8/18/2012

Khi nim ri ro thanh khon

CHNG 6 Du hiu v nguyn nhn ri ro thanh

khon

Phng php o lng ri ro thanh khon

Qun l ri ro thanh khon

Ging vin: Ths Nguyn Tin Trung

1. KHI NIM THANH KHON 1. KHI NIM THANH KHON

Digc ti sn: Thanh khon l kh nng
chuyn i thnh tin ca ti sn.
sn c xem l c tnh thanh khon khi
Ti
p ng cc tiu ch sau:
C sn s lng mua hoc bn (At the right amount)
C sn th trng giao dch (At the right location)
C sn thi gian giao dch (At the right time)
Gi c hp l (At the right price)
Ti sn c tnh thanh khon cao?
Ti sn c tnh thanh khon thp?
Ging vin: Ths Nguyn Tin Trung
Gc ngn hng: Thanh khon l kh
nng ngn hng p ng kp thi cc
ngha v ti chnh pht sinh trong qu
trnh hot ng kinh doanh.
Kh nng v yu cu v thanh khon th
hin trong ngun cung v cu thanh
khon
V d: Chi tr tin gi, thanh ton
Ging vin: Ths Nguyn Tin Trung

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2. CUNG, CU THANH KHON 3. TRNG THI THANH KHON RNG

CUNG THANH KHON CU THANH KHON Trng thi thanh khon rng (Net Liquidity
(Lung tin vo) (Lung tin ra)
Position) : cn gi l khe h thanh khon, l
L s tin c sn hoc c L s tin ngn hng cn chi
th c trong thi gian ngn tr ngay lp tc hay trong chnh lch tng cung v tng cu ti mt thi
ngn hng s dng thi gian ngn
im
Thu nhn tin gi Chi tr tin gi cho khch
Cc khon tn dng hon hng
tr Cp tn dng cho khch Trng thi cung cu
Bn cc TS ca NH hng thanh thanh thanh
Vay t th trng tin t Hon tr cc khon i vay
khon rng khon khon
Cc khon phi thu khc Chi ph nghip v v thu
Chi tr c tc

Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

3. TRNG THI THANH KHON RNG
Ngn hng s thng d thanh khon khi:
Cung thanh khon > Cu thanh khon => NLP > 0
=> ngn hng nn xc nh pp u t hiu qu khon
thng d ny
Ngn hng s thm ht thanh khon khi:
Cung thanh khon < Cu thanh khon => NLP < 0
=> ngn hng nn xc nh b sung thanh khon t
ngun no, u, chi ph th no?
Ging vin: Ths Nguyn Tin Trung
3. TRNG THI THANH KHON RNG
Ngn hng c 03 ngun cung thanh khon
c bn:
Ti sn coi nh tin: Tri phiu, tn phiu kho
bc c th chuyn ha thnh tin ngay lp tc
vi ri ro gi c v chi ph giao dch thp
Nng lc i vay ti a
Tin d tr vt mc: bt c khon tin no
nm ti qu v ti ngn hng NN vt qu mc
d tr bt buc
Ging vin: Ths Nguyn Tin Trung

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4. RI RO THANH KHON (RRTK) 5. S CN THIT PHI QUN L THANH KHON

Riro thanh khon l kh nng ngn 1. NH phi chu s nh i gia thanh
khon v kh nng sinh li
hng khng p ng c cc ngha v ti - Thng d TK: khng c li
- Thm ht TK: RRTK S
chnh mt cch tc thi hoc phi huy cn
ng vn b sung vi chi ph cao hoc 2. RRTK lm: thit
+ Chuyn ha TS vi chi ph cao
phi bn ti sn vi gi thp. phi
+ Tr tr hot ng -> gim thu nhp
+ Kh tip cn vn th trng tin t qun
Riro thanh khon xy ra khin cho ngn
vay ls cao, b t chi tr
hng phi nh tr hot ng, gy thua l, + Mt uy tn vi khch hng RRTK
+ Mt kh nng thanh ton
mt uy tn, nu nghim trng c th dn
n ph sn 3. RRTK lm NH mt kh nng
thanh ton, mt n nh h thng NH
Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

