Chuyen muc: Tai chiah - Ngan hang - TAP CHI KINH I _
GIAI PHAP HOAN THIEN HOAT DONG QUAN TRI RUI RO LAI SUAT ^ NGAN HANG TRU'ONG MAI CO PHAN CONG THU'ONG VIET NA^
Ha Thi Thanh NgaS N ,ue Anh^
Tom tat
Ket hap mue tieu nghien cuu v&i viee van dung long hgp cdc phuang phdp nghien cini khoa hgc, bdi viit dd gidi quyet duac mot so noi dung quan trong nhu: He thdng ca s& ly ludn vi rin ro ldi sudt vd qudn tri rui ro ldi sudt, Ldm ro thuc trgng hogt ddng qudn Iri rui ro ldi sudt, lie do co ea s& dua ra nhung ddnh gid vd di xudt cdc gidi phdp nhdm hodn thien hoat ddng qudn tri riii ro ldi sudt tgi Ngdn hdng thuang mgi cd phdn Cong thuang Viet Nam. Kit qud nghien cieu cho thdy hogl ddng qudn tii rui ro ldi sudt tai ngdn hdng con mdt sd tdn tgi sau: Phuang phdp do lucmg rui ro ldi sudt con dem gian, chua xdc dinh duoc miec tdn thdt cu the, Viec sit dung cdc cdng cu phdi smh de phong ngua riii ro ldi sudt vd cdng tde du bdo ldi sudt con nhieu hgn che.
Tir khoa: Khe h&nhay cdm ldi sudt, qudn tri rui ro ldi sudt, Vietinbank.
SOLUTIONS TO IMPROVE INTEREST RATE RISK MANAGEMENT IN THE VIETNAM JOINT STOCK COMMERCIAL BANK FOR INDUSTRY AND TRADE
Abstract
With proper application of science research methods to reach the research objectives, the paper has addressed some significant issues such as- systemize the basic theories about interest rate risk management, clarify the situation of interest rate risk management, evaluate and suggest some solutions to improve interest rate risk management in the Viemam Joint Stock Commercial Bank for Industry and Trade. The results show that there are some problems in the interest rale risk management of the bank:
measurements are so simple that it is impossible to determine the specific losses, using derivatives to prevent from interest rate risk andforcast the interest rate has some shortcomings.
Key words: Sensitive interest rate gap, interest rate risk management, Vietinbank JEL classification. G; G21; G24
1. Gidi thieu
l.LTong quan tdi lieu nghien ciru
Hoat dgng quan tn rui ro lai suat ciia Ngan hang thuong mai (NHTM) la ndi dung da dugc nhieu nha khoa hgc trong nudc va trgn the gidi nghien ciiu.
Timothy W.Koch (2003) nghign ciru ve quan tri ngan hang da dua ra cac phuong phap do ludng nil ro lai suat thdng qua khe hd lai suat va khe hd k\' han. Tac gia ciing dua ra cac phuong phap phdng ngira rui ro lai suat bang cac cdng cu phai sinh nhu hgp ddng k\- han, hpp dong hoan ddi, hgp ddng quygn chon,...
Peter S.Rose (2004) cho rang muc tieu quan trong trong quan ly nii ro lai suit la han che tdi miic thap nhat mpi anh hudng xau cua su bien dgng lai suat den thu nhap cua ngan hang, Ngan hang can duy tri t\- le thu nhap lai can bign cd
dinh, quan Iy khe ha nhay cam lai suat va quan Iy khe hd ky ban,
Joel Bessis (2012) dua ra khai niem ve nii ro lai suat la nii ro thu nhap lai thuc se giam. Ddi vdi cac khoan di vay va cho vay deu cd the ddi mat vdi nii ro lai suit khi lai suit thay ddi.
Nhtmg theo tac gia, nhirng khoan vay cd lai su§t CO dinh ciing cd nii ro vi ngudi cho vay vdi lai suat ed dmh cd thg cho vay vdi lai suit cao ban neu lai suat tang va ngudi di va\- se tra lai suit thap han ngu lai suat giam.
Do Thi Kun Hao (2005) vdi de tai ''Giai p h ^ quan ly rui ro lai suit tai Agnbank". Tac gia 3a.
phan tich tiiuc trang mi ro lai suit \-a quan ly nii ro lai suat tai Agribaiik giai doan tu nam 1999 din nam 2003, danh gia diuc trang rui ro lai suit cua ngan hang bSng viec sir dung mo lunh dmh gia lai de lucmg hda nii ro. Tac gia cho : .; Agribank nen tap trung vao xay dung chmh sac, H 'j'.'-ia va lua
Chuyen muc: Tai chinb - Ngan hang - TAP CHJ KINH T E & QUAN TRI KINIT DOANH SO 12 (2020) chpn md hinh lupng hda, su dung cac cdng cu phai
smh de phdng ngira nii ro lai suat.
Nghien eiiu ciia Ta Ngpc Son (2010) ve quan ly nil ro lai suat trong hoat dgng kinh doanh ciia NHTM Vigt Nam, day la cdng trinh nghien ciiu kha toan dien vg ly luan co ban rui ro lai suat va cong tac quan ly riii ro lai suat trong hoat dong cua NHTM. Tac gia da gidi tiiieu nhung kinh nghiem quan Iy rui ro lai suat tai mdt so chi nhanh nudc ngoai dang hoat ddng tai Viet Nam.
