Chuyên đề tốt nghiệp- Phùng Thị Nhung

8/7/2019 Chuyn tt nghip- Phng Th Nhung

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LI M U

Tnh cp thit ca ti

Trong nhng nm qua, h thng ngn hng thng mi Vit Nam tng

bc i mi v c coi l mt trong cc t chc ti chnh quan trng nht ca

nn kinh t, ng vai tr v cng quan trng trong s pht trin kinh t ton cu.

Vi hot ng chnh l huy ng vn s dng nhm thu li nhun, trong

hot ng tn dng ( l quan h vay mn gm cho vay v i vay ) l hot ng

sinh li ln nht, song i km vi n l ri ro cao nht cho cc NHTM. i vi

h thng ngn hng Vit Nam, k t khi chuyn sang c ch th trng khngngng ln mnh v thu c nhng thnh tu nht nh, nhng trong qu

trnh cc Ngn hng cng vp phi khng t nhng ri ro trong hot ng

kinh doanh gy tn tht nng n. Nn nh gi ri ro tn dng l khu u tin, l

iu kin tin quyt trc khi cho vay.

tn dng c hiu qu l ht sc kh khn nhng cng ht sc quan trng

i vi cc ngn hng thng mi ni chung v i vi ngn hng TMCP cc

doanh nghip ngoi quc doanh (VPB) chi nhnh Ng Quyn ni ring. Xut

pht t yu cu ny, cng vi nhng kin thc c tip thu trong trng em

chn ti:

ng dng m hnh Logit trong xp hng tn dng ti ngn hng thng

mi c phn cc doanh nghip ngoi quc doanh chi nhnh Ng Quyn

ti ca em gm 3 phn: Ngoi phn m u v phn kt lun, phn ni

dung gm 3 chng:

Chng 1: L thuyt v ri ro trong hot ng ngn hng v qun tr

ri ro tn


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Chng 2: Nghip v xp hng khch hng ti ngn hng VPB chi

nhnh Ng Quyn

Chng 3: ng dng m hnh Logit xp hng khch hng ti ngnhng VPB chi nhnh Ng Quyn

i tng, phm vi nghin cu

i tng nghin cu l cc doanh nghip hin ang c quan h tn dng vi

VPB chi nhnh Ng Quyn

Phm vi nghin cu l s dng cc ch tiu ti chnh ca khch hng phng

phc v khch hng doanh nghip ti ngn hng VPB chi nhnh Ng Quyn,ng dng m hnh Logit trong xp hng bng chng trnh Eviews ca kinh t

lng.

Phng php nghin cu

L sinh vin nm cui ca khoa Ton Kinh T, vi mong mun c nng

cao k nng v nghip v ng thi c c hi p dng kin thc c hc vo

thc t nhm chun b ra trng, bn cnh c ban lnh o ngn hng VPB

chi nhnh Ng Quyn to iu kin, s gip nhit tnh ca cc cn b trong

phng phc v khch hng doanh nghip v s hng dn ca thy gio Trn

Trng Nguyn, em c iu kin tm hiu v tnh hnh hot ng, c cu t

chc ca ngn hng. V vy em ng dng m hnh Logit trong xp hng khch

hng bng chng trnh Eviews ca kinh t lng.

Ngun thng tin d liu

S dng cc ch tiu ti chnh ca 50 doanh nghip trong nm 2008 v cc ti

liu lin quan n vic qun l ri ro, xp hng khch hng ca phng phc v

khch hng doanh nghip ti VPB chi nhnh Ng Quyn.


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Em xin chn thnh cm n Ban gim c chi nhnh cng tp th cn b,

nhn vin ton Ngn hng v c bit cm n cc cn b, chuyn vin Phng

phc v khch hng doanh nghip to iu kin thun li cho em trong qutrnh thc tp, am c th tm hiu su v nghip v Ngn hng.

Em xin v cng bit n thy Trn Trng Nguyn khoa Ton Kinh T tn

tnh ch bo, gip em trong qu trnh la chn ti, xc nh hng nghin

cu sa cha v hon thin chuyn . Em cng xin cm n su sc ti cc thy

c gio trong khoa Ton Kinh T dy d ch bo em trong qu trnh hc tp

ti trng.


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CHNG 1: L THUYT V RI RO TN DNG V QUN TR RI

RO TN DNG VIT NAM

1.1. Ri ro trong hot ng ngn hng v thc trng ri ro tn dng VitNam

1.1.1. Khi nim v ri ro

Ri ro l kh nng xy ra tn tht ngoi d kin. Do trong bt k lnh

vc no ca i sng u c th xy ra ri ro. Cc ngn hng thung mi lun

lun phi i mt vi cc loi ri ro c th l ri ro do khch hng tr n

khng ng hn, cng c th l do ngn hng khng p ng uc nhu cu rttin ca ngi gi tin

Ngn hng thung mi l doanh nghip kinh doanh loi hng ho c

bit hng ho tin t, tim n rt nhiu ri ro v ch yu trong l cc loi

tin gi phi tr khi c yu cu. Ngun tin ca cc ngn hng thung mi ang

c thay i mnh m do s gia tng cnh tranh trong h thng ngn hng, gia

cc ngn hng vi cc t chc ti chnh di nh hng ca cng ngh thng tin

v qu trnh ton cu ho. Cc ngun tin ca c nhn v doanh nghip d dng

di chuyn hn, nhy cm vi li sut hn. iu ny to thun li cho ngn hng

trong vic tm kim ngun tin song li lm tng tnh km n nh ca c h

thng. Ngoi ra ti sn ca cc ngn hng ch yu l cc ng sn ti chnh nh

cc khon cho vay, chng khon vi tnh ri ro th trng v ri ro tn dng rt

cao. Cng ngh ca Ngn hng ngy cng pht trin cho php cc Ngn hng c

th chuyn ngun tin u t ca mnh ti nhng vng xa tr s. iu ny va

lm gim bt ri ro ca Ngn hng do a dng ho khch hng nhng ng thi

cng lm tng tnh ri ro so nhng bin ng ln trn th trng Th gii, khu

vc v do Ngn hng khng kim sot tt c cc khon vayiu ny khng


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ch xy ra th trng Vit Nam m cn din ra trn Th gii. Tm li tt c

cc loi ri ro ca ngn hng u c bn cht chung l kh nng xy ra tn

tht cho ngn hng.1.1.2. Cc loi ri ro trong kinh doanh ngn hng

Da vo nhng tiu thc khc nhau m ri ro ca ngn hng c chia

thnh nhng loi khc nhau. Tuy nhin trong phm vi hot ng ca cc Ngn

hng thung mi c th tng hp thnh mt s loi ri ro c bn sau:

1.1.2.1. Ri ro tn dng

Ri ro tn dng l kh nng gy ra nhng tn tht m Ngn hng phignh chu do khch hng khng tr y c gc v li ca khon vay, hoc l

vic thanh ton n gc v li khng ng hn.

Khi thc hin bt k mt hot ng cho vay c th no th Ngn hng

khng d kin khon cho vay s b tn tht. Tuy nhin nhng khon cho vay

lun hm cha ri ro. Mt s kin cho rng trn quan im qun l ton b

Ngn hng, t l tn tht d kin i vi hot ng tn dng lun c xc nh

trc trong chin lc hot ng chung. V vy, khi tn tht di mc tn tht

d kin, Ngn hng coi l mt thnh cng trong qun l.

1.1.2.2. Ri ro li sut

Khi huy ng vn ca doanh nghip hoc dn c, Ngn hng s phi tr

li. Cn khi ti tr th Ngn hng s thu li. Li sut ca cc khon cho vay, tin

gi v chng khon thng xuyn bin ng, c th lm gia tng li nhun cho

Ngn hng v ngc li cng c th gt ra tn tht cho Ngn hng. Do ri ro

li sut l kh nng thu nhp gim do chnh lch li sut gim, khi li sut th

trng thay i ngoi d kin. Ngoi ra ri ro li sut c th c mt s hnh thc


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khc nhau nh ri ro xc nh li li sut, ri ro ng cong li sut thay i, ri

ro tng quan li sut, v ri ro quyn chn i km.

Mt s nguyn nhn gy ra ri ro li sut c th l:- S khng ph hp v k hn ca ngun v ti sn, v ch li sut c

nh.

- S thay i ca li sut th trng ngoi d kin

Ri ro li sut l mt loi ri ro th trng quan trng, c bit trong iu

kin li sut thay i nh hin nay. V th, vic thc hin cc bin php hn

ch ri ro li sut cng l mt ni dung quan trng trong qun l ri ro ca Ngnhng thung mi.

Mt s gii php phng nga ri ro li sut:

- Cn duy tr cn i cc khon vay nhy cm vi li sut bn ti sn n v

ti sn c.

- Cn s dng mt chnh sch li sut linh hot, c bit vi nhng khon

vay ln, thi hn di cn tm kim ngun vn tng xng, hoc thc hin c ch

li sut th ni.

- S dng cc cng c ti chnh mi hn ch ri ro ngoi bang, nh s

dng cc nghip v k hn v li sut tin vay, thc hin hp ng tng lai do

khng cn xng ti sn c; thc hin cc nghip v hon i li sut, quyn la

chn li sut.

1.1.2.3. Ri ro t gi

Ri ro t gi l kh nng xy ra nhng tn tht m Ngn hng phi gnh

chu khi t gi hi oi thay i vt qu thay i d tnh. Trong c ch th

trng, t gi thng xuyn c s dao ng. S thay i ny cng vi trng thi

hi oi ca Ngn hng hng to ra thu nhp thng d hoc thm ht tm thi.


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Mc d vy cng c nhng thay i t gi ngoi d kin dn n tn tht cho

Ngn hng.

Cc nhn t tc ng n ri ro t gi:- Li sut.

- Cc chnh sch ca chnh ph.

- S u c trn th trng.

- Tnh nhy cm ca th trng.

- Lm pht

- S n nh v chnh tr. Loi tin kinh doanh: mt s ng tin c s bin ng v t gi rt ln

trong khi mt s ng tin li c s bin ng t hn.

Mt s gii php hn ch ri ro t gi:

S dng mt s cng c - cc nghip v kinh doanh ngoi t qun l

ri ro. Vic phng nga ri ro ca giao dch k hn bng mt giao dch Swap,

dng giao dch quyn chn hn ch ri ro.

Vic nm gi mt loi ngoi t no qu nhiu l mo him v khin

Ngn hng phi gnh chu ri ro t gi pht sinh. Do Ngn hng nn thc

hin a dng ho cc loi ngoi t kinh doanh trnh nhng ph thuc qu nhiu

vo la M, phn tn ri ro, thch nghi c vi nhng bin ng bt thng

v t gi.

1.1.2.4. Ri ro thanh ton

Ri ro thanh ton l nhng tc ng do s bin ng ca Ti sn N v

Ti sn C trong qu trnh hot ng ca Ngn hng, lm cho Ngn hng khng

c tin thc hin cc cam kt vi khch hng, ni cch khc Ngn hng

khng c kh nng thanh ton cc giao dch ca khch hng theo cc cam kt.


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Mt s nguyn nhn c th gy ra ri ro thanh khon:

- Do Ngn hng s dng vn u t, cho vay, nhng cha thu hi c

v cha n k hn khch hng tr n, nhng Ngn hng phi thanh ton cckhon n n hn ( do s bin ng ca ti sn N v Ti sn C trong qu trnh

hot ng ).

- Do c nhiu khon vay km cht lng nn Ngn hng khng thu c

n, iu ny lm cho Ngn hng khng tin thc hin cc cam kt vi

khch hng, ni cch khc Ngn hng khng c kh nng thanh ton cc giao

dch ca khch hng theo cc cam kt nh thiu hoc mt kh nng thanh ton.- Do nhng ngi gi tin ng thi c nhu cu rt tin gi Ngn hng

ngay lp tc. Hoc c dng tin ln rt ra t ngt do yu t mt n nh v m,

do thng tin bt li cho Ngn hng.

Vic thiu kh nng thanh ton l thiu tin theo d kin, iu ny i hi

Ngn hng phi b p lng tin thiu vi chi ph cao hn bnh thng dn n

lm gim li nhun. Khi li nhun gim qua s cn bng thu chi lm cho NH b

l trong kinh doanh. Nu s l ny khng c b p v ngy cng tng ln do

vic huy ng vn m bo kh nng thanh ton s dn n vic NH b ph sn.

Ngc li khi Ngn hng tha kh nng thanh ton ( tc l duy tr s tin khng

sinh li hoc l sinh li thp qu ln m bo kh nng thanh ton ) cng s

dn n thu nhp thp, lm gim kh nng sinh li ca Ngn hng.

Trong trng hp mt kh nng thanh ton cng s dn n vic NH b ph

sn v mi khch hng l ch n ca NH s cng rt tin t ( k c nhng

khon n cha n hn ) trong khi nhng khch n ca Ngn hng li khng

thanh ton v cc khon n cha n hn m NH khng th huy ng c tin,

k c vic chi ph cao hn mc bnh thng.


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Khi b ph sn do mt kh nng thanh ton, hu qu khng phi ch xy ra

i vi chnh Ngn hng m n cn thng ko theo s rt tin t ca

khch hng ti cc Ngn hng khc. V vy cc Ngn hng phi tnh ton nhucu kh nng thanh ton, l vic tnh ton nhu cu phi chi v c th phi chi

ca Ngn hng.

1.1.2.5. Ri ro trong dch v bo qun v qun l chng t c gi

Trong iu kin kinh t th trng nh hin nay th vic cc Ngn hng

thung mi a dng ho hot ng ca mnh c coi l nhng thay i tt yu.

