GVHD: PGS.

V Th Minh Hng

B GIO DC V O TO TRNG I HC KINH T TP. H CH MINH

VIN QUN L O TO SAU I HC

TIU LUN

ti:
TM HIU V BASEL - THC TRNG GIM ST NGN HNG THEO BASEL II TI VIT NAM
Ging vin hng dn Nhm thc hin Lin Khnh Chu Hunh Vn Lp on Ngc Thy Linh Nguyn Hunh Tn Li Phm Thnh Long Lp Cao hc m 5 : PGS. V Th Minh Hng

Tp. H Ch Minh, thng 1 nm 2012

GVHD: PGS. V Th Minh Hng

PHN M U
1. Tnh cp thit ca ti. 1.1. L do chn ti Nn kinh t Vit Nam ang trong giai on hi nhp v c nhng bc pht trin n tng ngy cng khng nh v tr ca nc ta trn trng quc t. Trong h thng ngn hng c xem nh l huyt mch ca nn kinh t, c nh hng su rng n mi mt ca i sng, mi thnh phn kinh t, c vai tr quyt nh n s n nh v pht trin ca mt quc gia. Vic Vit Nam chnh thc tr thnh thnh vin th 150 ca WTO vo ngy 07/11/2006 cho n nay ngoi nhng thay i v c ch chnh sch to hnh lang php l cho vic hi nhp, th vic thc hin l trnh cam kt v m ca th trng ti chnh, hot ng ngn hng Vit Nam c nhng chuyn bin su sc v cht v lng : s lng chi nhnh, quy m vn, cc giao dch lin kt chng khon - ngn hng - bo him, cc giao dch quc t ngy cng tng. Bn cnh tc ng tch cc l em li nhng c hi pht trin, n cng cha ng nhiu ri ro, thch thc i vi cc ngn hng v nng cao nng lc ti chnh, hiu qu hat ng, li th hot ng, qun tr ri ro ng thi cng i hi cc c quan gim st ngn hng phi pht huy tt hn na vai tr ca mnh m bo nn kinh t c h thng ngn hng hat ng lnh, hiu qu theo c ch th trng ngy cng vn xa ra tm quc t nhng vn tun th tt chin lc, chnh sch iu hnh ca ng v Chnh ph . Chnh v l do , vic tm hiu v xy dng nn nhng chun mc hat ng ca h thng ngn hng ph hp vi yu cu thc t ti Vit Nam v m bo sc cnh tranh trn trng quc t l nhu cu ht sc cp thit cn c s u t nghin cu nghim tc v k lng. Nhm chn ti Tm hiu v Basel v Thc trng gim st ngn hng theo Basel II ti Vit Nam nhm cung cp nhng kin thc c bn v Hip c vn Basel m t mi ngn hng v c quan thanh tra gim st ngn hng ca Ngn hng Nh nc(NHNN) phi c ci nhn tng quan xy dng h thng cc chun mc an ton trong hot ng, qun tr, gim st ca mnh theo yu cu ca y ban Basel ng thi ti cng nu ra thc trng p dng cc chun mc trn cho tnh hnh c th ti Vit Nam.

GVHD: PGS. V Th Minh Hng

1.2. Vn nghin cu Hip c vn Basel ra i v c mt b dy hot ng hn 20 nm qua, vic nghin cu tt c nhng thng tin chi tit lin quan n Basel l iu khng th hon thnh c mc ca mt ti mn hc, do nhm xc nh trng tm nghin cu xoay quanh nhng vn sau : Gii thiu tng quan v y ban Basel Tm hiu ni dung Hip c Basel I Tm hiu ni dung Hip c Basel II Tm hiu ni dung Hip c Basel III Thc trng tun th gim st ngn hng theo chun mc ca Basel II ti Vit Nam 2. Phng php nghin cu - Thu thp ti liu, phn tch nhng nhn nh, nh gi ca cc chuyn gia v ni dung t cc bi bo, cng trnh nghin cu c cng b. - Thng k, tp hp cc vn bn quy nh php lut ca Chnh ph, NHNN Vit Nam xung quanh cc ni dng m ti hng ti. 3. Tnh hnh nghin cu n nay, c rt nhiu ti trn th gii cng nh Vit Nam nghin cu v cc Hip c vn Basel cng thc trng p dng thc t ti Vit Nam, nhng thun li v trin vng, thch thc v kh khn trong vic p dng nhng chun mc ca y ban Basel cho nn kinh t non tr nh Vit Nam. Do , vi vic tm hiu nghin cu nhng ni dng, nhn nh nh gi t cc phng tin thng tin, t cc cng trnh nghin cu, vi nhng g m ti hng n nhm c th tng hp thng k cung cp cho ngi c ci nhn tng qut c bit l thc trng p dng ti Vit Nam m nhm cng nh mi ngi ang rt quan tm. 4. Kt cu ca ti. Chng 1: C s l lun ca h thng chun mc nh gi hot ng ngn hng an ton theo Hip c Basel Chng 2: Thc trng gim st ngn hng theo Basel II ti Vit Nam Chng 3: Mt s cc nhn nh v bi hc kinh nghim ti Vit Nam

GVHD: PGS. V Th Minh Hng

Chng 1: C s l lun ca h thng chun mc nh gi hot ng ngn hng an ton theo Hip c Basel
1. Vi nt v y ban Basel. - Lch s hnh thnh : U ban Basel v gim st ngn hng (Basel Committee on Banking supervision BCBS) c thnh lp vo nm 1974 bi mt nhm cc Ngn hng Trung ng v c quan gim st ca 10 nc pht trin (G10) ti thnh ph Basel, Thy S nhm tm cch ngn chn s sp hng lot ca cc ngn hng vo thp k 80. Hin nay, cc thnh vin ca y ban gm i din ngn hng trung ng hay c quan gim st hot ng ngn hng ca cc nc: Anh, B, Canada, c, H Lan, Hoa K, Luxembourg, Nht, Php, Ty Ban Nha, Thy in, Thy S v . y ban c nhm hp 4 ln trong mt nm. - T chc hot ng : Hi ng th k ca y ban Basel c xut bi Ngn hng Thanh ton Quc t Basel, gm 15 thnh vin l nhng nh gim st hot ng ngn hng chuyn nghip c bit phi tm thi t cc t chc tn dng ti chnh thnh vin. - Mc tiu hot ng : y ban Basel khng c bt k mt c quan gim st no v nhng kt lun ca U ban ny khng c tnh php l v yu cu tun th i vi vic gim st hot ng ngn hng. Thay vo , y ban Basel ch xy dng v cng b nhng tiu chun v nhng hng dn gim st rng ri, ng thi gii thiu cc bo co thc tin tt nht trong k vng rng cc t chc ring l s p dng rng ri thng qua nhng sp xp chi tit ph hp nht cho h thng quc gia ca chnh h. Tnh hnh hot ng : mt s cc hot ng ni bt Nm 1988, Hip c vn Basel u tin (Basel I) ra i v c hiu lc t 1992. Nm 1996, Basel I c b sung thm ri ro th trng (c thc thi chm nht vo ngy 1/1/1998). Thng 6/1999, xut mt khung Hip c vn mi vi chng trnh t vn ln th nht (First Consultative Package CP1). Thng 1/2001, chng trnh t vn ln th hai (CP2). Thng 4/2003, chng trnh t vn ln th ba (CP3). Qu 4/2003, phin bn mi ca Hip c vn (Basel II) c hon thin.

GVHD: PGS. V Th Minh Hng

Thng 1/2007, Basel II c hiu lc. Ngy 12/9/2010 Basel III ra i v bt u c hiu lc t 2015.
2. Ni dung hip c Basel I.

2.1. Hon cnh ra i : Nm 1988, Hip c vn Basel (Basel I) ra i, yu cu cc Ngn hng hot ng quc t phi nm gi mt mc vn ti thiu c th i ph vi nhng ri ro c th xy ra. Mc vn ti thiu ny l mt t l phn trm nht nh trong tng vn ca Ngn hng, do mc vn ny cng c hiu l mc vn ti thiu tnh theo trng s ri ro ca Ngn hng. 2.2. Mc tiu :
-

Cng c s n nh ca ton b h thng ngn hng quc t. Thit lp mt h thng ngn hng quc t thng nht, bnh ng nhm gim

cnh tranh khng lnh mnh gia cc ngn hng quc t. 2.3. Ni dung chnh: Gm 03 tiu chun chnh Tiu chun th nht : T l an ton vn ti thiu (CAR - Capital Adequacy Ratio), mc ch nhm cng c h thng ngn hng quc t, i tng ban u l nhng ngn hng hot ng quc t, nhng sau ny c thc thi trn hn 100 quc gia. Theo tiu chun ny, ngn hng phi gi li lng vn bng t nht 8% ca r ti sn, c tnh ton theo nhiu phng php khc nhau v ph thuc vo ri ro ca chng. T l Cook (CAR) = Vn bt buc / Ti sn tnh theo ri ro gia quyn (RWA). STT 1 2 3 4 5 T l CAR > 10% > 8% < 8%, < 6% < 2% Tnh trng vn Mc vn tt Mc vn thch hp Thiu vn Thiu vn r rt Thiu vn trm trng

Tiu chun th hai: Thnh tu c bn ca Basel I l a ra c nh Vn cp 1 Vn cp 2 + Vn cp 3

ngha mang tnh quc t chung nht v vn ca ngn hng. Tiu chun ny quy nh:

