THÔNG TIN TÀI LIỆU
TR NGă CH IH CM TP H NGăTRỊNHă ẨOăT Oă CHÍ MINH C BI T KHĨA LU N T T NGHI P CHUYÊN NGÀNH: TÀI CHÍNH NGÂN HÀNG TH Mă NH TÀI CHÍNH DA T M R NG T I NGÂN HÀNG TMCP XU T NH P KH U VI T NAM ậ CN HỊA BÌNH ậ PGD NG KHÁNH SVTH : Nguy n Trang Phúc Duyên MSSV : 0954032103 L p : TN09DB3 ậ Tài ngân hàng GVHD : ThS Nguy năNh ăÁnh TP H Chí Minh ậ N mă2013 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh L IăCÁMă N Quá trình th c hi n Khóa lu n t t nghi p m t trình quan tr ng k t n i nh ng ki n th c đƣ đ c h c gi ng đ ng nh ng kinh nghi m làm vi c th c ti n K t qu đem l i s nh n th c rõ rƠng h n th c ti n công vi c bi t cách áp d ng nh ng lý thuy t vào th c t Q trình th c t p khơng th di n t t đ p n u khơng có s giúp đ c a quỦ tr ng, quý th y/cô vƠ quỦ đ n v th c t p Tr c h t, xin g i l i cám n chơn thƠnh đ n Tr ngă i h c M Thành ph H ChíăMinhăvƠăCh ngătrìnhăđƠoăt oăđ c bi t đƣ xơy d ng m t ch ng trình đƠo t o b ích, giúp sinh viên ti p thu đ c không ch ki n th c chuyên ngành mà phát tri n nh ng k n ng lƠm vi c th c t c bi t, g i l i cám n chơn thƠnh đ n Phóăgiáoăs ă- Ti năs ăNguy n Minh Ki u ậ Gíam đ c Ch ng trình đƠo t o đ c bi t đƣ xơy d ng m t k ho ch th c t p chi ti t, đ ng th i, g i l i cám n đ n Th că s ă Nguy năNh ă Ánh, gi ng viên h ng d n đƣ theo sát, h ng d n sinh viên t n tình t o u ki n t t nh t đ sinh viên chúng em đ c th c t p t i đ n v tài chính, h c đ c nhi u h c th c t hoàn thành Báo cáo th c t p NgoƠi ra, xin chơn thƠnh cám n đ n v ti p nh n th c t p: Ngân hàng TMCP Xu t Nh p Kh u Vi t Nam (Eximbank) ậ CN Hịa Bình ậ PGD.ă ng Khánh, q anh/ch nhân viên phịng tín d ng đƣ t n tình giúp đ su t trình th c t p v a qua, đ ng th i đƣ có nh ng góp Ủ chơn thƠnh giúp em hoƠn thƠnh bƠi đ tài GVHD: ThS Nguy n Nh Ánh i Th m nh Tài Chính D Án u T T i Eximbank NH N XÉT C Aă TH C T P ng Khánh NăV ······························································································································ 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······························································································································· GVHD: ThS Nguy n Nh Ánh iii Th m nh Tài Chính D Án u T T i Eximbank DANH M C CH ng Khánh VI T T T CBT : Cán b th m đ nh CBTD : Cán b tín d ng CIC : Trung tâm thơng tin tín d ng (Credit Information Center) CN : Chi nhánh DA T : D án đ u t DN : Doanh nghi p DO : D u diesel DVKH : D ch v khách hàng IRR : T su t sinh l i n i b KHCN : Khách hàng cá nhân KHDN : Khách hàng doanh nghi p LN : L i nhu n NHNN : Ngơn hƠng NhƠ n NHTM : Ngơn hƠng th NPV : Hi n giá thu nh p ròng PGD : Phòng giao d ch PP : Th i gian hoàn v n d án ROE : T s l i nhu n ròng/v n ch s h u SXKH : S n xu t kinh doanh c ng m i Thu TNDN : Thu thu nh p doanh nghi p TNHH : Trách nhi m h u h n TSC : Tài s n c đ nh TS B : Tài s n đ m b o V n CSH : V n ch s h u WACC : Chi phí s d ng v n bình quân GVHD: ThS Nguy n Nh Ánh iv Th m nh Tài Chính D Án u T T i Eximbank ng Khánh M CL C CH NGă1:ăGI I THI U 1.1 T NG QUAN 1.2 LÝ DO CH Nă TÀI 1.3 M C TIÊU NGHIÊN C U .2 1.4 PH NGăPHÁPăNGHIểNăC U .2 1.5 PH M VI NGHIÊN C U 1.6 K T C U KHÓA LU N CH NGă2: T NG QUAN V LÝ THUY T 2.1 C ăS LÝ LU N CHUNG .4 2.1.1 T