1 1 1 1 CONG NGHt NGAN HANG
KINH NGHIEM DINH GIA CAC KHOAN CHO VAY Dl/A TREN DO LlTOfNG CAC YEU TO RUI RO
ChSu Dinh Linh ThS. Dvtcfng VSn Bon
C
dc ngdn hdng thiidng mgi Vi^t Nam dang ddn hodn thi^n h^ thdng xep hgng khdch hdng ngi bg de ddnh gid, qudn ly cdc mdc rui ro cua tdng khdch hdng vay vdn. H? thdng ndy khdng chi Id cdng cu hi?u qud trong cdng tdc tham dinh, ddnh gid mdc dg rui ro vd ra quyet dinh cho tdng mdn vay td dd ndng cao chd't liCgng tin dung vd trich lap dvt phdng phu hgp ma cdn cdn rdt hdu ich trong phdn xet ldi sudt cho vay tuy vdo ddi tdgng khdch hdng, tiidng dng vdi moi hgng tin dung td /i? thdng se cd mdc ldi sudt cho vay khdc nhau. Tuy nhien, cdch dp ddt ldi sudt cho vay tren Idm ngdn hdng trd nen kem cgnh tranh vd chiia tri^t de riii ro; vi du hai khdch hdng cung hgng tin dung nhitng cd logi tdi sdn khdc nhau hoac cd cd cdu tdi sdn ddm bdo (TSDB) khdc nhau thi ldi sudt vdn nhU nhau? Bdi viet se gidi thi^u sd lUgc cdch thdc dinh gid khodn vay thdng qua /i? thdng xep hgng khdch hdng ngi bg vd chi ra nhugc diem Idn hitdng khdc phuc cua cdch thdc ndy trong hgn che tdi da cdc rui ro.Dat v a n de thugc vdo kenh tin dung nhd boat ddng thu lgi nhudn chinh vd kem theo Id sU ddi dien Trong nhdng nam qua, he thdng ngdn hdng vdi rd't nhieu rdi ro nhu rdi ro tin dung, riii Viet Nam da ddi mdi mdt cdch cdn ban ve ro ky b a n , rdi ro ldi sudt, rdi ro ludt phap md hinh td chdc, md hinh boat dgng, cU (phu thugc hodn todn vdo cdc chinh sach chd dieu hdnh, nghiep vu, ngudn nhdn lUc tien te cua ngdn bdng nhd nUdc)...
vd tu duy ve quan tri rdi ro. Chinh sd ddi
mdi dd da ddng gdp mdt phan khdng nhd Chinh le dd, bien phdp b a n chd vd bd dap cho qud trinh tdng trUdng vd phdt trien rdi ro ddgc cdc ngdn hdng rdt rdo thUc hien nen kinh td. Khdng nhdng vdy, td duy td td sU thay ddi quy trinh cd'p tin dung, kiem chdc boat ddng cua he tho'ng ngdn hdng sodt hg thdng quan tri tudn thd, chuyen ngdy mdt mdi vdi cdc md hinh kinh doanh mdn hda vd tdch bach cdc bd phdn trong khdng qud phu thugc vdo kenh tin dung quy trinh tin dung, dp dung he thd'ng xep dd 1dm cdc ngdn hdng trd t h a n h mdt sieu hang ngi bd... cho ddn xdy ddng mgt m6 thi tdi chinh (md hinh ngdn hdng bdn le) hinh bd ddp rui ro hieu qua thdng qua hoat cung cd'p rd't nhieu sdn pham - dich vu md ddng dinh gid cdc khodn cho vay.
khdch hdng rd't hdi long. Su chuyen ddi md
hinh kinh doanh da 1dm cu cd'u lgi nhudn Trong khudn khd bdi viet, tdc gia chi tap cda ngdn hang it cdn phu thugc qud nhieu trung gidi thieu md hinh bd dap rui ro vdo tin dung - ddy se la xu hddng cho sd thdng qua dinh gid cdc khoan cho vay di/a tdng trddng ben vdng cua he thd'ng ngdn t r e n cU sd do Iddng cac ydu to' rui ro (risk hdng Viet Nam thdi gian tdi. Tuy nhien, based pricing) vd nhdng lgi ich dem lai cho thdi diem nay, cdc ngdn hdng vdn cdn phu ngdn hdng.