Tac gia de xuat giai phap quan tri bing phuang phap gia tri cd the tdn tai-Value (VaR). Cac NHTM cd the ap dung phuong phap nay trong tuong lai va can cd nhiing dieu kien cy the 1.2.Sir can thiet cda vdn di nghien citu
Tai NHTM cd phan Cdng thuang Viet Nam (Vietinbank), thu nhap rdng tir lai chiem ty trong chii yeu trong co cau thu nhap ciia ngan hang, khi lai suit tren thj trudng bien ddng se lam anh hudng den thu nhap tir lai, gia trj tai san rdng cua ngan hang, Dg phdng ngira nhiing tac ddng gay bit Ipi do su bien ddng ciia lai suat, nang cao higu qua dieu hanh boat ddng kinh doanh ciia ngan hang nham hudng tdi nhiing thdng le quoc te, nghign ciiu ve nil ro lai suat, eiing nhu viec su dung cac cdng cu quan tri nii ro lai suat ap dung cho Vietinbank la mdt yeu cau can thiet, 1.3. Ca sd ly luan vi rdi ro ldi sudt vd quan tri rm ro ldi suat cUa NHTM
Riii ro lai suat la mdt trong nhiing loai nii ro mang tinh dac tnmg ciia NHTM. Khi lai suat thi trudng thay ddi thi thu nhap tir cho vay va dau tu Cling nhu chi phi cua tien giii va cac ngudn vdn huy ddng khac deu bj anh hudng Ngoai ra, lai suat thay doi cdn anh hudng dgn gia trj thi trudng ciia tai san cd va tai san no, gia tri vdn chil sd hiiu cua ngan hang. Do dd, khi lai suat thay ddi se tac ddng den toan bd bang can doi, bao cao thu nhap cua ngan hang,
Theo Casu va cdng su (2015), riii ro lai suat la riii ro xuit phat tir sy khdng phii hop gifl'a ky han va quy md ciia cae khoan muc tai san cd-tai san no ciia dinh che tai chinh, xay ra trong qua trinh thuc hien chitc nang chuyen hda tai san
Riii ro lai suat trong kinh doanh ngan hang la nhirng thiet hai ma NHTM phai ganh chju khi cd su thay ddi lai suat tren thj trudng, Ngan hang
duy tri CO cau tai san va ng vdi nhiing ky han khdng can ximg vdi nhau thi phai chiu nhirng nii ro vg lai trong viec tai tro tai san hoac khi gia tri tai san thay ddi do lai suat thj trudng bign dgng.
Theo Nguyen Van Tien (2012), quan tri riii ro lai suat trong cac NHTM la cac bien phap, cac hoat ddng tac ddng tdi nii ro lai suat, bao gom viee do ludng, xac dinh giam sat, kigm soat cac riii ro lai suat cua eac td chiic ngan hang nham han che den miic tdi da anh hudng xau tac ddng den thu nhap cua ngan hang khi lai suat thay doi.
Thuc chat, hoat dgng quan tn nii ro lai suat la viec dimg cac cdng cu tai chinh de han che hay giam thigu ton thit tai chinh do nii ro lai suat gay ra. Theo quy trinh quan tri thi ndi dung quan tri nii ro lai suat bao gdm: Nhan biet nii ro lai suat, do ludng nii ro lai suat va kiem soat riii ro lai suat.
Z.PhiroTig phap nghien ciiii 2.1.Phucmg phdp thu thap so lieu
Sd lieu sii dung trong bai vigt duoc thu thap tir hai ngudn:
- Thu thap true tigp ttr Vietinbank, tap trung vao cac thdng rin phan anh thuc trang hoat dpng quan tn nil ro lai suit tai Vietinbank thdng qua cac bao cao thudng men, van ban quy dinh va ket qua thyc hien, cac sd lieu tir cac phdng ban chuc nang eiia ngan hang
- Thu thap td cac tap chi, bai bao, website cua Ngan hang nha nudc, va cac NHTM khac da cdng bd lign quan dgn boat dpng quan tri nii ro lai suat cua ngan hang.
