Nghin Cu & Trao i

trong hot ng ngn hng

ThS. Nguyn Thanh Dng

Phn tch ri ro
Ngn hng MHB

ghin cu dng mu 36 NHTM ti VN trong giai on 2006-2011 v s dng phng php nh lng nhm xc nh s tc ng ca cc ch tiu c trng n ri ro ngn hng. Kt qu cho: (i) LLP t l chi ph d phng ri ro tn dng trn thu nhp li thun; (ii) NIR t l thu nhp li thun trn tng ti sn bnh qun ng bin vi ri ro ngn hng; (iii) LEV t l vn CSH trn tng huy ng; v (iv) LDR t l cho vay trn huy ng ngn hn nghch bin vi ri ro ngn hng. Thay tng ti sn sinh li mu s ca NIM bng tng ti sn bnh qun to ra NIR gp phn hon thin cc nghin cu trc y. Nghin cu cng khng nh vic tng vn CSH l iu kin tin quyt nhm bo v ngn hng trc ri ro khnh kit, v gp v chnh sch v nng cao trnh QLRR h thng ngn hng, xut hon thin chc nng qun l ti sn v ngun vn. T kha: Ngn hng thng mi VN, Qun l ri ro ngn hng, ALM, ri ro khnh kit.
1. S cn thit ca nghin cu

Ti cu trc h thng ngn hng khng phi mi i vi VN v th gii. Nhng nm 19871988 ngnh ngn hng ti cu trc ln th nht khi xy ra v n ca h thng hp tc x tn dng. Nm 1999-2001 thc hin ti cu trc ln th hai vi cch lm mi l a cc NHTMNN tham gia v kim sot vic gii th khi cc NHTMCP c du hin yu km v n xu. Kt qu gim c t l n xu h thng t 24% (1998) xung cn 15% (2001). Ti Thi Lan sau khng hong ti chnh 1997 NHTW Thi Lan cng tng bc ti cu trc h thng ti chnh-ngn hng, tng t Indonesia, Malaysia, Hn Quc. n nay nhiu chuyn gia uy tn trong v ngoi nc ng gp nhiu kin thit thc

ti cu trc ln th ba thnh cng. Cc nghin cu v ri ro ngn hng nh: thanh khon, li sut, tn dng, t gi, tc nghip rt thi s v cht lng cao. Nhng nghin cu v ri ro khnh kit v ph sn trong thi gian gn y ch yu v cc doanh nghip ngoi ngnh ti chnh ngn hng. V vy nghin cu phn tch ri ro trong hot ng ngn hng nhm tm bin php nng cao sc khe cho ngn hng rt cn thit.
2. C s l thuyt

2.1. Nghin cu nn tng v d bo ri ro Jodi Bellovary, Don Giacomino & Michael Akers (2007) tm lc qu trnh cc nghin cu. Nm 1968 E. I. Altman nghin cu ph sn cc doanh nghip sn xut ti M. Nghin cu dng m hnh hi

quy xc sut (logit) vi 5 bin d bo ph sn. Ch s Z nm trong khong c th s kt lun doanh nghip ph sn. i vi cng tc Qun l ri ro (QLRR) tn dng ti ngn hng, ch s ny c xem l im s nh gi sc khe doanh nghip i vay. T nhng nm 1970 cc nghin cu da trn thnh qu ca Altman bt u chuyn su vo tng phn ngnh c th nh: ngn hng, du lch, cng ngh thng tin, casino...Ring ngn hng th in hnh l s ng gp ca Boyd & Graham nm 1986 s dng Z-score = [E(ROA) + Ebq/Abq]/ ROA nh gi ri ro ph sn ca tp on ti chnh ngn hng u t ra ngoi lnh vc ti chnh ngn hng. n nm 1988 Hannan & Hanweck pht trin ch s ri ro (the risk index) Z-score = [ROAbq + E/A]/ROA nu tng tc gia

S 9 (19) - Thng 03-04/2013 PHT TRIN & HI NHP

29

Nghin Cu & Trao i

Bng 1: Tm tt bin t cc nghin cu thc chng Bin Nghin cu thc nghim Jordan J. S. (1998); Marco T. G. & Fernandez M. D. (2004); Cihak M. & Hess H. (2008); Foos D., Norden L. & Weber M. (2010). Whalen G. & Thomson J. B (1988); Halling M. & Hayden E. (2006). Whalen G. & Thomson J. B (1988); Halling M. & Hayden E. (2006); Jordan J. D. & ctg (2011). Logan A. (2001); Montgomery & ctg (2004); Jordan J. D. & ctg (2011). Logan A. (2001); Halling M. & Hayden E. (2006); Jordan J. D. & ctg (2011). Whalen G. & Thomson J. B (1988); Halling M. & Hayden E. (2006); Cihak M. & Hess H. (2008). Montgomery & ctg (2004); PWC (2006, 2012). Montgomery & ctg (2004); PWC (2006, 2012).

Z-score (1) LLR-t l d phng n xu (2) LLP-t l chi ph d phngri ro tn dng (3) LEV- n by (4) NIR-t l thu nhp li thun (5) CtI-t l chi ph lng v tr cp (6) LDR-t l cho vay (7) LAD-t l ti sn thanh khon Ngun: Tc gi tm tt.

ri ro danh mc ngn hng v vn CSH, ng thi cho rng ri ro khnh kit ph thuc hai thnh t ny. Z-score th hin vic gim thu nhp s lm thm ht vn, t khin ngn hng lm vo trng thi khnh kit v ng trc nguy c ph sn. Cho n nay ch s Z-score c p dng rng ri cho cc nghin cu v sc khe v ri ro ph sn ngn hng. 2.2. Nghin cu v ri ro ngn hng Ch s ri ro ngn hng Z-score Theo Cihak & Hess (2008), lng ha s n nh, nghin cu p dng ch s Z-score = [E(ROA) + Ebq/Abq]/ROA do Boyd & Runkle (1993) s dng o lng s lnh mnh ca ngn hng. Tnh cht ca Z-score l khi Z-score cng ln th ri ro khnh kit cng thp. Theo Foos v ctg (2010) a nghin cu b sung s dng ch s Z-score =