Congnghe n g d l l H d H g
Sd68«Thang 11/2011
CONG NGHt NGAN HANG 1 1 1 1 1 D i n h g i a k h o a n v a y d i f a t r e n d o l i T d n g vay. P h a n bd rdi ro Idn hay nhd phu thugc c a c y § ' u t o ' r i i i r o vdo qud t r i n h t h a m dinh k h d c h h a n g vay vdn, lich sd giao dich tin dung vd kdt qua Mdt t r o n g n h d n g k h a u quan t r g n g t r o n g d d n h gid cua he t h d n g xep h a n g tin dung b o a t ddng cho vay dd'i vdi cdc td chdc k i n h ngi bd. Tuy n h i e n , cdc bUdc cda qud t r i n h t e t d i c h i n h cdng nhU dd'i vdi k h d c h h d n g t h a m dinh khdch h d n g vd lich sd giao dich cd n h d n la d i n h gid k h o d n cho vay. Cdc tin dung chi mdi xdc dinh ve quydt dinh cd'p n g d n h a n g ludn mong mud'n n h d n ddgc ldi tin dung Idn sU d d n h gid sU bd ve rui ro, sud't cao de t r a n g t r a i chi phi huy ddng chd chda dinh rd ve mdc p h a n t r d m rdi ro vd'n, bd d a p h o d n t o d n r d i ro l i e n quan cdc gap p h a i khi t i e n h a n h cho vay vdn. Chinh k h o a n cho vay vd cd ldi. Tuy n h i e n , ldi vi vdy, he t h d n g xdp h a n g k h d c h h a n g ndi sud't c a n p h a i d d t d mdc h g p ly so vdi m a t bd dugc chuan hda vd dng dung r d n g rai b a n g ldi sud't t h i trUdng, cdng nhU de t a o trong he t h d n g ngdn h d n g t r e n t h d gidi de d u n g lgi t h e c a n h t r a n h so vdi n g d n h a n g lugng hda mdc do rdi ro t h d n h ty le p h a n dd'i t h d hay duy t r i vd d n dinh md'i quan he t r a m p h d n bd rui ro trong ldi sud't cho vay.
vdi k h d c h h d n g vay vd'n. Hun n d a , vdi qud
t r i n h t o d n cau h d a , b o a t d g n g n g d n h d n g Vdi he thd'ng ndy, n g d n h a n g se lugng h d a k h d n g chi gdi g h e m t r o n g he thd'ng n g d n cdc bd chi tieu dinh lugng vd dinh t i n h ve h d n g ngi dia md n g d y cdng cd n h i e u chd k h d c h h d n g de dUa ra h a n g t i n dung. Tuung t h e n g d n h d n g lOO'/r vd'n nUdc ngodi t h a m d n g mdi h a n g tin dung se cd xdc sud't x a y gia, dieu n a y 1dm sU c a n h t r a n h t r d n e n r a rui ro k h d c nhau, theo dd cdc xdc sud't gay g d t bun vd k h a n d n g s i n h ldi cda n g d n xay r a rui ro k h d c nhau se cd p h a n t r a m h a n g t d b o a t d g n g cd'p t i n d u n g s u t g i a m , p h a n bd r d i ro k h d c n h a u t r o n g ldi sud't luc n a y n g d n h a n g chi cd t h e d d n g vai trd cho vay. Dieu ndy dd l a m cho he thd'ng xdp Id ngUdi chd'p n h d n gid md d a n bd qua vai h a n g k h d c h h a n g ngi bd trd t h d n h m g t trd la ngUdi d d t gid. C h i n h vi vdy, dinh cdng cu dac lUc t r o n g h o a t ddng cd'p tin gid c h i n h xdc cdc k h o a n vay n g d y cdng t r d dung, cdng nhU dinh gid tUUng dd'i chinh t h d n h vd'n de cd'p t h i d t dd'i vdi n g d n h d n g xdc mdc lai sud't cho vay theo do rdi ro t d n g t r o n g giai d o a n h i e n nay. k h d c h h a n g khdc nhau.
LUa chgn phuung p h d p xdc dinh ldi sud't cho D u d i d a y se Id m d t m i n h h g a cho vd'n vay phu thugc h o d n t o d n y mudn chd quan de t r e n :
cua mdi n g d n h a n g . Mgi phuung p h d p deu
cd sd cdu t a o bdi n h i e u t h d n h p h a n k h d c Gid sd Techcombank dang dp dung phUOng n h a u (nhu ldi sud't huy dgng, chi phi quan p h d p dinh gid cho vay dUa theo ldi sud't dieu ly, lgi n h u d n ky vgng...) nhUng td't ca deu chuyen vd'n ndi bd (dp dung cho k h d c h h d n g p h a i cd p h a n bd r d i ro l i e n quan d e n k h o a n doanh nghiep) vd t i n h t r a n g thi t r d d n g
^ Hien nay, cdc ngdn hdng dang xiic tien ddu tU vd phdt trien he thd'ng dieu chuyen vd'n noi bd. Vai he tho'ng ndy, chi nhanh chi dong vai trd Id kenh phdn phdi cdc sdn phdm - dich vu vd Id nai duy tri, xiic tien khai thdc cdc moi quan he khdch hdng, theo dd todn bg cdc ngudn vd'n huy ddng dugc se dugc dieu chuyen ve hgi sd vdi mgt mdc ldi sud't quy dinh (mdc ldi sud't ndy se cao han ldi sudt huy dgng cua chi nhdnh, ggi Id chi nhdnh bdn vdn cho hgi sd) vd khi chi nhdnh cdn vd'n de cd'p tin dung thi se vay lgi cua hgi sd vdi mdt mdc ldi sud't dieu chuyin (mdc lai sudt ndy cao han ldi sud't md chi nhdnh ddgc hudng, ggi Id chi nhdnh mua vdn lgi td hgi sd).
