B GIÁO D O I H C KINH T TP.HCM - - NGUY N ANH TÚ NG HÓA R I RO DANH M C CHO VAY B NG MƠ HÌNH CREDITMETRICS T I NGÂN HÀNG I C PH N VI T Á LU Thành ph H 2013 B GIÁO D O I H C KINH T TP.HCM - - NGUY N ANH TÚ NG HÓA R I RO DANH M C CHO VAY B NG MƠ HÌNH CREDITMETRICS T I NGÂN HÀNG I C PH N VI T Á Chuyên ngành : Tài ngân hàng Mã s : 62340201 LU NG D N KHOA H C PGS., TS H Thành ph H VI T TI N L Creditmetrics ng trình nghiên c 2013 i DANH M ii iii .1 .3 .3 1.1 1.1.1 1.1.1.1 .4 1.1.1.2 1.1.2 1.1.2.1 1.1.2.2 1.1.2.3 cho vay 10 1.1.3 1.1.3.1 12 .12 1.1.3.2 Cách tính VaR .12 1.1.3.3 1.2 .14 Mơ hình CreditMetrics 15 1.2.1 15 1.2.2 16 1.2.3 17 1.2.4 19 1.2.5 20 .29 HÀNG T 2.1 30 30 2.1.1 30 2.1.2 32 2.1.3 34 2.2 34 2.2.1 Tình hình chung .34 2.2.2 Ch 2.3 38 .39 .56 57 3.1 .57 3.1.1 58 3.1.2 tin 60 3.1.3 60 3.1.4 61 3.2 3.2.1 62 .62 3.2.2 .63 3.2.3 .64 3.2.4 ngân hàng 65 3.2.5 66 3.2.6 67 .69 70 i CN : Chi nhánh DNTN : KH : Khách hang NHNN : Ngân hà NHTM : Ngân hà TNHH : : T VAB : EAD : Exposure At Default EL : Expected Loss LGD : Loss Given Default PD : Probability of Default UL : Unexpected Loss VaR : Value at Risk ii HÌNH 1.1 HÌNH 1.2 HÌNH 1.3 HÌNH 1.4 P iii Xác su 1 - t STT TÊN KHÁCH HÀNG CT TNHH SX,LAPRAP TUAN NGHIA NGUYEN THI BICH 115 TRO 114 3/31/2013 CK (VAAA) CK (V-AA) CK (V-BBB) CK (V-BB) A) CK (V-B) CK (VCCC) CK (V-CC) CK (V-C) CK (V-D) 2,700,000,000 A 2,732 2,729 2,718 2,694 2,641 2,565 2,412 2,176 1,724 419 2,500,000,000 B 2,713 2,713 2,713 2,713 2,713 2,713 2,713 2,713 2,713 2,713 116 HAU TAC BINH 2,200,000,000 A 2,431 2,431 2,431 2,431 2,431 2,431 2,431 2,431 2,431 2,431 117 NGUYEN HUY DONG 2,000,000,000 D 2,186 2,185 2,182 2,175 2,158 2,135 2,086 2,005 1,827 788 2,000,000,000 AA 2,170 2,170 2,170 2,170 2,170 2,170 2,170 2,170 2,170 2,170 2,000,000,000 C 2,261 2,260 2,257 2,249 2,232 2,208 2,156 2,072 1,888 808 90,000,000 B 97 97 97 97 97 96 95 93 89 55 118 CTY TNHH BAO BI TAN VIET TAN 119 NGUYEN CONG LOC 120 NGUYEN THI HIEN 121 CTY TNHH MAI SANG VN 6,164,224,000 AA 6,726 6,726 6,726 6,726 6,726 6,726 6,726 6,726 6,726 6,726 120,000,000 BB 131 131 131 130 129 128 125 120 110 49 123 CTY CP IN SAO VIET 1,400,000,000 A 1,536 1,536 1,534 1,528 1,517 1,500 1,465 1,408 1,282 546 124 DNTN BAKO CTY TNHH TMDV 125 VAN TAI CO KHI DANG LOI 126 NGUYEN HUY TRANH 1,700,000,000 CC 1,789 1,788 1,785 1,779 1,766 1,747 1,707 1,641 1,497 651 1,250,000,000 AA 1,381 1,381 1,381 1,381 1,381 1,381 1,381 1,381 1,381 1,381 1,500,000,000 D 1,578 1,578 1,577 1,574 1,568 1,559 1,540 1,508 1,436 894 1,090,000,000 AA 1,248 1,247 1,244 1,237 1,220 1,196 1,146 1,068 907 270 1,200,000,000 BB 1,327 1,326 1,324 1,320 1,310 1,296 1,266 1,217 1,109 477 963,600,000 AA 1,001 1,000 1,000 998 994 988 976 956 911 568 1,000,000,000 C 1,100 1,099 1,098 1,094 1,086 1,074 1,049 1,009 919 396 200,000,000 A 218 218 218 218 218 218 218 218 218 218 2,000,000,000 D 2,112 2,111 2,110 2,106 2,098 2,086 2,060 2,018 1,921 1,196 122 CHAU VAN TUAN CTY TNHH SX VA TM HOANG GIA CTY TNHH NAM 128 CHIEN CONG TY TNHH IN 129 VA PTTM THANH PHAT 130 TA TUONG THANH 127 PHAM NGOC PHUONG CT TNHH MOT 132 THANH VIEN DAI CAT 131 STT 133 TÊN KHÁCH HÀNG HUYNH THI THANH MY 3/31/2013 CK (VAAA) CK (V-AA) CK (V-BBB) CK (V-BB) A) CK (V-B) CK (VCCC) CK (V-CC) CK (V-C) CK (V-D) 158,000,000 AA 181 181 181 180 179 177 173 166 151 65 134 HA THU NGUYET CTY TNHH SX VA 135 THUONG MAI THE MY CTY TNHH SXTMDV 136 VIT BAT ANH MINH 800,000,000 D 846 845 845 843 840 835 825 808 769 475 275,000,000 C 308 308 308 308 306 305 301 295 281 174 100,000,000 A 104 104 103 103 102 100 97 91 80 26 137 LE THI MONG THUY 95,000,000 A 107 107 107 105 103 100 94 84 66 18 239,750,000 D 260 260 260 259 257 254 248 239 218 95 138 DNTN HUNG MAI 139 NGUYEN THI LIEN 1,000,000,000 BBB 1,124 1,123 1,121 1,118 1,109 1,097 1,072 1,030 939 402 140 BUI VIET DUNG 1,200,000,000 CCC 1,246 1,246 1,245 1,243 1,238 1,231 1,216 1,191 1,134 707 141 TRAN VIET ANH 50,000,000,000 AA 52,549 52,513 52,367 52,030 51,287 50,208 48,005 44,508 37,354 9,691 142 PHAM THI NGUOI 49,308,000,000 C 43,939 43,888 43,684 43,215 42,188 40,720 37,800 33,388 25,228 5,204 143 NGUYEN VAN VANG 32,718,000,000 A 37,161 37,118 36,946 36,550 35,687 34,455 32,020 28,373 21,744 5,800 22,638,000,000 A 23,306 23,302 23,284 23,243 23,152 23,017 22,734 22,261 21,185 13,093 19,950,000,000 AA 21,774 21,738 21,595 21,267 20,561 19,575 17,702 15,089 10,921 3,282 37,206,504,480 AA 40,443 40,376 40,110 39,500 38,186 36,353 32,870 28,011 20,264 6,085 5,880,000,000 D 6,456 6,456 6,456 6,456 6,456 6,456 6,456 6,456 6,456 6,456 148 TRAN THI ANH DAO 16,400,000,000 BBB 18,371 18,362 18,324 18,236 18,043 17,760 17,177 16,236 14,240 4,801 149 PHAN NGOC DUYEN 14,700,000,000 A 15,275 15,272 15,260 15,233 15,174 15,085 14,900 14,591 13,887 8,593 150 TRAN VAN DINH 12,819,534,000 D 14,483 14,467 14,407 14,266 13,960 13,521 12,646 11,317 8,835 2,308 6,700,000,000 AA 6,858 6,856 6,851 6,839 6,812 6,772 6,688 6,547 6,227 3,822 HUYNH HONG PHONG CTY CP D.TU VA PT 145 DIEN DAI HAI CTY CP D.TU VA PT 146 DIEN DAI HAI 144 147 LE THI KIM LINH 151 DO THONG STT TÊN KHÁCH HÀNG 152 CTY TNHH TM DO NA 3/31/2013 CK (VAAA) CK (V-AA) CK (V-BBB) CK (V-BB) A) CK (V-B) CK (VCCC) CK (V-CC) CK (V-C) CK (V-D) 9,851,125,000 A 11,237 11,233 11,217 11,180 11,097 10,976 10,724 10,311 9,402 4,077 5,433,750,000 A 5,911 5,907 5,891 5,854 5,774 5,656 5,417 5,036 4,257 1,204 5,000,000,000 A 5,206 5,202 5,188 5,156 5,084 4,981 4,769 4,432 3,743 1,048 4,915,835,400 AA 5,386 5,383 5,371 5,345 5,287 5,201 5,026 4,742 4,142 1,321 156 VUONG VAN KHA 4,087,000,000 D 5,111 5,107 5,091 5,055 4,975 4,860 4,626 4,260 3,531 1,033 157 NGUYEN VAN KIET 5,124,000,000 D 5,387 5,385 5,377 5,359 5,319 5,260 5,138 4,936 4,495 1,909 158 NGUYEN VAN NHUT 6,850,000,000 CCC 7,526 7,524 7,513 7,488 7,433 7,351 7,182 6,905 6,296 2,724 3,000,000,000 AA 3,234 3,234 3,234 3,234 3,234 3,234 3,234 3,234 3,234 3,234 160 BANH THI LINH 3,000,000,000 AA 3,242 3,240 3,231 3,210 3,165 3,100 2,967 2,755 2,322 635 161 TRAN THI LOAN 5,000,000,000 C 5,282 5,281 5,277 5,268 5,248 5,218 5,155 5,050 4,811 3,012 NGUYEN THI NGOC MAI 2,453,240,000 A 2,793 2,792 2,788 2,779 2,758 2,729 2,666 2,564 2,340 1,026 163 TRAN NGOC TUYEN 2,442,000,000 A 2,578 2,578 2,576 2,571 2,561 2,546 2,514 2,461 2,339 1,428 164 DNTN HANH NGUYEN 2,300,000,000 A 2,517 2,517 2,517 2,517 2,517 2,517 2,517 2,517 2,517 2,517 165 VUONG VAN