Mt trong nhng hot ng l bo qun v qun l chng t c gi, mt cngvic c th c xem l c rt nhiu ri ro. Cc loi ri ro m Ngn hng phi

gnh chu khi kinh doanh chng khon rt cao; nhng ri ro bao gm:

Ri ro th trng: cc giy t c gi do cc Ngn hng thung mi nm

gi lun c kh nng thay i gi tr do cc tc ng t th trng, hay t chnh

bn thn Ngn hng thung mi, hoc Chnh phV th cc Ngn hng thung

mi s b gim gi tr ti sn nu d on khng ng v tnh hnh th trng,

gy ra nhng thit hi nht nh i vi Ngn hng.

Ri ro do ngi pht hnh giy t c gi khng th thanh ton c: mi

giy t c gi m mt Ngn hng thung mi nm gi u tim n ri ro ny

( ngoi tr tri phiu Chnh ph ). Cc Ngn hng thung mi c th chn loi

hnh giy t c gi u t cho ph hp vi mc ch chnh ca mnh, nhng

phi lun nh gi ng mc ri ro ca chng khon . Vic ngi pht hng

khng th thanh ton c lun gy ra nhng thit hi ng k cho cc Ngn

hng; n gin tip gy ra nhng tht hi i vi ton b h thng kinh t quc

gia. Chnh v vy m cc quc gia u t ra nhng quy nh ch cho php


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Ngn hng thung mi c php kinh doanh s chng khon c xp hng

mt mc no .

Ri ro nhn s: Hot ng kinh doanh giy t c gi ca Ngn hngthung mi rt a dng. N i hi s c lp ca cc c nhn v nhn vin

Ngn hng. Chnh v vy m nhng ri ro pht sinh bi chnh cc nhn vin ca

Ngn hng l iu khng th trnh khi, c bit trong hot ng mi gii u t

cho khch hng.

Ri ro do yu cu thanh khon: cc Ngn hng lun phi p ng mt

nhu cu thanh khon nht nh v vic u t vo giy t c gi c th lm gimkh nng thanh khon ca Ngn hng, lm tng ri ro do yu cu thanh khon.

Ri ro khc: Ngn hng cn phi i mt vi mt s ri ro khc trong

qun l v kinh doanh giy t c gi nh ri chy, mt mt, cpV cn nhiu

ri ro ti t cc hot ng khc ca Ngn hng, chng lun lun tc ng qua li

ln nhau.

Ngoi cc ri ro trn Ngn hng cn phi i mt vi nhiu loi ri ro

quan trng khc nh:

- Ri ro chnh tr: khi xy ra nhng thay i v php lut, nhng quy nh

v php lut trong v ngoi nc s c nhng nh hng xu ti thu nhp ca

Ngn hng.

- Ri ro phm ti: Ri ro ny s xy ra khi nhng ngi ch Ngn hng,

nhn vin hay cc khch hng c hnh vi phm php nh thc hin cc hnh

ng la o, bin th, trm cp, hay cc hnh ng bt hp php khc lm cho

Ngn hng b thua l.

Ri ro do cc tnh hung bt ng: l cc tnh hung mang tnh cht

bt ng nh ng t, ni la, ho hon


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1.2. Ri ro tn dng trong hot ng ca ngn hng.

1.2.1. Tn dng.

1.2.1.1. Khi nim tn dngTn dng l l loi ti sn m c th ni l chim t trng ln nht phn ln

cc NHTM, phn nh hot ng c trng ca NH.

Tn dng l s chuyn nhng tm thi mt lng gi tr t ngi s hu

sang ngi s dng v sau mt thi gian nht nh c quay li ngi s hu

vi gi tr ln hn ban u.

1.2.1.2. Phn loi tn dngNgn hng thng cung cp rt nhiu loi tn dng v cho nhiu i tng

khch hng vi nhng mc ch khc nhau. trnh nhm ln v c ci nhn

tng qut v cc loi tn dng th ngi ta phn loi tn dng theo mt s tiu ch

sau:

Theo thi hn:

- Tn dng ngn hn: C thi hn di 1 nm.

- Tn dng trung hn: C thi hn t 1 n 5 nm.

- Tn dng di hn: C thi hn trn 5 nm.

Theo i tng khch hng:

- Tn dng vi khch hng c nhn.

- Tn dng vi khch hng doanh nghip.

Theo mc tn nhim khch hng:

- Tn dng c bo m: L tn dng c ti sn cm c, th chp hay bo lnh

ca ngi th ba.

- Tn dng khng c bo m: L tn dng khng c ti sn cm c, th chp

hay bo lnh ca ngi th ba.


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1.2.2. Ri ro tn dng

1.2.2.1. Khi nim ri ro tn dng

Ri ro tn dng l khon l tim tng vn c c to ra khi cp tn dng chokhch hng.

Bt k mt khon tn dng no c cp ra th u phi tun th theo ba

nguyn tc c bn sau y:

i) Khon tn dng phi c s dng ng mc ch v c hiu qu

ii) Khon tn dng phi c ti sn m bo.

iii) Khon tn dng phi c hon tr c vn v li theo ng k hn cam kt.

Tuy nhin, trong qu trnh hot ng sn xut kinh doanh ca mnh, v mt l

do no (c th l ch quan hoc khch quan) khin cho nguyn tc th 3 b vi

phm, tc l khon tn dng khng c hon tr ng k hn cam kt. Th

iu ny s khin cho NH s phi chu mt s tn tht nh: Thiu vn kh dng,

mt kh nng thanh ton nhng tn tht ny ngi ta gi l ri ro tn dng.

Vy ta c th a ra mt khi nim y v ri ro tn dng nh sau:

Ri ro tn dng l nhng thit hi, mt mt m ngn hng phi gnh chu

do ngi vay vn hay ngi s dng vn ca ngn hng khng tr ng hn,

khng thc hin ng ngha v cam kt trong hp ng tn dng vi bt k l

do no.

1.2.2.2. Phn loi ri ro tn dng

Cn c vo khi nim ri ro tn dng, th ta c th chia ri ro tn dng ra

thnh cc loi sau:

Ri ro khng hon tr n ng hn ( ri ro ng vn ): iu ny c th

gy ra hai nh hng:


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i) nh hng ti k hoch s dng vn ca NH

Chng hn khi NH huy ng ngun vn c k hn 12 thng vi tr gi l 1

triu USD tin hnh hot ng cho vay m bo s dng vn mt cch chiu qu. Nu nh NH cho khch hng A vay thi hn l 9 thng, s dng ti

a ng vn, NH d nh cho khch hng B vay 3 thng tip. Nhng nu sau 9

thng, khch hng A khng hon tr c vn tn dng, lc ny buc NH phi

huy ng trn th trng b p vn cho vay cha c thu hi t khc

hng A. C th l i vay ngn hng khc, hoc i vay ngn hng trung ng,

hoc l phi bn cc giy t c gi, thm ch c th bn ngay khon tn dng .Nhng trong trng hp , NH vn phi chu mt khon tn tht do chi ph vay

vn cao hn, v tn mt khon thi gian, y l cha ni n kh nng khng

th huy ng c. Khi NH s mt i mt c hi u t, tc l khng th cho

khch hng B vay c, do s lm gim hiu qu s dng vn v nh hng

n li nhun v uy tn ca chnh NH.

ii) Gy cn tr v kh khn cho vic chi tr cho ngi gi tin

NH l mt t chc i vay cho vay. Chnh v vy, khi NH huy ng c

mt khon tin th ngay lp tc, NH s dng s tin u t cho vay. Nu

khi n hn tr m ngi vay khng tr n cho NH, NH s khng tin

thanh ton cho khch hng gi tin vo, iu ny s lm gim kh nng thanh

ton v uy tn ca NH.

Ri ro khng c kh nng tr n ( ri ro b mt vn mt phn hoc

ton b): L ri ro s xy ra trong trng hp khi doanh nghip i vay mt

kh nng chi tr. V vy, NH ch cn trng ch vo gi tr thanh l ti sn ca

doanh nghip i mt phn n gc. Mc d vy, vn ny ht sc kh

khn v mt s nguyn nhn sau:


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- Gi tr thanh l b gim rt nhiu so vi thi im thm nh ban u.

- Bn thn ti sn thanh l rt kh bn v khng ai mun mua chng.

- Gi tr ca ti sn thng b chia s vi cc ch n u tin trc nh: npthu cho nh nc hay tr lng cho cn b nhn vin

Ni tm li th cc mn n thuc loi ri ro ny rt phc tp, kh thu hi

v l gnh nng tht s i vi NH.

Phn loi n:

- Theo phng php nh lng: Phn ra lm 5 nhm

Nhm 1: N tiu chun, bao gm n trong hn c nh gi c khnng thu hi gc v li ng hn v cc khon n c th pht sinh trong

tng lai nh l cc khon bo lnh, cam kt cho vay hay chp nhn thanh ton.

Nhm 2: N cn ch , bao gm c n qu hn di 90 ngy v c cu

li thi hn tr n.

Nhm 3: N di tiu chun, bao gm c n qu hn t 90 ngy n 180

ngy v n c cu li thi hn tr n qu hn 90 ngy.

Nhm 4: N nghi ng, bao c gm n qu hn t 181 ngy n 360 ngy

v n c cu li thi hn tr n t 90 ngy n 180 ngy.

Nhm 5: N c kh nng mt vn, bao gm c n qu hn trn 360 ngy,

n c cu li thi hn tr n trn 180 ngy v n khoanh tr chnh ph x l.

- Theo phng php nh tnh:

Nhm 1: N tiu chun, bao gm c n c nh gi l c kh nng

thu hi y gc v li ng hn.

Nhm 2: N cn ch , bao gm c n c nh gi l c kh nng thu

hi y gc v li nhng c du hiu khch hng suy gim kh nng tr n.


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Nhm 3: N di tiu chun, bao gm n c nh gi l khng c kh

nng thu hi gc v li khi n hn.

Nhm 4: N nghi ng, bao gm n c nh gi l c kh nng tn thtcao.

Nhm 5: N c kh nng mt vn, bao gm n c nh gi l khng c

kh nng thu hi, mt vn.

1.2.2.3. Cc hnh thc biu hin ca ri ro tn dng

N c vn

Khi thc hin nghip v cho vay th cc Ngn hng thung mi lun mongmun rng khon cho vay s c hon tr y , ng thi hn nh tho

thun. V th, m bo an ton cho hot ng ca mnh, sau khi cp tn dng

cho khch hng, Ngn hng phi thng xuyn gim st khon tn dng cp

, xem khch hng c s dng vn ng mc ch tho thun hay khng?

V mc hiu qu s dng vn vay ca khch hng nh th no?

V vy, c th ni rng hot ng gim st c vai tr ht sc quan trng:

n hng vo nhng du hiu bo trc cc vn kinh doanh ny sinh, cng

nh nhng bin php khc phc, iu gip cho Ngn hng nhn bit v pht

hin c cc khon n xu c vn , c hnh ng v bin php cn thit,

kp thi ngn nga hoc x l.

N c vn l nhng khon vay, trong tho thun hon tr ca khch

hng c kh nng b v, d hin ti nhng khon vay cha n k hn tr

n gc v li.

trnh c nhng thit hi v tn tht, th cn b tn dng cn sm pht

hin ra c nhng khon n c vn , c th kp thi ngn nga hoc x l.

Trong thc t c nhiu du hiu biu hin khon vay s gp kh khn. Mt s


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trng hp cho ta thy kh khn xut hin ngay khi bt u cho vay, mt s

khc th c th xut hin chm hn, v mt s li t ngt pht sinh m khng h

c du hiu no bo trc. iu c ngha l khng c mt m hnh nht nhno v cc bin c thng xuyn xy ra c th kt lun rng mt khon cho

vay s kh hon tr. Tuy nhin, ta cng c th da vo mt s nhm du hiu

cnh bo ri ro tn dng trong hot ng tn dng ca Ngn hng.

N qu hn

N qu hn l mt khon tn dng c cp ra nhng khng th thu hi

c ng hn, do nhng nguyn nhn khc nhau gy ra. N qu hn s lmtng ln cc khon chi ph cho vic i i n, lm tng chi ph cho hot ng

kinh doanh nn c nh hng xu ti hot ng kinh doanh ca Ngn hng. N

qu hn cng s lm mt cn bng cc cn i ti sn chnh v nh hng xu ti

tnh ch ng trong k hoch ngun vn ca Ngn hng. Nu quy m n qu hn

cng ln th tnh ri ro s cng cao. Tuy vy, n cn ph thuc vo c quy m

cho vay ca Ngn hng.

T ln n qu hn = ( N qu hn / Tng d n ) l mt ch tiu m hu

ht cc Ngn hng u s dng nh gi mc ri ro trong hot ng tn

dng. Nu t ln cao th c th ni rng hot ng tn dng ca Ngn hng l

khng hiu qu v nguy c ri ro tn dng rt c kh nng s xy ra, Ngn hng

cn phi xem xt li quy trnh cho vay ca mnh lm gim bt n qu hn.

Ngc li, nu nh t l l thp th ri ro tn dng nu c xy ra th cng

khng c nh hng ln ti hot ng kinh doanh ca Ngn hng.

