- - - NÂNG - - - NÂNG NAM Chuyên ngành: Tài Ngân hàng PGS TS 1 CH NG 1: LÝ THUY T NGÂN HÀNG 1.1 Kh 1.2.1 n n 1.3.3 1.3.4 11 1.3.5 13 1.3.6 14 1.4 mơ hình 16 17 1.4 19 1.4 21 1.5 Stress Test 22 1.5.1 23 1.5.1.1 23 1.5.1.2 24 1.5.2 (Stress Events) 25 25 25 25 26 26 26 1.5.4 27 27 28 29 CH NGÂN HÀNG 30 NHTM 30 30 33 2.1.3 NHTM 36 2.1.3 36 2.1.3 40 2.1.3.3 t Nam 42 2.2 43 46 CH C NG TH NGÂN HÀNG VI T NAM 47 3.1 NHTM 47 3.1.1 Chi nh Tokyo Mitsubishi UFJ Ltd 47 3.1.2 (Vietcombank) 53 3.2 60 3.2 60 3.2 60 3.2 61 3.3 NHTM 62 3.3.1 63 3.3.2 64 3.3.3 64 3.4 65 67 K T LU N 69 A BIS NH : Ngân hàng NHTW -performing loan) SBV : NHNN (The State Bank of Viet Nam) ST : Stress Testing tion) VAR : value-at- DN NH TMU VCB : Ngân hàng Tokyo-Mitsubishi UFJ Ltd 11 12 24 27 30 47 49 51 n NH VCB 53 55 57 19 21 al Simulation Approaches 22 34 35 63 61 nhiên l NH kho n NH ngân NH NH 3.2 Quy t : NH 62 : NH Theo NH phân NH có NH NH NH NH NH NH : NH NH 3.3 NHTM NH NH NH NH 63 4: n NH 3.3.1 NH NH NH 64 u qu NH 3.3.2 NH NH NH ranh; có NH huy o NH NH 3.3.3 NH án 65 NH cho phép NH n NH NH NH NH NH c tài NH 3.4 NHTM cá NH sang NH 66 NHTM NHTM i pháp NH ng l doanh, c K NH n, h n 67 n (Stress Testing) o ho t t ng m n ng ti n t - tín d ng nh, góp ph n h tr ng kinh t ki m ch l m phát gia cách hi u qu K c m ch lý; ng ng l c phân tích, ah nh ng NH CSTT B c cho NH 68 có tính S Các thêm, có 69 K T LU N - theo dõi V chí Minh vào ngân hàng Qua Value-at-risk) ng , cho ngân hàng Date 1month change Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 3,149,600,000,000 3,218,060,000,000 2,883,680,000,000 3,155,350,000,000 3,454,150,000,000 3,206,200,000,000 3,395,910,000,000 3,926,260,000,000 4,188,160,000,000 4,338,820,000,000 4,413,960,000,000 4,087,997,087,174 3,697,817,657,015 3,604,417,967,391 3,748,262,329,020 3,489,552,356,925 3,319,509,388,346 3,294,362,490,537 3,797,460,916,874 3,702,409,385,055 3,791,790,415,587 3,746,945,847,427 3,319,082,705,946 5,049,756,281,422 6,022,550,069,767 3,790,354,413,418 4,595,979,964,574 4,746,900,552,740 4,551,908,293,360 5,187,899,845,558 5,329,879,465,782 5,910,621,400,720 6,153,346,092,984 1m change ratio 2.17% -10.39% 9.42% 9.47% -7.18% 5.92% 15.62% 6.67% 3.60% 1.73% -7.38% -9.54% -2.53% 3.99% -6.90% -4.87% -0.76% 15.27% -2.50% 2.41% -1.18% -11.42% 52.14% 19.26% -37.06% 21.25% 3.28% -4.11% 13.97% 2.74% 10.90% 4.11% 6m change ratio 7.82% 22.01% 45.24% 37.51% 27.79% 27.50% 8.89% -8.20% -10.50% -19.57% -24.80% -19.41% 2.69% 2.72% 1.16% 7.38% -0.01% 53.28% 58.59% 2.38% 21.21% 26.69% 37.14% 2.74% -11.50% 55.94% 33.89% storical Data) NHTMCP Vietcombank Date 3m change Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 169,749,584 