Hoàn thiện quản trị rủi ro tại ngân hàng thương mại cổ phần sài gòn hà nội

BO GIAO DUC VA DAO T O TRlfiJNG DAI HOC KINH TE TP HO CHI MINH MUYNH THI KIM PHYONG MOAN THI¶N QUAN TRJ RUI RO HO¿$T D@NG TAI NGAN HANG THYONG MAI CO PHAN SAI GON — HA NOI Chu yéii ngfiii h : Quilii TrJ Kinh Dearth : 60340102 LU¿tN VAN TRéC SI KINK TE NGIIOI HLDG DAN KHOA HOC: PGS.TS VO THJ QUY TP Hf3 CHI MINH — NAM 2013 LOI CAM DOAN Toi xin cam doan de tiii: “Hoan thien quan tr[ riii re heat dcing tai iigtm héng thtrong mai cc phlin Séi Goti - Hé /V‹›f” la két qua nghién cfru doc lap ciia toi voi su ho trp, hiiéng dan nhiet tinh cua ngu‹ii hu6ng dan khoa h pc la PGS TS Vo Th| Quy Ciic so li(u va két qua néu luan van la trung thuc, co nguon goc ro rang, duoc trich dan co tinh ké thiia, dupc tong hpp va phat trién tu cac bai b:to, tap chi, cac cong trinh nghién cfru khoa hpc duoc cong bo TP.Ho Chi Minh, thang nam 2013 Huynh Thi Kim Phuong MIjC LJJC Trang phu bra Lim cam doan Danh muc nh iing tir viét tat Danh muc céc biéu • Danh muc c:ie hinh vé CH ONG 1: C€J SP LY LU,AN VE RUI RO, RUI RO HOAT DONG VA QUAN TR!RUI RO HOAT DONG TRONG NHTM 1.1.2 Khiii ni(m ve rui ro l l Quan tri riii ro ngan hang thuong mai .6 1.2 TONG QUAN VE QUAN TRJ RUI RO HOAT DONG TRONG NHTM 10 1.2.1 Khai niem rui ro hoat dong .10 1.2.2 Cac loai riii ro hoat dong 10 1.2.3 Nguyen nhan gay RRHD 12 1.2.4 So sanh rui ro hoat dong voi "c llooaaii rul ro khac .13 1.2.5 Qu:in tr| rui ro hoat dong ngan hang thu‹ ng mai .14 *** TOM TAT CHUONG .18 Gicii thiéu ve SHB 19 2.1.1 Qua trinh phat trién ciia SHB 19 1.2 Cac hoat dong chinh 20 2.2 Chinh sach, quy dinh ciia SHB lien quan den QTRRHD 26 2.2.2 Chuc nang va nhi(m vu cua to quan ly RRHD tai SHB 28 2.2.3 Quy trinh QTRRHD tai SHB 29 2.3 Thuc trang quan tri riii ro hoat dong tar SHB 35 2.3.2 Phan tich QTRRHD tar SHB 39 2.3.2 Khao sat y kién can bo cfing nhan vién ctia SHB ve QTRRHD .39 2.3.2.2 Thuc trang QTRRHD minh hoa qua mot *** TOM TXT CHUONG 63 CHUONG 3: DE XUAT MOT SO GIAI PHAP NHAM HOAN THIE) N QUAN TRJ RUI RO HOAT DONG TAI SHB 64 3.2 De xuat cac giai phap nham hoan thien QTRRHD tai SHB .65 3.2 Xay dung van ho:i QTRRHD 65 3.2.2 Xay di.mg nguon nhén ltic co chat luong cao va dao duc nghé nghi(p .65 3.2.3 Hoan thien va phiit trién tang cong ngh( thong tin 67 3.2.4Nang cao cfing tire kiém tra, giam sat 68 3.2.5Doi voi riii ro tit phia khach hang .69 3.2.6De xuat c:ic giai ph:ip ho trp khac 69 3.2.6.2 De xuat xay d g von du phong cho RRHD .71 3.3 Kién nghi doi vcii NHNN Vi(t Nam 74 *"**TOM TAT CHUONG 74 TOM TAT CHUONG .75 TAI LI,EU THAM KHAO PHU LUC DANH MIjC NHff NG TY VIET TAT Dién giai HBB Ngan hiing TMCP Nha Hit Noi NHNN NHTM Ngan hang thuong mai NHTMCP Ngan hang thuong mai co phan QTRRHD Quan tr| riii ro hoat dong Quan ly rui ro Rui ro hoat RRTD dc›ng Rui ro tin dung Rtii ro thi truéing TMCP DANH MfjC CAC BANG SO LI$U Trang 'i RRHD theo nghi(p vu tu nain 2010 — 36 40 2012 Bang 2.2: Tong hpp cac loai RRHD da x:iy Bang 