6. DU HIU NHN BIT RI RO THANH KHON 7. NGUYN NHN RRTK

Mt lng tin ca cng chng S khng cn xng v k
hn ca TSC v TSN ca
Du
NHTM
S bin ng gi c phiu NH, th gi gim hiu

Li sut huy ng cao hn ls th trng th NGUYN

trng NHN
NH chu l khi bn ti sn p ng TK
nhn

Kh nng p ng nhu cu vay vn of KH gim bit Ngn hng lun phi

p ng nhu cu thanh S nhy cm ca ti sn
RRTK khon mt cch hon ti chnh vi nhng
Phi vay vn t NHTW vi khi lng ln ho thay i li sut
Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

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7. NGUYN NHN RRTK

Nguyn nhn bn TS Nguyn nhn bn TS
C N

NH phi thc hin

Ngi gi rt tin
cam kt cho vay
ngay
trc y
NH phi bn TS NH phi i vay b
p ng nhu cu sung

Ging vin: Ths Nguyn Tin Trung

1. PHNG PHP CUNG CU THANH KHON 1. PHNG PHP CUNG CU THANH KHON
Cung thanh khon St Cu thanh khon Dt
Phng php: 1. Tin gi b sung ca 1. Khch hng rt tin
Xc nh nhng nhu cu chi tr ti thi im nht khch hng
2. Khch hng hon tr tn 2. Nhu cu tn dng ca
nh (t), gi l cu thanh khon Dt
dng khch hng
Xc nh nhng ngun thu thanh khon ti thi 3. i vay th trng tin t 3. Hon tr n vay
im nht nh (t), gi l cung thanh khon St 4. Thu nhp t cung ng 4. Chi ph hot ng & Thu
dch v
Xc inh trng thi thanh khon rng ti thi 5. Thu nhp t bn ti sn 5 Thanh ton c tc
im t
La chn phng n phng nga ri ro

Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

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1. PHNG PHP CUNG CU THANH KHON 1. PHNG PHP CUNG CU THANH KHON

Phng n phng nga Phng n phng nga

Nhu cu thanh khon ngn hn: V d:
Khch hng c s d tin gi ln c k hoch
rt tin ch khng tip tc gi tun hon
Tri phiu do NH pht hnh n hn phi thanh
ton
NH phi c phng n tng ngun vn c th
bng cch i vay b sung trn th trng tin t
Ging vin: Ths Nguyn Tin Trung
Nhu cu thanh khon trong di hn: Cc nhu cu c
tnh thi v, xu hng, v d:
Khch hng rt tin nhiu vo ma h, dp tt, tu
trng
NH phi c k hoch tng ngun vn kh thi
trong di hn nh pht hnh tri phiu, tn phiu,
mua cc hp ng phi sinh
NH lun phi nh i gia thanh khon v kh
nng sinh li, v vy ngn hng d tr cng nhiu TS
c tnh lng cao p ng nhu cu thanh khon th
kh nng sinh li cng thp.
Ging vin: Ths Nguyn Tin Trung

2. PHNG PHP KHE H TI TR 2. PHNG PHP KHE H TI TR

Khe h ti tr l s chnh lch v s d
trung bnh ca cho vay v huy ng vn
Ti sn c Tin vay b
Khe h ti
thanh sung (Nhu
D n tn S d tin tr
Khe h ti khon cu ti tr)
dng trung gi trung
tr
bnh bnh

Nu khe h ti tr l dng, th ngn hng phi ti

tr phn tn dng ph tri bng cch gim s d
tin mt d tr v cc ti sn thanh khon hoc
phi i vay trn th trng tin t
Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

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THC TRNG QUN TR RRTK TI VN Bi tp tnh hung

nh gi chung v qun tr ri ro thanh khon ti cc NHTM Vit Nam.

