> » » NGHIEN ClJu TRAO DOI
PHAN LOAI NGAN HANG THl/dNG MAI Bdi NGAN HANG NHA Nl/CfC VIET NAM QUA LANG KINH CUA LY THUYET MCF
Ngdy nhan: 06/8/2013 Ngay nl4n lai: 06/12/2013 Ngay duyet dang: 10/01/2014
Ma s6': 0H-02-14-NCTD-18
Vo HSng Ditc (*) Nguyen Binh Thien (**)
To m tdt: Tren nin tdng cda ly thuyi't md, bdi viit dUa ra ddnh gid vd xip hgng tin nhiem (XHTN) cdc ngdn hdng thuang mgi (NHTM) trong nUdc. Ngkiin cdu hudng den uiic cung cdp nhdng bang chdng khoa hoc dinh lUgng nhhrn trd ldi cdu hoi nhdng NHTM ndo tgi Viit Nam dang hogt dpng hiiu qud vd dn dinh.
Nghiin cdu ndy khdng dUgc thUe hien nhdm muc dich dU dodn NHTM ndo se phd san d Viit Nam. Do vay, dong gop quan trgng nhdt cua nghien cdu ndy Id cung cdp bdng chdng khoa hoc cho NHNN trong qud trinh xdc dinh hieu qud hogt dgng cung nhu mdc dp rdi ro eua cdc NHTM nhdm muc dich qudn ly vi mo. Kit qud nghien cdu chi ra rhng, XHTN NHTM sd dung l^ thuyet md mang din kit qud phd hgp din 83,3% vdi kit qud phdn logi dugc cdng bd td NHNN.
TiJC khoa: Ly thuyi't md, logic md, xep Hgng tin nhiem, ngdn hdng thUang mgi Viit Nam.
G i d i t h i $ u
XHTN r a t quan trgng dd'i vdi n h a dau td, ban quan tri, cac ehu ng va dae biet la cac ed quan quan ly n h a nddc. Ngan h a n g ed t i n h h i n h tai chinh vd t r i l n vgng tdng trffdng td't se cd mde tin nhiem cao. Khi n g a n h a n g cd mdc tin nhiem eao se lam eo ddng ydn t d m dau td, ban quan tri cd nhffng chie'n Idgc hdp ly de p h a t t r i l n , dd'i tac tin eay trong hgp tac kinh doanh vd tao dieu kien de dang hdn eho eac NHTM trong qua t r i n h tie'p can nguon vd'n.
He thd'ng tai chinh cua Viet Nam dang t i l p can va hdi n h a p vdi thi trffdng tai chinh qud'c td' nhanh va m a n h trong nhffng ndm gan day.
Ngdn h a n g va cac doanh nghiep ed ed hdi thu hut vd'n tff ben ngoai n h i l u hdn. Tuy nhien, ehdt Iffgng hang hda, dd rui ro, hieu qua boat dgng cua edc doanh nghiep, dac biet la n g a n hdng dang Id dd'u hdi Idn doi vdi n h a dau td nddc ngoai. Cdc to ehffc x I p h a n g Idn t r e n t h i gidi nhd Moodys, Standard va Poors hay Fitch da bdt dau d a n h gid cac ngdn h a n g trong nffde.
Tuy n h i e n , ke't qua x e p h a n g cac NHTM Vidt N a m thffdng dffng d dffdi mde d a u tff (below investment grade) do each n h i n khdng lac quan eua eae to ehffc XHTN qud'c te' vao edc quoc gia dang p h a t t r i l n , t r o n g dd cd Vi$t Nam.
Ben eanh dd, ke't qua d a n h gid edc NHTM thudng bi gidi h a n bdi t r a n XHTN qud'c gia.
De cd cdi nhin ro hdn ve he t h i n g ngan hang, Ngan h a n g N h a nffde (NHNN) da thffe hien d a n h gid, p h d n loai NHTM trong nddc vd cdng bd' rdng rai. Kd't qua xd'p h a n g dddc ddn nhdn tich ede td nhd ddu tff d i n ngddi gdi t i l n . Tuy nhien, ede ehi tidu, phffdng phdp d a n h gid ehua cong khai k h i l n nhieu ngdn h a n g hi phdn loai tha'p chffa h a i Idng v l kd't qua. Do dd, nghien effu n a y n h a m dong gop nhffng cd sd n i n tang, Cd b a n v l phddng p h a p , bd tidu ehi trong ddnh gid xe'p h a n g n g d n h a n g t a i Vidt Nam va gdp p h a n n a n g cao t i n h minh bach, hieu qua trong qua t r i n h ddnh gid ngdn h a n g .
Ly thuyet md (fuzzy logic) dddc n h d c d i n Un dau tidn trong n g h i e n effu Tdp md (Zadeh,
enganhang
I So 94+95 •Thana 0 l-t-02/2014
NGHIEN CUru TRAO DOI < « «
1965) t r e n T a p ehi Cdng nghd Thdng tin vd dilu k h i e n . Tff dd d e n nay, ly t h u y l t md da ddgc ffng dung r d n g r a i d h^u h ^ t cac ehuydn ngdnh ky t h u a t . Trong nhffng n a m cuoi t h e ky 20, n g h i e n cdu ffng dung ly thuyet md dang Id'n d a n sang linh vgc k i n h t e , t d i chinh - t i l n td vd thu dUgc nhffng k e t qua r a t d a n g ghi n h a n .
Tai Viet Nam, nghien edu ffng dung ly thuyet md dang edn r d t h a n che, dac bidt la trong linh vffe kinh t e . Vdi nhffng dng dung rpng rdi vd hidu qua eua ly thuye't md t r e n thd' gidi, nhdm tdc gia de xua't xay dgng md hinh XHTN ngdn h a n g sff dung ly t h u y l t md d l giai quylt mdt s l vd'n d l : (i) De xuat phffdng p h a p danh gia dinh Iffgng dffa t r e n todn hoc vd xae suat thong ke dffa r a bd tieu ehi danh gid xdp hang; (ii) P h d n loai hidu qua boat ddng, mdc dd rui ro vd t r i l n vong cua n g a n hang.
cao nh£ft). Ke td do d i n nay, eac to chffc xe'p h a n g ddng vai trd quan t r g n g trong thi trffdng tdi chinh b a n g cdc ke't qua x I p h a n g de ddnh gid c h a t lagng eua san p h a m t r d n thi trddng tdi ehinh.
Moody (2013) cho r a n g edc XHTN la de ddnh gid trong tddng lai cdc rui ro tin dung lidn quan ddn nghia vu t a i chinh cua mdt to chffc.
XHTN ddi b a n ddnh gid rui ro eua cdc khoan tin dung cd thdi gian dao b a n td 1 ndm trd Idn, p h a n a n h k h a n d n g thdc hidn earn k e t t r a nd va rui ro suy giam nguon tai chinh trong tddng lai. Trong khi do, xe'p h a n g ngdn b a n ehi d a n h eho cdc khoan tin dung ddo b a n dddi 13 t h d n g va chi d a n h gia ve rui ro tra ng. Dd'i vdi ngdn hang, xe'p h a n g the hidn quan d i l m cua Moody ve mgt ngdn h a n g n h d m do Iddng kha n a n g ngdn h a n g dd can trg giup td ben ngodi d l t r d n h sd d l vd (Moody, 2007).
Nghien edu n a y thdc hidn k h a o nghidm, ddnh gid dff h e u tdi chinh cua 39 NHTM tai Viet Nam. So Iffgng ngdn h a n g ed day du dff lieu c i n xem xdt trong ndm 2011 Id 34 n g a n hang.
Thdng qua khdo Iffgc ly t h u y l t , nghidn cdu da k l thffa 27 chi so t a i chinh lam tidu ehi d a n h gid xe'p h a n g ngdn h a n g (Vd Hong Ddc va Nguyin Dinh Thidn, 2013b) vd phffdng phdp ddnh gid XHTN dung ly t h u y l t md (Vo Hong Dffe vd Nguyen Dinh Thidn, 2013a). Cuoi cung, so sdnh k i t qua d a t dffgc cua nghien cdu ndy vdi k i t qua edng bd' eua NHNN ddgc thffe hien de tha'y dffdc t i n h can thiet, phu hdp eua nghidn effu trong giai doan hidn nay.
