I.1. T\u1ef7 l\u1ec7 CAR<\/strong><\/p>\n T\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n CAR (Capital Adequacy Ratio) l\u00e0 1 y\u00eau c\u1ea7u do Basel \u0111\u1ec1 ra v\u1edbi m\u1ee5c \u0111\u00edch y\u00eau c\u1ea7u ng\u00e2n h\u00e0ng n\u1eafm gi\u1eef \u0111\u1ee7 v\u1ed1n \u0111\u1ec3 b\u00f9 \u0111\u1eafp cho r\u1ee7i ro. Theo s\u1ef1 ph\u00e1t tri\u1ec3n c\u1ee7a Basel, t\u1ef7 l\u1ec7 CAR c\u0169ng thay \u0111\u1ed5i theo, ch\u1ee7 y\u1ebfu \u1edf ph\u1ea7n m\u1eabu s\u1ed1, RWA, \u0111o l\u01b0\u1eddng quy m\u00f4 r\u1ee7i ro c\u1ee7a ng\u00e2n h\u00e0ng. T\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n kh\u00f4ng ch\u1ec9 l\u00e0 m\u1ee5c ti\u00eau cu\u1ed1i c\u00f9ng c\u1ee7a Basel. Quan tr\u1ecdng h\u01a1n l\u00e0 h\u01b0\u1edbng d\u1eabn ng\u00e2n h\u00e0ng x\u00e2y d\u1ef1ng 1 c\u00e1ch th\u1ee9c qu\u1ea3n tr\u1ecb r\u1ee7i ro n\u1ed9i b\u1ed9, l\u00e0 n\u1ed9i dung c\u1ee7a c\u1ed9t tr\u1ee5 2 v\u00e0 \u1edf VN l\u00e0 Th\u00f4ng t\u01b0 13\/2018\/TT-NHNN. Cu\u1ed1i c\u00f9ng, c\u1ed9t tr\u1ee5 3 y\u00eau c\u1ea7u c\u00f4ng b\u1ed1 th\u00f4ng tin v\u1ec1 qu\u1ea3n tr\u1ecb r\u1ee7i ro gi\u00fap th\u1ecb tr\u01b0\u1eddng minh b\u1ea1ch h\u01a1n. I.2. C\u00e1c lo\u1ea1i t\u00e0i li\u1ec7u<\/strong><\/p>\n Ngu\u1ed3n t\u00e0i li\u1ec7u \u0111\u1ea7u ti\u00ean m\u00e0 m\u1ecdi ng\u01b0\u1eddi n\u00ean ti\u1ebfp c\u1eadn l\u00e0 3 th\u00f4ng t\u01b0 m\u00ecnh v\u1eeba li\u1ec7t k\u00ea tr\u00ean (TT22, TT41, TT13). Tuy nhi\u00ean, do 3 th\u00f4ng t\u01b0 n\u00e0y ch\u1ec9 l\u00e0 v\u00e0i m\u1ea3nh nh\u1ecf c\u1ee7a Basel, h\u01a1n n\u1eefa l\u1ea1i c\u1eaft t\u1eeb c\u00e1c v\u0103n b\u1ea3n c\u1ee7a Basel n\u00ean ng\u01b0\u1eddi \u0111\u1ecdc kh\u00f3 th\u1ea5y \u0111\u01b0\u1ee3c b\u1ee9c tranh t\u1ed5ng th\u1ec3 hay th\u1ea5y \u0111\u01b0\u1ee3c b\u1ea3n ch\u1ea5t. Nh\u01b0ng ph\u1ea3i th\u1eeba nh\u1eadn l\u00e0 kho t\u00e0i li\u1ec7u c\u1ee7a Basel v\u00e0 EUROPA r\u1ea5t \u0111\u1ed3 s\u1ed9, l\u1ea1i thi\u00ean v\u1ec1 thi h\u00e0nh nhi\u1ec1u h\u01a1n l\u00e0 \u0111\u00e0o t\u1ea1o n\u00ean ng\u01b0\u1eddi m\u1edbi \u0111\u1ecdc s\u1ebd nh\u01b0 l\u1ea1c v\u00e0o m\u00ea cung v\u00e0 m\u1ecdi ng\u01b0\u1eddi n\u00ean ki\u1ebfm 1 b\u1ea3n \u0111\u1ed3 tr\u01b0\u1edbc khi v\u00e0o. \u0110\u1ed1i v\u1edbi m\u00ecnh, b\u1ea3n \u0111\u1ed3 l\u00e0 ch\u01b0\u01a1ng 21 v\u00e0 22 v\u1ec1 Basel \u1edf Book 3 FRM part II . \u0110\u1ecdc h\u1ebft 2 ch\u01b0\u01a1ng n\u00e0y m\u00ecnh hi\u1ec3u b\u1ea3n ch\u1ea5t t\u1ef7 l\u1ec7 CAR v\u00e0 c\u00e1ch t\u00ednh RWA c\u00e1c lo\u1ea1i r\u1ee7i ro \u0111\u01b0\u1ee3c n\u00e2ng c\u1ea5p ntn t\u1eeb Basel I \u0111\u1ebfn Basel II. Hi\u1ec3u \u0111\u01b0\u1ee3c m\u1ea1ch logic t\u1eeb Basel I \u0111\u1ebfn Basel II, m\u00ecnh c\u00f3 th\u1ec3 hi\u1ec3u \u0111\u01b0\u1ee3c c\u00f4ng th\u1ee9c netting c\u1ee7a r\u1ee7i ro t\u00edn d\u1ee5ng \u0111\u1ed1i t\u00e1c v\u00e0 b\u1ea3n ch\u1ea5t c\u1ee7a NGR trong TT41 (H\u00ecnh 1) hay bi\u1ebft ph\u1ea7n m\u00ecnh \u0111ang nghi\u00ean c\u1ee9u n\u1eb1m \u1edf \u0111\u00e2u trong \u201cv\u0169 tr\u1ee5 r\u1ee7i ro\u201d c\u1ee7a Basel\u00a0 