(Luận văn) measure the interest rate risk, a case study of vietcombank

i h ng p ie MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY n w lo ad yi ju y th pl n ua al PHAM THI XUAN LIEN n va fu oi m ll MEASURE THE INTEREST RATE RISK: tz a nh A CASE STUDY OF VIETCOMBANK z ht vb k jm om l.c gm ECONOMICS MASTER THESIS an Lu n va y te re HOCHIMINH CITY, 2010 ac th ii h ng p ie MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY n w lo ad ju y th yi PHAM THI XUAN LIEN pl ua al n MEASURE THE INTEREST RATE RISK: va n A CASE STUDY OF VIETCOMBANK oi m ll fu tz a nh Financial and Banking Major Code: 60.31.12 z Major: ht vb k jm gm ECONOMICS MASTER THESIS om l.c an Dr Le Thai Thuong Quan Lu Supervisor: n va y te re ac th HOCHIMINH CITY, 2010 iii h ng p ie ACKNOWLEDGEMENT n w lo I would like to express my honest gratitude to my devoted research Supervisor, Dr ad y th Le Thai Thuong Quan, for his assistance and valuable guidance during the course of yi ju fulfillment this thesis pl I would like to thank my colleagues from Vietcombank, who have helped me in ua al collecting data for this thesis: Ms Nguyen Thi Minh Trang from An Giang Branch, n Ms Le Mai Trinh from Dong Thap Branch Especially, I would like to express my va n sincere thanks to Ms Ho Thi Bich Lien – chief accountant of An giang Branch for fu oi m ll her recommendation to Ms Phung Nguyen Hai Yen, Deputy Director of Finance and Accounting Department in Vietcombank head office a nh I would like to avail this opportunity to express my appreciation to Professor tz Nguyen Dong Phong, UEH Board of Director for conceiving the Banking Master z ht vb Program in English I also would like to express my sincere gratitude to all mu k jm teachers at Post-graduate Faculty- University of Economics Hochiminh City for their teaching and guidance during my Master in Banking course gm Finally, I would like to extend my deepest gratitude to my beloved family, special l.c an Lu great support during study period om thanks to my husband, Pham Trung Khanh, my son, Tony for their endless love and n va y te re ac th iv h ng p ie ABSTRACT n w With the volatility in the interest rate recent years, the interest rate more lo ad becomes a vital problem of Vietnamese bankers Fluctuations in the interest rate ju y th since 2008 that effected sharply to the bank‟s interest income and value, making yi interest rate risk management decisive to its success It is necessary to call for high pl degree in the asset and liability management with the duty of managing the bank‟s ua al interest rate risk exposure through the use of various hedging strategies and n n va instruments as well as balance sheet adjustment oi m ll fu This qualitative research measures the interest rate risk in Vietcombank - the leader in interest rate maker in domestic banks by using the gap model (dollar gap) also referred to as the funding gap or the maturity gap The research shall investigate a nh the movement of the Vietnam interest rate in financial market since 2008 Then it tz z will analyze the gap (dollar gap) in Vietcombank financial statement to measure the ht vb interest rate risk that affected to the income of the bank Finally, there shall be some k jm suggested solutions in improve the gap as well as the net interest income om l.c gm an Lu n va Gap, Gap analysis, interest rate, interest rate risk, interest rate risk measurement, ac th asset and liability management, Vietcombank, financial statement, SBV, VNIBOR y te re Keywords: v h ng p ie CONTENTS n w lo Acknowledgement ad y th Abstract yi ju Contents List of Tables pl Chapter 1: INTRODUCTION n va Abbreviations n ua al List of Figures oi m ll fu 1.1 Background, context and rationale for the research 1.3 Objectives/goals of the research 1.4 Methodology k jm THEORY OF INTEREST RATE RISK AND gm Chapter 2: ht vb 1.6 Study structure z 1.5 Data analysis and finding tz a nh 1.2 Why is the problem worth addressing? INTEREST RATE RISK MEASUREMENT an va n 2.2.2 Interest rate risk Lu 2.2.1 Credit risk om 2.2 Risks assumed by banks l.c 2.1 Background 2.2.5 Price risk ac th 2.2.4 Liquidity risk y te re 2.2.3 Operational risk (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank vi h ng p ie 2.2.6 Compliance risk 2.2.7 Foreign Exchange risk n w lo 2.2.8 Strategic risk 10 2.2.9 Reputation risk 10 10 y th ad 2.3 Interest rate risk 12 