B GIO DC V O TO

TRNG I HC KINH T TP.HCM

KHOA TI CHNH
------------------------------

PAPER 1:
LCH S QUY NH H THNG NGN HNG
C PHT TRIN BI Y BAN BASEL
TRONG CUC KHO ST NGN HNG T NM 1974 - 2014
Henry Penikas

GVHD: PGS.TS. Nguyn Th Ngc Trang

Nhm thc hin:

1) V Th Ngc Chi
2) Phan Th Ngc Linh
3) Phm Ngc Ly Ly

HCM Thng 11/2016

MC LC

TM TT.................................................................................................................... 3
1.

GII THIU........................................................................................................... 4

2.

PHNG PHP TIP CN THU THP V PHN TCH CA Y BAN BASEL..............5

3. NM QUY NH CA Y BAN BASEL PHT TRIN QUY NH QUY NH QUN

L H THNG NGN HNG......................................................................................... 8
3.1.

1974-1986 Tha c ( Quy nh t u tin)........................................................9

3.2.

1987 1998 BASEL I (t ci tin th 2 )............................................................9

3.3.

1999 2008 BASEL II (t ci tin th ba)........................................................10

3.4.

2009 2011 BASEL III (t iu chnh th t)...................................................11

3.5.

2012 2014 Post-Basel III (Quy nh th 5)........................................................11

4. THC T CC TI LIU V QUY NH QUN L H THNG NGN HNG C

CNG B BI Y BAN BASEL.................................................................................... 12
4.1.

y ban BASEL cng b 453 vn bn trong 40 nm.............................................12

4.2.

K t vn bnh qun c cung cp bi y ban BASEL khong vi 3 thng...............15

4.3.

Tng s kin nhn v cng b bi y ban BASEL tng ng khong 2290............15

4.4.

Tng s ngi UNIQUE (T chc) gi kin ca h n y ban Basel l 853..........16

4.5.
T l tng th ca nhng ngi bnh lun khu vc t nhn tng ng vi 12% tng s
lng gi 7% ca tt c cc bnh lun.......................................................................17
4.6.

i din 83 nc gi kin ca h n y ban Basel..........................................17

5. TNG QUAN V QUY NH QUN L H THNG NGN HNG BI

WORKSTREAMS........................................................................................................ 21

6.

5.1.

Quy nh ri ro tn dng;..................................................................................21

5.2.

Quy nh ri ro th trng................................................................................. 25

5.3.

Quy nh ri ro hot ng................................................................................. 27

5.4.

Quy nh ri ro thanh khon..............................................................................28

5.5.

S cng gp ri ro v khi nim ngun vn...........................................................30

5.6.

Vn qun tr kinh doanh...............................................................................33

5.7.

Nhng kin ngh cho nh gim st:......................................................................34

5.8.

Vn minh bch thng tin...............................................................................37

5.9.

Cc vn khc.............................................................................................. 39

KT LUN........................................................................................................... 40

TM TT

Trong dp k nim 40 nm ca y ban Basel v vic kho st ngn hng (BCBS) cng b
453 ti liu cc quy nh cho ngn hng ni chung (v c bit l ri ro) gim st v iu tit trn
ton th gii. Mc tiu ca nghin cu ny l iu tra cc giai on chnh ca qu trnh pht
trin quy nh BCBS, s kin quan trng lin quan n qu trnh pht trin ca ngn hng v quy
nh ri ro v tm tt nhng kha cnh c quy nh bi BCBS bao gm tn dng, th trng,
ri ro hot ng v ri ro thanh khon; ri ro v tp hp vn; qun tr doanh nghip, khuyn ngh
cho cc ngn hng trung ng v cng b thng tin ca cc ngn hng thng mi. Nghin cu
c xem nh l mt s tip ni t nhin ca cun sch nm 2011 ca gio s lch s Goodhart
BCBS vi hai c trng ct li. Trong khi cun sch ca gio s Goodhart tp trung vo lch s
ban u t 1974-1997 v c da trn nh gi ni b ca BCBS, nghin cu hin ti bao gm
ton b lch s 1974-2014 v c da trn cc ti liu v kin cng khai trn trang web ca
y ban Basel . Cc khuyn ngh hin nay nhm ci thin ngn hng hin c v cc quy nh ri
ro u tin c thng qua bi y ban Basel.