Mean[ROA + E/A]/ROA theo xut ca Roy (1952) v Boyd & Runkle (1993) o lng ri ro khnh kit. Cc yu t nh hng n ri ro ngn hng Gm 7 yu t l: LLR, LLP, LEV, NIR, CtI, LDR, LAD th hin cc ri ro thnh phn nh ri ro tn dng, ri ro li sut, ri ro thanh khon. Ri ro tn dng lin quan n danh mc ti sn th hin qua bin LLR. Ri ro li sut c th hin qua bin NIR. Ri ro thanh khon c th hin qua 2 bin. Th nht l LDR, t danh mc ti sn v ngun vn, phn nh cung-cu thanh khon v th hai l LAD, cng t danh mc ti sn v ngun vn, phn nh ngun cung thanh khon hay tin mt cho ngn hng. n by LEV th hin ri ro vn ngn hng (c cu huy ng). Cc bin LLP v CtI th hin chi ph. LLP l chi ph x l n xu, c

th kt hp vi LLR nh gi ri ro tn dng v CtI l ch ph lng v tr cp. a. LLR - T l d phng n xu T kt qu nghin cu ca Whalen (1988), t l d phng n xu trn tng d n cho vay ng bin vi ri ro, n xu cng tng th d phng tng. Kt qu ca Halling (2006), t l d phng n xu ca nm trc nghch bin vi ri ro. Ngn hng c iu kin ti chnh tt thng ch ng tng d phng, nhng ngn hng ang gp kh khn ti chnh s gim d phng n mc thp nht. b. LLP - T l chi ph d phng ri ro tn dng Theo Whalen (1988) t l chi ph d phng n xu trn tng ti sn sinh li bnh qun ng bin vi ri ro, tuy nhin khng c ngha thng k. Cn vi Halling (2006), t l chi ph ri ro trn thu nhp t hot ng kinh doanh k vng ng bin vi ri ro nhng do b bin i trong qu trnh hi quy nn khng c ngha. c. LEV - T l vn CSH trn tng huy ng Trong nghin cu ca Logan (2001), n by l tng d n huy ng trn vn CSH nghch bin vi ri ro ph sn ngn hng Anh Quc ti thi im trc khi ngn hng ph sn mt qu. n by cng cao do huy ng nhiu th ri ro cng cao. i vi h thng ti chnh c trnh k lut th trng cao, nhng ngn hng yu km b ph sn sau thi gian rt ngn b th trng cm nhn nn buc phi tng vn CSH cc thnh vin tham gia th trng tip tc cho vay. Theo Montgomery (2004), n by

30

PHT TRIN & HI NHP S 9 (19) - Thng 03-04/2013

Nghin Cu & Trao i

l vn CSH trn d n tin gi ng bin vi ri ro ngn hng, tuy nhin khng c ngha thng k. Trong khi t l vn iu l trn d n tin gi ng bin vi ri ro ngn hng. Nhng kt qu ca Jordan (2011) vi n by bng t l vn cp 1 trn tng ti sn li c quan h nghch bin vi ri ro, c ngha l n by cng cao th ri ro ph sn gim. d. NIR - T l thu nhp li thun Cng t nghin cu ca Logan (2001), t l thu nhp li thun trn tng thu nhp quan h ng bin vi ri ro ph sn. S ph thuc vo thu nhp li thun lm tng ri ro ngn hng ti nm ang xt, tuy nhin nhng nm trc th khng c ngha thng k. Theo Halling (2006), t l li nhun t hot ng chnh trn tng ti sn cng ng bin vi ri ro ngn hng. Trong khi kt qu ca Jordan (2011) th t l thu nhp ngoi li trn thu nhp t li ca nm trc quan h ng bin vi ri ro ngn hng, c ngha l vic a dng ha thu nhp m gim thu nhp t li c th tng nguy c ph sn ngn hng do khng gi c th phn v khch hng truyn thng. e. CtI - T l ch ph lng v tr cp Theo Whallen (1988), t l chi ph lng trn tng ti sn sinh li bnh qun ng bin vi ri ro ngn hng th hin hiu qu hot ng kinh doanh. T l ny tng lm gim hiu qu kinh doanh c hm gia tng ri ro ngn hng. Theo Halling (2006), t l chi ph hot ng trn tng ti sn v t l chi ph hot ng trn thu nhp k vng ng bin vi ri ro ngn hng nhng khng c ngha thng k. Kt qu ca Cihak (2008) cho thy t l chi ph lng trn tng thu nhp cng ng bin vi bt n ngn hng. f. LDR - T l cho vay Trong qu trnh kho lc nghin cu ca Montgomery (2004), gia t l d n cho vay trn tng ti sn v t l d n cho vay trn tng tin gi th t l d n cho vay trn tng tin gi c quan h ng bin vi ri ro ph sn cho c Nht Bn v Indonesia. L gii rng khi ngn hng gp kh khn th ngn hng thng tp trung tng trng tn dng tm kim li nhun v c khuynh hng cho vay nhng i tng c ri ro cao hn vi li sut cho vay cao hn. Theo PriceWaterHouse&CoopersPWC (2006, 2011) t l d n cho vay trn tng huy ng gip nh gi thanh khon ng thi gip xc nh xu th cng nh trng thi thanh khon ngn hng trong k hot ng. g. LAD - T l ti sn thanh khon Cng trong nghin cu ca Montgomery (2004), t l hiu s gia ti sn thanh khon (TSTK) v vay mn ngn hn t TCTD trn tng tin gi c quan h ng bin vi ri ro ph sn nhng khng c ngha thng k. Theo PWC (2006, 2011) t l TSTK trn tng huy ng ngn hn gip nh gi thanh khon ng thi gip xc nh xu th cng nh trng thi thanh khon ngn hng trong k hot ng.
3. Thc trng QLRR ngn hng

3.1. Kho st ca PWC v qun l ti sn c v ti sn n Cc tiu chun theo Basel 2, ISA32/39, IFRS7 tc ng mnh

n vic qun l ti sn v ngun vn (ALM) nhm t mc tiu ti a kh nng sinh li. Nhng ngn hng c quy m ln tp trung vo ri ro v m nh t gi v li sut, trong khi cc ngn hng c quy m va v nh tp trung vo ri ro vi m nh tn dng v hot ng. ALM chnh l vic m bo to li nhun cho cc ngn hng va v nh. Kho st ca PWC v ALM nm 2006 tin hnh chu u, chu v chu c tp trung vo 04 kha cnh: (i) Thnh phn ca ALM; (ii) Hon thin ALM; (iii) Khong cch so vi Basel 2; (iv) Quy m ngn hng nh hng vic trin khai ALM. Mt s im ng ch nh sau: - Cc ri ro chnh: ri ro thanh khon, ri ro li sut v ri ro t gi. - Phng php o lng ri ro thanh khon: o lch thanh khon, trng thi thanh khon rng v phn tch hot ng lin ngn hng. - Phng php o lng ri ro li sut: nh gi li, nhy ca vn CSH, phn tch tnh hung v kim tra sc chu ng, thu nhp li thun (NII) v gi tr kinh t vn CSH. - i vi vic bo co tun th theo Basel 2, cc ngn hng va v nh thc hin bo co ngy, thng v ri ro thanh khon ch yu chnh lch thanh khon, trng thi thanh khon v cc t s thanh khon. Bo co tun, na thng, thng v ri ro li sut ch yu l nhy cm thu nhp li thun, chnh lch li sut ti sn v ngun vn, nhy ca gi tr kinh t vn CSH (EVE). - ng lu l ngn hng c quy m va v nh khng c