Bieu ndy dd lam ngudn vdn tap trung vd dieu tii't hieu qud trong todn bg he thdng mdt ngdn hdng nen todn bg rui ro ldi sudt, rui ro ky han deu ddn sang cho hgi sd. Co khd nhieu ngdn hdng sd dung he thdng dieu chuyen vdn ndi bg nhd Techcombank, Vietinbank, BIDV, VP Bank...
Congnghe H g a i l H d H g
So 68-Thang 11/2011
I I I ! CONG NGH| NGAN HANG
n g d n h d n g dang c a n h t r a n h gay gdt. M a t k h d c , n g a n h a n g n a y k h d n g t h e dieu c h i n h g i a m t h e m cdc ydu td' lgi n h u d n ky vgng, chi phi b o a t ddng - qudn ly va cdc chi phi l i e n quan k h d c khi t h d a t h u d n mdc hii su;tt vdi k h d c h h a n g . Do dd, h r thd'ng xdp h a n g k h d c h h a n g noi bd lio' t h a n h cdng cu xdc dinh va thdUng Idgng lai sud't hi^u qua vdi k h d c h h a n g t h d n g qua v i r c dieu c h i n h ty le p h ^ n t r a m p h d n bd rdi ro theo h a n g tin dung. Ngdn h d n g ndy da xay d d n g m g t he t h d n g xep b a n g k h d c h b a n g ndi bg n h d sau (mdi n g d n h a n g k h d c n h a u cd t h e d n g dung md h i n h xdp h a n g k h d c h h d n g ndi bd k h d c nhau tdy vdo quydt dinh cua ban l a n h dao n g d n h a n g ) :
Bg chi tieu dinh lugng: n g d n h d n g sd d u n g bdo cdo tdi chinh t a i t h d i d i e m gdn nhd't de d d n h gid t i n h h i n h t d i chinh vd Idgng h d a cdc chi t i e u t d i c h i n h t h d n h n h d n g mdc xdc sud't xdy r a rui ro tUUng d n g . N h d n g trUdc h d t , p h a i xdc d i n h rd d o a n h n g h i e p thugc n g d n h ndo t r o n g cdc n g d n h cdng n g h i e p , xdy dUng, t h u u n g m a i vd dich vu; bdi mdi n g d n h n g h e se cd n h d n g t i e u c h u a n an t o d n t d i c h i n h k h d c n h a u . Bd chi t i e u t d i c h i n h gom cdc chi t i e u sau: (i) Khd n d n g t h a n h k h o a n - bao gom ty so' khd n d n g t h a n h t o d n n g a n b a n va ty sd' k h a n d n g t h a n h t o d n n h a n h ; (ii) Khd n d n g vay trd bao gom ty so' ng t r e n t d n g tdi s d n , ty sd' vd'n chu sd hdu t r e n t d n g t d i s d n , ty sd' ng t r e n vd'n chd sd hdu vd ty so' lgi n h u d n gdp t r e n ng p h d i t r a ; (iii) Khd n d n g s i n h ldi - bao gdm ROE, ROA vd ty so' lgi n h u d n sau t h u d t r e n doanh thu; (iv) N d n g lUc b o a t ddng - bao gdm so' ngdy p h a i thu, vdng quay h d n g t d n kho vd ty so' d o a n h thu t r e n t d n g t d i s d n .
