seminar vepr 10

NG DNG PHNG PHP DEA TRONG

NH GI HIU QU RI RONH GI HIU QU RI RO

CA CC NHTM VIT NAM 2008-2011

Nguyn Thanh Tngg y ginh Th Ngn

11

H Ni, 6/2013

NI DUNG

L do la chn tiL do la chn tiTng quan nghin cu

M hnh l thuytKt qu thc nghimKt lun v hm chnh sch

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I. LA CHN TI Xt v tng th thi h thng ti chnh, c bit l h

thng ngn hng Vit Nam cn tim n nhiu ri ro.

Vic thc hin nh gi hiu qu v gim st tichnh ch yu thin v gim st tun th, thiu cccng c phc v cho hot ng gim stcng c phc v cho hot ng gim st.

Cc m hnh phn tch nh lng, kim nh ri ro, cc m hnh xp hng ri ro tn dng cn t ccc m hnh xp hng ri ro tn dng cn t cnghin cu va ng dng.

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II. TNG QUAN NGHIN CUPh h b d li (DEA) bi Ch Phng php bao d liu (DEA) c a ra bi Charnes, Cooper va Rhodes (1978) (m hnh CCR), da trn tng caFarrell (1957) v c lng hiu qu ky thut vi ng binsn xut.

tng chnh ca DEA c in l xc inh ng bin sn t t i t h DMU i l hi xut, trn im quyt nh n v DMUs c coi l hiu qu,

cc DMUs khng nm trn ng bin s c so snh vi DMUs tng ng trn ng bin c tnh im hiu qu.

Nm 1984, Banker, Charnes, Cooper a ra gi nh hiu qu sn xut thay i theo quy m (VRS) v m hnh (m hnh BCC)

J.C. Paradi et. al (2004) a xut s dng phng php DEA chun kt hp DEA trng hp xu nht.

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II. TNG QUAN NGHIN CUNghin Phng php S liu Bin s cu

Paradi et. al (2004)

DEA chun kt hpDEA trng hp xunht

s liu nm trc khi phsn ca cc cng ty npn ph sn trong nm

+ DEA: Input: TA, IN; Output: RE, WC, EB, CF+ Worst DEA: Input: Wc, CF; p g

1996 v nm 1997 Canada

pOutput: IN, SE

Liu et. al (2007)

DEA vi ng binhiu qu va phi hiu

15 cng ty top 500 toncu t Zhu (2003)

+ Input: TA, EQ, s nhn vin+ Output: TR, li nhun( ) q p

qu kt hp ch s TOPSIS

( ) p ,

Eken va Kale (2010)

DEA vi gi nh VRS theo 2 cch tip cn sn

128 chi nhnh ngn hngti Istanbul v Thrace ca

+ Input: cp nhn vin, cp hotng ri ro tn dngKale (2010) theo 2 cch tip cn sn

xut v li nhunti Istanbul v Thrace caTh Nh K

ng, ri ro tn dng+ Output 1: tin gi c k hn vkhng k hn; vay thng mi, vaykhch hng; thu nhp ngoi li+ Output 2: thu nhp li thun, thunhp ngoi li

Chen &Pan (2012)

DEA kt hp vi ch s EPS nhm phn loi cc NHTM thnh 4

34 ngn hng thng mi i Lon giai on 2005 2008

+ Input: ROA, ROE, li nhun trnvn cp 1, thu nhp trung bnh, EPS 5

nhm + Output: TL/TA, tin gi d tr/ tng vn huy ng, ty l n qu hn

5

II. TNG QUAN NGHIN CUN hi Ph h S li Bi Nghin cu Phng php S liu Bin s

Nguyn VitHng (2008)

DEA kt hp ch s Malmquist; M hnh hmsn xut bin ngu

32 NHTM VitNam giai on2001-2005

+ Input: cp nhn vin; t bn; tnghuy ng+ Output: tng d n; thu li; thusn xut bin ngu

nhin (SFA)2001-2005 + Output: tng d n; thu li; thu

ngoi li

Ng ngThnh

DEA vi gia nh VRS 22 NHTM ca VitNam nm 2008

+ Input: tin lng; IN; chi ph khc+ Output: TA; thu li va cc khon

(2010) tng t; thu nhp khc

DngThanh Thy(2013)

