0
Di 3 ngi 10
T 3 5 ngi 5
Trn 5 ngi -5
53
Cc ch tiu mc 1
10.Thu nhp hng nm ca c nhn
Trn 120 triu ng 30
36-120 triu ng 20
12 36 triu ng 5
Di 12 triu ng -5
11.Thu nhp hng nm ca gia nh
Trn 240 triu ng 30
72-240 triu ng 20
24 72 triu ng 5
Di 24 triu ng -5

54
Quyt nh TD
CBTD s dng bng trn chm
KH < 0 im -> b loi
KH > 0 im -> tip tc chm bc 2

55
Cc ch tiu mc 2
1.T trng vay vn:
0%
25
0 20%
10
20-50% 5
Trn 50% -5
2.Tnh hnh tr n vi NH
Khng p dng 0
Cha bao gi chm tr
20
Cha ln no chm tr trong 2 nm 5
c ln chm tr trong 2 nm -5
56
Cc ch tiu mc 2
3.Tnh hnh chm tr li
Khng p dng 0
Cha bao gi chm tr 20
Cha ln no chm tr trong 2 nm 5
c ln chm tr trong 2 nm -5
4.Tng d n hin ti
Di 100 triu ng 25
100 200 triu ng 10
500 1000 triu ng 5
Trn 1000 triu ng -5

57
Cc ch tiu mc 2
5.Cc dch v khc
Ch gi tit kim 15
Ch s dng th 5
Tit kim v th 25
Khng c g -5
6.Loi ti sn th ch
Ti khon tin gi 25
Bt ng sn 20
Xe c, my mc, c phiu 10
Khc 5
58
Cc ch tiu mc 2
7. Kh nng thay i gi tr TSTC
0% 25
1%-20% 5
21-50% 0
Trn 50% - 20
8. Gi tr TSTC so vi gi tr vn xin vay
>150% 20
120 150% 10
100-120% 5
<100% -5
59

60

61
M hnh im s doanh nghip
Bc 1: thu thp thng tin
Bc 2: phn loi doanh nghip theo ngnh
Bc 3: phn loi theo quy m
Bc 4: xy dng ch tiu phn tch c bn
Bc 5: xy dng bng tnh im
Bc 6: tng hp kt qu tnh im
Bc 7: a h thng xp hng ri ro tn dng doanh
nghip
Bc 8: so snh kt qu phn tch, xp hng qua cc nm
62
Bng theo quy m
TT Tiu thc Tr s im
1 Vn kinh doanh T 50 t ng tr ln 30
T 40 t n 50 t 25
T 30 t n 40 t 20
T 20 t n 30 t 15
T 10 t n 20 t 10
Di 10 t 5
63
Bng theo quy m
TT Tiu thc Tr s im
2 Lao ng T 1500 ngi tr ln 15
T 1000 ngi n 1500 12
T 500 n 1000 9
T 100 n 500 6
T 50 n 100 3
Di 50 1
64
Bng theo quy m
TT Tiu thc Tr s im
3 Doanh thu thun T 200 t ng tr ln 40
T 100 t n 200 t 30
T 50 t n 100 t 20
T 20 t n 50 t 10
T 5 t n 20 t 5
Di 5 t 2
65
Bng theo quy m
TT Tiu thc Tr s im
4 Np ngn sch T 10 t ng tr ln 15
T 7 t n 10 t 12
T 5 t n 7 t 9
T 3 t n 5 t 6
T 1 t n 3 t 3
Di 1 t 1
66
Bng tnh im theo ngnh cng nghip quy m ln
Ch tiu A B C D
Kh nng thanh ton ngn hn 2 1,4 1 0,5
Kh nng thanh ton nhanh 1,1 0,8 0,4 0,2
Vng quay hng tn kho 5 4 3 2,5
K thu tin bnh qun 45 55 60 65
Hiu qu s dng ti sn 2,3 2 1,7 1,5
N phi tr/tng ti sn (%) 45 50 60 70
N phi tr /VCSH (%) 122 150 185 233
NQH/tng d n NH 0 1 1,5 2
Tng thu nhp trc thu/doanh thu (%) 5,5 5 4 3
Tng thu nhp trc thu/ TSC (%) 6 5,5 5 4
Tng thu nhp trc thu/ VTC (%) 14,2 13,7 13,3 13
67
Cch tnh im
T A v pha tri 5 im
Sau A n B 4
Sau B n C 3
Sau C n D 2
T sau D v pha phi 1
68
im trng s
Ch tiu
Kh nng thanh ton ngn hn 2
Kh nng thanh ton nhanh 1
Vng quay hng tn kho 3
K thu tin bnh qun 3
Hiu qu s dng ti sn 3
N phi tr/tng ti sn (%) 3
N phi tr /VCSH (%) 3
NQH/tng d n NH 3
Tng thu nhp trc thu/doanh thu (%) 2
Tng thu nhp trc thu/ TSC (%) 2
Tng thu nhp trc thu/ VTC (%) 2
69
H thng xp hng RRTD
im
Loi

Ni dung
117
135
AA Loi ti u: hot ng rt tt, c trin vng rt cao v ri ro thp
98
116
A Loi u: kinh doanh c hiu qu, ti chnh lnh mnh, c tim nng pht
trin
79
97
BB Loi cao: c hiu qu tuy nhin c hn ch nht nh v ngun lc ti
chnh v nhng nguy c tim n
60
78
B Loi trung bnh: hot ng cha hiu qu, kh nng t ch ti chnh
thp, nguy c tim n
41
59
CC Loi di trung bnh: hot ng thp, ti chnh yu km, thiu kh nng
t ch ti chnh
Di
41
C Loi yu km: thua l ko di, c nguy c ph sn
70
Cc bin php ngn nga v hn ch ri ro
Nng cao cht lng cng tc thm nh v
PTTD
S dng bo m ti sn chc chn
Ch trng cng tc thu thp thng tin
Thc hin tt vic gim st tn dng v xp
hng khch hng
Phn tn ri ro
S dng cc nghip v phi sinh
71
Phn tn ri ro
Thu nhp d tnh
R
P
= X
i
R
i

Ri ro d tnh
p
2
=X
i
2
i
2
+X
i
X
j
ij
Trong :
R
i
: thu nhp ca doanh nghip I
X
i
: t trng ca khon vay th I

ij
:mc lin quan ca bin ng thu nhp ca doanh nghip
I v doanh nghip j

72
V d minh ha
Yu cu:
Xc nh mc sinh li ca hai cng ty trn trong tng lai
Xc nh mc ri ro ca hai cng ty trn
Xc nh ri ro ca danh mc cho vay bao gm hai cng ty trn
Xc nh danh mc cho vay ti u gm 2 cng ty trn
T gi l 17000 T gi l 16500 T trng
Cng ty xut khu A 15 t 7 t 50%
Cng ty nhp khu B 9 t 13 t 50%
Kh nng t gi thay i 50% 50%
73
Xc nh danh mc ti u
E(R
A
) = 0.5 x 15 + 0.5 x 7 = 11 t
E(R
B
) = 0.5 x 9 + 0.5 x 13 = 11 t

A
2
= 0.5 x(15 11)
2
+0,5x(7-11)
2
=16

B
2
=0.5 x(9 11)
2
+0,5x(13-11)
2
=4

74
Xc nh danh mc ti u

E(R
p
) = 0.5 x 11 + 0.5 x 11 = 11 t
Cov (R
A
,R
B
) = 0,5(15-11)(9-11)+0,5(7-11)(13-
11)=-8

p
2
= 0.5
2
x4
2
+0,5
2
x2
2
+0,5x0,5x(-8)=3

75
Danh mc ti u
76
S dng cc cng c phi sinh
phng nga v hn ch ri ro
Gii thiu cc cng c phi sinh
S dng hon i tng thu nhp
S dng hon i tn dng
S dng hp ng quyn chn tn dng
S dng hp ng tng lai ch s gi c phiu
S dng hp ng quyn chn tri phiu
77
Gii thiu cc hp ng phi sinh
Hp ng k hn (forward)
Hp ng tng lai (future)
Hp ng quyn chn (option)
Hp ng hon i (swap)
78
S dng hp ng hon i tng thu nhp
Ngi
mua bo
him tn
dng
Ngi bn
bo him
tn dng
Tr khon ph theo
nh k
T l tham chiu +
mc chnh lch
79
Gii thch quy trnh
Ngi mua bo him chi tr da vo thu nhp c t vic gi mt
khon n c nhiu ri ro
Tng thu nhp ca cc khon n RR bng tng thu nhp LS v nhng
thay i v gi tr TT ca khon n .
LS khon n thay i tng ng vi kh nng v n
Ngi bn bo him tr tin da vo khon thu nhp ca mt tri
phiu khng chu ri ro v n, tr i khon n b nhn c do phi
chu s ri ro ca bn mua bo him.
Kt qu ca s hon i ny l ngi mua bo him c hng dng
thu nhp tng xng vi vic nm gi khon n y ri ro.
Vic hon i cc dng thu nhp c thc hin theo hp ng ch
khng trao i quyn s hu.
80
Credit default swap: Hon i ri ro v n
NH cn phng
chng ri ro
Ngi bn bo
him
Thanh ton 0.9%
Thanh ton nu xy
ra v n
81
Credit default swap: Hon i ri ro v n
Gii thch s :
Hp ng han i tn dng 5 nm vo thng 3
nm 2002 vi tr gi 100 triu $
NH s tr cho ngi bn bo him ph 0.9% trn
khon tin 100 triu $
Tc l 900000$ vo 1 thng 3 nm
2002,2004,2005,2006,2007
Nu xy ra tn tht tn dng, NH s c nhn bi
hon 100 triu $
82
V d minh ha thc t
Thi hn
Cng ty Xp hng 3 nm 5 nm 7 nm 10 nm
Toyota AAA 16/24 20/30 26/37 32/53
Merrill
Lynch
AA- 21/41 40/55 41/83 56/96
Ford Co A 59/80 85/100 95/136 118/159
Enron BBB+ 105/145 115/135 117/158 182/233
Nissan BB+ 115/145 125/155 200/230 244/274
83
Cc iu kin thc hin CDS
ti NHTM Vit Nam
NH cn c h thng gim st tn dng v xp hng
KH vay
NH cn lp ra b phn chuyn mn thc hin nghip
v CDS.
NH cn xy dng quy trnh thc hin nghip v
CDS mt cch hp l trn c s nhng l thuyt v
CDS.
84
Quy trnh CDS
NH vi t cch l ngi mua bo him:
Bc 1: Phn loi v xp hng khch hng vay vn
Bc 2: Cn c kt qu bc 1, chnh sch tn dng v chin
lc ca NH, xc nh cc khon vay s c bn
Bc 3: Xc nh mc ph s thanh ton cho bn bn ty vo
hng ca khon vay v tnh hnh th trng
Bc 4: Cho bn cc khon cho vay
Bc 5: K hp ng CDS v nh k thanh ton khon ph
cho bn mua v gim st cht ch tnh hnh khch hng vay
Bc 6: Yu cu bn bn bo him thanh ton gi tr khon
vay nu Ngi i vay khng tr c n (sau khi xc nh
c gi tr thu hi)
Bc 7: Kt thc lu h s
85
Quy trnh
NH vi t cch l ngi bn bo him:
Bc 1: Tip xc cc ngn hng c nhu cu bn khon cho
vay hay mua bo him
Bc 2: Thu thp thng tin v khch hng vay vn trong hp
ng tn dng m Ngn hng i phng nh bn v xc
nh kh nng thu hi, gi tr thu hi ca khon vay.
Bc 3: Xc nh mc ph s thu ty vo hng ca khon vay
v tnh hnh th trng
Bc 4: K kt hp ng CDS
Bc 5: nh k thu cc khon ph v gim st cht ch tnh
hnh khch hng vay trong hp ng tn dng
Bc 6: Thanh ton gi tr khon vay nu Ngi i vay trong
hp ng tn dng khng tr c n (sau khi xc nh
c gi tr thu hi)
Bc 7: Kt thc lu h s
86
Li ch ca hon i tn dng
Qun l danh mc ri
ro ch ng
NH d dng chuyn
i danh mc.
87
Ngi mua
bo him
tn dng
T chc
kinh doanh
quyn chn
tn dng
Tr khon ph cho hp
ng
Thanh ton nu chi
ph tn dng tng qu
mc tha thun hay
CLTD gim di
mc quy nh
Hp ng quyn chn tn dng
88
Quyn chn tn dng
Hp ng quyn chn tn dng l cng c bo v gip NH
b p nhng tn tht trong gi tr ti sn TD, gip b p
mc vn cao hn khi cht lng tn dng ca NH gim st.
V d, ICB lo lng v cht lng TD ca khon cho vay tr
gi 10 t ng, ICB c th k hp ng quyn chn TD vi
TCKD quyn chn.
Hp ng ny s ng thanh ton ton b khon vay nu nh
khon vay ny gim gi ng k hoc khng th c thanh ton
nh d tnh.
Nu KH vay vn tr n y nh k hoch, ICB s thu c
nhng khon thanh ton nh d tnh v hp ng quyn chn s
khng c s dng
89
Quyn chn tn dng
Hp ng quyn chn cng bo v NH trc ri ro
chi ph vn tng do cht lng tn dng ca NH
gim st.
V d, ACB lo lng rng mc xp hng tn dng ca n
s c th gim trc khi ACB pht hnh cc tri phiu
di hn huy ng vn -> ACB s phi huy ng tri
phiu vi LSH cao hn.
90
Quyn chn tn dng
Gii php: ACB s mua quyn chn bn vi mc chnh lch li
sut c bn cam kt trong hp ng c xc nh l mc ph bin
trn th trng hin ti p dng i vi mc RRTD hin ti ca
NH.
Hp ng quyn chn s thanh ton ton b phn chnh lch li
sut c bn thc t ( so vi mt chng khon phi ri ro) vt trn
phn chnh lch LSCB c tha thun.
ACB d tnh chi ph huy ng s cao hn TPCP l 1%.
Do s gim st cht lng tn dng, mc chnh lch LS m NH s phi
thanh ton ln ti 2% so vi li sut TPCP -> NH s c li v n m bo
ACB ch phi thanh ton gn vi mc chnh lch.
Hp ng quyn chn s khng cn hiu lc nu tnh hung ngc li

91
Mua quyn chn bn tri phiu
Quyn chn bn
Thu
nh
p
Danh mc
u t
Trng thi
nn kinh t
Xu
Tt
92

93
Bn hp ng tng lai ch s gi c phiu
Giao dch tng
lai
Thu
nh
p
Danh mc
u t
Trng thi
nn kinh t
Xu
Tt
94
Tnh hung minh ha s dng hp ng
tng lai ch s gi c phiu
Tng danh mc cho vay: 480 triu USD
Ti thi im thanh ton, gi tr 1 HTL = 290 $ x ch s chng khan
Ch s chng khan ti thi im hin ti: 1000 im
Theo d bo, nn kinh t suy thoi, Ch s chng khan gim l 20%
iu kin Phn trm tn dng
khng thu hi c
Kinh t pht trin bnh thng 0%
Kinh t suy thoi 60%
95
Chng khon ha cc khon cho vay
96
Nhng vn c bn
Lch s hnh thnh cng ngh chng khon
ha
Thc tin p dng ti mt s nc
Khi nim chng khon ha
c im ca chng khon ha
Quy trnh chng khon ha
Phn loi chng khon ha
97
Lch s hnh thnh cng ngh
chng khon ha

Ln u tin ti M nm 1968 nhm tng cng tnh thanh khon
cho th trng BS.
Mt khon vay th chp ring l c tnh lng thp hn so vi mt
t hp cc khon vay th chp
Nhm cc khon vay th chp ring l thnh hng trm nghn t
hp vay th chp t pht hnh ra cc chng khon c m
bo bng chnh nhng t hp vay th chp MBS
V d: t hp vay c gi tr 1 triu $, mi chng khon c mnh gi
25 ngn $
Nm 1983: CMO: a dng hn v li sut, thi hn v mc ri
ro
Cc loi mi: ABS, MBB, RMBS, CDO vi khi lng hng trm
ngn t $
98
Khi nim chng khon ha

Chng khon ha l qu trnh nhm cc ti sn
ti chnh c tnh lng km thnh t hp ti sn
t pht hnh ra cc chng khon c th tra i
c trn th trng.
Cc chng khon ny c m bo bng chnh
t hp ti sn ti chnh trn.
99
c im ca chng khon ha
Tnh th trng: vic mua bn phi din ra hp php, c h
thng v c th trng ring
p ng cc yu cu v cht lng ca nh u t
c phn phi rng ri
Tnh ng nht
C s tham gia ca t chc trung gian c bit