Bd chi t i e u d i n h t i n h : ddy Id n h d n g d d n h gid d d a t r e n n h d n g n h i n n h d n chu quan cua bd p h d n t h a m d i n h ve d o a n h n g h i e p dang vay. Cdc chi t i e u n d y bao gdm: quy md doanh n g h i e p ddc t i n h , c h i d n Idgc k i n h doanh, md'i quan he vdi n g a n h d n g , thdUng
Congnghe n g d l l H d n g
So 68 "Thang 11/2011
h i ^ u , t r i n h dg b a n l a n h d a o va uy t i n giao dich tin d u n g . Vi du ve thUUng h i e u : he thd'ng se t h i d t k d vdi 4 Ida c h g n t h e o thd td td 1 d e n 4, tdUng d n g 1 la thdUng hieu ndi t i d n g cd nUdc, 2 Id thdUng h i e u ndi t i d n g t r o n g m g t khu vUc, 3 Id thUUng hieu chi dugc bie't d e n , 4 Id thUUng h i e u it dugc bid't d e n . Vdi mdi lUa c h g n td 1 d e n 4 se cd mdc dd xdc xud't r d i ro k h d c n h a u , d ddy, Ida chgn 4 .se cd mdc rdi ro cao n h d t . Hai bo chi t i e u cua be t h d n g xdp h a n g tren dugc l u g n g h d a t h a n h h a n g t i n dung cu t h e . Tdy vdo ddc d i e m cua t d n g he thd'ng xdp h a n g ma cd cdc bidu t d g n g h i e n thi b a n g tin d u n g k h d c n h a u , t r o n g t r d d n g hgp cua n g d n h a n g n d y nhU sau :
STT 1 2 3 4 5 6 7 8 9 10 11 12
Hang cua khdch hiing Al
A2 A3 BI B2 B3 01 02 03 DI D2 D3
Di^D giai Ciic tdt
Rit tot Tot Khi td't Khi
Trung binh kha Trung binh H<ri ylu Yeu Kem Can trong
Tinh trang c6 nguy cO nii ro toi da
Tuung d n g vdi mdi h a n g tin d u n g thi ngan h d n g se cd mdc ldi sudt cho vay khdc nhau.
T h d n g t h d d n g , n g d n h d n g se cdng bd' mdc ldi sud't vd b i e n dg dieu chinh theo hang tin d u n g k h d c h h d n g d i n h ky hoac theo bidn dgng cua thi trUdng. N h u vdy, mdi loai k h d c h h a n g k h d c nhau t h i se cd mdc lai sudt k h d c nhau tdy thugc vdo t d n g mdc do rui ro. PhdUng p h d p ndy dd gidp xda bo sd d d n h ddng ldi sud't cua td't ca cdc khdch h d n g dda vdo n h d n g ddc dodn chu quan cac ydu to' cau t h d n h n e n ldi sud't vay cda ngdn h d n g . H i e n nay, cdc n g d n h d n g thdUng mai V i e t N a m d a n g d a n h o d n t h i e n he tho'ng xdp h a n g k h d c h h a n g ngi bd dd chuan hda viec d i n h gid ldi sud't cho v a y va hd trd c d n g t a c t h a m d i n h k h d c h h a n g c u n g nhii de t h d c h i e n p h d n l o a i ng t h e o D i l u 6, Dieu 7 cua Quyet d i n h 493/2005/QD-NHNN vd cdc dieu c h i n h .
CONG NGHE NGAN HANG
nil
D i e u c h i n h k h a c p h u c nhifo^c d i e m Ngodi ra, n h d m k h d c h h d n g ndy cdn p h d i cd cu ca'u d a n h muc TSDB hd'p d d n hun.
D i n h gid k h o a n vay dUa t r e n do lUdng cdc
yeu t d r u i ro t h d n g qua he thd'ng xep h a n g Khi d p d u n g ky t h u d t t r e n se gidp n g d n k h d c h h a n g chi mdi lugng h d a cdc ydu t d h a n g de d d n g d a m p h d n ldi sud't vdi rui ro t i n dung de dda r a mdc ldi sud't cu k h d c h h d n g , cung n h d n h d n d i e n rd cdc t h e . Vd'n de d d t ra, k h d c h h d n g vay vdn cd r u i ro ve TSDB, cU cd'u TSDB. Td dd c h a p cdng h a n g t i n dung n h d n g TSDB cho k h o a n n h d n h o a c d d n h doi gida lgi n h u d n vd r u i vay l a i cd do rui ro k h d c nhau thi n g d n ro k h o d n vay m d t cdch h g p ly; chi c^n vdi h d n g l a m n h u t h e nao? Hoac k h d c h h d n g cd bUdc t i n h t o d n dd de d d n g l u g n g h d a mdc cung gid t r i TSDB n h d n g cU cd'u tdi s a n lai do r u i ro cua TSDB, h o a c r u i ro t r o n g cu k h d c n h a u ve rdi ro (khdch h a n g 1 cd 50% cd'u TSDB t h d n h n h d n g mdc ldi sud't cho ba't dgng s a n , 20% h d n g hda, 30% quyen ddi vay k h d c n h a u .