1. GII THIU
y ban Basel v gim st ngn hng (BCBS) c thnh lp vo nm 1974. Trong nm
2014 n t chc k nim 40 nm thnh lp. Vo thi im chun b h s y ban cng b 453
ti liu1 vi s lng tng th 16 230 trang. Nhng ti liu ny thc cht tr thnh khun kh
gim st ton cu v c bit l kim sot ri ro thc hin tt nht. Chnh xc nh gio s
Goodhart [Goodhart (2011a), p. 542] ni rng '[BCBS] tr thnh mt c quan qun l quc t
trn thc t, mc d BCBS khng bao gi c v khng bao gi c chn c quyn lc php
l ban hnh quy nh cho cc nc.
Thng th cc ti liu BCBS c ngun gc t thc tin tt nht 2 hoc trong thc t t kinh
nghim ca cc nc thnh vin ( nn nh l lun cho Basel I c th coi n nh l mt ri ro
c trng s hoc t l vn ri ro khng trng s); i khi n c ngun gc t thc tin ngnh (
cp n vic sa i u tin Basel I v quy nh ri ro th trng v sau quy ch ri ro tn
dng Basel II); v trong trng hp c bit cn phi c gii php mi (quy nh v cung cp
vn i vi bo v tn dng khi s dng CDS).
Khi mt ngi mun nghin cu lch s gn y ca quy nh v gim st ngn hng, h s
bt u t phn tch chi tit cc khon hin tng ca BCBS. Bi y l cc ti liu duy nht by
gi m ngi ta c th tm thy trn lch s BCBS, l cun sch ca Gio s Goodhart
[Goodhart (2011a)]. Mc d chi tit ln ca vic xem xt li ti liu do s dng ti liu lu tr
BCBS ni b, n c gii hn trong phm vi lch s ch i ph vi nhng nm u 1974-1997
trc Basel II ra i.
Khi ngh n lch s cc quy ch tng quan , ngi ta c th mun tham kho mt s cun
sch khc nh :- Mt khong d tr lin bang M v Ngn hng Anh Anh (2008) hoc Lch
s Banque d'Amsterdam [Gillard (2004)]. Mc d tng xem xt nhng quyn sch ny l
ng, hu ht cc bc ca cc ngn hng trung ng 3 trong lch s gn y l mt s phn nh
ca cc quyt nh tp th ca tt c cc thnh vin trong y ban Basel c ph duyt. Do
1 Bt u t ngy 31 thng mi nm 2014 ca y ban Basel bt u trnh by cc ti liu ca mnh
bng mt biu tng 'd' trc tn ti liu. y c v l mt cch tip cn mi ca U ban Ngn hng
Thanh ton Quc t (BIS), v d nh y ban v thanh ton v c s h tng th trng bt u s dng
nh dng tng t, xem ti liu 'd123' ng ngy 23 thng 12 nm 2014.