100

Cc ch th tham gia quy trnh chng
khon ha
Quy trnh pht hnh
101
Cc ch th tham gia
Nh khi to: nm gi cc TS ti chnh c s:
NHTM,
T chc pht hnh: c cu li TS ti chnh thnh
cc chng khon ha v phn hng ti sn
T chc trung gian c bit SPV: nm gi
chng khon v phn phi ra cng chng
i l dch v: theo di cc khon n v thu nhn
cc khon thanh ton gc li t ngi i vay ri
chuyn ti SPV tr cho cc nh u t
102
Cc ch th tham gia (tip theo)
n v qun l ti sn: qun l t hp cc ti sn ti chnh
v mua bn cc ti sn ti chnh
T chc tn thc: theo di vic chi tr gc v li cho nh
u t v kim tra tnh hp php ca chng t ti chnh m
nh u t nm gi
Nh bo lnh ti chnh : cam kt thanh ton gc v li cho
nh u t nu ngi i vay khng thc hin c ngha
v tr n
C quan nh mc tn nhim
Nh u t

103
SPV
Ti sn Ngun vn
C quan xp
hng tn nhim
n v qun
l ti sn
Nh Bo
lnh
T chc
pht hnh
Nh u t
i l dch v T chc tn thc
Nh ti
tr
Mua bn
ti sn
Tin
Quyn
i n
Tin
Quyn
i n
Tp hp cc
khon thanh
ton
Kim tra
104
Phn loi chng khon
MBS Mortgage backed Security: chng khon c bo
m bng th chp: c c quan NN bo lnh pht hnh
li sut c nh
CMO: - Collateralized Mortgage Obligation: tri phiu a
hng c bo m bng th chp: t hp cc khon tn
dng a c th chp lm TSB a dng v thi hn v
li sut
105
Phn loi chng khon ( tip theo)
ABS Asset Backed Security: chng khon c
bo m bng ti sn ti chnh: cho vay SV, cho
vay t ng, cho thu ti chnh, thu t th tn
dng
MBB: Mortgage Backed Bond: tri phiu c bo
m bng th chp: tri phiu c bo m

106
Vai tr ca chng khon ha
i vi th trng ti chnh
Tng cng tnh thanh khon trn th
trng ti chnh
Cung cp hng ha cht lng cho th
trng chng khon

107
i vi nh u t
M rng c hi u t
a dng ha danh mc u t
p ng cc yu cu v k hn v mc ri
ro
108
i vi ngn hng
Ci thin tnh lng ca bng cn i ti sn
Qun tr ri ro
Gip NH chuyn hng kinh doanh mt
cch nhanh chng
109
iu kin chng khon ha
iu kin php l v chnh sch v m thch hp
Xy dng khung php l nhm khi to hot ng
chng khon ha
Chun ha vic nh gi ti sn ti chnh c s vi t
cch l cc ti sn bo m cho cng c chng khon
ha.
Khun kh php l dn ti s ra i ca cc t chc
nh mc tn nhim
Xy dng lut cng b thng tin

110
S tham gia ca cc nh ch ti chnh ng vai
tr trung gian v cung cp cc dch v h tr
Hnh thnh cc SPV
T chc tn thc
nh mc tn nhim
i l dch v
111
C ch cung cp thng tin v tng
cng tn nhim
Pht hnh chng khon hng cao v cc chng
khon hng thp hn lm tng cho chng
khon hng cao
Pht hnh vi tng gi tr thp hn so vi t hp
ti sn ti chnh c s
Tng ph dch v
S dng kh c bo lnh
Bo lnh ca bn th ba
S dng LC
S dng khon k qu tin mt
112
Cc iu kin khc
Nng cao cht lng ca ti sn ti chnh c s
Nng cao nng lc qun tr ti sn ca NH
Mc chuyn nghip ca TTCK:
Thng tin phi cp nht v lun phn nh gi chng
khon
Phi c b phn ln nh u t chuyn nghip
Khng c s phn on th trng
Khng c s can thip trc tip v mang tnh hnh
chnh vo gi chng khon
113
Bin php gii quyt ri ro tn dng
Kim tra h s khon vay c vn
Gp g v tho lun vi KH
Lp k hoch hnh ng
Thc hin k hoch
Qun l v theo di thc hin k hoch
Cc bin php x l n vay c vn v x
l tn tht tn dng
114
Cc bin php x l n vay c vn v x l
tn tht tn dng

Hnh thc x l khai thc
Cho vay thm
B sung ti sn bo m
Chuyn NQH
Thc hin khoanh n, xa n
Ch nh i din tham gia qun l doanh
nghip

115
Cc bin php x l n vay c vn v x l
tn tht tn dng

Hnh thc s dng cc bin php thanh l
X l n tn ng
C TSB
Khng TSB v khng cn i tng thu
Khng TSB, cn hot ng
Thanh l doanh nghip
Khi kin
Bn n
S dng d phng RRTD
116

RI RO HI OI TRONG
HOT NG KINH DOANH
NGN HNG
Phn 2
117
KT CU CHUYN
Gii thiu chung v t gi hi oi
L lun chung v ri ro t gi trong kinh doanh ngn hng.
- Khi nim
- Nguyn nhn
- o lng v nh gi ri ro
- Bin php phng nga
- Ri ro ca cc giao dch tin t phi sinh
Ri ro t gi v phng nga ri ro t gi ti cc NHTM Vit Nam.
- H thng vn bn php l.
- Cc bin php phng nga ti NHTM Vit Nam
Mt s tnh hung ri ro t gi ca cc ngn hng
Bi tp luyn tp

118
T gi hi oi
T gi hi oi (Exchange Rate): l gi c ca mt tin t ny
c biu th thng qua mt tin t khc.

VD: VND/USD = 15920.

Tin t yt gi (Commodity Currency) v tin t nh gi (Term
Currency).

- Tin t yt gi: l tin t c n v c nh, thng l 1, 10 hoc
100.

- Tin t nh gi: l tin t c n v thay i

119
T gi hi oi (Cont.)
Cc phng php yt t gi:

- Phng php trc tip (Direct Quotation): th hin s n v ni t
trn mt n v ngoi t. Ngoi t l tin t yt gi, ni t l tin t
nh gi.
V d: Ti Tokyo 1USD = 120,34 -120,38 JPY
JPY/USD = 120,34 120,38
JPY/USD = 120,34/38

- Phng php gin tip (Indirect Quotation): th hin s n v ngoi
t trn mt n v ni t. Ni t l tin t yt gi, ngoi t l tin t
nh gi.
V d: Ti London: USD/GBP = 1,8323 -1,8329

120
T gi hi oi (Cont.)
Cc loi t gi:
- T gi chnh thc

- T gi ch en.

- T gi mua bn.

- T gi c nh, t gi th ni.

- T gi tin mt, t gi chuyn khon.

- T gi ng ca, t gi m ca.

- T gi danh ngha, t gi thc (song phng v a phng).

- T gi nghch o.

- T gi cho.
121
T gi hi oi (Cont.)
K hiu t gi hi oi:

- Cch 1: VND/USD = 16020
1USD = 16020 VND

- Cch 2: USD/VND = 16020
1USD = 16020 VND.

Thng nht cho ton b bi ging cch k hiu t gi hi
oi th nht. C ngha l tin t yt gi ng pha di,
cn tin t nh gi ng pha trn.

122
Khi nim ri ro t gi hi oi

Ri ro: l nhng tn tht, sai lch so vi d tnh xy ra nm ngoi
mun ca con ngi.

Ri ro t gi hi oi:

+ Peter S. Rose: ri ro hi oi l kh nng thit hi (tn tht) m
ngn hng phi gnh chu do s bin ng gi c tin t th gii.

+ Hennie Van Greunung v Soja Brajovic Bratanovic: Ri ro hi oi
l ri ro xut pht t s thay i t gi hi oi gia ni t v ngoi t.

123
Nguyn nhn
Hot ng ni bng (On balance sheet activities):

TS rng bng ngoi t = TSC bng ngoi t - TSN bng ngoi t.

TS rng bng
ngoi t
T gi tng T gi gim
> 0 Li L
< 0 L Li
= 0 Khng ri ro Khng ri ro
124
Nguyn nhn (Cont.)
Hot ng ngoi bng (Off balance sheet activities).

Trng thi ngoi t rng = Ngoi t mua vo Ngoi t bn ra
Trng thi ngoi t
rng
T gi tng T gi gim
> 0 Li L
< 0 L Li
125
Nguyn nhn (Cont.)
Trng thi ri ro hi oi rng (Net Position Exposure
NPE)

NPE i = TS rng bng ngoi t i + Trng thi ngoi t rng i
= (TSC bng ngoi t i - TSN bng ngoi t i) + (Doanh s ngoi t
mua vo i - Doanh s ngoi t bn ra i)
NPE i T gi tng T gi gim
> 0 Li L
< 0 L Li
126
Nguyn nhn (Cont.)
Cng thc xc nh mc ri ro:
P/L = NPEi . E

Trong : P/L: mc li/l i vi 1 loi ngoi t khi t gi thay i
E = E1 E0: l s thay i t gi E ca ni t so vi ngoi t
ca k sau so vi k trc.
127
O LNG V NH GI RI RO T
GI HI OI DO HOT NG NI
BNG
V d 1: C bng tng kt ti sn ca NHTM A nh sau:

Ti sn c (Ti sn) Ti sn n (Ngun vn)
1. Tn dng trong nc: 1.000 t
VND
(bng VND, k hn 1 nm, 10%)
Chng ch tin gi (CDs):
2.000 t VND
(bng VND, k hn 1 nm, 8%)
2. Tn dng nc ngoi: 1.000 t
VND
(bng USD, k hn 1 nm, 12%)
128
V d 1 (Cont.)
Tnh thu nhp ca NHTM A:

- B1: Ti thi im u nm, NHTM A mua USD bng s tin 1000 t VND theo
t gi giao ngay S0(VND/USD) = 15900.
S USD thu c l: = 62,893 triu USD

- B2: Cho cc cng ty vay 62,893 triu USD, k hn 1 nm vi li sut 12%

- B3: Ti thi im hon tr (sau 1 nm), khon gc v li thu c bng USD s
l:
62,893 * (1 + 12%) = 70,44025 triu USD.

- B4: Bn li s USD gc v li thu c ti thi im cui nm theo t gi
S1(VND/USD).
129
V d 1 (Cont.)
Kh nng 1: S1(VND/USD) = S0(VND/USD) = 15900
S VND thu c s l: 70,44025 tr. USD * 15900 = 1120 t VND
T sut li nhun do hot ng cho vay bng ngoi t : 12%
T sut li nhun ca c danh mc u t:
50% * 10% + 50% * 12% = 11%
Chnh lch gia li sut u vo v u ra l 11% - 8% = 3%.

Kh nng 2: S1(VND/USD) = 16200 > S0(VND/USD) = 15900
50% * 10% + 50% * 14,1% = 12,05%
Chnh lch gia li sut u vo v u ra l 12,05% - 8% = 4,05%.

Kh nng 3: S1(VND/USD) = 15500 < S0(VND/USD) = 15900
50% * 10% + 50% * 9,18% = 9,6%
Chnh lch gia li sut u vo v u ra l 9,6% - 8% = 1,6%
130
V d 1 (Cont.)
Cng thc tng qut xc nh li tc do nm
gi cc ti sn ghi bng ngoi t:

Gi Rf: li tc thu c khi nm gi ti sn bng ngoi t
Rd: li tc ca bn thn ti sn
Rc: li tc thu c ca bn thn ng ngoi t
(1+ Rf) = (1+Rd)(1+Rc)
Rf = Rd + Rc + RdRc
Rf Rd + Rc
131
O LNG V NH GI RI RO T
GI HI OI DO HOT NG NGOI
BNG
V d 2: NHTM A c trng thi i vi USD v GBP nh
sau:

So(VND/USD) = 15.500 S1(VND/USD) = 16.000
So(VND/GBP) = 28.000 S1(VND/GBP) = 29.000

STT Ngoi t Lng mua vo Lng bn ra Trng thi
ngoi t
1 USD +2.000.000 -1.500.000 +500.000
2 GBP +1.000.000 -1.200.000 -200.000
132
V d 2 (Cont.)
Xc nh ri ro ca NHTM A:
i vi USD: Ngn hng s c 1 khon li l:
500.000 (16.000 15.500) = 250.000.000 triu VND

i vi GBP: Ngn hng ny s b thua l:
-200.000 (29.000 28.000) = -200.000.000 triu VND

Ri ro i vi c danh mc ngoi t nm gi l:
250.000.000 200.000.000 = 50.000.000 VND
133
ri ro ca c danh mc ngoi t
2 2 2
1 1
n n n
p i i i j i j ij
i i q j
w ww o o o o
= = =
= +

Trong : i j

,
i j
w w
: t l ca ngoi t trong danh mc u t

,
i j
o o : lch chun ca ngoi t i, j, hay mc ri ro ca t gi gia ngoi t i, j v ni t.

ij
: h s tng quan gia t gi ca ngoi t i, j v ni t.

p
o
: mc ri ro ca c danh mc u t

134
ri ro ca c danh mc
ngoi t (Cont.)
p dng i vi danh mc ngoi t ch bao gm 2 ngoi t:

+ Kh nng 1: Nu = 1

+ Kh nng 1: Nu = -1

+ Kh nng 1: Nu -1< <1

2 2 2 2 2
1 1 2 2 1 2 1 2 12
2
p
w w ww o o o o o = + +
12
2 2 2 2 2
1 1 2 2 1 2 1 2
2
p
w w ww o o o o o = + +
1 1 2 2 p
w w o o o = +
2 2 2 2 2
1 1 2 2 1 2 1 2
2
p
w w ww o o o o o = +
1 1 2 2 p
w w o o o =
1 1 2 2 p
w w o o o < +
12
12
135
Phng php Value at Risk
(VaR)
M hnh VaR s xc nh mc thua l ti a m ngn hng s
phi i mt trong mt khong thi gian nht nh no vi
tin cy l cao nht (c th l 95% hoc 99%).

T kt qu thu c t m hnh VaR, NHTW s tnh ton v quy
nh mc vn ti thiu m NHTM cn phi duy tr c th b
p c ri ro.

Cc phng php xac nh gi tr VaR:
- Phng php lch s (Historical Simulation)
- Phng php phng sai hip phng sai (Variance Covariance Method)
- Phng php Monte Carlo
136
Phng php lch s
Cch xc nh VaR theo phng php lch s:

+ Cn c vo dy s liu trong qu kh, tnh ton li nhun ca ton
b danh mc u t bng cch so snh gi tr ca danh mc u t thi
im to so vi thi im t1.

+ Sp xp li nhun ca danh mc u t theo th t t nh nht n
ln nht

+ Cn c vo mc ngha ca vic nghin cu (bng 100%- tin
cy) v tng s cc s liu quan st n. Gi tr VaR s chnh l li
nhun ca s th t = n* mc ngha.
137
Phng php lch s (Cont.)
V d 3: C cc thng s trn th trng nh sau:

Ngn hng Credit Lyonnais nm gi :
- 10 triu USD ch s S&P 500;
- 7 triu USD FTSE 100;
- 8 triu USD ch s CAC 40.

Hy xc nh gi tr ri ro VaR tnh bng FRF theo phng php lch
s
138
Cch xc nh gi tr ri ro VaR:

+ Step 1: Tnh gi tr ca ti sn bng FRF:
Gi tr TS bng FRF = Gi tr TS bng USD * t gi

+ Step 2: Tnh ton li nhun ca cc ch s chng khon v cc t gi.

