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

LUNăVNăTHC S KINH T TP. H Chí Minh ậ Nmă2013


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

-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


 
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


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:  

-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:

- 






1.1.2.2. 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.

1.1.3.2. Mcătiêu:
 QTRRLS 
RRLS 



-4%) = * 100%


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

-8-

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


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-


-11-

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

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

-13-

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

             

 


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): = 