ng quan v tín d ng ngân hàng a Khái ni m b Phân lo i c Vai trị c a tín d ng ngơn hƠng đ i v i n n kinh t d Quy trình tín d ng 2.1.2 Th m đ nh tƠi DA T m r ng t i NHTM .6 2.2 CÁC NGHIÊN C U LIÊN QUAN 21 2.2.1 Lu n v n th c s chuyên ngành qu n tr kinh doanh, tác gi Nguy n Thanh Thúy, “Th m đ nh DA T t i Ngân hàng TMCP Á Châu ậ CN Hà N i” .21 2.2.2 Lu n v n th c s chuyên ngành tài ngân hàng, tác gi Ph m Thanh Tu n, “Th m đ nh tài d án cho vay trung dài h n t i Ngân hàng Nông nghi p phát tri n nông thôn Hà N i” .22 CH NGă 3:ă TH Mă NHă TẨIă CHệNHă DA Tă T Iă EXIMBANKă NG KHÁNH 23 3.1 T NG QUAN V EXIMBANK ậ CN HỊA BÌNH ậ PGD.ă NG KHÁNH .23 3.1.1 L ch s hình thành phát tri n c a Ngân hàng TMCP Xu t Nh p Kh u Vi t Nam (vi t t t Eximbank) 23 3.1.2 T ng quan v Eximbank Hịa Bình 23 3.2 GI I THI U V EXIMBANKă GVHD: ThS Nguy n Nh Ánh NG KHÁNH 24 v Th m nh Tài Chính D Án u T T i Eximbank 3.2.1 L ch s hình thành phát tri n c a Eximbank 3.2.2 C c u t ch c ho t đ ng c a Eximbank 3.2.3 Tình hình ho t đ ng kinh doanh c a Eximbank ng Khánh ng Khánh .24 ng Khánh 24 ng Khánh .26 3.3 QUY TRÌNH TH Mă NHă TẨIă CHệNHă DA Tă M R NG VÀ PHÂN TÍCH R I RO TÍN D NG T IăEXIMBANKă NG KHÁNH 29 3.4 VÍ D MINH H A V HO Tă NG TH Mă NHăTẨIăCHệNHăDA Tă M R NG T IăEXIMBANKă NG KHÁNH 30 3.4.1 Gi i thi u khái quát v DA T .30 3.4.2 Th m đ nh tƠi DA T m r ng 31 CH NGă4:ăNH NăXÉTăVẨă XU T 42 4.1 NH N XÉT .42 4.1.1 u m 42 4.1.2 H n ch 43 4.2 XU T 47 4.2.1 V cách th m đ nh dòng ti n c a DA T .47 4.2.2 V cách th m đ nh ch tiêu đánh giá c a DA T .51 4.2.3 V xem xét r i ro c a DA T 51 K T LU N 52 TÀI LI U THAM KH O PH L C GVHD: ThS Nguy n Nh Ánh vi Th m nh Tài Chính D Án u T T i Eximbank ng Khánh DANH M C B NG TÊN B NG TRANG B ng 3.1: Tình hình huy đ ng v n c a Eximbank ng Khánh n m 2012 26 B ng 3.2 : Tình hình cho vay c a Eximbank B ng 3.3: ng Khánh n m 2012 27 K t qu ho t đ ng kinh doanh c a Eximbank GVHD: ThS Nguy n Nh Ánh ng Khánh n m 2012 29 vii Th m nh Tài Chính D Án u T T i Eximbank ng Khánh DANH M C BI Uă TÊN BI Uă Bi u đ TRANG 3.1: Tình hình huy đ ng v n c a Eximbank ng Khánh n m 2012 26 Bi u đ 3.2: Tình hình d n tín d ng c a Eximbank ng Khánh n m 2012 28 Bi u đ 3.3: Tình hình n x u - n h n c a Eximbank ng Khánh n m 2012 28 Bi u đ 3.4: L i nhu n c a Eximbank ng Khánh n m 2012 29 GVHD: ThS Nguy n Nh Ánh viii Th m nh Tài Chính D Án u T T i Eximbank ng Khánh DANH M C HÌNH TÊN HÌNH Hình 3.1: S đ m ng l TRANG i ho t đ ng c a Eximbank Hịa Bình 23 Hình 3.2: S đ t ch c c a Eximbank GVHD: ThS Nguy n Nh Ánh ng Khánh 24 ix Th m nh Tài Chính D Án u T T i Eximbank ng Khánh Ngu n cung d u ph thu c r t l n vào quy t đ nh c a c a t ch c OPEC, nên vi c u hành c a t ch c nƠy đóng vai trị r t quan tr ng vi c bình n giá th tr ng S li u v giá d u bình quơn theo OPEC đ c l y t tháng 1/2008 đ n tháng 3/2013 t i website :http://www.opec.org/opec_web/en/publications/338.htm http://www.wtrg.com/prices.htm b Vietnam Inflation ( 2) L m phát c a Vi t Nam th i k tr c đơy vƠ sau nƠy đ c xem lƠ c n b nh kinh niên c a n n kinh t Tác đ ng c a l m phát lên giá c x ng d u n c khơng tránh kh i L m phát làm xói mịn giá tr tốn c a đ ng ti n hay gi m s c mua hàng hóa c a ti n đ ng, gây nh ng tác đ ng dây chuy n đ i v i n n kinh t