+ Step 3: Tnh ton s thay i trong gi tr ca tng ti sn (S&P, FTSE,
CAC) ri tnh tng cho c danh mc u t
Thay i trong gi tr ca TS = Li nhun * gi tr ti sn tnh bng FRF

+ Step 4: Sp xp s thay i theo th t t nh n ln

+ Step 5: Tnh ton gi tr VaR vi tin cy l 95%

139
Date S&P500 FTSE100 CAC40 GBP FRF FRF/GBP FRF/USD
Change in
portfolio Sort
5-Jul-94 446.37 2965 1878.73 1.484 0.1693 8.7629 5.905
6-Jul-94 446.13 2946.7 1888.99 1.4875 0.1693 8.7836 5.905 0.0714 3.8466
7-Jul-94 448.38 2964.4 1920.75 1.485 0.169 8.7894 5.9189 1.5684 1.5684
8-Jul-94 449.55 2962.4 1920.78 1.4905 0.1697 8.7823 5.8923 -0.1803 1.5362
11-Jul-94 448.06 2983.8 1949.75 1.492 0.1692 8.8174 5.9098 1.2042 1.2042
12-Jul-94 447.95 2963.9 1942.08 1.491 0.169 8.8214 5.9163 -0.4087 0.7043
13-Jul-94 448.73 3005.3 1974.59 1.502 0.1695 8.8598 5.8986 1.5362 0.6455
18-Jul-94 455.22 3082 2025.13 1.497 0.1683 8.8925 5.9402 3.8466 0.4935
19-Jul-94 453.86 3091.3 2052.33 1.4915 0.1683 8.8636 5.9428 0.4935 0.3935
20-Jul-94 451.6 3077.2 2043.72 1.492 0.168 8.8814 5.9526 -0.5219 0.3755
21-Jul-94 452.61 3095.1 2053.78 1.4965 0.1686 8.8769 5.9319 0.3935 0.2747
22-Jul-94 453.11 3114.7 2041.41 1.4915 0.1685 8.8497 5.9335 -0.0726 0.0714
25-Jul-94 454.25 3106.1 2059.84 1.5005 0.1693 8.8638 5.9071 0.2747 -0.0726
26-Jul-94 453.36 3117.2 2076.84 1.4955 0.1686 8.8688 5.9303 0.7043 -0.1803
27-Jul-94 452.57 3082.3 2055.69 1.4945 0.1684 8.8768 5.9397 -0.954 -0.4087
28-Jul-94 454.24 3095.9 2053.43 1.493 0.1683 8.8727 5.9429 0.3755 -0.5219
29-Jul-94 458.26 3082.6 2074.99 1.494 0.1687 8.8569 5.9282 0.6455 -0.954
140
Phng php phng sai
hip phng sai
Gi thit:

+ Hm phn phi ca cc bin s ti chnh l phn phi chun v
cc bin s ny hon ton c lp vi nhau.
+ Tt c cc cng c kinh t ti chnh trong danh mc u t u c
th phn tch thnh mt tp hp cc cng c ti chnh n gin hn
v ch chu mt loi ri ro duy nht l ri ro th trng.

Cng thc xc nh:

Trong : U: l phn v chun vi mc tin cy cho trc.
Sp: lch tiu chun ca s thay i gi tr ca c danh
mc ngoi t .

t s U VaR
p p o
=

141
Phng php phng sai
hip phng sai (Cont.)
V d 4:
Ngn hng VCB c 1 danh mc ngoi t vi lch tiu chun ca n l 100
triu VND, khong thi gian duy tr gi tr n nh ca danh mc ngoi t l 9
ngy.
Vi tin cy l 95%, (tng ng vi phn v chun U0,95 = 1,645),
khi ri ro i vi danh mc ngoi t l:
VARp = 1,645 * 100 *= 493,5 triu VND.
Kt lun: Vi tin cy l 95%, ngn hng VCB s khng b thua l qu 493,5
tru VND trong vng 9 ngy ti.

Nu mc tin cy ln 99,9% tc l U0,999 = 3,09 th VARp = 3,09 *
100 *`= 927 triu VND, tc l trong 1000 giai on 9 ngy nh gi li th ch
c mt giai on 9 ngy xy ra ri ro vt qu hoc bng 927 triu VND.
y, xc sut xy ra ri ro b l khng t hn 927 triu VND l 1/1000
142
CC BiN PHP PHNG NGA
RI RO
Bin php phng nga ni bng:
- Lm cn xng TSC v TSN bng ngoi t

Bin php phng nga ngoi bng:
- Phng nga bng hp ng k hn.
- Phng nga bng hp ng tng lai.
- Phng nga bng hp ng quyn chn.
- Phng nga bng hp ng hon i

143
Bin php phng nga ni bng
Tr li v d 1:

lm cn xng TSC v TSN bng ngoi t, khon tn dng nc
ngoi bng USD c ti tr t ngun vn do ngn hng pht hnh
CDs trc tip bng USD c gi tr tng ng 1.000 t VND. Cc
thng s khc khng thay i:

Ti sn c (TSC) Ti sn n (TSN)
1. Tn dng trong nc: 1000 t
VND
(bng VND, k hn 1 nm,
10%)
1. Chng ch tin gi (CDs): 1000 t
VND
(bng VND, 1 nm, 8%)
2. Tn dng nc ngoi: 1000 t
VND
(bng USD, k hn 1 nm,
12%)
2. Chng ch tin gi (CDs): 1000 t
VND
(bng USD, 1 nm, 8%)
144
Bin php phng nga ni bng
(Cont.)
Li nhun ca danh mc u t c xc nh ging nh
v d 1 (vi kh nng).

Xc nh chi ph i vay ca danh mc u t:

- Pht hnh chng ch tin gi bng USD vi s tin tng ng l:
1.000 t VND / 15.900= 62,893 triu USD

-Ti thi im cui nm, NHTM A phi thanh ton c gc v li bng
USD:
62,893 triu * (1 + 8%) = 67,9245 triu USD
145
Bin php phng nga ni bng (Cont.)
Kh nng 1: S1(VND/USD) = S0(VND/USD) = 15900
S VND phi b ra c c 67,9245 tr. USD s l:
67,9245 tr. USD * 15900 = 1080 t VND
Nh vy mc chi ph pht hnh CDs bng USD s l 8%.
Mc chi ph i vay ca c danh mc TSN:
50% *8 % + 50% * 8% = 8%
Chnh lch gia li sut u vo v u ra l 11% - 8% = 3%.

Kh nng 2: S1(VND/USD) = 16200.
Mc chi ph pht hnh CDs bng USD s l 10%.
50% *8 % + 50% * 10% = 9%
Chnh lch gia li sut u vo v u ra l 12,05% - 9% = 3,05%.

Kh nng 3: S1(VND/USD) = 15500
Mc chi ph pht hnh CDs bng USD s l 5,3%.
50% *8 % + 50% * 5,3% = 6,65%
Chnh lch gia li sut u vo v u ra l 9,6% - 6,65% = 2,95%.

146
Cc bin php phng nga
ngoi bng
Phng nga bng hp ng k hn.

Phng nga bng hp ng tng lai.

Phng nga bng hp ng quyn chn.

Phng nga bng hp ng hon i

147

Phng nga bng hp ng ngoi hi
k hn (Currency Forward).

Hp ng ngoi hi k hn (Currency Forward Contract): l s
tha thun gia 2 bn ch th ng mua hoc bn mt s lng
ngoi t nht nh ti mt mc t gi nht nh vo mt thi
im nht nh trong tng lai.

Giao dch ngoi hi k hn (Currency Forward Transaction) l
nhng giao dch ngoi hi c ngy gi tr xa hn ngy gi tr giao
ngay tc l hn 2 ngy lm vic. Giao dch ny c thc hin
trn th trng phi tp trung (Over The Counter OTC).

T gi k hn l t gi c tha thun ngay t ngy hm nay
lm c s cho vic trao i tin t ti mt ngy no trong
tng lai.
148
k hn (Currency Forward) (Cont.)
Cng thc xc nh t gi k hn:

Trong :
F: t gi k hn
S: t gi giao ngay
R: li sut ca tin t nh gi
RC: li sut ca tin t yt gi
t: thi hn ca hp ng k hn (tnh theo ngy)
dpyT: c s li sut ca tin t nh gi
dpyC: c s li sut ca tin t yt gi
1
1
T
T
C
C
t
R
dpy
F S
t
R
dpy
| |
+
|
\ .
=
| |
+
|
\ .
149
Phng nga bng hp ng ngoi
hi k hn (Currency Forward) (Cont.)
im k hn: l chnh lch gia t gi k hn v t gi giao
ngay
P = F - S

T gi k hn mua t gi k hn bn
( )
1
T C
C
t
R R
dpy
P S
t
R
dpy
=
| |
+
|
\ .
( )
1
TB CO
B B B
CO
t
R R
dpy
F S S
t
R
dpy
= +
| |
+
|
\ .
( )
1
TO CB
O O O
CB
t
R R
dpy
F S S
t
R
dpy
= +
| |
+
|
\ .
150
Nim yt t gi k hn:
K hn Nim yt t gi kiu Outright Nim yt t gi kiu Swap
T gi Chnh lch TG T gi Chnh lch TG
TG giao ngay
1,7214 1,7219 0,0005 1,7214 1,7219 0,0005
3 thng
1,7236 1,7248 0,0012 22-29 0,0007
6 thng
1,7169 1,7179 0,0010 45-40 - 0,0005
9 thng
1,7282 - 1,7294 0,0012 68-75 0,0007
12 thng
1,7122 - 1,7131 0,0009 92-88 - 0,0004
151
Quay tr li v d 1:

- B1: Ti thi im u nm, NHTM A mua USD bng s tin 1000 t VND theo t gi
giao ngay So(VND/USD) = 15900.
S USD thu c l: 1000 t/ 15900 = 62,893 triu USD

- B2: Cho cc cng ty vay 62,893 triu USD, k hn 1 nm vi li sut 12%

- B3: ti thi im hon tr (sau 1 nm), khon gc v li thu c bng USD s l:
62,893 * (1 + 12%) = 70,44025 triu USD.

- B4: K hp ng bn k hn ton b s USD gc v li thu c ti thi im cui nm
theo t gi k hn F1(VND/USD) = 16000.
S VND thu c l: 70,44025 tr. * 16.000 = 1127,044 t VND
T sut li nhun thu c t u t: 12,7%
50% * 10% + 50% * 12,7% = 11,35%
Chnh lch gia li sut u vo v u ra l 11,35% - 8% = 3,35%
152
V d 5:
Do d tnh rng t gi s tng trong tng lai, NHTM A mua 1
triu USD ti mc TGGN S0(VND/USD) = 15910 trn th trng. Tuy
nhin, NHTM A khng chc chn lm v s bin ng ca t gi, nu
t gi tng theo ng d tnh th h s thu c li nhun. Ngc lai,
nu t gi bin ng theo chiu khng thun (t gi gim) thi h s b
ri ro. V vy, c th phng nga mt phn ri ro , NHTM A s
k hp ng k hn bn 1 triu USD cho NHTM B ti mc t gi k
hn l F1/4(VND/USD) = 15945.

S
0
= 15910
F
1/4
= 15945
153
Kh nng 1: S1(VND/USD) = 15890 .
Khon l ca NHTM A do nm gi 1 triu USD s l:
1 triu * (15890 -15910) = - 20 triu VND
Khon li ca NHTM A do bn k hn 1 triu USD s l:
1 triu * (15945 - 15890) = 55 triu VND
Li nhun ca NHTM A: 55 triu - 20 triu = 35 triu VND

Khon li ca NHTM A do nm gi 1 triu USD s l:
1 triu * (15925 -15910) = 15 triu VND
Khon li ca NHTM A do bn k hn 1 triu USD s l:
1 triu * (15945 - 15925) = 20 triu VND
Li nhun ca NHTM A: 15 triu + 20 triu = 35 triu VND

Khon li ca NHTM A do nm gi 1 triu USD s l:
1 triu * (15960 -15910) = 50 triu VND
Khon l ca NHTM A do bn k hn 1 triu USD s l:
1 triu * (15945 15960) = - 15 triu VND
Li nhun ca NHTM A: 50 triu - 15 triu = 35 triu VND
154
tng lai (Currency Futures)
Hp ng ngoi hi tng lai: l s tha thun gia 2 bn ch
th ng mua hoc bn mt s lng tin t nht nh ti mt mc t
gi nht nh vo mt thi im nht nh trong tng lai.

Hp ng tng lai Hp ng k hn
- Giao dch trn th trng tp trung - Giao dch trn th trng phi tp trung
- c chun ha - Khng c chun ha
- Phi k qu - Khng cn k qu
- C th tt ton bt k thi im no - Ch tt ton ti thi im hp ng o hn
- Khng c ri ro tn dng - C ri ro tn dng
-
155
tng lai (Currency Futures) (Cont.)
Th trng phi tp trung (OTC) Th trng tp trung (Organised
Exchange)
- Thc hin bi cc trung gian ti
chnh (Ngn hng).
- Thc hin vi s lng giao dch bt
k v ngy gi tr bt k.
- Thc hin vi bt k loi hng ha
v ti sn ti chnh.
- C th gp ri ro tn dng t pha
i tc.
- Kh c th tt ton hp ng
- Thc hin bi cc S giao dch.
- Chun ha v s lng giao dch v
ngy gi tr.
- Ch thc hin vi mt s loi hng ha
v ti sn ti chnh.
- Loi b ri ro tn dng do c 2 bn i
tc u phi k qu ti S Giao dch.
- D dng tt ton hp ng (Closing out
position.
156

Mt s S giao dch hp ng tng lai:

CBOT: Chicago Board of Trade

CME: Chicago Merchantile Exchange.

IMM: International Money Market

PHLX: Philadelphia Exchange

PSE: Pacific Stock Exchange

LIFFE: London International Financial Futures Exchange

MATIF: March Terme International de France (Paris)

EUREX: Frankfurt

Singapore (SIMEX), Hongkong, Tokyo, Osaka

Sydney Futures Exchange (SFE)

157
Hp ng tin t tng lai trn s giao dch IMM
(International Money Market) thuc CME (Chicago
Merchantile Exchange).
Tin t S lng tin t/1
hp ng tng lai
Tick size
(value)
Thng gi
tr
Lng k
qu ban u
Lng k qu
duy tr ti thiu
GBP 62.500 0,02 /
($12,50)
A $ 2.000 $1.500
CHF (SF) SF 125.000 0,01 / SF
($125)
A $ 2.000 $1.500
JPY (JY) JY12.500.000 0,01 / 100JY
($12,50)
A $ 1.500 $1.000
CAD (CD) CD100.000 0,001$ / CD
($100)
A $ 900 $700
EUR 125.000 0,01 /
($12,50)
A Varies Varies
158
Cc ti sn ti chnh c giao dch trn S Giao dch tng lai
Tin t Hp ng tng lai v li sut Ch s chng khon
GBP
CAD
JPY
EUR
CHF (SF)
AUD
MXN
Brazillian Real
Eurodollars
Euroyen
Euro-denominated bond
Euroswiss
Sterling
Tri phiu Chnh ph Anh
Tri phiu Chnh ph c
Tri phiu Chnh ph
Tri phiu Kho bc M
Tri phiu Chnh ph Canada.
Tn phiu Kho bc M
LIBOR
EURIBOR
Ch s tri phiu th
Chp phiu ngn hng
S&P 500
Ch s chng khon DowJones
S&P Mipcap 400
Nasdaq 100
Ch s NYSE
Ch s Russell 2000
Nikkei 225
FTSE 100
CAC 40 (Php)
DAX 30 (c)
Ch s chng khon c
Toronto 35 (Canada)
DowJones Euro STOXX 50
159
Mt s thut ng:

- Tick size v tick value

- Initial Margin (Khon k qu ban u) v Maintenance Margin (Khon k qu duy tr
ti thiu).

- Marking to market (iu chnh gi tr hp ng theo th trng)

- Clearing House (Trung tm thanh ton)

- Open Interest

- Tt ton hp ng (Closing out the contract)

- Chnh lch c bn (Basis) v Ri ro c bn (Basis Risk)
160
Tick size: l n v o lng mc bin ng trong gi ca ti sn
ti chnh. Thng thng l s bin ng nh nht trong gi c ca
ti sn ti chnh.

Tick value: l s thay i trong gi tr ca hp ng tng lai khi gi
c ca ti sn ti chnh bin ng 1 tick.