2.3: Tong hcip nguyén nhan gay RRHD Bang 2.4: Tong hpp tan suat xuat hi(n ciia RRHD Bang 2.6: Tong hpp ve bi(n phiip phong ngtia RRHD 41 43 45 46 DANM MQC CAC BIEU DO Trang ' Biéu d“o 1: Von diéu l‹:ctia SHB ke tir lap 22 Biéu d 2.2: So lirpng nhan su cfia SHB giai doan 2010 — 2012 23 Biéu dc› 2.3 Mang lu‹ i hoat dong cfia SHB giai doan 2010 — 2012 24 Biéu 2.4: Tong t:ii san, tong huy dong von, tong du np giai doan 2010 — 2012 25 Bieu 2.5: Von diéu 1(, loi nhuan trucic thué giai doan 2010 - 2012 26 DAN H MIJC CAC HINH VE Trang Hinh I : Mo hinh quan tri riii ro “3 lip phong v(” Hinh 1.2: Quy trinh quan trj riii ro hoat do( ng Hinh 1: Quy trinh quan tr| rui ro hoat dong Lai SHB 9}@Y ‘idO' DA9 LY DO CHON DE TAI Their gian qua sir bung no cfia khung hoiing tai chinh nliu: su vfi hang loat h( thong ngan hang, np xau gia tang kem theo nhiing yéu va that bat trén quy mo ci nhiéu nucic trén the gioi Tai Vi(t Nam, theo cac chuyén gia nhan dinh thi nam 2013 la nam day khé khan va th:ich thuc doi voi th| truéng ngan hang nhu: doi mat v‹ii nhii’ng thuong vu mua ban, siip nhap, nhan su bién do( ng, l pi nhuan sut giam, rip xau tang Do do, de vupt qua giai doan kho khan va day thach thuc nity doi hoi cac ngan hang Vi(t Nam phiii nang cao nang luc canh tranh: tri va mci rong hoat dong kinh doanh, nang cap cong ngh( xfr ly nghi(p vu va quan nhat la nang cao hi(u qua ciia h( thong quan tri rui ro Trucic xu the nay, de dam biro su ton tai, phat trién mot ciich an toan, hi(u quit v:i bén viing Hoi Dong Quan Tr| ciing nhu Ban Tong Giaiii Doc Ngan hang TMCP Siii Gon — Hit Noi da tung buoc hoan thi(n h( thong quan tr| rui ro nhu xay dung dupc mot nén tang kha tot ca ve kién thfrc va nguon luc doi vcii rui ro tin dung va rui ro khoan D a) c bi(t, cang quan tain den quan tri rui ro hoat dong vi nhiing nam qua cho thay rui ro hoat dpng co xu huéng ngiiy mot gia tang trén toan h( thong v:i da co nhfmg tac dong khfing nho den l pi nhuan va uy tin cua ngan hiing Do do, vi(c quén tri riii ro hoat do) ng la inf›t cach phong b(nh rat tot néu dupc ung dung v:i quan ly m o( t cach hi(u qua se gop phan dam bao an toiin hoat dpng, giam thieu rui ro hoat dong, nang cao hinh anh va vi the cua ngan hang tai thi tru‹ing tiii chinh nu‹ic va quoc Ie, da)c biet no la l pi the canh tranh giiia c:ic ngan hfing nham giiim thiéu Hi da chi phi ton that, gia tang l pi nhuan Chinh vi the, toi chpn de I:ii “Hoéti thien quén tri rtii re hoat dcing tar ngan hang thircrng mpi cc “ Rhlin Sai Gem - Hé Not” MUC TIEU NGHIEN CN - Nhan dang van de ton tar qu:in tr| riii ro hoat dong tai ngan hang thuong mai co phan Sai Gon — Ha Noi - Diinh gia tinh hinh qu:in tri riii ro hoat dong, tim nhung nguyén nhan va ton tai tai ngan hang thuong mai co phan Sai Gon — Ha Noi - De xuat inot so giai phiip nham hoan thi(n quan tri rui ro hoat dong tai ngan hang thuong mai co phan Sai Gon — Hit N pi DOI T QNG VA PHAM VI NGHIEN CN - Doi tuong nghién emu Quan tri riii ro hoat dong ngan