(123doc - VN) Luan Van Thac Si 2014 Quan Ly Rui Ro Thanh Khoan Tai Ngan Hang TMCP Quan Doi

MAI THU THY
QUN L RI RO THANH KHON TI NGN HNG

THNG MI C PHN QUN I
LUN VN THC S KINH T
MAI THU THY
QUN L RI RO THANH KHON TI NGN HNG

THNG MI C PHN QUN I
Chuyn ngnh : Ti chnh ngn hng
M s : 60340201
LUN VN THC S KINH T
NGI HNG DN KHOA HC :

TS. L THNH L
N
LI CAM OAN
Ti xin cam oan Lun vn QUN L RI RO THANH KHON TI
NGN HNG THNG MI C PHN QUN I l kt qu ca qu trnh hc
tp, nghin cu c lp ca ring ti v cha tng c cng b trong bt c cng
trnh nghin cu khoa hc no.
Cc s liu trong Lun vn l trung thc, c ngun gc r rng.
Thnh ph H Ch Minh, thng 02 nm 2014
Tc gi
Mai Thu ThyMC LC
Trang ph ba
Li cam oan
Mc lc
Danh mc cc t vit tt
Danh mc cc bng, biu
Danh mc cc hnh v, th
M u
1
Chng 1 TNG QUAN V QUN L RI RO THANH KHON TRONG
NGN HNG THNG MI..............................................................................................................5
1.1 Vn thanh khon trong ngn hng thng mi...................................................5
1.1.1 Khi nim thanh khon v ri ro thanh khon..................................................5
1.1.1.1 Khi nim thanh khon........................................................................................5
1.1.1.2 Khi nim ri ro thanh khon...............................................................................6
1.1.2 Cc nguyn nhn dn n thiu ht thanh khon v du hiu ca ri ro
hanh khon.............................................................................................................................................7
1.1.2.1 Nguyn nhn bn trong........................................................................................7
1.1.2.2 Nguyn nhn bn ngoi......................................................................................10
1.1.3 nh gi ri ro thanh khon..........................................................................12
1.2 Qun l ri ro thanh khon..................................................................................14
1.2.1 Khi nim qun l ri ro thanh khon...........................................................14
Trang
1.2.2
1.2.3
Mc tiu ca vic qun l ri ro thanh khon...............................................14

Cc phng php o lng thanh khon ca ngn hng..............................15
Phng php tip cn ngun vn v s dng vn

15
1.2.3.1
Phng php tip cn cu trc vn...................................................................17
1.2.3.2
1.2.3.2
1.2.4
1.2.4.1
1.2.4.2
1.2.4.3
1.3
1.3.1
1.3.2
1.4
1.4.1
1.4.2
Chng 2
2.1
2.1.1
2.1.2
2.1.3
2.1.3.1
2.1.3.2
2.1.3.1
2.1.4
Phng php tip cn ch s thanh khon..........................................................18
Cc chin lc qun l thanh khon.................................................................................20
Qun l thanh khon da vo ti sn C...........................................................20
Qun l thanh khon da vo ti sn N...........................................................21
Chin lc cn i thanh khon gia, ti sn C v ti sn N...........................22
Gii thiu v quy nh c cu vn v gim st ngn hng Basel 2.................................23
Cc chun mc ca Basel 2 v qun l ri ro thanh khon.............................................23

Mt s kha cnh thiu st ca Basel 2 v qun l ri ro thanh khon...........................24
Bi hc kinh nghim cho cc ngn hng Vit Nam ngy nay v qun l
ri ro thanh khon.........................................................................................26
Kinh nghim qun l ri ro thanh khon ca Ngn hng Thng mi
C
phn SMBC Nht Bn......................................................................................................26
Kinh nghim t cc s c trong qun l ri ro thanh khon............................................27
THC TRNG QUN L RI RO THANH KHON TI NGN
HNG THNG MI C PHN QUN I.............................................................29
Qu trnh pht trin v li th kinh doanh ca
Ngn hng Thng
mi c phn Qun i (MB)............................................................................................29
Qu trnh hnh thnh v pht trin ca MB......................................................................29
Li th kinh doanh ca MB..............................................................................................33
S lc hot ng kinh doanh ca MB t 2009 n 2013...............................................35
Hot ng tn dng..........................................................................................35
Hoi: ng huy ng vn.................................................................................39
Hot: ng u t............................................................................................43
nh gi kt qu kinh doanh ca MB t 2009 n 201344Qun l ri ro thanh khon ti Ngn hng
Thng mi C phn Qun
2.2 i 46
2.2.1 Khung php l cho qun l ri ro thanh khon.............................................46
2.2.1.1 Quy nh ca Nh nc....................................................................................46
2.2.1.2 Quy nh ca Ngn hng TMCP Qun i.........................................................48
2.2.2 Qun l ri ro thanh khon ca Ngn hng TMCP Qun i (MB)..........50
2.2.2.1 V nhn s v t chc.......................................................................................50
2.2.2.2 V quy trnh qun l ri ro thanh khon..............................................................53
2.2.2.3 Phng php v cng c qun l ri ro thanh khon...........................................54
2.3 Phn tch cc ch s thanh khon ti Ngn hng Thng
mi C phn
Qun i 56
2.3.1 Cc ch s theo quy nh ca Ngn hng Nh nc......................................56
2.3.2 Phn tch cc ch s o lng thanh khon ca MB.....................................58
2.4 nh gi tnh hnh thanh khon ti Ngn hng Thng mi C phn
Qun i 61
2.5 nh gi khu qun l ri ro thanh khon ti Ngn hng Thng mi
C phn Qun i.................................................................................................................................62
2.5.1..............................................................................Nhng kt qu t c
....................................................................................................................62
2.5.2.............................................................................Nhng tn ti v hn ch
....................................................................................................................64
Chng 3 GII PHP HON THIN VIC QUN L RI RO THANH KHON
TI NGN HNG THNG MI C PHN QUN I...................................66
3.1 nh hng kinh doanh ca Ngn hng Thng mi C phn Qun
i trong thi gian ti...........................................................................................................................66
3.1.1 Gi thuyt v cn c d bo k hoch..........................................................66
nh hng chin lc ca NHTMCP Qun i trong nhng nm ti 67

3.1.2
3.1.3 nh gi ca t chc t vn v k hoch li nhun ca NHTMCP Qun
3.1.4 i
68
4.2 Mt s gii php v kin ngh hon thin vic qun l ri ro thanh
khon ti Ngn hng Thng
mi C phn Qun i.............................69
4.2.1....................................Cc gii php v pha Ngn hng TMCP Qun i
....................................................................................................................69
4.2.2
Kin ngh i vi Chnh Ph v Ngn hng Nh nc
V it Nam.................74
4.2.2.1...................................................................Kin ngh i vi Chnh Ph
..............................................................................................................74
4.2.2.2...................................................V pha Ngn hng Nh nc Vit Nam
..............................................................................................................76
Kt lun 79
Ti liu tham kho
Ph lcALCO y ban Qun l Ti sn N - Ti sn C (Asset - Liability Management
Committee)
CAR
H s an ton vn (Capital Adequacy Ratio)

CBCNV
Cn b cng nhn vin
I. A.S Chun k ton Quc t (International Accounting System)

ICAAP
Quy trnh nh gi Mc y vn ni b (Internal Capital Adequacy

Assessment Process)
MB
Ngn hng Thng mi C phn Qun i (Military Commercial Joint

Stock Bank)
MBS
MIS
Cng ty C phn Chng khon MB
H thng tin qun tr doanh nghip (Management Information System)

NHNN
Ngn hng Nh Nc
NHTM
Ngn hng thng mi
QE
SME
Ni lng nh lng (Quantitative Easing)

Doanh nghip va v nh (Small and medium enterprise)
TCTD
TMCP
UBCKNN
T chc tn dng
Thng mi c phn
y ban Chng khon Nh Nc
V.A.S Chun k ton Vit Nam (Vietnam Accounting System)

Trang
Bng 2.1: Tng hp qu trnh tng vn t nm 2006 n 2013
30
Bng 2.2: C cu c ng vo 30/12/2013...........................................................................................31

Bng 2.3: D n cho vay theo i tng khch hng t 2009 n 2013.............................................36
Bng 2.4: D n cho vay theo k hn ca MB t 2009 n 2013.......................................................36
Bng 2.5: Phn loi n v t l n xu ca MB t 2009 n 2013......................................................38
Bng 2.6: C cu huy ng vn ca MB t 2009 n 2013.................................................................39
Bng 2.7: C cu tin gi theo i tng khch hng t 2009 n 2013............................................41
Bng 2.8: C cu tin gi theo hnh thc huy ng t 2009 n 2013................................................41
Bng 2.9: C cu tin gi theo loi tin t 2009 n 2013..................................................................42
Bng 2.10: Kt qu hot ng kinh doanh ca MB t 2009 n 2013................................................45
Bng 2.11: Ch tiu thanh khon theo quy nh ca Ngn hng Nh nc..........................................56
Bng 2.12: Phn tch cc ch tiu thanh khon
58
Trang
S 2.1: C cu t chc ca MB
31
th 2.1: C cu tin gi ca khch hng (theo i tng khch hng)...........................................40

th 2.2: C cu tin gi ca khch hng theo hnh thc v thi hn huy ng..............................42
th 2.3: C cu tin gi ca khch hng theo loi tin.........................43TI LIU THAM KHO
Ting Vit
1. H Diu (2002), Qun tr ngn hng, Nxb Thng K, TP H Ch Minh
2. Ngn hng Thng mi C phn Qun i (2009, 2010, 2011, 2012, 2013), Bo
co thng nin
3. Nguyn ng Dn (2005), Tin t ngn hng, Nxb Thng K, TP H Ch Minh
4. Nguyn Th Mi (2008), Qun tr ngn hng thng mi, Nxb Ti Chnh, H Ni
5. Nguyn Vn Tin (2005), Qun tr ri ro trong kinh doanh ngn hng, Nxb Thng
k, H Ni
6. Trn Huy Hong (2007), Qun tr ngn hng thng mi, Nxb Lao ng x hi, H
Ni
Ting Anh
1. Andrew Crokett (2008), Market Liquidity and financial stability, JB Morgan Chase
International
2. Anthony Sauders, Marcia Millon Cornett (2008), Financial Institutions
Management - A Risk Management Approach, McGraw Hill, New York
3. Basel (2008), Principles for Sound Liquidity Risk Management and Supervision,
Bis
4. Brendan van de Vossen (2010), Bank Liquidity Management, Albany, State
University of New York
5. Denis G. Uyemura, Donald R. V an Deventer (1993), Financial risk management in
banking, A bank line publication
6. ICRA Rating Figure (2007), Liquidity Management in Banks - An Increasingly
complex affair, www.icraratings.com

Manish Kumar (2013), Liquidity Risk Management in
Bank : a conceptual
Framework, DelhiWebsite
http://cafef.vn/
http://vietstock.vn/
http://www.doanhnhan360.com
http://www.gso.gov.vn
http://www.mbbank.com.vn
http ://www.mof.gov.vn
http://www.sbv.gov.vn
http://www.tapchitaichinh.vn/
http://www.vneconomy.vn
http://www.vnexpress.vn
PHN M U
1. Tnh cp thit ca ti
Hn hai thp k qua, t khi h thng ngn hng Vit Nam thc hin qu trnh
ci cch, cc ngn hng thng mi c bc pht trin mi v lng v cht, nhng
vn ri ro thanh khon vn cha c quan tm ng mc. T nm 2007, h thng
ngn hng Vit Nam bt u pht trin mnh vi hng lot thnh vin chuyn i, phn
ln l nhng c ng trc y kinh doanh trong ngnh thng nghip. Khi tham gia
vo lnh vc ngn hng, h mnh dn dng vn ngn hn cho vay trung di hn v
nhng khon li nhun trc mt. Khi tn dng pht trin qu nhanh, n xu ca cc
ngn hng ny tr thnh him ha v li nhng tc hi nng n.
T bi hc trong nm 2007, khng bt ng khi vn thanh khon c t ln
hng u cc ngn hng trong nhng nm 2008 v 2009. Tuy nhin, vic qun l
thanh khon ch dng li mc qun l theo d liu s sch v c cu cc k hn.
Cc ngn hng nh i li ch chi ph vi kh nng ri ro bng vic lch k hn
ca cc khon tin gi. Ni mt cch v von, cc ngn hng c gng xy tng chn ri
ro thanh khon nhng li cha nhng khong trng ri ro c th thot ra gy tc hi
bt c lc no.
Mt trong nhng nhim v quan trng ca cc nh qun l ngn hng l m
bo thanh khon hp l cho ngn hng. Nu ngn hng b thiu thanh khon s d b
mt kh nng thanh ton, mt uy tn v dn n s v ca ton h thng. Vi xu th
hi nhp ngy cng su rng vo nn kinh t khu vc v th gii, cng vi nhng thc
trng trn th trng tin t Vit Nam, thanh khon v qun l ri ro thanh khon ca
cc ngn hng thng mi c ngha bc thit c v l lun ln thc tin. Trn c s
vn dng nhng l thuyt tip thu trong qu trnh o to ti Trng i hc Kinh t
TP. H Ch Minh, Lun vn ny phn tch vn thanh khon v qun l thanh khon
ti mt n v c th, l Ngn hng Thng mi C phn Qun i.
2. Tnh hnh nghin cu trong v ngoi nc

2.1 Tnh hnh nghin cu ngoi nc
Hin c cc cng trnh tiu biu nghin cu v hot ng qun l ri ro thanh
khon ti cc ngn hng thng mi nh sau.
Basel (2008), "Principles for Sound Liquidity Risk Management and Supervision", BIS, c xem l thng l tt nht v qun l thanh khon ca cc ngn hng
thng mi, bao gm cc nguyn tc quan trng i vi cng tc qun l thanh khon
ca ngn hng. C th vic phn tch thanh khon ca ngn hng thng qua cc ch s
m bo thanh khon i hi phi c o lng lin tc v phi lu xem xt thanh
khon trong nhiu tnh hung khc nhau. Ngoi ra, vic xy dng c cu qun l thanh
khon cn c thc hin cp qun l cao nht ca ngn hng. Cc c quan gim st
phi c lp nh gi cc chnh sch lin quan n thanh khon.
Brendan van de Vossen (2010), "Bank Liquidity Management", cc ngn hng
lun phi i mt vi hai vn chnh lin quan n thanh khon l vic to ra
thanh khon cho th trng v bo m an ton thanh khon cho bn thn ngn hng.
Chc nng to ra tnh thanh khon cho th trng gip nhng ngi gi tin v doanh
nghip duy tr thanh khon ca h. Chc nng qun l ri ro thanh khon gip cho
ngn hng an ton thc hin vai tr i vi th trng. Nghin cu mi lin h gia
hai chc nng ny v vic thc hin n, c bit trong giai on kinh t cng thng hay
khng hong l ni dung chnh ca nghin cu ny.
Manish Kumar (2013), "Liquidity Risk Management in Bank: a conceptual
Framework", tnh thanh khon trong hot ng ngn hng c th c hiu nh l kh
nng gia tng ti sn v p ng c cc ngha v n n hn. Do , dng nh c
mi lin h cht ch gia tnh thanh khon v kh nng tr c n khi n hn ca
ngn hng. Vic qun l ri ro thanh khon s lm gim kh nng ngn hng b ri vo
khng hong v t hn l i n ph sn. Trong nghin cu ny, tc gi tp trung gii
thch ngha ca tnh thanh khon, ri ro thanh khon v qun l ri ro thanh khon.
Ngoi ra, tc gi cng tp trung vo vic xy dng mt h thng qun tr ri ro thanh

khon cho ngn hng.
A. Vento (2009), "Bank Liquidity Risk Management and Supervision: Which
Lessons from Recent Market Turmoil?", Journal of Money, Investment and Banking,
l nghin cu phn tch cc k thut qun l thanh khon ti mt s nc Chu u
nhm tm ra cc yu t nh hng n hiu qu qun l v gim st thanh khon ngn
hng. Tuy nhin, khng phi l gii php ti u khi cc ngn hng phi i mt vi
vic thanh khon b cn kit. Khng c mt cng c y chng li ri ro thanh
khon, nhng cc yu t c bn khng th thiu i vi cc ngn hng l phi c
nhng nguyn tc qun tr r rng xy dng chin lc v qun l ri ro thanh
khon. Nghin cu ny cng nh gi cao vai tr ca cc t chc nh gi xp hng
trong vic cung cp thng tin v a ra nhng cnh bo cho th trng ti chnh.
2.2 Tnh hnh nghin cu trong nc
Nguyn Duy Sinh (2009), "Nng cao hiu qu qun tr ri ro thanh khon trong
cc ngn hng thng mi Vit Nam", nghin cu nhng c im ca vic qun l
thanh khon trong cc ngn hng thng mi thng qua phng php tip cn cc ch
s m bo kh nng thanh ton, t a ra nh gi chung v s yu km trong
qun l ri ro thanh khon ti cc ngn hng thng mi.
3. Mc tiu nghin cu
Qua vic o lng, nh gi mc an ton thanh khon ti Ngn hng Thng
mi C phn Qun i, tc gi mong mun a ra mt s gii php nhm hon thin
khu qun l thanh khon ti Ngn hng Thng mi C phn Qun i, v ni rng
hn, cho cc ngn hng thng mi Vit Nam. C th l:
H thng li l thuyt v thanh khon v qun l thanh khon ca ngn hng
Gii thiu v thc trng qun l thanh khon ti Ngn hng Thng mi C
phn Qun i
xut mt s gii php nhm hon thin vic qun l thanh khon ti
Ngn hng Thng mi C phn Qun i
4. Phng php, i tng, phm vi nghin cu

Nghin cu thc hin cc phn tch da trn thng tin v hot ng ca Ngn
hng Thng mi C phn Qun i trong giai on 2009-2013, khi ngnh ngn hng
c nhng biu hin cng thng v thanh khon. S liu thu thp thng qua cc Bo co
thng nin v cc Bo co ti chnh c kim ton cng cc phn tch t b phn
qun l ri ro ca Ngn hng Thng mi C phn Qun i. i tng nghin cu l
hot ng qun l ri ro thanh khon ti Ngn hng Thng mi C phn Qun i.
Lun vn ch yu s dng phng php nghin cu nh tnh da trn vic thng k
m t, nh gi cc s liu thu c t cc ngun chnh thng.
5. Ni dung kt cu ca lun vn
Ngoi phn m u, kt lun, ti liu tham kho, lun vn c kt cu gm ba
chng, c th l:
Chng 1: Tng quan v qun l thanh khon trong ngn hng thng mi
Chng 2: Thc trng qun l ri ro thanh khon ti Ngn hng Thng mi C
phn Qun i
Chng 3: Gii php hon thin vic qun l ri ro thanh khon ti Ngn hng
Thng mi C phn Qun iCHNG 1
TNG QUAN V QUN L RI RO THANH KHON TRONG
NGN HNG THNG MI
Ngn hng l mt nh ch ti chnh quan trng, c xem l h thn kinh, h
tun hon ca nn kinh t. Khi h thng ny lm vic hiu qu, dng tin trong nn
kinh t vn ng iu ha, thc y nn kinh t pht trin. Ngn hng bao gm nhiu
loi ty thuc vo mc pht trin ca nn kinh t v h thng ti chnh, trong
ngn hng thng mi thng chim a s. Ngn hng thng mi giao dch trc tip
vi cc t chc kinh t v c nhn, qua vic nhn tin gi cho vay, chit khu, cung
cp cc phng tin thanh ton v dch v ngn hng cho cc i tng cn n. u
c mt h thng ngn hng mnh, nn kinh t s pht trin vi tc cao. Trong
nn kinh t th trng, ngn hng thng mi c ba chc nng c bn: trung gian tn
dng, trung gian thanh ton v cung ng cc dch v ngn hng.
Kinh doanh ngn hng thc cht l kinh doanh ri ro khi ngn hng thng
xuyn phi i mt vi ri ro tn dng, ri ro th trng (ri ro li sut, ri ro hi oi,
ri ro thanh khon v ri ro u t), ri ro vn hnh, ri ro tc nghip....
1.1.
Vn thanh khon trong ngn hng thng mi
1.1.1.
1.1.1.1
Khi nim thanh khon v ri ro thanh khon

Khi nim thanh khon
Crockett ni: "Tnh thanh khon d nhn ra hn l nh ngha n". Theo y

ban Basel v gim st Ngn hng, thanh khon l kh nng ca ngn hng va c th
tng thm ti sn, va sc p ng cc ngha v n n hn m khng phi n o,
cn nhc nhiu nh trong bi ton kinh t c bn c in (c ci n phi chu mt
ci kia, kh lng ton).
Trong hot ng ngn hng, "tnh lng" khc vi "thanh khon". "Tnh lng"
(liquid) l thut ng ch kh nng nhanh chng chuyn i mt khon mc ti sn
thnh tin. Ngn hng qun l nhiu khon mc ti sn khc nhau, u c th hin
di hnh thi gi tr. C ti sn c th s dng tc th nh tin mt ti qu, c th ly
ra chi tr ngay. Trn s d tin gi ti Ngn hng Nh Nc hay cc t chc tn dng
khc, ngn hng c th pht hnh sc hay lnh chi theo nhu cu chi tr hay i rt tin
mt v chi tr ti quy. Ngoi t hay vng phi ra th trng ngoi hi bn theo thi gi
mi c tin theo thi gian T+2. Ngn hng phi mt cng sc v thi gian i i cc
khon phi thu. Mun bn
bt ngsn thuc ti sn c nh, phi theo th tc lut
nh, khng thu tin nhanh theo mun c.

"Thanh khon" (liquidity) l kh nng p ng tc th cc mn n phi tr n
hn trc mt. Mt ngn hng c nh gi c thanh khon tt khi khng phi hon
li bt c mn tin no cn chi tr hay thanh ton ngay trong ngy.
Chng ta phi xem xt thanh khon ca ngn hng thng mi trong trng thi
ng, ngha l phi xem xt thanh khon trong mi tng quan gia cung-cu thanh
khon ca ngn hng trong mt giai on nht nh. Tc gi xin lm r khi nim
thanh khon l mt trng thi ti mt thi im nht nh nn ch c qun l/duy
tr/bo m...thanh khon ch khng c hot ng thanh khon.
1.1.1.2.
Khi nim ri ro thanh khon
Ri ro thanh khon bt u xut hin khi ngn hng phi vt v x l cc mn
chi tr cn gii quyt ngay trong hot ng ca ngn hng, c th do bin c bt kh
khng hay do qun l yu km.
Ni khc, ri ro thanh khon xut hin khi ngn hng thiu kh nng chi tr,
khng chuyn i kp ti sn thnh tin hay khng c kh nng tip cn cc ngun vn
p ng yu cu thanh ton bit trc hay t xut.
Ri ro thanh khon buc ngn hng tng chi ph p ng nhu cu chi tr, lm
gim li nhun ca ngn hng. mc nng hn, ngn hng s mt kh nng thanh ton
v ph sn. Hin tng thiu ht thanh khon l mt trong nhng du hiu u tin cho
thy ngn hng ang gp kh khn ti chnh nghim trng v c th ngng hot ng
nu khng p ng nhu cu thanh khon, mc d, n vn cn kh nng tr n.
mt doanh nghip sn xut kinh doanh, vic chm thc hin cc yu cu chi
tr, c xem l bnh thng, nhng ngn hng li giao dch trn c s tin cy ln
nhau. Ch cn vi ngi bit chuyn ngn hng chm thanh ton, tin n lan truyn rt
nhanh, thm ch b thi phng, khin ngi gi tin hoang mang t n rt vn, c
th gy thm ha cho ton h thng ngn hng trong nc nu khng kho x l.
Hin nay, cc ngn hng t vic m bo thanh khon l mt nhim v ln.
m bo thanh khon khng b thiu ht, hoc ngn hng c sn lng vn kh
dng trong tm tay, hoc c th tip cn cc ngun vn vay mn bn ngoi ng lc
cn n vi chi ph hp l, hoc c th nhanh chng bn bt mt s ti sn mc gi
1.1.2.
tha ng kp thi p ng nhu cu thanh ton.

