Hot ng NH Hng Ti Hi Phc & Hon Thin

Kim nh ri ro tn dng
cho cc ngn hng thng mi
nim yt ti Vit Nam
Nguyn Hong Thy Bch Trm

Trng i hc Kinh t TP.HCM

i nghin cu ny thc hin Stress Test xem xt tc ng v m ln ri ro

tn dng ca cc ngn hng thng mi VN da trn phn tch vin cnh.
Kt qu cho thy tn ti mi tng quan m gia t l n xu (NPL) v tng
trng GDP vi tr l hai Qu. Bi nghin cu ny cn s dng Credit VaR tnh
ton kh nng v n ca khu vc ngn hng thng mi v nhn thy rng cc ngn
hng thng mi khng th hp th c cc khon tn tht tn dng di cc kch
bn v m bt li. iu ny c th e da n s n nh ca h thng ti chnh. Nhng
c lng ny cng rt hu ch cho Ngn hng Nh nc trong vic xc nh mc
ri ro tn dng v tnh ton t s an ton vn ti thiu cn thit khi trng hp xu c
th xy ra.
T kha: Ngn hng thng mi, ri ro tn dng, Stress Test.
1. Gii thiu

Tm quan trng ca Stress Test

c nhn mnh trong cuc
khng hong gn y v cc v
sp ngn hng nhiu quc gia.
Hiu bit su sc v kh nng phc
hi ca h thng ngn hng trc
cc kch bn kinh t v m bt li
gip nh gi ng ri ro h thng
v cc nh iu hnh c th a
ra chnh sch qun l kp thi bo
m an ton cho h thng ti chnh
quc gia.
Bi nghin cu ny thc hin
Stress Test xem xt tc ng v
m ln ri ro tn dng ca cc ngn
hng thng mi VN da trn phn
tch kch bn. Khun kh thc hin
bao gm ba phn c lp nhng b
sung cho nhau c kt hp theo
th t. Phn u tin s dng m
hnh kinh t lng chui thi gian
c lng mi quan h gia
cc bin kinh t v m la chn v

s dng kt qu ny m phng
cc kch bn v m bt li trong
hai nm ti. Phn th hai s dng
m hnh kinh t lng theo d liu
bng ca tm ngn hng thng
mi c nim yt trong khong
thi gian t nm 2006 n nm
2013 c tnh mi quan h ca
t l n xu (NPL) v tng trng
GDP. Sau , s dng kt qu ny
m phng cht lng tn dng di
cc kch bn xu. Phn th ba c
tnh phn tn tht tn dng, s dng
m hnh gi tr tn dng c ri ro
(Credit VaR).
2. Cc nghin cu trc y

Stress Test l k thut o lng

bin ng danh mc ti sn, t chc
hoc ton b h thng ti chnh
di nhng kch bn gi nh. K
thut ny c cc nh qun l ri
ro ngn hng, cc nh iu hnh
khu vc ti chnh v c quan gim
st ti chnh quc gia s dng

nh gi tnh bt n ca mt ngn
hng c bit hoc ton b h thng
ti chnh di cc bin ng bt li
ca nn kinh t. Vo nm 1999,
chng trnh nh gi khu vc ti
chnh (FSAP) l mt k hoch lin
kt gia IMF v World Bank c
thc hin. Trong , Stress Test l
mt phn ca chng trnh ny v
c xem nh l mt cng c
chun trong vic phn tch tnh n
nh ti chnh.
K t th nhiu bi nghin
cu ng dng cng c ny
nh gi mc hi phc ca h
thng ngn hng nhng quc gia
khc nhau trc bin ng v m
bt li nh l Berkowitz (1999),
Pesola (2001), Froyland & Larsen
(thng 10, 2002), Boss & cng
s (2002), Hoggarth & Whitley
(2003), Gerlach & cng s (2003),
Virolainen & Sorge (2006), Barnhill
& cng s (2006), van den End &
cng s (2006), Missina & Tessier

