Quản trị rủi ro thị trường tại Ngân hàng TMCP Công thương Việt nam

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Header Page of 145 B GIO DC V O TO NGN HNG NH NC VIT NAM HC VIN NGN HNG HONG XUN PHONG QUN TRI RI RO THI TRNG TI NGN HNG THNG MI Cễ PHN CễNG THNG VIT NAM LUN AN TIấN SI KINH Tấ H NI - 2014 Footer Page of 145 Header Page of 145 B GIO DC V O TO NGN HNG NH NC VIT NAM HC VIN NGN HNG HONG XUN PHONG QUN TRI RI RO THI TRNG TI NGN HNG THNG MI Cễ PHN CễNG THNG VIT NAM CHUYấN NGNH : TI CHNH NGN HNG M S: 62.34.02.01 LUN AN TIấN SI KINH Tấ HNG DN KHOA HC: PGS.TS Tễ NGC HNG TS HONG VIT TRUNG H NI - 2014 Footer Page of 145 Header Page of 145 i LI CAM OAN Tụi xin cam oan õy l cụng trinh nghiờn cu ca riờng tụi Cac thụng tin v kt qu nghiờn cu luõn an l tụi t tim hiu, ỳc kt v phõn tớch mt cach trung thc, phự hp vi tinh hinh thc t Nghiờn cu sinh Hoang Xuõn Phong Footer Page of 145 Header Page of 145 ii MC LC DANH MC CAC THUT NG VIấT TT v DANH MC BIấU ễ vii DANH MC HINH VE viii DANH MC CAC BNG ix M U 1 Tớnh cp thit ca ti Tinh hinh nghiờn cu Mc tiờu nghiờn cu ca luõn an i tng v phm vi nghiờn cu Phng phap nghiờn cu 6 Cac ong gop ca luõn an Kt cu luõn an CHNG 1: NHNG VN CHUNG V QUN TRI RI RO THI TRNG CA NGN HNG THNG MI 1.1 RUI RO THI TRNG TRONG HOT NG CUA NGN HNG THNG MI 1.1.1 Khai nim ri ro th trng 1.1.2 Cac loi ri ro th trng .9 1.1.3 nh lng ri ro th trng 15 1.2 QUAN TRI RUI RO THI TRNG TI NGN HNG THNG MI 29 1.2.1 Khai nim 29 1.2.2 Mc tiờu ca qun tr ri ro th trng 31 1.2.3 Ni dung qun tr ri ro th trng 36 1.2.4 Cac nhõn t nh hng n qun tr ri ro th trng ti ngõn hng thng mi 58 1.3 KINH NGHIM QUAN TRI RUI RO THI TRNG TI MT S NGN HNG NC NGOI V BI HC I VI NHTM VIT NAM 61 1.3.1 Kinh nghim qun tr ri ro th trng ti mt s Ngõn hng nc ngoi 61 1.3.2 Bi hc kinh nghim cho cac NHTM Vit Nam v qun tr ri ro th trng 66 Kt lun chng 67 Footer Page of 145 Header Page of 145 iii CHNG 2: THC TRNG CễNG TAC QUAN TRI RI RO THI TRNG TI NGN HANG THNG MI Cễ PHN CễNG THNG VIT NAM 68 2.1 TễNG QUAN Vấ NGN HNG THNG MI Cễ PHN CễNG THNG VIT NAM 68 2.1.1 S i v phat trin ca Ngõn hng thng mi cụ phn Cụng thng Vit Nam 68 2.1.2 Tụ chc b may 69 2.1.3 Nng lc hot ng 71 2.2 THC TRNG QUAN TRI RUI RO THI TRNG TI NGN HNG THNG MI Cễ PHN CễNG THNG VIT NAM 74 2.2.1 Thc trng qun tr ri ro lói sut 75 2.2.2 Thc trng qun tr ri ro hi oai 94 2.3 NH GI CHUNG Vấ QUAN TRI RUI RO THI TRNG CUA NGN HNG THNG MI Cễ PHN CễNG THNG VIT NAM 117 2.3.1 Nhng kt qu ó t c 117 2.3.2 Cac hn ch vic qun tr ri ro th trng v nguyờn nhõn 119 Kt lun chng 123 CHNG 3: GIAI PHAP NNG CAO NNG LC QUAN TRI RI RO THI TRNG TI NGN HANG THNG MI Cễ PHN CễNG THNG VIT NAM 125 3.1 INH HNG PHT TRIấN NGN HNG THNG MI Cễ PHN CễNG THNG VIT NAM 125 3.1.1 nh hng chung 125 3.1.2 nh hng cho vic qun tr ri ro th trng ca Ngõn hng thng mi cụ phn cụng thng Vit Nam 128 3.2 CC GIAI PHP NNG CAO NNG LC QUAN TRI RUI RO THI TRNG TI NGN HNG THNG MI Cễ PHN CễNG THNG VIT NAM 130 3.2.1 Xõy dng mt khung qun tr ri ro th trng theo chuõn mc quc t 130 3.2.2 Xõy dng, hon thin chớnh sach qun tr ri ro th trng 133 3.2.3 Hon thin mụ hinh, quy trinh, phng phap v cụng c qun tr ri ro th trng 135 3.2.4 Nõng cao trang thit b k thuõt hin i, thit lõp