TAP CHi CONG THIfONG
QUAN LY RUI RO TIN DUNG
CUA NGAN HANG THlJOfNG MAI THONG QUA CAC H0P DONG PHAI SINH TIN DUNG
• N G U Y I N THj VAN HANH - DANG TH! HONG NHUNG
TOM TAT:
Bai vid't nghien ctfu thrfc b-ang thi trrfdng cdng cu phdi sinh tin dung tai Vidt Nam, nguydn nbdn tai sao thi trffdng Viet Nam chtfa dp dung phd bidn nghiep vu phdi sinh trong quan Iy nii ro tin dung tai cdc ngdn hang thtfdng mai (NHTM). Tff dd, dtfa ra cdc gidi phdp gdi J, giup cdc NHTM ndi ridng vd tbi trtfdng edng cu phdi sinh tin dung tai Viet Nam ndi chung quan Iy nil ro (QLRR) tin dung thong qua cdc hpp ddng phai sinb lln dung ngay mdt hidu qud hdn.
TiJf khoa: Quan Iy rffi ro tfn dung, hdp ddng phdi sinh tin dung, ngdn hang tbffdng mai cd phan.
1. Dat van de
Qudn ly rui ro Id mdt Irong nhffng van de ludn dffdc quan tam hang dau tai cac NHTM, bdi nd lien quan mat ihie't de'n boat ddng tin dung eiia NHTM - vd'n la mdt trong nhffng boat dpng cd't Idi cua cac ngan bang vdi Iffdng giao dich chid'm ty trpng ldn nhd't va eung dd'i mat vdi nbieu nii ro nha't. Ne'u cdc NHTM khdng quan ly dffpc rui ro lidn quan de'n boat ddng tin dung se cd rd't nhidu he luy nghiem trpng phai dd'i mat nhtf- nd xd'u tang cao, phd san.
Bdn canh do, khi mpt ngan bang gap nii ro Idn se anh htfdng dd'n loan bp he thd'ng ngdn hang. Vi thd', vide ngdn chan nii ro tin dung dffdc xdc dinh Id nhiem vu cd'p bach hang dau khdng chi ridng ciia nhffng nha quan tri ngdn hang ma con la vd'n de quan tdm eiia todn xd hdi.
Giffa bd'i canh canh tranh va hpi nhap kinh id' bien nay, cdc NHTM da cd nhffng chuyen bid'n tieb cffc trong qua trinh boat dpng, tuy nhien cdc
NHTM dd ldn tai vd phdt tridn cin pbai quan tri rui ro tin dung mpt each loan dien va cd he thong eu the - rd rang. VI vay, bdi vid't nghien cffu cdc vd'n dd cdn tdn ddng trong vide quan ly nii ro tai cac NHTM, nhdm giup cdc NHTM ndi ridng vd thi Irffdng edng cu phdi sinh tin dung tai Viet Nam ndi chung QLRR lin dung ngdy mdt hidu qua hdn.
2. Cd scf ly thuye't vd hdp ddng phai sinh tin dung
Riii ro tin dung la rui ro phdt sinb do khdch hang vay khdng thffc hien dung edc didu khoan cua hdp ddng tin dung, gay ra nhffng ton tha't vd tai chinh vd khd khdn trong boat ddng kinh doanh eiia NHTM. [6]
Quan tri nii ro tin dung la qua Irinh nhdn dang va phdn tieh - do Iffdng edc nhdn td' nii ro - mffc dp nii ro, tren cd sd do lu'a chon irien khai cac bidn pbdp va quan ly cdc boat ddng tin dung nham ban che' vd loai trff nii ro trong qud trinh cd'p tin dung. [6]
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T A I C H I N H - N G A I I I H A N G - B A O HIEM
Hop ddng phai sinh tin dung Id cae hdp ddng tai ehinh dffdc ky kd'l bdi cdc chu the tham gia giao dieh tin dung nham dffa ra nhffng khoan dam bao chdng lai sff dich chuyen bd't ldi ve chdt Iffdng tin dung eiia edc khoan dau iff hoac tdn thd't lidn quan dd'n tin dung. Hdp ddng phdi sinh tin dung nham phan tan riii ro tiem in, bao vd hoac tao ra Idi nhuan cbo cdc bdn ciing tbam gia.[7]
Hdp ddng pbai sinb tin dung bao gdm: Hdp ddng k^ han, hdp ddng hoan ddi, hdp ddng quyen chpn, hdp ddng Iffdng lai.
Ban chd't eiia hpp ddng phdi sinb lin dung la nham giam thieu bode loai bd hoan loan nii ro, trong dd thtfdng dtfdc sff dung eao nhd't la bdp ddng kj' ban va bdp ddng tffdng lai.
Tbi trffdng san phd'm phai smh cho pbep ede ben tham gia ky kd't cae hpp ddng pbai sinh tin dung giam ihieu nii ro cua minb sang eho cdc nba dau cd sdn sang chap nhdn cac khoan rui ro dd. Vi vdy, thi trffdng san pham phai sinh rd't cd hidu qua trong vide phdn phd'i lai nil ro giffa cdc nbd d^u ttf, khong cd ai can pbai chd'p nhdn mffc rui ro khdng phii hdp vdi minh. Chinb vi tbd' ma ede ben sdn sang cung cd'p nbieu vd'n hdn cho itfdng lai. Ldi ich tif thi trffdng phdi sinh khdng ehi bd hep trong Idi ich cua edc nha dau cd ma lan tda ra loan xa hdi bdi chi phi giao dich tha'p hdn, linh tbanh khoan cao hdn va cdc giao dicb ban khong dffdc Ihffc hidn de dang hdn. Thi irtfdng pbai sinb giup edc tin bidu till trtfdng khd bi bdp meo, dam bao linh lanh manh cho thi trffdng do.