2 Tc gi cm n ngi xem n danh ch ra s khc bit trong thut ng

3 Mt ci nhn tng quan v s thay i vai tr ca cc ngn hng trung ng c a ra bi gio s
Goodhart [Goodhart (2011b)].

, mc tiu ca bi bo l nghin cu hot ng c nhn ca BCBS sau khi ri khi phm vi

nghin cu ca ngn hng trung ng .
cung cp lun c khc cho s cn thit cho xem xt li ti liu BCBS phi nh rng
khung php l to ra cc vn bn BCBS l c cn c trn 453 ti liu, hoc khong 16.000 trang,
v hn 2.000 kin c gi n cho BCBS. Nhng con s ny c v khng thc t c xem
xt v c bit n ch vi mi ngn hng thng mi hoc trung ng. V vy, mt nghin
cu cu trc ca cc ti liu ny l cn thit cho c ngn hng trung ng v thng mi, c
tho lun trn cng mt trang v s dng cng mt ngn ng.
Ti liu ny c t chc theo cch sau y:
Phn 2 r v phng php tip cn thu thp thng tin t cc trang web ca y ban Basel.
Phn 3 c dnh cho vic xem xt nm quy nh trong hot ng BCBS.
Phn 4 trnh by cc s kin then cht v cc n phm BCBS v kin gi n cc phin
bn t vn ca cc ti liu BCBS.
Phn 5 cho mt bi nh gi tng kt ca lnh vc ct li (workstreams) ca quy nh ngn
hng pht trin bi y ban Basel. Workstreams bao gm tn dng, th trng, ri ro hot ng v
tnh thanh khon; ri ro v tp hp vn; qun tr doanh nghip, khuyn ngh cho ngi gim st
v cng b thng tin ca cc ngn hng thng mi, v cc vn khc.
Phn 6 kt thc bng cch gi cc bc tip theo ci thin quy ch.
2.

PHNG PHP TIP CN THU THP V PHN TCH CA Y BAN BASEL

Nghin cu ny c cn c vo cc ti liu cng b ca y ban Basel v gim st ngn

hng trn trang web ca Ngn hng Thanh ton quc t - BIS - (http: //www.bis org / publ /.) 4.
Hai ngun chnh ca ti liu BCBS lin quan n chnh y ban Basel v mt lin quan n phn
din n c to ra vo nm 1996 gim st cc tp on ti chnh , l sng kin ca y
ban Basel v T chc Quc t cc y ban Chng khon (IOSCO) nh cp trong Goodhart
(2011a;. p 505). Cc ti liu tng ng c nh du bng nhng t vit tt 'BCBS' v 'joint', l
kt qu thc hin gim st Basel III ta nn tham kho http://www.bis.org/publ/bcbs278.htm,
trong khi tho lun thi gian tn ti ri ro trong hnh thc ca vn bn cui cng nn i
n http: //www.bis . org / publ / joint31.htm. Trong mt vi trng hp khi khng th theo di
cc ngy chnh xc pht hnh cc vn bn (cc ti liu ch c thng pht), ngy 01 ca thng
4 Mt trong nhng ng lc h tr cho cc nghin cu hin ti l s lng cc i din ti liu lu
tr BCBS trong nhng nm u ca n c trnh by bi gio s Goodhart [Goodhart (2011a), p. 96].
File lu tr khng cng b cng khai. y l l do ti sao nghin cu hin nay c cn c trn m
ngun m thng tin web-site. Theo quan st chung, trong nhng nm u ca y ban Basel s ti liu
ni b np mi nm vt qu s lng ti liu chia s cng khai gn 10 ln.

c ly l ngy pht hnh tng ng ( Ch ti liu Basel I cui cng ca thng by l c

cp trn trang web; thy http://www.bis.org/publ/bcbsc111.htm).
Cn thit phn loi ti liu ct li gii thiu y ban Basel s dng. Tt c cc ti liu
nu trn (i. E. nh du l 'BCBS' v 'chung') c th c chia thnh bn loi :
1. Ti liu t vn (thng thng ti liu nh vy s m ra tho lun cng khai cho ch tng
2.

ng);
Ti liu cui cng (loi ti liu trnh by cc ti liu t vn sa i sau khi xem xt cc kin

nhn xt v tho lun ca h trong nhm lm vic ca y ban Basel);

3. FAQ - cu hi thng gp (ti liu thuc loi ny c s dng b sung thm gii thch vo
4.

ti liu cui cng nu khng );

Bo co ( thng l mt bi bo cho bit qu trnh lm vic thc hin v chy cc ti liu
chnh thc tng ng).
C bn ngun thng tin quan trng khc c c tm thy ti cc trang web khc nhau. Bao
gm nhng ngun sau y do y ban Basel ban hnh tt c :