cac phn mm qun lý ri ro 157 Footer Page of 145 Header Page of 145 iv 3.2.5 Tng cng kh nng d bao bin ng ca th trng 160 3.2.6 o to i ng can b qun tr ri ro th trng co nng lc v trinh chuyờn mụn 163 3.3 MT S KIấN NGHI 166 3.3.1 Kin ngh vi Chớnh ph 166 3.3.2 Kin ngh vi Ngõn hng Nh nc 166 3.3.3 Kin ngh vi Hip hi Ngõn hng 172 Kt lun chng 173 KấT LUN CHUNG 174 DANH MC CAC CễNG TRINH NGHIấN CU LIấN QUAN C CễNG B CA TAC GI DANH MC TI LIU THAM KHO PH LC PH LC Footer Page of 145 Header Page of 145 v DANH MC CAC THUT NG VIấT TT ALCO Uy ban qun lý ti sn N v Co ALM Qun lý ti sn n co BH Ban iu hnh BH&PTKD Ban hng v phat trin kinh doanh BL Ban Lónh o BO (Back office) B phõn tac nghip BTKTS Bng tụng kt ti sn CSTT Chớnh sach tin t CTC nh ch ti chớnh ECB Ngõn hng trung ng Chõu u FED Cc d tr liờn bang Hoa k FO (Front office) B phõn kinh doanh FRAs Hp ng lói sut k hn FTP nh gia iu chuyn ni b GAP/MISMATCH Khe h nhy cm lói sut HKD Hot ng kinh doanh HQT Hi ng Qun tr IRS Hp ng hoan ụi lói sut KDNT Kinh doanh ngoi t KDV Kinh doanh LNH Liờn ngõn hng MBNT Mua ban ngoi t MHMP Mụ hinh mụ phng MO (Middle office) B phõn qun tr ri ro NHNNVN Ngõn hng Nh nc Vit nam NHTM Ngõn hng Thng mi NHTMCP Ngõn hng Thng mi Cụ phn NHTMQD Ngõn hng Thng mi Quc doanh NHTMVN Ngõn hng Thng mi Vit nam QLCV Qun lý cõn i Footer Page of 145 Header Page of 145 vi QLRRLS Qun lý ri ro lói sut QTRR Qun tr ri ro QTRRTT RRLS Qun tr ri ro th trng Ri ro lói sut RRTG Ri ro ty gia RRTT Ri ro th trng TCKT Tụ chc Kinh t TCTD Tụ chc Tớn dng TQTVKD Thanh quyt toan kinh doanh TSC Ti sn Co - Ti sn TSN Ti sn N - Ngun TTQT Thanh toan quc t Vietinbank NHTMCP cụng thng Vit Nam WTO Tụ chc thng mi th gii Footer Page of 145 Header Page of 145 vii DANH MC BIấU ễ Biu 1.1: Khe h nhy cm lói sut 18 Biu 1.2: Biu lch v biu lch ca nhy cm 21 Biu 1.3: Gia tr chu ri ro Value at Risk 26 Biu 2.1: Mụ hỡnh hot ng mc tiờu giai on 2013 - 2015 70 Biu 2.2: Cac lói sut c bn 2008-6/2013 .75 Biu 2.3: ng cong li sut VND 78 Biu 2.4: Diờn bin lói sut huy ng v cho vay nm 2011, nm 2012 80 Biu 2.5: Ty l khe h nhy cm ly k 92 Biu 2.6: Ty gia USD NHTM v th trng t 2009-6/2013 .95 Biu 2.7: Bin ng ty gia USD/VN t 2008 n 6/2013 98 Biu 2.8: Doanh s mua ban ngoi t ca Vietinbank 115 Biu 3.1: Vn ch s hu 127 Biu 3.2: Tụng ti sn n 128 Biu 3.3: Tụng ti sn co 128 Footer Page of 145 Header Page 10 of 145 viii DANH MC HINH VE Hinh 1.1: Mụ hinh qun tr ri ro 36 Hinh 1.2: C cu tụ chc b phõn qun tr ri ro 36 Hinh 1.3: Mụ hinh tụ chc QTRR ca KDB 61 Hinh 1.4: H thng tớnh VaR ca KDB 62 Hinh 1.5: Qun lý hn mc ca KDB 63 Hinh 2.1: Mô hình quản trị rủi ro lãi suất Vietinbank 82 Hinh 2.2: Mụ hinh qun tr ri ro hi oai ca Vietinbank 99 Hinh 3.1: Cac cu phn qun tr ri ro ch yu 129 Hinh 3.2: Khung qun tr ri ro ca cac Ngõn hng tiờn tin trờn th gii 132 Hinh 3.3 Cu trỳc h thng thụng tin ca KDB 159 Footer Page 10 of 145 Header Page 185 of 145 174 KấT LUN CHUNG Tri qua nhiu nm lin tng trng mnh me vi nhng ci cach ton din v tụ chc, qun lý, cụng ngh, nhõn lc, Vietinbank ó t c nhiu tin b vt bõc cụng tac kinh doanh Tuy nhiờn, vi nhng bt li v kinh t v mụ v s phat trin hng lot cac sn phõm mi gn õy, Vietinbank ó i mt v chu khụng ớt tụn tht ri ro th trng gõy nờn