DEA thng thng S liu ca lnlt 5, 7, 9 NHTM trong 3 nm 2009-

+ Input: t l n; ROA; ROE; EQ/TA; TL/TA+ Output: xp hng tn dng (t(2013) trong 3 nm 2009

2011 Output: xp hng tn dng (t

Bankscope & Moody)

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Danh sch phn loi cc NHTM theo ch th 01/CT-NHNN ngy 13/02/2012Ngun: NHNN

Stt Tn ngn hngVn iu l

Nhm Stt Tn ngn hngVn iu l

Nhm1/2012 2010

Ngun: NHNN

g g g g1/2012 2010 1/2012 2010

1 BIDV 28251 14600 1 22 Phng Nam Bank 3212 3049 2

Vi t b k2 Vietcombank(VCB) 23174 13233 1 23 i Bank 3100 3100 2

3 Agribank 22860 20709 2 24 Vit Bank 3098 2937 NA

4 Vi ti b k 20230 15173 1 25 GPB k 3018 3018 NA4 Vietinbank 20230 15173 1 25 GPBank 3018 3018 NA

5 Eximbank 12355 10560 1 26 Navibank 3010 1820 2

6 Sacombank 10740 9179 1 27 Tienphongbank 3000 3000 NA

7 ACB 9377 9377 1 28 Trustbank 3000 3000 NA

8 Techcombank 8788 6932 130 Bc Bank 3000 3000 2

9 M iti b k 8000 5000 19 Maritimebank 8000 5000 1

10 MB 7300 7300 1 31 MDBank 3000 3000 2

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Danh sch phn loi cc NHTM theo ch th 01/CT-NHNN ngy 13/02/2012Ngun: NHNN

Stt Tn ngn hngVn iu l

NhmStt Tn ngn hng

Vn iu l

Nhm1/2012 2010

Ngun: NHNN

Stt Tn ngn hng Nhm1/2012 20101/2012 2010

10 BIDV 28251 14600 1

11 Lin Vit Bank 6010 3650 2 32 Vietbank 3000 3000 NA

12 Seabank 5335 5335 1 33 Kin Long Bank 3000 3000 2

13 VPBank 5050 4000 1 34 Phng ng 3000 2635 214 SHB 4816 3498 1 35 Nam 3000 2000 214 SHB 4816 3498 1 35 Nam 3000 2000 2

15 MHB 4515 4515 1 36 Vietcapital Bank 3000 2000 NA

16 ng Bank 4500 4500 2 37 Saigon Bank 2460 2460 NA17 VIB 4250 4000 1 38 PG Bank 2000 2000 218 AnBinh Bank 4200 3831 2 39 Bo Vit Bank 1500 1500 219 Habubank 4050 3000 3 40 SCB 4185

8

10584 NA20 HDBank 4050 2000 3 41 Tn ngha Bank 339921 OceanBank 4000 3500 2 42 nht Bank 2000

8

III. M HNH L THUYT Phng php bao d liu (DEA) c a ra bi

Charnes, Cooper v Rhodes (1978) (CCR), da trn tng ca Farrell (1957) v c lng hiu qu ktng ca Farrell (1957) v c lng hiu qu kthut vi ng bin sn xut.

DEA l mt phng php phi ngu nhin v phi tham s DEA l mt phng php phi ngu nhin v phi tham s da trn cch tip cn quy hoch tuyn tnh.

N c s dng rng ri o lng hiu qu tngi ca cc n v ra quyt nh (DMUs), s dng nhiuu vo v u ra khc nhauu vo v u ra khc nhau.