ng; k h d c h h a n g 2 cd 30% bd't dgng s a n , 50%
h d n g hda, 20% quyen ddi ng)? T h d n g qua b a n g t i n h excel vd n h d p cdc dd lieu n h d ky b a n vay vd'n dU k i d n , h a n g t i n De k h a c phuc nhugc diem t r e n cua he dung - sau khi dd xdp h a n g t h d n g qua he thd'ng xdp h a n g k h d c h h a n g , n g d n h d n g se thd'ng xdp h a n g k h d c h h d n g ndi bd, t d n g d n dinh ty le p h a n t r a m c h e n h lech ldi sud't gid t r i m d n vay, gid t r i t d n g TSDB vd l a i gida cdc loai t d i s a n dd. Vi du dd'i vdi TSDB sud't cho vay chua dieu chinh r d i ro - ddy Id h d n g h d a t h i cdng t h e m 0,15% so vdi tdi Id mdc ldi sud't do n g d n h d n g cdng bd' d i n h s a n Id b d t ddng s a n , bdi h d n g h d a cd do rui ky hoac cdng bd' theo t i n h h i n h t h i trUdng ro cao bun b d t ddng s a n , t d i s a n cd rui ro (ddy cdn ggi Id mdc gid h d a vd'n). N h d n g cdng cao t h i mdc ldi sud't cho vay se cdng gi cdn l a i Id thUc h i e n t h u a t t o d n sao cho cao. NhUng con so' a n dinh ndy hodn todn t h d a m d n yeu cau: vdi ky b a n m d n vay, gid c a m t i n h vd k h d n g m a n g t i n h c a n h t r a n h t r i m d n vay vd h a n g t i n d u n g cho trUdc t h i cao, cdng n h u thidu t i n h linh b o a t trong khi gid t r i TSDB k h d c nhau, ty le cu cd'u cua t h d a t h u d n ldi sud't vdi k h d c h h d n g , ddng TSDB k h d c n h a u va ty le gid t r i k h o a n vay t h d i cung k h d n g t h e dp dung cho t d n g loai t r e n TSDB t h i cd p h a n t r d m p h a n bd r u i k h d c h h d n g vdi cU cd'u TSDB da d a n g . Do ro k h d c n h a u . Dudi ddy Id m d t vi du ve k e t dd, c a n bd sung d d n h gid dd r u i ro cua qud t i n h t o d n :
TSDB t r o n g d i n h gid k h o d n vay dda t r e n
he thd'ng xep h a n g ngi bg, dieu ndy se gidp TrUdng h g p 1: gid t r i mdn vay la 20 ty n h d n dien: ddng, ky b a n Id 6 t h d n g , h a n g tin dung la A2 va ldi sud't chda dieu chinh rui ro do hdi Neu khdch h a n g cd mdc do tdn thd't dd kien sd cdng bd' (ldi sud't h d a vd'n) Id 15%
cao hun se cd h a n g tin dung tha'p bun, loai tdi san chda difng nhieu yeu to' rui ro (hang tdn kho cd' dinh, h a n g tdn kho ludn chuyen, khodn phai thu...), cu ca'u cua danh muc TSDB it hd'p dan hun, ty 1$ cho vay t r e n
gid tri dam bdo thd'p hun. TrUdng hgp 2: tdng gid tri mdn vay la 20 ty ddng, ky b a n la 6 thdng, h a n g tin dung la A2, Neu k h d c h h a n g cd mdc dd t d n thd't dU cd cu cd'u vd gid tri tdi san khdc so vdi trddng k i d n it hun se ngUgc l a i trUdng h g p t r e n . hgp 1 vd tdng gid tri TSDB v^n la 35 ty
Congnghe n g a i i H d n g
s d 68'Thang 11/2011
Ky hf n (thing) H^n tin dung T^ng gi& tri ni6n vay T i i s i n Aim b i o
Tjng g i i trj TSDB
Cdphiiu
Chiing chi ti^n gUi vd s6 ti^t kiem Phuang ti^n v^n tdi Hdng t6n kho ludn chuyen Hdng t6n kho bSn thU 3
Lai Bait cliUa di^u chinh nii ro
11
Khoan phdi thu tH h<?p d6ng Bdt d^ng sdn vdi s6 dd. s6 hSng Bit d^ng sdn khdc
Tdi sdn khdc
36 15%
VND 6 A2 20
9 16
Phin trim phdn bii n!ii ro
1,63%
L i i sufift m6n vay 16.63%
iiir
CONG NGHt NGAN HANGKy h^n (thing) H^n tin dving T^ng gii trj m6n vay Tii sin dim bio
Tdng gii trj TSDB CtSphih
Chiing chi tii}n ^ttt I'd «rf (KV kifni Phuanfi tihi v(fn tdi
Hdng Ion kho ludn chuyCii Hdng Ion khoMnlhaa
Lii suit chita di^u chinh mi ro
5 3 8
KIwiiit phdi thu IK hifp tt/ing Itill (t{nig ndu rill sd dd. sri hAng Hdi dl)ng siiri */iirc
Tdi sdn Uidc
.tf) IS".
