![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated.jpeg\")
\nM\u1ee5c \u0111\u00edch b\u00e0i vi\u1ebft l\u00e0 \u0111\u1ec3 cung c\u1ea5p ki\u1ebfn th\u1ee9c b\u1ea3n ch\u1ea5t cho m\u1ecdi ng\u01b0\u1eddi c\u1ea7n \u0111\u1ecdc v\u00e0 tri\u1ec3n khai Th\u00f4ng t\u01b0 13 v\u00e0 ki\u1ebfn th\u1ee9c th\u1ef1c t\u1ebf cho nh\u1eefng ai \u0111ang luy\u1ec7n thi Book 3 c\u1ee7a Part II .\u00a0M\u00ecnh s\u1ebd vi\u1ebft d\u01b0\u1edbi ng\u00f4n t\u1eeb d\u1ec5 hi\u1ec3u nh\u1ea5t \u0111\u1ec3 c\u00e1c b\u1ea1n fresher c\u0169ng c\u00f3 th\u1ec3 hi\u1ec3u \u0111\u01b0\u1ee3c, nh\u01b0ng \u0111\u1ec3 ti\u1ebfp thu t\u1ed1t nh\u1ea5t, m\u1ecdi ng\u01b0\u1eddi n\u00ean bi\u1ebft v\u1ec1 Value-at-Risk v\u00e0 t\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n CAR. B\u00e0i vi\u1ebft t\u1ed1i \u01b0u nh\u1ea5t d\u00e0nh cho c\u00e1c b\u1ea1n \u0111\u00e3 pass FRM Part 1 ho\u1eb7c \u0111ang l\u00e0m QTRR \u1edf c\u00e1c ng\u00e2n h\u00e0ng.
\nDo b\u00e0i vi\u1ebft kh\u00e1 d\u00e0i n\u00ean m\u00ecnh s\u1ebd vi\u1ebft n\u1eeda \u0111\u1ea7u tr\u01b0\u1edbc v\u00e0 update d\u1ea7n trong album. C\u00e1c b\u1ea1n like Page \u0111\u1ec3 \u0111\u01b0\u1ee3c update nh\u00e9.
\nLink v\u1ec1 ICAAP<\/a><\/p>\n
1. \u0110\u1ecbnh ngh\u0129a<\/strong><\/p>\n Ng\u00e2n h\u00e0ng l\u00e0 ng\u00e0nh kinh doanh r\u1ee7i ro v\u00e0 \u1ea3nh h\u01b0\u1edfng l\u1edbn \u0111\u1ebfn n\u1ec1n kinh t\u1ebf. Do \u0111\u00f3, ng\u00e2n h\u00e0ng c\u1ea7n n\u1eafm gi\u1eef l\u01b0\u1ee3ng v\u1ed1n nh\u1ea5t \u0111\u1ecbnh \u0111\u1ec3 b\u00f9 \u0111\u1eafp cho c\u00e1c t\u1ed5n th\u1ea5t ngo\u00e0i d\u1ef1 ki\u1ebfn do c\u00e1c r\u1ee7i ro g\u00e2y ra, \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 v\u1ed1n y\u00eau c\u1ea7u (capital requirement). Nh\u01b0ng l\u01b0\u1ee3ng v\u1ed1n c\u1ea7n n\u1eafm l\u00e0 bao nhi\u00eau? N\u1ebfu theo c\u00e1ch t\u00ednh c\u1ee7a NHNN (theo th\u00f4ng t\u01b0 22\/2019 v\u00e0 th\u00f4ng t\u01b0 41\/2016) th\u00ec m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u n\u00e0y l\u00e0 regulatory capital\u00a0\u2013 t\u1ea1m vi\u1ebft t\u1eaft l\u00e0 ReC (\u0110\u1eebng nh\u1ea7m v\u1edbi v\u1ed1n ph\u00e1p \u0111\u1ecbnh 3000 t\u1ef7 nh\u00e9). N\u1ebfu theo c\u00e1ch c\u00e1c ng\u00e2n h\u00e0ng th\u01b0\u01a1ng m\u1ea1i \u2013 NHTM t\u1ef1 t\u00ednh th\u00ec m\u1ee9c v\u1ed1n n\u00e0y g\u1ecdi l\u00e0 v\u1ed1n kinh t\u1ebf \u2013 VKT. 2. M\u1ee5c \u0111\u00edch c\u1ee7a v\u1ed1n kinh t\u1ebf<\/strong><\/p>\n V\u1ed1n kinh t\u1ebf nh\u1eb1m 2 m\u1ee5c \u0111\u00edch: \u0110\u1ea3m b\u1ea3o s\u1ef1 ho\u1ea1t \u0111\u1ed9ng li\u00ean t\u1ee5c c\u1ee7a ng\u00e2n h\u00e0ng v\u00e0 T\u0103ng t\u00ednh sinh l\u1eddi. 3. T\u00ednh to\u00e1n v\u1ed1n kinh t\u1ebf<\/strong><\/p>\n Mu\u1ed1n hi\u1ec3u v\u1ec1 v\u1ed1n kinh t\u1ebf th\u00ec tr\u01b0\u1edbc h\u1ebft c\u1ea7n hi\u1ec3u v\u1ec1 t\u1ed5n th\u1ea5t d\u1ef1 ki\u1ebfn (expected loss \u2013 EL) v\u00e0 t\u1ed5n th\u1ea5t kh\u00f4ng d\u1ef1 ki\u1ebfn (unexpected loss \u2013 UL). \u0110\u1ebfn \u0111\u00e2y, m\u1ed9t s\u1ed1 b\u1ea1n s\u1ebd h\u1ecfi con s\u1ed1 99% c\u1ee7a \u0111\u1ed9 tin c\u1eady m\u00ecnh l\u1ea5y \u1edf \u0111\u00e2u ra. V\u1edbi regulatory capital, Basel y\u00eau c\u1ea7u \u0111\u1ed9 tin c\u1eady l\u00e0 99.9%, t\u1ee9c x\u00e1c su\u1ea5t ng\u00e2n h\u00e0ng ph\u00e1 s\u1ea3n ch\u1ec9 l\u00e0 0.1% hay ng\u00e2n h\u00e0ng ho\u1ea1t \u0111\u1ed9ng c\u1ea3 ngh\u00ecn n\u0103m m\u1edbi c\u00f3 1 n\u0103m \u201ctoang\u201d. C\u00f2n v\u1edbi v\u1ed1n kinh t\u1ebf, ng\u00e2n h\u00e0ng \u0111\u01b0\u1ee3c t\u1ef1 ch\u1ecdn \u0111\u1ed9 tin c\u1eady, nh\u01b0ng th\u01b0\u1eddng d\u1ef1a tr\u00ean m\u1ee9c x\u1ebfp h\u1ea1ng m\u1ee5c ti\u00eau. Gi\u1ea3 s\u1eed ng\u00e2n h\u00e0ng mu\u1ed1n x\u1ebfp \u0111\u1ea1t \u0111\u01b0\u1ee3c x\u1ebfp h\u1ea1ng m\u1ee5c ti\u00eau l\u00e0 AA (theo S&P), c\u00f3 x\u00e1c su\u1ea5t v\u1ee1 n\u1ee3 l\u00e0 0.02% sau 1 n\u0103m th\u00ec \u0111\u1ed9 tin c\u1eady c\u1ee7a EC \u00edt nh\u1ea5t ph\u1ea3i \u0111\u1ea1t 99.98% ( = 1 \u2013 0.02%). M\u1ee9c 0.02% cho x\u1ebfp h\u1ea1ng AA m\u00ecnh d\u1ef1a tr\u00ean b\u1ea3ng th\u1ed1ng k\u00ea v\u1ee1 n\u1ee3 c\u00e1c c\u00f4ng ty \u0111\u00e3 \u0111\u01b0\u1ee3c S&P x\u1ebfp h\u1ea1ng. \u0110\u1ed9 tin c\u1eady 99.9% c\u1ee7a Basel c\u00f3 l\u1ebd c\u0169ng \u1ee9ng v\u1edbi t\u1ef7 l\u1ec7 v\u1ee1 n\u1ee3 0.1% c\u1ee7a c\u00e1c c\u00f4ng ty \u0111\u01b0\u1ee3c khuy\u1ebfn ngh\u1ecb \u0111\u1ea7u t\u01b0 (Investment Grade), x\u1ebfp h\u1ea1ng t\u1eeb BBB- tr\u1edf l\u00ean. N\u1ebfu b\u1ea1n ch\u01b0a l\u00e0m ICAAP, h\u00e3y chu\u1ea9n b\u1ecb tr\u01b0\u1edbc tinh th\u1ea7n \u0111\u00e2y l\u00e0 1 b\u00e0i kh\u00f3 nh\u1eb1n, nh\u01b0ng n\u1ebfu b\u1ea1n hi\u1ec3u \u0111\u01b0\u1ee3c b\u00e0i vi\u1ebft n\u00e0y, b\u1ea1n s\u1ebd hi\u1ec3u \u0111\u01b0\u1ee3c b\u1ea3n ch\u1ea5t c\u1ee7a ICAAP \u0111a s\u1ed1 ng\u01b0\u1eddi l\u00e0m r\u1ee7i ro (v\u00e0 c\u00f3 th\u1ec3 l\u00e0 \u0111a s\u1ed1 ng\u01b0\u1eddi l\u00e0m ICAAP) \u1edf Vi\u1ec7t Nam.<\/p>\n C\u00f2n n\u1ebfu b\u1ea1n \u0111\u00e3 l\u00e0m ICAAP r\u1ed3i th\u00ec m\u00ecnh ngh\u0129 b\u00e0i vi\u1ebft v\u1eabn s\u1ebd h\u1eefu \u00edch \u00edt nhi\u1ec1u. B\u00e0i vi\u1ebft c\u1ee7a m\u00ecnh c\u00f3 tham kh\u1ea3o b\u1ea3n ch\u1ea5t ICAAP (theo c\u00e1c t\u00e0i li\u1ec7u c\u1ee7a c\u00e1c t\u1ed5 ch\u1ee9c, ng\u00e2n h\u00e0ng Ph\u01b0\u01a1ng T\u00e2y \u2013 \u0111i tr\u01b0\u1edbc VN kho\u1ea3ng 10 n\u0103m) v\u00e0 3 phi\u00ean b\u1ea3n \u00e1p d\u1ee5ng ICAAP \u1edf Vi\u1ec7t Nam. V\u00e0 n\u1ebfu b\u1ea1n t\u1ef1 tin \u0111\u00e3 hi\u1ec3u \u0111\u1ee7 v\u1ec1 b\u1ea3n ch\u1ea5t l\u00fd thuy\u1ebft v\u00e0 c\u00e1c c\u00e1ch v\u1eadn d\u1ee5ng \u00e1p d\u1ee5ng \u1edf Vi\u1ec7t Nam, h\u00e3y th\u1eed tr\u1ea3 l\u1eddi v\u00e0i c\u00e2u h\u1ecfi th\u1ef1c t\u1ebf v\u1ec1 ICAAP b\u00ean d\u01b0\u1edbi. N\u1ebfu b\u1ea1n ch\u01b0a tr\u1ea3 l\u1eddi \u0111\u01b0\u1ee3c h\u1ebft th\u00ec m\u00ecnh ngh\u0129 b\u00e0i vi\u1ebft s\u1ebd h\u1eefu \u00edch \u00edt nhi\u1ec1u, c\u00f2n n\u1ebfu b\u1ea1n tr\u1ea3 l\u1eddi \u0111\u01b0\u1ee3c h\u1ebft th\u00ec m\u00ecnh ngh\u0129 b\u1ea1n c\u00f3 hi\u1ec3u bi\u1ebft t\u01b0\u01a1ng \u0111\u1ed1i v\u1ec1 ICAAP v\u00e0 m\u00ecnh r\u1ea5t mu\u1ed1n \u0111\u01b0\u1ee3c trao \u0111\u1ed5i chuy\u00ean m\u00f4n v\u1edbi b\u1ea1n:<\/p>\n Sau \u0111\u00e2y l\u00e0 n\u1ed9i dung b\u00e0i vi\u1ebft. M\u1ed9t s\u1ed1 t\u1eeb vi\u1ebft t\u1eaft trong b\u00e0i<\/p>\n I. T\u1ed5ng quan v\u1ec1 ICAAP<\/strong><\/p>\n Mu\u1ed1n hi\u1ec3u r\u00f5 nh\u1ea5t EC ph\u1ea3i xem c\u00e1ch n\u00f3 \u0111\u01b0\u1ee3c \u1ee9ng d\u1ee5ng, trong \u0111\u00f3 c\u00f3 ICAAP. ICAAP l\u00e0 Quy tr\u00ecnh \u0111\u00e1nh gi\u00e1 m\u1ee9c \u0111\u1ed9 \u0111\u1ea7y \u0111\u1ee7 v\u1ed1n, t\u1ee9c l\u00e0 m\u1ee9c v\u1ed1n ng\u00e2n h\u00e0ng c\u00f3 (v\u1ed1n t\u1ef1 c\u00f3 \u2013 AC) lu\u00f4n l\u1edbn h\u01a1n m\u1ee9c \u0111\u1ed9 r\u1ee7i ro c\u1ee7a ng\u00e2n h\u00e0ng (\u0111\u1ea1i di\u1ec7n b\u1edfi v\u1ed1n kinh t\u1ebf \u2013 EC, hay nhu c\u1ea7u v\u1ed1n \u0111\u1ec3 b\u00f9 \u0111\u1eafp r\u1ee7i ro). N\u00f3i \u0111\u1ebfn \u0111\u00e2y, c\u00f3 th\u1ec3 v\u00e0i b\u1ea1n s\u1ebd th\u1ea5y s\u1ef1 t\u01b0\u01a1ng \u0111\u1ed3ng v\u1edbi y\u00eau c\u1ea7u tu\u00e2n th\u1ee7 t\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n CAR (8%), tuy nhi\u00ean ICAAP r\u1ed9ng h\u01a1n m\u1ee9c t\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n CAR \u1edf c\u00e1c \u0111i\u1ec3m sau:<\/p>\n \u0110\u1eb7c \u0111i\u1ec3m s\u1ed1 1 v\u00e0 3 \u0111\u01b0\u1ee3c th\u1ec3 hi\u1ec7n c\u00e1ch t\u00ednh EC c\u1ee7a NedBank t\u1ea1i 1 th\u1eddi \u0111i\u1ec3m. \u0110\u1eb7c \u0111i\u1ec3m s\u1ed1 2 li\u00ean quan \u0111\u1ebfn d\u1ef1 ph\u00f3ng trong t\u01b0\u01a1ng lai, m\u00ecnh s\u1ebd tr\u00ecnh b\u00e0y \u1edf ph\u1ea7n sau.