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III. M HNH L THUYT Khi nim hm khong cch (m hnh DEA nh hng

u ra):

B

q2

CAq2A

PPC-P(x)P(x)

q10 q1A

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III. M HNH L THUYT Gia nh VRS Gia nh VRS

TE = SE x PETE = q3/q1 TE: tng hiu qu k thutPE / PE hi k th t th t 11PE = q3/q2 PE: hiu qu k thut thun tySE = q2/q1 SE: hiu qu quy m

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III. M HNH LY THUYTGi h DMU h i d Gi nh c n DMUs c nh gi, tt c u s dng m u vo sn xut ra s u ra khc nhau. Mc s dng u vo caDMUj c xc inh bi vct Xj = (x1j, x2j,..., xmj)T, v c vct uj j j j jra: Yj = (y1j, y2j,..., ysj)T . Khi , im c lng hiu qu k thut, vi gia nh hiu sut cc DMUs thay i theo quy m (VRS) ccho bi:

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III. M HNH L THUYT M hnh DEA trng hp xu nht v ky thut phn lp

Phn lp hiu qu k thut trong DEA trng hp xu nht nh hngu ra (tri) v DEA chun nh hng u vo (phi) 13u ra (tri) v DEA chun nh hng u vo (phi) 13

III. M HNH LY THUYT Cc DMUs nm trn lp ng bin u tin ca DEA

trng hp xu nht l nhng DMUs ri ro nht v cc lp bn trong l t ri ro hn.cc lp bn trong l t ri ro hn.

Tng t i vi trng hp DEA chun, lp u tin l nhng DMUs hot ng hiu qu nht v nhng lpl nhng DMUs hot ng hiu qu nht v nhng lpk tip l nhng doanh nghip hot ng km hiu qu hn

Tuy nhin, c mt vn t ra khi s dng 2 phngphp ny nh gi xp hng l c nhng hngphp ny nh gi, xp hng, l c nhng hngnm trn 2 ng bin cc phn lp khc nhau.

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III. M HNH L THUYT

Ch s nh i ri ro - hiu qu:h = h /hhi = hw/hb

trong o hb va hw ln lt l kt qu c lng c trongm hnh DEA chun va DEA trng hp xu nhtm hnh DEA chun va DEA trng hp xu nht.

Ch s ny cho bit mt hng phi chp nhn bao nhiu im ri ro t c 1 im hiu qu

Nhng hng no c ch s ny ln chng t hng l g g y g gti hn va c xp hng thp hn

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IV. KT Q U THC NGHIM1 S li bi d1. S liu, bin s s dng S liu s dng c thu thp t Bo co ti chnh

kim ton hp nht ca 29 NHTM trong 4 nm giaikim ton hp nht ca 29 NHTM trong 4 nm giaion 2008-2011.

Cc bin s bao gm: Cc bin s bao gm: tng ti sn (TA); chi ph li vay (IN);

vn ch s hu (EQ); li nhun cha phn phi (RE); thu nhp trc thu (EB);p ( ) thu nhp trn mi c phiu (EPS); tng n trn vn ch s hu (TL/EQ); n xu (NPL) 16 n xu (NPL) 16

IV. KT Q U THC NGHIM 1. S liu, bin s s dng

DEA chun DEA trng hp xu nht

u vo TA, IN, EQ TA, RE

u ra RE, EB, EPS TL/EQ, NPL

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V quy m vn ch s hu, cc NHTM Vit Nam c th c chia ra lm 3 nhm vi cc quy m

vn ch s hu khc nhau:

Nhm nhng NHTM ln c quy m vn ch s hu ln, tng trng quy m vn cng nh tng trng tng tisn n nh (NHTM s 2 3 6 26 27)sn n nh. (NHTM s 2, 3, 6, 26, 27)

Nhm th hai gm nhng NHTM nh, quy m vn chs hu t (NHTM s 7 12 13 14 15 22 23 24)s hu t. (NHTM s 7, 12, 13, 14, 15, 22, 23, 24)