S 14 (24) - Thng 01-02/2014 PHT TRIN & HI NHP

19

Hot ng NH Hng Ti Hi Phc & Hon Thin

(2007). Mc tiu chnh ca nhng
bi nghin cu ny l o lng
mc nhy cm ca danh mc tn
dng trc kch bn v m bt li.
Nhng th nghim nh vy lm ri
ro c minh bch hn, gip nh
gi mc l tim nng di iu
kin th trng khng bnh thng.
Trong , Boss (2002) s dng
m hnh ri ro tn dng v m
phn tch tnh hnh bin ng xu
ca th trng gy p lc ln xc
sut v n ca ngn hng o v tc
gi nhn thy sc sn xut cng
nghip, t l lm pht, ch s chng
khon, li sut ngn hn danh ngha
v gi du l cc nhn t quyt nh
xc sut v n. Sorge & Virolainen
(2006) ng dng hai phng php
trong Stress Test cho nn kinh t
Phn Lan l kt hp phn tch kinh

trc nhiu loi ri ro khc nhau.

Thng qua , cc tc gi cn tm
thy mi quan h c ngha thng
k gia t l v n c trng ca
ngnh v GDP, li sut v tng n
ca khu vc doanh nghip. T
cho thy bin ng ca mi trng
kinh t c nh hng ln d phng
n kh i ca ngn hng.
Mt s nh nghin cu kt
hp n xu, khon d phng n
kh i v cc nhn t v m vo
trong ma trn vector o lng
tnh bt n ca h thng ti chnh.
Kalirai v Scheicher (2002) xy
dng m hnh c lng theo d
liu chui thi gian gia bin d
phng n kh i tch ly v mt
tp hp ln cc bin kinh t v m
bao gm GDP, l hng sn lng
ngnh cng nghip, ch s gi tiu

xem xt tc ng v m ln ri ro
tn dng ca cc ngn hng thng
mi VN ang trong giai on s
khi. Bi nghin cu ny c thc
hin c lng mi lin h gia
t l n xu v tng trng GDP v
xem xt cht lng tn dng di
tc ng bt li m phng ca cc
nhn t kinh t v m VN. T
gip xc nh kh nng tn tht ca
cc ngn hng thng mi VN khi
iu kin kinh t tr nn bt li.
Bc u, cho thy bc tranh tng
th v tim lc ti chnh ca h
thng ngn hng thng mi VN.
3. D liu nghin cu v la
chn cc bin kinh t v m

Bi nghin cu ny xem xt
danh mc cc bin kinh t v m
s dng trong phn tch kch bn
nh sau:

Bng 1: Cc bin kinh t v m c xem xt la chn xy dng kch bn

Bin

M t

Bin

M t

NGDP

GDP danh ngha c iu chnh theo ma

(Ngun: Tng cc thng k v tnh ton ca tc gi)

CPI

Ch s gi tiu dng VN
(Ngun: IMF)

NR

Li sut c bn danh ngha 1 nm

(Ngun: Ngn hng Nh nc VN)

LR

Li sut cho vay

(Ngun: IMF)

CR

Tng d n ca h thng ngn hng VN

(Ngun: Ngn hng Nh nc VN)

DR

Li sut tin gi tit kim

(Ngun: IMF)

ER

T gi bnh qun lin ngn hng ca USD/VND

(Ngun: Ngn hng Nh nc VN)

RS

Chnh lch li sut cho vay v li

sut tit kim (Ngun: IMF)

t lng theo d liu bng cn i

k ton v m hnh gi tr c ri
ro VaR. Trong m hnh bng cn
i k ton, Sorge v Virolainen
s dng khun kh ca Wilson.
Theo , cc bin v m c lin
kt vi cc khon mc cho vay trn
bng cn i k ton v thng qua
phng php m phng Monte
Carlo m phng nh hng ca
mt vi c sc n h thng ngn
hng, t xc nh gi tr c ri
ro VaR. M hnh VaR kt hp phn
tch nhn t ri ro c lng xc
sut mt mt, a ra con s c th
v mc nhy cm ca danh mc

20

dng, tc tng trng cung tin,

ch s th trng chng khon, t
gi hi oi, xut khu v gi du.
Nhiu nghin cu lm sng t
tnh hu ch ca Stress Test trong
phn tch v m. V d, Borio,
Furfine & Lowe (2001) ch ra tm
quan trng ca Stress Test trong
vic nng cao hiu bit v ri ro v
mi quan h ca n vi chu k kinh
doanh. Gn y EU v M thc
hin cuc th nghim Stress Test
ln nht sau khng hong nh
gi h thng ti chnh ca h (Fed
2009a,b v CEBS 2010a,b).
Cc nghin cu v Stress Test