Chớnh vi võy, luõn an tin s vi tờn: Quan tr ri ro th trng ti Ngõn hang thng mi C phn Cụng thng Vit Nam c thc hin l co ý ngha lý luõn v thc tiờn cao Luõn an ó gii thiu c h thng lý luõn v qun tr ri ro th trng, gii thiu mt cach tụng quat v cac tiờu chuõn quc t v phng phap thc hnh QTRRTT tiờn tin trờn th gii ng thi nghiờn cu cac gii phap qun tr ri ro th trng ti mt s ngõn hng tiờn tin trờn th gii trờn c s o lm ro nhng ni dung quan trng m mt ngõn hng cn quan tõm nõng cao nng lc qun t ri ro th trng Bờn cnh o, luõn an lm ro thc trng QTRRTT ti NHTMCPCT Vit Nam, anh gia mt cach khach quan thc trng cụng tac QTRRTT ti ngõn hng ny, xut nhng gii phap thc hin qun tr ri ro th trng cng nh mt s kin ngh v yờu cu cn thit cho cụng tac QTRRTT i vi cac NHTM Vit Nam noi chung v ti Ngõn hng TMCP cụng thng Vit Nam núi riờng Hy vng rng nhng thụng tin cõp nhõt luõn an se gop mt phn nh vic gi m cho cac nh Qun tr ngõn hng ca Vietinbank vic nghiờn cu, nh hng v trin khai cụng tac QTRRTT cho phự hp vi yờu cu thc t, ng thi hng ti ap ng c cac chuõn mc, thụng l quc t, tng nng lc cnh tranh v nõng cao v th ca Vietinbank trờn ni a v trng quc t Tuy nhiờn, QTRRTT l mt rt rng c v mt lý luõn cng nh thc tiờn Mi mt phng phap QTRRTT ca Ngõn hng cng ch tn ti mt giai on lch s nht nh Bi le chớnh bn thõn RRTT cng khụng ngng thay ụi v Footer Page 185 of 145 Header Page 186 of 145 175 xut hin di nhng hinh thc mi kho lng trc Ri ro th trng luụn tn ti v phat trin cựng vi qua trinh bin ụi ca tinh hinh kinh t, xó hi, ca ngnh ngnh ngõn hng nc v trờn th gii Trong thi gian ti, th trng tin t se tip tc diờn bin phc tp, lói sut, ty gia cũn bin ng khụn lng Vic QTRRTT se cũn nhiu kho khn Do o, nhng xut, gi m khoa hc ca luõn an ny cn tip tc c bụ sung Tac gi Luõn an rt mong nhõn c nhiu ý kin nhõn xet, ong gop ca cac thy giao v Hi ng khoa hc tac gi co iu kin hon thin hn na nhng hiu bit, kin thc v nghiờn cu ca bn thõn v ny./ Footer Page 186 of 145 Header Page 187 of 145 DANH MC CAC CễNG TRINH NGHIấN CU LIấN QUAN C CễNG B CA TAC GI Hong Xuõn Phong, (2008), Ngõn hng cụng thng Vit Nam gi vng v nõng cao li th cnh tranh lnh vc tớn dng, Tp Ngõn hng, s thỏng 3/2008, trang 58-60 Hong Xuõn Phong, (2013), Nõng cao nng lc qun tr ri ro lói sut ti h thng Ngõn hng thng mi Vit Nam, Tp Ngõn hng, s thỏng 1/2013, trang 27-30 Hong Xuõn Phong, (2013), Nõng cao nng lc qun tr ri ro kinh doanh ngoi tti cac ngõn hng thng mi, Tp Khoa hc o to Ngõn hng, s 131 thỏng 04/2013, trang 41-48 Hong Xuõn Phong, (2014), Kinh nghim qun tr ri ro th trng ca Ngõn hng nc ngoi, Tp Khoa hc o to Ngõn hng, s 143 thỏng 04/2014, trang 71-77 Footer Page 187 of 145 Header Page 188 of 145 DANH MC TI LIU THAM KHO A Ting Vit Joel Bessis (2012), Qun tr ri ro Ngõn hng, NXB Lao ng Xó hi, H Chớ Minh Phan Th Thu H (2009), Qun tr ngõn hng thng mi, Nh xut bn Giao thụng võn ti, H Ni Nguyờn ng Dn (2009), Tin t ngõn hng, NXB i hc quc gia TP H Chớ Minh Th Kim Ho (2013) - Chng trinh bi ging Qun lý ri ro kinh doanh ngõn hng Frederic S Mishkin (1995), Tin t, ngõn hng v th trng ti chớnh, NXB Khoa hc v k thuõt, H Ni Peter S Rose (2004), Qun tr ngõn hng thng mi, NXB ti chớnh, Trng i hc Kinh t Quc dõn, H Ni Nguyờn Vn Tin (2010), Qun tr ri ro kinh