Ngay giá c x ng d u không thay đ i, nh ng l m phát n c gia t ng, h n ch s c mua c a ti n đ ng, rõ rƠng x ng d u không khác nƠo đƣ tác đ ng lên giá b i c nh l m phát leo thang Nh v y, có th kh ng đ nh r ng l m phát m t ph n nguyên nhân d n đ n x ng d u Vi t Nam t ng giá v i đ c m khác so v i n c có m c l m phát n đ nh S li u v l m phát c a Vi t Nam đ c l y t tháng 1/2008 đ n tháng 3/2013 t i website: http://www.tradingeconomics.com/vietnam/inflation-cpi c Currency ( 3) Vi c giao d ch nh p kh u d u đ u đ c tính b ng USD, u nƠy có ngh a lƠ t giá USD/VND có tác đ ng tr c ti p lên giá x ng d u n c S li u v t giá USDVND đ c l y t tháng 1/2008 đ n tháng 3/2013 t i website: http://www.tradingeconomics.com/vietnam/currency d Environment ( 4) Bi n đ c đ a vƠo ch y mơ hình bi n gi , v i 0: môi tr 1: môi tr ng n đ nh ng không n đ nh Xét l i l ch s bi n đ ng giá d u th gi i t n m 1945 đ n nay, ta th y ln có m t tình hình chung b t c có chi n tranh, xung đ t tr hay kh ng ho ng kinh t đ u gây nên cú s c l n v giá d u, c th : u n m 1972, giá d u v n gi ng ng USD/thùng T i n m 1974, giá d u nh y lên m c 12 USD/thùng (g p l n so v i n m 1972) Nguyên nhơn xu t phát t cu c chi n The Yom Kippur War Israel phát đ ng vào ngày 5/10/1973 nh m vƠo n c Syria Ai C p Cu c chi n nƠy đ c M n c Ph ng Tơy h u thu n Nh m đáp tr l i đ ng thái c a M , m t s n c R p t c kh c đ t l nh c m v n v d u m v i qu c gia Israel S n l ng lúc b c t gi m tri u thùng/ngày, m t s n c khác t ng s n l ng lên tri u thùng/ngày S hao h t tri u thùng/ngày kéo dài t i tháng GVHD: ThS Nguy n Nh Ánh Ph l c trang 21 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh 3/1974, chi m kho ng 7% s n l ng d u th gi i S hao h t đ y giá d u th gi i t ng m t ng ng m i T n m 1979 t i n m 1981: giá d u m l i t ng nhanh xu t phát t s ki n b t n t hai n c Iran vƠ Irap N m 1978 t i Iran x y cu c cách m ng H i giáo (t tháng 11/1978 t i tháng 6/1979) n s n l ng m t t đ n 2,5 tri u thùng/ngày Vào tháng 9/1980, Irap t n công Iran Trong th i k s n l ng đ t ng t gi m xu ng n cho giá d u m t ng “phi mƣ”: g p l n, lên m c 35USD/thùng vƠo n m 1981 G n đơy nh t cu i n m 2007, n n kinh t th gi i phát tri n nóng, s t ng tr ng ngành công nghi p M , Trung Qu c vƠ n c Tây Âu n nhu c u d u mó gia t ng Tình hình b t n tr n c Trung ơng c ng lƠ m t nguyên nhân n đ y giá d u m leo thang S kh ng ho ng n ng l ng m t l n n a đ c châm ngòi t i M giá d u m tháng 5/2007 đ n tháng 7/2008 t ng chóng m t giá d u t m c 70 USD lên 100 USD/thùng vƠ đ t m c k l c 147 USD/thùng vào gi a tháng 7/2008 n n c cu i n m 2008, n n kinh t th gi i b kh ng ho ng nghiêm tr ng S n xu t đình tr , th t nghi p t ng cao, nhu c u s n xu t hàng hóa gi m đáng k , đ y giá d u t t d c đ n m c 34 USD/thùng Gi đ nh t n m 2008 đ n n m 2009, n n kinh t Vi t Nam b kh ng ho ng ch u nh h ng c a cu c kh ng ho ng tài Th gi i T 2010 tr đi, n n kinh t đ t n c trì tình tr ng n đ nh Nh ng thông tin đ c tham kh o t i website: http://luanvan.co/luan-van/detai-bien-dong-gia-dau-lua-va-anh-huong-den-nen-kinh-te-viet-nam-16751/ e Vietnam Oil Import ậ 1.000 USD ( 5) M c dù tr l ng khai thác d u ti m n ng t i Vi t Nam l n, nhiên đơy ch y u d u thô, ch a qua tinh ch khó mà dùng làm nhiên li u cho