S 9 (19) - Thng 03-04/2013 PHT TRIN & HI NHP

31

Nghin Cu & Trao i

nhiu li th huy ng trn th trng vn nhng li s dng cng c phi sinh c t trng trong danh mc ti sn nhiu hn so vi ngn hng c quy m ln. Nh kt qu kho st, ngn hng VN ch c quy m va v nh cho nn qun l ti sn v ngun vn chnh l vic m bo to li nhun c bit l hot ng tn dng. Cc ngn hng nh ACB, Techcombank, Vietinbank, Eximbank lun lun hon thin cng tc ALM. Gn y cc ngn hng tin hnh IPO nh BIDV, MHB v sp ti l Agribank c bc i c th tng cng hiu qu ALM. S chun b ny nhm m bo cng tc QLRR tr nn chun mc ti a li nhun v pht trin bn vng trc s chuyn dch c cu kinh t t nm 2012 tr v sau. Bc c sl xy dng chc nng khung QLRR trn nn tng qun l ti sn v ngun vn cho 02 ri ro thanh khon v ri ro li sut trong iu kin bnh thng v trong iu kin cng thng. i vi ri ro thanh khon: Pht sinh do nguyn nhn th trng lm gim gi TSTK hoc do trc trc trong cng tc huy ng vn nh hng n kh nng thanh ton. Trong cc ch tiu o lng v nh gi thanh khon th t l d n cho vay trn tng huy ng v t l TSTK/tng huy ng gip xc nh xu th cng nh trng thi thanh khon ngn hng trong k hot ng. Trong iu kin cng thng thanh khon din ra di 30 ngy, b p chnh lch thanh khon mc thp, ngn hng c th s dng d tr thanh khon v huy ng trn th trng lin ngn hng khi cng thng mc cao hn. Thc tin cc ngn hng dn gim s ph thuc s t khch hng c s d tin gi trn 10% tng s d tin gi c bit k hn ngn. Phi gi n nh ngun tin huy ng chnh nh tin gi thanh ton ca doanh nghip v tin gi tit kim trc nhng din bin thay i chnh sch tin t nh p t trn huy ng. i vi ri ro li sut: Ri ro li sut l nh hng trc tip li nhun. Cn b qun l ti snngun vn tp trung phn tch nhy thu nhp li thun (NII sensitivity) khi li sut thay i vi trng thi c th ca danh mc ti sn, danh mc ngun vn nhy cm vi li sut. Trc nhng c sc bin ng li sut ln nh nm 2008 v 2011, ngn hng theo di st sao mc gim gi tr kinh t ca Vn CSH khng c nhiu hn 20% theo khuyn ngh Basel 2. Cc ngn hng VN ch yu quan tm nhiu n kh nng thu nhp li thun b suy gim do ngun vn (ti sn n) nhy cm vi li sutNVncvls c gi tr nh hn so vi ti sn (ti sn c) nhy cm vi li sut-TSncvls khi xu th mt bng li sut phi gim dn khi hi nhp v ti cu trc kinh t bt u t nm 2012. Ngoi ra xc nh xu hng li sut bnh qun ca danh mc ti sn, danh mc tn dng, danh mc ngun vn gip QLRR li sut tt hn. Cng tc ALM cng phn tch t l bin li rng (bin li thun, li rng bin-NIM) t phn nhm th trng 1 (huy ng v cho vay), phn nhm th trng 2 (lin ngn hng), phn nhm hot ng u t giy t c gi (GTCG) nh tri phiu chnh ph (TPCP). iu ny gip c th ha hiu qu QLRR li sut duy tr NIM mc n nh do cc phn nhm b p cho nhau. 3.2. nh hng ca ch ph lng v tr cp CtI=chi ph lng v tr cp/ tng thu nhp. CtI lm tng ri ro ngn hng nh nhn nh ca ca Whallen (1988), Cihak (2008). Bng 2, CtI l 40.12% l gi tr xut hin nhiu nht ca mu (trung v) v tnh hnh ri ro ton h thng ti chnh ngn hng VN gia tng. Trong nm 2011, ngn hng SHB c CtI=50.52% tng so vi nm 2010, Z=21.47% gim nh so vi nm 2011 (ngha l mc ri ro tng). Ngn hng ABB c CtI=47.13% tng so vi 2010, Z=33.53% gim so vi 2010. Ngn hng HBB c CtI=46.18% tng so vi 2010, Z=20.50% gim so vi 2010. Cha th kt lun khi CtI tng lm gim ri ro ngn hng. CtI tng c th do tng thu nhp (mu s) gim. Khi thu nhp t cc cng ty thnh vin gim; hot ng u t ti sn ngn hn gim bt thng s bp mo CtI lm cho mi quan h nghch bin khng ng. Xt in hnh ngn hng HBB (Habubank), do u t khng hiu qu (u t chng khon khng hiu qu t cng ty con) lm gim tng thu nhp ca HBB, t nh hng mt phn ri ro ca HBB mc d cng tc QLRR ca HBB trong nm 2011 thc t tt. V vy khi CtI b bp mo do thay i t bin ca thu nhp ngoi hot ng chnh (tn dng v u t) th khng nh hng n ri ro ngn hng ti thi im ang xt nhng ri ro tng th c tch

32

PHT TRIN & HI NHP S 9 (19) - Thng 03-04/2013

Nghin Cu & Trao i

Bng 2: Ch tiu Z, CtI v LDR mt s ngn hng Bank AGR Ch tiu Z CtI (%) LDR (%) ABB Z CtI (%) LDR (%) ACB Z CtI (%) LDR (%) SHB Z CtI (%) LDR (%) TECH Z CtI (%) LDR (%) 2011 33.53 47.13 61.56 11.05 40.95 44.17 21.48 50.52 44.95 18.67 33.71 44.70 2010 6.152 55.82 92.21 39.86 43.82 62.67 12.64 39.12 49.26 22.01 45.62 60.55 17.77 36.27 44.66 2009 4.795 79.57 86.47 47.15 42.10 59.71 13.96 36.24 46.83 28.27 39.64 51.60 21.56 32.59 53.92 2008 5.295 49.69 82.32 15.34 31.83 40.71 40.69 40.17 53.03 23.17 28.26 54.67 2007 3.856 46.95 84.56 13.27 28.48 46.49 47.33 28.05 42.19 21.94 37.46 60.89 2006 1.995 46.63 90.62 10.26 43.74 46.03 89.91 53.43 63.83 -

