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Qun tr ti sn Asset and Liability management ------------Su tm v lu tr ti:

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Prepared by AuLac Capital Group Hanoi, December 2002
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Qun tr ti sn Asset and Liability management Qun tr ti sn ALM thc cht l chin lc qun tr ton b cc khon mc trn bng cn i c cha ng yu t ri ro th trng. Ri ro th trng do bin ng ca nhng yu t sau Ri ro li sut Ri ro t gi ngoi t

Ri ro gi c hng ho ( Commodity)
Ri ro bin ng ca th trng chng khon www.ub.com.vn

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Qun tr ti sn
Ngoi ra qun tr ti sn bao gm c:

Qun tr kh nng thanh khon ca ngn hng

Qun tr kinh doanh ti chnh Qun tr k hoch s dng vn ch s hu Qun tr chin lc cu trc bng cn i ti sn

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Qun tr ri ro th trng v qun tr ri ro tn dng

Qun tr ri ro th trng do hi ng ALCO thc hin Qun tr ri ro tn dng do hi ng tn dng thc hin ALCO a ra chnh sch chin lc qun tr ri ro th trng Hi ng tn dng a ra chnh sch chin lc qun tr ri ro tn dng ALCO duyt hn mc ri ro th trng Hi ng tn dng duyt hn mc ri ro tn dng
Nhng qun tr ti sn v qun tr tn dng c lin quan tng h vi nhau. vi mt chng mc no , ri ro th trng c th dn n kh nng chi tr tn dng, vic qun tr nguyn nhn ri ro tn dng cng l mt phn ca qun tr ti sn
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Qun tr ti sn v qun tr kinh doanh ti chnh

Qun tr ALM v thc cht l chin lc kinh doanh ti sn ca ngn hng c th hin trong bng bo co cn i. ALM lun l ht nhn quan trng ca qun tr ti chnh trong bt c mt ngn hng hay t chc tn dng no Nu ngn hng c hot ng kinh doanh ti chnh ( hot ng sinh li ca phng Treasury) th vic qun tr kinh doanh ti chnh cng nm trong ALM
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nh hng ca bin ng li sut ln hot ng ngn hng Ri ro li sut c th nh hng ti nhng ch tiu sau ca ngn hng : Thu nhp li thun Gi tr gia tng ca vn c ng .
Gi tr th trng ca ti sn trn bng v cc ti sn ngoi bng do nh hng ti gi tr gia tng ca vn c ng ( EVPE)

Thu nhp kinh doanh v ph dch v T l an ton vn

( t l vn ch s hu/ tng ti sn c ri ro)

Khi lng giao dch Kh nng thanh khon Ri ro tn dng www.ub.com.vn

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Chin lc qun tr ri ro ngn hn v chin lc qun tr ri ro di hn

Mc tiu qun tr ngn hn tp trung ch yu vo thu nhp li thun. Khi nh lng ri ro ngn hn , ta dng bin ng thu nhp li thun trn tng ti sn. Mc tiu qun tr di hn tp trung vo gi tr gia tng ca vn ch s hu ( EVPE). Khi nh lng ri ro di hn, ta dng bin ng gi tr gia tng ca vn c ng trn tng ti sn. Bin ng thu nhp li thun v bin ng gi tr gia tng ca vn c ng c th khc nhau khi c bin ng v li sut
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Gi tr gia tng ca danh mc vn ch s hu EVPE Mt s khi nim tng t MVPE EVPE NPV NEV Market value of portfolio equity Economic value of portfolio equity Net portfolio value Net economic value

Thay i gi tr gia tng ca vn ch s hu (EVPE) s dn n thay i cht lng thu nhp ca ngn hng trong tng lai. Tng gi tr th trng = EVPE + franchise value
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Mc tiu qun tr ti sn ALM

Qun tr ti sn chnh kim sot nhng bin ng bt thng ca thu nhp li thun v gi tr gia tng ca vn ch s hu Mc tiu qun tr ti sn cn bao gm m bo kh nng thanh khon v cui cng l m bo s cn bng gia li nhun, tng trng v mc ri ro.