s n xu t, nên ph n l n Vi t Nam v n ph i nh p kh u x ng d u lo i t n c v đ ph c v cho nhu c u tiêu th s n xu t n c Do h n ch v ngu n s li u ngu n cung c u v d u t i Vi t Nam nên nghiên c u nhân t Vietnam Oil Import t ng tr ng cho c u d u t i Vi t Nam H i khác bi t so v i nh ng nhân t khác, m t nh p kh u x ng d u lo i vào Vi t Nam nhân t l i tr thành ngu n cung d u xét n i t i n n kinh t n c, ch y mơ hình d li u c a nhân t nƠy đ u mang d u tr , đ làm rõ m c đích Vietnam Oil Import th hi n nhu c u v d u t i Vi t Nam S li u v l m phát t i Vi t Nam đ c l y t tháng 1/2008 đ n tháng 3/2013 t i website: http://www.economywatch.com/economic-statistics/Vietnam/Value_Oil_Imports/ http://www.gso.gov.vn/default.aspx?tabid= 629&ItemID= 13697 GVHD: ThS Nguy n Nh Ánh Ph l c trang 22 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh B ng 1: D li u ngu n MONTH OPEC Basket average price (USD) Vietnam Iflation Price DO 0,05s in VN Vietnam Oil Import (1.000 USD) Currency Environment Jan-08 88.5 0.1275 10400 559,046.64 15726.57 Feb-08 90.64 0.142 12200 616,890.65 15662.26 Mar-08 99.03 0.1577 14000 584,884.61 15651.65 Apr-08 105.16 0.1948 14000 668,549.08 15875.85 May-08 119.39 0.215 14000 2,301,506.00 15924.48 Jun-08 128.33 0.2524 14000 1,652,780.48 16211.65 Jul-08 131.22 0.2673 14000 1,486,646.55 16527.14 Aug-08 112.41 0.2698 14725 1,104,104.89 16526.85 Sep-08 96.85 0.2824 15450 523,494.79 16338.4 Oct-08 69.16 0.2786 14700 565,191.81 16436.57 Nov-08 49.76 0.2672 13283.33 376,783.47 16657.15 Dec-08 38.6 0.2421 11983.33 526,231.72 16678.05 Jan-09 41.52 0.1987 11000 353,015.80 17188.38 Feb-09 41.41 0.1743 10750 425,289.16 16886.65 Mar-09 45.78 0.1468 10250 423,658.22 16883.19 Apr-09 50.2 0.1115 10000 590,774.86 17175.75 May-09 56.98 0.0913 10250 537,208.94 17192.14 Jun-09 68.36 0.055 11000 559,807.52 17105.63 Jul-09 64.59 0.039 12100 625,303.47 17400 Aug-09 71.35 0.033 12600 490,125.52 17339.42 Sep-09 67.17 0.0192 13100 676,272.95 17673.96 Oct-09 72.67 0.0235 13050 616,818.10 17800 Nov-09 76.29 0.0293 13800 417,120.35 17855.31 Dec-09 74.01 0.0433 14450 540,092.76 18405 Jan-10 76.01 0.0652 14750 445,638.24 18257.58 Feb-10 72.99 0.0762 14900 550,863.21 18505.89 Mar-10 77.21 0.0846 14600 580,236.10 18977.14 Apr-10 82.33 0.0946 14600 606,611.21 18878.5 May-10 74.48 0.0923 14600 626,241.21 18915.46 Jun-10 72.95 0.0905 14600 462,777.90 18910.6 Jul-10 72.51 0.0869 14600 560,566.82 19100 Aug-10 74.15 0.0819 14750 581,323.79 19362.44 Sep-10 74.63 0.0818 14750 355,860.19 19465.5 Oct-10 79.86 0.0892 14750 340,888.74 19387.52 Nov-10 82.83 0.0966 14750 336,484.45 19450 GVHD: ThS Nguy n Nh Ánh Ph l c trang 23 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh Dec-10 88.56 0.1109 14750 630,089.32 19505 Jan-11 92.83 0.1175 14750 823,877.53 19588.38 Feb-11 100.29 0.1217 16525 743,902.37 19651.36 Mar-11 109.84 0.1231 19700 949,439.80 20484.69 Apr-11 118.09 0.1389 21100 1,128,908.40 20772.19 May-11 109.94 0.1751 21100 944,547.05 20486.57 Jun-11 109.04 0.1978 21100 813,346.99 20445.85 Jul-11 111.62 0.2082 21100 512,408.04 20504.9 Aug-11 106.32 0.2216 21100 835,056.31 20513 Sep-11 107.61 0.2242 21100 943,228.97 20733.42 Oct-11 106.29 0.2302 20750 721,556.87 20726.43 Nov-11 110.08 0.2159 