GVHD: PGS. V Th Minh Hng

Vn cp 1: l lng vn d tr sn c v cc ngun d phng c cng b, bao gm: Vn ch s hu vnh vin; D tr cng b (Li nhun gi li); Li ch thiu s (minority interest) ti cc cng ty con, c hp nht bo co ti chnh; Li th kinh doanh (goodwill), cc qu . Vn cp 2 (Vn b sung) gm: Li nhun gi li khng cng b; D phng nh gi li ti sn; D phng chung/d phng tht thu n chung; Cng c vn hn hp; Vay vi thi hn u i; u t vo cc cng ty con ti chnh v cc t chc ti chnh khc. Vn Cp 3 (Dnh cho ri ro th trng) = Vay ngn hn Tiu chun th ba: Vn tnh theo ri ro gia quyn: RWA = Tng (Ti sn x Mc ri ro phn nh cho tng ti sn trong bng cn i k ton) + Tng (N tng ng x Mc ri ro ngoi bng)
V d: Loi ti sn Tin mt v vng nm trong ngn hng. Cc ngha v tr n ca Chnh ph v B Ti chnh. Cc khon tr n ca ngn hng c quy m ln. Chng khon pht hnh bi cc c quan Nh nc Cc khon vay th chp nh , Tt c cc khon vay khc nh tri phiu ca doanh nghip, cc khon n t cc nc km pht trin, cc khon vay th cp c phiu, bt ng sn, 100% 8% 1.000 USD 1.000 USD 80 USD 50% 8% 1.000 USD 500 USD 40 USD 20% 8% 1.000 USD 200 USD 16 USD 0% 8% 1.000 USD 0 USD 0 USD Trng s ri ro T l vn Ti sn iu S tin chnh theo trng s ri ro Yu cu v vn ti thiu

Theo bin i ca th trng, nm 1996, Hip c Basel I c sa i c tnh n ri ro th trng. Theo , ri ro th trng bao gm c ri ro th trng chung v ri ro th trng c th. Ri ro th trng chung cp n nhng thay i v gi tr

GVHD: PGS. V Th Minh Hng

th trng do c s bin ng ln trn th trng. C 4 loi bin s kinh t lm pht sinh ri ro th trng, l t gi li sut, ngoi hi, chng khon v hng ha. Ri ro th trng c th l nhng thay i v gi tr ca mt loi ti sn nht nh. 2.4. Nhng hn ch: Khng phn bit theo loi ri ro: Mt khon n i vi t chc xp hng AA c coi nh mt khon n i vi t chc xp hng B. Mt khon n cho mt ngn hng Th Nh K ch cn mt lng vn bng 1/5 khon n cho General Electric (GE-mt cng ty xp hng AAA) Vic gi cc ti sn c ri ro thp t sinh li hn ti sn c ri ro cao. Basel I ch bao gm nhng ri ro tn dng, ri ro th trng v ri ro li sut Khng c li ch t vic a dng ha m khng cp n ri ro hot ng mt cch r rng. Mt khon n ring l yu cu mt lng vn ging nh mt danh mc u t c a dng ha, vi cng mt gi tr. Khng c s khc bit no gia mt khon vay $100 v 100 khon vay $1. Khng c yu cu vn d phng ri ro vn hnh, do khng thc s c quyn vi cc nc thuc khi OECD.

khuyn khch cc ngn hng nng cao qun tr ri ro. 3. Ni dung hip c Basel II. 3.1 . Hon cnh ra i Mc d c rt nhiu im mi nhng Hip c Basel I vi bn sa i nm 1996 vn c kh nhiu im hn ch. Mt trong nhng im hn ch l Basel I khng cp n mt loi ri ro ang ngy cng tr nn phc tp v vi mc ngy cng tng ln, l ri ro tc nghip.Chnh v vy, t nm 1999, U ban Basel n lc a ra mt Hip c mi thay th cho Basel I, v cho n nm 2004, bn Hip c quc t v vn ca Basel (Basel II) chnh thc c ban hnh. 3.2 . Mc tiu Nng cao cht lng v s n nh ca h thng ngn hng quc t. To lp v duy tr mt sn chi bnh ng cho cc ngn hng hot ng trn

bnh din quc t.

GVHD: PGS. V Th Minh Hng

ri ro. 3.3 . Ni dung chnh: Bao gm 03 tr ct chnh : Tr ct th nht : Cc yu cu vn ti thiu T l vn bt buc ti thiu (CAR) vn l 8%, trong mt t chc ti chnh c gi l vn khi CAR t ti thiu 4% i vi vn cp 1 v 8% i vi vn cp 2. Ri ro c tnh ton theo ba yu t chnh m ngn hng phi i mt: ri ro Trng s ri ro ca Basel II bao gm nhiu mc (t 0%-150% hoc hn) v rt RWA trong cng thc tnh h s an ton vn CAR s bao gm 2 phn: tng ti tn dng, ri ro vn hnh (hay ri ro hot ng) v ri ro th trng. nhy cm vi xp hng. sn iu chnh theo h s ri ro tn dng cng vi 12,5 ln tng vn quy nh cho d phng ri ro th trng v ri ro hot ng. Chng hn, tng ti sn iu chnh theo h s ri ro tn dng ca mt ngn hng l 1000 USD, vn quy nh phng nga ri ro th trng l 10 USD, vn quy nh ti thiu phng nga ri ro tc nghip l 20 USD th mu s xc nh t l vn ti thiu s l: 1000 + (10 + 20) x 12,5 = 1375 USD. iu c ngha l ngn hng phi cn nhiu vn t c hn tho mn t l ti thiu 8%. Tr ct th hai: Tng cng c ch gim st, c bit l vic nh gi cht lng qun l ri ro ngn hng Tr ct ny cung cp mt khung gii php cho cc ri ro m ngn hng i mt, nh ri ro h thng, ri ro chin lc, ri ro danh ting, ri ro thanh khon v ri ro php l, m hip c tng hp li di ci tn ri ro cn li. Cc Ngn hng cn phi nh gi mt cch ng n v nhng loi ri ro m h ang phi i mt v m bo rng nhng gim st vin s c th nh gi c tnh y ca nhng bin php nh gi ny. Vi ct tr ny, Basel II nhn mnh 4 nguyn tc ca cng tc r sot gim st: Nguyn tc 1: Cc ngn hng cn phi c mt quy trnh nh gi c mc y vn ca h theo danh mc ri ro v phi c c mt chin lc ng n nhm duy tr mc vn . y mnh vic chp nhn cc thng l nghim ngt hn trong lnh vc qun l

GVHD: PGS. V Th Minh Hng

Nguyn tc 2: Cc gim st vin nn r sot v nh gi li quy trnh nh gi v mc vn ni b cng nh v cc chin lc ca ngn hng. H cng phi c kh nng gim st v m bo tun th t l vn ti thiu. Theo , gim st vin nn thc hin mt s hnh ng gim st ph hp nu h khng hi lng vi kt qu ca quy trnh ny. Nguyn tc 3: Gim st vin khuyn ngh cc ngn hng duy tr mc vn Nguyn tc 4: Gim st vin nn can thip giai on u m bo cao hn mc ti thiu theo quy nh. mc vn ca ngn hng khng gim di mc ti thiu theo quy nh v c th yu cu sa i ngay lp tc nu mc vn khng c duy tr trn mc ti thiu. Vi ct tr ny, Basel II a ra 25 nguyn tc c bn cn thit m bo cho h thng gim st hot ng c hiu qu, ni dung tm tt nh sau : Nguyn tc 1 - Mc ch, tnh c lp, quyn hn, tnh minh bch v s hp tc: Mt h thng gim st ngn hng hiu qu phi phn nh trch nhim r rng v mc ch ca mi n v c thm quyn gim st ngn hng. Mi n v phi c s hot ng c lp, cc quy trnh minh bch, c lc lng nhn s y v c qun l ph hp, phi chu trch nhim hon ton trc nhim v c giao. Cc quy nh v chia s thng tin gia cc c quan qun l nh nc v quy nh v bo mt cc thng tin cng cn phi c quy nh r rng. Nguyn tc 2 Cc hot ng c php: Cc hot ng c php ca cc t chc c cp php v chu s gim st di tn gi ngn hng phi c quy nh r rang. Nguyn tc 3 Cc tiu ch cp php: C quan qun l nh nc c thm quyn cp php phi c quyn ra cc tiu ch v t chi n xin cp Giy php thnh lp nu h s khng p ng c cc tiu chun ra. Nguyn tc 4 - Chuyn quyn s hu ln: C quan qun l nh nc phi c quyn xem xt v t chi bt c xut chuyn nhng quyn s hu ln hoc chuyn nhng quyn kim sot trc tip hoc gin tip ti cc ngn hng hin hu cho mt bn khc. Nguyn tc 5 Giao dch mua li ln: C quan qun l nh nc phi c quyn chun y cc giao dch mua li ln hoc quyt nh u t ln ca ngn hng, ngc li cc tiu ch nu, bao gm c vic thnh lp cc hot ng xuyn quc