hang thuong mai - Pham vi nghién cite tai ngan hang thu’ong mai co phan Siii Gon — Ha Noi PHUONG PHAP NGHIEN CN Luan van sir dung cac phuong ph:ip: so s:inh — doi chiéu, phan tich — tong hpp, thong ké mo ta Ngoai ra, luan van sit dung chpn lpc he thong c‹i s‹ dti li(u thu cap tir bao cao thu’érig nién, quy trinh ciia ngan hang thuong mat co phan Sai Gon — Ha Noi, du li(u tii’ cac tap chi chuyén nganh co uy tin nhu: tap chi Ngan hang, tap chi nghién cliii Hi chinh — ké toan Nguon du lieu so cap dupc thu thap thong qua diéu tra, phong van nhan vién SHB ve riii ro hoat do( ng da xay de tim nguyén nhan cling nhu ton tai can phai khac phuc qua trinh qufin tri riii ro hoat dong tai ngan hang thuong mai co phan Sai Gon — Ha Noi THANG DIEM VE ANH HJDNG RRHD C:ie mire Thang Khfing anh hu’éng diém Tinh trang (VND) < 5,000,000 Co kha nang gay chi phi thap v:i khong gay tinh huéng den uy tin va hinh anh c Ngan hang, khong co yéu to cau hanh vi pham khfing gay rac roi phap toi,ly Ng:in h:ing Co kha nang gay chi cho tuong doi, anh hucing den phi uy >— 5,000,000 va < 10,000,000 tin ctia Ngan hang, hoac co tinh huéng nhe t‹ii van de phap ly, co kha nang mot so quyét dinh duoc dna Co kha nang gay chi phi Tuong dfii >— 10,000,000 va < 20,000,000 dang ke, anh hucing den uy tin cua Ngan hang hoac xay ki(n tung danrasqcotuy nhién the hoa giiii ma khong can toa an Co kha nang gay chi phi >= 20,000,000 va kinh té lon, anh hrré ng toi uy < 50,000,000 tin ciia Ngan hang ho(ac xay ki(n tung dan st.i bat lot cho Ngan hang, va lt cO kha nang hoa giiii nhanh chong Co kh:i nang gay chi phi >— 50,000,000 kinh Ie rat léri (bao gom ca thi(t hat ve giam giii tr| co phiéu va anh huéng den uy tin ctia Ngan hang) hoac xay ki(n tung bat lpi cho Ngan hang co nhiing vi pham “Nguén.’ Quy trinh nhan dieu va dénh gié rhi ro hoqt dong cha SHB, 2013 ” THANG DIEM VE TAN SUAT RRHD C:ie mite Rat it xay Thang diém Tinh trang Vi du tham khao Kh:i nang xay khfing Khoang 10 dang ké, chi xay hoa)c nhiéu hcin nhiing tru6ng hpp rat d)ac bi(t It x:iy nhiéu truéing hpp Xay hau hét cac Hiing truéing hpp “Nguon.‘ Quy trinh nhén dien va dénh gia rhl re hoat dong cha SHB, 2015 ” nam/lan THANG DIEM VE MW’C DQ KIEM SOAT RRHD C:ic m trc Rat tot Thang Diém Tinh trang - 5Quy trinh kiém tra, kiém so:it dirpc cap nhat day dii v - Var tro triich nhi(m duoc phan cap den tim hoat do( ng cu the C:ic van de quan dupe kiém tra can t Co it su thay doi du‹ic cap nhat vao quy trinh Rui ro duoc chuyén giao toan bo cho bén thu ba, Quy trinh bao trum c:ic khu vuc quan trpng vii wot so chi tiét du‹ c cap n Phan ro vai tro v:i tr:ich nhi(m cho hau hét cac Qué trinh ap dung thqc Ie co sp ho trc tu cap quan ly nhung cho phép su bién d Co it su thay df“iii phuc ng thuc kinh doanh vong thang gan nhat, vi(c thich nghi Phan rui ro ducic chuyén giao cho bén thu ba hoac dup Ttmg xay mpt so ngoai 1( the hi(n su han Trung binh vi(c thiét ké chot kiém so:it - Quy trinh bao trttm cac khu vuc quan