20400 786,131.76 20765.85 Dec-11 107.34 0.1983 20400 675,621.03 20913.43 Jan-12 111.76 0.1813 20400 552,073.89 20848.95 Feb-12 117.48 0.1742 20400 735,952.13 20765.1 Mar-12 122.97 0.1644 20900 840,056.66 20759.33 Apr-12 118.18 0.14 21400 925,825.82 20738.9 May-12 108.07 0.1054 21400 808,369.68 20690.14 Jun-12 93.98 0.0834 20600 947,967.96 20659.8 Jul-12 99.55 0.069 20100 718,933.93 20648.24 Aug-12 109.52 0.0535 21400 757,769.29 20546.9 Sep-12 110.67 0.0504 21850 757,365.35 20556.78 Oct-12 108.36 0.0648 21850 724,251.39 20643.67 Nov-12 106.86 0.07 21850 654,100.59 20839 Dec-12 106.55 0.0708 21675 536,202.53 20806.31 Jan-13 109.28 0.0681 21500 479,519.12 20830.24 Feb-13 112.75 0.0707 21500 479,823.21 20834.94 Mar-13 106.44 0.0702 21700 704,794.25 20932.23 C Ch y mơ hình d báo th c hi n ki măđ nh C1 Mơ hình 1: Mơ hình đ c xây d ng d a mơ hình h i quy b i Mơ hình có d ng nh sau: Yi = + X1i + X2i + ầ + p Xpi + ei Thành ph n ei m t bi n đ c l p ng u nhiên có phân ph i chu n v i trung bình lƠ vƠ ph ng sai khơng đ i Mơ hình h i quy n tính b i gi đ nh r ng bi n ph thu c có phân ph i chu n v i b t k k t h p c a bi n đ c l p mơ hình M t gi đ nh quan tr ng n a đ i v i mô hình h i quy n tính khơng có bi n gi i thích GVHD: ThS Nguy n Nh Ánh Ph l c trang 24 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh có th đ c bi u th d i d ng t h p n tính v i bi n gi i thích cịn l i N u t n t i m t quan h n tính nh v y, x y hi n t ng đa c ng n a Ki măđ nh h s t ngăquan B ng 2: Descriptive Statistics B ng 3: Correlation - Vi c ki m đ nh h s t ng quan lƠ b c c n xác đ nh đ u tiên ti n hành ch y mơ hình Ma tr n h s t ng quan th hi n t ng quan gi a bi n ph thu c bi n đ c l p, gi a bi n đ c l p v i Nhìn vào ma tr n h s t ng quan ta bi t đ c gi a bi n có x y hi n t ng đa c ng n hay không V n đ r t quan tr ng, n u hi n t ng c ng n x y bi n đ c l p kh n ng có m i liên h ch t v i nhau, tác đ ng c a bi n gi i thích cho bi n ph thu c c a mơ hình s tin c y h n GVHD: ThS Nguy n Nh Ánh Ph l c trang 25 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh bi t đ c có hi n t ng đa c ng n hay khơng ta nhìn vào h s t ng quan, n u b ng ho c -1 x y hi n t ng đa c ng n - Khi t t c bi n đ c l p t ng quan v i (nhìn vào B ng Correlations, h s t ng quan gi a bi n đ u r t l n) nh h ng c a m i bi n đ c l p đ n bi n ph thu c r t khó đánh giá nh h ng bơy gi cịn ph thu c r t l n vào bi n đôc l p khác ph ng trình ch khơng th tách riêng, t c khó có th gi đ c u ki n gi bi n đ c l p khác không đ i đ c Ủ ngh a h s h i quy riêng c a t ng bi n đ c l p Và nh h ng làm h s h i quy riêng c a t ng bi n đ c l p thay đ i c v đ l n - Vì v y, đ xác đ nh t m quan tr ng c a bi n chúng đ c s d ng v i nh ng bi n khác mơ hình ta dùng h s t ng quan t ng ph n vƠ t ng quan riêng (Part anh partial correlations) b ng Coefficients - V i k t qu ch y d li u đ c đ a vƠo, nh n th y r ng hồn tồn khơng có hi n t ng đa c ng n x y mơ hình d báo b Ki măđ nh m căđ phù h p c a mơ hình B ng 4: Variables Entered Removed B ng 5: Model Summary B ng 6: Anova GVHD: ThS Nguy n Nh Ánh Ph l c trang 26 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh i v i mơ hình h i quy b i, R2 hi u ch nh s đ c dùng đ ph n ánh m c đ phù h p c a mơ hình