Nhffvay, cae bdp ddng pbai sinh tin dung la san pha'm cua nen kinh td' hien dai, la mdt san pham mdi trong cdng nghe QLRR tin dung ciia cac NHTM vd ngffdc lai, cac NHTM da ngay cang quan tam bdn dd'n loai hinh cdng eu phai sinh ndy de QLRR.
3. Thffc tr^ng vd tinh trang su" dyng hdp ddng phai sinh tin dung t^i Vidt Nam
Thffc te' trdn the' gidi, thi trffdng edng cu phai sinh da dffdc sff dung phd bid'n tff lau, tuy nhidn, tai Viet Nam, ede nghiep vu phdi sinh, ddc bidt Id hop ddng phdi sinb tin dung cdn sd sai, kem phdt trien. Du ed mdt so' NHTM trien khai nghidp vu ndy nhtfng chtfa cd giao dich cu thd phat sinh bdi nen kinh td'cdn lac hau, he thdng cdng nghe con yd'u kem.
Giao dich hoan doi nii ro tin dung dau tien xua't
hien d Viet Nam vao nam 2006 khi cdng vdn so' 3324/NHNN-CSTT ngay 27/4/2006 cua Ngan hang Nhd nffdc Viet Nam (NHNN) cho pbep ngdn bang HSBC - Chi nhdnh TP. Hd Cbf Mmh thffc bidn thi diem, sau dd la ngdn hdng Citibank - Chi nhdnh Hd Ndi va ngan hang Standard Chartered - Chi nhanh Ha Npi eung ca'p dich vu nay.
Nbff vay, HSBC chi nhanh tbanh pbd Ho Chi Minh Id ddn vi dau tidn trong khu vtfc ngan hang lai ehinh eiia Viet Nam dtfdc phep cung ca'p san pha'm nay. San pha'm dau ttf gan vdi rui ro lin dung ma Ngan hdng HSBC chi nhdnh tbanh phd'Hd Chi Minh dtfdc phep cung cd'p ed mpt so' ddc diem chii ye'u bao gdm:
Thff nhd't. khach hang la ngdn hang hoac cac dinh chd tai chinh dang boat ddng tai Viet Nam.
Thff hai, san ph^m d^u ttf gan vdi nii ro tin dung cua HSBC ehi nhdnh tbdnh phd' Hd Chi Minh ehi gan vdi rui ro lin dung eua Chinh phii Viet Nam va/hoac cac doanh nghiep Viet Nam da phdt hanh trdi phie'u ra thi trffdng qud'c td'.
Thdba, tbdi ban ciia giao dicb dau tff gan vdi nil ro lin dung khdng qud 5 ndm.
Thff tu. sdn phd'm nay cho phep nhd dau iff chd'p nhdn nii ro tin dung cua mdt bode mdt vai to cbffc vd/bodc Chinh phii Viet Nam, bu Iai nha d^u tff cd cd hpi de dffdc hffdng mffc lai sud't cao hdn so vdi vide gffi lien thdng thtfdng vao he thd'ng ngdn hang.
Thff ndm, sdn phd'm dau ttf gdn vdi nii ro tin dung khdng cd tinh nang bao dam vd'n gd'c, tffe Id sd' tien goc dffdc nhdn lai tiiy tbudc vao viec cd xay ra sff kidn tin dung bay khong.
Thff sdu, sau khi bdn ede san phd'm dau ttf gan vdi rui ro lin dung ebo khach bang lai Viet Nam, HSBC chi nhdnh thdnh pbd Hd Chi Minh se thtfc bien giao dich dd'i ffng vdi ehi nhanh HSBC d nffde ngodi.
Dd'n nay, qua thdi gian thi diem, NHNN vdn cbffa cd sif chd'p thudn ro rang eho edc ngan hdng nhtf HSBC - Chi nhanh TP. Ho Chi Minh, ngan hang Citibank - Chi nhdnh Hd Ndi va ngan bang Standard Chartered - Cbi nhdnh Ha Npi tie'p tuc eung cd'p san pha'm dau tff gan vdi nii ro tin dung, trong khi trdn tbi trffdng Vidt Nam bien nay kbdng cdn td chffc nao dffdc phep cung ca'p san pham ndy.
Trdn thtfc id', chi nhffng nha DTNN mdi ed the mua bdp ddng hodn ddi nii ro tin dung vdi tai san tham
So 3-Thang 3/2019 249
TAP CHi CONG THirifNG
chidu la ttdi phid'u qud'c te Vidt Nam tff cac td cbffc qudc Id'.
Mat khac, hdp ddng hodn ddi rui ro lin dung cua Viet Nam tinb dd'n tbdng 11/2017 dang d mffc tbd'p nha't trong 10 nam qua. Didu nay eho thay sffe ha'p ddn cua thi trffdng vd'n tai nen kinh te'mdi ndi nbff ntfdc ta.