trpng nhung co diém he nhat dinh, phan l éin cfing vi(c dupc djnh nghia chung chung, co mot so Hi nho khfing dupc theo s:it - Nhan vien ap dung c:ie buoc quy trinh mot cach khong day du nhién co sq giam sat quan ly phu hpp, tu co the ngén cha( n du‹ c nhilng loi nghiem trpng - Cac du an va guy trinh moi duoc thuc hi(n ho a)c cac nhan vien moi co tinh huéing den hoat dong - Mot phan rui ro dooc chuyén giao cho bén thu’ ba ho a)c dfi ducc trich lap du phong Yéu - Sai sot kiem soat tai cap cc sci dang dién va kiém soat cap trén khong kip thcii nhan sai sot - Phan cap qu:in ly khfing ro rang cong them viec xuat hi(n cac diém yen quan ly dan den cac l fii khong du‹ic phat hi(n kip thc i - Phan lém quan ly thii cong va theo tinh phat hien doi cc ban phuong phap lam Vl(C hoa)c s:in pham dich vu vat thang tiép theo hoac theo guy trinh van hanh irioi cho phan léri hoat dong kinh doanh Nhan vién co it kinh nghiem - Rui ro toi thiéu ducic chuyén sang bén thtt ba hoa)c du‹ic trich lap du phong Rat yen - H( thong kiem soat rat yéu hoa)c khfing co - Rat it hoa)c la khong co quy trinh - Bo may kiém soat yeu, cap bac va trach nhi(m kiém soat khong du‹ c xac dinh ro rang - Phrrong thuc kinh doanh thay doi nhanh chong va khong chac chan Sti thang tien ciia nhan vién qua nhanh lam giam di qua trinh tich luy kinh nghieiri va van hoa tain vi(c - Chi xti ly RUI RO TONG THE Mire kiém so:it Mfrc rfii ro >10 C B B A A noi tai 8—10 C C B B A 5—7 C C C B B 3—4 D C C c B 1—2 D D C c c Trong do: A: rui ro rat cao B: rui ro cao C: rui ro trung binh “Nguon Quy trinh nhan dién va danh gia riii ro hoqt dong ciia SHB, 2013 ” CAP DO BAO CAO RRHD Mire d:inh gi:i Khfinggay Sp ki(n RRHD xay khong tain ton chi phi ciia ngan hang hoac néu co thi chi phi rat thap, khong ké Sq ki(n RRHD xay lam ton chi phi tuong doi cua Ngan hang, lam mat uy tin va anh hu‹ing dang den hinh chong lai Ngan hang Nho Sir ki(n RRHD xay tain ton Tiic chi phi ng tucng doi ctia Ngan hiing, :inh huéng den uy 10 tintri(u vii hinh Xanh < ctiaDon Nga doi ki(n tung dan su nhién 20 tri(u dong hien v sir ki(n ten qu:inly rui hoat co the hot gi:ii ma khfing can ph:ii trucic tort :in hi(n Lén Su ki(n RRHD xay tain 20 tri(u Ngan hiing ton that chi phi trpng X< Den vi thong 50 tri(u dong b:to qua lén, anh huéing xau den uy di(n thoai truoc tin va hinh anh cua Ngan h:ing hoac lam x:iy ki(n thong bao chinh tung dan su in:i kha nang th tic cho phong hoii Nghiem giai nhanh giii entail chong rui ro khong cao, co the phai giai biet va phoi hpp quyét tranh chap c› toa tin cling xfr ly Sq ki(n RRHD xay I:inn X ? 