Cd sd ly t h u y i ' t Xep hgng tin nhi^m
XHTN (Credit rating) Id t h u ^ t ngff do Moody dffa ra vdo ndm 1909 trong d'n p h a m cdng b l kd't qua xe'p h a n g t r d i p h i l u ngdnh dddng sdt (Lawrence, 2010; Moody, 2013). He t h i n g xe'p hang t r i n h bdy trong bao cdo nay ddgc ky II hi0u gdm 3 ehff cdi ABC dffgc xep Idn Iddt la Aaa (mdc on dinh cao nhd't) d i n C (mffc rui ro
Theo Standard vd Poors (2012), XHTN la d a n h gid k h a n a n g tin dung cua ben phdi thdc hien nghia vu tdi chinh trong tffdng lai dffa trdn nhffng ye'u td' hidn tai vd quan diem cua ngddi d a n h gid. Ndi each khde, xe'p hang tin dung ddge coi nhd la chi bdo ve do an toan khi dau td vdo cac giay td cd gia cua to chffc, chdng b a n nhu trdi phieu, eo phieu hay nhffng loai ehffng ehi ng tUdng tu khac.
Vdi quan diem cua Fitchs "xe'p hang tin dung Id danh gia mffc do kha ndng thdc hien cdc nghia vu nd nhd lai sua't, co tffc ffu dai, ede khoan bao h i l m hay cdc khoan phai tra khde cua mgt to chffc". Phuong p h a p xe'p h a n g tin dung cua Fitch la sd kd't hgp eua ca ye'u to tdi chinh vd phi tai ehinh. Vi vay, chi sd' ddnh gid cdn cho t h a y kha ndng sinh Igi tUdng lai cua to chdc dddc danh gid. Do dd, thuat ngd xe'p h a n g tin dung cua Fitchs cung cd t h i dffgc h i l u rpng t h a n h XHTN
Tdu trung lai, XHTN Id danh gid mde dp rui ro vd hieu qua boat dgng cua cdc ddi tdpng dddc ddnh gid. XHTN cung cap thdng tin cho tac nhd dau td ve mffc dg rui ro vd b'"'i n';^ boat CongngK"
V ngan hang PP|
> » » NGHIEN CtfU TRAO DOI
ddng cua cac dinh che t d i ehinh h a y t l chffc kinh doanh d l cd quye't dinh d^u tU, ngffdi cho vay cd cd sd dda r a quye^t dinh t r a n h rui ro.
Cac ye'u to d l d a n h gia t h d d n g bao gom y l u to' ve t a i chinh va phi t a i chinh. Ye'u td' t a i chinh bao gom cac ty so' t a i ehinh quan t r p n g t h d n g qua ede bdo cao t a i chinh. Ye'u to' phi t a i chinh la ede yeu to khd cd t h i dinh Idgng nhd ehinh t r i , n g d n h nghe k i n h doanh, mdi trudng kinh te' vi md.
Ly thuyet md
Ly thuye't md hay logic md (fuzzy logic) la hd thd'ng logic md rdng dda t r d n logic dai so' CO dien vd dddc md ta bdng h a m t h a n h vien (Zadeh, 1973). H a m t h a n h vien trong ly thuyet md t h u d n g duge bieu dien b a n g h a m lidn tue. Nhd dd, t r a n g t h a i cua p h a n td khi dffa vdo h a m t h a n h vien se ed gia tri lien tue, giup d a n h gia p h a n td ehi t i e t hdn. T a p md dffgc sd dung de md ta t a p hdp ma t h a n h vidn thupc ve. H a m t h a n h vien dugc dung de t h e h i e n mde do phu thudc cua t h a n h vien dd'i vdi m d t t a p hdp.
Tap md (fuzzy set) la mpt t a p hgp ma mdi phdn td cd ban x dugc gan t h e m mot gid tri thUc )i(x) trong k h o a n g gid tri [0;1] d l chi
do phu thude cua p h d n td" dd t r o n g t d p hdp ( N g u y i n N h d Phong, 2005).
H a m t h a n h vien (membership function) Id h a m giup d a n h gid ddgc miJc dd t h d n h vien (membership degree) t r o n g tdp h g p . Mdc dd t h d n h vien cua p h a n t d la gia t r i trong k h o a n g [0;1] t u y vao t i n h chd^t cua p h a n td do (Nguyen NhU Phong, 2005). Sau day Id each b i l u dien t h u d n g gap cua logic md:
jijjix) = |(x, pA(x)) IX e XI
Trong do: x la phan tff thudc tdp X, pA(x) la ham t h a n h vien, p^(x) la mde dd t h a n h vidn eua x.
Cac h a m t h a n h vien t h u d n g gap la:
Hdm lien tuc don dieu tdng/gidm H i n h 1 b i l u didn h d m t h a n h vidn v l mde dd
"td't" eua ROE. Nhff vdy n l u mdt ngdn hang cd mffc ROE = 0 t h i ed mffe dd t h d n h vidn la 0 tffdng dffdng d i l m so' cho chi tidu n a y Id 0 vdi y nghia la ROE cua n g a n h d n g la "khdng tit".
ROE cang eao d i l m t h a n h vien cang cao, cho tha'y mdc dp "to't" cua chi tidu n a y cdng tang len. Khi ROE > 22% t h i mffe dd t h a n h vidn la 1, tffc la d mde dd n a y n g a n b a n g ed mffc sinh H i n h 1: B i e u d i l n h a m t h a n h v i e n v e mu"c d p "tot" c u a ROE
0.85
0.5
0 3 12
Nguon. Tdng hgp cda nhom tdc gid
^ nganhang
S8' 94+95 •Thing 01+02/2014
NGHIEN CUfU TRAO DOI « « <
ldi "rat t ^ t " vd cd mffc diem tuyet doi. Tuy vdo tffng gid tri eua ROE t h i diem so t h d n h vien se k h a e nhau va dai gid tri Id lidn tue.
Trong trffdng hdp n a y , d i l m so' cua chi tidu ROE t a n g t u y I n t i n h theo t d n g nhdm gia tri.
Hdm lien tuc dgng phdn phdi xdc sudt Hinh 2 bieu dien h a m t h d n h vien ve mde dp
"tot" cua ty Id eho vay/tong t i l n gdi. D i i vdi hdm t h d n h vidn trong trffdng hgp n a y gid t r i
"tot nhdt" ehi ton t a i d mot diem duy nha't - d i l m n h p n cua b a m t h d n h vidn. Gia tri hdm t h d n h vidn trong trffdng h g p n a y cung thudc khodng [0;1], vdi 0 t h i hien cho p h a n td khdng thudc tdp "td't" vd gia t r i 1 la p h a n td thuOc tdp "tot" cua ty Id cho vay/tong tien gffi.
Vdi hai edch b i l u d i l n nhu trdn, ly thuye't md dang md r a edch ffng dung trong tinh toan dilm s l edc chi tieu tdi chinh. Hdm t h a n h vidn bilu d i l n nhu Hinh 1 dai dien r a t td't cho chi tieu c6 tinh ehd't "cang Idn cang td't". Doi vdi cdc chi tieu co edn "tinh todn td'i Uu" thi edch bilu dien nhff Hinh 2 la phu hdp. Khi dd, d i l m nhgn se Id diem dai dien gia tri td'i ffu.
Mgt so nghien cUu trUdc
Cdc nghidn effu ffng dung ly thuye't md trong XHTN NHTM it p h i bien trdn quy md toan
cau. Tuy nhien, ffng dung cua ly thuye't md trong linh vde t a i ehinh r a t pho bidn vd mang lai nhieu ke't qua ddng ghi n h a n .
Vlachos vd Tolias (2003) da bdo eao nghien effu t a i hdi nghi Van tru hpc tai Balkan ve ffng dung logic md trong du bdo phd san.
Nhdm muc dich so s a n h kd't qua vdi md hinh eua Altman, nghien cdu ehi xem xet 5 chi sd' tai chinh ma Altman da dda ra trudc dd. Dd lieu bao gom 129 edng ty xem xet giai doan 1975-1982, trong do ed 65 edng ty phd san. Dd lieu sff dung d l dd bdo la bdo eao tai chinh n a m cudi cung trffdc khi cdng ty tuyen bd' phd san. K i t qua thu dUdc ngoai sd mong ddi cua ede tde gia khi du bdo chinh xdc 100%, td't hdn h a n so vdi cdc md hinh dinh lUgng (chi d a t 85%). Mac du, nghien cdu chgn Ida t r e n cac cdng ty dd pha san, nen sff ngau nhien khdch quan trong ddnh gid chffa tuyet dd'i.
Tuy nhien, kd't qua cdng cho tha'y nhdng Uu diem vugt trdi cua logic md.