PHT TRIN & HI NHP S 14 (24) - Thng 01- 02/2014

Trc khi thc hin, bi

nghin cu i khm ph kh
nng gii thch ca cc bin v
m nhm xy dng kch bn ph
hp tnh hnh kinh t ca t nc
bng m hnh dng rt gn trong
ch gii hn mt vi nhn t.
kho st mc tng quan
v kh nng tc ng ca cc
bin kinh t v m ln cht lng
tn dng cc ngn hng thng
mi VN, bi nghin cu tnh
ton h s tng quan tng cp
bin bng phn mm thng k
STATA v nhn thy rng ba
bin c la chn trong su

Hot ng NH Hng Ti Hi Phc & Hon Thin

bin trn tham gia vo m hnh
xy dng vin cnh cho nn kinh
t l NGDP, NR, CR u c mi
tng quan v c ngha thng
k. iu ny hon ton ph hp
vi nghin cu ca (Virolainen,
2004). Trong :
- GDP danh ngha cho php
chng ta kho st tc ng ca
chu k kinh doanh ln t l n
xu ca ngn hng, xem xt cc
nh hng ca hot ng kinh t
ln cht lng tn dng.
- Tng d n cho php ta kho
st mc m rng tn dng v
kh nng vay mn c tc ng
ln cht lng n ca cc ngn
hng thng mi VN.
- Li sut c bn l cng
c trc tip kim sot li
sut kinh doanh ca ngn hng
thng mi; c xc nh v
cng b trn c s xu hng bin
ng cung - cu vn th trng,
mc tiu ca chnh sch tin t
v cc nhn t tc ng khc ca
th trng tin t, ngoi hi
trong v ngoi nc. Thng qua
cung cp mt ci nhn v lp
trng ca chnh sch tin t.
D liu ca cc bin kinh t
v m theo chui thi gian c tn
s quan st t qu IV 2007 n
qu II 2013. Chiu di ca chui
thi gian l hi ngn nhng thi
k ny bao gm mt s s kin v

m quan trng:
- Khong thi gian ny, tng
trng tn dng u l hai con s
v dao ng t 38% xung 11%.
Ring nm 2012 tng trng tn
dng mc thp k lc mt
ch s. Nguyn nhn tn dng
tng trng thp l cu yu,
kh nng tiu th sn phm kh
khn, hng tn kho cao nn nhiu
doanh nghip khng iu kin
vay vn; cc t chc tn dng
phi kim sot cht ch tn dng
nhm ngn chn n xu.
- GDP nc ta tng lin tc
t nm 2000 n 2007 t mc
8,44% sau st gim vo nm
2008 mc 6,31% v 2009 l
5,32%, nm 2010 li tng ln
6,78%, hai nm tip theo 2011
v 2012 li tip tc st gim
mc 5,89% v 5,03%. Nm 2012
c t l tng GDP thp nht
trong vng nhiu nm v trong
giai on ny chng ta chu nh
hng t bt n kinh t v m v
khng hong ti chnh th gii.
Hu qu ca cuc suy thoi ny
ko di trong nhiu nm lm

tng trng st gim, h thng

ti chnh ri lon.
- Cng trong thi gian ny,
Ngn hng Nh nc c
nhng hnh ng quyt lit trong
iu hnh chnh sch tin t tht
cht, cc mc li sut ch o
c iu chnh tng, li sut c
bn t 12%/nm ln 14%/nm.
Sau , Ngn hng Nh nc
chuyn hng iu hnh chnh
sch tin t t tht cht
chng lm pht sang ni lng
nhm mc tiu ngn chn suy
gim kinh t, iu chnh gim
mnh li sut c bn t 14% 13% - 11% - 8,5% - 7%/nm.
Cc bin la chn c nh
ngha nh sau: (i) Tng trng
GDP, GDP tnh bng cch ly sai
phn bc 1 ca logarit chui d
liu GDP c iu chnh theo
ma, (ii) Tng trng tn dng,
CR, tnh bng cch ly sai phn
bc 1 ca logarit tng cho vay
trong ton h thng ngn hng;
v (iii) Li sut chnh sch tin
t NR, i din bng li sut c