50 trieu Don Ngan hang tf›n chi phi rat bao dong v| thong qua (bao gf›m ca thi(t hai dién thoai trucic ve giam gi:i tri co phiéu va anh huéng xau den uy tin thong bao chinh cua Ngan hang) hoa)c tain thitc cho phong xay ki(n tung bat l cii cho ro Ngan hiing co nhiing vi géi email biet vfi phfii h pp pham “Nguon Quy trinh béo céo vet quan IQ sv kien riii ro hoqt dong ciia SHB, 2013 ” cung xfr PH4jL4jC6 BANG CAU HOI (Danh cho nhén vién SHB) Yin chéo atih7chJ! Toi ten Huynh Thi Kim Phuong la hpc vién khoa Quan Tri Kinh Doanh ctia truéng Dai Hpc Kinh Té TPHCM Hi(n nay, toi dang tien hanh nghién cuu de tiii ve “Helm thien qiién trJ rtii re hoat dong tpi Ngéii héng TMCP Siii Gt›n - Hii Ncii” Kinh iiiong anh/ch| danh chut it thcii gian de tra léii giup toi mot so cau hoi sau day Ciing xin luu y cac anh/chi lii khong co quan diém nao dting hay sai ma tat ca cac y kien ciia anh/chi déu co gia tri cho de tiii nghién cfru ctia Hi Rat mong nhan dupc su’ giup dfi va cong tac ciia anh/chi Cfii anh7ch] vui long dénh dari x thé hien mii:c dci dong j ciia céc anh7ch] cho céc phét biéu situ day.l Theo anh/chi, loai riii ro hoat dong nao da xay tai SHB? (cé› the chon nhiéu phuong an) Nhan vién ngan hang gian lan, trpm cap ho(ac co y thu’c hi(n hanh vi khfing thuoc tham quyen Hanh vi trom cap, gian lan cua cii nhan, to chuc bén ngoai ngan hiing n Hanh vi vi pham phap luat ve tuyén dung, suc khoé, an toan doi voi nhan vién San pham khiém khuyét, tiét lo thong tin khach hang, kinh doanh khfing dung quy d|nh Tham hoa thien nhién ho a)c ciic su ki(n khac nhu: khfing bo, pha hoai, hoa hoan, lii lut Gian doan he thong (hu hong phan cung hay phan iriém, mat di(n, duéng truyén mang ) Loi quit trinh nam bat vii thqc hi(n quy dinh, quy trinh giao d|ch (loi ve hach toan, loi qua trinh quiin ly tai san dam bao, firm mat hoac sai sot thong tin I:ii khoan khach hang ), tranh chap voi doi tae kinh doanh hoa)c nha cung cap Theo anh/ch|, riii ro hoat dong xéy tar SHB la nhiing nguyén nhan nao? (co the chpn nhieu phuong :in) Con ngu’cri (do nhan vién khong tuan thfi dung quy trinh nghi(p vu, co hanh vi gian lan, trom cap ) Quy trinh (do quy d|nh, quy trinh bat cap, khong day du tao ke her cho ké xau loi dung.) Cfing ngh( (gian doan h( thong ho a)c cac phan méiri, chuong trinh bi Hi ) Yéu to bén ngoiii (gian lan, trom cap ctia doi tuong bén ngoai, thien Lai, dong dat ) Theo anh/ch|, tan suat xay doi voi cac loai rui ro hoat dong nhu the nao? (1 Rat it xay ra, It xay ra, Co kha nang, Kha nang lén, Chac chan) Cac loai rtii ro hi(n hanh vi khong thuoc tham quyén Hanh vi trpm cap, gian lan ctia ca nhan, to chtf c bén ngoai ngan hang Hanh vi vi pham phap luat ve tuyén dung, suc khoé, an toan doi v‹ii nhan vién San pham khiém khuyét, tiét 1o chong tin khfich Muc 5 5 hang, kinh doanh khong dung guy dinh Tham hoa thien nhién hoa)c cac su ki(n 5 khac nhu: khting bo, pha hoai, hoa hoan, lii lut doan h( thong (hu hong phan cling Giiin phan niem, mat di(n, Hi duéng truyén mang ) Loi qua trinh nam bat vfi thuc hi(n quy dinh, quy trinh giao d|ch (loi ve hach toan, loi qua trinh quan ly tiii san diim bao, lam mat ho a)c sai sot thong tin tai khoan khach hang ), tranh chap vcii dfii tac kinh doanh hoac nha cung cap Theo anh/chi, muc :inh huérig riii ro hoat dong gay tai SHB nhu the nao? • (1.Khong tinh hu érig, Nho, Tuong doi, Lin, Rat l én) Cite