Phat trién Kinh té 289 (11/2014)| 39 Ap dung mé hinh KMV - Merton bao rai ro tin dung khach hang doanh nghiép va kha nang thiét hai cla ngan hang Nguyén Thi Canh Truong Dai hoc Kinh té - Luat — Dai hoc Quée gia TP.HCM - canhnt@uel.edu.vn Pham Chi Khoa Trdg Dai hoc Kinh té - Lud — Bai hoe Quéc gia TP.HCM - khoape@uel.edu.vn Tom tit Nghién cau 4p dung m6 hink KMV-Merton trong tinh toan, dur bio 30/08/2014 ply nhan ii: xc suit pha sain cla ce khdch hang doanh nghiép (KHDN) cho Ngan 29/10/2014 hang thuong mai cd phan ngoai throng VN (Vietcombank). V6i so by duyet dang: ligu bao cao tai chinh etia 6.398 KHDN duge phan tich trong giai doan 31/10/2014 2008-2012/2013, ket qua nghién etru cho thay xae suat pha sin (Default Probability - DP) cua toan danh mue la 2.6% cung voi muc 0914-G-01 d6 ton that khoang 6.319 ti déng, chiém khoang 3,8% dur ng ctia toan danh mye KHDN, trong dé cae doanh nghigp (DN) quy mé nho xe suat pha san nho hon cde DN quy mé Ién. Phan theo nganh nghé, ngdnh c6 xa sudt pha san thdp nhat la nganh van tai dung bd, dung s6ng, cdn nganh cé xée suat pha sin lén nhat [4 nganh san xuat, truyén lai va phan phdi dign, nang lugng khdc va nganh ché bién hai san, Nhitng nginh, nhém DN cé xdec sudt pha san cao, dir ng cao sé gay that thoat cho ngan hang nhiéu nhat (két qua nghién ciru chi ra nhom DN quy m6 l6n va cde DN ngamh ché bign thity hai san gay that thodt cho ngan hang cao nhat). Abstract ‘The research tries to use KMV-Merton model to calculate and forecast default probability (DP) among corporate customers of Vietcombank. J Analyzing data from financial statements of 6,398 corporate KMY, diém pha customers in the years 2008-2012/2013. the research shows that the Wwcich phi sin, DP of the whole customer portfolio is 2.6% equaling a loss of phd sin, mie dé © VND6,319 billion, or 3.8% of outstanding loan to the portfolio. The Khéch hing doanh results also show that small-size companies have smaller DP as compared with larger ones, Regarding their industries, the lowest DP is found in road and waterway transport business, and the highest is in rds: electricity (including production, transmission and distribution), odel, default poin Production of other kinds of power, and seafood processing business. lance to defauit, derault —-IMdustries with high DP and outstanding loan may cause the greastest lity. extent of loss, damage to banks. The research concludes that large-sized companies te customers and seafood processing enterprises cause the greatest losses to banks,40 | Nguyén Thi Canh & Pham Chi Khoa | 39 - $7 1, GIOL THIEU Kinh nhiéu céng ty bi pha san, hé théng ngan hang digu ding va ca nén kinh té di xudng. i doan thc sy khé thé gidi chimg kién nhiéu giai doan khung hodng khé khan voi hé qua li Trong giai doan tir nam 2008 dén nay, VN cing vira trai qua m6 gi khin khi cé nhiéu céng ty vira va nho bj pha san, no xau ciia ca nén kinh té tang cao khién cho eae ngan hang thuong mai (NHTM) gap khé khan, nhiéu ngan hing dang phai c6 ging gidi quyét cde khoain ng xdu qua lon cua minh, Day cing la van dé dat ra déi voi kha nang quan tri ri ro ctia cde ngfin hang. Néu ede ngan hang c6 thé danh gid dung hon kha nang tra no théng qua hrong gia, dur bo kha ning pha san cia khéich hang, ¢6 é tinh trang ng xau, ri ro tin dung cla cde ngan hang sé durge kiém soat va han che duge céc tn that cho ngan hang. Cée tap doan tai chinh da quée gia va cae ngdn hang ctia céc nude phat trién thudng str dung mot doi nga chuyén gia cd kha nang van dung cde mé hinh toan trong phan tich rui ro tin dung d& han ché duge cae thiét hai lon cho ngan hang. Cac NHTM VN trong nhiéu nim qua da cé ga phdp riéng cla minh’dé tinh todn va kiém soat kha nang tra ng eda khach hang. Tuy ng str dung va phat trién cae phuong nhién, chia cé nhiéu nghién cou thye nghiém, cting nhur cde tmg dung thy tién ki thuat théng ké hién dai dé dinh gid rai ro tin dung cua ngdn hang duge thye hién tai VN. n cling Trong béi canh dé, bai viet mudn gidi thigu diéu chinh cho phi hop hon voi diéu kign VN trong dur ch ap dung