<\/p>\n Vi\u1ec7c d\u1ef1 ph\u00f3ng trong t\u01b0\u01a1ng lai c\u1ee7a ICAAP kh\u00e1 gi\u1ed1ng v\u1edbi quy tr\u00ecnh l\u00ean k\u1ebf ho\u1ea1ch v\u1ed1n g\u1ed3m 3 b\u01b0\u1edbc nh\u01b0 sau:<\/p>\n L\u01b0u \u00fd: tr\u00ecnh t\u1ef1 d\u1ef1 ph\u00f3ng c\u00f3 th\u1ec3 kh\u00e1c bi\u1ec7t, mi\u1ec5n l\u00e0 cu\u1ed1i c\u00f9ng c\u00e1c y\u00eau c\u1ea7u v\u1ec1 v\u1ed1n, l\u1ee3i nhu\u1eadn,\u2026 \u0111\u1ec1u \u0111\u01b0\u1ee3c th\u1ecfa m\u00e3n. C\u00e1c ng\u00e2n h\u00e0ng c\u00f3 th\u1ec3 b\u1eaft \u0111\u1ea7u t\u1eeb gi\u1edbi h\u1ea1n t\u0103ng tr\u01b0\u1edfng t\u00edn d\u1ee5ng (do NHNN duy\u1ec7t), kh\u1ea3 n\u0103ng t\u0103ng tr\u01b0\u1edfng huy \u0111\u1ed9ng,\u2026 \u0111\u1ec3 d\u1ef1 ph\u00f3ng \u0111\u1ebfn doanh thu, chi ph\u00ed r\u1ed3i m\u1edbi \u0111\u1ebfn v\u1ed1n ch\u1ee7 s\u1edf h\u1eefu v\u00e0 CAR.<\/p>\n II. EC trong ICAAP<\/strong><\/p>\n a. EC trong hi\u1ec7n t\u1ea1i<\/p>\n T\u1ea1i th\u1eddi \u0111i\u1ec3m T=0, ch\u00fang ta \u01b0\u1edbc l\u01b0\u1ee3ng EC \u0111\u1ec3 b\u00f9 \u0111\u1eafp cho t\u1ed5n th\u1ea5t n\u1ebfu c\u00f3 trong v\u00f2ng 1 n\u0103m t\u1edbi. V\u1ea5n \u0111\u1ec1 l\u00e0 l\u01b0\u1ee3ng t\u1ed5n th\u1ea5t l\u00e0 b\u1ea5t \u0111\u1ecbnh, v\u00e0 c\u00f3 v\u00f4 s\u1ed1 kh\u1ea3 n\u0103ng c\u1ee7a m\u1ee9c \u0111\u1ed9 t\u1ed5n th\u1ea5t (ho\u1eb7c t\u1ed5ng qu\u00e1t h\u01a1n l\u00e0 PL trong v\u00f2ng 1 n\u0103m) \u0111\u01b0\u1ee3c th\u1ec3 hi\u1ec7n trong H\u00ecnh 1. Do l\u01b0\u1ee3ng l\u00e3i\/l\u1ed7 (PnL-Profit & Loss) h\u00e0ng ng\u00e0y l\u00e0 ng\u1eabu nhi\u00ean v\u00e0 c\u00f3 th\u1ec3 gi\u1ea3 \u0111\u1ecbnh l\u00e0 kh\u00f4ng t\u01b0\u01a1ng quan v\u1edbi nhau, c\u00f3 th\u1ec3 c\u00f3 v\u00f4 s\u1ed1 \u0111\u01b0\u1eddng \u0111i c\u1ee7a PnL.<\/p>\n V\u00ec time horizon c\u1ee7a EC l\u00e0 1 n\u0103m, n\u00ean ta t\u1eadp trung v\u00e0o l\u00e1t c\u1eaft t\u1ea1i T = 1Y. T\u1ea1i th\u1eddi \u0111i\u1ec3m n\u00e0y, c\u00e1c gi\u00e1 tr\u1ecb kh\u1ea3 d\u0129 c\u1ee7a PnL v\u00e0 x\u00e1c su\u1ea5t c\u1ee7a ch\u00fang t\u1ea1o th\u00e0nh 1 ph\u00e2n ph\u1ed1i (\u0111\u01b0\u1eddng m\u00e0u xanh). \u0110\u1ec3 d\u1ec5 nh\u00ecn h\u01a1n, m\u00ecnh quay h\u00ecnh ph\u00e2n ph\u1ed1i n\u00e0y 90 \u0111\u1ed9 ng\u01b0\u1ee3c chi\u1ec1u kim \u0111\u1ed3ng \u0111\u1ed3 v\u00e0 \u0111\u01b0\u1ee3c H\u00ecnh 2: Ph\u00e2n ph\u1ed1i t\u1ed5n th\u1ea5t t\u1ea1i th\u1eddi \u0111i\u1ec3m T=1Y.<\/p>\n Trong \u0111\u1ed3 th\u1ecb c\u00f3 3 \u0111i\u1ec3m c\u1ea7n quan t\u00e2m. Th\u1ee9 nh\u1ea5t l\u00e0 \u0110i\u1ec3m 0 th\u1ec3 hi\u1ec7n trong v\u00f2ng 1 n\u0103m, l\u1ee3i nhu\u1eadn c\u1ee7a NH b\u1eb1ng 0. Th\u1ee9 2 l\u00e0 Expected PL (M\u1ee9c l\u1ee3i nhu\u1eadn k\u1ef3 v\u1ecdng) t\u01b0\u01a1ng \u1ee9ng v\u1edbi m\u1ee9c l\u1ee3i nhu\u1eadn \u03bc (m\u00e0u xanh l\u00e1) b\u1eb1ng trung b\u00ecnh hay k\u1ef3 v\u1ecdng (expectation) c\u1ee7a c\u00e1c gi\u00e1 tr\u1ecb PL. Th\u1ee9 3 l\u00e0 m\u1ee9c l\u1ed7 trong t\u00ecnh hu\u1ed1ng x\u1ea5u (\u1ee9ng v\u1edbi m\u1ee9c X%). X l\u00e0 kh\u1ea3 n\u0103ng m\u1ee9c l\u1ed7 v\u01b0\u1ee3t qu\u00e1 m\u1ee9c VaR hay EC, di\u1ec7n t\u00edch \u0111u\u00f4i m\u00e0u \u0111\u1ecf ph\u00eda b\u00ean ph\u1ea3i. V\u1edbi m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u c\u1ee7a Basel c\u00f3 \u0111\u1ed9 tin c\u1eady 99.9% th\u00ec X% = 0.1%.<\/p>\n EC hay v\u1ed1n y\u00eau c\u1ea7u (required capital) kh\u00f4ng ph\u1ea3i l\u00e0 s\u1ef1 kh\u00e1c bi\u1ec7t gi\u1eefa gi\u00e1 tr\u1ecb k\u1ef3 v\u1ecdng v\u00e0 \u0111i\u1ec3m X% ( = z\u03c3) m\u00e0 ch\u1ec9 l\u00e0 t\u1eeb \u0111i\u1ec3m 0 \u0111\u1ebfn \u0111i\u1ec3m X% (z\u03c3-\u03bc). V\u00e0 trong hi\u1ec7n t\u1ea1i, v\u1ed1n t\u1ef1 c\u00f3 (AC-Available capital) ph\u1ea3i l\u1edbn h\u01a1n m\u1ee9c EC t\u1ea1i T=0 n\u00e0y \u0111\u1ec3 \u0111\u1ea3m b\u1ea3o s\u1ef1 \u0111\u1ea7y \u0111\u1ee7 v\u1ec1 v\u1ed1n.<\/p>\n N\u1ebfu c\u1ed9ng th\u00eam m\u1ee9c v\u1ed1n t\u1ef1 c\u00f3 hi\u1ec7n t\u1ea1i v\u00e0o \u0111\u1ed3 th\u1ecb PL \u1edf h\u00ecnh 1 th\u00ec ta s\u1ebd c\u00f3 H\u00ecnh 3, gi\u00fap minh h\u1ecda t\u1ed1t h\u01a1n v\u1ed1n t\u1ef1 c\u00f3 v\u00e0 EC.<\/p>\n b. Normal EC trong t\u01b0\u01a1ng lai (trong k\u1ecbch b\u1ea3n baseline)<\/p>\n B\u01b0\u1edbc ti\u1ebfp theo l\u00e0 ta c\u1ea7n t\u00ednh EC trong 3-5 n\u0103m t\u1edbi. Ph\u1ea7n n\u00e0y m\u00ecnh s\u1ebd tr\u00ecnh b\u00e0y EC t\u1ea1i th\u1eddi \u0111i\u1ec3m T= 1Y (EC1<\/sub>), c\u00e1c t\u00ednh to\u00e1n t\u1ea1i th\u1eddi \u0111i\u1ec3m T=2Y, T=3Y s\u1ebd t\u01b0\u01a1ng t\u1ef1.<\/p>\n EC1<\/sub>\u00a0l\u00e0 m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u t\u1ea1i th\u1eddi \u0111i\u1ec3m T = 1Y, v\u00e0 \u0111\u1ea1i di\u1ec7n cho m\u1ee9c l\u1ed7 trong v\u00f2ng 1 n\u0103m k\u1ec3 t\u1eeb th\u1eddi \u0111i\u1ec3m T=1 (t\u1ee9c m\u1ee9c l\u1ed7 trong v\u00f2ng n\u0103m th\u1ee9 2). T\u00ednh to\u00e1n EC1<\/sub>\u00a0s\u1ebd d\u1ef1a tr\u00ean ph\u00e2n ph\u1ed1i PL t\u1ea1i T = 2. L\u01b0u \u00fd, \u0111\u1ed3 th\u1ecb kh\u00f4ng th\u1ec3 hi\u1ec7n s\u1ef1 t\u0103ng tr\u01b0\u1edfng c\u1ee7a t\u1ed5ng t\u00e0i s\u1ea3n trong n\u0103m 1- \u0111\u00e2y l\u00e0 y\u1ebfu t\u1ed1 \u0111\u00e1ng k\u1ec3 khi\u1ebfn cho EC1<\/sub>\u00a0kh\u00e1c bi\u1ec7t so v\u1edbi EC0<\/sub><\/p>\n AC1<\/sub>\u00a0l\u00e0 m\u1ee9c v\u1ed1n t\u1ef1 c\u00f3 t\u1ea1i th\u1eddi \u0111i\u1ec3m T=1Y, b\u1eb1ng v\u1ed1n t\u1ef1 c\u00f3 hi\u1ec7n t\u1ea1i AC0<\/sub>\u00a0c\u1ed9ng v\u1edbi m\u1ee9c l\u1ee3i nhu\u1eadn sau thu\u1ebf v\u00e0 c\u00e1c m\u1ee9c t\u0103ng v\u1ed1n d\u1ef1 ki\u1ebfn trong n\u0103m 1 (nh\u1edd ph\u00e1t h\u00e0nh th\u00eam v\u1ed1n) tr\u1eeb \u0111i c\u00e1c ph\u1ea7n chia c\u1ed5 t\u1ee9c trong n\u0103m 1. \u0110\u1ec3 \u0111\u01a1n gi\u1ea3n th\u00ec m\u00ecnh gi\u1ea3 \u0111\u1ecbnh l\u00e0 NH kh\u00f4ng ph\u00e1t h\u00e0nh th\u00eam v\u1ed1n\/chia c\u1ed5 t\u1ee9c, kh\u00f4ng c\u00f3 thu\u1ebf d\u1eabn \u0111\u1ebfn to\u00e0n b\u1ed9 s\u1ef1 thay \u0111\u1ed5i c\u1ee7a AC \u0111\u1ebfn t\u1eeb l\u1ee3i nhu\u1eadn (ho\u1eb7c l\u1ed7) trong n\u0103m 1, Expected profit.<\/p>\n \u0110\u1ec3 \u0111\u1ea3m b\u1ea3o \u0111\u1ea7y \u0111\u1ee7 v\u1ed1n th\u00ec AC1<\/sub>\u00a0> EC1<\/sub>. T\u01b0\u01a1ng t\u1ef1 v\u1edbi n\u0103m 2-5.