2.4 The model of measuring the interest rate risk ju 14 yi 2.4.1 Definition pl 2.4.2 Calculation 14 ua al 17 2.5 Interest rate risk management 18 2.4.3 Limitation of gap model n n va 18 oi m ll fu 2.5.1 On balance sheet adjustment 2.5.2 Off balance sheet adjustment 19 2.5.2.1 Using interest rate futures to hedge a dollar gap position a nh 2.5.2.2 Using forward contract 20 tz 21 z 2.5.2.3 Using option contract 24 2.6.2 Defensive management 25 gm 2.6.1 Aggressive management 22 k jm 2.6 Manage interest rate risk with dollar gap ht vb 2.5.2.4 Using interest rate swap 25 l.c 25 om 2.7 Conclusion Lu INTEREST RATE MOVEMENT IN VIETNAM AND VITECOMBANK INTEREST RATE POLICY an Chapter 3: 19 va 27 n 3.1 The movement interest rate in Vietnam 3.1.3 Interest rate volatility period 29 (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank ac 28 th 3.1.2 Interest rate after the Renovation Policy y te 27 re 3.1.1 Interest rate before the Renovation Policy (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank vii h ng p ie 3.2 Interest rate policy in Vietcombank 31 n w lo ad 3.2.1 Background 31 3.2.2 Interest rate policy 32 3.2.3 The fluctuation in 2008 34 3.2.4 The fluctuation in 2009 36 y th 37 3.3 Conclusion 38 3.2.5 The movement in first six month of 2010 yi ju pl ua al Chapter 4: n MEASURE THE INTEREST RATE RISK IN THE COMMERCIAL JOINT STOCK BANK FOR FOREIGN TRADE OF VIETNAM (VIETCOMBANK) n va oi m ll fu 4.1 Introduction 4.2 Research design 39 40 a nh 4.2.1 Data collection and analysis tz 45 47 gm 4.5 Gap Analysis 42 k jm 4.4 Balance sheet structure ht vb 4.3 Interest rate risk exposure 42 z 4.2.2 Personal interview 41 4.6 Conclusion 54 Suggest and conclusion om l.c Chapter 5: an Lu 56 n va 5.1 Conclusion 5.3 Suggest for hedgeing the gap 59 ac (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank 59 th 5.3.1 Balance sheet adjustment y te 57 re 5.2 Conclusion related to search questions (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank viii h ng p ie 5.3.2 Off – balance sheet 60 5.4 Limitation of the research and suggest for further research 63 n w lo References ad Appendix yi ju y th pl n ua al n va oi m ll fu tz a nh z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank ix h ng p ie ABBREVIATIONS n w lo ad ALM Asset and Liability Management ALCO Asset and Liability Committee VCB The Bank for Foreign Trade of Vietnam y th The State Bank of Vietnam yi ju SBV State Owned Commercial Bank pl SOCBS ua al RSA Rate Sensitivity Asset n Rate Sensitivity Viability n va RSC Financial Statement oi m ll fu FS Small and Medium Enterprises NRS Non Rate Sensitivity VND Vietnam Dong VAS Vietnamese Accounting Standard BOM Board of Management tz a nh SMEs z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank x h ng p ie LIST OF TABLES n w Table 2.2 Classification of Assets and Liabilities by interest rate sensitivity The relation in Gap, Interest rate changes and net interest income lo Exposure to interest rate ad Table 2.1 Table 2.3 y th Table 4.1 Distinction incremental gap and cumulative gap yi ju Table 2.4 VCB balance sheet in 2009 pl VCB Classification of Assets and Liabilities by interest rate ua al Table 4.2 n sensitivity va VCB Gap, Relative gap, interest sensitivity ratio Table 4.4 Maturity buckt of loans and deposits from customer at n Table 4.3 a nh Table 4.5 oi m ll fu 31.12.2009 VCB Reprcing mismatch in 2008, 2009 and first six months in tz 2010 z The compnent of net interest income in each maturity bucket Table 4.7 The effect f changing interest rate to NII ht vb Table 4.6 k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 60 - h ng p ie liabilities is always over than meant that VCB controlled the interest rate volatility to achieve the positive net interest income n w lo The sensitive asset and liability are divided into incremental (1-30 days, 30-90 ad days, 91-360 days, 360+ days, over years) that 1-30 days „maturity bucket‟ always y th appears negative All interviewee agree that this phenomenon occurs due to the ju yi customers were attracted by competitive interest rate and other promotion in short pl ua al time (within month) and while the borrowers tend to engage loan in longer term In dead, this incremental shall be rolled over in several terms so that bank can utilize n n va to lend longer term oi m ll fu What is the extent of interest rate risk in