2.2. Phuang phdp tdng hap vd xu ly thong tin, dii' liiu
Tir nhiing dii lieu thii cap thu thap dugc, tac gia sir dung phuong phap nghien ciiu thdng ke, tong hgp, so sanh, phan rich, ket hop vdi sir dung bieu do, hinh anh de phan tich thuc trang boat ddng quan tn nil ro lai suat tai Vietinbank, tren co sd dd danh gia, so sanh, tham chieu nhim dua ra nhung ket luan vg hoat ddng quan tri rui ro lai suit tai Vietinbank,
3. K6t qua nghien ciin
3.1.Thuc trgng hogt dpng qudn tri rdi ro ldi sudt tgi NHTM cd phdn Cong thuang Viit Nam 3.1. J.Biin ddng cita ldi sudt tie ndm 2012 din 2019
Thyc tg hign nay cho thay Ngan hang nha
Chujcn muc: Tai chinh - Ngan hang - TAP CHI KINH TE & IJUAJN IKI i^iiNfi Dvjrt,iNin ^ nudc (NHNN) dieu hanh thi trudng chu >'eu thdng
qua cac lai suat trong cac giao dich giiia NHNN vdi cac NHTM Bao gdm: Lai suat tai chiet khau, lai suit tai cap vdn, lai suat cho va}" qua dem trong thanh toan dien tu lien ngan hang va cho vay bu d^p thigu hut vdn trong thanh toan bii trir, lai suat mua ky han gii\' td cd gia (lai suat OMO) va lai suit tin phigu Lai suit OMO tiiudng dao ddng
trong khoang tir lai suit tai chigt khau :•- '•' ^"^*
tin cap vdn va ciing la cdng cu duo^ NHNN iru tign sir dung nhigu nhat cimg vdi lai suat tin phieu dg digu tiet lai suat trgn lign ngan hanj; • ''^"S cac nam gan day da ed su thay ddi ldn \ e iai suat va chinh sach cua NHNN
-LS tai chiet khau LS tai cap von - L S O M O
3/2016 3/2017 3/2018 3/2019 Bieu dd 1. Dien bien ede muc lai sudt dieu
Cac mirc lai suat cd su bign ddng trong giai doan tir nam 2012 dgn nam 2019, Lai suat nay cd anh hudng dgn lai suat huj' ddng va lai suit cho vay ciia Vietinbank, do dd se cd tac ddng tdi hoat ddng kinh doanh ciia ngan hang va toan bd nen kinh tg,
3.L2.Ve quy che, Id chuc qudn tri rui ro ldi sudt Vietinbank xay dung chinh sach quan tn nil ro lai suat vdi muc tieu nham ban che cae tdn that ve thu nhap tii lai cho ngan hang, duy tri gia tn thi trudng ciia vdn chii sd hihi. tan dung nhirng bien ddng cua lai suat rign thj trudng dg toi da hda loi nhuan trong han mite nii ro duoc xac dinh
Ngan hang cd quy chg td chiic hoat ddng trong ITnh vyc quan tn nii ro lai suat, quy dmh chiic nang, nhiem vu cua tirng bd phan trong ngan hang, tir Hoi ddng quan tn den cac phong ban chuygn mdn
Tir nam 2013, Vietinbank da ap dung quy ch6 quan tri riii ro lai suat tuong img vdi quy md va hoat ddng kinh doanh ctia ngan hang Vdi eo
hdnh ciia SBV tie ndm 2012 den ndm 2019.
Nguon: Ngan hang Nha nudc.
che nay giiip ngan hang giam sat, van hanh quan tri nil ro lai suat duoc hieu qua
Chinh sach quan tn nii ro lai suat ciia Vierinbank the hien cac quy dinh ve vdn chii sd hiiu, t>' le von chii sd huu/tdng tai san theo Basel 2 dg dam bao ngan bang cd dii vdn trong trudng hop cd tdn that xay ra.
Cong tac quan trj nii ro lai suit cua ngan hang duac thuc hien chuygn sau, toan dien, mang tinh he thdng va duoc phan chia trach nhiem kiem soat theo 3 vdng.
Kiem sodt vong 1: Bd phan quan Iy can dSi vdn tnre thudc phdng Quan ly can doi vdn va Ke hoach tai chinh, chiu trach nhiem diu moi phdi hop vdi phdng Diu tir, cac phdng Khach hang tai Tru sd chinh, phdng Kmh doanh ngoai te, phdng Dinh che tai chinh, Sd giao dich \ a ^ac Chi nhanh chju trach nhiem la vdng kiem soat, dau tign thue hien quan tn nii ro lai suit hang :i^a\. bao gom cac cdng vice nhu nhan dien, darr ^la. ki^rn soat va giam thieu mi ro lai suit cua Vi. , ^ ^ 60
Chuyen mm: Tai chinh - Ngan hang - TAP CHJ KINI-I Tfi & QUAN TRI KINH DOA^M SO 12 (2020)
HOI D6NG QUAN IRI
Hoi dOQg quan tri
Uy Ban QLRR
Uy Ban ALCO
BAN DIEU HANH
Tong giam doc
H
CAC PHONG
BAN NGHIEP
VU
Vong kiem soat thu 1 soat thu- 3
Ho^t dong kinh doanh von va thi truirng soat thu 3
Phong QL CDVva KHTC
Phong Kinh doanh von
Phong DCTC
Cac phong khach hang
So Giao djch
Cat Chi nhanh
Giam doc Khoi riii ro (CRO)
Vong Idem soat thu' 2 Khoi Quan ly rui ro Phong
QLRR TT
Phong QLRR TD
Phong QLEtR HD
Vong kiem soat thu 3 Kiem toan noi bo
Hinh 1. Md hinh qudn tn riu ro ldi sudt ciia NHTM Cd phdn Cdng thuang Viel Nam Kiem sodl vdng 2: Phdng Quan ly nil ro thi
tmdng cd trach nhiem xay dyng he thdng quy djnh, quy trinh, hudng dSn quan tri nii ro Iai suat, thigt lap va ra soat han mite, giam sat va kiem soat viec thyc hien quan tn riii ro lai suat cua cac don Vl tai vdng 1, thyc hign bao cao ddc lap tinh hinh riii ro lai suat len Ban lanh dao va don vi cd lign quan. Phdng Quan ly riii ro thi trudng phdi hop chat che vdi cac don vi vdng 1 dam bao mpi rui ro phat sinh trong hoat ddng kinh doanh hang ngay cua cac don vi vdng 1 duoc nhan dign, do ludng, quan ly chat che, dupc bao cao kip thdi den cac don vi cd lien quan
Kiem sodt vong 3: Bd phan kigm toan ndi bd thuc hien chuc nang kigm toan ndi bd theo quy dinh tai cac don vi vdng 1, vdng 2 dam bao viec thuc hien quan tri nii ro lai suit duac thuc hien day dii va cd hieu qua d hai vdng trgn, 3 1.3 Thuc trgng nhdn biet nii ro lai sudt lgi NHTM ed phdn Cdng thuong Viet Nam
Rill ro lai suat cua Vierinbank cd the xuat phat tir boat ddng dau tu, hoat dpng huy ddng vdn va eho vay.
