TP CH KHOA HC V CNG NGH, I HC NNG - S 2(43).

2011

PHN TCH RI RO TN DNG DOANH NGHIP BNG M HNH LOGISTIC

CREDIT RISK ANALYSIS A LOGISTIC MODEL APPROACH Hong Tng
Trng i hc Kinh t, i hc Nng

TM TT Doanh nghip gp ri ro hot ng l hin tng kinh t khch quan trong kinh t th trng, hu qu ca n l s xung t li ch ca cc ch th khc nhau tham gia vo cc quan h kinh t. Bn cnh ri ro s dn n doanh nghip mt kh nng thanh ton, gy nn xung t li ch ca nh u t, ngi lao ng v nh hng n pht trin kinh t x hi. Ri ro tn dng xut hin khi doanh nghip khng c kh nng thanh ton cc khon n n hn. Nhn bit nhng du hiu ny l cn thit cho cng tc qun tr ri ro trong doanh nghip ng thi cung cp thng tin cnh bo i vi cc nh u t v ch n. c nhiu m hnh nghin cu v vn ny c nh tnh v nh lng. Tuy nhin cha c m hnh thc nghim cho cc doanh nghip Vit Nam. Bi vit trnh by phng php phn tch ri ro tn dng trn c s tip cn m hnh Logistic. T s liu thc t ca cc ch tiu ti chnh, tc gi kim chng v d bo ri ro tn dng cho mt s cng ty nim yt trn th trng chng khon Vit Nam. ABSTRACT Operational risk is an objective economic phenomenon in the market economy. It is the result of interest conflicts of different stakeholders involved in economic relations. Besides, a risk may lead to business loss of liquidity, causing interest conflicts between investors and employees and affecting social and economic developments. Credit risk occurs when businesses can not afford to pay debts. Recognizing these signs is a necessity for any risk control in enterprises and a way for warning investors and creditors of a risk. There have been both qualitative and quantitative research models on this issue; however, no experimental model has been applied for enterprises in Vietnam. The article presents a method to analyze credit risk based on a logistic model approach. Based on the actual data of financial criteria, the author tested and predicted credit risk for a number of companies listed on the stock market in Vietnam.

1. M hnh hi qui logistic M hnh hi qui Logistic nghin cu s ph thuc ca 1 bin nh phn vo cc bin c lp khc. Mc ch ca m hnh ny s dng cc nhn t c nh hng n DN (bin c lp) xc nh kh nng nhng DN ny s c ri ro tn dng (bin ph thuc) l bao nhiu. Ngha l, m hnh Logistic c th c lng xc sut mc nh mt DN c ri ro l bao nhiu trc tip t mu. Cu trc d liu trong m hnh nh sau:
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TP CH KHOA HC V CNG NGH, I HC NNG - S 2(43).2011

Bin Ph thuc c lp

Loi Nh phn Lin tc hoc ri rc

Gi s bin gi Y ph thuc vo ch s kh dng Y*. Trong : Y*=1+2X2i+...+kXki +i V Y(x) l bin nh phn c th c gii thch nh sau: 0 nu khng tr c n (c ri ro tn dng) Yi = 1 nu tr tr c n (khng c ri ro tn dng) Trong Pi=P(Yi=1/Xi), khi Yi l bin ngu nhin phn phi theo qui lut Bernoulli, c ngha l: fi(Yi)=PiYi(1-Pi)1-Yi, trong Yi=0,1,...,n. Khi , k vng ton v phng sai c tnh nh sau: E(Yi)=niPi, Var (Yi)=niPi(1-Pi). V Yi l bin ngu nhin phn phi theo qui lut Bernoulli nn c th vit li nh sau:
P PYi (1 pi )1 y i = (1 pi ). exp(Yi . log( i )) 1 Pi

T l chnh lch: odds=Pi/(1-Pi) Pi=P(Yi=1) Pi=P(Yi*>0) Pi=P(1+2X2i+...+kXki +i>0)

Pi = P ( < ( i + j X ji ))
j =2

M rng hn na chng ta c th vit nh sau: Log[Pi/(1-Pi)]=1+2X2i+...+kXki Pi/(1-Pi)=Exp(1+2X2i+...+kXki ) P(Yi=1)=Pi= Exp(1+2X2i+...+kXki ) 1+Exp(1+2X2i+...+kXki )

Trong m hnh trn Pi khng phi l hm tuyn tnh ca cc bin c lp. Phng trnh c gi l hm phn b Logistic.Trong hm ny khi Xi nhn cc gi tr t - n + th Pi nhn gi tr t 0-1. Nu k hiu: 1 X1 2 X2 = 3 X= X3 . . . . k
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Xk