T chc qun tr ri ro thanh khon:
1. Mc ri ro thanh khon khc bit nh
Cc NHTM hin nay a s cha c phng qun tr ri ro thanh khon
chnh thc nh theo yu cu ti Khon 1 iu 11 ca Quyt nh 457 ca th no gia cc t chc ti chnh: Ngn hng,
NHNN ra. Cha thit lp h thng cnh bo sm v tnh trng thiu ht tm Cng ty bo him?
thi kh nng chi tr v cc gii php x l ti u, c th lm cho h thng
NHTM Vit nam gp kh khn v thanh ton hng ngy hoc t xut v ri
ro thanh khon d dng xy ra bt c lc no trong iu kin ca Vit nam . 2. Ngn hng c th s dng hai phng php

Phng php o lng:

no x l vn tin gi rt ra nhiu hn so
Hin nay, h thng NHTM Vit nam thc hin qun tr ri ro vi tin gi vo? u nhc im ca tng
thanh khon thng nht theo chun mc chung theo phng php ch s l c
bn. Tuy nhin, cc NHTM Vit nam cn nghin cu trin khai cc phng phng php?
php o lng m bo d bo chnh xc hn nhu cu v thanh khon ca
ngn hng c bin php qun tr ph hp

Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

Bi tp tnh hung Bi tp tnh hung

3. Mt ngn hng c bng cn i k ton di y, thay 4. Mt ngn hng c $10 triu T-Bills, $5 triu hn mc tn
i d tnh i vi tin gi l -15. (Tc l chnh lch gia dng c trn th trng, $5 triu d tr th cp. Cc khon
tin gi rt ra v gi vo l 15). vay ca ngn hng ny vi cc ngn hng khc l $6 triu v
Ti sn Ngun vn vay ngn hng trung ng l $2 triu n hn thanh ton.
Tin mt $10 Tin gi $68
D n cho vay $50 Vn ch s hu $7 a. Xc nh cung thanh khon?
Chng khon $15 b. Xc nh cu thanh khon?
Tng ti sn $75 Tng ngun vn $75 c. Xc nh trng thi thanh khon rng ca ngn
Hy ch ra s thay i trong bng cn i k ton nu trong hng?
cc trng hp: d. Nhn xt v ri ro thanh khon ca ngn hng?
a. NH s dng chin lc mua thanh khon x l
tnh hung trn?
b. NH s dng chin lc tch tr thanh khon x
l tnh hung trn?

Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

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Bi tp tnh hung Cc yu cu v vn
5. Tng ti sn ca mt ngn hng l $10 triu bao gm, $1 Cc ngun vn t c: Cc nhm
tin mt v $9 u t vo chng khon. Trong tng ngun Cc ngun vn t c
vn, tin gi l $6 triu, tin vay l $2 triu v vn ch s
hu l $2 triu. Mc li sut d tnh tng ln lm chnh lch
gia tin rt ra v gi vo l $2 triu trong nm.
a. Nu li sut tin gi bnh qun l 6%/nm v li sut Vn yu cu
giy t c gi l 8%/nm. Gi s ngn hng bn chng khon
Cc khon khu tr (v d:
gii quyt tnh hung trn th s nh hng nh th no cho vay cc bn c lin quan
n thu nhp li rng v quy m ti sn ca ngn hng? Vn c bn Vn b sung
b. Nu ngn hng i vay ngn hn vi li sut 7.5% cp I" cp II" cp III"
gii quyt tnh hung trn th s nh hng nh th no n
cht lng gim dn
thu nhp li rng ca ngn hng v quy m ti sn ca ngn
hng? Vn ti thiu (hot ng lin tc)
Vn ban u (cp php)

Ging vin: Ths Nguyn Tin Trung Ging vin: Ths Nguyn Tin Trung

Ging vin: Ths Nguyn Tin Trung

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