Ngun: BVD Databankscope v tc gi tnh ton.

t cc nm trc n ht nm 2011 tip tc gia tng. y l du hiu ng lo lng trong cng tc QLRR. Vic CtI tng lm ri ro tng khng phi l xu. i vi nhng ngn hng khi ri ro nm trong tm kim sot, tng chp nhn ri ro ln gia tng tng thu nhp. iu nguy hi l khi ri ro ca ngn hng c du hiu vt mc ri ro ca ngnh v d nh: Seabank, Navibank, DaiAbank th cc ngn hng ny i mt vi nguy c gim hiu qu kinh doanh. y cng l du hiu ng lo lng trong cng tc QLRR.
4. M hnh v d liu nghin cu

4.1. M t mu v d liu nghin cu D liu c truy xut t BVD Databankscope ca 36 NHTM VN t nm 20062011 gm: 28 NHTMCP ABB, ACB, BacAbank, B a o Vi e t b a n k , D a i A b a n k , DongAbank, Eximbank,

GPbank, HBB, HDbank, LienVietbank, MBB, MSB, NamAbank, NVB, OCB, Oceanbank, PGbank, PhuongNambank, Saigonbank, SCB, Seabank, SHB, STB, Techcombank, TienPhongbank, VietAbank, VPbank. 04 NHTMNN AGRIBANK, BIDV, CTG, VCB; 04 NH lin doanh IndoVinabank, ShinhanVinabank, VID, VinaSiambank . Hin nay chnh thc h thng ngn hng VN gm c 50 NHTM, v vy vic ly mu t 36 ngn hng mang tnh i din cao. B d liu truy xut t BVD Databankscope c nh dng chun quc t c sp xp thnh 4 nhm nh gi cht lng ti sn, vn, tnh hnh hot ng v tnh trng thanh khon. D liu c sp thnh d liu bng, s quan st l 180. Nhng d liu khng c trong BVD Databankscope th c b sung t cc BCTC do cc ngn hng cng b.

4.2. Phng php nghin cu Dng phng php nghin cu nh lng xc nh mi quan h gia 7 bin c lp i din cho ti sn (ti sn c), ngun vn (ti sn n), cc ri ro thnh phn vi ri ro ngn hng. Dng k thut hi quy bng thng qua hi quy tuyn tnh a bin. Khi chy trn phn mm Eview 7.0 u tin dng phng php c lng bnh phng nh nht-LS. S dng thut ton khc phc hin tng ma trn hip phng sai ca sai s m bo khng vi phm cc gi thit hi quy. Khi phng php c lng LS khng p ng c th s thay bng phng php c lng GLS. S dng kim nh Durbin Watson kim nh hin tng t tng quan, s dng kim nh t kim nh gi thit v cc h s hi quy, s dng kim nh F kim nh s ph hp ca m hnh, kim nh VIF v hin tng a cng tuyn. M hnh u tin hiu ng c nh (Fixed Effects) v t nhin (None Effect). 4.3. M hnh nghin cu M hnh nghin cu nh lng gi l phng trnh hi quy tuyn tnh a bin ly c s m hnh ca Marco (2004), Cihak (2008) v Whalen (1988) trong bin ph thuc v bin c lp c lng ha ngay ngay sau y. T kt qu cc nghin cu thc nghim, cc bin tc ng n kh nng khnh kit, s bt n v ph sn c u tin la chn. Nguyn tc c bn l gi nguyn bn cht ca bin, gi nguyn cng thc tnh ton. Nhng bin khng ph hp vi thc t VN s c iu chnh da trn lp lun khoa hc, c

S 9 (19) - Thng 03-04/2013 PHT TRIN & HI NHP

33

Nghin Cu & Trao i

phn tch u nhc im ca cch tnh ton lng ha chnh xc bn cht ca cc nguyn nhn gy ri ro cho ngn hng. M HNH (PT 01) Zit = 0 + iXit + eit (1) Bin ph thuc: Zit = [Ei(ROAAit) + Ebpit/Abqit]/ i(ROAAit). - ROAAit :Sut sinh li trn tng ti sn bnh qun ngn hng (i), nm (t). - Ei(ROAAit) :Trung bnh ROAA ngn hng (i). - i(ROAAit) : lch chun ROAA ca ngn hng (i). - Ebqit/Abqit :T l vn CSH bnh qun trn tng ti sn bnh qun ca ngn hng (i) ti nm (t). Bin c lp: Xit : vc t bin ca ngn hng (i) ti nm (t) LLRit = D phng ri ro tn dng/Tng d n cho vay bao gm d phng ca ngn hng (i) ti nm (t). Khi LLR cng cao th th ri ro danh mc cho vay cng cao c ngha l cht lng ti sn gim vi gi nh l chnh sch x l n xu c HQT c nh trong chin lc kinh doanh. K vng quan h vi Z : NGHCH (-); quan h vi ri ro: THUN. LLPit = Chi ph d phng ri ro tn dng/Thu nhp li thun ca ngn hng (i) ti nm (t). LLP va th hin cht lng ti sn va theo di tnh hnh n xu c x l nh hng n thu nhp ra sao. Khi thu nhp khng b ri ro khin ngn hng xa ri mc tiu to li nhun. K vng quan h vi Z: NGHCH (-) ; quan h vi ri ro: THUN. LEVit = Vn CSH/Tng huy ng ca ngn hng (i) ti nm (t). LEV va th hin gc nhn v tng huy ng so vi vn CSH nh gi ngn hng tun theo lut nh ra sao, va c gc nhn v mc y vn nh l khong m bo v ngn hng. Khi ngn hng huy ng nhiu c th chu ri ro thanh khon v ri ro li sut, nu vn CSH t th khon m d phng mng trc nhng tnh hung nguy kch. K vng quan h vi Z : THUN (+); quan h vi ri ro: NGHCH. NIRit = Thu nhp li thun/ Tng ti sn bnh qun ca ngn hng (i) ti nm (t). Lu t l ny ging nh NIM, ch khc mu s ca NIM l tng ti sn sinh li (th hin kh nng tn dng ngun vn gi r hay chnh lch li sut ln gia cho vay v huy ng). Trong khi NIM gi nh rng cht lng ti sn l khng thay i cho k kinh doanh. Tuy nhin ti VN gi nh d vi phm v cc khon cho vay di hn v u t chng khon n khng chc chn n nh. Ngoi ra vic nh gi ti sn theo gi tr hp l cha thc s ph bin. V vy m bo thy c ri ro li sut tc ng n ri ro trong hot ng ngn hng tt nht nn s dng NIR. T l ny tng do thu nhp li thun tng (lin quan n ri ro li sut v c cu TSNV nhy cm vi li sut) hoc do tng ti sn gim (lin quan n vic gim u t/cho vay v gim huy ng) hay do c hai u c th gim ri ro cho ngn hng. K vng quan h vi Z : THUN (+); quan h vi ri ro: NGHCH. CtIit = Chi ph lng v tr cp/Tng thu nhp ca ngn hng (i) ti nm (t). Ch rng VN do thu nhp ngn hng ch yu t li, t l ny gim do tng thu nhp tng (do chnh lch li sut cao s tng hiu qu kh nng sinh li). iu e ngi khi dng t l ny l thu nhp t cc cng ty thnh vin hoc do t bin t hot ng u t ti sn ngn hn s bp mo bn cht ca CtI nh din bin ca ngnh trong nm 2006 v 2008. K vng quan hvi Z: NGHCH (-); quan h vi ri ro: THUN. LDRit = Tng d n cho vay/ Tng huy ng ngn hn ca ngn hng (i) ti nm (t). Dng o lng thanh khon, t l ny tng th ri ro thanh khon tng. Tng huy ng ngn hn bao gm tin gi v vay mn ngn hn t cc TCTD khc. K vng quan h vi Z: NGHCH (-) ; quan h vi ri ro: THUN. LADit = ti sn thanh khon/ Tng huy ng ngn hn ca ngn hng (i) ti nm (t). TSTK xem nh l khon d tr i ph s c ngi dn x n ngn hng rt tin. T l cng cao th thanh khon cng tt. Hn na cch tnh ny khc phc nhc im theo cch tnh ca Montgomery (2004) v thc t VN rt quan tm t l ny trong cc bo co tnh trng thanh khon. K vng quan hvi Z: THUN (+); quan h vi ri ro: NGHCH. eit = sai s
5. Phn tch kt qu