Cc nguyn nhndn
nthiu htthanh khonv
du hiu ca
ri ro
thanh khon
1.1.2.1.
Nguyn nhn bn trong
Nguyn nhn u tin l tnh trng bt xng v ngy o hn gia cc khon
s dng vn vi cc ngun vn huy ng. Cc ngn hng thng lm dng cc ngun
vn huy ng ngn hn, ch yu l cc khon tin gi ngn hn ca c nhn v vay ca
nh ch ti chnh khc, i u t di hn trc hp lc ca li nhun k vng. Vn
u t cha thu hi do thi hn cn xa, ngn hng phi hon tr vn v li cho
ngi gi tin. Ngay vi k hn ngn, k hn huy ng do ngi gi tin quyt nh
cn k hn vay phi p ng yu cu ca khch n, gia ti sn v ngun vn kh
trng khp nhau v hn k. Trong kinh doanh, ngi ta hay ph phn vic huy ng
tin ca ngi sau tr cho ngi trc, song li l nguyn tc c bn trong hot
ng ngn hng. Nh vy, ri ro k hn a n ri ro thanh khon.
Nguyn nhn th hai xut pht t khu iu hnh hot ng ngn hng. Trn
nguyn tc, ngn hng i huy ng vn s dng vo cc hot ng kinh doanh bnh
thng ca mnh theo phng chm i vay cho vay. Ngn hng thng mi ngy
nay c chc nng kinh doanh tng hp, song lut php c nhng rng buc cht ch
cho tng loi hnh kinh doanh, m khi cc nh iu hnh ngn hng vt qua gii hn
ny, nguy c pht sinh ri ro s tng ln.
Lut php quy nh t l d tr bt buc cng qu m bo thanh ton tnh trn
ngun huy ng theo tng k hn nhm mc ch:
+ Hn ch kh nng cho vay ra tc kh nng gy ri ro tn dng cho ngn hng.
+ Hn ch kh nng to bt t vi h s gia tc, tc ng ln lu thng tin t,
to p lc lm pht cho nn kinh t.
+ B sung cho vn ch s hu, tng cng thanh khon tc tng thm kh nng
chu ng cc loi ri ro cho ngn hng.
Quy nh ny ngm nhc ngn hng khng c cho vay vt qu kh nng huy
ng ngun vn ri t chuc ly nguy c thiu ht thanh khon.
Lut php cng khng ch t l s dng ngun vn huy ng ngn hn u
t trung di hn. Mt cch chnh thng nht, ngn hng ch nn dng ngun huy ng
trung di hn
u t sau khi trch lp d tr
bt buc v cha phn m bo
thanh ton theo lut nh. iu ny nhm ngn nga ri ro tn dng v ri ro k hn.
Lut php ch cho php s dng c gii hn mt phn vn iu l mua c
phn ti mt s doanh nghip v mua sm ti sn c nh phc v cho kinh doanh ngn
hng. Quy nh ny loi b vic u c bt ng sn hay c phiu bng ngun vn huy
ng bo v quyn li ca ngi gi tin.
Ngoi ra, cn quy nh v gii hn cho vay i vi mt khch hng, hay mt

nhm khch hng c lin quan vi nhau, ng thi nghim cm cc thn thuc trc h
ca thnh vin Hi ng qun tr v Ban iu hnh vay tin ti ngn hng lin quan,
xy dng danh mc cho vay phn b u cho cc ngnh ngh phn tn ri ro....
Nguyn nhn th ba l cc ri ro tc nghip, ri ro vn hnh, ri ro o c
u dn n ri ro thanh khon. Khi cc ri ro ny mang tnh cht nghim trng vi
quy m ln cng hng vi tin n lan truyn khin d lun hoang mang, nu khng
sm ct ngang x l, ngn hng kh trnh khi ri ro thanh khon. Mt s xut tc
nghip nh, ngn hng c th khc phc vi mt t chi ph tng thm. Vi s lng vi
t ng sai n v tin t t VND thnh GBP, nu khch hng kp chuyn i ri trn
mt, l tai ha cho c ngn hng.
Nh vy, mi ri ro pht sinh trong hot ng ngn hng u c kh nng v
ri ro thanh khon.
Nguyn nhn cui cng l chin lc qun tr thanh khon ca ngn hng
khng ph hp v km hiu qu. Cc ngn hng phi lun m bo vic p ng nhu
cu thanh khon, nu khng, c th lm tn hi n bn thn n v ri lan ra ton h
thng ngn hng, v nghim trng hn ht l vic nh mt nim tin ca cng chng
vo lnh vc ngn hng.
Mt ngn hng ang gp vn v thanh khon c th c nhng du hiu sau:
+ S gia tng tp trung cho mt khon mc ti sn c th.
+ Tc tng cc khon cho vay > tc tng ca ngun vn huy ng.
+ Cc xu hng bt li hoc ri ro gia tng lin quan n mt dng sn phm c
th.
+ D lun xu trn th trng.
+ Ch s tn dng, tn nhim gim.
+ Chi ph ti tr vn trn th trng bn l, bn bun tng.

+ Tin gi c k hn b rt trc hn gia tng.
+ Cc mn thanh ton thng xuyn b chm tr.
+ Khch hng kh rt tin ti ngn hng.
1.1.2.2.
Nguyn nhn bn ngoi
Nguyn nhn th nht l ri ro trong cho vay. Ri ro tn dng l nhng tn

tht xy ra khi ngi vay khng thc hin y ngha v tr n gc v li ng hn
theo cam kt trong hp ng tn dng. Ri ro tn dng c nguyn nhn khch quan khch hng kinh doanh khng thun li, b mt kh nng thanh ton - v ch quan khch hng c tnh
sdng vn sai mc ch, chy ,
la o.... Trong lc , ngn
hng phi tr tin gc v li ng hn cho ngi gi. Khi ri ro tn dng pht sinh
vi quy m ng k, cc tn tht n mn ht vn ch s hu, s tip tc xm thc vo
ngun vn huy ng, ngn hng tin gn n nguy c mt kh nng thanh ton. Nh
vy, ri ro tn dng cng a n ri ro thanh khon.
Nguyn nhn th hai l s thay i li sut th trng, tc ng n c ngi
gi ln ngi vay tin. Li sut tin gi v tin vay trong ngn hng c th khng thay
i cng lc v cng mc . Lc , ty vo khe h nhy cm li sut (Interest
Sensitive Gap-ISG) v khe h k hn (Duration Gap) thc t trong ngn hng, ngi ta
lng ha c tc ng c th ca thay i li sut ln li nhun cng thanh khon
ca ngn hng.
Khi li sut tng,
+ Ngi gi tin c th rt tin ang gi chuyn sang ni ang cho li sut
cao hn. Ngn hng c th c li khi ngi gi tin chp nhn b li sut ang
hng (v tr v li sut khng k hn), nhng thit mt ngun huy ng khi ngi gi
rt vn i khi ngn hng. Nu ngi gi tin chp nhn mc li sut c, ngn hng
c thm li nu cho vay ngay c theo li sut mi va tng ln. Li ch ny ch

ko di n khi ht k hn gi vn c.
+ Khch hng vay tin s c tnh tr hon tr n ko di thi gian c hng
li sut c ang cn thp. Trong khi cha thu c n c, ngn hng vn phi tr
cho ngi gi mun rt vn.
Khi li sut h,
+ Ngi gi tin i duy tr li sut c n ht k hn gi. Tip theo, h lun
chn ngn hng chu tr li sut hay tm phng n u t c mc sinh li cao hn.
Ngn hng buc phi chy theo hiu ng domino hay chp nhn gim ngun huy ng.
+ Ngi vay tin lo tr n c, thm ch tm cch tr trc hn c th xin vay
li theo li sut thp hn. Hn na, nu li sut gim, sc hp dn, p lc xin vay
tng cao gy mt cn i gia ngun v s dng vn trong ngn hng.
Nh th, ri ro li sut c kh nng gy ri ro thanh khon cho ngn hng.
Nguyn nhn cui cng l s thay i t gi hi oi trn th trng. Do tng
hp t nhiu nguyn nhn, t gi hi oi bin ng lin tc ngy cng nh m. Khi
t xc nh trng thi ngoi t, ngn hng chn lun khu v ri ro hi oi cho
mnh, l mc ti a ngn hng c kh nng chu ng c tn tht (nu c). Trong
kinh doanh ngoi t ngn hng, c hai khuyn co thng xuyn l phi lun cn
bng trng thi ngoi hi v tuyt i khng lao theo vic u c y mo him. Trong
thc t, trn th gii c khng t trng hp bn r ngn hng c b dy hng trm
nm lch s (vi gi 1 USD) sau cc bn tuyn n ph sn do u c mo him di
sc hp dn ca chnh lch t gi k vng.
Nguyn nhn ny cng ng thi ng cho vic kinh doanh chng khon. Gi c
thay i lin tc t cc nguyn nhn kh tin lng thng y nhanh tn tht n mc
ngn hng sp trc khi kp nhn thc s vic ang din ra. Cho nn, ri ro th
trng (tn gp chung ca ri ro gi ngoi t v chng khon) thng a nhanh n

ri ro thanh khon.
nh gi ri ro thanh khon
1.1.3.
Ri ro thanh khon c nh gi qua ch tiu Trng thi thanh khon rng

(Net Liquidity Position - NLP)
Trng thi thanh khon rng (NLPt) = ^Cung thanh khon - XCu thanh khon
vi:
XCung thanh khon = S1+ S2+ S3+ S4+ S5
(51)
(52)
: Cc khon tin gi ang n
: Doanh thu t vic bn cc khon dch v

(53)
(54)
: Thu hi tn dng cp
: Bn cc ti sn ang kinh doanh v s dng

(55)
: Vay mn t th trng tin t
XCu thanh khon = D1+ D2+ D3+ D4+ D5

(D1) : Khch hng rt cc khon tin gi
(D2) : Yu cu cp cc khon tn dng c cht lng cao
(D3) : Hon tr cc khon vay mn phi tin gi
(D4) : Chi ph pht sinh khi kinh doanh cc sn phm v dch v
(D5) : Thanh ton c tc cho cc c ng
Trng thi thanh khon rng ca ngn hng ti mt thi im c th ri vo mt trong
nhng trng hp sau:
Thng d thngkhon (LqudtySurplus) kh NLPt > 0

Ngn hng trong trng thi tha thanh khon. Tha thanh khon l mt trng
thi mt cn bng, xy ra khi nn kinh t hot ng km hiu qu, ngn hng khng
tip cn c khch hng hoc khng la chn c nhiu khch hng cho vay.
Trong phm vi ca mt ngn hng, y l vic khng khai thc ht tim nng sinh li
ca ti sn C, chim gi qu nhiu ti sn C dng trc tip hay gin tip khng c
kh nng sinh li (tn qu tin mt qu ln), hoc ngn hng tng vn qu nhanh khi
cha c phng n s dng vn hiu qu.
Khi ngn hng ri vo trng thi tha thanh khon, nh qun tr phi kp thi s
dng khon tha tm thi u t kim li cho n khi c nhu cu v thanh khon
trong tng lai. Thanh khon tha c th c ngn hng dng kinh doanh chng
khon theo dng lt sng (scalp), cho vay trn th trng tin t (ph hp vi thi
gian nhn ri ca thanh khon tha), hoc gi tin ti cc t chc tn dng khc....
*
Thiu ht thanh khon (Lqudty Defct) kh NLPt < 0
Ngn hng trong trng thi thiu vn hot ng. Khi ngn hng khng vn
p ng nhu cu chi tr cho khch hng, nhu cu vay vn trong x hi________________th ngn hng
gp tnh trng thiu vn tuyt i. Thiu vn tuyt i c th khin ngn hng mt
nhng c hi u t tt mang li li nhun, thm ch c kh nng mt khch hng khi
h phi n ngn hng khc c p ng kp thi nhu cu vay. Vic mt khch
hng vay vn s dn n mt khch hng gi tin, v ngn hng thiu vn lm gim
lng tin ni ngi gi tin.
Khi ngn hng
ri vo trng
phi
thi thiu ht thanh khon, nh
qun tr
kp
thi b sung thanh khon p ng nhu cu vn vi chi ph thp nht. Ngn hng c
th x l bng cc bin php nh s dng d tr bt buc d ra nu c (do tin gi ny
gim so vi k trc), bn d tr th cp (cc chng khon ngn hn do Chnh ph
pht hnh), vay qua m, ti chit khu ti Ngn hng Nh nc, huy ng t th
trng tin t (pht hnh chng ch tin gi c mnh gi ln huy ng vn)....
1.2. Qun l ri ro thanh khon
1.2.1.
Khi nim qun l ri ro thanh khon
Cho n nay, cha c khi nim thng nht v qun l ri ro. C nhiu trng
phi nghin cu v a ra nhng khi nim v qun l ri ro rt khc nhau. Tuy nhin
quan im ca trng phi mi c nhiu ngi tn ng hn c. Quan im ny cho
rng cn qun l tt c mi loi ri ro ca ngn hng mt cch ton din.
Qun l ri ro thanh khon l vic ngn hng s dng h thng cc c ch qun
l, gii php nghip v v cng c k thut thch hp nhm duy tr thng xuyn trng
thi cn bng cung v cu thanh khon, x l kp thi nhng tnh hung ri ro thanh
khon nhng vn m bo kh nng sinh li cho ngn hng. Hay ni cch khc qun l
thanh khon l vic qun l c hiu qu cu trc tnh lng ca ti sn v cu trc danh
mc ca ngun vn.
Qun l ri ro khng c ngha l n trnh m l i din vi ri ro la chn
mc gii hn ri ro c th chp nhn c nhm tng kh nng sinh li cho ngn hng.
1.2.2.
Mc tiu ca vic qun l ri ro thanh khon
Thanh khon ca ngn hng lin quan trc tip n s an ton v sinh li. Duy
tr an ton thanh khon, hay kh nng p ng kp thi nhu cu thanh ton l mc tiu
quan trng xuyn sut trong hot ng ngn hng. duy tr tnh trng an ton ny,
ngn hng phi chp nhn mt khon chi ph nht nh. Ngn hng lun phi cn nhc
s nh i gia mc an ton ca thanh khon v kh nng sinh li. Do , mc
tiu ca qun l ri ro thanh khon trong ngn hng c th c tm gn trong ba ni
dung sau:
Ti thiu ha hu qu ca tn tht
Loi tr tn tht t cc ri ro bt ng
Ti thiu ha tn tht c th xut hin
p ng c cc mc tiu v lm cho hot ng qun l ri ro thanh khon

c hiu qu hn, nh qun tr cn tun theo mt s nguyn tc ch o sau:
+ Thng xuyn bm st hot ng huy ng v s dng vn trong ngn hng,
iu phi cc hot ng ny sao cho ng b.
+ Ngi iu hnh thanh khon phi, mt mt, bit d tr nhiu ngun huy
ng vn khc nhau cng cc chi ph tng ng, xp theo th t t d n kh tip
cn, sn sng hon i th t ch ng la chn. Mt khc, ngi ny cng phi
chun b sn mt s phng n s dng vn xp th t t cao xung thp theo li
nhun k vng. Ni khc, trong hot ng thng ngy ca ngn hng, mi lung tin
ra vo, lin tc lm o trng thi thanh khon t thiu ht sang tha v ngc li.
+ Nhu cu thanh khon ca ngn hng v cc quyt nh lin quan n thanh
khon phi c phn tch lin tc, trnh ko di trng thi thng d hoc thm ht.
1.2.3.
Cc phng php o lng thanh khon ca ngn hng
Hin nay c ba phng php o lng thanh khon c a ra: phng php
tip cn ngun vn v s dng vn, phng php tip cn cu trc vn v phng php
tip cn ch s thanh khon. Cc phng php ny u c xy dng da trn gi
nh mi ngn hng ch c th c lng gn ng mc cu thanh khon thc t ti
mt thi im nht nh.
1.2.3.1. Phng php tip cn ngun vn v s dng vn
Phng php ny bt ngun t thc t: thanh khon tng khi tin gi tng v
cho vay gim; v thanh khon gim khi tin gi gim v cho vay tng. Khi ngun
thanh khon v s dng thanh khon khng cn bng nhau, ngn hng phi i mt vi
khe h ti tr (financing gap). Khe h ny c o bng chnh lch gia tng

ngun vn huy ng trung bnh v tng d n trung bnh. Nu khe h ny dng, ngn
hng phi c bin php b p bng cc khon tin mt v cc ti sn c tnh lng cao
hoc vay n trn th trng tin t.
Nhng bc chnh trong phng
php tip cn ngun vn v s dng vn bao
gm:
+ D on lng tin gi v nhu cu vay vn trong k k hoch (giai on ngn
hng c tnh trng thi thanh khon).
+ D on nhng thay i v lng tin gi v nhu cu vay vn trong k k
hoch.
+ c tnh trng thi thanh khon rng (thm ht hay thng d) ca ngn hng
trong k k hoch, bng cch so snh mc thay i d tnh v tin gi v cho vay.
Mt cch tip cn n gin hn khi c tnh tin gi v nhu cu vay vn trong
tng lai l phn chia d bo v s tng trng ca tin gi v nhu cu cho vay thnh
ba b phn chnh:
-
Phn xu hng c c tnh qua vic xy dng mt ng xu th s dng
gi tr ti cc thi im cui thng, cui qu, cui nm i vi tng tin gi v cho vay
trong vng t nht mi nm tr li (hoc theo mt c s thi gian khc, di xc
nh xu hng hay t l tng trng di hn bnh qun).
-
Phn ma v o lng s thay i ca tng tin gi v cho vay trong nhng
tun, nhng thng nht nh di tc ng ca yu t thi v trn c s so snh vi

mc tin gi v cho vay ti thi im cui nm gn nht.
-
Phn chu k th hin s sai lch so vi tng lng tin gi v cho vay d tnh
(o c bng phn xu hng v phn ma v). S sai lch ny ph thuc vo tnh

trng ca nn kinh t trong nm.
p lc thanh khon chu k l yu t rt kh d bo trc. Cc phng php sau

y gip a ra nhng du hiu v ln ca nhu cu thanh khon chu k.
1.2.3.2. Phng php tip cn cu trc vn.
Mt cch tip cn khc trong vic c tnh yu cu thanh khon ca ngn hng
l phng php tip cn cu trc vn. Bc u tin l tin gi v cc ngun vn khc
nhau ca ngn hng c chia thnh nhiu nhm da trn kh nng vn b rt ra khi
ngn hng, v d nh:
+ Nhm
vn"nng": tin gi v vn vay nhy cm vi li sut hoc c d

tnh b rt khi ngn hng trong k k hoch.
+ Nhm vn km n nh: cc khon tin gi ca khch hng trong c mt

phn ng k (25-30%) c th b rt khi ngn hng ti mt thi im no trong k
k hoch.
+ Nhm vn n nh (tin gi c s hay vn c s): khon mc vn m nh
qun tr ngn hng tin rng t c kh nng b chuyn khi ngn hng.
Tip theo, ngi iu hnh thanh khon phi dnh ring mt phn thanh khon
i vi mi nhm vn nu trn (d tr thanh khon vn) c xc nh theo cng thc:
D tr thanh T l d tr thanh khon x (Vn tin gi v phi tin gi - D tr bt buc)
khon vn _ X L xc nh ca nhm
_
Mi lc, ngn hng phi lun sn sng thc hin cc khon cho vay cht lng
cao, ngha l p ng yu cu hp l ca khch hng tha mn cc tiu chun cht
lng tn dng do ngn hng quy nh. Ngn hng phi c d tr thanh khon, v
khi cho vay, vn s ri ngn hng trong mt khong thi gian nht nh. Nh qun l
ngn hng d tnh con s vay ti a tim nng v cn b tr thanh khon hay kh
nng cho vay, tng ng vi 100% phn chnh lch gia tng d n thc t v tng
cho vay ti a tim nng.
Nh vy, tng yu cu thanh khon ca ngn hng s c tnh nh sau

Tng yu cu thanh
D tr thanh + 100% x (Quy m cho vay ti a tim nng - Tng
d
khon ca ngn hng
= khon vn
n hin ti)
Nhiu ngn hng s dng xc sut khi quyt nh gi bao nhiu thanh khon
cho cc khon tin gi v tin vay. i su vo phng php cu trc vn, nh iu
hnh thanh khon c gng lm r trng thi thanh khon tt nht v xu nht m ngn
hng c th gp phi v phn b xc sut cho tt c cc trng hp c th.
1.2.3.3.
Phng php tip cn ch s thanh khon.
Nhiu ngn hng c tnh yu cu thanh khon da trn kinh nghim v mc
bnh qun ngnh, ngha l nhu cu thanh khon c c tnh da trn ch s thanh
khon v cc ch bo khc ca trng thi thanh khon.
Ch s thanh khon: o lng tn tht m mt ngn hng gnh chu, p
ng nhu cu thanh khon, phi bn tho ti sn so vi mc gi ca ti sn trn th
trng ( iu kin bnh thng). Cng thc o lng ch s thanh khon c xc
nh nh sau
I = I [Wi x (Pi / P*i) ]
I : Ch s thanh khon
W; : T trng ca ti sn th i trong danh mc ti sn
P Gi bn tho ti sn ca ti sn th i
P*: Gi th trng ca ti sn th i
Cc ch bo trng thi thanh khon khc:
+ Ch tiu chng khon thanh khon (Chng khon Chnh ph / Tng ti sn):
so snh t l nhng chng khon lng m ngn hng nm gi vi tng danh mc ti
sn ca ngn hng. T l ny cng cao, trng thi thanh khon ca ngn hng cng tt.
+ Ch tiu c cu tin gi (Tin gi thanh ton / Tin gi k hn), trong Tin
gi thanh ton bao gm nhng khon tin gi c th c rt thng qua pht hnh sc;
Tin gi k hn bao gm nhng khon tin gi c k hn c nh v phi chu pht nu
rt vn trc hn. T l ny o lng tnh n nh ca c s tin gi m ngn hng s
hu, t l ny gim th hin tnh n nh cao hn ca vn tin gi v do yu cu
thanh khon s gim.
+ Ch tiu chng khon cam kt (Chng khon cam kt / Tng chng khon
nm gi): t l ny cng cao, trng thi thanh khon ca ngn hng cng tt.
+ Ch tiu u t ngn hn (u t ngn hn / Vn nhy cm): trong u t
ngn hn bao gm tin gi ngn hn ti ngn hng khc v chng khon ngn hn. T
l ny cng cao gi rng trng thi thanh khon ca ngn hng ang c cng c.
+ Ch s v trng thi tin mt (Tin mt v tin gi ti cc t chc nhn tin
gi khc / Tng ti sn): t l ny cng cao ng rng ngn hng c kh nng vng
vng hn trong vic gii quyt yu cu tin mt tc thi nhng li km sinh li.
+ Ch s nng lc cho vay (Cho vay v cho thu rng / Tng ti sn): l mt ch
s thanh khon m v cho vay v cho thu l nhng ti sn c tnh lng thp nht m
ngn hng nm gi.
+ Ch tiu tin gi thng xuyn: tin gi thng xuyn thuc cc ti khon quy
m nh ca khch hng v cc ti khon ny thng t b rt bt thng.
+ Ch tiu tin gi mi gii: tin gi mi gii c mc nhy cm cao i vi li
sut v c th b rt ra nhanh chng, ngn hng nm gi cng nhiu tin gi mi gii
th kh nng khng hong thanh khon cng ln.
1.2.4. Cc chin lc qun l thanh khon.

