m6nSOATN0lB0«lilVJlHlEUQUAHOATe6NGVA8UIBOPHASANTAIlHCNGANHANGTHI/ONliMAIVlETNAM
Kiem soat npi bo doi vdi hieu qua hoat dong va rui ro pha san tai cac ngan hang thiidng mai Viet Nam
Nguyen Tuan"« eudng Nguyen HUng™
Ngay nhan bai; 23/3/2016 I Bien tap xong; 02/3/2017 I Duyet dang; 10/3/2017
TOM TAT: Bai nghien ciJu phan ti'ch anh hu'tJng ciJa kiem soat npi bq (KSNB) den hieu qua hoat dpng va rtji ro pha san tai cac ngan hang thu'dng mai (NHTM) Viet Nam. Nghien ciJu sCfdung phu'dng phap phan ti'ch he so Cronbach's Alpha, phan ti'ch nhan to kham pha (EFA), phan ti'ch he so tu'iing quan (Correlation) va phu'dng phap hoi quy tuyen ti'nh boi. Ket qua cho thay, mot so thanh phan ciJa KSNB cb anh hUdng den hieu qua hoat dpng va rui ro pha san cCia cacNHTM V i | t Nam. TLf do, nghien ciJu nay ham y mpt so chmh sach nham phat trien he thong KSNB tai cac NHTM Viet Nam phij hdp vdi chuan mi/c quoc te trong xu the hpi nhap.
TCCKHOA: kiem soat npi bp, muc tieu kiem soat, ngan hang thu'dng mai
1. Gidi t h i e u
Hai trong so nhieu mtic tieu quan trpng Clia cac tlcfn vi hoat dong kinh doanh la hieu qua hoat dong va tranh rtJi ro pha san. Tuy nhien, cac mijc tieu co the khong dat dtloc bdi cac rtji ro phat sinh trong qua trinh hoat dong.
Nguyen nhan co the xuat phat til nhflng yeu kem ctia nha quan Iy, dpi ngu nhan vien hoac ben thil ba trong qua trinh thttc hien nhiem vu. Viec xay dilng he thong KSNB la mot trong nhflng giai phap nham nang cao hieu qua hoat dpng va kiem soat riii ro pha san.
Trong cac nghien ciJu tnl6c co lien quan den KSNB va tac ddng ctia KSNB den cac mtic tieu cila cac NHTM tai Viet Nam con ton tai khoang trong nghien cflu: (i) cac nghien cflu sti dung chll yeu khuon kho bao cao COSO va Basel nham phan tich cac thanh phan KSNB tai cac NHTM bang phflong phap dinh tinh bao gom nghien cflu lich sfl dila tren tong
quan tai lieu, nghien cflu thong ke m6 ti vit nghien cflu tinh huong (Dao Minh Phuc vi Le Van Hinh, 2012; Vo Thi Huyen Nhfl vi It Thi Thanh Huy&, 2014; Dflclng NguySn Hflng va Ngo Ha TSn, 2016); (ii) mpt s6 nghien cflu chu yiti tong hpp cac khuon kho KSNB theo bao cao COSO va Basel de goi y mpt s6 giii phap ap dung KSNB tai cac don vi theo cac khuon kho KSNB (Vu Thuy Ngpc, 2006; Vo Thi HuyS'n Nhfl va Le Thi Thanh Huyen, 2014);
(ill) cac nghien cflu KSNB cua cac NHTM chi
ill Nguyen Tuan - JrttiJitg Bai hpc Nha Trang; Sfi 02 Nguyen Dinh ChiSu, Nha Trang, Khanh H6a; Email:
;;t Oir&ng Nguyen Hirng - Trt/tlng Dai hoc Kinh te Ba Nang; 71 NgO Hanh Sdn, My An, NgO Hanh Son, Ba N3ng; Email; [email protected].
TAPCHICONGNGHeNGANHANG | Thang 3.2017 | So 132
NGUYEN TUAN • oisiim NGUYDN HUNG
dtit^c thtic hien du6i dang nghien ciiu tinh huong cho mot ngan hang cu the (Le PhiiOng Hong. 2006; Do Thi Le Hoa, 2010; Nguyen Thi Hue. 2011).
Nghien cdu nay sii dung ket hdp phUcfng phap dinh tinh va philcfng phap dinh liltfng de kiem dinh tac dong cua he thong KSNB den hieu qua boat dpng va rui ro pha san cua cac NHTM Viet Nam. Tren ccf scf do, dila ra nhiing khuyen nghi chinh sach nham hoan thien he thong KSNB cua cac NHTM Viet Nam.
2. ca sd ly thuyet va cac nghien cti'u thiic nghiem
2.1. Cd SOf Iy thuyet
Co hai dinh nghta tiiong dong ve KSNB.
Theo Lakis (2008) va Shim (2011), KSNB
"la mgi he thong". Trong khi do, Simmons (1995;1997) va Lakis va Girinjnas (2012) dinh nghia KSNB "la mot qua trinh". Dieu nayphii hdp vcri quan diem cho rang, KSNB diidc duy tri trong hai phan cd ban, do la thu tuc can thiet de thiic hien hdat dpng kinh doanh dUdc ggi la he thdng hoat dpng va thu tuc dam bao ddn vj dang hoat dpng theo tilng ngii canh dUdc gpi la qua trinh kiem soat (Abbas va Iqbal, 2012).
Hai thanh phan cd ban nay phii hdp vdi each tiep can cua ly thuyet Dai dien va Iy thuyet Doi pho ngau nhien.