5.1. Tm tt kt qu Kt qu trnh by ct (1) l ca m hnh theo phng trnh 01 v ct (2) sau khi loi cc bin khng c ngha thng k (Bng 3). Tp trung phn tch cc bin c ngha thng k l NIR, LLP, LDR v LEV. 5.2. Ri ro li sut - bin NIR

34

PHT TRIN & HI NHP S 9 (19) - Thng 03-04/2013

Nghin Cu & Trao i

Bng 3: Tng hp kt qu hi quy Z Constant LLR LLP LEV NIR CtI LDR LAD Quan h vi RR Obs R2 R2 adjusted VIF F_statistic Durbin Watson Cr.S/Ped. Effect GLS weights Coef Cov. (1) 24.0049 (3.9630)*** -0.4045 (-0.3092) -0.1217 (-2.1100)** 0.6878 (8.8872)*** -1.3761 (-1.7522)* -0.0735 (-1.3474) 0.1339 (2.3822)** 0.0109 (0.2274) - : THUN RR; + : NGHCH RR 180 0.6187 0.6032 2.62 39.87 1.3448 None/None Period SUR Period weights PCSE (2) 21.4816 (5.4344)*** -0.1249 (-2.7261)*** 0.6908 (11.2546)*** -1.3053 (-1.8019)* 0.1277 (2.9009)*** - : THUN RR; + : NGHCH RR 180 0.6641 0.6564 2.98 86.50 1.6537 None/None Period SUR Period SUR PCSE

Kim nh bng t-test cc h s hi quy, k hiu *, **, *** c ngha thng k 10%, 5%, 1% .Lu du h s hi quy: du dng (+) so vi Z c ngha bin c lp nghch bin vi ri ro v du m (-) so vi Z c ngha bin c lp ng bin vi ri ro.

NIR quan h thun vi ri ro ngn hng vi mc ngha di 10%. So vi kt qu nghin cu ca Logan (2001) t l TNLT/ Tng TN v Halling (2006) li nhun t hot ng tn dng/ TTS quan h thun vi ri ro, y l mt pht hin mang tnh cht ng gp v s dng NIR thay cho NIM. Xu th NIR tng trong tnh trng ri ro h thng ngn hng gia tng. NIR tng u c tc ng t t s v mu s. Mi quan h thun c hm khi ngn hng ph thuc vo thu nhp li thun (TNLT) th ri ro tng khi TNLT tng. Nh 2011 khi li sut tng, ti sn nhy cm vi li sut (TSncvls) ln hn ngun vn nhy cm vi li sut (NVncvls) s lm tng TNLT. Lc ny TTS cng gia tng khi danh mc cho vay cha

ng n xu v danh mc u t khng c nh gi ng lm tng ri ro. Nhng ngn hng ri ro cao nh TienphongBank, Navibank, BacAbank lun c TSncvls > NVncvls trong khi nhng ngn hng khe mnh nh ACB, Indovina, EximBank rt linh hot nh khi ri ro ngn hng ang gia tng th ch ng c cu TSncvls < NVncvls v khi ri ro nhn hng c chiu hng gim th c cu TSncvls > NVncvls. a dng ha thu nhp th sao? Jordan (2011) nu khi a dng ha m lm TNLT gim s gia tng ri ro. Thng thng ngun thu t li gim do mt th phn th ngn hng hy vng s c b p t ngun thu khc, tuy nhin hy vng kh t c khin ngn hng lm vo ri ro. Thc trng

VN thu nhp chnh t hot ng cho vay th vic gim TNLT do mt th phn nh hng ri ro hot ng kinh doanh hn l ri ro li sut lm gim TNLT. Vic ua li sut thng 5/2011 nhm bo m cung thanh khon ng thi gi th phn cho vay th lc ny ri ro li sut mi chnh l ri ro ngn hng. 5.3. Ri ro tn dng - bin LLP LLP=chi ph d phng ri ro tn dng/TNLT, bin ny tiu biu cho hiu qu hot ng kinh doanh hn l nh gi ri ro tn dng. Phn tch LLP h tr tt l gii nh hng ca ri ro tn dng trong hot ng ngn hng. Kt qu gip hon thin cc nghin cu trc. Whallen (1988) s dng chi ph d phng n xu trn TTS sinh li v Halling (2006) dng chi ph ri ro trn thu nhp u khng c ngha thng k. V mi quan h thun ca LLP vi ri ro ngn hng. Chi ph d phng ri ro tn dng (CPDPRRTD) tng hm tnh trng cht lng ti sn cho vay gim, n xu gia tng. X l n xu bng ngun d phng nh hng ln n thu nhp. Chi ph tng lm thu nhp gim khin cho LLP tng. Hai nghin cu trc ca Whallen (1988) khng phn nh c bn cht tc ng ca n xu trong TTS sinh li n ri ro ngn hng, v ca Halling (2006) khng nu c n xu nh hng n thu nhp t li v thu nhp khc. Kt qu khc phc c nhc im trn. LLP hm dng d phng x l n xu. N xu xut pht t ri ro tn dng ca k kinh doanh trc vi gi nh ngn hng xc lp mc nhn ri ro. Kt qu cho thy ri ro tn dng nh hng

