TAP CHi CONG THIftfNG
ANH HlTCfNG TlJ DON BAY TAI CHINH CUA DOANH NGHIEP DEN RUI RO TIN DyNG
TAI NGAN HANG THlJOfNG M ^ I CO PHAN PHAT TRIEN THANH PHO HO CHI MINH
- CHI NHANH CAN THO
• HUYNH THUYVI
TOM TAT:
Nghidn cdu nay dffdc thdc hidn nham kiem tra sd anh hffdng cua ddn bay tai chinh cua cac doanh nghidp vay vd'n tai Ngan hang TMCP Phat trien TP. Ho Chi Minh - Chi nhanh Can Thd de'n kha nang xay ra rui ro tin dung cua cac khach hang nay trong giai doan 2015-2018. Ket qua xac dinh ddn bay t^i chinh cua doanh nghiep trong mau nghidn edu d mdc trung binh la 0,546 va cd tac ddng thuan chieu den kha nang xdy ra rui ro tin diing cua cac doanh nghidp. Bdn canh do, kd't qua nghidn cdu cho tha'y didi gian hoat ddng cua doanh nghiep va xd'p hang tin dung ndi bp cua doanh nghiep cd anh hddng nghich chieu dd'n rui ro tin dung cua Ngan hang TMCP Phat trien TP. Ho Chi Minh - Chi nhanh Cin Thd.
Ttf khoa: Ddn bS'y tai chinh, rui ro tin dung, khach hang doanh nghiep.
1. Dat van de
Viec hieu dung ve cac ye'u td' anh hddng dd'n rui ro tin dung la va'n dd then chd't cho sff ben vffng tai chinh. Cac ngan hang va cac td chdc tai chinh khac ludn ddi hdi phai td'i da hda ldi nhuan, ddng thdi cung phai Iddng hda dddc nhffng rui ro trong danh muc tdi san cua hp. Vdi mdt khoan cho vay trong cac tai san cua ngan hang, vide hieu dddc tai sao mot sd doanh nghiep di vay rdi vao nd qua han trong khi sd'khae lai khdng cd. cd le la cau hoi rat quan trong can tim hieu.
Viec vay nd chinh thdc tff ngan hang hoac ffa thich sd dung vd'n ed phan hdn la mdt quye't dinh cffc ki quan trpng dffdc dffa ra bdi eac cdng ty. Viec phai can nhac sff danh doi giffa sff gia tang thu nhap tiem nang cua cac co ddng cua cdng ty va sff sut giam se xay ra dd'i vdi nang Iffc tai chinh va
dieu hanh kiem soat cua cdng ty, la mdt phIn quan trpng trong vide ra quye't dinh (Luoma va Spiller, 2002), bdi vi cac quyd't dinh tai d-p tai ehinh khdng thich hdp se lam cdng ty rdi vao rui ro nhieu hdn.
Vide md rdng boat ddng cua cac cdng ty dSt ho vao tinh the' phai Iffa chpn cac phffdng an tai trd tai chinh. Viec Ida chpn giffa cac khoan nd vay ngSn hang va gia tang vd'n chia sd hffu hay mpt si^
ke't hdp hidu qua nha't cua ca hai phu thupc vac sd san cd ciia cac nguon quy ben trong cdng ty (Long va Malitz, 1985). Ahmed Sheikh va Wang (2011) nha'n manh rSng, sd Ida chpn khdng thich hdp ve cac trai phid'u nhd cac khoan nd hoac phdt hanh thdm cd phie'u da tao ra khung hoang tai chinh va vd nd cua cac cdng ty. Hieu theo each khac, viec sd dung cac phddng an tai trd phu hdp va hffu hieu se giam thieu rui ro tai chinh cho cdng ty va taora
256 So 2 2 - T h a n g 12/2019
I A I CniNH-NGAN HANG-BAO HIEM
ldi nhuan cho cdng ty. Day cung se la nhffng dam bao cho kha nang tra nd dung ban va giam thieu rui ro tin dung cho ngSn hang.