V d:
i vi hp ng GBP tng lai th mc bin ng nh nht
cho php l 0,02 / = 0,0002 $ / . V vy tick value trong trng
hp ny s l:

0,0002 $ / * 62.500 = $12,5.
161
V d 6: Gi s NHTM A mua 1 hp ng GBP tng lai giao thng 6
vo ngy 27/3/2006. Ti thi im , t gi Fo = 1,7407, s lng
GBP giao dch tiu chun cho mt hp ng l 62.500 GBP. Lng k
qu ban u l $2.000, lng k qu ti thiu l $1.500
Ngy T gi MTM S tin thanh ton k
qu
S d k
qu
27/3/06 1,7407 2.000 2.000
28/3/2006 1,7447 250 2.250
29/3/2006 1,7385 -387,5 1.862,5
30/3/2006 1,7315 -437,5 1425
575 2.000
162
Vai tr ca trung tm thanh ton (Clearing House)
Ngi mua
Ngi mua

Ngi bn

Ngi bn
Tin
Ti sn ti chnh
Tin

Ti sn ti
chnh

Tin

Clearing House
Ti sn ti chnh

A
B
163
Open Interest:
Ngy Cc giao dch Open Interest
1
Nh kinh doanh A mua 1 hp ng,
nh kinh doanh B bn 1 hp ng
1
2
Nh kinh doanh C mua 3 hp ng,
nh kinh doanh D bn 3 hp ng
4
3
Nh kinh doanh A bn 1 hp ng, nh
kinh doanh D mua 1 hp ng
3
4
Nh kinh doanh C bn 1 hp ng, nh
kinh doanh E mua 1 hp ng
3
164
Open Interest:
Nh kinh doanh Trng thi trng Trng thi on
Nh kinh doanh A
Nh kinh doanh B 1
Nh kinh doanh C 2
Nh kinh doanh D 2
Nh kinh doanh E 1
Tng 3 3
165
Open High Low Settle Change Lifetime
High
Lifetime
Low
Open
Interest
JAPAN YEN (CME) 12.5 million yen; $/yen (.00)
Jun
.8304 .8400 .8303 .8347 .0040 .8800 .7769 83,876
Sept
.8382 .8401 .8330 .8372 .0040 .8815 .8220 590
Est vol 4,009; vol Mon 14,229 open int 84,584, -733
CANADIAN DOLLAR (CME) 100,000 dlrs; $/Can $
Jun
.6722 .6757 .6720 .6742 .0016 .6818 .6197 87,087
Sept
.6692 .6711 .6688 .6704 .0016 .6785 .6185 3,324
Dec
.6655 .6671 .6655 .6668 .0016 .6730 .6160 1,033
Mar 04
.6627 .6630 .6620 .6631 .0016 .6690 .6150 578
Est vol 5,050; vol Mon 20,827 open int 93,286, -4,936
BRITISH POUND (CME) - 62,500; $/
June
1.5566 1.5714 1.5600 1.5636 - .0020 1.6416 1.5000 19,833
Est vol 1,557; vol Mon 6,656 open int 20,339, -1,195
166
T gi ca hp ng ngoi hi tng lai:
- T gi ny c xc nh da trn cch tip cn chi ph nm gi (cost
of carry approach). Phng php ny tng t nh cch tip cn iu
kin ngang gi li sut c bo him (CIP).

1
1
T
T
C
C
t
R
dpy
F S
t
R
dpy
| |
+
|
\ .
=
| |
+
|
\ .
167
Chnh lch c bn (Basic) v ri ro c bn (Basic Risk)
Chnh lch c bn = F - S
Trong : F: Gi ca hp ng tng lai
S: Gi giao ngay ca ti sn c bo him

+ Nu F > S c ngha l chnh lch c bn > 0, nh vy th trng
tng lai ang trong giai on tng trng (future market is in
contango).

+ Nu F < S c ngha l chnh lch c bn < 0, nh vy th trng
tng lai ang trong giai on suy thoi (future market is in
backwardation).
168
Backwardation
T gi giao ngay
Contango
169
Xc nh h s phng nga ri ro (hedge ratio)

+ H s phng nga ri ro, h, cho bit c mi 1 n v ti sn c
s, chng ta cn nm gi h hp ng tng lai.

+ H s phng nga ri ro l mt s lun lun m v nu chng
ta ang c trng thi trng i vi ti sn c s th chng ta s phi
bn (sell short) i vi hp ng tng lai; v ngc li.

+ Thng thng ngi ta coi mi tng quan gia S v F
(h s ) trong qu kh l d on tt nht ca h s phng nga ri ro
trong tng lai.
S
h
F
A
=
A
S A
170
Xc nh h s theo phng php bnh phng nh nht
(OLS)

= = h

Nu mi tng quan gia v l ng bin v hon ho th
= v =1
iu c ngha l = h = 1
Nu mi tng quan gia v l khng hon ho th
-1< =h < 1
( )
( )
, Cov S F
Var F
|
A A
=
A
( ) ( ) ( )
( )
* * , S F r S F
Var F
o o A A A A
A
( )
S o A
( )
F o A ( )
, r S F A A
171
Xc nh s hp ng tng lai phng nga ri ro:

+ Phng php 1: Xc nh da trn ngoi t:

+ Phng php 2: Xc nh da trn ni t:

Trong : TVSo: l gi tr hin ti ca ti sn cn phng nga ri ro bng ngoi t.
Z : s lng tin t c quy nh cho mt hp ng tng lai.
So : Gi giao ngay ca ti sn ti chnh c s ti thi im t 0.
Fo : Gi tng lai ca ti sn ti chnh c s ti thi im t 0.
0
*
f
TVS
N h
z
=
0 0
0
*
*
*
f
TVS S
N h
z F
=
172
V d 7:

Gi s, ngy 25/9/2005, ngn hng Citibank (tr s ti M) c khon
tn dng bng EUR tr gi 62,5 triu EUR (bao gm khon gc l 60
triu v tin li l 2,5 triu tng ng vi mc li sut l 4,166%/nm).
phng nga ri ro t gi cho khon tn dng ny trong trng hp
GBP gim gi trn th trng FOREX, thay v s dng hp ng ngoi
hi k hn, Citibank c th s dng hp ng ngoi hi tng lai:

- Hp ng tng lai trn EUR giao thng 12/2005
- Hp ng tng lai trn EUR giao thng 3/2006

173
Trng hp 1: Gi ca hp ng tng lai trn EUR bin ng cng chiu v
ging ht nh s bin ng trn t gi giao ngay:
Gi s, t The Wall Street Journal ngy 25/9/2005 cng b cc thng tin nh
sau:
St ($/) = 1,2134 1EUR = 1,2134 USD
Ft ($/) = 1,2197 1EUR = 1,2197 USD
Gi s Citibank d tnh t gi giao ngay v tng lai ti thi im sau 1 nm na
(25/9/2006) s l:
S(t+1) ($/) = 1,2034 1EUR = 1,2034 USD
F(t+1) ($/) = 1,2097 1EUR = 1,2097 USD

S = 1,2034 - 1,2134 = - 0,01$/ = - 1 cent/
F= 1,2097 - 1,2197 = - 0,01$/ = - 1 cent/

= 1
F
S
h
A
A
=
174
S lng hp ng tng lai cn phi bn l:

= = 500 hp ng.

Tnh khon l do EUR gim gi i vi khon tn dng bng EUR:
62.500.000 (1,2034 1,2134) = - 625.000 USD.

Tnh khon li do EUR gim gi thu c t vic bn cc hp ng tng lai:

- Cch 1: 500 hp ng * 125.000 * (1,2197 1,2097) = 625.000 USD.
- Cch 2: 500 hp ng * 100 ticks * 12,5 = 625.000 USD
0
*
f
TVS
N h
z
=
62.500.000
*
125.000
h
175
Trng hp 2: Gi ca hp ng tng lai trn EUR v t gi giao ngay
bin ng cng chiu nhng mc bin ng khng ging nhau.

Gi s, t The Wall Street Journal ngy 25/9/2005 cng b cc thng tin nh
sau:
St ($/) = 1,2134 1EUR = 1,2134 USD
Ft ($/) = 1,2197 1EUR = 1,2197 USD
Gi s Citibank d tnh t gi giao ngay v tng lai ti thi im sau 1 nm
na (25/9/2006) s l:
S(t+1) ($/) = 1,2034 1EUR = 1,2034 USD
F(t+1) ($/) = 1,2147 1EUR = 1,2147 USD
S = 1,2034 - 1,2134 = - 0,01$/ = - 1 cent/
F= 1,2147 - 1,2197 = - 0,005$/ = - 0,5 cent/

= -2

S
h
F
A
=
A
176
S lng hp ng tng lai cn phi bn l:

= = 1.000 hp ng.

Tnh khon l do EUR gim gi i vi khon tn dng bng EUR:
62.500.000 (1,2034 1,2134) = - 625.000 USD.

Tnh khon li do EUR gim gi thu c t vic bn cc hp ng
tng lai
Cch 1: 1.000 * 125.000 * (1,2197 1,2147) = 625.000 USD.
Cch 2: 1.000 * 50 ticks * 12,5 = 625.000 USD
0
*
f
TVS
N h
z
=
62.500.000
*
125.000
h
177
V d 8:
Gi s ngy 1/ 4 /2005 mt nh NK M c tnh s phi tr 1 khon
tin tr gi 500.000 SF trong vng 6 thng (1/ 10/ 2005) do NK hng
ha t Thy s. C cc thng s trn th trng nh sau:

So($/SF) = 0,6700
S1($/SF) = 0,7200
Fo($/SF) = 0,6738 (giao thng 10)
F1($/SF) = 0,7204
F1($/SF) Fo$/SF) = 0,0466 = 466 ticks
z = 125.000 SF
Tick size (value) = 0,0001$/SF (12,5$)
178
Xc nh s hp ng tng lai cn mua l:

Cch 1: = 4 hp ng.

Cch 2: 4 hp ng.

S tin USD m nh NK phi b ra c 500.000 SF trn th trng giao ngay l:
500.000SF * 0,72 = 360.000 USD
S tin li thu c t hp ng tng lai l:
Cch 1: 500.000 * (0,7204 0,6738) = 23.300 USD
Cch 2: 4 hp ng * 466 ticks * 12,5 = 23.300 USD
S tin USD rng m nh NK phi b ra l:
360.000 - 23.300 = 336.700 USD
T gi thc s s l:

= 0,6734 ($/SF)
0
f
TVS
N
z
=
500.000
125.000
F
N =
0 0
0
*
*
f
TVS S
N
z F
=
500.000*0, 6700
125.000*0, 6738
F
N =
336.700
500.000
179
Phng nga bng hp ng ngoi
hi quyn chn (Currency Options)
Hp ng ngoi hi quyn chn (Curency Options contract): l 1 cng c ti chnh
cho php ngi mua hp ng c quyn (ch khng phi ngha v) mua hoc bn
mt tin t ti mt t gi c nh tha thun trc (Exercise Price or Strike Price
- Gi thc hin) trong mt khong thi gian nht nh.
Hp ng quyn chn khc vi hp ng k hn v tng lai ch n cho php
ngi mua quyn chn c mt s la chn:
+ Hoc l tin hnh giao dch (thanh ton) theo t gi tha thun t trc
nu t gi l c li cho h (exercise the contract).
+ Hoc cho hp ng t ht hn m khng tin hnh bt c mt giao dch
no nu t gi khng c li cho h.
Hp ng quyn chn c giao dch trn th trng OTC v trn S Giao dch
180
quyn chn (Currency Options)- (Cont.)
Cc ch th tham gia hp ng quyn chn:
+ Ngi bn hp ng quyn chn (Writer, Seller, or Grantor).
+ Ngi mua hp ng quyn chn (Buyer, Taker)
+ Trung tm thanh ton b tr ca hp ng quyn chn (Option
Clearing Corporation - OCC).
Cc loi hp ng quyn chn:
+ Quyn chn kiu Chu u: ch cho php thc hin giao dch ti
thi im hp ng o hn.
+ Quyn chn kiu M: cho php thc hin giao dch vo bt k
thi im no trong thi gian hiu lc ca hp ng.
181
Quyn chn mua v quyn chn bn tin t:
+ Quyn chn mua tin t (Call Option): l 1 cng c
ti chnh cho php ngi mua hp ng c quyn (ch
khng phi ngha v) mua mt tin t (mua tin t yt gi)
ti mt t gi c nh tha thun trc trong mt
khong thi gian nht nh
+ Quyn chn bn tin t (Put Option) : l 1 cng c
ti chnh cho php ngi mua hp ng c quyn (ch
khng phi ngha v) bn mt tin t (bn tin t yt gi)
ti mt t gi c nh tha thun trc trong mt
khong thi gian nht nh.
Ph quyn chn (Option Premium): l khon tin m ngi
mua hp ng quyn chn phi tr cho ngi bn
182
Li/l i vi hp ng quyn chn mua tin t (Call Option):

Gi S: l gi ca tin t trn th trng
E: l gi thc hin ca hp ng quyn chn
: Ph quyn chn.
+ Nu S > E: ngi mua quyn chn mua s thc hin hp ng (exercise the
contract)
Li t hp ng quyn chn = S - E - .
+ Nu S < E: ngi mua quyn chn mua s khng thc hin hp ng (do
not exercise the contract).
L t hp ng quyn chn = - .
Cng thc tng qut:

Li/l = [Max (S-E, 0) ]
183
Li/l i vi hp ng quyn chn bn tin t (Put Option):
Gi S: l gi ca tin t trn th trng
E: l gi thc hin ca hp ng quyn chn
: Ph quyn chn.
+ Nu S < E: ngi mua quyn chn mua s thc hin hp ng (exercise the
contract)
Li t hp ng quyn chn = E S - .
+ Nu S > E: ngi mua quyn chn mua s khng thc hin hp ng (do
not exercise the contract).
L t hp ng quyn chn = - .
Cng thc tng qut:

Li/l = [Max (E - S, 0) ]

184

Phng nga ri ro t gi bng hp ng
quyn chn bn (Protective Put)

L chin lc kt hp gia trng thi trng i vi ti sn ti
chnh c s v mua quyn chn bn (long in underlying asset
and long in put option).

V d 9:
Gi s ngy 27/3/2006 ngn hng Eximbank c trng thi
trng i vi EUR, t gi S0(VND/EUR) = 19.400.
phng nga ri ro, Eximbank s mua hp ng quyn
chn bn EUR theo t gi E(VND/EUR) = 19.400 (at the money
protective put), thi hn 3 thng (27/6/2006), ph quyn chn
bng VND/ EUR.
185

quyn chn bn (Protective Put)-(Cont.)

Kh nng 1: St(VND/EUR) E(VND/EUR) = 19.400.

+ Gi tr ca EUR ti thi im n hn hp ng s l:
St(VND/EUR)

+ Do St(VND/EUR) E(VND/EUR) nn Eximbank s thc hin
hp ng quyn chn bn ny. Khon li thu c do mua hp ng
quyn chn bn s l:
E(VND/EUR) - St(VN/EUR) -

+ Gi tr ca chin lc phng nga ri ro bng hp ng quyn
chn bn s l:

St(VND/EUR) + E(VND/EUR) - St(VND/EUR) -
= E(VND/EUR) -
186
Kh nng 2: St(VND/EUR) > E(VND/EUR) = 19.400.

St(VND/EUR)

+ Do St(VND/EUR) > E(VND/EUR) nn Eximbank s khng
thc hin hp ng quyn chn bn ny v khon l do mua hp ng
quyn chn bn s l:
-

chn bn s l:
St(VND/EUR) -
187

Option premium
Put pay-off with
premium
S
t

Protective put with
premium
Currency
pay-off
Pay-off
0
S
0
= E
188
quyn chn mua (Covered Call)
L chin lc kt hp gia trng thi trng i vi ti sn
ti chnh c s v bn quyn chn mua (long in underlying
asset and short in call option).

V d 10:
Gi s ngy 27/3/2006 ngn hng Eximbank c trng
thi trng i vi EUR, t gi S0(VND/EUR) = 19.400.
phng nga ri ro, Eximbank s bn hp ng
quyn chn mua EUR theo t gi E(VND/EUR) = 19.400,
thi hn 3 thng (27/6/2006), ph quyn chn bng
VND/ EUR
189
(Cont.)
Kh nng 1: St(VND/EUR) E(VND/EUR) = 19.400.

St(VND/EUR)

+ Do t gi : St(VND/EUR) E(VND/EUR): ngi mua hp
ng quyn chn mua s khng thc hin hp ng. Khon li thu
c do bn hp ng quyn chn mua i vi Eximbank s chnh l
khon ph ca quyn chn:

chn mua s l:
St(VND/EUR) +
190
(Cont.)
Kh nng 2: St(VND/EUR) > E(VND/EUR) = 19.400.

St(VND/EUR)

+ Do t gi : St(VND/EUR) > E(VND/EUR): ngi mua hp
ng quyn chn mua s thc hin hp ng quyn chn. Khon l do
bn hp ng quyn chn mua i vi Eximbank s l:
E(VND/EUR) - St(VND/EUR) +

chn bn s l:
Et(VND/EUR) +
191
(Cont.)
Option premium
Call pay-off with
premium
S
Covered call
with premium
Stock
pay-off
Pay-off
0
Reduction in downside
192
Phng nga ri ro t gi bng cch kt hp 1
quyn chn mua v 1 quyn chn bn c
cng gi thc hin hp ng (Straddles)
Long Straddle: l s kt hp mua 1 quyn chn
mua v 1 quyn chn bn c cng gi thc hin
hp ng (Bottom Straddle).

Short Straddle: l s kt hp bn 1 quyn chn
mua v 1 quyn chn bn c cng gi thc hin
hp ng (Top Straddle).
193
Phng nga ri ro t gi bng cch kt
hp 1 quyn chn mua v 1 quyn chn
bn c cng gi thc hin hp ng
(Straddles)
S S
0 0
Pay-off to top
straddle
Pay-off to bottom
straddle
194
Phng nga bng cch kt hp mua 1 quyn chn
mua v bn 1 quyn chn mua, gi thc hin hp
ng v ph quyn chn khc nhau (Put Spread)
y l chin lc c s dng vi mc ch lm gim chi ph phng nga
ri ro (gim mc ph quyn chn).