GVHD: PGS. V Th Minh Hng

gia, v phi m bo c rng, cc giao dch hoc thay i c cu khng nh hng n an ton ca ngn hng, khng em n cho ngn hng cc ri ro khng ng c hoc gy cn tr n vic gim st h thng ngn hng hiu qu. Nguyn tc 6 An ton vn ti thiu: C quan qun l nh nc phi a ra cc quy nh v an ton vn ti thiu ph hp i vi cc ngn hng phn nh c nhng ri ro m ngn hng gp phi, v phi quy nh r rng v thnh phn ca vn, m bo rng vn phi c kh nng chu c l. Ti thiu l i vi cc ngn hng hot ng quc t, cc quy nh ny khng c thp hn mc m U ban Basel quy nh. Nguyn tc 7 Quy trnh qun tr ri ro: C quan qun l nh nc phi m bo rng, ngn hng v tp on ngn hng phi c h thng qun tr ri ro ton din (bao gm c kh nng kim sot ri ro ca Hi ng qun tr v Ban iu hnh) pht hin, nh gi, x l v kim sot, gim thiu tt c cc ri ro nh gi tng th mc vn ca ngn hng trc cc danh mc ri ro. Cc quy trnh qun tr ri ro ny phi ph hp vi quy m v mc phc tp ca t chc. Nguyn tc 8 - Ri ro tn dng: C quan qun l nh nc phi m bo rng cc ngn hng c mt quy ch qun l ri ro tn dng cn nhc ti cc ri ro ca t chc vi cc chnh sch an ton, cc quy trnh qun l ri ro nhm pht hin, o lng, kim tra v kim sot ri ro tn dng. Nguyn tc 9 Ti sn c ri ro, d phng v d tr: C quan qun l cn m bo rng ngn hng phi xy dng cc chnh sch m bo an ton ti thiu cho vic qun l cc ti sn c ri ro, xc nh mc d phng v d tr cho t chc. Nguyn tc 10 - Gii hn mc cho vay: C quan qun l ri ro phi m bo rng ngn hng phi c cc chnh sch v h thng qun tr ri ro nhm nhn dng, qun l cc khon cho vay ln trong danh mc, c quan quan l ng thi cn phi xy dng cc gii hn cho vay nhm hn ch cc ngn hng tp trung cho vay mt khch hng hoc nhm cc khch hng c lin quan. Nguyn tc 11 - Ri ro i vi nhm khch hng c lin quan: Nhm hn ch vic cho vay (bao gm cc khon n ni bng v ngoi bng) nhm khch hng c lin quan v xc nh s xung t v li ch, c quan qun l cn c nhng quy nh v gii hn cho vay i vi mt khch hng v mt nhm khch hng c lin quan, cc khon cho vay ny phi c kim sot cht ch, ng thi cn phi c cc bc

GVHD: PGS. V Th Minh Hng

ph hp nhm kim sot v gim thiu ri ro, vic xa cc khon n ny c thc hin theo cc chnh sch v quy trnh chun mu. Nguyn tc 12 Ri ro quc gia v ri ro chuyn i: C quan qun l nh nc phi m bo rng cc ngn hng c cc chnh sch v quy trnh xc nh, o lng, theo di v kim sot ri ro quc gia v ri ro chuyn i trong cc hot ng cho vay v u t quc t, v ng thi cc ngn hng phi trch lp d phng cho cc ri ro ny. Nguyn tc 13 Ri ro th trng: C quan qun l nh nc phi m bo rng cc ngn hng c cc chnh sch v quy trnh xc nh chnh xc, o lng, theo di v kim sot c cc ri ro th trng; c quan qun l nh nc c thm quyn t ra cc nh mc c th v/hoc c th dng mt khon vn c th x l ri ro th trng nu c l do chnh ng. Nguyn tc 14 Ri ro thanh khon: C quan qun l nh nc phi m bo rng cc ngn hng c mt chin lc qun l kh nng chi tr c th tnh ton c mi ri ro ca t chc, ngn hng phi c chnh sch v quy trnh xc nh, o lng, theo di v kim sot c ri ro thanh khon, v qun l c kh nng chi tr ca mnh hng ngy. C quan qun l nh nc phi yu cu cc ngn hng c k hoch sn sng i ng vi cc vn v thanh khon c th pht sinh bt ng. Nguyn tc 15: Ri ro tc nghip (ri ro hot ng): C quan qun l nh nc phi m bo rng ngn hng phi c chnh sch v quy trnh qun l ri ro nhn dng, nh gi, kim tra v kim sot/gim thiu ri ro hot ng. Cc chnh sch v quy trnh qun l ri ro ny phi ph hp vi quy m v mc phc tp ca t chc. Nguyn tc 16: Ri ro li sut trong s sch ngn hng: C quan qun l nh nc phi m bo rng ngn hng phi c h thng qun tr ri ro c hiu qu nhm nhn dng, o lng v kim tra, kim sot ri ro li sut trong s sch ngn hng, bao gm mt chin lc c Hi ng qun tr ph duyt v c thc hin bi ban qun l cp cao; chin lc ny cng cn phi ph hp vi quy m v mc phc tp ca t chc ca loi ri ro. Nguyn tc 17: Kim tra v kim ton ni b: C quan qun l nh nc phi m bo rng ngn hng phi c h thng kim tra, kim sot v kim ton ni b ph hp vi quy m v mc ph hp vi loi hnh kinh doanh ca t chc.

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GVHD: PGS. V Th Minh Hng

Nguyn tc 18 Lm dng cc dch v ti chnh: C quan qun l nh nc phi m bo c rng cc ngn hng c chnh sch v quy trnh, bao gm cc quy tc nghim ngt v nhn bit khch hng, nng cao cc tiu chun o c ngh nghip trong lnh vc ti chnh v bo v ngn hng khng b li dng, mt cch v tnh hay c , vo cc hot ng phm php. Nguyn tc 19 Phng php gim st: Mt h thng gim st ngn hng hiu qu yu cu cc c quan qun l nh nc xy dng v duy tr s hiu bit su sc v hot ng ca tng ngn hng v tp on ngn hng, ng thi c h thng ngn hng, tp trung vo s an ton v tnh bn vng, cng nh s n nh ca ton h thng ngn hng. Nguyn tc 20 K thut gim st: Mt h thng gim st ngn hng hiu qu phi bao gm c thanh tra ti ch v kim sot t xa v s lin h mt thit gia c quan qun l nh nc vi ban iu hnh ca ngn hng. Nguyn tc 21 Thng tin gim st: C quan qun l nh nc phi c cc phng tin thu thp, xem xt v phn tch cc bo co v an ton hot ng v cc ch s thng k do cc ngn hng gi v trn c s n l v tng hp, ng thi phi c phng tin xc minh tnh trung thc ca cc bo co ny thng qua hoc l thanh tra ti ch hoc thu cc chuyn gia c lp. Nguyn tc 22 K ton v cng b cng khai: C quan qun l nh nc phi m bo c rng mi ngn hng phi duy tr vic ghi chp s sch y v theo ng cc chun mc k ton c quc t cng nhn, v cng b cng khai thng xuyn cc thng tin phn nh ng tnh trng ti chnh v li nhun ca ngn hng. Nguyn tc 23- Quyn x l vi phm ca c quan qun l nh nc: C quan qun l nh nc phi c cng c h tr h a ra cc bin php x l vi phm kp thi. Trong bao gm kh nng thu hi Giy php hot ng hoc cnh bo vic thu hi Giy php hot ng. Nguyn tc 24 Gim st hp nht: Mt yu t nhy cm ca vic gim st h thng ngn hng l c quan qun l nh nc gim st cc tp on ngn hng trn c s hp nht, theo di st sao, v p dng tt c cc quy tc m bo an ton i vi tt c cc kha cnh kinh doanh m tp on thc hin trn ton cu.

11

GVHD: PGS. V Th Minh Hng

Nguyn tc 25 Quan h gia c quan qun l nh nc nc s ti v nc nguyn x: Vic gim st hp nht xuyn bin gii i hi s hp tc v trao i thng tin gia c quan qun l nh nc nc s ti vi cc c quan qun l c lin quan, ch yu l cc c quan qun l nh nc ca nc nguyn x. Cc c quan qun l nh nc trong lnh vc ngn hng phi yu cu cc hot ng ti nc s ti ca ngn hng nc ngoi c thc hin theo cng mt tiu chun nh i vi cc t chc trong nc. Tr ct th ba: Tun th k lut th trng Cc ngn hng cn phi cng khai thng tin mt cch thch ng theo nguyn tc th trng.Vi ct tr ny, Basel II a ra mt danh sch cc yu cu buc cc ngn hng phi cng khai thng tin, t nhng thng tin v c cu vn, mc y vn n nhng thng tin lin quan n mc nhy cm ca ngn hng vi ri ro tn dng, ri ro th trng, ri ro tc nghip v quy trnh nh gi ca ngn hng i vi tng loi ri ro ny. Nh vy, vi qu trnh pht trin ca Basel v nhng Hip c m t chc ny a ra, cc ngn hng thng mi cng ngy cng c yu cu hot ng mt cch minh bch hn, m bo vn phng nga cho nhiu loi ri ro hn v do vy, hy vng s gim thiu c ri ro. 3.4. nh gi V cu trc v ni dung: Basel I tp trung vo mt gii php qun l ri ro duy nht l yu cu vn ti thiu. Trong khi, Basel II tp trung nhiu hn vo cc phng php ni b ca chnh ngn hng, nh gi hot ng thanh tra, gim st v k lut trn nguyn tc th trng. Do , quyn lc ca cc nh qun l quc gia c tng ln bi h cn phi nh gi s vn ca ngn hng c tnh n c im ri ro c th ca n. V tnh linh ng ca ng dng: Basel I quy nh chung mt chn la cho tt c cc ngn hng. Basel II linh hot hn vi mt danh sch cc phng php, cc bin php khuyn khch cc nh qun l quc gia v cc ngn hng chn la. V tnh nhy cm vi ri ro: Basel I o c ri ro qu s b. Basel II nhy cm hn vi ri ro thng qua nhy cm ca yu cu vn i vi mc ri ro tng ln v s cng khai bt buc mt cch chi tit v nhy cm ri ro v chnh sch ri ro.