N kh i

N kh i l n qu hn khng c thanh ton, mc d Ngn hng

gia hn n. Chnh v vy c th ni y l ch tiu r rng nht phn nh mc


17/79

tn tht trong hot ng tn dng ca Ngn hng. Hu ht l cc Ngn hng

thung mi u thc hin vic lp qu d phng ri ro bng 100% s n kh

i.T ln n kh i = ( N kh i / Tng d n )

Cho bit Ngn hng cho vay 100 n v tin t th t l tn tht l bao

nhiu n v tin t. N kh i v t l n kh i = ( N kh i / Tng d

n ) n phn nh trc tip cht lng tn dng ni ring v hot ng kinh doanh

ca Ngn hng ni chung. Nu n kh i cao lm cho Ngn hng phi trch lp

qu d phng ri ro nhiu hn, chi ph hot ng kinh doanh ca Ngn hng stng, qua y li sut cho vay ca Ngn hng tng ln, lm gim tnh cnh

tranh ca Ngn hng.

Li treo

Li treo l s tin li m khch hng khng tr c cho Ngn hng khi

n k hn thanh ton. V y cng l mt du hiu quan trng c th nhn

bit ri ro tn dng. V vic thanh ton li thng khng gn lin vi vic tr

gc, v c gi tr nh hn gc rt nhiu, c tr vo nhng thi im nht nh,

tu theo s tho thun ca Ngn hng v khch hng. Khi khch hng khng

thanh ton c tin li ca khon vay th c th coi y chnh l mt du hiu

th hin rng doanh nghip ang gp kh khn v mt ti chnh.

T l ( li treo pht sinh / Tng thu nhp ) t hot ng tn dng, cng l

mt ch tiu quan trng trong vic nh gi mc ri ro ca Ngn hng.

Tuy nhin vic nhn bit ri ro tn dng nu m ch thng qua cc khon n

c vn , n qu hn, n kh i v li treo th dng nh kh l mun i

vi cc Ngn hng. Bi v ch khi tnh hnh ca khch hng l kh khn c bit

th nhng du hiu ny mi bc l. n lc th tn tht m Ngn hng c th


18/79

gp phi c th s l rt ln. V vy nn, iu m cc Ngn hng quan tm l

nhng du hiu c th to ra ri ro tn dng; t c th ch ng v kp thi

a ra nhng bin php ph hp, nhm hn ch c nhng kh khn tn thtcho c Ngn hng v khch hng. Do , ngoi cc du hiu trn, cc cn b

tn dng cn c th nhn bit ri ro tn dng thng qua mt s du hiu khc.

C cu d n tn dng

Ging nh mi hot ng u t khc th hot ng tn dng ca Ngn

hng cng phi tun th theo nguyn tc khng b tt c trng vo mt gi.

Bi v doanh thu ca Ngn hng ch yu l t li do hot ng tn dng mngli. Nu nh t trng cho vay i vi mt khch hng trong tng d n qu ln

th khi khch hng ny s gp kh khn trong vic tr n cho Ngn hng, s nh

hng trc tip ti doanh thu ca Ngn hng. Cng nh vy, nu nh Ngn hng

ch tp trung cho cc doanh nghip hot ng trong mt lnh vc no vay th

ri ro s rt ln nu ngnh hot ng khng hiu qu.

Mt s du hiu khc

Nhm cc du hiu v hot ng sn xut kinh doanh ca doanh nghip.

- Kh nng sn xut kinh doanh ca doanh nghip gim st, iu ny th

hin gi tr sn lng v doanh thu ca doanh nghip b gim.

- Thu nhp khng thng xuyn v n nh: C cu doanh thu thay i

mt cch bt thng, nh doanh thu cc hot ng ph chim t trng ln hn

- H s quay vng ca vn lu ng thp, c s gia tng bt thng v

hng tn kho v s gia tng cc khon n thng mi, c bit l cc khon n

vi thi gian di.

Nhm cc du hiu lin quan n phng php qun l v t chc khch

hng.


19/79

- Thay i thng xuyn c cu ca h thng qun l hoc ban iu

hnh

- C s mt on kt, tranh ginh quyn lc trong ni b doanh nghip,c hin tng nhn ti ri b doanh nghip.

- H thng qun tr hoc l ban iu hnh lun c s bt ng v mc

ch, iu hnh c on hoc qu phn tn.

- C cu nhn lc ca doanh nghip khng hp l, b phn qun l th

ngy cng phnh to, c cc hot ng st nhp vi cc doanh nghip yu km

khc.- C nhng khon chi ph bt hp l.

Bn cnh , cn c mt s du hiu khc nh: nhm cc du hiu

thuc v mt php lut, nhm cc du hiu thuc v mt k thut v thng

mi.

1.2.2.4. Nguyn nhn dn n ri ro tn dng

1.2.2.4.1. Nguyn nhn khch quan

Nhng nguyn nhn bt kh khng: Nhng nguyn nhn bt kh khng s

tc ng ti ngi vay, lm cho h mt kh nng thanh ton cho ngn hng.

Do tc ng ca chu k khch quan ca nn kinh t: Bt k nn kinh t no

cng c chu k pht trin theo mt ngng nht nh.

C ch chnh sch ca nh nc: S thay i trong c ch v chnh sch

ca nh nc c th to thun li hoc gy kh khn cho doanh nghip trong qu

trnh sn xut kinh doanh.

Bin ng v kinh t, chnh tr ca cc nc trn th gii: Vn mi

trng kinh t, chnh tr n nh l tin doanh nghip pht trin lnh mnh,

n nh v cc ngn hng mi c th pht trin n nh.


20/79

1.2.2.4.2. Nguyn nhn ch quan

T pha khch hng: Kh nng gy ra ri ro ph bin v hay gp nht l t

pha khch hng. Vi khch hng c nhn: Ngun tr n ch yu l thu nhp. Sau khi vay

vn NH thng c ri ro do nhng nguyn nhn sau y:

+ Cng vic b thay i hoc mt vic lm.

+ C thu nhp khng n nh.

+ Ri ro o c do vic c tnh khng hon tr n vay.

Vi khch hng doanh nghip: Nguyn nhn gy ra ri ro gm:+ V pha th trng ca doanh nghip: Chi ph sn xut tng cao lm cho sn

phm ca doanh nghip km kh nng cnh tranh v gi c, sn phm lm ra

th km cht lng iu ny lm cho sn phm ca doanh nghip khng

tiu th c v kh khn trong vic hon tr n NH.

+ Khch hng s dng vn sai mc ch do vic mt vn hoc hiu qu

u t thp dn n khng tr c n.

+ Do tnh trng gian ln, tham nhng din ra trong ni b doanh nghip.

+ Do s thay i nhn s hoc thay i ch s h doanh nghip.

T pha ngn hng:

Cn b tn dng khng thc hin nghim tc qu trnh cho vay, dn ti

nh gi khng y , chnh xc v khch hng trc khi cho vay hoc khng

kim tra, gim st cht ch vic s dng vn vay ca khch hng.

Thiu thng tin tn dng hoc thng tin khng y , kp thi, chnh xc.

Trnh qun l, nng lc chuyn mn ca cc cn b NH nhiu khi cha

bt kp c vi c ch th trng lun lun bin ng, dn n hn ch trong

vn qun l cc mn vay.


21/79

Cn b tn dng thiu o c ngh nghip, c tnh lm sai nguyn tc.

T cc bo m tn dng:

Trng hp bo m bng ti sn+ Do s bin ng gi tr ti sn bo m theo chiu hng bt li.

+ Do NH gp kh khn trong vic tip cn, nm gi cc ti sn bo m

x l chng.

Trng hp bo m i nhn ( bo lnh ): Do ngi bo lnh khng thc

hin c ngha v thanh ton cho ngi vay tn dng khi ngi ny khng c

kh nng chi tr.1.3. Qun l ri ro tn dng

1.3.1. S cn thit phi qun l ri ro tn dng

1.3.1.1. i vi cc t chc tn dng

Trong nn kinh t th trng, vic cung cp tn dng l chc nng kinh t c

bn ca NH. i vi hu ht cc NH th d n tn dng thng chim hn 1/2

tng ti sn c v thu nhp t tn dng th chim khong 1/2 n 2/3 trong tng

thu nhp ca NH. Tuy nhin, ri ro trong kinh doanh NH li c xu hng tp

trung ch yu v danh mc tn dng. Trong hot ng ca mnh, nhn chung l

cc NH ch chp nhn ri ro tn dng m mc thit hi ti a khng cao hn mc

li nhun mong i. Tuy nhin trong thc t, mi trng hp u c th c

tnh n nh m hnh di y:


22/79

Kh nng thit hi ca ngn hngLi nhun Chi ph Vn t cVng ri ro cho php Vng ri ro nguy

him

Vng ri ro thm khc

im bt u im bt u im khng c im mt vn t c

gim li nhun thua l doanh thu v ph sn

1.3.1.2. i vi nn kinh t

Ri ro tn dng khng ch gy ra thit hi cho NH, v ngun vn ca NH ch

yu c huy ng t ngun vn nhn ri trong x hi. V th, ri ro tn dng c

th lm gim nim tin ca ngi gi tin, mc rt nghim trng, hin tngrt tin hng lot c th xy ra. Nu khng c d phng v x l kp thi, NH

c th b sp v c th gy ra hiu ng lan truyn c trng ca h thng NH,

nh hng ti t mt cch su rng ti nn kinh t.

kha cnh hiu qu u t x hi, ri ro tn dng xy ra c l th ng

ngha vi khon u t ca ngi vay tin khng c hiu qu, khng mang li

li ch cho x hi. Mt khc, nu nh NHTM nh nc gp phi ri ro tn dng,

c th nhn c s h tr ca ngn sch nh nc. Khi ngn sch ca nh

nc s phi ct gim khon chi cho cc mc tiu khc. iu ny t nhiu nh

hng ti cc mc tiu n nh v pht trin kinh t ca t nc.

Do vic qun tr ri ro tn dng, c th hn l vic hon thin v nng cao

nng lc qun tr tn dng l tin ca ca vic m rng tn dng c hiu qu,

cng l m rng tn dng ca NH.

1.3.2. o lng ri ro tn dng


23/79

1.3.2.1. Phn tch tn dng

i vi mi mt n xin vay th cn b tn dng cn phi tr li c 3 cu

hi cn bn sau:- Ngi xin vay c th tn nhim v anh bit h nh th no?

- Hp ng tn dng c c k kt mt cch ng n v hp l, nhm bo

v c ngn hng v ngi gi tin, v ngi xin vay c kh nng hon tr n

m khng cn n mt sc p no?

- Trong trng hp khch hng khng tr n, liu ngn hng c th thu hi n

bng ti sn hay thu nhp ca ngi vay mt cch nhanh chng vi chi ph thpv ri ro thp?

Ngi xin vay c th tn nhim?

T cch ngi vay: Cn b tn dng phi chc chn tin rng: Ngi xin

vay phi c mc ch tn dng r rng v c thin ch nghim chnh tr n cho

NH khi n hn. Nu cn b tn dng khng bit chnh xc c ti sao khch

hng li xin vay tin, th cn phi lm r rng mc ch xin vay l g. Khi mc

ch xin vay r rng th cn b tn dng li phi xc nh xem c ph hp vi

chnh sch tn dng hin hnh ca ngn hng hay khng. Tinh thn trch nhim,

tnh trung thc, mc ch r rng, v thin ch tr n ca ngi vay gi chung l

t cch ngi vay (character). Nu nh pht hin thy ngi vay gi di trong

k hoch s dng v tr n nh tha thun, th cn b tn dng phi t chi

cho vay, nu khng, ri ro tn dng s pht sinh cho ngn hng.

Nng lc ca ngi vay: Cn b tn dng phi chc chn rng ngi xin

vay phi c nng lc hnh vi v nng lc php l k kt hp ng tn dng

vi NH. V d, hu ht cc nc u quy nh i vi ngi di 18 tui s

khng t cch php l k kt hp ng tn dng. Tng t, cn b tn dng


24/79

cng phi chc chn rng ngi i din cho cng ty k kt hp ng tn dng

phi l ngi c y quyn hp php ca cng ty.

Thu nhp ca ngi vay: Tiu ch thu nhp ca ngi vay tp chung vocu hi: Ngi vay c kh nng to ra tin tr n ? Nhn chung, ngi vay

c ba kh nng c th to ra tin, l: (i) lung tin t doanh thu bn hng

hay t thu nhp, (ii) bn thanh l ti sn, (iii) tin t pht hnh chng khon n

hay chng khon vn. Bt c ngun thu no t ba kh nng ny u c th s

dng tr n vay cho ngn hng.

Bo him tin vay: Khi nh gi v kha cnh bo m tin vay, cn bntn dng phi t t ra cu hi: liu ngi vay c s hu mt gi tr no hay ti

sn no c cht lng h tr cho khon vay? Cn b tn dng phi c bit

ch n nhng yu t nhy cm nh: iu kin, tui th v mc chuyn

dng ca ti sn ngi vay. Cng ngh l mt kha cnh cng phi c bit ch

, bi v nu nh ti sn ca ngi vay c cng ngh lc hu, th gi tr gim i

rt nhiu v rt kh tm c ngi mua trong khi cng ngh li thay i hng

ngy.

Cc iu kin: Cn b tn dng v nh phn tch tn dng cn phi bit

c xu hng hin hnh v cng vic kinh doanh v ngnh ngh ca ngi vay,

cng nh khi iu kin kinh t thay i s c nh hng nh th no n khon

tn dng. nh gi xu hng ngnh v iu kin kinh t c nh hng n

hot ng kinh doanh ca khch hng, th hu ht cc ngn hng u duy tr cc

phai d liu thng tin bao gm cc mu bo co c lin quan, cc bi tp ch, v

cc bo co nghin cu.

Kim sot: Thng tp trung vo nhng vn nh: Cc thay i trong

lut php v quy ch c nh hng xu n ngi vay? Yu cu tn dng ca


25/79

ngi vay c p ng c tiu chun ca ngn hng v ca nh qun l v cht

lng tn dng?