Malagoli vd cac tde gia (2007) dd xd'p hang vd danh gia tin nhiem tai edng ty phdn phd'i gas Camuzzi ciia Y sd dung y kie'n ehuydn gia ke't hop logic md. Tde gia da dung menh de hgp t h a n h "ne'u... thi...." de tong hdp d i l m vd danh gia tin nhiem dffa t r e n ea tieu chi dinh tinh vd dinh Iffgng. Vdi 21 ehi tieu dau vao, nghien effu da tong hgp Iai thdnh cdc bien trung gian H i n h 2: B i l u d i l n h a m t h a n h v i § n miic dp "tot" ciia t y Ip c h o v a y / t o n g t i e n gufi
Ngudn: Tdng h^p cda nhdm tdc gtd
.ngan hang i j i
»<;«Th^n( 01-0)2/2014 U i
» » > NGHIEN CUTU TRAO DOI
t h d n g qua eac luat md d l r a ke't qua. B i l n gia tri doanh nghidp se dffdc giai md r a kd't qua trong k h o a n g [0;1] b i l u h i e n cho k h a n a n g t a i chinh cua doanh nghidp. Tuy nghidn effu chi tdp trung vao mdt cdng ty cu t h i nhdng md h i n h vdn co t h i dung d a n h gia cho eac doanh nghiep trong cung ngdnh.
Yildiz vd Akkoc (2010) da thuc h i e n n g h i e n effu dff bdo phd san n g a n h a n g sd dung logic md, thdc nghidm d Tho Nhi Ky. Cudc k h u n g h o a n g tdi ehfnh toan edu da eud'n di khd n h i l u doanh nghiep yeu kem. Do vdy, d a n h gid t i n h h i n h tdi chinh cua edng ty va rui ro pha san, dac biet he thd'ng n g a n h a n g trd ndn cdc ky can thidt. Nghidn effu xem xdt dd lieu 55 n g a n h a n g , chpn Ipc 24 chi tieu tff 36 ty so' tdi ehinh, vdi mffc y nghia thd'ng ke Id 5%. Thffe nghiem so s d n h dda t r d n hai phffdng p h a p : (i) Md hinh hoi qui tuye'n tfnh;
(ii) H a m phi tuye'n dffa t r e n logic md, sd dung ludt hgp t h a n h vdi m d n h de "ne'u .. thi..". Kd't qua d a t dddc cho tha'y dung phffdng p h a p md ed kha n a n g dg bao dung la 90,91% trong khi md hinh hoi quy chi d a t 81,82%.
Othman va Etienne (2010) da sff dung logic md ke't hgp tri tue n h d n tao de thffe h i e n nghidn effu "Ra quye't dinh sd dung logic md trong giao dich chdng khoan". Cac ye'u to' dau vao cho md hinh ma cdc tac gia quan tdm Id y kidn chuyen gia, Igi nhudn t r e n tdng cd phieu va ty Id ldi n h u a n mong mudn. Ke't qua eua nghien edu da cho tha'y hidu qua dau tff khi sd dung logic md tot han so vdi nhffng phffdng p h a p nghien cdu trddc ddy trong dieu kien thie'u thdng tin.
Korol va Korodian (2011) tien h a n h n g h i e n cdu, ddnh gid mde dd hidu qua cua md h i n h logic md trong viec dff bdo pha s a n cua doanh nghiep. Trong qua t r i n h nghidn edu, tac gia da sd dung bao eao tai chinh cua 132 cdng ty t r e n thi trddng chffng khoan (trong dd ed 25 edng ty da pha san). Cdc tde gia da sff dung ca dd lieu chae chan (dinh Iffgng) va k h d n g chdc chdn (dinh tinh) 1dm dff lieu dau vao d l
dtf bao k h a n a n g phd s a n cua edng ty trong 1, 2 va 3 n a m t d i . K i t qua k h i sut dung dff lidu chdc c h d n t h i ke't qua k h d n g m a y k h d e bi0t so vdi eae md h i n h dd bao rui ro, phd s a n khac n h d Z-score. Nhiftig k ^ t qua k h i suT dung dfl lidu k h d n g chac c h a n t h i ke^t qua tff md hinh logic md t o t hdn h a n . Tuy n h i e n , h a n chd' cua nghidn cd'u n a y Id p h a n bd' xac sua't eda eac chi tieu p h a i la p h d n phd'i chuan.
Tai Viet N a m , cdc n g h i e n effu ve XHTN hojac do ludng rui ro tin dung p h a n Idn dffgc eae t l ehffc tin dung thffe h i e n ridng le n h a m ddnh gia rui ro dd'i tugng cho vay. Tuy nhien, doanh nghiep cung can nhflng d a n h gia rui ro tin dung de cd t h i hoaeh dinh c h i l n Iffdc, tinh toan ehi phi vay vd'n. Do Iddng rui ro tin dung doanh nghiep da dUge mgt so' t a c gia thdc hien t h o n g qua md h i n h Merton/KMV ke't hgp Cvar (Ld D a t Chi va Ld Tua'n Anh, 2012), md hinh Logistic (Hoang Tung, 2011). Nghien cdu cua Vo Hong Dffe vd N g u y i n Dinh Thidn (2013a) da thUc hien XHTN va d d n h gid rui ro phd san eua cac doanh nghidp n i e m y e t t r e n thi trddng ehffng k h o a n Vidt N a m n a m 2011 va 2012 dda t r d n n e n t a n g ly thuyd't md. Mae du chi dUa t r e n cde ehi tieu dinh Iffgng la chi so tdi chinh d l d a n h gia nhffng k i t qua d a t dffge rat kha quan. P h a n hd' xd'p h a n g eua 634 cdng ty ni§m yet t r e n t h i trffdng ehffng k h o a n Vidt Nam eho t h a y k h a n d n g ffng dung eua ly thuylt md trong d a n h gia rui ro cua doanh nghi?p r a t cao. Day la m g t trong nhffng nghidn cdu tidn phong v l d d n h gid tin nhidm sff dung 1^
thuyd't md t a i Viet Nam vd t h e gidi.
Tdm lai, t r o n g t h i trffdng bien ddng nhanh, phdc t a p vd t h o n g t i n da d a n g nhff thi trddng t a i chinh t h i viee n h d n bil't dffgc sdm trang t h a i eua t h i trUdng se giup cac nhd dau tU, n h a quan ly cd n h d n g quyd^t dinh t i t htfn.
B e n c a n h do, t h d n g tin b a t edn xffng, khdng rd r a n g , k h d n g day du va thie'u sff chinh xic trong thffe t e se khie'n ede quyet dinh cua nhk diu tff rui ro n h i l u hdn. Do dd, vide sd dung 1^ thuyd't md trong tdi chinh t i l n tg ngij cdng p h d t t r i l n vd n g h i e n effu sdu r d n g nh&i%
ffl ^nghe Hgan h a n g
S6'94+95«Than!> 01+02/2014
NGHIEN CDfU TRAO DOI « < «
giam thieu rui ro trong cdc quy^t dinh dau td vd chinh sdeh cua cac eo quan n h a nffde.
Di? l i # u v a c a c g i a thiS't n g h i e n ctfu Trong n d m 2013, Vd H i n g Ddc va Nguyen Dinh Thidn (2013) da k h a o s a t , xdy ddng vd cdng bo h$ thd'ng ehi tieu 27 ehi tidu tdi ehinh nhdm muc dich xep h a n g eac ngdn h a n g Vidt Nam. Trong nghidn edu ndy, cdc tdc gia dd dda r a he t h i n g 27 chi so t a i chinh n a y dffgc xdy dffng t r d n n e n t a n g : (i) Co sd ly thuyd't v l quan tri he thl^ng n g a n hdng; (ii) Cac t h d n g 1^ ngan h a n g quIc te'; (iii) Bang chdng thffe nghidm td ede quie gia k h a c ; (iv) Dae diem cua he t h i n g n g a n h d n g Vidt Nam. Kd' thffa 27 ehi tieu tdi chinh dffdc de nghi sff dung trong ddnh gid XHTN cho ede NHTM (Vd Hong Dffe vd N g u y i n Dinh Thidn, 2013b), nghidn effu ndy thu t h a p dff lieu tff cdc bao cdo t d i chfnh h a n g n a m (da ddgc k i e m toan) cua cdc NHTM tai Vi^t Nam dang boat dpng tinh de'n thdi d i l m culi n a m 2011. Khoang thdi gian nghien cdu trong ba n a m (2009-2011), dung d l ddnh gid xd'p h a n g d hai n a m gdn n h a t la 2010 vd 2 0 1 1 . Cd 34 n g d n h a n g cd day du so lieu trong n g h i e n cdu ndy.