Danh mue eac khoan dau tu, cho vay va cac tai san khac nhay cam lai suat cua ngan hang dupe cap nhat thudng xuyen, lien tue va danh gia nii ro lai suat djnh ky hoac khi phat sinh tiiy theo bien ddng ciia thi trudng. Dam bao viec xac dinh, nhan dien nii ro dugc thuc hien da cap tir bd phan kinh doanh dgn bd phan chuygn trach vg quan trj riii ro va bd phan kiem tra, kigm soat noi bp, Cac bien ddng ciia lai suat thj trudng thudng xuygn dupe giam sat, cap nhat, phan tich va du bao.
Nhung san pham mdi, hinh thiic dau tu mdi phai duoc danh gia cac yeu to nil ro lai suat cd the xay ra bdi bd phan chu>'gn trach ve quan tri nii ro lai suat va bd phan thuc hien nghiep vu,
Sau khi nhan dien cac dau hieu nii ro lai suat, ngan hang phat hien riii ro se tign hanh phan tich kha nang xay ra nii ro Ngu nii ro lai suit cd kha nang xay ra, thi ngan hang tiep tue tien hanh do ludng nil ro phat sinh.
3.1.4. Thuc trgng do lu&ngriu ro ldi sudt Khi do ludng nii ro phat sinh, ngan hang cd the ket hpp cac phuang phap do ludng dinh tinh va phuong phap do ludng dinh lupng Ket qua cua viec do ludng rui ro phat sinh dupc ghi chep
Chuyen muc: Tai chinh - Ngau hang - TAP CPti KINH TE & QUAN I Kl KINH U O A D H S>\J I dav du, bao g o m cac ndi d u n g nhu" loai rui ro.
gia tri tdn that, mirc dp va p h a m vi a n h h u d n g Cdn cie do lucmg nii ro ldi sudt Id: C o cau tai san-np eiia ngan hang, chgnh lech kj" ban, lai suat giira ngudn \'dn hu\- dpng, san pham dau t u va lai suat thi trudng, c o chg lai suat ciia tai san, cua n o (la lai suat co dinh ha\' lai suat tha ndi), dp nha}- cam ddi ^'di bign ddng cua lai suat. Sd lieu thdng kg ve miic lai suat cua cac ky han, loai tign, Chinli sach digu hanh Iai suat hien h a n h cua N H N N hoac trong khu \*uc cd anh h u d n g true tiep tdi Viet N a m ; D u bao cac chi sd kinh te vi md
Ve phucmg phdp do lu&ng na ro. H i e n n a } . Vietinbank ap d u n g md hinh d m h gia lai de do ludng nii ro lai suat Ddi vdi p h u a n g p h a p na}'.
ngan hang p h a n tich miic tha\" ddi thu n h a p rdng Bdng 1: Khe h& ldi sdn vd na nhgy cdm ldi
tir Iai, cho bigt miic dp thay ddi thu n b : :•'''= rii lai ciia n g a n h a n g t r u d c cae bien ddng . -^^^^ ^'^
t r u d n g , t h d n g q u a v i e c p h a n tich kli -"" 'iI^^Y cam lai suat.
So lieu tai B a n g I m d ta each c- --•ong nii ro lai suat bang md h i n h dinh gia lai tai t h a i digm 3 1 / 1 2 / 2 0 1 8 c u a V i e t i n b a n k Giai d o a n n a m 2 0 1 7 - 2 0 1 8 la giai d o a n k h d khan ddi v d i n e n kinh te Viet N a m , d o dd N H N N dinh h u d n g dieu h a n h giam lai suat. D a y l a giai p h a p phii h p p vdi dien bien ciia ngn kinh t e . g d p p h a n tich c u e hd trp thao g d nhiing k h d k h a n cho d o a n h n g h i e p trong \ i g e tiep can n g u o n v d n tin d u n g ciia ngan hang, Vdi djnh h u d n g dd, V i e t i n b a n k da lien tue giam lai suat huy d d n g v a cho vay.
sudt ngdy 31/12/2018
Dan VI tinh: Tneu dong CM tieu Qua han Den 1 thang Tu 1-3 thang Ttr 3-6 thang Tir 6-12 thang Tfr 1-5
19971532 67.146180 449.123 824 286959644 215358969 59670525 58870,415 23184226
;6aSA) Tvtr
(%)
Tai san maSL) Ty trong
(%)
ISGAP 19971532 22553819 171.701779 57899880 7241204 (144,956362) (73132648) 22457472 83736676 ISGAP
™g 171701779 229601659 236842863 91886,501 18753853 41211,325 don
5,69 38,05 24.31 18J5 5,06 44,592 361 277422 045 229,059 764 208127,765 204 626 8:
4.07 25.30 20,89 18,98 18,66
132 003 063 726754 1096 558639 12.04 0,07 100
Nguon: Bao cao thuang men nam 201S ciia 1 ietinbank.