h i quy n tính đa bi n Dùng R2 hi u ch nh s an toƠn h n s không th i ph ng m c đ phù h p c a mơ hình Nh k t qu ch y t mơ hình trên, ta th y R2 hi u ch nh (Adjusted R Square) 91,1% Con s cao, ch ng t m c phù h p c a mơ hình nƠy lƠ đáng tin c y t gi thuy t: Ho: = = = = = H1: T n t i j nƠo khác T tồn thích đ ta xây d mơ hình ch y ta có Sig F Change r t nh , kho ng 0,000 cho th y s an bác b gi thuy t Ho Ngh a lƠ k t h p bi n có mơ hình có th gi i c s thay đ i c a bi n giá d u DO 0,05S t i Vi t Nam, hay nói khác, mơ hình ng phù h p v i t p d li u nh v y c ụăngh aăh s h i quy riêng mơ hình B ng 7: Cofficients - - - ụ ngh a c a h s h i quy riêng đo l ng s thay đ i giá tr trung bình c a bi n ph thu c m t bi n đ c l p thay đ i m t đ n v , bi n đ c l p cịn l i khơng đ i Nói cách khác, cho bi t nh h ng thu n c a thay đ i m t đ n v b t k m t bi n đ c l p nƠo đ i v i giá tr trung bình c a bi n ph thu c lo i tr nh h ng c a bi n đ c l p khác Lo i bi n khơng có Ủ ngh a đ i v i mơ hình d a vào giá tr Sig b ng V i đ tin c y ta ch n 90%, ta s có = 0,1 N u Sig c a t ng bi n l n h n bi n s khơng có Ủ ngh a vƠ s b lo i V i k t qu có đ c, nhân t (bi n) đ u có Ủ ngh a, q trình ch y mơ hình ta s s d ng ch m t ph ng pháp Enter, không c n thi t ph i ch y thêm nh ng ph ng pháp lo i bi n khác Mơ hình d báo: GVHD: ThS Nguy n Nh Ánh Ph l c trang 27 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh Price DO 0,05S in VN = -25.504,761 + 76,299* OPEC Basket Average Price (USD) + 6.541,927 Vietnam Inflation + 1,913 * Currency + 0,001 * VN Oil Import (1.000 USD) ậ 1.748,965 Environment = -25.504,761: h s t hay g i h s ch n, ph n ánh giá d u DO 0,05S bình qn khơng ph thu c vào ngun nhân có mơ hình OPEC Basket Average Price = 76,299: OPEC Basket average price thay đ i đ n v Gía d u DO 0,05S t i VN thay đ i t ng 76,299 đ n v Currency = 1,913: t giá USDVND thay đ i đ n v Gía d u DO 0,05S t i VN thay đ i t ng 1,913 đ n v VN Oil Import = 0,001: VN oil import thay đ i đ n v Gía d u DO 0,05S t i VN thay đ i t ng 0,001đ n v Vietnam Inflation = 6.541,927: Vietnam Inflation thay đ i đ n v Gía d u DO 0,05S t i VN thay đ i t ng 6541,927 đ n v Environment = -1.748,965: Environment khơng n đ nh Gía d u DO 0,05S t i VN thay đ i gi m 1748,965 đ n v d Ki m đ nh l i gi thuy t d1 Dị tìm vi ph m gi đ nh c n thi t M t tình hu ng vi ph m gi đ nh x y riêng v i h i quy n tính b i lƠ hi n t ng c ng n, s dị tìm vi ph m gi đ nh nƠy đ c g i tên lƠ đo l ng đa c ng n (Collinearity Diagnostics) Các cơng c chu n đốn giúp ta phát hi n s t n t i c a c ng n trong d li u vƠ đánh giá m c đ c ng n làm thối hóa tham s c l ng là: - ch p nh n c a nhân t hay bi n (Tolerance) H s phóng đ i ph ng sai (Variance inflation factor ậ VIF) Khi Tolerance nh VIF l n, quy t c VIF v đa c ng n t 10 lƠ d u hi u c a B ng cho ta th y VIF c a nhân t hay bi n đ u nh h n 10, đó, ki m đ nh m t l n n a giúp ta kh ng đ nh r ng khơng có hi n t ng đa c ng n đ i v i mơ hình đ c xây d ng d2 Ki măđ nh ph năd ăb ngăt ph ngăquanăh n (h s Spearman) ơy lƠ m t ph ng pháp ki m đ nh đ xem mơ hình có vi ph m đ i v i gi đ nh ng sai không đ i hay không Gi thuy t đ t cho ki m đ nh lƠ ph ng sai c a sai s thay đ i, n u gi thuy t h s c a t ng quan h n t ng th gi a