Bng 2: Tm tt thng k m t cc bin trong m hnh xy dng vin cnh

Variable

Obs

Mean

Std.dev

d_lncr
d_lngdp
NR

Min

Max

22

0,0497157

0,0352623

0,0004537

0,124679

37

0,0356542

0,16733

-0,2303054

0,5460854

52

0,0836538

0,0132885

0,07

0,14

Bng 3: Danh mc cc ngn hng thng mi trong muD

1

Ngn hng TMCP Ngoi thng VN

436.470.622.000.000

40.769.372.000.000

5.837.200.969.204

Ngn hng TMCP Chu

169.403.941.000.000

13.044.882.000.000

1.664.505.526.926

Ngn hng TMCP Cng thng VN

522.601.488.774.783

48.527.899.774.783

5.235.730.049.424

Ngn hng TMCP Xut nhp khu VN

156.349.317.000.000

14.529.331.000.000

646.258.957.367

Ngn hng TMCP Qun i

173.932.491.733.345

14.990.039.649.438

1.500.773.026.271

Ngn hng TMCP Nam Vit

23.663.978.478.139

3.197.665.945.436

233.769.344.192

Ngn hng TMCP Si Gn - H Ni

104.524.797.982.914

9.803.288.982.914

1.778.558.424.046

Ngn hng TMCP Si Gn Thng Tn

Tng cng

160.503.546.000.000

14.391.052.000.000

1.636.031.904.804

1.747.450.182.969.200

159.253.531.352.571

18.532.828.202.234

Ngun: Bo co ti chnh ca cc ngn hng

S 14 (24) - Thng 01-02/2014 PHT TRIN & HI NHP

21

Hot ng NH Hng Ti Hi Phc & Hon Thin

bn. Thng k tm tt ca cc
bin c chn trnh by trong
Bng 2.
Vn ch s hu ng vai tr
quan trng trong vic bo v
ngn hng trc nguy c ngi
i vay v n. Trong trng hp
xu, vn ch s hu ngn hng
s c dng b p khon
tn tht cho vay. Nu vn ch
s hu khng ln th s lm
thit hi cc khon tin gi tit
kim ca khch hng. V th, vn
ch s hu cng ln s gip ngn
hng c th hp th cc khon
tn tht m khng lm thit hi
li ch ca ngi gi tit kim.
4. Phng php v kt qu
nghin cu

4.1. Tng quan v phng php

lun
Khun kh thc hin Stress
Test trong bi nghin cu ny
bao gm ba phn theo trnh t:
- Bc 1: Thc hin m hnh
kinh t v m c lng mi
quan h gia cc bin s kinh
t v m bng k thut phn tch
chui thi gian (VECM) m
phng kch bn kinh t v m bt
li d kin trong

hai nm.
- Bc 2: Thc hin m hnh
kinh t vi m nh gi nhy
ca cht lng cho vay trong
iu kin kinh t v m bt li
bng k thut phn tch d liu
bng ca cc ngn hng thng
mi VN trong mu m phng
t l n xu ca ngn hng theo
cc kch bn kinh t v m c
to ra Bc 1.
- Bc 3: Thc hin m hnh
Credit VaR c lng nhu
cu vn cn thit ca cc ngn
hng cn c, m bo khi nhng
tn tht tn dng xut hin cc
kch bn xu. M hnh m phng
phn phi xc sut ngn hng ri

22

vo tnh trng kh khn, s dng

cch tip cn Credit Risk+ c
h tr t cc chng trnh c
pht trin bi t chc Credit
Suisse Group mt t chc
chuyn cung cp cc gii php
qun tr ri ro lin quan n tn
dng.
4.2. M hnh v m xy dng kch
bn
Vi kt qu kim nh ban
u l chui d liu khng dng
v xut hin hai ng lin kt
gia cc bin tham gia m hnh
nn bi nghin cu ny s dng
m hnh VECM xem xt mi
quan h gia cc bin kinh t
v m nhm xy dng cc kch
bn v m. M hnh c dng nh
sau:

Trong ,

(1)