V d 11:
Gi s Ngn hng Eximbank ang trng 1.000.000 USD v ngn hng
cn mua GBP trong 3 thng ti. phng nga ri ro t gi do s bin ng
ca t gi, ngn hng tin hnh mua 1 quyn chn mua GBP bng
1.000.000 USD (tng ng vi mua quyn chn bn USD) ti t gi
USD/GBP = 1,6100, vi mc ph quyn chn l 0,63%, nh vy, mc ph
quyn chn s l 6300USD = 3.937,5GBP.

ng thi Ngn hng cng tin hnh bn 1 quyn chn mua GBP (s
tin tng ng 1.000.000 USD) - ti t gi USD/GBP = 1,6500, vi mc
ph quyn chn l 0,166%, nh vy ph quyn chn s l 1.660 USD =
1.037,5GBP.
195
Phng nga bng cch kt hp mua 1 quyn
chn mua v bn 1 quyn chn mua, gi thc
hin hp ng v ph quyn chn khc nhau
(Put Spread)
Kh nng 1: USD/GBP = 1,5800 < 1,6100:

S GBP thu c =
Kh nng 2: 1,6100< USD/GBP = 1,6400 < 1,6500
S GBP thu c = Bn USD theo gi giao ngay + Li nhun do mua
quyn chn mua GBP Ph quyn chn

=
Kh nng 3: USD/GBP = 1,6700 > 1,6500
S GBP thu c = Bn USD theo gi giao ngay + Li nhun do mua
quyn mua GBP - Khon l do bn quyn mua Ph quyn chn
=
1.000.000
2.900 630.011
1, 58
GBP =
1.000.000 1 1
1.000.000 2.900 618.218
1, 64 1, 61 1, 64
GBP
| |
+ =
|
\ .
1.000.000 1 1 1 1
1.000.000 1.000.000 2.900 610.960
1, 67 1, 61 1, 67 1, 65 1, 67
GBP
| | | |
+ =
| |
\ . \ .
196
Phng nga bng cch kt hp mua 1 quyn mua
v bn 1 quyn bn cng gi thc hin hp ng v
ph quyn chn, nhng s lng tin t 2 hp
ng khc nhau (Participating Forward)
y l chin lc c s dng vi mc ch lm chi ph phng nga ri ro
bng 0.

V d 12:
Gi s S giao dch Ngn hng T&PTVN ang trng 1.000.000 USD
v ngn hng cn mua GBP trong 3 thng ti. phng nga ri ro t gi do
s bin ng ca t gi, ngn hng tin hnh mua 1 quyn chn mua GBP
bng 1.000.000 USD (tng ng vi mua quyn chn bn USD) ti t gi
USD/GBP = 1,6100.

ng thi Ngn hng cng tin hnh bn 1 quyn chn bn GBP (s tin
tng ng 500.000 USD) - ti t gi USD/GBP = 1,6100.
197
mua v bn 1 quyn bn cng gi thc hin
hp ng v ph quyn chn, nhng s lng
tin t 2 hp ng khc nhau (Participating
Forward)
Kh nng 1: USD/GBP = 1,5800 < 1,6100:
S GBP thu c = Bn USD theo gi giao ngay - L do bn hp
ng quyn chn bn Ph quyn chn.

=

Kh nng 2: 1,6100< USD/GBP = 1,6300
S GBP thu c = Bn USD theo gi giao ngay + Li nhun do
mua quyn chn mua GBP Ph quyn chn.

=
1.000.000 1 1
500.000 0 627.014
1, 58 1, 58 1, 61
GBP
| |
=
|
\ .
1.000.000 1 1
1.000.000 0 621.118
1, 63 1, 61 1, 63
GBP
| |
+ =
|
\ .
198
mua v bn 1 quyn bn c gi thc hin khc
nhau, nhng cng ph quyn chn v s lng
tin t (Range Forward Cyclinder Option)
y l chin lc c s dng vi mc ch lm chi ph phng nga
ri ro bng 0.

V d 13:
Gi s Ngn hng Eximbank ang trng 1.000.000 USD v
ngn hng cn mua GBP trong 3 thng ti. phng nga ri ro t gi
do s bin ng ca t gi, ngn hng tin hnh mua 1 quyn chn
mua GBP bng 1.000.000 USD (tng ng vi mua quyn chn bn
USD) ti t gi USD/GBP = 1,6200.

ng thi Ngn hng cng tin hnh bn 1 quyn chn bn GBP
(s tin tng ng 1.000.000 USD) - ti t gi USD/GBP = 1,5800.
199
mua v bn 1 quyn bn c gi thc hin khc
nhau, nhng cng ph quyn chn v s lng
tin t (Range Forward Cyclinder Option)
Kh nng 1: USD/GBP = 1,5600 < 1,5800:
S GBP thu c = Bn USD theo gi giao ngay - L do bn hp ng quyn
chn bn Ph quyn chn.

=

Kh nng 2: 1,5800< USD/GBP = 1,6000 < 1,6200
S GBP = Bn USD theo gi giao ngay Ph quyn chn.

=

Kh nng 3: USD/GBP = 1,6500 > 1,6200:
S GBP thu c = Bn USD theo gi giao ngay + Li nhun do mua quyn
chn mua GBP Ph quyn chn

=
1.000.000 1 1
1.000.000 0 632.911
1, 56 1, 56 1, 58
GBP
| |
=
|
\ .
1.000.00
0 625.000
1, 6
GBP =
1.000.000 1 1
1.000.000 617.284
1, 65 1, 62 1, 65
GBP
| |
+ =
|
\ .
200
Phng nga bng hp ng
hon i (Curency Swaps)
Hp ng hon i ngoi hi l hp ng din ra vic ng thi mua vo v bn
ra mt tin t nht nh i vi mi bn, trong ngy gi tr mua vo v ngy gi
tr bn ra l khc nhau.

c im ca hp ng hon i ngoi hi:
+ L hp ng mua vo v bn ra mt tin t nht nh c k kt ng thi
ti ngy hm nay.
+ S lng tin t yt gi mua vo v bn ra l bng nhau cho mi bn.
+ Ngy gi tr ca giao dch mua vo v ngy gi tr ca giao dch bn ra l
hon ton khc nhau

Phn loi hp ng hon i ngoi hi:
+ Loi hp ng bao gm 1 giao dch giao ngay v 1 giao dch k hn (Spot-
Forward Swap).
+Loi hp ng gm 2 giao dch k hn c k kt ng thi ti ngy hm
nay, nhng c ngy gi tr khc nhau (Forward Forward Swap).

201
Phng nga bng hp ng
hon i (Curency Swaps)-
(Cont.)
Hp ng hon i tin t thuc loi hp ng hon i ngoi hi c thi hn
di (thng t vi nm tr ln) v li sut pht sinh c thanh ton nh k
trong thi gian hiu lc ca hp ng, khon gc ch c hon i khi hp
ng o hn.

S khc nhau:

+ Trong hp ng hon i ngoi hi, gc v li c thanh ton 1 ln
ti thi im hp ng n hn; cn trong hp ng hon i tin t, li c
thanh ton nh k cn gc c thanh ton mt ln ti thi im hp ng n
hn

+ Hp ng hon i ngoi hi c giao dch trn FOREX, cn hp
ng hon i tin t c giao dch trn th trng hon i (Swap Market).
202
Phng nga bng hp ng
(Cont.)
T gi hon i (swap rate) chinh l im k hn (forward
point) hay im hon i (swap point) m ti ngn hng
yt gi sn sng hon i 2 tin t nht nh thng qua giao
dch giao ngay v giao dch k hn. do , t gi hon i
c xc nh theo cng thc:

T gi hon i = im k hn = T gi k hn - T
gi giao ngay
= P = F - S
203
Phng nga bng hp ng
(Cont.)
Hon i ng nht (Pure Swap) v hon i ghp (Engineered Swap):
- Hon i ng nht l giao dch trong v giao ngay v v k
hn thuc 1 hp ng hon i.
- Hon i ghp l giao dch trong v giao ngay v v k h
thuc 2 hp ng c lp.
V d:
Gi s cng ty A c tnh hnh ti chnh nh sau:
- D tha 10.000.000 EUR vo thi im hin ti nhng s s
dng sau 1 thng.
- C nhu cu 20.000.000 USD vo thi im hin nay nhng sau
1 thng na mi c.

204
Phng nga bng hp ng
(Cont.)
Cng ty c th x l trng thi ngoi hi ny nh sau:

- Gi EUR d tha v i vay USD thiu ht.

- Bn giao ngay EUR i khon USD p ng nhu cu USD.

- Bn giao ngay EUR ly USD, ng thi bn k hn USD s nhn c
(Engineered Swap)

- K 1 hp ng hon i gm (Pure Swap):

+ V giao ngay: Bn EUR mua USD

+ V k hn: Mua EUR bn USD
205
Phng nga bng hp ng
(Cont.)
Hp ng hon i loi c nh/c nh:

V d 17:
Ngn hng Chase Mahattan (M) huy ng 5 tr.USD vi li sut 8%/nm,
thi hn 3 nm sau cho vay Vinaconex (Vit Nam) 80 000 tr.VND vi t gi
E(VND/USD) = 16 000 , li sut 12%/nm, thi hn 3 nm, li tr hng nm.
Ngn hng s gp ri ro t gi nu sau khi cho vay, t gi c xu hng tng.

Ngn hng VCB (Vit Nam) huy ng 80 000 tr.VND vi li sut
10%/nm, thi hn 3 nm sau cho vay cng ty ABC (M) 5 tr.USD vi t gi
E(VND/USD) =16 000, li sut 10,5%/nm, thi hn 3 nm, li tr hng nm.
Ngn hng s gp ri ro t gi nu sau khi cho vay, t gi c xu hng gim.

206
Hp ng hon i loi c nh
c nh (Cont.)
Hai ngn hng s k hp ng SWAP c nh-c nh:
- Thi hn 3 nm,

- T gi E(VND/USD) = 16.000,

- Ngn hng Chase Mahattan (CM) s chuyn 5 tr.USD huy ng c cho
ngn hng VCB,

- Ngn hng VCB s chuyn 80 000 tr.VND huy ng c cho ngn hng
CM,

- Ngn hng CM thanh ton (chuyn) tin li VND cho ngn hng VCB,

- Ngn hng VCB s thanh ton (chuyn) tin li USD cho ngn hng CM.
207
c nh (Cont.)
Ngn hng Chase
Mahattan
Ngn hng VCB
Huy ng 5 tr. USD
Chuyn gc v th.ton li
Cho vay 80.000 tr. VND Cho vay 5 tr. USD
E(VND/USD) = 16.000
Huy ng 80.000 tr. VND
208
c nh (Cont.)
Lung tin thanh ton:
Cui
nm
Ngn hng Chase
Mahattan
thanh ton (tr.VND)
Ngn hng VCB
thanh ton
(tr.USD)
Ngn hng
VCB
thanh
ton tng
ng
(tr.VND)
Lung
tin rng
(tr.VND)
1
2
3
80 000*12% = 9
600
9 600
80 000 + 9 600 = 89
600
5*10,5% = 0,525
0,525
5 + 0,525 = 5,525
8 400
8 400
88 400
1 200
1 200
1 200
209
th ni
V d 18:

Ngn hng Chase Mahattan (M) huy ng 5 tr.USD vi li sut Libor
th ni tng nm, thi hn 3 nm sau cho vay mt cng ty Vinaconex (Vit
Nam) 80 000 tr.VND vi t gi E(VND/USD) = 16 000 , li sut 12%/nm,
thi hn 3 nm, li tr hng nm. Ngn hng ny s gp ri ro t gi v li sut
nu sau khi cho vay, t gi v li sut c xu hng tng.

Ngn hng VCB (Vit Nam) huy ng 80 000 tr.VND vi li sut
10%/nm, thi hn 3 nm sau cho vay cng ty ABC (M) 5 tr.USD vi t
gi E(VND/USD) = 16 000, li sut (Libor + 4/8) th ni tng nm, thi hn 3
nm, li tr hng nm. Ngn hng s gp ri ro t gi v li sut nu sau khi
cho vay, t gi v li sut c xu hng gim
210
th ni (Cont.)
Hai ngn hng s k hp ng SWAP c nh-th ni:
- Thi hn 3 nm,

- T gi E(VND/USD) = 16.000,

- Ngn hng Chase Mahattan (CM) s chuyn 5 tr.USD huy ng c cho
ngn hng VCB,

- Ngn hng VCB s chuyn 80 000 tr.VND huy ng c cho ngn hng
CM,

- Ngn hng CM thanh ton (chuyn) tin li VND cho ngn hng VCB,

- Ngn hng VCB s thanh ton (chuyn) tin li USD cho ngn hng CM.
211
th ni (Cont.)
Ngn hng
Chase
Mahattan
Ngn hng VCB
Huy ng 5 tr. USD
Libor
Cho vay 80.000 tr. VND
12%
Cho vay 5 tr. USD
Libor + 4/8
E(VND/USD) = 16.000
Huy ng 80.000 tr. VND
10%
212
th ni (Cont.)
Cui
nm
Ngn hng Chase
Mahattan thanh
ton (tr.VND)
(1)
Libor
%
Ngn hng VCB thanh
ton (tr.USD)
Ngn hng VCB
thanh ton
tng ng
(tr.VND)(2)
Lung
tin rng
(tr.VND)
(1)-(2)
1
2
3
80 000*12% = 9 600
9 600
80000+9600= 89 600
10,5
11
12
5*(10,5%+0,5%) = 0,55
5*(11%+0,5%) = 0,575
5+5*(12%+0,5%)=5,625
8 800
9 200
90 000
800
400
-400
213
Ri ro ca cc giao dch ngoi
hi phi sinh
Ma trn xp hng mc ri ro ca cc giao dch ti chnh phi sinh
theo loi hp ng v mc ch s dng.
Li sut
T gi
Vn, hng
ha v khc
Hedging Dealing Speculating
Mc ri ro
Cc loi
hp ng
Mc ch s
dng
214
Ri ro ca cc giao dch ngoi
hi phi sinh (Cont.)
Ri ro th trng (Market Risk).

Ri ro tn dng (Credit Risk).

Ri ro hot ng (Operation Risk).

Ri ro c bn
215
H thng cc vn bn php quy
v phng nga ri ro hi oi
Vn bn v qun l ngoi hi:

- Ngh nh 63/1998/N-CP ngy 17/8/1998 ca CP v qun l ngoi hi.

- Thng t ca NHNH Vit Nam s 01/1999/TT-NHNN 7 ngy 16/4/1999
hng dn thi hnh Ngh nh s 63/1998/N-CP ngy 17/8/1998 ca CP v
qun l ngoi hi.

- Ngh nh s 05/2001/N-CP ngy 17/01/2001 sa i, b sung mt s
iu ca Ngh nh s 63/1998/N-CP ngy 17/8/1998 ca CP v qun l ngoi
hi.

- Ngh nh 131/2005/N-CP ngy 18/10/2005 ca CP v sa i Ngh
nh 63.
216
H thng cc vn bn php quy
v phng nga ri ro hi oi
(Cont.)
Vn bn v quy nh trng thi ngoi hi ca cc NHTM

- Quyt nh s 18/1998/Q-NHNN7 ngy 10/01/1998 v trng
thi ngoi t i vi cc t chc tn dng c php kinh doanh ngoi
hi.

- Quyt nh s 1081/2002/Q-NHNN ngy 07/10/2002 v trng
thi ngoi t i vi cc t chc tn dng c php kinh doanh ngoi
hi.

- Quyt nh s 1168/2003/Q-NHNN ngy 02/10/2003 v vic
sa i iu 1 Quyt nh s 1081/2002/Q-NHNN ngy 07/10/2002
ca Thng c NHNN v trng thi ngoi t i vi cc t chc tn
dng c php kinh doanh ngoi hi.
217
Vn bn php quy v giao dch
ngoi hi k hn
T gi k hn ti a = T gi giao ngay ti a + % bin dao
ng.