•—Vigt Nam ——TliaiLan IndonesiB Philippines 350
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Cdng ly TNHH Chffng khoan Ngan hang TMCP Vidt Nam Thinh vffdng (VPBS) vffa cd bao cao trdi phid'u luan tff 18 dd'n 22/12/2017 hpp ddng hodn dd'i nii ro tin dung (CDS) cua Viet Nam va cae nffdc lang gieng khde trong khu vtfc Ddng Nam A cung tid'p tuc gidm manh xud'ng mffc iha'p ky luc. CDS ciia Viet Nam ddng cffa d mffc 121,05 trieu USD, giam 2,03% so vdi cud'i tuan trffdc vd Id mffc tba'p ky luc trong vdng 10 nam trd lai day cho tba'y trien vpng itfdi sdng etia ndn kmh te vl md vd sffe bap din cua thi irffdng vd'n lai cdc nen kinb te mdi ndi eiia khu vffc Ddng Nam A, trong dd cd Viet Nam.
4. Nguydn nhSn chffa ap dung pho bid'n hdp ddng phai sinh tin dung tai thi trffdng Viet Nam Hidn nay, hdp ddng phai sinh tin dung chtfa phdt Irien rpng rai va dtfpc biel den nhieu trong cdc NHTM bdi thi trtfdng lai ehinh kem phdt trien, liinh dp chuydn mdn - nghidp vu eua ddi ngu nhdn Itfc nganh Ngdn hang cdn ye'u kem Dae biet la
vide dp dung nhffng cdng nghe tien tid'n vao linh vffc ngdn hang cdn nhidu ban chd' trong khi nen cdng nghd 4.0 dang phdt trien manh me.
Diiu kifn vi thi trffdng: Thffc td', cdc chuydn gia tai chinb dff bao b-ong tbdi gian tdi tiinb dp thi irffdng tdi cbinh tin dung Viet Nam vdn cdn ct mffc thd'p va chffa phat trien day du, dac biet la ede boat dpng lidn quan dd'n vd'n de xu" ly nd. Dieu ndy se ban che' dang ke pham vi boat dpng ciia hd thd'ng QLRR dn dung trong cac NHTM. Ddng thdi, nen tang ed sd ba tang vd he thd'ng phdp ly - the che' eiia Viet Nam dd'i vdi cdc hoat ddng ciia NHTM eung se anh hffdng dd'n vide dp dung cdc md hinh tien lien ciia cdc nffdc phdt trien vd pham vi boat ddng ciia cdc NHTM.
Sff phat tridn cua boat dpng QLRR tin dung cung chiu tdc ddng tff trinh dd phat trid'n cua nen kinh td', dii cac NHTM Viet Nam it cd kba nang md rdng boat dpng tin dung ra pham vi qud'c te' ma se lap trung nhidu vdo thi trffdng npi dia.
Dieu ki^n ve phdp ly: Hien nay, cae van bdn phdp ly cbffa quy dinb cu thd ve pbam vi boat ddng eua cac nghiep vu lin dung phdi sinh ndi ridng va trong ITnb vtfc tai chinb ngan hang ndi ndng, nhd't la ve thud' thu nhap dd'i vdi cac nghiep vu phdi sinh dd khie'n vide trien khai cac nghiep vu nay lai NHTM d Vidt Nam gap nhieu khd khdn, ddi khi khid'n cdc nhan vidn ngdn hang liing tung khi dp dung vdo thtfc id'.
Diiu ki^n vi nhdn Iffc vd chinh sdch ddo tqo:
Trinh dp chuyen mon - nghiep vu ciia dpi ngu nhdn Itfc ngdn hdng hidn nay vdn cdn yd'u kem, ngudn tai chinh de thtfc bien edc cbinh sdch dao tao nghiep vu cho nban vien con ban che' dd ddn den tinh trang dpi ngu nhan Iffc cd kba nang dp dung nghiep vu QLRR tin dung rd't it. Ben canh dd.
Nguon: Bloomberg, VPBS tong hop
250 So3-Thang 3/2019
TAI CHiNH-NGAN HANG-BAD HIEM
ngudn nhan Iffe cbd't Itfdng cao Iffa ehpn d lai trong nffdc phue vu cho cac NHTM khdng nhieu bdi cdc che dp lien Itfdng, phue ldi chtfa hpp ly ddn de'n tinh trang bi chay mdu chd't xam.
Dieu ki§n ve cong ngh$: Vide ddu ttf vdo cd sd ha t^ng va dp dung ede cdng ngbe hidn dai de trien khai edc phtfdng pbap do Iffdng nii ro cbffa dffdc cac NHTM chii trpng. Chinb vi vdy, vide dinb ngbia chu^n va khai bao thong tin chffa dffdc he thd'ng hda khid'n ebo dpi ngu chiu trdch nhidm QLRR tin dung khdng the dff bdo mpt each chinb xac ve mffc dd rui ro cua cdc bdp ddng phdi sinb tin dung, khdng theo ddi kip ede thdng tin phdt sinh lien quan dd'n nd. Didu nay da Idm eho thdi gian giao dich va khd'i Iffdng giao djcb tang len dang ke khi trien khai quy trinh QLRR.
5. Kd't ludn va gdi y giai phap
Trffdc linh trang pbdt tnen bien nay cua nen kinh id', dd cdc hdp ddng phai sinh tin dung ed thd phdt trien giup ede NHTM Viet Nam QLRR tin dung ngay cang td't bdn can cd stf gdp sffe bd trd tff phia NHNN cung nhtf ede Bd, nganh tien quan, hidp hdi ngdn hang va ban than chinh cac NHTM Cling phai co nhffng thay doi va dau tff thtfc sff.
