i mi cch thc o lng ri ro tn dng ti cc NHTM Vit Nam trong qu trnh ti

cu trc h thng.
Ths. Phm Thu Thy- Th Thu H

Trong nm 2012, n xu v ri ro tn dng tip tc l vn ln cn tr s pht trin ton din ca h

thng ngn hng thng mi. ng trc tnh hnh ny, m bo h thng ngn hng Vit Nam hot
ng n nh vng chc, Ngn hng Nh nc Vit nam nh hng chin lc pht trin trong lnh
vc ngn hng t nay n nm 2020 theo hng tp trung qun tr ri ro ni chung v qun tr ri ro tn
dng ni ring. Do , vic lng ha ri ro tn dng theo thng l quc t tr thnh vn cp thit ti
cc NHTM. Vic lng ha ri ro tn dng mt cch chnh xc khng ch gip cc NHTM chn lc khch
hng, nh gi cc khon vay hiu qu m cn gip cc NHTM thit lp d phng ri ro tn dng v mc
vn kinh t cn thit chng ri ro. Trong khi hip c Basel khuyn khch cc NHTM xy dng
cc cch thc v m hnh nhm lng ha ri ro tn dng theo khung gi tr VAR, th h thng ngn
hng Vit nam, cc NHTM ch yu vn o lng ri ro tn dng da trn ch tiu n xu v n qu hn,
vic p dng cc phng php lng ha ri ro tn dng hin i mi ch giai on u th nghim,
cha c ngn hng no chnh thc lng ha c ri ro tn dng cho ngn hng mnh. Xut pht t thc
trng , tc gi nhn thy cn thit phi nghin cu, xy dng v p dng cc cch thc lng ha ri ro
tn dng ti cc NHTM Vit Nam. Bi vit s gii thiu khi qut v ri ro tn dng v mt s cch thc
o lng ri ro tn dng, tp trung phn tch thc trng lng ha ri ro tn dng ti cc ngn hng
thng mi Vit Nam v a ra mt s khuyn ngh nhm gip cc ngn hng xy dng thnh cng m
hnh lng ha ri ro tn dng.

1. N xu- thc o truyn thng ca ri ro tn dng

Trong hot ng kinh doanh ngn hng, tn dng l hot ng kinh doanh em li li nhun ch
yu ca ngn hng nhng cng l nghip v tim n ri ro rt ln. Kinh doanh ngn hng l kinh
doanh ri ro, theo ui li nhun vi ri ro chp nhn c l bn cht ngn hng. P. Volker,
cu ch tch Cc d tr lin bang M (FED) cho rng: Nu ngn hng khng c nhng khon
vay ti th khng phi l hot ng kinh doanh. Ri ro tn dng (RRTD) l mt trong nhng
nguyn nhn ch yu gy tn tht v nh hng nghim trng n cht lng kinh doanh ngn
hng. Cc nh ngha v ri ro tn dng kh a dng nhng tu trung li chng ta c th rt ra
cc ni dung c bn ca ri ro tn dng nh sau:
Ri ro tn dng xy ra khi ngi vay sai hn (defaut) trong thc hin ngha v tr n theo hp
ng, bao gm gc v/ hoc li. S sai hn c th l tr hn (delayed payment) hoc khng thanh
ton (nonpayment). Ri ro tn dng s dn n tn tht ti chnh, tc l gim thu nhp rng v
gim gi tr th trng ca vn. Trong trng hp nghim trng c th dn n thua l, hoc
mc cao hn c th dn n ph sn. i vi cc nc ang pht trin (nh Vit Nam), cc
ngn hng thiu a dng trong kinh doanh cc dch v ti chnh, cc sn phm dch v cn ngho
nn, v vy tn dng c coi l dch v sinh li ch yu v thm ch gn nh l duy nht, c
bit i vi cc ngn hng nh. V vy ri ro tn dng cao hay thp s quyt nh hiu qu kinh
doanh ca ngn hng. Mt khc, ri ro v li nhun k vng ca ngn hng l hai i lng ng
1

bin vi nhau trong mt phm vi nht nh (li nhun k vng cng cao, th ri ro tim n cng
ln).
Cc cch tip cn truyn thng thng o lng ri ro thng qua cc ch tiu nh h s n qu
hn, h s n xu, h s ri ro mt vn, h s kh nng b p ri ro trong , c s dng
ph bin nht l ch tiu n xu. Quyt nh 493/2005/Q-Ngn hng Nh nc ngy 22/4/2005
ca Ngn hng Nh nc nh sau: N xu l nhng khon n c phn loi vo nhm 3 (di
chun), nhm 4 (nghi ng) v nhm 5 (c kh nng mt vn), ng thi ti iu 7 ca Quyt
nh ni trn cng quy nh cc ngn hng thng mi cn c vo kh nng tr n ca khch
hng hch ton cc khon vay vo cc nhm thch hp.
Nh vy n xu c xc nh theo 2 yu t: (i) qu hn trn 90 ngy v (ii) kh nng tr n
ng lo ngi. y c coi l nh ngha theo tiu chun k ton ca Vit Nam
Theo nh ngha n xu ca Phng Thng k Lin hp quc, v c bn mt khon n c
coi l n xu khi qu hn tr li v/hoc gc trn 90 ngy; hoc cc khon li cha tr t 90 ngy
tr ln c nhp gc, ti cp vn hoc chm tr theo tho thun; hoc cc khon phi thanh
ton qu hn di 90 ngy nhng c l do chc chn nghi ng v kh nng khon vay s
c thanh ton y .S khc bit trong tiu ch phn loi n xu l l do c s chnh lch
gia t l n xu theo tnh ton ca NHNN VIt nam v t l n xu theo tnh ton ca cc t
chc xp hng tn nhim quc t.
N xu ca h thng ngn hng nm 2012 tng cao t bin c v con s tng i v tuyt i,
gp nhiu ln so vi cc nm trc. Thc t khng phi n xu mi pht sinh trong nm nay m
c tch ly trong mt thi gian di. N xu c xu hng tng bt u t nm 2007 v c bit
c quan tm ch t cui nm 2011 v tc tng rt nhanh.
Hnh 1 : Gi tr n xu (1.000 t ng) v t l
n xu ton h thng giai on
2004-9/2012