TP CH KHOA HC V CNG NGH, I HC NNG - S 2(43).2011

Khi chng ta c X=1+2X2i+...+kXki v E (Y ) = exp( ' x) 1 = 1 + exp( ' x) 1 + exp( ' x)

c lng c th s dng cc phn mm nh SPSS, Eviews

2. Thit k m hnh phn tch ri ro tn dng doanh nghip 2.1. Thit k nghin cu

Cn c vo du hiu nhn bit ri ro tn dng theo tiu chun Basel II(1) th mt DN c ri ro tn dng khi xut hin t nht mt trong cc du hiu sau: a) Khng c kh nng thc hin ngha v tn dng vi cc i tc b) Vn lu ng rng <0 c) Gi tr th trng ca DN < Tng n phi tr Vic o lng cc s c trn c th s dng thng qua cc ch tiu: Du hiu a b c Ch tiu N qu hn Vn lu ng rng Gi tr th trng ca DN Cch tnh C n qu hn Tng TS ngn hn -Tng n ngn hn Tng c phiu x Gi th trng 1 c phiu

Trn c s l thuyt v cc nghin cu v ri ro ph sn, t 30 bin ti chnh ban u bng phng php loi tr dn, tc gi chn ra 7 bin c lp biu hin nhng c trng ti chnh c bn ca DN. Nhm Ch tiu T sut n Cu trc vn n by n u t Hot ng Hiu qu Cch tnh N phi tr/Tng TS N phi tr/VCSH K hiu Ts_No DBN Ts_TSNH Hs Ts_LNDT ROA ROE Gi thit(2) +/+ + + +

T sut TS ngn TSNH/Tng TS hn S vng quay TS T sut LN/DT Doanh thu/Tng TS Li nhun/Doanh thu

T sut sinh li Li nhun/Tng TS TS T sut sinh li Li nhun/Vn CSH VCSH

(+/-: tc ng cng chiu/ngc chiu n kh nng tr n)

(1) Basel II l h thng cc tiu chun c thit lp nhm qun l ri ro tn dng do u ban Basel v gim st ngn hng ban hnh. U ban Basel bao gm i din ngn hng trung ng ca 20 nn kinh t ln (G20). (2) Nu xem xt nh hng n ri ro tn dng th tc ng ca cc bin trn s c chiu ngc li. 195

TP CH KHOA HC V CNG NGH, I HC NNG - S 2(43).2011

Mu nghin cu gm 463 cng ty ang nim yt trn TTCK Vit Nam. Mu ny c chia thnh 2 nhm: nhm 1 gm cc cng ty c ri ro tn dng (93 cng ty) v nhm 2 gm cc cng ty khng c ri ro tn dng (370 cng ty). 7 ch tiu (bin c lp) c tnh ton t BCTC nm 2009 ca cc Cng ty.
2.2. Kt qu nghin cu: s dng phn mm SPSS
Bng 1. Omnibus Tests of Model Coefficients

Chi-square Step 1 Step Block Model 45.313 45.313 45.313

Bng 2. Model Summary

df 7 7 7

Sig. .000 .000 .000

Step 1

-2 Log likelihood 19.166(a)

Cox & Snell R Square .526

Nagelkerke R Square .830

Bng 3. Classification Table(a)

Observed Probability 0 Step 1 Probability 0 1 Overall Percentage

Bng 4. Variables in the Equation

Predicted Percentage Correct 1 2 366 97.8 98.9 98.7

91 4

B Step 1(a) Hs Ts_TSNH Ts_No DBN Ts_LNDT ROA ROE Constant

196

S.E. .414 1.129 3.078 .431 3.566 2.318 3.060 1.270

Wald .032 4.741 3.781 12.879 .077 16.349 16.706 .348

df 1 1 1 1 1 1 1 1

Sig. .018 .029 .002 .000 .011 .000 .000 .035

-.074 2.458 5.985 -2.060 .992 145.363 -26.151 -.749

TP CH KHOA HC V CNG NGH, I HC NNG - S 2(43).2011

2.2.1 Gii thch kt qu - Bng 1 cho kt qu kim nh gi thuyt v ph hp tng qut c mc ngha quan st l sig.=0.000 nn c th bc b gi thuyt H0. - Bng 2 cho thy gi tr -2 Log likelihood=19.166 khng cao lm nn m hnh tng th c ph hp kh tt. - Mc chnh xc ca d bo th hin qua bng 3: trong 93 trng hp c ri ro, m hnh d on ng 91 trng hp (97.8%); trong 370 trng hp khng c ri ro m hnh d on ng 366 trng hp (98.9%). T l d on ng ca ton b mu l 98.7%. - Bng 4 cho thy mc ngha sig. ca cc h s hi qui u nh hn 5%, nh vy cc h s hi qui u c ngha v m hnh c th s dng d bo ri ro. T cc h s (B) ta c th xc nh m hnh hi qui Logistic nh sau : LOG(Odds) = -0.749 + 0.074Hs + 2.458Ts_TSNH - 5.985Ts_No 2.060DBN + 0.992Ts_LNDT + 145.363ROA + 26.151ROE hoc: Odds=[P(Y=1)/P(Y=0)]=eZ (3) Trong : Z=-0.749 + 0.074Hs + 2.458Ts_TSNH - 5.985Ts_No 2.060DBN + 0.992Ts_LNDT + 145.363ROA + 26.151ROE Nu Odds<0.5 th DN khng c kh nng tr n (c ri ro), nu Odds>0.5 th DN c kh nng tr n (khng c ri ro). Bng xp hng ri ro tn dng theo kh nng tr n (Odds) nh sau : Odds 0.9-1 0.8-0.9 0.7-0.8 0.6-0.7 0.5-0.6 0.4-0.5 0.3-0.4 0.2-0.3 0.1-0.2 0-0.1 Hng tn dng AAA AA A BBB BB B CCC CC C D