12

GVHD: PGS. V Th Minh Hng

V trng s ri ro: Basel I quy nh t 0 100 v u i hn vi cc nc thuc T chc hp tc v pht trin kinh t (OECD- Organisation for Economic Cooperation and Development). Basel II quy nh t 0 150 hoc hn v khng c c quyn no, bao gm c phn cp bn trong v bn ngoi. V k thut gim ri ro tn dng: Basel I ch h tr v m bo. Basel II tha nhn v k thut gim thiu ri ro tt hn, a ra nhiu k thut hn nh h tr, m bo, phi sinh tn dng, lp mng li v th (position netting). 4. Ni dung hip c Basel III. 4.1 . Hon cnh ra i Sau gn 1 nm Ngn hng Lehman Brothes sp , thng 6-2009, Tng thng Barack Obama ngh mt chng trnh ci t ton din i vi h thng ti chnh Hoa K. Thng 7-2010, o lut Dodd-Frank c Quc hi Hoa K thng qua nhm lnh mnh ha h thng ti chnh t nc. Trong thi gian ny, nc Anh vn l trung tm ti chnh ln nht th gii, a ra chng trnh ci cch lnh vc ti chnh. Khu vc ng tin chung chu u (Eurozone) cng tin hnh cc bin php tng t trong vic ci cch ngnh ti chnh. Ring i vi ngnh ngn hng - nhm ngnh quan trng trong lnh vc ti chnh v cng l ti ca cuc khng hong 2008 - Hip c Basel III ra i nhm khc phc nhng yu km m Hip c Basel II cn khim khuyt nh hn ch v qui nh vn trc y v tng cng qun l ri ro, m bo n nh hot ng ngn hng. 4.2 . Ni dung chnh - Nng t l vn ch s hu ti thiu (c phn ph thng) t 2% ln 4,5%. - Nng t l vn cp 1 ti thiu t 4% ln 6%. - B sung phn vn m d phng ti chnh m bo bng vn ch s hu 2,5%. - Tu theo bi cnh ca mi quc gia, mt t l vn m phng nga s suy gim theo chu k kinh t c th c thit lp vi t l t 0 2,5% v phi c m bo bng vn ch s hu ph thng (common equity). Phn vn d phng ny ch i hi trong trng hp c s tng trng tn dng nng nguy c dn n ri ro cao trong hot ng tn dng mt cch c h thng.

13

GVHD: PGS. V Th Minh Hng

- Ngoi ra, Basel III cn a ra cc bin php gim st cht ch cc ngn hng v nhm ngn chn vic lm dng chia thng hoc chia c tc cao trong bi cnh trnh trng ti chnh v t l an ton vn khng m bo. Basel III cng ng thi r sot li cc tiu chun (nh ngha) vn cp 1 v vn cp 2 v s loi b cc khon vn khng tiu chun khi gim st ch tiu an ton vn ti thiu. - Nh vy, c th thy rng loi tr khon vn m phng nga ri ro ti chnh 2,5%, tiu chun an ton vn ti thiu khng thay i (vn l 8%). Tuy nhin, kt cu ca cc loi vn c s thay i ng k theo hng tng t trng vn cp 1, ng thi tng t trng vn ch s hu ph thng trong vn cp 1. Nu tnh y c 2 khon vn m d phng suy gim ti chnh v d phng chng hiu ng chu k kinh t th t l vn ch s hu c iu chnh tng t 2% (Basel II) tng ln thnh 9,5% (4,5% + 2,5% + 2,5%) Basel III. Nu loi tr phn vn m chng chu k kinh t 2,5% (khng bt buc trong iu kin bnh thng) th mc ti thiu vn ch cng phi t mc 7%. Bn cnh , c th mt s khon trc y c tnh vo vn ch s hu nay phi bc tch ra v khng iu kin coi l vn ch s hu. Chng hn, khon vn vt qu gii hn 15% u t vo cc t chc ti chnh khc, khon vn c ngun gc t s thu thu nhp lu k (hon li) V th, yu cu nng cao t l vn ch s hu l bi ton khng n gin i vi nhiu ngn hng xt trong bi cnh kinh t x hi ang c nhiu bin ng. Cc tiu chun ca Basel III khng c hiu lc ngay lp tc. Chng bt u c hiu lc t nm 2013 v c thc hin theo mt l trnh n ht nm 2018 v s thc hin y vo 1/1/2019, c th nh sau:
2013 T l vn ch s hu ti thiu Vn m d phng Vn ch s hu ti thiu cng vn m d phng Loi tr khi vn ch s hu cc khon vn khng tiu chun T l vn cp 1 ti thiu T l tng vn ti thiu Tng vn ti thiu cng vn m 4,5% 8% 8% 3,5% 4,0% 3,5% 2014 4,0% 2015 4,5% 2016 4,5% 2017 4,5% 2018 4,5% 2019 4,5%

0,625% 1,25% 1,875% 2,5% 4,5% 5,125% 5,76% 6,375% 7%

20% 5,5% 8% 8%

40% 6,0% 8% 8%

60% 6,0% 8% 8,625

80% 6,0% 8% 9,125

100% 6,0% 8% 9,875

100% 6,0% 8% 10,5

14

GVHD: PGS. V Th Minh Hng

d phng bt buc Loi tr khi vn cp 1 v cp 2 cc khon khng tiu chun Vn d phng chng hiu ng chu k Thc hin theo l trnh 10 nm bt u t nm 2013 Tu theo iu kin ca quc gia: mc t 0% - 2,5%

4.3 . nh gi Basel II ch quan tm n vn an ton vn (hay vn da vo ri ro - Riskbased capital), Basel III tp trung vo 2 vn : gia tng tiu chun v an ton vn v a ra cc tiu chun v thanh khon ca h thng ngn hng thng mi (NHTM). Nh vy, im khc bit quan trng gia 2 hip c l Basel III ch nhiu hn i vi vn thanh khon ca h thng ngn hng. Kt lun chng 1: K t khi Hip c Basel c ban hnh ln u vo nm 1988 v phin bn II c b sung, sa i t nhng nm 2001, nhng chun mc trong hip c dn tr thnh nhng chun mc quc t c p dng hu ht ti cc quc gia trn ton th gii. Qua chng 1, ti h thng ha c s l lun ca cc chun mc nh gi hot ng ngn hng an ton theo Hip c Basel. Trn c s , chng 2, chng 3 s tin hnh tm hiu cc c hi, thch thc, kh khn m cc ngn hng gp phi trong qu trnh p dng v cc nhn nh, nh gi v s cn thit phi p dng Hip c Basel vo cng tc qun l ngn hng.

15

GVHD: PGS. V Th Minh Hng

Chng 2:

Thc trng gim st ngn hng theo Basel II ti Vit Nam

1. C hi, thch thc i vi vic p dng Basel II ca h thng ngn hng Vit Nam. 1.1. C hi: Vit Nam ang trn hi nhp vi nn kinh t th gii cng vi nhng cam kt chun mc trong hot ng ca th trng ti chnh theo l trnh gia nhp WTO l nhng chnh sch khuyn khch pht trin, gim st cng nh khng ngng ci thin sc khe ca h thng NHTM trong nc. Nc ta ang ng trc cc c hi thun li c th p ng y vic p dng cc yu cu ca Basel II nh sau: C iu kin tranh th vn nng cao tim lc ti chnh, nng cao cng ngh, pht trin i ng nhn lc ti chnh, cc sn phm ngn hng - ti chnh ngy cng linh hot, mang tnh chuyn nghip, thc tin v quc t ha ngy cng cao. C iu kin hc hi kinh nghim ca cc quc gia pht trin, thnh cng Mi trng ti chnh c s cnh tranh cng bng lnh mnh gia cc ch th trong vic p dng cc chun mc ca y ban Basel. tham gia: t ngy 01/01/2011 chi nhnh ngn hng nc ngoi c i x bnh ng quc gia theo nh cam kt gia nhp WTO, t thc y t mi NHTM phi t nng cao nng lc cnh tranh ca bn thn mnh c v cht v lng c th tn ti v pht trin. 1.2. Thch thc: Tuy nhin, vi mt nc ang pht trin nh nc ta c bit l h thng ti chnh ch mi bc u trong giai on hi nhp, c th p ng nhng yu cu chun mc ca h thng gim st ngn hng theo y ban Basel th nhng thch thc gp phi l khng nh: V chi ph thc hin: Theo c tnh, cc ngn hng thng mi c nh phi tn xp x 10 triu la M, tng ng vi 220 t ng Vit Nam, khong 7% vn iu l ca cc ngn hng thng mi c phn. Trong khi , nu l ngn hng c ln th chi ph vn hnh h thng Basel ny c th ln n 200 triu la M, tng ng vi 4.400 t ng Vit Nam, cao hn mc vn php nh ca cc NHTM hin hnh.