Quyt nh s 648/2004 ca Thng c NHNN, ngy 28/5/2004:

- K hn t 3 ngy n 365 ngy,
- T gi k hn c xc nh trn c s:
+ T gi giao ngay ca ngy k hp ng k hn, hon i;
+ Chnh lch ga 2 mc li sut hin hnh l li sut c bn ca VND
(tnh theo nm) do NHNN VN cng b v li sut mc tiu ca M (Fed Funds
Target rate) ca USD do Cc d tr Lin bang M cng b;
+ K hn ca hp ng.
218
ngoi hi k hn (Cont.)
T 10/1/98 n
28/2/98
T 28/2/98 n
6/8/98
T 6/8/98 n
26/8/98
T 26/8/98 n
30/8/2000
T 30/8/2000
n
18/9/01
T 18/9/01 n
1/7/2002
T 1/7/2002
n
28/5/
2004
Di 1 tun + 1% +0.25% +0.19% - - - -
1 tun - 2 tun + 1% +0.5% +0.38% - - 0.40% 0,50%
2 tun - 3 tun + 1% +0.75% +0.57% - - 0.40% 0,50%
3 tun - 4 tun + 1% + 1% +0.82% - - 0.40% 0,50%
30 ngy + 1% + 1% +1.64% +0.58% +0.20% 0.40% 0,50%
31 - 44 ngy + 1.5% + 1.5% +1.64% +0.87% +0.25% 1.50% 1,2%
45 - 59 ngy + 1.5% + 1.5% +1.64% +1.16% +0.40% 1.50% 1,2%
60 - 74 ngy + 2% + 2% +2.45% +1.45% +0.45% 1.50% 1,5%
75 - 89 ngy + 2% + 2% +2.45% +1.75% +0.65% 1.50% 1,5%
90 - 104 ngy + 2.5% + 2.5% +3.25% +2.04% +0.79% 1.50% 2,5%
105 - 119 ngy + 2.5% + 2.5% +3.25% +2.33% +1.01% 1.50% 2,5%
120 - 134 ngy + 3% + 3% +4.05% +2.62% +1.14% 2.35% 2,5%
135 - 149 ngy + 3% + 3% +4.05% +2.92% +1.26% 2.35% 2,5%
150 - 164 ngy + 3.5% + 3.5% +4.84% +3.21% +1.38% 2.35% 2,5%
165 179 ngy + 3.5% + 3.5% +4.84% +3.50% +1.48% 2.35% 2,5%
180 ngy + 3.5% + 3.5% +4.84% +3.50% +1.50% 2.35% 2,5%
219
ngoi hi hon i
Quyt nh s 1133/2003/Q-NHNN ngy
30/9/2003 v vic ban hnh quy ch thc
hin giao dch hon i li sut ca Thng
c NHNN Vit Nam
220
Cc bin php phng nga ri ro hi
oi ti cc NHTM Vit nam hin nay
V qun l trng thi ngoi t

S dng cc nghip v ngoi hi phi sinh:
- Giao dch ngoi hi k hn,

- Giao dch ngoi hi hon i,

- Giao dch ngoi hi quyn chn
221
Phng nga ri ro hi oi bng
qun l trng thi ngoi t
Tng trng thi ngoi t cui ngy khng c vt qu 30%
vn t c ca ngn hng.

Trng thi ngoi t cui ngy i vi cc chi nhnh ngn hng th
tr s chnh s quy nh c th ty thuc vo quy m, uy tn ca
tng chi nhnh.

Trn thc t i vi cc chi nhnh ngn hng nh thng
thng h s a trng thi ngoi t cui ngy bng 0 trnh
ri ro thng qua giao dch vi tr s chnh

222
qun l trng thi ngoi t (Cont.)
Cc NHTM VN thng duy tr trng thi ngoi t on:

- Mc t gi giao dch bnh qun lin ngn hng m NHNN cng b
thng n nh trong thi gian di.

- c im ca th trng ngoi hi Vit Nam hin nay l theo hng
mt chiu, cu v ngoi t lun ln hn cung ngoi t, do vy m doanh s
mua vo nh hn doanh s bn ra v iu ny dn ti trng thi ngoi t ca
cc ngn hng thng b on.

- Li sut cho vay VND thng cao hn nhiu so vi li sut cho vay
ca USD, EUR v JPY (li sut thc ca VND dng), v th cc ngn hng
sn sng bn ngoi t i ly ni t v cho vay ni t hng li sut cao,
n hn hon tr ngoi t h s mua ngoi t vo.

223
qun l trng thi ngoi t (Cont.)
Bo co trng thi ngoi t cui thng 12 ca VCB thi k
2001-2003
USD EUR JPY
S tuyt i So vi
VTC
S tuyt i So vi
VTC
S tuyt i So vi
VTC
31.12.01 -21 705 432 -30% -1 132 111 -1% 18 000 000
(30.11.01)
-
31.12.02 -33 466 070,11 -25,38% -4307 441,82 -3,27% -599 650 193,06 -3,87%
31.12.03 -26614997,10 -16,35% 2 919 261,86 +2,26% -63 648 149,54 -0,37%
29.04.04 -50 904 866,97 -27,16% 2 426 464,33 +1,54% -425 027 526,54 -2,07%
Ngun: Phng kinh doanh ngoai t-VCB.
224
cc giao dch ngoi hi phi sinh
Nghip v k hn v hon i:
Tt c cc ngn hng c php kinh doanh ngoi t u c
php thc hin cc nghip v ny.

Nghip v quyn chn:
- Cc ngn hng c php thc hin:
NHTMCP XNK-Eximbank;
Chi nhnh ngn hng Citibank;
Ngn hng u T v Pht Trin Vit Nam-BIDV
NHNO&PTNT Vit Nam
225
Ngn hng AIB (Allied Irish Bank)
Ngy 6/2/2002, ti chi nhnh Baltimore, Allfirst,
dealer l John Rusnak.
Thua l: 691,2 triu USD, do tham gia vo cc
giao dch sau:
- Giao dch quyn chn kp c mc ph quyn
chn ging nhau nhng ngy o hn khc nhau.
- Giao dch giao ngay v giao dch k hn

226
Ngn hng No&PTNT VN
Nm 2004, ti NH No& PTNT VN
Thua l 500 t VND.
u c vo ngoi t, d on tng nhng trn thc
t n li gim, dn n thua l.
Nguyn nhn:
Khng c b phn qun l ri ro (Mid Office).
Thiu s qun l ca lnh o.
Khng quy nh v hn mc kinh doanh.
D on sai v tnh hnh th trng
227

RI RO LI SUT TRONG
HOT NG KINH DOANH
NGN HNG
Phn 3
228
Ri ro li sut v qun l ri ro li
sut i vi NHTM.
S cn thit qun l ri ro li sut trong
hot ng kinh doanh ca ngn hng th-
ng mi

Ni dung qun l ri ro li sut ti cc
nhtm

Kinh nghim qun l ri ro li sut ti cc
NHTM mt s nc

229
Ri ro li sut
Ri ro li sut l nguy c bin ng
thu nhp v gi tr rng ca ngn
hng khi li sut th trng c s bin
ng.
230
Ri ro li sut
Cc
loi
RRLS
Ri ro v thu nhp
Ri ro gim gi tr ti sn
231
Ri ro li sut

Nguyn nhn
S bin ng ca li sut th trng
S khng cn xng v k hn
TSC v TSN ca NHTM
232
Cc nhn t lm li sut bin
ng

Cung
tn dng
Cu
tn dng
LS
T sut li
tc d tnh
ca CC n
Ti sn
v
thu nhp
Tnh lng
CC n
RR ca CC n
Lm pht
d tnh
Li tc
d tnh
ca CC
u t
Thm ht
NSNN
233
S cn thit qun l RRLS trong
hot ng kinh doanh ca nhtm
Gip cc ngn hng ch ng xy dng k
hoch huy ng v s dng vn ph hp nhm
hn ch tn tht.

To ra li th trong cnh tranh ca cc NHTM

To c s xc nh mc vn t c cn thit
nhm duy tr kh nng thanh ton ca ngn
hng

234
T chc
qun l
ri ro
li sut
Nhn
bit
ri ro v
d bo
li sut
Lng
ha
ri ro
li sut

Ni dung qun l
ri ro li sut
Phng
nga
ri ro
li sut

235
D bo lI sut
( ) ( )( ) 1 1 1
0 2 0 1 1 2
+ = + + R R r
1
) 1 (
) 1 (
1 0
2
2 0
2 1

+
+
=
R
R
r
236
M hnh
k hn

M hnh
nh gi
li
M hnh
thi
lng
Lng ha ri ro
li sut
237
M hnh k hn
n
MA = WAiMAi
t=1

m
ML = WLjMLj
t=1
238
Gi tr rng
ca NH
E
Gi tr
tng TSC
A
Gi tr
tng TSN
L
MA - ML > 0 i
E
MA - ML < 0
i
E
M hnh k hn
239
M hnh nh gi li
NII
GAP

i

GAP
RSA RSL
GAP < 0 i NII
GAP > 0
i
NII
240
C s liu v NHTM A nh sau:
V: t

Ti sn c Ti sn n
Tin mt ti qu 45
Tin gi ti NHT 80
Tn phiu kho bc
65
Chng khon di hn 70
Tn dng ngn hn
310
Tn dng di hn (li sut
th ni /c 6 thng/1ln)
180
Tn dng di hn (li sut c nh)
250
Ti sn c nh
60
Tin gi khng k hn
250
Tin gi k hn 6 thng
185
TG tit kim ngn hn
190
TG tit kim di hn
120
K phiu NH 3 thng
50
Tri phiu 2 nm
105
Vay NHT (< 12 thng)
40
Vn t c
120

1060

1060
Yu cu:
Xc nh ri ro li sut ca NHA theo m hnh nh gi li nu
li sut gim 2% sau 12 thng.
241
n
DA = WAi . DAi
i=1
m
DL = WLj . DLj
j=1
D = DA - DL

M hnh thi lng
242
BI TP nhm
Thi lng ca Tri phiu l 3,6 nm. Nu
li sut th trng gim t 8% xung
5% th gi tri phiu :
A. S gim 10%
B. S tng 10%
C. S khng thay i
D. S tng 3%
243
M hnh thi lng
E
( D
A
- D
L
. k ) - A . i / (1+i)
( D
A
- D
L
. k ) < 0
i
E
i
E
( D
A
- D
L
. k ) > 0
244
BI TP nhm
Mt NHTM c tng gi tr TSC (A = 100.000
t), tng gi tr TSN (L = 80.000) DA = 3
nm, DL = 1,5 nm. Hin ti, li sut th trng
mc 10%/nm, gi tr rng ca ngn hng
ny:
gim 3.272 t khi li sut th trng gim
1%
gim 3.272 t khi li sut th trng gim
2%
gim 3.272 t khi li sut th trng tng 1%
gim 3.272 t khi li sut th trng tng 2%
245
Cc bin php phng nga Ri Ro LI
sut
Bin
php
phng
nga
ni
bng

iu chnh c cu k hn
Bng CTS

p dng chnh sch li
sut th ni
246
Cc bin php phng nga Ri Ro LI
sut
Bin
php
phng
nga
ngoi
bng
S dng hp ng
quyn chn
S dng hp ng
Hon i
S dng hp ng
tng lai
S dng hp ng
K hn
247
K hn tri phiu: bn k hn tri phiu
phng nga RRLS tng
K hn tin gi (FFD): mua hp ng FFD
phng nga RRLS tng
K hn li sut (FRA): mua hp ng FRA
phng nga RRLS tng

S dng hp ng
K hn

248
BI TP nhm
Bng cn i ca Ngn hng A nh sau:
- A: 1600 - L: 1450
- E: 150 - DA= 4 nm - DL=5 nm.
Ngn hng A d on li sut trn th trng c xu hng
gim t 7% xung 6%. Hy s dng hp ng k hn
phng nga ri ro li sut bit rng th gi tri
phiu thi lng 4,5 nm l 80$ trn mnh gi l 90$.
Ngn hng s mua 2,36 triu tri phiu
Ngn hng s bn 2,36 triu tri phiu
Ngn hng s mua 2,22 triu tri phiu
Ngn hng s bn 2,22 triu tri phiu

249
Phng nga ri ro cho mt khon mc ti sn
Phng nga ri ro cho ton b Bng cn i

S dng hp ng
Tng lai

250
BI TP nhm
Mt NHTM c tng gi tr TSC (A = 100.000 t), tng
gi tr TSN (L = 80.000) DA = 3 nm, DL = 1,5 nm.
Hin ti, li sut th trng mc 10%/nm, tri phiu
chnh ph c thi lng 2,5 nm v gi tr 10 tr/phiu.
Khi li sut th trng tng 2%, ngn hng ny nn:
Mua cc hp ng tng lai tri phiu vi s lng hp
ng l 70 hp ng
Bn cc hp ng tng lai tri phiu vi s lng hp ng
l 70 hp ng
Mua cc hp ng tng lai tri phiu vi s lng hp
ng l 72 hp ng
D. Bn cc hp ng tng lai tri phiu vi s lng hp
ng l 72 hp ng
Bit rng: Mt hp ng tng lai gm 100 tri phiu
251
Quyn chn tri phiu: mua quyn chn bn
tri phiu phng nga RRLS tng
Quyn chn li sut: CAP, FLOOR,
COLLAR

S dng hp ng
Quyn chn

252
Cu hi tho lun
Bng cn i ca Ngn hng A nh sau (v: Tr USD)
A: 1800 L: 1650 E: 150
DA= 4,5 nm DL=3 nm.
Ngn hng A d on li sut trn th trng c xu hng
tng t 7% ln 8%. phng nga ri ro li sut
Ngn hng:
Mua quyn chn bn tri phiu v bn quyn chn
mua tri phiu
Mua quyn chn mua tri phiu v bn quyn chn
bn tri phiu
Mua quyn chn bn tri phiu v mua quyn chn
mua tri phiu
Bn quyn chn bn tri phiu v bn quyn chn mua
tri phiu.
253
Cu hi tho lun
Bng cn i ca Ngn hng A nh sau:
Cho vay: 500 triu USD; Thi hn: 5
nm
Huy ng: 500 triu USD; Thi hn: tun hon 6
thng
Ngn hng d on li sut trn th trng c xu
hng tng t 9% ln 11%, phng nga ri ro
li sut Ngn hng:
A: Mua Cap, Mua Floor.
B: Mua Cap, Bn Floor
C: Mua Floor, bn Cap
D: Bn Floor, bn Cap
254
phng nga ri ro li sut cho tng hp
ng cho vay hoc huy ng tin gi c
li sut c nh

Khi phng nga ri ro cho cc hp ng
cho vay di hn vi li sut c nh, ngn
hng s thc hin vic mua hp ng
swaps v ngc li

S dng hp ng
hon i

255
Cu hi tho lun
Mt NHTM huy ng vn ngn hn cho
vay di hn. phng nga ri ro li sut,
ngn hng nn:
Mua hp ng k hn li sut hoc mua
hp ng swaps li sut
Mua hp ng k hn li sut hoc bn hp
ng swaps li sut
Bn hp ng k hn li sut hoc mua hp
ng swaps li sut
Bn hp ng k hn li sut hoc bn hp
ng swaps li sut
256
Th trng OTC cc cng c
phi sinh ton cu

v: t USD

Ch tiu 2000 2001 2002 2003 2004
Hp ng ngoi hi 15.66
6
16.74
8
18.469 24.484 29.575
Hp ng li sut 64.66
8
77.56
8
101.69
9
141.99
1
187.34
0
Hp ng c phiu 1.891 1.881 2.309 3.787 4.385
Hp ng hng ha 662 598 923 1.406 1.439
Tng 82.88
7
96.79
5
123.40
0
171.66
8
222.73
9
257
Thc t ri ro li sut v qun l
RRLS ti NHNo & PTNT Vit Nam

Din bin li sut
Thc t ri ro li sut ti cc NHTM
Vit Nam
Thc trng qun l ri ro li sut ti
cc NHTM Vit Nam

258
0
2
4
6
8
10
12
T
1
/
0
0
T
5
T
9
T
1
/
0
1
T
5
T
9
T
1
/
0
2
T
5
T
9
T
1
/
0
3
T
5
T
9
T
1
/
0
4
T
5
T
9
T
1
/
0
5
T
5
%
3M - LNH LSTG VND LSCV VND
LSTG USD LSCV USD
259
Thc trng ri ro li sut ti
cc nhtm Vit Nam
S dng m hnh nh gi li vi cc gi
nh:
- Chnh lch gia thi hn danh ngha ca TSC v
TSN ca ngn hng ti thi im tnh ton bng vi
chnh lch thi hn thc t
- Khi li sut th trng tng hoc gim th mc
tng hoc gim s l mc thay i li sut
u cho cc TSC v TSN
- Cc khon cho vay s c hon tr mt ln khi n
hn
260

Chnh lch TSC v TSN nhy cm vi li sut
ti mt s NHTM Vit Nam

Ch tiu

NH TMCP
K thng

NH
TMCP
Bc

NH Cng
thng
VN

NHNo &
PTNT VN

Chnh lch TSC v TSN
nhy cm li sut 293 21 8.258 7.758
T l chnh lch (GAP/A) 5,30% 1,79% 8,51% 5,44%
T l nhy (RSA/RSL) 1,08 1,03 1,20 1,13
n v: t
261
Thc trng qun l ri ro li sut ti cc
NHTM Vit nam
Kt qu t c

NH nhn thc v ri ro li sut
Mt s NH thnh lp y ban Qun l
TSC v TSN (ALCO)
S dng bin php phng nga ni bng
qun l ri ro li sut
S dng cc cng c phi sinh
262
Ngn hng Khch hng v S n gc theo
hp ng
Li sut hon
i
LS nhn
Li sut
hon i
LS tr
Thi hn
H
Standard
Charted
Hp ng 1
SC London GBP 5.114.829,75 5,34% LIBOR
1m
2 nm
HSBC
Hp ng 1
Pepsico USD
VND
15.000.000
236.490.000.0
00
9% 3,4% 3 nm
3 nm
Tokyo-
Mitsubishi
Hp ng 1
Hp ng 2
Vietnam Japan
Gas
Kein H. Muramoto
USD
USD
2.000.000
1.372.000
SIBOR +
0,55%
6M SIBOR +
1,5%
5,03%
6,35%
4 nm
4 nm
VCB
Hp ng 1
Hp ng 2
Hp ng 3
Hp ng 4
SC London
SC London
Citibank N.A, SGP
Citibank N.A, SGP
USD
USD
USD
USD
22.000.000
6.400.000
19.500.000
20.500.000
LIBOR 6m
LIBOR 6m
LIBOR 6m
LIBOR 6m
4,88%
4,88%
4,71%
4,73%
15/1/2015
15/7/2015
15/1/2014
15/7/2014
ABN AMRO
Hp ng 1
VNA USD 44.037.650

Citibank
Hp ng 1
HOLCIM USD 20.000.000 4,8% LIBOR
6m
5 nm
Mizuho
Hp ng 1
Hp ng 2

Mizuho Singapore
Mizuho Singapore

USD
USD

700.000
3.000.000

4,48%
4,55%

4,79%
4,77%

5/12/2006
30/9/2006
263
Hn ch trong qun l ri ro
li sut ti cc NHTM Vit Nam
Cc cp lnh o ngn hng cha quan tm
ton din v qun l ri ro li sut.

