Hoàn thiện hệ thống xếp hạng tín dụng ngân hàng nông nghiệp và phát triển nông thôn việt nam


P. HCM






PHMăTHăNGCăPHNG






HOĨNăTHINăHăTHNGăXPăHNGăTệNăDNG
NGỂNăHĨNGăNỌNGăNGHIPăVĨăPHÁTăTRIN
NỌNGăTHỌNăVITăNAM






LUNăVNăTHCăSăKINHăT

- N2015



P. HCM



PHMăTHăNGCăPHNG




HOĨNăTHINăHăTHNGăXPăHNGăTệNăDNG
NGỂNăHĨNGăNỌNGăNGHIPăVĨăPHÁTăTRIN
NỌNGăTHỌNăVITăNAM


Chuyên ngành: Tài chính  Ngân hàng
Mã s: 60340201



LUNăVNăTHCăSăKINHăT

: PGS.TS.ăTRNGăQUANGăTHỌNG





- 2015


LIăCAMăOAN






Tp. H Chí Minh, ngày tháng nm 2015
Tácăgi


PhmăThăNgcăPhng


MCăLC

T
L

D

D
MăU 1
Chng 1: TngăquanăvăxpăhngătínădngătiăngơnăhƠngăthngămi 4
1.1. T 4
 5
1.3.  13
1.4. 
 15
Chngă2:ăThcătrngăhăthngăxpăhngătínădngăcaăNgơnăhƠngăNôngănghipă
vƠăPhátătrinănôngăthônăVităNam 22
 22
2.1.1.  22
2.1.2.  24
  27
 30


2.3.1. pháp  30
2.3.2.  30
2.3.3.  31
2.3.4.  31
2.4. So sánh 
t Nam 44
2.4.1.  44
2.4.2.  47
2.5 51
Chngă3: GiiăphápăhoƠnăthinăhăthngăxpăhngătínădngăcaăNgơnăhƠngăNôngă
nghipăvƠăPhát trinănôngăthônăVităNam 61
3.1.   62
3.2. G 64

3.3.  75
KTăLUN 78




DANHăMCăCÁCăKụăHIU,ăCHăVITăTT

ACB : 
Agribank : 
BCTC : Báo cáo tài chính
CBTD : 
CIC : 
DN : Doa
DNNN : 
 : 
HTXH : 
IPCAS : 
KH : Khách hàng
 : 
NHNN : 
NHNo&PTNT VN 
NHTM : 
PLN : 
TMCP : 
TCTD : 
 : 


TTKH : Thông tin khách hàng

TTPN&XLRR : 
UBND : 
VCB : 
XHKH : 
XHTD : 
XHTDNB : 


DANHăMCăBNGăBIU

  5
2: tiêu chí  14
3:  18
4:  18
5:    19
  33
  35
  36
  37
  39
  41
 Tr 42
  42
 ACB và Vietcombank 50
  66
   66


DANHăMCăHỊNHăV

Hình 2.1: 
 24
Hình 2.2: m 25
Hình 2.3:  32
1



MăU

1. LỦădoăchnăđătƠi

các  
 o, 

 có
  .


 
ro.
XPNông thôn
 
 
 
 trong ngân hàng.
 
       c nhau.      P 
N
-NHNN

 
11 
2




 




.  là á 
 ribank  
c  
.
2. Mcătiêuănghiênăcu
Nghiên :
(1) 
(2)  và  

Nam
(3) 
.
3. iătngăvƠăphmăviănghiênăcu
              
p .
  
Agribank m 2011  2013 
.

3



4. Phngăphápănghiênăcu

 
Sso sánh 
khác
 
5. Ktăcuăcaălunăvn

:
  
 2:  Ngân 
N
             hàng
N
6. ụănghaăkhoaăhcăvƠăthcătinăcaăđătƠi
;

   
 
4



CHNGă1
TNGăQUAN VăXPăHNGăTệNăDNG TIăNGỂNăHĨNGă

THNGăMI

1.1. TínădngăvƠăriăroătínădng
1.1.1. Kháiănimătínădng
T
 :
               




1.1.2. Riăroătínădng




vi 
Theo  02/2013/TTNHNN ngày 21/01/2013 
Ri ro tín dng trong hot đng ngân hàng 



5



KPMG 


Bngă1.1:ăYuătătoănênăriăroătínădngătrongăNgơnăhƠngă

YuătăbênăngoƠi
Yuătăniăti












Ngun: KPMG Vit Nam
 

Ta
 y 
 là


1.2. Tngăquanăvăxpăhngătínădng vƠăhăthngăxpăhngătínădng
1.2.1. Kháiănimăvăxp hngătínădng

NHTM) 
cho khách hàng. Tùy 

 
6

 

 ,             



1.2.2. Hăthngăxpăhngătínădng



                


1.2.3. iătngăcaăxpăhngătínădng

,

)


  
 
 i ro
              
khách hàng 
7



 
:
- a khách hàng.
- N 


- N
 
, 
 
n.
1.2.4. Cácăphngăphápăxpăhngătínădng
Có hai mô
 
 a và 

- 
1


 
             
khách hàng


1

8



- 
2
: mô hình 


p.
   