16

GVHD: PGS. V Th Minh Hng

iu kin h tr thng tin cha y : Cc thng tin trn th trng chng khon v th trng vn l ht sc quan trng nu mt h thng ngn hng mun p dng theo cc chun mc ca Basel II. Tuy nhin cho n nay, cc thng tin kinh t vi m, v m ca cc t chc kinh t, ngnh ngh , c phiu ch thc hin theo dng bo co nh k, iu nay rt kh cho cng tc qun tr ri ro cho cc ngn hng. Hn ch v nng lc gim st: hin nay c quan gim st cha th kim chng h thng nh gi ri ro ca cc t chc tn dng c ph hp hay khng, c m bo an ton cho hot ng ca c h thng hay khng, mt khc nhng quy nh ca NHNN cha tht s linh hot cng nh cha bm st hot ng thc tin theo din bin ca th trng.. Hn ch v cht lng ngun nhn lc: y khng ch l vn nan gii ca chnh cc NHTM m cho c h thng gim st ngn hng ca NHNN VN, nh cp nm vng v vn dng c cc chun mc ca y ban Basel i hi cc chuyn gia trong lnh vc qun tr, gim st ngn hng v nhn vin ph trch phi c mt tm hiu bit nht nh, gii v ngoi ng ln kin thc ton hc v kin thc qun tr. Ngoi ra cc k nng phn tch, d bo cng l nhng k nng khng th thiu. y thc s l nhng yu cu cao i vi cc chuyn gia ngn hng Vit Nam ti thi im ny. Hn ch v nn tng c s php l: h thng k ton Vit Nam cha theo chun h thng k ton quc t y l mt tr ngi cho h thng NHTM mun vn ra tm quc t, v hnh lang php l cn nhiu s bt cp trong cng tc hot ng, cng tc qun tr, chnh sch iu hnh, . 2. Phn tch thc trng tun th cc nguyn tc gim st ngn hng theo tiu ch Basel II. Nguyn tc 1 - Mc ch, tnh c lp, quyn hn, tnh minh bch v s hp tc: tun th mt phn. Hnh lang php l : Lut NHNN nm 2010 (Lut s 46/2010/QH12): quy nh NHNN l mt c quan ngang B; C quan Thanh tra, gim st ngn hng trc thuc NHNN l c quan chu trch nhim chnh trong vic gim st hot ng ngn hng.

17

GVHD: PGS. V Th Minh Hng

Quyt nh 83/2009/Q-TTg ngy 27/05/2009 ca Th tng Chnh ph quy nh chc nng, nhim v, quyn hn v c cu t chc ca C quan Thanh tra, gim st ngn hng trc thuc NHNN Vit Nam. Hn ch: C quan gim st ngn hng cng lc chu s qun l ca nhiu c quan v Quyn hn kim tra tnh tun th ca h thng ngn hng cng nh kim tra Ngoi c quan gim st chuyn ngnh ngn hng, cc ngn hng cn chu chu chi phi ca nhiu lut. khi c nghi vn v tnh an ton v bn vng ca h thng cng cha c m bo. tin gi; Cc cng ty chng khon, cng ty bo him trc thuc cc NHTM nh nc cn chu gim st bi kim ton nh nc v thanh tra nh nc trong khi cha c cc quy nh v phi hp hot ng v chia s thng tin gia cc c quan gim st chuyn ngnh, do vy, cha m bo cho vic gim st lin tc hot ng ngn hng. m bo tun th nguyn tc 1, cn phi: hng; Trnh xung t v li ch khi thc hin gim st NHTM nh nc bng cch khng lm i din s hu vn nh nc trong cc ngn hng ny m chuyn vai tr ny sang Tng cng ty u t v Kinh doanh vn Nh nc; Phn nh rnh mch hn chc nng, nhim v, quyn hn v mi quan h ca tng thnh vin chnh trong mng an ton ti chnh quc gia trnh chng cho hoc b trng trong hot ng gim st v to s phi hp nhp nhng gia cc c quan trong mng an ton ti chnh; Nng cao cht lng, s lng nhn lc gim st. iu 2 Lut Cc t chc tn dng nm 1997 (07/ 199 7/ QH X n g y Nguyn tc 2 - Cc hot ng c php: tun th mt phn. 12/ 12/ 1997 ) ch mi cp hot ng ngn hng ca t chc khc m cha quy

s gim st ca cc c quan gim st chuyn ngnh chng khon, bo him, bo him

xut m bo v th c lp ca c quan gim st chuyn ngnh ngn

nh r t chc khc c c im nh th no v nhng loi hnh dch v no cc t chc khc c cung cp v cng cha quy nh c th cch thc cp giy php thc hin cc nghip v ngn hng cho cc t chc khc.

18

GVHD: PGS. V Th Minh Hng

Quan trng nht, cha c mt danh sch chi tit cc hot ng ngn hng c php thc hin: hin ti, cc ngn hng ch thc hin cc dch v c ghi trong giy php thnh lp v hot ng, khi trin khai cc dch v mi phi xin php NHNN. Ngoi ra, php lut v dch v ngn hng thiu cc quy nh iu chnh mt s phng thc cung cp dch v ngn hng nh cung cp qua bin gii, s dng dch v nc ngoi, trong khi ngy nay, vic cung cp dch v ngn hng qua mng internet kh ph bin . m bo tun th nguyn tc 2, cn phi: Lm r hot ng ngn hng ca cc t chc khc v quy nh bt k t chc phi ngn hng no c thc hin nghip v ngn hng u phi xin php v chu s gim st ca NHNN; Xy dng danh sch cc nghip v m ngn hng cng nh cc t chc Cn trng nghin cu v ban hnh cc vn bn quy phm php lut mi khc c php cung cp v b sung hng nm; iu chnh vic cung cp dch v qua bin gii, s dng dch v nc ngoi m bo cho NHNN c th thc hin tt vai tr thanh tra, gim st ca mnh. Nguyn tc 3 - Cc tiu ch cp php: tun th mt phn Thng t 09/2010/TT-NHNN ngy 26/03/2010 quy nh v giy php thnh Cc ngn hng cha t c mc vn php nh tnh n thi im hin lp v hot ng NHTMCP tun th ht cc tiu ch trn. ti: BAOVIET Bank, PG Bank. Nguyn tc 4 - Chuyn quyn s hu ln: tun th mt phn NHNN ban hnh Thng t 06/2010/TT-NHNN ngy 26/2/2010 hng dn v t chc, qun tr, iu hnh, vn iu l, chuyn nhng c phn, b sung, sa i giy php, iu l ca NHTM. Nguyn tc 5 - Giao dch mua li ln: tun th mt phn Thng t 04/2010/TT-NHNN ngy 11/2/2010 ca NHNN quy nh vic sp nhp, hp nht, mua li t chc tn dng. Quyt nh s 13/2008/Q-NHNN ngy 29/4/2008 v mng li hot ng ca NHTM quy nh y cc ni dung ca nguyn tc tr.

19

GVHD: PGS. V Th Minh Hng

Tnh n thi im hin nay c hp nht 3 ngn hng l SCB, TinNghiaBank, Ficombank. Nguyn tc 6 - An ton vn ti thiu: tun th mt phn Lut s 20/2004/QH ngy 15/6/2004 v sa i, b sung mt s iu ca Lut Cc t chc tn dng v Lut Cc t chc tn dng nm 2010 (Lut s 47/2010/QH12) quy nh t l an ton vn. Thng t s 13/TT-NHNN ngy 20/5/2010 (c hiu lc t 01/10/2010) thay th Quyt nh 457, hng dn c th vic tnh ton t l an ton vn, nng t l ny ln 9% thay v 8% nh trc y v yu cu cc TCTD duy tr t l an ton vn ring l v hp nht. T l an ton vn hin thi vn cha c tnh theo tiu chun quc t, m ch dng li theo tiu chun k ton Vit Nam, ch mt vi ngn hng thc hin tnh ton ch s ny theo 2 cch: Ch s CAR (%) theo VAS v Ch s CAR (%) theo IFRS NHNN cn tip tc nng dn yu cu v t l vn m bo an ton hot ng khi ngy cng nhiu ngn hng hot ng theo hng cng ty m, con v nn kinh t, th trng ti chnh Vit Nam ngy cng m, hot ng ngn hng ngy cng tr nn ri ro hn v so vi cc nc trn th gii, t l ny t c mc ph bin 12%. Nguyn tc 7 - Quy trnh qun tr ri ro: tun th mt phn Quy nh v nh gi ri ro c ban hnh, quy nh v h thng qun tr ri ro cng c; tuy nhin, NHNN cha m bo rng cc ngn hng tun th vic xy dng quy trnh qun tr cng nh cc m hnh qun tr c ph hp vi quy m v mc phc tp ca t chc v phn ln cc ngn hng cha c h thng nh gi tn dng ni b hon chnh, do vy, rt kh nh gi ri ro t trch lp d phng cho tng xng. Ngoi ra, mt s vn bn mang tnh hnh chnh ca NHNN cng nh hng n cng tc nh gi ri ro ca cc NHTM nh cc yu cu h tr cc gii php thc hin chnh sch tin t nh gim li sut cho vay, gim d n bng USD... Nguyn tc 8 - Ri ro tn dng: tun th mt phn NHNN ban hnh Quyt nh s 493/2005/Q-NHNN ngy 22/04/2005 v b sung bng Quyt nh 18/2007/Q-NHNN ngy 25/04/2007 v phn loi n,