Trn c s hm hi qui Logistic c th d on ri ro tn dng ca cc DN da trn c s cc ch tiu ti chnh. Kt qu d on cho mt s cng ty nim yt nh sau:

(3) Odds l xc sut tr c n so vi xc sut khng tr c n 197

TP CH KHOA HC V CNG NGH, I HC NNG - S 2(43).2011

TT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36
198

M CK ABT ACL AGF ALP ALT ANV ASP BBC BBS BBT BCC BHS BHV BMC BMP BPC BT6 BTC BTH BTS C92 CAN CAP CDC CIC CID CII CJC CLC CMC COM CTB CTN CYC DAC DAE

Odds 0.99 1 0.09 1 1 1 0.44 0.93 1 0.75 0.86 0.96 0.84 1 1 1 0.74 0.15 0.99 0.77 0.11 0.99 0.35 0.69 0.23 0.15 0.83 0.05 0.92 0.99 0.99 0.96 0.33 0.58 0.99 0.77

Hng tn dng AAA AAA D AAA AAA AAA B AAA AAA A AA AAA AA AAA AAA AAA A C AAA A C AAA CCC BBB CC C AA D AAA AAA AAA AAA CCC BB AAA A

TT 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76

M CK DHG DHI DIC DMC DNP DPC DPM DPR DQC DRC DST DTC DTT DXP EBS FBT FMC FPC FPT GHA GIL GMC GMD GTA HAI HAP HAS HAX HBC HBD HBE HCC HCT HDC HEV HHC

Odds 1 1 0.52 1 0.39 0.95 1 0.99 0.94 0.89 0.99 0.31 0.99 0.99 0.86 0.25 0.79 1 0.91 1 1 0.97 0.99 0.94 0.96 0.99 0.82 0.54 0.81 0.98 0.99 1 1 0.46 1 0.93

Hng tn dng AAA AAA BB AAA CCC AAA AAA AAA AAA AA AAA CCC AAA AAA AA CC A AAA AAA AAA AAA AAA AAA AAA AAA AAA AA BB AA AAA AAA AAA AAA B AAA AAA

TP CH KHOA HC V CNG NGH, I HC NNG - S 2(43).2011

37 38 39 40

DBC DCS DCT DHA

0.16 0.93 1 1

C AAA AAA AAA

77 78 79 80

HJS HLY HMC HNM

0.17 0.53 0.81 0.97

C BB AA AAA

3. Kt lun

Logistic l mt m hnh thng k c s dng ph bin trong phn tch ri ro tn dng. Bng vic vn dng m hnh ny tc gi xy dng mt hm s d bo ri ro tn dng cho cc doanh nghip trn c s cc ch tiu ti chnh. ng thi m hnh cng gip cho vic xc nh hng tn dng ca cc doanh nghip. y l ch dn cn thit cho cng tc qun l v gim st tn dng vay n, cung cp thng tin hu ch cho cc i tng c lin quan trong qu trnh ra quyt nh./.
TI LIU THAM KHO

[1] Altman, E. I. 1968, Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, The Journal of Finance 23: 589-609. [2] Altman, E. I.and Saunders A. M. 1998, Credit Risk Measurement: Development over the Last 20 Years, Journal of Banking and Finance 21: 1721-1742. [3] Altman, E.I., Haldeman R. G., and Narayanan P. 1977, ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations, Journal of Banking and Finance 1: 29-54. [4] Beaver, W. H. 1966. Financial Ratios as Predictors of Failure. Journal of Accounting Research 4: 71-111 [5] Black, F. and Sholes M. 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81: 637-659. [6] Charitou, A and Trigeogis, L. 2002, Option-Based Bankruptcy Predicion, Working paper, University of Cypus. [7] Hillegeist, S.A., Keeting, E. K., Cram, D.P. and Lundstedt, K.G. 2002, Assessing the Probability of Bankruptcy, Working Paper, Northwestern University. [8] Merton, R.C. 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 29: 449-470. [9] Ohlson, J. 1980, Financial Ratios and the Probabilistic Prediction of Bankruptcy, Journal of Accounting Research 19: 109-301. [10] Zmijewski, M.E.1984, Methodological Issues Related to the Estimation of Financial Distress Prediction Models, Journal of Accounting Research 22: 59-86.

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