Hnh 2 : T l N xu/GDP giai on

2004-9/2012

Ngun: NHNN,Tng cc thng k, tnh ton ca tc gi

2

Theo Thng c Ngn hng nh nc (NHNN), tnh ti thi im 30/9/2012 n xu ton

ngnh mc 8,82% tng d n tn dng tng ng 257.000 t ng, cao hn nhiu con s
bo co ca cc t chc tn dng (TCTD) l 4,93%. Tuy nhin, theo nh gi ca cc t chc xp
hng tn nhim quc t, tnh hnh n xu ca Vit Nam cn ti t hn nhiu. Theo cc chuyn gia
phn tch ca Fitch Ratings, con s ny vo 9/2012 khong 15%. Trong khi , theo mt bo co
trn t Wall Street Journal thng 9/2012, Barclays, tp on ngn hng ln ca nc Anh, cho
rng t l n xu ca Vit Nam ln ti 20%. Ngay sau tri phiu pht hnh bng ni t v
ngoi t ca Vit Nam b Moody's h bc tn nhim t B1 xung mc B2 do lin quan n cc
vn v n xu.
Hnh 3: Tc gia tng n xu giai on 2005 2012

Ngun: NHNN, tnh ton ca tc gi

Mc d, vn n xu c c bit quan tm v cnh bo t cui nm 2011 nhng
tc gia tng n xu nm 2012 li vt ln cao hn rt nhiu so vi nhng nm trc . Nm
2009 tc tng n xu ch l 27% chim 2,1% GDP, cn sang nm 2010 n xu tng 41%
chim 2,5% GDP. Trong nm 2011 khi tng d n ch tng 13,32% th gi tr n xu tng 64%
(t khong 50.400 t ng ln 81.000 t ng). T l n xu tng tng ng t 2,21%
(31/12/2010) ln 3,10% (31/12/2011). Tuy vy, sang nm 2012, ch 9 thng u nm n xu tng
ti 211% chim n 12,8% GDP.
Vic s dng ch tiu n xu o lng ri ro tn dng c nhiu u im nh:
-

N cho bit quy m v t l vn kh c th thu hi ca mt danh mc cho vay, thc

t l mt khon tn tht ca ngn hng, ty thuc vo ln ca n xu, ngn
hng c th s dng ngun d phng ri ro, li nhun hay vn ch s hu b p.

S dng ch tiu ny rt trc quan, n gin v d tnh ton.

Tuy nhin, vic o lng ri ro tn dng da trn ch tiu n xu cng c mt s hn ch nh:

-

Ch tiu ny ch th hin c mc ri ro ca ngn hng ti mt thi im trong

qu kh. Ngn hng kh c th d tnh c ti mt thi im trong tng lai, mc
ri ro ca ngn hng mnh s l bao nhiu.

Ngn hng c th lm gim t l n xu bng cch gia tng d n tn dng, nh c

c cc h s ti chnh rt p trong khi mc ri ro thc t ti ngn hng khng
gim i m cn c th nghim trng hn.
3

Kh c th tnh ton c ri ro ca mt khon vay trc khi cp tn dng, do vy,

khng gip ngn hng trong cc quyt nh v mc b ri ro hay cc quyt nh tn
dng.

2. o lng ri ro tn dng theo khung gi tr VAR

Hip c Basel II khuyn khch cc ngn hng s dng cc cch tip cn v m hnh o lng
RRTD c th lng ha gi tr tn tht tn dng ti a da trn khung gi tr VaR (Value at
Risk). Mt cch tng qut VaR c o lng nh tn tht ti a tnh hung xu nht trong
mt khong thi gian xc nh vi mc xc sut cho trc (thng c gi l tin cy). VAR
xc nh theo cch ny thng c gi l VAR tuyt i. VAR cho php chng ta tng hp tt
c cc trng thi ri ro v cc khon cho vay khc nhau tm ra mt con s nhm tr li cu
hi: Nu nm sau l mt nm khng thun li, tn tht tn dng ti a ca ngn hng l bao
nhiu vi mt tin cy cho trc (thng l 99,9%)?, t xc nh mc vn cn thit
chng cho ri ro ny.
Trong khi gi tr VaR cho danh mc u t c s dng kh ph bin ti cc NHTM, vic
tnh ton VaR tn dng gp nhiu kh khn do:
- VaR tn dng thng c o lng trong 1 khong thi gian di hn, thng l 1 nm
(trong khi gi tr VaR ca danh mc u t thng c tnh cho khong thi gian l 1 ngy)
- Cc s liu quan st (cc v ri ro v n thc t) thng nh hn rt nhiu so vi ri ro th
trng (cc chng khon gim gi)
- Tnh lng ca cc cng c tn dng thp, t c giao dch trn th trng nn kh c th tnh
c gi tr th trng v bin ng gi tr th trng ca khon vay.
- Ri ro th trng thng c gi nh l tun theo phn phi chun, cn phn phi tn dng
nghing v bn tri v c phn ui tri rng
Theo quy nh ca Basel II, tn tht tn dng ca mt danh mc tn dng c th phn chia thnh
02 loi l (i) Khon tn tht d tnh c (Tn tht trong d tnh) EL v (ii) Khon tn tht
khng d tnh c (Tn tht ngoi d tnh) UL.
2.1.
Tn tht d tnh c
Tn tht d tnh c (EL) l mc tn tht trung bnh c th tnh c t cc s liu thng k
trong qu kh, y l mc tn tht ngn hng k vng s xy ra trong mt khong thi gian.
Ngn hng c th s dng ch tiu tn tht trong d tnh lm chun ra quyt nh cho vay,
nu tn tht trong d tnh ca mt khch hng vt qu mt t l theo quy nh ca ngn hng,
ngn hng t ng t chi cho vay vi khch hng . Ngoi ra, EL l cn c ngn hng nh
ra mc b ri ro trong li sut cho vay vi khch hng, v l cn c ngn hng trch lp d
phng ri ro, bi thc t, ri ro trong d tnh nn c xem l mt khon chi ph ca hot ng
tn dng.
i vi mi khon vay hay mi khch hng, t l tn tht d tnh EL c s xc nh nh
sau:
EL: = LGD * PD
Gi tr ca tn tht d kin s bng LGD* PD* EAD
4