              
3
 
 -IRB)
4

nâng cao (A-IRB)
5
.
- Theo  pháp XHTD    khách hàng   các TCTD  
xác    (Probability of Default - PD) cho   XHTD  khách hàng, các
tham      (Loss Given at Default - LGD),  ro   (Exposure at
Default - EAD) và      (M)      quan  lý,
giám sát (Ngân hàng Trung 
- Theo  pháp XHTD tiên   khách hàng   các TCTD 
 các tham  PD cho   XHTD  khách hàng, LGD cho   

    EAD cho     vay và tính toán M theo  
  quan  lý, giám sát.   khách hàng cá nhân, các tham   ro PD,
LGD và EAD  các TCTD  ng theo   khách hàng.
        

 và F-IRB. Trong khi xu   các     trên t  là 
  các  pháp trong   tâm là : F-IRB và A-IRB. 


2

3
Approach (SA)]
4
-Based Approach (F-IRB)]
5
-Based Approach (A-IRB)]
9



-

 

 p
áp nào.
1.2.5. Vaiătròăcaăxpăhngătínădng
1.2.5.1. LaăchnăkháchăhƠng cpătínădng
 


 n 
. 


 
 






vay,  


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1.2.5.2. XơyădngăchínhăsáchăkháchăhƠngăvƠăchínhăsáchătínădngă
     các chính









1.2.5.3. Xơyădngădanhămcătínădngă

  
 
1.2.5.4. PhơnăloiănăvƠătríchălpădăphòngăriăroă
      -    
TCTD) 



tính toán và             -
NHNN ngày 22/4/2005 và sau ngày 1/6/2014 là   -NHNN ngày
21/01/2013.
   

11



1.2.6. NguyênătcăvƠăquyătrìnhăxpăhngătínădng
1.2.6.1. Nguyênătcăxpăhngătínădngă

tích 


 


1.2.6.2. Quyătrìnhăxpăhngătínădngă



ành, quy mô



Thuăthpăthôngătină




àng, thô


12



PhơnăloiătheoăngƠnhăvƠăquyămô

khác nhau và 

                



, 
, 
, 

PhơnătíchăvƠăchmăđimăcácăchătiêuă





t




aăraăktăquăxpăhngătínădngă
CBTD)

13





PhêăchunăvƠăsădngăktăquăxpăhngă
  
, 
à 




1.3. Mtăs mô hình xpăhngătínădng
1.3.1. MôăhìnhăđimăsăZă(Zăậ Credit scoring model)
                



- Tr
-   

Z = 1,2 X1 + 1.4 X2 + 3.3 X3 + 0.6 X4 + 1.0 X5

 X1 = H
 
 
14



 

 
 K

1.3.2. MôăhìnhăđimăsătínădngăcáănhơnăcaăFICO



Theo FICO, 
 
gân

khách hàng vay.
Bngă1.2:ăTătrngăcácătiêuăchíăđánhăgiáătrongămôăhìnhăđimăsătínădngăcaăFICO
Tătrng
Tiêuăchíăđánhăgiá

35%

m 
30%
 làm

15%


10%


10%


(Ngun: www.fico.com/en/)
15



 thông tin
liên 


1.4. Kinhănghimăvăxpăhngătínădngăcaăcác ngơnăhƠngătrênăthăgii,ă
caătăchcăkimătoánăvƠăNgơnăhƠngăthngămiăVităNam.ă

 




ác 

1.4.1. KinhănghimăxpăhngăcaăcácăNgơnăhƠngătrênăthăgii
1.4.1.1. KinhănghimăxpăhngăcaăcácăNgơnăhƠngăthngămiăM
      

- 
     


-              
  

16



     

- 

QuyătrìnhăxpăhngătínădngădoanhănghipăcaăcácăNgơnăhƠngăM:

1.4.1.2. KinhănghimăNgơnăhƠngătrungăngăPhápă(FiBEL)
 


ChoăđimăvăQuy mô :
- 


- 

Choăđimăvătínădngă:
 


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