Dem vi tinh. tneu dSti^
500,000,000 400,000,000 300,000,000 200,000,000 100,000,000
(100,000,000) (200,000,000)
Tai san co nhay cam lai suit a S A )
Tai san n a nhay cam lai suit aSL)
- ISGAP Ddn 1 Til 1 -3 Til 3-6 Tir 6- Tir 1-5 Tren 5 -thang-tbang-thang—1^ —nam' nam
thang
Bieu dd 2: Trang thai tai san va nanhciy cam ven lai suSt. khe ha nhay cam •.^, S „ A (3112 20IS)
Nguon: Bdo cdo lliuang men nam 201H ,
Chuyen muc: Tai chinb - Ngan hang - TAP CHI KINH TE & QUAN TRI KINH DOANH SO 12 (2020) Qua bieu dd 2, ta thay ve tdng thg
Vietinbank cd khe hd nhay cam lai suat tuygt ddi duang, do do ngan hang se chiu rui ro lai suat khi lai suk thi trudng giam va se gia tang lgi nhuan rdng neu Iai suk thi trudng tang. Khe hd nhay cam lai suat tap trung nhieu nhat tai ky han 1 tiiang dat 171,701.779 ti-d Ky han den 1 thang tiep tue la ky nhay cam lai suat se cd bien dpng manh nhk, anh hudng ldn nhat den loi nhuan rong cua ngan hang trong trudng hpp lai suat cd cac dien bign bat loi (mirc tang/giam Ipi nhuan rong la +/- 1 717.017 trd n6u bign dpng lai suat +/-I%), Tai cac ky han nhay cam den 1 thang, 1- 3 thang, 3-6 thang va tren 5 nam, khe hd nhay cam Iai suat duang, do dd ngan hang gap bat Iai neu lai suat thj trudng giam, cd Ipi neu Iai suat thj tnrdng tang; Tai cac ky han nhay cam 6-12 thang, 1-5 nam, khe hd nhay cam lai suat am, do do ngan hang gap bat lai neu lai suat thi trudng tang, cd Ipi neu lai suat thi trudng giam.
Vdi ca cau phan bd tai san cd nhay cam Iai suat va tai san np nhay cam Iai suat hign tai, de phdng ngira nii ro cho ngan hang, khuyen nghi tai mpt sd ky han cd khe hd nhay cam lai suat ldn nhu sau: (i) Tai ky han cd khe hd nhay cam lai su§t den 1 thang, tir 1-3 thang, trgn 5 nam cd chenh lech nhay cam lai suat tai eac ky han la ldn, vdi xu hudng lai suat dupc du doan se giam trong giai doan tdi, de giam thieu riu ro lai suat tiem an ddi vdi ngan hang, khuyen nghi xem xet giam chenh lech tai ky ban nay bang each giam ISA (gia trj tai san nhay cam lai suat), tang ISL (gia tri na nhay cam lai suat) tai cae ky ban nay.
(ii) Tai ky ban nhay cam lai suat 6-12 thang, 1-5 nam chenh lech nhay cam lai suat tai ky ban nay la kha ldn, khuyen nghi giam chgnh lech tai khe hd nhay cam lai suat de giam thieu rui ro lai suat tiem an ddi vdi ngan hang
Ddi vdi Vietinbank, nam 2018 Ipi nhuan sau tiiug chl dat 5 416,429 trd, giam 2 042 473 trd so vdi nam 2017. Mdt trong nhiing nguyen nhan lam giam Iai nhuan la do chgnh Igch lai suat khdng dat nhu ky vpng Nam 2018, Vietinbank thuc hien chu truang cua NHNN la digu chinh giam lai suat cho vay khign cho chenh lech lai suat binh quan dau vao - dau ra ciia ngan hang bi thu hep mac dii huy ddng vdn va du np cho vay dgu tang so vdi nam 2017 nhung thu nhap thuan tir lai giam so vdi nam 2017,
3.1.5 Thuc trang kiem sodl riii ro ldi sudt Tai Vietinbank, hoat ddng kigm soat nii ro lai suat dupc thuc hien thudng xuygn va ddng bd, cd su phdi hap vdi eac bd phan quan tri rui ro lai suat chuygn trach, bd phan kinh doanh va cac bd phan khac cd hen quan Hoat ddng nay duac tign hanh trong qua trinh xay dung san pham mdi hoac tiiuc hien cac hinh thiic dau tu mdi, cac bd phan thuc hien nghiep vu, bd phan chuygn trach ve quan tri rui ro lai suat phuang an, quy trinh kiem soat nil ro.