mé hinh KMY 6 di mot © rai ro tin dung eta c&e KHDN va nhiing that thoat ma ngén hang phai génh chiu khi c6 ri ro. Ap dung mo hinh KMV-Merton, mue cho vay KHDN tai Vietcombank giai doan ic gia da sir dung dif ligu bao cao tai chinh etia cdc DN thude danh 008-201 2/2013 [1] dé dur bao rui ro tin dung KHDN va kha nang thiét hai cla ngdn hang khi phat sinh rui ro dé. 2. TONG QUAN Li THUYVET VA CAC NGHIEN CUU TRUOC 2.1, M6 hinh KMV-Merton M6 hinh KMV-Merton duge gidi thigu dau tién vao nam 1974 boi Merton (1974) dya trén li thuyét dinh gia quyén chon cia Black & Scholes (1973) va nhiing gid thuyét quan trong do Merton thiét dién dé dir bao nguy co pha san ctia DN, va ttr dé xuat hign m6 hinh KMV-Merton. M6 p. Sau do, cong ty KM da phat trién mé hinh Merton co hinh nay dya trén ¥ tong 1a vén chil so héu eta mot DN co thé duge xem nhu mot dinh. M6t khi 4 tri tai san ella DN gidm xudng dudi diém pha san (Default Point), tai hode trude thoi quyén chon trén gia tri tai san eda DN trong mét khoang thdi gian nhéPhat trién Kinh té 289 (1 1/2014)| 41. cudi ciia khoding thdi gian duge xét, DN sé pha san ngay lp tue. Noi mt cach don mé hinh KMV-Merton cho biét kha ning phd san cla mdi DN trong mau duge hon & bat ky thai diém nao due xem xét. M6 hinh nay cd 2 gid dinh dae biét quan rong: - Gia dinh dau tién do 1a tong gia tri tai san cla DN c6 the dign ta bang chuyén dong hoc Brown (Geometric Brownian Motion) dV= pV dt + ovV dW Trong dé, V: Tang gid tri ti san cla DN: tu Ti sudt loi nhudn gOp Hign tuc du kién trén gid tri tai san (V) ctla DN: ‘oy: Dd bién ddng gid tri tai sin cla DN; ‘dW: Qua trinh Wiener tigu chudn (Standard Wiener Process) [2] Gia dinh quan trong thé 2 ctia mé hinh KMV-Merton 1a DN chi co mét loai ng, dé phat hanh m6t loai trai phiéu khéng tra [ai theo ky (No Coupon) c6 théi gian dén han (Tir? gid dinh quan trong nay, gid tri vén chd sé hdtu cua DN 6 thé duge xem La uyén chon mua trén tai sin chinh la tng gid tri tai sin cia DN véi gid thye thi la i thi trudng khoan no cia DN voi thoi gian dén han 1a T. Thém nita, tir mdi quan gitta quyén chon mua va quyén chon ban co thé suy ra gid tri thi tuéng khoan ng cua bing gid tri cla khoan trai phiéu phi rii ro khdng tra [ai sudt theo ki ma DN phat phirir di gid quyén chon ban trén gid tr tai sin cia DN voi gid tr] thue hin la ménh ‘cila khoan ng va thdi gian dén han bi T. Nhu vay, cOng tifire tinh gid tr von choi sé iia mat DN La: = V.N(di) — € TF.N(d2) () Trong dé. +: Gia tri thi truémg vdn chi sé hitu - dua trén gid c6 phiéu va sé long c6 phiéu dang42 | Neuyén Thi Canh & Pham Chi Khoa | 39 - 57 In(V/F) + (7 +0,5 oy?)T (———— d2=di- ov Trong mé hinh KMV-Merton, 6 hai phuong trinh quan trong. Dau tién Li phuong trinh Black-Scholes-Merton néu 6 trén. Phuong trinh thir hai thé hign sy twang quan gitra bién déng gid tri tai san ctia DN va bién dong vén chu sé hitu ctia nd, Dua theo cae gid dinh cla Merton va bo dé Ito [3], chting ta cd: V. dE Vv. ff My OR il (31 ce=@) aeY () N@)Mloy 2) Trong dé, o¢ la dO Ich chudn gid tri von chit so hitu cia DN Sau khi di eé duge V va oy tir2 phuong trinh phi wyén tinh (1) va (2), khoang céch pha san c6 thé dugte tinh nhwr sau: 2 : InV/F, =0,5 oy2)T DD (Distance to Default) -RC* uo vO? oyNT Trong dd, u: Ti sudt loi nhudn dur kién hang nam trén tai sn eta cong ty; Xée dinh duge xdc suat pha san ctia mé hinh (nKMV) theo céng thite: -KMV= N(-DD) Nhu vay, khi gid tri thi truéng cua vén chu so hitu giam, xac suat pha sin sé ting. Dé mé hinh lam vide tt. cé hai gia dinh quan trong cua Merton phai duge dap tng, thi trudng phai hiéu qua va phan anh day dti thong tin. 2.2. Nhing nghién ciu phat trien tir KMV-Merton Model 2.2.1. Nehién citu tiéu biéu Sau khi m6 hinh KMV-Merton duge cdng bé, da co rat nhiéu nhiing nghién ctru danh gid vé mé hinh nay. Da sé déu tip trung vao hai gia dinh quan trong cla Merton trong mé hinh va dua ra nhitng “phién ban” mé réng cba mé hinh. Nghién citu cla Bharath (2004); Trong nghién cttu cua minh, Bharath kiém tra hai gia thuyér, Gia thuyét dau tién 1a ligu xc sudt pha san