<\/p>\n L\u01b0u \u00fd l\u00e0 \u0111\u00e2y ch\u1ec9 l\u00e0 normal AC v\u00e0 EC, t\u1ee9c c\u00e1c lo\u1ea1i v\u1ed1n \u0111\u01b0\u1ee3c t\u00ednh to\u00e1n v\u1edbi b\u1ea3ng c\u00e2n \u0111\u1ed1i d\u1ef1 ph\u00f3ng trong k\u1ecbch b\u1ea3n Baseline, t\u1ee9c k\u1ecbch b\u1ea3n nhi\u1ec1u kh\u1ea3 n\u0103ng x\u1ea3y ra nh\u1ea5t. M\u1ee9c Expected Profit c\u0169ng \u0111\u01b0\u1ee3c t\u00ednh theo k\u1ecbch b\u1ea3n n\u00e0y. Normal EC trong k\u1ecbch b\u1ea3n n\u00e0y gi\u1ed1ng v\u1edbi Minimum EC c\u1ee7a NedBank.<\/p>\n c. Stressed EC trong t\u01b0\u01a1ng lai (trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng)<\/p>\n Basel y\u00eau c\u1ea7u c\u00e1c NH kh\u00f4ng ch\u1ec9 tu\u00e2n th\u1ee7 m\u1ee9c \u0111\u1ed9 \u0111\u1ea7y \u0111\u1ee7 v\u1ed1n kh\u00f4ng ch\u1ec9 trong k\u1ecbch b\u1ea3n kinh doanh b\u00ecnh th\u01b0\u1eddng m\u00e0 c\u00f2n trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng. Hay n\u00f3i c\u00e1ch kh\u00e1c Stressed ACT<\/sub>\u00a0> Stress ECT<\/sub><\/p>\n V\u1eady th\u00ec AC v\u00e0 EC trong c\u0103ng th\u1eb3ng, AC v\u00e0 EC kh\u00e1c g\u00ec so v\u1edbi trong k\u1ecbch b\u1ea3n b\u00ecnh th\u01b0\u1eddng?<\/p>\n Trong stress th\u00ec kinh doanh k\u00e9m \u0111i do t\u0103ng tr\u01b0\u1edfng t\u00e0i s\u1ea3n k\u00e9m h\u01a1n (gi\u1ea3m doanh thu) v\u00e0\/ho\u1eb7c ch\u1ea5t l\u01b0\u1ee3ng t\u00e0i s\u1ea3n x\u1ea5u \u0111i (t\u0103ng chi ph\u00ed) khi\u1ebfn l\u1ee3i nhu\u1eadn gi\u1ea3m so v\u1edbi k\u1ecbch b\u1ea3n baseline, th\u1eadm ch\u00ed \u00e2m khi\u1ebfn cho Stress AC < Normal AC. T\u00e1c \u0111\u1ed9ng t\u01b0\u01a1ng t\u1ef1 v\u1edbi EC th\u00ec kh\u00f3 \u0111o\u00e1n h\u01a1n s\u1ef1 \u1ea3nh h\u01b0\u1edfng c\u1ee7a 2 y\u1ebfu t\u1ed1 tr\u00e1i ng\u01b0\u1ee3c nhau: gi\u1ea3m t\u1ed1c t\u0103ng tr\u01b0\u1edfng t\u00e0i s\u1ea3n (gi\u1ea3m EC) v\u00e0 ch\u1ea5t l\u01b0\u1ee3ng t\u00e0i s\u1ea3n s\u1ebd x\u1ea5u \u0111i (t\u0103ng EC).<\/p>\n \u0110\u1ec3 \u0111\u1ea3m b\u1ea3o \u0111\u1ee7 v\u1ed1n th\u00ec stressed AC > stressed AC trong v\u00f2ng 3-5 n\u0103m t\u1edbi. \u0110\u00e2y l\u00e0 m\u1ee5c ti\u00eau cu\u1ed1i c\u00f9ng c\u1ee7a ICAAP.<\/p>\n Trong h\u00ecnh minh h\u1ecda EC v\u00e0 AC trong 2 k\u1ecbch b\u1ea3n t\u1ea1i n\u0103m 1, m\u00ecnh gi\u1ea3 s\u1eed k\u1ecbch b\u1ea3n r\u1ea5t x\u1ea5u khi\u1ebfn cho NH kh\u00f4ng nh\u1eefng kh\u00f4ng c\u00f3 l\u00e3i t\u1ea1i n\u0103m th\u1ee9 nh\u1ea5t m\u00e0 c\u00f2n l\u1ed7 n\u1eb7ng v\u00e0 Stressed AC (v\u00e0ng) = Normal AC (v\u00e0ng) + \u0394Profit (\u0111\u1ecf). M\u1eb7c d\u00f9 m\u1ee9c l\u1ed7 n\u00e0y h\u01a1i phi th\u1ef1c t\u1ebf nh\u01b0ng m\u00ecnh c\u1ed1 t\u00ecnh l\u00e0m v\u1eady \u0111\u1ec3 2 ph\u00e2n ph\u1ed1i trong k\u1ecbch b\u1ea3n kh\u00f4ng ch\u1ed3ng l\u00ean nhau.<\/p>\n d. Minh h\u1ecda kh\u00e1c<\/p>\n Nh\u00ecn v\u1ea5n \u0111\u1ec1 theo nhi\u1ec1u g\u00f3c nh\u00ecn s\u1ebd gi\u00fap m\u00ecnh hi\u1ec3u b\u1ea3n ch\u1ea5t h\u01a1n, tr\u00e1nh phi\u1ebfm di\u1ec7n (VD c\u00e1i c\u1ed1c n\u1ebfu nh\u00ecn t\u1eeb tr\u00ean xu\u1ed1ng th\u00ec h\u00ecnh tr\u00f2n c\u00f2n nh\u00ecn ngang th\u00ec l\u00e0 h\u00ecnh ch\u1eef nh\u1eadt). Do v\u1eady, m\u00ecnh xin b\u1ed5 sung 2 g\u00f3c nh\u00ecn kh\u00e1c (ho\u1eb7c c\u00e1ch gi\u1ea3i th\u00edch kh\u00e1c) cho c\u00e1c gi\u1ea3i th\u00edch ph\u00eda tr\u00ean.<\/p>\n Th\u1ee9 nh\u1ea5t, n\u1ebfu gom \u0111\u1ed3 th\u1ecb t\u1ed5n th\u1ea5t cho k\u1ecbch b\u1ea3n c\u01a1 s\u1edf (normal scenario) v\u00e0 k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng (stress scenario) v\u00e0o 1 bi\u1ec3u \u0111\u1ed3 th\u00ec s\u1ebd c\u00f3 \u0111\u1ed3 th\u1ecb b\u00ean d\u01b0\u1edbi. Hai k\u1ecbch b\u1ea3n c\u00f3 2 ph\u00e2n ph\u1ed1i t\u1ed5n th\u1ea5t kh\u00e1c nhau v\u1edbi 2 \u0111i\u1ec3m trung b\u00ecnh (Expected loss) v\u00e0 2 \u0111i\u1ec3m ph\u1ea7n tr\u0103m (VaR) kh\u00e1c nhau. Trong tr\u01b0\u1eddng h\u1ee3p n\u00e0y, ta s\u1ebd d\u00f9ng VaR \u0111\u1ec3 \u0111o l\u01b0\u1eddng v\u1ed1n kinh t\u1ebf. Nh\u00ecn 2 m\u1ee9c VaR\/ V\u1ed1n kinh t\u1ebf trong 2 k\u1ecbch b\u1ea3n kh\u00f4ng ch\u00eanh l\u1ec7ch r\u00f5 r\u00e0ng nh\u01b0ng m\u1ee9c l\u1ed7 k\u1ef3 v\u1ecdng trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng E[Lstress<\/sup>(H)] th\u00ec l\u1edbn h\u01a1n h\u1eb3n so v\u1edbi m\u1ee9c l\u1ed7 trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf\/th\u00f4ng th\u01b0\u1eddng E[L(H)].<\/p>\n Tr\u1edf l\u1ea1i c\u00e2u h\u1ecfi th\u1ee9 3 \u1edf tr\u00ean \u0111\u1ea7u, t\u1ea1i sao l\u1ea1i c\u00f3 m\u1ee9c l\u1ed7 d\u1ef1 ki\u1ebfn trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng khi m\u00e0 m\u00ecnh ngh\u0129 m\u1ee9c k\u1ef3 v\u1ecdng s\u1ebd g\u1ea7n v\u1edbi m\u1ee9c d\u1ec5 x\u1ea3y ra\/m\u1ee9c \u0111\u1ed9 trung b\u00ecnh ch\u1ee9 kh\u00f4ng ph\u1ea3i \u1ee9ng v\u1edbi tr\u01b0\u1eddng h\u1ee3p kh\u00f3 x\u1ea3y ra nh\u01b0 trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng. C\u00e2u tr\u1ea3 l\u1eddi l\u00e0 c\u00f3 2 ph\u00e2n ph\u1ed1i t\u1ed5n th\u1ea5t v\u00e0 c\u00f3 2 m\u1ee9c t\u1ed5n th\u1ea5t d\u1ef1 ki\u1ebfn. V\u1edbi ai \u0111\u00e3 \u0111\u1ecdc Book 2 FRM Part 1 (ho\u1eb7c c\u00e1c t\u00e0i li\u1ec7u t\u01b0\u01a1ng t\u1ef1 v\u1ec1 x\u00e1c su\u1ea5t th\u1ed1ng k\u00ea) th\u00ec ph\u00e2n ph\u1ed1i trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf l\u00e0 unconditional, c\u00f2n ph\u00e2n ph\u1ed1i trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng l\u00e0 conditional.<\/p>\n Ph\u1ea7n minh h\u1ecda th\u1ee9 2 l\u00e0 v\u1ec1 th\u1ef1c h\u00e0nh ICAAP \u1edf Ch\u00e2u \u00c2u theo Basel III. Th\u1ef1c h\u00e0nh n\u00e0y ti\u1ebfp c\u1eadn theo T\u1ef7 l\u1ec7 CAR thay v\u00ec l\u01b0\u1ee3ng v\u1ed1n, c\u00f3 l\u1ebd \u0111\u1ec3 ph\u00f9 h\u1ee3p v\u1edbi c\u00e1c lo\u1ea1i \u0111\u1ec7m v\u1ed1n theo Basel III \u2013 v\u1ed1n c\u0169ng \u0111\u01b0\u1ee3c \u0111o l\u01b0\u1eddng theo t\u1ef7 l\u1ec7 % thay v\u00ec theo kh\u1ed1i l\u01b0\u1ee3ng.<\/p>\n Trong \u0111i\u1ec1u ki\u1ec7n th\u01b0\u1eddng, t\u1ef7 l\u1ec7 CAR th\u1ef1c t\u1ebf c\u1ee7a ng\u00e2n h\u00e0ng ph\u1ea3i l\u1edbn h\u01a1n 3 c\u1ea5u ph\u1ea7n: V\u1ed1n y\u00eau c\u1ea7u theo c\u1ed9t tr\u1ee5 1 (P1R) cho 3 lo\u1ea1i r\u1ee7i ro tr\u1ecdng y\u1ebfu, V\u1ed1n y\u00eau c\u1ea7u cho r\u1ee7i ro c\u1ed9t tr\u1ee5 2 (P2R) cho c\u00e1c lo\u1ea1i r\u1ee7i ro tr\u1ecdng y\u1ebfu c\u00f2n l\u1ea1i ho\u1eb7c ch\u01b0a \u0111\u01b0\u1ee3c t\u00ednh \u0111\u1ea7y \u0111\u1ee7 \u1edf c\u1ed9t tr\u1ee5 1), \u0110\u1ec7m v\u1ed1n (combined buffer requirement) bao g\u1ed3m c\u00e1c lo\u1ea1i v\u1ed1n b\u1ed5 sung theo Basel III nh\u01b0 \u0111\u1ec7m v\u1ed1n th\u1eadn tr\u1ecdng v\u00e0 \u0111\u1ec7m v\u1ed1n ph\u1ea3n chu k\u1ef3, v\u00e0 v\u1ed1n b\u1ed5 sung theo h\u01b0\u1edbng d\u1eabn c\u1ee7a c\u1ed9t tr\u1ee5 2 (P2G) \u0111\u01b0\u1ee3c t\u00ednh d\u1ef1a tr\u00ean k\u1ebft qu\u1ea3 b\u00e0i stress test h\u00e0ng n\u0103m c\u1ee7a EBA. N\u1ebfu ng\u00e2n h\u00e0ng th\u1eadn tr\u1ecdng th\u00ec \u0111\u1ec3 d\u00e0nh ra th\u00eam 1 ph\u1ea7n v\u1ed1n d\u1ef1 ph\u00f2ng n\u1eefa g\u1ecdi l\u00e0 Management Buffer, \u0111\u1ec3 \u0111\u1ea3m b\u1ea3o lu\u00f4n tu\u00e2n th\u1ee7 quy \u0111\u1ecbnh (requirement) v\u00e0 h\u01b0\u1edbng d\u1eabn (guideline ) c\u1ee7a EUROPA.