Bai vid't nay nham phan tich anh hffdng cua ddn bay tai chinh cua doanh nghidp cung cac ye'u to' vi md khac dd'n rui ro tin dung tai HDBank chi nhanh Can Thd. Udc Iffdng Binary logistic dddc sd dung de ddc Iddng cac yd'u td' anh hddng den rui ro tin dung cua khach hang doanh nghidp tai chi nhanh.
Kd't qua nghidn cdu dddc ky vpng se cung ca'p ke't luan quan trpng trong hoat ddng quan ly rui ro tin dung cho cac ngan hang.
2. Cdsd ly thuyd't va phffdng phap nghien ctfu 2.1. Cd sd ly thuyi't
Tff sau cac nghien cdu cua Beaver (1966) va Altman (1968), cac nha nghien cdu da ra't chu y dd'n cac yd'u td' dan dd'n rui ro Cin dung cda doanh nghidp. Gan day hdn, Traczynski (2017) da chi ra rang cd 2 yeu td' anh hffdng dd'n rui ro eua cac doanh nghiep, bat ke dd la nganh nghd gl, do la yd'u to' ve ddn bay tai chinh va sd bien ddng gia thi trddng. Thdc td' cho tha'y, ddn bay tai chinh la ydu to' cffc ki quan Urpng va giff vai trd trung tam trong cac md hinh Iddng hda rui ro tin dung nen tang dffdc sddung ca trong hpc thuat lan thdc te'nhieu nganh cdng nghidp (Merton, 1974, Colhn-Dufresne va Goldstein, 2001, Vassalou va Xing, 2004, Bharath va Shumway, 2008). Nhieu nghidn cdu thufc hidn ridng bidt anh hffdng cua ddn bay tai chinh den rui ro tin dung d cac doanh nghiep Idn (Altman, 1968, Chava va Jarrow, 2004, Campbell va cdng sff, 2008, Giordani va cdng sd, 2014 va Traczynski, 2017) va cae doanh nghidp nhd (Altman va Sabato, 2005, Altman va Sabato, 2007), Trong khi mpt sd tac gia tap trung so sanh sff tac ddng cua ddn bay tai chinh d ca 2 nhdm doanh nghidp. Beck va cdng sff (2008), bang vide sd dung bd dff lieu khao sat ca nhdm doanh nghidp idn va nhd d 48 qudc gia, da xac dinh rang cac doanh nghiep nho sd dung it cac ngudn tai trd bdn ngoai hdn, dac bidt la cac khoan vay ngan hang. Cac tac gia cung chffng minh rang, cac doanh nghidp ldn thffdng de tid'p can cac khoan vay ben ngoai hdn, qua dd de xua't cac chinh phu can cd chinh sach hd trp cac doanh nghidp vda va nhd trong cac nen kinh td'.
2.2. Sdlieu nghien cdu
Sd'lieu phuc vu nghien cdu dddc thu thap ngau nhidn td danh sach hd sd khach bang doanh nghidp cd hdp ddng tin dung va cdn dff nd de'n ngay 31/12/2018. Tong sd cd 90 hd sd dffdc chpn dd thu
thap cae thdng tin can thie't cho md hinh. Cae hoat ddng kinh doanh eua khach hang thd hidn mdc dp da dang hda va ITnh vdc chinh tad ra thu nhap de tra nd dddc thu thap tff hd sd vay cua khach hang.
Phffdng phap thu thSp so lieu phai dam bao dffdc rang ta't ca cac quan sat dddc chpn deu da phat sinh ky han tra nd va cac hd sd vay deu dffdc xd'p Idai tin dung theo quy dinh cua ngan hang.
2.3. Phuang phdp phdn tich sdlieu Phan tich anh hddng cua ddn bay tai chinh cung cac yd'u to' khac de'n xac sua't xay ra nd xa'u cua cac doanh nghidp vay vd'n tai HDBank, nghien cdu sff dung phddng phap ddc Iddng Binary Logistic.
Md hinh hdi quy dddc trinh bay nhd sau:
RUIROTINDUNG = pp + p|.DONBAYTC + p2-TH0IGIANHD + pj. QUYMODN + p4. TAISANDB + p^. XEPHANGTD -l-pg. L I C H S U N Q H H - U ,
Bie'n phu thudc trong md hinh la RUIROTIN- DUNG va dddc quan sat dda vao hd sd vay cua khach hang. Rui ro tin dung cua mdt hd sd vay dddc phan loai theo cha't Iffdng khoan vay dffa vao 5 mdc dp (theo Thdng td sd 02/2013/TT-NHNN).