Nguyin Vdn Nam vd cdc tac gia (2004) va Nguyin Minh K i l u (2007) cho r d n g eac chi tieu t a i chfnh dffgc t h i b i e n t h d n g qua mot trong hai tfnh c h a t chinh; (i) Tinh c h a t cdng Idn cdng td't. Mdt s l ehi tieu tdi ehinh mang tinh cha't n a y nhff Ty 10 sinh Idi/tong tdi san (ROA), Ty le sinh Idi/vd'n ehu (ROE), Lgi nhudn/moi co p h a n (EPS), Ty Id tdi s a n sinh lgi. Vdi ede ehi tieu n a y , n g d n h a n g ndo cd gid tri Idn hdn se ed dffgc diem so' td't hdn.
Ngdn h a n g ed gia tri nho nhd't trong mau nghien effu se mang gid tri 0 vd gid tri Idn nhd't se c6 gid tri Id 1; (ii) Tinh toan td'i ffu, dai di$n la cdc chi tieu ed cau vd'n, ty t r p n g cho vay, ty t r g n g cde loai t a i s a n t r e n tong tdi s a n . Vdi cdc chi tidu ndy, diem td'i ffu se giup n g a n h d n g cd k h a n d n g sinh ldi t o t nhd't. Do dd, da so' edc ngdn h d n g se cd' gdng t a p trung vd hffdng den diem td'i du nay.
Vi vdy, nhdm tdc gia sii: dung trung binh ngdnh d l so sdnh, ddnh gid xd'p h a n g cde ngdn h a n g . Cdc chi so' t a i chinh can tim diem t i i du t h i nghien cdu xem gid tri trung binh n g a n h se la gid tri t i t n h a t de so sanh.
Trong mgi dilu kidn kinh tl^ d i u ton tai ngdn hang boat dpng noi trdi do: (i) Tan dung dffgc sff thuan lgi eua nen kinh te de bdt phd so vdi so' ddng nhd vao sd nhay ben cua ban dilu hdnh;
(ii) Nhd vao quan tri riii ro, ddnh gid tinh hinh td't de ton tai va phdt t r i l n so vdi da so' cac ngdn hang khac trong dieu kien kinh t l khd khan. O chieu ngdgc lai cung xuat hidn nhffng ngdn h a n g tang trudng cham, t h a m chi la giam sdt trong dieu kien kinh te' thuan ldi va thua Id Idn trong giai doan khung hoang. Do do, t r i l n vgng phdt t r i l n hay rui ro hoat dpng cua cdc ngdn hang dffgc gia dinh tudn theo phan phd'i chuan (Normal).
P h i t t j n g p h a p thi^c h i # n LUa chgn chi tieu, trgng so
Nghien effu ke' thffa vd sd dung 27 chi so tdi chinh dd dugc cdng b l trong danh gid hieu qua boat dpng, do Iffdng rui ro cua ngan hang (Vd Hong Ddc va Nguyen Dinh Thien, 2013b).
Cdc chi tidu tai chinh da dffgc chpn loc, tong hdp dffa trdn khung p h a n tich CAMELS do dd he thd'ng chi tidu nay ke' thda dffge tfnh khoa hoc trong phdn tfeh hieu qua boat dpng va ddnh gid rui ro cua hd thd'ng ngan hang.
Ben canh dd, ede qui dinh trong boat dpng ngdn h a n g do NHNN (2010) ban hdnh dddc d a n h gia can t h a n . Vide xem xet day du ehi tieu tai ehinh vd tuan thu ehat che cdc yeu cdu trong Thdng tu 13/2010/TT-NHNN la r a t can t h i e t vd phu hgp vdi tinh t r a n g cua hg thd'ng ngdn h a n g tai Vi^t Nam hien nay trong vide do Iddng, danh gid do on dinh va rui ro cua cdc NHTM.
Mgt bddc quan trpng trong viOc XH'I ' -';i"' gid mdc dp quan trgng, tam anh luu
nganhangnN
Sl94+95*Th^iii: 01+02/2014 U j
> » » NGHIEN CUfU TRAO DOI
tieu, nhdm chi tieu den rui ro boat ddng kinh doanh va trien vgng p h a t t r i l n cua n g a n h a n g . V l eg ban, eae ehi tidu ed vai trd, y nghia p h a n tieh tffng khia canh hoat ddng eua mdt NHTM.
Do do, trong pham vi nghidn effu n a y vdi so' chi tidu xem xet bao quat toan bd boat ddng cua ngdn h a n g n h d da de cap d p h a n trdn, nghien cdu danh gid mffc dd quan trgng b a n g nhau cho tffng chi tidu ma khdng d a t n a n g chi tieu nao.
Md hoa
Budc "md hda" la giai doan xdy ddng h a m t h a n h vien cho cac chi tidu chpn Iffa. Ham thdnh vien la phan phd'i xdc sua't cua dff lidu thu thdp dffgc cho tdng chi s l trong tffng ndm.
P h a n phd'i yikc sua't dugc xem la phu hdp vdi dff lieu d mffc y nghia 1% thdng qua k i l m dinh Chi - square va Komogorov-Sminov. Tuy thuoc vdo dff lieu ma ham thdnh vien co t h i la phan phd'i Normal, Weibull, Exponential hay Gamma. Vdi tffng dang phan phd'i va each the hien (theo mdt dd xac sua't hay dang tfeh luy), diem s l eua tffng tffng ngdn hang cho tffng chi tieu se dffdc xae dinh nhd Hinh 3 d bddc giai md.
Lugt md
Luat md ddge xdy dffng dua t r e n hai each t h e hidn eua phdn bo' lien tuc la m a t dp xae sud't (probability density) hoac p h a n bd' tich luy (cumulative distribution). Phu thude vao t i n h
c h a t cua chi tidu d a n g xem x d t t h i : (i) Cach t h e h i d n h a m t h a n h vidn theo m d t dd xae suat phu h g p vdi cac chi tidu c a n "tinh todn t o i ffij"; (ii) Bieu d i l n h a m t h a n h vien theo d a n g p h d n bo tich luy eho cac chi tieu "cdng Idn e a n g td't".
Vdi each t h i h i e n theo m d t dp x a c sud^t eho thd'y diem sd' eua m d t chi tidu se k h d n g tang d i n hoac giam d a n ma chi ed gia tri t i t nhd't t a i dinh cua p h d n phd^i. Day se la ed sd d l xac dinh d i l m t h a n h vidn cua tffng n g d n hang.
Caeh xdc dinh diem sd^ eua tffng ehi tidu doi vdi tffng n g a n h a n g se ddge thffe hidn trong bffdc giai md.
Gidi md
Giai md la qua t r i n h 1dm "ro hda" vd qua dd cac sd' lidu co t h i ddge t i n h toan bang todn bgc t h d n g thudng. Dda vao h a m t h a n h vien da dugc xay dung d bffdc md hda va luat md ddoc xay dffng dffa trdn t i n h chat cua chi tidu, giai md se xdc dinh d i l m sd' t h d n h phdn cua ngan h a n g d tffng ehi tieu. Sau ddy Id edch xdc dinh diem cua hai chi tieu co t i n h chat khac nhau Id cdng Idn cdng td't va t i n h toan td'i du.
D i l m t h a n h vien se dugc xdc dinh tff gid tri cua ehi tidu duge t i n h t o a n trffdc do. Trong H i n h 3a, vdi m d t cM tidu cd t i n h cha't "edng Idn cdng td't", ne'u n g a n h d n g cd td'c dd tang H i n h 3 : C a c h x a c d i n h d i e m s o t h e o 2 e a c h t h e h i ^ n h a m t h a n h v i e n
1
' 0.S5 /
/
U 10 20 30 40 SD 60 63
70 80
\
81,5 90 I0<
0,72 /^
^ . - - ^ . '33
• n 20 3lt 40 50 60 70 M W 1
(a) m^t dp xac suS't Ngu6n: Tdng hgp cda nhdm ldc gia
(b) phao b^ tich luy
m ongm n g a n h a n g
SeT 94+95 • ThiS ng 01 +02/2014
NGHIEN ClJfU TRAO DOI < « «
trddng tong t a i s a n Id 33% thi diem s l d ehi tidu n a y la 0,72. Trong khi dd, Hinh 3b chi r a rkng chi tieu cd t i n h c h a t "tinh todn toi Uu", n l u ngdn h d n g ed ty 1§ cho vay/Tong t i l n gdi d mde t r u n g binh n g d n h (81,5%) se d a t ddge d i l m toi da la 1.