Muc tieu thiic hien KSNB bao gom: (i) dam bao hoat dpng doanh nghiep dat hieu qua kinh te; (ii) kiem soat co hieu qua cac rui ro; (iii) bao ve tai san, tai lieu va so sach ke toan; (iv) dam bao thong tin dang tin cay va toan dien;
(v) tuan thu cac nguyen tac ke toan va trinh bay cac bao cao tai chinh (BCTC) dang tin cay;
va (vi) tuan thu phap luat, cac quy dinh phap Iy hien hanh va cac quy dinh ciia ddn vi (Nguyen Tuan va Diiing Nguyen Hiing, 2015).
"llieo ly thuyet Dai dien, cac doanh nghiep lon tai hai van de dai dien, dd la "tach biet giCfa quyen sd hiiu va quyen Idem sdat se dan den xung dot Idi ich" va "chia se rCii ro". Quan tri doanh nghiep giiip hai hoa Idi ich giiia cac thanh vien trong doanh nghiep. Cd che quan tri doanh nghiep co the dUdc chia thanh cac
c0 che quan tri npi bp va cd che quan tri ben ngoai. KSNB la mpt trong nhiing cd che quan tri npi bp nham giiip doanh nghiep Idem soat tot hdn van de xung dot ldi ich, quan ly va chia se cac rui ro, nang cao hieu qua hoat dpng (Nguyen Tuan va Dudng Nguyen Hilng, 2015).
Donaldson (2001) co each tiep can doi pho ngau nhien kha sdm trong ly thuyet to chiic.
Theo do, ba yeu to cot Ioi tao thanh mo hinh nghien ciiu ap dung trong KSNB bao gom:
(i) sti ket noi giiia cac dac diem doi pho ngau nhien va thanh phan KSNB; (ii) dac diem doi pho ngau nhien xac dinh thanh phan KSNB;
va (iii) sii phii hdp ve miic dp ciia thanh phan KSNB vdi moi cap dp ciia dac tinh doi pho ngau nhien. Bao cao COSO 1992 va Basel 1998 ve khuon kho KSNB ngan hang tiidng tii v6i ly thuyet Doi pho ngau nhien. Hai bao cao nay deu cho rang "moi ddn vi liia chpn he thong KSNB phii hdp nhat bang each xem xet cac dac diem doi pho ngau nhien" (Chenhall, 2003).
Theo bao cao cua COSO 1992 va Basel 1998, nguyen tdc cd ban trong Iy thuyet Doi pho ngau nhien difpc chpn lam nen tang xay dling khuon kho KSNB va xem KSNB la mpt qua trinh thiic hien tiiy theo dac diem tiing ngii canh ciia ddn vi. Do do, ly thuyet Doi pho ngiu nhien dUa ra each tiep can nghien ciiu ve KSNB va hieu qua cua cac muc tieu KSNB theo qua trinh boat dpng, tiiy thupc vao ngii canh theo thtJi gian va khong gian tai cac ddn vi(Jokipii,2010).
Trong khuon kho KSNB ciia COSO nam 1992 dUdc cap nhat trdng nhflng nam 2006, 2009, 2013, he thong KSNB cae ddn vi bad gom nam thanh phan: (i) moi triidng kiem soat; (ii) danh gia riii ro; (iii) hoat dpng kiem soat; (iv) thong tin va truyen thong va (v) giam sat. Cae thanh phan ciia he thong KSNB diidc phat trien thanh 17 nguyen tdc kiem scat trong bao eao COSO nam 2013.
Bao cao Basel nam 1998 ciia Uy ban Basel ve giam sat ngan hang cong bo ve "khuon kho KSNB trong ngan hang" da khong dua ra ly luan m6i ma chi van diing cac ly luan cd ban ctia COSO nam 1992 vao linh viic ngan hang.
Basel 1998 de ra 13 nguyen tac thiet ke va danh
So 132 I hang 3.2017 TAPCHI CONG NGHE NGAN HANG 2 1
KIEM SOAT MOI B 6 061 m HiEU QUA HOAT BONG VA RUI RO PHA SAN TAI CAC NGAN H A N G THUONG MAI V l t r NAM
gia he thong KSNB ngan hang. \'e cd ban.
bao cao Basel 1998 co 12 nguyen t k dUOc xay dung dUa tren nam thanh phan cau thanh he thong KSNB theo bao cao cua COSO 1992 va mot nguyen tac sii dung de danh gia he thong KSNB thong qua ctt quan thanh tra giam sat ngan hang.
Thong tu so 44/2011/TT-XHXX (TT 44) ngay 29/12/2011 cua Xgan hang Nha nU6c Viet Nam quy dinh he thong KSNB va kiem toan ngi bp cua to chiic tin dung, chi nhanh ngan hang niicic ngoai. Dita tren Thong tU nay, cac yeu cau va nguyen tac boat dgng cua he thong KSNB dugc quy dinh bao gom chin "yeu cau va nguyen tac".
