Luận văn thạc sĩ Nâng cao năng lực quản trị rủi ro lãi suất trong hoạt động kinh doanh của Ngân hàng thương mại cổ phần ngoại thương Việt Nam

B GIÁO DO
I HC KINH T TP.HCM
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


TRNGăTH BÍCHăÀO


NỂNGăCAOăNNGăLC QUN TR
RI RO LÃI SUT TRONG HOTăNG
KINH DOANH CAăNGỂNăHÀNGăTHNGăMI
C PHN NGOIăTHNGăVIT NAM




LUNăVNăTHC S KINH T





TP. H Chí Minh ậ Nmă2013

B GIÁO DO
I HC KINH T TP.HCM




TRNGăTH BÍCHăÀO


NỂNGăCAOăNNGăLC QUN TR
RI RO LÃI SUT TRONG HOTăNG
KINH DOANH CAăNGỂNăHÀNGăTHNGăMI
C PHN NGOIăTHNGăVIT NAM

Chuyên ngành: TÀI CHÍNH ậ NGÂN HÀNG
Mã s: 60340201

LUNăVNăTHC S KINH T

NG DN KHOA HC: PGS.ăTS.ăHOÀNGăC



TP. H Chí Minh ậ Nmă2013




LIăCAMăOAN

Ni dung và kt qu ca lut qu nghiên cc lp ca hc viên và
c công b trong bt k công trình khoa hn trích dn và s
liu s dng trong luc dn ngu chính xác cao nht trong
phm vi hiu bit ca hc viên.
MCăLC






LIăMăU 1
 1
 1
 1
4. P 2
 2
Chng 1:ăTNGăQUANăVăQUNăTRăRIăROăLÃIăSUTăTRONGăHOTă
NGăKINHăDOANHăCAăNGỂNăHÀNGăTHNGăMI
1.1. 
 4
1.1.1.  4
1.1.1.1.  4
1.1.1.2 4
1.1.2.  4
 4
 5
1.1.2.3. Nguyên nhân 5
 6

 7
t 7
 7
 8
 10
 14
 14
1.1.4 15
 16
 16
 16
1.2.1.1.  16
1.2.1.2.  17
1.2.1.3.  (VaR) 19
1.2.2.   20
1.2.2.1.  20
1.2.2.2. Mô hình  22
1.2.2.3. Mô hình  24
1.3. Ngân hàng
trê 25
1.3.1.  25
1.3.2.  27
1.3.3.  28
 28
Chngă 2:ă THCă TRNGă NỂNGă CAOă NNGă LCă QUNă TRă RIă ROă
LÃI SUÁTăTIăNGỂNăHÀNGăTHNGăMIăCăPHN NGOIăTHNGă
VITăNAM
 29
 29
 31

-2012 32
     
 34
 
Nam 34

Nam 34

 34
  35
      Ngân
  36
2.2.2.1. -2012 37
2.2.2.2. -2012 38
2.2.2.3. - 
 40
              
 53
Ngân
 55
 55
 56
 61
Chngă3:ăGIIăPHÁPăNỂNGăCAOăNNGăLCăQUNăTRăRIăROăLÃIă
SUTăTIăNGỂNăHÀNGăTMCPăNGOIăTHNGăVITăNAM
             
2020 63
 63
 65


 65
Ngân  
 65
 66
 67
3.2.1.3.  73
3.2.1.4. 73
 74
3.2.1.6.  75
3.2.1.7. 
 75
3.2.1.8,  76
3.2.1.9. n pháp hn ch ri ro lãi sut ti Ngân hàng 76
 79
3.2.2.1.   79
 81
 81
 83
 84
 86
 93




DANHăMCăTăVITăTT

 
LSCV 
LSCB 

 
NHNN 
NHTM 
TMCP 
TSC 
TSN 
QTRRLS 
RRLS 
SXKD 
TCTD 
Vietcombank 

DANHăMCăBNGăBIU
1.1: 
1.2: 
 1.3: Quan h gi lch tin t, lãi sut và kh i
1.4: 
1.5
2008-2012
-2012
2.3-2012
2.4-2012
2.5-2012
2.6
2.7-2012
2.8m

DANHăMCăHÌNHăV
Hình 2.1 : 
Hình 2.2: -2009



Hình 2.5: 

Hình 2.7: --2012
-2012




-1-

LIăMăU
1. LỦădoăchnăđătƠi:









               
NHTM. Ngâ







2. Mc tiêu nghiênăcu:
- 
-               

-  

3. iătngăvƠăphmăviănghiênăcu:
- 
-  
      

-2-

          ,  

      
Nam2008-2012.
4. Phngăphápăthcăhin:
- 
- 
- 



.
5. KtăcuăđătƠi:ă


Chng 1:  


Chng 2: 
.
Chng 3: 
.
 