cia mé hinh Merton cé tinh chat théng ké higu qua day dit dé du hinh KMV-Merton, nhiing ham sé tinh todn lién quan dén xde suat mac dinh moi quan jo pha san hay khong. Gia thuyét thir hai 1a trong m6 trong con két qua ciia hai phuong trinh phi tuyén tinh la khdng quan trong va c6 thé duge , Bharath thay ring kha dé dang bac bo gia thuyét dau tién. Bén canh dé, Bharath cting chi ra dure mot diéu chinh theo cach tét hon. Thong qua két qua nghién etru thue ng mé hinh tinh todn rat gon higu qua cho xae sudt pha sin ma khong can dua nhiéu vaoPhat trign Kinh té 289 (11/2014)] 43 tinh todn 2 phuong trinh phi tuyén tinh nhu & mé hinh c6 dién. Tuy nhién, trong khi — In(Vo/Ds) + (Hy-0.5 ov?) Ts ovyTs Yrs P5 4 (uy—0,5 ay?)(r.-Ts) ea ran aoe EU avTi-Ts) ong dé, ; Khoan ng ngan han; i gian no ngain han dén han; Khoan ng dai han; fi: Thoi gian ng dai han dén han . qua nghién ciru cua Lu cho thdy tée déng quan trong cua ea ng dai han va ng in han. Tuy nhién, nghién ctru nay chi chi trong dén viée tinh toan cho DN c6 ea 2 g va phi hop vai viée xép hang DN hon [a tinh todn xae suat pha san ctia DN do dinh” vio gia dinh quan trong dau tién ctia Merton (gia trj tai san DN duge dién ta ng chuyén dong hinh hoe Brown). 2.2. Nghién cit tai VN én nay chua cé mot nghién ctu nao hoan chinh vé m6 hinh KMV tai VN. Cum tir chinh” & day mudn nhan manh dén mot nghién ctu chuyén sau phat trién tir mo V cé dign thanh mot m6 hinh phi hyp voi th) truéng VN va duge ung dung . Da phn nhiing bai viét da duge cdng bo c6 lién quan dén m6 hinh KMV 6 VN sit dung cdc nghién ctu mo rng ctia m6 hinh KMV cé san trong viée c6 ging gia h mt hién tong nao dé trong hé thong ngan hang cing nhu thi trudng tai chinh VN44 | Neuyén Thi Canh & Pham Chi Khoa | 39 - 57 trong dot khiing hodng vira qua, ching han nhu: Nghién ctu eta Lam Chi Ding & Phan Dinh Anh (2009), va Lé Dat Chi & Lé Tuan Anh (2012). Nghién citu cua Lam Chi Ding & Phan Dinh Anh (2009) da sir dung m6 hinh KMV dé dinh hong ri ro tin dung trong vige sir dung tai san bao dim gan lién voi hanh vi sir dung vén ciia ngudi vay, thong qua khao s4t anh hudng cua cae b 6n cho vay toi da trén gid tri t § lan nguéi vay sir dung tai san hinh thanh tir vén vay lam tai san bao dam. Tir két qua Ivong hod dat duge, nhém nghién etru dura ra san bao dam, muc dich str dung vin ctia ngudi vay v du bao nhiing rui ro tin dung tiém an trong hoat dng cho vay thé chap bat dong san doi vi cdc NHTM néi rigng, thi trudng tin dung ndi chung. Tuy nhign, nghién cu nay van 2 cu the) cho phuong phap dé xudt cua minh. Lé Dat Chi & Lé Tudn Anh (2012) da c6 ging két hop phuong phap CVaR va mé hinh KMV-Merton dé do luong rai ro vo ng trong thi tung tai chinh VN dua trén nhing bing ching thye nghigm trude va sau nam 2008. Thue té, vige két hop nay [a khdng moi khi Powell & Allen (2007) da thuc hién voi nhiing bing chimg thye nghigm [a ede cong ty trén sin chimg khodin Ue va dat duge nhiing két qua r CVaR 1a mot ki thuat phat trién tir VaR nham danh chi ding 6 viée lp luan va chua cé kiém chimg cu thé (tinh todn cho ngén tich’ a kha nang (6 mot mire dé tin cdy cu the) ma mot ton that cu thé sé vuot qué (VaR). Nghién etru ndy da dira ra nhiing uu diém cia CVaR so voi VaR khi CvaR co gid tri chiu rui ro thé tinh toan duge sé luong tén that 6 phin dudi cua phan phdi. Tir d6, nhém nghién cir két hop CVar voi mé hinh KMV-Merton bang cach x kign (CPD), tite la xde suat vo ng (PD) dura trén diéu ki tai san vurot qua dé léch chudin 6 dé tin cdy 95%. Nghién ctru da dua ra duge nhimg an co dieu y dung xtic sudt phi d6 18ch chuan ctia Igi tire két qua rat quan trong, nhung chi cht trong vao chimg minh cho sy higu qua khi tinh toan xc suat pha san “v ot bién” va str dung vi du 6 2 chu ky truée va sau khiing hoang ma chwa dua ra duge cdc 4p dung cu thé tai mt thoi diém nhat dinh, cho mot ngan hang cu thé —diéu ma cae nha quan tri ngn hang rat uu tam. Mot so nghién etru khac dé cap ap dung mé hinh Z-Score cia Aluman CDES) va - m6 hinh ZETA dé danh mé hinh c6 cdc Igi thé va han ché cdc m6 hinh Z-Score phat trién cla