2.2. Cac nghien ciiu thuc nghiem
Cac nghien ctiu ve cac thanh phan cua KSNB chii yeu danh gia tinh hCtu hieu va hieu qua cua tiJng thanh phan nay, ciing nhU tac dong Clia KSNB den cac muc tieu tong quat cila KSNB tai doanh nghiep va NHTM. Mgt so liic gia nhu Amudo va Inanga (2009), Jokipii (2010), Mawanda (201 l),Njanikeva ctg (2011), Fanta va ctg (2013) chu yeu dua vao khai niem va cac thanh phan KSNB theo khuon kho bao Clio COSO, COBIT, CoCo, dao luat SOX va mgt so khu6n kho khac, xay dung mo hinh danh gid tiing thanh phan KSNB va tac dgng cua KSNB den muc tieu tnng quat cua kiem soat. Cac muc tiJu cu the bao gom hieu q u i boat dgng, BCTC tin cay va tuan thii luat djnb. Ket qua nghi,en ciiu danh gia mile do van dung KSNB trong cac doanh nghiep, nhat la ap dung doi vdi cac NHTM. Ben canh do. mgt s6 cgng trinh nghien cilu xdc dinb dilgc anh hUang cua KSNB den bieu qua hoat dgng cua cac dganh nghiep va ngan hang. Dieu nay tag tien de cho nhom ldc gia thiic hien cac cong trinh ngbien cilu ve KSNB tai cac NHTM Viet Xam.
Mot so nghien ciiu tien hanh danh gid lac dgng cua KSNB den rui ro doanb nghiep va ngan hang nhu Asbbaugb-Skaife va ctg (2009), Jin va ctg (2013). Cdc nghien cilu nay sil dung chu yeu mo hinh tac dgng cua cac tbanh phan KSNB theo khuon kho COSO, Basel, Dao luat SOX anh huong den rui ro doanh nghiep va
ngan bang. Riii ro pha san diiOc do liidng chu yeu bang chi bao Z-score (Z-score cua Altman nam 1980 doi vdi doanh ngbiep phi tai chinh va Z-score cua Boyd va Rankle nam 1993 doi vdi ngan hang). Ket qua nghien ciiu da chi ra mgt so anh hudng cua cac thanh phan KSNB cac rui ro doanb ngbiep va ngan hang (Nguyen Tuan \'k Diidng Nguyen Hitng, 2015).
3. Mo hinh, phiftfng phap nghien cuTu va du'lieu
3.1. Md hinh nghien ciiTu
Bao cao Basel nam 1998 de ra 13 nguyen tac thiet ke va danh gia KSNB ngan hang. Ve cd ban, 12 nguyen tac tit " 1" den "12" tuong tii nam yeu to cau tbanh KSNB theo bao cao ciia COSO 1992 va nguyen tac 13 sil dung ddnh gia he thong KSNB thdng qua Co quan thanh tra giam sat thugc Ngan hang Nha nUdc Viet Nam.
Diia tren each tiep can cua ly thuyet Dai dien, ly thuyet Doi phd ngau nhien, khai nifm ve KSNB, cac thanh phan cua KSNB trong bdo cao COSO 1992, cac nguyen tac kiem soat ciia Basel 1998 va cac ngbien cilu thifc nghiem cua Amudo va Inanga (2009), Jokipii (2010) va Mawanda (2011), nghien ciiu xay diing md hinh ly thuyet bao gom nam thanh phan ciia KSNB va tac dgng cua KSNB dSn hieu qua hoat ddng va rui ro cua cac NHTM Viet Nam (Hinh 1).
Cac thanh phan cua KSNB trgng cdc NHTM Viet Nam la cac bien ddc lap dugc xdc dinh bang bing cau bdi dUa tren cac chi muc ndi dung tbeo nam tbanh phan KSNB trong khudn kbd bao cao COSO nam 1992, dugc cap nhat trong nhflng nam 2006,2009, 2013 va 12 nguyen tic KSNB trong bao cao Basel nam 1998 (Jokipii, 2010; Leng va Zhao, 2013).
De xay dung bang cau hdi danh gia KSNB tai cdc NHTM Viet Nam, ngbien cilu diia vao nam thanh pban tbeo bao cao COSO 1992, 12 "nguyen tac" tbeo bao cao Basel 1998, chin
"yeu cau va nguyen tac" theo TT 44 (tuong tli Olumbe, 2012; Karagiorgos va ctg, 2008;
Charies, 2011; Njanike va ctg, 2011; Sultana va
2 2 TAP CHI cONGNGHfNGAN HANG "hang 3.2017
NGUYEN TUJN • DUONG NGUVEN HUNG
Hinh 1: Mo hinh tac (56ng cua KSNB den hieu qua hoat dpng va riii ro cua cac NHTM Viet Nam
r [
c
[
Bien doc lap Moi tnrong kiem soat
Danh gia nii TO Hoat dong kiem scat
^
1 1 1
1 Thong tin va miyen thong |
^1
Giam sat/
Bien Idem soat Mirc do van dung KSNB
theo quy dinh Met Xam
s ^ Muc tieu Idem soat
(Hieu qua hoai dong va nii ro cac NHTM Viet'Nam)
Haque,20!l).