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Mc tiu qun tr ti sn ALM

Bin ng li sut Bin ng thu nhp li thun 10% 5% 5% Bin ng gi tr gia tng ca vn ch s hu 15% 5% 5%

+300 +200 +100 0 -100 -200 -300

5% 10% 15%
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5% 10% 15%

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Mc tiu qun tr ti sn ALM

Mc tiu Thi hn Chin lc qun tr Tham s ch tiu Tp trung qun tr Phng php v cng c phn tch Gi tr hch ton trn s sch Ngn hn Chin thut Thu nhp li thun Bng thu chi a. b. Gap Phn tch gi nh thu nhp li thun EAR Gi tr gia tng ( gi tr th trng) Di hn Chin lc Gi tr gia tng ca vn c ng Bng cn i a. b. Duration Phn tch gi nh bin ng EVPE VAR

c.

c.

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T chc qun tr ti sn ALCO

Thnh phn ALCO gm tt c nhng lnh o cp cao ca ngn hng: Tng gim c Ph tng gim c v gim c chi nhnh Trng cc b phn ph trch kinh doanh quan trng ca ngn hng Trng phng Treasury / Cn b kinh doanh trng Gim c ti chnh ( CFO nu c) Ban phn tch th trng. i tc c mi Cc chi nhnh phng ban thc hin chin lc do ALCO ra Treasury thc hin cc quyt nh ti chnh ca ALCO
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Trch nhim ca ban gim c v lnh o phng ban trong vic qun tr ri ro
1. Ban gim c phi c hiu bit v kinh nghim v mc ri ro trong hot ng ngn hng, ng thi phi tch cc gim st v lun c bo co cp nht y kp thi Ban gim c c nhim v xem xt v k duyt cc chnh sch qun tr v ra hn mc hn ch ri ro trong hot ng cho vay, u t, hot ng kinh doanh ti chnh, u thc v cc hot ng quan trng khc. Ban gim c phi c trang b y kin thc hiu bit bo co ri ro v h thng bo co qun tr (MIS) Ban lnh o phi nh k xem xt, k duyt li hn mc ri ro theo khun kh chin lc hot ng ca ngn hng. p ng kp thi vi s pht trin sn phm v thay i iu kin ca th trng. Ban gim c phi m bo cc lnh o phng ban c kinh nghim, kin thc v kh nng lnh o p ng c vi qui m hot ng v s pht trin ca ngn hng
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2.

3.

4.

5.

M hnh qun tr ca ALCO ALM c th hot ng tp trung hoc khng tp trung. M hnh hot ng phi da trn nhng yu t sau Qui m hot ng ca ngn hng c th hot ng ca ngn hng ( bn l, ngn hng thng mi, ngn hng u t) Phm vi hot ng Con ngi v cc ngun nhn lc khc Kh nng ca h thng IT Mi trng lut php

Xu hng hin nay, cc ngn hng ngy cng tin ti m hnh qun tr tp trung
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Phn tch m hnh hot ng ca Techcombank

Khi lng giao dch Phm vi hot ng Kh nng kinh doanh trn Th trng Khng ln lm S pht trin thm chi nhnh C b my Treasury hiu qu

Qui m hot ng kinh doanh FX, MM, th trng tri phiu ti chnh s cp Th trng ti chnh VN Cha pht trin cc sn phm phi sinh

www.ub.com.vn Kh nng chp nhn ri ro Nh

M hnh qun tr ALM ca Techcombank ( trao i kin) Hin qun l ri ro thanh khon ca techcombank tp trung ti hi s Cc nhim v qun tr cn li Qun tr ri ro th trng Qun tr kinh doanh ti chnh Qun tr chin lc pht trin ti sn Bo co qun tr
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Tp trung ( strongly suggest) Tp trung ( strongly suggest) Bn tp trung Tp trung

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M hnh t chc ca ALCO ( trao i kin)