- EL: L tn tht d kin (c th tnh theo t l % hoc theo gi tr tin t)

- LGD: L tn tht ca ngn hng trong trng hp khch hng khng tr c n
- PD: Xc sut khng tr c n ca khch hng.
- EAD: D n ca khch hng ti thi im khch hng khng tr c n
Cc ch tiu cu thnh cng thc trn c tnh ton nh sau:
Th nht, PD - xc sut khng tr c n: c s tnh ton xc sut ny l hng tn dng ca
khch hng, thi hn v quy m ca khon vay, k hoch tr n ca khch hng, v chu k kinh
t, trong , quan trng nht l hng tn dng ca khch hng. Theo yu cu ca Basel II, tnh
ton c xc xut khng tr c n trong vng mt nm ca khch hng, ngn hng phi cn
c vo s liu ca khch hng trong vng t nht l 5 nm trc . Nhng d liu c phn
theo 3 nhm sau:

Nhm d liu ti chnh lin quan n cc h s ti chnh ca khch hng cng nh cc nh

gi ca cc t chc xp hng

Nhm d liu nh tnh phi ti chnh lin quan n trnh qun l, kh nng nghin cu v
pht trin sn phm mi, cc d liu v kh nng tng trng ca ngnh

Nhng d liu mang tnh cnh bo lin quan n cc hin tng bo hiu kh nng khng tr
c n cho ngn hng nh s d tin gi, hn mc thu chi
T nhng d liu trn, ngn hng nhp vo mt m hnh nh sn, t tnh c hng tn
dng v xc xut khng tr c n ca khch hng. c th l m hnh tuyn tnh, m
hnh probit v thng c xy dng bi cc t chc t vn chuyn nghip.
Th hai, LGD: t trng tn tht trong trng hp khch hng khng tr c n - y l t
trng phn vn b tn tht trn tng d n ti thi im khch hng khng tr c n. LGD
khng ch bao gm tn tht v khon vay m cn bao gm cc tn tht khc pht sinh khi khch
hng khng tr c n, l li sut n hn nhng khng c thanh ton v cc chi ph hnh
chnh c th pht sinh nh: chi ph x l ti sn th chp, cc chi ph cho dch v php l v mt
s chi ph lin quan
T trng tng tht c tnh c th tnh ton theo cng thc sau y:
LGD = (EAD - S tin c th thu hi)/EAD.
Trong EAD: Exposure at Default - tng d n ca khch hng ti thi im khch hng
khng tr c n. S tin c th thu hi bao gm cc khon tin m khch hng tr v cc
khon tin thu c t x l ti sn th chp, cm c. LGD cng c th c coi l 100% - t l
vn c th thu hi c. Theo thng k ca y ban Basel, t l thu hi vn thng mang gi tr
rt cao (70% - 80%) hoc rt thp (20 - 30%). Do , chng ta khng nn s dng t l thu hi
vn bnh qun. Theo nghin cu ca y ban Basel, hai yu t gi vai tr quan trng nht quyt
nh kh nng thu hi vn ca ngn hng khi khch hng khng tr c n l ti sn bo m
ca khon vay v c cu ti sn ca khch hng.
5

Tng cng cc khon tn tht trong d tnh ca tng khch hng vay vn trong danh mc tn
dng ca ngn hng to thnh tn tht trong d tnh ca ton b danh mc tn dng. Trn c s
, ngn hng s xy dng chnh sch nh gi v trch lp d phng nhm b p tn tht cho
tng khon vay, tng khch hng v ton b danh mc cho vay.

Trong : ELp: Gi tr tn tht trong d tnh ca c danh mc cho vay

ELLi: Gi tr tn tht trong d tnh ca khon vay i
2.2.
Tn tht khng d tnh c (UL)
Tn tht khng d tnh c (UL) ca mt khon vay c hiu l gi tr ca lch chun so
vi gi tr trung bnh (tn tht d tnh c EL). Ngun b p tn tht ngoi d tnh chnh l
t vn ch s hu ca ngn hng, bi vy ngn hng cn nm gi vn b p cho tn tht
ny. T l tn tht ngoi d tnh ca mt khon vay c tnh bng cng thc:

UL =

EDF (I EDF ) x LGD

Cn gi tr tn tht ngoi d tnh th c tnh theo cng thc sau:

UL = EDF (I EDF ) x LGD xEAD

Trong :
LGD: Tn tht ca ngn hng trong trng hp khch hng khng tr c n
EDF: Xc sut v n k vng ca mt cng ty
EAD: D n ca khch hng ti thi im khch hng khng tr c n
i vi mt danh mc cho vay th UL c xc nh qua 3 bc:

Bc 1: Xc nh UL ring l ca tng khon vay, cha xem xt n hiu ng ca mi tng

quan

Bc 2: c lng h s tng quan v n ca cc khon vay ring l trong cng mt danh

mc. H s tng quan v n c th c tnh ton thng qua s liu thng k hoc cc m
hnh

Bc 3: Xc nh tn tht khng d tnh c UL trong xem xt mi quan h tng quan v

n gia cc khon vay trong danh mc

ULp: Tn tht ngoi d tnh ca c danh mc cho vay

ULi, ULj: Tn tht ngoi d tnh ca tng khon vay th i v j
Xi, Xj: T trng ca khon vay th i v j trong danh mc
Cor : H s tng quan v n gia cc khan vay trong danh mc
Hnh 6: M hnh m t tn tht tn dng theo Basel II
6