Doi v6i cac bien quan sat \ e eae "thanh phan", "nguyen tac" eua he thong K S \ B va "yeu cau va nguyen tic" hoat dong KSXB. nghien ciiu sii dung ket hdp thang do dinh danh va thang do quang Likert Scale nam diem (Doan Ngoc Phi Anh, 2012). Thang do dinh danh difoc gan gia tri bang 0 neu "khong ton tai yeu cau, nguyen tdc, thanh phan KSNB" dUdc gan gia trj bang 1 neu "co ton tai yeu cau, nguyen tac, thanh phan KSXB". Xeu co ton tai nguyen tic va thanh phan KSNB, thang do Likert Scale dUcfc sii dung de danh gia KSNB theo nam diem bao gom; (i) "yeu kem" dUOc gan gia tri bang 1; (ii) "yeu" dUpc gan gia tri bang 2; (iii)
"trung binh" dUOc gan gia tri bang 3; (iv) "tot"
duoc gan gia tri bang 4; (v) "rat tot" diidc gan gia tri bang 5. Ket hop hai thang do nay, cac bien quan sat ve cac "thanh phan", "nguyen tac"
cua he thong KSXB va "veu cau va nguyen tic"
boat dong KSXB dUOc do lu6ng: (i) "khong ton tai KSXB" dudc gan gia tri bing 0; (ii) "yeu kem" dudc gan gia tri bing 1; (iii) "yeu" dildc gan gia tri bang 2; (iv) "trung binh" diide gan gia tri bing 3; (v) "tot" dUdc gan gia tri bing 4;
(\i) "rat tot" dUdc gan gii tri bing 5.
Muc tieu dat hieu qua hoat dong cua ngan hang CO the dUdc danh gia thong qua hieu qua tai chinh (Rose, 1998). Hieu q u i tai chinh trong cic nghien ciiu ve i n h hUdng cua KSXB
den hieu qua hoat dpng thiidng dUdc do liidng bing ehi tieu kha nang sinh IcJi nhii ldi nhuan tren tong tii sin (ROA) va ldi nhuan tren von chu sd hflu (ROE) (Leng va Zhao, 2013; Fanta va ctg 2013). De chuan hoa dfl lieu phan tich, nghien cflu diing Ln(ROA) lam thang do cho bien phu thupc hieu q u i tii ehinh (dai dien cho hieu qua hoat dpng) eiia cie NHTM Viet Nam.
\^e riii ro, Boyd v i Runlde (1993) nghien cflu ve rui ro p h i sin ngin hang va sfl dung chi so Z-score de liidng hoa sfl on dinh, do Ifldng sfl lanh manh eua cie NHTM. Nghien cflu cua Jin v i ctg (2013) ve tic dpng cua KSNB den rui ro cua ngin h i n g da sfl dung chi so Z-score cua Boyd va Runkle (1993). Trong mo hinh nghien cflu, nhom tic gii cung sfl dung ehi so rui ro pha sin, con goi l i rui ro vcf nd de do Ifldng rui ro cua cac XHTM \'iet Nam. Chi so Z-score do Boyd va Runkle (1993) dfldc tinh bang cong thfle sau:
(ROA + E/A)/d(ROA) Trong do: ROA - ty suat ldi nhuan tren tong tii sin binh quan; E/A - ty le von chu sd hflu binh quin tren tong tai sin binh quan; CT(ROA) - dp lech ehuan eua ROA cua ngan hing.
Tinh chat eua Z-seore la gia tri cua nd cang ldn thi nii ro p h i sin cing thap. De chuan hda
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dfl lieu nghien cflu, tic gii sfl dung Ln(Z-score) lam thang do bien phu thudc ve rui ro p h i san cua cac NHTM.
M6 hinh nghien cflu t i c dpng eua KSNB theo bao eao COSO 1992 va Basel 1998 den hieu q u i hoat dpng va rui ro p h i s i n cua cac XHTM \'iet Xam dfldc i p dung trong dieu kien mdi trfldng phap luat \'iet Xam. Do vay, nghien cflu can xem xet den quy dinh phap luit ve KSNB v i mflc dp ap dung quy dinh tai cac XHTM Viet Xam. TT 44 quy dinh ve chin yeu cau va nguyen tic boat ddng eua KSNB trong eac to chflc tin dung va chi nhanh ngan hang nfldc ngoai tai Viet Nam. M viy, tac gia sfl dung danh gia KSNB theo TT 44 lim bien kiem soat thuan tuy trong md hinh nghien cflu.
Dfla tren viec phan tieh cac bien dfldc sfl dung trong md hinh, tic gii dfla ra hai md hinh Iy thuyet de Idem dinh ve tac ddng cua KSNB den hieu qua boat ddng va rui ro pha san cua eac NHTM Viet Nam.
M d h i n h ( l ) :
Hieu q u i hoat dpng [Ln(ROA) ] = p^ + p^
MTKS + p,DGRR + p^HDKS + p J T ^ T T + P,GS, + P J T 4 4 , + e
Md hinh (2):
Rui ro pha san fLn(Z-score) ] = p^ + p^
MTKS, + P,DGRR, + p^HDKS, +' p,TT-TT + P,GS + P J T 4 4 , + e
3.2. Dfl lieu
Dfl lieu nghien cflu dfldc thu thap tai 32 NHTM trong giai doan 2013-2015. So Ifldng bang eau hdi de thu thap danh gia ve KSNB cua cac NHTM la tich cua 32 ngan hang vdi ba nam va ba bang hoi/nam b i n g l 9 2 (32 x 3 .\ 3 = 192). Bang cau hdi KSNB dfldc thu thap theo phfldng p h i p chpn mau thuan tien, dflpc gfli den phdng van cac nhan vien ngan hang tai ba khu vflc dai dien la mien Bac (Ha Npi, Bic Nmh), mien Trung (Nghe An, Hue, Da Ning, Khanh Hda. Xinh Thuin), mien Xam (Thanh pho Hd Chi Minh, Kien Giang) va loai bd nhung phieu k h i o sat khdng hpp le. Nhdm tac gii chi chpn Iai mdi nam 1 bing ciu hdi phu hpp nhat eho nghien cflu. Nhfl vay cd 96 bang c i u hdi (32 x 3 x I) ve KSXB
diidc sfl dung trong giai doan 2013-2015.