* Kiem sodt chap hdnh cdc han muc - Kiem sodt NIM, duy tri ty le Ihu nhap ldi can bien
Muc tieu cua quan tri riii ro Iai suat la dam bao thu nhap du kien d miic tu'ong ddi dn dinh vdi bat ky su thay ddi eua lai suat Ddi vdi Vietinbank muc tigu la duy tri ty Ig thu nhap lai can bign (NIM) d miie on djnh,
NIM [(Thu nhap tii lai-Chi phi tii Iai)/Tong tai san Cd sinh ldi]* 100
Khi chi phi huy ddng von tang nhanh ban Iai thu tir hoat ddng cho vay va dau tu hoac lai thu tii' boat ddng cho vay va dau tu giam nhanh ban chi phi huy ddng von thi NIM se bi thu hep lai, riii ro lai suat xay ra
Chuyen muc: Tai chinb - Ngan hang - TAP CHI KINH TE „
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Nam 2014 Nam 2015 Nam 2016 Nam 2017 Nam 2018 Bieu dd 3 Tyle thu nhdp
Nguon: Bao cao thudng niet Qua bigu do 3, cho tha}' t> le thu nhap Iai can bign (NIM) trong giai doan tir nam 2014 dgn nam 2018 cd nbieu su thay ddi, caa nhat la nam 2014 dat 2.87% va thap nhk la nam 2018 la 2,02%, Thu nhap thuan tir lai chigm tj- trong ldn trong CO cau Ipi nhuan ciia Vietinbank. Khi tde dd tang trudng tin dung cua ngan hang cao edng vdi ts' le thu nhap lai can bien eao se gdp phan tang thgm hieu qua boat ddng eiia Vietinbank tronggiai doan 2014-2018,
- Kiem sodt khe h& nhgy cdm ldi sudt De han che tdn that vg gia tri cua tai san cd va tai san np cua ngan hang klii Iai suat thi tmdng cd bign ddng, Vietinbank da xay dung va kigm soat thuc hign han mirc khe hd tai san va na nhay cam lai suat vdi cac ky han nhu Dudi 1 thang, tii' 1-3 thang, ttr 3-6 thang, tir 6-12 thang, tii 1-5 nam va tren 5 nam. Trgn co sd nhiing tmli toan khe hd nba>" cam lai suat, ngan hang digu chinh khe hd nha\- cam lai suat can cir \ao iiliihig du doan vg bien ddng cua lai suat thi trudng,
*5if dung cdc cdng cu phdi sinh Hien nay, NHNN da chinh thue cung cap rdng rai cac cdng cu phai sinh phdng ngiia rui ro lai suat. Tu\ nhign, vigc ap dung eac cdng cu nay van chua duac Vietinbank trien khai manh me nen viec sir dung bien phap phdng ngira rin ro lai suat bang cac cdng eu phai sinh cdn rat khiem ton, 3.2. Ddnh gid ve hogt dgng qudn tri rui ro ldi sudt tgi NHTM cd phdn Cdng thuang Viet Nam 3.2 1 Nhimg ket qua dat duac
Thii' nhdt. ngan hang da ban hanh dupc chinh sach quan trj nii ro lai suat, da>' la ca sd
ldi can bien ciia Vietinbank
J cac nam 2014, 2015, 2016, 2017,2018 ciia Vietinbank hanh lang phap ly gnip cho boat ddng quan tri nii ro Iai suat cua toan ngan hang dat hieu qua.
Thie hai, md hinh td ehirc quan tri nii ro lai suat tai Vietinbank ngay cang duac hoan thien Tir nam 2013, ngan hang da ed nhieu thay doi trong md hinh quan tn nil ro tuan theo thdng le qudc tg vg quan tri nii ro hien dai, ngan bang thuc hien md hinh 3 vdng kigm soat. Vietinbank da thanh lap Uy ban quan Iy nii ro, Uy ban ALCO, khdi quan tri rui ro dg giam sat va qudn tri cac loai nii ro trong kmh doanh Bd phan nghien ciiu thi trudng va du doan ve lai suat da phat huy tac dung va cd ddng gdp vao hoat ddng quan tri nii ro Iai suat Do vay, khi lai suat thi trudng tha\' ddi dot bien thi Vietinbank da chii dong thay ddi lai suat phii hgp vdi tinh hinh tbi trudng, tao digu kien cbo ngan hang thu hut duac kliach hang ciing nhu canh tranh trgn thj trudng.
Thie ba, ngan bang chu trong den do ludng mi ro lai suat bang vigc ap dung md hinh dinh gia Iai, CO hudng din cu thg tiing budc thue hign. Thir tu Vietinbank da xa} dung hg tiiong thdng tin, bao cao ve boat dong quan tn nil ro lai suk, giiip ngan hang cd co sd du lieu dSy du phuc vm yeu cau quan Iy toan dien, hieu qua trong quan tri npi bp ngan hang
3 2-2 Nhitng tdn tgi trong hoat dong qudn tii rui ro ldi sudt
Thie nhdt, phuang phap do ludng nii ro Iai suat con don gian, chua xac dmh cu the duac muc tdn that Hien nay. Vietinbank su dung phuang phap dinh gia lai de do luong nii ro lai suat. day la phuang phap cd m . j . ! „huac digm Phuong phap nay mdi chi bicl GI JC aia tn tiiu
Chuyen muc: Tai chfnh - Ngan hang - TAP CHI KINH TE & QUAN TRI KINH DOANH S6 12 (2020) nhap rdng se thay doi nhu the nao khi lai suat
thay doi, nhung chua chi ra tdn that la bao nhieu, do dd hieu qua quan tri nii ro lai suat se khdng cao Ngan hang mdi chi dimg lai d viec thay ddi hay tai cdu tnic co cau tai san va ng hay xac dinh khuynh hudng nil ro chii chua luong hda nil ro nhu the nao de tim each digu tiet thich hop.