doanh ngõn hng, NXB Thng kờ, H Ni Nguyờn Vn Tin (2010),Th trng ngoi hụi cac nghip v phat sinh, NXB Thng kờ, H Ni Lờ Vn T (2004), Ngõn hng Thng mi, NXB Thng kờ, H Ni 10 TS Nguyờn Ninh Kiu (2005), Th trng ngoi hi v cac gii phap phũng nga ri ro, NXB Thng kờ, H Ni 11 Thi Kim Ho (2005), Gii phap qun lý ri ro lói sut ti Ngõn hng nụng nghip v Phat trin nụng thụn Vit Nam, Luõn an tin s kinh t- Hc Viờn Ngõn hng 12 Hong Mnh H(2012), Gii phap qun lý ri ro lói sut ti Ngõn hng u t v phat trin Vit Nam, Luõn thc s kinh t Hc vin Ngõn hng 13 Nguyờn Hng Lan (2011), Qun tr ri ro kinh doanh ngoi hi ti Ngõn hng thng mi cụ phõn Quõn i Thc trng v gii phap, Luõn thc s kinh t- Hc Vin Ngõn hng Footer Page 188 of 145 Header Page 189 of 145 14 D Th Minh (2012), Qun lý ri ro ty gia hot ng kinh doanh ngoi hi ti Ngõn hng thng mi cụ phõn Quõn i Thc trng v gii phap, Luõn thc s kinh t- Hc Vin Ngõn hng 15 Nguyờn Th Chin (2002), Nhng gii phap m rng cac nghip v kinh doanh ngoi hi cac Ngõn hng thng mi Vit Nam, Luõn an tin s kinh t, Hc vin Ngõn hng 16 Chớnh ph nc Cng hũa xó hi ch ngha Vit Nam (2006), Quyt nh s 112/2006/Q-TTG ngy 24/05/2006 v vic phờ duyt an phat trin ngnh ngõn hng n nm 2010 v tm nhin nm 2020 17 Uy ban thng v quc hi (2005), Phap lnh ngoi hi, ban hnh theo quyt nh s 28/2005/PL_UBTVQH11 ngy 13/11/2005, H Ni 18 Nguyờn Khc Minh (2002), Cac phng phap phõn tớch v d bao kinh t, Nh Xut bn khoa hc k thuõt, Trang 331-348 19 NHCTVN: an xõy dng Tõp on Ti chớnh Ngõn hng Cụng thng Vit Nam ( 6/2008 ) 20 NHTMCPCTVN: iu l Ngõn hng Thng mi Cụ phn Cụng thng Vit Nam ( 2009 ) 21 Chng trinh bi ging o to Risk management ca ING cho Vietinbank (2006) 22 Chng trinh bi ging o to Risk management ca KDB cho Vietinbank (2009) 23 Vietinbank: Cao bch Ngõn hng thng mi cụ phn Cụng thng Vit Nam ( 8/2010 ) 24 Cac bao cao hot ng kinh doanh ca Vietinbank qua cac nm: 2007, 2008, 2009, 2010, 2011,2012 ) B Ting Anh 25 Moorad Choudhry (2006), An introduction to value-at-risk, John wiley& sons, ltd 26 R.S Raghavan Managing Market risk- 2006 27 Adam B Gilmuor (2002), Option Basics An Overview, Asia Pacific Option Sales Head, Citigroup Footer Page 189 of 145 Header Page 190 of 145 28 Basel Committee on Banking Supervision (2001), Principles for the Management and Supervision of Interest Rate Risk, Bank for International Settlements 29 BTC (2002), Assets and Liabilities Management Workshop 30 Comptrollers Handbook (1998), Interest Rate Risk, Comptroller of the Currency Administrator of National Banks 31 David Begg, Staley Fischer, Rudiger Dornbusc (1992), Economics, McGraw Hill Book Company, London 32 DC Gardner Group Plc (1989), Identifying and Managing Rish, DC Gardner Workbook 33 Federic S Minhkin (2002), Money, Banking and Financial Market 34 Guy MERTENS (2005), Assets and Liabilities Management, ATTF, Luxembourg 35 Heinie van Greuning, Sonja Brajovic Bratanovic (2003),Analyzing and Managing Banking Risk 36 Higgins Robert C, 1995, Analysis for Financial Management, Fourth Edtion, Mc Graw Hill 37 Guideline on Market Risk Management of Financial Institutions Finacial Services Regulatory Commision ( May 2011) 38 Glantz Morton (2003), Managing Bank Risk, Amsterdam Boston