x l vn thanh khon, cc ngn hng c th tip cn theo 3 hng sau:
to ngun cung cp thanh khon t bn trong (da vo ti sn C), vay mn bn
ngoi (da vo ti sn N), phi hp cn bng c 2 hng trn.
1.2.4.1 Qun l thanh khon da vo ti sn C (D tr thanh ton, chng khon)
thc hin chin lc ny, ngn hng cn gi nhng ti sn c tnh lng cao,
ch yu l tin mt v chng khon ngn hn. Ti sn ny c th c nhanh chng
chuyn thnh tin v ngc li d dng theo yu cu. Ngoi tin mt v tin gi Ngn
hng Trung ng v cc t chc tn dng khc, ph bin nht l tri phiu Chnh ph,
ri n c phiu, tri phiu doanh nghip.... Khi ht thanh khon, ngn hng bn ti sn
d tr ny, khi tha thanh khon, ngn hng li phc hi d tr. Loi ti sn ny kh
lng nhng sinh li thp, tuy n nh v an ton. Chin lc qun l thanh khon theo
hng ny thng c gi l s chuyn ha ti sn phi tin mt thnh tin mt.
Chin lc qun l thanh khon da vo ti sn C hon ton ch ng t p
ng nhu cu thanh khon cho ngn hng, t b l thuc vo ch th khc. Chin lc
ny phi chu cc nhc im sau:
+ Chi ph c hi khi bn i cc ti sn, do ngn hng mt i ngun thu nhp m
cc ti sn ny to ra.
+ Chi ph giao dch (ph hoa hng mua bn chng khon).
+ Tn tht i vi ngn hng nu thi gi gim lc bn.
+ Hiu qu s dng vn b nh hng khi ngn hng phi u t vo nhng ti
sn c tnh lng cao nhng sinh li thp.
y, ngi iu hnh thanh khon lun cn nhc hi ha gia s an ton v
mc sinh li cho c ngn hng.
1.2.4.2 Qun l thanh khon da vo ti sn N (i vay)

Ngn hng c th i vay trn th trng tin t (lin ngn hng) b p s
tm thi ht thanh khon. Phng n ng ph ny thng c chn vo cui ngy
sau phin giao hon (clearing) cui cng, khi khng cn c th bn chng khon, hay
kp thi gian huy ng thm ngun vn. Cc nghip v thng c s dng bao gm:
vay qua m (Over night), vay thanh ton b tr ca Ngn hng Trung ng,...
Chin lc qun tr thanh khon da trn ti sn n c hu ht cc ngn hng
ln s dng
rng ri, c th p ng n 100% nhu cu thanh khon ca h. Mt s

hnh thc c s dng nh:
+ Vay t cc t chc tn dng khc trn th trng lin ngn hng v/hoc ti
chit khu ti Ngn hng Trung ng.
+ Nhn tin gi khng k hn, c k hn v cc loi tin gi khc ca c nhn
v t chc kinh t.
+ Pht hnh k phiu, tri phiu, chng ch tin gi huy ng vn ca cc t
chc, c nhn trong v ngoi nc.
Hn ch ca chin lc ny l ngn hng b ph thuc vo th trng cho vay
khi gii quyt thanh khon (nhng ng thi cng em li li nhun cao). Ngi iu
hnh thanh khon s cn nhc chnh lch gia li sut cho vay v i vay khi quyt nh
chn phng n ng ph. Li sut r trn th trng tin t lin ngn hng c th l li
bt cp hi. K hn vay trn th trng ny thng rt ngn (theo ngy hay tun); vic
dng ngun ny cho vay li, tim n ri ro k hn, sm y ngn hng ri vo vng
lun qun ca ri ro k hn, ri ro th trng v ri ro thanh khon. V ic vay mn qu
nhiu thng b nh gi l c kh khn ti chnh khin Ngn hng Trung ng sm
ch ri gim st c bit. Khi thng tin ny lan rng, ngi gi tin s rt t, ngn
hng phi tn thm chi ph huy ng vn. Cc ngn hng khc s thn trng hn trong
quan h vi ngn hng ang gp ri ro thanh khon trnh b nh hng ly.
1.2.4.3 Chin lc cn i thanh khon gia ti sn C v ti sn N (Qun l
thanh khon cn bng).
Do nhng ri ro vn c khi ph thuc vo ngun thanh khon vay mn cng
chi ph c hi khi duy tr thanh khon bng ti sn c, phn ln ngn hng dung ha
trong vic chn la chin lc thanh khon, ng thi kt hp c hai chin lc trn
thnh chin lc qun tr thanh khon cn bng. Ni dung ca chin lc ny l nhu
cu thanh khon thng ngy c p ng t d tr (tin mt ti qu, cc chng
khon kh mi v tin gi ti cc ngn hng khc). Cc nhu cu thanh khon khng
thng xuyn nhng c th d on (theo thi v, chu k v xu hng) c h tr t
cc hn mc tn dng tha thun trc vi cc ngn hng i l hoc nhng nh cung
cp vn khc. Nhu cu thanh khon t xut kh lng trc s c m bo t vic
vay ngn hn tn th trng tin t. Nhu cu thanh khon di hn cn c hoch nh
nghim tc v c ti tr t cc cam kt tn dng cng chng khon c th chuyn
ha nhanh thnh tin khi c nhu cu thanh khon.
Cc yu t nh hng n vic chn cc phng n d phng khc nhau khi vn
dng chin lc qun l thanh khon cn bng
+ Tnh cp thit ca nhu cu thanh khon
+ Thi hn nhu cu thanh khon
+ Kh nng thm nhp th trng ti sn n
+ Chi ph v ri ro
+ D bo li sut
+ Trin vng v chnh sch ca Ngn hng Trung ng cng quan h vi Kho bc.
+ Cc quy nh lin quan n ngun thanh khon.

1.3.
Gii thiu v quy nh c cu vn v gim st ngn hng Basel 2.
1.3.1.
Cc chun mc ca Basel 2 v qun l ri ro thanh khon
y ban Basel v gim st ngn hng (Basel Committee on Banking Supervision

-
BCBS) bao gm cc thnh vin B, Canada, Php, c, , Nht Bn, Luxembourg,

H Lan, Ty Ban Nha, Thy in, Thy S, Anh v M. Hng nm, BCBS lp mt
din n v vic hp tc thng xuyn trong cc vn gim st hot ng ngn
hng.
Nhng nm gn y, din n ny thnh lp b tiu chun y v gim st
hot
ng ngn hng, bao gm Hip nh Basel 2.
Basel 2 a ra mt lot cc phng n la chn, cho php quyn t quyt rt
ln trong gim st hot ng ngn hng. Basel 2 bao gm mt lot cc chun mc

gim st nhm hon thin cc k thut qun l ri ro v c cu trc theo 3 mc:
Cp I: Quy nh yu cu t l vn ti thiu i vi ri ro tn dng v
ri ro hot ng.
Cp II: a ra cc hng dn lin quan n qu trnh gim st.
Cp III: Yu cu cc ngn hng cn cung cp cc thng tin c bn lin

quan n vn, ri ro m bo khuyn khch cc nguyn tc ca th
trng.
Basel 2 c
phmvi p
dng rngkhng
hng quc
ch
cc ngn
tm c cc
cng ty m. i vi ri ro tn dng, Basel 2 a ra cc la chn. C th, 2 phng

php c xut l phng php chun v phng php phn hng ni b. Hip c
Basel 2 cn cp n cc vn chnh gm nhng quy nh lin quan n t l vn
an ton ti thiu, qu trnh xem xt gim st ca c quan qun l v cui cng l cc
quy tc th trng.
V t l vn an ton ti thiu (CAR), Basel 2 cp n vn vn t c ca

t chc tn dng, n phn nh quy m hot ng ca ngn hng thng mi. Vn iu
l ca ngn hng cng cao, chng t ngn hng c quy m hot ng ln v ngc li,
nu vn iu l ca ngn hng t th quy m hot ng ca ngn hng thng mi cng
nh. H s CAR phn nh an ton ca ngn hng thng mi. Bng t l ny ngi
ta c th xc nh c kh nng ca ngn hng thanh ton cc khon n c thi hn
v i mt vi cc loi ri ro khc nh ri ro tn dng, ri ro vn hnh. Hay ni khc,
khi ngn hng m bo c t l ny tc l n t to ra mt tm m chng li
nhng c sc v ti chnh, va t bo v mnh, va bo v nhng ngi gi tin. Chnh
v l do trn, cc nh qun l ngnh ngn hng cc nc lun xc nh r v gim st
cc ngn hng phi duy tr mt t l an ton vn ti thiu. Vit Nam theo Thng t
13/2010/TT-NHNN, t l ny l 9%, cn theo chun mc Basel m cc h thng ngn
hng trn th gii p dng ph bin th vn l 8%.
V qu trnh xem xt gim st ca c quan qun l, Hip c Basel 2 quy nh
cc quy tc gim st, qun tr v hng dn qun l ri ro i vi cc ngn hng. Qu
trnh gim st v qun tr ny khng nhng nhm mc ch khng nh vic cc ngn
hng duy tr mt mc vn ph hp i vi ton b nhng ri ro trong hot ng kinh
doanh m cn khuyn khch cc ngn hng pht trin v s dng cc k thut qun
1.3.2.
l ri ro tt hn.
Mt s kha cnh thiu st ca Basel 2 v qun l ri ro thanh khon
Basel 2 l mt khun mu quy nh v c cu vn an ton cho th trng ngn

hng v cng l mt trong nhng gii php cho vn lin quan n tnh thanh khon.
Tuy nhin, sau cuc khng hong ti chnh bt ngun t khng hong ti chnh M,
Basel ni ln mt s kha cnh thiu st.
Kha cnh th nht, Basel 2 yu cu ngn hng duy tr d tr vn i ph vi
nhng ri ro t hot ng ngoi bng, cho d nhng ri ro l ngn hn v di mt
nm. y l mt yu cu cn thit nhm bo m h tr thanh khon khi khch hng

n rt tin, tuy nhin mc bt buc duy tr d tr cn hn ch. Th trng ngy
cng m rng v cc sn phm ti chnh mi tr nn phc tp hn, ri ro t hot ng
ngoi bng cng gia tng ln. Do , s tt hn nu cc ngn hng c th gia tng mc
vn d tr.
Kha cnh th hai, chnh l vic b sung s gim st k lut ca th trng. Xut
pht t qu trnh chng khon ha ang din ra mnh m v mc ch ci thin cho s
thiu ht thng tin ca cc nh u t, Basel 2 gi v mt h thng m ca, cho php
ngi tham gia th trng bit c nhng thng tin v ri ro thit hi, qu trnh gim
st ni b v vn iu chnh ca cc t chc ti chnh. Tuy nhin, cho n hin nay
cha c mt tha hip c th no c thc hin.
Kha cnh th ba l tng v mt c s vn mnh s gip hn ch tc ng
ca c sc thanh khon. Vn y c th l hnh thc ti bo him cho nhng ngi
tham gia th trng. K t cui thp nin 80, cc nh ch ti chnh da vo lng
vn mnh gii quyt nhng ri ro ti chnh c th y ngn hng n kh khn. Tuy
nhin, trong thc t, khng t ngn hng trng vn ha phi i mt vi vn thanh
khon trong nhng iu kin bt li t khng hong va qua. Vn mnh cha phi
l an ton tuyt i m quan trng l lng vn c tnh lng nh th no. Do ,
thanh khon l mt phn b sung ca ch s kh nng thanh ton.
Kha cnh cui cng l Basel 2 mun cng c thm nhng ng dng qun l ri
ro ngn hng. Nhng t chc ti chnh c yu cu thit lp mt h thng gim st
ni b (ICAAP); h thng ni b ny s xc nh ton b vn h cn i ph vi
nhng ri ro gp phi, ngoi cc ri ro ngoi bng. Nhng nh gim st ni b ny c
nhim v xc nh mc ri ro no c chp nhn ph hp vi mc tiu kinh doanh
v nhn dng nhng ri ro ngn hng cn i ph, gi l Qu trnh nh gi v th
hin kim sot (SREP). H c th yu cu ngn hng tng vn iu l nhm mc ch
gim thiu ri ro gia tng. Tuy nhin, mt im hn ch l Basel 2 li qu cao mc

ca vic t do quyt nh trong qu trnh gim st ny.
Tht ra, ri ro thanh khon c cc nh qun tr ngn hng nhn thc t lu v
rt c quan tm theo di ng ph, d n c th cha mang ni dung c h thng
v khi qut nh hin nay, nn y ban Basel khng cn phn tch su hn na m ch
gi gn qua yu cu v an ton vn h s CAR.
1.4.
Bi hc kinh nghim cho cc ngn hng Vit Nam ngy nay v qun l ri ro
thanh khon
Cuc khng hong ti chnh ton cu nm 2007, mt ln na lm ni bt tm
quan trng ca vic qun l ri ro thanh khon ti cc nh ch ti chnh nhiu quc
gia, nht l cc nc ang pht trin v cc quc gia c nn kinh t mi ni.
1.4.1.
Kinh nghim qun l ri ro thanh khon ca Ngn hng Thng mi C
phn SMBC Nht Bn

Ngn hng thng mi c phn Sumitomo Mitsui (SMBC-Nht Bn) thnh lp
nm 1919, khng ch l mt trong nhng NHTM hng u ca Nht Bn, c uy tn v
tim lc ti chnh trong lnh vc ngn hng ti chnh ti khu vc Chu Thi Bnh
Dng m cn l mt trong nhng ngn hng hng u th gii v quy m v mc
tn nhim. SMBC thc hin chin lc qun l ri ro tiu biu nh sau:
Th nht, qun l thanh khon, SMBC lun duy tr mt lng vn cp 1 v
cp 2 bng 30% tng tin gi theo quy nh ca Ngn hng Trung ng Nht Bn.
Th hai, SMBC cn ch ng thit lp Hi ng qun l chin lc ngn hng
p ng nhu cu thanh khon pht sinh bng cch vay nhng ngun vn kh dng tc
thi trn th trng tin t v ku gi ngn hng tch ly thanh khon bng cch nm
gi cc ti sn c tnh thanh khon cao nhm nng cao cng tc qun l ri ro thanh
khon. Ngoi ra SMBC cn thc hin hp nht ti khon (n gin ha vic gim st
v qun l cc khon phi thu v phi tr, ng thi gip kp thi huy ng vn), tp
trung tin mt t ng (t ng huy ng tin nhn ri t cc ti khon ph vo mt ti

khon chnh)
Th ba, SMBC lun ch ng trong khu phng chng ri ro thanh khon. Bn
cnh , SMBC cn thc hin chin lc pht trin th trng bn l nhm tng thu
1.4.2.
nhp v phn tn ri ro.

Kinh nghim t cc s c trong qun l ri ro thanh khon
Trn th gii cng nh ngay trn lnh th Vit Nam c rt nhiu nh ch ti
chnh c danh ting sp v mt kh nng thanh ton. Bo ch tng cp rt t m;

tic l trong kh nng hn hp ca mnh, tc gi ch xin php lit k li vi trng hp
minh ha.
+ Trng hp ca Ngn hng Barings: Nick Leeson mo him qu su vo u c
chng khon, chnh lch l khin ngn hng mt vn, b Ta n tuyn b ph sn,
c Ngn hng Ing mua li theo gi danh d 1USD.
+ Trng hp Lehman Brothers: T vic chng khon ha cc khon tn dng bt
ng sn di chun dn n mt kh nng thanh ton phi ph sn.
+ Trng hp ca Tn Ngha Ngn hng ti Si Gn nm 1973: Ngn hng ny qu
bo dn y li sut huy ng vn ln qu cao gn 40%/nm vt xa cc ngn hng
khc #4%/nm, khng th cho vay ra c, li cn tung ra sn phm c th rt tin bt
c ni u khi cng ngh cha theo kp trong giao dch trc tuyn nn b la o, chu
tn tht nng, phi b Ngn hng Trung ng rt giy php hot ng vo cui thng
04/1973.
+ Trng hp NHTM C phn Chu: Ln u vo thng 10/2003, trc tin n
Tng gim c Phm Vn Thit b trn, ngi gi t n rt tin gy no ng trn
nhiu ng ph ti Tp. H Ch Minh, khin Ngn hng Nh nc Vit Nam phi vt
v i gom hng ngn t ng tin mt h tr trong my ngy lin km nhiu bin php
khc mi
lpkhng
vic ly lan thnh khng hong h thng, gi c
thng hiu ngn hng.

Ln tip theo vo thng 08/2012, khi hai ng Nguyn c Kin v L Xun
Hi b
bt,li c hin tng rt tin t, nhng nh kinh nghim, Ngn hng Nh

nc ng ph tt, nhanh chng lm ch tnh hnh.
D do nguyn nhn ngoi sinh - t tin n ngoi x hi - hay t nguyn nhn
ni sinh - cc ri ro o c, tc nghip, vn hnh, th trng, tn dng, k hn khi

pht sinh kt hp, u cng hng vi nhau v ri ro thanh khon. Qu mt
ngng nht nh, ri ro thanh khon s vt khi tm khng ch ca ngi iu hnh.
Lc y, nu khng tch cc tp trung bin php ng ph kp thi - khng loi tr s h
tr t c h thng ti chnh-ngn hng, nht l ca Ngn hng Trung ng - vic thiu
ht thanh khon nhanh chng dn n mt kh nng thanh ton, ri ph sn. Vit
Nam, hin nay, Ngn hng Nh nc thng can thip, khng bt c t chc tn
dng no ph sn, n nh kinh t trong nc.
S bo tr ca Ngn hng Nh nc khng th ko di mi c theo tin
trnh hi nhp kinh t ca t nc. Chc nng can thip h tr phi tr v cho Bo
him Tin gi vi kh nng hn ch hn nhiu. Mi th tc s phi noi theo thng l
tp qun quc t.
Kt lun Chng 1
Chng 1 a ra mt l thuyt tng quan v thanh khon, ri ro thanh khon v
hot ng qun l ri ro thanh khon ti cc t chc tn dng. Bn cnh , nghin cu
cng trnh by mt s bi hc kinh nghim v qun l ri ro thanh khon trn th gii
v Vit Nam. Tc gi hy vng nghin cu s lm r hn s khc nhau gia hai thut
ng "tnh lng" v "tnh thanh khon", cng nh cung cp mt c s l thuyt lm nn
tng cho nhng phn tch nh gi chng 2.
CHNG 2
THC TRNG QUN L RI RO THANH KHON TI NGN HNG
THNG MI C PHN QUN I
2.1.
Qu trnh pht trin v li th kinh doanh ca Ngn hng Thng mi c
phn Qun i (MB)
2.1.1.
Qu trnh hnh thnh v pht trin ca MB
Ngy 04/11/1994, MB ra i nhm p ng yu cu dch v ti chnh cho cc
doanh nghip qun i, theo Giy chng nhn ng k kinh doanh s 0100283873
ngy 30/09/1994 do S K hoch v u t H Ni cp v Giy php s 0054/NH-GP
ngy 14/09/1994 ca Ngn hng Nh nc Vit Nam.
Vi 20 t VND vn iu l ban u, ch yu t vn gp ca cc c ng sng
lp, n nay vn iu l tng hn 500 ln t 11,256 t VND. Gi tr vn iu l
tng thm khng ngng tng ln.
V c cu c ng, tnh n cui 2013, 73,3% vn c phn do cc t chc kinh
t nm gi, trong cc t chc trong nc chim 63,38% (tiu biu c Vietcombank
9,6%, Tp on vin thng Qun i - Viettel 15%, Ngn hng thng mi c phn
Hng Hi Vit Nam 9,3%...). Cc t chc nc ngoi hin ang nm gi 9,92% vn c
phn. 26,62% vn c phn cn li do cc c nhn trong nc nm gi; cc c nhn
nc ngoi ch nm gi 0,08%. C cu c ng a dng ny gip MB gim thiu ri ro
bin ng ngun vn khi nn kinh t gp kh khn. C ng chin lc Viettel cng l
li th ring ca MB do Viettel rt mnh trong ngnh vin thng. Do , MB cn kh
nng tip tc tng vn iu l trong thi gian ti. Tuy nhin, MB vn cha c c ng
chin lc nc ngoi h tr v ti chnh, cng ngh, kinh nghim qun l iu
hnh.
Nm
tng
vn
2006
2007
2008
2009
2010
2011
Hnh thc tng vn