KHA 4,087,000,000 D 5,111 5,107 5,091 5,055 4,975 4,860 4,626 4,260 3,531 1,033 800,000,000 BB 886 886 886 886 886 886 886 886 886 886 1,766,100,000 AA 1,831 1,830 1,825 1,813 1,788 1,752 1,678 1,560 1,318 371 400,000,000 BB 441 441 441 440 438 436 430 421 401 249 1,628,424,000 A 1,846 1,844 1,836 1,818 1,778 1,721 1,608 1,437 1,117 283 370,000,000 BB 385 385 384 384 382 380 376 368 350 219 NGUYEN DANG NGOC TRINH CONG TY TNHH SX154 TM-DV HIEP PHAT TRUONG QUANG 155 LONG TRIEU 153 159 162 TRINH THI TUYET TAM PHAM THI BICH THAO NGUYEN DANG 167 TRUONG VU 166 168 HUYNH TAN BAO 169 NGUYEN THI HUNG 170 LUU THI MAN STT TÊN KHÁCH HÀNG 3/31/2013 CK (VAAA) CK (V-AA) CK (V-BBB) CK (V-BB) A) CK (V-B) CK (VCCC) CK (V-CC) CK (V-C) CK (V-D) 171 NGUYEN MY HAN 980,000,000 BB 1,050 1,050 1,049 1,047 1,043 1,037 1,025 1,004 956 598 172 DANG THANH SON 950,221,907 C 1,009 1,009 1,008 1,004 997 986 964 927 846 371 173 DINH HOANG DONG 1,500,000,000 A 1,609 1,608 1,605 1,597 1,580 1,555 1,504 1,421 1,246 419 174 LU VAN NAM 1,500,000,000 A 1,645 1,644 1,640 1,630 1,608 1,576 1,511 1,407 1,195 357 175 NGUYEN VAN KHAI 1,400,000,000 AA 1,514 1,513 1,509 1,500 1,479 1,448 1,386 1,287 1,085 296 176 DUONG VAN THUOT 600,000,000 CCC 661 661 660 659 657 653 645 632 601 373 1,700,000,000 CCC 1,881 1,881 1,879 1,876 1,869 1,858 1,835 1,797 1,711 1,063 237 237 237 235 232 228 218 204 173 53 177 NGUYEN VAN COP 178 NGUYEN DINH DUNG 202,500,000 A STT TÊN KHÁCH HÀNG DNTN KDV KIM PHUOC LOC THO DNTN KD VANG TAN CONG KHANH EL EL+UL 19,320,000,000 20,325,084,940 1,848,903,802 352,560,883 3,050,691,274 3,403,252,157 18,606,000,000 18,799,310,612 1,137,901,905 205,453,492 1,877,538,143 2,082,991,635 DO NGOC QUANG 14,700,000,000 13,418,540,515 1,529,251,670 484,646,566 2,523,265,256 3,007,911,822 CTY TNHH TM NHAT THAI 12,390,000,000 13,389,918,077 82,839,752 11,712,388 136,685,590 148,397,978 DNTN KDV THIEN THANH 10,500,000,000 10,708,389,626 973,033,760 185,538,667 1,605,505,704 1,791,044,371 DNTN VAN PHONG 8,000,000,000 8,704,000,000 - - - - CTY CP XD VA TM VAN PHAT 8,000,000,000 8,177,698,507 496,071,221 89,567,971 818,517,515 908,085,486 DNTN DT TM NGOC TIEN 6,684,249,806 1,147,690,815 363,723,267 1,893,689,845 2,257,413,112 DNTN KD VBDQ KHANH HUNG 7,000,000,000 7,339,343,973 433,721,000 78,310,348 715,639,651 793,949,999 10 NGUYEN THI HOI 6,920,000,000 7,163,644,776 44,370,328 6,273,347 73,211,041 79,484,388 11 CTY TNHH VO MINH DUC 6,300,000,000 5,964,635,882 1,215,474,066 349,069,702 2,005,532,208 2,354,601,910 12 NGUYEN THI HANG-PHAM VAN LON 6,000,000,000 6,274,664,405 91,237,262 31,323,044 150,541,482 181,864,527 13 PHUNG THI NGA 6,000,000,000 5,249,566,832 905,087,138 286,837,924 1,493,393,778 1,780,231,701 14 DOAI NGOC NGUYEN 5,900,000,000 6,150,867,089 70,751,731 9,977,983 116,740,356 126,718,338 15 LE THI BICH HIEN 4,930,556,000 4,924,579,295 196,499,440 26,687,233 324,224,077 350,911,309 16 CTY CPTB DIEN TAM SON 2,433,603,443 319,061,871 96,134,200 526,452,087 622,586,288 8,000,000,000 2,500,000,000 STT TÊN KHÁCH HÀNG 17 CTY TNHH VBDQ KIM HAO 18 EL EL+UL 4,876,200,000.00 5,349,896,932 608,224,622 127,354,285 1,003,570,626 1,130,924,912 DUONG THI TUYET NGA 