Trong dd, ed ba N H T M chfla cdng bo thdng tin BCTC nam 2015, do vay mau nghien cflu cdn lai 93 bang c i u hdi co day du thdng tin ve KSNB, hieu q u i hoat d p n g v a rui ro-cua cac NHTM Viet Nam.
3.3. Phfldng phap nghien cflu
Cac thang do dfldc d i n h gia thdng qua hai cdng cu chinh. Dd la he sd Cronbach's Alpha v i phfldng phap p h i n tieh yeu to k h i m pha EFA (Exploratory Factor Analysis).
Ket q u i kiem dinh he sd Cronbach's Alpha cac thang do n i m thanh phan, 12 "nguyen tac"
va chin "yeu cau va nguyen tac" KSNB deu dim bao dp tin eiy can thiet vcfi Cronbach's Alpha > 0,6. Neu Ioai bd bien cua tflng bien tiem an, he sd Cronbach's Alpha deu nhd hdn he so Cronbach's Alpha tong nen khdng cd bien nao b | loai khdi nghien cflu sau khi phan tich Cronbach's Alpha. Hdn nfla, cac he so tfldng quan bien tdng deu ldn h d n 0,3 nen tit ca eic bien ti^'m an deu dflpc dfla vao phan tich nhan td kham pha tiep theo.
Sau khi thiie hien phan tich nhan to khim pha va loai bd nhflng bien khdng dim bao dieu kien phan tich nhan td, ket q u i thang do cho eic "thanh phan" KSNB theo bao cao Basel 1998 nhfl sau: (i) thang do "nguyen tic 1"
"nguyen tac 2" va "nguyen t i c 3" rut gpn dflpc thanh phan "MTKS"; (ii) thang do "nguyen tic 4" rut gpn dfldc thanh phan "DORR"; (iii) thang do "nguyen t i c 5" v i "nguyen tie 6"
rut gpn dfldc thanh phan "HDKS"; (iv) thang do "nguyen tac 7", "nguyen tic 8" vi "nguyfin tic 9" rut gpn dfldc thanh phan " X J . T T " ; (V) thang do "nguyen t i c 10", "nguyen tic 11" va
"nguyen tic 12" riit gpn dflpc thanh phan "GS".
Phfldng phap EFA giup ta trich cac nhan so bing phfldng phap tinh trung binh cpng (Nguyen Dinh Thp, 2011). Ket qua tinh toan nam thanh phan KSNB theo bao cao Basel 1998 dflpc thdng ke md t i trong Bang 1.
De fldc Ifldng md hinh (1) v i md hinh (2) ve tic dpng cua KSNB den hieu qua hoat ddng va rfli ro p h i sin ciia die NHTM Viet Nam, nghien cflu sfl dung phfldng phap binh phfldng tdi
2 4 TAP CHI C 0 N G N G H 6 NGAN HANG | Thang3.2017 So 132
NGUVtNTUAN • DUONG NGUYEN HUNG
Bang 1: Mo ta bien nghien ciJu
^^^S^K^MSSSS^M^MEIBIS^K^BIBEIS^MSSSSSSM
MTKS DGRR HDKS TT-TT GS TTM
ROA Z-score
CPI TELE
2,7300 2,3300 2,9200 2,1000 2,8100 2,4300 0,0100 0,1370 520 520
4,8700 5,0000 4,7900 4,8000 4,7000 4,8600 1,9700 7,7730 110,462 1816,343
3,8631 3,8029 3,8566 3,6984 3,7824 3,7035 0,6741 1,8995 6,325 8401,272
0,4408 0,5820 0,4815 0,4909 0,4509 0,5156 0,4873 1,65620 140,000 85,215 thieu thdng thfldng (OLS) dflpc phit trien bdi
nha toin hpe ngfldi Dfle - Car] Fnedrich Gauss.
4. Ket qua nghien cuTu va thao luan 4.1. P h i n tieh tiidng quan
Xghicn cflu sfl dung he so tfldng quan Pearson de Ifldng hda mflc dp chat che cua mdi quan he tuyen tinh gifla hai bien. Phin tieh tfldng quan Pearson khdng cd sfl p h i n biet gifla cac bien ddc lip va bien phu thudc m i tat c i deu dfldc xem xet nhfl nhau (Bing 2).
Xhfl viy, cac bien ddc lip ve cac thinh phin KSXB theo b i o cao Basel cd tfldng quan thuin chieu vdi hai bien phu thudc dflpc dai dien bdi Ln(ROA) va Ln(Z-score) trong hai md hinh nghien cflu vdi he sd tfldng quan tfl 0.271 den 0.538. GiQa cac bien dde lip eo he so tfldng quan thuin chieu tfldng ddi eao nhflng khong \'fldt q u i 0,8. Hien tfldng da cdng tuyen khd CO the xay ra, nhflng cung can chu y van de nay tren he so \'IF trong md hinh. Do viy, cie bien dpc lip dfldc dfla \'ao sfl dung trong md hinh nghien eflu.
4.2. Hoi quy mo hinh
Sfl dung phfldng p h i p binh phfldng tdi thieu thong thfldng (OLS) de phan tich md hinh (I) va m d h i n h (2) ve lac ddng cua KSXB den hieu qua boat ddng va nii ro pha sin eua cic XHTM Viet Xam. Ket phin tich hdi quy dflpc trinh bay trong cac Bing 3, 4.