VND 6 A2 20
9 10
Phiin IrAm phiin bii rui ro
I.HT'S-
!.«! suitt m6n vay lfl.«7%
TSDB
Bflt dOng siin (c6 \i^\i\y chijfng nh^n sd hufu)
H6ng ton kho 3 hen T6ng C9iig
Doanh nghiep A Gid tri
3ty I t y 4 t y
Ty trong t6'n that, du ki^n*
h'?i
•iO'/r
Doanh nghiep B Gid tri
I t y 3 ty 4 t y
Ty trong t^n th^t dif kiln
5%
30%
l d i sud't qud b a n ) h o a c bJln vdi gid t r i d i n h g i d , b d i md vay chi d d g c p h d t v a y td da 7 0 % gid t r i d i n h gid bd d d n g s a n . D d d i d d y Id vi di ve cu cd'u T S D B v d i t y t r g n t d n thd't d d k i d n :
Vdy t r o n g h a i trUdng h g p , tdy vdo gid t r i TSDB, cu cau TSDB va ty Ig gia t r i mon vay t r e n TSDB t h i cd mdc p h ^ n t r d m p h d n bd r d i ro k h d c nhau. T r u d n g h g p 1 la 1,63%
n e n d d n d e n l d i sudt cho vay Id le.eS'^f/nam, trUdng h g p 2
Id 1,87% n e n ldi suat cho vay Id 16,87% bdi Sau khi lugng h d a ba yeu t d PD, EAD vd LGE rd r d n g t r d d n g h g p 2 cd do r u i ro ve TSDB t h i gid t r i r d i ro t i n d u n g d d k i e n se ddgc cao h u n . xdc dinh bdi cdng t h d c ED = PD*EAD*LGD, Dda t r e n gid t r i r d i ro t i n d u n g dd kien V a n de d d t r a Id cdch t h d c de do Iddng k h d c nhau cda mdi k h d c h h d n g t h i ngan cdc ydu t d r u i ro cua t d i s a n vdi xdc sud't h d n g dinh rd dugc p h a n t r d m p h a n bd riii xdy r a r u i ro t i n d u n g de dUa r a s d p h a n ro ( n h i g m vu cua n g d n b a n g Id quy ddi gia t r d m p h d n bd r u i ro tdUng d n g . d d d y Id sd t r i r u i ro t i n d u n g dU k i e n s a n g t d n g phan k d t h g p cua b a ydu t d d i n h Idgng: (i) Xdc t r d m p h a n bd r u i ro, gid t r i quy ddi tuy vao sud't k h d n g t r a dugc n g c u a k h d c h h d n g ; quan diem vd c h i n h sdch mdi n g d n hang), (ii) T d n g dU n g c u a k h d c h h d n g t a i t h d i Vi du, n g d n h d n g quy ddi gida gid t r i rui ro diem k h d n g t r a ddgc n g ; (iii) Ty t r g n g t d n t i n d u n g dd k i d n s a n g p h d n t r a m p h a n bii thd't ddc t i n h . r u i ro nhU sau :
Ghi chu: Ty Irqng liiii th6t du ki^n phti thu0c vdo quan diim va chinh sdch ddnh gid cila mil ngdn hdng. Vtii miic ty trqng I6'ii thlil khdc nhau thi LCD «c khdc nhau.
Vdi b a ydu to' t r e n se xdc dinh r d i ro t i n dung dd k i e n theo cdng t h d c :
ED = PD * EAD * LGD
Trong dd: PD (probability of Default) Id xdc sud't khdng t r a ng cua khdch hdng, dugc do ludng thdng qua hg thd'ng xep h a n g ngi bg cua ngdn hdng, EAD (Exposure At Default) Id tdng dd ng cua khdch hdng t a i thdi diem khdng trd ddgc ng, LGD (Loss Given Default) la ty trgng tdn thd't dd kien (Badar-e-Munir, 2007).
Dd'i v d i l o a i t d i s d n k h d c n h a u vd cu cd'u t d i s a n k h d c n h a u t h i cd t y t r g n g t d n thd't k h d c n h a u d d a v d o c h i n h s d c h c u a m d i n g d n h d n g . Gia d i n h , m d t t d i s a n l a bd't d d n g s a n ddgc cho v a y 70% t r e n gid t r i d i n h g i d , k h i x a y r a n g q u a b a n t h i t d n thd't d d k i e n b l n g 0 n e u gid t r i t h i t r d d n g cao h u n (du bd d ^ p m g i chi p h i vd
II Congnghe n g a i i H d n g
s d 68 "Th^ng 11/2011
Quay t r d l a i t r d d n g h u p c u a d o a n h nghiep A (DNA) vd d o a n h n g h i e p B (DNB). Ca hai deu de n g h i vay vd'n 2 ty d d n g vdi cU cau TSDB n h d t r g n , h^ thd'ng x e p h a n g khdch h d n g ndi bd d d n h gid xdc sua't k h d n g tra ng c u a t d n g k h d c h h a n g : P D DNA la 10%, PD DNB Id 15% V a y gid t r i r u i ro t i n dung dd k i e n : ED DNA = 10% * 2 t y * (3 ty*5%+l ty *30%) = 0,09 t y d d n g ; ED DNB = 15%*
2 t y *(l*5%+3*30%) = 0,285 t y ddng. ED DNB Idn h u n ED DNA, tUUng d n g vdi mdc p h ^ n t r d m p h ^ n bd r u i ro Idn h u n . P h i n bd p h ^ n t r d m r u i ro DNA l a 0,5%, phan bu p h i n t r d m r u i ro c u a DNB n a m d vdng 0,51 - 1% ( t d 0,2 d e n 1 t y d d n g , ngan h d n g se cd p h d n c h i a c h i t i d t t d n g mdc cu t h d v d i m d c p h ^ n bd tdUng d n g t d 0,51 d d n 1%).