Nhm ngn hng cn li l nhm ngn hng c quy mvn ch s hu mc trung bnh 18g 18


2008 2009 2010 20112008 2009 2010 2011

EQMean 3634.35 4416.56 6141.52 7605.08Max 13790.04 16710.33 20736.73 28638.70EQ Max 13790.04 16710.33 20736.73 28638.70

Min 577.62 1038.95 2022.34 2590.98Mean 524.82 841.11 1196.45 1510.66

EB Max 2560.58 5004.37 5568.85 8392.02

Min 6.24 28.12 67.37 156.22

Thng k vn CSH v li nhun trc thu qua cc nm (t ng)

Ngun: Tng hp ca tc gi 19Ngun: Tng hp ca tc gi 19

IV. KT Q U THC NGHIM1 S li bi d1. S liu, bin s s dng Xt v li nhun, s liu cho thy hu ht cc

NHTM c mc li nhun thp hn hn vo nmNHTM c mc li nhun thp hn hn vo nm2008 do nh hng ca cuc khng hong tichnh ton cu.

Tuy nhin, ngay trong nm 2009, nhiu ngn hngchng kin mc tng trng gp i ca li nhunchng kin mc tng trng gp i ca li nhuntrc thu nh NHTM 1, 2, 5, 7, 13,...

Trong cc nm tip theo mc d li nh n n Trong cc nm tip theo, mc d li nhun vntng nhng vi tc chm hn nhiu so vi nm2009. 2020

IV. KT Q U THC NGHIM 2. Kt qu c lng hiu qu v ri ro

Xt hot ng ca ton b cc NHTM ta thy c xu hng hiu qu hn trong 2 nm 2009 va 2011

va thp hn trong 2 nm cn li.

ng thi, ta cng c th thy c r rng h thng NHTM Vit Nam ang c mc ri ro caog ghn hn so vi mc hiu qu hot ng.

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Kt qu c lng hiu qu v ri ro


2008 2009 2010 2011 2008 2009 2010 2011

MBB .877 1.000 .946 .971 .440 .526 .756 .518SacomBank .879 .857 .676 .717 .759 .763 .802 .710

ACB 1.000 .913 .937 1.000 .637 .666 .934 .588SHB 661 799 592 590 680 623 775 695SHB .661 .799 .592 .590 .680 .623 .775 .695MSB .900 1.000 .865 .359 .594 .710 1.000 .915EIB .488 .902 .700 .994 .515 .594 .839 .558

KienLongBank .533 .982 .395 .952 .993 .940 1.000 .811SeaBank .570 .951 .559 .093 .962 .496 .904 1.000VIBank .534 .955 .574 .396 .815 .750 .796 .698VIBank .534 .955 .574 .396 .815 .750 .796 .698VPBank .366 .572 .477 .637 1.000 .829 .718 .756

TechcomBank 1.000 1.000 1.000 1.000 .650 .777 .792 .678VietABank .423 .773 .408 .421 .775 .747 .756 .859NaviBank .504 .995 .518 .315 1.000 .989 1.000 .998

NamABank .077 .372 .335 .587 1.000 .844 .937 .905 22SaigonBank 1.000 1.000 1.000 .687 .855 .956 .938 1.000

22

DEA chun DEA trng hp xu nht2008 2009 2010 2011 2008 2009 2010 2011

HDBank .352 .614 .583 .634 .877 .746 .889 .894ABBank .125 .704 .546 .364 .783 .593 .859 .685

OceanBank .370 .601 .632 .517 1.000 .657 .844 .703PNB .445 .586 .657 .862 .695 .874 .950 1.000MDB 1 000 1 000 861 1 000 1 000 1 000 1 000 1 000MDB 1.000 1.000 .861 1.000 1.000 1.000 1.000 1.000

DongABnk 1.000 .879 .588 .811 .739 .857 .862 .626VietCapitalBank .091 1.000 .256 .932 1.000 1.000 1.000 .865

WEB 1.000 1.000 .139 .253 1.000 .975 1.000 1.000PGBank 1.000 1.000 .531 1.000 1.000 1.000 .944 1.000