C i e gii dinh cua md hinh hoi quy tuyen tinh bao gdm: (i) gii dinh ve quan he tuyen tinh; (ii) kiem tra ve phan phdi chuan cua phan dfl; (iii) kiem dinh ve tinh ddc lap eua sai sd trong md hinh va (iv) Idem dinh da cdng tuyen. Ket q u i kiem dinh cho thay, eac gia dinh cfla hai mo hinh hdi quy deu khdng hi vi pham. Nhfl viy, md hinh hdi quy cho ket qua ding tin eiy.
Ket q u i p h i n tich hdi quy tuyen tinh bpi cho thay, gii tri R' v i R- dfldc dieu chinh trong mo hinh (1) lan Iflpt l i 0,320 va 0,297. Bdi vi gii tri R- dieu chinh nhd hdn R^ nen sfl dung R^ dieu chinh de danh gii mflc dp phu hop cua mo hinh \'i he sd nay an toan hdn v i khdng thoi phong mflc dp phu hdp cua md hinh. R^
dflpc dieu chinh cd gia tri la 0,297 ngu y ring, mflc dp thich hdp cua md hinh la 29,7%, hay ndi mdt each khac, 29,7% dp bien thien ciia bien "hieu qua boat ddng" dfldc giii thich bdi cac bien ddc !ap trong md hinh. Phan tich ,-\X0\'.\ cho thay, thdng sd F cd mflc y nghia (sig.) bing 0,000. Dieu nay chflng td ring, md hinh hdi quy dflpc xay dflng phu hpp vdi bp dfl lieu nghien cflu va cac bien dfla vao deu cd y nghia ve mat thdng ke vdi mflc y nghia nhd hdn 10%. Xhu vay, cac bien dpc lap trong md hinh CO quan he ddi vdi bien phu thupc "hieu q u i boat dpng".
Ket qua phin tieh hdi quy tuyen tinh bpi cho thay, md hinh (2) ed R^ dieu chinh bing 0,312. Dieu nay ham y ring, dp thich hpp cua
Sc 132 Tnang 3,2017 TAPCH] CdNGNGHE NGAN HANG 2 5
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; HDKS
i
TT-TT
1 T T 4 4
Ln[R0A)
1 Ln( Z - s c o r e )
1
P e a r s o n C o r r e l a t i o n S i g . P e a r s o n C o r r e l a t i o n S i g . P e a r s o n C o r r e l a t i o n S i g . P e a r s o n C o r r e l a t i o n S i g . P e a r s o n C o r r e l a t i o n S i g . P e a r s o n C o r r e l a t i o n S i g . P e a r s o n C o r r e l a t i o n S i g . P e a r s o n C o r r e l a t i o n S i g .
1
0 , 7 7 7 "
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0 , 0 0 0
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0 , 7 7 7 ' *
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1
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a. D e p e n d e n t V a r i a b l e : L n ( Z s c o r e ) -J » b. P r e d i c t o r s : ( C o n s t a n t ) , M T K S , TT-TT
md hinh la 31,2"o, hay ndi mdt each khic, F cd mflc y nghia (sig.) b i n g 0,000. Dieu nay 31.2",t dp bien thien cua bien "rui ro p h i sin" ehflng td ring, md hinh hdi quy dflpc xay dflng dfldc giai thich bdi cic bien ddc lap trong md phu hdp vdi bd dfl lieu va cic bien dfla vio deu hinh. Phin tich . \ X O \ \ cho thay, thdng sd cd y nghia ve mat thong ke vdi mflc y nghia
2 6 TAP CHI CONG N G H 6 NGAN HANG . ' ' - ^ i . j 3 2 0 1 7 So 132
NGU\EN TUJN • OUONG NGUYJN HUNG
Bang 4 : Ket q u a h o i q u y
Mo hmh1 (Constant) OGRR TT-TT GS
He so hoi quy -5,162 0,648 1,354 -0,836
Sig.
0,000 0,030 0,000 0,061
He so VIF
2,626 2,905 3,565 Dependent Variable: Ln(ROA)
M 6 hinh 2 (Constant) MTKS TT-TT
He so hoi quy -4,954 0,799 0,561
Sig.
0,000 0,005 0,027
He so VIF
1,964 1,964
Dependent Variable: Ln(Z-score}
nhd hdn 5%. Nhu vay, eic bien ddc lap trong md hinh ed quan he ddi vdi bien phu thudc
"rui ro phi sin".
Ket qua hdi quy mo hinh (1) chi ra, ba nhan td DGRR, TT-TT, GS cd quan he tuyen tinh vdi hieu qua hoat ddng (gia tri Sig nhd hdn 0,1). Vi vay, ba n h i n td nay dflpc gifl lai, edn cac nhan td khac bi loai khdi rad hinh. Md hinh hdi quy cd dang:
Hieu q u i boat ddng [Ln(ROA)J = - 5,162 + 0,648 X (DGRR), + 1,354 x (TT-TT), - 0,836 X (GS), + e, '
Ket qua hoi quy md hinh (2) cho thay, MTKS va TT-TT la hai nhin td cd quan he tuyen tinh vdi hieu q u i hoat ddng (gii trj Sig nhd hdn 0,05). Do dd, hai nhin td nay dfldc gifl l^i, trong khi cac nhin td khac hi loai khdi md hinh. Md hinh hoi quy cd dang:
Rui ro p h i sin [Ln(Z-score)J = - 4.954 + 0.799 X (MTKS), + 0,561 x (TT-TT), + e
Trong sd cic thanh phan cua he thong KSNB, he thdng TT-TT cd anh hfldng thuin chieu den ca hieu qui boat dpng lan rui ro phi san cua XHTM v i cd y nghia thdng ke, phii hdp vdi cie muc tieu kiem soit cua he thdng KSNB.