4,500,000,000 4,824,318,542 430,742,831 82,093,867 710,725,670 792,819,538 19 CTY TNHH 1TV VIET HANG 4,470,000,000 4,846,605,161 433,456,056 82,614,876 715,202,492 797,817,368 20 CONG TY TNHH HUY HIEU 3,000,000,000 1,186,381,176 - - - - 21 CTY TNHH TM DV OTO CANG KIM LONG 35,129,560,600 39,169,460,069 - - - - 22 CONG TY TNHH BO BA 4,200,000,000 4,590,600,000 - - - - 23 NGUYEN THI THU HA 2,940,000,000 1,756,833,664 - - - - 24 KHA NAM TIEN 4,000,000,000 4,233,712,596 377,285,178 71,901,635 622,520,544 694,422,180 25 CT TNHH TMDV TIN HOC VIET MY 2,500,000,000 2,329,632,967 256,920,833 81,422,700 423,919,374 505,342,073 26 NGUYEN THI BICH NGOC 3,500,000,000 3,568,713,386 22,380,599 3,164,305 36,927,989 40,092,294 27 TRAN VAN THANHHUYNH THI TUYET VAN 3,500,000,000 3,533,658,435 214,221,171 38,678,631 353,464,932 392,143,562 28 MAI THI THU HANG 2,347,389,667 479,631,274 137,735,206 791,391,603 929,126,809 29 DNTN NGAN HA 3,187,197,425 189,329,590 34,184,340 312,393,823 346,578,163 30 VO QUANG THANH 945,195,254 - - - - 31 TONG HUU DUC 3,151,952,383 19,305,591 2,729,542 31,854,225 34,583,767 32 NGUYEN VIET PHAN 1,722,849,476 297,508,557 94,285,659 490,889,119 585,174,778 33 NGUYEN BA DANG 1,208,636,296 - - - - 2,500,000,000 3,100,000,000 2,400,000,000 3,000,000,000 2,000,000,000 2,000,000,000 STT TÊN KHÁCH HÀNG 34 LE VAN NANG 35 NGUYEN THI HANH 36 CTY TNHH A VA B 37 38 39 40 41 42 43 44 45 46 47 48 49 50 EL 2,961,700,067 177,816,918 32,105,673 293,397,914 325,503,587 1,248,136,341 216,136,969 68,497,581 356,626,000 425,123,581 187,795,000,000 219,793,781,983 7,003,468,018 972,992,907 11,555,722,230 12,528,715,137 CTY CP SON TRA 159,000,000,000 156,091,155,427 7,172,039,441 978,548,302 11,833,865,077 12,812,413,379 CTY CP SON TRA 5,506,717,744 5,524,185,636 138,120,386 19,326,440 227,898,637 247,225,076 108,276,000,000 114,387,805,367 14,055,827,655 3,154,760,992 23,192,115,630 26,346,876,622 93,660,000,000 102,094,919,157 12,748,437,533 2,932,696,342 21,034,921,930 23,967,618,272 71,549,100,000 75,919,848,418 9,073,922,223 1,974,095,455 14,971,971,669 16,946,067,124 48,732,600,000 52,366,497,047 1,598,971,963 222,619,375 2,638,303,739 2,860,923,114 90,000,000,000 101,818,355,959 2,031,373,739 285,042,908 3,351,766,669 3,636,809,578 2,240,000,000 546,204,432 - - - - 1,100,000,000 998,643,545 111,792,614 35,429,032 184,457,813 219,886,845 29,864,000,000 30,184,319,213 1,176,275,352 162,439,052 1,940,854,331 2,103,293,383 24,400,000,000 26,568,644,722 2,774,590,110 555,721,683 4,578,073,682 5,133,795,365 18,000,000,000 18,842,398,033 1,092,343,781 265,757,632 1,802,367,239 2,068,124,872 17,692,000,000 20,180,676,968 2,528,695,664 582,220,722 4,172,347,846 4,754,568,568 6,000,000,000 5,984,083,865 702,788,202 147,682,323 1,159,600,533 1,307,282,857 CTY CP VAN TAI BIEN DINH GIANG CTY CP VAN TAI BIEN HAI AU TONG CTY HANG HAI VIET NAM CTY CP DU LICH SAI GONSUOI NHUM CTY TNHH SX DV TM PHU MY PHUONG CTY TNHH DV VT HOANG AN BUI VAN NAM CTY CP BVDK FORTISHOAN MY DN CTY CP KT CONG NGHE SAI GON DNTN BACH THUY CONG TY TNHH DV-DL HUY HOANG CONG TY TNHH DV-DL HUY HOANG 2,900,000,000 EL+UL 1,500,000,000 STT TÊN KHÁCH HÀNG 51 NGUYEN THI THUY LOAN 253,000,000 