Money – Banking
Unit 2.2. Bank risk management
Lecturer. Phạm Thị Thanh Xuân
xuanptt@uel.edu.vn
Learning outcomes.
Learning material.
Chapter 12. Depository Institutions: Banks and Bank Management
Upon complete learning this unit, learners should be able to:
 Identify the types and sources of bank risk and explain how to control them.
Risks Banks Face and How They Manage Them
Liquidity risks
• When banks experience their cash outflows (due to deposit
withdrawals, loans, etc.) exceed cash inflows (new deposits, loan
repayments, etc.)
• When banks face a sudden demand for liquid funds.
- bất ngờ có sự rút tiền đột ngột => NH ko có đủ tiền đáp ứng => Mất khả năng thanh
khoản tạm thời ( Temporary liquidity)
Liquidity risks
• Banks resolve liquidity problems
• proper management of their liabilities
• proper management of their assets
1. Đảm bảo đủ tiền dự trữ trong NH để đáp ứng nhu cầu KH
2. Giữ tài sản
VD1: SELL SECURITIES
VN phải đảm bảo khả năng thanh khoản trên 50%
=> Khi ACB hết tiền thì ngay lập tức bán trái phiếu chính phủ cho NH nhà nước.
VD2: SELL LOANS
=> NH Vietinbank thực hiện rao bán nợ thường xuyên (nợ tốt và xấu)
=> Vinhome xây cc bán cho người mua Vin sẽ kí hợp đồng “ba tay”. Vin bán nhà cho KH - KH vay NH. NH sẽ
rót tiền cho VIn xây nhà => vay gián tiếp từ NH.
3. Nhu cầu rút tiền nhiều => thu hút nhiều tiền gửi
VD: Marketing
CASA (tiền gửi ko kì hạn)
- Chuyển tiền k mất phí
- gửi tiền kì hạn ngắn (1 tuần)
CÓ KÌ HẠN:
- Miễn phí quản lí NH 1 năm
Liquidity risks
• Borrow frequently by issuing short-term securities such as commercial
paper for temporary demand for funds.
• Attract additional deposits or sell liquid assets for permanent demand
for funds.
• Hold Treasury securities or other money market securities.
• Sell their loans on the secondary markets.
• Use of Securitization to Boost Liquidity
• Hold sufficient excess reserves
• Refuse to renew a customer loan that has come due.
Credit risk
Banks expose to credit risk when:
• Make loans
• Purchase debt securities
• Being guarantors on interest rate swaps and other derivative contracts.
Text
Credit risk
RỦI RO TÍN DỤNG
Banks manage their credit risks
• Diversify to spread risk in which the bank makes a variety of different
loans to spread the risk
• Credit risk analysis by using statistical models to screen for creditworthy
borrowers
• Monitor to reduce moral hazard
• Selling Loans - eliminate loans that are causing excessive risk to their
loan portfolios by selling them in the secondary market
1.
• NH
Revising
the
Portfolio
in Response
Conditions
VD:
cho vay
đa Loan
dạng mục
tiêu, cho
vay đa dạngtokìEconomic
hạn, đối tượng
KH
2. Dùng mô hình
3. VD: cho 1 KH vay tiền, đến ngày trả nợ ngta ko thể trả => có KH có nợ xấu.
Sol: thông đồng KH làm khoản vay mới đắp qua cái cũ
Interest-Rate Risk
Dư nợ tín dụng: tổng số vốn mà các NHTM VN cho nền kinh tế vay (nhiều ngành nghề)
• The mismatch between the maturities of banks' liability and assets
creates. GAP = SENSITIVE ASSETS - SENSITIVE LIABILITIES (Đo lường rủi ro lãi suất)
• For the bank to make a profit, the interest rate on its liabilities must be
lower than the interest rate on its assets.
• When interest rates rise
• Banks face the risk that the value of their assets will fall more than the value of
their liabilities (reducing the bank’s capital).
• Banks' revenues reduce relative to expenses, directly lowering the Banks' profit.
Lãi suất cho vay (đầu ra) tăng 1% thì vốn NH ntn?
Imagine interest rate increases 1% what happen with
bank’s libilities? Given that: 75% of bank’s liabilities are
credit (loans) total credit that banks provide to the
economy equals approximately 10 million of billion vnd.
so much
=> interest increases 1000 billion VND
rủi ro lãi suất xảy ra khi
lãi suất thay đổi =>
Nguồn vốn và tài sản
NH bị ảnh hưởng cực
nhiều
Interest-Rate Risk
• The term interest-rate sensitive mean that a change in interest rates will
change the revenue produced by an asset.
• When a bank’s liabilities are more interest-rate sensitive than its assets are, an
increase in interest rates will cut into the bank’s profits.
• The net interest margin mean
tỉ lệ nhảy cảm lãi suất > 1 => high risk
• The difference between the interest rate on banks' liabilities and the interest
rate on their assets.
• The difference between interest payments received and interest paid.
Ở VN: vay 1 đồng lãi 3%
Interest rate risk
Measuring banks' interest rate risk
• Gap analysis Đo lường rủi ro lãi suất
• Duration analysis
• Regression analysis
Lãi suất bậc thang:
vd: lãi suât bậc thang ABBANK
SỐ DƯ CÀNG CAO => LÃI CÀNG CAO
0-<10tr => 0.4%
Trên 50tr => 0.9%
Interest rate risk - Example
An Example of Interest-Rate Risk
Banks manage their interest rate risks
• Interest rate risk can be reduced by Maturity matching
• Interest rate risk can be reduced by Using floating-interest rates
• Banks accept a variable-rate deposit.
• Banks make long-term loans at a floating interest rate (adjustable-rate)
• Interest rate risk can be reduced by Using interest rate futures contracts
• Interest rate risk can be reduced by Using interest rate swaps
• Interest rate risk can be reduced by Using interest rate caps
1. Tiền gửi ngắn hạn => cho vay ngắn hạn,tiền gửi dài hạn cho vay dài hạn
2. Lãi suất thả nổi - Flexible, Floating interest rate (không cố định LS nữa). VD: nếu I
tăng => trả lãi nhiều => tăng 2 chiều tiền gửi và tiền vay
Không thể sử dụng thả nổi ko phải Mixed interest rate policy: Combined Fixed &
Flexible
Market risk/Trading risk
• Risks involve buying and selling financial instruments.
• Risk results from changes in the value of securities due to changes in
financial market conditions such as interest rate movements, exchange
rate movements, and equity prices. exchange rate movements, and
equity prices.
• The higher the risk inherent in the bank’s portfolio, the more capital the
bank will need to hold to make sure the institution remains solvent.
VD: Kinh doanh trái phiếu
Other risks
• Foreign exchange risk
• the risk that comes from holding assets denominated in one currency and
liabilities denominated in another.
• Sovereign risk
• the risk that arises from the fact that some foreign borrowers may not repay
their loans, not because they are unwilling to, but because their government
prohibits them from doing so.
• Operational risk
• the risk that arises when banks' computer systems fail or buildings burn down
(or blow up)
Other risks
• Banks manage foreign exchange risk
• Banks work to attract deposits that are denominated in the same currency as
their loans, thereby matching their assets with their liabilities.
• Banks use foreign exchange futures and swaps to hedge the risk.
• Banks manage Sovereign risk
• Diversification means distributing the bank’s loans and securities holdings
throughout the world, carefully avoiding too much exposure in any country
where a crisis might arise.
• Banks refuse to do business in a particular country or set of countries.
• Bank use derivatives to hedge sovereign risk.
THANKS
FOR YOUR WATCHING