Ngn hng c th i n thun li bng ti sn bo m?L do nhn bo m tn dng:

Mc ch ca vic ngn hng nhn bo m tn dng l:

- Th nht, nu nh ngi vay khng tr n theo quy nh, th ngn hng c

quyn bn ti sn cm c hay th chp thu hi n.

- Th hai, vic nhn bo m tn dng to cho ngn hng li th v tm l

so vi ngi vay. Bi v mt ti sn khi l vt t cc( nh xe hi, tai), th buc ngi t cc( ngi vay) phi c trch nhim nhiu hn

trong vic hon tr n vay khi phi gnh nhng ti sn gi tr ca

mnh.

Cc loi bo m tn dng thng thng:

i) Ti khon phi thu: Ngn hng nhn bo m tn dng bng vic quy

nh t l % ( thng thng l t 40 n 90 %) gi tr ca ti khon

phi thu theo s liu cn i trn bng cn i ti chnh. Khi khch

hng ca ngi vay thanh ton tin hng mua chu, th s tin ny

c dng tr n cho ngn hng.

ii) Bao thanh ton: Ngn hng c th mua ti khon phi thu ca ngi

vay theo mt t l % nht nh theo gi tr ghi s. T l % ny ph

thuc vo cht lng v thi hn ca cc khon phi thu.

iii) Hng tn kho: bo m tn dng, ngn hng c th nhn hng tn

kho, nguyn liu, vt t ca ngi vay lm ti sn cm c. Thng

thng, ngn hng ch cho vay vi mt t l phn trm nht nh ( t


26/79

30 n 80 % ) trn gi tr th trng hin hnh ca ti sn cm c,

nhm phng nga hng ha gim gi.

iv) Th chp ti sn c nh: Cc ngn hng cng c th chp nhn bom tn dng bng ti sn c nh nh t ai v nhng cng trnh

gn lin vi t.

v) Bo lnh ca bn th ba: Trong trng hp ngi vay khng c ti

sn bo bo m tn dng th khi phi c mt bn th ba ng ra

bo lnh. Bo lnh l vic ca bn th ba cam kt vi bn cho vay

l s thc hin ngha v tr n thay cho ngi vay, nu nh ngi vaykhng tr c n khi n hn. Bo lnh c th l c bo m bng

ti sn hoc uy tn.

1.3.2.2. Kim tra tn dng

Nhng g xy ra i vi hp ng tn dng sau khi c k kt gia

ngi vay v ngn hng? C th cho qua v qun i tt c cho n khi hp ng

n hn v ngi vay hon tr ln cui? R rng tht l kh di nu nh ngn

hng lm nh vy, bi v cc iu kin cp tn dng thng thay i lin tc theo

thi gian, c nh hng n iu kin ti chnh ca ngi vay v kh nng hon

tr n vay ca khch hng. Nhng bin ng trong nn kinh t lm suy yu mt

s cng ty v lm tng nhu cu tn dng i vi cc cng ty khc, trong khi ,

tng c nhn th li c th b mt vic lm, nhim bnh him ngho lm cho

ngi vay khng cn kh nng tr n. Cn b tn dng cn phi nhy cm vi

nhng din bin nh vy v nh k phi kim tra tt c cc khon tn dng cho

n khi chng n hn.


27/79

Trong khi ngy nay cc ngn hng phi s dng rt nhiu cc quy trnh khc

nhau kim tra tn dng, tuy nhin, nhng nguyn l chung ang c p dng

ti hu ht cc ngn hng bao gm:i) Tin hnh kim tra tt c cc loi tn dng theo nh k nht nh, v d

nh k 30, 60, hay 90 ngy i vi cc khon tn dng nh v va; i

vi nhng khon tn dng ln th phi tin hnh kim tra thng xuyn

hn.

ii) Xy dng k hoch, chng trnh, ni dung cho qu trnh kim tra mt

cch thn trng v chi tit, c th bo m rng nhng kha cnhquan trng nht ca mi khon tn dng phi c kim tra, gm:

K hoch tr n ca khch hng, nhm bo m rng khch hng

khng trm tr trong vic thanh ton n cho NH theo k hoch.

Cht lng v iu kin ca ti sn dng lm bo m tn dng.

Tnh y v hp l ca hp ng tn dng, bo m rng ngn hng

c y thm quyn hp php s hu cc ti sn bo m tn dng

i vi ngi vay trc ta n nu nh cn thit.

nh gi iu kin ti chnh v nhng d vo v ngi vay xem thay

i, trn c s xem xt li nhu cu tn dng ca ngi vay thay i

nh th no.

nh gi xem khon tn dng c tun th chnh sch cho vay ca ngn

hng v cc tiu chun do c quan qun l t ra.

iii) Thng xuyn kim tra cc khon tn dng ln, bi v nu cc i

gia b v n s c nh hng nghim trng n iu kin ti chnh ca

ngn hng.


28/79

iv) Qun l cht ch thng xuyn cc khon tn dng c vn , tng

cng kim tra gim st khi pht hin nhng du hiu khng lnh mnh

lin quan n khon tn dng ca ngn hng.v) Tng cng kim vic tra tn dng khi nn kinh t c nhng biu hin

i xung, hoc nhng ngnh ngh s dng nhiu tn dng ca ngn

hng c biu hin nhng vn nghim trng pht trin Vic kim

tra tn dng khng phi l cng vin tha, lng ph, m l rt cn thit

hnh thnh chnh sch cho vay ca ngn hng mt cch lnh mnh.

iu khng nhng gip cho nh qun l nhn ra nhng vn mtchch nhanh chng, m cn c tc dng kim tra thng xuyn xem

cn b tn dng c chp hnh ng chnh sch cho vay ca ngn hng

hay khng.

1.3.2.3. X l tn dng c vn

Mc d hu ht cc ngn hng xy dng mt c ch bo m an ton tn

dng, nhng iu khng th trnh khi l mt s khon tn dng c vn

thng gm cc trng hp nh: (i) ngi vay khng th tr n ng hn mt

hay nhiu k, (ii) ti sn bo m tn dng b gim gi ng k. Trong khi ni

dung tn dng c vn t nhiu l khc nhau trong cc tnh hung khc nhau,

nhng mt s c im trung cho hu ht cc khon tn dng c vn c th

nu ra nh sau:

i) S trm tr bt thng v khng c l do trong vic cung cp cc bo

co ti chnh v tr n theo lch tha thun: hoc chm tr trong vic

lin lc vi cn b tn dng.


29/79

ii) i vi tn dng doanh nghip, bt c mt s thay i bt thng no

trong phng thc hch ton khu hao, k hoch tr lng v ph cp,

gi tr hng tn kho, ti khon thu v thu nhp.iii) i vi tn dng doanh nghip, vic c cu li n hay hn ch thanh

ton c tc, hoc c s thay i v tr xp hng tn nhim.

iv) Gi c phiu ca cng ty thay i bt li.

v) Thu nhp rng gim i trong mt hay nhiu nm, c bit l cc ch tiu

nh l: t l sinh li trn vn c phn ( ROE), t l sinh li trn tng ti

sn ( ROA), hay li tc trc thu v li sut (EBIT).vi) Nhng thay i bt li trong c cu ca ngun vn ( ch tiu vn c

phn trn n vay), thanh khon ( ch tiu thanh khon hin hnh ), hay

mc hot ng.

vii) Nhng thay i bt ng, ngoi d kin v khng c l do i vi s d

tin gi ca khch hng ti ngn hng.

V vy ngn hng phi lm g khi tn dng c vn ? Sau y l mt s

gii php nhm thu hi nhng khon tn dng c vn :

i) Lun lun t ra mc tiu l: Tn dng ti a cc c hi thu hi

y n cho vay.

ii) Khn trng khm ph v bo co kp thi mi vn thc cht lin

quan n tn dng, mi trm tr u c th lm cho tn dng tr nn

xu hn.

iii) Trch nhim s l tn dng c vn phi c c lp vi chc

nng cho vay nhm trnh nhng xung t c th xy ra i vi quan

im ca cn b tn dng trc tip cho vay.


30/79

iv) X l tn dng cn hi khn vi cc khch hng v cc gii php c

th, c bit l tinh gim chi ph, tng ngun thu, v tng cng ci

tin cng tc qun l.v) D tnh nhng ngun c th dng thu n c vn ( gm ngun

thu t thanh l ti sn v s d tin gi ti ngn hng).

vi) Cn tin hnh nghin cu v ngha v thu v nhng tranh chp xem

khch hng c cn ngha v ti chnh no cha thc hin.

vii) i vi doanh nghip, cn nh gi v cht lng, nng lc v s

nht qun trong qun l, ng thi trc tip tin hnh kho st cchot ng v cc ti sn ca doanh nghip.

viii) Cn phi cn nhc mi phng n c th hon thnh vic thu hi

n c vn , gm c vic tha thun gia hn n tm thi nu khch

hng ch gp kh khn trc mt, hoc tm kim gii php nhm tng

cng lu chuyn tin t cho khch hng.

1.3.3. Cc m hnh lng ho xp hng ri ro tn dng i vi cc

khch hng l doanh nghip

1.3.3.1. M hnh im s ( xp hng tn dng )

M hnh E.i.Altman

y l m hnh do E.i.Altman dng cho im tn dng i vi cc doanh

nghip vay vn. i lng Z l i lng dng lm thc o tng hp phn

loi ri ro tn dng i vi ngi vay v ph thuc vo:

i) Tr s ca cc ch s ti chnh ca ngi vay

ii) Tm quan trng ca cc ch s ny trong vn xc nh xc sut

v n ca ngi vay trong qu kh

T , c hm s phn bit ca Altman c dng sau:


31/79

Z = 1,2 X1 + 1,4 X2 + 3,3 X3 + 0,6 X4 + 0,99 X5

Trong cc bin:

X1: Ti sn lu ng / Tng ti sn cX2: Li nhun tch ly / Tng ti sn c

X3: Li nhun trc thu v li / Tng ti sn c

X4: Gi tr th trng ca v ch s hu / Gi k ton ca cc khon n

X5: Doanh thu / Tng ti sn

Ch s Z o lng ton b mc ri ro ca ngi vay.

Nu Z > 3 : Ngi vay c ri ro rt thpNu 1,8 < Z < 3: Ngi vay c ri ro thp

Nu Z < 1,8: Ngi vay c ri ro cao

1.3.3.2. M hnh c lng ch s Z m hnh hi quy bi

Hm hi quy tng th c dng nh sau:

Yi = 0 + 1X1i + 2X2i ++ kXki + Ui

Trong :

0: h s t do( h s chn )

i ( i = 1,2,...,k ): H s hi quy ring

Sau khi c lng c hm hi quy bng phng php c lng bnh

phng nh nht (OLS ), vi cc gi tr ca cc bin (X1, X2,..., Xk ), th ta s

thu c cc gi tr c lng gn ng ca Yi

1.3.3.3. M hnh tnh xc sut c n kh i m hnh LOGISTIC

M hnh Logistic l m hnh hi quy m trong bin ph thuc l bin

gi. C rt nhiu hin tng, nhiu qu trnh m khi m t bng m hnh kinh t

lng, bin ph thuc li l bin cht, do cn phi dng n bin gi ( vi

bin gi l bin ri rc, n c th nhn mt trong hai gi tr: 0 v 1 )


32/79

M hnh Logistic Phng php Goldberger

Trong m hnh ny, cc ip c xc nh bng:

)exp(1

)exp(

11*X

*X

*

*

i

i

221

221

i

i

X

X

iX

X

e

e

e

ep

i

i

+=

+=

+= +

+

(1.1)

X = (1,X2); Xi = (1, X2i); = (1, 2)

m hnh trn, pi khng phi l hm tuyn tnh ca cc bin c lp

Phng trnh (1.1) c gi l hm phn b Logistic. Trong hm ny khi

( X) nhn cc gi tr t - n th p i nhn cc gi tr t 0-1. pi phi tuyn i

vi c X v cc tham s . iu ny c ngha l ta khng th p dng trc tip

phng php OLS c lng. Khi ngi ta s dng c lng hp l ti

a c lng .

V Y ch nhn mt trong hai gi tr l 0 1. Y c phn b nh thc, nn hm

hp l vi mu kch thc n c dng sau y:

ii YiY

i

n

ippL

== 1

1)1(

ii y

i

Y

i

in

i XXXL

=

+

+=

1

1 )exp(1

1

)exp(1

)exp(

))exp(1(

exp

1

1

'

i

n

i

n

i

ii

X

YX

+

=

=

=

t t* = =

n

i

iiYX1

, t* l vc t hai chiu ( s h s hi quy ). Ta cn

tm c lng hp l ti a ca , ta c:

Ln(L) = =

+n

i

iXLnt1

*' ))exp(1(


33/79

++

==*

)exp(1

)exp()(/)( tX

X

XSLLn i

i

i

(1.2)

=

++=n

i

i

i

i tXX

XS1

*

)exp(1)exp()(

Phng trnh trn phi tuyn i vi , ngi ta dng phng php Newton-

Rapson gii h phng trnh ny.

( ) == )/S(/)()( '2 ELLnEI

=

+

+=

n

i i

iiiii

X

XXXXX

12

2

))exp(1(

))(exp()exp())exp(1(

= +

=n

i

ii

i

ti XXX

X

1

'

2))exp(1(

)exp(

Nu nh

l nghim ca S(

), khai trin Taylor ti , ta c:

( )

+

=

)()()(

'

2 LLnLLnS

( ) [ ] )()()()(1

1

'

2

SISLLn

=

=

Ta c qu trnh lp nh sau:

Bt u vi gi tr ban u no ca , chng hn 0, ta tnh c S( 0)

v I( 0), sau tm mi bng cng thc sau y:

( )[ ] )01

001 ( SI+=

Qu trnh lp trn s c thc hin cho n khi hi t. Do )(I l dng

ton phng xc nh dng, nn qu trnh trn s cho c lng hp l cc i.