Academic Press 39 Marrision Christopher lan (2002), The fundamentals of Risk Measurment, Newyork, Mc Grand-Hill 40 Moix, Pierre Yves (2001), The measurement of Maket risk, Berlin Newyork Springer 41 Chance, Don.M (2008), An Introduction to Derivatives of Risk management, Mason South-Wester, Cengage Learning 42 Guop, Benton.E (2007), Commercial Banking: The Management of Risk, Milton, Qld: John Wiley and Sons, Australia 43 Jorion Philipe (2009), Financial Risk Management Handbook, Hoboken, N.Y John Wiley and Sons Footer Page 190 of 145 Header Page 191 of 145 44 Allen, Steven (2003), Financial Risk management: A Practitioners Guide to Managing Market and Credit Risk , New Jersey, John Wiley and Sons 45 Riehl, Heinz (1999), Managing Risk in Foreign Exchange , Money and Derivatives, Newyork, Mc Grand-Hill 46 Levi, Maurice D (2005) International Finance, 4th Edition New York, NY 47 Moffett, Michael H.; Stonehill, Arthur I.; Eiteman, David K (2009) Fundamentals of Multinational Finance, 3rd Edition Boston, MA: Addison-Wesley 48 Homaifar, Ghassem A (2004) Managing Global Financial and Foreign Exchange Risk Hoboken, NJ: John Wiley & Sons 49 Moosa, Imad A (2003) International Financial Operations: Arbitrage, Hedging, Speculation, Financing and Investment New York 50 Wang, Peijie (2005) The Economics of Foreign Exchange and Global Finance Berlin, Germany 51 Eun, Cheol S.; Resnick, Bruce G (2011) International Financial Management, 6th Edition New York, NY: McGraw-Hill/Irwin 52 Dunn, Robert M., Jr.; Mutti, John H (2004) International Economics, 6th Edition New York, NY: Routledge 53 Pilbeam, Keith (2006) International Finance, 3rd Edition New York, NY: Palgrave Macmillan 54 Reszat, Beate (2003) The Japanese Foreign Exchange Market New Fetter Lane, London: Routledge 55 Pilbeam, K (2006), international Finance, 3rd edition, Palgrave Publishing 56 Federal Reserve Bank of NewYork, The Foreign Exchange and Interest rate derivatives Markets: Turnover in United States April 2010, USA 57 MC Graw-Hill (1998), Foreign currency Trading, Russell R Wasendorf 58 http://www Sbv.com.vn 59 http://www Vietinbank.vn 60 http://www Bis.org 61 http://www hvnh.edu.vn 62 http://www stockbiz.vn 63 http://www cafef.vn 64 http://www gso.org.vn Footer Page 191 of 145 Header Page 192 of 145 PH LC D bỏo T giỏ B1: Kim inh tớnh dng ca chui ty giỏ (ly mu t 03/03/2011 ti 23/12/2011) Kim tra tớnh dng ca chui ty gia bng kim nh unit root c kt qu Null Hypothesis: RATEF has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* 0.755825 -3.460739 -2.874804 -2.573917 0.9931 *MacKinnon (1996) one-sided p-values T-statistic co tr tuyt i nh hn gia tr tra bng (test critical values) tt c cac mc ý ngha 1%, 5%, 10% Ty gia l mt chui khụng dng B2.1: Ly sai phõn bc ca ty giỏ Kim tra tớnh dng ca sai phõn bõc ca ty gia: Khụng co tớnh dng dng sai phõn gn nh ma trõn n (near single matrix) B 2.2: Ly sai phõn bc ca ty giỏ Kim nh tớnh dng ca sai phõn bõc ca ty gia: Null Hypothesis: D(RATE,2) has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -9.517355 -3.470179 -2.878937 -2.576124 0.0000 Nhõn thy T-statistic co tr tuyt i ln hn T tra bng ti cac mc ý ngha 1, 5, 10% Sai