167,423,557 182,515,775 191,414,721 205,486,694 205,997,401 177,124,479 205,078,307 229,605,745 225,512,517 243,603,059 262,867,456 285,196,573 3m change ratio 6m change ratio -1.37% 9.01% 4.88% 7.35% 0.25% -14.02% 15.78% 11.96% -1.78% 8.02% 7.91% 8.49% 7.52% 14.33% 12.59% 7.62% -13.80% -0.45% 29.63% 9.96% 6.10% 16.56% 17.07% date Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Loan amount 136,461,171 145,470,213 146,850,265 157,437,870 170,004,336 190,632,838 183,847,973 181,517,025 202,888,043 201,001,758 207,231,554 219,506,506 234,607,783 average in the previous 6month 3month change 6month change 6.6% 0.9% 7.2% 8.0% 12.1% -3.6% -1.3% 11.8% -0.9% 3.1% 5.9% 6.9% 34.7% 24.8% 38.2% 27.7% 21.9% 15.1% 27.6% 4.7% 27.1% PGS.TS Nguy (2010), Hàng (2011), , NXB Lao , Khánh Linh, U gân hàng Luôn Tình - - 10 11 12 A framework for Measuring and Managing Liquidity, Bank for International Settlements, Feb 2000 13 Christian Schmieder, Claus Puhr and Maher Hasan (2011), Next Generation Balance Sheet Stress Testing, IMF Working Paper, WP/11/83 14 Darryll Hendricks (April 1996), Evaluation of Value-at-Risk Models Using Historical Data, FRBNY Economic Policy Review 15 Meera Sharma (Apr 2012), The Hitorical Simulation Method for Value-at-risk: A Research based Evaluation of the Industry Favorite, Indian Institute of Management 16 Market Risk VaR _ Historical Simulation Approach, TPPE32 Financial Risk Management Production Economics, Linkopings University, Sweden 17 Martin Cihak (2007), Introduction of Applied Stress Testing, IMF Working Paper WP/07/59 18 Principles for Sound Liquidity Risk Management and Supervision, Basel Committee on Banking Supervision, Bank for International Settlements, Sep 2008 19 Timothi W.Koch (1995), Bank Management, University of South Crolina 20 Thomas P.Fitch (1995), Dictionnary of Banking Term, Ba Inc Website http://www.bis.org http://www.sbv.gov.vn http://www.vneconomy.vn http://vi.sblaw.vn/tin-tuc/ http://vef.vn/ http://www.hsx.vn/hsx/ http://cafef.vn/tai-chinh-ngan-hang http://vn.financeroll.com/tai-chinh-ngan-hang ... 16 cao huy 1.4 ng cho mơ hình c Ngân hàng Theo -at-Risk Models Using Historical 17 alue-at- -at- value-at-risk value-at-risk công khai The value-at-risk value-at-risk ba công ty tài ính value-at-risk... ti n t 1 0-1 .Ti n 1 0-1 -1 Vay Liên Ngân Hàng Ngân Hàng Trung ng Các T Ch c Qu c T Ngân Hàng Trong N c Ngân Hàng khác 1 0-1 -2 Ti ng có cam k t 1 0-1 i Ti n T - - 1.5.4 1.5.4 K ch b n Rút v n 6-2 Khác... c c ng h p 28 - - - 1.5.4 - + Trong c Repo) - 29 ) ngân hàng - tiêu NHTM -at-risk pháp phân tích NHTM 30 CH NG T c tr ng ho 2.1.1 Quy mô ho g NHTM t Nam h th ng ngân hàng ng ngân hàng c xem ngành