He thong thdng tin v i cac phfldng thfle truyen thdng cd vai trd quan trpng giflp X'HTM duy tri boat ddng cua he thdng KSNB. Thdng tin v i truyen thdng phai dam bao "phu sdng" tdi cae bd phin, phdng ban va ca n h i n trong tflng chi nhinh, hpi sd cung nhfl cac ddi tfldng ben ngoai cd lien quan. Vdi nhu cau thdng tin ngay cing cao hien nay, thdng tin va truven thdng cd vai trd ngay cang quan trpng trong viec ho trd NHTM ddi phd va han che kha nang xay ra cie rui ro, cu the la rui ro p h i sin va cac XIITM
dat dflpc cac muc tieu ve hieu qua hoat ddng de tdn tai va phat trien.
Doi vdi MTKS, tdn tai mdi quan he thuan chieu cua t h i n h phan nay vdi muc tieu q u i n ly rui ro pha sin Z-score cua NHTM va cd y nghia thong ke d mflc nhd hdn 1%. MTKS p h i n anh sic t h i i ehung cua mpt to chflc, tic ddng den y thfle eua mpi ngfldi trong ddn vi la nen tang cho cac bd p h i n khie trong he thdng KSNB. MTKS i n h hfldng den each thfle to chflc kinh doanh eua mpt ngin hang, cae mue tieu hoat dpng eua ngan hang va cac bd p h i n edn lai eua he thdng KSNB. MTKS chiu i n h hfldng tfl van hda va ljch sfl cua ngan h i n g v i ngfldc lai, nd i n h hfldng den chtnh y thfle nhan vien tai dd. Do viy, viec chu trpng den triet ly van hda va phong cich dieu hanh eua n h i quin Iy ngin hang, xiy dflng tinh trung thfle v i eic gia tri dao dfle, hoan thien cd cau n h i n sfl hdp ly, ehu trpng den phan dinh quyen han v i trich nhiem cua tflng c i nhan trong ngin hang se giup NHTM ban che dfldc cac rui ro va k h i nang pha sin ngin hang dfldc giam thieu.
Thanh phan DGRR cd tic ddng ti'ch cflc va cd y nghia thdng ke den hi^u q u i boat ddng.
Dieu niy ngu y ring, thinh phan DGRR cang tdt thi hieu qua hoat dpng cua NHTM cang cao. Ket qua nay phu hdp vdi thfle tien khi DGRR cang dfldc ehu trpng thi he thdng KSNB cua NHTM van hanh cang tdt, tfl dd gia tang hieu qua hoat dpng cua ngin hang. Trong qui trinh hoat ddng, cic NHTM ludn phai ddi phd vdi nhieu rui ro khien boat ddng cua chung khdng dat dfldc muc tieu. Do vay, viec thiet lap cac muc tieu se ho trp ngan hang hoat
irig 3.2017 TAPCHI CONG NGH^ NGAN HANG
Kif M SOAT Kdl BO Ddi V(ii Hifu QUA HOAT CONG Vi RUI RO PHA SAH TAI CAOIGAH HANG THUONG MAI VI ET NAM
B a n g 5 : T d n g h d p c a c k j c h b a n h o a n t h i e n K S N B t h e o c a c m u c t i e u l<iem s c a t
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Banh gia rui ro Thong tin va Truyen thong
Giam sat
Mvc tieu Hieu qua h09t dpng
Hoan thien thanh phan DGRR
Hoan thien thanh phan TT-TT
Hoan thien thanh phan giam sat
M^c tieu Quan ly rul ro
Hoan thien thanh phan MTKS
Hoan thien thanh phan TT-TT
MMC tieu ket h(fp (hi^u qua ho^t dpng
va quan iy rOi ro) Hoan thien thanh phan
MTKS Hoan thien thanh phan
OGRR Chu trong hoan thien
thanh phan TT-TT Hoan thien thanh phan i
giam sat {
dong CO dinh hUcfng, cac bp phan se no lUc hOn de hoan thanh cac muc tieu dat ra va cai thien hieu qua hoat dong noi chung cung nhit hieu qua tai chinh noi rieng cua cac NHTM.
Thanh phan GS co moi tUong quan nghich va CO )'• nghia thong ke v6i muc tieu nang cao hieu qua tai chinh. Ket qua nghien ciiu nay trai ngupc vdi muc tieu kiem soat la day manh hoat dpng giam sat trong he thong KSNB, do do nang cao hieu qua hoat dpng cac NHTM.
Ket qua khac biet nay co the dupc giai thich la do GS la qua trinh danh gia chat Iupng ciia he th6ng KSNB theo th6i gian. Tuy nhien, qua trinh theo doi, kiem tra thieu tinh lien tuc, sU yeu kem va thieu hieu qua cua bp phan kiem tpan npi bp dUpc thiic hien bai nhflng ngudi CO nang liic \a dao tap chila thich hpp, thieu tinh doc lap gay ra nhieu he qua tieu ciic. Cac bao cao ve GS chua cung cap kip thM cho cap quan ly lien quan va ghi nhan liip t h i i de xil ly theo tham quyen, dSn den hoat dpng giam sat tpn kem nhieu chi phi, dong thdi lam giam hieu qua boat dpng cac NHTM.