II. C\u00e1c lo\u1ea1i v\u1ed1n<\/strong><\/p>\n II.1. Ph\u00e2n bi\u1ec7t regulatory capital vs available capital<\/strong><\/p>\n C\u00f3 2 lo\u1ea1i v\u1ed1n m\u1ecdi ng\u01b0\u1eddi th\u01b0\u1eddng hay l\u1eabn l\u1ed9n l\u00e0 regulatory capital v\u00e0 available capital. Available capital \/ Capital base\/ V\u1ed1n t\u1ef1 c\u00f3 \u2013 VTC l\u00e0 l\u01b0\u1ee3ng v\u1ed1n c\u00e1c ng\u00e2n h\u00e0ng c\u00f3. V\u1edbi t\u1ef7 l\u1ec7 CAR, VTC = V\u1ed1n c\u1ea5p 1 + V\u1ed1n c\u1ea5p 2. L\u01b0\u1ee3ng v\u1ed1n n\u00e0y c\u00e0ng nhi\u1ec1u th\u00ec s\u1ee9c ch\u1ed1ng ch\u1ecdi v\u1edbi r\u1ee7i ro c\u00e0ng t\u1ed1t. II.2. Ph\u00e2n bi\u1ec7t regulatory capital (RC) v\u00e0 economic capital (EC)<\/strong><\/p>\n RC v\u00e0 EC \u0111\u1ec1u l\u00e0 l\u01b0\u1ee3ng v\u1ed1n NH c\u1ea7n \u0111\u1ec3 \u1ee9ng ph\u00f3 v\u1edbi r\u1ee7i ro, nh\u01b0ng kh\u00e1c nhau \u1edf c\u00e1ch t\u00ednh to\u00e1n. V\u1edbi RC, c\u00e1ch t\u00ednh to\u00e1n do NHNN \/ Basel quy\u1ebft \u0111\u1ecbnh. V\u1edbi EC, c\u00e1c ng\u00e2n h\u00e0ng \u0111\u01b0\u1ee3c t\u1ef1 x\u00e1c \u0111\u1ecbnh c\u00e1ch t\u00ednh to\u00e1n d\u1ef1a tr\u00ean kh\u1ea9u v\u1ecb r\u1ee7i ro c\u1ee7a ng\u00e2n h\u00e0ng, th\u01b0\u1eddng li\u00ean quan \u0111\u1ebfn x\u1ebfp h\u1ea1ng t\u00edn nhi\u1ec7m m\u1ee5c ti\u00eau. C\u00f9ng m\u1ee9c r\u1ee7i ro, ng\u00e2n h\u00e0ng n\u00e0o c\u00f3 mu\u1ed1n x\u1ebfp h\u1ea1ng cao h\u01a1n th\u00ec ph\u1ea3i d\u1ef1 tr\u1eef l\u01b0\u1ee3ng v\u1ed1n l\u1edbn h\u01a1n (EC l\u1edbn h\u01a1n). Tuy linh ho\u1ea1t trong vi\u1ec7c t\u00ednh to\u00e1n EC v\u00e0 d\u1ef1 tr\u1eef l\u01b0\u1ee3ng v\u1ed1n t\u01b0\u01a1ng \u1ee9ng, nh\u01b0ng l\u01b0\u1ee3ng v\u1ed1n ng\u00e2n h\u00e0ng c\u1ea7n ph\u1ea3i d\u1ef1 tr\u1eef kh\u00f4ng th\u1ea5p h\u01a1n RC. III. C\u1ed9t tr\u1ee5 2 v\u00e0 ICAAP t\u1ea1i VN<\/strong><\/p>\n III.1. C\u1ed9t tr\u1ee5 2<\/strong><\/p>\n C\u1ed9t tr\u1ee5 2 d\u00e0nh cho c\u01a1 quan qu\u1ea3n l\u00fd ng\u00e2n h\u00e0ng (\u1edf VN l\u00e0 NHNN), y\u00eau c\u1ea7u NHNN ph\u1ea3i gi\u00e1m s\u00e1t sao cho vi\u1ec7c QTRR \u1edf c\u00e1c ng\u00e2n h\u00e0ng sao cho \u0111\u1ea1t y\u00eau c\u1ea7u. Nh\u01b0ng d\u00f9 sao c\u00e1c ng\u00e2n h\u00e0ng c\u0169ng ph\u1ea3i \u0111\u00e1p \u1ee9ng c\u00e1c y\u00eau c\u1ea7u n\u00e0y n\u00ean c\u00f3 th\u1ec3 coi c\u1ed9t tr\u1ee5 2 l\u00e0 y\u00eau c\u1ea7u b\u1ed5 sung \u0111\u1ed1i v\u1edbi c\u00e1c ng\u00e2n h\u00e0ng b\u00ean c\u1ea1nh y\u00eau c\u1ea7u v\u1ec1 v\u1ed1n t\u1ed1i thi\u1ec3u. T\u00f3m t\u1eaft n\u1ed9i dung \u1edf h\u00ecnh 2. Chi ti\u1ebft m\u1eddi c\u00e1c b\u1ea1n \u0111\u1ecdc \u1edf Ph\u1ee5 l\u1ee5c 2. M\u00ecnh ch\u1ec9 gi\u1edbi thi\u1ec7u ph\u1ea7n m\u00ecnh ngh\u0129 li\u00ean quan nhi\u1ec1u \u0111\u1ebfn ng\u00e2n h\u00e0ng. III.2. ICAAP \u1edf Vi\u1ec7t Nam<\/strong><\/p>\n Nh\u01b0 \u0111\u00e3 gi\u1edbi thi\u1ec7u, ICAAP \u0111\u1ec3 \u0111\u1ea3m b\u1ea3o ng\u00e2n h\u00e0ng kh\u00f4ng b\u1ecb vi ph\u1ea1m t\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n ngay c\u1ea3 trong k\u1ecbch b\u1ea3n kinh doanh b\u1ea5t l\u1ee3i (stress scenario). Do \u0111\u00f3, ng\u00e2n h\u00e0ng c\u1ea7n th\u1ef1c hi\u1ec7n stress test (ST), c\u00f3 th\u1ec3 d\u1ef1a tr\u00ean c\u00e1c cu\u1ed9c kh\u1ee7ng ho\u1ea3ng (crisis) trong qu\u00e1 kh\u1ee9. Kinh nghi\u1ec7m cho th\u1ea5y t\u00e1c \u0111\u1ed9ng c\u1ee7a c\u00e1c cu\u1ed9c kh\u1ee7ng ho\u1ea3ng th\u01b0\u1eddng k\u00e9o d\u00e0i h\u01a1n 1 n\u0103m, v\u00e0 t\u00e1c \u0111\u1ed9ng c\u1ee7a kh\u1ee7ng ho\u1ea3ng \u0111\u1ebfn ng\u00e2n h\u00e0ng c\u00f2n k\u00e9o d\u00e0i sau \u0111\u00f3. \u1ede Vi\u1ec7t Nam, trong TT13, NHNN y\u00eau c\u1ea7u ng\u00e2n h\u00e0ng x\u00e1c \u0111\u1ecbnh t\u1ef7 l\u1ec7 CAR c\u00f3 t\u00ednh \u0111\u1ebfn \u1ea3nh h\u01b0\u1edfng c\u1ee7a stress trong 3-5 n\u0103m t\u1edbi. (Stress test l\u00e0 1 topic kh\u00e1 hay, n\u1ebfu nhi\u1ec1u ng\u01b0\u1eddi quan t\u00e2m, m\u00ecnh s\u1ebd vi\u1ebft 1 topic v\u1ec1 c\u00e1ch x\u00e2y d\u1ef1ng stress scenario v\u00e0 c\u00e1ch d\u1eabn truy\u1ec1n t\u1eeb stress scenario \u0111\u1ebfn ng\u00e2n h\u00e0ng.) Source: F4UTraining<\/p>\n","protected":false},"excerpt":{"rendered":" T\u1ed5ng quan v\u1ec1 ICAAP I. T\u1ef7 l\u1ec7 CAR, Basel v\u00e0 T\u00e0i li\u1ec7u I.1. T\u1ef7 l\u1ec7 CAR T\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n CAR (Capital Adequacy Ratio) l\u00e0 1 y\u00eau c\u1ea7u do Basel \u0111\u1ec1 ra v\u1edbi m\u1ee5c \u0111\u00edch y\u00eau c\u1ea7u ng\u00e2n h\u00e0ng n\u1eafm gi\u1eef \u0111\u1ee7 v\u1ed1n \u0111\u1ec3 b\u00f9 \u0111\u1eafp cho r\u1ee7i ro. CAR = V\u1ed1n t\u1ef1 c\u00f3\/ … Continue reading ICAAP Overall (Lang: VIE)<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":1186,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[25],"tags":[32,37,40,42,45,41,53],"class_list":["post-1202","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-bookmarked-articles","tag-analytic","tag-banking","tag-basel","tag-credit-risk","tag-icaap","tag-risk","tag-vi"],"_links":{"self":[{"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/posts\/1202","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=1202"}],"version-history":[{"count":5,"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/posts\/1202\/revisions"}],"predecessor-version":[{"id":1247,"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/posts\/1202\/revisions\/1247"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=\/wp\/v2\/media\/1186"}],"wp:attachment":[{"href":"https:\/\/mintea.blog\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1202"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1202"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/mintea.blog\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1202"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\nCAR = V\u1ed1n t\u1ef1 c\u00f3\/ RWA \u2265 8%.<\/p>\n
\n\u1ede Basel I (1988), RWA ch\u1ec9 \u0111o l\u01b0\u1eddng r\u1ee7i ro t\u00edn d\u1ee5ng. Th\u00f4ng t\u01b0 22\/2019\/TT-NHNN bao h\u00e0m Basel I (v\u00e0 m\u1ed9t s\u1ed1 ch\u1ec9 ti\u00eau v\u1ec1 thanh kho\u1ea3n v\u00e0 t\u00edn d\u1ee5ng).
\nT\u1edbi Basel I 1996 Amendment, RWA b\u1ed5 sung th\u00eam r\u1ee7i ro th\u1ecb tr\u01b0\u1eddng.