ph n d vƠ bi n đ c l p s khác GVHD: ThS Nguy n Nh Ánh Ph l c trang 28 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh Ta s th c hi n ki m đ nh t ng quan h n đ i v i t ng bi n đ c l p ABSRES_1 (tr t đ i c a ph n d ) Gi thuy t H0 h s t ng quan h ng b ng 0, n u k t qu ki m đ nh không bác b gi thuy t H0 đơy lƠ m t tin t t, ng c l i n u Sig c a ki m đ nh nh h n m c Ủ ngh a ph i ch p nh n gi thuy t ph ng sai c a sai s thay đ i Các k t qu phơn tích phía d i đ u cho ta đ c phép khơng bác bó gi thuy t H0 Ngh a lƠ ta có th k t lu n ph ng sai c a sai s không thay đ i GVHD: ThS Nguy n Nh Ánh Ph l c trang 29 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh d3 Ki măđ nh phân ph i chu n c a ph năd Ph n d có khơng tuơn theo phơn ph i chu n b i nh ng lỦ nh : s d ng sai mơ hình, ph ng sai không ph i h ng s , s l ng ph n d không đ nhi u đ phơn tích, ầ Phơn ph i chu n c a ph n d có th đ c ki m đ nh thông qua bi u đ t n s Histogram, Q-Q Plot ho c P-P Plot i v i t n s Histogram ta có Mean x p x b ng 0, Std-Dev b ng 0,059 t c c ng x p x b ng 1, đó, có th k t lu n r ng gi thuy t không vi ph m iv it n s P-P Plot ta th y m quan sát không phân ph i xa đ ng k v ng, đó, có th k t lu n r ng gi thuy t phân ph i chu n không vi ph m GVHD: ThS Nguy n Nh Ánh Ph l c trang 30 Th m nh Tài Chính D Án N mă2013 OPEC Basket Average Price22 (USD) Currency23 (USDVND) 24 VN Oil Import (trieu USD) Vietnam Inflation (End of Year Change %) Environment Price DO 0,05S in VN u T T i Eximbank N mă2014 ng Khánh N mă2015 N mă2016 102,61 95,575 95,575 95,575 21.001,66 21.139,91 21.233,32 21.333,35 12.052 12.212 12.734 13.417 8,20% 9,063% 8% 7,5% 21.299,98 21.084,306 21.193,98 21.353,311 Nh ng u m h n ch đ i v i mô hình này: u m: - Nh ng d li u đ c đ a vƠo đ ch y mô hình ch y u ngu n d li u th c p đƣ qua x lỦ vƠ đ c l y t ngu n đáng tin c y ch không ph i d li u s c p, nên k t qu ch y mơ hình lƠ đáng tin c y H n ch : - - D li u m c dù đ y đ vƠ đáng tin c y, nhiên ch l y m t kho ng th i gian ng n, t n m 2008 đ n tháng 3/2012 nên có th khơng nói đ c m t cách xác xu h ng bi n đ ng chung c a n n kinh t Bi n Vietnam Inflation, Vietnam Oil Import xét v m t th c t t i Vi t Nam không th hi n đ c Ủ ngh a áp d ng mơ hình b i hai lý sau: N u đ a bi n Vietnam Inflation vƠo đ tính giá d u D0 0,05S qua t ng n m nh m tính dịng ti n c a DA T, ta xét d án ch a tính l m phát, su t chi t kh u c a d án c ng ch a đ c u ch nh theo l m phát, khơng th t h p lý N u đ a bi n Vietnam Oil Import vào mơ hình, lúc ta th y r ng gi đ nh c a ta đ i v i bi n không phù h p, khơng gi ng nh nh ng ta k v ng, nhu c u nh p kh u cƠng t ng giá d u cƠng t ng Lý c a v n đ t i Vi t Nam, nhu c u nh p kh u d u đ u đ c tính d a theo h n ng ch quy đ nh c a NhƠ n c, nên đ a bi n vào, khơng th hi n đ c ph n nhu c u tiêu dùng x ng d u t i n c ta C2 Mơ hình 2: Vietnam Inflation (End of Year Change %) tham kh o s li u t website http://www.economywatch.com/economicstatistics/Vietnam/Inflation_End_of_Year_Change_Percentage/) 23 OPEC Basket Average Price (USD) đ c gi đ nh t n m 2015 tr lƠ kh đ i, tham kh o s li u t website http://www.economywatch.com/economic-statistics/price-index-indicators/Crude_Oil_Spot_Price_Averages/ 24 