S 9 (19) - Thng 03-04/2013 PHT TRIN & HI NHP

35

Nghin Cu & Trao i

nghch chiu nhau l rt ln. Nm 2010 Agribank c Z=6.152 (ri ro cao), LDR=92.210% trong khi Techcombank c Z=17.77 (ri ro trung bnh), LDR l 44.66% (Bng 2). Th hai, theo AAG(2012) trang 168-169 th t l cho vay trn huy ng ton h thng ngn hng mc cao c nguyn cn t m hnh tng trng da qu nhiu vo u t. Khi NHNN tht cht tin t nm 2008 v 2011 lm cung tin gim nhng nhu cu tn dng vn mc cao. V nguyn tc LDR ng bin vi ri ro nhng ti sao quan h ny khng xut hin trong kt qu hi quy? Phn tch LDR, mu s l tng huy ng ngn hn. Gi nh rng khi o hn th lng d n ny c ti huy ng ngn hng n nh c ngun vn v tun th ng cong li sut. Khi tt c cc ngn hng thc hin ng gi nh ny, tnh cht ngun ngn hn c th xem nh ngun vn di hn. Tuy nhin din bin xu ca h thng ti chnh VN lm gi nh ny rt d vi phm, c bit ri ro thanh khon gia tng. Ging nh cc bo co v tnh hnh bin ng li sut t thng 5/2011 trn c th trng 1 v 2, ngun vn ngn hn khng n nh ti nhng ngn hng km thanh khon buc phi chn gii php tng li sut huy ng ngn hn m bo thanh khon. Thc t ng cong li sut nm ngang v li sut huy ng k hn ngn cao hn cc k hn khc. Nh vy d n huy ng ngn hn (mu s) thc s gim v nhu cu tn dng khng ngng tng (t s) lm tng t s LDR. PWC (2006,2011) quan nim LDR gip nh gi thanh khon ng thi gip xc nh xu th v trng thi thanh khon ngn hng trong k hot ng. in hnh LDR gim do d n huy ng ngn hn tng ti nhng ngn hng c mc ri ro gia tng nh Agribank, BIDV, SCB, HBB, HDBank, Tienphongbank, PGbank. LDR tng do d n huy ng ngn hn gim ti nhng ngn hng di do thanh khon nh CTG, ACB, Techcombank, Eximbank, MSB, VIB. Khi kh khn thanh khon xut hin th dn n ua li sut lm LDR gim t nh hng n li nhun cng nh sc khe ngn hng. 5.5. Vai tr vn CSH bin LEV LEV = Vn CSH/tng huy ng. Theo Nguyn Th Hai Hng (2011), s nng cp ca Basel 3 l nng tiu chun c s vn, t l n by v thanh khon. Vic chun b y v vn tht s cp bch nht l cc ngn hng nng thn chuyn ln ngn hng thnh th. LEV ca h thng NHTM khong 15.6% (trung bnh ngnh qua cc nm) hay tng d n huy ng trn vn CSH 6.4 ln (1/0.156) l tt. LEV nghch bin vi ri ro ngn hng. Kt qu ny va nh k vng va nh kt qu nghin cu ca Jordan (2011). Vn CSH lm trn chc nng y

li nhun theo chiu nghch lm gim li nhun. N xu lm cht lng ti sn ngn hng gim. CPDPRRTD phn nh trc din qu trnh x l n xu trong k hot ng. 5.4. Ri ro thanh khon bin LDR LDR = tng d n cho vay/ tng huy ng ngn hn. Hon ton tri vi k vng v du, LDR c quan h nghch bin vi ri ro v c ngha thng k. Kt qu cng khc vi nghin cu ca Montgomery (2004), t l d n cho vay trn tng tin gi c quan h ng bin vi ri ro ph sn. Trc khi tho lun mi quan h cn ch hai c im. Th nht, t l LDR mi ngn hng qua cc nm thay i khng theo quy lut c th. Chnh lch LDR tng i ti mt nm quan st ca ngn hng c ri ro

36

PHT TRIN & HI NHP S 9 (19) - Thng 03-04/2013

Nghin Cu & Trao i

vn nh d phng thanh khon v tun th tt tc l khng vi phm huy ng vt mc mc vn CSH. Sau 2008 xu th tng huy ng tng so vi vn CSH p ng nhu cu vn cho nn kinh t. Tc tng ca vn CSH thp hn tc tng huy ng lm t s LEV gim. Nm 2010-2011 vn CSH gim do ngn hng phi x l n xu nh vy tng vn CSH t li nhun khng thnh cng. LEV tip tc gim trong khi ri ro h thng khng ngng tng ln. Mt iu bn khon l kt qu tri ngc vi Logan (2001). Trong nghin cu ca Logan (2001), n by l tng huy ng trn vn CSH nghch bin vi ri ro ph sn ngn hng. V huy ng nhiu th ri ro cng cao. Nh vy tng vn CSH tnh hung nguy kch ny c ngha ngn hng ang gp kh khn. Nhng v mc k lut th trng VN cn thp theo Nguyn Ch c, Nguyn Minh Kiu, Hong Trng (2012), rt kh khn tng vn cho nn l gii trong nghin cu ca Logan khng ph hp gii thch. Tng vn khng c ngha l ngn hng s c ri ro thp m ang t mnh gim ri ro n nh c ngun ngn hn sp ti tc (duy tr t l n by). Vn CSH lm gim ri ro ngn hng trc nguy c khnh kit c ngha ngn hng s duy tr c d n huy ng cn thit x l pha cu thanh khon (cp tn dng) v cung thanh khon (ti tc tin gi n hn). Do VN k lut th trng cn khim tn, thanh khon gy xo trn ngn hng nn vn y v duy tr n by trong gii hn cho php (huy ng/vn CSH t 6-8 ln) gip hn ch ri ro trong hot ng huy ng v cho vay.
6. Kt lun v khuyn ngh