Cc h s c c lng
hon ton ph hp vi k vng v
mi quan h gia cc bin. Kt
qu m hnh ny cng cho thy
vic tht cht chnh sch tin t
i km theo n l s st gim
trong tc tng trng tn dng
v GDP v tc tng trng
GDP cng tc ng dng ln
tc tng trng tn dng
mc ngha thng k 5%. iu
ny cho thy nn kinh t tng
trng phc hi th kh nng m
rng tn dng cng tng ln. Kt
qu chy m hnh VECM c
trnh by trong Bng 4.
Cc kim tra sau khi c
lng ch ra rng m hnh l n

PHT TRIN & HI NHP S 14 (24) - Thng 01- 02/2014

nh, cc sai s l khng t tng

quan v vt qua cc kim nh
phn phi chun. Qua , cng
khng nh kt qu m hnh l
ng tin cy, ph hp v mt
ngha thng k.
Vi kt qu va tm c, bi
nghin cu xy dng bn kch
bn kinh t v m, trong c
mt kch bn c bn phn nh xu
hng tng trng GDP nh k
vng v ba kch bn bt li. Vin
cnh tng trng GDP di bn
kch bn c xc nh nh sau:
- Kch bn c s: Kch bn ny
l kch bn chun nm bt qu
trnh tng trng bnh thng
ca hot ng kinh t. Theo ,
kt qu ca m hnh VECM s
d bo tc tng trng GDP
tng lai m khng gy sc h
thng.
- Kch bn 1: S dng cc kt
qu ca VECM m phng tc
ng khi li sut c bn tng 11%
trong Qu 2 nm 2013. C sc
ny c tnh ton bng cch ly
gi tr trung bnh ca bin li sut
c bn trong thi gian nghin cu
cng vi 2 lch chun.
- Kch bn 2: S dng cc kt
qu ca VECM m phng cc
hiu ng ca mt c sc tiu cc
ca tng trng tn dng gim
xung ch bng 2,1% trong Qu
2 nm 2013. C sc ny c
tnh ton t tng trng tn dng
trung bnh giai on nghin cu
tr i 2 lch chun.
- Kch bn 3: S dng cc kt
qu ca VECM m phng cc
hiu ng ca mt c sc tiu cc
ca tng trng GDP gim 30%
trong Qu 2 nm 2013. C sc
ny c tnh ton bng tng
trng GDP trung bnh trong giai
on nghin cu tr i 2 lch
chun.

Hot ng NH Hng Ti Hi Phc & Hon Thin

Bng 4: Kt qu m hnh v m

Bin

D_cr

D_gdp

D_lscb

_ce1
L1.

-0,4757834*
(0,097)

1,275001
(0,115)

-0,0548657
(0,527)

_ce2
L1.

-0,8818686**
(0,032)

-4,491861***
(0,000)

-0,0004548
(0,997)

LD.cr

-0,1394635
(0,621)

-2,331084***
(0,003)

-0,025174
(0,768)

L2D.cr

-0,5592344**
(0,013)

-1,916251***
(0,003)

0,0211695
(0,757)

L3D.cr

-0,1213959
(0,496)

-1,194696**
(0,018)

0,0007842
(0,988)

LD.gdp

0,606688**
(0,045)

2,592943***
(0,002)

0,0098791
(0,914)

L2D.gdp

0,5443557**
(0,017)

1,808489***
(0,005)

0,0117589
(0,865)

L3D.gdp

0,2318492
(0,103)

0,5803097
(0,149)

0,017294
(0,688)

LD.lscb

0,5498097
(0,457)

-3,889901*
(0,063)

0,1833175
(0,413)

L2D.lscb

-1,814869***
(0,001)

-2,25402
(0,146)

0,0377072
(0,821)

L3D.lscb

1,167797**
(0,033)

-2,949625*
(0,057)

-0,0859708
(0,604)

_cons

-0,0000697
(0,987)

0,0000136
(0,999 )

0,0009199
(0,476)

18

18

18

Observation
R-Squared

4.3. M hnh kinh t vi m

Phn ny phn tch nhy
ca cc khon n xu trc cc
kch bn kinh t v m. Mi quan
h gia n xu v tng trng
GDP c la chn nhm xem
xt mi quan h ca chu k kinh
doanh nn kinh t tc ng ln
cht lng cho vay v cc h
s c tnh l bn vng v c
ngha thng k mnh m nhm
mc tiu l m phng cht lng
cho vay theo cc kch bn kinh t
v m. c bit, bi nghin cu
ny s dng logarit ca t l n
xu NPLs ca mi ngn hng i
theo tin trnh AR(1) v chu nh
hng tc tng trng GDP
trong qu kh vi S tr. M
hnh c th hin nh sau:

0,9442

0,9792

0,8046

AIC

-17,15794

-17,15794

-17,15794

(2)

HQIC

-16,89876

-16,89876

-16,89876

SBIC

-15,27827

-15,27827

-15,27827

Trong ,
l vit tt
ca (logarit) t
l n xu
ca tng ngn hng i trong thi
gian t v GDPt l vit tt ca
GDP trong Qu t. V t l n xu

p-value trong ngoc kp

*** p<0,01, ** p<0,05, * p<0,1

Hnh 1: Din bin tng trng GDP di cc kch bn khc nhau

S 14 (24) - Thng 01-02/2014 PHT TRIN & HI NHP

23

Hot ng NH Hng Ti Hi Phc & Hon Thin

nm trong khong [0, 1] nn
chng ta bin i bin ph thuc
thnh dng

Tc ng di hn:

trnh

cc vn chui d liu khng

phn phi chun. M hnh cn
bao gm bin tr ca bin ph
thuc gii thch cho s dai
dng ca n xu. Cc i l nhng
tc ng c nh ca tng ngn
hng, c coi l ngu nhin v
nhiu ring ca tng ngn
hng i,t c gi nh l c lp
gia cc ngn hng v khng
tng quan trong chui d liu.
V vy, m hnh gi nh rng
tng quan t l n xu ca tng
ngn hng ring l c ngun gc
chung v iu kin kinh t v m.
ng thi, m hnh cng gi
nh rng tc ng ca iu kin
kinh t v m v cht lng cho
vay l i xng trong xu hng
tng gim ca chu k kinh t v
b qua tc ng phi tuyn tnh v
hiu ng phn hi t th trng
tn dng ln hot ng kinh t v
m. Cc h s trong phng
trnh (2) d kin l dng nhng
nh hn mt v h s c d
kin l m phn nh cht lng
tn dng xu i trong thi k suy
thoi kinh t.
Theo , tc ng ca c sc
tng trng GDP trn t l n
xu trc khi chuyn i sang
dng logarit c tnh bng cng
thc sau:
Tc ng ngn hn:

(3)

(4)
u tin, bi nghin cu s
dng phng php c lng
theo d liu bng c lng
phng trnh (2). Sau , s dng
kt qu c lng tnh ton
theo phng trnh (3) tm ra
mc tc ng c th ca tng
trng GDP ln cht lng tn
dng. Cc kt qu hi quy ph
hp vi mong i v c ngha
thng k mnh m bao gm c
trong phng php OLS gp li
(pooled OLS) v c lng theo
nhm (fixed effect). Nhn chung,
h s ca cc bin tr ca t l
n xu (NPL) l khong 0,84
phn nh s tn ti tnh dai dng
ca n xu. Tip theo, h s tng
trng GDP tr l m v c
ngha thng k nh mong i.
Kt qu c trnh by Bng
5.
S dng cc kt qu ny, bi
nghin cu ny c tnh tc ng
ca s thay i trong tc tng
trng GDP ln n xu. Chng
ta quay tr li phng trnh hi

Bng 5: Kt qu c lng d liu bng

Pooled OLS [1]

Within Groups [2]

L.Logit (NPL)

0,9168713***
(0,0434289)

0,8425786***
(0,0662001)

D.LnGDP

-0,9622535***
(0,3646571)

-0,9587635**
(0,3684347)

LD.LnGDP

-1,196764***
(0,4354076)

-1,220903***
(0,441531)

L2D.LnGDP

-0,8854442**
(0,4347497)

-0,8850943**
(0,4396382)