VaR tn dng c xc nh bng tn tht ngoi d tnh, y cng l c s xc nh vn kinh

t ngn hng cn nm gi b p cho ri ro ngoi d tnh.
3. Cc m hnh lng ha VaR tn dng
Vic lng ha ri ro tn dng thng c thc hin bng cc phn mm tin s dng cho
cc NHTM. Bi vit xin gii thiu 2 phn mm c s dng ph bin nht l phn mm Credit
Metrics v phn mm KMV
3.1.
M hnh CreditMetrics
CreditMetric l m hnh c gii thiu t nm 1997 bi JP Morgan v cc nh ti tr (Bank of
America, Union Bank of Switzerland) nh mt khung o lng gi tr chu ri ro (VAR) cho
cc khon vay v cc ti sn khng c giao dch trn th trng.
tnh ton gi tr th trng ca mt khon vay, CreditMetrics s dng cc s liu:
(1) Hng tn dng ca khch hng vay vn
(2) Xc sut thay i hng tn dng ca khch hng trong nm ti (Ma trn chuyn
hng)
(3) T l thu hi t cc khon vay b v n
(4) Mc chnh thu nhp trn th trng tri phiu
Vic tnh ton VaR tn dng theo m hnh Credit Metric c thc hin nh sau:
Bc 1: xc nh mt ma trn xc sut thay i cht lng tn dng
Xc xut chuyn i da trn s liu qu kh ca cc cng ty vi lch s hn 20 nm tt c cc
ngnh cng nghip c cung cp bi cc hng xp hng tn nhim nh S&P, Moodys hoc do
ngn hng t xy dng. Xc xut chuyn i thc t v xc xut khng hon tr thay i mnh
m qua cc nm, ph thuc vo tnh trng khng hong hay pht trin ca nn kinh t, c th d
tnh c xc sut mt khch hng c nng hng, xung hng hay v n. Rt nhiu ngn hng
mun da vo nhng thng k ring ca h - nhng thng k lin quan mt thit hn ti thnh
phn ca hng mc n v tri phiu. H s phi iu chnh gi tr ghi c trong lch s cho ph
hp vi nhng nh gi ca mi trng hin ti.
Bng 1: Ma trn chuyn dch, xc xut ca t l chuyn hng tn dng trong vng mt nm
Th

Th hng cui nm (%)

7

hng
AAA
ban u

AA

BBB

BB

CCC

V n

AAA

90.81

8.33

0.68

0.06

0.12

AA

0.70

90.65

7.79

0.64

0.06

0.14

0.02

0.09

2.27

91.05

5.52

0.74

0.26

0.01

0.06

BBB

0.02

0.33

5.95

86.93

5.30

1.17

1.12

0.18

BB

0.03

0.14

0.67

7.73

80.53

8.84

1.00

1.06

0.11

0.24

0.43

6.48

83.46

4.07

5.20

CCCC

0.22

0.22

1.30

2.38

11.24

64.86

19.79

Ngun: Standard & Poors CreditWeek (April 15, 1996)

Da vo ma trn chuyn hng ny chng ta c th bitc xc xut chuyn hng tn dng ca
khch hng tt c cc kh nng c th xy ra. V d: xc sut thay i ca mt khch hng
c xp hng ban u l A n cc hng nh AAA sau mt nm l 0,09%, AA l 2,27%, BBB
l 5,52%, BB l 0,74% Xc sut ny phn nh kh nng thay i cht lng tn dng ca
khch hng trong khong thi gian c xc nh trc.
Bc 2: Tnh ton gi tr hin ti ca khon vay v phn phi xc xut gi tr hin ti ca
khon vay
Trng hp khch hng v n gi tr hin ti ca khon vay s da trn t l thu hi ca khon
vay v ng bng gi tr thu hi ca khon vay. T l thu hi ph thuc vo phn hng tn
dng ca khch hng. Trng hp khch hng c nng hoc xung hng tn dng th gi tr
hin ti ca khon vay s da trn t l li sut b ri ro ca khch hng do gi tr hin ti ca
khon vay s tng nu khch hng c ln hng v gim nu khch hng b xung hng.
Trng hp hng tn nhim ca khch hng thay i, gi tr khon vay vo thi im cui nm
th nht c tnh theo cng thc:
C1
C2
C3
D+Cn
P = C0 + -------------- + ----------------- + --------------- +...+ -------------(1+r1 +s1)
(1+r2 +s2)2
(1+r3 +s3)3
(1+rn +sn)n
Trong
Ci: li sut ca khon vay cc nm I
D: Mnh gi khon vay
ri = li sut khng c ri ro ca tri phiu chnh ph thi hn i nm
si = phn b li sut hng nm ca khon vay thuc mt phn hng tn nhim thi
hn i nm
8

Gi s chng ta c bng ri +si ca cc khon vay vi cc hng tn nhim khc nhau nh sau
Bng 2: ri +si ca cc khon vay vi cc hng tn nhim khc nhau
Loi
Nm 2 Nm 3 Nm 4 Nm 5
3.60
4.17
4.73
5.12
AAA
3.65
4.22
4.78
5.17
AA
3.72
4.32
4.93
5.32
A
BBB
4.10
4.67
5.25
5.63
5.55
6.02
6.78
7.27
BB
6.05
7.02
8.03
8.52
B
15.05
15.02
14.03
13.52
CCC
Ngun: Standard & Poors CreditWeek (April 15, 1996)
Gi s mt khon vay c gi tr 100 USD, thi hn 5 nm, li sut 6%/nm. Da vo ma trn
chuyn hng tn dng 1 nm ca S&P v bng ri +si ca cc hng tn nhim khc nhau chng ta
s tnh c gi tr k vng ca khon vay v bin ng trong gi tr khon vay nh sau
(Bng 3)
Bng 3: Gi tr hin ti ca khon vay tng ng vi cc xc xut chuyn hng
Hng
cui
nm

Xc
sut
chuyn
hng
(wi)

NPV
ca
khon
vay (Pi)
(USD)

Wi*Pi

lch
chun
()

AAA

0.02%

109.37

0.02

2.28

0.0010

AA

0.33

109.19

0.36

2.10

0.0046

5.95

108.66

6.47

1.57

0.1474

BBB

86.93

107.55

93.49

0.46

0.1853

BB

5.30

102.02

5.41

(5.06)

1.3592

1.17

98.10

1.15

(8.99)

0.9446

CCC

1,47

83.64

1.10

(23.45)

0.6598

Default

0.18

51.13

0.09

(55.96)