Dac bidt, trong thdi gian tdi, Nhd nffdc can xay dtfng eae van ban phdp ly, van ban htfdng ddn thong nha't vd cdc nghidp vu tai chinh phdi sinh ndi chung va phai sinb tin dung ndi neng cho cae NHTM dp dung. Ddng Ihdi, lao didu kidn cbo cac NHTM cung cd'p nhffng phtfdng lien phdng ngffa nii ro lin dung eho chinb minh. Mat khac, chinb cdc lanh dao NTHM can nhan thffc va quan diem diing dan ve stf can thid't eiia eae edng eu phdi sinh vd trien khai cae nghidp vu nay. De tff do dtfa ra cae giai phdp phu hdp, phdng ngffa nii ro tin dung. Bdi hidn nay, cac nghidp vu phai sinb lai Viet Nam cdn het sffe mdi me ngay ca dd'i vdi cdn bd lanh dao va nhan vidn ngan hang du nghiep vu nay thifc sff ed
y nghia ra't ldn dd'i vdi cdc NHTM trong qua tnnh QLRR kinb doanh ngdn bdng.
Ngoai ra, edc NHTM cdn can cbii trpng vide xay dffng va md cac Idp ddo tao nghidp vu cho dpi ngu nhdn vien ben canh vide thud cac chuyen gia cd trinb do cao de dao tao, thid't ke san pham va xay dffng quy trinh QLRR tin dung cho ngdn hdng.
Mdt dpi ngii nhdn vien gidi nghiep vu va ed trinb dp chuyen mdn cao, ed sff bieu bie't sau sac vd nhffng bid'n dpng ciia Ibi trtfdng se giup eho cae NHTM trien kbai nghidp vu phdi sinh mpt each hidu qua vd thudn ldi.
Mdt he thd'ng QLRR cd kha ndng dinh Itfdng dffdc riii ro se gidp cdc NHTM trien khai QLRR tin dung bieu qud. Vide ddngbd bda va edng kbai chd't Iffdng danh muc tin dung cd sd giffa cac NHTM vdi nbau, phii hdp vdi quy dinh qud'c te' va xd'p hang tin dung eung can dtfdc edc NHTM de y va chu trpng dau tff xdy dffng. Trong dd, quan trpng nhd't la dp dung cac ffng dung edng ngbe tien lid'n, bien dai bda cd sd ha tang giiip cho qua trinh thanh loan chinh xac, thdng tin dien bid'n thi trffdng dffdc cap nhat nhanh chdng, giup cho cac id chffc tai cbinb cung nhtf nhffng chii the khac ihain gia giao dicb ed quyd't dinh dung dan trong vide sff dung cdc cdng cu tai ehinb phdi sinb mpt edeb ed hidu qua de phdng ngffa nil ro trong kinh doanh.
Cae hdp ddng giao dich cua NHTM cung can dtfdc chua'n bda, xac dinh rd pbam vi, tbdi han tra nd va cac trffdng hdp loai trff de tranh irtfdng hpp quy djnh khdng ro rdng se khie'n xay ra nhffng tranh chd'p khdng ddng ed giffa cdc ben tham gia.
Ddng thdi, edc NHTM ndn nghien cffu cac bpp ddng chua'n hdaciia ISDA (International Swaps and Derivatives Assotialion - Hiep hdi pbai sinh va hodn ddi qud'c te' de ed the dp dung d Viet Nam, dae bidt ve quy trinh xff ly khi cd stf kien tin dung va cd che dmh gia tdi san iham chie'u •
TAI LIEU THAM KHAO;
/. Nguyin Minh Kieu (2012). Qudn Iri rdi ro tdi chinh. Dai hoc Md TP. Ho Chi Minh vd chuang trinh gidng day kinh te Fulbright. NXB Tdi chinh
2. Peter S. Rose (2001). Qudn In ngdn hdng lliUOng mgi NXB Tdi chinh
3. Giang Thi Thu Huyen (2018). Vd'n de qudn ly rdi ro lin dung tai cdc ngdn hdng ttm/ng mai. Tap clu Cdng Thucfng.
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TAP CHi CONG THIIONG
chie'u la bdi phie'u qud'c te' Viet Nam tff edc td chffc qud'c Id'.
Mat khac, bpp ddng hodn ddi nii ro tin dung eua Viet Nam tinh de'n thdng 11/2017 dang d mffc tbd'p nhd't trong 10 ndm qua. Didu nay cbo tba'y sffe hd'p ddn cua tbi trffdng vdn lai nen kinh le' mdi ndi nhff nffdc la.
rui ro tin dung (CDS) - Vi?t Nam —— — Ttiai Lan
Cong ty TNHH Chffng khodn Ngan hdng TMCP Vidt Nam Thinh vtfdng (VPBS) vffa cd bdocao trdi pbieu tuan tff 18 dd'n 22/12/2017 hdp ddng hodn ddi rui ro tin dung (CDS) ciia Viet Nam va cdc nffdc ldng gidng khac trong khu vffc Ddng Nam A cung tie'p tue giam manh xud'ng mffc thd'p ky lue. CDS eiia Viel Nam ddng cffa d mffc 121,05 tneu USD, giam 2,03% so vdi cud'i luan trffdc vd Id mffc tbd'p ky luc trong vdng 10 nam trd lai day cho tbd'y trien vpng tffdi sdng ciia nen kinh id' vi md vd sffe ha'p dan ciia thi trtfdng vd'n lai cdc ndn kinh id' mdi ndi cua khu vffe Ddng Nam A, trong dd ed Viet Nam.