227,562,907 58,202,981 14,912,140 96,034,919 110,947,060 52 DOANH NGHIEP TU NHAN GIA NGUYEN 1,575,000,000 921,274,760 - - - - 53 CTY TNHH DV TM T VA C 1,000,000,000 417,315,355 - - - - 12,950,000,000 14,328,112,762 1,675,636,771 363,261,042 2,764,800,672 3,128,061,714 7,993,797,000.00 4,711,083,200 - - - - 8,000,000,000 8,792,519,247 529,180,747 95,546,050 873,148,232 968,694,282 6,304,000,000 4,292,942,829 951,953,363 301,690,649 1,570,723,049 1,872,413,698 7,477,000,000 7,513,143,705 983,171,568 232,993,798 1,622,233,086 1,855,226,884 54 55 56 57 58 CTY TNHH MTV TAN PHU THO - LONG AN CTY TNHH MTV DVNHKS PHUC NGUYEN NGUYEN DONG HOA CONG TY TNHH 01 TV PHUONG NGA CONG TY TNHH MY TRUONG EL EL+UL 59 CTY TNHH HOANG TRIEU 7,428,400,000 8,880,645,523 1,106,178,460 254,309,772 1,825,194,458 2,079,504,230 60 CTY TNHH KHAI DUYEN 7,000,000,000 7,735,000,000 (0) 0 61 VO THANH TUNG 6,200,000,000 6,817,613,713 713,201,609 142,863,484 1,176,782,655 1,319,646,140 62 LAM QUANG NHA 800,000,000 711,577,234 123,696,546 39,201,596 204,099,301 243,300,898 63 DINH VAN KHOE 750,000,000 644,070,064 110,057,302 34,879,081 181,594,548 216,473,629 64 PHAN THI HOP 6,000,000,000 6,715,701,635 134,453,997 18,866,386 221,849,095 240,715,480 65 TRAN HUYNH HOANG HAI 6,000,000,000 6,794,118,240 136,448,068 19,145,979 225,139,312 244,285,291 66 PHAN VAN SAU 640,000,000 606,821,415 104,750,484 45,509,704 172,838,299 218,348,003 67 TRAN NGOC TA 6,000,000,000 6,265,789,644 557,231,905 106,189,057 919,432,644 1,025,621,701 STT TÊN KHÁCH HÀNG EL EL+UL 68 NGUYEN THI NHU MAI 5,880,983,698 6,463,582,794 389,012,918 70,238,095 641,871,315 712,109,410 69 NGUYEN THANH THUAN 5,500,000,000 6,076,539,279 685,270,116 143,355,502 1,130,695,692 1,274,051,194 70 NGUYEN THI KIEU CHINH 5,500,000,000 6,159,874,640 144,412,604 20,213,345 238,280,796 258,494,142 428,107,294,436 455,812,243,074 491,277,383 357,569,859 810,607,682 1,168,177,540 331,797,194,400 357,899,090,264 32,524,434,465 6,201,796,885 53,665,316,867 59,867,113,752 279,200,000,000 283,989,036,308 17,228,386,716 3,110,665,509 28,426,838,082 31,537,503,591 71 72 73 CTCP DTPT DO THI&KCN SONG DA CT TNHH DA XAY DUNG BINH DUONG CT TNHH MTV DT PTHT HOANG LONG 74 CTY TNHH DT PT VINH AN 270,000,000,000 287,239,958,848 6,949,909,466 972,619,592 11,467,350,619 12,439,970,211 75 NGUYEN THI LAN 258,750,000,000 252,932,375,310 34,846,608,644 8,762,563,489 57,496,904,262 66,259,467,751 76 CTY CP XAY DUNG CONG TRINH 585 210,454,000,000 236,844,669,876 27,803,285,380 6,031,217,306 45,875,420,878 51,906,638,184 77 HOANG NHU LUAN 184,800,000,000 198,554,628,743 22,374,714,412 4,680,290,422 36,918,278,780 41,598,569,201 78 LUONG THI LINH 168,750,000,000 169,678,977,642 7,217,424,714 991,634,618 11,908,750,777 12,900,385,395 463,614,130,435 540,598,298,642 8,708,835,951 1,225,081,647 14,369,579,319 15,594,660,966 124,800,000,000 127,692,848,339 14,980,239,837 3,147,542,071 24,717,395,732 27,864,937,803 79 80 CTY TNHH MTV PHU AN THANH CONG TY CO PHAN DAI DUONG 81 TRAN VAN THONG 78,204,000,000 84,366,572,503 9,689,628,474 2,031,188,775 15,987,886,983 18,019,075,758 82 CTY CP DT VA PT NHA DAT COTEC 74,133,900,000 77,666,778,016 4,650,809,062 