Thu hai, viee sit dung cac cdng cu va bign phap quan tri cdn han che trong phdng ngira rui ro lai suat, Ngan hang ehua thuc hign toan dien nhiing bien phap can thiet de phdng ngira nii ro lai suat, Cu the, Vietinbank chu yeu ap dung chinh sach lai suat tha ndi ddi vdi cho vay trung va dai han, chua sir dung bien phap tich cue de duy tri can xiing ve ky han giua tai san cd va tai san np Ngoai ra, ngan hang rat han che sir dung cac cdng cu phai sinh trgn thi tmdng de phdng ngira riii ro lai suat, vi do cac NHTM ciing nhu thi trudng tai chinh d Viet Nam chua phat trign
Thie ba, cdng tac du bao Iai suat cdn nhieu han che. Nguygn nhan co ban dan den tdn tai nay la do phuong phap va edng tac du bao lac hau, he thdng dii lieu thdng tin phuc vu cdng tac du bao khdng day dii va dong bd. Vietinbank du bao lai suat chii yeu dua vao cac du lieu lich sir, thdng tin ve cung cau vdn tren thi trudng, phan tich dudng cong lai suat va ngudn phan tich tir cac td ehirc chuygn nghiep Ddi vdi nhung phuong phap du bao dua vao eac md hinh da duac kiem dinh bang ky thuat tbdng ke kinh te luang de lupng hda cac quan he mang tinh chat thdng ke, toan hpc thi ngan hang chua sir dimg.
3.3. Gidi phdp hodn thiin hoat dpng qudn tri rui ro lai sudt tai NHTM co phan Cong thucmg Viet Nam
3 3.1. Ap dung md hinh gid tri chiu riu ro (VaR) nhdm lucmg hoa riu ro ldi sudl
Md hmh gia tri chiu rui ro (VaR) duac su dung nhu la mdt cdng cu d^o ludng djnh lugng hiiu higu nhat hien nay, Phan Idn cac NHTM tren the gidi deu dang sir dung md hinh VaR de xac dinh miic dp chiu rui ro tdi da ddi vdi hoat ddng kinh doanh cua ngan hang, tir dd cac ngan hang cd the dua ra cac yeu can toi thieu lien quan den riu ro lai suat.
Mo hinh VaR dupe xay dyng tren ca sd ly thuyet xae suat, thdng ke va duac phat trien bdi cac nha khoa hoc va toan hpe tai chinh. VaR duac hieu la sd tign ton that ldn nhat cho mdt danh muc dau tu cd the bi thua Id vdi mdt mirc do tin cay xac dmh thudng la 95%) hoac 99%»
VaR dupe chuan hda quoc te trong tieu chuan Basel II cho cac ngan hang.
VaR cd 4 phuong phap xae dmh, bao gom'
Phuang phap phuong sai, hiep phuang sai, Phuang phap phan tich qua khii; Phuong phap ma tran nii ro; Phuang phap md phdng
Vietinbank nen cd kg hoach trien khai ling dung cac md hinh quan ly tien tien ddi vdi cac boat ddng kinh doanh cua ngan hang, trong dd cd md hinh tinh VaR ddi vdi quan tn nii ro lai suat Ban dau, ngan hang nen ap dung phuong phap tinh VaR co ban la phuong phap phan tich qua khii. Neu van dung phuang phap tinh VaR nay, ngan hang nen dua vao vdng kiem soat thir 2 trong Hinh 1, Md hinh quan tn nil ro Iai suat cua Vietinbank.
3.3.2. Tdng cu&ng sii- dung cong cu phdi smh vdo phong ngira riii ro ldi sudt
Vietinbank da dua ra hudng dan sii dung cac nghiep vu phai sinh dg phdng ngii'a nil ro lai suat, nhung viec ap dung trong cdng tac phdng ngira nii ro lai suat cua ngan hang cdn rat han che. Day la giai phap ma ngan hang can hoan thien trong boat ddng quan tn va phdng ngira riii ro Iai suat hien nay
Cac san pham phai sinh mudn duac giao dich tren thi trudng can duac khach hang nhan thirc dupc tinh hiru dung va gia tri sii dung ciia nd, San pham phai sinh chi cd the dirac sii dung khi ca ba doi tupng khach hang, nha phat hanh va nha hoach dmh chinh sach nhan thiic duac tam quan trong cua san pham dd. Xay dung nhan thiic la mdt qua trinh dai, can phdi hap tuyen truyen, hpi thao, giao due-dao tao cho den tiep thi, quang ba ve san phara.