20

GVHD: PGS. V Th Minh Hng

trch lp v s dng d phng x l ri ro tn dng trong hot ng ngn hng ca TCTD. Quyt nh ny ban hnh 5 nm nhng ti thi im ny, ch mi c 3 ngn hng trnh v c NHNN chp thun cho p dng phn loi n nh tnh theo quy nh ti iu 7, Quyt nh 493 l Ngn hng u t v Pht trin Vit Nam, NHNo&PTNT Vit Nam, Ngn hng TMCP Ngoi thng Vit Nam. Hai nguyn nhn chnh khin cc ngn hng ngi thc hin phn loi ny l: o Tng t l n xu: n xu ca NHTMCP Ngoi thng s tng t 2,47% trong nm 2009 ln 3,5% vo nm 2010 nu p dng phn loi nh tnh t thng 4/2010 hoc t l n xu ca Ngn hng u t v Pht trin Vit Nam s l 3,9% thay v 1,56% theo cch tnh nh lng; o Phi xy dng h thng xp hng tn dng ni b h tr vic phn loi n v qun l cht lng tn dng. Nh vy, vic phn loi n cha theo chun k ton quc t cha cho cc c quan gim st thy ht thc cht ca vn ri ro, c bit l ri ro tn dng cng nh mc ci thin c hng qun tr cho ph hp. Nguyn tc 9 - Ti sn c ri ro, d phng v d tr: tun th mt phn Ngn hng c Quy nh v phn loi n, trch lp v s dng d phng Trn bo co kt qu kinh doanh u cho thy cc khon mc d phng, tuy x l ri ro trong Quyt nh 493. nhin, ch c cc d phng chnh. Vic cc ngn hng thc hin nh gi ri ro v xc nh y mc d phng nh yu cu cn phi c thm thi gian cc ngn hng nhn thc tm quan trng ca qun tr ri ro, b sung nhn s, cng ngh cho cng tc ny. Nguyn tc 10 - Gii hn mc cho vay: tun th mt phn iu 8, Thng t 13/2010/TT-NHNN quy nh v gii hn cho vay, trong c mt s ni dung ng lu nh: TCTD khng c cp tn dng cho cng ty trc thuc l doanh nghip hot ng kinh doanh chng khon; TCTD khng c cho vay khng c bo m u t, kinh doanh chng khon; tng d n cho vay v chit khu giy t c gi i vi tt c khch hng nhm u t, kinh doanh chng khon khng vt qu 20% vn iu l ca TCTD.

21

GVHD: PGS. V Th Minh Hng

Cc Quyt nh 1627/2001/Q-NHNN ngy 31/12/2001, Quyt nh 127/2005/Q-NHNN ngy 03/2/2005 v quy ch cho vay ca TCTD i vi khch hng, Quyt nh 783/2005/Q-NHNN ngy 31/5/2005 cng quy nh y nhng gii hn vay. Thc t trin khai cc vn bn trn cn khng t l hng, nh hng trc tip n ri ro tn dng ca h thng NHTM: Chnh sch cho vay hin nay cha hon ton theo nguyn tc th trng biu hin qua vic cc NHTM, c bit l NHTM c c phn chi phi ca Nh nc thng hng theo cc chnh sch cho vay nh nh bt xa b, ma ng, c ph Arabica... m s liu thng k li cho thy cc chnh sch ny khng hiu qu, dn n ri ro cao cho ngn hng. Ngoi ra, cc ngn hng cn c NHNN cho php cho vay vt qu 15% vn t c nh NHTMCP ng Nam cho vay i vi Cng ty trch nhim hu hn ch bin v kinh doanh sn phm kh nm 2009; Ngn hng lin doanh Vit Nga cho vay i vi Tng Cng ty Xng du Vit Nam; NHTMCP Ngoi thng Vit Nam cho vay i vi Tng cng ty Lng thc min Nam; NH u t v Pht trin Vit Nam v NHTMCP Ngoi thng Vit Nam cho vay i vi Tng cng ty in lc Vit Nam... Trong tng lai, thay v xt duyt cho vay theo d n vi mc vn vt qu 15% vn t c ca ngn hng, NHNN nn khuyn khch cc NHTM thc hin nghip v cho vay hp vn. Nguyn tc 11 - Ri ro i vi nhm khch hng c lin quan: tun th mt phn iu 7, Thng t 13/2010/TT-NHNN ngy 20/5/2010 quy nh v xc nh nhm khch hng c lin quan v vic xc nh nhm khch hng lin quan s do cc ngn hng t xc nh v bo co cho NHNN. Trn thc t, phn ln cc ngn hng tun th nguyn tc ny, tuy nhin, vn cn mt s ngn hng v li nhun m b qua cc nguyn tc qun tr ri ro, dn n vic cho vay cc nhm khch hng c lin quan vt hn mc quy nh. Ngoi ra, cc ngn hng cng c xu hng cho cc thnh vin ca cng tp on nh nc vay vi d n ln hoc cho vay cng nhm khch hng kinh doanh bt ng sn, kinh doanh chng khon vi mc d n cao. Nguyn tc 12 - Ri ro quc gia v ri ro chuyn i: cha tun th

22

GVHD: PGS. V Th Minh Hng

Vit Nam cha c cng c hiu qu o lng v gim st ri ro quc gia v ri ro chuyn i. Nguyn tc 13, 14, 15, 16 - Ri ro th trng, ri ro thanh khon, ri ro tc nghip, ri ro li sut trong s sch ngn hng: tun th mt phn Hnh lang php l: o NHNN ban hnh Quyt nh 36/2006/Q-NHNN ngy 01/8/2006 v Quy ch kim tra, kim sot ni b ca TCTD o Quyt nh 37/2006/Q-NHNN ngy 01/8/2006 v Quy ch kim ton ni b ca TCTD. o NHNN cng ban hnh cc vn bn quy nh v cc t l bo m an ton trong hot ng ca TCTD gm: T l d tr bt buc tnh trn tin gi c NHNN thay i thng xuyn ty tng thi k c th theo thi hn, loi tin, loi ngn hng Gii hn tn dng c quy nh trong iu 8, Thng t 13/2010/TT-NHNN T l kh nng chi tr (thanh khon) quy nh trong iu 12, Thng t 13/2010/TT-NHNN T l gii hn gp vn, mua c phn quy nh trong iu 11, Thng t 13/2010/TT-NHNN T l cp tn dng so vi ngun vn huy ng quy nh trong iu 18, Thng t 13/2010/TT-NHNN T l ti a ca ngun vn ngn hn c s dng cho vay trung hn v di hn c quy nh trong Thng t s 15/2009/TT-NHNN T l vn cp trn. NHNN gim st vic tun th cc t l an ton v trao quyn cho cc NHTM xy dng chnh sch, quy trnh qun l ri ro v trnh ln NHNN. m bo cc nguyn tc lin quan n qun tr ri ro, NHNN cn: Xy dng cc tiu ch nh gi c cc chnh sch v quy trnh qun l ri ro do cc NHTM xy dng ph hp vi quy m v mc phc tp ca tng NHTM;

23

GVHD: PGS. V Th Minh Hng

Tng bc chun ha cc quy trnh nhm nhn dng, o lng v kim tra, Xem xt li mt s t l quy nh nh t l s dng ngun vn ngn hn kim sot ri ro cc loi ri ro; cho vay di hn, t l khng ch d n vn cho vay, chit khu giy t c gi u t, kinh doanh chng khon, tin ti vic giao cho cc NHTM qun l t l ny ty theo c th kinh doanh, quy m, cu trc, k hn, tnh n nh v thanh khon ca ngun vn ca mi ngn hng. Lc ny, NHNN s gim st da trn vic tun th quy ch tn dng v cc chi tiu an ton khc; NHNN cn c nhng quy nh buc cc NHTM ch trng qun tr ri ro, c bit l ri ro thanh khon v c bin php ch ti buc tun th cc quy nh ny. Nguyn tc 17- Kim tra v kim ton ni b: tun th mt phn NHNN ban hnh Quyt nh 36/2006/Q-NHNN ngy 01/8/2006 v Quy ch kim tra, kim sot ni b ca TCTD v Quyt nh 37/2006/Q-NHNN ngy 01/8/2006 v Quy ch kim ton ni b ca TCTD. Kt qu kim ton, kim sot ni b mc d vn cn nhng hn ch nht m bo tnh khch quan v khng nh tnh quan trng ca kim sot nh nhng t nhiu cng h tr cho cng tc qun tr ri ro. ni b cn bt buc cc TCTD phi thnh lp b phn kim sot ni b chuyn trch thay v cc TCTD t quyt nh; b phn kim sot ni b chu s iu hnh ca Hi ng Qun tr thay v Tng gim c. Ngoi ra, NHNN cng cn quy nh cc tiu chun i vi kim sot vin v kim ton vin ni b. Nguyn tc 18 - Lm dng cc dch v ti chnh: tun th mt phn NHNN xy dng mt lot cc vn bn lin quan n phng chng ra tin nh : Quyt nh 1654/Q-NHNN ngy 14/7/2009 v chc nng, nhim v, quyn hn v c cu t chc ca Cc Phng, chng ra tin do Thng c NHNN Vit Nam ban hnh; Quyt nh s 1002/Q-NHNN ngy 08/7/2005 ca Thng c NHNN Vit Thng t s 22/2009/TT-NHNN ca NHNN hng dn thc hin cc bin Nam v thnh lp Trung tm thng tin chng ra tin thuc NHNN; php phng, chng ra tin v mt s vn bn khc lin quan n thanh ton khng dng tin mt.