\n\u1ede c\u00e1c phi\u00ean b\u1ea3n cao h\u01a1n, t\u1eeb Basel II (2006) tr\u1edf l\u00ean, Basel \u0111i theo h\u01b0\u1edbng 3 c\u1ed9t tr\u1ee5. C\u1ed9t tr\u1ee5 1 l\u00e0 t\u1ef7 l\u1ec7 CAR t\u01b0\u01a1ng t\u1ef1 phi\u00ean b\u1ea3n tr\u01b0\u1edbc nh\u01b0ng v\u1edbi 2 \u0111i\u1ec3m c\u1ea3i ti\u1ebfn: b\u1ed5 sung th\u00eam r\u1ee7i ro ho\u1ea1t \u0111\u1ed9ng v\u00e0 cho ph\u00e9p ng\u00e2n h\u00e0ng l\u1ef1a ch\u1ecdn c\u00e1ch \u0111o l\u01b0\u1eddng RWA. \u0110o l\u01b0\u1eddng RWA nh\u00ecn chung s\u1ebd c\u00f3 2 ph\u01b0\u01a1ng ph\u00e1p l\u00e0 ti\u00eau chu\u1ea9n (Standardized Approach \u2013 SA) v\u00e0 m\u00f4 h\u00ecnh n\u1ed9i b\u1ed9 (Internal model approach-IMA). Trong ph\u01b0\u01a1ng ph\u00e1p ti\u00eau chu\u1ea9n, Basel \u0111\u01b0a ra c\u00e1c h\u1ec7 s\u1ed1 r\u1ee7i ro t\u01b0\u01a1ng \u1ee9ng v\u1edbi t\u1eebng lo\u1ea1i gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro (VD ti\u1ec1n m\u1eb7t 0%, cho vay ng\u00e2n h\u00e0ng kh\u00e1c 20%,\u2026), ng\u00e2n h\u00e0ng ch\u1ec9 c\u1ea7n nh\u00e2n s\u1ed1 d\u01b0 gi\u00e1 tr\u1ecb ch\u1ecbu r\u1ee7i ro (VD s\u1ed1 d\u01b0 ti\u1ec1n m\u1eb7t, s\u1ed1 d\u01b0 ti\u1ec1n g\u1eedi t\u1ea1i ng\u00e2n h\u00e0ng kh\u00e1c) t\u01b0\u01a1ng \u1ee9ng v\u1edbi h\u1ec7 s\u1ed1 r\u1ee7i ro l\u00e0 t\u00ednh ra RWA. Th\u00f4ng t\u01b0 41\/2016\/TT-NHNN bao h\u00e0m ph\u1ea7n n\u1ed9i dung n\u00e0y (T\u1ee9c ph\u1ea7n SA c\u1ee7a c\u1ed9t tr\u1ee5 1 c\u1ee7a Basel II).<\/p>\n
\nBasel II.5 (2009) l\u00e0 b\u1ea3n c\u1ea3i ti\u1ebfn c\u1ee7a Basel II sau cu\u1ed9c kh\u1ee7ng ho\u1ea3ng t\u00e0i ch\u00ednh 2007-2008. N\u1ed9i dung c\u1ee7a b\u1ea3n c\u1ea3i ti\u1ebfn \u1edf ph\u1ea7n t\u00ednh v\u1ed1n cho r\u1ee7i ro th\u1ecb tr\u01b0\u1eddng (MR) theo IMA. N\u1ebfu Basel II t\u00ednh v\u1ed1n MR d\u1ef1a tr\u00ean 99%-VaR 10 day (T\u1ea1m g\u1ecdi normal VaR) th\u00ec Basel II.5 t\u00edn v\u1ed1n cho MR d\u1ef1a tr\u00ean t\u1ed5ng (Normal VaR + Stressed VaR). Hi\u1ec7n t\u1ea1i, NHNN ch\u01b0a ban h\u00e0nh c\u00e1c v\u0103n b\u1ea3n v\u1ec1 t\u00ednh v\u1ed1n theo IMA m\u00e0 ch\u1ec9 d\u1ef1a theo SA n\u00ean kh\u00f4ng k\u1ebft lu\u1eadn \u0111\u01b0\u1ee3c Basel \u1edf VN l\u00e0 theo Basel II hay Basel II.5. C\u00f3 1 s\u1ed1 th\u00f4ng tin l\u00e0 NHNN s\u1ebd ban h\u00e0nh v\u0103n b\u1ea3n cho ph\u00e9p c\u00e1c ng\u00e2n h\u00e0ng t\u00ednh v\u1ed1n theo IMA trong th\u1eddi gian t\u1edbi (c\u00f3 l\u1ebd y\u00eau c\u1ea7u v\u1ed1n s\u1ebd gi\u1ea3m \u0111i kha kh\u00e1). L\u00fac \u0111\u00f3, ta s\u1ebd bi\u1ebft l\u00e0 VN tri\u1ec3n khai theo Basel II hay Basel II.5.<\/p>\n
\nDo \u0111\u00f3, \u0111\u1ec3 hi\u1ec3u r\u00f5 h\u01a1n th\u00ec ng\u01b0\u1eddi \u0111\u1ecdc n\u00ean t\u00ecm \u1edf c\u00e1c v\u0103n b\u1ea3n g\u1ed1c c\u1ee7a Basel, \u0111\u01b0\u1ee3c ti\u1ebfp c\u1eadn mi\u1ec5n ph\u00ed \u1edf\u00a0https:\/\/www.bis.org\/bcbs\/publications.htm?m=5%7C28%7C427<\/a>. Trong b\u00e0i vi\u1ebft n\u00e0y, m\u00ecnh s\u1ebd t\u1eadp trung v\u00e0o Basel II, l\u00e0 bcbs128,\u00a0https:\/\/www.bis.org\/publ\/bcbs128.htm<\/a>