 
 
 




-3-

 - 
c                 


-4-

Chungă 1:ă TNGă QUANă Vă QUNă TRă RIă ROă LÃIă SUTă TRONGă
HOTăNGăKINHăDOANHăCAăNHTM
1.1. CăsălỦăthuytăvălƣiăsut,ăqunătrăriăroălƣiăsutăvƠănơngăcaoănngălcă
qunătrăriăroălƣiăsut
1.1.1. Lƣiăsut
1.1.1.1. KháiănimăvƠăbnăchtălƣiăsut:

- 








1.1.1.2. Vaiătròăcaălƣiăsut trongăhotăđng ngân hàng:


- 
 hàng có

- 

               
 

1.1.2. Riăroălƣiăsut
1.1.2.1. Kháiănimăriăroălƣiăsut:

-5-

Theo Timothi W.Koch (Bank Management 1995  University of South
Crolina)và giá

 RRLS 
  
 
Theo Thomas P.Fitch (Dictionary of Banking Terms 1997 - 


lãi su
: RRLS  


1.1.2.2. Các dng riăroălƣiăsut:
RRLS 
- Riăro táiătƠiătră(Refinancing Risk): 
 
                Short

- Riăroătáiăđuătă(Re-investment Risk): 



- Riăroăgiáăthătrngă(Price Risk): 



1.1.2.3. Nguyên nhân dnăđnăriăroălƣiăsut:
- Khi xut hin s không cân xng v k hn gia tài sn Có và tài sn
N:

-6-

+ Trng hp 1TSN TSC: Ngân hàng



+ Trng hp 2: TSN TSC: Ngân hàng



- Do các ngân hàng áp dng các loi lãi sut khác nhau trong quá
trình huy đng vn và cho vay.

+  Khi lãi
RRLS 

+ . Khi
RRLS 

- Do có s không phù hp v khi lng gia ngun vn huy đng
vi vic s dng ngun vn đó đ cho vay.
- Do không có s phù hp v thi hn gia ngun vn huy đng vi
vic s dng ngun vn đó đ cho vay.
- Do t l lm phát d kin không phù hp vi t l lm phát thc t
làm cho vn ca ngân hàng không đc bo toàn sau khi cho vay.
1.1.2.4. Tácăđngăcaăriăroălƣiăsut đnăhot đngăcaăNgơnăhƠng:
RRLS
 
- Ri ro lãi sut làm tng chi phí ngun vn ca ngân hàng
- Ri ro lãi sut làm gim thu nhp t tài sn ca ngân hàng
- Ri ro lãi sut làm gim giá tr th trng ca tài sn và vn ch s
hu ca ngân hàng.

-7-

1.1.3. Qunătrăriăroălƣiăsut
1.1.3.1. Kháiănimă:

 





1.1.3.2. Mcătiêu:
 QTRRLS 
RRLS 



-4%)


= * 100%


NIM: Net Interest Margin (còn )



  
QTRRLS 
RRLS          

NIM


 Chi phí lãi

-8-





 
)







1.1.3.3. Các nhânătănhăhngăđnăqunătrăriăroălƣiăsut
- Các nhân t bên ngoài:
+ Môi trng kinh t:

 

QTRRLS 


RRLS


           
 RRLS 
+ C ch điu hành lãi sut ca Ngân hàng Trung ng:



-9-




TSN-TSC 


+ Nhân t liên quan đn khách hàng:
RRLS 




QTRRLS 
vì khó xác 

- Các nhân t bên trong:
+ Trình đ công ngh thông tin:




ông tin



+ Quy trình qun tr ri ro và vic kim tra, giám sát thc hin quy trình:
QTRRLS       


 

-10-



+ c thù trong hot đng kinh doanh ca mi NHTM:
             
TSN-TSC RRLS  





RRLS 


+ Nng lc cán b chuyên môn:
RRLS 
    QTRRLS    QTRRLS  

      

1.1.3.4. Niădungăqunătrăriăroălƣiăsut
Th 1, chun mc và thông l quc t qun tr ri ro lãi sut:
  RRLS, Basel II      d  
  RRLS     

RRLS 

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Bngă1.1: Bng tínhăhăsăriăroălƣiăsut
n v: %



0

0.7

1.25

2.25

3.75

5.25

7.5

12.5

RRLS 
QTRRLS 



RRLS mà n

trong iêu ch


RRLS 
 

TSN, TSC

Th 2, nhn bit và đo lng ri ro lãi sut:
- Nhn dng ri ro: RRLS 


-12-

     

RRLS TSC-
TSN 
 qua 2  

- o lng ri ro lãi sut: hi nay có 3 mô hình ph bin v  l
RRLS ang  các ngân hàng áp d,  là: mô hình k h n h, mô
hình  giá l và mô hình th lg. Các NHTM 
          QTRRLS    

Th 3, qun tr tài sn n - tài sn có:

t

      TSC-TSN   

 
  
  

TSN và  NHTM 

- Qun tr tài sn n:


   
 



-13-


NHTM 



, 
  

- Qun tr tài sn có:
 
có 

cho ngân










     

NHTM có TSC-TSN
TSC-TSN  
- Bin pháp ni bng:
              
 

-14-

t 
trong QTRRLS

- Bin pháp ngoi bng:

RRLS.


Th 4, kim soát ri ro lãi sut

QTRRLS 
       

             

 


Th 5, x lý ri ro lãi sut
    QTRRLS 
RRLS 


1.1.4. Nơngăcaoănngălcăqunătrăriăroălƣiăsut
1.1.4.1. Kháiănimănơngăcaoănngălcăqunătrăriăroălƣiăsut
QTRRLS 




-15-

  QTRRLS   


1.1.4.2. Tiêuăchíăxácăđnhănơngăcaoănngălcăqunătrăriăroălƣiăsut
Th 1, h s ri ro lãi sut (ISR):


=









Th 2, h s chênh lch lãi thun:


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TngătƠiăsnăcóăsinhăliă=ăTngătƠiăsnăậ Tinămtă&ăTƠiăsnăcăđnh






Ngân hàng RRLS 


Hăsăriăroălƣiăsută(ISR)



Hăsăchênhălchălƣiăthun
-Chi phí lãi