4. Nguyen nhan chffa ap dung phd bie'n hdp ddng phai sinh tin dung tai thj tru'dng Viet Nam Hidn nay, hdp ddng pbai sinb tin dung chtfa phdt Irien rdng rdi vd dtfdc bid't de'n nhieu trong cae NHTM bdi thi trffdng lai chinh kem pbat bien, trinh do chuyen mon - nghiep vu ciia dpi ngu nhdn Itfc nganh Ngdn bang con yd'u kem Ddc biel Id
vide dp dung nhffng edng ngbe tidn den vao ITnh vffe ngdn hdng cdn nhieu ban che' trong khi nen cdng nghd 4.0 dang phdt tridn manh me.
Dieu kien ve thi trffdng: Thtfc le', cac chuydn gia lai chinh dtf bao trong ihdi gian tdi trinh dp thi trtfdng tai chinh tin dung Vidt Nam vdn cdn 6 mffc tha'p va chffa phat trien day dii, dac biel la cac boat dpng lien quan dd'n vd'n de xff ly nd. Didu ndy se ban chd' dang ke pham vi hoal ddng cua hd did'ng QLRR lin dung trong edc NHTM. Ddng thdi, ndn tang cd sd ha tang va he thd'ng phdp ly - the che' ciia Viet Nam dd'i vdi cac boat ddng eiia NHTM cung se anh hffdng de'n vide ap dung cdc md hinh lien tid'n ciia cac nffdc phat tnen vd pham vi boat ddng ciia cdc NHTM.
Sff pbdt trien cua boat ddng QLRR tin dung cung cbiu tdc ddng tff trinh dp phat tridn ciia nen kinb te, du cdc NHTM Viet Nam it cd kha nang md rdng boat ddng tin dung ra pham vi qudc Id' ma se tap trung nhieu vao thi trtfdng npi dia.
Bieu kien ve phdp ly: Hien nay, cdc van ban phap ly chtfa quy dinb eu die vd pbam vi boat ddng eua cac nghiep vu lin dung phdi sinh ndi ridng va trong ITnh vtfc lai chinb ngdn hang ndi rieng, nhd't Id ve thue tbu nhdp dd'i vdi cdc ngbidp vu phai sinh da khidn viee trien kbai cac nghiep vu ndy tai NHTM d Viet Nam gap nbieu kbd khan, ddi khi khidn cdc nhan vien ngdn bang lung tiing khi dp dung vao thtfc td'.
Bieu kifn ve nhdn Itfc vd chinh sdch ddo tqo:
Trinb dp chuydn mdn - nghidp vu cua dpi ngii nhan life ngdn bang hien nay vdn con yd'u kem, ngudn tdi chinh de thtfc hidn ede cbinh sdch dao lao nghiep vu eho nhdn vien con ban ehddd ddn dd'n tinh irang dpi ngO nban Iffc cd kha ndng dp dung nghiep vu QLRR tin dung rd't it. Ben canh do.
Nguon: Bloomberg, VPBS long hap
250 So 3-Thang 3/2019
TAI CHiNH-NGAN HANG-BAO HIEM
ngudn nhan Iffe chd't Iffdng cao Iffa ebon d lai trong nffdc phue vu cho cdc NHTM khdng nbieu bdi cdc chd' dp tien Iffdng, phuc ldi chffa hdp ly dan de'n tinh bang bi chay mau cba't xam.
Bieu kien ve cong nghi: Vide dau tff vao ed sd ha tang va dp dung cac cdng nghd bidn dai dd trien khai eae phtfdng phdp do Iffdng riii ro cbffa dffdc cac NHTM chii trpng. Chinh vi vdy, vide dinh nghTa chuan va khai bdo thdng lin chtfa dtfdc be ihdng hda khie'n cho dpi ngu chiu trach nbiem QLRR tin dung khdng thd dtf bdo mdt cdch cbinh xdc vd mffc dd nii ro ciia cdc hPp ddng phdi sinh dn dung, khdng tbeo doi kip ede thdng tin phdt sinb Hen quan de'n nd. Didu nay da lam cho tbdi gian giao dicb vd khd'i Itfdng giao dich tdng ldn ddng ke khi trien kbai quy trinh QLRR.
5. Kd't luan va gpi y giai phap
Trffdc tinb trang pbat trien hien nay eua nen kinh Id', dd cac hpp ddng phdi sinh tin dung cd the phat trien giup cac NHTM Vidt Nam QLRR tin dung ngay cang td't hdn can cd sff gdp sffe hd trd tff phia NHNN cung nhtf cac Bd, nganb bdn quan, hidp hdi ngdn hdng va ban thdn cbinb ede NHTM cung pbai cd nhffng thay ddi va dau ttf thtfc stf.