<\/p>\n Trong \u0111i\u1ec1u ki\u1ec7n c\u0103ng th\u1eb3ng, \u0111\u1ec7m v\u1ed1n qu\u1ea3n tr\u1ecb (management buffer) v\u00e0 combined buffer c\u00f3 th\u1ec3 s\u1eed d\u1ee5ng \u0111\u1ec3 h\u1ea5p th\u1ee5 t\u1ed5n th\u1ea5t nh\u01b0ng ng\u00e2n h\u00e0ng v\u1eabn c\u1ea7n duy tr\u00ec \u0111\u1ec7m v\u1ed1n v\u01b0\u1ee3t m\u1ee9c P1R + P2R.<\/p>\n \u00c1p d\u1ee5ng \u00fd t\u01b0\u1edfng tr\u00ean v\u00e0o d\u1ef1 ph\u00f3ng, ta c\u00f3 2 d\u1ef1 ph\u00f3ng v\u1ec1 c\u00e1c t\u1ef7 l\u1ec7 trong \u0111i\u1ec1u ki\u1ec7n c\u01a1 s\u1edf v\u00e0 \u0111i\u1ec1u ki\u1ec7n c\u0103ng th\u1eb3ng. H\u00e3y nh\u1edb c\u00e1c \u0111\u01b0\u1eddng th\u1eb3ng l\u00e0 t\u1ef7 l\u1ec7 v\u1ed1n t\u1ef1 c\u00f3\/RWA c\u1ee7a ng\u00e2n h\u00e0ng (t\u01b0\u01a1ng \u1ee9ng v\u1edbi v\u1ed1n t\u1ef1 c\u00f3) trong c\u00e1c k\u1ecbch b\u1ea3n c\u00f2n ph\u1ea7n kh\u1ed1i \u1edf b\u00ean d\u01b0\u1edbi l\u00e0 t\u1ef7 l\u1ec7 v\u1ed1n t\u1ef1 c\u00f3\/RWA t\u1ed1i thi\u1ec3u (t\u01b0\u01a1ng \u1ee9ng v\u1edbi l\u01b0\u1ee3ng v\u1ed1n kinh t\u1ebf) trong 2 k\u1ecbch b\u1ea3n c\u01a1 s\u1edf (baseline) v\u00e0 c\u0103ng th\u1eb3ng (adverse). N\u00ean nh\u1edb l\u00e0 c\u00f3 nhi\u1ec1u k\u1ecbch b\u1ea3n b\u1ea5t l\u1ee3i (1 2 n) d\u1eabn \u0111\u1ebfn nhi\u1ec1u t\u1ef7 l\u1ec7 V\u1ed1n t\u1ef1 c\u00f3\/RWA kh\u00e1c nhau, nh\u01b0ng ch\u1ec9 c\u00f3 duy nh\u1ea5t 1 m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u trong k\u1ecbch b\u1ea3n stress.<\/p>\n Tr\u1edf l\u1ea1i c\u00e2u h\u1ecfi ph\u1ea7n \u0111\u1ea7u l\u00e0 t\u1ea1i th\u1eddi \u0111i\u1ec3m l\u00e0m b\u00e1o c\u00e1o (t=0) th\u00ec c\u00f3 \u0394RWA hay kh\u00f4ng? C\u00e2u tr\u1ea3 l\u1eddi l\u00e0 kh\u00f4ng. Trong c\u00e1c k\u1ecbch b\u1ea3n kh\u00e1c nhau, l\u01b0\u1ee3ng v\u1ed1n t\u1ef1 c\u00f3 v\u00e0 v\u1ed1n y\u00eau c\u1ea7u c\u00f3 c\u00e1c \u0111\u01b0\u1eddng \u0111i kh\u00e1c nhau nh\u01b0ng s\u1ebd c\u00f3 chung 1 \u0111i\u1ec3m kh\u1edfi \u0111\u1ea7u v\u00e0 kh\u00f4ng c\u00f3 s\u1ef1 ch\u00eanh l\u1ec7ch (\u0394=0)<\/p>\n III. ICAAP \u1edf Vi\u1ec7t Nam<\/p>\n 1. Phi\u00ean b\u1ea3n NHNN<\/p>\n Tr\u01b0\u1edbc khi \u0111i v\u00e0o chi ti\u1ebft th\u00ec ph\u1ea3i n\u00f3i v\u1ec1 quan \u0111i\u1ec3m x\u00e2y d\u1ef1ng v\u0103n b\u1ea3n ph\u00e1p lu\u1eadt c\u1ee7a T\u00e2y v\u00e0 Ta. \u1ede b\u00ean T\u00e2y theo h\u01b0\u1edbng Principal-based, t\u1ee9c c\u01a1 quan gi\u00e1m s\u00e1t ch\u1ec9 n\u00eau nguy\u00ean t\u1eafc r\u1ed3i c\u00e1c ng\u00e2n h\u00e0ng t\u1ef1 v\u1eadn d\u1ee5ng linh ho\u1ea1t, mi\u1ec5n sao \u0111\u1ea3m b\u1ea3o tu\u00e2n th\u1ee7 c\u00e1c nguy\u00ean t\u1eafc c\u01a1 b\u1ea3n \u1edf tr\u00ean. \u0110i\u1ec1u n\u00e0y kh\u00f4ng b\u00f3 h\u1eb9p c\u00e1c ng\u00e2n h\u00e0ng, v\u00e0 gi\u00fap v\u0103n b\u1ea3n ph\u00e1p lu\u1eadt kh\u00f4ng ph\u1ea3i s\u1eeda \u0111\u1ed5i nhi\u1ec1u nh\u01b0ng c\u00e1c ng\u00e2n h\u00e0ng ph\u1ea3i \u0111\u1ee7 n\u0103ng l\u1ef1c \u0111\u1ec3 hi\u1ec3u v\u00e0 v\u1eadn d\u1ee5ng ph\u00e1p lu\u1eadt theo c\u00e1c nguy\u00ean t\u1eafc chung chung \u2013 \u0111i\u1ec1u c\u00f3 l\u1ebd ch\u1ec9 c\u00f3 \u1edf c\u00e1c n\u01b0\u1edbc ph\u00e1t tri\u1ec3n. Ng\u01b0\u1ee3c l\u1ea1i, \u1edf c\u00e1c n\u01b0\u1edbc c\u00f3 h\u1ec7 th\u1ed1ng ph\u00e1p lu\u1eadt ch\u01b0a l\u00e2u \u0111\u1eddi th\u00ec th\u01b0\u1eddng \u00e1p d\u1ee5ng Rule-based, n\u00f4m na l\u00e0 nh\u00e0 n\u01b0\u1edbc ban h\u00e0nh v\u0103n b\u1ea3n h\u01b0\u1edbng d\u1eabn chi ti\u1ebft \u0111\u1ec3 c\u00e1c ng\u00e2n h\u00e0ng \u00e1p d\u1ee5ng d\u1ec5 d\u00e0ng v\u00e0 \u0111\u1ee1 x\u1ea3y ra tranh c\u00e3i trong qu\u00e1 tr\u00ecnh th\u1ef1c thi. S\u1ef1 kh\u00e1c bi\u1ec7t gi\u1eefa 2 c\u00e1ch ti\u1ebfp c\u1eadn n\u00e0y \u0111\u01b0\u1ee3c th\u1ec3 hi\u1ec7n kh\u00e1 r\u00f5 r\u00e0ng \u1edf l\u0129nh v\u1ef1c k\u1ebf to\u00e1n, khi m\u00e0 k\u1ebf to\u00e1n vi\u00ean th\u00edch nh\u1eefng th\u00f4ng t\u01b0 (ho\u1eb7c H\u01b0\u1edbng d\u1eabn) r\u00f5 r\u00e0ng, chi ti\u1ebft \u0111\u1ec3 \u201cc\u00e3i\u201d v\u1edbi ki\u1ec3m to\u00e1n ho\u1eb7c c\u01a1 quan thu\u1ebf c\u00f2n n\u01b0\u1edbc ngo\u00e0i th\u00ec theo c\u00e1c chu\u1ea9n m\u1ee9c IFRS hay IAS c\u00f3 t\u00ednh principal cao h\u01a1n.<\/p>\n ICAAP c\u0169ng l\u00e0 1 v\u00ed d\u1ee5 c\u1ee7a 2 c\u00e1ch ti\u1ebfp c\u1eadn tr\u00ean. N\u1ebfu m\u1ecdi ng\u01b0\u1eddi \u0111\u1ecdc k\u1ef9 bcbs128 (Basel II) th\u00ec ph\u1ea7n ICAAP trong c\u1ed9t tr\u1ee5 2 kh\u00e1 ng\u1eafn v\u00e0 ch\u1ec9 n\u00eau nguy\u00ean t\u1eafc. C\u00f3 2 nguy\u00ean t\u1eafc quan tr\u1ecdng l\u00e0 ng\u00e2n h\u00e0ng c\u1ea7n x\u00e1c \u0111\u1ecbnh v\u1ed1n \u0111\u1ea7y \u0111\u1ee7 cho c\u00e1c lo\u1ea1i r\u1ee7i ro tr\u1ecdng y\u1ebfu ch\u1ee9 kh\u00f4ng ch\u1ec9 d\u1eebng l\u1ea1i \u1edf 3 lo\u1ea1i r\u1ee7i ro trong c\u1ed9t tr\u1ee5 1 v\u00e0 ng\u00e2n h\u00e0ng ph\u1ea3i tu\u00e2n th\u1ee7 t\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n t\u1ea1i m\u1ecdi th\u1eddi \u0111i\u1ec3m (trong c\u1ea3 k\u1ecbch b\u1ea3n b\u00ecnh th\u01b0\u1eddng l\u1eabn c\u0103ng th\u1eb3ng). N\u1ebfu \u0111em 2 nguy\u00ean t\u1eafc n\u00e0y \u0111\u01b0a v\u00e0o v\u0103n b\u1ea3n th\u00ec c\u00e1c NHTM s\u1ebd kh\u00f3 m\u00e0 tu\u00e2n th\u1ee7 n\u00ean NHNN \u0111\u01b0a ra 1 v\u0103n b\u1ea3n h\u01b0\u1edbng d\u1eabn chi ti\u1ebft, v\u00e0 n\u1ebfu tu\u00e2n th\u1ee7 theo n\u00f3 th\u00ec s\u1ebd th\u1ecfa m\u00e3n 2 nguy\u00ean t\u1eafc tr\u00ean.<\/p>\n Theo \u0111\u00f3, v\u1ed1n kinh t\u1ebf \u0111\u01b0\u1ee3c t\u1ea1o b\u1edfi 2 ph\u1ea7n. Ph\u1ea7n 1 t\u1ea1m g\u1ecdi l\u00e0 normal EC = RWA x CARTarget<\/sub>, l\u00e0 v\u1ed1n kinh t\u1ebf trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf (k\u1ecbch b\u1ea3n m\u00e0 theo ng\u00e2n h\u00e0ng c\u00f3 kh\u1ea3 n\u0103ng cao nh\u1ea5t x\u1ea3y ra) v\u00e0 cover c\u00e1c lo\u1ea1i r\u1ee7i ro \u1edf c\u1ed9t tr\u1ee5 1 v\u00e0 2 ( c\u00f3 th\u1ec3 coi = P1R + P2R trong v\u0103n b\u1ea3n ICAAP c\u1ee7a EBA). Ph\u1ea7n 2 l\u00e0 l\u01b0\u1ee3ng v\u1ed1n t\u0103ng th\u00eam = \u0394RWA x CARRegulatory<\/sub>\u00a0trong k\u1ecbch b\u1ea3n stress (\u0111\u1ed1i v\u1edbi Nedbank th\u00ec l\u01b0\u1ee3ng n\u00e0y b\u1eb1ng 10% normal EC).<\/p>\n T\u1ed5ng c\u1ee7a 2 m\u1ee9c v\u1ed1n n\u00e0y l\u00e0 m\u1ee9c v\u1ed1n c\u1ea7n trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng (hay VaR trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng) ho\u1eb7c max(normal EC, stress EC). M\u1ee9c v\u1ed1n t\u1ef1 c\u00f3 trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng l\u1eabn c\u01a1 s\u1edf \u0111\u1ec1u ph\u1ea3i l\u1edbn h\u01a1n m\u1ee9c n\u00e0y \u0111\u1ec3 th\u1ecfa m\u00e3n \u0111i\u1ec1u ki\u1ec7n c\u1ee7a Basel: NHTM c\u1ea7n n\u1eafm \u0111\u1ee7 v\u1ed1n trong c\u1ea3 2 k\u1ecbch b\u1ea3n. V\u00e0 v\u00ec \u0111\u1eb7c th\u00f9 c\u1ee7a k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng l\u00e0 v\u1ed1n t\u1ef1 c\u00f3 th\u1ea5p h\u01a1n (do t\u1ed5n th\u1ea5t d\u1ef1 ki\u1ebfn trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng l\u1edbn h\u01a1n) n\u00ean ch\u1ec9 c\u1ea7n so sanh v\u1ed1n t\u1ef1 c\u00f3 trong k\u1ecbch b\u1ea3n stress l\u00e0 \u0111\u1ee7. Ch\u1ed1t l\u1ea1i, thay v\u00ec ph\u1ea3i ch\u1ee9ng minh V\u1ed1n t\u1ef1 c\u00f3 > V\u1ed1n kinh t\u1ebf trong 2 k\u1ecbch b\u1ea3n th\u00ec c\u00e1c ng\u00e2n h\u00e0ng ch\u1ec9 c\u1ea7n l\u00e0m theo c\u00f4ng th\u1ee9c c\u1ee7a NHNN v\u00e0 theo \u0111\u00f3 ch\u1ee9ng minh V\u1ed1n t\u1ef1 c\u00f3 trong c\u0103ng th\u1eb3ng > Max (normal EC, stress EC).