Nhffng hd sd vay bi xe'p loai tff nhdm 3 (nd dffdi chuan) trd len dffdc cho la nhffng hd sd tin dung cd rdi ro. Md binh logit nhi phan dddc sd dung de phan tich cac yd'u td'anh hddng dd'n rui ro tin dung giffa hai nhdm khach hang. Khi dd, khach hang phat sinh nhdm nd dffdi ehuan (nhdm 3, 4 va 5) nhan gia tn 1 va nhdm khach hang vdi nhdm nd du chuan (nhdm I va 2) nhan gia tri 0. (Bang 1).
3. Kd't qua va thao luSn
3.1. Ddc diem chung cua cdc doanh nghidp cua HDBank - CN Cdn Tha
Mdt so' dac diem cua cac doanh nghiep vay vd'n tai HDBank - CN Can Thd dddc trinh bay d Bang 2. Thdi gian hoat ddng trung binh eua cac doanh nghiep trong nghien cdu la khoang 10 nam. Trong tdng so' 90 hd sd vay. he sd' tien vay tren gia tri tai san dam bao 6 mdc trung binb la 0,535, mdc cao nha't la 0,87 va mdc tha'p nha't chi la 0,07. Ddn bay tai chinh (ty Id giffa Nd phai tra/Tai san) cda cac khach hang doanh nghidp d mdc trung binh khoang 0,546. Doanh nghiep cd mdc ddn b^y tha'p nha't chi 0,12 trong khi doanh nghiep cd cac khoan nd phai tra tren tdng tai san nhieu nha't la d mdc 0,86. Tuy quy md cua cac doanh nghiep tai ngan hang khdng cd nhieu khac biet nhffng sff dao ddng cua ddn bay tai chinh trong mau nghidn effu la tddng dd'i Idn.
TAP CHi CDNG THIflfNG
Bang 1. Diln giai cac bien doc lap trong mo hJnh nghien cCru Ky h!$u
DONBAYTC
THOIGIANHD
QUYMODN
TAISANDB
XEPHANGTD
LICHSUNQH
Ten bien Ddn bay tai chinh cua doanh nghiep Thdi gian hoat ddng cua doanh nghiep Quy md ciia doanh nghiep Tai san dam bao
Xep hang tin dung
Ljch sd np qua han
Mo ta bien
Nd phai tra/Tdng Tai san
So nam quan ly cua chii doanh nghiep trong ITnh vuc kinh doanh hien tai
Bien gia; cac doanh nghiep cd quy md Idn se nhan gia tn la 1 va quy md trung binh va nhd nhan gia trj 0.
Sdtien vay/Gia tn tai san dam bao
Bien gia; cac doanh nghiep cd xep hang tin dung thupc nhdm A se nhan gia tn la 1 va cac xep hang cdn lai nhan gia tn 0.
La bien gia bang 1 neu doanh nghiep vay da tdng cd nd qua han va bang 0 neu khdng cd nd qua han
Kyvpng +
+
+
Bang 2. Cac chi tieu ve dQc diem cue cac doanh nghiep vay von Chi tieu
Thdi gian hoat dong cua doanh nghiep (nam) Ddn bay tai chinh (ian)
Ty le du nd vay tren tai san dam bao tien vay (ian)
Nho nhat 3 0,12 0,07
Ldn nhat 15 0,85 0,87
GiatnTB 10,10 0,646 ^ 0,535
DO i^ch chuin 2,836 0,189 0,185
3.2. Anh hddng cua don bay tdi chinh den rui ro tin dung cda cdc doanh nghiep tgi HDBank - CN Cdn Tha
De phan tich anh hddng cua ddn bay tai chinh cua doanh nghidp cung cac yd'u td' khac dd'n xac sua't xay ra nd xa'u cua ciic doanh nghidp vay vd'n tai HDBank - CN Can Thd, nghien cdu sff dung md hinh ffdc Iffdng Binary logistic de phan tich.
(Bang 3).
