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yeu to cd lien quan den lai suit dan din ton t h i t v l tai s i n hoac lim giam thu nhap CLia ngan hing. Riii ro thanh khoin [Liquidity Risk): l i loai riii ro xuit hien trong trU[r]
(1)6 imiraANGT^c^
Quan trj mi ro hoat dong ngan hang
Thang - FIS Bank
Cung vdi vice cdc cam ket hoi nhqp WIO bdt Jdu CO hieu li/c vd lo trinh tdng von len 10.000 ty Jong vdo ndm 2015, cdc ngdn hdng Vict Nam Jang thi/c $1/ bu'dc vdo giai Joqn cqnh tranh mdi quyet liet ho'n vdi nhieu Jinh che tdi chinh quoc te Idn tren thi tru'dng npi Jia truyen thong cua minh 6c c6 the ton tqi vd phdt trien ben vung, cdc ngdn hdng thu'Ong mqi phdi no li/c ndng cao ndng li/c cqnh tranh, mpt mdt khong ngimg gia tdng cdc dich vu vd mat khdc ndng coo ndng li/c qudn tri Jo ndng li/c qudn tri rui ro Ju'tfc xem Id quan trpng hdng Jdu
1 Rui ro kinh doanh ngan hang:
Vdi t i c tang trUdng kha cao ciia nginh ngan hing - mach m i u cua n i n kinh te, ciing xu the hpi nhap ngiy cing sau rpng vao nen kinh te khu vgc va the gidi, them vio dd l i nhang gi da diln tren thi trUdng t i l n te Viet Nam thdi gian g i n day cho thiy vin d l quin tri riii ro cic ngin hing thuang mai cd y nghTa cip bich ea ve ly luan v i thgc tien
7 Ban chat cua rui ro
Riii ro kinh doanh ngin hing dgpc hieu la nhOng bien co khong mong dpi m i xay se dan den sg ton t h i t v l t i i san ciia ngan hang, giim silt Ipi nhuan thgc te so vdi dg kiln hoac phai bo them mpt khoan chi phi de cd the hoan thinh dapc mpt nghiep vg t i i chinh nhit dinh
Rui ro va Ipi nhuan ky vpng cua ngan hang l i hai dai li/png dong bien vdi mpt phgm vi nhat dinh
Board of Oliectois
Managhg Director (CEO)
Board Risk Management
Commltee
Central Firendal Fuiction
(CFO)
Assets & Liability Management Unit
(ALM)
Central Risk Function
(ORG)
ALCO Credit Commitlee
Underwrifng Committee Traded Risk
Committee Product Developmert
Committee
Ooeiatbnal Risk Credt Risk Market Risk
Business Unit A Business Umt B Business Unite
Khi de cap d i n rui ro, nguai ta thudng nhic din hai yeu to mang tinh dac trUng ciia rui ro la bien dp riii ro: mi/c thiet hai riii ro gay v i t i n s u i t xuat hien riii ro; so trUdng hpp thuan Ipi d l rui ro xuat hien/tong sd trUdng hpp dong kha ning
Rui ro l i ylu t l khich quan, nen ngUdi ta khong t h i nio loai tri/ dapc hin m i chi co the ban c h i sg xuit hien va nhOng t i c hai ciia chiing giy
7.3 Mgt so rui ro co ban
kinh doanh ngan hang
Riii ro tin dgng [Credit Risk]: l i loai riii ro phat sinh qui trinh c i p tin dung ctja ngan hing, bilu hien tren thgc te qua viec khich hing khong t r i dupe no hoac t r i no khdng diing han cho ngin hing
Riji ro ty g i i hoi d o i i [Foreign Exchange Rate [Forex] Risk): l i loai riii ro p h i t sinh q u i trinh cho vay ngoai te hoac kinh doanh ngoai te ty gii bien dpng theo chilu hadng b i t Ipi cho ngin hing
Rui ro lai suit [Interest Rate Risk]: l i loai riii ro xuat hien co sUthay doi ciia lai suat thi trUdng hoac ciia nhdng
yeu to cd lien quan den lai suit dan din ton t h i t v l tai s i n hoac lim giam thu nhap CLia ngan hing