24

GVHD: PGS. V Th Minh Hng

Nguyn tc 19 - Phng php gim st: tun th mt phn C quan Thanh tra, gim st ngn hng xy dng cc tiu ch nh gi ngn hng theo tiu chun CAMELS v tng bc trin khai p dng phng php thanh tra trn c s ri ro theo thng l quc t v tin hnh thanh tra th nghim theo phng php ny ti mt s TCTD v t c nhng kt qu bc u kh kh quan. Tuy nhin, s thay i trong c ch vn hnh hot ng gim st ngn hng cng nh hnh lang php l cha p ng c. p ng i hi ca nguyn tc 19 - C quan Thanh tra, gim st ngn o xy dng cc quy nh ring cho cc loi hnh ngn hng cng nh phi ngn hng v cc nghip v c th m tng i tng ny c thc hin; o o to nhn lc thanh tra gim st am hiu su v qun tr ri ro, v tp on ngn hng, v sn phm lin kt; o C s phi hp gia cc c quan gim st chuyn ngnh v cch thc gim st c th, c bit ch trng lnh vc hot ng chnh ca cc tp on ngn hng. Nguyn tc 20 - K thut gim st: tun th mt phn Hin ti, C quan Thanh tra, gim st ngn hng mi ch thc hin thanh tra, gim st ti ch trn din rng, buc cc ngn hng tun th cc quy nh v t l an ton. Hot ng gim st t xa cn l mt im yu : ch th hin qua nhiu ch th yu cu cc TCTD thc hin nghim chnh cc bin php kim sot nhm m bo an ton, nh Ch th s 02/2006/CT-NHNN ngy 23/5/2006 v vic tng cng cc bin php phng nga, hn ch ri ro trong hot ng kinh doanh ca cc TCTD, Ch th s 03/2007/CT-NHNN v vic kim sot quy m, cht lng tn dng v cho vay u t, kinh doanh chng khon, cng vn s 5137/NHNN-TT ngy 08/7/2010 gi cc t chc cung ng dch v thanh ton nhm x l, ngn chn thanh ton cho c quc t .. Nguyn tc 21 - Thng tin gim st: tun th mt phn Quyt nh s 477/2004/Q-NHNN ngy 28/4/2004 ca Thng c NHNN v vic ban hnh Ch Bo co thng k p dng cho cc n v thuc NHNN v hng cn phi:

25

GVHD: PGS. V Th Minh Hng

cc TCTD v Quyt nh s 1747/2005/Q-NHNN ngy 01/12/2005 v vic sa i b sung mt s iu ca Quyt nh s 477. Vic thc hin ch bo co cha y , h thng v cha m bo cht lng. Cc c quan qun l thng khng ch ng khin cho cc NHTM mt kh nhiu thi gian cho vic lp bo co dn n cc ngn hng ch bo co mang tnh i ph ch khng ch trng n cht lng bo co. Gii php a ra l: R sot li cng tc bo co thng k, gim cc bng biu trnh trng lp, tng tnh minh bch v cht lng cc bo co t thc hin tng hp, thng k lu tr. Nguyn tc 22 - K ton v cng b cng khai: tun th mt phn Ngy 02/2/2005, NHNN ban hnh Quyt nh s 121/2005/Q-NHNN v Quy ch kim ton c lp i vi cc TCTD; ngy 18/4/2007, Thng c NHNN ban hnh Quyt nh s 16/2007/Q-NHNN v vic ban hnh Ch Bo co ti chnh p dng i vi cc TCTD, Quy nh v vic cng b cng khai bo co ti chnh ca NHTMCP ban hnh km theo Quyt nh s 1407/2004/Q-NHNN ngy 1/11/2004 ca NHNN (sau b sung bng Quyt nh 09/2006/Q-NHNN ngy 20/02/2006). Hn ch: cng b khng ng mu, cng b tr hn, hoc c sai st mc d c kim ton hoc s liu khng khp gia cc bo co, khng tp trung v mt ngun bo co duy nht. Vn ln nht trong vic tun th nguyn tc ny l s khng tng thch gia cc tiu chun Vit Nam v tiu chun th gii trong vic gim st da trn ri ro. iu ny khin cho cng tc gim st gp nhiu kh khn v khng nh gi ng thc cht ca tnh trng ri ro, ng thi vic khng tng thch cng gy kh khn trong so snh gia ngn hng ny vi ngn hng khc. Hin ti, mi ch c mt ngn hng - NHTMCP K thng - ch ng v mt s NHTM Nh nc, NHTMCP Xut nhp khu, NHTMCP Hng hi nm trong D n ti c cu li cc ngn hng do Ngn hng Th gii ti tr thc hin kim ton bo co ti chnh theo c 2 chun mc k ton Vit Nam v k ton quc t. Bn cnh , h thng k ton p dng i vi cc TCTD Vit Nam c Hip hi K ton v kim ton Vit Nam nh gi mi ch tun th khong 50% chun mc k ton quc t do B Ti chnh vn cha ban hnh cc chun mc k ton v trnh by, ghi nhn v o lng cng c ti chnh.

26

GVHD: PGS. V Th Minh Hng

Nguyn tc 23- Quyn x l vi phm ca c quan qun l nh nc: cha tun th iu 37, Ngh nh s 202/2004/N-CP ngy 10/12/2004 ca Chnh ph v x pht vi phm hnh chnh trong lnh vc tin t v hot ng ngn hng ch cho php C quan Thanh tra, gim st ngn hng c quyn thanh tra ngn hng nhng khng c quyn x l vi phm, quyn truy t cng nh quyn thu hi giy php hot ng, m ch c quyn x pht vi phm hnh chnh theo quy nh ca php lut, kin ngh vi Thng c v c quan c thm quyn bin php x l v cc bin php bo m thi hnh php lut v tin t v hot ng ngn hng. tun th c nguyn tc ny, Vit Nam phi thay i mt lot h thng lut lin quan n hot ng thanh tra, gim st. Nguyn tc 24 - Gim st hp nht: cha tun th y ban Gim st Ti chnh Quc gia mi c thnh lp theo Quyt nh s 34/2008/Q-TTg ngy 03/3/2008 v c Quy ch t chc v hot ng theo Quyt nh 79/2009/Q-TTg ngy 18/5/2009 ca Th tng Chnh ph. y ban Gim st Ti chnh Quc gia ang xy dng h thng thng tin v h thng ch tiu gim st an ton ton h thng, cha trin khai nhiu hot ng trong khi i hi gim st hp nht li kh phc tp nn vic gim st hp nht cho ti thi im ny vn cn qu nhiu bt cp, i hi phi tip tc gii quyt. y ban Gim st Ti chnh Quc gia cn c v th tng xng vi trch nhim gim st an ton v m ton h thng ti chnh v c cung cp ngun lc, trao quyn trin khai cc hot ng thuc trch nhim ca mnh, trong phn nh r trch nhim gim st ngn hng cho cc c quan gim st ngn hng trnh chng cho cng nh khng b st lnh vc gim st. Kt lun chng 2: Sau khi tm hiu tnh hnh h thng ha cc nguyn tc an ton ca Basel 2 vo trong qu trnh qun l ri ro ngn hng ca ngn hng nh nc Vit Nam, bn cnh nhng hiu qu t c th hu ht cc nguyn tc ch c tun th mt phn hoc thm ch cha c tun th mt cch trit . iu ny gy nn nhng kh khn nht nh trong qu trnh hi nhp kinh t th gii, i hi mt nn kinh t minh bch v thc s vng mnh.

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GVHD: PGS. V Th Minh Hng

Chng 3: Mt s cc nhn nh v bi hc kinh nghim ti Vit Nam

1. Thc trng khch quan: T l an ton vn ti thiu: theo tiu chun ca Basel II, t l ny phi c duy tr mc trn 8%, Thng t 13 ca NHNN quy nh t l ny trn 9%, nhn qua mt s t l an ton vn ca cc NHTM nh sau: STT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Tn NHTMCP Gia nh BAOVIET Bank Xng Du Petrolimex Phng ng Nam Vit Nam Tin Phong Xut Nhp Khu Lin Vit Si Gn Cng Thng Du Kh Ton Cu K Thng Pht Trin Nh TP.HCM Nh H Ni ng Si Gn Si Gn Thng Tn Nm 2010 Nm 2009 54,92 45,11 21,00 35,20 20,64 12,90 20,59 28,71 19,47 8,87 18,04 19,24 18,00 18,00 17,79 26,87 17,21 14,85 16,26 15,87 14,75 18,37 13,11 14,11 12,71 15,67 12,29 15,00 10,84 10,64 10,32 11,54 9,97 11,41 (Ngun: Th vin i hc M TPHCM)

Nh vy, c th nh gi khch quan rng cc NHTM ti Vit Nam m

bo tt yu cu v t l an ton vn ti thiu theo chun mc ca Basel II khng? Cu tr li s l khng. Th nht v Hip c Basel hin nay l nhng chun mc nh gi dnh cho cc nc c nn kinh t pht trin c bit l cc nc thuc khi OECD, iu c th thy d dng l hin ti Vit Nam cha c chi nhnh ngn hng nc ngoi no hoc ngn hng lin doanh no c ngun gc xut pht t Thy S. Th hai do ch k ton ca Vit Nam cha p ng theo chun mc ca h thng k ton quc t nh cp trn. Theo mt s chuyn gia, Vit Nam ch ang giai on u ca vic p dng nhng chun mc theo Basel II, cn c mt thi gian di hon thin tt c