Tng ng vi , ta c ( )[ ] 1 I l ma trn hip phng sai ca . Chng ta s

dng ma trnn ny kim nh gi thit v suy on cc thng k khc.


34/79

Sau khi c lng c , ta c th tnh c c lng xc sut

)/1( ii XYPp ==

)exp(1

)exp(

i

ii

X

Xp

+=

Kt hp vi (1.2) ta c = iX iii YXp

Phng trnh ny dng kim nh li cc ip

Nh vy trong m hnh Logit chng ta khng nghin cu nh hng trc tip

ca bin c lp Xk i vi Y m l xem xt nh hng ca Xkn xc sut Y

nhn gi tr bng 1 hay k vng ca Y.

nh hng ca Xk n pi h sau:

kiiki

ii

k

ppX

Xp

X

)1(

))exp(1(

)exp(2

=+

=

CHNG 2: NGHIP V XP HNG KHCH HNG DOANH NGHIP

TI NGN HNG VPBANK CHI NHNH NG QUYN

2.1. Mt s t chc tn dng2.1.1. Trn th gii

T u th k 20, th trn th gii bt u hnh thnh xp hng tn dng. Ra

i sm nht l cng ty xp hng Moodys, cho n nay th trn th gii c


35/79

hng trm t chc xp hng tn dng ln nh khc nhau, vi nhiu phng php

v cng ngh mi. Trong phi k n l hai cng ty Stanar $ Poor ( S $ P)

v Moodys.Cng ty Moody's c thnh lp vo nm 1909, do John Moody - ngi c

cng u trong s ra i ca h thng xp hng tn dng trn th gii thnh lp

nn. Cng ty ny hot ng ch yu l M nhng c nhiu cc chi nhnh

trn ton th gii. Khi mi c thnh lp, cng ty ch tin hnh xp hng cc

doanh nghip pht hnh tri phiu, nhng hin nay vi s pht trin ln mnh

khng ngng th cng ty tin hnh xp hng nhiu doanh nghip khc vnhiu cng c u t khc, nhng mnh nht vn l xp hng cc doanh nghip

pht hnh tri phiu.

c thnh lp sau cng ty Moody's 7 nm nhng Standard $ Poor cng

chng t c v th ca mnh ngay lp tc v cng vi Moody's tr thnh hai t

chc xp hng tn dng c uy tn nht trn th gii. Vi mng li hot ng

rng khp, S $ P ngy cng to c uy tn trong phng php cng nh cng

ngh c s dng xp hng v c nhiu cng ty, nhiu t chc, nhiu nh

u t tin dng. So vi Moody's th phm vi xp hng ca t chc ny rng hn

nhiu, nht l cc loi chng khon.

Sau Moody's, S $ P th c hng lot cc cng ty nh mc ra i, c

bit l sau s kin lin tip nhng cuc khng hong kinh t, ti chnh din ra

trn ton th gii, gy thit hi nng n n nn kinh t ton cu. C th im

qua mt s t chc xp hng tn dng tiu biu c hnh thnh ngay sau s kin

khng hong kinh t lin tip din ra trn th gii nh l: T chc xp hng tri

phiu Canada ( Canada Bond Rating ) c thnh lp vo nm 1972, t chc xp

hng tri phiu Nht Bn ( Japanese Bond Rating Institue ) bt u hot ng


36/79

vo nm 1975, t chc xp hng tri phiu quc t ( International Bond Credit

Agency ) thnh lp ti London vo nm 1978, cng ty xp hng tn dng Duff $

Phelps ra i v tr thnh t chc xp hng ln th t ti M v bt u tinhnh xp hng cho hng lot cc cng ty ln

Tm li , xt ton b hn thng xp hng tn dng trn th gii th cc

cng ty xp hng tn dng ca M vn c nh gi l cao nht l v cht

lng xp hng v phm vi hot ng. Cc t chc xp hng ca M xp

hng cho hng lot cc cng c c giao dch trn th trng ti chnh, hng

nghn cc doanh nghip pht hnh. Cc t chc ny u hot ng cc thtrng ti chnh ln trn khp th gii cng nh rt nhiu th trng ti chnh

mi ni.

Hin nay, vic xp hng tn dng khng ch b hp cc quc gia pht

trin m ngay c ti cc quc gia mi ni v cc quc gia ang pht trin, cc t

chc xp hng cng c thnh lp v tng bc i vo hot ng chuyn

nghip. Hn th na cc cng ty xp hng tn dng c tn tui cng thit lp

cc chi nhnh ca mnh cc th trng mi ni l nhng ni ang rt ang cn

n vic xp hng tn dng m bo s hot ng lnh mnh ca th trng.

Nhng nm gn y, cc nh hoch nh chnh sch cc nc Cng nghip

mi ( NICS ) v cc quc gia ang pht trin ngy cng nhn thc c tm

quan trng, vai tr ca cc c quan nh mc, xp hng tn dng i vi s pht

trin ca ton b nn kinh t ni chung v i vi th trng ti chnh ni ring.

y thc s l nhng tn hiu rt ng mng ca nn kinh t ton cu.

Bng 2.1. Xp hng tn dng s dng cho n di hn

S $ P Moody's Ni dung


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AAA Aaai tng c xp loi ny l c cht lng tndng cao nht, c ri ro thp nht v th m ckh nng tr n mnh nht.

AA Aa i tng c xp loi ny l c cht lng cao,mc ri ro thp v do kh nng tr n cao

A A

y l i tng t trn mc trung bnh cc nhnt bo m v kh nng tr n ngn v di hncha tht chc chn nhng vn t tin cy cao.Do c xp loi c kh nng tr n

BBB Baa

y l i tng t mc trung bnh, mc an tonv ri ro khng cao nhng cng khng thp. Khnng tr n gc v li hin thi khng tht chc

chn nhng khng c du hiu nguy him

BB Bai tng ny t mc trung bnh, kh nng trn v li khng tht chc chn v mc an tonnh BBB ( Baa )

B Bi tng ny thiu s hp dn cho u t. Sm bo v hon tr gc v li trong tng lai lrt nh

CCC Caa Kh nng tr n thp, d xy ra v n CC Ca Ri ro rt cao, thng l b v n

C C i tng trong tnh trng sp b ph snD Kh nng ph sn l gn nh chc chn

Bng 2.2. Xp hng tn dng s dng cho n ngn hn

S $

PMoody's Ni dung

P-1 A-1 + Kh nng tr n l mnh nht

A-1 Kh nng tr n mnhP-2 A-2 Kh nng tr n t mc trung bnh khP-3 A-3 Kh nng tr n va c th c xp


38/79

hng u t

NP B Kh nng tr n yu

C Kh nng tr n yu

D

Kh nng tr n l rt yu, th hin doanh

nghip hay nh pht hnh c nguy c b ph

sn

2.2.2. Ti Vit Nam

Do th trng ti chnh pht trin chm hn rt nhiu so vi vi khu vc

v trn th gii nn cc t chc xp hng tn dng Vit Nam cng c thnhlp sau. Nm 1993, t chc xp hng tn dng u tin ca Vit Nam mi c

thnh lp, l trung tm thng tin tn dng Ngn hng Nh nc Vit Nam

( gi tt la CIC ). Trung tm ny ra i vi chc nng chnh l lu tr thng

tin trong lnh vc tn dng cc doanh nghip ny da trn cc ch tiu ti chnh

v phi ti chnh. Cho n nay, trung tm ny tin hnh xp hng cho khong

8000 doanh nghip l nhng khch hng ca cc ngn hng thng mi. Tuynhin phng php xp hng ca CIC vn cn thin v lch s vay vn, quan h

vi cc t chc tn dng ca doanh nghip hn l phn tch chuyn su v kh

nng cnh tranh ca cc ngnh, cc doanh nghip cng nh l nhng thay i,

bin ng ca nn kinh t.

n nm 2004, th Cng ty tn nhim doanh nghip ( C$R ) cng c

thnh lp. Cng ty ny chnh thc cng b hot ng t nm 2004 nhng thc t

cng ty ny hot ng trong thng tin tn dng t nm 2000. Th phn ch

yu ca C$R l cc doanh nghip trong v ngoi nc c quan tm n vic u

t ti Vit Nam thng qua vic cung cp bo co tn nhim v cc doanh nghip


39/79

ang hot ng ti Vit Nam, trong c a ra ch s tn dng v thang im

chung nht cho cc cng ty.

Bn cnh l trung tm nh mc tn nhim ( Vietnamnet Rating ) ra ivi mc tiu tr thnh t chc nh mc chuyn nghip u tin Vit Nam,

ngay t khi mi thnh lp trung tm tp chung hon thin Quy trnh nh

mc, xp hng; t chc hi ng thm nh v o to i ng nhn vin. Th

trng ch yu m trung tm ny hng ti l xp hng cc doanh nghip c

hot ng kinh doanh lin quan n th trng v th trng chng khon.

Cng vi xu th hi nhp vo th trng ti chnh quc t ca Vit Nam,rt c th s c mt s cng ty hay t chc xp hng tn dng nc ngoi vo

hot ng ti nc ta trong tng lai khng xa.

Nhn chung, cc t chc xp hng tn dng Vit Nam hin nay mi ch

hot ng nh cc t chc thng tin tn dng, ch cha phi l cc t chc xp

hng tn dng vi vai tr xo b khong ti thng tin trn th trng. Vic nh

mc, xp hng thng khng linh hot c th m bo thay i kp thi theo

din bin th trng v hn na n cha phi l mt tiu ch nh gi chnh xc

v hot ng sn xut kinh doanh ca cc doanh nghip c xp hng.

Bng 2.3 . Xp hng tn dng doanh nghip ti Vit Nam

Khiuxploi

Ni dung

AAALoi ti u: Doanh nghip hot ng c hiu qu cao. Khnng t ch l rt tt. Trin vng pht trin lu di, timlc ti chnh mnh. Lch s vay n tt. Ri ro rt thp.


40/79

AALoi u: Doanh nghip hot ng c hiu qu v n nh.Kh nng t ch ti chnh tt, trin vng pht trin tt.Lch s vay tr n tt. C ri ro tng i thp.

A Loi tt: Tnh hnh ti chnh l n nh, hot ng kinhdoanh c hiu qu. Lch s vay tr n tt

BBBLoi kh: Hot ng tng i hiu qu, tnh hnh tichnh n nh c hn ch nht nh v tim lc ti chnh.Ri ro trung bnh.

BB

Loi trung bnh kh: Doanh nghip hot ng tt tronghin ti nhng li d b nh hng bi nhng bin ngln trong kinh doanh do sc p cnh tranh. Tim lc tichnh mc trung bnh, ri ro trung bnh.

B Loi trung bnh: Doanh nghip hot ng cha c hiuqu, kh nng t ch ti chnh l thp. Ri ro tng icao.

CCCLoi trung bnh yu: Doanh nghip hot ng c hiu quthp, nng lc qun l km, kh nng tr n thp, t ch vti chnh yu. Ri ro cao.

CCLoi yu: Doanh nghip hot ng km hiu qu, t chti chnh yu km. Kh nng tr n ngn hng km v cri ro rt cao

CLoi yu km: Doanh nghip hot ng yu km, thua lko di, khng t ch v ti chnh. Nng lc qun l yukm.

2.2. Xp hng tn dng doanh nghip ti ngn hng VPBank Ng Quyn

2.2.1. Gii thiu chung

VP bank c thnh lp theo Giy php hot ng s 0042/NH-GP ca

Thng c Ngn hng Nh nc Vit Nam cp php ngy 12 thng 08 nm 1993

vi thi gian hot ng 99 nm. Ngn hng bt u i vo hot ng t ngy 04


41/79

thng 09 nm 1993 theo Giy pho thnh lp s 1535/Q-UB ngy 04 thng 09

nm 1993.

Vn iu l khi mi thnh lp ca NH l 20 t VND. Sau , do nhu cupht trin, VP bank nhiu ln tng vn iu l. Cho n thng 8/2006, vn

iu l ca VP bank t 500 t ng. Thng 9/2006, VP bank nhn c chp

thun ca Ngn hng Nh nc cho php bn 10% c phn cho c ng chin

lc nc ngoi l Ngn hng OCBC- mt Ngn hng ln nht Singapore, theo

vn iu l s c nng ln trn 750 t ng. n thng 7/2007 vn iu l

ca VP bank tng ln 1500 t ng. n 31/12/2007 VP bank chnh thc tngvn iu l ln 2000 t ng.