Observations

108

108

0,8161

0,6440

R-squared
Sai s chun trong ngoc
***p<0.01, **p<0.05, *p<0.1

24

quy (2) trong ct [2] ca Bng 5

th tng h s hi quy ca bin
tng trng GDP l -3,06. Th
vo phng trnh (3) v bng
cch s dng t l n xu trung
bnh (1,64%), chng ta thy rng
s st gim 2,9 phn trm trong
tng trng GDP (y l s st
gim trong tng trng GDP ca
Qu 2 nm 2013) s gy ra mt
s gia tng 0,14 phn trm n xu
trong ngn hn (v d, 0,0164
(1 - 0,0164) 3,06 2,9). Ngc
li, s dng phng trnh (4), s
gia tng di hn d on n xu
s l 3,7 phn trm (tc l 0,14
(1 - 0,84)), cao hn gn 1,3 ln
so vi thng 6 nm 2013.
S dng kt qu c lng
theo d liu bng, bi nghin cu
ny tin hnh m phng chui d
liu n xu ngoi mu theo bn
kch bn la chn. Kt qu
cho thy cht lng tn dng suy
gim v bt n trong nhng nm
ti nh sau (Hnh 2).
i vi kch bn c s, t l
n xu cao nht n 6,9 phn
trm trong qu III nm 2014. M
phng ngoi mu ny cho php
chng ta tham kho thm v n
xu trong hot ng tn dng
ca qu III v qu IV nm 2013
(t l n xu t 3,7 phn trm

PHT TRIN & HI NHP S 14 (24) - Thng 01- 02/2014

Hot ng NH Hng Ti Hi Phc & Hon Thin

quan n kch c v mc pht
trin ca ri ro v cht lng tn
dng cng nh ri ro h thng
ca nhng ngi i vay. M hnh
Creditrisk+ l m hnh thng k
cho ri ro v n m khng t ra
gi nh v nguyn nhn v n.
Phng php ny ging nh
qun l ri ro th trng, nhng
li khng gii thch nguyn
nhn gy ra bin ng. M hnh
Creditrisk+ xem xt t l v n
nh l nhng bin ngu nhin
lin tc v kt hp vi lch
Bng 6. Tm tt thng k ca NPL c m phng qua cc kch bn
chun ca t l v n theo di
s bin ng ca t l v n.
Kch bn c s
Kch bn 1
Kch bn 2
Kch bn 3
Kt qu u ra ca m hnh
Mean
0.0283014
0.0262672
0.0262309
0.0426304
Creditrisk+
c th c s dng
Minimum
0
0
0
0
quyt nh mc yu cu
Maximum
0.1145709
0.1326405
0.0957732
0.1603466
vn phng cho trng hp ri ro
Std. Dev
0.037178
0.0418483
0.0314371
0.0619606
tn tht v n khng mong i.
Skewness
1.170757
1.636051
1.063665
1.101229
o lng s khng chc chn
Kurtosis
3.289565
4.5481
3.067778
2.722003
hoc bin ng ca tn tht v
Bng 6: Kt qu chy Creditrisk+ xc nh xc xut v n
kh nng c th xy ra mt
mt khng mong i trong
Outputs - Risk Contributions, Percentiles and loss distribution
danh mc tn dng c ri ro
Credit
l nn tng cho vic qun
Expected
Risk
Loss
tr ri ro tn dng c hiu
Name
Loss
Contribution
Percentile
Amount
qu. Yu cu cc bin u
1
17.497.167.302.512
265.080.247.838.281
Mean
47.522.665.108.164
vo bao gm: tng d n
2
3.193.191.571.754
36.020.622.676.163
50,00
0
ca cc ngn hng trong
3
10.548.812.303.178
191.749.012.986.455
75,00
0
mu, t l v n c xc
4
3.083.121.467.717
31.743.776.045.898
95,00
326.876.990.361.916
nh da trn t l n xu
5
3.574.144.581.985
35.737.761.853.536
98,00
450.921.967.412.265
ca cc ngn hng ny v
6
1.147.078.997.583
10.529.379.234.557
99,00
656.033.711.740.448
bin ng ca t l n
7
5.864.191.344.999
56.472.608.229.570
99,50
810.980.918.841.181
xu c xc nh da trn
lch chun ca t l n
8
2.614.957.538.435
28.700.302.875.990
99,75
975.476.076.268.818
xu trong trng hp xu
99,90
1.199.240.594.029.730
nht xy ra ca kch bn
th ba. Chng ta c kt qu u
trong thng 9 nm 2013). N xu thng k cho ton b chui d
ra nh Bng 7.
c m phng trong kch bn liu t l n xu trong v ngoi
Theo kt qu trn th gi tr
xu nht l cao hn so vi ng mu.
tn dng c ri ro (Credit VaR)
c s nhng n bin ng tng 4.4 c tnh gi tr tn tht bng
cho tm ngn hng thng mi
t kch bn c bn. S suy thoi m hnh CreditRisk+
trong mu vo khong 656 ngn
nghim trng nht trong cht
Creditrisk+ c da trn
t ng chim 65 phn trm tng
lng tn dng c m t kch phng php m phng danh
d n ca cc ngn hng ny. Vi
bn 3, vi t l n xu t ti a mc m hnh ha ri ro v n
tin cy 99%, khon tn tht ti
l 16 phn trm. Bng 6 tm tt nhm gii thch cc thng tin lin
Hnh 2: T l n xu c m phng qua cc kch bn