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GVHD: PGS. V Th Minh Hng

nhng chun mc ny c bit l cc yu cu v qun l gim st ca c quan thanh tra gim st ngn hng. 2. Cc nhn nh v vic p dng Basel 2 ti Vit Nam: Theo phn tch tnh hnh ng dng Hip c Basel trn th gii, xu hng ng dng rng ri nhng chun mc ca Basel, c bit l Basel 2 trong cng tc qun tr ri ro v gim st hot ng ngn hng tr thnh xu hng chung ca cc nc trn th gii trong c Vit Nam. Nhng l do h thng ngn hng Vit Nam tch cc trong vic ng dng Basel 2 c th k n nh l: Th nht, hot ng ngn hng tri rng trn nhiu quc gia vi nhng danh mc sn phm dch v a dng. Mt s ngn hng Vit Nam m chi nhnh nc ngoi, khi phi tun theo php lut hin hnh ti nc s ti. Th hai, hot ng ngn hng s pht trin mnh trn ton lnh th Vit Nam, do vic kim sot hn ch n mc ti a ri ro cho h thng ngn hng cng nh ton b khch hng l yu cu cp thit t ra. Th ba, t nhn li v chn chnh mnh theo cc chun mc quc t s gip chng ta c th so snh v nh gi mt cch chnh xc, khch quan nht im mnh, im yu t c nhng bin php kp thi khc phc, nng cao nng lc cnh tranh. Tm li, vic ng dng hip c an ton vn Basel c xc nh l mc tiu qun tr ri ro hng u i vi cc t chc tn dng Vit Nam. Hip c s gp phn ci tin cht lng qun l cc nh ch ti chnh, n nh h thng ngn hng v trn ht l tng tnh hiu qu ca hot ng ti tr nn kinh t. thc hin c nhng mc tiu trn, ngn hng nh nc Vit Nam cn p dng nhm gii php phi hp nh: Xy dng c ch gim st phi hp. Nng cao cht lng ngun nhn lc. Nng cao cht lng thng tin tn dng. Tng tnh ch ng v sc mnh ti chnh cho cc NHTM. Nng cp c s h tng ti chnh. Hon thin h thng vn bn php lut. Bn cnh cc nhm gii php cho NHNN, th cc NHTM cn tp trung vo cc nhm gii php sau:

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GVHD: PGS. V Th Minh Hng

Hon thin h thng thng tin. Pht trin h tng cng ngh thng tin. Xy dng h thng xp hng ni b. Ci tin quy trnh qun tr ri ro.

3. Bi hc kinh nghim cho Vit Nam v vic p dng Hip c Basel 2: Kinh nghim cc nc cho thy mc sn sng p dng Basel v c bit l Basel 2 ph thuc vo mt s yu t sau: Hin trng ca h thng qun l ri ro ngn hng. Chi ph/ li ch d tnh. Mc p lc ca ngn hng Trung ng. S chun b thc hin Basel ca cc ngn hng i th. Nu nhn t gc ca mt ngn hng trung ng, nhng yu t s c cn nhc khi chun b thc hin Hip c mi bao gm: Cc u tin quc gia. Mc sn sng v khun kh php l v qun l. Cc chun mc k ton. Ngun nhn lc v i ng chuyn gia. Tnh lnh mnh trong qun tr doanh nghip. K lut th trng. S c mt v mc ng tin cy ca cc cng ty xp hng tn dng. Cc vn v sn chi bnh ng. c th p dng tt cc nguyn tc nh gi an ton hot ng ca h thng ngn hng theo Basel, mt trong nhng yu t quan trng l s hot ng hiu qu ca c quan gim st, cn thit phi xy dng mt h thng gim st ngn hng hu hiu v th ch, m hnh t chc, cng nh con ngi, phng php theo cc nguyn tc, chun mc quc t v gim st ngn hng.

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GVHD: PGS. V Th Minh Hng

KT LUN

Vn hin nay m h thng ngn hng Vit Nam gp phi cng ging nh cc nn kinh t mi ni khc, chnh l s cha n nh v h thng lut php cng nh hot ng ngn hng. Cn c rt nhiu bin ng mang tnh cht thay i ton din nh hng n c h thng ngn hng. V vy, trong giai on va qua, h thng ngn hng Vit Nam cha c iu kin hon thin cc c s h tng ti chnh, h thng cng ngh thng tin cng nh h thng vn bn php lut phc v nhu cu ng dng Hip c Basel mi. Ngoi ra, s thiu ht ngun nhn lc cht lng cao lm vic trong lnh vc ngn hng cng l mt trong nhng nguyn nhn gy kh khn cho qu trnh vn dng nhng m hnh qun tr ri ro hin i vo hot ng ca h thng ngn hng Vit Nam. Thng qua ton b ni dung ti t chng I n chng III, t vic phn tch nhng ni dung ca tng Hip c Basel n n phn tch thc trng tun th nguyn tc gim st ca ngn hng Vit Nam, tm ra nhng kh khn m cc ngn hng Vit Nam gp phi trong qu trnh vn dng theo chun mc ca hip c Basel II, ti c gng ra nhn nh v bi hc kinh nghim cho Vit Nam v vic p dng Basel II. c th xy dng mt h thng qun tr tng thch vi iu kin h thng ngn hng Vit Nam nhng vn m bo tun th ti a theo chun mc quc t do y ban Basel a ra trong Hip c Basel II.

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GVHD: PGS. V Th Minh Hng

Danh mc ti liu tham kho

1) Basel Committee on Banking Supervision, International Convergence of Capital
Measurement and Capital Standards, June 2004

2) Nguyn i Lai, Nhng ni dung c bn rt ra t cc bi vit trong hi tho Nng

cao nng lc qun tr ri ro ca cc NHTM Vit Nam

3) V Duy Tn, Mt s vn v xy dng m hnh qun tr ri ro hiu qu ti cc

NHTM Vit Nam, Tp ch Ngn hng

4) Nguyn Hng Giang, Mt s kh khn trong vic thc hin Basel II i vi cc

nc ang pht trin, Tp ch Ngn hng

5) Nguyn Vn Bnh, Mt s thch thc i vi h thng thanh tra, gim st ngn

hng trong tnh hnh mi, Tp ch ngn hng s 1/2007

6) VietNamNet, Basel II s lm kh dng vn vo Vit Nam 7) Thng t 13/2010/TT-NHNN v t l m bo an ton ca TCTD 8) Quyt nh 83/2009/Q-TTg ngy 27/05/2009 ca Th tng Chnh ph quy nh
chc nng, nhim v, quyn hn v c cu t chc ca C quan Thanh tra, gim st ngn hng trc thuc NHNN Vit Nam

9) Quyt nh 127/2005/Q-NHNN ngy 03/2/2005 v quy ch cho vay ca TCTD i

vi khch hng,

10) Quyt nh 37/2006/Q-NHNN ngy 01/8/2006 v Quy ch kim ton ni b ca

TCTD

11) Quyt nh 36/2006/Q-NHNN ngy 01/8/2006 v Quy ch kim tra, kim sot ni
b ca TCTD

12) Ch th s 02/2006/CT-NHNN ngy 23/5/2006 v vic tng cng cc bin php

phng nga, hn ch ri ro trong hot ng kinh doanh ca cc TCTD

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GVHD: PGS. V Th Minh Hng

MC LC
Li m u 1. Tnh cp thit ca ti 1.1. 1.2. L do chn ti Vn nghin cu 1 1 2 2 2 2

2. Phng php nghin cu 3. Tnh hnh nghin cu 4. Kt cu ca ti

Chng 1: C s l lun ca h thng chun mc nh gi hot ng ngn hng an ton theo Hip c Basel.
1. Vi nt v y ban Basel 2. Ni dung hip c Basel 1 2.1. 2.2. 2.3. 2.4. Hon cnh ra i Mc tiu Ni dung chnh Nhng hn ch Hon cnh ra i Mc tiu Ni dung chnh nh gi Hon cnh ra i Ni dung chnh nh gi 3 4 4 4 4 6 6 6 6 7 12 13 13 13 15

3. Ni dung hip c Basel 2 3.1. 3.2. 3.3. 3.4.

4. Ni dung hip c Basel 3 4.1. 4.2. 4.3.

Chng 2: Thc trng gim st ngn hng theo Basel 2 ti Vit Nam. 1. C hi, thch thc i vi vic p dng Basel II ca h thng ngn hng Vit Nam. 1.1. C hi 16 16

33

GVHD: PGS. V Th Minh Hng

1.2. Thch thc 16 2. Phn tch thc trng tun th cc nguyn tc gim st ngn hng theo tiu ch Basel II. Chng 3: Mt s cc nhn nh v bi hc kinh nghim ti Vit Nam. 1. Thc trng khch quan 2. Cc nhn nh v vic p dng Basel 2 ti Vit Nam 3. Bi hc kinh nghim cho Vit Nam v vic p dng Hip c Basel 2 Kt lun Danh mc ti liu tham kho 28 29 30 17

31 32

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