OricomBank .412 .963 .511 .653 .939 .926 .847 .803VietcomBank .743 1.000 1.000 .978 .127 .565 .606 .477

VietinBank .599 .501 .866 .866 .657 .375 .858 .648D iAB k 846 242 292 969 1 000 1 000 899 784

23

DaiABank .846 .242 .292 .969 1.000 1.000 .899 .784HabuBank .690 .649 .628 .265 .651 .982 .946 1.000

23Mean .637 .821 .623 .684 .798 .785 .878 .799

IV. KT Q U THC NGHIM

2. Kt qu c lng hiu qu v ri ro

Kt qu cho thy nhng NHTM c mc ri ro Kt qu cho thy, nhng NHTM c mc ri rocao thng l nhng NHTM c quy m vn nh.

Tuy nhin hot ng ca nhm NH ny li ch tc hiu qu khng thc s nh mong mun, thm ch c nhng NH t c mc hiu qu rtthm ch c nhng NH t c mc hiu qu rtthp.

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IV. KT Q U THC NGHIM 2. Kt qu c lng hiu qu va ri ro

Nhm NHTM c quy m vn ch s hu ln li l nhm nhng ngn hng c mc ri ro thp hn.

Do mc mo him thp nn nhng NHTM ny Do mc mo him thp nn nhng NHTM nycng ch c mc hiu qu mc kh, thp hnnhm NHTM chp nhn ri ro cao hn v cngp gkhng c nhiu s thay i t bin.

Tuy nhin vn c nhng NHTM nhm ny c hiu Tuy nhin, vn c nhng NHTM nhm ny c hiuqu hot ng cao hn hn trong khi mc ri rovn thp 25 t p 25

IV. KT Q U THC NGHIM3 X h NHTM3. Xp hng cc NHTM Theo tiu ch hiu qu, trong m hnh DEA chun

chia ra 4 nhm theo th t hiu qu gim dn l:chia ra 4 nhm theo th t hiu qu gim dn l: A, B, C, v D

Cn trong m hnh DEA trng hp xu nhtg g pcng chia thnh 4 nhm theo mc ri ro tngdn (tc hiu qu k thut trong m hnh l tngdn) bao gm: va dn) bao gm: , , va .

T kt qu ch s nh i ri ro - hiu qu, ccNHTM c chia thnh 4 nhm t 1 ti 4 theotiu ch: Nhm 1: hi < 1; Nhm 2: 1 hi< 2

Nhm 3 2 h < 3 Nhm 4 3 h 26 Nhm 3: 2 hi < 3; Nhm 4: 3 hi 26

Ngn hng DEA chun DEA trng hp xu nht

Kt qu phn lp v ch s nh i ri ro - hiu qu cho nm 2011

g g g p

Lp 1 Lp 2 Lp 3 Lp 1 Lp 2 Lp 3 hiPhnnhm

MBB .971 1.000 B .518 .606 .401 0.533 1SacomBank .717 .849 1.000 C .710 .776 .257 0.990 1

ACB 1.000 A .588 1.000 0.588 1SHB 590 842 1 000 C 695 840 660 1 178 2SHB .590 .842 1.000 C .695 .840 .660 1.178 2MSB .359 .467 .607 D .915 1.000 2.549 3EIB .994 1.000 B .558 .609 .233 0.561 1

KienLongBank .952 1.000 B .811 1.000 0.852 1SeaBank .093 .123 .159 D 1.000 10.753 4VIBank .396 .523 .680 D .698 .802 .474 1.763 2VIBank .396 .523 .680 D .698 .802 .474 1.763 2VPBank .637 .805 1.000 C .756 .900 .645 1.187 2

TechcomBank 1.000 A .678 .744 .312 0.678 1VietABank .421 .589 .869 D .859 1.000 2.040 3NaviBank .315 .502 .673 D .998 1.000 3.168 4

NamABank .587 .649 1.000 C .905 1.000 1.542 2 27SaigonBank .687 1.000 B 1.000 1.456 2