Vn iu l
Gi tr
n v
ti ngy
vn tng
cp
31/12
thm
(t ng)
(t ng)
1 045,2
595,2
NHNN
t 1: Pht hnh cho c ng hin
hu, CBCNV v c phiu thng
t 2: Pht hnh c phiu cho c
ng hin hu
2 000
954,8
NHNN
UBCKNN
hu
hu
3 400
1 400
NHNN
t 1: Pht hnh c phiu tr c tc
UBCKNN
t 2: Pht hnh c phiu t chuyn
i tri phiu chuyn i nm 2006
hu, CBCNV v c ng chin lc
5 300
1 900
NHNN
UBCKNN
i tri phiu chuyn i t 1 nm
2007
i tri phiu chuyn i t 2 nm
2007
7 300
2 000
NHNN
UBCKNN
t 2: Pht hnh c phiu thng
7 300
0
2012
10 000
2 700
NHNN
Pht hnh cho c ng hin hu,
UBCKNN
CBCNV v c ng chin lc
2013
11 256
1 256
NHNN
Pht hnh cho c ng hin hu,
UBCKNN
CBCNV v c ng chin lc
Ngun : Bo co ca MB
i tng
S lng c ng
C ng t chc
778.796.564
Trong nc
673.371.442
63,38
Nc ngoi
105.425.122
9,92
C ng c nhn
283.703.436
26,70
Trong nc
282.880.865
26,62
Nc ngoi
822.571
0,08
1.062.500.000
100%
Tng
T l s hu
vn c phn
(%)
73,30
Ngun
V m hnh t chc ca MB, c xy dng theo trc dc, bo m nguyn
tc cn bng thu nhp - ri ro - tng trng - kim sot. Vi m hnh ny, MB c th
tp trung vo cc lnh vc kinh doanh mi nhn, qun tr ri ro hiu qu, ng thi
tng cng
qunl tp trung theo cc khi xuyn sut t Hi s n chi nhnh v
phng giao dch. Tnh n 30/06/2013, MB c 1 Hi s chnh, 1 S Giao dch, 1 chi

nhnh ti Lo, 1 chi nhnh ti Campuchia, 178 chi nhnh v cc im giao dch ti 32
tnh/thnh ph trn c nc. Mng li ny gip MB tip cn v cung cp nhanh v
thun tin cc dch v ti chnh cho nhiu khch hng khc nhau.
S 2.1 : C cu t chc ca MB
Qua 19 nm hot ng, vi nng lc ti chnh v kh nng cnh tranh vng

vng, MB ngy cng ln mnh vi nh hng tr thnh tp on vi ngn hng m
MB v cc cng ty con hot ng v dch v ti chnh (ngn hng, bo him, chng
khon) v bt ng sn ti Vit Nam. Hin nay, MB ang c 5 cng ty trc thuc l
Cng ty C phn Chng khon MB, Cng ty TNHH Qun l N v Khai thc Ti sn
Ngn hng TMCP Qun i, Cng ty C phn a c MB (u t v kinh doanh bt
ng sn), Cng ty c phn Viet R.E.M.A.X (u t, pht trin, kinh doanh vn phng
cho thu). Cc cng ty ny hot ng hiu qu v tng bc khng nh l thng hiu
c uy tn.
Vi dch v v sn phm a dng, MB pht trin mnh v nhanh chng m rng
hot ng sang cc phn khc th trng mi ngoi th trng truyn thng ban u.
Trong 6 nm qua, MB lin tc c xp hng A - tiu chun cao nht theo Ngn hng
2.1.2.
Nh nc Vit Nam.
Li th kinh doanh ca MB
Sau 19 nm xy dng v pht trin, MB dn khng nh v th ca mt ngn

hng thng mi c phn ln ti Vit Nam. Vi s tng trng ton din, li nhun
nm sau lun cao hn nm trc, bo m tt quyn li cho c ng, MB c
khch hng tin tng vng chc. MB t c nhng kt qu n tng nh nhng li
th kinh doanh so vi cc ngn hng khc bao gm:
M hnh t chc v hot ng pht trin theo trc dc, bo m nguyn tc cn
bng thu nhp - ri ro - tng trng - kim sot. Vi m hnh ny, MB qun l theo cc
khi xuyn sut t Hi s n chi nhnh v phng giao dch.
H thng
quntr ri ro hiu qu l mt trong nhng nn tng quan trng
thc hin thnh cng chin lc ca ngn hng trong giai on 2011-2015. MB khng
ngng hon thin cng tc qun tr ri ro theo hng ton din, hiu qu trn c s
Basel II. MB l mt trong nhng ngn hng i u trong vic p dng m hnh v cc
cng c qun tr ri ro chnh thng theo Basel II. MB v ang hon thin h thng
xp hng - ph duyt tn dng khch hng c nhn v doanh nghip siu nh theo
phng php thng k vi chnh xc cao, ngoi ra, cn p dng phng php VAR
vo o lng v qun tr ri ro th trng cho ton b danh mc Tradingbook. Vic
qun tr ri ro tp on v cc chi nhnh nc ngoi cng c pht huy, gip khu
qun tr c ton din, bn vng v n nh hn.
Thng hiu ca MB c xy dng v pht trin trong 19 nm hot ng, c
ch ng vng chc trn th trng. MB ang xy dng hnh nh ca mt ngn hng
nng ng, tin cy, bn vng vi mt v th n nh, ng gp vo thnh cng chung
ca khch hng, ca ngn hng v ca cng ng.
u th v vn v c ng. MB c mt c cu c ng bn vng, vi cc c
ng chnh l cc doanh nghip v nh ch ti chnh ln nh: Tp on Vin thng
Qun i (Viettel), Vietcombank, Tng cng ty Trc thng Vit Nam, Tng cng ty
Tn cng Si Gn....u th ny gp phn tng vn iu l, to c s vng chc cho s
pht trin khng ngng trong kinh doanh.
u th v ngun vn huy ng. Ngun vn huy ng ca MB rt a dng, t cc
nhm khch hng khc nhau nh c nhn, doanh nghip, t chc tn dng, trong
ngun vn huy ng n nh t th trng 1 (dn c v cc t chc kinh t) chim t
trng ln.
Khch hng a dng v bn vng. MB c hng chc vn khch hng l cc
Tng cng ty, tp on, nh ch ti chnh, cc doanh nghip va v nh, h gia nh,
c nhn thuc mi ngnh ngh. MB to c quan h gn b vi khch hng, to tin
m rng th phn.
i u trong vic p dng cng ngh mi, trin khai thnh cng h thng ngn
hng li (core banking), xy dng h thng lu tr d liu thng minh (data warehouse), h thng thng tin qun tr (MIS), h thng qun tr ri ro ti trung tm d liu
& trung tm d liu d phng ca ngn hng. Trn c s qun l d liu tp trung t
Hi s n cc im giao dch, MB c th ra quyt nh kinh doanh nhanh chng v

qun l ri ro hiu qu. Ngoi ra, MB cn cung cp dch v Bankplus vi Viettel (tng
s giao dch thc hin 500.000 ln/1 thng, t l li 0,37% thp nht trong s cc ngn
hng s dng dch v theo thng k ca Viettel. MB cn trin khai thnh cng knh
thanh ton in t vi cc i tc khc ngoi Viettel nh VNPAY, MPLUS...Vi mong
mun mang n tri nghim tt hn cho khch hng, MB ang nng cp h thng
Internet Banking (eMB) thay th h thng hin ti vi giao din thn thin v d s
dng hn.
u th trong vic cung cp cc dch v ti chnh trn gi, a dng thng qua
lin kt vi cc cng ty thnh vin v cc i tc khc. Vi mc tiu tr thnh Tp
on ti chnh a nng hng u, MB thnh lp cc cng ty thnh vin kinh doanh
chng khon, qu, bt ng sn nhm a dng ha sn phm dch v, cung cp dch v
trn gi, khng ngng m rng khch hng. MB cn lin kt vi cc Tng cng ty,
Tp on ln cung cp cc dch v a dng cho khch hng nh: sn phm lin kt
vi Tp on Vin thng Qun i (Viettel), Tp on Bo him Prudential, VNpost....
2.1.3.
S lc hot ng kinh doanh ca MB t 2009 n 2013
2.1.3.1. Hot ng tn dng

Hot ng tn dng l hot ng mang li doanh thu v li nhun chnh cho
MB. MB cho cc t chc, c nhn vay di nhiu hnh thc nh vay ngn, trung v di
hn, vay tn chp hoc c ti sn m bo, cho vay theo nhiu loi tin. MB cn tham
gia ti tr vn cho nhiu cng trnh kinh t quc phng, dn sinh trng im. Trong
nhng nm qua, MB lun c mc tng trng tn dng kh cao v s lng khch hng
v quy m d n tn dng. S lng khch hng tn dng tng bnh qun trong 5 nm
2009-2013 vo khong 10.00%/nm.
n v: t VN
2009
2010
2011
2012
2013
27,064
45,281
58,108
73,912
87,278
D n cho vay khch hng
ca Ngn hng
26,958
45,103
57,799
73,388
86,484
Cho vay cc TCKT, c nhn
trong nc
10
61
107
316
482
Cho vay chit khu thng
phiu v cc giy
t c gi
96
117
202
186
236
Cho vay bng vn ti tr, y
thc u t
Cc khon tr thay khch hng
0
0
0
22
76
Ngun : Bo co ti chnh kim ton hp nht nm 2009, 2010, 2011, 2012, 2013 ca MB
D n cho vay nm 2010 l 45,282 t ng (tng 18,217 t ng, +67.31% so
vi nm 2009). D n cho vay nm 2011 l 58,108 t ng, (tng 12,826 t ng,
+28.33% so vi nm 2010). D n cho vay nm 2012 l 73,912 t ng (tng 15,804
t ng, +27.20% so vi nm 2011). D n cho vay nm 2013 l 87,278 t ng (tng
13,366 t ng, +27.20% so vi nm 2011). y l mc tng trng kh cao so vi
mt bng tng trng tn dng 8.91% ca ton ngnh.
D n ca t chc kinh t thng xuyn chim 86.8% tng d n ca MB, ch
yu l cc doanh nghip ngoi quc doanh trong cng nghip ch bin (26.75% d n),
sn xut v phn phi in, kh t v nc (11.44% d n) v sa cha xe c ng
c, m t, xe my, dng c nhn v gia nh (16.16% d n).
Bng 2.4: D n cho vay theo k hn ca MB t 2009 n 2013
n v: t VN
2009
2010
2011
2012
2013
27,064
45,281
58,108
73,912
87,278
Phn tch d n cho vay
khch hng theo thi gian
N ngn hn
15,757
29,236
38,929
53,085
63,666
N trung hn
7,487
10,102
11,641
12,263
12,397
N di hn
3,820
5,943
7,538
8,564
11,215
MB tp trung cho vay ngn hn - chim 71% tng d n, gip gim thp ri ro
thanh khon, nhanh chng thu hi vn, p ng kp thi cc nhu cu cho vay hay chi
tr trong hot ng hng ngy ca ngn hng.
m bo an ton v tn dng, m hnh ph duyt tn dng c thnh lp, c
s tham gia ca Hi ng tn dng gm cc chuyn gia cao cp m bo cht lng
cao nht, phc v 4 nhm i tng khch hng l doanh nghip ln, nh ch ti
chnh, doanh nghip va v nh, c nhn vi chc nng thm nh v quyt nh ph
duyt tn dng theo phn cp thm quyn trong tng thi k.
*
Khch hng l doanh nghip

MB ti tr cho nhiu Tp on kinh t, Tng cng ty ln thc hin nhiu d n
trng im ca quc gia, d n pht trin cc ngnh kinh t c bn ca t nc nh:

Tp on Du kh Vit Nam, Tp on Than Khong sn Vit Nam (TKV), Tp on
Sng , nhm d n nng lng in ca Tng Cng ty Truyn ti in Quc gia.
MB ng gp tch cc vo s pht trin kinh t Vit Nam v s thnh cng ca
khch hng.
MB v ang tch cc trin khai chin lc khch hng SME nhm khai thc
th mnh, tim lc kinh t to ln cng nh phn tn ri ro tn dng. MB ti tr mt s
mt hng l th mnh xut khu ca Vit Nam nh nng sn xut khu cho Cng ty C
phn Lng thc Hu Giang, Cng ty Lng thc ng Thp (DAGRIMEX), Tng
Cng ty Lng thc Min Nam (VINAFOOD 2), Cng ty Intimex...
MB cn ch ng thit k nhiu sn phm lin kt vi cc i tc chin lc
khai thc th mnh v t li ch hp tc ti a nh sn phm e-services, chng trnh
lin kt thanh ton ph dch v Logistics, sn phm Bancassurance t. MB hin ang
tch cc trin khai sn phm lin kt trong lnh vc xng du, vin thng, phn phi,
sn phm thu thu v bo lnh thu cho cc doanh nghip thng qua hp tc vi Tng
Cc Hi quan v Kho bc Nh nc Trung ng.
Khch hng c nhn

i tng khch hng c nhn c phn khc v nh gi l ph hp vi chin
lc pht trin ca MB. Vic cp tn dng cho khch hng c nhn c xem xt trn
nguyn tc thn trng, c c ch kim sot cht ch khi cho vay v khch hng phi
p ng iu kin v ti chnh, kinh nghim kinh doanh, t cch o c...theo quy
nh ca MB.
D n cho c nhn vay tng ng k chim t 15% - 20% tng d n. Cui nm
2011,
d n khch hng c nhn l 8,073 t VND (t 110.33% so vi nm 2010),

vo
31/12/2012, l 9,264 t VND (t 114.75% so vi nm 2011) v n 2013, l 86,484

t
VND.
Cht lng danh mc tn dng
MB lun buc vic tng trng v pht trin d n tn dng phi m bo cht
lng tt nht. Danh mc tn dng lun c kim sot cht ch. Trong nhiu nm
qua, MB duy tr c cht lng danh mc tn dng tt v kim sot n xu cht
ch, lun gi t l n xu (NPL) di 2.5%. Vic thng nht h thng quy trnh, mu
biu hp ng tn dng, bo lnh trong ton h thng v vic tr thnh NHTM C phn
Vit Nam u tin c Ngn hng Nh nc cho p dng H thng xp hng tn dng
ni b, chnh sch phn loi n v trch lp d phng theo phng php nh tnh gip
MB qun tr ri ro tn dng mt cch bi bn, chuyn nghip theo thng l quc t.
Bng 2.5: Phn loi n v t l n xu ca MB t 2009 n 2013
n v: t VN
2009
2010
2011
2012
2013
27,064
45,281
58,108
73,912
87,278
D n cho vay khch hng
ca Ngn hng
N tiu chun
25,779
44,043
54,766
69,512
81,234
N cn ch
818
625
2,404
3,029
3,899
N di tiu chun
213
125
305
299
653
N nghi ng
77
71
111
433
674
N c kh nng mt vn
177
417
520
639
818
T l n xu
1.73%
1.35%
1.61%
1.86%
2.46%
nh gi cht lng tn dng. Trong bi cnh n xu ca ton h thng tng

mnh th n xu ca MB cng c din bin tng t. T l n xu vo cui nm 2012
l 1.86%, tng 1.61% so vi nm 2011. Nm 2012, d n xu ngnh ngn hng tng
ln trn 8% nhng MB vn gi c n xu mc 1.86%, thp hn so vi cc ngn
hng u ngnh. Trong nhm n xu, n di tiu chun gim nh trong nm 2011,
2012.
N c kh nng mt vn tng, c bit tng mnh trong nm 2013, chim n
74.5% tng n xu. N nghi ng tng gp 4 ln vo cui nm 2012. T l trch lp d

phng ri ro trn n xu ca MB l 95% vn l mt t l kh tt.
2.1.3.2. Hot ng huy ng vn
MB s dng ng b v linh hot nhiu gii php nhm to s n nh trong
vic thu ht cc ngun vn, phc v kinh doanh. MB huy ng vn t cc t chc kinh
t v c nhn qua nhiu knh khc nhau. Ngun vn huy ng t cc t chc kinh t
thng qua mng li bn hng, qun l v h tr theo trc dc t cc khi CIB (doanh
nghip ln v cc nh ch ti chnh), SME v khch hng c nhn em li hiu qu.
Cc hnh thc huy ng vn ca MB rt a dng, linh hot nhm p ng tt nht nhu
cu gi tin ca doanh nghip v c nhn.
Bng 2.6: C cu huy ng vn ca MB t 2009 n 2013
n v: t VN
2009
2010
2011
2012
2013
59,279
96,954
120,954
152,357
159,690
C cu huy ng vn ca
Ngn hng
Tin vay t NHNN
4,708
8,769
0
489
0
11,697
16,916
26,673
30,512
21,423
Tin gi v vay t cc TCTD
khc
39,978
65,741
89,548
117,747
136,089
Tin gi ca KH (t t chc
kinh t v dn c)
Vn ti tr y thc u t cho
476
117
201
189
178
vay
Pht hnh giy t c gi
2,420
5,411
4,532
3,420
2,000
Trong bi cnh khng hong ti chnh v cnh tranh gay gt gia cc ngn hng,
huy ng vn ca MB so vi cc nm trc vn tng trng. Tng trng huy ng
vn mc kh cao trung bnh khong 30%. Kh nng huy ng vn cao v n nh
ny gip kim sot tt ri ro thanh khon trong bi cnh chung hin nay.
th 2.1: C cu tin gi ca khch hng (theo i tng khch hng)
2009 2010
2011
2012
2013
Tin gi ca cc t chc kinh t v dn c chim hn 70% tng vn huy ng.

MB huy ng t cc t chc kinh t nhiu hn so vi t c nhn, trong khi cc ngn
hng ln nh Vietcombank, Vietinbank li huy ng nhiu t c nhn, mt phn do
mng li ca MB cha ph rng khp v thng hiu cha bng cc ngn hng ln.
Nhng y cng l mt li th ca MB v c th huy ng vn vi chi ph thp. Trong
chin lc pht trin di hn, MB vn ch trng n ngun tin t dn c, l mt cu
phn quan trng n nh ngun vn cho kinh doanh.
Bng 2.7: C cu tin gi theo i tng khch hng t 2009 n 2013

n v: t VN
2009
2010
2011
2012
2013
39,978
65,741
89,548
117,747
136,089
kinh t v dn c)
* Tin gi ca TCKT
24,786
42,303
59,016
76,715
86,057
* Tin gi ca c nhn
15,192
23,438
30,532
41,032
50,032
Cc khon tin, vng gi k hn chim t trng cao, hn 50% so vi cc loi
hnh huy ng khc.
Bng 2.8: C cu tin gi theo hnh thc huy ng t 2009 n 2013
n v: t VN
2009
2010
2011
2012
2013
39,978
65,741
89,548
117,747
136,089
kinh t v dn c)
* Tin, vng gi khng k hn
14,567
20,087
24,547
35,576
39,261
23,170
39,809
48,822
64,919
73,130
* Tin gi vn chuyn dng
197
3,114
8,322
1,371
1,160
* Tin k qu
2,044
2,731
7,857
15,881
22,538
2009 2010
2011
2012
2013
th 2.2: C cu tin gi ca khch hng theo hnh thc v thi hn huy ng
Ngun vn huy ng bng VN v ngoi t gi t trng kh n nh l mt li
th ca MB do li sut huy ng bng ngoi t kh thp so vi li sut huy ng VN.
MB c th tn dng ngun ny cho vay ngoi t v kinh doanh ngoi hi.
Bng 2.9: C cu tin gi theo loi tin t 2009 n 2013
n v: t VN
2009
2010
2011
2012
2013
39,978
65,741
89,548
117,747
136,089
kinh t v dn c)
* Tin gi bng VN
28,453
51,534
67,601
91,828
109,734
* Tin gi bng ngoi t
11,525
14,207
21,947
25,919
26,355
Cng vi cc sn phm huy ng vn truyn thng a dng, vic trin khai cc
dch v ngn hng hin i nh qun l dng tin, qun l tin mt v t vn ti chnh
mang li cho MB ngun vn rt n nh.
2.1.3.3.
Hot ng u t
Nm 2012, c cu u t ca MB gm 95% u t chng khon, 4% gp vn

di hn v 1% chng khon kinh doanh. Nhm gim bt ri ro trong hot ng, MB
ang gim dn c v quy m v t trng ca chng khon kinh doanh (ch cn 1%
trong khi nm 2011 l 5%).
Chng khon kinh doanh (c phiu) gim mnh, nm 2012, ch cn 490 t
ng, gim 59% so vi cui nm 2011. Danh mc chng khon kinh doanh ca MB
gm c phiu cha nim yt (gim 96%) so vi nm 2011 nn tnh thanh khon ca
danh mc u t chng khon c ci thin kh nhiu. Tuy nhin mc ri ro ca
danh mc cn kh ln khi d phng gim gi chng khon kinh doanh cn kh cao vi
291 t ng tng ng vi 53%.
Chng khon u t (chng khon n c mc an ton cao) tng mnh t

19,872 t ng nm 2012, trong c chia thnh hai loi l chng khon u t sn
sng bn l 37,806 t ng (chim 90% tng chng khon u t) v chng khon
u t gi n ngy o hn. Phn chng khon u t sn sng bn ch yu bao
gm chng khon n do Chnh ph pht hnh, chng khon n do Chnh ph bo lnh.
Khon ny c nh gi c an ton kh cao. Phn chng khon u t gi n
ngy o hn ch yu l chng khon n do cc t chc tn dng khc pht hnh v
chng khon n do cc t chc kinh t trong nc pht hnh. Khon u t ny kh ri
ro nn MB trch lp d phng gim gi 566 t ng.
u t vo cng ty lin kt. Nm 2012, MB tng t l s hu ti Cng ty C
phn bo him Qun i ln 49.76%, l nhng khon u t tng i t ri ro.
u t gp vn di hn. Danh mc u t di hn ca MB c tng gi tr n
31/12/2012 l 1,412 t ng, trong 41% u t vo t chc kinh t, 37% u t vo
cc d n di hn v 15% u t vo qu u t.
i vi chng khon u t v chng khon kinh doanh, MB trch lp d
phng vi t l nht nh; i vi khon u t gp vn di hn, MB cha trch lp d
phng nn cha phn nh c ht ri ro tim n i vi hot ng u t ny.
2.1.4.
nh gi kt qu kinh doanh ca MB t 2009 n 2013
Nm 2012, nn kinh t th gii phi i mt vi ba thch thc ln: khng hong
n cng ti chu u, nn kinh t M vi gi cu tr (QE) v vch ti chnh lm
kinh t cc nc Chu u tng trng chm li. D Chnh ph nhiu nc thc thi cc
gii php nhm khi phc v thc y tng trng, nhng cc du hiu hi phc vn
cha r nt. Kinh t Vit Nam trong nm 2012 c nhng im sng nh hng lot gii
php v qun l nh nc nh: lm pht c kim ch mc 6.81%, li sut gim, th
trng lin ngn hng c cu thot khi khng hong thanh khon, t gi v cn cn
thng mi tng i n nh, d tr ngoi t tng, n cng nm trong mc kim sot.
Tng trng kinh t nm 2012 ch t 5.03%. Nn kinh t cn tn ti nhiu vn nh:
th trng bt ng sn cha chuyn bin v ngy cng gy p lc ln nn kinh t,

hng tn kho ln cng nhng kh khn v vn v th trng khin hng lot doanh
nghip b ph sn.
Ngnh ngn hng cng y bin ng, n xu lin tc tng cao, 8/9 ngn hng
yu km c Ngn hng Nh nc ph duyt phng n ti c cu ko theo hng lot
thay i trong Ban lnh o s ti. Nm 2012 cng c nhiu s kin la o v vi
phm php lut nh hng n uy tn ca ngnh. Qu trnh ti c cu cc ngn hng
c trin khai v t mt s kt qu nht nh. Thanh khon ca cc ngn hng c
ci thin, n xu c nh lng minh bch hn c gii php ph hp, hiu qu.
Hu ht cc ngn hng k c cc n v ln u gim li nhun so vi nm 2011
nh NHTM C phn Chu, NHTM C phn Si Gn Thng Tn, NHTM C phn
Xut nhp khu Vit Nam.... Trin vng nm 2013 vn cha sng sa do p lc n xu
v vic tip tc ti c cu cc ngn hng yu km. Tng trng tn dng d kin thp.
Mc tng trng chung kh t c nh trc trong khi kh ct gim thm chi ph
hot ng. MB vn duy tr tc tng trng kh tt, d c gim so vi nhng nm
trc nhng vn mc cao trong ngnh.
Bng 2.10: Kt qu kinh doanh ca MB t 2009 n 2013
n v: t VN
2009
2010
2011
2012
2013
Tng ti sn
69,008
109,623
138,831
175,610
180,381
Vn ch s hu
6,888
8,882
9,642
12,864
15,148
Thu nhp li thun
1,838
3,519
5,222
6,603
6,124
Thu nhp ngoi li
815
569
-75
1,211
687
Tng thu nhp hot ng
2,654
4,088
5,147
7,813
7,660
Tng chi ph hot ng
784
1,254
1,881
2,697
2,746
1,869
2,834
3,266
5,117
4,914
Li nhun t HKD trc d
phng
Chi ph d phng ri ro
364
546
641
2,027
1,892
Li nhun trc thu
1,505
2,288
2,625
3,090
3,021
Li nhun sau thu
1,174
1,745
1,915
2,320
2,286
ROE
17.04%
19.65%
19.86%
18.03%
15.09%
ROA
1.70%
1.59%
1.38%
1.32%
1.27%
Ngun : Bo co ti chnh kim ton hp nht nm 2009, 2010, 2011, 2012, 2013
Nm 2012, MB hon thnh phn ln cc ch tiu k hoch v pht trin n nh