6.1. Kt lun v ti sn v ngun vn Ni n ti sn (ti sn c). ng ph bin ng li sut, c cu ti sn nhy cm vi li sut (TSncvls), ngun vn nhy cm vi li sut (NVncvls) c quan tm. Khi li sut huy ng v li sut cho vay u tng mnh nh din bin nm 2008, 2011 nu TSncvls > NVncvls th gip tng li nhun, khi li sut huy ng v li sut cho vay u gim nh nm 2012 vi c cu TSncvls > NVncvls nh vy s nh hng xu n li nhun. Ri ro tn dng lm gim cht lng ti sn ch yu l tch t n xu, chi ph x l n xu vo cc nm sau tng lm gim li nhun. ti sn thanh khon (TSTK) gi chc nng d tr thanh khon i ph vi ri ro thanh khon. V phn ngun vn (ti sn n). Ri ro li sut tc ng n li nhun vi c ch nh trn. Ri ro thanh khon nh hng n ngun cung thanh khon ngn hng c bit l bin ng ngun vn ngn hn. Khi duy tr c ngun ngn hn s gip rt nhiu trong vic p ng nhu cu cho vay di hn i vi nhng phng n t ri ro. y chnh l mt bin php hu hiu hn ch ri ro tn dng. Trong tng lai nn c cu theo nguyn tc TSncvls < NVncvls v ko di thi gian huy ng vn v rt ngn thi gian cho vay v u t. thc hin c, ngn hng phi tht s c tim lc ti chnh v c ch th trng r rng hn. 6.2. xut cng c QLRR V cng tc gim st t xa

C th a vo ng dng ngay Z-score nh gi ri ro h thng ngn hng qua tng thi k trc vo sau qu trnh ti c cu ngnh ngn hng (2013-2015). Lm quen vi ch s Z-score nh l cng c nh gi ri ro h thng v nh gi ri ro khnh kit. NHNN nn c nhn nhn khch quan v mc ri ro c nguy hi n h thng ngn hng hay cha? Nu n mc nguy him th mnh dn x l ch khng nn bo v. Trong ba giai on ti cu trc h thng ngn hng: gii quyt thanh khon, gii quyt n xu v tng nng lc qun tr th buc phi gim t l tng huy ng trn vn CSH. Thng t 13/2010/TTNHNN ngy 20/05/2010 mc 5 iu 18 yu cu khng ch t l tng d n cho vay/tng huy ng di 80% v n ti c cu h thng cc TCTD 20112015 quyt nh 245/Q-TTg ngy 01/03/2012 trong phn B.I.2.h nu tng bc gim t l d n tn dng/huy ng di 90% vo nm 2015, tng tnh kh thi nn quan tm: (1) Hn ch nhng danh mc cho vay tim n nhiu ri ro. Hoc gim d n tn dng v d n huy ng, tuy nhin kh gim d n huy ng khi cc loi hnh u t cho dn chng hy cn t. Do vy gim t l tng d n cho vay/tng huy ng c th cho php tng huy ng bng cch yu cu cc ngn hng tng vn thnh vin th trng tin tng gi tin. (2) Cn b sung chi tit i vi t l i vi tng d n cho vay/huy ng ngn hn. Cm khng cho vt mc no v d 66.08% (trung bnh ngnh

S 9 (19) - Thng 03-04/2013 PHT TRIN & HI NHP

37

Nghin Cu & Trao i

qua cc nm). B sung ny va hn ch cc ngn hng lch trn huy ng ngn hn, va m bo cp tn dng khng b bp mo nh gp vn u t, mua c phiu doanh nghip nh nhng nm qua. (3) Dng LLP lm ch bo tnh trng ri ro tn dng v thng tin nh gi hiu qu kinh doanh ca mt ngn hng. Chc nng ALM trong QLRR Nhim v qun l ti sn n ti sn c (ALM) l phi hon thin o lng ri ro li sut, ri ro thanh khon v s dng cng ph phi sinh nhng ngn hng c quy m vn trung bnh (di 5.000 t VND). Gn y cc ngn hng nh MHB, Agribank, SHB, DongABank tng bc chn m hnh ALM ph hp v tp trung vo ri ro thanh khon, ri ro li sut, phn tch xu hng t s c trng, theo di thu nhp li thun-NII. i vi ri ro thanh khon nn phn 3 cp c th l kh nng thanh khon ngn hn, tnh hung cng thng thanh khon v huy ng vn phc v thanh khon. i vi ri ro li sut th khuyn co ngn hng tp trung vo vic o lng v gim st, tnh ton nhy ca thu nhp li thun t th trng 1, th trng 2, GTCG, phn tch nhy gi tr kinh t ca vn CSH, theo di xu hng li sut bnh qun ca ti sn-ngun vnGTCG. Kt qu ca nghin cu s h tr ngn hng u tin la chn m hnh ALM v cng c ph hp vi trnh v nng lc ca mnh ch khng nht thit chy theo tro lu ca th gii. Nhng g thuc v nguyn tc th tuyt i tun th, nhng g cha ph hp vi VN th ch nn tham kho. C th nh sau: i vi qun l ri ro li sut Trc c sc li sut lm thay i li sut dn n s bt li gi tr kinh t vn CSH th ngn hng tin lng mc gim trong phm vi 20% theo khuyn co Basel 2. ng thi theo di li sut bnh qun (LSBQ) ca TSncvls (i vi danh mc cho vay) v NVncvls (i vi d n huy ng ngn hn). Cn LSBQ ca giy t c gi (gtcg) c th l tri phiu chnh ph (TPCP) th cha ph hp ti VN v 02 vn sau: (i) Ngn hng s dng TPCP to thu nhp n nh ng thi gim ri ro cho danh mc ti sn c. Mt phn TPCP c s dng nh d tr thanh khon trc tnh hung cng thng v thanh khon; v (ii) Cc ngn hng mnh chim u th cho vay trn th trng lin ngn hng, khi cn tin mt nhng ngn hng ny sn sng s dng TPCP chuyn thnh tin mt kinh doanh, cho nn TPCP l cng c to li nhun t bin ch khng n thun l khon d phng thanh khon. Hnh vi ny cho thy cng tc ALM khng nht thit ch n LSBQ ca GTCG v bin ng li sut trn th trng lin ngn hng (TT2) nh tro lu th gii. Cc ngn hng t t b sung cng c LSBQ GTCG, LSBQ TT2 vo ALM khi tht s c nhu cu hay c chin lc cnh tranh trn th trng GTCG v th trng lin ngn hng. Bn cnh NII (thu nhp li thun) nh gi ri ro li sut ti mt thi im (hng qu) trong chu k kinh doanh (hng nm), cc ngn hng nn b sung NIR (t l TNLT/TTSbp) nh l ch bo ng ph ri ro li sut. i vi ri ro thanh khon Trong ngn hn ch n t l tng d n cho vay/huy ng ngn hn, quan tm s bin ng ca d n tin gi ch o. Kt qu nghin cu xut cng tc ALM ca cc ngn hng nn tp trung nhiu hn vo cu trc vn phc v thanh khon v hiu qu hot ng. Ngoi ra vic kim tra cng thng (stress test) l tt nhng do t l GTCG mc cao (38.75% tng huy ng ngn hn), nu tin hnh kim tra th chng rt kt lun g v tc ng ca ri ro thanh khon n tn tht ngn hng. Mc d t l TSTK (bin LAD) khng c ngha nhng c quan h nghch vi ri ro, NHTM xem vic u t GTCG phc v hai mc tiu: (i) d phng thanh khon v (ii) gim bin ng thu nhp t thu nhp n nh ca GTCG trong trung hn. Khi th trng tri phiu trong qu trnh hon thin th hai mc tiu ny khng cn tch bit. Khi th trng tri phiu pht trin v cc cng c phi sinh li sut ph bin th lc cn phi tch bit tng hiu qu dng tin cho ngn hng v cho nn kinh t ng thi m bo danh mc ti sn hiu qu-an ton. Vic lp k hoch u t GTCG vi 02 mc tiu va nu ph thuc vo chin lc kinh doanh ca tng NHTM c bit l nhng ngn hng c u th trn nhng phn khc th mnh nh: phc v doanh nghip SME xut khu, sn xut kinh doanh c tnh thi v, cho vay tiu dng, doanh nghip quy m rt nh, h c th