\nT\u00e0i li\u1ec7u Basel l\u00e0 vi\u1ebft cho c\u00e1c chuy\u00ean gia\u00a0 ![](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/word-image-43.png\")
, l\u1ea1i vi\u1ebft b\u1eb1ng Ti\u1ebfng Anh v\u00e0 nhi\u1ec1u thu\u1eadt ng\u1eef n\u00ean \u0111\u1ecdc s\u1ebd kh\u00e1 kh\u00f3 hi\u1ec3u. M\u1ed9t ngu\u1ed3n d\u1ec5 hi\u1ec3u h\u01a1n 1 ch\u00fat l\u00e0 t\u00e0i li\u1ec7u c\u1ee7a EUROPA. M\u1ed7i khi Basel ban h\u00e0nh 1 quy \u0111\u1ecbnh m\u1edbi, EU l\u1ea1i ban h\u00e0nh 1 v\u0103n b\u1ea3n t\u01b0\u01a1ng t\u1ef1, nh\u01b0ng gi\u1ea3i th\u00edch chi ti\u1ebft h\u01a1n. V\u00ed d\u1ee5 m\u00ecnh v\u1eeba nghi\u00ean c\u1ee9u 1 topic v\u1ec1 r\u1ee7i ro t\u1eadp trung\u00a0https:\/\/eba.europa.eu\/regulation-and-policy\/supervisory-review\/guidelines-on-the-management-of-concentration-risk-under-the-supervisory-review-process?fbclid=IwAR0vj6wM7XJo6yxVCqMsDI9kLAOzeb2-UOcuTlID8X-AtVH-E7nK43jkWS4<\/a><\/p>\n![](\"https:\/\/mintea.blog\/wp-content\/uploads\/2021\/12\/word-image-44.png\")
. Tuy nhi\u00ean, \u0111\u00e2y ch\u1ec9 ph\u1ea7n gi\u1edbi thi\u1ec7u r\u1ea5t c\u00f4 \u0111\u1ecdng n\u00ean n\u1ebfu t\u00ecm hi\u1ec3u s\u00e2u h\u01a1n th\u00ec 2 ch\u01b0\u01a1ng n\u00e0y c\u1ee7a FRM kh\u00f4ng gi\u00fap \u0111\u01b0\u1ee3c g\u00ec nhi\u1ec1u. V\u00ed nh\u01b0 khi m\u00ecnh nghi\u00ean c\u1ee9u ICAAP, r\u1ee7i ro t\u1eadp trung,\u2026 th\u00ec kh\u00f4ng t\u00ecm \u0111\u01b0\u1ee3c g\u00ec \u0111\u00e1ng k\u1ec3 t\u1eeb 2 ch\u01b0\u01a1ng n\u00e0y.<\/p>\n
\nRegulatory capital \u2013 RC l\u00e0 l\u01b0\u1ee3ng v\u1ed1n t\u1ed1i thi\u1ec3u ng\u00e2n h\u00e0ng c\u1ea7n c\u00f3. Do CAR = V\u1ed1n\/ RWA \u2265 8% n\u00ean RC = 8% RWA. L\u01b0\u1ee3ng v\u1ed1n RC c\u00e0ng nhi\u1ec1u th\u00ec r\u1ee7i ro c\u1ee7a ng\u00e2n h\u00e0ng c\u00e0ng l\u1edbn.
\nNg\u00e2n h\u00e0ng c\u1ea7n \u0111\u1ea3m b\u1ea3o VTC \u2265 RC \u0111\u1ec3 tu\u00e2n th\u1ee7 t\u1ef7 l\u1ec7 CAR c\u1ee7a NHNN.<\/p>\n
\nGi\u1ea3 s\u1eed 2 ng\u00e2n h\u00e0ng X v\u00e0 Y c\u00f3 danh m\u1ee5c r\u1ee7i ro gi\u1ed1ng h\u1ec7t nhau, nh\u01b0ng ng\u00e2n h\u00e0ng X c\u00f3 m\u1ee9c x\u1ebfp h\u1ea1ng m\u1ee5c ti\u00eau l\u00e0 AA trong khi ng\u00e2n h\u00e0ng Y ch\u1ec9 mu\u1ed1n x\u1ebfp h\u1ea1ng B. Gi\u1ea3 s\u1eed x\u00e1c su\u1ea5t v\u1ee1 n\u1ee3 c\u1ee7a ng\u00e2n h\u00e0ng x\u1ebfp h\u1ea1ng AA v\u00e0 B l\u00e0 0.1% v\u00e0 5% hay 1000:1 v\u00e0 1000:50. M\u00f4 h\u00ecnh r\u1ee7i ro c\u1ee7a 2 ng\u00e2n h\u00e0ng gi\u1ed1ng h\u1ec7t nhau v\u00e0 ch\u1ec9 ra r\u1eb1ng trong 1000 k\u1ecbch b\u1ea3n c\u00f3 th\u1ec3 x\u1ea3y ra, ch\u1ec9 c\u00f3 1 m\u1ee9c l\u1ed7 v\u01b0\u1ee3t 20 t\u1ef7 USD v\u00e0 c\u00f3 \u0111\u1ebfn 50 k\u1ecbch b\u1ea3n m\u1ee9c l\u1ed7 t\u1eeb 3 t\u1ef7 USD tr\u1edf l\u00ean. Khi \u0111\u00f3, ng\u00e2n h\u00e0ng X s\u1ebd d\u1ef1 tr\u1eef 20 t\u1ef7 USD v\u00e0 ch\u1ec9 c\u00f3 1\/1000 kh\u1ea3 n\u0103ng l\u01b0\u1ee3ng v\u1ed1n c\u1ee7a X kh\u00f4ng \u0111\u1ee7 \u0111\u1ec3 b\u00f9 \u0111\u1eafp r\u1ee7i ro, khi\u1ebfn X b\u1ecb ph\u00e1 s\u1ea3n. Trong khi \u0111\u00f3, Y ch\u1ec9 c\u1ea7n d\u1ef1 tr\u1eef 3 t\u1ef7 USD \u0111\u1ec3 \u0111\u1ea3m b\u1ea3o t\u1ef7 l\u1ec7 v\u1ee1 n\u1ee3 c\u1ee7a Y l\u00e0 5%.