Trong sut qu trnh hnh thnh v pht trin, th VP bank lun ch n

vic m rng quy m, tng cng mng li hot ng ti cc thnh ph ln.

n cui nm 1993, Thng c Ngn hng Nh nc chp thun cho VP bank

m Chi nhnh ti Thnh ph H Ch Minh. Thng 11/1994, VPbank c php

m thm Chi nhnh Hi Phng v thng 7/1995, Chi nhnh Nng. Trong nm

2004, Ngn hng Nh nc c vn bn chp thun cho VP bank c m

thm 3 Chi nhnh mi l Chi nhnh H Ni trn c s tch b phn trc tip

kinh doanh trn a bn H Ni ra khi Hi s; Chi nhnh Hu; Chi nhnh Si

Gn. Trong nm 2005, VP bank tip tc c Ngn hng Nh nc chp thun

cho m mt s Chi nhnh na l Chi nhnh Cn Th; Chi nhnh Qung Ninh;

Chi nhnh Vnh Phc; Chi nhnh Thanh Xun; Chi nhnh Thng Long; Chi

nhnh Tn Ph; Chi nhnh Cu Giy; Chi nhnh Bc Giang.Cng trong nm

2005, Ngn hng Nh nc chp thun cho VP bank c nng cp mt s

phng giao dch thnh chi nhnh l Phng giao dch Ct Linh, Phng giao

dch Trn Hng o, Phng giao dch Trn Hng o, Phng giao dch Ging


42/79

V, Phng giao dch Hai B Trng, Phng giao dch Chng Dng. Nm 2006,

VP bank tip tcc Ngn hng Nh nc cho m thm Phng Giao dch H

Gm( t ti Hi s chnh ca Ngn hng ) v Phng Giao dch Bch khoa,Phng Giao dch ng Ba( trc thuc Chi nhnh Hu), Phng giao dch V d,

Phng Giao dch Trng An( trc thuc chi nhnh H Ni), Phng giao dch Tn

Bnh(Chi nhnh Si Gn), Phng giao dch Khnh Hi( Thuc chi nhnh H Ch

Minh), phng giao dch Cm ph( thuc chi nhnh Qung Ninh), phng giao

dch Phm Vn ng( thuc chi nhnh Thng Long), phng giao dch Hng

li( thuc chi nhnh Cn Th). Bn cnh vic m rng mng li giao dch trny, trong nm 2006, VP bank cng m thm hai cng ty trc thuc l

cng ty Qun L n v khai thc ti sn; Cng ty Chng khon. Cng trong nm

2006, VP bank m thm cc chi nhnh mi ti Vinh(Ngh An); Thanh ho,

Nam nh, Nha trang, Bnh Dng; ng Nai, Kin giang v cc phng giao

dch, nng tng s im giao dch trn ton h thng ca VP bank ln 50 chi

nhnh v phng giao dch.

S lng nhn vin ca VP bank trn ton h thng tnh n nay c trn

2600 ngi, trong phn ln l cc cn b, nhn vin c trnh i hc v

trn i hc( chim 87%). Nhn thc c cht lng i ng nhn vin chnh l

sc mnh ca ngn hng. Gip VP bank sn sang ng u c vi cnh

tranh, nht l trong giai on y th thch sp ti khi Vit Nam bc vo hi

nhp kinh t quc t.

Ngy 31/12 VPbank chnh thc nng vn iu l ca mnh t 1500 t

ng ln 2000 t ng. y l mt trong nhng bc tin quan trng trong chin

lc pht trin ca VP bank trong thi gian ti nhm m rng quy m mng li


43/79

hot ng, c s h tng c th a ra cc sn phm, dch v mi, p ng

c nhu cu phc v khch hng mt cch thun tin v hiu qu hn.

2.2.2. nh hng chin lc hot ng tn dng, mc tiu v i tngkhch hng

nh hng chin lc hot ng tn dng: VPBank xc nh chin lc

kinh doanh ch o trong ngn hn v di hn ca mnh l ngn hng bn l. V

vy hot ng tn dng ca VPBank cng tp trung nht qun theo nh hng

kinh doanh bn l. Cc sn phm tn dng bn l c ch trng pht trin ti

VPBank bao gm:+ Cc loi cho vay tiu dng

+ Cc sn phm cho vay phc v doanh nghip va v nh

+ Cc sn phm cho vay thng qua th tn dng

+ Cc sn phm cho vay bn l khc

Mc tiu: VPBank ch trng vic cp tn dng cho cc khch hng thuc i

tng sau:

+ Cc doanh nghip va v nh

+ Cc c nhn, h gia nh c hot ng sn xut kinh doanh

+ Cc c nhn c mc thu nhp kh ti cc th

i tng khch hng:

+ VPBank xem xt cp tn dng i vi khch hng l t chc, c

nhn Vit Nam, nc ngoi c nhu cu cp tn dng thc hin cc phng n

u t, phng n sn xut kinh doanh, dch v; hoc d n u t phng n

phc v i sng trong nc v nc ngoi.


44/79

+ Vic cp tn dng khch hng thc hin d n u t, phng n

sn xut kinh doanh, dch v nc ngoi c thc hin theo quy nh ring

ca ngn hng nh nc Vit Nam.2.2.3. Quy trnh nghip v tn dng doanh nghip

Cc bc thc hin ca quy trnh

Quy trnh p dng cho cc khch hng l doanh nghip c nhu cu tn dng

phc v cho sn xut kinh doanh bao gm cc bc

Bng 2.4. Quy trnh nghip v tn dng doanh nghip caVPBank Ng

Quyn

c1.Tip xc vi khch hng- NV A/O DN tip th, gii thiu sn phm- Khch hng n ngn hng xin vay vn

2. Tip nhn h s vay- NV A/O DN lm vic vi khch hng, hngdn th tc v tip nhn h s t khch hng- NV A/O DN chuyn h s TSB sang phngthm nh TSB v xem xt bo co ta chnh

(3a). NV A/O DN thmnh khch hng v mimt. tr TSB


45/79

Cc ch tiu v nghip v xp hng khch hng doanh nghip ca VPBank

Ng QuynBng 2.5. Cc ch tiu xp hng doanh nghip

Ch tiuYu t ti chnh

4. Tp h h s trnh ban TD/Hi ng TDNV A/O DN tp hp h s do khch hng

cung cpv t trnh ca cc b phn lp trnh ban TD/Hi ng TD quyt nh.

6. Thc hin quyt nh cp TDGii ngn / pht hnh BL M L/C

7. Kim tra v s l n vay- NV A/O DN chu trch nhim kim tru chovay v mc ch s dng vnv tnh hnh tichnh, hot ng ca khch hng.-Phng thm nh TSB kim tra v TSB.- A/O DN theo di thu gc, li, phn tch ri rotheo tng i tng, khu vc khch hng.- Kim tra li vic thu li ( S tin, thi hn,giao PKTKT ni b.

(3b). Phng thm nhTSB thc hin nh giTSB v lp t trnh

5. Hon thin h s TD- Phng thm nh TSB lp hp ng bo

m tin vay v lm th tc cng chng nhnbn giao ti sn ( nu c )- NV A/O DN nhp kho h s TSB sau lp v trnh h s TD ban Tng gim choc gim c chi nhnh k duyt.

8. Tt tonHTD


46/79

Ch tiu thanh khon1. Kh nng thanh tonyu t ti chnhCh tu hot ng3. Vng quay hng tn kho ( vng / nm )4. K thu tin bnh qun5. Doanh thu / Tng ti snCh tiu n cn n6. N phi tr / Tng ti sn ( % )7. N phi tr / VCSH ( % )8. N qu hn / Tng d n ( % )9. Thu nhp trc thu / Doanh thu ( % )

10. Thu nhp trc thu / Ti sn c ( % )Thu nhp trc thu / VCSH (% )Cc yu t khcTrnh qun l1. Kinh nghim trong ngnh ca ban gim c2. Tnh kh thi ca phng n kinh doanhTnh hnh giao dch ( vi VPB hoc Ngn hng khc )3. Tr n ng hn4. S ln gin n hoc gia hn n

5. N qu hn trong qu kh ( K c bo lnh / LC quhn )6. S ln chm tr li vayCc yu t bn ngoi7. Trin vng ngnh8. V th cnh tranh9. S lng i th cnh tranh

Cch tnh i vi mt s ch tiu:

Ch tiu thanh ton nhanh hay tc thi ( Quick ratio )

Cc TSL chuyn thanh tin tc thi

Ch tiu thanh ton nhanh = ----------------------------------------------

(tc thi) N ngn hn

Ch tiu thanh ton ngn hn ( Curent ratio )


47/79

Ti sn lu ng

Ch tiu thanh ton ngn hn =--------------------------

N ngn hn) Vng quay hng tn kho ( Inventory ratios )

Doanh thu hng nm

Vng quay hng tn kho = -----------------------------

Hng tn kho bnh qun

K thu n bnh qun ( Average collection period )

Ti khon phi thu bnh qunK thu n bnh qun = --------------------------------------------------

Doanh s bn chu hng ngy bnh qun

T l n trn tng ti sn ( Debt to total assets )

Tng d n

T l n = -----------------

Tng ti sn

Kh nng tr li tin vay ( Interest coverage ratios )

Li nhun trc thu v li vay

Kh nng tr li vay = ----------------------------------------

Chi ph li tin vay

Vi cch nh gi nh sau:

Bng 2.6. Bng nh gi theo cc ch tiu ti chnh

Ch tiu Xp loi nh gi Nhm ri ro87 - 100 A+ Xut xc Thp74 - 86 A Tt Thp61 - 73 B+ Trung bnh Trung bnh48 - 60 B Di trung bnh Trung bnh35 - 47 C+ Ri ro khng thu hi Cao


48/79

cao

0 - 34 CRi ro khng thu hicao Cao

Tuy nhin y khng phi l kt qu cui cng v cht lng ca khon tn

dng c th ang xt. Mun xt cht lng ca khon tn dng lm cn c

xut kin ln ban TD/Hi ng tn dng, A/O cn phi tin hnh nh gi

TSB, sau kt hp gia kt qu xp hng ri ro vi kt qu nh gi TSB

rt ra kt lun cui cng v cht lng khon tn dng.

Tu theo chng loi TSB v t l tin vay trn ca gi tr ti sn, TSB c

nh gi theo ba mc: Mnh Trung bnh ( TB ) - Yu.Bng 2.7. Bng nh gi theo ti sn m bo (TSB)

tt Loi TSBT l tin vay trn gi tr TSB

30%30 -50%

50-65%

6585%

85-100%

1

Bo lnh tn chp cachnh ph hoc

NHNN, NH ngoiquc doanh.

Mnh

2 Tin gi th FK tiVPB

3

Giy t c gi dochnh ph hoc cc

NHTM quc doanhpht hnh

TB

4Bt ng sn ti ccqun ca th lntrc thuc trung ng

Mnh TB Yu5 t mi 100%6

Hng ho thng dng,d chuyn nhng

7 Bt ng sn cchuyn ngoi thnhven th ln thuc

Mnh TB Yu


49/79

trung ng hoc ticc qun ca ththc tnh

8Cc phng tin vnchuyn qua sdng

9

Bo m bng khon phi thu hoc TSBkhc c VPB chpnhn

TB yu

10

My mc, thit b snxut mi nhp khu

( di 1 nm ), cngngh hin i

11

Bt ng sn ven th thuc tnh hoc btng sn khc nngthn

TB Yu

12

My mc thit b snxut c hoc mua lica n v khc, hoc

mi nhng cng nghlc hu yu

13Hng ho khngthng dng hoc tnkho lu ngy

Bng 2.8. Bng nh gi tn dng kt hp:

Xp loi ri roa+ a b+ b c+ c

Ri ro thpRi ro trung

bnh Ri ro cao

XphngTSB

Mnh Xut xc Tt TBTrung

bnh Tt TB T chiYu TB Tt


50/79

A/O s dng bng nh gi tn dng kt hp tin hnh nh gi.

Trong bng ny theo hng ngang l cc mc xp hng ri ro ca khch hng,

chia lm 3 nhm:- Nhm ri ro thp gm cc loi A+ v A

- Nhm ri ro trung bnh gm cc loi B+ v B

- Nhm ri ro cao bao gm cc loi C+ v C

Theo hng dc l cc mc xp hng nh gi TSB, cng chia lm 3 nhm:

- Nhm TSB Mnh

- Nhm TSB Trung bnh- Nhm TSB Yu

Kt qu nh gi TD kt hp l nm giao im gia mc xp hng ri ro

v mc xp hng TSB ca khch hng .

Kt qu nh gi TD kt hp s l mt trong nhng cn c ban TD/Hi

ng tn dng xt duyt khon tn dng. Da vo kt qu c th ca mi khch

hng, A/O s xut kin gii quyt theo:

- Ph duyt nhng khon tn dng t kt qu nh gi tn dng kt hp t

TB tr ln, u tin nhng khon tn dng c mc nh gi Tt v Xut

xc

- p dng mc li sut v ph bi thng theo quy nh hin hnh ca VPB

i vi cc khch hng loi TB, p dng li sut v ph gim dn theo th t

u tin i vi khch hng thuc cc loi: TB Tt Xut xc


51/79

CHNG 3:

NG DNG M HNH LOGISTIC XP HNG KHCH HNG

DOANH NGHIP TI NGN HNG VPBANK - NG QUYN

C rt nhiu phng php xp hng tn dng i vi khch hng doanh

nghip. Tu tng ngn hng th c nhng phng php xp hng khc nhau. i

vi ngn hng VPBank chi nhnh Ng Quyn, bn cnh phng php xp

hng ni trn, sau y em s a ra mt phng php khc - ng dng m hnh


52/79

LOGISTIC xp hng khch hng doanh nghip ti ngn hng VPBank Ng

Quyn.