Riii ro khoin [Liquidity Risk): l i loai riii ro xuit hien trUdng hop ngan hing thiiu kha nang chi tra khong chuyin doi kip cic loai tai san tien mat hoac khdng the vay mUpn de dap i/ng yeu c i u ciia cic hpp dong toan
Riii ro t i c nghiep [Operational Risk): l i nguy co ton t h i t trpc tiip hoac gian t i i p c i n bo ngan hang, qua trinh xif ly v i he thing npi bp khong day dii hoac khong boat dpng hoac cac sg kien ben ngoii t i c dong vao hoat dpng ngin hing
Riii ro xay giy nhieu tdn thit ve tai s i n cho ngan hing NhOng tdn that thudng gap la m i t vin cho vay, gia tang chi phi boat dpng, giam siit loi nhuan, giim siit gia tri cua tai san,
Rui ro cung l i m giam uy tin cua ngin hang Mot ngan hing kinh doanh bi 16 lien tgc hoac thudng xuyen khdng du kha nang khoan cd the dan den mpt cupc riit tien quy md Idn va dudng p h i s i n la tat ylu
(2)Profitability Analysis (Risk/Return -> RORAC)
Relatlonsliip Manager H '^ Regulatory Economic Capital Calculation
ALM - FTP - IAS39
• State & Dynamic ALM • Funds Transler
Pricing • Income and Capital
Simulation • Liquidity Risk
Management • Hedge Accounting
UarWeX Risk
Desk Level Sensitivity Stress Tests, Scenario Analysis VaR (Histoncal, Variance > Co-variance, t^Dnte Carkj) Back Testing
Credit Risk
Exposure Cak:ulation Credit Scoring CVaR-Credit Portlolto Modeling Trading Book Credit Portlolra Modeling Basel II
Operational Risk
Data Collection lool Corporate Governance & Intemal Audit Sartianes Oxiey Basel II: AMA Approach Framework
RISK DATA INTEGRATION
Validation - Consolidation - Enrichment - Transformation
Source Systems
Source Systems
Nhu mdt he q u i , riii ro k h i l n ngan h i n g bi lo va bi p h i s i n , se anh hadng d i n h i n g trieu ngUdi gdi t i l n , hang n g i n doanh nghiep khdng dapc d i p dng v i n l i m cho nen kinh t l bi suy t h o i i , g i i c i tang cao, si/c mua g i i m silt, t h i t nghiep t i n g , gay r l i loan t r a t t g xa hpi, v i hon nOa se keo theo sg sgp ciia h i n g loat c i c ngan h i n g nUdc v i khu vgc N g o i i ra, sg pha s i n ciia m p t ngan h i n g se d i n d i n sg h o i n g loan ciia h i n g loat ngan h i n g k h i c v i i n h hadng x i u d i n toan bo nen kinh t l
2 Quan trj rui ro hoat dgng l(inh doanh ngan hang:
Theo quan diem kinh doanh n g i n h i n g hipn dai, dapc n h i l u d i n g thuan, cho r i n g c i n q u i n tri t i t c i c i c loai rui ro kinh doanh ngan h i n g mpt c i c h t o i n dien Theo dd, quan tri rui ro la q u i trinh b i p can rui ro mpt c i c h khoa hoe, t o i n dien v i cd he thdng n h i m nhan dang, kiem s o i t , phdng ngua va giam thieu nhOng tdn t h i t , m i t mat, nhang i n h hadng b i t Ipi cua rLii ro Q u i n tri rui ro bao gdm n i m bade: nhan dang rui ro, p h i n tich rui ro, ludng rui ro, kiem s o i t , phdng ngda v i tai t r p rui ro
2.1 Mo hinh to chuc hoat dgng quin tri rui ro
Ngan hang c i n lip bp phpn