\n(EC l\u00e0 1 topic kh\u00e1 hay nh\u01b0ng d\u00e0i, n\u1ebfu nhi\u1ec1u ng\u01b0\u1eddi quan t\u00e2m, m\u00ecnh s\u1ebd chia s\u1ebb trong b\u00e0i vi\u1ebft sau)<\/p>\n
\nC\u1ed9t tr\u1ee5 1 c\u00f3 3 v\u1ea5n \u0111\u1ec1: Th\u1ee9 nh\u1ea5t, v\u1ed1n y\u00eau c\u1ea7u cho 1 s\u1ed1 r\u1ee7i ro ch\u01b0a \u0111\u01b0\u1ee3c t\u00ednh \u0111\u1ea7y \u0111\u1ee7 (VD, ph\u01b0\u01a1ng ph\u00e1p t\u00ednh v\u1ed1n\/RWA cho r\u1ee7i ro t\u00edn d\u1ee5ng theo m\u00f4 h\u00ecnh n\u1ed9i b\u1ed9 gi\u1ea3 s\u1eed danh m\u1ee5c t\u00edn d\u1ee5ng \u0111\u01b0\u1ee3c \u0111a d\u1ea1ng h\u00f3a ho\u00e0n h\u1ea3o \u25ca Ch\u01b0a t\u00ednh v\u1ed1n cho r\u1ee7i ro t\u1eadp trung). Th\u1ee9 2, c\u00f3 m\u1ed9t s\u1ed1 r\u1ee7i ro tr\u1ecdng y\u1ebfu nh\u01b0 r\u1ee7i ro l\u00e3i su\u1ea5t tr\u00ean s\u1ed5 ng\u00e2n h\u00e0ng ch\u01b0a \u0111\u01b0\u1ee3c \u0111\u1ec1 c\u1eadp trong c\u1ed9t tr\u1ee5 1. Th\u1ee9 3, c\u1ed9t tr\u1ee5 1 ch\u01b0a t\u00ednh \u0111\u1ebfn t\u00e1c \u0111\u1ed9ng c\u1ee7a chu k\u1ef3 kinh doanh. Trong k\u1ecbch b\u1ea3n kinh doanh b\u1ea5t l\u1ee3i (stress scenario), ng\u00e2n h\u00e0ng th\u01b0\u1eddng b\u1ecb l\u1ed7 (ho\u1eb7c gi\u1ea3m l\u1ee3i nhu\u1eadn so v\u1edbi k\u1ebf ho\u1ea1ch), khi\u1ebfn gi\u1ea3m v\u1ed1n t\u1ef1 c\u00f3 (ho\u1eb7c t\u0103ng ch\u1eadm h\u01a1n t\u1ed1c \u0111\u1ed9 t\u0103ng RWA) sau \u0111\u00f3 l\u00e0 t\u1ef7 l\u1ec7 CAR. V\u1eady n\u1ebfu t\u1ef7 l\u1ec7 CAR trong \u0111i\u1ec1u ki\u1ec7n b\u00ecnh th\u01b0\u1eddng l\u00e0 ch\u1ec9 v\u1eeba \u0111\u1ee7 \u0111\u1ec3 tu\u00e2n th\u1ee7 t\u1ef7 l\u1ec7 CAR (\u2265 8%) th\u00ec \u0111\u1ebfn l\u00fac stress s\u1ebd b\u1ecb vi ph\u1ea1m. K\u1ebft h\u1ee3p c\u1ea3 3 nguy\u00ean nh\u00e2n n\u00e0y, ng\u00e2n h\u00e0ng c\u1ea7n gi\u1eef 1 l\u01b0\u1ee3ng v\u1ed1n nhi\u1ec1u h\u01a1n m\u1ee9c 8% RWA \u0111\u1ec3 \u0111\u1ea3m b\u1ea3o tu\u00e2n th\u1ee7 t\u1ef7 l\u1ec7 an to\u00e0n v\u1ed1n ngay c\u1ea3 trong k\u1ecbch b\u1ea3n kinh doanh b\u1ea5t l\u1ee3i. Ng\u00e2n h\u00e0ng th\u1ef1c hi\u1ec7n \u0111i\u1ec1u n\u00e0y trong 1 quy tr\u00ecnh g\u1ecdi l\u00e0 quy tr\u00ecnh \u0111\u00e1nh gi\u00e1 n\u1ed9i b\u1ed9 v\u1ec1 m\u1ee9c \u0111\u1ee7 v\u1ed1n Internal Capital Adequacy and Assessment Process (ICAAP).
\nNHNN c\u00f3 tr\u00e1ch nhi\u1ec7m theo d\u00f5i t\u1ef7 l\u1ec7 CAR v\u00e0 \u0111\u1ea3m b\u1ea3o ICAAP c\u1ee7a c\u00e1c ng\u00e2n h\u00e0ng l\u00e0 ph\u00f9 h\u1ee3p, v\u00e0 n\u1ebfu ng\u00e2n h\u00e0ng c\u00f3 nguy c\u01a1 vi ph\u1ea1m t\u1ef7 l\u1ec7 CAR (t\u1ee9c l\u00e0 ch\u01b0a vi ph\u1ea1m nh\u00e9) th\u00ec c\u1ea7n ph\u1ea3i c\u00f3 bi\u1ec7n ph\u00e1p can thi\u1ec7p k\u1ecbp th\u1eddi.