Vietcombank? Whether or not such risk affect to its profit? tz a nh z The bank interest income mainly generate from lending and interest expenses stem ht vb from fund mobilization, any changes in interest rate should effect to the net interest k jm income desperately It was elucidated that VCB has an asset sensitive balance sheet gm and maintain a consistent growth for many years The interest income was contributed by long term while interest expenses natured from shorter term Among l.c om of incremental, the highest interest income mainly are short term loans within year and 360+ days and interest expenses are bear by short term deposit (within Lu an month) n va suitable judgment in driving their interest rate policy not only in each branch of the ac (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank th whole system but also the ALCO decision The researcher also explored that the y te re All interviewee agree that the current interest rate risk measurement help them have (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 61 - h ng p ie interest income as well as expenses changes pro rata during surging or declining interest rate scenario The inerest expense burden in short term has been improved n w year by year while the longer term interest income has also reach to an ideal ratio lo that 30-90 days and 90-360 days term Moreover, the interest income in longer term ad (360+ days and over years) has been reduced thanks to eliminate longer term y th credit policy yi ju pl ua al All interviewee agree that they keep track of the Gaps every transaction day and they can manage the Gap in short term as well as long term related to lending and n n va borrowing policy in short term and long term Since each branch must follow the oi m ll fu target from the Head Quarter so they can assure about the Gap in their balance sheet structure a nh tz 5.3 Suggestion for hedging the gap z ht vb With the great achievement in the past, VCB are proud as the leader banker in k jm Vietnam However, in the violent competition banking market, there is not sure for gm the man resting on his laurels, some suggestion to hedge the gap that closely to improve the net interest income are needed in this circumstance om l.c an Lu 5.3.1 Balance sheet adjustment: n va Due to its asset sensitive balance sheet, the VCB will have a prosperous net interest vary the interest sensitivity of assets by making deposit to SBV, other financial ac (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank th institutions or loan maturity y te re income position during upward sloping phases of the interest rate cycles Bank can (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 62 - h ng p ie In fact, VCB have managed the balance sheet well, but the negative gap in 1-30 days horizon can get trouble in raising deposit interest rate competition n w Another thing to maintain the positive gap, the Bank must pay more attention to lo credit quality to reduce the allowance for loans and advances customers associated ad with bad debt For many years, VCB‟s credit activities mainly focus on SOEs with y th long term finance at corporate interest rate Nowadays, it‟s time to expand the credit ju yi activities to SMEs with variable interest rate to diversify the credit products pl ua al In the liability side, banks can also diversify the maturity of the deposit offered to n n va customers or may borrow in the interbank market The fund mobilization plays a oi m ll fu significant role in the growth target of VCB, so it is necessary to attract more attention from customers as well as improve the relation with existing ones a nh In recent, head office allocate all main targets to every branch with the aim to tz z enhance the status of consolidated balance sheet The ALCO has managed the ht vb interest rate risk with the aggressive strategy to ensure the consistent growth in net om l.c gm 5.3.2 Off-balance sheet k jm interest income Lu At present, risk on derivative products are mainly conduct in foreign change an transaction, specifically the forward contracts They are managed by Vietcombank va on the basis of compliance with regulations, imposed by the SBV on foreign n applicable regulations of the SBV relating to foreign exchange position and y te re exchange management (Ordinance on Foreign Exchange in 2006) and other ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 63 - h ng p ie transactions of credit institutions that are allowed to engage in foreign exchange transactions as specified in Decision 1081/2002/QD-NHNN of October 2002 n w However, banks have not conducted interest rate hedging yet in specific condition in lo Vietnam Although VCB should take some risks in an acceptable management ad practice but never bet the bank on any interest rate forecasts Most of derivative y th instruments are executed internal between branches and head office complied with ju yi regulations pl ua al In accordance with the Bank‟s regulations and policies, branches are only allowed n n va to deal with customers on the basis to ensure the overall safety position of the Bank oi m ll fu and in compliance with regulations relating to forward contracts Branches are not allowed to maintain their own position in order to avoid interest rate risk and settlement risk All transactions, including forward foreign exchange transactions, a nh are managed and monitored centrally via internal accounts of Vietcombank In tz z accordance with this Decision, position at branches including position of the ht vb forward contracts at the end of each day will be automatically squared to the Head k jm Office gm The BoM has applied the aggressive management to ensure the net interest income l.c SOCB as well as the undeveloped market in Vietnam om In conclusion, the using derivatives instruments are not aware by the nature of a an Lu n va 5.4 Limitation of the research and suggest for further research (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank ac analysis, risk return exposure,…) With the limitation of knowledge and time, the th models applied to joint-stock commercial banks in Vietnam (such as Duration, ratio y te re It would be interesting to conduct the measurement of interest rate risk with others (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 64 - h ng p ie researcher have just survey a simplest and most common model in measuring the interest rate risk n w In the fierce competition in interest rate market, the interest rate risk measurement lo and management should be treated as prior in the process of developing and ad y th penetrating the international context This thesis is designed as case study, so future yi ju research is needed to expand and make the findings more representative pl n ua al n va oi m ll fu tz a nh z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 65 - h ng p ie References n w  lo Benton E.Gup and James W Kolari 3rd Edition – Commercial Banking ad The Management of Risk Bessis, J.,2002 Risk management in banking (2e) ju Eugene F.Brigham and Michael C Ehrhardt 10th Edition – Financial yi  y th  pl Frank Skinner – 1st published 2005 – Pricing and Hedging interest and n  ua al Management Theory and Practice va n credit risk sensitive instrument Gareth Alan Williamson, 2008 – Interest rate risk management: a case oi m ll fu  study of GBS Mutual Bank Master in Commerce (Financial Markets) of tz  a nh RHODES University Mahshid, D and Naji, M.R.,2003 Managing interest rate risk – a case z ht vb study of four Swedish savings banks Master thesis Hostterminen: School of Mishkin, Frederic S, Eakins, Stanley G (2003) - Financial market and institutions 4th edition Boston: Addison Wesley l.c Maurice D.Levi 3rd Edition – International Finance The Markets and an Lu Financial Management of Multinational Business om  gm  k jm Economics and Commercial Law, Goteborg University Neil J.Salkind – 6th Edition – Exploring Research  Ross Westerfield Jaffe 7th Edition – Corporate Finance  Robert K.Yin – Case Study research Design and Methods 3rd Edition n va  y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 66 - h ng p ie  Santomero, Anthony M, Babel, David F (1997) – Financial Markets, Instruments and Institutions n w  Saunders, Anthony (2000) Financial institutions management – A lo modern perspective ad Van Son, Lai, Hassan, Kabor M (1997), An empirical investigation of y th  yi ju asset-liability management of small US commercial banks Website www.sbv.gov.vn  Website www.vietcombank.com.vn  Website http://asianbondsonline.adb.org  Vietcombank Annual Report 2007, 2008, 2009  Ms Phung Nguyen Hai Yen – Deputy Director of Financing and pl  n ua al n va oi m ll fu tz 2010 a nh Accounting Department in VCB head