phõn bõc ca ty gia l mt chui dng (d = 2) Footer Page 192 of 145 Header Page 193 of 145 Phõn tớch gin t tng quan ca sai phõn bc Phõn tớch biu t tng quan, ly cac gia tr p PAC nm ngoi ng din v cac gia tr q AC nm ngoi ng din Phõn tớch cac bc la chn mụ hinh ta nhõn thy mụ hinh ARIMA vi p=1, 2, 3,4, 6; q=1 co th l mụ hinh phự hp B4: c lng mụ hinh ARIMA {(1,2,3,4,6) (2) (1)} Dependent Variable: D(D(RATE)) Method: Least Squares Date: 11/24/11 Time: 08:34 Sample (adjusted): 3/15/2011 11/22/2011 Included observations: 181 after adjustments Convergence achieved after 18 iterations MA Backcast: 3/14/2011 Variable Coefficient Std Error t-Statistic Prob C AR(1) AR(2) AR(3) AR(4) AR(5) AR(6) MA(1) 0.186756 -0.477886 -0.239668 -0.165725 -0.155318 -0.150860 -0.117756 -0.988615 0.094041 0.076293 0.084283 0.085584 0.085656 0.084418 0.075997 0.012470 1.985905 -6.263851 -2.843612 -1.936406 -1.813265 -1.787060 -1.549472 -79.27638 0.0486 0.0000 0.0050 0.0544 0.0715 0.0757 0.1231 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Inverted AR Roots Inverted MA Roots Footer Page 193 of 145 0.704463 0.692505 104.5728 1891835 -1094.366 58.91066 0.000000 52+.51i -.62+.30i 99 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 52-.51i -.62-.30i -.15-.68i -0.039463 188.5816 12.18084 12.32221 12.23815 1.953971 -.15+.68i Header Page 194 of 145 Nhõn thy cac gia tr ar(2) ar(3) ar(4) ar(6) co h s Probility > 0,05 nờn khụng khac mt cach co ý ngha thng kờ ti mc ý ngha 5% Loi b cỏc bin ny mụ hỡnh S dng mụ hỡnh d(d(rate) ph thuc vo ar (1,2) ma(1) Kt qu hi quy theo mụ hỡnh ARIMA {(1) (1)}: Dependent Variable: D(D(RATE)) Method: Least Squares Date: 11/24/11 Time: 08:32 Sample (adjusted): 3/08/2011 11/22/2011 Included observations: 186 after adjustments Convergence achieved after 19 iterations MA Backcast: 3/07/2011 Variable Coefficient Std Error t-Statistic Prob C AR(1) MA(1) 0.162802 -0.372351 -0.992716 0.116477 0.068496 0.008456 1.397720 -5.436088 -117.4026 0.1639 0.0000 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Inverted AR Roots Inverted MA Roots 0.685378 0.681940 105.0543 2019662 -1128.143 199.3253 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.768049 186.2769 12.16283 12.21486 12.18391 2.116142 -.37 99 Mụ hinh cho thy cac h s ar v ma u co ý ngha thng kờ, adjusted R-squared 0,68 cho bit bin gii thớch gii thớch c 68% bin ph thuc Footer Page 194 of 145 Header Page 195 of 145 B5: D bỏo bng mụ hinh ARIMA {(1) (2) (1)} M rng chui d liu ht 30/01/2011 ta c kt qu d bao ty gia nh sau: Ngy 1/2/2012 1/3/2012 1/4/2012 1/5/2012 1/6/2012 1/9/2012 1/10/2012 1/11/2012 1/12/2012 1/13/2012 1/16/2012 1/17/2012 1/18/2012 1/19/2012 1/20/2012 1/23/2012 1/24/2012 1/25/2012 1/26/2012 1/27/2012 1/30/2012 Trung bỡnh 21,320.90 21,333.92 21,347.09 21,360.37 21,373.79 21,387.32 21,400.99 21,414.78 21,428.70 21,442.75 21,456.92 21,471.22 21,485.65 21,500.20 21,514.88 21,529.69 21,544.62 21,559.68 21,574.87 21,590.18 21,605.62 Khoang bin thiờn 194.75 209.36 223.11 236.17 248.66 260.65 272.21 283.40 294.25 304.80 315.08 325.12 334.94 344.56 354.00 363.26 372.37 381.33 390.16 398.86 407.44 Giỏ tr ti a 21,710.41 21,752.64 21,793.30 21,832.72 21,871.11 21,908.63 