\nM\u1ecdi ng\u01b0\u1eddi c\u00f3 th\u1ec3 b\u0103n kho\u0103n t\u1ef7 l\u1ec7 CAR l\u00e0 g\u00ec m\u00e0 c\u00e1c ng\u00e2n h\u00e0ng c\u1ee9 ph\u1ea3i s\u1ed1ng ch\u1ebft tu\u00e2n th\u1ee7 th\u1ebf. N\u1ebfu v\u00e0o n\u0103m stress, l\u01b0\u1ee3ng t\u1ef7 l\u1ec7 VTC\/RWA xu\u1ed1ng t\u1ea7m 5-6% th\u00ec ng\u00e2n h\u00e0ng v\u1eabn s\u1ed1ng m\u00e0, n\u0103m sau kinh doanh t\u1ed1t l\u00ean, c\u00f3 l\u1ee3i nhu\u1eadn l\u00e0 t\u1ef7 l\u1ec7 s\u1ebd \u0111\u01b0\u1ee3c c\u1ea3i thi\u1ec7n th\u00f4i. K\u1ef3 th\u1ef1c, \u1edf c\u00e1c th\u1ecb tr\u01b0\u1eddng minh b\u1ea1ch tr\u00ean th\u1ebf gi\u1edbi (v\u1edbi C\u1ed9t tr\u1ee5 3 \u0111\u01b0\u1ee3c th\u1ef1c hi\u1ec7n nghi\u00eam), c\u00e1c \u0111\u1ed1i t\u00e1c kh\u00e1 nh\u1ea1y c\u1ea3m th\u00f4ng tin c\u1ee7a NH. Kh\u00f4ng c\u1ea7n \u0111\u1ee3i \u0111\u1ebfn khi ng\u00e2n h\u00e0ng \u00e2m v\u1ed1n m\u00e0 ch\u1ec9 xu\u1ed1ng d\u01b0\u1edbi 1 h\u1ea1n m\u1ee9c (t\u1ea5t nhi\u00ean h\u1ea1n m\u1ee9c n\u00e0y tr\u00ean 8% r\u1ed3i) l\u00e0 c\u00e1c \u0111\u1ed1i t\u00e1c b\u1eaft \u0111\u1ea7u h\u1ea1n ch\u1ebf giao d\u1ecbch, th\u1eadm ch\u00ed r\u00fat c\u00e1c kho\u1ea3n ti\u1ec1n g\u1eedi, cho vay \u0111\u1ed1i v\u1edbi ng\u00e2n h\u00e0ng \u0111\u1ec3 ph\u00f2ng ng\u1eeba r\u1ee7i ro r\u1ed3i. Khi \u0111\u00f3, ng\u00e2n h\u00e0ng c\u00f3 th\u1ec3 g\u1eb7p v\u1ea5n \u0111\u1ec1 v\u1ec1 thanh kho\u1ea3n v\u00e0 ph\u00e1 s\u1ea3n. K\u1ecbch b\u1ea3n chung trong nhi\u1ec1u v\u1ee5 ph\u00e1 s\u1ea3n trong gi\u1edbi t\u00e0i ch\u00ednh l\u00e0 ng\u00e2n h\u00e0ng g\u1eb7p 1 kho\u1ea3n l\u1ed7 l\u1edbn, \u0111\u1ee7 l\u00e0m suy y\u1ebfu ch\u1ee9 ch\u01b0a \u0111\u00e1nh g\u1ee5c ng\u00e2n h\u00e0ng, th\u1eadm ch\u00ed nhi\u1ec1u ng\u00e2n h\u00e0ng v\u1eabn \u0111\u1ee7 kh\u1ea3 n\u0103ng tr\u1ea3 c\u00e1c kho\u1ea3n n\u1ee3 trong d\u00e0i h\u1ea1n (solvency). Th\u1ee9 \u0111\u00e1nh g\u1ee5c ng\u00e2n h\u00e0ng l\u00e0 nghi ng\u1edd v\u1ec1 kh\u1ea3 n\u0103ng ho\u1ea1t \u0111\u1ed9ng c\u1ee7a ng\u00e2n h\u00e0ng khi\u1ebfn ng\u01b0\u1eddi g\u1eedi ti\u1ec1n v\u00e0 \u0111\u1ed1i t\u00e1c r\u00fat ti\u1ec1n h\u00e0ng ho\u1ea1t (run\/ bank run) khi\u1ebfn ng\u00e2n h\u00e0ng m\u1ea5t thanh kho\u1ea3n (illiquidity) v\u00e0 ph\u00e1 s\u1ea3n (ho\u1eb7c b\u1ecb ti\u1ebfp qu\u1ea3n\/ b\u00e1n l\u1ea1i cho ng\u00e2n h\u00e0ng kh\u00e1c).
\nC\u1ed9t tr\u1ee5 2 c\u0169ng y\u00eau c\u1ea7u ng\u00e2n h\u00e0ng c\u00f3 quy tr\u00ecnh n\u1ed9i b\u1ed9 ph\u00f9 h\u1ee3p \u0111\u1ec3 qu\u1ea3n tr\u1ecb c\u00e1c r\u1ee7i ro tr\u1ecdng y\u1ebfu ch\u1ee9 kh\u00f4ng ch\u1ec9 t\u00ednh v\u1ed1n l\u00e0 xong. \u0110i\u1ec1u n\u00e0y, m\u00ecnh th\u1ea5y th\u00f4ng t\u01b0 13 \u0111\u00e3 n\u00eau kh\u00e1 c\u1ee5 th\u1ec3.<\/p>\n
\nC\u00f4ng th\u1ee9c t\u00ednh RWA trong th\u00f4ng t\u01b0 13 (h\u00ecnh 3):
\nCE = RWA*E x CARTarget + \u0394RWA B x CARR
\nTrong c\u00f4ng th\u1ee9c n\u00e0y, c\u00f3 th\u1ec3 th\u1ea5y 3 \u0111i\u1ec1u:
\nTh\u1ee9 nh\u1ea5t, CARtarget l\u00e0 t\u1ef7 l\u1ec7 CAR m\u1ee5c ti\u00eau m\u00e0 ng\u00e2n h\u00e0ng trong kh\u1ea9u v\u1ecb r\u1ee7i ro, gi\u1ea3 s\u1eed l\u00e0 9%. T\u1ef7 l\u1ec7 n\u00e0y th\u01b0\u1eddng cao h\u01a1n t\u1ef7 l\u1ec7 CAR theo quy \u0111\u1ecbnh (CAR R = 8%) v\u00e0 li\u00ean quan \u0111\u1ebfn x\u1ebfp h\u1ea1ng m\u1ee5c ti\u00eau c\u1ee7a ng\u00e2n h\u00e0ng.