loat rui ro Nhan vién ngan hang gian la(n, tr o( m cap 5 5 i ho aj c co y thuc hi(n h:inh vi khong thu(oc tham quyén Hanh vi trpm cap, gian lan cua c:i nhan, to chfrc bén ngoai ngan hang Hanh vi vi pham phiip luat vé tuyén dung, su’c khoé, an toan doi voi nhan vién San pham khiém khuyét, tiét lo thong tin khiich hang, kinh doanh khong dung guy d|nh Tham hoa thien nhién hoa)c c:ic sq ki(n kh:ic nhu: khung bo, pha hoai, hoa hoan, lii lut doan h( thong (hu hong phan cung hay Gian phan niem, mat di(n, Hi diréng truyén mang ) Lfii qua trinh nam bat vii thuc hi(n quy dinh, quy trinh giao dich (loi ve hach toan, loi qua trinh quan ly tai san dam bao, lam mat ho(ac sai sot thong tin tai khoan khach hang ), tranh chap voi doi I:ie kinh doanh ho a)c nhii cung cap Tai bfi phan anh/chi, co lién hiinh bi(n phiip phong ngira rui ro? Chua bao gici Co nhung khfing thuéng xuyén Rat thuéng xuyén BANG CAU HOI Tfii ten Huynh Thi Kim Phu’cing la lipc vién khoa Quan Tri Kinh Doanh ciia tracing Dai Hpc Kinh Té TPHCM Hi(n nay, Hi dang tien hanh nghién cfru de tiil ve “Hoén thi‹:n qiiiin tr[ rtii re hoat dong tai Ngan héng TMCP Séi Gén - Hé Nett” Kinh mong anh/chi danh chut it th‹ii gian de tra léi giiip toi mot so can hfii sau day Ciing xin luu y ciic anh/chi la khong co quan diém niio dung hay sal ma tat ca cac y • kien ciia anh/chi déu co gi:i tr| cho de tai nghién cfru cua Hi Rat mong nhan ducic su gitip dii va cfing tiic cfia anh/ch| Viii l‹›ng cho biét j kién ciia céc arih7ch] cho céc phét biéu snti dtiy Qua su ki(n trén, anh/chi vui long cho biet day la loai RRHD gi va nhung nguyén nhan gay rtii ro nay? Anh/chi vui long cho biet muc ton that co the xay su ki(n nhu the nao? Anh/chi vui long cho biet tan suat xay su kien nhu the nao.? Anh/chi vui long cho biet muc kiém soat su ki(n nhu the nao? Anh/ch| vui long cho biet miic riii ro long the su kien nhu the nao? Anh/ch| vui long cho biet bi(n phiip co the phong chong rui ro su kien nay? Yin chan thénh Cém on sq gf iip dcr nhi‹:I tinh ctia céc tinh7ch[ PHU LUC DAN H SACH PHONG VAN NGUOI DUCfC STT , ,’ PHONG VAN Nguyén Th i Tuyét Nga Khuat Thi AnhKiém Dao soat vién Giao dich vién Biii Th| Lan Ngpc Phogi:tin giao d|ch Nguyén Thi Thu Hanh Giao dich vién Truéng doephong phong khach hang doanh nghi(p Chuyén vién khach hiing doanh nghi(p Giamdoc phonggiao dich Lucing Van Chinh Kiém soat vién Trinh Dinh Duy Vii Thi Thanh Binh ... RUI RO, RUI RO HOAT DONG VA QUAN TR!RUI RO HOAT DONG TRONG NHTM 1.1.2 Khiii ni(m ve rui ro l l Quan tri riii ro ngan hang thuong mai .6 1.2 TONG QUAN VE QUAN TRJ RUI RO. .. “in chuong: CHU€ING C€f S€f LY LUA) N VE RUI RO, RUI RO HOAT DQNG VA QUAN TRJ RUI RO HOAT DQNG TRONG NHTM 1.1 TONG QUAN VE RUI RO VA QUAN TRJ RUI RO TRONG NHTM 1.I.1 Khtil “nt vé nglin hiing tlt... dt|nh rfii ro, danh gia luérng riii ro, c6 giai phép doi phd vcii riii ro, c6 céc chot kiém soét/ cac gioi h;in kiém soat rui ro, cd thong tin/ d rr li(u ve riii ro, gi:inn sét rui ro v:I b:to