office, personal communication 15 Nov z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 67 - h ng p ie APPENDIX A n w lo ad BALANCE SHEET STRUCTURE & GAP CACULATION yi ju y th pl n ua al n va oi m ll fu tz a nh z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 68 - h ng p ie n w lo ad yi ju y th pl n ua al n va oi m ll fu tz a nh z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 69 - h ng p ie n w lo ad yi ju y th pl n ua al n va oi m ll fu tz a nh z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 70 - h ng p ie n w lo ad yi ju y th pl n ua al n va oi m ll fu tz a nh z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 71 - h ng p ie n w lo ad yi ju y th pl n ua al n va oi m ll fu tz a nh z ht vb k jm om l.c gm an Lu n va y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 72 - h ng p ie APPENDIX B n w lo ad AN INTERVIEW WITH MS PHUNG NGUYEN HAI YENA SENIOR OFFICER IN VIETCOMBANK ALCO y th yi ju Conducted by personal phone call in the middle of November 2010 pl ua al Researcher: I was attracted by a consistent growth and remarkable net interest income of VCB recent years I would like to know what key that VCB have achieved n va n Ms Hai Yen: For more than 50 years of establishment and development, VCB has been proud as a specialized bank in servicing as well as a friendship accompany With the whole country net work (over 300 branches, local oi m ll fu tz a nh subsidiaries) employed about 10,000 skillful staff, VCB try to pursuit the consistent growth harmonized with community activities z We have conducted a closed process in managing interest rate to maintain the positive growth net interest income ht vb k jm Researcher: How does the bank calculate the interest rate risk, which models are l.c gm used to measure the interest rate risk? om Ms Hai Yen: Among the existing interest rate measurement such as Maturity structure analysis, Balance sheet projection, Gap analysis, Net interest income projection, Risk-return exposure, Duration analysis, Ratio analysis we an Lu n va choose the most common and basic method to measure the interest rate risk that is Gap Analysis This measurement has been adopted in whole system of the VCB and in charged by ALCO ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank y te re Researcher: What is the ALCO personnel and how long ALCO execute meeting as well as leave the decision? (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank - 73 - h ng p ie Ms Hai Yen: Usually, ALCO hold the meeting every month with participant of Board of Director, Head of Treasury Department, Head of Accounting Department and some other involved officer Moreover, ALCO can call for n w extraordinary meeting in urgent interest rate chaos lo ad Researcher: In your opinion, what are the advantages and disadvantages of this y th model used? How long does your bank apply this method? yi ju pl Ms Hai Yen: Of course, this is the most common and basic model to measure n ua al the interest rate risk It‟s easy to conduct daily not only in the H.O Treasury Department as well as each branch in while system They can have a thorough grasp n va of an interest rate problem day by day, week by week and month by month This oi m ll fu method is suitable for us at least in current and near future Ms Hai Yen: tz a nh Researcher: What is the shape of the GAPs? How the GAPs effect to the bank income and how can your bank manage the GAPs? Our bank has maintained the positive Gap for many years and z ht vb we shall that in the future Although some time horizons have been negative such as 1-30 days or 31-90 days but we always maintain positive position to ensure the asset sensitive balance sheet About the GAP management or interest rate risk k jm om l.c gm management, we drive it actively to preserve the net interest income in which on balance and off balance sheet adjustment have been implemented We allocate some main target to each branch about the loan turnover related to interest rate ceiling, deposit turnover concerning interest rate floor and leave them their plan an Lu n va That concluded the interview Kindly give me a favor for more information about the thesis y te re ac th (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank (Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank(Luận.văn).measure.the.interest.rate.risk a.case.study.of.vietcombank