38

PHT TRIN & HI NHP S 9 (19) - Thng 03-04/2013

Nghin Cu & Trao i

Ri ro ca h thng ngn hng ang gia tng. Trong phm vi cho php, ri ro gia tng gip ngn hng c c hi tng thu nhp. Di tc ng ca hiu ng bin gim dn khi ri ro tip tc tng li nhun s tng chm v chuyn sang gim dn vi tc nhanh nh din bin trong nm 2012. Khi gim li nhun kh nng chng chi s yu do nng lc ti chnh b suy gim, t nh hng xu n vn CSH, c th lm cn vn. Nguyn tc iu chnh hnh vi nhn ri ro l khi ri ro gia tng th ngn hng phi hn ch nhn ri ro trong iu kin bt li nh nm 2011, 2012 v cho php nhn thm ri ro gia tng li nhun trong iu kin thun li nm 2006, 2007. Tuy nhin cc ngn hng VN u c chung xu th nhn tip ri ro bt k iu kin kinh t ra sao! V vy ngn hng VN tht s xem xt nguyn tc trn khoa hc hn. Hu qu ca vic nhn ri ro nm sau nhiu hn l con dao hai li, c th mang li li nhun cao nhng d lm mt nim tin t cc thnh vin th trng.
7. Hn ch v gi hng nghin cu khc

Lan tm ra li th cnh tranh v tng cng trnh QLRR ph hp vi khu vc. Nghin cu c th m rng theo hng b sung cc bin nh ri ro t gi, li sut lm c s la chn cng c phi sinh ph hp u tin pht trin. Nghin cu dng lm c s thm nh nhng nh gi ca cc t chc nc ngoi v QLRR h thng ngn hng VN. Tng bc nng cao trnh d bo v gim dn s ph thuc cng ngh ngn hng t bn ngoi ngnh ngn hng c bn sc-an ton-hiu qu phc v pht trin bn vng nn kinh t.l
TI LIU THAM KHO Asset/Liability Management Benchmark Study: Analysis of a PWC survey 2006. Bellovary J., Giacomino D., Akers M. (2007), A Review Bankrupt Prediction Studies: 1930 To Present, Journal of Finance Education,Vol. 33. Cihak M., Hesse H. (2008), Islamic Banks And Financial Stability: An Empirical Analysis, IMF working paper. Federic S. Mishkin (2010), the Economics of Money, Banking & Financial Market, 9th Edition. Foos D., Norden L., Weber M (2010), Loan Growth And Riskiness Of Banks, Journal of Banking and Finance, Vol. 34, p. 2929-2940. Gary Whalen & James B. Thomson (1988), Using Financial Data To Indentify Changes In Bank Condition, SSRN. Halling M., Hayden E. (2006), Bank failure Predicttion: A Two-Step Survival Time Approach, SSRN. IMF (2004), Compilation Guide On Financial Soundness Indicators. Jordan D. J., Rice D., Sanchez J., Walker C., Work D. H. (2011), Predicting Bank Failures: Evidence From 2007 To 2010, SSRN. Jordan J. S. (1998), Problem Loans At New England Banks 1989-1992: Evidence Of Aggressive Loan Policies, New England Economic Review, Federal Reserve Bank of Boston, p. 23-38.

Mt hn ch v cha p ng cu hi thc t v hiu ng tc ng ng thi ca ti sn thanh khon v ngun vn ngn hn n ri ro ngn hng. Khi th ch kinh t-chnh trx hi VN trnh tin tin hn. Th trng ti chnh vi yu t thanh khon ng vai tr quan trng nht th nghin cu ny s pht huy li th. Ngoi ra, bng cch so snh tng cp quc gia gia VN vi Philippines, Indonesia, Malaysia hay Thi

Logan A. (2001), The UKs small banks crisis of the early 1990s: what were the leading indicators of failure, Banking of England, www.bankofengland.co.uk/ workingpapers/index.htm. Marco G. T. & Fernadez D. R. M. (2004), Risk-taking behavior and ownership in the Banking Industry: the Spanish Evidence, SSRN. Montgomery H., Tran B. H., Santoso W., Besar D. (2004), Coordinate failure? A cross-country bank failure prediction model, ADB Institute Discussion Paper, No. 32, http://ssrm.com/ abstract=1905857. Rudolf Duttweiler (2009), Managing Liquidity in Banking, (bn dch Qun l thanh khon nm 2010, NXB Tng hp Tp. HCM). AAG(2012), Bo co kinh t v m 2012, NXB Tri Thc. Hong Trng, Chu Nguyn Mng Ngc. (2008), Phn tch d liu vi SPSS, NXB Hng c. Nguyn Ch c, Nguyn Minh Kiu, Hong Trng (2012), Nghin cu thc chng hiu ng K lut th trng ngnh ngn hng VN, Tp ch Khoa hc trng i hc M Tp. HCM , s 1, trang 31-40. Nguyn Minh Kiu (2007), Nghip v ngn hng hin i, NXB Thng k Nguyn Th Hai Hng (2011), nh gi mc p ng cc tiu chun Basel III trong hot ng ngn hng ti VN, Tp ch Cng ngh ngn hng, S 67, trang 11-17. Nguyn Trng Hoi, Phng Thanh Bnh, Nguyn Khnh Duy (2009), D bo v phn tch d liu kinh t v ti chnh, NXB Thng k. Nguyn Vn Hiu (2010), Nng t l an ton vn ti thiu theo Basel III l trnh cng c bc tng an ninh ti chnh ngn hng, Tp ch Ngn hng, S 22, trang 17-20. Phm Ph Nhn (2011), Nguyn nhn pht sinh ri ro tn dng ca NHTM, Tp ch Th trng ti chnh tin t, s 10, trang 29-31.

S 9 (19) - Thng 03-04/2013 PHT TRIN & HI NHP

39