3.1. ng dng m hnh LOGIT vi y cc bin s vo mt s khch hngca ngn hng VPBank Ng Quyn

S dng s liu l 11 ch tiu nh lng xp hng doanh nghip ca 50

doanh nghip hin ang c quan h tn dng vi VPBank chi nhnh Ng

Quyn

K hiu:

Bin ph thuc Y: Tnh trng n ca khch hng ( doanh nghip )Vic phn chia da trn tnh trng chim dng vn ca cc

doanh nghip

Y = 0: Doanh nghip khng c n khng tiu chun

Y = 1: Doanh nghip c n khng tiu chun

Cc bin c lp X: Quy m ca doanh nghip

Vic phn chia ph thuc vo tng ti sn (


53/79

X8: Tng li tc sau thu trn ngun vn ch s hu( ROE)

X9: Tng li tc sau thu trn tng ti sn

X10: Hiu qu s dng ti sn (Doanh thu thun trn tng ti sn )


54/79

Bng 3.1. Bng ma trn h s tng quan ca cc bin

Y D1 X1 X2 X3 X4 X5 X6 X7 X8 X9 X10

Y 1 0.26726

1

0.20429

1

0.14129

8

-0.1659 0.23169

1

-0.25483 0.18457

5

0.13905

6

0.01604

5

0.20236

6

0.21455

8

D

1

0.26726

1

1 0.19661

9

0.22720

9

-0.10473 0.16999 -0.18106 0.14187

4

0.42766

4

0.22055

1

0.31130

5

-0.07015

X1 0.20429

1

0.19661

9

1 0.95122

3

-0.10783 0.69104

7

-0.3829 0.33989

9

0.21572

7

0.07223

8

0.44989

6

0.13815

3

X2 0.14129

8

0.22720

9

0.95122

3

1 -0.04587 0.62336 -0.31371 0.35137 0.32184 0.13095 0.45930

6

0.11440

6

X3 -0.1659 -0.10473 -0.10783 -0.04587 1 -0.33658 0.76236

8

-0.09747 0.33590

4

0.14341

8

-0.13494 -0.25551

X4 0.23169

1

0.16999 0.69104

7

0.62336 -0.33658 1 -0.7412 0.24110

2

0.10207 -0.13374 0.42947

1

0.23032

9

X5 -0.25483 -0.18106 -0.3829 -0.31371 0.76236

8

-0.7412 1 -0.15945 0.09609

5

0.18327

9

-0.31634 -0.23163

X6 0.18457

5

0.14187

4

0.33989

9

0.35137 -0.09747 0.24110

2

-0.15945 1 0.20231 0.33527

4

0.56971 -0.00535


55/79

Ta thy h s tng quan ca mt s cp bin s l rt ln, nh:

r(X1,X2) = 0.951223

r(X3,X5) = 0.762368r(X1,X4) = 0.691047

r(X2,X4) = 0.62336

Tc l cc bin c tng quan cht vi nhau, nu gi nguyn cc bin v

hi quy th kt qu s khng chnh xc v c th xy ra cc hin tng l khng

tch c nh hng ca cc bin ti bin ph thuc, ngha ca cc bin sai v

mt kinh t. V vy da vo bng ma trn h s tng quan ca cc bin xcnh cc cp bin c quan h tng quan cht loi mt hoc c hai bin trong

mi cp .

Ngoi ra ta c th kt hp cc kim nh sau vic loi bin c chnh

xc:

c lng m hnh Logit vi y cc bin s, ta thu c kt qu sau:

Variable Coefficient Std. Error z-Statistic Prob.

D1 1.192121 0.974617 1.223169 0.2213X1 1.896150 1.004133 1.888345 0.0590

X2 -1.878610 1.033080 -1.818456 0.0690

X3 215.7457 625.2673 0.345046 0.7301X4 -12.52131 7.043104 -1.777811 0.0754

X5 -0.674376 0.885391 -0.761670 0.4463X6 0.025879 0.025619 1.010161 0.3124

X7 13.70830 7.355708 1.863627 0.0624X8 -31.03930 17.78750 -1.745007 0.0810

X9 39.60053 27.96949 1.415847 0.1568

X10 1.873597 1.009471 1.856019 0.0635

C 3.542004 3.714154 0.953650 0.3403

T bng trn ta thy h s ca cc bin kh nng thanh ton nhanh, n

phi tr trn tng ti sn, n phi tr trn ngun vn ch s hu, ROE u mang

du m, iu ny l bt hp l v mt kinh t. Nguyn nhn l do tng quan


56/79

gia cc bin vi nhau. Gi tr p-value ca X3 = 0.7301 chng t rng h s ca

bin ny rt c kh nng = 0, ta s tin hnh b bin X3 ra khi m hnh.

kim tra xem c th b bin X3 ra khi m hnh khng ta s dng kimnh Wald Test:

Ho: C(4) = 0

H1: C(4) 0

Wald Test:

Equation: Untitled

Null Hypothesis: C(4)=0

F-statistic 0.119056403194 Probabilit

y

0.73196

Chi-square 0.119056403194 Probability

0.73006

Kt qu kim nh cho thy C(4) = 0 do kim nh F c P = 0.73196 > 0.05

v kim nh 2c P = 0.73006 > 0.05. Chp nhn gi thit Ho.

Vy ta c th b bin X3 ra khi m hnh. Th hi quy li cc bin trn khi

khng c X3. Ta c c kt qu sau:


D1 1.123395 0.943822 1.190261 0.2339

X1 1.840920 0.977601 1.883100 0.0597

X2 -1.816673 1.004981 -1.807669 0.0707

X4 -12.14723 7.275309 -1.669651 0.0950

X5 -0.568638 0.855819 -0.664437 0.5064

X6 0.024617 0.025028 0.983616 0.3253

X7 13.65584 7.256692 1.881827 0.0599

X8 -30.78391 17.67848 -1.741321 0.0816

X9 39.92666 28.15955 1.417873 0.1562

X10 1.776629 0.940602 1.888821 0.0589

C 3.475079 4.172130 0.832927 0.4049

T bng trn thng k t ca X5 = -0.568638, gi tr p-value ca X5

= 0.5064, chng t h s ca bin ny c th = 0.

Kim nh:


57/79

Ho: C(5) = 0

H1: C(5) 0

Wald Test:Equation: Untitled


F-statistic 0.4414765551 Probability 0.51032

Chi-square 0.4414765551 Probability 0.50641

Kt qu kim nh cho thy C(5) = 0 do kim nh F c P = 0.51032 >

0.05 v kim nh 2c P = 0.50641 > 0.05. Chp nhn gi thit Ho.

Vy ta c th b bin X5 ra khi m hnh. Th hi quy li cc bin trn khi

khng c X5. Ta c c kt qu sau:


D1 1.171353 0.929718 1.259902 0.2077

X1 1.746575 0.961692 1.816148 0.0693

X2 -1.763154 0.996877 -1.768678 0.0769

X4 -9.446807 5.276317 -1.790417 0.0734

X6 0.024037 0.025884 0.928635 0.3531

X7 12.99455 6.778930 1.916903 0.0553X8 -32.30504 16.54775 -1.952231 0.0509

X9 43.07412 25.92424 1.661539 0.0966

X10 1.803707 0.942358 1.914037 0.0556

C 1.447431 2.353546 0.615000 0.5386

Ta thy p-value ca bin X6 = 0.3531 > 0.05 v p-value ca bin C =

0.5386 > 0.05, chng t rng h s ca cc bin ny c th bng 0.

Kim nh:Ho: C(5) = 0, C(10) = 0

H1: C(5) 0, C(10) 0

Wald Test:


58/79

Equation: Untitled


C(10)=0



Ta thy kim inh F c P = 0.500695 > 0.05 v kim nh 2 c P =

0.494671 > 0.05, vy chp nhn gi thit Ho. Tin hnh hi quy cc bin cn li

khi khng c bin X6 v C.


D1 0.973696 0.874424 1.113529 0.2655

X1 1.551583 0.868897 1.785691 0.0741

X2 -1.573429 0.908512 -1.731875 0.0833

X4 -6.062617 2.691582 -2.252436 0.0243

X7 11.10615 5.981732 1.856677 0.0634

X8 -22.83146 8.879521 -2.571249 0.0101

X9 29.41683 12.89567 2.281141 0.0225

X10 1.707614 0.886749 1.925702 0.0541

Ta thy bin D1 c p-value = 0.2655 > 0.05, chng t h s ca binny

rt c th bng 0.

Kim nh :

Ho: C(1) = 0

H1: C(1) 0

Wald Test:

Equation: Untitled

Null

Hypothesis:

C(1)=0


59/79



Kt qu kim nh cho thy C(1) = 0 do kim nh F c P = 0.271814 v

kim nh 2c P = 0.265481 > 0.05, vy chp nhn gi thit Ho. Hi quy li cc

bin khi khng c bin D1.

Variable Coefficien

t

Std. Error z-Statistic Prob.

X1 1.434456 0.802578 1.787309 0.0739

X2 -1.449024 0.866151 -1.672945 0.0943X4 -5.980214 2.609746 -2.291493 0.0219

X7 12.32075 5.632256 2.187533 0.0287

X8 -22.86419 8.435738 -2.710396 0.0067

X9 30.37381 12.68636 2.394209 0.0167

X10 1.792656 0.872332 2.055014 0.0399

Nh vy c th m t xc sut c n khng tiu chun ca doanh

nghip nh sau:

*793.19*37.308*86.227*32.125*982.52*449.11*43.1exp(1

793.19*37.308*86.227*32.124*982.52*449.11*43.1exp(

XXXXXX

XXXXXXXPi

++++

+++=

P-value ca cc h s phng trnh trn c ngha vi mc ngha 15%.

Cc bin s tc ng n xc sut xy ra n khng tiu chun bao gm:

X1: Kh nng thanh ton ngn hn

X2: Kh nng thanh ton nhanh

X4: N phi tr trn tng ti sn

X7: Li nhun sau thu trn doanh thu

X8: Tng li tc sau thu trn ngun vn ch s hu ( ROE)

X9: Tng li tc sau thu trn tng ti sn


60/79

X10: Hiu qu s dng ti sn (Doanh thu thun trn tng ti sn)

Tnh trng n ca doanh nghip ph thuc 1.434456 vo kh nng thanh

ton ngn hn, -1.449024 vo kh nng thanh ton nhanh, -5.980214 vo n phitr trn tng ti sn, 12.32075 vo li nhun sau thu trn doanh thu, -22.86419

vo ROE, 30.37381 vo ROA, 1.792656 vo hiu qu s dng ti sn. Trong

Kh nng thanh ton nhanh, N phi tr trn tng ti sn ,ROE tc ng m ti

tnh trng n ca doanh nghip v Kh nng thanh ton ngn hn, li nhun sau

thu trn doanh thu, ROA, hiu qu s dng ti sn tc ng dng ti tnh trng

n ca doanh nghip.

Bng 3.7. Bng so snh kt qu hng v xc sut n khng tiu chun

( KTC ) ca 50 DN

STTcc

cng ty

Xc sut nKTC

Xp hng ti VPB - NgQuyn

1 0.0164803 A+2 0.0426518 A+3 0.0640561 A+4 0.0815994 A+5 0.0863142 A+


61/79

6 0.1024201 A7 0.1995222 A8 0.2018065 B+9 0.2299520 B+

10 0.2648686 B+11 0.2843790 B+12 0.2847372 B+13 0.2930685 B+14 0.3410943 B+15 0.3523912 B+16 0.3539158 B+17 0.3539353 B+

18 0.3635200 B+19 0.3960667 B+20 0.4050807 B21 0.4186262 B22 0.4207671 B23 0.4229262 B24 0.4257238 B25 0.4498142 B26 0.4640752 B

27 0.4667833 B28 0.4738493 B29 0.5170286 B30 0.517168 B31 0.5175199 B32 0.5483944 B33 0.5615608 B34 0.5764677 B35 0.6443461 C+

36 0.68602 C+37 0.6976173 C+38 0.7143504 C+39 0.7415317 C+40 0.7572428 C+41 0.7661409 C+


62/79

42 0.7730426 C+43 0.8200051 C44 0.8288022 C45 0.8773489 C46 0.9138767 C47 0.9409918 C48 0.952017 C49 0.9836214 C50 0.999171 C

T kt qu trn ta c th rt ra mi quan h gia hai cch xp hng c m

t bng bng sau:Bng 3.8. Bng m t xp loi da vo xc sut n KTC v hng ca KH

STTHng ca khch

hngXc sut c n khng tiu

chun1 A+ 0 0.12 A 0.1 0.23 B+ 0.2 0.44 B 0.4 0.6

5 C+

0.6 0.86 C 0.8 1

3.2. Mt s gii php nhm phng nga v hn ch ri ro tn dng

Hot ng tn dng lun l mt hot ng c bn v quan trng nht ca

NHTM. V vy vic phng nga v hn ch ri ro tn dng l rt quan trng i

vi hot ng tn dng ca ngn hng.

3.2.1. Nng cao cht lng cng tc thm nh v phn tch tn dng R sot, chnh sa v hon thin cc quy trnh ni b, ng dng thng tin

ph hp vi cc thng tin ca php lut c lin quan.

Thu thp thng tin v cc khch hng cn kp thi v chnh xc


63/79

- i vi khch hng c nhn: Cn theo di, nm bt c thng tin c

nhn ca khch hng mt cch kp thi, chnh xc v: Tui tc, trnh hc vn,

cng vic ang lm c c nh gi chnh xc v tnh hnh ti chnh vkh nng tr n ca khch hng thng qua m hnh im s tn dng i vi

khch hng c nhn.

- i vi khch hng doanh nghip: Cn thu thp kp thi v tnh hnh sn

xut kinh doanh, tnh hnh ti chnh ca khch hng . t c chnh sch

cp tn dng v qun l tn dng mt cch c hiu qu, trnh c nhng ri ro

tim n trong hot ng tn dng.- Cn ch trng n cng tc o to v bi dng ngun nhn lc c

nng lc, trnh , o c ngh nghip thc hin cc hot ng nghip v,

c c ch y quyn, quy nh trch nhim i cn b ph trch v tc nghip.