5.6538

Mean
$107.09
Variance
$8.95

=
=
9

 lch chun
=$2.99

T bng trn chng ta xy dng c phn phi gi tr hin ti ca khon vay nh

sau:
Hnh 7: Phn phi gi tr hin ti ca khon vay

Sau khi xy dng c phn phi xc xut gi tr khan vay, CreditMetrics xut cch o
lng VaR tn dng nh sau:
T ma trn chuyn dch (Bng 1) ta thy
6.77% kh nng gi tr khon vay s thp hn $102.02, hm rng gi tr gn ng ca
VAR tin cy 95% l $107.09 - $102.02 =$5.07 M.
1.47% kh nng gi tr khon vay s nh hn $98.10, hm rng gi tr gn ng ca
VAR tin cy 99 % s l $107.09 - $98.10 = $8.99 M
Bc 3: Tng quan gia cc khon vay trong danh mc s c c lng t xc sut
thay i hng tn nhim ng thi ca cc khch hng
Tng quan gia thay i cht lng tn dng ca khch hng s c xc nh, trong tng
quan gia hai khon n khng c hon tr ng thi l mt trng hp c bit ca tng
thay i cht lng tn dng. C th, tng quan gia hai khon n khng c hon tr ng
thi c xc nh bng:
10

Corr (def1, def2) =

Trong : - p(def1,def2): Xc sut hai khon n khng c hon tr ng thi, y l mt
trng hp c bit ca xc sut thay i cht lng tn dng ng thi. - P1, P2: Xc sut khch
hng 1, khch hng 2 khng hon tr tng ng. Xc sut ny c xc nh da trn ma trn
xc sut thay i cht lng tn dng ban u.
Vic c lng tng quan cht lng tn dng l kh phc tp do kh c th quan st trc tip
t s liu thng k trong qu kh. M hnh CreditMetric cho php s dng mt trong cc phng
php c lng mi tng quan cht lng tn dng nh sau:
- S dng mt tng quan thng nht bt bin gia nhng ngi cho vay khc nhau
- Da trn tng quan xp hng tn nhim v v n
- Da trn tng quan phn b ri ro ca tri phiu
- Da trn tng quan gi c phiu
Khi xc nh c tng quan gia thay i cht lng tn dng ca cc khch hng, phn
phi gi tr ca danh mc tn dng c xc nh. VaR tn dng trong trng hp ny c xc
nh da vo gi tr ngng ca phn phi tng ng vi mc tin cy cho trc (thng l
99%). i vi mt danh mc tn dng gm rt nhiu khon n trong thc t, CreditMetrics s
dng m phng Monte Carlo tm ra phn phi hon ton gi tr ca danh mc, t xc nh
VaR tn dng.
3.2.
M hnh KMV
M hnh KMV c cng ty KMV xy dng da trn l thuyt quyn chn ca Merton v c
s dng ph bin trong ngnh ti chnh. Ngy nay, m hnh ny thuc s hu ca cng ty Moody
v c pht trin thnh phn mm Credit Monitor lng ha xc xut v n ca mt cng
ty, v Porfolio Monitor lng ha ri ro ca danh mc tn dng. Cng vi Credit Metric,
KMV l mt trong nhng m hnh thng dng nht lng ha ri ro tn dng ca mt ngi
vay v ca mt danh mc tn dng.
KMV s dng cc s liu u vo bao gm cu trc vn ca cng ty, bt n nh ca gi tr
ti sn cng ty, v gi tr hin ti ca ti sn cng ty tnh ton trc tip xc sut v n ca
cng ty da trn cch tip cn nh gi quyn chn ca Merton (1974), xc sut ny c gi
l xc xut v n k vng EDF (Expected Default Frequency). M hnh ny s dng cc thng
tin c cng b, do vy n c bit ph hp vi cc cng ty nim yt.
M hnh KMV a ra cc gi nh rng cu trc vn ca cng ty bao gm vn c phn E, cc
khon n ngn hn C, c coi tng ng nh tin mt, cc khon n di hn, c gi nh
l tr theo nin kim c nh vi s tin phi thanh ton mi nm l K. Gi tr th trng ti sn
ca cng ty l V. Cng ty c kh nng v n nu n mt thi im trong tng lai, gi tr th
trng ca ti sn thp hn mt ngng nht nh. Gi s sau 1 nm, cng ty c V > = K tc gi
tr th trng ca ti sn ln hn gi tr ca cc khon n n hn, cng ty s khng b v n.
Khi , cc c ng ca cng ty, ngi nm gi vn c phn E, s c nm gi phn chnh
lch gia gi tr th trng ca ti sn v cc khan n n hn ( V- K). Ngc li nu V < K,
11

tc gi tr th trng ca ti sn khng chi tr cho cc khon n n hn ca cng ty, cng

ty s v n, trong trng hp ny, c ng s khng c s hu g. T gi nh ny, co th
thy, trng thi dng tin v th dng tin ca c ng (bng 4, hnh 10a) ging vi trng thi
mua quyn chn mua ca nh u t. Do vy, cc c ng c xem nh ang nm gi mt
quyn chn mua trn gi tr ti sn ca cng ty V vi mc gi thc hin quyn l K.
Trng thi dng tin v th dng tin ca ch n (bng 4, hnh 10b) ging vi trng thi bn
quyn chn bn ca nh u t. Do vy, cc ch n c xem nh ang bn mt quyn chn bn
trn gi tr ti sn ca cng ty V vi mc gi thc hin quyn l K. T gi nh ny, m hnh
KMV s s dng l thuyt v nh gi p dng cho quyn chn ca Merton xc nh gi tr th
trng ca vn c phn v ca n n hn
Bng 4: Dng tin ca c ng v ca ch n ti thi im t
Thi im t

Dng tin ca C ng

Dng tin caCh n

Nu V >K

VK

Nu V < K

Hnh 10a: th dng tin ca c ng ti thi

Hnh 10b: th dng tin ca ch n ti thi

im t. th ny c hnh dng trng vi th

im t. th ny c hnh dng tng ng vi

li nhun ca trng thi mua quyn chn mua

th li nhun ca trng thi bn quyn chn

bn
Li nhun

Li nhun

Dng tin
ca c ng

Dng tin
ca ch n

.
Qu trnh tnh ton xc xut v n k vng EDF tri qua 3 bc:
Bc 1:c tnh gi tr ti sn ti thi im t - Vt v bt n nh trong gi tr ti sn V
M hnh cn s dng gi tr th trng ca ti sn cng ty Vt v bt n nh trong gi tr th
trng ca ti sn V, hai ch tiu ny tng i kh quan st trc tip v gi cc ti sn ca cng
ty khng c iu chnh theo th trng hng ngy. Thay vo , KMV s dng m hnh nh
12

