Nhom 1 RRTN

TRNG I HC KINH T TP.
HCM
KHOA NGN HNG
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ti :
QUN TR RI RO TC NGHIP THEO BASEL
TRONG HOT NG NGN HNG
GVHD: PGS.TS. TRN HUY HONG
Nhm thc hin: Nhm 1
Lp: B301 Kha 23
www.trungtamtinhoc.edu.vn
DANH SCH NHM

1.Nguyn Hong An
2.V Th Phng Lin
3.Phm Thanh Tng
4.Dip Nht Tun
TNG QUAN V RI RO TC NGHIP THEO BASEL
THC TRNG QUN TR RI RO TC NGHIP
TRONG HOT NG NGN HNG TI VIT NAM
GII PHP NNG CAO NNG LC QUN TR RI
RO TC NGHIP TRONG HOT NG NGN HNG
TI VIT NAM
NI DUNG TI
PHN 1: TNG QUAN V
RI RO TC NGHIP THEO BASEL

Khi qut v ri ro tc nghip
Qun tr ri ro tc nghip trong hot ng
ngn hng
o lng ri ro tc nghip theo Basel

Khi nim

Ngoi ri ro tn dng v ri ro th trng c qui nh ti Basel
1, Basel 2 b sung thm mt loi ri ro na l ri ro tc nghip
(hay cn gi l ri ro hot ng/vn hnh).
Ri ro tc nghip l ri ro gy ra tn tht do cc nguyn nhn nh
con ngi, s khng y hoc vn hnh khng tt cc quy trnh,
h thng; cc s kin khch quan bn ngoi. Ri ro tc nghip bao
gm c ri ro php l nhng loi tr v ri ro chin lc v ri ro
uy tn
Khi nim

Nguyn nhn
La o, trm cp
Thin tai, php l

Lc hu, b li
Thiu ng b, bo mt

Khng y , kp thi
Khng ph hp, r rng

Khng s lng, cht
lng
Khng tun th quy nh
o c ngh nghip

Con
ngi
Quy
trnh
Bn
ngoi
H
thng

Qun tr ri ro tc nghip

Khi nim
Qun tr ri ro tc nghip l qu trnh tin hnh cc
bin php xc nh, o lng, nh gi ri ro tc
nghip a ra cc gii php cnh bo gim thiu ri
ro v kim tra, gim st qu trnh thc hin cc gii
php ny.

Cc nh nghin cu tnh ton nh hng nh tnh b mt v
RRTN trong cc ngn hng thng thng l 10 % li nhun.
RRTN cn nh hng n uy tn ca ngn hng.
U ban Basel cho rng vic qun tr ri ro tc nghip rt quan
trng cng cn c xem xt mt cch nghim tc nh ri ro
tn dng v ri ro th trng.
Trong xu th pht trin ca thi i hin nay, RRTN dng nh
tip tc tng
Tm quan trng

Xc nh ri ro (Identifying)
o lng ri ro (Assessing)
Gim st ri ro (Monitoring)
Qun l ri ro (Controlling/mitigating)
Quy trnh

Khung qun tr
Theo gi ca Basel
Basel khuyn ngh 4 vn v 10 nguyn tc vng
Vn th nht: To ra mi trng qun tr ri ro ph hp
Vn th hai: Qun tr ri ro: xc nh, nh gi, gim st,
kim sot
Vn th ba: Vai tr ca c quan gim st
Vn th t: Vai tr ca vic cng b thng tin

Nguyn tc qun tr
Cc ngn hng ang s dng phng php ch s
c bn cn nm gi mc vn i vi ri ro tc nghip
bng mt t l khng i 15% ca tng thu nhp
dng trung bnh trong 03 nm gn nht ca ton
ngn hng
Cng thc tnh chi ph vn theo BIA:

o lng ri ro tc nghip

Phng php ch s c bn
K
BIA
=
( )/


3 Phng php
Yu cu vn
ti thiu

Phng php tip cn phc tp
Cao
Phng php ch s c bn
(the Basic Indicator Approach- BIA)
n gin
Trung bnh
Phng php chun ha
(the Standardised Approach- SA)
Tng i n gin
Thp
Phng php o lng tin tin
(the Advanced Measurement
Approach- AMA)
Phc tp

Phng php ch s c bn
c im:
Tng i n gin p dng
Khng yu cu ngn hng phi p ng bt k tiu chun
no c p dng.
Chi ph vn tng cao hn so vi nhng phng php khc.
Cho nhng ngn hng nh v t phc tp
Cc hot ng ca ngn hng c chia thnh 8 lnh
vc kinh doanh v tng lnh vc c yu cu vn ti
thiu ca ring n.
Cng thc tnh chi ph vn theo SA:


Phng php chun ho
K
TSA
=

/
Cc yu t Beta t cho cc mng hot ng kinh doanh
Ti tr doanh nghip (1) 18% Chi tr v thanh ton (4) 18%
Thng mi v bn hng (2) 18% Cc dch v ngn hng i l (6) 15%
Ngn hng bn l (3) 12% Qun l ti sn (7) 12%
Ngn hng thng mi (4) 15% Mi gii bn l (8) 12%

Phng php chun ho
iu kin p dng:
Ban gim c v nh qun l cp cao phi tch cc tham gia.
Cc ngn hng phi c ngun lc.
Phi c mt chc nng qun tr RRTN c lp, r rng.
Cn c bo co thng xuyn v mc RRTN v thua l ln.
Cc h thng qun tr RRTN ca ngn hng cn chu s r sot
thng xuyn.

Phng php chun ho
S dng chnh m hnh o lng RRTN ni b ca
ngn hng c lng thit hi trong d on
(expected loss- EL) v ngoi d on (unexpected
loss- UL) trong tng lai.
Khng c m hnh AMA c th c xut bi cc
nh qun l.


iu kin p dng:
M hnh phi nm bt c cc thua l do RRTN trong vng
mt nm vi khong tin cy 99,9%.
M hnh phi nh nm bt cc bin c ui.
M hnh c th s dng hn hp s liu ni b v s liu bn
ngoi v vic phn tch bi cnh.
Ngn hng phi c cc th tc cht ch thu thp v lu tr
s liu mang tnh lch s v tn tht hot ng, lu tr

PHN II: THC TRNG QUN TR RI
RO TC NGHIP TRONG HOT NG
NGN HNG TI VIT NAM

Kinh nghim qun tr ri ro tc nghip trn th gii
Bi hc i vi Vit Nam
Tnh hnh chung v cng tc QTRRTN
Cc thc QTRRTN ti cc NHTM
Nhng s kin v ri ro tc nghip trong thi gian
gn y
nh gi chung
Nhiu ngn hng M, Chu u,
Nht Bn, Australia p dng cch
tip cn o lng hin i AMA
(Advanced Measurement Approach)
Hn 50% ngn hng Ty Ban Nha
thc hin i mi hot ng v t
chc nhm mc tiu qun tr RRTN
nh: thnh lp mt b phn ring bit
chuyn v RRTN, i mi h thng
bo co v p dng cng ngh hin
i.
Mt s ngn hng s dng ti a
ngun lc t bn ngoi qun tr
RRTN, nh ING Group thu IBM
qun tr RRTN, Citibank s dng
phn mm CLS (Continuous Linked
Settlement).
Kinh nghim qun tr ri ro
tc nghip trn th gii
Bi hc cho Vit Nam
Th nht, p dng trit 4 vn
chnh vi mi nguyn tc vng v
qun tr RRTN theo y ban Basel
Th hai, xy dng thc v qun
tr RRTN trong ton h thng, la
chn cc lnh vc u tin thit
lp cc cht kim sot v RRTN.
Th ba, xy dng h thng cc ch
tiu o lng ri ro chnh KRIs
(key risk indicators), nh lng
ha RRTN theo cch tip cn
AMA
Th t, xy dng ngn hng d
liu v RRTN v s dng cng
ngh hin i trong phn tch, x
l RRTN.
Tnh hnh Qun tr ri ro tc nghip ti
Ngn hng Vit Nam ni chung
Khng hong
ti chnh
Suy thoi
kinh t
Hi nhp Khu
vc & Quc
t
Chnh sch
kinh t v m
Vit Nam
Hot ng
ngnh ngn
hng
Ngn hng TM Vit Nam
Quy
m
nh-
trung
bnh
Vn t-
H s
an ton
vn
thp
Nng
lc
qun tr
cn
yu
C s
vt
cht,
h
tng,
cng
ngh
lc hu
Nhn
s
chuyn
mn
cao
thiu
C ch,
h
thng
qun l
cha
hon
thin
Quyt
nh s
457/2005/
Q-
NHNN
Quyt
nh
03/2007/Q
-NHNN
Thng t
s
13/2010/T
T-NHNN
Thng t
s
19/2010/T
T-NHNN
Thng t
s
22/2011/T
T-NHNN
Tnh hnh QTRRTN ti cc NHTM ni chung.