- Cn tng cng cng tc kim tra, kim sot, kim ton ni b v ng dng

cng ngh mi kp thi pht hin, ngn nga sai phm, ri ro

3.2.2. S dng cc bo m tn dng

NH cn quan tm ti khu nh gi ti sn mt cch chun xc v m bo

y tnh php l ca nhng ti sn ny.

Vi ti sn th chp, NH cng cn kim tra xem vic s dng ti sn c hp

l, ng nh cam kt hay khng.

Vi cc m bo bng bo lnh, nhng ni dung gim st ngi bo lnh

cng ging nh i vi khch hng i vay ( tuy nhin phn ln l gim st gin

tip thng qua thng tin thu thp c ).

3.2.3. Ch trng cng tc thu thp thng tin tn dng

- Thc hin vic qun l d liu tp trung, m bo c sn thng tin cho cc

nh qun tr khi a ra quyt nh cho vay.


64/79

- Trin khai vic xp hng tn dng i vi khch hng vay, nng cp m

bo chnh xc v kp thi h thng thng tin bo co v qun tr ri ro.

- Tng cng vic s dng cc thng tin lin b, lin ngnh gp phn h trtrong vic a ra cc quyt nh tn dng mt cch chnh xc.

3.2.4.Tun thu nghim ngt quy trnh tn dng

Quy trnh tn dng l qu trnh cp tn dng ca ngn hng bao gm nhiu

giai on v c quan h cht ch vi nhau: mang tnh cht lin hon, theo mt

trt t nht nh, kt qu ca giai on trc l c s thc hin giai on tip

theo v tc ng n cht lng ca giai on sau; trong mi giai on li baogm nhiu cng vic c thc hin theo h thng nhng nguyn tc v nhng

quy nh.

Hin nay, cc NHTM u c thit lp quy trnh tn dng, gip cho cc nh

qun tr tn dng c thng tin y trc khi quyt nh cp tn dng, bao gm:

- Lp h s ngh cp tn dng

- Phn tch tn dng

- Ra quyt nh tn dng

- Gii ngn

- Gim st v thu hi n

- Thanh l hp ng tn dng

3.2.5. S dng cc nghip v phi sinh tn dng phng nga ri ro

Ngy nay cc nh qun l ri ro ang c tp trung vo hai lnh vc. Th

nht, pht trin cc m hnh o lng ri ro tn dng. Th hai, a ra cc hp

ng phi sinh c th chuyn giao ri ro tn dng.

Phi sinh tn dng l mt nghip v cho php cc NH v cc t chc tn dng

chuyn ri ro tn dng sang nhng t chc sn sang chp nhn ri ro khc.


65/79

Gn y, s ch tp trung v vic chuyn giao ri ro tn dng t mt NH

sang mt i tc khc bng cch s dng cc hp ng phi sinh tn dng. c

im chung ca nhng cng c qun l ri ro ny chnh l chng gi nguyn ccti sn c trn s sch k ton ca nhng t chc khi to ra nhng ti sn ,

ng thi s chuyn giao mt phn ri ro tn dng c sn trong nhng ti sn ny

sang cc i tc khc, thng qua s t c mt s mc tiu: Cc t chc

khi to c mt phng tin chuyn giao ri ro tn dng m khng cn bn ti

sn i; khi vic bn ti sn c lm suy yu mi quan h ca NH vi khch

hng, th chuyn giao ri ro tn dng s cho php NH ny duy tr c cc miquan h sn c.

Cc cng c phi sinh tn dng bao gm:

i) Hon i tng thu nhp

ii) Hon i tn dng

iii) Hp ng quyn chn tn dng

iv) Hp ng trao i cc khon tn dng ri ro

Tuy nhin, chnh sch qun l hin nay i vi cc cng c phi sinh tn dng

l khng tha nhn tim nng lm gim ri ro ca chng. Cc ngn hng Trung

ng ch tin rng cc cng c phi sinh l p ng c cc yu cu v vn d

phng khi chng c s dng bo v cc ti sn c trong cc hot ng u

t ca NH, nhng i vi cc ti sn c trn cc s sch v hot ng cho vay th

khng. T gc tim nng, trong nhiu trng hp, vic qun l ri ro tn dng

bng cc cng c phi sinh hiu qu hn chnh sch hin nay v vn d phng

bt buc. V th vic s dng cc cng c phi sinh tn dng cn phi c xem

xt k lng nhm gp phn hn ch ri ro tn dng cho NH.


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KT LUN

Ngn hng c th c coi l tri tim ca nn kinh t. Ni dung cc mt hot

ng ca ngn hng bao qut n ton b hot ng ca nn kinh t, n mi i

tng, t chc, c nhn lin quan n lnh vc tin t, tn dng, thanh ton, ngoi

hi v ngn hng trong nc v cc quan h giao dch vi nc ngoi .

Cng nh mi hot ng kinh doanh khc, hot ng tn dng ca NHTM

Vit Nam hin nay ang pht trin mnh m v n tr thnh mt yu t khng

th thiu c i vi nn kinh t. Tuy nhin trong hot ng tn dng th ri ro


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tn dng l iu khng th trnh khi i vi mi Ngn hng. Chnh v vy vic

xp hng khch hng l rt cn thit, gip cc Ngn hng hn ch c phn no

ri ro, qun l c khch hngV vy, hin nay vic i mi hot ng theohng nng cao hiu qu tn dng phi c coi l khu then cht trong tin

trnh i mi chung ca ngnh ngn hng.

Qua thi gian nghin cu ti v thc tp gip em hiu thm kin thc thc

t v tn dng, ri ro tn dng, hiu qu hot ng tn dng, xp hng tn dng

trong hot ng chi vay ca ngn hng v hiu su thm v kin thc chuyn

ngnh m mnh hc. Tuy nhin, do vn nghin cu phc tp, thi gian vkinh nghim cn hn ch nn chuyn khng th trnh khi nhng sai st. Em

rt mong c s ng gp ch bo ca cc thy c, cc anh ch trong phng

cng nh ca cc bn hc s gip cho em cng c li kin thc cng nh kinh

nghim thc t pht trin trong cc nghin cu sau ny tt hn.

Xin chn thnh cm n!

DANH MC TI LIU THAM KHO

1. Nguyn Quang Dong, Kinh t lng chng trnh nng cao, NXB Khoa hc

k thut, 2007, H Ni.

2. Phm Th Thu H, Gio trnh ngn hng thng mi. NXB Thng k, 2006.

3. Tp ch Ngn hng v Tp ch Ti chnh tin t cc nm 2007, 2008.

4. Ri ro tn dng v qun tr ri ro tn dng , Ngn hng TMCP cc doanh

nghip ngoi quc doanh chi nhnh Ng Quyn.

5. Nguyn Vn Tin, nh gi v phng nga ri ro, NXB Thng k 2002.


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6. Nguyn Vn Tin, Qun tr ri ro trong kinh doanh ngn hng, Hc vin ngn

hng.

7. Website: http://w.w.w.vpb.com.vn.

PH LC

Bng 3.2 M hnh vi y bin s

Dependent Variable: YMethod: ML - Binary Logit (Quadratic hill climbing)Date: 04/15/09 Time: 02:55Sample: 1 50Included observations: 50Convergence achieved after 6 iterationsCovariance matrix computed using second derivatives


D1 1.192121 0.974617 1.223169 0.2213X1 1.896150 1.004133 1.888345 0.0590


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X2 -1.878610 1.033080 -1.818456 0.0690X3 215.7457 625.2673 0.345046 0.7301X4 -12.52131 7.043104 -1.777811 0.0754X5 -0.674376 0.885391 -0.761670 0.4463

X6 0.025879 0.025619 1.010161 0.3124X7 13.70830 7.355708 1.863627 0.0624X8 -31.03930 17.78750 -1.745007 0.0810X9 39.60053 27.96949 1.415847 0.1568X10 1.873597 1.009471 1.856019 0.0635C 3.542004 3.714154 0.953650 0.3403

Mean dependent var 0.500000 S.D. dependent var 0.505076

S.E. of regression 0.466516 Akaike info criterion 1.457668

Sum squared resid 8.270226 Schwarz criterion 1.916553

Log likelihood -24.44170 Hannan-Quinn criter. 1.632414

Restr. log likelihood -34.65736 Avg. log likelihood -0.488834

LR statistic (11 df) 20.43132 McFadden R-squared 0.294762

Probability(LR stat) 0.039765

Obs with Dep=0 25 Total obs 50Obs with Dep=1 25

Estimation Command:

=====================

BINARY(D=L) Y D1 X1 X2 X3 X4 X5 X6 X7 X8 X9 X10 C

Estimation Equation:

=====================

Y = 1-@LOGIT(-(C(1)*D1 + C(2)*X1 + C(3)*X2 + C(4)*X3 + C(5)*X4 + C(6)*X5 +

C(7)*X6 + C(8)*X7 + C(9)*X8 + C(10)*X9 + C(11)*X10 + C(12)))

Substituted Coefficients:


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=====================

Y = 1-@LOGIT(-(1.192120817*D1 + 1.896149661*X1 - 1.878610069*X2 +

215.7456648*X3 - 12.52130606*X4 - 0.6743757933*X5 + 0.02587883284*X6 +13.70829549*X7 - 31.03929847*X8 + 39.60052531*X9 + 1.873596795*X10 +

3.542003601))

Bng 3.3 M hnh b bin X3

Dependent Variable: YMethod: ML - Binary Logit (Quadratic hill climbing)

Date: 04/15/09 Time: 02:57

Sample: 1 50

Included observations: 50

Convergence achieved after 7 iterations

Covariance matrix computed using second derivatives


D1 1.123395 0.943822 1.190261 0.2339

X1 1.840920 0.977601 1.883100 0.0597

X2 -1.816673 1.004981 -1.807669 0.0707

X4 -12.14723 7.275309 -1.669651 0.0950

X5 -0.568638 0.855819 -0.664437 0.5064

X6 0.024617 0.025028 0.983616 0.3253


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X7 13.65584 7.256692 1.881827 0.0599

X8 -30.78391 17.67848 -1.741321 0.0816

X9 39.92666 28.15955 1.417873 0.1562

X10 1.776629 0.940602 1.888821 0.0589

C 3.475079 4.172130 0.832927 0.4049









Estimation Command:

=====================

BINARY(D=L) Y D1 X1 X2 X4 X5 X6 X7 X8 X9 X10 C


=====================


C(7)*X7 + C(8)*X8 + C(9)*X9 + C(10)*X10 + C(11)))


=====================

Y = 1-@LOGIT(-(1.123394522*D1 + 1.840919775*X1 - 1.81667334*X2 -

12.14722762*X4 - 0.5686377381*X5 + 0.02461747423*X6 + 13.65584081*X7 -

30.78390632*X8 + 39.92665824*X9 + 1.776628789*X10 + 3.475078745))


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Bng 3.4.M hnh b bin X5

Dependent Variable: YMethod: ML - Binary Logit (Quadratic hill climbing)Date: 04/15/09 Time: 03:02Sample: 1 50

Included observations: 50Convergence achieved after 6 iterationsCovariance matrix computed using second derivatives


D1 1.171353 0.929718 1.259902 0.2077X1 1.746575 0.961692 1.816148 0.0693

X2 -1.763154 0.996877 -1.768678 0.0769X4 -9.446807 5.276317 -1.790417 0.0734X6 0.024037 0.025884 0.928635 0.3531X7 12.99455 6.778930 1.916903 0.0553X8 -32.30504 16.54775 -1.952231 0.0509X9 43.07412 25.92424 1.661539 0.0966

X10 1.803707 0.942358 1.914037 0.0556C 1.447431 2.353546 0.615000 0.5386








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Estimation Command:

=====================

BINARY(D=L) Y D1 X1 X2 X4 X6 X7 X8 X9 X10 C


=====================


C(7)*X8 + C(8)*X9 + C(9)*X10 + C(10)))


=====================

Y = 1-@LOGIT(-(1.171352628*D1 + 1.746574717*X1 - 1.763154091*X2 -

9.446807356*X4 + 0.02403656361*X6 + 12.99455068*X7 - 32.30503684*X8 +

43.07412104*X9 + 1.803707306*X10 + 1.447431124))


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Bng 3.5 M hnh b bin X6 v C

Dependent Variable: YMethod: ML - Binary Logit (Quadratic hill climbing)

Date: 04/15/09 Time: 03:07Sample: 1 50Included observations: 50

Convergence achieved after 5 iterationsCovariance matrix computed using second derivatives


D1 0.973696 0.874424 1.113529 0.2655X1 1.551583 0.868897 1.785691 0.0741X2 -1.573429 0.908512 -1.731875 0.0833X4 -6.062617 2.691582 -2.252436 0.0243X7 11.10615 5.981732 1.856677 0.0634X8 -22.83146 8.879521 -2.571249 0.0101X9 29.41683 12.89567 2.281141 0.0225X10 1.707614 0.886749 1.925702 0.0541





Avg. log likelihood -0.513270


Estimation Command:

=====================

BINARY(D=L) Y D1 X1 X2 X4 X7 X8 X9 X10


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=====================Y = 1-@LOGIT(-(C(1)*D1 + C(2)*X1 + C(3)*X2 + C(4)*X4 + C(5)*X7 + C(6)*X8 +

C(7)*X9 + C(8)*X10))


=====================

Y = 1-@LOGIT(-(0.9736960541*D1 + 1.551582763*X1 - 1.573429241*X2 -

6.062617181*X4 + 11.10614515*X7 - 22.83145986*X8 + 29.41683461*X9 +

1.707614107*X10))

Bng 3.6 M hnh b bin D1

Dependent Variable: YMethod: ML - Binary Logit

Chuyên đề tốt nghiệp- Phùng Thị Nhung

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