gi quyn chn ca Merton tnh gi tr hin ti ca ti sn Vt thng qua gi tr ca vn c

phn St.(i lng c th quan st c thng qua mc vn ha th trng) .V cc c ng
ca cng ty c xem nh ang nm gi mt quyn chn mua, nn c th vit gi tr th trng
ca vn c phn bng vi gi tr ca hp ng quyn chn. C th, theo m hnh Merton, ta c
th vit St nh l mt hm s:
St = CBS (t, T, r, K, Vt, V);
V V = S *S*dV/V*dS
Trong CBS l cng thc Black-Scholes tnh gi c quyn chn mua kiu u
St l gi tr th trng ca vn c phn (c tnh bng mc vn ha th trng)
T: Thi hn ca khon n
t: Thi im hin ti
r: li sut khng c ri ro ca cc khon n c cng thi hn
K: gi tr s sch ca khon n
V : bt n nh trong gi tr ti sn
Vt: Gi tr th trng ca ti sn
S : bt n nh trong gi tr vn c phn, gi tr ny c th quan st trc tip trn th trng.
Vi cng thc trn, Vt v V l 2 i lng cn tnh. V c 2 i lng ny u cha bit nn cn
s dng php lp (interation) .Ta bt u bng mt i lng no theo phng on, lp vo
cng thc trn tnh ra c mt dy gi tr ca Vt da trn dy gi tr ca St quan st trn th
trng, ri t tnh ra c mi (= volatility thc nghim) theo cc i lng ca Vt .
mi ny s c so snh vi ban u ri iu chnh gi tr ban u v qu trnh trn c lp
li cho n khi ta phi tm c sao cho V tng ng c lch chun thc nghim (volatility
thc nghim) ng bng .
Bc 2: Tnh khong cch n ngng khng hon tr
Sau khi tnh c Vt v V, m hnh KMV s ton khong cch gia gi tr k vng ti sn
ca cng ty sau 1 nm n gi tr ngng khng hon tr. Khong cch ny c gi l DD
(Distant to Default) (Hnh 3)
DD = ( E(V1) DPT)/ V* Vt
Trong :
- E(V1 ): Gi tr k vng ca ti sn cng ty sau 1 nm, c xc nh theo gi thit gia tr ti
sn cng ty tun theo phn phi logarit chun.
13

- DPT: im ngng khng hon tr. DPT thng khng phi l ton b s n ca cng ty, m
ch l s n nh hng n kh nng v n ca cng ty sau 1 nm. Nu khng tr c s n
th cng ty v n.
- DD s c tnh bng s ln ca lch chun. DD cng nh, khong cch n ngng khng
hon tr cng nh, hm rng kh nng v n ca cng ty cng ln.
Hnh 11: DD v logic ca m hnh KMV

Bc 3: Chuyn khong cch n ngng khng hon tr (DD) thnh xc xut v n (EDF)
KMV s dng kho d liu rt ln ca mnh chuyn DD thnh EDF theo phng php thc
nghim. V d trong mt mu 1000 cng ty c cng gi tr DD = 2, sau mt nm c 2 cng ty
khng c kh nng hon tr n. Khi EDF1 nm= 2/1000 = 0,2%. Kho d liu rt ln ca KMV
chnh l sc mnh ca m hnh KMV.
Nh vy, d liu u ra quan trng nht ca phn mm KMV trong vic lng ha ri ro ca
mt cng ty chnh l xc xut v n ca cng ty . i vi mt danh mc tn dng, m hnh
KMV s tnh ton mi tng quan v n gia cc khan vay. Tng quan v n c c lng
t t l c 2 cng ty cng v n ti mt thi im.
Hnh 12: Xc xut v n ca 2 cng ty ti cng 1 thi im

14

0.20%
0.18%
0.16%

Probability

0.14%
0.12%
1 and 2 default
0.10%
4
3.5
3

0.08%
0.06%

2.5
2
1.5

0.04%
1
0.02%

Asset Value 2

0.5
0

0.00%
-0.5
-1
1 defaults

Asset Value 1

2 defaults

Gi tr ti sn
cng ty Y

Gi tr ti sn
cng ty X

Trc honh o lng gi tr ti sn cng ty X, DPTX l im ngng khng hon tr ca cng ty

X, trc tung o lng gi tr ti sn cng ty Y, DPTY l im ngng khng hon tr ca cng ty
Y. Ta s thy cc hnh oval th hin xc xut ng thi trong gi tr ti sn ca c 2 cng ty. Cc
hnh oval cng nh, th hin xc xut cng cao. Nu gi tr ti sn ca 2 cng ty khng c mi
tng quan vi nhau, ng xc xut chung s l hnh trn, cn nu gi tr ti sn ca 2 cng ty
c mi tng quan hon ho, ng xc xut chung s l ng thng, ng xc xut l hnh
oval th hin mi tng quan gia gi tr ti sn 2 cng ty nm gia 2 thi cc trn. Trn hnh, ta
thy vng J l vng c xc xut gi tr ti sn cng ty X nh hn DPTX v xc xut gi tr ti sn
15

cng ty Y nh hn DPTY (chnh l vng xc xut c 2 cng ty cng v n). Ta c th tnh c

mi tng quan v n ng thi ca 2 cng ty theo cng thc sau:
J- EDFX * EDFY
X,Y

=
EDFX(1- EDFX) EDFY(1- EDFY)