http://www.economywatch.com/economic-statistics/price-index-indicators/Crude_Oil_Spot_Price_Averages/ VN Oil Import (trieu USD) tham kh o s li u t website http://www.economywatch.com/economic-statistics/Vietnam/Value_Oil_Imports/ 22 GVHD: ThS Nguy n Nh Ánh Ph l c trang 31 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh B i nh ng h n ch t mơ hình 1, mơ hình s lo i hai bi n lƠ Vietnam Inflation, Vietnam Oil Import Mơ hình lúc l i bi n nh h ng đ n giá d u DO 0,05S t i Vi t Nam: OPEC Basket Average Price ậ USD, Currency, Environment C ng l n l t ti n hành ch y mơ hình ki m đ nh gi thuy t có liên quan, k t qu cho th y mơ hình đ u th a đ c nh ng phép ki m đ nh quan tr ng a Ki măđ nh h s t ngăquan B ng 8: Descriptive Statistics B ng 9: Correlation V i k t qu ch y d li u đ c đ a vƠo, nh n th y r ng hồn tồn khơng có hi n t ng đa c ng n x y mơ hình d báo b Ki măđ nh m căđ phù h p c a mơ hình B ng 10: Variables Entered Removed GVHD: ThS Nguy n Nh Ánh Ph l c trang 32 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh B ng 11: Model Summary B ng 12: Anova Nh k t qu ch y t mơ hình trên, ta th y R2 hi u ch nh (Adjusted R Square) 89,9% M c dù khơng cao nh mơ hình m t, nh ng s nƠy c ng cao, ch ng t m c đ phù h p c a mơ hình nƠy lƠ đáng tin c y c ụăngh aăh s h i quy riêng mơ hình B ng 13: Cofficients Mơ hình d báo: Price DO 0,05S in VN = -24.106,487 + 72,765 * OPEC Basket Average Price (USD) + 1,856 * Currency ậ 1.685,836 * Environment = -24.106,487: h s t hay g i h s ch n, ph n ánh giá d u DO 0,05S bình qn khơng ph thu c vào ngun nhân có mơ hình OPEC Basket Average Price = 72,765: OPEC Basket average price thay đ i đ n v Gía d u DO 0,05S t i VN thay đ i t ng 72,765 đ n v Currency = 1,856: t giá USDVND thay đ i đ n v Gía d u DO 0,05S t i VN thay đ i t ng 1,856 đ n v GVHD: ThS Nguy n Nh Ánh Ph l c trang 33 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh = -1.685,836: Environment khơng n đ nh Gía d u DO 0,05S t i VN thay đ i gi m 1.685,836 đ n v Environment N mă2013 OPEC Basket Average Price (USD) Currency (USDVND) N mă2015 N mă2016 102,61 95,575 95,575 95,575 21.001,66 21.139,91 21.233,32 21.333,35 1 1 20.652,25 20.397,865 20.571,234 20.756,833 Environment Price DO 0,05S in VN N mă2014 d Ki măđ nh l i gi thuy t d1 Dị tìm vi ph m gi đ nh c n thi t B ng 13 cho ta th y VIF c a nhân t hay bi n đ u nh h n 10, đó, ki m đ nh m t l n n a giúp ta kh ng đ nh r ng hi n t ng đa c ng n đ i v i mơ hình đ c xây d ng d2 Ki măđ nh ph năd ăb ngăt ngăquanăh n (h s Spearman) Các k t qu phơn tích phía d i đ u cho ta đ c phép khơng bác bó gi thuy t H0 Ngh a ta có th k t lu n ph ng sai c a sai s không thay đ i d3 Ki măđ nh phân ph i chu n c a ph năd GVHD: ThS Nguy n Nh Ánh Ph l c trang 34 Th m nh Tài Chính D Án u T T i Eximbank ng Khánh i v i n n kinh t Vi t Nam mà nói, r i ro l n nh t r i ro v sách u hành c a nhƠ n c N u Vi t Nam đ t giá USDVND th n i, khơng qu n lý, theo H c thuy t ngang giá s c mua (PPP), t giá USDVND s t ng cao (d a vào l m phát d báo cho giai đo n 2013 ậ 2015 c a IMF), không ch doanh nghi p n c mà c đ i v i ngơn hƠng đ u có th r i vƠo tình tr ng kh ng ho ng kinh t , s n xu t đình tr , ầ GVHD: ThS Nguy n Nh Ánh Ph l c trang 35
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