Nhn thc v ri ro li sut ca cc NHTM
Vit Nam cha y , cha o lng, nh gi
c th mc ri ro li sut.

Cc NHTM cha thc hin mt cch ton din
nhng bin php cn thit phng nga
ri ro li sut.
264
S iu tit li sut ca NHNN
Cha c c quan d bo s thay i ca li sut th
trng
Cha c quy nh php l v vic o lng v qun
l ri ro li sut ti cc NHTM
Th trng ti chnh - tin t cha pht trin
Kin thc hiu bit ca nhiu doanh nghip v cc
giao dch phi sinh v vn phng chng ri ro li
sut cn hn ch.
Hn ch trong hot ng thanh tra gim st ca
NHNN

Nguyn nhn
khch quan
265
NHNo & PTNT Vit Nam cha c nhng cn b am hiu
mt cch ton din v qun l ri ro li sut
Cha c b phn chuyn trch thc hin vic o lng ri
ro li sut
H thng k ton thng k ti ngn hng cha cung cp
y nhng s liu cn thit cho vic tnh ton, l-
ng ha ri ro li sut
H thng thng tin, trnh cng ngh ca ngn
hng cn yu cha p ng yu cu qun l ri ro trong
kinh doanh ngn hng.
Hot ng kim ton ni b ca ngn hng cn nhiu
hn ch
Nguyn nhn
ch quan
266
BI TP TNH HUNG
267

RI RO THANH KHON TRONG
HOT NG KINH DOANH
NGN HNG
Phn 4
268
KT CU CHUYN
1. Bn cht ca ri ro thanh khon (RRTK)
Khi nim
Nguyn nhn
S cn thit phi qun tr RRTK
2. Ni dung qun tr RRTK
Du hiu th trng nhn bit RRTK
o lng RRTK
Bin php qun tr RRTK
3. Thc t qun tr RRTK ti cc NHTM Vit Nam
Cc vn bn php quy v qun tr RRTK
Thc t qun tr RRTK mt s NHTM Vit Nam
4. Bi tp tnh hung qun tr RRTK trong HKD ca NHTM
269
BN CHT RI RO THANH KHON (RRTK)

Gc ti sn: Thanh khon l kh nng chuyn i ti
sn thnh tin.
Tiu ch o lng tnh thanh khon ca ti sn:
Th trng giao dch
Chi ph giao dch
Thi gian giao dch
V d:
Ti sn c tnh thanh khon cao?
Ti sn c tnh thanh khon thp?
Thanh khon
270

Gc ngn hng: Thanh khon l kh nng
ngn hng p ng cc yu cu v vn kh dng
ca mnh
Kh nng v yu cu v thanh khon th hin
trong ngun cung v cu thanh khon
Thanh khon
271

Cung thanh khon Cu thanh khon
Thu nhn tin gi
Cc khon tn dng hon
tr
Bn cc TS ca NH
Vay t th trng tin t
Cc khon phi thu khc
Chi tr tin gi cho khch
hng
Cp tn dng cho khch
hng
Hon tr cc khon i vay
Chi ph nghip v v thu
Chi tr c tc
Thanh khon
272
Cung
thanh
khon

Cu
thanh
khon

Trng
thi
thanh
khon
rng
(NLP)

Thanh khon
273

=> Ngn hng s lm g?
+ Khi trng thi thng d thanh khon
+ Khi thi thm ht thanh khon
Ngn hng s thng d thanh khon khi:
Cung thanh khon > Cu thanh khon => NLP > 0
Ngn hng s thm ht thanh khon khi:
Cung thanh khon < Cu thanh khon => NLP < 0

Thanh khon
274

Ri ro thanh khon
Ri ro thanh khon l kh nng ngn hng khng
c c vn kh dng (cung thanh khon) vi
chi ph hp l vo ng thi im m ngn hng
cn p ng cu thanh khon.
275

Nguyn nhn RRTK
S khng cn xng v k hn
ca TSC v TSN ca NHTM
S nhy cm ca ti sn ti chnh
vi nhng thay i li sut
Ngn hng lun phi p ng nhu cu
thanh khon mt cch hon ho

276
S nh i gia thanh khon
v kh nng sinh li
RRTK lm:
+ Gim thu nhp, uy tn
+ Mt kh nng thanh ton
RRTK mang tnh h thng
S
cn
thit
phi
qun
tr
RRTK

277
T chc
qun tr
RRTK
Nhn
bit
RRTK

o
lng
RRTK

Bin
php
qun
tr
RRTK

NI DUNG QUN TR RRTK
278
Phn b ri ro
L t vic bn ti sn
S bin ng gi c phiu
Lng tin ca cng chng
Kh nng p ng KH vay
Vay vn t NHT
Du
hiu
th
trng
nhn
bit
RRTK
NI DUNG QUN TR RRTK
279
o lng RRTK
NI DUNG QUN TR RRTK
PP
tip
cn
ngun
vn
v
s
dng
vn
PP
tip
cn
cu
trc
qu

PP
tip
cn
cc
ch
s

PP
thang
o
hn

280
PP tip cn ngun vn v s dng vn

NI DUNG QUN TR RRTK
Thc cht ca phng php ny l o lng cung cu thanh
khon, trong phn ch yu ca cung cu thanh khon l tin
gi v cho vay nn phng php ny tp trung vo o lng
nhng thay i d tnh trong tin gi v cho vay ca ngn hng
281
Bc 1
D bo nhu
cu vay vn v
tin gi k KH
Bc 2
Tnh s thay
i d tnh v
cho vay, tin gi
k KH
Bc 3
Xc nh khe
h thanh
khon
NI DUNG QUN TR RRTK

282
Bc 1
D bo nhu
cu vay vn v
tin gi k KH
NI DUNG QUN TR RRTK

Xy dng m hnh d bo:
+ f (Loan) =f(Growth, Coporate
Earnings,Money supply,Spread, Inflation)
+f (Deposits) =f(Personal I ncome, Retail
Sales, Money supply,Yield, Inflation.)

Xy dng ng xu hng:
+ Phn xu hng
+ Phn ma v
+ Phn chu k

283
YU T MA V V CHU K TRONG TIN GI
-180
-130
-80
-30
20
70
120
1 2 3 4 5 6
Tun
Gi tr
ma v chu k
284
Bc 3
Xc nh khe
h thanh
khon
NI DUNG QUN TR RRTK

Cung
thanh
khon
(Tng TG,
Gim CV)

Cu
thanh
khon
(Tng CV,
Gim TG)

Khe h TK >0: Thng d Thanh khon
NH s u t vo cc ti sn sinh li
Khe h TK <0: Thm ht Thanh khon
NH s phi b sung thiu ht thanh khon
285
V d: xc nh nhu cu thanh khon
theo PP ngun vn v s dng vn
Ti sn S tin Ngun vn S tin
Ngn qu
Cho vay
u t
Ti sn khc
500
5000
800
300
Tin gi
Cc khon vay
Vn ch s
hu
4000
1600
600

Tng ti sn 6200 Tng ngun
vn
6200
n v: t ng
Bng cn i k ton
31/12/05
Gi s qua s liu thng k, mc tng trng v tin
gi, tin vay qua cc nm l 12% nm. Mc thay i
thi v v chu k c xc nh nh bng di y:
286

Th ng
Xu
h- ng
Chs
thi v %
T ng gim
thi v
T ng gim
chu k
Tng
cng
1 4040 -1 -40 15 4015
2 4080 -5 -200 -10 3870
3 4120 8 320 20 4460
4 4160 1 40 40 4240
5 4200 3 120 10 4330
6 4240 1 40 -20 4260
7 4280 -2 -80 -60 4140
8 4320 -3 -120 90 4290
9 4360 -2 -80 0 4280
10 4400 2 80 10 4490
11 4440 -2 -80 -50 4310
12 4480 0 0 0 4480
D b o mc t ha y i t i n gi t i NH n m 2006
n v: t ng
287

Th ng
Xu
h- ng
Chs
thi v
T ng gim
thi v
T ng gim
chu k
Tng
cng
1 4646 5 232 20 4898
2 4692 1 47 -10 4729
3 4738 -5 -237 10 4511
4 4784 -2 -96 60 4748
5 4830 3 145 30 5005
6 4876 1 49 -20 4905
7 4922 -2 -98 -40 4784
8 4968 -3 -149 30 4849
9 5014 2 100 -30 5084
10 5060 2 101 10 5171
11 5106 -2 -102 -20 4984
12 5152 0 0 0 5152
D b o mc t ha y i c ho v a y c a NH n m 2006
n v: t ng
288

Th ng
T ng gim
tin cho vay
T ng gim
tin gi Khe h
thanh kho
n
1 298 15 -283,30
2 129 -130 -258,92
3 -89 460 548,90
4 148 240 91,68
5 405 330 -74,90
6 305 260 -44,76
7 184 140 -43,56
8 249 290 41,04
9 484 280 -204,28
10 571 490 -81,20
11 384 310 -73,88
12 552 480 -72,00
D b o k h e h
t h a nh k h o n c a NH n m 2006
n v: t ng
289
PP tip cn cu trc qu

NI DUNG QUN TR RRTK

Nu nh phng php ngun vn v s dng vn gip ngn
hng o lng c ngun cung v ngun cung thanh khon th
phng php tip cn cu trc vn ch quan tm n Cu thanh
khon. Phng php o lng ri ro thanh khon da vo vic
phn chia c cu ngun vn huy ng theo kh nng ngun vn
ny b rt ra khi ngn hng xc nh yu cu thanh khon
ca ngn hng
290
PP tip cn tip cn cu trc qu
NI DUNG QUN TR RRTK

Bc 1

Ngun
vn
c
phn
Chia
thnh
cc
nhm

Bc 2:
Xc
nh
yu
cu
d
tr
thanh
khon
cho
ngun
vn
trn

Bc 3:
Xc
nh
yu
cu
Cho
Cc
khon
Vay
C
cht
lng

Bc 4:
Xc
nh
tng
Yu
cu
Thanh
khon
ca
NH

Bc 5:
Xc
nh
yu
cu
Theo
Cc
kch
bn

291
NI DUNG QUN TR RRTK

Bc 1

Ngun
vn
c
phn
Chia
thnh
cc
nhm

Theo sc xut b rt vn:
- Ngun vn nng: vn vay v tin gi nhy cm
vi li sut hoc c d tnh s b rt khi NH trong
k k hoch.
- Ngun vn km n nh: cc khon tin gi
ca khch hng trong mt phn ng k (25-30%) s
c th b rt khi NH ti mt thi im no trong k
k hoch.
- Ngun vn n nh: khon mc vn m nh
qun tr ngn hng tin tng chc chn rng t c kh
nng b rt khi ngn hng (tr mt b phn rt nh
trong tng s).
292
NI DUNG QUN TR RRTK

Thng thng t l d tr thanh khon c la chn
nh sau:
- T l d tr thanh khon ln nht cho ngun vn
nng, thng l 95%
- T l d tr thanh khon cho ngun vn km n
nh, thng l 30%
- T l d tr thanh khon thp nht cho ngun vn
n nh: <= 15%.
Bc 2:
Xc
nh
yu
cu
d
tr
thanh
khon
cho
ngun
vn
trn

293
NI DUNG QUN TR RRTK

Bc 2:
Xc
nh
yu
cu
d
tr
thanh
khon
cho
ngun
vn
trn

D tr thanh khon vn
= 0.95* (Ngun vn nng DTBB)
+ 0.30* (Ngun vn km n nh DTBB)
+ 0.15* (Ngun vn n nh DTBB)
294
NI DUNG QUN TR RRTK

Thng l 100% phn chnh lch gia
tng cho vay ti a tim nng v d n thc t.
Bc 3:
Xc
nh
yu
cu
Cho
Cc
khon
Vay
C
cht
lng

295
NI DUNG QUN TR RRTK

Tng d tr
Thanh khon =

= D tr thanh + D tr thanh
Khon vn khon cho vay

= 0.95* (Ngun vn nng DTBB)
+ 0.30* (Ngun vn km n nh DTBB)
+ 0.15* (Ngun vn n nh DTBB)
+ 1.00* (Quy m CV ti a Tng DN hin ti)

Bc 4:
Xc
nh
tng
Yu
cu
Thanh
khon
ca
NH

296
NI DUNG QUN TR RRTK

V d: o lng yu cu thanh khon ca ngn hng vi cch tip cn cu trc vn:
1. Ngn hng ABC d tnh phn chia ngun vn tin gi v phi tin gi thnh:
Ngun vn nng: 25 t VND
Ngun vn km n nh: 24 t VND
Ngun vn n nh: 100 t VND
Ngn hng ABC (tr 3% d tr bt buc i vi cc khon tin gi) d tnh s duy tr
95% d tr i vi ngun vn nng, 30% d tr i vi ngun vn km n nh, 15%
d tr i vi ngun vn n nh.
2. D n cho vay hin ti ca ABC la 135 t VND, mc ti a gn y l 140 t VND,
t l tng trng tn dng bnh qun l 10%/nm. Ngn hng mun sn sng p ng
cc yu cu vay vn ca khch hng c cht lng tt.

Tng nhu cu thanh khon ca ABC c tnh nh sau?
297
NI DUNG QUN TR RRTK

Yu cu thanh khon d tnh = Pr(x
i
)*NLPx
i

+ X
i
: Cc kch bn c xy dng
+ Pr(x
i
): Xc sut kch bn i xy ra
+ NLPx
i
: Yu cu thanh khon X
i

Bc 5:
Xc
nh
yu
cu
Theo
Cc
kch
bn

298
V D
Tnh hung
thanh khon
Tin gi
d kin
Cho vay
d kin
Trng
thi TK
Xc
sut
Tt nht 250 180 +70 15%
Trung bnh 200 210 -10 60%
Xu nht 150 240 -90 25%
Yu cu thanh khon:
70*15% + (-10)*60% + (-90)*25% = -18
299
PP Tip cn ch s ti chnh
Ch s v trng thi tin mt
Ch s v chng khon thanh khon
Ch s nng lc cho vay
Ch s tin nng
T s u t ngn hn trn vn nhy cm
Ch s tin gi c s
Ch s cu trc tin gi

NI DUNG QUN TR RRTK

300

1.

Trng thi
tin mt
Tin mt + TG
ti cc TCTD
nh gi t trng TS c
tnh thanh khon cao
nht trong tng ti
sn ca NH
Tng ti sn

3.

H s
v
nng lc
D n cho vay
+ cho thu

Phn ti sn c
phn b vo
nhng ti sn km
tnh thanh khon
nht
Tng ti sn


2.