Don bay tdi chinh (tdng na phdi trd/tong tdi sdn); \k ye'u to' cd tddng quan thuan vdi rui rd tin dung, vdi mdc y nghTa thd'ng ke 5%. Kd't qua ddc Iddng cho tha'y, ne'u ddn bay tai chinh tang thi xac sua't xay ra rui ro tin dung tang va ngddc lai. Md'i quan hd nay cho tha'y cac doanh nghiep sd dung vdn vay cang nhieu ddng nghia vdi rui ro phat sinh cang cao so vdi cac doanh nghidp sff dung nd it hdn. Cd the tha'y rd trong giai doan hidn nay khi thi trffdng kinh doanh gap nhieu khd khan, tie'p can ngudn vd'n ngan hang cdn nhieu rao can din dd'n nhieu doanh nghiep ma't kha nang thanh toan, thie'u hut vdn trong kinh doanh din den pha san
hang loat trong thdi gian qua. Kd't qua nay cung phii hdp vdi ke't qua nghien effu cua Hoang Tiing (2011), khi ty sua't nd tang se lam giam kha nang tra np hay ndi each khac la se lam gia tang xic sua't xay ra rui ro tin dung.
Xep hang tin dung cd tffdng quan nghich vi3i rui ro tin dung d mdc y nghTa 5%. Hd so'hdi qui cua bie'n xe'p hang tin dung cua doanh nghidp Iii -3.180 mang da'u am, quan he nghich bid'n vdi bid'n phu thudc, ddng vdi ky vpng cua md hinh nghien cdu. Trong didu kien cac ye'u td' khk khdng thay ddi, ne'u cho vay, cac doanh nghiep cd xd'p hang tff A trd ldn thi xac sua't xay ra rui ro tin dung dd'i vdi doanh nghiep nay tha'p hdn cdc doanh nghiep cd xe'p hang tff BBB trd xudng la 5,9%. Xd'p hang tin dung dffa tren ke't qua hoat ddng kinh doanh, ye'u td' khach quan va yd'u t6 npi bd doanh nghiep. Mot doanh nghiep cd xep hang cao thi tinh hinh tai chinh td't, ddng thdi cdc yd'u to'lien quan dd'n bd may hoat ddng cung tot ndn kha nang sinh ldi de thanh toan nd vay ngan hang se dam bao. Md hinh ffdc Iffdng da xac dinh
258 So 2 2 - T h a n g 12/2019
TAI CHJNH-NGAN HANG-BAD HIEM
Bang 3. Ki't qua mo tiinh Binary logistic Tin biSh
DONBAYTC THOiGiANHD QUYIl/IODN TAISANDB XEPHANGTD LiCHSUNQH Hang so
Giiii thfcii bien Bon bay tai chinh Thdi gian hoat dong Quy mo doanh nghiep Tai san dam bao tien vay Xep hang tin dung Lich si) no qua han
H$so 37,495 -1,221
•4,048 18,853 -3,180 3,586 -25,724 Gia tn log lil^eiihood
Gia tn i<iem djnh chi^
Pseudo R^
Sd quan sat
Gia tri P 0,030"
0,049"
0,254 "•
0,187 "•
0,040"
0,241 ™ 0,058
Tac dOng bien 0,091 -0,003
-0,059
-5,313 Prob > X2. 0,0000 89,61%
90
* Bie'n cd y nghia thd'ng ke ldn luat d cdc mdc y nghia tai 1%, 5% vd 10%
yeu to' xe'p hang tin dung cd tac ddng de'n rui ro cua tin dung dd'i vdi doanh nghidp.
Thdi gian hoat dong ctia doanh ngbiep cd anh hddng nghich chieu vdi rui ro tin dung cua chi nhanh d mdc y nghia 5%. Ke't qua nghidn cdu cho tha'y nd'u thdi gian hoat ddng cua doanb nghiep tang them 1 nam thi xac sua't xay ra rui ro tin dung se giamdi 0,3%.