27

Ngn hng DEA chun DEA trng hp xu nhtNgn hng DEA chun DEA trng hp xu nht

Lp 1 Lp 2 Lp 3 Lp 1 Lp 2 Lp 3 hiPhnnhm

HDB k 634 1 000 B 894 1 000 1 410 2HDBank .634 1.000 B .894 1.000 1.410 2ABBank .364 .479 .631 D .685 .832 .810 1.882 2

OceanBank .517 .728 .926 D .703 .844 .832 1.360 2PNB .862 1.000 B 1.000 1.160 2MDB 1.000 A 1.000 1.000 2

D AB k 811 1 000 B 626 769 654 0 772 1DongABnk .811 1.000 B .626 .769 .654 0.772 1VietCapitalBank .932 1.000 B .865 1.000 0.928 1

WEB .253 .350 .507 D 1.000 3.953 4PGBank 1.000 A 1.000 1.000 2

OricomBank .653 .876 1.000 C .803 .951 1.000 1.230 2

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VietcomBank .978 1.000 B .477 .521 .146 0.488 1VietinBank .866 1.000 B .648 .709 .137 0.748 1DaiABank .969 1.000 B .784 .899 1.000 0.809 1 28969 000 8 899 000 0 809HabuBank .265 .405 .517 D 1.000 3.774 4

IV. KT Q U THC NGHIM 3. Xp hng cc NHTM

Theo cch phn loi ny, cc NHTM c chia thnh: NHTM nhm 1 l nhng ngn hng tt, hiu qu hot ng

cao v c mc ri ro thp, bao gm 11 ngn hng.

Nhm 2 bao gm nhng NHTM kh c mc ri ro v Nhm 2 bao gm nhng NHTM kh, c mc ri ro vhiu qu gn tng ng nhau, gm 12 ngn hng.

Nhm 3 bao gm nhng NHTM trung bnh, mc ri rog g gcao hn so vi hiu qu hot ng, gm 2 ngn hng.

Nhm 4 bao gm nhng NHTM km, c mc ri ro cao, hiu qu hot ng thp gm 4 ngn hnghiu qu hot ng thp, gm 4 ngn hng.

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V. KT LUN V HM CHNH SCHKt lun chnh:H thng NHTM Vit Nam c mc ri ro cao hn tng

i so vi hiu qu hot ng.

Hiu qu hot ng trong giai on 2008-2011 mcthp duy ch c nm 2009 hiu qu hot ng tng caothp, duy ch c nm 2009 hiu qu hot ng tng caohn so vi nhng nm cn li

Nhng NHTM c quy m vn CSH nh thng l nhngNhng NHTM c quy m vn CSH nh thng l nhngngn hng c mc ri ro cao. Ngc li, nhng NHTM c quy m vn CSH ln li ch chp nhn mc ri ro thp.

Kt qu phn loi theo tiu ch ch s nh i ri ro hiu qu cho thy c 11 ngn hng nhm 1; 12 ngn hngnhm 2; 2 ngn hng nhm 3 va c 4 ngn hng nhm 4. 30; g g g g 30

V. KT LUN V HM CHNH SCHHm chnh sch:Cn kim sot cht ch vic huy ng vn, c bit l

NHTM CSH h h t h cc NHTM c quy m vn CSH nh, nhm trnh cccuc ua li sut nh tng xy ra gy ra nhiu ri ro cho h thng.g

Quyt tm thc hin vic sp nhp, hp nht cc ngn hng yu km (c bit cc NHTM nhm 3 4) theo hng yu km (c bit cc NHTM nhm 3, 4) theo n ti cu trc h thng ngn hng. Thc t hin nay mi ch c HBB (nhm 4) sp nhp vo SHB (8/2012) h ht 3 NHTM l SCB Fi B k v hp nht 3 NHTM l SCB, FicomBank v

TinnghiaBank (1/2012)

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CM N LNG NGHE !

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seminar vepr 10

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