Diem sd vd xep logi
Dilm x I p h a n g se la d i l m trung binh cdng tff edc d i l m t h a n h p h a n dffge t i n h toan:
Di6m =1^-^-
1=1
Trong dd: n Id s l chi tidu, d, la d i l m sd' cua chi tidu i
vd dd lech ehuan ciia chi tidu tang trddng thu nhdp trdn eo phan (EPS). Nam 2010, EPS eua nganh Ngdn hdng tang trffdng binh qudn la 14,4% t h i hien phan nao sd thuan lgi trong mdi trffdng kinh t l va ehinh sach vi md (GDP n a m 2010 cua Viet Nam t a n g 6,78%). Tuy nhien, mde dd phdn hda tdng trudng EPS n a m 2010 r a t Idn thdng qua dd lech chuan len ddn 48,2%. Trong khi dd, vdi khd khdn cua n e n kinh t l dd anh hudng dang ke dd'n mdc tdng trffdng EPS cua cdc ngan h a n g khi mffe tdng GDP n a m 2011 cua Viet Nam chi dat 5,89%.
Theo tinh todn, binh qudn eae ngdn hdng trong mdu xem xet, EPS sut giam 13,6% n a m 2011 va sff phan hda tang trddng cua cac ngdn hang khong nhieu khi dp lech chuan giam cdn 33,5%.
Y nghia, muc dich cua xd'p h a n g la xdc dinh dp mffc dd on dinh, t r i l n vgng vd rui ro hoat dpng cua ngdn h a n g . T i n g diem co gid tri td [0;1]. Vdi gia t h u y l t ban dau, xac sua't hoat ddng I n dinh eua n g a n h d n g t u a n theo phan p h i i chudn. Do vdy, nghidn cdu de nghi thdng s i c u a phdn phdi chuan de xdc dinh mffc diem xe'p h a n g cd gia tri la: (i) Trung binh p = 0,5;
(ii) Dd Ideh ehudn a = 0,166 d l t i n h todn.
Theo ly t h u y l t thd'ng kd ede gid tri ndm trong khoang [p - 3 a ; p + 3a] (chilm 99,8% dff lieu).
Do dd, p h d n phd'i chuan cd trung binh la 0,5 vd dd lech chu^n vd 0,166 se bao phu gan he't ddi gia tri td [0;1] (Zimmermann, 1991).
Ket qua
K i t qua nghidn effu bao gom k i t qua cua vide xdy ddng h a m t h a n h vidn trong qud t r i n h md hda vd k i t qua XHTN eho cde NHTM tai Viet Nam. Bang 1 tong hgp h a m t h d n h vien eua tdng chi tieu trong hai n a m 2010 va 2011 sd dung trong XHTN NHTM t a i Vipt Nam.
Trong Bang 1, hdm t h a n h vien eua cung chi tieu cd t h i khde nhau trong hai ndm xem xet.
Sff thay doi Iffa chpn hdm t h a n h vien cho cung mOt chi tidu trong hai ndm lien tuc t h i h i | n Uu dilm cua 1^ t h u y l t md khi ddnh gid x I p hang.
Cu t h i , chdng ta hay xem xdt gid tri trung binh
Do vdy, mdt ngdn hang cd mdc tang trffdng EPS ndm 2010 la 0% ddgc cbo la kem hieu qua, khdng td't d chi tieu nay khi ma cac ngdn hang khac deu tdn dung dddc cd hpi de tang trffdng. Nhdng ndu vdi mdc tang trddng EPS la 0% nam 2011 thi ngdn hdng se duge ddnh gia hieu qua hdn nhieu khi ma cac ngan hang khde khdng gid vffng dffgc t h a n h qua va sut giam thu nhap tren tffng co phdn. Dieu nay se khde phue ddge "tinh tinh" trong danh gia xd'p hang hidn nay la neu dd'i tdgng ddnh gia ed eung gid tri d 2 nam thi diem so' la nhff nhau.
Diem dang chd y la cdc chi tieu ve Von ehu sd hdu/Du nd cho vay, Ty le eho vay/Tong tai san khdng ed su khac bidt nhieu ve gid tri trung binh vd dp lech chuan. Dieu ndy phan ndo eung ed the dUdc giai thfch bdi chinh sach va cd cd'u cho vay cua ngdn h a n g thddng ddgc on dinh trong vdi nam. Do do, nhdng thay doi trong n e n kinh te' chua tac ddng nhieu de'n nhflng chi tidu ndy. Hdn nda, cd ca'u vd'n hgp ly se dddc cac ngdn bang hudng de'n d l t a n dung hieu qua nha't ve ngudn vd'n cdng gidp eho gia tri td'i ffu, thdng qua cdc thdng sd' dai dipn eua h a m thdnh vien (bieu dien bdi hdm p h a n phd'i xac sud't) cang cd y nghia.
Nghien effu da thde hipn do ludn;
hidu qua boat dpng cua 34 NHTM •
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Sl944-95«Thdng0l+U2/20l4 E S l
» » 3 NGHIEN CifU TRAO DOI
B a n g 1: K e t q u a x a y d i i n g h a m t h a n h v i e n c a c c h i t i § u x e p h a n g S T T
1 2 3 4 5 6 7 8 9
h i ^ u s u a t s i n h l d i ( E a r n i n g a b i l i t y ) E O A E %
R O A A %
C h i p h i h u y d o n g v o n (Cost of F u n d s ) Ty Ie c a n b i e n ( N I M )
Ty Ie t h u n h a p ngoai Iai c a n b i e n T y Ie Iai t h u a n
Ty Ie s i n h Idi h o a t d o n g ( N P M )
Thu n h a p c a n b i e n t r u d c nhijng giao dich d a c b i e t Thu n h a p t r e n cd p h i e u ( E P S )
2 0 1 1 GAMM(5,96;1,74) GAMM(0,437;2,93) N O R M ( - 9 , 4 5 ; l , 9 8 ) G A M M ( 0 , 5 7 6 ; 6 , 4 2 ) G A M M ( 0 , 1 3 9 ; 4 , 8 6 ) N O R M ( 9 0 ; 1 1 , 3 ) N O R M ( 3 1 , 7 ; 1 0 , 1 ) N O R M ( 1 , 1 7 ; 0 , 7 6 4 )
"WEIB(1,303;1,06)
n a m 2 0 1 0 v a 2011' 2010 W E I B ( 1 2 , 2 ; 1 , 6 2 ) W E I B ( 1 , 5 6 ; 2 , 7 3 ) N O R M ( 5 , 9 5 ; l , 2 2 ) NORM(2,81;0,686) 'WEIB(0,557;1,43) NORM(75,6;18,6) NORM(39,3;10,8) GAMM(0,335;3,46) N O R M ( l , 7 4 3 ; 7 9 3 ) "
Hi$u q u a q u a n ly 10
11 12
Chi phi/Thu n h a p (Cost to income) Chi p h i / T o n g t a i s a n (Cost to a s s e t ) Loi n h u a n tii dich vu/Tdng led n h u a n
N O R M ( 4 7 ; 1 0 , 9 ) W E I B ( 1 , 3 7 ; 2 , 7 7 ) GAMM(6,18;1,29)
NORM(41,5;10) NORM(1,22;0,345) E X P O ( 8 , 9 2 ) T h a n h k h o a n (Liquidity)
13 14
Ty Ie cho vay/T<)ng t a i s a n (LAK) Ty Ie cho vay/Tong t i e n gijfi (LDR)
N O R M ( 4 5 , 3 ; 1 3 , 4 ) N O R M ( 9 7 ; 2 7 )
NORM(45,8;12,6) NORM(92;23,3) Cd c a u + a n t o a n t a i c h i n h (Capital Adequacy)
15 16 17 18 19 20 21
Ty Ie a n t o a n v o n (CAR) Du t r d t h a n h k h o a n / T d n g t a i s a n
Ty s d t i e n m a t va t r a i p h i e u C h i n h p h u / T d n g t a i Ty Ie t a i s a n s i n h loi
Vdn chu sd hiiu/Tai s a n Vdn chu sd hiiu/No p h a i t r a Vd'n chu sd hCfu/Du n d cho vay
N O R M ( 1 2 , 8 ; 7 , 1 7 ) N O R M ( 2 7 , 5 ; 9 , 7 4 ) N O R M ( 0 , 9 3 2 ; 0 , 3 6 ) N O R M ( 8 7 , 7 ; 7 , 3 6 ) GAMM(3,32;1,99) GAMM(4,23;1,92) GAMM(9,52;1,73)