M hnh KMV p dng l thuyt danh mc hin i MPT tnh ton ri ro ca danh mc tn
dng, v s dng m phng Monte Carlo xy dng phn phi tn tht tn dng, t tnh
VAR tn dng t phn phi tn tht ny.
4. Thc trng lng ha ri ro tn dng theo phng php hin i ti cc NHTM Vit
nam v cc gii php, kin ngh
Hu ht cc NHTM u nhn thc c tm quan trng phi lng ha ri ro tn dng, mt
s ngn hng ang trong giai on nghin cu hoc th nghim lng ha ri ro tn dng.
a s cc NHTM u v ang xy dng h thng xp hng tn dng ni b lm c s cho
vic phn loi khch hng cng nh nh gi ri ro tn dng. H thng xp hng tn dng ni b
c xem l mt trong nhng cn c c bn nht ngn hng tnh ton cc thc o ri ro PD,
LGD cho tng i tng khch hng, t tnh ton cc thng s EL, UL v VaR tn dng. Tuy
nhin, a s cc NHTM cng mi ch bc u ng dng h thng xp hng tn dng ni b
phn loi v ra quyt nh tn dng vi khch hng vay vn ch cha khai thc h thng ny
lng ha ri ro. Trong s cc ngn hng i u v vic lng ha ri ro tn dng, mt s ngn
hng s dng hng khch hng theo h thng xp hng tn dng ni b tnh ra PD (phng
php thng k ton hc thng thng ch cha phi phng php m hnh ha). Ch tiu LGD
c mt s ngn hng tnh da trn gi tr khon vay, gi tr ti sn m bo v loi ti sn m
bo, mt s ngn hng khc a ra gi nh v LGD theo mt t l % nht nh da trn nhm
n. Cc ngn hng ny tnh c EL nhm ra quyt nh cho vay v lm c s trch lp d
phng ri ro. Vic tnh UL v VaR tn dng cng bc u c cc ngn hng ny th tnh ton
nhng cng cha mang li kt qu ng tin cy. Tc gi tin hnh kho st vic lng ha ri
ro tn dng ti mt s NHTM Vit nam v thu c cc kt qu nh sau:
Bng 5: Kho st vic lng ha ri ro tn dng theo phng php thng k ti cc NHTM Vit
nam
Cc kt qu cng vic lng Viet BID
ha ri ro tn dng theo comb V
phng php thng k ti cc ank
NHTM Vit Nam

VIB

Techc Vieti
omban nban
k
k

Exim
bank

ACB

Agrib
ank

16

 xy dng v s dng h
thng xp hng tn dng ni
b phn loi khch hng

xy dng v s dng

tnh ton cc ch s PD,

LGD, EL

tnh ton cho mt nhm

KH

tnh ton UL v VaR tn

dng

Cha tnh ton

S dng cc m hnh tnh

ton phn phi tn tht tn
dng v VaR tn dng

Cha s dng

ang trong l
trnh thc hin

Cha tnh
ton

Ngun: Kho st ca tc gi
a s cc NHTM Vit Nam mi ch dng li vic tnh tn tht trong d tnh, v ch yu mi
ch da trn phng php nh tnh ch cha phi phng php nh lng. C th k n cc
nguyn nhn sau:
Th nht, do hn ch trong cc c s d liu. Vic lng ha ri ro tn dng i hi cc NHTM
phi c cc c s d liu u vo ln v chnh xc. Tuy nhin, trong bi cnh Vit Nam, cc
d liu ny khng d dng thu thp hoc xy dng c. Chng ta cha c mt t chc chuyn
nghip no lu gi v khai thc cc cc ngun d liu qu kh ca doanh nghip. Vic lu gi
thng tin v khch hng trong h thng d liu ni b ca cc NHTM thng qua cc h thng
xp hng tn dng ni b cng mi ch c mt s NHTM thc hin trong mt s nm gn y
v bn thn cc NHTM cng ang gp phi nhiu kh khn trong vic thu thp v phn loi
thng tin chnh xc cng nh to thng tin u ra c gi tr. C th, ng dng m hnh KMV,
cn c cc thng tin v gi c phiu cng nh mc bin ng gi c phiu ca doanh nghip,
trong khi Vit Nam, s lng doanh nghip c nim yt khng nhiu, v mc bin ng
gi c phiu cng b nh hng nhiu bi cc yu t u c trn th trng, ch khng hon ton
phn nh chnh xc thc trng cng nh trin vng kinh doanh ca doanh nghip. Cn vi m
hnh Credit Metric, thng tin v xp hng tn dng v xc xut thay i hng tn dng c coi l
d liu u vo ct li, nhng cng khng nhiu cc doanh nghip Vit nam c xp hng bi
cc cng ty xp hng tn dng c tn tui. Hn ch trong c s d liu chy m hnh c
xem nh ro cn ln nht hn ch kh nng p dng cc m hnh lng ha ri ro tn dng ti
cc NHTM.
Th hai, h tng cng ngh thng tin ca cc NHTM khng ng u, kh khn ny cn tr
vic xy dng v ng dng cc m hnh lng ha ri ro tn dng. Chia s ca mt nh lnh o
17

ngn hng cho bit ring chi ph u t cho h thng cng ngh ny ln n hng chc triu
USD. y l ro cn ln m khng phi NHTM no Vit Nam cng c th vt qua c;
Th ba, hn ch trong ngun nhn lc. Vic lng ha ri ro tn dng u c pht trin trn
cc nn tng l thuyt kh phc tp v l nhng kin thc mi i vi ngnh kinh doanh ngn
hng ti Vit Nam. Trong khi ti cc NHTM ni ring cng nh trn th trng nhn lc ni
chung cn rt thiu nhng nhn vin am hiu cc kin thc v qun tr ri ro tn dng v c kh
nng xy dng v s dng cc m hnh lng ha. Hu ht tt c cc ngn hng hoc ang
nghin cu vic lng ha ri ro tn dng u thu chuyn gia t vn chuyn nghip, nhng
chnh v cha am hiu v lm ch c m hnh, nn khng nhng vic s dng m hnh gp
nhiu kh khn, m cc NHTM cng kh c cn c nh gi tnh chnh xc ca cc kt qu
do m hnh to ra. Vic ny cng l mt ro cn ln khin vn lng ha ri ro tn dng theo
phng php thng k vn ch l mt trong nhiu k hoch trong tng lai ca NHTM.
T cc nguyn nhn trn, tc gi xin xut mt s gii php v kin ngh nh sau:
Th nht: Hon thin h thng xp hng tn dng ni b. H thng xp hng tn dng ni b l
c s u tin gip cc NHTM o lng ri ro ca mt khch hng. Tuy rt nhiu NHTM Vit
nam u t xy dng h thng xp hng tn dng ni b cho ngn hng mnh, nhng bn thn
h thng xp hng tn dng ni b cc ngn hng cng ang bc l rt nhiu im hn ch. Kt
qu xp hng tn dng ni b mang tnh ch quan v cha thc s l cn c lm c s xy
dng cc thc o lng ha ri ro, h tr ngn hng tnh ton chun xc tn tht d tnh v yu
cu vn ti thiu b p ri ro. Do vy cc NHTM cn hon thin h thng xp hng tn dng
ni b, m bo s hp l gia cc b tiu ch v cc trng s cho kt qu chun xc, ph hp
vi khu v ri ro ca tng ngn hng. Trc mt cc NHTM nn hon thin h thng xp hng
tn dng ni b theo phng php tip cn ni b c bn hoc nng cao (FIRB hoc AIRB) theo
chun Basel II. Vic xp hng tn dng phi cn c trn (i) cc s liu thng k lch s ca chnh
ngn hng cho cc i tng khch hng c nhn, doanh nghip, tnh ton cc thc o ri ro
PD, LGD, EAD cho cc i tng ny (hin nay mt s NHTM ang trin khai theo cch ny)
ng thi (ii) p dng cc iu chnh cn thit trn c s kin ca chuyn gia (i hi c cn
b chuyn su, am hiu v nghip v). C nh vy vic XHTD mi thc s l cng c hn ch
ri ro hu dng trong hot ng tn dng v l cn c nh gi theo ri ro (risk based pricing)
ca NHTM
Th hai, xy dng h tng cng ngh thng tin v h thng d liu ng b. Vic lng ha ri
ro tn dng theo thng l quc t i hi s ng b v h tng cng ngh thng tin v c s d
liu. NHTM cn xy dng h thng thng tin khch hng ng b, c kh nng lu tr d liu a
chiu v lin tc. Mt im lu quan trng l cht lng thng tin/d liu phi tt. Mun vy,
ngoi vic tng cng qun l nh nc v minh bch thng tin doanh nghip, cng tc nhp d
liu ca cc b phn lin quan (ch yu t cc Chi nhnh ca Ngn hng) phi c cp nht v
lu d y , chun xc. Cc NHTM nn c b phn chuyn trch m nhim vic thu thp v
18