Altman sau nay yéu 16 tac dong dén kha nang pha san. Tuy nhién, mi khde nhau. Néu Z-Score ctia Altman diya vio mé hinh hdi quy biét thire da nhan 06 (Multiple Discriminant Analysis - MDA) (véi dén kha nang pha san con bién phu thude tinh cho hai nhém DN pha san va khéng pha sin c6 gid trj la | va 0), thi mé hinh KMY lai danh gia mere dé bién déng cla khoan ng ic bién ddc lfip la ti s6 tai chinh tac dongPhat wién Kinh té 289 (11/2014)| 45 DN thdng qua nhing tinh todn lién quan tdi mae do bién dng cia gia tr) von chit so dia vao nhimg ham sé tinh todn lién quan dén xéc sudt pha san va tn thdt do pha n, Mo hinh Z-Score ctia Altman tinh cho céc DN sin xuét tia MY, khi dp dung vao cae hé s6 hdi quy sé thay déi, Dé dam bao dé chinh xc phai chay mé hinh véi sb thue té VN. Tuy nhién, tai VN sé rat kho di sin dé chay mé hinh tinh toan cdc hé sé hay diém sé vé kha nang pha san cho cde iy due sé ligu ctia nhém ede DN da N. Tat nhién, ede nha nghién ciru c6 the dp dung cac m6 hinh khac nhau dé sau do so inh két qua, néu két qua tinh todn theo cde mé hinh khac nhau e6 tinh wong dong, diéu 6s khang dinh két qua tinh todn, dir bao 1a 06 d tin cy cao. ‘Téng quan cae nghign céu cing nhu kha nang img dung trong thye té cho thay mé Z-Score cd vé nhu dang duge dp dung rong rai hon m6 hinh KVM-Merton do cae 6 hdi quy duge tinh sin va cho khung diém true wong tng véi tig hé so. Tuy dé so sanh két qua hai mé hinh phai thir nghiém ca hai. Muén vay, cin phai cd ién citu tigp theo vé dp dung mé hinh Z-Score cling véi mo hinh KVM-Merton cho tng déi twong DN tai VN va tién hanh so sénh. Trong khudn khé bai bao nay, tdc gia Trude tién, t4c gia van str dung phurong trinh phi tuyén tinh dau tién cia KMV-Merton phuong trinh |) de tinh toan gia tri thi trudng tai san eta DN (V): E= V.N(di) — ¢ .F.N(do) Gia tri von chu sé hitu cba DN duge tinh theo céng thite trén dua vao s6 ligu bao )tai chinh; pew*iF) + (r +05 oy2)T ayT46 | Nguyén Thi Canh & Pham Chi Khoa | 39 - 57 d)=di- owWT Voi V" la gia tri tai sin DN trong bao edo tai chinh; oy 1a d6 1éch chuan gid tri tai san clia DN duge tinh dua trén dé bién dong gid tri tai sn DN trong 4 nim (2008-2012). T 14 thdi gian dé xét xc sudt phd san (thurdng tinh cho | nam). Trong diéu kién khéng tinh duge bién dong gid tri DN theo gid thi truéng do nhicu DN VN c6 quy m6 vita va nho khéng du diéu kién niém yét, tac gia tinh bién dong tai san eta DN thong qua d6 léch chuan bién dong tai san cho 4 nam theo s6 ligu bao céo tai chinh. Lido chon dé Iéch chudin vé bién dong tai san ela DN 1a dya vao mot s6 nghién tru truée & cdc nude dang phat trién, nhu nghién ctru ctia Bharath (2004). Bharath va mét so nghién ctru kha da c6 bang chiming thye nghiém rang bién dong tai san theo gid tri sd sach la cing chiéu voi bién dong cua gia tri thi trudng von chu so hitu hay gid e6 phiéu DN trén thi trudng. Theo Bharath (2004), nhimng bién trong phuong trinh trén hoan toain c6 thé thay déi dé pha hop hon véi tinh hinh thuc té va s® khong anh huéng nhieu dén két qua tinh todn cia ham sé tinh xde sudt pha san. Tuy nhién, cing can phai c6 nhiéu nghién etru thug nghiém hon, dac biét Li trong diéu kign VN dé kiém chimg diéu nay. di suat phi rai ro — lai suat trai phiéu chinh phu thoi han | nam (tinh 8.9% nam 2012); F: Ménh gia khoan ng bang ng ngan han cong véi mot nira ng dai han; Sau khi tinh duge gid tri thi trudng tai sin DN, bute tigp theo sé tinh khoang cach dén pha san va xc sudt pha sin dya phuong trinh | ctia m6 hinh KMV-Merton, Tir két qua tinh xc sudt pha san cua timg DN, tac gia tinh xdc suat pha sain cia toan danh myc theo phuong trinh: PDaannmye = [wi? * PD,?, @ Voi w: Ti trong dung cua DN i adi vai tong du ng cia toan danh myc; va PD, la xéc suat pha san etia DN i. Dua vao céng thie tinh gid tri ton that khi pha san cla KHDN duge quy dinh trong Basel II, ton that cia ngan hang ganh chju do ting khdch hang pha san cé thé durge tinh toan nhu sau: N(-DD"), EAD yx =N- —Voel"T EL=N(-DD) x (F —Voe! N(-DD) 7Phat ign Kinh té 289 (1 1/2014)| 47 Trong do, EL: Tén that khi pha san; DD: Khoang cach pha san (DD* = DD + oVVT) F: Téng ng cua DN (bang ng ngan han cong 50% ng dai han); _ Y: Gia tri tai sin cla DN; EAD: Téng du ng cua DN tai ngan hang xem xét; Ti suit sinh Idi ky vong trén tai san cla DN-ROA cia DN; : Thoi gian ddo han ng xét trong | nam. MO TA SO LIEU Dir ligu ma tac gia str dung duoc ldy tir bao edo tai chinh hing nim ctia cic KHDN {gi Vietcombank giai doan 2008-2012 véi ting sé DN trong danh muc cho vay la 6.398 Bang |. Bang 1. Phan loai khach hing doanh nghiép ‘Tang tai san $6 luyng DN ‘Ti trong dung eu tno (iddng) (DN) (%) gu nho Dusi 30 ti ding 2.546 3,65 Tir 30. dén durdi 65 ti dong 1,925 11,73 frung binh Tit 65 dén dui 180 ti dong oa * 1444 ‘Trén 180 ti dong 983 70,18 10m: Quy dinh ndi bd cia Vietcombank /é phn chia DN theo nganh nghé. cling theo quy dinh ndi b6, theo dé ngan hang da duge trinh bay chi tiét & Bang 6. Mét s6 chi sé phy vu cho tinh toan duge lay trong bao cdo tai chinh cua cée KHDN tong hop va mé ta trong Bang 2.48 | Nguyén Thi Canh & Pham Chi Khoa | 39 - 57 Bang 2. Mé ta théng ké théng tin tai chinh ciia cde DN trong danh muc cho vay . giai doan 2012-2013 yi the Dung taingan — Vén chit se Tong tai san hang xem xét how ROA Tong cong 3.263.605 166.185 1.084.473 121,646 3,7% Lon nhat 577,601,066 10.732,596 263.800,964 34.383 5.9% Nhe nhat 0,333 0,105 0,108 -9.326* -11,3% Trung binh 510,097 25,974 169,487 19,025 3.7% Ghi chi DN cé loi nhuan sau thué thap nhat c6 téng tai san la 80.828 ti déng $.1. Danh gia trén ton danh muc qua tinh xdc sudt phd sin ctia cde DN trong toan danh myc due thé hign & Bang danh mye KHDN 1a rat thap: 2,6%. Diéu nay thé hién vige diéu hinh, quan li va kiém sodt rai ro tin dung eta P y 1 g ddi twong KHDN hién nay 1a tong déi hp li. Tuy 3. Két qua cho thay kha ning xay ra rai ro phd san cho toin ngan hang déi voi danh muc cho v: nhién, do ti trong vay lon nén t6n that cua ngan hang trong mot nam voi» sin 2,6% cho toan danh muc KHDN khdng phai la nho (6.319,35 ti déng), chiém khoang 3,8% dur no cho vay (6.319,35 ti déng/166.185 ti déng). ic suat phd Bang 3. Két qua tinh ton xac suat pha sin (DP) ctia cic DN trong danh muc va ton danh muc cing voi tn that eda ngdin hing do khach hang pha san Cae chi sé théng — Xie sudt phd sin Chui thich ke ctia cae DN nit thie! S6 long quan sat 6.398 C6 6.398 DN duge khao sat Xtic sudt pha sin wrung binh dng cua cate DN la 24% ‘Ttrung binh cong, 24% (chi dé tham khao-khéng c6 y nghia sir dung cho cae tinh toan trong nghién euu nay)Phat wrién Kinh té 289 (11/2014)| 49 Sé trung vi thé hién 4 sé long quan sat (3.199 DN) Trung vi 9% c6 gid tri xée sudt pha san duéi 9% va 4 sé Iuong quan sit can lai (3.199 DN) c6 xae suat pha san trén 9% Nho nhat 0% DN cé xde sudt pha san thap nhdt 1a 0% ‘Lon nhdt 100% DN c6 xac sudt pha san cao nhat 14 100% suat pha san aes Xac suat pha sin tinh trung binh trong s6 cua cic DN foan danh myc trong danh muc theo phuong trinh 4 fin that eda toan 6.319,35 ti dang mye idm: Tinh toan cua tac gia tr Crystal ball va Excel Két qua tinh toan tén that khi pha san cho timg nhom DN theo cac mite pha san duge hién qua Bang 4. Két qua cho thay sé DN cé xc suat pha san dui 10% chiém trén nhung s6 DN cé xac suat pha san cao hon 50% la 1.444 DN, chiém ti lé gan 4 sé DN trong danh myc. Trong dé, sé long DN ¢6 xac suat pha san 100% la 55 DN n that tang cng 1a 413,065 ti dong. Day 1a khoan ton that khong hé nho ma ngan g phai ganh chiu Bang 4. Phan nhom s6 DN theo tig mite xdc suat pha sin Mfc sult pha sin Sé Iuong DN Tén that khi pha sin-EL, (DN) (Ti ddng) Dusdi 10% 3.257 542,719 Tir 10-20% si * i018 c Tir 20-30% 387 197,035 _ Ti30-40% 390 415413 Tir40-50% 406 597,673 Tir 50-60% 407 1.012.517 Tir 60-70% 395 881,409 Tir 70-80% 336 1.203,026 Tir 80-90% 176 591,180 Fir90 dén dusi 100% 75 287,393 ae50 | Nguyén Thi Canh & Pham Chi Khoa | 39 - 57 100% 55 413,065, Toan danh myc 6.398 6.319,35 Ngudn: Tinh toan theo sé ligu ngi b6 cla Vietcombank 5.2, Danh gia theo quy mé DN Bang 5. Téng hgp xac suat pha san va ton that khi pha san theo quy mé DN Xae sudt pha siin-DP . Throng de ng: (tinh trung binh “a te Sélugng theo quy m6 trén trong s6 danh myc Ton that khi Quy mé DN téng dung ton theo phwong trinh 4) pha san-EL (DN) danh muc i (Ti déng) % (%) (%) Siéu nho 2.546 3,65 2,033 402,11 Nho 1.925 11,73 2,164 1.405,49 Trung binh i944 14.44 2,986 1.583,27 Lon 983 70,18 3,637 928,47 Toan danh oe 6.398 100 2.6 6.319,35 muc Ngudn: Tinh toan theo sé ligu ndi bé ctia Vietcombank Bang | va Bang 5 cho thay danh muc cho vay KHDN ctia ngan hang chi yéu roi vao nhém DN cé quy mé siéu nhé va nhé (chiém hon 65% sO lugng trong danh myc) va hai nhém DN nay déu cé xd suat pha sin thap hon hai loi DN thugc nhém trang binh va lon, Trong dé, danh mue nhém DN quy mé s pha san la nho nhat (2,033%), nhém DN quy mé nhé 6 xée sudt pha san nhé thir hai (2.164%), trong khi cc DN nhém quy mé Ién 6 xac suat phd san 1a cao nhat (3.637%), cée DN quy md trung binh cé xdc sudt pha sin danh mye cao thir 2 (2.986%). Tuong ting, hai nhom DN c6 quy mé trung binh va quy mé lén gay tén that cho ngan hang nhieu nhat (1583.27 ti déng va 2.928,47 ti dong). éu nho co x §.3. Danh gia theo nganh nghé Bang 6 gidi thiéu két qua tinh toan xéc suat phd san va ton that khi phd san theo nganh nghé (52 nganh theo phan loai cla ngén hang). Két qua tinh ton cho thay nganh van tai dudng bd, dudng séng cé xde sudt phd sin thap nhat la 0,3%. Day nganh ma nganPhat wrién Kinh té 289 (11/2014)| 52 hing ¢6 s6 luong khach hang trong di lon, dig thir 6 trong 52 nganh nghé (251 DN). dt pha sin cao nhat 1a nganh san xuat, truyén tai va phn phdi dign, nding luong khic c6 dén 6,9% kha nding xdy ra pha san. Diéu nay ciing dé hiéu khi da so DN nganh nay danh myc déu la DN Ién va ¢6 dur ng Ién do can vén trong giai doan dau san xuat xée sudt xay ra phd san nay, tn thdt cla ngan hang déi v6i nganh san xuat, truyén ih mue, Theo két qua tinh todn, nganh déng tau thuyén 6 tin that khi pha san thdp 13 0,113 ti déng, Day 14 nganh ¢6 sé long DN it nhat (5 DN) trong 52 nganh nghé. h ché bién thily, hai sin cé tén that khi phd san Ién nhat 1A 632,502 ti déng, chiém 0,01% tang tdn that, mac di xde sudt pha san cua nganh nay chi la 1,7% (bang 6). Li anh nay cd kha nang gay t6n that cao cho ngan hang la do cé ti trong dung cao so Ti trong ‘Xde suat dung pha san- PD nginh (tinh trung Sélugng trénténg bin trong Ton that khi Nganh nghé kinh té DN dung so pha san-EL, (DN) danh myc danh myc (Tiddng) (%) theo phuong trinh 4) 1%) Canh tic, trong trot 36 0.35 0,42 4,605 Chan nudi 29 0,10 0.32 24,719 : spacing thi Bat Khai thc, mudi trong thay hai o4 028 aa ‘aba sin Khai thac than va cde dich vu di i i ie 54838 kem 1 ; Khai théc dau thé, khi dét tw 9 nhién va cac dich vu di kem q a og? 65 6 Khai thac cdc khoang san khac 61 0,57 0,32 22,33952 | Neuyén Thi Canh & Pham Chi Khoa | 39 - 57 San xuat ché bién thue pham (crit thay san); dd uéng Sin xuét thude Ié Ché bién thily, hai san San xudt soi, vai dét ‘San xuat trang phue, may mac San xuat da, giay Khai thac, ché bién gd va san xudt cae sin pham tir g6 San xudt gidy, bot gidy va cde san pham tir giay San xuat thude, héa duge, duge ligu San xuat thiétbi dién San xudt thiét bj dién tit, may vi tinh, san pham quang hoe, thiét biyté San xuat va ché bién thie in chain nudi San xuat phan bon, hat nhya, cao su tng hgp va eac hea chat cobain khae San xudt phoi thép San xuat cn thép Lap rap va ché tao 6 16, xe may Céng nghigp co khi, ché tao Déng tau, thuyén San xuat xi mang San xudt gach, ngéi, da 6p lat 280 116 42 53 22 97 3.51 118 6,29 1,56 1,60 1,02 2,86 0,68 0,97 0,27 1,48 2,27 3.03 1,00 0,08 2,83 0,92 0,81 0,55 1,50 3.29 483,314 22,009 632,502 102,481 78,445 71,256 284,300 55,307 34,129 22,912 6,283 154,905 92,775 0.113 52,146 36,561San xwit kim logi khde (trir thép) va phi kim khée (tri xi mang, gach, ngdi, dé ép lit) San xudt, truyén tai va phan phdi dign, naing hrgng khée Xay dung, thi cong lap rap cng trinh va ede dich vy tr vin di kém ‘Bau ty kinh doanh bat dong san dé ban (nha 6, chung cu, khu dé thi...) au tu kinh doanh bat déng san dé cho thué (van phdng, trung tim throng