WEIB(6,89;1,24) NORM(30,8;8,72) GAMM(2,43;0,962) NORM(87,6;5,91) GAMM(7,26;0,928) GAMM(7,69;1,15) GAMM(9,87;1,86) Cha't Itfcfng tin dung/Tai s a n (Asset quality)
22 23
Ty Ie nd xau
Ty Ie trich l a p du p h b n g cho v a y
N O R M ( 2 , 2 1 ; 0 , 9 4 5 ) GAMM(0,258;5,13)
NORM(1,44;0,73) LOGN(0,671;0,374) To'c dp t a n g trUcfng (Management quality)
24 25 26 27
Tdc dp t a n g t r u d n g t d n g t a i s a n Td'c dd t a n g t r u d n g E P S To'c dd t a n g t r u d n g t i n d u n g Tdc do t a n g t r u d n g huy d o n g
N O R M ( 2 4 , 5 ; 3 1 , 2 ) NORM(-13,6;33,5) N O R M ( 1 4 , 3 ; 9 , 0 1 ) N O R M ( 1 2 , 6 ; 1 7 )
NORM(60,6;29) NORM(14,4;48,2) WEIB(46,7;1,19) WBIB(69,2;1,83) Nguon • Tdng hap cua nhdm tdc gid
t r o n g ndm 2011 va 2010. Ke't qua eua n g h i e n effu nhdm muc dfch so s a n h vdi k e t qua p h a n loai cua NHNN thdc h i e n t r o n g t h d i gian g a n day va n h d m de d a n h gia, p h a n loai NHTM
Viet Nam n a o on d i n h h d n , hidu qua hdn. Ket qua xe'p h a n g k h d n g mang ham y ngdn hang ed rui ro pha san hay khong I n dinh trong b o a t dpng. Do dd, trong pham vi nghien cilu
Qua Innh xdy dung hdm thdnh vien Cray dung phdn phdi xdc sudt) vd gidi md duac ho trg bdi phdn mem Matlab Cdc hdm iha'A vien thudngg^p trong nhom hdm phdn phdi xdc sudt la phdn phdi chudn (Normal), phdn phdt mu (Exponential), phdn phdt WeibuU, phdn phdi Lognormal, phdn phdi Gamma. Tdy vdo tinh chdt cua tang phdn phdt se dugc dng dung vdo xdc dtnh diim so iMH qua tinh chdt cua tdng chi tieu. Cu the, ddi vdi chi tieu ty le cho vay thi Nguyin VSn Nam vd cdc tdc gid (2004) cho rdng cdn pA*
xem xet din ty IS toi Uu cho ngdn hdng Ngdn hdng cho vay cdng nhiiu se Idm tdng rui ro thanh khodn. Tuy vgy, ngdn hdngth dung dugc toi da nguon vdn de tim kiem lai nhuan Khi do, cdc phdn phdi cd do nhgn nhUphdn phdi Normal, Weibull. Lognorm thudng duac .vem .xet de biiu diin hdm thdnh vien.
^
So 94+95 •Thinganhang
iine 01+02/2014
NGHIEN ClJfU TRAO BOI < « «
B&ng 2: K ^ t q u a p h u help v d l p h a n l o a i N H T M c u a N H N N
Ky h i ^ u ACB CTG EIB MBB MSB SHB STB TCB VCB VIB
•VPB ABB B'VB HBB MDB NAB OJB PGB WTB
Ngan h a n g A Chau
Cdng thirong (Vietinbank) Xuat Nhap kh^u (Eximbank) Quan doi (Military bank) Hang hai (Maritime bank) Sai Gdn - Ha Ndi (SHB) Sacombank
Techcombank
Ngoai thuong Viet Nam (Vietcombank) Quffc tS
Vi$t Nom Thinh VKOng An Binh
Bao ViSt
Nha Ha Ndi (Habubank) Ph^t trien Me Kdng Nam A
Dai Duong (Ocean bank) Xang dau (Petrolimex) Phuong Tay (Western bank)
P h a n loai cua nghien di'u
1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2
P h a n loai cua NHNN
2 2 2 2 2 2 2 2 Ngu6n: NHNN vd tdng hgp cua nhdm tdc gid
ndy, nhdm tde gid t r i n h bay ke't qua so sdnh cua nghien effu vdi kd't qua p h d n loai NHTM ddge edng b l bdi NHNN, cdc ngdn h a n g trong nhdm 1 vd 2 n a m 2011.
Mpt ngdn h a n g dffpe phdn loai trong nghidn effu ndy dffa trdn xac sud't boat ddng on dinh.
Phdn bo de xdc dinh mdc dp boat ddng on dinh eua ngdn hdng la phdn phd'i ehuan nhd gia t h i l t dd neu. Do vdy, xdc sudt boat dpng I n dinh eua ngdn h a n g sd phu thupc vao diem sd' culi cung md ngdn hdng co dffge. Chdng h a n nhd MBB ed tong d i l m cuoi cung Id 0,7482 dilm. Vdi diem s l nay, xac sua't hoat dpng on dinh cua MBB theo p h a n phd'i Normal (0,5;
0,166) Id 90%. Do dd, MBB se thugc phan loai nhdm 1. Nhdm 1 Id nhdm ed xde sua't boat dgng I n dinh tff 75% trd len. Nhdm 2 ed xdc sud't boat dOng I n dinh la 50% trd len.
Nghien cdu p h d n loai 3 n h d m k e t qua n h d sau: (i) K i t qua t r u n g vdi p h d n loai cua
NHNN cdng bo; (ii) Cd ke't qua gdn vdi ke't qua eua NHNN cdng bd' (kd't qua cua nghien cdu sai lech ± 1 nhom so vdi ke't qua eua NHNN; (iii) Ke't qua chffa phu hgp vdi ke't qua phdn loai cua NHNN.
Kd't qua nghien effu eho thd'y cd de'n 19 NHTM (ehiem ty trgng 63,33%) dddc XHTN phu hgp vdi edng bo cua NHNN ndm 2011.
Ve ed ban, cac ngdn h a n g nay dang phan a n h trung thdc boat ddng cua mdt NHTM. Di sau vao kd't qua thi co 11 ngdn h d n g loai 1 eua nghien effu t r u n g vdi phdn loai nhdm 1 cua NHNN, chiem ty Id 73,33%. Cdc ngdn h a n g trong nhdm 1 cd hieu qua hoat ddng td't hdn so vdi cdc nhdm cdn lai. Cu t h i , binh qudn thu nhdp/co p h a n (EPS) eua nhdm 1 la 2.279 VND/co p h a n so vdi nhdm 2 ehi Id 1.283 VND/co p h a n . Hipu qua ndy cd ddgc la do ty 1^ Chi phi/Thu nhdp eua nhdm 1 dffge kiem sodt td't hgn. Binh quan nhdm 1 chi mat 0,43 dong ehi phi d l thu ve 1 lgi nhuan. Trong khi
- A ' a . i - L Q e A X k . 4 n «
ngan hang M
» » > NGHIEN CUfU TRAO DOI
do, ngdn h d n g n h d m 2 ty le chi phi/thu n h a p len d i n 45,34%.
Diem khde biet Idn eua ngan h a n g nhom 2 la ty le nd xdu va ty Id an toan vdn d n a m 2011.
Tinh d i n cuoi n a m 2011, ngdn h a n g n h d m 1 cd ty Id ng xd'u binh quan la 1,65% va dd lech chu^n ng xd'u eua nhom nay la 0,79%, chenh lech kha nhieu so vdi mffe binh quan cua nhdm 2 d chi tidu nay la 2,53% va 1,04%. Dieu n a y cho thd'y rdng, k i l m soat, danh gia trong vide viec cap tin dung eua nhdm 2 eon ton tai nhidu van de can giai quyd't so vdi nhdm 1. Ty Id an toan von cua nhdm 2 cao hdn b a n so vdi nhdm 1, chi tidu nay co gia tri lan Iffdt la 20,89% va 11,35%. Gia tri binh quan ty Id an toan vd'n d mdc cao eho tha'y kha nang k i l m soat nguon vd'n cua nhom 2 gap kho k h a n hdn so vdi cde ngdn hang thupc nhdm 1. Ty Id an toan vd'n cua nhdm 1 d mdc tha'p cho thd'y cac ngan hang cua nhdm nay dang t a n dung nguon vd'n de ea'p tin dung hieu qua, dong thdi kiem soat td't nguIn tin dung eho vay.