Dac bidt, trong tbdi gian tdi, Nbd ntfdc c^n xdy difng cdc van ban phap ly, van ban hffdng ddn thdng nha't ve cac nghidp vu tai chinh phai sinb ndi chung vd phdi sinh tin dung ndi rieng eho ede NHTM dp dung. Dong thdi, tao didu kien cho cae NHTM cung cd'p nhffng phffdng tidn phdng ngffa rui ro tin dung eho cbinh minh. Mat kbdc, chinh cdc lanh dao NTHM can nban thffc va quan diem dung dan vd stf cdn thie't eiia ede edng eu phai sinh va trien khai cdc nghidp vu nay. Dd iff dd dffa ra ede giai phdp phii hdp, phdng ngffa nii ro lin dung. Bdi hidn nay, edc nghiep vu pbai sinh tai Viet Nam cdn he't sffe mdi me ngay ca dd'i vdi can bd lanh dao va nhan vidn ngdn hang dii ngbidp vu ndy thtfc stf cd
y nghTa ra't ldn dd'i vdi edc NHTM trong qud trinh QLRR kinh doanb ngan bang.
Ngoai ra, edc NHTM cdn c^n chu trpng vide xdy dffng va md edc Idp ddo tao nghidp vu cho dpi ngu nbdn vien bdn eanb vide thud cae chuyen gia cd tnnh dd cao dd dao tao, thiet ke san pha'm va xdy dffng quy trinh QLRR tin dung eho ngdn hang.
Mdt dpi ngu nbdn vidn gidi ngbiep vu va ed irinh dp chuyen mdn eao, ed stf hieu bid'l sau sac vd nhffng bie'n dpng cua tbj trffdng se giup cbo edc NHTM trien khai ngbidp vu phai sinh mdt each hieu qua va thudn Idi.
Mpi be tbdng QLRR ed kha ndng dinh Itfdng dtfdc rui ro se giup cae NHTM trien khai QLRR lin dung hieu qua. Viec ddng bd hda va cdng khai cba't Itfdng danh muc lin dung cd sd giffa cae NHTM vdi nhau, phu hdp vdi quy dinh qud'c te' va xe'p hang tin dung eung can dffdc cac NHTM dd y va chu trpng dau ttf xay dtfng. Trong dd, quan trpng nba'l la dp dung cac ffng dung cdng nghd tien tid'n, hidn dai hda ed sd ba tang giup cho qua trinh tbanh todn chinh xac, thdng tin didn bie'n tbi trtfdng dffdc cap nhdt nhanh chdng, giup eho cdc id chffc tai chinh cung nbff nhffng chti the khae tham gia giao dich ed quye't dinh diing dan trong vide sff dung cac cong eu lai cbinh phai sinh mpt edeb cd hidu qua de phdng ngffa riii ro trong kinh doanh.
Cdc bdp ddng giao dich eiia NHTM cung can dffpe chuan hda, xdc dinb rd pbam vi, tbdi ban tra np va cdc trtfdng hdp loai trff de trdnh irtfdng hdp quy dmh kbdng rd rang se kbien xay ra nhffng tranh cba'p kbdng dang ed giffa cac ben tbam gia.
Ddng thdi, cac NHTM nen ngbidn cffu cdc hdp ddng ehud'n hdacua ISDA (Internarional Swaps and Derivatives Assotialion - Hiep hdi phdi sinb va hodn dd'i qud'c le de ed the dp dung d Viet Nam, ddc biet vd quy trinh xff ly khi cd stf kidn lin dung va cdcbe dinh gia tdi san thamchid'u •
TAI LIEU THAM KHAO:
/. Nguyen Minh Kieu (2012). Qudn tn rui ro tdi chinh. Dai hoc Md TP. Ho Chi Minh vd chuong Irinh gidng day kinh te Fulbright. NXB Tdi chinh
2. PeterS. Rose (2001). Qudn tri ngdn hdng thuong mgi. NXB Tdi chinh
3. Giang Thi Thu Huyen (2018). Vdn de qudn ly rdi ro lin dung lai cdc ngdn hdng thuong mgi. Tgp chi Cdng Thuang.
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TAP GHJ CONG THIfdNG
chid'u la trdi phid'u quoc te' Vidt Nam tff cdc td chffc qudc td'.
Mat khac, hdp ddng hodn ddi nii ro lin dung cua Viet Nam tinh de'n thdng 11/2017 dang d mffc Iha'p nhd't trong 10 nam qua. Dieu nay cho tha'y sffe hd'p ddn cua tbi hifdng vd'n tai ndn kinh te'mdi ndi nhtf ntfdc ta.
Cdng ty TNHH Chffng khodn Ngdn hang TMCP Vidt Nam Thinh vffdng (VPBS) vffa ed bdo cdo trdi phid'u tuan tff 18 dd'n 22/12/2017 hdp ddng hoan ddi nii ro tin dung (CDS) eiia Viet Nam vd ede nffdc lang gieng kbdc trong kbu vtfc Ddng Nam A ciing tie'p tue giam manh xud'ng mffc thd'p ky luc. CDS cua Vidl Nam ddng cffa d mffc 121,05 trieu USD, giam 2,03% so vdi cud'i tuan trffdc vd la mffc tba'p k^ luc trong vdng 10 ndm trd Iai ddy ebo tha'y trien vong tffdi sang ciia nen kinb Id' vT md vd sffe hd'p ddn ciia tbi irtfdng vd'n lai cae ndn kinb te'mdi ndi ciia khu vffc Ddng Nam A, trong dd ed Vidt Nam.