mai, cin hé cho thué...) ich vu khu cong nghiép, khu ché xudt Thuong mai nguyén vat ligu phue vu san xuat cong nghiép, xfy dung (trir xing dau, gas) ‘Thuong mai xing dau, gas ‘Thuong mai hang tiéu ding ‘Thuong mai gao ‘Thuong mai café Thuong mai nguyén vat ligu ~ phye vy sin xudt ndng nghiép Thuong mai hang néng, lam, ngurnghigp khéc ‘Van tai duing bién ft {n tai duomg b6, durémg song Van tai hang khong 58 30 866 32 30 80 216 48 251 Phat trién Kinh té 289 (11/2014)| 53 0,73 0,43 40,188 8,70 6.90 197,480 5,63 1,70 289,786 3,20 1,80 120,756 030 0,68 15,504 0.57 0,50 4,897 5,68 1,09 558,612 449 3,21 214,648 3,92 251 470,226 2A7 1,49 276,690 11 2,09 134,093 1,18 1,56 111,843 2,06 087 217,033 2.30 0,83 29,040 0,93 0,30 34,968 0,80 2,61 1,34254 | Nguyén Thi Canh & Pham Chi Khoa | 39 - 57 Kinh doanh kho bai, cdu, cang, 43 dung va cdc hoat dong hd tro 58 0,58 0,59 9,132 cho van tai Dich vu lwu tri, an uéng, vui 44 * 161 1,69 3,16 268,665 choi giai tri gs. THOngttin va truyén thong kha ei a0 0:69 220 (iris vign thong) 46 Dich vu vién thong 61 1,29 0,38 18,307 47 Dich vy gido duc, dao tao, cdng re is 176 Bon ich Dich way té, ; ag Dich vay té, khdm chia bénh 3 0,19 0,89 3.843 va cdc dich vu khac San xuat hang tiéu ding khac 49 218 4.04 0,89 296,913 dién tir dan dung, d6 dién dan dung) 50 Cap thoat nude va xtr li rée thai Is 0,08 0,38 6,067 $1 Dich vu tu van, hé tro 37 0,12 0,32 3,486 ‘Thuong mai phuong tién van 52. tai, may méc thiét bi va phy 384 1,90 0,66 161,135 tung Toan danh mye 6.398 100 2.6 6.31935 Nguén: Tinh toan theo s6 ligu ndi b6 cla Vietcombank 6. KET LUAN VA KIEN NGHI 6.1, Ket luan qua tinh toan xac xuat pha san cla KHDN va t6n that cla ngén hang do riti ro tit dung dua trén m6 hinh KMV-Merton c6 thé gidp cde nha quan li ngan hang xép han; riii ro eta khdch hang theo quy mé va danh myc nganh nghé, ding thoi use long nh, tén that cé thé xay ra khi cae KHDN khong 6 kha ning tra ng do rui ro pha san cao Két qua tinh toan nay cho thay xd suat pha san cia toan danh muc KHDN ii Vietcombank tuy khong cao (2,6%) nhung nhig that thoat ma ngan hing c6 the ganlPhat trién Kinh té 289 (11/2014)| 55 chiu do tn that ri ro tir phia khach hang chiém khoang 3,8% ting dur no cia ngain hing. ‘Séniy eding phit hop véi ti é ng xdu hign nay cua ngén hang hién nay (thap hon mite trung binh toan nganh c6 ti 18 no x4u tir 5$%-6%). Tuy nhién, xc suat phd san cao roi vio nhém khach hang cé quy m6 Ién, cling nhu nhiing nganh nghé co tp trung tin dung (nganh sé Iugng lon DN va dur ng Ién). 6.2. Kién nghi ~ Tirkét qua nghién ctu tinh huéng KHDN cua mét ngan hang Ién nhu Vieteombank, ie gia dua ra mot sé kién nghi déi voi céc NHTM nh sau: Thi nbét, ede NHTM VN cé thé nghién ettu 4p dung cdc cOng cy dy bao ri ro pha ‘Mat khac, ede NHTM can két ndi voi cdc trung tam thong tin tin dung cia Ngan lam bao cung cép théng tin du ng va cdc nguén vay cla khéch hang e6 mgt cach day di, va dang tin cay. Do théng tin khdng day dui va thiéu tin cay, n hign nay c6 nhiéu trudng hop tiéu cure dang xay ra, ching han nhur trudng hop mot DN cé thé vay duge nhigu ngan hang voi cling mét hé so thé igu kign diu 48 4p dung m6 hinh KMV-Merton dé la: thong tin khach hang can duoe eéip nhat cdc béo cdo tai chinh KHDN phai duge kiém toan, théng tin tin dung phai duge ée ngan hang khéc nhau, qua dé cd thé tinh ti 1é ng cla KHDN theo tig ngan hang- so dé tinh tn that do rai ro pha sin cua khach hang gay ra. O cde nude phat trién, thong tin vé bao cdo tai chinh DN va théng tin tin dung duge cp nhat day dui va cong ‘minh bach. VN dang trong qua tinh hdi nhap quée té va. cam két thy hign cée quy ciia Uy ban Gidm sat ngdn hang Basel, vi vay VIN eding can cé cae quy dinh céng hong tin theo chudn mye quéc té. Dily la van dé khé khan voi VN, nhung phai thye Va mudn hoan thién hé théng théng tin tin dung thi trude hét can phai c6 cae quy ro ring va chat ché tir Ngan hang Nha nude.56 | Nguyén Thj Canh & Phgm Chi Khoa | 39 - 57 Thir ba, mudn ap dung duge cae céng cy hign dai trong quan tri rui ro tin dung ngan hang can mét di ngdi ede