Xy dng khung php l, quy nh, quy trnh qun tr RRTN
Thu thp d liu tn tht qun l ri ro tc nghip
Cng ngh h tr o lng, gim st ri ro tc nghip
C cu qun tr ri ro
T nh gi kim sot ri ro, xc nh ch s ri ro chnh
o to ngun nhn lc lm cng tc qun l ri ro tc nghip
Hot ng thanh tra, gim st ngn hng
Qun tr ri ro tc nghip ti ngn hng c th.

Khi Qun l ri ro
Phng Kim sot v ph duyt tn dng
Phng Qun l ri ro tn dng
Phng Qun l ri ro th trng
Phng Qun l ri ro tc nghip
Phng Qun l cn i vn v k hoch
ti chnh

Vietinbank
Xc nh ri ro tc nghip
Xy dng, t chc thc hin k hoch phng
nga v gim thiu ri ro tc nghip
Gim st ri ro tc nghip
Kim tra, kim sot ni b i vi QTRRTN
BIDV
Quy trnh
Nhn
din ri
ro
nh gi
ri ro
Kim
sot ri
ro
Ti tr
ri ro
Nhn din
ri ro
Xc nh du
hiu RRTN
S c ri ro tc
nghip
Giao dch nghi
ng, bt thng
Ri ro i vi
sn phm mi
nh gi
ri ro
Phng php
nh tnh o
lng ri ro lin
quan n cn b
v c ch vn
bn, quy nh
Phng php nh
lng o lng cc ri
ro lin quan n qu
trnh x l cng vic, t
h thng CNTT,
chng trnh phn
mm v cc yu t bn
ngoi
Kim sot
ri ro
Thu thp, tng
hp cc s liu,
ti liu
xy dng k
hoch v t chc
thc hin phng
nga, gim nh
RRTN
Theo di, nh
gi kt qu thc
hin cc phng
n phng
Ti tr ri
ro
H s an ton
vn ti thiu
CAR theo
Basel I I
S dng li
nhun sau thu
b p tn
tht
Cc ri ro tc nghip gn y

i n Hunh Th Huyn Nh
Din Bin
T thng 3/2010 n 9/2011, ly danh ngha huy
ng vn cho Vietinbank, Huyn Nh lm gi 8
con du chi nhnh Nh B ca ngn hng ny v 7
cng ty khc, ng thi lm gi ti liu ca
Vietinbank cng nhiu n v, c nhn khc la
o, chim ot ca 9 cng ty, 3 ngn hng, 3 c
nhn tng cng hn 4.911 t ng.
Cch thc ly tin

i n Hunh Th Huyn Nh
Lm gi con du v
ch k khch hng
lm y nhim chi
rt tin t ti khon
khch hng.
Lm gi con du
ngn hng, pht
hnh hp ng tin
gi (s tit kim)
gi cho khch hng
chim ot s tin
thu c.
Lm gi h s vay
vn ca khch hng,
bo lnh bng s tit
kim ca khch
hng, b Vietinbank
phong ta ti khon
khi v vic v l.
Nn x th no?
Trng hp 1:

i n Hunh Th Huyn Nh
X
VietinBank
v can
Ngi dn mt nim
tin vo h thng ngn
hng
Gii kinh doanh nc
ngoi s nh gi mi
trng kinh doanh Vit
Nam nhiu ri ro
S to ra tm l li hay cn
gi l ri ro o c (moral
hazard) i vi cc ngn hng
Trng hp 2:

i n Hunh Th Huyn Nh
X theo
hng
VietinBank
phi c
trch nhim
Trit tiu
tm l li
ca ngn
hng
Khi phc
lng tin ngi
dn vo
Vietinbank v
h thng ngn
hng Vit Nam
Kt qu:
Huyn nh b chung thn v ti la o chim ot
ti sn.
Vietinbank v can, khng chu trch nhim bi
thng thit hi

i n Hunh Th Huyn Nh

i n Bu Kin
Din bin:
Bng th on "ly m n rn n", Bu Kin (ng
Nguyn c Kin) vay s tin hn 2.400 t ng
ca ngn hng ACB; sau s dng tin vay mua
c phn, c phiu ca mt s ngn hng, ri dng
s c phn, c phiu th chp li cc khon
vay ban u ti ngn hng ACB, to ra vn o, gy
nh hng xu n chnh sch ti chnh, tin t ca
Nh nc.
Kt qu:
ng Kin, mt trong nhng doanh nhn giu
nht Vit Nam, b ta s thm tuyn n 30 nm
t hm 9/6.
By b co cn li nhn cc mc n t hai n
tm nm t, trong ng L Xun Hi, cu
tng gim c Ngn hng ACB, b n tm nm
t.