vi n xu c kim sot, khng c nhng li ch nhm lin quan, vt qua kh khn
v thanh khon, ng thi tn dng c hi vn ln trong nhm cc ngn hng c
cng quy m.
So vi nm 2011, tng ti sn v ngun vn ch s hu nm 2012 ca MB tng
ln lt l 26% v 33%. Huy ng vn t khch hng (bao gm tin gi v giy t c
gi) tng 29%, d n cho vay tng 26%. T l an ton vn ti thiu ca ngn hng n
cui nm 2012 l 11.15%, ln hn nhiu so vi mc ti thiu 9% theo quy nh. T l
n xu cui nm 2012 l 1.84%, n 30/06/2013 l 2.44%. MB lun trch lp d phng
ri ro tn dng y theo quy nh ca Ngn hng Nh nc. Do qun l hiu qu chi
ph hot ng nn li nhun trc thu tng trng tt qua cc nm.
Nm 2012, li nhun trc d phng tng 57% nhng li nhun sau thu ch
tng 9% do trch lp d phng ri ro kh nhiu. MB cng c mc sinh li n tng
trong nm 2012 vt qua nhiu ngn hng ln nh ACB, Vietcombank, Sacombank,
Eximbank.... D c vn ch s hu v tng ti sn ln nht nhng mc sinh li ca
MB thi gian qua l kh cao vi ROE 15% v ROA 1.27% trong nm 2013.
2.2.
Qun l ri ro thanh khon ti Ngn hng Thng mi C phn Qun i
2.2.1.
Khung php l cho qun l ri ro thanh khon
2.2.1.1.
Quy nh ca Nh nc
H thng php lut Vit Nam ngy cng c hon thin. Vic ban hnh Lut
Ngn hng Nh nc, lut cc T chc tn dng, Lut thanh tra gp phn hon thin
mt bc quan trng trong khun kh php l v gim st ngn hng. Ni dung gim
st c xy dng trong cc Quyt nh s 398/1999/Q-NHNN v bo m kh nng
chi tr hay nh gi tnh thanh khon ca Ngn hng, Quyt nh s 06/2008/QNHNN v xp loi NHTM c phn, Quyt nh s 457/2005/Q-NHNN v cc t l
m bo an ton trong hot ng Ngn hng, Quyt nh s 493/2005/Q-NHNN v

phn loi n, trch lp v s dng d phng x l ri ro... phn no p ng c
yu cu v bo m an ton cho h thng ngn hng.
Cc quy nh ny c xy dng trn c s p dng chun mc v thng l
quc t ph bin v thc tin hot ng ngn hng ti Vit Nam. Tuy nhin, cng vi
s pht trin ngy cng nhanh, mnh v hi nhp quc t ngy cng su rng ca h
thng ngn hng Vit Nam, cc quy nh ny bc l nhiu im hn ch v km
hiu qu trong vic bo m an ton hot ng v qun l ri ro tn dng ca cc t
chc tn dng Vit Nam. Khung php l v qun tr ngn hng ti Vit Nam c
nhng cn mt s im cha ph hp vi thng l quc t, nh: U ban lng thng,
U ban c (i vi cc v tr nhn s ch cht ca ngn hng) thuc Hi ng qun
tr cha phi l yu cu bt buc phi c; cha nhn mnh tm quan trng v s tham
gia ca cc thnh vin c lp, khng c quan h kinh t vi ngn hng trong cc u
ban thuc Hi ng qun tr. Cc u ban thuc Hi ng quan tr cha c knh bo
co, thng tin hiu qu v cc cng c qun l ph hp; hu ht cc u ban cha thc
hin y chc nng ca mnh. Chnh sch cng b v minh bch thng tin cha y
.
Cc chin
lc qun l thanh khon ca hu ht cc t chc tn dng cn kh
chung chung. Cc t chc tn dng cha c cng c ph hp lng ho ri ro, bo

co phc v qun l thanh khon ch yu l ngn hn (thng di 2 tun), thiu cc
bo co phn tch di hn phc v mc tiu huy ng v s dng ngun vn hiu
qu. D c cu t chc qun l ri ro thanh khon c xy dng, nhng vn hnh
cha hiu qu, vai tr ca ALCO cn m nht. Cc cng c nh phn tch v qun tr
lch thi gian, tnh hung, ri ro tp trung, nh hng ca cc cam kt cho vay cha
gii ngn. cha c p dng ph bin v linh hot. Rt t t chc tn dng xy dng
k hoch (gi nh) i ph vi khng hong thanh khon, nu c xy dng th cng
cha c luyn tp v cp nht thng xuyn, lin tc.
Cho n nay, cng vi pht trin ca h thng ngn hng c v quy m, s

lng v loi hnh, mt s chnh sch ca Ngn hng Nh nc cng gy tc ng
khng tt cho cc NHTM. Thng t s 15/2009/TT-NHNN ngy 10/08/2009 quy nh
k t ngy 24/09/2009 t l ti a ca ngun vn ngn hn c s dng cho vay l
30% (so vi quy nh c ti Quyt nh 457 l 40%), buc ngn hng gim mnh cho
vay trung di hn trnh vi phm quy nh mi.
Thng t mi cn quy nh ngun vn trung v di hn l ngun vn c thi
hn cn li trn 12 thng, tc l, cc khon huy ng c thi hn gc trn 12 thng
nhng ti thi im t chc tn dng tnh t l ti a ca ngun vn ngn hn c s
dng cho vay trung di hn, cc khon huy ng ny c thi hn cn li t 12 thng
tr xung ch c tnh l ngun vn ngn hn ca t chc tn dng.
Trong khi , khon cho vay trung hn c quy nh l khon cho vay, cho
thu ti chnh c thi hn cho vay trn 12 thng, tc l, cc khon vay c thi hn trn
12 thng, ti thi im tnh t l trn, nu c thi hn cn li t 12 thng tr xung vn
c tnh l cho vay trung di hn.
2.2.1.2,
Quy nh ca Ngn hng TMCP Qun i
Vi nh hng tr thnh tp on ti chnh a nng, vic s dng cc cng c

ti chnh, bao gm huy ng vn qua tin gi v pht hnh giy t c gi, v u t
vo cc ti sn ti chnh c cht lng cao l cc hot ng then cht gip MB t
c mc chnh lch li cn thit. Ngn hng phi duy tr c cu danh mc ti sn,
cng n v ngun vn v mc tiu an ton, gim thiu ri ro trong hot ng.
Trong qun
l ri ro tn dng, ngn hng s dng hiu qu Cm nang Tn
dng, trong ghi r cc iu kin v th tc cho vay, cng cc hng dn thc hin
chun ha hot ng tn dng ca ngn hng. Ri ro thanh khon c hn ch
thng qua vic nm gi mt lng tin mt v cc khon tng ng tin trong ti
khon Nostro v ti Ngn hng Nh nc mc hp l, cc khon tin gi c k
hn ti cc t chc tn dng khc v cc giy t c gi. Cc t l an ton c tnh n ri

ro cng c s dng qun l ri ro thanh khon.
Ngn hng thng nh gi chnh lch li sut, so snh vi cc th trng trong
nc v quc t c nhng iu chnh kp thi. Vic p dng cc quy trnh qun l
ri ro ni b cng tr nn hiu qu hn nh trin khai H thng qun l vn tp trung
v h thng thanh ton tp trung, theo ton b cc giao dch mua bn vn v thanh
ton ca ngn hng u do Hi s chnh thc hin. Vic y cho php gim st hiu qu
hn cc bin ng v vn v gim cc sai st c th xy ra cng nh gim bt nhng
th tc phc tp khng cn thit.
T nm 2008, ti cng vn s 8738/NHNN-CNH ngy 25/09/2008, Ngn hng
Nh nc Vit Nam cho php MB p dng h thng xp hng tn dng ni b phn
loi cc khon cho vay khch hng theo iu 7, Quyt nh 493/2005/Q-NHNN.
Theo h thng ny, cac khon vay ca MB s c nh gi v phn loi da trn c
hai yu t l nh tnh v nh lng.
Theo cc khon cho vay c phn loi theo mc ri ro nh sau
STT
Xp hng
Nhm n
M t
AAA
Nhm 1
N tiu chun
AA
Nhm 1
N tiu chun
Nhm 1
N tiu chun
BBB
Nhm 2
N cn ch
BB
Nhm 2
N cn ch
Nhm 3
N di tiu chun
CCC
Nhm 3
N di tiu chun
CC
Nhm 4
N nghi ng
Nhm 4
N nghi ng
Nhm 5
N c kh nng mt vn
Theo Quyt nh s 780/Q-NHNN, v vic phn loi n c iu chnh k

hn tr n, gia hn n, MB iu chnh k hn n v gia hn n i vi mt s khon
vay ca cc khch hng c nh gi l sn xut kinh doanh c chiu hng tch cc
v c kh nng tr n tt sau khi c cu li k hn n ng thi gi nguyn nhm n
cho cc khon vay ny nh c phn loi theo quy nh trc khi c cu li.
D phng c th
Ri ro tn dng thun ca cc khon cho vay c tnh bng gi tr cn li ca
khon cho vay tr gi tr ca ti sn bo m c chit khu theo cc t l quy
nh. D phng c th c trch lp da trn ri ro tn dng thun ca cc khon cho
vay theo cc t l tng ng vi tng nhm nh sau
Loi
T l d phng c th
Nhm
1
N tiu chun
0%
N cn ch
5%
N di tiu chun
20%
N nghi ng
50%
N c kh nng mt vn
100%
D phng chung
Theo Quyt nh s 493/Q-NHNN, d phng chung c trch lp cho nhng
tn tht cha c xc nh trong qu trnh phn loi n v trch lp d phng c th
v trong cc trng hp kh khn v ti chnh ca cc t chc tn dng khi cht lng
cc khon n suy gim. Ngn hng phi trch lp v duy tr d phng chung bng
0.75% tng gi tr cc khon n c phn loi t nhm 1 n nhm 4.
2.2.2.
Qun l ri ro thanh khon ca Ngn hng TMCP Qun i (MB)
2.2.2.1.
V nhn s v t chc
M hnh t chc qun l ri ro thanh khon ca MB
Hi ng qun l ri ro: trc thuc Hi ng Qun tr, thc hin gim st tt

c cc loi ri ro trong ton ngn hng, qua s c s khi qut tng th v ri ro,
nhm a ra c cc chnh sch ng b, hp l, hiu qu nht. Hi ng qun l ri
ro c nhim v:
mbo rng tuyn b chnh sch ri ro v miloi ri ro c chun b

Hi ng Qun tr ph duyt.
m bo rng chnh sch ri ro c thc hin nghim chnh.
Qun l ngun vn ca ngn hng.
m bo xy dng cc hn mc ri ro th trng v tn dng.
Qun l H s ri ro tng th ca ri ro tc nghip trong cc mng kinh

doanh.
R sot hot ng ca y ban qun l ri ro.
Ban iu hnh: xy dng quy trnh hng dn xc nh li sut cho vay ca

tng sn phm tn dng
y ban qun l ri ro: trc thuc Ban iu hnh, c nhim v:
Gim st mt cch tch cc qu trnh qun l ri ro trong ngn hng
Chu trch nhim xy dng khung qun l ri ro
Thnh vin y ban qun l ri ro bao gm: Tng gim c (lm Ch tch),
trng cc Phng Qun l ri ro v cc phng ban lin quan. y ban hot ng thng
qua cc cuc hp nh k hoc bt thng.
Phng Qun l ri ro TSC: c trch nhim gip Ban lnh o thc hin nhim
v qun l ri ro.
H tr Ban iu hnh, gip Ban iu hnh chng minh vi cc c quan qun

l, kim ton v cc cp qun l cao hn rng cng tc qun l ri ro
c thc hin
Lm u mi, ch ng trin khai vo thc t, n cc b phn, cc chi

nhnh, n v, phng ban cc khu trong qun l ri ro ca ngn hng.
Phng qun l ri ro chi nhnh:
Gip ban gim c chi nhnh thc hin qun l ri ro, thc hin cc bo co
lin quan n quan n qun l ri ro.
Trin khai hot ng qun l ri ro ti chi nhnh di s hng dn, gim

st ca phng qun l ri ro TSC
B phn Kim ton: chc nng kim ton ni b c lp vi qu trnh qun l
ri ro, nhm kim tra tnh hiu qu ca chnh sch v khung qun l ri ro. Ban kim
ton cn thc hin xem xt li quy trnh qun l ri ro v phng php o lng nhm
m bo:
Tnh tun th quy trnh qun l ri ro
Cht lng, ni dung cc phng php v kt qu ca cc phng php .
Nhn xt. M hnh ny c s tch bit mt cch c lp gia 3 chc nng: qun l ri
ro, kinh doanh v tc nghip. S tch bit gia 3 chc nng nhm mc tiu hng u
l gim thiu ri ro mc thp nht ng thi pht huy c ti a k nng chuyn
mn ca tng v tr cn b lm cng tc tn dng.
* im manh:
Qun l ri ro mt cch h thng trn quy m ton ngn hng, m bo tnh

cnh tranh lu di.
Thit lp v duy tr mi trng qun l ri ro ng b, ph hp vi quy trnh

qun l gn vi hot ng ca cc b phn kinh doanh nng cao nng lc o
lng gim st ri ro.
Xy dng chnh sch qun l ri ro thng nht cho ton h thng.
* im yu:
Vic xy dng v trin khai m hnh qun l tp trung ny i hi phi u t

nhiu cng sc v thi gian.
i ngcn b phi
c kin thc cn thit v bit p dng l thuyt vi thc

tin.
2.2.2.2.
V quy trnh qun l ri ro thanh khon
Qun l ri ro thanh khon ti Ngn hng thng mi C phn Qun i c

thc hin theo chin lc cn i thanh khon gia ti sn C & ti sn N. C th quy
trnh qun l ri ro thanh khon ca Ngn hng nh sau:
Bc 1: Nhn din ri ro thanh khon.
vic qun l ri ro t hiu qu cao nht, ngn hng phi nhn din c ri
ro thanh khon c th pht sinh v ri ro tim n ch ng i ph v c phng n
x l ph hp. Khng mt ngn hng no c th khng nh d tr thanh khon ca
mnh l hp l v nu khng vt qua c nhng th thch ca th trng, biu
hin qua: lng tin ca cng chng, s bin ng gi c phiu ca ngn hng, p dng
mc li sut huy ng cao hn th trng, l t vic bn ti sn, kh nng p ng nhu
cu vay vn ca khch hng, vay vn t ngn hng trung ng.
Bc 2: o lng ri ro thanh khon
Sau khi nhn din ri ro thanh khon, nh qun tr o lng mc nghim
trng m ri ro thanh khon c th tc ng n hot ng kinh doanh ca ngn hng.
Vic o lng ri ro thanh khon phi m bo v nh tnh v nh lng, c thc

hin qua cc cng c o lng ri ro thanh khon. Trong nhng nm gn y, mt s
phng php o lng yu cu thanh khon c pht trin bao gm: Phng php
tip cn ngun vn v s dng vn, phng php tip cn cu trc vn v phng php
ch s thanh khon. Cc phng php c xy dng da trn mt s gi nh l ngn
hng ch c
th c lnggn ng mc cu thanh khon thc t ti mt thi im

nht nh.
Bc 3: X l ri ro thanh khon
Cc nh qun tr ri ro phi tm bin php x l. Yu cu ca bc ny l phi
nhanh, kp thi v hiu qu, nhm hn ch ti a tn tht cho ngn hng.
Bc 4: Gim st ri ro
Vic gim st ri ro thanh khon c c th ha nh sau
Cc hn mc ri ro thanh khon c thit lp v m bo s tun th hn mc
do y ban ALCO, Php ch, Qun l ri ro ph duyt.
Khi cc hn mc b vi phm v/hoc c xu hng din bin xu, phi bo co
cho Ban Gim c, y ban ALCO, Php ch & Qun l ri ro x l kp thi, m
bo an ton cho ngn hng.
Khi cc hn mc b vi phm v ngn hng b ht thanh khon, Hi ng Qun
tr trc tip ch o cc bin php x l tip theo.
2.2.2.3.
Phng php v cng c qun l ri ro thanh khon

Phng php: ch yu s dng phng php tip cn ngun vn v s dng
vn (nhm xc nh trng thi thanh khon d kin, t a ra cc phng php ng

ph ph hp) v phng php tip cn ch s thanh khon (nhm theo di st sao din
bin trng thi ri ro thanh khon ca ngn hng, t ch ng i ph nu c bin
ng tiu cc).
Cng cu :
o Bo co ALCO nh k
o Hn mc v cc t l thanh khon:
Cc t l theo quy nh ca NHNN:
T l an ton vn ti thiu (CAR)
T l gia Tng ti sn C thanh ton ngay v Tng n phi tr
T l gia Tng ti sn C n hn thanh ton trong 7 ngy tip theo k t

hm sau v Tng ti sn N n hn thanh ton trong 7 ngy tip theo
T l cp tn dng t ngun vn huy ng

T l ngun vn ngn hn cho vay trung v di hn
Cc t l v c cu ti sn:
T l vn kh dng/Tng ti sn
T l ti sn lng/Tng ti sn
T l chng khon u t/Tng ti sn
T l Giy t c gi c th chit khu, tham gia th trng m/Tng ti sn

T l cho vay/ Tng ti sn
Cc t l v c cu ngun:
T l ngun vn huy ng t th trng 2/Tng ngun vn
T l ngun vn huy ng t khch hng/Tng ngun vn huy ng
T l ngun vn huy ng t dn c/Tng ngun vn huy ng
T l tin gi khng k hn/Tng ngun vn huy ng
T l tin gi & cho vay TCTD/nhn tin gi & vay TCTD
o K hoch vn d phng:
c s dng cho vic qun l thanh khon hng ngy;
c xy dng da trn cc gi nh v nhng bin ng bt thng c th

xy ra gy mt cn i thanh khon ca ngn hng;
Phn nh tp hp nhng chin lc duy tr vn kh dng, kh nng chuyn
i ti sn sang tin v huy ng thm vn mi p ng nhu cu trong tng trng

hp c th m ngn hng c th gp phi.
2.3.
Phn tch cc ch s thanh khon ti Ngn hng Thng mi C phn Qun
i
2.3.1.
Cc ch s theo quy nh ca Ngn hng Nh nc
Bng 2.11: Ch tiu thanh khon theo quy nh ca Ngn hng Nh nc
Ch tiu
2009
2010
2011
2012
2013
Tiu
chun
Vn t c/ Tng ngun 12.52% 10.60% 8.11% 9.49% 10.22% H1>5%
vn huy ng (H1)
8.10%
6.95% 7.33% 8.40%
H2>5%
Vn t c/ Tng ti sn 9.98%
C (H2)
CAR
10.14% 7.70%
6.86% 6.21% 6.36% CAR>9%
H s gii han huy ng vn (H1) thng c gi l H s Cook

H s ny cho ta bit gii hn mc huy ng vn ca ngn hng, trnh tnh
trng huy ng vn qu nhiu, vt mc bo v ca vn t c, lm cho ngn hng c

th mt kh nng chi tr. Theo Php lnh ngn hng nm 1990, tng ngun vn huy
ng ca NHTM phi < 20 ln vn t c. iu c ngha H1>5%.
Nhn chung, h s gii hn huy ng ca MB vn theo ng quy nh ca Ngn
hng Nh nc. Mc huy ng vn ph hp vi sc bo v ca vn t c. Tuy nhin,
kh nng bo v ca vn t c trc nhng ri ro l cha cao. Trong giai on 20102011, h s H1 c st gim do ngun vn huy ng tng mnh, trong khi vn t c gia
tng chm hoc hu nh khng gia tng.
H s t l gia vn t c so vi tng ti sn c (t l n by) (H2)

H s ny nh gi mc ri ro ca tng ti sn c ca ngn hng. Khi ri ro
xut hin, ngn hng phi i mt vi ti sn st gim. S st gim ny cng ln th li

nhun ca ngn hng cng gim. H s ny cho php ta nh gi mc st gim nht
nh ca ti sn so vi vn t c ca ngn hng.
Vit Nam, m bo an ton kinh doanh i vi cc t chc tn dng, Ngn
hng Nh nc thng qua Quyt nh 107/Q/NH5 ngy 09/06/2012 buc cc t
chc tn dng phi thng xuyn duy tr t l ti thiu gia vn t c vi tng gi tr

ti sn mc 5%.
Nm 2012, h s H2 tng 0.38% so vi nm 2011 do nhng kh khn ngnh
ngn hng gp phi. Tnh hnh kinh t khng kh quan, khin cho vay gim mnh ko
gim ti sn ca MB. Tnh hnh vn cha ci thin trong nm 2013, tuy Ngn hng vn
p ng nhng yu cu v an ton vn theo quy nh, d mc thp.
T l an ton vn ti thiu CAR

Theo cc Thng t s 13/2010/TT-NHNN ngy 20/05/2010 v s 22/2011/TTNHNN ca Ngn hng Nh nc: T chc tn dng, tr chi nhnh ngn hng nc
ngoi, phi duy tr t l an ton vn ti thiu 9% gia vn t c so vi tng ti sn
"C" ri ro ca t chc tn dng (t l an ton vn ring l).
Ngoi vic duy tr t l vn ring l, t chc tn dng phi thc hin Bo co ti
chnh hp nht, ng thi duy tr t l an ton vn ti thiu 9% trn c s hp nht
vn, ti sn ca t chc tn dng v cng ty trc thuc (t l an ton vn hp nht).