5. Ket luan va h a m y chi'nh s a c h Trong cac thanh phan cila he thong KSNB, thanh phan he thong thong tin va trao doi thong tin co anh hudng thuan chieu va Co y nghia thong ke den ca hieu qua hoat dpng lan riii rp pha san cua cac XHT.M, phii hpp vdi cac muc lieu kiem soat cira he thong KSXB. Doi vdi Ihanh phan mdi trUdng kiem soat, ton tai mdi quan he thuan chieu vdi muc tieu quan ly riii ro
pha san ciia cac NHTM va cd y nghia thong ke d miic dudi 1 %. Thanh phan danh gia riii ro cd tac dpng tich ciic va cd y nghia thdng ke den hieu qua hpat dpng. Ket qua cho thay, thanh phan danh gia riii rp cang tot thi hieu qua hoat dpng cua cac NHTM cang cap. Ket luan nay phii hpp vdi ^'lec danh gia rui ro cang diipc chu trpng thi he thong KSNB cua cac NHTM cang tot, do dd lam tang higu qua boat dpng ngan hang.
Hoat dpng giam sat co moi tiidng quan nghich vdi muc tieu nang cao hieu qua tcii chinh va cd y nghia thong ke. Ket qua nghiSn cilu nay trai ngUpc vdi muc tiSu kiS'm soat la day manh boat ddng giam sat trong he thong KSNB nham nang cao hieu qua boat dpng cdc NHTM. Dieu niy dilpc giai thich la phii hpp hdn vdi nghien cilu ve nhiing yeu kem ciia he thdng KSNB cac NHTM. Hoat dpng giam sit da dupc van dung tai cac NHTM Viet Nam nhung cdn mang nang tinh hinh thiic, chua that Sll chll trpng den ndi dung giim sit va lam phat sinh nhieu chi phi giim sit dan den hieu q u i boat dpng cila cic NHTM chfla cao.
Dfla tren cic ket q u i nghien cdu, nhdm tie gia khuyen nghj mpt sd chinh sach theo cac kich ban hoan thien KSNB ciia cac NHTM tuy thudc vap t i n g muc tieu cu the ciia nha quin tri ngan hang. Doi vdi muc tieu day manh hieu q u i hoat ddng, cic NHTM nen tap trung hpan thien cic thanh phan DGRR, he thong TT-TT vi hoat ddng giam sit ciia he thdng KSNB. Doi vdi muc tieu ve quin ly riii ro, cic NHTM nSn chu trpng vap hoan thien thanh phan MTKS
PCh CONG NGH6 NGAN HANG | Thang3.2017
NGUYEN TUAN • omG NGUYEN HUNG
va TT-TT cua he thong HSNB. Neu nha quan COSO va Basel, cac NHTM can chu trpng den ly dat muc tieu viia gia tang hieu qua hoat viec thiet ke cac thanh phan KSNB, trong do dong, vifa quan ly nii ro thi thanh phan MTKS, nhiing thanh phan MTKS, DGRR, TT-TT va DGRR, he thong TT-TT va hoat dong giam sat hoat dong giam sat can dtipc chu trpng. Dap can dupc hoan thien, trong do chu trpng nhieu iing cac yeu cau nay, cac NHTM co the dieu hon den he thong TT-TT. hanh hoat dpng hieu qua hon. gia tang diipc
Cac NHTM d Viet Nam co the phat trien lpi nhuan va giam thieu rui ro pha san.
each tiep can khuon kho KSNB theo bao cao Nghien ciiu nay cung cap luan chiing khoa COSO 1992 va bao cao Basel 1998 de van dung hpc de cac ngan hang hoach dinh chinh sach trong KSNB nham gia tang hieu qua boat phat trien he thong KSNB phii hpp v6i khuon dpng va ban che rui ro. B4ng each xay diing kho COSO va Basel theo chuan mUc quoc te mpt he thong KSNB theo nhiing tieu chuan trong boi canh hpi nhap quoc te.
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KI^M SOAT NOI Bp 8^1 VOi HiEU QUA HOAT fi6NG VA 8UI RO PHA SAN TAI CAC NGAN HANG THUONG MAI VIET NAM
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The role of internal control in the
performance and bankruptcy risks of commercial banks in Vietnam
Nguyen Tuan'^' Duong Nguyen Hung'^>
Received: 23 March 2016 I Revised: 02 March 2016 I Accepted: 10 March 2017
ABSTRACT: Tiie study analyzes the impacts of Internal Control on performance and bankruptcy risks of commercial banks in Vietnam. The study utilizes Cronbach's Alpha, EFA, Correlation and OLS Regression model as their quantitative methods. The results show that certain components of Internal Control have an impact on performance and bankruptcy risks of commercial banks in Vietnam. Therefore, the study makes some policy implications for the development of internal controlling system of commercial banks in Vietnam.
KEY WORDS: mternal control, internal control objectives, commercial bank
Nguyen Tuan Email: [email protected].
Duong Nguyen Hung Email: toolympja@>yahoo.com.
ni Nha Trang university.
No 02 Nguyen Dinh Chieu Street, Vinh Phuoc Ward, Nha Trang Cily, Khanh Hoa Province, Vietnam.
ij, Da Nang University of Economics .
No 71 Ngu Hanh Son street, My An Ward, Ngu Hanh Son Disirict, Da Nang City, Vietnam.
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