CONG NGHE NGAN HANG
INI
K e t l u a n
Qud t r i n h dinh gid k h o a n vay vdi vdi dieu chinh n h u da t r i n h bdy chi Id sU md r d n g cda phuung p h d p dinh gid k h o a n vay dUa t r e n do lUdng rui ro t h d n g qua he thd'ng xdp h a n g k h d c h h d n g ngi bd. Vdi cdc dieu chinh se m a n g l a i n h d n g Uu t h d cdng nhU t a o cU sd vdng chac khi chuyen vien t i n dung ddm p h d n l a i sud't vdi k h d c h h d n g ; ddng t h d i , chi n h d n h k i e m sodt r d i ro c h a t che t h d n g qua qud t r i n h chgn Igc k h d c h h a n g theo mdc do r d i ro; t d n g c a n h t r a n h so vdi n g d n h d n g dd'i thu t r o n g tim k i e m , t h u y e t phuc k h d c h h d n g td't vdi mdc ldi sud't thd'p hun...
Di k e m vdi n h d n g du t h e dd t h i phUUng t h d c n a y cung m a n g l a i n h i e u lgi ich, nhU b i e t dugc chi phi thUc (cdn ggi la gid h d a vd'n) cua m d t k h o a n vay; cho p h e p chuyen vien t i n d u n g d d n h gid h d t r d i ro g a p p h a i dd'i vdi m d t k h d c h h d n g , nhd't la t r d n h dugc n h d n g lUa chgn bd't lgi khi t d i s a n cd dd r u i ro cao; d d n g t h d i , cung t r d n h dugc sU ldi keo k h d c h h d n g td't cua n g d n h a n g ddi thd k h i ma ldi sud't chdo d mdc c a n h t r a n h hun;
h o a c cd t h e t d n g doanh t h u td viec chd'p n h a n do r u i ro cao hun t d k h d c h h d n g ; m i n h b a c h dugc t o d n bg mdc dd rui ro cua d a n h muc cho vay...
Hien nay, cdc ngdn h d n g da dng dung he t h d n g xep h a n g khdch h d n g ndi bd de ddnh
<,na chat lu'o'ng tin dung cung nh\J chuan hda muc idi suat cho vay, cd the ke den nhU ngan Jiang BIDV, Techcombank, Sacombank, Vietcombank..
Hau b e t nhdng ngdn h a n g nay deu cd nhdng chuan mUc ddnh gid xdp h a n g k h d c h h d n g r i e n g phu thugc vdo md h i n h xdp h a n g k h d c h h a n g (Tren t h d gidi cd rd't n h i e u md h i n h xdp h a n g k h d c h h d n g ndi bd khdc nhau n h d md h i n h chi sd Z, md hinh VAR, McKensey
& Company's Credit Portfolio View, KMV 's Portfolio Manager... (Hrishikesh Herekar, 2005, t r a n g 2)) vd mgt he thd'ng chud'n h d a ldi sud't cho vay dUa t r e n h a n g t i n dung. Tuy n h i e n , ndu cdc n g d n h d n g dp dung vdi dieu chinh ve do rui ro cua TSDB nhU t r i n h bdy d t r e n t h i se t a o m g t lgi t h e c a n h t r a n h khd Idn t r o n g d a m p h d n ldi sua't vdi k h d c h h d n g cung n h u t a o dUng dugc m d t d a n h muc t i n d u n g t r e n cU sd do lUdng r u i ro h i e u qua
Tai ligu tham khao
1. Quy^t dinh 493/2005/QD-NHNN ngdy 22/4/2005 cua Ngdn hdng Nhd nddc quy dinh vi phdn loai ng, trich Idp vd sd dung dd phong di xd ly rdi ro tin dung.