i n Bu Kin
Nhn nh:
V n mang yu t chnh tr nhiu hn yu t
kinh t


i n Bu Kin
Din bin:


Ngn hng pht trin ak Nng
Li dng ch trng cho
vay vn tn dng xut
khu ca Nh nc, 5
cng ty lm gi cc
loi h s, giy t lm
th tc tm ng vay vn.
c vay vn, cc i
tng thng ng, mc
ni v a hi l cho mt
s cn b thuc ngn hng
vi s tin "chung chi" rt
ln la o, tham
chim ot ti sn ca Nh
nc vi s tin 1.058 t
ng.
Din bin:
y l v th chp hy hu. Agribank nhn th
chp o (quyn s dng 6 thng hiu thi trang
mua t nc ngoi ) doanh nghip rt rut
nghn t tht. Khon n vay Agribank u t d
n Luxfashion tnh n ngy 12/10/2012 l hn
3.099 t ng.

Th chp o ti Agribank
Cc v d khc
T nm 2003, Lut t ai c hiu lc, song Lut
Nh n ngy 1/7/2006 mi c hiu lc. iu ny
dn n trng hp c ngn hng cho vay, ti sn
th chp l 450 m2 t khu vc kh t ca
H Ni ca mt bn th ba. Sau mt thi gian, bn
th chp xy mt bit th trn t . Khi khch
hng khng c kh nng tr n, ngn hng mun
x l ti sn th chp nhng khng c, bi hp
ng th chp ch c ti sn l quyn s dng t,
nh vn thuc quyn s hu ca bn th ba
Cc v d khc
Ngy 25/8/2008, ti chi nhnh Ngn hng
Thng mi c phn i Dng xy ra v cp
ht sc to tn. Ton b s tin trong kt gn
920 triu ng b ly i
Theo phn nh ca ngi dn, tra ngy
29/11/2013, dng nh ton b h thng my
ATM ca tt c cc ngn hng trn cc ph H
Ni vn hot ng nhng khng th rt c tin
nh gi kt qu t c
Tch cc
To lp c mt h thng QTRRTN, i su vo bn cht ca vic to ra li nhun t vic
hn ch ri ro
Nng cao cht lng kim tra, kim sot ni b
Nhn ra s h, hn ch trong cc nghip v v tp trung gii quyt
Hn ch c ri ro, nng cao cht lng hot ng
Hn ch
Ch quan
Cng tc o to ngun nhn lc ca cc NHTM.
Cha ng dng, hoc cha vn dng ht tnh nng ca cng ngh hin
i.
Cng tc d on ri ro cn nhiu hn ch.
H thng vn bn hng dn thc hin quy trnh giao dch ca cc
NHTM cn nhiu hn ch.
Cha ch ng trong phng nga cc ri ro do cc yu t khch quan
mang li.
Khch
quan
H thng php l, vn bn ch o cha hon chnh
Mi trng kinh doanh ti Vit Nam cn nhiu bt
cp nn cn tim n nhiu ri ro
C hi
Quan tm ng mc hn i vi
qun tr ri ro ni chung v qun
tr ri ro tc nghip ni ring.
Tip cn vi m hnh QTRRTN
mi v tin tin hn.
o to ngun nhn lc di do
cho lnh vc qun tr.
Thch thc
D b nh hng bi cc tc ng t
bn ngoi.
S n nh h thng b e da khi
cha xy dng y c s php l
v thc thi qun tr ngn hng thn
trng.
Cnh tranh mnh m v khc lit d
dn n tht bi v sp h thng.
Cng ngh phi tng thch.
Cc ngn hng lin tc phi iu
chnh p ng vi s thay i
ca h thng php l
T duy vn ha qun tr ri ro.
Cht lng ngun nhn lc khng
theo kp tc pht trin v yu cu
hi nhp.
PHN III: GII PHP NNG CAO NNG
LC QUN TR RI RO TC NGHIP
TRONG HOT NG NGN HNG TI
VIT NAM

Nng cao hiu lc,
hiu qu khun kh
php l, th ch ti
chnh
Thit lp mt quy trnh
qun tr ri ro tc
nghip
Tin hnh thc hin
quy trnh thit lp
Phn hi v vic thc
hin quy trnh
Nng cao nng lc
qun tr ni b
C cu li m hnh t
chc
Nng cao nng lc ti
chnh
Hon thin cc iu
kin, c s thc hin
cho m hnh t chc
qun l ri ro tc
nghip
o to ngun nhn
lc qun l ri ro

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TRNG I HC KINH T TP.

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