4. Ke't luan
Nghidn cdu nay kiem tra sff anh hddng eua ddn bay tai chinh cda doanh nghiep vay vd'n dd'n rui ro
tin dung tai HDBank-Chi nhanh Can Thd. Sd'lidu nghien effu dffdc thffc hien tff thu thap hd sd tin dung cua cac doanh nghidp tai chi nhanh trong giai doan 2015-2018. Kd't qua nghiencffucho tha'y ddn ba'y tai chinh cua cac doanh nghidp d mdc 54,6%, tddng dd'i hdp ly. Nghidn cdu khang dinh cd sff anh hffdng kha rd cua ddn bay tai cbinh cua doanh nghiep de'n rui ro tin dung tai HDBank - CN Can Thd, ben canh cac ye'u to khac nhff thdi gian hoat ddng cua doanh nghidp va xd'p hang tin dung ndi bd cua doanh nghiep tai chi nhanh •
TAI LIEU THAM KHAO:
1. Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediciion of corporate bankrupicy. The Journal of Finance, 23(4): 589-609.
2. Altman, E. I. and Sabato, G. (2005). Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs. Journal of Financial Services Research, 28(1): 15-42.
3. Alnnan, E. 1. and Sabato, G. (2007). Modelling Credu Risk for SMEs. Evidence from the U.S Market Abacus. 43(3):
332-357.
4. Beaver, W. H. (1966). Financial Ratios As Predictors of Failure. Journal of Accounting Research, 471-111.
5. Beck, T, Demirg-Kunt, A., and Maksimovic, V (2008). Financing patterns around the world: Are small finns different'^ Journal of Financial Economics, 89(3) 467-487.
l A P CHi CONC THIlliNG
6. Biiarath, S T and Siiitmway, T. {2008}. Forecasting Default wltli the Merton Distance to Default Model. The Review of Financial Studies. 21(3): 1339-1369
7. Campbell. J. Y., Hilscher, J., and Szilasyi, J. (200SJ. In Search of Distress Risk Tlie Journal of Finance. 63(6):
2899-2939.
8. Chava. S. and Jarrow, R A. (2004). Bankruptcy Prediction with Jndusliy Effects. Review of Finance. 8(4): 537-569.
9. Collin-Dufresne, P. and Goldstein. R. S. (2001). Do Credit Spreads Reflect StationaryLeverage Ratios? The Journal of Finance, 56(5): 1929-1957.
10. Giordani, P, Jacohson, T., Schedvin, E. v., and Villani, M. (2014). Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios. JournalofFinancialand Quantitative Anatysts,49(4): 1071-1099.
11. Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance. 29(2): 449-470
12. Traczynski, J (2017). Firm Default Prediction. A Bayesian Model-Averaging Approach Journal of Financial and Quantitative Analysis, 52(3)-1211-1245.
13. Vassalou, M. and Xing, Y. (2004) Default Risk m El/ulty Returns. The Journal of Finance, 59(2): 831-868.
Ngaynhan bai: 2/11/2019
Ngay phan bien danh gia va su'a chi?a: 12/11/2019 Ngay chap nhan dang bai: 22/11/2019
Thong tin tdc gid:
HUYNH THUY VI
Hoc vien cao hoc nganh Tai chinh - Ngan hang, Tritdng Dai hoc T^y D6 Ngan hang TMCP Phat trii'n TP. H 6 Chi Minh - Chi nhanh C^n Thd
EFFECT OF THE ENTERPRISE CUSTOMERS' FINANCIAL LEVERAGE ON CREDIT RISK OF HO Cffl MINH CITY
DEVELOPMENT JOINT STOCK COMERCIAL BANK -CAN THO BRANCH
• HUYNH THUY VI
Master Student in Finance - Banking, Toy Do University, Ho Ctil Minti City Deveiopment Joint Stocl< Commerciai Banl< - Can Tho Branch
ABSTRACT:
This study aims to examine the effect of the enterprise customers' financial leverage on credit risk. The data was obtained from the annual report from 2015 to 2018 of Ho Chi Minh City Development Joint Stock Comercial Bank (HD Bank)- Can Tho Branch. Results show that the average financial leverage is 0.546 which indicates positive impact on the possibility of credit risk of the branch. Furthermore, other factors including the operating duration and internal grading index of the enterprise customers affect negatively on the credit risk of HD Bank - Can Tho branch.
Keywords: Financial leverage, credit risk, enterprise customer
260 So 2 2 - T h a n g 12/2019