khai thc d liu. Cc d liu cn thu thp v mt doanh nghip/ ngnh kinh doanh nn bao gm
c cc thng tin nim yt v cc thng tin mm, v cn thu thp trong mt thi gian di. Vic
ny s to iu kin d dng cho ngn hng trong vic s dng cc d liu v doanh nghip
lng ha ri ro.
Th ba, kin ton m hnh t chc v tp trung pht trin ngun nhn lc. V m hnh t chc,
cc NHTM nn c b phn chuyn trch m nhim vic nghin cu, xy dng hay vn dng
cc m hnh ton lng ha ri ro. B phn ny cn c chc nng c lp, phn tch quyn
hn v trch nhim vi cc b phn kinh doanh nhm m bo tnh khch quan ca cc kt qu
o lng ri ro. Bn cnh , p ng cc yu cu mi, hng ti chun mc qun tr ri ro
tn dng theo Basel 2, cc cn b thc hin o lng ri ro phi chuyn su nghip v v am
hiu ton kinh t ng dng cc m hnh kinh t lng trong phn tch, qun l ri ro.
Cc kin ngh
Th nht, NHNN cn c quy nh c th khuyn khch cc NHTM s dng phng php thng
k lng ha ri ro tn dng theo thng l quc t. Vic ny s gip m bo hot ng ca
cc NHTM Vit Nam chuyn nghip, an ton hn
Th hai, NHNN v cc c quan qun l nhanh chng hon thin khung php l y hn
cc NHTM c cn c thc hin xp hng tn dng ni b hng theo thng l quc t; a ra
mt l trnh r rng m bo tt c cc NHTM u phi tun th, qua thc y cng tc hon
thin h thng xp hng tn dng ni b ti mi ngn hng.
Th ba, nh nc nn c cc chnh sch bt buc cc doanh nghip (k c doanh nghip cha
nim yt) cng khai ha thng tin. Vic ny khng nhng buc doanh nghip phi hot ng
minh bch m cn gip cng tc qun l hiu qu hn. Nh cc NHTM cng c c ngun
thng tin m bo vic o lng ri ro tn dng c chnh xc.
Th t, nh nc nn c chnh sch khuyn khch thnh lp cc n v xp hng tn dng c
lp lm c s tham chiu chung trong cng tc nh gi ri ro khch hng ca cc NHTM. Cc
cng ty ny cng c th thu thp v cho bn cc kho d liu cho cc NHTM cc NHTM c
th lng ha ri ro tn dng mt cch hiu qu.
Th nm, nh nc cn c c ch m bo s hot ng hiu qu ca th trng chng khon,
t , cc NHTM c th s dng cc mc gi c phiu cng nh bin ng gi c phiu c th
c s dng trong vic lng ha ri ro v n ca cc doanh nghip.
Kt lun
Lng ha ri ro tn dng da trn khung gi tr VaR l mt ni dung phc tp, kh c th thc
hin ngay trong mt sm mt chiu. Tuy nhin, y l cng vic cn thit, bi n s gip cc
NHTM c tiu chun nh lng sng lc khch hng, ra quyt nh cho vay ng n, c
chin lc nh li sut cho vay hiu qu, c cn c ng tin cy thit lp d phng ri ro, c
cn c xc nh mc vn kinh t cn thit nhm gip ngn hng chng cc ri ro trong
tng li. Tt c nhng vic s m bo hot ng tn dng ca cc NHTM c hiu qu v
19

an ton, lm lnh mnh ha h thng v rt ngn dn khong cch vi cc ngn hng thng mi
ti cc nc pht trin. V hot ng tn dng lun l hat ng ch yu ca cc NHTM Vit
nam, vic lng ha ri ro tn dng theo thng l quc t nn c xy dng thnh mt l trnh
r rng, c nh vy mi m bo c s bn vng ca hot ng ngn hng trong v sau qu
trnh ti cu trc.
Danh mc ti liu tham kho:
1. Charles Smithson, 2002, Credit Porfolio Management, John Wiley & Sons, Inc.
2. Basel Committee on Banking Supervision (September 2000), Principal for the
Management of Credit Risk
3. Anthony Saunders & Linda Allen (2002), Credit Risk Measurement, John Wiley &
Sons, Inc.
4. Financial Technology Transfer Agency, Luxembourg (2008), Risk Management
5. Nguyn Vn c ,2012, Phn tch danh mc tn dng- xc sut khng tr c n PD
6. Ngn hng thanh ton quc t - BIS, Basel II- s thng nht quc t v o lng v
cc tiu chun vn, nh xut bn vn ha thng tin, bn dch ca Khc Quang Huy
nm 2008.

20