3.3.3.Nghiin ciru, dubdo bien ddng ldi sudt 'Vigc nghien ciiu, du bao bien ddng lai suat chua duac quan tam diing miie, chu yen nghien ciru danh gia sd ligu qua khir de do ludng nhiing thigt hai ma ngan hang gap phai, Khi lai suat cd nhieu bien ddng, ngan hang can tinh duac muc dp bi6n ddng cua lai suat va thiet hai ma ngan hang se phai ganh chiu tir viec thay ddi lai suat, tir dd giup cho ngan hang lua chon dupe bien phap dg phdng ngira nii ro lai suat higu qua
Ngan hang ngn xay dung du bao ngin ban, tnmg han va dai han bien dgng lai suat bSng cac phuang phap (phuang phap chuyen gia, phuang phap hdi quy va dua vao day sd thai gian) de kip thdi dieu chinh va phdng ngiia riii ro lai suat Sau khi du bao bien ddng lai suat, ngan hang nen lap quy du phdng rui ro Iai suat Hang quy, ngan hang nen cd ke hoach trich lap du phdng riii ro theo quy dinh cua NHNN dg xu Iy kip thdi khi nii ro lai suat xay ra, dam bao cho qua trinh hoat dgng kmh doanh ciia ngan hang dupc dien ra binh thudng va lien tue
Chuyen muc: Tai chinh - Ngan hang - TAP CHJ KIN>. .
gia da tap trung nghien cuu va i - ''"-" ^Wc cac mue tieu nhu: Lam ro luan cv khoa hoc ye nii ro lai su4t va quan tri nii ro lai suat eua NHTM; Phan tich thuc trang quan tri riii ro lai suat theo quy trinh tai Vietini-.-ik giai doan 2014-2018, tij dd dua ra danh gta thue ti-ang quan trj nii ro lai sudt ciia Vietinbank, chi ra nhixng ket qua dat dupe, nhiing ban chg trong quan h-j rui ro lai suSt; Tren co sd phan tieh, danh gia thyc tiang quan tri riii ro lai su§t ctia ngan bang, bai vigt dua ra nhiing giai phap hoan thien boat dpng quan tri rui ro lai suat ciia Vietinbank trong thdi gian tdi.
Ddy Id sdn phdm khoa hoc ciia de tdi NCKH sinh vien ma .s& SV2019-BA-06
Ngan bang phai nang cao chat lupng cae edng cu do ludng nii ro va tiep tue ap dung cac cdng cu do ludng nii ro mdi hien dai. Nang cao kha nang dy bao va thuc hien tdt vai trd tu van vg lai suat eho vay ddi vdi khach hang dg giup phdng ngira va han che nii ro cho khach bang va cho ca ngan bang.
4. K i t luan
Vdi nhung cat each vg td chiie, ^uan ly, cdng nghe, Vietinbank da dat dupc nhigu thanh tuu vugt bac trong boat dpng kinh doanh. Tuy nhign, vdi nhiing bat lgi vg tinh hinh kinh tg vT md va sy ra ddi ciia nhieu san pham mdi gan day, ngan hang da phai ddi mat va chju khdng it tdn that do nii ro lai suk gay ngn. Tren ea sd van dung tdng hop cac phuong phap nghien cuu, tac
TAI LIEU THAM KHAO
[1]. Basel Committee on Banking Supervision. (2001). Principles for the Management and Supervision of Interest Rate Risk. Bank for International Settlements.
[2]. Joel Bessis. (2012). Qudn tri nil ro ti-ong ngdn hdng. Hd Cbi Mmh: Nba xuat ban Lao ddng Xa bdi.
[3], Do Thj Kim Hao. (2005). Giai phap quan ly rui ro lai suat tai Ngan hang ndng nghiep va Phat trign ndng thdn Viet Nam. ZMO« dn, Kinh te. Hpc vien Ngan hang. Ha Ndi,
[4]. Peter S. Rose. (2004). Qudn ti'i ngdn hdng thucmg mgi. Ha Ndi: Nha xuat ban Tai chinh, Trudng Dai hpc Kinh tg Qudc dan.
[5]. TaNggc San. (2010). Quan ly nii ro lai suit trong hoat ddng kinh doanh ciia Ngan hang thuang mai Viet Nam, Lugn dn, Kinh te. Trudng Dai bpc Kinh tg qudc dan, Ha Ndi.
[6]. Nguyen Van Tien. (2012). Qudn tri riii ro trong kinh doanh ngdn hdng. Ha Ndi, Nha xuat ban Thdng ke.
[7]. Timothy W.Koch. (2003). Bank management. Cincinnati, Ohio:South-Western.
[8].Vietinbank, Bao cao thudng nien cac nam 2014, 2015, 2016, 2017, 2018.
Thong tin tac gia:
1. Ha Thi Thanh Nga
- Don vi cong tac: Tmdng DH Kmh t^ & QTKD - Dia chi email: [email protected] 2. Nguyen Que Anh
- Dan vi cong tac: Lap K13 - TCDN -Trudng DH Kinh te & QTKD
Ngay nhan bai: 03/03/2020 Ngay nhan ban sira: 10/3/2020 Ngay duyet dang: 29/3/2020