839,725,250 7,673,834,952 8,513,560,202 83 NGUYEN BINH DONG 72,000,000,000 86,262,873,761 10,489,439,150 2,349,148,664 17,307,574,597 19,656,723,261 84 CTY CP DONG PHUONG HONG 60,000,000,000 66,957,913,244 1,068,563,470 150,319,114 1,763,129,726 1,913,448,840 STT TÊN KHÁCH HÀNG EL EL+UL 85 CTY CP DONG PHUONG HONG 40,000,000,000 47,065,459,648 948,932,264 133,149,451 1,565,738,236 1,698,887,687 86 CTY TNHH LAN ANH 54,670,467,000 55,862,900,444 11,498,226,445 5,227,689,272 18,972,073,633 24,199,762,906 87 CTY TNHH LAN ANH 37,500,000,000 37,938,141,406 8,667,574,817 4,071,199,559 14,301,498,448 18,372,698,006 60,000,000,000 65,943,894,351 3,968,855,601 716,595,374 6,548,611,742 7,265,207,117 50,175,000,000 55,694,250,000 - - - - 35,310,000,000 39,032,898,790 3,512,705,641 669,624,165 5,795,964,308 6,465,588,474 88 89 90 CT CP DT XD DO THI VIET NAM CTY CP TM DV XAY DUNG THIEN TAN CTY CP KTXD VA VLXD (COTEC) 91 CONG TY CP QUAN NHAN 35,000,000,000 39,369,962,978 447,814,393 63,155,129 738,893,748 802,048,877 92 MAI RAN 21,966,000,000 24,702,153,566 2,810,944,143 588,635,697 4,638,057,836 5,226,693,533 93 NGUYEN THANH THU 21,798,000,000 22,971,467,478 2,060,526,809 392,760,350 3,399,869,235 3,792,629,585 94 LE QUANG HIEU 13,440,000,000 12,354,739,611 2,555,342,014 733,593,094 4,216,314,323 4,949,907,417 95 HAN DUC MINH 13,398,000,000 3,649,023,493 - - - - 96 NGUYEN TRUONG VINH 12,734,400,000 14,140,441,901 1,617,232,358 338,853,676 2,668,433,391 3,007,287,067 46,945,537,999 50,061,334,361 4,443,920,778 846,812,835 7,332,469,284 8,179,282,119 11,970,000,000 11,677,522,590 1,594,121,306 480,313,039 2,630,300,154 3,110,613,193 6,000,000,000 7,954,669,518 927,192,365 293,843,456 1,529,867,403 1,823,710,859 11,474,400,000 12,155,991,191 1,562,885,313 368,545,016 2,578,760,766 2,947,305,781 3,636,000,000 2,865,549,804 621,534,703 196,975,204 1,025,532,261 1,222,507,465 CTY CP XD VAN TAI HOANG NGAN CTY TNHH TM DV HOANG 98 HONG SON CTY CP XAY DUNG VA DV 99 HOANG HA CTY CP DT XAY DUNG 100 BACH HAC CT CP TU VAN VA DV KY 101 THUAT DIEN 97 STT TÊN KHÁCH HÀNG 102 TRAN VIET HA EL EL+UL 22,500,000,000 21,963,277,397 951,453,320 130,447,676 1,569,897,977 1,700,345,654 5,880,000,000 3,612,056,366 - - - - 3,200,000,000 3,135,257,012 68,915,158 55,124,064 113,710,010 168,834,074 8,736,000,000 8,499,673,327 1,158,180,001 348,962,751 1,910,997,002 2,259,959,753 450,000,000,000 564,340,014,772 1,132,917,923 824,797,953 1,869,314,573 2,694,112,525 68,399,328,413 75,202,917,762 1,498,295,586 210,242,279 2,472,187,717 2,682,429,996 32,000,000,000 32,177,257,556 1,976,483,330 356,863,276 3,261,197,495 3,618,060,771 18,020,000,000 19,798,541,895 693,286,450 96,049,898 1,143,922,643 1,239,972,541 10,000,000,000 10,500,530,386 352,655,121 85,717,336 581,880,950 667,598,285 3,500,000,000 3,885,000,000 0 0 20,405,869,380 21,736,524,095 131,945,482 18,655,255 217,710,045 236,365,300 3,000,000,000 1,839,316,174 - - - - 2,700,000,000 2,643,227,990 333,512,742 75,259,345 550,296,024 625,555,369 115 NGUYEN THI BICH TRO 2,500,000,000 2,712,500,000 - - - - 116 HAU TAC BINH 2,200,000,000 2,431,000,000 0 0 117 NGUYEN HUY DONG 2,000,000,000 787,506,526 - - - - 2,000,000,000 