4. Nguyen nhan chffa ap dung phd bie'n hdp ddng phai sinh tin dung tai thi trffdng Vi0t Nam Hien nay, bdp ddng phdi sinh lin dung chffa pbat trien rdng rai va dtfdc bid't de'n nhieu trong cdc NHTM bdi thi trffdng tai ehinh kem pbdt trien, trinb dp chuyen mdn - ngbidp vu cua dpi ngu nban life nganb Ngan hang cdn ye'u kem. Dac bidt la
vide dp dung nhffng cdng nghe lien tien vao ITnh vffc ngdn hang cdn nhidu ban chd' trong khi nen cdng nghd 4.0 dang phdt trien manh me.
Bieu kien ve thi trffdng: Tbffe td, cac chuydn gia tai chinh dff bao trong tbdi gian tdi trinh dp thi trffdng tai chinh tin dung Vidt Nam vdn cdn d mffc tba'p va cbffa pbdt trien day dii, dae bidt la cdc hoat ddng lien quan ddn van dd xff ly np. Didu nay se ban cbe' dang kd pham vi boat ddng cua he thong QLRR tin dung trong cac NHTM. Ddng thdi, nen tang edsd ba tang va he thd'ng phap ly - the ehd' eua Viet Nam dd'i vdi cac boat ddng ciia NHTM ciing se anb hffdng dd'n vide dp dung cac md binb tidn de'n eua ede nffdc phat trien va pham vi boat dpng ciia cac NHTM.
Sff phdt trien eiia boat dpng QLRR tin dung cung chiu lac ddng tff trinh dp phdt trien ciia ndn kinh le, du cac NHTM Viet Nam it cd kba ndng md rdng boat ddng lin dung ra pham vi qud'c te ma se tap trung nhidu vao thi irffdng npi dia.
Dieu kien vi phdp ly: Hidn nay, ede van ban phap iy chtfa quy dinh cu the ve pham vi boat ddng cUa cdc nghiep vu tin dung phai sinb ndi ridng va trong ITnb Vtfc tdi cbinh ngan hdng ndi rieng, nha't la vd thud' thu nhdp ddi vdi cac ngbidp vu phdi sinh dd khie'n vide trien kbai cdc nghiep vu nay tai NHTM d Viet Nam gap nhieu khd khdn, doi kbi khie'n cac nbdn vidn ngan hang lung lung khi dp dung vdo thffc te'.
Bieu kien ve nhdn Iffc vd chink sdch dao tqo:
Trinb dp chuydn mdn - nghiep vu eua dpi ngii nhdn Iffc ngdn hang hidn nay vdn cdn yeu kem, ngudn lai chinh de thffc hidn cdc chinh sach ddo tao nghidp vu cho nhdn vien cdn ban che da dan de'n tinh trang dpi ngu nhdn Itfe cd kha nang dp dung ngbiep vu QLRR tin dung rat it. Bdn canh do.
Ngudn: Bloomberg, VPBS tdng hop
250 So 3-Thang 3/2019
TAI CHiNH-NGAN HANG-BAO HIEM
ngudn nhdn Iffc chd't Iffdng cao Iffa ehpn d lai trong nffdc phuc vu cho cdc NHTM khdng nhidu bdi cdc che dp den Itfdng, phiic ldi chtfa bpp ly ddn de'n tinh trang bi chay mau cbd't xam.
Diiu kien ve cong nghe: Vide dIu ttf vao cP sd ha tang va dp dung cdc cdng nghd hidn dai de trien khai cac phtfdng phdp do Itfdng rui ro cbffa dffdc cac NHTM cbii trpng. Chinh vi vdy, vide dinh nghia chuan va khai bdo thdng tin chffa dffdc he thd'ng hda khid'n cho ddi ngu chiu trach nhidm QLRR tin dung khdng the dff bdo mdt cdch chinh xac ve mffc dp nii ro cua cac hpp ddng phdi smh tin dung, khdng theo ddi kip cdc thdng lin phat sinh lidn quan dd'n nd. Dieu nay da lam cho thdi gian giao dich va khd'i Iffdng giao dich tdng Idn ddng kd khi trien khai quy trinh QLRR.
5. Kd't luan va gdi y giai phap
Trffdc tinb trang phat irien bien nay cua nen kinh te, dd cdc hdp ddng phdi sinh tin dung cd the phat trien giup edc NHTM Viet Nam QLRR tin dung ngdy edng td't hdn can cd stf gdp sffe hd trd tff phia NHNN eung nhff cdc Bd, ngdnh lien quan, hiep hpi ngdn hang va ban than chinh cac NHTM ciing phdi cd nhffng thay ddi va dau tff tbffe sff.
Dac biet, trong tbdi gian tdi, Nha ntfdc can xdy dffng cae van bdn phdp ly, van ban hffdng dan thdng nba'l ve cae ngbiep vu tai cbinh phai sinh ndi chung va phai sinh tin dung ndi rieng cbo cdc NHTM dp dung. Dong tbdi, tao dieu kien cho eae NHTM cung cd'p nhffng phtfdng tien phdng ngffa nii ro tin dung cho cbinh minb. Mat khde, ehinh cac lanh dao NTHM can nbdn thffc va quan diem dung dan ve stf c^n thid't eiia cdc eong cu phdi sinh va tridn khai edc nghidp vu nay. De iff do dtfa ra cae giai phdp phii hdp, phdng ngffa rui ro tin dung. Bdi hidn nay, cac nghiep vu pbai smh lai Viet Nam cdn het sffe mdi me ngay ca dd'i vdi can bp Idnh dao va nhan vidn ngan bang dii ngbidp vu nay ihtfc stf ed
y nghTa ra't Idn dd'i vdi cdc NHTM trong qud trinh QLRR kinh doanh ngan hang,
Ngodi ra, cae NHTM cdn can ehu trpng vide xay dffng vd md cdc Idp dao tao nghiep vu ebo dpi ngu nbdn vidn bdn eanb vide thud cdc chuydn gia cd trinh dd eao de dao tao, thid't kd' san pbam vd xdy dffng quy trinb QLRR tin dung cho ngdn hang.