21,945.42 21,981.58 22,017.20 22,052.35 22,087.09 22,121.47 22,155.54 22,189.33 22,222.88 22,256.22 22,289.36 22,322.35 22,355.19 22,387.90 22,420.50 Giỏ tr ti thiờu 20,931.40 20,915.21 20,900.87 20,888.02 20,876.46 20,866.02 20,856.57 20,847.99 20,840.21 20,833.15 20,826.76 20,820.98 20,815.76 20,811.07 20,806.88 20,803.16 20,799.88 20,797.01 20,794.55 20,792.46 20,790.74 th kt qua d bỏo: 22,500 22,250 22,000 21,750 21,500 21,250 21,000 12/26 12/27 12/28 12/29 12/30 1/02 1/03 1/04 1/05 1/06 1/09 1/10 1/11 1/12 1/13 1/16 1/17 1/18 1/19 1/20 1/23 1/24 1/25 1/26 1/27 1/30 20,750 RATEF Footer Page 195 of 145 S.E Header Page 196 of 145 PH LC Phng phỏp tiờu chun hoỏ o lng ri ro lói sut chung theo Basel II Theo phng phỏp ỏo hn, cac trng thai tha hoc thiu i vi cac chng khoan n v cac hinh thc co th gõy RRLS khac bao gm cac cụng c phai sinh, c sp xp vo mt thang gm 13 thi hn (hoc 15 thi hn trng hp cac cụng c co mc coupon thp) Cac cụng c co LSC cn c phõn bụ da trờn thi hn cũn li cho ti ngy ao hn cũn cac cụng c co LSB c phõn loi theo thi hn cũn li ti ngy nh gia tip theo Cac trng thai trai du co cựng s lng thc t hoc theo c tớnh ca mt loi giy t (ch khụng phi ca cac giy t khac ca cựng mt ngi phat hnh) co th c bự tr trờn c s thi hn v lói sut cng nh cac giao dch FRAs, k hn, tng lai, hoan ụi c cõn i cht che v ap ng c cac iu kin c quy nh di õy Bc u tiờn vic tớnh toan l xac nh quyn s cho cac trng thai cựng mt khong thi hn bng cac h s c a phn anh s nhy cm v gia c ca cac trng thai ny i vi nhng thay ụi d tớnh ca lói sut Quyn s cho mi khong thi hn c quy nh Bng PL1.1 di õy Cac trai phiu khụng co coupon v cac trai phiu co coupon thp (c nh ngha l cac trai phiu co coupon di 3%) c c phõn theo nhom thi hn quy nh ti ct th ca bng Footer Page 196 of 145 Header Page 197 of 145 Bng PL1.1 : Phng phỏp ỏo hn: khong thi hn v quyn s Coupon t 3% tr lờn T thang tr xung T ti thang T ti thang T ti 12 thang T ti nm T ti nm T ti nm T ti nm T ti nm T ti 10 nm T 10 n 15 nm T 15 n 20 nm Trờn 20 nm Coupon di 3% T thang tr xung T thang ti thang T thang ti thang T ti 12 thang T ti 1.9 nm T 1.9 ti 2.8 nm T 2.8 ti 3.6 nm T 3.6 ti 4.3 nm T 4.3 ti 5.7 nm T 5.7 ti 7.3 nm T 7.3 ti 9.3 nm T 9.3 ti 10.6 nm T 10.6 ti 12 nm T 12 ti 20 nm Trờn 20 nm Quyn s ri ro 0.00% 0.2% 0.40% 0.70% 1.25% 1.75% 2.25% 2.75% 3.25% 3.75% 4.50% 5.25% 6.00% 8.00% 12.50% Thay ụi LN d kin 1.00 1.00 1.00 1.00 0.90 0.80 0.75 0.75 0.70 0.65 0.60 0.60 0.60 0.60 0.60 Bc tip theo l vic bự tr cac trng thai tha v thiu ó c nhõn vi quyn s mt khong thi hn tớnh mt trng thai tha hoc thiu nht cho mi khong thi hn Tuy nhiờn, mi khong co cac cụng c khac nhau, vi thi hn khac nờn yờu cu v l 10% i vi mc thp hn trng thai d tha v d thiu phn anh ri ro c bn v ri ro khụng cõn i Vớ d nu tụng trng thai tha mt khong thi hn sau c nhõn vi quyn s l 100 triu ụ la v tụng trng thai thiu l 90 triu ụ la thi "phn tớnh thờm bự tr tng nhom" cho khong thi hn o se l 10% ca 90 triu ụ la (tc l triu ụ la) Kt qu ca cac tớnh toan trờn nhm a loi trng thai c tớnh theo quyn s l trng thai tha hoc thiu rũng cho mi khong thi hn (10 triu ụ la vớ d trờn) v mt phn tớnh thờm bự tr tng nhom khụng du Ngoi ra, cac ngõn hng cng c thc hin vic bự