2. Bg tieu chudn cua he thdng xep hgng khdch hdng ndi bd cua Techcombank.
3. Badar-e-Munir (2007), Internal credit risk rating mod- el, trang 4.
4. Hrishikesh Herekar (2005), Risk - based Pricing: Are Indias credit markets moving towards this paradigm?, trang 2.
Congnghe l i g a n H d H g
Sd 68'Thang 11/2011
1 1 1 1 CONG NGHl NGAN HANG
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TIN DUNG NGAN HANG PHUC VU PHAT TRIEN NONG NGHIEP THEO NGHj DjNH 41/2010/ND-CP TAI AGRIBANK LAM DONG
N g u y i n X u a n Hoa A g r i b a n k L S m D6ng
^jjk ^^hdm tiep tuc dda nguSn vdn tin dung ngdn hdng ph^c vu cho chUdng I ^ L I trinh xdy ddng ndng thdn mdi, ngdy 12/4/2010 Chinh phu dd ban hdnh I ^ ^ f Nghi dinh 41/2010/NDCP (ND 41) ve chinh sdch tin dung phuc vu phdt
^ L ^ trien ndng nghiep ndng thdn (NNNT). Ngdy 14/6/2010 Ngdn hdng Nhd niidc (NHNN) Vi?t Nam dd cd Thdng td 14/2010/TT-NHNN de trien khai nghi dinh ndy trong ngdnh ngdn hdng. Nghi d\nh ndy dd ddffc Ngdn hdng Ndng nghiep vd Phdt trien Ndng thdn Vi^t Nam (Agribank) trien khai thUc hi?n tgi cdc dia phddng trong dd cd tinh Ldm Dong. Tuy nhien trong qud trinh thdc hi^n ND 41
tgi tinh Ldm Dong dd cd nhieu yeu td cdn trd ddn den ket qud thdc hi^n chiia dgt nhit mong dgi. Bdi viet ndy se ddnh gid mgt sd yeu td cdn trd dd.
D a t v a n d^'
H o a t ddng tin dung n g d n b a n g ddng vai trd quan t r g n g trong p h d t t r i e n s a n xud't, t a o cdng d n viec ldm vd chuyen dich cu cd'u k i n h t d n d n g n g h i e p n d n g t h d n (NNNT) d nude ta. Quydt dinh 67/1999/QD-TTg ngdy 30/3/1999 (QD 67) ve m g t so' chinh sdch tin dung n g d n h d n g phuc vu p h d t t r i e n NNNT the hign sd quan t d m sdu sdc cua D a n g va nhd nddc dd'i vdi linh vdc N N N T ; t a o Idc d^y s a n xud't n d n g n g h i e p p h d t t r i e n . Ddn nay, do bidn dgng cua n e n k i n h td, a n h h d d n g cua l a m p h d t ldm cho chi phi s d n xud't n h d nguyen lieu, cdy t r o n g , con gio'ng, t h d c an...
t d n g cao, n e n mdc cho vay k h d n g p h a i bao d a m b d n g t d i s a n theo QD 67 k h d n g
cdngngh^ n g a i i hdHg
s d 68-Thdng 11/2011
cdn phd hgp, chUa ddp dng dugc nhu cdu vay vd'n hgp ly cda cdc hd s a n xud't. Do dd ngdy 12/4/2010 Chinh phd dd ban h d n h ND 41 ve chinh sdch tin dung phuc vu phdt t r i e n NNNT n h d m khdc phuc n h d n g diem khdng cdn phu hgp cua QD 67, md rgng ddi tugng dugc vay vd'n, quy md du dn... de tiep tuc dau tu cho phdt t r i e n NNNT, chuyen dich cu cau kinh te trong NNNT, xdy dung cu sd ha t^ng, xda ddi, gidm ngheo vd tdng bddc ndng cao ddi sdng cua ndng ddn.
N ^ i d u n g c h i n h c i i a N g h i
dinh 41
thUc h i e n cho vay theo chinh sdch cua nhd nUdc (sau day ggi chung la TCTD).
Muc dich cho vay: cac TCTD t i e n h a n h cho vay phuc vu p h d t t r i e n NNNT vd cdc linh vUc lien quan d e n p h d t t r i e n NNNT nhir cho vay cdc khodn chi phi s a n xuat; cho vay phdt trien n g d n h n g h e , dau tu xdy ddng cu sd ha t a n g n d n g thdn; che bien, tieu thu cdc s a n pham n d n g nghigp; s a n xud't cong nghigp, thdUng mai, cung dng dich vu phi ndng nghiSp t r e n dia b a n n d n g thdn; cho vay tieu dung ddi sd'ng nhSn ddn d n d n g thdn...
Dun vi cho vay: la cdc Mdc cho vay k h d n g cd bao ngdn h d n g , td chdc tin dung d a m b a n g t a i s a n : ND 41 (TCTD), td chdc tdi chinh quy da dieu c h i n h mdc cho vay md nhd, td chdc tdi chinh k h d n g p h a i t h d chd'p bang dugc C h i n h phu t h d n h Idp dd t a i s a n t d 10 t r i e u ddng theo