<\/p>\n Ngo\u00e0i l\u1ec1 1 ch\u00fat, CAR target th\u01b0\u1eddng l\u1edbn h\u01a1n m\u1ee9c CAR regulatory l\u00e0 8%, qua \u0111\u00f3 th\u1ec3 hi\u1ec7n \u0111\u01b0\u1ee3c \u0111\u1ed9 tin c\u1eady (confidence level) trong t\u00ednh to\u00e1n EC nh\u01b0 trong b\u00e0i vi\u1ebft \u1edf ph\u1ea7n 1. Ph\u1ea7n \u0394EC th\u00ec ch\u1ec9 d\u00f9ng CAR regulatory c\u00f3 l\u1ebd h\u00e0m \u00fd trong \u0111i\u1ec1u ki\u1ec7n c\u0103ng th\u1eb3ng, NHTM ch\u1ec9 c\u1ea7n tu\u00e2n th\u1ee7 m\u1ee9c CAR 8% l\u00e0 \u0111\u1ee7 r\u1ed3i.<\/p>\n 2. C\u00e1c phi\u00ean b\u1ea3n \u201cs\u00e1ng t\u1ea1o\u201d<\/p>\n M\u1eb7c cho m\u1ee5c \u0111\u00edch ban \u0111\u1ea7u c\u1ee7a Rule-based l\u00e0 tr\u00e1nh g\u00e2y hi\u1ec3u nh\u1ea7m, ph\u1ea7n ICAAP v\u1eabn ch\u01b0a \u0111\u1ee7 chi ti\u1ebft v\u00e0 c\u00e1c NHTM v\u1eabn c\u00f3 d\u01b0 \u0111\u1ecba \u0111\u1ec3 s\u00e1ng t\u1ea1o. Theo trao \u0111\u1ed5i v\u1edbi 1 s\u1ed1 ngu\u1ed3n tin l\u00e0m ICAAP \u1edf c\u00e1c NHTM (m\u00ecnh s\u1ebd kh\u00f4ng ti\u1ebft l\u1ed9), m\u00ecnh th\u1ea5y \u00edt nh\u1ea5t 3 phi\u00ean b\u1ea3n s\u00e1ng t\u1ea1o c\u1ee7a ICAAP \u1edf Vi\u1ec7t Nam v\u00e0 s\u1ebd tr\u00ecnh b\u00e0y b\u00ean d\u01b0\u1edbi. D\u0129 nhi\u00ean, \u0111\u00e2y l\u00e0 c\u00e1ch hi\u1ec3u c\u1ee7a m\u00ecnh khi \u0111\u01b0\u1ee3c truy\u1ec1n \u0111\u1ea1t l\u1ea1i v\u00e0 c\u00f3 th\u1ec3 th\u1ef1c t\u1ebf s\u1ebd kh\u00e1c. Do \u0111\u00f3, m\u00ecnh ngh\u0129 t\u1ed1t nh\u1ea5t c\u00e1c b\u1ea1n c\u1ee9 coi \u0111\u00e2y l\u00e0 3 c\u00e1ch \u00e1p d\u1ee5ng gi\u1ea3 \u0111\u1ecbnh v\u00e0 c\u00e1c v\u1ea5n \u0111\u1ec1 c\u1ee7a n\u00f3.<\/p>\n Nguy\u00ean t\u1eafc chung c\u1ee7a Basel l\u00e0 v\u1ed1n t\u1ef1 c\u00f3 trong c\u0103ng th\u1eb3ng ph\u1ea3i l\u1edbn h\u01a1n v\u1ed1n kinh t\u1ebf trong c\u0103ng th\u1eb3ng.<\/p>\n a. So s\u00e1nh Stress EC v\u1edbi Normal AC<\/p>\n N\u1ebfu ng\u00e2n h\u00e0ng so s\u00e1nh v\u1ed1n t\u1ef1 c\u00f3 trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf (normal AC) v\u1edbi v\u1ed1n kinh t\u1ebf trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng th\u00ec \u0111\u00e3 \u0111\u00e1nh gi\u00e1 th\u1ea5p m\u1ee9c \u0111\u1ed9 r\u1ee7i ro. V\u1ed1n t\u1ef1 c\u00f3 trong \u0111i\u1ec1u ki\u1ec7n c\u0103ng th\u1eb3ng s\u1ebd th\u1ea5p h\u01a1n v\u1ed1n t\u1ef1 c\u00f3 trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf v\u00e0 vi\u1ec7c tr\u00e1o \u0111\u1ed5i 2 lo\u1ea1i v\u1ed1n n\u00e0y c\u00f3 th\u1ec3 s\u1ebd gi\u00fap ng\u00e2n h\u00e0ng \u0111\u1ee1 1 l\u01b0\u1ee3ng t\u0103ng v\u1ed1n \u0111\u00e1ng k\u1ec3.<\/p>\n M\u00ecnh ngh\u0129 ng\u00e2n h\u00e0ng \u00e1p d\u1ee5ng c\u00e1ch n\u00e0y c\u00f3 th\u1ec3 do ng\u00e2n h\u00e0ng c\u1ed1 \u00fd (\u0111\u1ec3 ti\u1ebft ki\u1ec7m v\u1ed1n) ho\u1eb7c v\u00f4 \u00fd (do hi\u1ec3u sai quy \u0111\u1ecbnh c\u1ee7a NHNN). B\u00ean d\u01b0\u1edbi l\u00e0 h\u01b0\u1edbng d\u1eabn c\u00e1ch t\u00ednh v\u1ed1n t\u1ef1 c\u00f3 trong th\u00f4ng t\u01b0 13, m\u00ecnh th\u1ea5y d\u1ec5 \u0111\u01b0\u1ee3c hi\u1ec3u theo ngh\u0129a l\u00e0 v\u1ed1n t\u1ef1 c\u00f3 trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf. Th\u1ef1c ra, kh\u00e1c bi\u1ec7t ch\u1ee7 y\u1ebfu c\u1ee7a v\u1ed1n t\u1ef1 c\u00f3 trong 2 k\u1ecbch b\u1ea3n \u0111\u1ebfn t\u1eeb l\u1ee3i nhu\u1eadn gi\u1eef l\u1ea1i, nh\u01b0ng trong v\u0103n b\u1ea3n kh\u00f4ng n\u00f3i r\u00f5 l\u00e0 l\u1ee3i nhu\u1eadn trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf hay c\u0103ng th\u1eb3ng. N\u1ebfu hi\u1ec3u theo ngh\u0129a l\u00e0 l\u1ee3i nhu\u1eadn gi\u1eef l\u1ea1i trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng th\u00ec v\u1ed1n t\u1ef1 c\u00f3 d\u1ef1 ki\u1ebfn l\u00e0 trong k\u1ecbch b\u1ea3n c\u0103ng th\u1eb3ng, v\u00e0 theo m\u00ecnh \u0111i\u1ec1u n\u00e0y s\u1ebd ph\u00f9 h\u1ee3p nh\u1ea5t v\u1edbi c\u00e1c c\u00e1ch ti\u1ebfp c\u1eadn v\u1ec1 ICAAP c\u1ee7a EURO m\u00e0 M\u1ef9.<\/p>\n b. So s\u00e1nh (Stress EC + Ph\u1ea7n s\u1ee5t gi\u1ea3m l\u1ee3i nhu\u1eadn do stress) v\u1edbi (Normal AC)<\/p>\n N\u1ebfu hi\u1ec3u l\u1ee3i nhu\u1eadn gi\u1eef l\u1ea1i theo c\u00e1ch hi\u1ec3u th\u1ee9 2: l\u1ee3i nhu\u1eadn d\u1ef1 ki\u1ebfn trong k\u1ecbch b\u1ea3n c\u01a1 s\u1edf th\u00ec c\u00f4ng th\u1ee9c c\u1ea7n \u0111i\u1ec1u ch\u1ec9nh 1 ch\u00fat. Thay v\u00ec so s\u00e1nh Stress EC v\u00e0 Stress AC th\u00ec c\u00f3 th\u1ec3 so s\u00e1nh Stress EC v\u00e0 (Normal AC \u2013 \u0394profit) v\u1edbi\u00a0 \u0394profit l\u00e0 m\u1ee9c ch\u00eanh l\u1ec7ch l\u1ee3i nhu\u1eadn sau thu\u1ebf trong 2 k\u1ecbch b\u1ea3n normal v\u00e0 stress.<\/p>\n C\u00e1ch so s\u00e1nh n\u00e0y t\u01b0\u01a1ng \u0111\u01b0\u01a1ng so s\u00e1nh (stress EC + \u0394profit) v\u00e0 Normal AC<\/p>\n Theo m\u00ecnh \u0111\u01b0\u1ee3c m\u00f4 t\u1ea3 l\u1ea1i (c\u00f3 th\u1ec3 m\u00ecnh hi\u1ec3u sai ho\u1eb7c ng\u01b0\u1eddi m\u00f4 t\u1ea3 c\u0169ng hi\u1ec3u sai) so s\u00e1nh Normal EC (RWA x CARTarget<\/sub>) + \u0394EC v\u00e0 Normal AC. Trong \u0111\u00f3 \u0394profit = (Stress EC \u2013 Normal EC) + M\u1ee9c ch\u00eanh c\u1ee7a chi ph\u00ed d\u1ef1 ph\u00f2ng trong 2 k\u1ecbch b\u1ea3n.<\/p>\n N\u1ebfu ng\u00e2n h\u00e0ng \u0111\u00f3 th\u1ef1c hi\u1ec7n nh\u01b0 v\u1eady th\u00ec theo m\u00ecnh c\u00f3 1 v\u1ea5n \u0111\u1ec1: \u0394profit kh\u00f4ng ch\u1ec9 bao g\u1ed3m m\u1ee9c t\u0103ng c\u1ee7a chi ph\u00ed d\u1ef1 ph\u00f2ng. Ph\u1ea3i th\u1eeba nh\u1eadn l\u00e0 chi ph\u00ed d\u1ef1 ph\u00f2ng l\u00e0 th\u00e0nh ph\u1ea7n ch\u1ee7 y\u1ebfu trong \u0394profit, v\u00ec khi m\u00f4i tr\u01b0\u1eddng kinh doanh x\u1ea5u \u0111i, ch\u1ea5t l\u01b0\u1ee3ng t\u00edn d\u1ee5ng x\u1ea5u \u0111i, chi ph\u00ed d\u1ef1 ph\u00f2ng t\u0103ng l\u00ean, l\u00e0m gi\u1ea3m (th\u1eadm ch\u00ed l\u00e0m \u00e2m) l\u1ee3i nhu\u1eadn, l\u00e0m gi\u1ea3m v\u1ed1n t\u1ef1 c\u00f3 (AC) d\u1ef1 ki\u1ebfn. Tuy nhi\u00ean, ngo\u00e0i chi ph\u00ed d\u1ef1 ph\u00f2ng, c\u00f2n kh\u00e1 nhi\u1ec1u k\u00eanh t\u00e1c \u0111\u1ed9ng l\u00e0m gi\u1ea3m v\u1ed1n: thu nh\u1eadp l\u00e3i thu\u1ea7n s\u1ebd gi\u1ea3m do n\u1ee3 x\u1ea5u th\u00ec kh\u00f4ng \u0111\u01b0\u1ee3c tr\u00edch l\u1eadp l\u00e3i, danh m\u1ee5c tr\u00e1i phi\u1ebfu v\u00e0 ngo\u1ea1i t\u1ec7 kinh doanh c\u00f3 th\u1ec3 b\u1ecb l\u1ed7, chi ph\u00ed ho\u1ea1t \u0111\u1ed9ng t\u0103ng l\u00ean,\u2026 N\u1ebfu ng\u00e2n h\u00e0ng tri\u1ec3n khai b\u1ecf b\u1edbt c\u00e1c k\u00eanh t\u00e1c \u0111\u1ed9ng v\u00ec s\u1ef1 kh\u00f4ng ch\u1eafc ch\u1eafn v\u00e0 gi\u1ea3m s\u1ef1 ph\u1ee9c t\u1ea1p th\u00ec m\u00ecnh ngh\u0129 c\u0169ng kh\u00f4ng n\u00ean b\u1ecf k\u00eanh thu nh\u1eadp l\u00e3i thu\u1ea7n v\u00ec k\u00eanh n\u00e0y c\u0169ng gi\u1ed1ng nh\u01b0 k\u00eanh chi ph\u00ed d\u1ef1 ph\u00f2ng, \u0111\u1ec1u l\u00e0 h\u1ec7 qu\u1ea3 c\u1ee7a s\u1ef1 suy gi\u1ea3m ch\u1ea5t l\u01b0\u1ee3ng t\u00edn d\u1ee5ng v\u00e0 \u0111\u1ec1u \u0111\u00e1ng k\u1ec3 (material).