S 14 (24) - Thng 01-02/2014 PHT TRIN & HI NHP

25

Hot ng NH Hng Ti Hi Phc & Hon Thin

a trong 99% trng hp khng
vt qu 656 ngn t ng. Theo
khon thit hi ny chim
khong 37,5 phn trm trn tng
ti sn ca cc ngn hng ny.
Tuy nhin, ngun vn ch s hu
b p khon tn tht ny ch
mc 159 ngn t ng v d
phng cho vay khong 18 ngn
t ng. V th d tr vn ca
nhng ngn hng ny l cha
hp th cc tn tht tn dng
di cc kch bn c xem xt.
iu ny c th gy e da n
s n nh ti chnh ca ton h
thng. Kt qu cho thy rng
cc ngn hng thng mi ca
chng ta cha c s chun b tt
i mt vi nhng tn tht tn
dng di nhng kch bn v m
khc nghit c xem xt. Khi
ngun vn ch s hu ca ngn
hng khng b p thit hi
tn dng th li ch ca cc khch
hng gi tit kim c th b tn
hi nu trng hp xu xy ra v
nh vy c th dn n s bt n
cho ton h thng ti chnh.
5. Kt lun

Cc c lng c trnh
by trong bi nghin cu ny
chng minh s tn ti ca mi
quan h ngc chiu gia tng
trng GDP v t l n xu NPL.
M hnh c trnh by trong
bi nghin cu ny c nhng
ci tin ng gp cho lnh vc
o lng ri ro tn dng nhng
n vn cn nhiu im hn ch.
Th nht, m hnh ny c thc
hin vi gi nh mi quan h
tuyn tnh gia cht lng n v
iu kin kinh t v m v c th
chng c mi quan h phi tuyn
trong sut khong thi gian iu
kin kinh t v m kh khn v
khc nghit. Th hai, m hnh
gi nh mi tng quan lch s

26

gia cht lng n v iu kin

kinh t v m l i xng khi chu
k kinh t tng ln hoc gim
xung v vn hp l trong thi k
nn kinh t khc nghit. Th ba,
m hnh khng bao hm cc tc
ng phn hi gia cht lng
tn dng v tng trng kinh t v
n khng hon ton kt hp mu
hnh kinh t vi m v v m. c
bit, mu hnh kinh t v m cho
php khi lng tn dng thay
i theo thi gian, trong khi mu
hnh kinh t vi m th gi nh
rng cc ngn hng ring l duy
tr mt danh mc tn dng khng
i. M rng hn, cht lng tn
dng c khuynh hng lm gim
gi tr trong khong thi gian
tng trng tn dng thp, m
hnh trnh by trong bi nghin
cu ny c th nh gi thp
mc tn tht tn dng tim nng.
Tt c nhng hn ch ny c th
lm sai lch kt qu trong cng
mt xu hng trong sut thi
gian kh khn v ti chnh gy ra
nhng nh gi thp v tn tht
tn dng ngn hng. V th, cn
c nhng nghin cu tip theo
gii quyt nhng thiu st nyl
TI LIU THAM KHO
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A survey of authorities aproaches,
International Journal of Central
Banking, 5 (3):945, September 2009.
Boss, M. (2002), A Macroeconomic Credit
Risk Model for Stress Testing the
Austrian Credit Portfolio, Financial
Stability Report 4, Oesterreichische
Nationalbank.
CSFP (1997), Credit risk: A credit risk
management framework, Technical
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Drehmann, M. (2005), A Market Based
Macro Stress Test For The Corporate
Credit Exposures Of Uk Banks, Bank
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and Marcos Souto (2010), A Macro

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