Bdn eanh ke't qua nhdm tac gia tim dffge phu hdp vdi phdn loai cua NHNN, nghien cdu cung eho tha'y mdt so' ke't qua g a n vdi kd't qua p h a n loai ddge cdng bd' rdng r a i (Bang 3).
Td Bang 3, eo 6 ngdn hang cd ke't qua gan vdi cdng bd' cua NHNN, chiem 20%. BIDV va NHTMCP Ban Viet (VCA) la hai ngdn hang cd k i t sai lech giam ve phan loai so vdi kd't qua phdn loai eua NHNN. Ve cd ban mot so chi so tai ehinh eua ngdn hang BIDV d mdc td't so vdi nhdm 1, cu the nhd Lgi nhuan td dich
v u / T l n g lgi nhudn cua BIDV la 13,99%, xIp thff 4 trong m a u nghidn eiiu gom 34 NHTM.
Hoac chi tieu tdng tnfdng tin dung ndm 2011 cua BIDV la 15,64%, gdn bdng vdi mdc tdng trddng tin dung binh qudn cua cac ngdn hang nhdm 1 la 16,51%. Tuy nhien, mdt s l chi tieu tai ehinh k h a c ma BIDV dd'i dien vdi nguy ctf cao lam a n h hffdng dd'n rui ro va t r i l n vpng cua n g a n h a n g n a y la ng xau va k h a n a n g sinh lgi.
Cae chi tieu ROAA, E P S va ng xau cua BIDV trong n a m 2011 lan Iffdt la 0,83%, 1.416 dlngf CO p h a n vd 2,96%. Mffc sinh Idi/vd'n chu hinh qudn (ROAA) eua BIDV t h a p hdn h^n so vdi cac n g a n h a n g khac khi chi dffng thff 23/34 ngdn h a n g xem xet. Ben canh dd, huy dong vd'n cua BIDV n a m 2011 khdng t a n g trffdng ma sut giam 1,71% trong khi 23 ngan hang khac vdn duy tri dffgc sff t a n g trddng. Tuy nhien, vdi vai tro la ngdn h a n g hd trg vl vd'n trong qua t r i n h sap n h a p 3 NHTMCP De Nhat (FCB), Viet Nam Tin Nghia va Sdi Gon (SCB), BIDV cung gap mgt sd' a n h hffdng khong nhfi.
Trong khi dd, VCA ed p h a n trdi hdn cac n g a n h a n g k h a e d cac chi tidu Chi phi/Thu n h a p , t a n g trffdng huy ddng va tdng trddng E P S . Cae ehi tidu n a y t r o n g n a m 2011, VCA d a t l a n lugt la 35,99%, 64,44% vd 137,47%.
VCA da cho tha'y qua t r i n h c h u y i n doi tai ctf ca'u tff Ngan h a n g Gia Dinh (GDB) ra't thanh edng tff k h a u k i l m sodt chi phi boat ddng cua n g a n h d n g dd'n thu h u t dffgc nguon tien g&i- Tff do, Lgi nhudn/eo p h i n eung cd mffc tang trffdng m a n h nhd't t r o n g td't ea eac ngdn hdng t r o n g n a m 2 0 1 1 . Tuy n h i d n , eac chi tieu tai c h i n h eon lai eua VCA v a n cdn t h a p so vdi B a n g 3: K e t q u a g a n v d i p h a n l o a i N H T M c u a N H N N
Ky hieu BID VCA DAB EAB KLB LVB
Ngan h a n g Dau tu ya Phat trien VN (BIDV) Ban Viet
Dai A Ddng A Kien Long Lien Viet
P h a n loai c u a n g h i d n Ci2u
2 2 1 1 1 1
P h i n loai c u a NHNN l |
1 i 1 If 2 2 2' ^ Nguon: NHNN va tong hgp cua nhom tdc gid
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B a n g 4: M 9 t s o c h i t i e u t a i c h i n h c u a DAB, EAB, ELB, LVB va n g a n h N g a n h a n g Dan vi tinh: % K y l i l $ u
DAB E A B K L B LVB
Ng&n h a n g Dai A Ddng A Kien Long
Lidn Viet Tnmg binh nganh
Chi phi/
t h u nhlip 40,45 45,51 38,72 44,72 46,67
NEW 4,27 4,67 5,23 4,21 3,70
Ty 1$ tai s a n sinh Icti
93,43 80,40 92,20 29,73 87,88
Tang t n i d n g tin d u n g
19,93 14,83 J 19,91 29,73 17,65
T y l ? 0,99 1,53 1,14 0,93 1,38 Nguon: Tinh todn cda nhom tdc gid
mdt b ^ n g ehung. VCA la mpt trong so' 4 n g d n h d n g ma dieh vu k h d n g m a n g lai lgi n h u a n khi ty le Lgi nhugm tff dieh vu/Tong ldi nhudn Id -0,6%. Ty Id sinh Idi/Von ehu binh qudn (ROAE), Ty le l a i can bien (NIM) vd Ty le ldi thuan/Thu n h d p Id edc chi tieu dien binh cho t h ^ y VCA ehda hieu qua trong boat dpng kinh doanh so vdi ngdnh. Ndm 2011, edc chi tieu ndy eua VCA l a n Idgt la 10,04%;
2,72% va 72,93% so vdi binh qudn todn n g a n h
la ROAE Id 16,86% vd 18,26%, cao hdn binh qudn ngdnh chi dat 12,29%. Ddc bidt, 4 ngdn hang nay ed ROAA rd't td't va diu cao hdn nhieu so vdi nganh (1,3%). Ty le ldi nhudn/
Vd'n chu binh quan cua DAB la 2,24%, EAB la 1,56%, KLB la 2,59% va LVB la 2,19%. Ben canh do, mpt sd' ehi tieu khac nhd Chi phi/Thu nh^p, NIM va Ty le tdi san sinh lgi cua cac ngdn hang ndy deu d mde cao so vdi m a t bdng ehung eua ngdnh Ngdn hang ndm 2011. Mot v l ROAE, NIM vd Ty le lai thudn/Thu nhdp sd' chi tidu tdi ehinh eua 4 ngdn hang ed mdc Id 12,29%; 3,7% va 87,1%. Tuy vdy, vdi nhffng
mdc tdng trddng vdgt bdc cua ndm 2011 va nhffng hoach dinh c h i l n Iffgc hieu qua sau qud trinh ehuyen doi, p h d n loai cua VCA trong ndm 2012 vd n h d n g n a m tie'p theo n h d m d
phan loai cua nghien effu eao ban ke't qua phdn loai cua NHNN nam 2011 (Bang 4).
Ben canh cdc ngan hang ddgc liet kd trdn ddy, vdi k i t qua tff nghien effu nay la gidng hodc gdn nhdm 1 Id r a t Idn vd tie'p tuc n h d n dffge sff gidng vdi xe'p hang cua NHNN, kd't qua phdn tin tddng tff ngffdi gffi t i l n nhieu hdn. loai cua NHNN khdng tim ddgc sff dong thuan tff ke't qua tim dddc cua nghidn effu nay. Sff (5 chilu nguge lai, cd dd'n 4 n g a n h a n g bi khde biet nay dugc the hien d Bang 5. Do edch NHNN p h d n nhdm 2 trong khi kd't qua nghidn thffe xd'p hang cua NHNN khdng dffdc cdng bo.
cdu d a t dffgc p h a n loai n h d m 1 Id DAB, EAB, KLB vd LVB. Nhin chung cde ngdn h a n g nay ed cdc chi tidu tdi chinh trong ndm 2011 rd't td't va k h a quan. Cu t h i , nd xd'u cua DAB vd EAB trong n a m 2011 ehi d mffc 0,91% va 1,69%, thd'p hdn n h i l u so vdi mffe 3,44% eua todn ngdnh. DAB va LVB ed hieu qua sinh lgi
nhdm tde gia da khdng the cd day du thdng tin can thiet d l giai thieh eho sd khac biet nay.