<\/p>\n C\u00e1ch tri\u1ec3n khai n\u00e0y c\u00f3 2 \u00edch l\u1ee3i: gi\u1ea3m m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u v\u00e0 h\u1ee3p v\u1edbi g\u00f3c nh\u00ecn c\u1ee7a NHNN. Gi\u1ea3m m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u v\u00ec v\u1edbi 1 s\u1ed1 k\u1ecbch b\u1ea3n stress EC c\u00f3 th\u1ec3 nh\u1ecf h\u01a1n normal EC (do gi\u1ea3m quy m\u00f4 b\u1ea3ng c\u00e2n \u0111\u1ed1i), v\u00e0 m\u1ee9c \u0394EC \u00e2m n\u00e0y kh\u00f4ng \u0111\u01b0\u1ee3c ghi nh\u1eadn v\u00e0o \u0394RWA x CARRegulator<\/sub>.(NHNN quy \u0111\u1ecbnh \u0394RWA kh\u00f4ng \u00e2m). Tuy nhi\u00ean, n\u1ebfu \u0394RWA x CARRegulator<\/sub>\u00a0=\u00a0\u00a0 \u0394EC + M\u1ee9c ch\u00eanh chi ph\u00ed d\u1ef1 ph\u00f2ng th\u00ec m\u1ee9c \u0394EC \u00e2m l\u1ea1i c\u00f3 t\u00e1c d\u1ee5ng gi\u1ea3m v\u1ed1n y\u00eau c\u1ea7u.<\/p>\n L\u1ee3i \u00edch th\u1ee9 2 th\u00ec kh\u00f4ng r\u00f5 r\u00e0ng v\u00e0 mang t\u00ednh truy\u1ec1n mi\u1ec7ng. Theo m\u00ecnh \u0111\u01b0\u1ee3c nghe k\u1ec3, ng\u00e2n h\u00e0ng \u00e1p d\u1ee5ng c\u00e1ch n\u00e0y l\u00e0 do 1 b\u00ean t\u01b0 v\u1ea5n h\u01b0\u1edbng d\u1eabn, b\u00ean t\u01b0 v\u1ea5n kh\u00f4ng thuy\u1ebft ph\u1ee5c ho\u00e0n to\u00e0n \u0111\u01b0\u1ee3c b\u1ed9 ph\u1eadn tri\u1ec3n khai ICAAP c\u1ee7a ng\u00e2n h\u00e0ng nh\u01b0ng \u0111\u1ea3m b\u1ea3o c\u00e1ch \u00e1p d\u1ee5ng n\u00e0y \u0111\u00e3 tham kh\u1ea3o \u00fd ki\u1ebfn NHNN. M\u00ecnh ph\u1ea3i nh\u1ea5n m\u1ea1nh l\u1ea1i l\u00e0 m\u00ecnh c\u0169ng ch\u1ec9 nghe k\u1ec3 l\u1ea1i, kh\u00f4ng ki\u1ec3m \u0111\u1ecbnh \u0111\u01b0\u1ee3c m\u1ee9c \u0111\u1ed9 tin c\u1eady c\u1ee7a ngu\u1ed3n tin v\u00e0 s\u1ebd kh\u00f4ng ti\u1ebft l\u1ed9 ng\u00e2n h\u00e0ng c\u0169ng nh\u01b0 ngu\u1ed3n tin. Nh\u01b0ng n\u1ebfu qu\u1ea3 th\u1eadt nh\u01b0 v\u1eady th\u00ec m\u00ecnh ngh\u0129 NHTM c\u00f3 th\u1ec3 \u00e1p d\u1ee5ng c\u00e1ch n\u00e0y, v\u1eeba ti\u1ebft ki\u1ec7m v\u1ed1n v\u1eeba h\u1ee3p \u00fd NHNN. N\u1ebfu NH mu\u1ed1n l\u00e0m chu\u1ea9n ch\u1ec9nh v\u00e0 b\u1ea3n ch\u1ea5t h\u01a1n th\u00ec b\u1ed5 sung th\u00eam \u0394profit c\u1ee7a c\u00e1c k\u00eanh t\u00e1c \u0111\u1ed9ng (\u00edt nh\u1ea5t l\u00e0 th\u00eam k\u00eanh thu nh\u1eadp thu\u1ea7n t\u1eeb l\u00e3i NII) l\u00e0 \u0111\u01b0\u1ee3c.<\/p>\n c. T\u00ednh \u0394RWA theo c\u00e1ch s\u00e1ng t\u1ea1o<\/p>\n C\u00f2n 1 phi\u00ean b\u1ea3n tri\u1ec3n khai n\u1eefa m\u00e0 theo m\u00ecnh l\u00e0 kh\u00e1 \u201cs\u00e1ng t\u1ea1o\u201d. Nh\u1eafc l\u1ea1i l\u00e0 m\u00ecnh kh\u00f4ng th\u1ec3 th\u1ea9m \u0111\u1ecbnh \u0111\u01b0\u1ee3c m\u1ee9c \u0111\u1ed9 tin c\u1eady (th\u1eadm ch\u00ed c\u00f3 kh\u1ea3 n\u0103ng m\u00ecnh hi\u1ec3u sai \u00fd \u0111\u1ed3 ng\u01b0\u1eddi truy\u1ec1n \u0111\u1ea1t) c\u0169ng nh\u01b0 kh\u00f4ng ti\u1ebft l\u1ed9 ngu\u1ed3n tin. C\u00e1c b\u1ea1n c\u00f3 th\u1ec3 tham kh\u1ea3o\u2026 cho vui!<\/p>\n N\u1ebfu ai \u0111\u00e3 l\u00e0m ICAAP r\u1ed3i th\u00ec th\u1ea5y c\u00f4ng \u0111o\u1ea1n t\u00ednh to\u00e1n \u0394RWA kh\u00e1 ph\u1ee9c t\u1ea1p, ph\u1ea3i x\u00e1c \u0111\u1ecbnh EC trong 2 k\u1ecbch b\u1ea3n \u2013 v\u1ed1n c\u0169ng ch\u1eb3ng \u0111\u01a1n gi\u1ea3n g\u00ec nh\u1ea5t l\u00e0 trong \u0111i\u1ec1u ki\u1ec7n c\u0103ng th\u1eb3ng. C\u00e1ch \u00e1p d\u1ee5ng sau \u0111\u00e2y l\u00e0 \u0111\u1ec3 \u0111\u01a1n gi\u1ea3n h\u00f3a c\u00e1ch t\u00ednh \u0394RWA.<\/p>\n C\u00e1ch t\u00ednh n\u00e0y d\u1ef1a tr\u00ean \u00fd t\u01b0\u1edfng l\u00e0 ng\u00e2n h\u00e0ng c\u00f3 1 t\u1ef7 l\u1ec7 CAR target trong k\u1ecbch b\u1ea3n kinh doanh b\u00ecnh th\u01b0\u1eddng ( = C\/RWA). Tuy nhi\u00ean, trong \u0111i\u1ec1u ki\u1ec7n stress, RWA s\u1ebd t\u0103ng th\u00eam 1 l\u01b0\u1ee3ng (\u0394RWA) v\u00e0 \u0111\u1ec3 duy tr\u00ec \u0111\u01b0\u1ee3c t\u1ef7 l\u1ec7 CAR trong \u0111i\u1ec1u ki\u1ec7n stress th\u00ec ng\u00e2n h\u00e0ng c\u1ea7n ph\u1ea3i b\u1ed5 sung 1 l\u01b0\u1ee3ng v\u1ed1n (\u0394C) \u0111\u1ec3 gi\u1eef nguy\u00ean t\u1ef7 l\u1ec7 CAR). Trong c\u00f4ng th\u1ee9c b\u00ean d\u01b0\u1edbi, n\u1ebfu bi\u1ebft C, RWA v\u00e0 \u0394C th\u00ec c\u00f3 th\u1ec3 t\u00ednh \u0111\u01b0\u1ee3c \u0394RWA. \u0394C \u0111\u01b0\u1ee3c t\u00ednh theo 1 c\u00e1ch \u0111\u01a1n gi\u1ea3n h\u00f3a n\u00e0o \u0111\u00f3, c\u00f3 l\u1ebd l\u00e0 hi\u1ec7u c\u1ee7a v\u1ed1n t\u1ef1 c\u00f3 trong 2 k\u1ecbch b\u1ea3n.<\/p>\n IV. T\u00e0i li\u1ec7u tham kh\u1ea3o<\/p>\n Li\u00ean h\u1ec7 Page \u0111\u1ec3 th\u1ea3o lu\u1eadn th\u00eam c\u00e1c b\u1ea1n nh\u00e9: https:\/\/f4utraining.com\/my-blog\/<\/p>\n T\u00e1c gi\u1ea3: Ho\u00e0ng Anh<\/p>\n Source: F4UTraining<\/p>\n <\/p>\n","protected":false},"excerpt":{"rendered":" ICAAP \u2013 Economic Capital Ch\u00e0o m\u1ecdi ng\u01b0\u1eddi, M\u00ecnh \u0111\u00e3 chia s\u1ebb 1 b\u00e0i t\u1ed5ng quan v\u1ec1 ICAAP theo Th\u00f4ng t\u01b0 13. H\u00f4m nay m\u00ecnh s\u1ebd \u0111i s\u00e2u h\u01a1n v\u1ec1 1 th\u00e0nh ph\u1ea7n r\u1ea5t quan tr\u1ecdng trong ICAAP l\u00e0 v\u1ed1n kinh t\u1ebf (Economic Capital \u2013 EC). B\u00e0i vi\u1ebft s\u1ebd bao qu\u00e1t c\u00e1c n\u1ed9i dung nh\u01b0 trong … Continue reading ICAAP \u2013 Economic Capital (Lang: VIE)<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":1175,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[25],"tags":[37,40,42,45,41],"class_list":["post-1177","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-bookmarked-articles","tag-banking","tag-basel","tag-credit-risk","tag-icaap","tag-risk"],"_links":{"self":[{"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/posts\/1177","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1177"}],"version-history":[{"count":4,"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/posts\/1177\/revisions"}],"predecessor-version":[{"id":1248,"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/posts\/1177\/revisions\/1248"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/media\/1175"}],"wp:attachment":[{"href":"https:\/\/mintea.blog\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1177"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1177"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1177"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\nL\u01b0\u1ee3ng v\u1ed1n ng\u00e2n h\u00e0ng th\u1ef1c s\u1ef1 n\u1eafm gi\u1eef l\u00e0 v\u1ed1n t\u1ef1 c\u00f3 \u2013 VTC (available capital) c\u1ea7n l\u1edbn h\u01a1n c\u1ea3 v\u1ed1n kinh t\u1ebf v\u00e0 ReC. Hi\u1ec7n t\u1ea1i, m\u1ed9t s\u1ed1 ng\u00e2n h\u00e0ng v\u1eabn ch\u01b0a tu\u00e2n th\u1ee7 \u0111\u01b0\u1ee3c th\u00f4ng t\u01b0 41 (c\u00f3 hi\u1ec7u l\u1ef1c t\u1eeb \u0111\u1ea7u n\u0103m 2020) do c\u00f3 qu\u00e1 \u00edt v\u1ed1n so v\u1edbi v\u1ed1n y\u00eau c\u1ea7u theo Th\u00f4ng t\u01b0 41 (Basel II). H\u1ea7u h\u1ebft ng\u00e2n h\u00e0ng n\u00e0y v\u1eabn ph\u1ea3i tu\u00e2n th\u1ee7 1 m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u nh\u1eb9 nh\u00e0ng (th\u1ea5p) h\u01a1n TT41 l\u00e0 Th\u00f4ng t\u01b0 22\/2019 (Basel I).