ALCO c th chia ra thnh cc nhm nh 1. Ban qun tr ri ro th trng v ri ro thanh khon 2. Ban k hoch chin lc v qun tr vn Nhm h tr ALCO

Nhm h tr ALCO gm nhng nhn vin c kin thc v my tnh pht trin m hnh qun tr ti chnh , c kin thc v phn tch ri ro, kin thc v kinh doanh v th trng ti chnh.
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Nhim v ca nhm h tr ALCO

Lm bo co phc v cho ALCO Phn tch cc ALM model, tnh trng thi ri ro v phn tch cc bin ng th trng. Lm vic vi cc phng ban thu nhp thng tin v cc sn phm mi, khi lng giao dch v chin lc lm gi. Phn tch gia s liu thc trng v k hoch gip ALCO ra chin lc kinh doanh cho k ti.
Nhm bo co c lp trc tip cho Ban gim c hoc c th trc thuc phng treasury.

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Vai tr ca t chc nhm

Nhm
ALCO Nhm sub-ALCO Nhm h tr ALCO Gim c chi nhnh,SGD Phng treasury

Vai tr
ra chnh sch chung ra chnh sch/qun tr cho tng loi hnh c th Lp bo co v phn tch Thc hin chin lc ra ti ALCO Thc hin cc chin lc v ti chnh/phng nga ri ro ra ti ALCO

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Nhim v ca ALCO

Xem xt v nh gi nh hng thay i qui nh php lut i vi hot ng ngn hng Xem xt v nh gi tnh hnh bin ng li sut ra chnh sch li sut ( chin lc lm gi cho ti sn n v ti sn c) Kim tra hot ng cho vay theo portfolio nh lng, nh gi v gim st kh nng thanh khon v ri ro th trng ca hot ng ngn hng nh gi tnh hnh hot ng ti chnh. Phn tch chnch lch gia kt qu thc trng v k hoch Tham gia qu trnh ln k hoch v lp chin lc kinh doanh Xt duyt cc sn phm mi v nh gi mc ri ro ti ngn hng Xt duyt chnh sch ALM v ra cc hn mc

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cng chnh sch qun tr ALM

1. 2. 3. 4. 5. 6. 7. 8. 9.

nhy cm li sut Cht lng ca ti sn Kh nng thanh khon ca ngn hng Mc ri ro t gi Cc ri ro th trng khc ( ri ro chng khon..) T l m bo yu cu vn ch s hu Tng trng hot ng ca ngn hng Li nhun Thnh phn cu trc ca bng cn i

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Bo co cho ALCO 1. Cp nht tnh hnh th trng

Thay i lut hoc qui nh mi c nh hng ti hot ng ca ngn hng Nhng bin ng quan trng trong kinh doanh Tnh hnh pht trin kinh t D bo v li sut v t gi ngoi t
Bng cn i Bo co l li v phn tch li nhun ca H Bo co trng thi thanh khon ( MCO), so snh vi hn mc Bo co tnh hnh kinh doanh v u t

2. Bo co ti chnh

3. Bo co trng thi ri ro ca ngn hng

Phn tch Gap Gi tr ri ro VAR Ri ro FX www.ub.com.vn Ri ro khc

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Bo co cho ALCO ( tip tc)

4. Bo co tnh hnh kinh doanh
Kinh doanh t u nm so vi k hoch So vi nm trc Tnh hnh d bo cho nm nay

5. Cc vn pht sinh c bit khc ( TPR, pricing) 6. sut chin lc cho ton h thng 7. Bin bn hp k trc : ch o ca ALCO 8. Bin bn hp nhm ALCO b sung nu c
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Phn tch repricing gap

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Phn tch Gap

C 4 k thut quan trng trong phng php phn tch Gap 1. Phn tch repricing gap 2. a ra cc gi nh bin ng ca li sut v nh gi nh hng chng ln kt qu ti chnh ca ngn hng 3. Duration 4. Value at risk ( mc ri ro)