quan tri riii ro dpc l i p , thong thaang la Ban Q u i n ly Riii ro [Risk Management Committee RMC) tai Hpi sd chinh theo mo hinh q u i n tri riii ro t i p trung RMC se b i o c i o va t h a m mUu trgc tiep cho Ban lanh dao cao c i p cua N g i n hang [BoD) RMC se co t r i c h nhiem d i n h gia tong the riii ro v i x i c dinh cac c i p dp rui ro ma n g i n hang se phai ddi mat,
2.2 Chinh sach quan tri rui ro
Chinh s i c h q u i n t r i rui ro dUpc Ban d i l u h i n h phe duyet, chinh s i c h n i y p h i i phu hop vdi chien lUpc kinh doanh, n i n g Igc v l von, kinh nghiem quan ly va tinh san s i n g d l i mat vdi riii ro X i y dgng phgang thi/c lUdng riii ro thich hpp, c h u i n qui trinh, thii tgc, khung b i o c i o q u i n tri riii ro
Quan t r i riii ro n g i n hang l i nghiep vg phi/c tap, nd ddi hdi ky n i n g v i kinh nghiem chuyen m o n Ngan h i n g p h i i hUdng tdi mo hinh ladng v i q u i n t r i riii ro hien dai, C i c ngan h i n g Idn t h a m gia v i o thi trUong qudc t l phai x i y dgng cho minh mo hinh q u i n t r i rui ro phii hop de canh t r a n h hieu q u i C i c chuyen gia q u i n t r i riii ro n g i n hang phai dUpc d i o t a o v i tiep can vdi md hinh riii ro theo c h u i n quoc te v i cd kinh nghiem, kien thi/c v l kinh doanh v i chinh s i c h ngan h i n g tpi Viet N a m
2.3 He thang cong nghe thong tin
He t h i n g cong nghe thdng tin l i cong eg d i e Igc cdng tac quan tri rill ro Ge quan tri rui ro hieu q u i c i n cd cac dd lieu, thong tin phgc vg rui ro, cac cong eg phan tich, lap b i o c i o , kho lieu v l q u i n t r i riii ro CNTT phai l i cdng cu manh phgc vg tao c i c b i o cao quan t r i MIS, kiem s o i t va g i i m s i t c i c rui ro
He t h i n g cong nghe thdng tin phuc vu quan tri riji ro bao gom:
1 C i c he t h i n g cung c i p dO lieu nhg core banking, CRM, Treasury, Trade Finance, ERR,
2 Giai phap q u i n t r i rui ro [Risk Management System - RMS] bao g i m he t h i n g d i y dii c i c cong cu tap hpp lieu [ETL] tO c i c he t h i n g t r e n , to chOc kho lieu [ D W ] phuc vu cong t i c phdng ngOa riii ro, c i c cong eg p h i n tich lieu [Data Analysis], he t h i n g c i n h b i o [Alert] v i cong eg tao b i o c i o [Report Tool] linh boat, kip thdi, chinh x i c theo c i c md hinh quan tri riii ro c h u i n quoc te va d i e thu quan tri riii ro cua tOng ngan h i n g
Mo hinh giai phap q u i n tri rui ro
Cung vdi k h i nang cung c i p va trien khai c i c g i i i p h i p cong nghe thdng tin cho cac k h i c h hang, d i e biet l i c i c ngan h i n g nho g i i i phap Core Banking, CRM, Treasury, Trade Finance, ERR N i m bat b l i c i n h thi trUdng v i xu hadng p h i t trien cung nhU nhu c i u nang cao nang lOc kinh doanh, n i n g Igc q u i n tri cua c i c ngan hang Viet Nam thdi gian s i p toi, Cong ty He t h i n g t h i n g tin FPT [FIS] da ket hpp vdi c i c d l i t i c t i m hieu cung nhU d i m bao s i n s i n g kha n i n g cung cap, trien khai c i c g i i i p h i p q u i n tri rui ro cho c i c n g i n h i n g theo mo hinh hoat dong cua cac n g i n h i n g hien dai tren the gidi cung nhg tuan thu c i c qui dinh d i e thu mdi trUdng kinh doanh n g i n h i n g tpi Vipt Nam •