\nB\u00ean d\u01b0\u1edbi l\u00e0 h\u00ecnh \u1ea3nh \u0111\u01b0\u1ee3c tr\u00edch ra t\u1eeb b\u00e1o c\u00e1o r\u1ee7i ro c\u1ee7a NedBank v\u1ec1 ph\u00e2n bi\u1ec7t 3 lo\u1ea1i v\u1ed1n.<\/p>\n![\"Text](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/text-description-automatically-generated.jpeg\")
<\/p>\n
\nM\u1ee5c \u0111\u00edch \u0111\u1ea7u th\u00ec kh\u00e1 d\u1ec5 hi\u1ec3u, n\u1ebfu ng\u00e2n h\u00e0ng n\u1eafm gi\u1eef \u0111\u1ee7 v\u1ed1n th\u00ec n\u1ebfu c\u00f3 t\u1ed5n th\u1ea5t b\u1ea5t th\u01b0\u1eddng th\u00ec ng\u00e2n h\u00e0ng s\u1ebd c\u00f3 ngu\u1ed3n \u0111\u1ec3 b\u00f9 \u0111\u1eafp t\u1ed5n th\u1ea5t, \u0111\u1ea3m b\u1ea3o ho\u1ea1t \u0111\u1ed9ng li\u00ean t\u1ee5c. Trong ng\u00e0nh kinh doanh ni\u1ec1m tin nh\u01b0 ng\u00e2n h\u00e0ng, m\u1ed9t th\u00f4ng tin b\u1ea5t l\u1ee3i c\u00f3 g\u00e2y ra r\u00fat ti\u1ec1n \u1ed3 \u1ea1t t\u1eeb ng\u01b0\u1eddi g\u1eedi ti\u1ec1n\u00a0ho\u1eb7c c\u00e1c \u0111\u1ed1i t\u00e1c ng\u00e2n h\u00e0ng kh\u00e1c (li\u00ean ng\u00e2n h\u00e0ng) d\u1eebng giao d\u1ecbch\/ d\u1eebng cho vay khi\u1ebfn ho\u1ea1t \u0111\u1ed9ng kinh doanh c\u1ee7a NHTM \u0111\u00f3 b\u1ecb gi\u00e1n \u0111o\u1ea1n. M\u1ed9t \u0111\u1ec7m v\u1ed1n d\u00e0y c\u00f3 th\u1ec3 t\u0103ng ni\u1ec1m tin cho c\u00e1c \u0111\u1ed1i t\u00e1c v\u00e0 ng\u01b0\u1eddi g\u1eedi ti\u1ec1n, gi\u00fap NHTM ho\u1ea1t \u0111\u1ed9ng li\u00ean t\u1ee5c trong c\u00e1c ho\u00e0n c\u1ea3nh b\u1ea5t l\u1ee3i. N\u1ed9i dung n\u00e0y \u0111\u01b0\u1ee3c th\u1ec3 hi\u1ec7n trong khung ICAAP \u2013 ph\u1ea7n sau c\u1ee7a b\u00e0i vi\u1ebft n\u00e0y.
\nM\u1ee5c \u0111\u00edch th\u1ee9 2 v\u1ec1 t\u00ednh sinh l\u1eddi, ch\u00ednh x\u00e1c h\u01a1n l\u00e0 t\u00ednh sinh l\u1eddi c\u00f3 t\u00ednh \u0111\u1ebfn y\u1ebfu t\u1ed1 r\u1ee7i ro, th\u00ec ph\u1ee9c t\u1ea1p h\u01a1n. M\u1ed9t kho\u1ea3n \u0111\u1ea7u t\u01b0 t\u1ed1t c\u1ea7n c\u00e2n b\u1eb1ng gi\u1eefa kh\u1ea3 n\u0103ng sinh l\u1eddi v\u00e0 r\u1ee7i ro. C\u00e1c ho\u1ea1t \u0111\u1ed9ng r\u1ee7i ro c\u1ee7a ng\u00e2n h\u00e0ng th\u01b0\u1eddng \u0111em l\u1ea1i l\u1ee3i nhu\u1eadn cao trong ng\u1eafn h\u1ea1n v\u00e0 sau v\u00e0i n\u0103m m\u1edbi b\u1ed9c l\u1ed9 h\u1eadu qu\u1ea3. Sau th\u1eddi k\u1ef3 ch\u1ea1y \u0111ua l\u1ee3i nhu\u1eadn v\u00e0 gi\u1ea3i quy\u1ebft h\u1eadu qu\u1ea3 trong c\u00e1c n\u0103m sau \u0111\u00f3, nhi\u1ec1u ng\u00e2n h\u00e0ng nh\u1eadn ra l\u1ee3i nhu\u1eadn ng\u1eafn h\u1ea1n\/ ROE kh\u00f4ng ph\u1ea3i th\u01b0\u1edbc \u0111o t\u1ed1t nh\u1ea5t cho kh\u1ea3 n\u0103ng sinh l\u1eddi, v\u00e0 thay th\u1ebf b\u1eb1ng c\u00e1c thang \u0111o l\u1ee3i nhu\u1eadn c\u00f3 t\u00ednh \u0111\u1ebfn r\u1ee7i ro (Risk-Adjusted Performance Measure RAPM). M\u1ed9t thang \u0111o RAPM n\u1ed5i ti\u1ebfng nh\u1ea5t l\u00e0 RAROC\u00a0 ![](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/word-image-42.png\")
(=\u00a0L\u1ee3i nhu\u1eadn \u0111i\u1ec1u ch\u1ec9nh r\u1ee7i ro\/ v\u1ed1n kinh t\u1ebf), s\u1ebd \u0111\u01b0\u1ee3c tr\u00ecnh b\u00e0y \u1edf ph\u1ea7n sau. Thang \u0111o n\u00e0y kh\u00f4ng ch\u1ec9 gi\u00fap c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 so s\u00e1nh kh\u1ea3 n\u0103ng sinh l\u1eddi c\u1ee7a c\u00e1c ng\u00e2n h\u00e0ng v\u1edbi nhau m\u00e0 c\u00f2n gi\u00fap ch\u00ednh c\u00e1c NHTM so s\u00e1nh c\u00e1c \u0110\u01a1n v\u1ecb kinh doanh \u0110VKD (Business unit \u2013 BU) hay \u0111\u1ec3 \u0110VKD so s\u00e1nh gi\u1eefa c\u00e1c ph\u01b0\u01a1ng \u00e1n kinh doanh\/ \u0111\u1ea7u t\u01b0. M\u1ee5c ti\u00eau n\u00e0y d\u1eabu kh\u00e1 xa l\u1ea1 v\u1edbi \u0111a s\u1ed1 c\u00e1c ng\u00e2n h\u00e0ng \u1edf Vi\u1ec7t Nam hi\u1ec7n nay, nh\u01b0ng m\u00ecnh tin s\u1ebd d\u1eabn \u0111\u01b0\u1ee3c ph\u1ed5 c\u1eadp trong v\u00e0i n\u0103m t\u1edbi, khi ICAAP \u0111\u01b0\u1ee3c \u00e1p d\u1ee5ng. Do \u0111\u00f3, m\u00ecnh v\u1eabn tr\u00ecnh b\u00e0y ph\u1ea7n n\u00e0y v\u00e0o ph\u1ea7n cu\u1ed1i c\u00f9ng c\u1ee7a b\u00e0i vi\u1ebft<\/p>\n![\"A](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/a-picture-containing-text-description-automatical.jpeg\")
<\/p>\n
\nV\u00ed d\u1ee5 v\u1edbi r\u1ee7i ro t\u00edn d\u1ee5ng, c\u00e1c NHTM khi cho vay th\u01b0\u1eddng l\u01b0\u1eddng tr\u01b0\u1edbc s\u1ebd c\u00f3 1 kh\u1ea3 n\u0103ng kh\u00e1ch h\u00e0ng s\u1ebd kh\u00f4ng tr\u1ea3 \u0111\u01b0\u1ee3c n\u1ee3, d\u1eabn \u0111\u1ebfn t\u1ed5n th\u1ea5t c\u1ee7a ng\u00e2n h\u00e0ng. Expected loss (EL), gi\u1ea3 s\u1eed l\u00e0 2%, n\u00e0y \u0111\u01b0\u1ee3c t\u00edch h\u1ee3p v\u00e0o m\u1ee9c l\u00e3i su\u1ea5t cho vay (doanh thu) v\u00e0 chi ph\u00ed d\u1ef1 ph\u00f2ng\/ chi ph\u00ed th\u1ef1c t\u1ebf do ph\u00e1t sinh n\u1ee3 x\u1ea5u (chi ph\u00ed) c\u1ee7a ng\u00e2n h\u00e0ng.
\nTuy nhi\u00ean, m\u1ee9c t\u1ed5n th\u1ea5t th\u1ef1c t\u1ebf c\u1ee7a ng\u00e2n h\u00e0ng th\u01b0\u1eddng kh\u00e1c m\u1ee9c d\u1ef1 ki\u1ebfn n\u00e0y, v\u00ed d\u1ee5 l\u00e0 1% hay 5%. M\u1ee9c ch\u00eanh l\u1ec7ch gi\u1eefa th\u1ef1c t\u1ebf v\u00e0 d\u1ef1 ki\u1ebfn, l\u00e0 -1% hay 3% trong v\u00ed d\u1ee5 n\u00e0y, \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 t\u1ed5n th\u1ea5t kh\u00f4ng d\u1ef1 ki\u1ebfn (UL). Trong c\u00e1c tr\u01b0\u1eddng h\u1ee3p x\u1ea5u, m\u1ee9c UL n\u00e0y r\u1ea5t l\u1edbn khi\u1ebfn l\u1ee3i nhu\u1eadn kh\u00f4ng th\u1ea5m th\u00e1p v\u00e0o \u0111\u00e2u so v\u1edbi t\u1ed5n th\u1ea5t, g\u00e2y \u1ea3nh h\u01b0\u1edfng \u0111\u1ebfn kh\u1ea3 n\u0103ng ho\u1ea1t \u0111\u1ed9ng c\u1ee7a ng\u00e2n h\u00e0ng. (nh\u1edb r\u1eb1ng v\u1ed1n ch\u1ee7 s\u1ee1 h\u1eefu c\u1ee7a ng\u00e2n h\u00e0ng ch\u1ec9 chi\u1ebfm kho\u1ea3ng 1\/5 \u2013 1\/10 t\u1ed5ng d\u01b0 n\u1ee3 n\u00ean n\u1ebfu UL l\u00ean t\u1ea7m 20% l\u00e0 ng\u00e2n h\u00e0ng \u201ctoang\u201d r\u1ed3i). Do \u0111\u00f3, ng\u00e2n h\u00e0ng c\u1ea7n n\u1eafm gi\u1eef v\u1ed1n kinh t\u1ebf \u0111\u1ec3 b\u00f9 \u0111\u1eafp cho UL. L\u01b0u \u00fd l\u00e0 v\u1ed1n kinh t\u1ebf kh\u00f4ng c\u1ea7n b\u00f9 \u0111\u1eafp cho t\u1ed5n th\u1ea5t d\u1ef1 ki\u1ebfn do t\u1ed5n th\u1ea5t n\u00e0y \u0111\u00e3 \u0111\u01b0\u1ee3c chi ph\u00ed d\u1ef1 ph\u00f2ng lo r\u1ed3i.