chuyén gia c6 kha ning ap dung cdc mé hinh toan va cée phan mém xt li s6 cac NHTM VN ciing can c6 dao tao tot vé toan tai a. nhu cdc nein hang quée té dang su dunes ists right quoe éu. Vi vay $i ngd chuyén gia duce i rui ro age dao tao chuyén s sau vé todn tai chinh, thiet lap cae tinh toan ti ro theo nhidu phuong phap khée nhau va cé kha nang phan tich cdc két qua tinh toan va dy bao mii ro theo nhidu kich ban khde nhau, Ngoai ra, déi véi nhiing ngdn hang nhé chua eé diéu kign vé ddi ngi c6 thé két hgp véi cae chuyén gia nghién citu tit cde trudng dai hoe, vign nghién ciru dé thye hién ing dung cac mo hinh toan va céng cy théng ké hign dai trong phan tich quan tri rii ro. Nhu vay, viée hoan thign hé théng théng tin va su dung hop li ngudn nhan lye ©6 trinh dé tuong img la diéu kién tién quyét dé ap dung cée m6 hinh todn ndi chung, mo hinh KMV-Merton noi riéng cho dur bao cde riti ro va t6n that cua ngan hang dé ngan hang c6 cde bién phap phong ngita ri ro, gidm thiéu t6n that m4t cach t6t nk oa ter cat ae taal et Sa ee Chi thich [1] Sé ligu danh muc khéch hang, dén cudi nam 2013, nhung do sé ligu bao cao tai chinh duvoe kiém toan cho trén 6.398 DN chi cé day du dén cudi nam 2012 (Kiém toan bao cdo tai chinh o VN thudng tré hon | nam). Tén cdc KHDN due gitt bi mat bing viée noi cung cap chi cho biét ma sé DN, ma sé nganh cing sé ligu tai chinh theo bio cdo tai chinh twong ing ting ma so DN [2] Qué trinh Wiener la mot qué trinh ngdu nhién lién tue va c6 ba dae diém: 1/dWo = 0; 2/ Ham so dW, gin nhu luén lién tue voi t > W Nts) (voi 0 o°. Diéu kién qua trinh cé lugng gia déc lap c6 nghia la néu 0 <5} va dWb — dWs: la nhiing bien ngau nhién dde lap, dW, c6 Ingng gia Khong ddi véi phan phoi dWt—dWs <1), N(w.0°) biéu thi phan phoi chudn véi gid tri trung binh va phuong sai 1 Ss) St thi dWt —dWsi [3] Bé dé ding dé tinh gid tri vi phan ham sé phy thude thoi gian eta mOt qué trinh ngdu nhi Tai ligu tham khao Allen, D, E., & Powell, R. J. (2007), “Thoughts on VaR and CvaR”, In Oxley, L. & Kulasiri, D. (eds) (2007), “MODSIMO? International Conference on Modelling and Simulation”, Modelling and Simulation Society of ~~ Australia = and = New = Zealand, ‘1843-1850, {http://www.mssanzorg.au/MODSIMO7/papers’29_sI/ThoughtsOnVar_st_Allen_.pdf]Phat trién Kinh té 289 (11/2014)| 57 1D. E., & Powell, R. J. (2008), “Structural Credit Modelling and its Relationship to Market Value at Risk: An Australian Sectoral Perspective”, School of Accounting, Finance and ‘Economies & FEMARC Working Paper Series: Working Paper 0801, Edith Cowan University, [https://www.ceu.edu.au/__data/assets/pdf file/0019/40654/wp080 Ida pdf]. Aliman, E, 1. (1968), “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, " The Journal of Finance, 23(4), 589-609. ianeda, M., & Zhu, Y. (2001), “Modelling the Distance to Default Process of a Firm”, R/SK, 14(12), 125-129. parath, S. T., & Shumway, T. (2004), “Forecasting Default with the KMV-Merton Model”, AFA 2006 Boston Meetings Paper, [http://ssrn.convabstract=637342 slack, F., & Scholes, M. S. (1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, 637-659. C., Chan-Lau, I, Gasha, G., Medeiros, C., Santos, A., & Souto, M. (2009), “Recent ances in Credit Risk Modeling”, IMF Working Paper WP/09/162, International Monetary ind, Washington DC J.C. (2002), Options, Futures, and Other Derivatives, Sth Edition, International Edition, tice Hall, Hoboken, NJ im Chi Ding & Phan Dinh Anh (2009), “Sir dung mé hinh KMV-Merton long hod méi quan hé ao dim tai san, ti 1¢ phan bé vén vay véi tui ro tin dung”, Tap chi Khoa hoe wa Cong nghe, i hoe Da Nang, 2(31). Jat Chi & Lé Tudn Anh (2012), “Két hop phuong phap CVaR va mé hinh Merton/KMV dé do |uong nii ro vo no - Bang ching thye nghigm & VN", Tap chi Phdd trién & H6i mhdp, 5(15), 10- 1 Y. (2008), Default Forecasting in KMV, Masters thesis, Universit’ of Oxford. |, R, C, (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance, 29, 449-470, 0. A. (1987), Probability of Loss on Loan Porifalio, KMV Corporation, San Francisco, lifornia, USA.