\nTh\u1ee9 hai, RWA E hay expected RWA \u0111o l\u01b0\u1eddng RWA d\u1ef1 ki\u1ebfn (trong \u0110K kinh doanh b\u00ecnh th\u01b0\u1eddng) cho 3 lo\u1ea1i r\u1ee7i ro thu\u1ed9c c\u1ed9t tr\u1ee5 1 (CR, OR, MR), r\u1ee7i ro t\u1eadp trung (do c\u1ed9t tr\u1ee5 1 ch\u01b0a t\u00ednh \u0111\u1ee7), r\u1ee7i ro l\u00e3i su\u1ea5t tr\u00ean s\u1ed5 ng\u00e2n h\u00e0ng (r\u1ee7i ro tr\u1ecdng y\u1ebfu nh\u01b0ng ch\u01b0a \u0111\u01b0\u1ee3c \u0111\u1ec1 c\u1eadp trong c\u1ed9t 1) v\u00e0 c\u00e1c r\u1ee7i ro tr\u1ecdng y\u1ebfu kh\u00e1c (nh\u01b0ng \u1edf th\u1ecb tr\u01b0\u1eddng VN trong 1-2 n\u0103m t\u1edbi, c\u00f3 l\u1ebd b\u1ea1n kh\u00f4ng c\u1ea7n quan t\u00e2m \u0111\u1ebfn c\u1ea5u ph\u1ea7n n\u00e0y). T\u00edch s\u1ed1 CAR Target x RWA E l\u00e0 l\u01b0\u1ee3ng v\u1ed1n c\u1ea7n thi\u1ebft cho \u0111i\u1ec1u ki\u1ec7n kinh doanh b\u00ecnh th\u01b0\u1eddng.
\nTh\u1ee9 ba, t\u1ef7 l\u1ec7 \u0394RWA x CAR R l\u00e0 l\u01b0\u1ee3ng v\u1ed1n c\u1ea7n th\u00eam cho stress case. \u0394RWA l\u00e0 l\u01b0\u1ee3ng RWA gia t\u0103ng trong stress case. Khi stress, ng\u00e2n h\u00e0ng ch\u1ec9 c\u1ea7n tu\u00e2n th\u1ee7 t\u1ef7 l\u1ec7 CAR 8% thay v\u00ec \u0111\u1ea1t t\u1ef7 l\u1ec7 CAR m\u1ee5c ti\u00eau. M\u00ecnh th\u1ea5y l\u01b0\u1ee3ng v\u1ed1n c\u1ea7n th\u00eam n\u00e0y c\u00f3 ch\u1ee9c n\u0103ng g\u1ea7n gi\u1ed1ng v\u1edbi \u0111\u1ec7m v\u1ed1n ph\u1ea3n chu k\u1ef3 (countercyclical capital buffer) trong Basel.
\nV\u1ed1n kinh t\u1ebf v\u00e0 v\u1ed1n t\u1ef1 c\u00f3 s\u1ebd \u0111\u01b0\u1ee3c d\u1ef1 ph\u00f3ng 3-5 n\u0103m t\u1edbi v\u00e0 \u0111\u01b0\u1ee3c so s\u00e1nh v\u1edbi nhau. N\u1ebfu v\u1ed1n t\u1ef1 c\u00f3 < V\u1ed1n kinh t\u1ebf t\u1ee9c l\u00e0 ng\u00e2n h\u00e0ng c\u00f3 kh\u1ea3 n\u0103ng thi\u1ebfu v\u1ed1n v\u00e0 ng\u00e2n h\u00e0ng c\u1ea7n b\u1ed5 sung v\u1ed1n. Ph\u1ea7n d\u1ef1 ph\u00f3ng v\u1ed1n kinh t\u1ebf c\u0169ng kh\u00e1 hay ho, m\u00ecnh c\u00f3 th\u1ec3 tr\u00ecnh b\u00e0y trong 1 b\u00e0i vi\u1ebft kh\u00e1c.
\nM\u00ecnh th\u1ea5y c\u00f4ng th\u1ee9c tr\u00ean c\u1ee7a NHNN kh\u00e1 r\u00f5 r\u00e0ng, nh\u01b0ng c\u00f2n b\u0103n kho\u0103n v\u00e0i \u0111i\u1ec1u. C\u00e1c t\u00e0i li\u1ec7u m\u00ecnh t\u00ecm l\u1ea1i kh\u00f4ng c\u00f3 c\u00f4ng th\u1ee9c k\u1ec3 tr\u00ean. N\u1ebfu ai n\u00e0o c\u00f3 t\u00e0i li\u1ec7u n\u00e0o c\u00f3 c\u00f4ng th\u1ee9c t\u01b0\u01a1ng t\u1ef1 th\u00ec cho m\u00ecnh xin v\u1edbi. Btw, m\u00ecnh r\u1ea5t hoan ngh\u00eanh c\u00e1c b\u1ea1n c\u00f3 hi\u1ec3u bi\u1ebft ICAAP v\u00e0 QTRR v\u00e0o g\u00f3p \u00fd cho b\u00e0i vi\u1ebft c\u1ee7a m\u00ecnh.
\nV\u1edbi ng\u01b0\u1eddi c\u00f3 kinh nghi\u1ec7m th\u00ec b\u00e0i vi\u1ebft n\u00e0y qu\u00e1 t\u1ed5ng quan. Nhi\u1ec1u n\u1ed9i dung (VD V\u1ed1n kinh t\u1ebf, T\u00ednh v\u1ed1n cho r\u1ee7i ro t\u1eadp trung, Stress test, D\u1ef1 ph\u00f3ng RWA), m\u00ecnh mu\u1ed1n chia s\u1ebb nh\u01b0ng b\u00e0i n\u00e0y \u0111\u00e3 qu\u00e1 d\u00e0i r\u1ed3i, n\u1ebfu m\u1ecdi ng\u01b0\u1eddi mu\u1ed1n th\u00ec m\u00ecnh c\u00f3 th\u1ec3 vi\u1ebft v\u00e0o c\u00e1c b\u00e0i vi\u1ebft l\u1ea7n sau.<\/p>\n