\n1 ph\u00fat \u0111\u1ec3 ki\u1ec3m tra kh\u1ea3 n\u0103ng li\u00ean h\u1ec7 th\u1ef1c t\u1ebf nh\u00e9: \u0110\u1ed1 c\u00e1c b\u1ea1n, d\u1ef1 ph\u00f2ng c\u1ee5 th\u1ec3 (specific provision) b\u00f9 \u0111\u1eafp cho t\u1ed5n th\u1ea5t n\u00e0o? V\u1edbi c\u00e1c r\u1ee7i ro kh\u00e1c nh\u01b0 r\u1ee7i ro th\u1ecb tr\u01b0\u1eddng, r\u1ee7i ro ho\u1ea1t \u0111\u1ed9ng hay r\u1ee7i ro l\u00e3i su\u1ea5t tr\u00ean s\u1ed5 ng\u00e2n h\u00e0ng, ph\u1ea7n n\u00e0o l\u00e0 EL?, ph\u1ea7n n\u00e0o l\u00e0 UL ?
\nQuay tr\u1edf l\u1ea1i v\u1edbi v\u1ed1n kinh t\u1ebf trong \u0111\u1ed3 th\u1ecb v\u1ec1 m\u1eadt \u0111\u1ed9 c\u1ee7a t\u1ed5n th\u1ea5t n\u00f3i chung (\u0111\u01b0\u1eddng m\u00e0u xanh). Tr\u1ee5c ho\u00e0nh l\u00e0 c\u00e1c m\u1ee9c t\u1ed5n th\u1ea5t c\u00f3 th\u1ec3 x\u1ea3y ra, tr\u1ee5c tung th\u1ec3 hi\u1ec7n t\u1ea7n su\u1ea5t\/ x\u00e1c su\u1ea5t c\u00f3 th\u1ec3 x\u1ea3y ra c\u1ee7a c\u00e1c m\u1ee9c t\u1ed5n th\u1ea5t n\u00e0y. Ph\u1ea7n di\u1ec7n t\u00edch t\u1ea1o b\u1edfi \u0111\u01b0\u1eddng m\u00e0u xanh n\u00e0y v\u00e0 tr\u1ee5c h\u00f2anh l\u00e0 t\u1ed5ng x\u00e1c su\u1ea5t c\u1ee7a t\u1ea5t c\u1ea3 c\u00e1c m\u1ee9c t\u1ed5n th\u1ea5t v\u00e0 b\u1eb1ng 100%. Expected loss l\u00e0 trung b\u00ecnh c\u00e1c m\u1ee9c t\u1ed5n th\u1ea5t, gi\u1ea3 s\u1eed l\u00e0 8 t\u1ef7. Value-at-Risk hay VaR v\u1edbi \u0111\u1ed9 tin c\u1eady (confidence level) X% (X%-VaR) l\u00e0 m\u1ee9c \u0111\u1ed9 l\u1ed7 \u1ee9ng v\u1edbi \u0111\u1ed9 tin c\u1eady X. L\u1ea5y v\u00ed d\u1ee5 99%-VaR = 50 t\u1ef7 \u0111\u01b0\u1ee3c hi\u1ec3u l\u00e0 99% x\u00e1c su\u1ea5t m\u1ee9c t\u1ed5n th\u1ea5t kh\u00f4ng v\u01b0\u1ee3t qu\u00e1 50 t\u1ef7, hay ch\u1ec9 c\u00f3 1 % (ph\u1ea7n b\u00f4i \u0111\u1ecf) x\u00e1c su\u1ea5t l\u00e0 m\u1ee9c \u0111\u1ed9 t\u1ed5n th\u1ea5t s\u1ebd l\u1edbn h\u01a1n 50 t\u1ef7. N\u1ebfu ng\u00e2n h\u00e0ng mu\u1ed1n x\u00e1c su\u1ea5t s\u1ed1ng s\u00f3t c\u1ee7a m\u00ecnh l\u1edbn h\u01a1n 99% (hay x\u00e1c su\u1ea5t ng\u00e2n h\u00e0ng ph\u00e1 s\u1ea3n l\u00e0 1%) th\u00ec c\u1ea7n ph\u1ea3i d\u1ef1 tr\u1eef v\u1ed1n \u0111\u1ec3 h\u1ea5p th\u1ee5 cho l\u01b0\u1ee3ng t\u1ed5n th\u1ea5t ti\u1ec1m t\u00e0ng n\u00e0y. Tuy nhi\u00ean, ng\u00e2n h\u00e0ng kh\u00f4ng c\u1ea7n d\u1ef1 tr\u1eef to\u00e0n b\u1ed9 50 t\u1ef7 v\u00ec t\u1ed5n th\u1ea5t d\u1ef1 ki\u1ebfn 8 t\u1ef7 \u0111\u00e3 \u0111\u01b0\u1ee3c \u201cd\u1ef1 tr\u1eef\u201d b\u1edfi chi ph\u00ed d\u1ef1 ph\u00f2ng r\u1ed3i. Ph\u1ea7n ch\u00eanh 50-8=42 t\u1ef7 l\u00e0 l\u01b0\u1ee3ng c\u1ea7n d\u1ef1 tr\u1eef v\u00e0 \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 v\u1ed1n kinh t\u1ebf.<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-1.jpeg\")
<\/p>\n
\nN\u1ebfu ng\u00e2n h\u00e0ng mu\u1ed1n m\u1ee9c x\u1ebfp h\u1ea1ng m\u1ee5c ti\u00eau c\u1ee7a m\u00ecnh l\u00e0 BB (x\u00e1c su\u1ea5t v\u1ee1 n\u1ee3 0.72%) th\u00ec \u0111\u1ed9 tin c\u1eady cho v\u1ed1n kinh t\u1ebf ch\u1ec9 c\u1ea7n \u1edf m\u1ee9c 99,28%. M\u1ee9c n\u00e0y th\u1ea5p h\u01a1n m\u1ee9c 99.9% n\u00ean m\u1ee9c v\u1ed1n kinh t\u1ebf s\u1ebd th\u1ea5p h\u01a1n m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u theo c\u1ed9t tr\u1ee5 1 c\u1ee7a Basel. \u1ede th\u00f4ng t\u01b0 13, v\u1ed1n kinh t\u1ebf cho 3 lo\u1ea1i r\u1ee7i ro \u1edf c\u1ed9t tr\u1ee5 1 c\u00f3 th\u1ec3 do ng\u00e2n h\u00e0ng t\u1ef1 t\u00ednh ho\u1eb7c theo b\u1eb1ng m\u1ee9c v\u1ed1n y\u00eau c\u1ea7u theo th\u00f4ng t\u01b0 41. N\u1ebfu ng\u00e2n h\u00e0ng t\u00ednh t\u1ef1 t\u00ednh th\u00ec ng\u00e2n h\u00e0ng s\u1ebd ti\u1ebft ki\u1ec7m \u0111\u01b0\u1ee3c kha kh\u00e1 v\u1ed1n \u0111\u1ea5y, nh\u1ea5t l\u00e0 khi r\u1ee7i ro t\u00edn d\u1ee5ng ng\u1ed1n nhi\u1ec1u v\u1ed1n nh\u1ea5t trong lo\u1ea1i r\u1ee7i ro c\u1ee7a c\u00e1c ng\u00e2n h\u00e0ng th\u01b0\u01a1ng m\u1ea1i. N\u1ebfu ng\u00e2n h\u00e0ng ch\u01b0a tri\u1ec3n khai t\u00ednh v\u1ed1n theo ph\u01b0\u01a1ng ph\u00e1p m\u00f4 h\u00ecnh n\u1ed9i b\u1ed9 (s\u1eed d\u1ee5ng PD, LGD,..) th\u00ec sao? Nh\u1eefng c\u00e2u h\u1ecfi d\u1ea1ng n\u00e0y h\u01a1i s\u00e2u v\u1edbi ng\u01b0\u1eddi \u0111\u1ecdc ph\u1ed5 th\u00f4ng n\u00ean h\u00e3y inbox m\u00ecnh \u0111\u1ec3 b\u00e0n lu\u1eadn th\u00eam nh\u00e9!
\nL\u01b0u \u00fd l\u00e0 m\u1ee9c \u0111\u1ed9 d\u1ef1 tr\u1eef v\u1ed1n d\u1eabu quan tr\u1ecdng nh\u01b0ng c\u0169ng ch\u1ec9 l\u00e0 1 ti\u00eau ch\u00ed \u0111\u1ec3 \u0111\u00e1nh gi\u00e1 t\u00edn nhi\u1ec7m c\u1ee7a ng\u00e2n h\u00e0ng. X\u1ebfp h\u1ea1ng t\u00edn nhi\u1ec7m c\u1ee7a ng\u00e2n h\u00e0ng c\u00f2n ph\u1ee5 thu\u1ed9c v\u00e0o c\u00e1c t\u1ef7 s\u1ed1 t\u00e0i ch\u00ednh kh\u00e1c nh\u01b0 thanh kho\u1ea3n, ch\u1ea5t l\u01b0\u1ee3ng t\u00e0i s\u1ea3n, kh\u1ea3 n\u0103ng sinh l\u1eddi v\u00e0 c\u00e1c y\u1ebfu t\u1ed1 \u0111\u1ecbnh t\u00ednh nh\u01b0 n\u1ec1n kinh t\u1ebf, h\u1ed7 tr\u1ee3 c\u1ee7a ch\u00ednh ph\u1ee7, h\u1ed7 tr\u1ee3 c\u1ee7a c\u00f4ng ty m\u1eb9,\u2026 V\u00e0 x\u1ebfp h\u1ea1ng c\u1ee7a ng\u00e2n h\u00e0ng kh\u00f4ng bao gi\u1edd cao h\u01a1n x\u1ebfp h\u1ea1ng qu\u1ed1c gia. Th\u1ebf n\u00ean k\u1ec3 c\u1ea3 d\u1ef1 tr\u1eef v\u1ed1n c\u1ef1c nhi\u1ec1u, x\u1ebfp h\u1ea1ng c\u00e1c NHTM Vi\u1ec7t Nam kh\u00f4ng bao gi\u1edd cao h\u01a1n Baa3 (Moody\u2019s) c\u1ee7a VN (2019). Th\u1ef1c ra, n\u1ebfu \u0111\u00e1nh gi\u00e1 t\u1ed5ng h\u1ee3p d\u1ef1a tr\u00ean b\u1ed9 c\u00e1c t\u1ef7 s\u1ed1 t\u00e0i ch\u00ednh theo chu\u1ea9n Moody\u2019s th\u00ec VCB l\u00e0 NH t\u1ed1t nh\u1ea5t \u1edf VN, nh\u01b0ng ch\u1ec9 x\u1ebfp h\u1ea1ng Ba3(2019).
\n![\"Table](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/table-description-automatically-generated.jpeg\")
<\/p>\n\n
\n
\n
\n
![\"Timeline](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/timeline-description-automatically-generated-1.jpeg\")
<\/p>\n\n
\n
![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-2.jpeg\")
<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-3.jpeg\")
<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-4.jpeg\")
<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-5.jpeg\")
<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-6.jpeg\")
<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-7.jpeg\")
<\/p>\n![\"Chart](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/chart-description-automatically-generated.jpeg\")
<\/p>\n![\"A](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/a-picture-containing-graphical-user-interface-des.jpeg\")
<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-8.jpeg\")
<\/p>\n![\"A](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/a-picture-containing-diagram-description-automati.jpeg\")
<\/p>\n![\"Graphical](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/graphical-user-interface-text-application-email.jpeg\")
<\/p>\n![\"Diagram](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/diagram-description-automatically-generated-9.jpeg\")
<\/p>\n![\"A](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/a-picture-containing-text-description-automatical-1.jpeg\")
<\/p>\n\n