Mpt dpi ngu nhan vien gidi ngbidp vu vd cd trinh dp chuyen mdn eao, cd stf hidu bid't sdu sac ve nhffng bid'n dpng cua tbi trffdng se giup eho ede NHTM tnen kbai ngbiep vu pbai sinh mpt each bidu qua va thudn Ipi.
Mdt he thd'ng QLRR ed kha nang dinb Itfdng dtfdc rui ro se giup eae NHTM tridn kbai QLRR tin dung hidu qua. Vide ddng bd hda va cdng khai chd't Itfdng danh muc tin dung cd sd giffa cdc NHTM vdi nhau, phii hpp vdi quy dinb qud'c id' va xd'p hang tin dung eung can dffdc edc NHTM de y vd chu trpng dau ttf xdy dtfng. Trong dd, quan trpng nhd't Id dp dung ede ffng dung cdng nghe tien tie'n, hidn dai hda ed sd ha tang giiip cho qud tnnh thanh loan chinb xac, thdng tin didn bidn tbi trtfdng dffdc cap nhdt nhanh chdng, giup eho cac td chffc tdi chinh cung nhff nhffng chu the kbdc tbam gia giao dich ed quyd't dinb dung dan trong vide sff dung cdc cdng cu tai chinh phai sinb mot each ed hidu qua de phdng ngffa nil ro trong kinh doanb.
Cdc hdp ddng giao dicb eua NHTM cung can dtfdc chuan hda, xac dinh rd pham vi, thdi han trd nd vd cdc trffdng hdp loai trff de trdnh trtfdng bpp quy dinb kbdng rd rang se kbien xay ra nhffng tranh cba'p khdng ddng cd giffa cac ben tham gia.
Ddng thdi, eae NHTM ndn ngbidn cffu cae bdp ddng chua'n hdacua ISDA (Internarional Swaps and Derivatives Assotiarion - Hiep hdi phai smh va hodn ddi qudc te de cd the dp dung d Viet Nam, dae bidt ve quy trinb xff ly kbi ed sff kidn tin dung va cd che dinh gia tai san tham chieu •
TAI LIEUTHAM KHAO:
1. Nguyin Minh Kieu (2012) Qudn tri riii ro Idi chinh. Dgi hoc Md TP. Ho CM Mmh vci chUOng trinh gidng day kinh ti Fulbright. NXB Tdi chinh.
2. Peter S. Rose (2001). Qudn In ngdn hdng ihUOng mgi. NXB Tdi chinh.
3. Giang Thi Tlm Huyen (2018). Vd'n di qudn ly rdi ro tin dung Igi cdc ngdn hdng thuong mgi Tap chi Cdng Thuong.
So 3-Thang 3/2019 251
TAP CHi CONG THIUNG
4. http://tapchilaichinh.vn/nghien-cuu-trao-doi/lrao-doi-binh-luan/quan-ly-rui-ro-tin-dung-thong-qua-cac-hop- dong-phai-sinh-lin-dung-cho-viet-nam-53270.html
5. http.//tapchitaichinh vn/kinh-te-vi-mo/mot-so-van-de-ve-rui-ro-tin-dung-cua-ngan-hang-thuong-mai- 130975.html
6. https://topbank.vn/tu-van/quan-lri-rui-ro-tin-dung-la-gi-noi-dung-quan-tri-rui-ro-tin-dung
7.https.//text.l23doc.org/document/2897376-nhung-van-de-co-ban-ve-phai-sinh-tin-dung-va-cac-cong-cu-phai- sinh - tin-dung.hlm
8. htip-//ndh.vn/hop-dong-hoan-doi-rui-ro-tin-dung-cds-cua-viet-nam-lhap-nhat-trong-10-nam-2017l22611594803 p4cl49.news
Ngay nhan bai: 6/2/2019
Ngay phan bien danh gia va si^a chffa: 16/2/2019 Ngay chdfp nh§n dang bai; 26/2/2019
Thong tin tdc gia:
1. ThS. N G U Y I N T H I V A N HANH 2. ThS. 0ANG THI HONG NHUNG
Khoa Kinh te - Quan tri kinh doanh, TruTtfng Dai hpc An Giang
MANAGING CREDIT RISKS OF COMMERCIAL BANKS BY USING CREDIT DERIVATIVES
• Master. NGUYEN THI VAN HANH
• Master. DANG THI HONG NHUNG Faculty of Economics - Business Management,
An Giang University
ABSTRACT:
The study analyzes the current situation of credit derivatives market m Vietnam and finds out reasons why derivatives have yet been a popular tool for commercial banks in Viemam to manage credit risks. The study proposes solutions to help Vietnamese commercial banks in particular and credit derivatives market in general to improve the effectiveness of credit risks management by using credit derivatives.
Keywords: Credit risk management, credit derivative, joint stock commercial banks.
252 So 3 - T h a n g 3/2019