XHTN n h d m eung cap tin hieu de canh bao rui ro trong boat dpng vd trien vpng phdt B S n g 5: Ke't q u a chi^a phii h d p vdti k e t q u a p h d n l o a i c u a N H N N Ky hi$u
M H B S E A D T B
Ngan h a n g Ph^t triln n h i DBSCL (MHB) Ddng Nam A (Seabank) Dai Tin (Trustbank)
P h a n loai cua nghien cu!u
2
P h a n loai cua NHNN
1 1
Ngudn: NHNN vd tdng hgp cda nhdm tdc gid
Cfingnghi H g ^ H H a t i g P M
> » » NGHIEN CUfU TRAO DOI
t r i l n eua cac NHTM. Bdn c a n h dd, XHTN edn ddng vai trd quan t r p n g trong d i l u h a n h vi md, ddc b i e t la XHTN n g a n h a n g h i e n nay dang ddgc thdc h i e n bdi N H N N Viet Nam.
Trong t h d i gian qua, cdc NHTMCP trong ndde dd dddc d a n h gid tin nhiem bdi cac to ehffe xep h a n g uy tin nddc ngoai khi cae n g d n h a n g vd hd thd'ng t a i chinh Viet Nam b a t dau hdi n h a p vdi the' gidi. Tuy nhidn, cac XHTN dddc thffe hien thffdng d dffdi mffc dau tff; do vdy, eac xd'p h a n g quoc td' ndy khdng t h i cho thd'y sff phu hgp hay " t r a t td" xe'p h a n g cua ede NHTM Viet Nam t r e n phffdng dien hidu qua boat dpng va rui ro kinh doanh.
NHNN da tien h a n h danh gia va edng bo phdn loai xe'p hang ngan h a n g trong ndde d l minh bach hda hieu qua boat ddng va danh gid mffe dp rui ro cua cac ngdn hang. Td dd, nhd dau tff, dan cd, doanh nghiep cd nhffng tieu chi vd thffde do trddc khi dau td vd gdi tien. Kd't qua phdn loai ngan hdng cua NHNN la rd't can thid't vd kip thdi trong thdi diem hien nay.
Tuy vay, kd't qua vSn ehda lam h a i Idng mdt sd' ngdn hdng bi p h a n loai t h a p do ehda cong khai nhffng tidu chi va phddng phap d a n h gid khaeh quan trong phdn loai ngan h a n g . Dieu nay khie'n cdc ngdn h a n g chffa "tam phue khdu phuc" vdi ket qua x I p hang va quan trpng hdn, cdc ngan h a n g khdng the xae dinh ddge ddu la "diem yeu" so vdi cac NHTM co p h a n khac nhdm tim ra giai phdp khae phue.
K l thffa bd tieu ehi dffge de nghi sff dung trong danh gid hieu qua vd rui ro hoat dpng eua ngan h a n g (Vo Hong Ddc va Nguydn Dinh Thien, 2013b) va dffa t r e n n e n t a n g cua ly thuyd't md, nghien edu da thffe hien d d n h gid, p h a n loai NHTM co p h a n t a i Viet Nam.
N g h i e n effu da t r i n h b a y phffdng p h d p , qui t r i n h thife M e n d a n h gid rui ro theo ly t h u y l t md va d a t k e t qua phu h d p l e n d i n 83,3% so vdi k e t qua cua N H N N . Vdi k e t qua ed ddgc, n g h i e n effu da dda r a dffgc phddng p h a p khoa bgc va rd r a n g t r o n g XHTN n g a n h d n g tai Viet N a m .
Cd 3 nhdm chinh bao gom n h i l u n g a n hang dddc tim t h i y trong nghien effu n a y Id: (i) K i t qua xep h a n g td nghidn effli n a y phu hdp vdi phdn loai eua NHNN; (ii) K i t qua g a n vdi k i t qua phdn loai cua NHNN; (iii) Khdng tim thdy kit qua phu hgp. Nhdm k i t qua phu hgp cd 19/30 ngan h a n g va nhdm ed kd't qua gan vdi kd't qua edng bo cd 6/30 n g d n h a n g . Trong nhdm cd k i t qua g a n vdi p h a n loai eua NHNN, BIDV va VCA cd k i t qua xd'p h a n g tha'p bdn 1 b^c so vdi xd'p h a n g cua N H N N n a m 2011. Cac ngan h a n g n a y cd cae chi so t a i chinh chffa thffe sd td't so vdi n g a n h . BIDV chiu tac ddng do h8 trg vd'n trong qua t r i n h sap n h a p 3 FCB, Vidt Nam Tin Nghia va SCB. Trong khi dd, VCA dang trong qud t r i n h hdi phue sau giai doan ehuyen doi tff GDB trddc day.
B e n e a n h dd, k i t qua n g h i d n effu cd dddc da ddng gdp phffong p h a p XHTN ngdn hdng trong thdc t i e n dd'i vdi N H N N . B e n eanh dd, nghien effu cung cung cap n e n t a n g 1^ thuyet doi vdi cac n g h i e n effu lien quan ve linh vdc do Iffdng rui ro, d d n h gia hidu qua boat ddng n g a n h a n g t a i Vidt N a m . Kd't qua cung eung cap cho eae b e n ed lidn quan t h a m k h a o trong dau tff, gdi t i l n vd q u a n ly vi mo. Dde bipt, t r o n g qua t r i n h t a i cd edu he t h o n g ngan h a n g h i e n nay, t h d n g qua kd't qua ddnh gid tin n h i e m n g a n h d n g se giup qud t r i n h tdi ctf ca'u hieu qua hgn vd it td'n kdm h g n "
T a i l i $ u t h a m k h a o
1. HoAng Tung (2011) Phan tich riii ro tin dung doanh nghi?p bitng m6 hinh Logistic. Tap chi Khoa hoc vd Cdng nghi.
So 2(43).
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^ c ngan hang
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NGHIEN ClJfU TRAO DOI « < «
4. IA Dat Chf vi IA TuSn Anh (2012). K^t htfp phuong phdp Cvar va mfl hinh Merton/KMV de do lifdng rui ro vd nO: Bing chiing thifc nghiSm d Vigt Nam, Tap chi Phdt triin vd Hdi nhdp - So 5 (15), 2012.
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Thdng tin tac gia:
(*) TS. Vo Hdng Dac hien la Gidm ddc bd phdn Nghien cdu oa Bmh gid cua Uy han qudn ly kmh td d Perth, Uc vd Id gidng viSn Dai hoc Edith Cowan, Uc vd TrUdng Dai hoc Md TP.HCM.
Llnh vUc nghien cdu chinh: chi phi sd dung vdn vd doanh nghiep doc quyen, phdn cap ngdn sdeh nhd nUdc, kmh t^ ngam, cdi edch thue vd chi ti&u cdng, qudn tri cdng ty, xep hang tin nhiem vd cdc vdn de khac hen quan ddn tdi chinh doanh nghidp vd tdi chinh ddu tu.
Cdc nghiin cdu dUac edng bd tren cdc lap chi qude td: Journal of Economic Survey, Journal of Asia Pacific Economies, International Journal of Economics and Law, Rivista di diritto finanziario e scienza delle finanze. Encyclopedia of Public Policy vd dugc trinh bdy tai Hgi thdo khoa hoc d nhieu qudc gia tren the gidi bao gdm Uc, Nhdt, My, Anh, Y, Tdy Ban Nha vd Vi^t Nam; cdc nghiBn ciiu duge cdng bd tr&n cdc tap chi trong nUdc nhu Tap chi Phdt triin Kmh te. Tap chi Kmh td vd Phdt tridn. Tgp chi Khoa hoc Trudng Dai hoc Md TP.HCM, Tap chi Cdng nghe Ngdn hdng.
Email: [email protected]
(") ThS. Nguyin Dinh Thiin hien Id nghien cdu sinh ngdnh Tdi chinh - Ngdn hdng, TrUdng Dai hoc Kinh td Ludt, Dgi hgc Qudc gia TP.HCM vd trg gidng chuang trinh Cao hoc cila Trudng Dai hoc Md TP.HCM vdt cdc mdn hoc vi Ktnh li vd Tdt chinh.
Llnh VUc nghtin cdu chinh: xMp hgng tin nhtSm, rdt ra tin dung vd cdc vdn de khac li&n quan den linh vUc Tdt chinh - Ng&n hang.
Cdc nghiin etfu dugc cdng bd trSn cdc tgp cht trong nUdc- Tgp chi Phdt tridn Kmh te. Tap chi Kinh td vd Phdt tndn, Tgp chi Khoa hgc Trudng Dgi hgc Md TP.HCM. Tgp ehi Cdng nghe Ngdn hdng.
Email: [email protected].
Congng.
sa'94+95* II
nganhangPM
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