H s CAR ca MB < 9% l c ri ro ln trong iu kin mi trng v m ca
Vit Nam nn mi c mc quy nh cao hn Basel . Vn ch s hu ca ngn hng
cn kh thp. Vn ch s hu c xem l tm m gip ngn hng chu ng cc ri
ro th trng cng nh cc ri ro ch quan trong hot ng ca ngn hng (ri ro tc
nghip, ri ro o c...). Khi ri ro xy ra dn n thit hi ti chnh, s lm mt li
nhun ri tip theo lm gim dn vn ch s hu. Vn ch s hu t i s sm b tiu
hao ht, ngn hng s b ph sn. Mt ngn hng sp s gy sp dy chuyn c
h thng ngn hng theo hiu ng Domino. Vn ch s hu ca MB khng sc bo
v cho ngn hng trc ri ro c th do:
-
Vn t c ca ngn hng qu thp so vi quy m s dng vn ca ngn hng

-
Ngn hng d tr vn qu t, a nhiu vn vo kinh doanh
Ngn hng cho vay tn chp kh nhiu, li u t nhiu vo chng khon

doanh nghip hn l vo chng khon ca Chnh ph
Tuy nhin vic nng cao CAR kh kh thi hin nay. Chnh ph rt mun nng
vn iu l ca cc NHTM ln 5.000 t ng theo l trnh, nhng cha kh thi.
Mt s ngn hng ln trn th gii c th l Wachovia Bank N.A. vo thng
9/2008 tng tuyn b CAR ca h t 13,75% so vi chun 8% ca Basel, nhng
ch vi tun sau ngn hng ny phi M&A vo ngn hng Wells Fargo. H s CAR
cao cng cha hn l tt nu khng huy ng c ngun vn hay huy ng c
m khng cho vay c lm gim cc h s sinh li R.O.A., R.O.E. ca ngn hng gy
n tng khng tt. Sauk hi cn nhc, NHNNVN ch yu cu cc NHTM trong nc
m bo mc CAR ti thiu 9%.
2.3.2.
Phn tch cc ch s o lng thanh khon ca MB
o lng thanh khon l mt yu cu cp thit nhng rt kh thc hin. Tc gi

xin phn tch trng thi thanh khon ca MB t 2009 - 2013 da trn cc ch s o
lng thanh khon t H3 n H8.
Bng 2.12: Phn tch cc ch tiu thanh khon
Ch tiu
2009
2010
2011
2012
2013
H3 (%)
0.95%
2.12%
1.63%
1.12%
0.73%
H4 (%)
42.24%
43.88%
42.18%
55.76%
56.97%
H5 (%)
72.90%
73.17%
65.40%
83.17%
77.96%
H6 (%)
9.96%
6.60%
11.30%
21.74%
26.23%
H7
2.06
1.99
1.56
1.41
1.31
H8 (%)
61.53%
52.44%
46.87%
16.32%
6.54%
Ngun : Bo co ti chnh kim ton hp nht nm 2009, 2010, 2011, 2012, 2013 ca
MB '
Ch s H3 (tn qu tin mt)

H3 ca MB tng i thp v MB gi tin mt v tin gi khng k hn ti cc
TCTD khng cao, khong di 1% trong tng ti sn C ca ngn hng. Thanh khon
ca MB cha thc s tt d p ng cc yu cu v an ton ca NHNN. Khi ri ro
xy ra, MB s kh chng . Thut ng qu tin mt c dch t cash bao gm

lun c s d tin gi thanh ton ngn hng.
Ch s H4 (t trong d n trong tng ti sn)

Cho vay thng c tnh lng thp v ngn hng ch thu hi vn khi n o hn
(do b rng buc bi cam kt trong hp ng tn dng). Ch s ny ni ln s cng
hng ca ri ro li sut v ri ro k hn: khi li sut tng, v ngn hng b rng buc
theo hp ng tn dng k, thm ch khch hng vay c tnh tr n chm ko di
thi gian; ngi gi tin c th chuyn vn n ni cho li sut cao hn. Trong khi
phng php qun l ngn hng hin i l yu cu xem li c cu danh mc ti sn
ca ngn hng, trong c yu cu m rng hot ng phi tn dng (nh hot ng
thanh ton) nhm tch ri ro k hn khi ri ro li sut. Ch s ny cng cao, tnh thanh
khon ca ngn hng cng km.
S liu ca MB trc 2012 khng dao ng nhiu v mc trung bnh, v sau
tng ln l mt du hiu cnh bo cn thn trng phng chng ri ro thanh khon.
Ch s H5 (h s s dung ngun vn huy ng cho vay)

Ch s H5 ca MB khong 80% v tng i n nh l tt khi trn ngun huy
ng t dn c v cc t chc kinh t, ngoi t l d tr bt buc hin hnh phi tnh

lun qu m bo thanh ton di dng tin mt ti qu, tin gi thanh ton ti NHNN
v cc ngn hng i l m bo yu cu chuyn tin thanh ton ca khch hng.
Nu H5 < 80% th tt cho thanh khon r-i ro thanh khon thp nhng cung l^m
gim kh nng sinh li tc l ngn hng huy ng vn nhng khng cho vay ra c.
H5 t 80% n 100%, c ngha ngn hng lp d tr bt buc v qu m bo thanh
ton bng vn vay trn th trng lin ngn hng, nn d gp ri ro tn dng v ri ro
k hn. Khi i vay vn, ngn hng phi tr li vay trong khi d tr bt buc v qu
m bo thanh ton li khng sinh li. Trng hp H5 >100%, ngn hng s dng vn
vay t cc t chc tn dng khc thng vi k hn rt ngn (ngy, tun hay thng)
cho vay d vi k hn 3, 6 hay 9 thng th nguy c ri ro k hn cng hng vi ri ro
li sut (k hn cng ngn li sut cng chng thay i) dn n ri ro thanh khon l

rt cao.
Ch s H6 (Ch s chng khon c tnh lng cao)

MB nm gi s lng ln chng khon c cho l c tnh lng cao khi cn
c th bn v xin ng trc ngay tin bn. Nhng th gi ca chng khon c th o

chiu bt
ng khin ngn hng phi chu l ng thi nh hng xu n k hoch
thanh khon ca ngn hng. mt s nc, vic kinh doanh chng khon c php
trch trch d phng chng khon gim gi nhng Vit Nam cha vn dng hnh thc
ny.
Ch s H7 {quan h trn th trng 2) th hin s ch ng ca ngn
hng dng quan h trn th trng lin ngn hng gii quyt vn thanh khon. H7
thp cho thy ngn hng b ng trong kh nng thanh khon v ngc li khi H7 cao.
H7 > 1 : Ngn hng ch ng trong thanh khon
H7 < 1 : Ngn hng b ng trong cc vn thanh khon
Ch s H7 ca MB ln lt l 2.06, 1.99, 1.56, 1.41, 1.31 kh n nh v u > 1
nhng ang c xu hng gim.
Ch s H8 (h s m bo thanh ton)
Ch s H8 l ngun thanh khon d phng sau mc d tr bt buc th hin tnh
ch
ng ca ngn hng gi thanh khon. H8 cao chng t ngn hng ch ng v

c thanh khon tt nhng phi hy sinh kh nng kim li.
Trc nm 2011, MB gi ch s H8 kh cao, m bo tt kh nng thanh ton
nhng chu chi ph c hi ln. Nm 2013, t l ny gim thp, l mt cnh bo v ri

ro thanh khon ca MB.
2.4.
i
nh gi tnh hnh thanh khon ti Ngn hng Thng mi C phn Qun
Nhn chung, MB vn c h thng qun l ri ro thanh khon, nhng cn theo

kiu Vit Nam, cha ph hp vi thng l quc t. MB cha thc hin c nhng
bin php phng chng ri ro thanh khon nh cc ngn hng khc trn th gii ang
lm. Vic xt ring tng ch s t H3 n H8 cho thy cc nh qun tr MB bit t
km ch, khng m qung chy theo li nhun v th ni khu qun l thanh khon
ca ngn hng. Vic kt hp 2 ch s H5 v H6 cho thy gi tr d n v chng khon
nm gi gp
livt qu tng ngun vn huy ng ca ngn hng. Nu MB dng
ngun vn ch s hu b p phn chnh lch th vn l hot ng bnh thng

ca ngn hng. Nhng nu MB b p chnh lch y bng ngun i vay trn th trng
lin ngn hng, kh nng sinh li s gim khi li sut lin ngn hng tng t xut.
Nguyn nhn l MB cha to c s d liu nn tng. Chun k ton Vit
Nam (V.A.S.) vn cha tip cn c Chun k ton quc t (I.A.S.). Ngoi ra, MB
cng nh cc ngn hng khc cha trang b c cc phn mm cn thit qun l
thanh khon theo chun Basel. Cch iu hnh h thng ngn hng ca ngn hng nh
nc qua cc cng c li sut... .vn cn nng tnh hnh chnh cha theo c ch th
trng nn kh d bo tng lai. Cc phn mm d bo ch c thit k vn hnh
theo c ch th trng khng th ph hp vi cc p t hnh chnh. Cc phn mn
qun tr ri ro ngn hng k c ri ro thanh khon c thit k chy trn c s d
liu c lp theo chun k ton I.A.S. Ngn hng no kinh ph trang b cng kh
vn hnh tt trn c s d liu cha t chun theo yu cu ring ca nh thit k. H
thng ngn hng li (core banking) hin ti ca MB liu c tng thch vi cc phn
mm qun tr ri ro hin thng dng trn th gii khng, nu khng th li phi thay
i. MB cn phi lo tp hun cho nhn s s dng thun thc cc chng trnh ny.
D c mc chm cht cho khu qun l thanh khon, MB cng nh cc
NHTM Vit Nam khc cn t nhiu li vo s bao cp ca NHNN Vit Nam. V phi
bo m an ton tuyt i v chnh tr-kinh t-x hi trong c nc, trnh cc bin c

ln c th gy mt n nh trt t x hi, NHNN Vit Nam lun sn sng tp trung
ngun lc h tr t chc tn dng no b thiu ht thanh khon. in hnh nht l 2 ln
gip ACB vo thng 10/2003 v thng 08/2012 hay v hp nht 3 NHTM thnh SCB
mi vo cui nm 2012.
Li sut lin ngn hng cha phn nh quan h cung cu ng ngha trn th
trng vn ngn hn, hin cn phim din ch mi phn nh quan h cc b ca vi t
chc thng xuyn tha vn thm s p t hnh chnh ca NHNN Vit Nam. C lc
li sut cc thp nh biu khng, khuyn khch nhiu NHTM c phn tranh th
hng chnh lch bt chp nguy c tim n v thanh khon khi li sut tng t bin.
Tm l hm li ca mt s c ng ln cha am hiu nghip v ngn hng, gy
sc p v ch tiu li nhun ln Ban iu hnh, phi bung lng s an ton trong hot
ng v cn li vo s bao cp ca NHNN.
Bn thn MB, tuy nghim tc tun th cc quy nh ca Nh nc v an ton
thanh khon, nhng c l cha trin khai k thut stress testing, qua m phng
nhiu kch bn gi nh v thiu ht thanh khon tr liu cc bin php phng nga
chu o.
2.5.
nh gi khu qun l ri ro thanh khon ti Ngn hng Thng mi C
phn Qun i
2.5.1.
Nhng kt qu t c
Vic xc lp mt phng thc qun tr ri ro y l nn tng quan trng
thc hin thnh cng chin lc trong giai on 2011 - 2015 l tr thnh mt trong ba
ngn hng c phn hng u ti Vit Nam. Trong nhng nm qua, MB khng ngng
nng cao hiu qu qun tr ri ro, trong c vic qun l ri ro thanh khon.
Hon thin vic t chc h thng qun l ri ro thanh khon. MB hon thin
dn b my qun l ri ro thanh khon. MB c b phn qun l ri ro thanh khon
tng i c lp nm trong y ban ALCO, kh hon thin so vi thc t mt s

ngn hng thng mi hin nay.
Xy dng h thng thng tin, bo co. Trn nn tng Corebanking, Ngn hng
xy dng mt h thng thng tin, bo co tng i y , gip MB p ng c
cc yu cu qun l thanh khon (d bo thanh khon, quyt nh trng thi thanh
khon..), gim st vic tun th cc chin lc, quy trnh, th tc qun l ri ro thanh
khon v theo di cht cc gii hn c th gy ri ro thanh khon.
Thit lp cc chnh sch, quy trnh qun l ri ro thanh khon. MB ban hnh
khung ch ni b lin quan n vic qun l ri ro thng qua Cm nang Tn dng,
theo , cc n v nghip v c lin quan c th qun l hiu qu hn ri ro thanh
khon hng ngy. Khung ch ny tun th cht ch cc quy nh v an ton vn v
thanh khon ca Ngn hng Nh nc Vit Nam, lun duy tr gi tr ti sn lng (sn
sng chuyn i thanh tin mt) ln hn gi tr cc ngha v thanh ton n hn. Khu
qun l thanh khon c tp trung ti Hi s chnh bao gm vic phn tch cc kch
bn thanh khon theo cc tnh hung
ginh, m bo kh nng ng ph kp thi
trong mi trng hp.

Phng php o lng thanh khon. MB hin ang p dng phng php VAR
vo o lng v qun tr ri ro th trng cho ton b danh mc Tradingbook. V c
bn MB thc hin theo quy nh ti Thng t s 13 v cc vn bn sa i c lin quan
ca Thng c Ngn hng Nh nc, c th l:
-
Thit lp thang o hn, xc nh chnh lch rng ca lung vn vo v ra cho

tng k hn v chnh lch rng gp i vi mi ng tin (bo co MCO)
Xc nh v duy tr tt kh nng chi tr i vi tng loi tin t.
Ch s d tr cao. MB thc hin nghim ngt d tr bt buc i vi cc khon
tin gi ca cc t chc kinh t v dn c, ng thi duy tr mc m bo thanh ton
hp l qua s d tin gi ti Ngn hng Nh nc Vit Nam, tin mt tn qu, tin gi

ti cc ngn hng i l trn c s phn tch s liu qu kh v d bo nhu cu thanh
ton trong tng lai. MB cng duy tr gi tr v danh mc cc giy t c gi mc ph
hp, c th em cm c chit khu nhm p ng nhu cu thanh khon tc th.
T l n xu (theo chun ca Vit Nam) tng i thp. Tnh n nay, MB cha
b khng hong n. Danh mc ti sn ca MB nhn chung l lnh mnh, hp php.
Lin kt chin lc vi cc ngn hng thng mi vng mnh lun duy tr
mt hn mc tn dng ln trong tng thi k, d phng p ng cc nhu cu thanh
2.5.2.
ton ca ngn hng trong mi tnh hung.

Nhng tn ti v hn ch
H thng qun tr ri ro tuy c ch trng xy dng nhng kh nng qun l
ca MB vn cha cao. Vi t sut sinh li ca ngnh ngn hng cn cao ngt nh hin
nay, kh trnh c xu hng chy theo nhng d n ha hn nhiu li nhun, bung
lng tnh thanh khon. Nhn s chu trch nhim qun l ri ro thanh khon cn thiu
v yu. Cc n v, b phn cha thc s lm vic hiu qu theo ng chc nng,
nhim v c giao.
H thng thng tin, bo co phc v cho qun l ri ro thanh khon tng bc
c hon thin, nhng cha m bo s liu chnh xc. Bo co c tnh ton t s
liu do h thng ngn hng li cung cp. Do c th ca h thng ti chnh ngn hng
Vit Nam cng trnh cng ngh ca MB, cc s liu bo co ny cha thc s ng
tin cy.
Vic d bo v phn tch th trng ca MB cn nhiu hn ch. Cc NHTM
Vit Nam cn li qu nhiu vo Nh nc, trong khi cc ngn hng nc ngoi,
ngoi vic chp hnh nghim tc cc t l an ton cn thng xuyn nghin cu, d
bo cc din bin th trng nn d phng thanh khon hp l v iu chnh kp thi,
khng b ng hay bt ng. Di sc p ca vic i mi, ngn hng cng lp ra

b my t chc theo quy nh nhng trong thc t cn nng v hnh thc, cha t hiu
sut lm vic nh mong mun. Nguyn nhn l do lc hu v cng ngh ngn hng, h
thng qun l cha ng b vi mi trng v m (cn nng v hnh chnh, cha thc
s chuyn i theo c ch th trng th trng). Cc nguyn nhn c th va c
trnh by trang 62 trn.
Trong danh mc ti sn ca MB, tri phiu Chnh ph chim t l thp v cc
nh iu hnh cho rng tri phiu Chnh Ph sinh li thp, trong khi vic s dng vn
cho vay s to li nhun cao hn. Hn na, khng t c ng lm giu t kinh
doanh bt ng sn, st thp,... cha nhn thc ng cc c th trong hot ng ngn
hng nn lun to p lc v li nhun ln Ban iu hnh. Ban iu hnh trong v th i
lm thu cng mun ly lng cc c ng, nn c bng mi cch to li nhun cao. H
chn nhng danh mc u t ri ro cao ha hn t sut li nhun cao v b qua nhng
d n sinh li thp d t ri ro. V chin lc, h tp trung vo tm nhn ngn hn v
gc li cc toan tnh di hn.
Kt lun Chng 2
Chng 2 gii thiu s lc v qu trnh hnh thnh v pht trin, cc li th
kinh doanh cng mt s kt qu hot ng ca Ngn hng Thng mi C phn Qun
i. Nh hot ng n nh v pht trin kh tt, MB t chc b my qun l ri ro
k c ri ro thanh khon c phn nhim c th xuyn sut t Hi ng Qun tr, Ban
iu hnh n cc phng ban chc nng ti Hi s chnh. Quy trnh ra gip MB tun
th nghim tc cc quy nh bt buc v h s Cook, h s CAR, t l n by, t l
d tr bt buc..
MB cng ch ng m bo tt cc ch s thng dng v an ton thanh khon,
chng t s chun b i ph vi ri ro thanh khon trong kh nng cho php.
y l c s cho cc gii php s c trnh by Chng 3 tip theo.
CHNG 3
GII PHP HON THIN VIC QUN L RI RO THANH KHON
TI NGN HNG THNG MI C PHN QUN I
3.1.
nh hng kinh doanh ca Ngn hng Thng mi C phn Qun i trong

thi gian ti
3.1.1.
Gi thuyt v cn c d bo k hoch
xy dng k hoch kinh doanh hiu qu v ph hp vi tnh hnh kinh t v

m v tnh hnh hot ng ca h thng ngn hng Vit Nam, MB a ra nhng d
bo, phn tch kinh t nhm nh hng hot ng trong thi gian ti nh sau:
iu kin kinh t v m
Tnh hnh kinh t-chnh tr-x hi s tip tc c gi vng v pht trin n nh.
Tng trng kinh t Vit Nam s t tc ngy cng nhanh trong nhng nm
tip theo da vo sc mnh ni ti ca t nc v khi phc ca kinh t th gii.
Pht trin dch v ngn hng gp phn quan trng phc v cc mc tiu tng
trng v n nh kinh t v m. V vy MB s c nhng gii php chin lc ph hp,
tng cng nng lc hot ng (tng cng v cng tc qun tr, pht trin ngun lc,
tng nng lc cnh tranh trn th trng...), nng cao uy tn thng hiu.
nh hng k hoch kinh doanh ca NHTM C phn Qun i nm 2014
nh hng kinh doanh nm 2014 ca MB l tp trung vo "ti c cu, pht
trin bn vng". Mc tiu iu hnh kinh doanh nm 2014 l:

Phn u tng trng li nhun so vi nm 2013
Tng vn iu l cho MB theo Quyt nh ca i hi ng C ng
Tp trung cc gii php tng trng tn dng bn vng, kim sot cht ch
cht lng tn dng, dch chuyn c cu tn dng hp l v k hn, vng
min, danh mc... u tin pht trin th trng min Nam, min Trung - Ty
Nguyn theo chin lc vng
Gn pht trin tn dng vi pht
trin dch v, cc sn phm mi ng dng
cng ngh tng t trng thu nhp phi tn dng.
Tp trung c cu n, thu hi n xu, thu li treo

Ti c cu ton din v nng cao hiu qu hot ng u t v cng ty con
3.1.2.
Xy dng, cng c mi lin kt kinh doanh gia cng ty - ngn hng

nh hng chin lc ca NHTM C phn Qun i trong nhng nm ti
D on nhng c hi pht trin cng thch thc kh khn, MB xy dng
chin lc pht trin ton din cho giai on 2011-2015 vi tm nhn l tr thnh mt
trong ba ngn hng c phn hng u ti Vit Nam trn mi kha cnh vo nm 2015.
Phng chm pht trin ca MB trong giai on ny l tng trng nhanh, bn vng v
to ra s khc bit bng vn ha doanh nghip mnh, i ng nhn s tinh thng
nghip v, cam kt chc chn v c t chc khoa hc. Da vo nhng nh gi
khch quan v tim nng pht trin ca th trng ngn hng ti Vit Nam cng nhng
c hi v thch thc, ng thi tnh n kh nng v nng lc ni ti, MB d kin s
tng trng mnh vo nhng nm ti y theo tc tng hn t 1.5 n 2 ln tc
pht trin ca th trng, v nh vy quy m ca MB s tng t 5-7 ln so vi 2009 2010. Chin lc pht trin ca MB c xy dng trn nh hng tr thnh mt
ngn hng thun tin cho mi phn khc khch hng v trn c s , dn hng ti
tr thnh mt tp on cung cp dch v ti chnh hng u ti Vit Nam.
Nhm thc hin chin lc ny, MB p dng nhiu gii php ng b xy dng
MB thc s ni tri v khc bit. MB mong mun tr thnh ngn hng thun tin i
vi khch hng vi 3 tr ct: ngn hng cng ng, ngn hng chuyn nghip v ngn
hng giao dch trn 2 nn tng :
Qun tr ri ro hng u
Vn ha cung cp dch v, thc thi nhanh hng ti khch hng
Cc gii php chin lc ny ang c ngn hng trin khai quyt lit v t
nhng kt qu ban u ng khch l.
3.1.3.
nh gi
ca t chc t vn v k hochli nhunca NHTM
phn
Qun i
Trong vai tr t chc t vn pht hnh c phiu MB, Cng ty C phn Chng
khon MB - MBS thu thp thng tin, nghin cu v phn tch nhm a ra nhng
nhn xt nh gi v d bo tnh hnh kinh doanh ca MB tip theo y.
Trong nm 2012-2013, nn kinh t th gii vn cha khc phc xong nhng hu
qu ca khng hong ti chnh ton cu. Tuy nhin, cc chuyn gia kinh t u cho
rng kinh t th gii v ang chuyn bin tch cc tng i lc quan cho nhng
nm tip theo. i vi Vit Nam, nhng kt qu t c trong nm 2013 l ng
khch l cho d cn nhiu im bt n trong cn i v m. Tnh hnh x hi n nh,
tng trng GDP s to thun li cho s tng trng trong nhng nm tip theo. Trong
nhng thng u nm 2013, chnh sch iu hnh kinh t v m v th trng ti chnh
nhm gii quyt cc vn cn tn ti ca nn kinh t gy khng t kh khn cho
hot ng ngn hng nh hn ch tiu dng, khng ch tng trng tn dng... nhng
nhng kh khn ny mang tnh cht ngn hn, trong di hn s to ra mi trng kinh
t tng trng n nh ngn hng nh pht trin bn vng.
Ti chnh ngn hng c mi lin h ng bin vi tc pht trin kinh t. D
Vit Nam s cn phi i mt vi nhiu kh khn th thch trong thi gian ti do hu
qu ca cuc khng hong ti chnh th gii, nhng tc tng trng kinh t khng
qu thp v tim nng to ln ca ngnh ngn hng l c s t ra tc tng trng
kh cho cc ch tiu k hoch kinh doanh ca MB nm 2013.
Vi t cch mt t chc t vn ti chnh, MBS nh gi cc k hoch li nhun,
c tc v mc tiu pht trin l kh thi tr phi xy ra cc s kin bt kh khng. Tuy
nhin, nhng nh gi ca t chc t vn ch c ngha tham kho cho cc nh u t.
3.2.
Mt s gii php v kin ngh hon thin vic qun l ri ro thanh khon
ti Ngn hng Thng mi C phn Qun i