2,170,000,000 - - - - CTY TNHH TM DV DU LICH KIM NAM CTY TNHH TM DV DIA OC 104 NHAT TIN 103 105 LE VAN SON 106 CTY CP VI CO DIEN TU CTY TNHH SX TM NGUYEN HOANG CTY CO PHAN THAI 108 DUONG CTY TNHH SX TM DIEM 109 THANH CTY TNHH LIEN BINH 110 PHAT 107 111 NGUYEN XUAN AN 112 CTY CP GOSACO CTY TNHH DET MAY DIEM KHANH CT TNHH SX,LAPRAP 114 TUAN NGHIA 113 118 CTY TNHH BAO BI TAN VIET TAN STT TÊN KHÁCH HÀNG 119 NGUYEN CONG LOC EL EL+UL 2,000,000,000 1,789,432,793 311,118,940 98,599,027 513,346,251 611,945,278 90,000,000 92,050,832 10,134,171 4,147,391 16,721,382 20,868,773 6,164,224,000 6,726,401,229 (0) 0 120,000,000 128,378,188 4,277,917 1,039,800 7,058,564 8,098,364 123 CTY CP IN SAO VIET 1,400,000,000 1,507,621,971 136,122,694 25,951,347 224,602,445 250,553,792 124 DNTN BAKO 1,700,000,000 1,550,773,424 315,307,352 90,557,618 520,257,130 610,814,748 1,250,000,000 1,381,250,000 - - - - 1,500,000,000 894,171,709 - - - - 1,090,000,000 1,240,698,348 24,951,665 3,501,125 41,170,248 44,671,372 1,200,000,000 1,299,234,991 44,378,472 10,786,803 73,224,479 84,011,281 963,600,000 998,812,427 6,092,623 861,412 10,052,828 10,914,240 1,000,000,000 871,412,236 150,795,836 47,789,834 248,813,129 296,602,964 131 PHAM NGOC PHUONG 200,000,000 217,600,000 (0) 0 CT TNHH MOT THANH VIEN DAI CAT 2,000,000,000 1,196,057,327 - - - - 133 HUYNH THI THANH MY 158,000,000 180,297,898 2,070,834 292,046 3,416,876 3,708,922 134 HA THU NGUYET 800,000,000 475,245,179 - - - - 275,000,000 270,825,107 30,627,224 9,706,302 50,534,919 60,241,221 120 NGUYEN THI HIEN 121 CTY TNHH MAI SANG VN 122 CHAU VAN TUAN 125 CTY TNHH TMDV VAN TAI CO KHI DANG LOI 126 NGUYEN HUY TRANH 127 CTY TNHH SX VA TM HOANG GIA 128 CTY TNHH NAM CHIEN 129 CONG TY TNHH IN VA PTTM THANH PHAT 130 TA TUONG THANH 132 135 CTY TNHH SX VA THUONG MAI THE MY STT 136 TÊN KHÁCH HÀNG CTY TNHH SXTMDV VIT BAT ANH MINH EL EL+UL 100,000,000 101,305,027 10,813,211 2,168,921 17,841,798 20,010,719 95,000,000 103,516,632 12,987,439 2,991,256 21,429,274 24,420,531 239,750,000 94,517,821 - - - - 139 NGUYEN THI LIEN 1,000,000,000 1,111,031,414 29,782,437 10,457,613 49,141,021 59,598,634 140 BUI VIET DUNG 1,200,000,000 1,204,778,903 13,815,404 11,098,359 22,795,417 33,893,776 141 TRAN VIET ANH 50,000,000,000 52,211,414,336 1,111,498,526 155,930,752 1,833,972,568 1,989,903,320 142 PHAM THI NGUOI 49,308,000,000 23,400,591,501 5,766,877,478 1,827,624,206 9,515,347,838 11,342,972,044 143 NGUYEN VAN VANG 32,718,000,000 35,854,557,069 4,624,606,423 1,091,527,467 7,630,600,598 8,722,128,066 144 HUYNH HONG PHONG 22,638,000,000 23,032,434,751 1,393,556,697 251,613,156 2,299,368,550 2,550,981,705 19,950,000,000 21,467,113,618 936,946,404 128,226,889 1,545,961,567 1,674,188,456 37,206,504,480 39,871,787,970 1,742,292,367 238,435,821 2,874,782,406 3,113,218,227 5,880,000,000 6,456,240,000 - - - - 148 TRAN THI ANH DAO 16,400,000,000 18,085,514,435 665,061,701 238,631,962 1,097,351,807 1,335,983,770 149 PHAN NGOC DUYEN 14,700,000,000 15,095,649,949 911,728,598 164,616,847 1,504,352,186 1,668,969,033 150 TRAN VAN DINH 12,819,534,000 2,308,043,882 - - - - 151 DO THONG 6,700,000,000 6,844,961,214 42,706,963 6,038,170 70,466,488 76,504,659 