tr hai vũng, vũng mt l gia cac trng thai rũng ca mt khong (t ti nm, t nm ti nm v trờn nm) (Khong thi hn tng ng cho cac trai phiu co coupon di 3% l t ti nm, t ti 3.6 nm v trờn 3.6 nm) v sau o l gia cac trng thai ca khong trờn Vic bự tr cn m bo phn tớnh thờm bự tr gia cac nhom bng mt ty l phn trm ca cac trng thai c cõn i nh c quy nh Bng PL1.1.2 di õy Footer Page 197 of 145 Header Page 198 of 145 Bng PL1.2 : Ty l phn tớnh thờm bự tr gia cỏc nhúm Nhúm Khong thi hn Nhúm T ti thang T ti thang T ti thang T ti 12 thang T nm ti nm T nm ti nm T nm ti nm T nm ti nm T nm ti nm T nmti 10nm T10 nmti15nm T 15 nm- 20 nm Trờn 20 nm Nhúm Nhúm Trong cựng nhúm Gia nhúm Gia nhom liờn quan & nhúm 40% 40% 100% 30% 40% 30% Cac trng thai tha hoc thiu c tớnh theo quyn s tng nhom co th c bự tr vi iu kin l co phn tớnh thờm bự tr gia cac nhom bng mt ty l phn trm ca s lng ó c bự tr Phn trng thai rũng ca tng khong co th c bự tr vi nhng phn trai du ca nhom khac vi nhng ty l ap dng cho phn tớnh thờm bự tr gia cac nhom Theo phng phỏp khoang thi gian, cac ngõn hng co iu kin co th s dng cac phng phap chớnh xac hn o lng tt c RRTT chung ca minh bng cach tớnh toan s nhy cm gia c ca tng trng thai riờng l co s ng ý ca cac c quan giam sat Cac ngõn hng cn la chn v s dng mt phng phap trờn c s liờn tc (tr c c quan giam sat quc gia cho phep thay ụi) v phi theo doi cac h thng c s dng C ch cho phng phap ny nh sau: - u tiờn tớnh toan s nhy cm v gia c ca tng cụng c co s bin ng lói sut gia 0.6 v 1% tu thuc vo k hn ca cụng c o (xem Bng PL1.3 di õy); - Chia cac kt qu thu c thnh mt thang vi 15 khong thi hn c quy nh Bng PL1.3; Footer Page 198 of 145 Header Page 199 of 145 - p dng phn tớnh thờm bự tr tng nhom vi ty l 5% phn anh ri ro c s; - Thc hin vic bự tr gia cac nhom v tớnh phn thờm bự tr gia cac nhom theo quy nh Bng PL1.2 Bng PL1.3 : Phng phỏp khong thi gian: cỏc khong thi gian v thay i LN d kin Thay ụi LN d kin Nhúm Di thang T ti thang T ti thang T ti 12 thang 1.00 1.00 1.00 1.00 Nhúm T ti 1.9 nm T 1.9 ti 2.8 nm T 2.8 ti 3.6 nm 0.90 0.80 0.75 Thay ụi LN d kin Nhúm T 3.6 ti 4.3 nm T 4.3 ti 5.7 nm T 5.7 ti 7.3 nm T 7.3 ti 9.3 nm T 9.3 ti 10.6 nm T 10.6 ti 12 nm T 12 ti 20 nm Trờn 20 nm 0.75 0.70 0.65 0.60 0.60 0.60 0.60 0.60 i vi trng hp cac ng tin cũn li, tụng trng thai tng khong thi hn cn c tớnh ty trng ri ro nh c quy nh Bng nu cac trng thai c bao cao s dng phng phap ao hn, hoc s dng mc thay ụi li nhuõn d kin nh Bng PL1.3, nu cac trng thai c tớnh theo phng phap khong thi gian m khụng c bự tr thờm Footer Page 199 of 145 ... 145 Header Page of 145 vi QLRRLS Qun lý ri ro lói sut QTRR Qun tr ri ro QTRRTT RRLS Qun tr ri ro th trng Ri ro lói sut RRTG Ri ro ty gia RRTT Ri ro th trng TCKT Tụ chc Kinh t TCTD Tụ chc Tớn... ri ro th trng; h thng phn mm qun trri ro th trng ca NHTM - Phõn tớch v anh gia thc trng cụng tac qun tr ri ro th trng ti NHTMCP Cụng thng Vit Nam - xut gii phap nõng cao nng lc QTRRTT ti NHTMCP... quan trng b Cỏc loi RRLS: Ri ro lói sut co loi: Ri ro hin nhiờn (Outright Risk), ri ro ng cong li sut (Yield Curve Risk), ri ro c bn (Basic Risk) + Ri ro hin nhiờn: L ri ro gõy ng cong lói sut chuyn
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