Theo nh gi thc trng, trong thi gian qua, MB duy tr mc thanh khon
kh an ton ng thi qun l thanh khon kh tt. Thanh khon l khu trng yu
trong ngn hng cn qun l thanh khon va mang tnh khoa hc va th hin s ng
ph nhanh nhy ca ngi qun tr iu hnh ngn hng c quan h kinh t-x hi
3.2.1.
rng.
Cc gii php v pha Ngn hng TMCP Qun i
Ri ro thanh khon c nh gi l ri ro nguy him nht m mt ngn hng

phi i mt trong hot ng kinh doanh ca mnh. Ri ro thanh khon khi xy ra c
th y ngn hng n ph sn nu khng ng ph kp thi. Tc gi xin gi mt s
gii php sau:
3.2.1.1. Lnh o cp cao trong ngn hng cn nhn thc ng mc v ri ro thanh
khon (gii php v nhn thc t tng).
y l
giiphp tm thng nht song li l gii php cn thit nht. Tm
thng v vn thanh khon lun gn lin vi lch s hnh thnh v pht trin ca
ngn hng, vi cc thut ng banqueroute hay bankruptcy l nhng chuyn qu xa c
nn cc nh l lun thy khng cn nhc n na khi mi ngi u bit. Trn th gii,
cc ngn hng t khi ra i, chu khng t ln v ri t hon thin vn ln
t mc pht trin ngy nay. Bit bao kinh nghim c ghi nhn, c kt, h thng
ha li trong sch v. Ti cc nc pht trin, qun l ri ro thanh khon ng nhin
l mt b phn hu c trong qun tr NHTM.
Cn thit v ngn hng cng l mt doanh nghip nhng mang tnh x hi ha
rt cao khi s hng vong ca mt ngn hng lun nh hng n hng vn khch hng
cng v s ngi khc c lin quan. S lan ta ny d gy nh hng dy chuyn n
ton h thng ngn hng ri c x hi theo hiu ng domino. Cc c ng, cc nh

qun tr NH bit r iu ny, nn lun sn sng chu ri ro cao mu li cc b
(high risks, high profits) v cho l Nh nc s phi chng n nh chnh trkinh t-x hi.
Mun nh tan quan im sai lm ny, cn c thi gian o to trn thc a
mi ngi c lin quan cng nng cao nhn thc. Mt khc, lut php cn nghim
minh trng tr thch ng nhng ngi c tnh gy ri ro thit hi cho ngn hng ng
thi sc rn e ngn chn nhng ai ang toan tnh phm ti gy thit hi cho ngn
hng.
C mt kha cnh quan trng trong nhn thc v ri ro thanh khon l mi ri ro
trong hot ng NH t ri ro tn dng, ri ro th trng, ri ro vn hnh, ri ro tc
nghip... cui cng u v ri ro thanh khon khi NH khng tin hon tr cho
ngi gi tin.
3.2.1.2. m bo vn iu l theo quy nh ca Chnh ph
Khi thnh lp, MB phi m bo mc vn iu l cao hn vn php nh, nhng
mc hp l, tng xng vi quy m v phm vi hot ng ca ngn hng. Mt ch s
trng thi tin mt hay ch s chng khon thanh khon qu cao c th hn ch kh
nng sinh li ca ngn hng. Tuy nhin cc ch s ny qu thp li t ngn hng vo
tnh trng ri ro thanh khon. MB cn xy dng phng n chun b p ng l trnh
tng vn php nh t ra nhng c tm ngng p dng do hu qu ca khng
hong ti chnh th gii.
3.2.1.3. Xy dng h thng gim st ni b (ICAAP)
y l gii php m Basel II khuyn co. MB cn thit lp cho ring mnh
mt h thng gim st ni b v khng ngng nng cao vai tr cng nh nng lc ca
b phn ny. Ngn hng Nh nc v Chnh ph c ban hnh nhng quy nh chung
nhm hn ch ri ro h thng v tn hi ti chnh c th xy ra trong kinh doanh. Trong

thc t, cc ngn hng cn phi lun i mt vi cc ri ro phi h thng bn cnh
nhng ri ro th trng. Do , hn ai ht, ch c ni b ngn hng mi nm r nhng
im mnh, im yu ca bn thn, nhng kh khn, ri ro c th m mnh gp phi
trong hot ng.
Tuy nhin, Basel II
kh nng
phn
on ch quan,
cng nhn nh h thng gim st ni b ny li da vo

ihi cn bchuyn trch ny phi
cnng
lc
chuyn mn cao v bn lnh nht l khi cn th nghim cc m phng gi nh (stress

test). Hin nay, MB thnh lp y ban Qun tr ri ro chu trch nhim gim st ni
b tng t nh ICAAP, nhng vai tr v chc nng cn m nht. Do gii php ny
cn c xem xt nghim tc v p dng trit hn.
Vn quan trng khng phi lp cc y ban cho hnh thc bo co m
phi m bo cho y ban ny lm vic hiu qu. kin t vn ca y ban d b gt ra
ngoi nu Hi ng Qun tr ch trng chy theo li nhun, b qua an ton thanh
khon (hiu ngm l c NHNN Vit Nam ng pha sau). cp chi nhnh, mi cng
vic u dn cho Phng Kim tra ni b (hay mt nh danh tng t nu c) bt k h
c sc m ng ni hay khng. Khi s c xy ra, mi tn tht pht sinh d c
quy kt cho hn ch v nng lc chuyn mn.
Kh nng thanh ton v tinh thanh khon l hai vn khc nhau d thanh
khon c biu hin phn no qua kh nng thanh ton. Thanh khon l kh nng p
ng tc th v y mi nhu cu chi tr cn thit cho hot ng ca n v. Mt ngn
hng c qun l km hay bt ng b ng c th nht thi b ht thanh khon nhng
vn m bo kh nng thanh ton v lu di. Mt ngn hng c du hiu b mt kh
nng thanh ton, nu kho che y, trc mt vn th hin thanh khon di do.
3.2.I.4.
gM
Vn dng phng php, cng c qun l ri ro thanh khon khoa hc ca th
Theo Thng t 13 v cc vn bn sa i lin quan, vic qun l ri ro thanh

khon cn tun th chun mc quc t, c th nh sau :
-
Xy dng h thng o lng, nh gi v bo co v kh nng chi tr, kh
nng thanh khon v h thng cnh bo sm v ri ro thiu ht tm thi kh nng chi

tr v cc gii php x l.
-
Xy dng m hnh nh gi v th nghim kh nng chi tr, thanh khon. M
hnh ny phi gi nh cc tnh hung m phng (Stress - testing) phn tch kh

nng chi tr v tnh thanh khon.
p
ng cc i hi kht khe y, MB phi nghin cu p dng nhng
phng php, cng c qun tr ri ro thanh khon tin tin trn th gii, c iu chnh
cho ph hp vi thc t hot ng ca MB. Tuy vic p dng cc cng c cng
phng php qun tr ri ro tin tin trn th gii l quyn li v trch nhim ca chnh
MB, nhng iu ny khng n gin vi MB ring l. Vic nghin cu ng dng cn
s phi hp gia nh khoa hoc, nh qun tr cng nh lp php khi cc phng php
qun tr ny cn nhng h thng thu thp v theo di d liu thch hp c th i hi
iu chnh h thng hch ton hin hnh trong ngnh ngn hng. Khi khung k ton
hin ti cha tng thch, MB phi to lp c s d liu bng th cng s kh p ng
3.2.I.5.
yu cu qun tr tin tin nh mong mun.

Lp qu d phng v tin hnh cc cuc kim tra sc p
MB nn s dng qu d phng nh l mt cng c qun l thanh khon v tin

hnh cc cuc kim tra sc p. MB cn mt danh mc ti sn d phng an ton hn,
trnh chy theo t sut sinh li qu cao, cng gim bt tnh li vo Ngn hng Nh
nc khi ht thanh khon, v vic bm thm phng tin thanh ton cu ngn hng
lun to ra p lc lm pht, cho d sau s c bin php thu ht tin v song cng
kh thu hi lng tung ra.
Kim tra sc p l mt cng c bt mch v pht hin sm nhng du hiu

khng tt c th xy ra trong hot ng tin t tng lai. Nn tp trung kim tra sc p
vo s kt hp ca nhng c tnh v nhng c sc trn th trng, chn ra nhng
gi v s gin on th trng rng hn.
Trch lp d phng ri ro l vic rt bnh thng nhm m bo hot ng an
ton n nh cho ngn hng ti cc nn kinh t pht trin trn th gii. Ti Vit Nam,
do c th ca t nc, B Ti chnh ch mi cho php trch lp d phng ri ro tn
dng. Vic trch lp d phng cho cc loi ri ro khc, d cn thit, trc mt, vn
cha c php thc hin. NHNN Vit Nam phi kin tr thuyt phc mi mong B
3.2.1.6.
Ti chnh thay i quan im trong tng lai.

Qun l thng tin v sn sng ng ph vi cc tin n
T cc s c v thanh khon xy ra i vi Ngn hng Chu u lan truyn t

tin n tht thit, MB cn lp mt b phn chuyn ng ph vi cc tin n lin quan
n ti chnh ngn hng. Do hot ng trong lnh vc c bit nhy cm, ngn hng
phi x l tht chun cc thng tin ang nm gi. Thng tin v khch hng phi c
tuyt i gi b mt theo nguyn tc ngh nghip, nhng cn minh bch ha tnh hnh
ti chnh ca bn thn ngn hng mi ngi c lin quan nh khch hng, cc i
tc chin lc, cc c ng v nh u t, cc c quan gim st hiu tng tn. iu
ny, mt mt gp phn hn ch cc tin n tai c v cn c, mt khc, thc y trch
nhim bo v, gn gi h thng ti chnh lnh mnh ca cc c quan qun l Nh nc.
y cng l i hi tin quyt ca y ban Chng khon Nh nc khi NHTM c phn
nim yt ra sn. Nhng iu ny hon ton i ngc vi nguyn tc b mt tuyt i
thng tin v ti chnh-ngn hng thi k k hoch ha tp trung trc y.
3.2.1.7.
Nng cao nng lc ti chinh ca MB
n cui Qu 1 nm 2013, MB c ngt 10.000 t ng vn iu l v hn
14.000 t ng vn ch s hu, thuc nhm NHTM c phn hng u. p lc cnh
tranh thi k hi nhp vo nn ti chnh th gii v khu vc thc y MB phi tip

cn ngay vi cc phng php qun tr hin i ca cc NHTM trn th gii lun c
vic qun tr thanh khon v ri ro thanh khon. Cc phng php qun tr ny ch c
th c ng dng trn nn tng cng ngh tin tin. MB ch c th hin i ha cng
ngh ca mnh khi c nng lc ti chnh mi mua c cc phn mm k thut tr
gi hng chc triu USD. Gi tr u t to ln ny, sau s c khu hao dn, theo
chi ph hot ng trong tng nin k ton. Hin i ha ngn hng l mt qu trnh
khng c im dng khi khoa hc cng ngh trn ton th gii tin nh v bo cha
ni n tng quy m NH hin ti gia Vit Nam vi mt s nc ln cn. Mc vn
ca MB va nu thc s cn kh khim tn.
3.2.2.
3.2.2.I.
Kin ngh i vi Chnh Ph v Ngn hng Nh nc Vit Nam
Kin ngh i vi Chnh Ph
i mi nhn thc v lut php p ng yu cu hi nhp

H thng qun l kinh t phi c chuyn i dn theo c ch th trng, nu
vn duy tr theo li qun l hnh chnh th kh pht huy c tc dng ca cc phn
mm qun l ri ro tin tin. Ngoi ra cn a chun mc k ton trong nc tip cn
chun mc quc t thng nht cch to c s d liu nn tng phc v cho cc phn
mm tin tin v qun tr ri ro trong ngn hng. Trong cuc khng hong ti chnh
Chu nm 1997 bt ngun t Thi Lan, Singapore l nc khng ch tt nht nhng
tc hi ca khng hong nh c h thng php lut tt nht. Do nh hng t tn ti
ca qu kh, ngi Vit Nam hiu rng mnh ch c lm iu g m php lut chnh
thc cho php. Nhn thc ny tri ngc vi quan im mi v php lut nhiu
nc l c php lm bt c iu g m php lut cha minh th cm on hay hn
ch. iu ny gip khi dy tnh tin phong ch ng cn c cc doanh nghip k
c ngn hng.
Qun l tt thanh khon l trch nhim v quyn li thit thc ca tng NHTM
lun c MB. Vy m ang c t tng ch i NHNN thng nht ch o thc hin.
Thanh khon trong ngn hng l vn rt bc xc nn MB cn t lo liu hu m bo
an ton cho bn thn. Vi cch lm t pht ny, c quan qun l Nh nc thc s kh
tng hp, nhng qua thi k m ng, cc c quan chc nng s h thng ha li
theo mt trt t c th.
Hng ra khu vc tm kim s lin kt vng chi
Nh nc ta lun tranh th nhng quan h lin kt v h tr tch cc t cc
nc bn, c bit khu vc ASEAN trong mi lnh vc kinh t, ti chnh, vn ha, x
hi. V nhn t bi hc ca khi lin minh Chu u v y ban Basel th cc mi lin
kt ny lun l hu thun gip cho cc nc thanh vin pht trin nhanh v bn vng.
Chng ta mi cc ngn hng ln trn th gii tham gia gp vn lm c ng
chin lc khng ch n thun nh bng thng hiu trong nc. Chng ta rt
cn h gip o to nhn s v k nng chuyn mn ng thi chuyn giao dn kinh
nghim qun tr iu hnh mt ngn hng hin i. Chng ta ng ngi h thn tnh
chng ta khi ni room u t cho h, v d lm g, h vn phi xin mt t cch php
nhn tr trn th trng Vit Nam. Nu c h v th d b vi 20% vn iu l
nh hin nay, nhiu sai phm trong iu hnh u dn n ri ro thanh khon; vic
Nh nc tip cu s dn n lm pht lm suy yu tim lc kinh t, h tha thi gian
i lc mua r ngn hng ca chng ta.
Chng ta c th lin kt vi cc ngn hng ln trong khu vc khi b ht
thanh khon, c th c ng cu nhanh, khng lan ta. Khi hi nhp su, ty
theo m ca nn kinh t, s c hin tng xut nhp khu khng hong kinh t-ti
chnh. Nn kinh t th trng m chng ta ang hng theo lun vn hnh theo chu k.
Mt lin kt khu vc nh th ny s gip chng ta chun b v phng nga hu hiu,
trc mt l v vn thanh khon trong ngn hng.
3.2.2.2.
V pha Ngn hng Nh nc Vit Nam
Thc hin y chc nng ngn hng ca cc ngn hng trong qun l Nh
nc i vi h thng ngn hng trong nc.
Trong phm vi ti ny, NHNN Vit Nam cn i u m ng cho nghip v
pht trin. Tuy vic m bo tt thanh khon l quyn li v trch nhim ring ca mi
NHTM, NHNN Vit Nam nn ch ng nghin cu tip thu nhng tinh hoa mi nht
trn th gii ri hoch nh l trnh thch hp cc ngn hng trong nc p dng,
ni nm na l Vit Nam ha cc phng php qun tr tin tin trn th gii bao gm
qun l thanh khon. Hnh ng ny c my li ch sau:
-
NHNN l ni tp trung cc chuyn gia u ngnh trong c nc rt d i hc tp

nghin cu ri ph bin li.
Tit kim nhiu chi ph cng thi gian li t hiu sut lm vic cao hn so vi vic
c vi mi on ln lt i hc.
Thng nht c cch trin khai ng dng ngay t u thay v hnh ng t pht
-
ri rt kinh nghim sa cha.

Qua , c th gim st hu hiu t xa thanh khon ca cc ngn hng.
Thanh khon l vn sng cn ca ngn hng. ngn hng hot ng an

ton trong ngy, cc nh iu hnh cn chun b tt thanh khon t cui ngy hot
ng trc qua vic cn i cc lung tin d kin ra vo ngn hng. Ngn hng
phi ngng giao dch mi xc nh c trng thi thanh khon cui ngy ri c
lng thanh khon cn thit cho ngy kinh doanh tip theo. Nu tha thanh khon,
NHTM np bt tin v Kho Pht hnh ca NHNN tin kinh doanh ngn hn trn th
trng tin t. Nu thiu thanh khon, NHTM phi chun b cc phng n b p.
NHNN cng phi gim st cht khu ny trong cng thi gian. Mun vy,
NHNN phi ng ca mun hn gi ngng giao dch ca cc NHTM cn kp cng
nhau gii quyt cc cng vic hu i (back office). Hin ti, NHNN Vit Nam lun
ng ca trc khi NHTM ngng giao dch nn kh gim st cht thanh khon ca cc
NHTM. NHTM no cng phi bo co trng thi thanh khon ln NHNN, nhng
ch cn l s liu lch s mt thi gian tnh khi n tay lnh o c trch nhim.
Hiu qu gim st ca NHNN v vy kh nng cao.
Nu MB cn thc hin m phng gi nh (stress-test) cho bn thn, NHNN
cng phi lm iu ny cho ton h thng ngn hng thc hin tt c ch bm ht
cc phng tin thanh ton trong nn kinh t.
Tng cng v nng cao hiu qu cng tc gim st t xa thanh khon ca cc
ngn hng
Cng tc gim st t xa hin nay vn c cc Chi nhnh Ngn hng Nh nc
Tnh, Thnh ph thc hin, tuy cha thc s hiu qu, d Thng t 13 v cc vn bn
sa i ra i c nhiu i mi v phng din gim st thanh tra i vi khu qun
l thanh khon ca cc Ngn hng thng mi. Cp gim st ch c th nm c tnh
hnh chi tr ca ngn hng theo bo co nh k m khng th kim tra ti thi im.
Do , cc bo co gim st ny cha mang tnh xc thc cao, cha phn nh trung
thc thc trng hot ng v trng thi thanh khon ca cc ngn hng, nn khng th
phc v nhiu cho cng tc qun l v m. y l s bt cp ln trong thanh tra gim
st khu qun l thanh khon ca ngn hng thng mi.
Gii php tng cng cng tc thanh tra, gim st khng ch l tng cng tn
sut kim tra m cn cn i su v cht lng qun l. Thanh tra Ngn hng Nh nc
cn lin kt cht vi Kim sot ni b ti cc ngn hng thng mi khai thc thng
tin t ngun ny ti bt k thi im kim tra no ch khng ch n lc cc Ngn
hng thng mi gi bo co theo yu cu mi c s liu. c nh vy mi c th
a ra d on sm cnh bo v nhng ri ro thanh khon tim n cho cc ngn
hng thng mi.
Qun l cht quan h gia ngn hng vi th trng chng khon v qu trnh
cung cp thng tin ti chnh
Hot ng ngn hng lun gn cht vi hot ng ca th trng chng khon
nhng Nh nc cn gim st cht ngn chn cc quan h mo him tim n nhiu
ri ro thanh khon. Cc ngn hng khng nn cho khch hng vay kinh doanh
chng khon v khi chng khon mt gi, khch hng khng c kh nng tr n, s gy
n xu cho ngn hng.
Ngoi ra, nu khng c lut ha r rng v gim st cht, th trng chng
khon d to iu kin hnh thnh v pht trin quan h s hu cho trong ngn hng
dn dn bp mo hot ng ti chnh lnh mnh trong nc.
Yu cu "gim st k lut th trng" v "minh bch ha thng tin" khng ch
t ra trong th trng chng khon m n cng rt cn thit trong iu hnh h thng
ngn hng. Khi sc khe ti chnh ca cc ngn hng (v d nh t l n xu, tng d
n...) c cng khai ha, xuyn tc qua cc tin n tht thit s mt tc dng.
Kt lun Chng 3
Thanh khon l khu trng yu quyt nh s sng cn ca ngn hng. Cc
phn tch thc trng cho thy MB nhn thc ng v thanh khon, qun l tt
thanh khon ng thi duy tr nghim chnh cc h s an ton theo quy nh hin hnh.
D vy, trong Chng 3, Lun vn xin b sung mt s gii php tm vi m v v m,
vi mong mun gip MB lm tt hn na vic qun l thanh khon ca ngn hng,
gp phn sm t mc tiu chin lc tr thnh tp on ti chnh vng mnh nh
cng b.
KT LUN
Nh Crokett ni thanh khon mang tnh tru tng cao nn phn tch
thng nng v nh tnh hn l nh lng. Tuy nhin tc gi tin rng mt mc
tng i no , chng ta vn c th lng ha c tnh thanh khon. Trong qu
trnh thc hin nghin cu, tc gi lun mong mun a ra mt s ch tiu c th o
lng thanh khon cng lng ha cc yu t tc ng n thanh khon. Nhng do
trnh chuyn mn c hn, tc gi cha thc hin c. Trn c s vn dng tng
hp cc phng php nghin cu, nhng l thuyt c hc ti trng i hc Kinh t
Thnh ph H Ch Minh vo n v c th l Ngn hng Thng mi C phn Qun
i, Lun vn thc hin c cc ni dung nh sau
Th nht, phn tch ni dung c bn v thanh khon trong kinh doanh ngn
hng v vic qun l thanh khon ti ngn hng.
Th hai, s lc v tnh hnh kinh doanh v khu qun l thanh khon ca
Ngn hng Thng mi C phn Qun i, t phn tch nhng hn ch v tn ti.
Th ba, gi mt s gii php nhm hon thin vic qun l thanh khon cho
Ngn hng Thng mi C phn Qun i v rng hn na cho cc ngn hng Vit
Nam.
Ngn hng thng mi l mt nhThuyt
ch
minh
ti chnh trung gian quan trng. Do vy,
s sp ca mt ngn hng, nu
khng c x l tt c th lan nhanh
v ko hng
lot ngn hng khc sp theo. Do
vic bo m ngn hng lun duy tr
thanh
khon tt nht l nhim v v cng
quan trng ti thi im ny. Tc gi hy
vng cc
ti nghin cu tip theo s c nhiu
hng pht trin rng hn, c th l a
ra c
m hnh lng ha cc yu t tc ng
n thanh khon, t a ra nhng
gii php
31/12/2010
ng
31/12/2009
ng
thit thc v kh thi hn gip nn ti

chnh cng h thng ngn hng hot
ng v
pht trin lnh mnh.
TI SN
Tin mt, vng bc, qu
Tin gi ti Ngn hng Nh nc
("NHNN")
Tin, vng gi v cho vay cc t chc
tn dng ("TCTD") khc
Chng khon kinh doanh
11.1
D phng gim gi chng khon kinh
doanh
Cho vay v ng trc khch hng
D phng ri ro cho vay v ng trc
khch hng
Chng khon u t
Chng khon u t sn sng bn
9.1
Chng khon u t gi n ngy o hn 9.2
D phng gim gi chng khon
11.2
Gp vn, u t di hn
12
u t vo cng ty lin kt
10.1
u t gp vn di hn khc
10.2
11.3
D phng gim gi u t gp vn di
hn
Ti sn c nh
12
Ti sn c nh hu hnh
12.1
Nguyn gi ti sn c nh
Hao mn ti sn c nh
Ti sn c nh v hnh
12.2
Nguyn gi ti sn c nh
Hao mn ti sn c nh
Bt ng sn u t
13
Nguyn gi bt ng sn u t
Hao mn bt ng sn u t
Ti sn C khc
Cc khon li v ph phi thu
Ti sn thu thu nhp doanh nghip hon 22.2
li
Chi ph xy dng c bn d dang
868.769.873.509
541.132.000.000
746.005.667.493
1.427.595.000.000
33.652.250.631.951
24.062.971.000.000
1.689.789.092.689
1.821.189.752.307
(131.400.659.618)
618.513.000.000
684.106.000.000
(65.593.000.000)
48.058.249.668.998
48.796.585.937.368
(738.336.268.370)
29.140.759.000.000
29.587.941.000.000
(447.182.000.000)
15.563.524.920.278
5.542.696.104.278
10.158.967.400.000
(138.138.584.000)
1.576.913.876.526
50.105.197.659
1.610.833.597.318
(84.024.918.451)
9.674.239.000.000
6.257.726.000.000
3.647.619.000.000
(231.106.000.000)
891.469.000.000
63.815.000.000
883.100.000.000
(55.446.000.000)
1.223.530.233.803
263.359.380.126
560.805.729.269
(297.446.349.143)
960.170.853.677
1.028.744.602.074
(68.573.748.397)
130.764.689.032
130.865.341.716
(100.652.684)
6.113.398.675.518
1.513.270.537.572
8.493.526.750
623.041.000.000
265.133.000.000
461.612.000.000
(196.479.000.000)
357.908.000.000
399.204.000.000
(41.296.000.000)
355.138.000.000
355.408.000.000
(270.000.000)
1.673.431.000.000
609.036.000.000
103.486.973.913
46.477.000.000
Cc khon phi thu