152 CTY TNHH TM DO NA 9,851,125,000 11,029,206,060 984,288,370 187,589,805 1,624,075,810 1,811,665,616 137 LE THI MONG THUY 138 DNTN HUNG MAI CTY CP D.TU VA PT DIEN DAI HAI CTY CP D.TU VA PT DIEN 146 DAI HAI 145 147 LE THI KIM LINH STT TÊN KHÁCH HÀNG NGUYEN DANG NGOC TRINH CONG TY TNHH SX-TM-DV 154 HIEP PHAT TRUONG QUANG LONG 155 TRIEU 153 EL EL+UL 5,433,750,000 5,752,408,811 661,008,399 138,571,722 1,090,663,859 1,229,235,581 5,000,000,000 5,065,796,955 583,981,520 122,467,568 963,569,509 1,086,037,076 4,915,835,400 5,358,885,020 88,749,786 12,483,788 146,437,147 158,920,935 156 VUONG VAN KHA 4,087,000,000 1,033,492,173 - - - - 157 NGUYEN VAN KIET 5,124,000,000 1,909,377,323 - - - - 158 NGUYEN VAN NHUT 6,850,000,000 7,059,235,470 153,987,568 123,173,576 254,079,487 377,253,063 159 TRINH THI TUYET TAM 3,000,000,000 3,234,000,000 - - - - 160 BANH THI LINH 3,000,000,000 3,221,351,664 67,215,069 9,430,159 110,904,863 120,335,022 161 TRAN THI LOAN 5,000,000,000 4,646,649,441 517,940,927 164,144,527 854,602,530 1,018,747,057 162 NGUYEN THI NGOC MAI 2,453,240,000 2,741,668,416 242,947,151 46,292,545 400,862,800 447,155,345 163 TRAN NGOC TUYEN 2,442,000,000 2,547,387,041 156,927,652 28,334,019 258,930,625 287,264,644 164 DNTN HANH NGUYEN 2,300,000,000 2,516,660,000 - - - - 165 VUONG VAN KHA 4,087,000,000 1,033,492,173 - - - - 800,000,000 886,400,000 (0) 0 1,766,100,000 1,819,545,099 37,513,085 5,263,239 61,896,591 67,159,829 400,000,000 436,180,702 8,125,184 1,973,614 13,406,553 15,380,167 1,628,424,000 1,783,298,221 228,022,426 52,764,762 376,237,002 429,001,764 166 PHAM THI BICH THAO 167 NGUYEN DANG TRUONG VU 168 HUYNH TAN BAO 169 NGUYEN THI HUNG STT TÊN KHÁCH HÀNG EL EL+UL 170 LUU THI MAN 370,000,000 380,633,234 7,022,243 1,705,709 11,586,701 13,292,410 171 NGUYEN MY HAN 980,000,000 1,038,349,287 19,161,063 4,654,240 31,615,753 36,269,993 172 DANG THANH SON 950,221,907 802,558,721 136,815,029 43,359,072 225,744,797 269,103,870 173 DINH HOANG DONG 1,500,000,000 1,571,565,292 165,207,929 33,104,085 272,593,083 305,697,168 174 LU VAN NAM 1,500,000,000 1,601,755,256 180,805,988 37,827,885 298,329,881 336,157,766 175 NGUYEN VAN KHAI 1,400,000,000 1,504,730,865 31,403,483 4,405,852 51,815,747 56,221,598 176 DUONG VAN THUOT 600,000,000 638,965,413 7,378,645 5,927,503 12,174,765 18,102,268 1,700,000,000 1,818,275,301 20,941,579 16,823,045 34,553,606 51,376,651 202,500,000 231,209,364 25,812,668 5,393,679 42,590,902 47,984,580 5,712,026,245,892 6,121,345,842,772 362,009,180,397 81,270,607,033 597,315,147,655 678,585,754,688 177 NGUYEN VAN COP 178 NGUYEN DINH DUNG ...B GIÁO D O I H C KINH T TP.HCM - - NGUY N ANH TÚ NG HÓA R I RO DANH M C CHO VAY B NG MƠ HÌNH CREDITMETRICS T I NGÂN HÀNG I C PH N VI T Á Chuyên ngành : Tài ngân hàng Mã s :... : Probability of Default UL : Unexpected Loss VaR : Value at Risk ii HÌNH 1.1 HÌNH 1.2 HÌNH 1.3 HÌNH 1.4 P iii Xác su 1 - t 2 ài chính, bao tốn cho vay d 3 ình CreditMetrics ro 4 MƠ HÌNH CREDITMETRICS. .. j,m Xj,m,t j,t j,t t t 1.2 Mơ hình CreditMetrics 1.2.1 of America; Union Bank of Switzerland; Deutsche Morgan Grenfell; 16 Hình 1.2 cho vay Mơ hình g quan iá tín vay CreditMetricsTM Technical Document