Chng
khon
TK
Chng khon chnh
ph
Ch s chng khon
thanh khon cng
cao, trng thi thanh
khon ca Ngn
hng cng tt
Tng ti sn

301

6.

Cu trc tin
gi
Tin gi giao
dch

T l ny gim th
hin tnh n nh
cao hn ca vn
tin gi v do
yu cu thanh
khon s gim.
Tin gi k hn

4.

H s
tin nng
TS trn TT tin t
(Giy t c gi ngn
hn)

H s ny cng
cao th kh nng
thanh khan ca
NH cng cao
N trn TT tin t
(TG vn vay ngn hn)


5.

T s u
t ngn
hn trn
vn nhy
cm

u t ngn hn
H s ny cng
cao th kh nng
thanh khan ca
NH cng cao
Vn nhy cm
302
Ch s thanh khon c nghin cu bi Jim Pierce, ch s ny
o lng khon tht thot tim tng khi ngn hng phi bn
ngay cc ti sn ca mnh p ng nhu cu thanh khon vi
gi tr th trng hp l ca ti sn ngn hng c th bn trong
iu kin bnh thng c th s lu hn do ngn hng phi
a qua u gi v thc hin mt s kho st, nghin cu. Nu
gi bn ngay cng khc bit so vi gi trng hp l ca ti sn
th danh mc ti sn ca ngn hng cng km thanh khon.

PP Tip cn ch s thanh khon
303
PP tip cn ch s thanh khon
NI DUNG QUN TR RRTK

I = W
i
* (P
i
/P
*
i
)

I: Ch s thanh khon giao ng t 0-1;
W
i
: T trng ti sn loi i;
P
i
l gi bn ngay,
P
*
i
l gi th trng hp l ca ti sn.
304
PP tip cn ch s thanh khon
V d: Xc nh ch s thanh khon:
Gi s rng mt t chc ti chnh XYZ u t vo 2 ti sn: 50% vo tn
phiu kho bc, 50% vo cho vay bt ng sn. Nu XYZ bn tn phiu ngy
hm nay (thi hn cn li 1 thng), h nhn c (P
1
) 99 VND trn 100
VND mnh gi, nu XYZ i sau 1 thng mi bn s nhn c (P
*
1
) 100
VND trn 100 VND mnh gi. Nu XYZ bn khon cho vay bt ng sn
trn ngy hm nay, XYZ nhn c (P
2
) 85 VND trn d n 100 VND,
nhng nu bn sau 1 thng th nhn c (P
*
2
) 92 VND trn d n 100 VND.
Vy, ch s thanh khon 1 thng ca XYZ l:
I = 50%*(0.99/1.00) + 50%* (0.85/0.92) = 0.495 + 0.462 = 0.967
Gi s tnh hung khc xy ra l do th trng bt ng sn chng li nn gi
bn khon cho vay bt ng sn ny ch thu c 65 VND trn d n l 100
VND. Nh vy, ch s thanh khon 1 thng ca XYZ l:
I = 50%*(0.99/1.00) + 50%* (0.65/0.92) = 0.495 + 0.353 = 0.848
305
PP thang o hn
NI DUNG QUN TR RRTK
Phng php ny xy dng thang o hn so
snh cc dng tin ra v dng tin vo trong mi
ngy hoc trong mt thi k nht nh, qua
xc nh c cc trng thi thanh khon rng v
trng thi thanh khon tch lu.
306
Cc dng tin ra c th c c xp th t
theo ngy m cc ti sn N o hn, ngy sm
nht m ngi gi tin tit kim thc hin quyn
c rt tin gi trc hn, hoc ngy sm nht
m cc nhu cu v vn pht sinh mt cch t
xut.
Cc dng tin vo c th c xp th t theo
ngy m cc ti sn C o hn hoc cn c vo
c tnh ca ngn hng v dng tin
PP thang o hn
NI DUNG QUN TR RRTK
307
V d: Xc nh dng tin theo pp thang o hn

1 ngy

1 tun

1
thng

Dng tin vo

Ti sn c n hn

20

150

1500

Bn cc ti sn cha n hn

16

250

4000

Nhn tin gi mi

10

200

2000

Thu nhp bng tin mt (Li)

7

100

750

Dng vo t cc nghip v khc

1

50

400

Tng dng tin vo

54

750

8650

Dng tin ra

Cc ti sn n n hn

30

490

4500

Gii ngn theo HMTD&cam kt
ngoi bng

10

250

2600

Chi ph bng tin mt (Li)

6

50

360

Dng tin ra t cc nghip v khc

4

10

40

Tng dng tin ra

50

800

7500

Trng thi thanh khon rng

4

-50

1150

Trng thi thanh khon tch lu

4

-46

1104

308
BIS cng xut bc tip theo nn d bo
cc dng tin trong cc kch bn khc nhau
thng qua vic xem xt trong cc iu kin
bnh thng, iu kin ngn hng gp kh
khn v iu kin ca th trng gp kh
khn.
PP thang o hn
NI DUNG QUN TR RRTK
309
V d: Yu cu thanh khon theo phng php thang o hn
ca BIS 1 ngy

Bnh
thng

NH
gp
khn

TT
gp
kh
khn

Dng tin vo

Ti sn c n hn

20

18

16

Bn cc ti sn cha n hn

16

10

9

Nhn tin gi mi

10

5

4

Thu nhp bng tin mt (Li)

7

7

4

Dng vo t cc nghip v khc

1

0

0

Tng dng tin vo

54

40

32

Dng tin ra

Cc ti sn n n hn

30

30

30

Gii ngn theo HMTD&cam kt
ngoi bng

10

14

20

Chi ph bng tin mt (Li)

6

6

6

Dng tin ra t cc nghip v
khc (tin gi)

4

20

10

Tng dng tin ra

50

70

66

Trng thi thanh khon rng

4

-30

-34

310
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Bin php c th
Bin
php
chung
(Cc quy tc
ca BIS)
Qun
tr
thanh
khon
c

Qun
tr
thanh
khon
n

Qun
tr
thanh
khon
kt hp
311
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Qun
tr
thanh
khon
c
NH tch lu thanh khon bng cch nm gi cc
ti sn c tnh thanh khon cao: ch yu l tin
mt v cc chng khon d bn.
u im:
Nhc im:

312
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Qun
tr
thanh
khon
n
Ngn hng s thc hin mua thanh khon hay
vay n trn th trng tin t p ng cc yu
cu v thanh khon pht sinh.
u im:
Nhc im:

313
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Qun
tr
thanh
khon
phi hp
Ngn hng s dng c vic tch tr hanh
khon v i mua thanh khon trn th
trng tin t p ng nhu cu thanh
khon.
u im:
Nhc im:

314
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Bin
Php
chung
Xy dng mt chng trnh qun l RRTK
Quy tc 1: Cc NH phi c mt chin lc thng nht v
qun tr thanh khon
Quy tc 2: BG ngn hng cn thng qua chin lc v
chnh sch qun tr thanh khon cn thit.
Quy tc 3: Mi ngn hng phi c b phn qun tr chu
trch nhim thc hin chin lc qun tr thanh khon.
Quy tc 4: NH phi c cc h thng thng tin y
o lng, gim st, kim sot v bo co ri ro thanh
khon

315
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Bin
Php
chung
o lng v gim st trng thi thanh khon
Quy tc 5: Mi ngn hng cn xy dng mt quy trnh o
lng v gim st thng xuyn trng thi thanh khon
(BIS xut phng php Thang o hn)
Quy tc 6: Mi ngn hng cn phn tch trng thi thanh
khon theo cc kch bn khc nhau c th xy ra.
Quy tc 7: Mi ngn hng cn thng xuyn xem xt li
cc gi nh a ra khi xc nh trng thi thanh khon:
Cc gi nh v ti sn c, ti sn n, cam kt ngoi
bng.

316
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Bin
Php
chung
Qun tr kh nng tip cn cc ngun vn
Quy tc 8: Mi ngn hng cn thng xuyn xem xt v
mi quan h vi cc nh cung cp vn, mc tp trung
ca nh cung cp vn (liabilities holder).
Lp k hoch d phng
Quy tc 9: Mi ngn hng cn phi xy dng cc k
hoch i ph vi cc khung hong thanh khon.
317
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Bin
Php
chung
Qun tr thanh khon i vi ngoi t:
Quy tc 10: Mi ngn hng cn c h thng o lng, gim st v
kim sot trng thi thanh khon i vi cc loi ngoi t m ngn
hng c giao dch nhiu.
Quy tc 11: Mi ngn hng cn a ra cc hn mc cho php v
thng xuyn xem xt cc hn mc
Kim sot ni b trong qun tr ri ro thanh khon
Quy tc 12: Mi ngn hng cn cc th tc kim sot ni b cn
thit ci t trong qu trnh qun tr ri ro thanh khon. Th tc kim
sot ni b quan trng nht l cn c cuc kim tra, nh gi c lp
nh gi hiu qu ca qun tr ri ro thanh khon. Kt qu kim
sot ni b cn bo co vi Ban kim sot ca ngn hng.

318
Bin php qun tr RRTK
NI DUNG QUN TR RRTK

Bin
Php
chung
Cng b thng tin ra ngoi
Quy tc 13: Mi ngn hng cn c mt c ch m bo rng thng
tin v hot ng ca ngn hng c cng b ra ngoi m bo
uy tn v tnh hnh hot ng ca ngn hng l lnh mnh.
Vai tr ca Ban kim sot
Quy tc 14: Ban kim sot phi thc hin cc cuc kim tra, nh gi
c lp v chin lc, chnh sch, th tc v bin php ngn hng
thc hin qun tr ri ro thanh khon. Ban kim sot cng phi nhn
c cc thng tin kp thi nh gi ri ro thanh khon v m
bo rng ngn hng c k hoch qun tr thanh khon cn thit.

319
Vn bn php quy
THC TRNG QUN TR RRTK TI VN

Ngy 19 thng 4 nm 2005 thng c NHNN ban hnh
Q457. Trong c bit ch l v khon mc t l kh
nng chi tr ph hp vi yu cu qun tr RR thanh khon
u im:
Hn ch:

320
T chc qun tr ri ro thanh khon

+/ Ngn hng VPBank.
- Hin nay, VPBank cha c phng qun tr ri ro thanh
khon chnh thc. Ch c hai phng thc hin qun tr ri ro
Thanh khon l: Phng Tng Hp v Phng Ngn Qu.
- Phng tng hp c nhim v l: tnh cc ch tiu v
thanh khon nh: T l an ton vn ti thiu, d tr bt
buc, d tr thanh ton,.
- Phng Ngn Qu c nhim v l: Trn c s cc ch
tiu m phng tng hp tnh ton th phng ngn qu s
iu chnh d tr cho ph hp vi quy nh.

321
T chc qun tr ri ro thanh khon


+/ Ngn hng u t v Pht trin Vit Nam.
- Hin nay, Ngn hng u t v Pht trin Vit Nam
vn thc hin theo quy nh 297 do NHNN ban hnh, v
ang xy dng phng thc qun tr ri ro thanh khon theo
Quyt nh 457 thay th phng thc qun l c.
- Ngn hng u t v Pht trin Vit Nam vn cha c
phng qun tr ri ro thanh khon chnh thc theo quyt nh
457, n ch l 1 b phn ca Phng Ngun Vn .
322
o lng ri ro thanh khon :

Ngn hng VPBank :
- Xy dng bng phn tch cc ti sn C c th
thanh ton ngay v cc ti sn N phi thanh ton i vi
tng loi ng tin. Cn c vo thi hn cn li ca cc TSC
v TSN th Ngn hng s lp ra cung cu thanh khon trong
cc khong thi gian : Trong ngy hm sau, Sau 1 thng
,trn c s s c d tr cho ph hp hay xut bin
php x l i vi nhu cu thanh khon trong cc khong
thi gian .
- S dng cc ch tiu theo quy nh ca Quyt nh
457 nh : T l an ton vn ti thiu, t l kh nng chi tr,
t l ti sn c sinh li, t l vn ngn hn s dng cho
vay Trung di hn,
323

Bng o lng ch tiu thanh khon ca VPBank
Ch tiu o lng

2003

2004

2005

1. T l vn ngn hn s
dng cho vay Trung Di hn

1.60%

1.50%

1.53%

2. T l kh nng chi tr

191.60%

247.30%

296.70%

3. T l an ton vn ti thiu

11.20%

8.20%

8.50%

4. T l ti sn c sinh li

89.39%

95%

96%

( Ngun Bo co thng nin ca VPBank)

324
o lng ri ro thanh khon :

Ngn hng u t v Pht trin Vit Nam :
- Hng ngy, ngn hng tnh lung tin ra vo
ca cc chi nhnh tnh ton cung cu thanh khon,
tnh d tr bt buc v d tr thanh ton ca Ngn
hng. B phn qun tr ri ro thanh khon s tnh ton
nhu cu thanh khon da trn cc xut p ng
thanh khon ca cc phng ban.
- Ch s dng ch tiu :
( D tr s cp + D tr th cp)/ Tng NV
huy ng 8%

>
325

>
nh gi chung v qun tr ri ro thanh khon ti cc NHTM Vit Nam.
T chc qun tr ri ro thanh khon:
Cc NHTM hin nay a s cha c phng qun tr ri ro thanh khon
chnh thc nh theo yu cu ti Khon 1 iu 11 ca Quyt nh 457 ca
NHNN ra. Cha thit lp h thng cnh bo sm v tnh trng thiu ht tm
thi kh nng chi tr v cc gii php x l ti u, c th lm cho h thng
NHTM Vit nam gp kh khn v thanh ton hng ngy hoc t xut v ri
ro thanh khon d dng xy ra bt c lc no trong iu kin ca Vit nam .
Phng php o lng:
Hin nay, h thng NHTM Vit nam thc hin qun tr ri ro
thanh khon thng nht theo chun mc chung theo phng php ch s l c
bn. Tuy nhin, cc NHTM Vit nam cn nghin cu trin khai cc phng
php o lng m bo d bo chnh xc hn nhu cu v thanh khon ca
ngn hng c bin php qun tr ph hp
326
Bi tp tnh hung

>
1. Mc ri ro thanh khon khc bit nh
th no gia cc t chc ti chnh: Ngn hng,
Cng ty bo him?

2. Ngn hng c th s dng hai phng php
no x l vn tin gi rt ra nhiu hn so
vi tin gi vo? u nhc im ca tng
phng php?
327
Bi tp tnh hung

>
3. Mt ngn hng c bng cn i k ton di y, thay
i d tnh i vi tin gi l -15. (Tc l chnh lch gia
tin gi rt ra v gi vo l 15).
Ti sn Ngun vn
Tin mt $10 Tin gi $68
D n cho vay $50 Vn ch s hu $ 7
Chng khon $15
Tng ti sn $75 Tng ngun vn $75
Hy ch ra s thay i trong bng cn i k ton nu trong
cc trng hp:
a. NH s dng chin lc mua thanh khon x l
tnh hung trn?
b. NH s dng chin lc tch tr thanh khon x
l tnh hung trn?

328
Bi tp tnh hung

>
4. Mt ngn hng c $10 triu T-Bills, $5 triu hn mc tn
dng c trn th trng, $5 triu d tr th cp. Cc khon
vay ca ngn hng ny vi cc ngn hng khc l $6 triu v
vay ngn hng trung ng l $2 triu n hn thanh ton.

a. Xc nh cung thanh khon?
b. Xc nh cu thanh khon?
c. Xc nh trng thi thanh khon rng ca ngn
hng?
d. Nhn xt v ri ro thanh khon ca ngn hng?
329
Bi tp tnh hung

>
5. Tng ti sn ca mt ngn hng l $10 triu bao gm, $1
tin mt v $9 u t vo chng khon. Trong tng ngun
vn, tin gi l $6 triu, tin vay l $2 triu v vn ch s
hu l $2 triu. Mc li sut d tnh tng ln lm chnh lch
gia tin rt ra v gi vo l $2 triu trong nm.
a. Nu li sut tin gi bnh qun l 6%/nm v li sut
giy t c gi l 8%/nm. Gi s ngn hng bn chng khon
gii quyt tnh hung trn th s nh hng nh th no
n thu nhp li rng v quy m ti sn ca ngn hng?
b. Nu ngn hng i vay ngn hn vi li sut 7.5%
gii quyt tnh hung trn th s nh hng nh th no n
thu nhp li rng ca ngn hng v quy m ti sn ca ngn
hng?
330
331

332
Cc yu cu v vn
Cc ngun vn t c: Cc nhm
Cc ngun vn t c
Vn c bn
cp I"
Vn b sung
cp II"
cp III"
cht lng gim dn
Vn yu cu
Vn ban u (cp php)
Vn ti thiu (hot ng lin tc)
Cc khon khu tr (v d:
cho vay cc bn c lin quan

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