Ti sn C khc
Cc khon d phng cho cc ti sn C
ni bng khc
TNG TI SN
Thuyt
minh
14
4.147.386.633.046
430.049.610.769
(89.288.606.532)
802.234.000.000
216.644.000.000
(960.000.000)
109.623.197.329.797
31/12/2010
ng
69.008.288.000.000
31/12/2009
ng
N PHI TR
Cc khon n Chnh ph v NHNN
15
8.768.803.309.362
4.708.749.000.000
Tin gi v vay cc TCTD khc

Tin gi ca khch hng
Vn ti tr, y thc u t, cho vay
Pht hnh giy t c gi
Cc khon n khc
Cc khon li, ph phi tr
Thu phi tr
Cc khon n khc
D phng cho cam kt ngoi bng
TNG N PHI TR
16
17
18
19
16.916.652.463.609
65.740.838.159.412
117.008.142.000
5.410.642.439.980
2.928.141.918.254
659.699.608.182
295.491.452.026
1.831.893.672.609
141.057.185.437
99.882.086.432.617
11.696.905.000.000
39.978.447.000.000
474.629.000.000
2.420.537.000.000
2.233.513.000.000
390.481.000.000
153.238.000.000
1.486.407.000.000
203.387.000.000
61.512.780.000.000
23
7.553.764.812.500
6.172.886.000.000
23
7.300.000.000.000
253.764.812.500
547.241.775.737
5.300.000.000.000
869.685.000.000
3.201.000.000
317.879.000.000
397.307.000.000
6.888.072.000.000
607.436.000.000
69.008.288.000.000
VN CH S HU
Vn v cc qu
Vn ca TCTD
Vn iu l
Thng d vn c phn
Vn khc
Qu ca TCTD
Li nhun cha phn phi
TNG VN CH S HU
LI CH CA C NG THIU S
TNG N PHI TR, VN CH S
HU V LI CH CA C NG
THIU S
22
20
21
23
23
781.337.351.316
8.882.343.939.553
858.766.957.627
109.623.197.329.797
CC CH TIU NGOI BNG CN I K TON HP NHT

Thuyt
31/12/2010
minh
ng
Cam kt bo lnh
Cam kt th tn dng
Cc cam kt cho vay cha gii ngn
35
10.166.345.691.403
42.942.887.609.848
4.581.820.000.000
57.691.053.301.251
Thuyt
minh
31/12/2009
ng
5.908.394.0.
000
19.392.604.0.;
000
2.123.426.0.
000
27.424.424.0.;
000
31/12/2011
ng
31/12/2010
ng
917.417.870.812
868.769.873.509
6.029.092.624.509
746.005.667.493
41.666.763.671.267
33.652.250.631.951
826.196.437.581
1.194.306.537.316
1.689.789.092.689
1.821.189.752.307
D phng gim gi chng khon kinh doanh 13.1
(368.110.099.735)
(131.400.659.618)

D phng ri ro cho vay v ng trc khch 10
hng
Chng khon u t
11
11.1
Chng khon u t gi n ngy o hn 11.2
57.952.296.461.413
59.044.836.949.430
(1.092.540.488.017)
48.058.249.668.998
48.796.585.937.368
(738.336.268.370)
19.412.920.211.865
14.868.663.336.722
5.003.694.000.000
15.563.524.920.278
5.542.696.104.278
10.158.967.400.000
TI SN
Tin mt, vng bc, qu
("NHNN")
Tin, vng gi v cho vay cc t chc tn

dng ("TCTD") khc
13.2
(459.437.124.857)
(138.138.584.000)
Gp vn, u t di hn
u t di hn khc
D phng gim gi gp vn u t, u t di
hn
Ti sn c nh
12
12.1
12.2
13.3
1.781.279.481.134
154.575.056.628
1.732.006.129.236
(105.301.704.730)
1.576.913.876.526
50.105.197.659
1.610.833.597.318
(84.024.918.451)
14
1.551.406.310.100
1.223.530.233.803
Ti sn c nh hu hnh
14.1
470.820.208.461
263.359.380.126
Nguyn gi ti sn c nh
886.936.819.824
560.805.729.269
Hao mn ti sn c nh
(416.116.611.363)
(297.446.349.143)
Ti sn c nh v hnh
1.080.586.101.639
960.170.853.677
Nguyn gi ti sn c nh
1.203.436.820.745
1.028.744.602.074
Hao mn ti sn c nh
(122.850.719.106)
(68.573.748.397)
147.138.579.986
147.138.579.986
130.764.689.032
130.865.341.716
Bt ng sn u t
14.2
15
8.546.980.659.779
(100.652.684)
Hao mn bt ng sn u t
6.113.398.675.518
Ti sn C khc
1.618.383.424.772
1.513.270.537.572
Ti sn thu thu nhp doanh nghip hon li 24.2
8.493.526.750
8.493.526.750
Chi ph xy dng c bn d dang
174.521.303.976
103.486.973.913
Cc khon phi thu
16
5.031.389.882.639
4.147.386.633.046
Ti sn C khc
17
1.990.552.938.665
430.049.610.769
D phng ri ro cho cc ti sn C ni bng
(276.360.417.023)
(89.288.606.532)
khc
TNG TI SN
138.831.492.308.446 109.623.197.329.797
Thuyt
31/12/2011
31/12/2010
minh
ng
ng
N PHI TR
Cc khon n Chnh ph v
NHNN
Tin gi ca khch hng
Vn ti tr, y thc u t, cho
vay TCTD chu ri ro
Pht hnh giy t c gi
Cc cng c ti chnh pht sinh
Cc khon n khc
Thu phi tr
Cc khon n khc
TNG N PHI TR
18
19
20
21
24
22
23
8.768.803.309.362
26.672.484.256.55016.916.652.463.609
89.548.672.963.83165.740.838.159.412
201.504.544.500 117.008.142.000
4.531.631.630.177 5.410.642.439.980
22.637.453.462
7.556.762.013.844 2.928.141.918.254
1.045.738.735.038 659.699.608.182
381.138.357.091 295.491.452.026
5.984.963.488.180 1.831.893.672.609
144.921.433.535 141.057.185.437
128.533.692.862.36499.882.086.432.617
VN CH S HU
Vn v cc qu
Vn ca TCTD
Vn iu l
Thng d vn c phn
Vn khc
Qu ca TCTD
25.1
25.1
25.1
251
7.547.587.039.063 7.553.764.812.500
7.300.000.000.000 7.300.000.000.000
253.764.812.500 253.764.812.500
(6.177.773.437)
844.821.944.174
547.241.775.737
Chnh lch t gi hi oi
Li nhun cha phn phi
TNG VN CH S HU
LI CH CA C NG
THIU S
TNG N PHI TR, VN
CH S HU V LI CH
CA C NG THIU S
251
25.1
1.249.734.068.530 781.337.351.316
9.642.143.051.767 8.882.343.939.553
655.656.394.315
858.766.957.627
138.831.492.308.446109.623.197.329.797
CC CH TIU NGOI BNG CN I K TON HP NHT

Thuyt
31/12/2011
31/12/2010
minh
ng
ng
Cam kt bo lnh
Cam kt th tn dng
TI SN
Tin mt, vng bc, qu
("NHNN")
Tin, vng gi v cho vay cc t chc tn

dng ("TCTD") khc
Tin gi ti cc TCTD khc
Cho vay cc TCTD khc
D phng ri ro cho vay cc TCTD khc
D phng gim gi chng khon kinh doanh
Cho vay khch hng
Cho vay khch hng
D phng ri ro cho vay khch hng
Chng khon u t
Chng khon u t gi n ngy o hn
Gp vn, u t di hn
u t di hn khc
D phng gim gi gp vn u t, u t di
hn
Ti sn c nh
Ti sn c nh hu hnh
13.058.900.258.774
62.735.809.507.214
75.794.709.765.988
Thuyt
31/12/2012
31/12/2011
minh
ng
ng
864.942.781.893
917.417.870.812
6.239.058.244.702 6.029.092.624.509
42.942.382.929.830 41.666.763.671.267
8
8
13.1
9
10
11.1
11.2
13.2
12
12.1
12.2
13.3
14.1
Nguyn gi ti sn c nh
Hao mn ti sn c nh
Ti sn c nh v hnh
Nguyn gi ti sn c nh
Hao mn ti sn c nh
Bt ng sn u t
10.166.345.691.403
42.942.887.609.848
53.109.233.301.251
14.2
15
229.737.919.955
490.923.128.122
-261.185.208.167
73.165.823.165.254
74.478.564.337.372
-1.312.741.172.118
41.387.495.927.337
37.946.378.139.035
4.097.809.933.272
-656.692.144.970
1.602.316.167.085
282.693.018.972
1.412.524.547.113
826.196.437.581
1.194.306.537.316
-368.110.099.735
57.952.296.461.413
59.044.836.949.430
-1.092.540.488.017
19.412.920.211.865
14.868.663.336.722
5.003.694.000.000
-459.437.124.857
1.781.279.481.134
154.575.056.628
1.732.006.129.236
-92.901.399.000
-105.301.704.730
1.497.636.387.392 1.551.406.310.100
451.117.268.989
470.820.208.461
1.023.197.001.541
-572.079.732.552
886.936.819.824
-416.116.611.363
1.046.519.118.403
1.080.586.101.639
1.245.130.490.277 1.203.436.820.745
-198.611.371.874 -122.850.719.106
151.733.579.986
147.138.579.986
Hao mn bt ng sn u t
Ti sn C khc
Ti sn thu thu nhp doanh nghip hon li
Cc khon phi thu
Ti sn C khc
D phng ri ro cho cc ti sn C ni bng
khc
TNG TI SN
Thuyt
minh
N PHI TR
Cc khon n Chnh ph v
NHNN
Tin gi ca khch hng
Cc cng c ti chnh pht sinh
cc cng n ti chnh khc
Vn ti tr, y thc u t, cho
vay TCTD chu ri ro
Pht hnh giy t c gi
Cc khon n khc
Thu phi tr
Cc khon n khc
TNG N PHI TR
27.2
16
17
151.733.579.986
147.138.579.986
7.528.836.962.401
2.938.446.858.997
6.028.682.000
4.077.969.153.309
651.905.162.704
8.546.980.659.779
1.618.383.424.772
8.493.526.750
5.031.389.882.639
2.165.074.242.641
18
-145.512.894.609 -276.360.417.023
175.609.964.065.835138.831.492.308.446
31/12/2012
31/12/2011
ng
ng
488.477.289.152
30.512.107.135.831 26.672.484.256.550
117.747.416.352.273 89.548.672.963.831
26.173.405.229
22.637.453.462
189.591.782.500
201.504.544.500
3.420.068.393.288
4.531.631.630.177
9.696.283.312.392
7.556.762.013.844
1.389.257.024.034
1.045.738.735.038
78.271.141.292
381.138.357.091
8.021.365.893.465
5.984.963.488.180
207.389.253.601
144.921.433.535
162.080.117.670.665 128.533.692.862.364
VN CH S HU
Vn v cc qu
Vn ca TCTD
10.320.233.376.265
7.547.587.039.063
Vn iu l
Thng d vn c phn
Vn khc
Qu ca TCTD
Li nhun cha phn phi
TNG VN CH S HU
LI CH CA C NG
THIU S
TNG N PHI TR V
VN CH S HU
10.000.000.000.000
338.420.864.820
-18.187.488.555
1.037.991.429.693
1.505.681.017.687
12.863.905.823.645
665.940.571.525
7.300.000.000.000
253.764.812.500
-6.177.773.437
844.821.944.174
1.249.734.068.530
9.642.143.051.767
655.656.394.315
175.609.964.065.835 138.831.492.308.446
CC CH TIU NGOI
BNG CN I K TON
HPNHT
Thuyt
31/12/2012
minh
ng
Cam kt bo lnh
Cam kt th tn dng
21.222.404.800.802
52.065.832.439.112
73.288.237.239.914
Thuyt
minh
TI SN
Tin mt, vng bc, qu
("NHNN")
Tin, vng gi v cho vay cc t
chc tn dng ("TCTD") khc
D phng gim gi chng khon kinh
doanh
Cho vay khch hng
Cho vay khch hng
D phng ri ro cho vay khch hng
Chng khon u t
Chng khon u t sn sng bn III.7.1
Chng khon u t gi n ngy o III.7.2
hn
Gp vn, u t di hn
u t di hn khc
D phng gim gi gp vn u t,
u t di hn
Ti sn c nh
Ti sn c nh hu hnh
III. 9
Nguyn gi ti sn c nh
Hao mn ti sn c nh
Ti sn c nh v hnh
III. 10
Nguyn gi ti sn c nh
Hao mn ti sn c nh
Bt ng sn u t
III.11
31/12/2011
ng
13.058.900.258.774
62.735.809.507.214
75.794.709.765.988
31/12/2013
ng
1.034.665.907.878
31/12/2012
ng
864.942.781.893
3.615.772.573.891
6.239.058.244.702
26.787.251.206.335
42.942.382.929.830
3.862.485.592.097
3.994.477.747.672
(131.992.155.575)
229.737.919.955
490.923.128.122
(261.185.208.167)
85.972.766.702.807
87.742.914.796.826
(1.770.148.094.019)
46.012.345.287.961
41.473.512.580.820
4.724.877.802.774
73.165.823.165.254
74.478.564.337.372
(1.312.741.172.118)
41.387.495.927.337
37.946.378.139.035
4.097.809.933.272
(186.045.095.633)
1.616.738.023.002
343.069.415.949
1.384.087.206.147
(110.418.599.094)
(656.692.144.970)
1.602.316.167.085
282.693.018.972
1.412.524.547.113
(92.901.399.000)
1.837.347.789.991
696.093.987.374
1.341.578.511.047
(645.484.523.673)
1.141.253.802.617
1.402.116.600.991
(260.862.798.374)
178.592.247.299
1.497.636.387.392
451.117.268.989
1.023.197.001.541
(572.079.732.552)
1.046.519.118.403
1.245.130.490.277
(198.611.371.874)
151.733.579.986
Hao mn bt ng sn u t
Ti sn C khc
Ti sn thu thu nhp doanh nghip
hon li
Cc khon phi thu
Ti sn C khc
D phng ri ro cho cc ti sn C ni
bng khc
TNG TI SN
Thuyt
N PHI TR
Cc khon n Chnh ph v NHNN
Tin gi v vay cc
TCTD khc
Tin gi ca khch hng
Cc cng c ti chnh pht sinh cc
cng n ti chnh khc
Vn ti tr, y thc u t, cho vay
TCTD chu ri ro
Pht hnh giy t c gi
Cc khon n khc
Cc khon phi tr v cng n khc
TNG N PHI TR
VN CH S HU
Vn v cc qu
Vn ca TCTD
Vn iu l
Thng d vn c phn
Vn khc
Qu ca TCTD
Li nhun cha phn phi
TNG VN CH S HU
LI CH CA C NG THIU
S
TNG N PHI TR V VN
CH S HU
178.592.247.299
9.463.098.279.077
151.733.579.986
7.528.836.962.401
3.348.697.039.849
5.607.932.000
3.002.265.583.513
6.028.682.000
6.068.100.567.802
414.875.185.219
(374.182.445.793)
4.373.128.243.105
295.055.523.392
(147.641.069.609)
180.381.063.610.338
31/12/2013
175.609.964.065.835
31/12/2012
minh
III.14
ng
21.423.002.517.537
ng
488.477.289.152
30.512.107.135.831
III.15
III.16
136.088.812.134.912 117.747.416.352.273
17.615.182.558
26.173.405.229
III.17
III.18
III. 19
III.20
111.21
177.806.137.540
189.591.782.500
2.000.058.393.288
3.420.068.393.288
4.966.703.286.419
9.696.283.312.392
1.453.868.895.888
1.389.257.024.034
3.292.745.021.219
8.099.637.034.757
220.089.369.312
207.389.253.601
164.673.997.652.254 162.080.117.670.665
11.5994.670.864.820
10.320.233.376.265
11.256.250.000.000
338.420.864.820
1.424.274.894.622
10.000.000.000.000
338.420.864.820
(18.187.488.555)
1.037.991.429.693
1.505.681.017.687
12.863.905.823.645
665.940.571.525
2.129.236.124.612
15.148.181.884.054
558.884.074.030
180.381.063.610.338 175.609.964.065.835
CC CH TIU NGOI BNG

CN I K TON HP
NHT
31/12/2013
ng
I. Ngha v n tim n
1. Bo lnh vay vn
2. Cam kt th tn dng
3. Bo lnh khc
52.110.009.836.509
317.266.420.000
33.027.545.575.796
18.765.197.840.713
31/12/2012
ng
73.285.911.892.096
425.428.995.000
52.063.507.091.294
20.796.975.805.802

(123doc - VN) Luan Van Thac Si 2014 Quan Ly Rui Ro Thanh Khoan Tai Ngan Hang TMCP Quan Doi

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

(123doc - VN) Luan Van Thac Si 2014 Quan Ly Rui Ro Thanh Khoan Tai Ngan Hang TMCP Quan Doi

Uploaded by

Copyright:

Available Formats

MAI THU THY

QUN L RI RO THANH KHON TI NGN HNG

MAI THU THY

QUN L RI RO THANH KHON TI NGN HNG

NGI HNG DN KHOA HC :

Mc tiu ca vic qun l ri ro thanh khon...............................................14

Phng php tip cn ngun vn v s dng vn

Cc chun mc ca Basel 2 v qun l ri ro thanh khon.............................................23

nh hng chin lc ca NHTMCP Qun i trong nhng nm ti 67

H s an ton vn (Capital Adequacy Ratio)

Cn b cng nhn vin

I. A.S Chun k ton Quc t (International Accounting System)

Quy trnh nh gi Mc y vn ni b (Internal Capital Adequacy

Ngn hng Thng mi C phn Qun i (Military Commercial Joint

Cng ty C phn Chng khon MB

H thng tin qun tr doanh nghip (Management Information System)

Ngn hng thng mi

Ni lng nh lng (Quantitative Easing)

V.A.S Chun k ton Vit Nam (Vietnam Accounting System)

Bng 2.2: C cu c ng vo 30/12/2013...........................................................................................31

Bng 2.12: Phn tch cc ch tiu thanh khon

th 2.1: C cu tin gi ca khch hng (theo i tng khch hng)...........................................40

complex affair, www.icraratings.com

2. Tnh hnh nghin cu trong v ngoi nc

Ngoi ra, tc gi cng tp trung vo vic xy dng mt h thng qun tr ri ro thanh

H thng li l thuyt v thanh khon v qun l thanh khon ca ngn hng

Ngn hng Thng mi C phn Qun i

4. Phng php, i tng, phm vi nghin cu

Vn thanh khon trong ngn hng thng mi

Khi nim thanh khon v ri ro thanh khon

Crockett ni: "Tnh thanh khon d nhn ra hn l nh ngha n". Theo y

bt ngsn thuc ti sn c nh, phi theo th tc lut

nh, khng thu tin nhanh theo mun c.

tha ng kp thi p ng nhu cu thanh ton.

u t sau khi trch lp d tr

bt buc v cha phn m bo

Ngoi ra, cn quy nh v gii hn cho vay i vi mt khch hng, hay mt

+ Chi ph ti tr vn trn th trng bn l, bn bun tng.

Nguyn nhn bn ngoi

Nguyn nhn th nht l ri ro trong cho vay. Ri ro tn dng l nhng tn

sdng vn sai mc ch, chy ,

la o.... Trong lc , ngn

c thm li nu cho vay ngay c theo li sut mi va tng ln. Li ch ny ch

trng (tn gp chung ca ri ro gi ngoi t v chng khon) thng a nhanh n

Ri ro thanh khon c nh gi qua ch tiu Trng thi thanh khon rng

: Cc khon tin gi ang n

: Doanh thu t vic bn cc khon dch v

: Bn cc ti sn ang kinh doanh v s dng

: Vay mn t th trng tin t

XCu thanh khon = D1+ D2+ D3+ D4+ D5

Thng d thngkhon (LqudtySurplus) kh NLPt > 0

thi thiu ht thanh khon, nh

p ng c cc mc tiu v lm cho hot ng qun l ri ro thanh khon

khe h ti tr (financing gap). Khe h ny c o bng chnh lch gia tng

Phn xu hng c c tnh qua vic xy dng mt ng xu th s dng

Phn ma v o lng s thay i ca tng tin gi v cho vay trong nhng

tun, nhng thng nht nh di tc ng ca yu t thi v trn c s so snh vi

(o c bng phn xu hng v phn ma v). S sai lch ny ph thuc vo tnh

p lc thanh khon chu k l yu t rt kh d bo trc. Cc phng php sau

vn"nng": tin gi v vn vay nhy cm vi li sut hoc c d

+ Nhm vn km n nh: cc khon tin gi ca khch hng trong c mt

Nh vy, tng yu cu thanh khon ca ngn hng s c tnh nh sau

1.2.4. Cc chin lc qun l thanh khon.