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nh ngha Gap

Gap = RSA RSL

RSA Ti sn c c nhy cm vi li sut RSL Ti sn n c nhy cm vi li sut

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nh ngha Gap tch lu

Gap tch lu chu k N = Gap trong chu k N + Gap tch lu trong chu k N-1
Gap dng ( positive gap) c ngha l ti sn c c nhy cm li sut ln hn ti sn n c nhy cm li sut Gap m ( negative gap) ti sn n c nhy cm li sut ln hn ti sn c c nhy cm li sut
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So snh cc loi Gap

Loi gap Gap dng Asset sensitive Ti sn c c lm gi trc ti sn n Dng vn huy ng di hn cung cp cho ti sn c ngn hn Gap m Liability sensitive Ti sn n c lm gi trc ti sn c Dng vn huy ng ngn hn cung cp cho ti sn c di hn

Trng thi

nh hng Tng li sut c th dn ca thay i n tng thu nhp li li sut thun Gim li sut s lm gim thu nhp li thun
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Tng li sut dn n gim thu nhp li thun Gim li sut lm tng thu nhp li thun

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Cc s liu cn thit chun b bo co Gap

Gap l bo co tnh, chun b bo co ta cn s liu

1. Bng cn i ti ngy bo co 2. Bng bo co ngoi bng ti ngy bo co

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Cc bc chun b bo co Gap

1. Xc nh cc ct thi hn : 5-12 ct thi hn 2. Quyt nh khong thi gian ca tng ct thi hn 3. Xc nh sp xp k hn thanh ton ca tng ti sn vo ct thi hn tng ng 4. Tnh Gap 5. Tnh cc tham s khc nh Gap tch lu ( cumulative gap) Gap tch lu tng k hn/ tng ti sn Gap tch ly / tng ti sn c doanh thu li sut T l gap tch lu / vn ch s hu

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Cu trc Gap cho hot ng giao dch tin gi

Qua m 1 tun 1 thng 1 3 thng 4 6 thng 7 12 thng > 1 nm

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Cu trc Gap cho hot ng ngn hng thng mi

< 1 thng 1 3 thng 4 6 thng 7 12 thng 2 3 nm Trn 3 nm

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Loi ti sn no c a vo bo co Gap
C hai phng php :

1. Ch a cc ti sn c doanh thu li sut v ti sn phi tr li vo bo co

2. a tt c ti sn n v ti sn c

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Cc im cn lu khi ly s liu bo co

1. K hn tnh li v k hn thanh ton

V.D : khon cho vay 1 nm nhng lm gi 3 thng 1 ln a vo khe 3 thng

2. K hn cn li so vi k hn ban u
V.D : Tri phiu c k hn ban u l 5 nm v 6 thng na th n k thanh ton a vo khe 6 thng

3. Gi tr trn bng cn i v gi tr cashflow

V.D : Khon vay US$100.000 c li sut 5% a phn gc 100.000 vo khe k hn. Lung tin trong tng lai khng tnh vo bo co

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Cc im cn lu khi xem xt ti sn n
Ti sn n c k hn li sut th a vo k hn tng ng

Ti sn n khng c k hn li sut : nh ti khon KKH, thanh tonPhn s d khng thay i c th gi nh thi hn di. S d core ny phi dng model xc nh. C hai cch 1. Chia u trong 5 nm : s d c nh ny c chia u trong 5 nm 2. Chia 50% vo chu k u v 50% vo chu k cui cng.
C mt s qui nh ch dn v vic xc nh k hn cho ti khon ny.
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Cc im cn lu Khon cho vay b tr trc hn Mt s sn phm c c th tr n trc hn cao v cn phi xc nh c t l tr trc hn ca tng khon mc. V t l phi c tnh ti trn tng d n. Danh mc ngoi bng Hon i li sut K hn/ giao dch future Cc giao dch khc nh ( option, cap, floor)
VD hon i li sut : hon i li sut th ni 6 thng sang c nh 5 nm th trn bo co ti sn n s a vo 5 nm v ti sn c a vo 6 thng www.ub.com.vn

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