5. Bn tin;
6. Ti liu lm vic;
7. kin nhn c cho cc ti liu t vn
8. Nghin cu tc ng nh lng (QIS).
theo di cc bn tin ta nn tm kim cc t vit tt ca cc loi 'bcbs_nl', x l C ch
n nh chu u C v Qu bnh n ti chnh chu u cho mc ch o lng ri ro tn dng
vo trang wed sau: http://www.bis.org/ publ / bcbs_nl17.htm. i vi ti liu c l do m rng
cho cc quyt nh iu c bit l n l cn thit s dng cc t vit tt 'bcbs_wp'. lm
quen vi lp lun cho cch tip cn chun khi o lng ri ro tn dng i tc s dng lin kt
sau y http://www.bis.org/publ/bcbs_wp26.htm.
iu quan trng l gii hn phm vi nghin cu bng cch loi tr cc ti liu xut bn
di s bo tr ca Ngn hng Thanh ton quc t, nhng khng trc tip ca y ban Basel khi
h ch yu l i ph vi cc vn kinh t v m v tin t l khng tp trung vo kinh t vi m
(micro prudential ) cc vn php l5. Nhng ti liu ny (loi tr khi phm vi) c nh du

5 Tuy nhin, mt s ti liu nht nh c th c quan tm (v d ca Gio s Goodhart v vai tr ca

Ngn hng Trung ng ngy thng 11 nm 2010 http:.. //www.bis.org/publ/work326.htm - V mt s
quy nh xut dnh cho cc ri ro thanh khon Basel III, ngy thng 10 nm 2014 http://www.bis.org/publ/work470.htm), nhng nhn chung y khng phi l quy tc. y l l do ti
sao cc ti liu lm vic BIS c loi tr khi tng s n phm c xut bn cng khai. Theo quan
st khc BIS xut bn gn 500 ti liu lm vic t sng to ca n, trong khi y ban Basel to ra
453 ti liu trong 40 nm.

bng ch vit tt 'work'. Tho lun v cc ngun tng trng cng ty c sn bng cch s dng
lin kt sau y http://www.bis.org/publ/work469.htm.
Ch thch lm sng t cho ti liu t vn v iu chnh ngnh cng nghip v i khi (t
cc nc thnh vin y ban khng Basel) v tr thun li hiu nhng g cn ci thin trong cc
ti liu chun b. iu quan trng cn lu l ch thch gc cn c xem xt nh gi mc
thin v ca n. V d, kin ca cc hc gi c th c lp 6 hn so vi nhng ngi n t
cc ngn hng, hip hi ngn hng nh sau thng c th vn ng hnh lang lm mm hoc tr
hon cc quy ch nu sau ny mang thm gnh nng hay chi ph t nht thm cho ph hp.
Nhiu ti liu gn y c kin i din trc tip lin quan n ti liu, xem kin
xut sa i ca Ct III ta phi i n trang http: //www.bis. org / publ / bcbs286 /
comments.htm ni 'bcbs286' cp n chnh ti liu t vn ( kin cng b khng phi l lun
lun d dng v r rng theo di, nu bn khng xem cc trang cui cng ca ti liu hoc ti
liu t vn, v d nh ch thch ca ti liu t vn

ln v Basel II c sn y:

http://www.bis.org/bcbs/cacomments.htm.
Nghin cu tc ng nh lng (QIS) c thc hin bi y ban Basel nh gi liu
xut cc hng dn cn ci thin hn na hay khng, v nhng tc ng tng th v h thng
ngn hng c th xy ra vn thc hin cc hng dn hon thnh proxy. Tt c cc hnh
thc v kt qu QIS c lu tr ti mt khu vc ring ca trang web ca y ban Basel, c th
l : http://www.bis.org/bcbs/qis.
Phn ny l quan trng hiu lm th no tm kim cc n phm quan tm. Khi danh
sch cc n phm ca y ban Basel rt nhiu, khng lm qu ti danh sch cc ti liu tham
kho ngi c nn tham kho cc lin kt nu trn s dng m ti liu, giy t lm vic, bn
tin v ch thch c quy nh r rng trong cc vn bn ca bi bo ny. V d, nu ai quan tm
tm cc cuc tho lun v kt qu ca cun sch giao dch tp danh mc u t gi v l
bcbs288 y ban Basel c ng trn 09 Thng Chn nm 2014, n l cn thit hnh thnh
cc URL trong hai phn: cc phn chung http://www.bis.org/publ/[...].htm v c th mt trong
nhng ni "[...] 'biu tng khung c thay th bi bcbs288 i n http: //www.bis .org /
publ / bcbs288.htm.

6 Tc gi cm n ngi xem n danh ch ra cc kin c kh nng thin v t cc ngun khc nhau

(t cc ngn hng vn ng quyn li ca mnh v cc hc gi c lp hn so vi cc ngn hng).

Tng cng 453 n phm ca y ban Basel v 2.290 kin cc phin bn t vn ca n

c thu thp v xem xt (chi tit hn nhng ngi s c nhn xt trong phn 4 trn nhng s
kin ci tin; bit chi tit xin vui lng, hy tham kho Bng A.1 - Bng A.6.
Mt ngi c th mun tm hiu s ng gp ca hot ng Joint Forum cp trn
tng s 453 vn bn php quy c pht trin bi y ban Basel l g. Phn Joint Forum to ra
tng s lng ti liu ngy cng tng trong sut thi gian hot ng ca mnh t nm 1996,
nhiu hn hn BCBS to ra trc nm 1996 (36 v 44 ti liu, tng ng). Xt v tng s cc ti
liu Joint Forum ng gp ti 8% v trong iu kin ca cc trang ti 14% (xin vui lng, hy
tham kho Bng A.2 bit thm chi tit7.
3. NM QUY NH CA Y BAN BASEL PHT TRIN QUY NH QUY NH
QUN L H THNG NGN HNG
Phn tip theo s tho lun lm th no thu thp ti liu ca y ban Basel pht trin Quy
nh qun l h thng ngn hng .
y ban Basel v gim st ngn hng c ngun gc t nhm lin lc vi ting Php l ngn
ng lm vic ban u nh cp bi Goodhart (2011a;. P 17). c thnh lp vo nm 1972,
chnh thc c to ra vo nm 1974. V vy, trong nm 2014 y ban Basel t chc k nim 40
nm thnh lp. nghin cu s ci tin quy nh qun l h thng ngn hng c to ra bi
y ban Basel phi tp trung vo cc mn hc. Tuy nhin hiu cc quy nh qun l ri ro ta
nn hiu cc quy nh cho ngnh ngn hng th gii ni chung l nhng g. V vy trc khi tip
tc m t s ci tin cc quy nh ngn hng v ch chi tit n cc workstreams (cc mn
hc), cn thit xc nh cc quy nh ct li tn ti trong lch s ngn hng c ban hnh bi
y ban Basel trong sut 40 nm.
y ban Basel t 1974 - 2014 hot ng ch yu l vic pht trin quy nh ngn hang, c
th c chia thnh nm t quy nh sau y ( bit chi tit, xin vui lng, tham kho Bng
A.2). Tn ca cc t ci tin c xut phn nh cc ti liu ct li vn ca cc ngn
hng trung ng v / hoc thng mi vo thi im .
1. 1974 - 1986 - tho c;
2. 1987 - 1998 - Basel I;
3. 1999 - 2008 - Basel II;
4. 2009 - 2011 - Basel III;
5. 2012 - 2014 - Post-Basel III.
7 Tc gi cm n cc nh ph bnh n danh gii thiu v phn tch ti liu trong nhng din n v
nhng ngi khc.

3.1. 1974-1986 Tha c ( Quy nh t u tin)

Cc cng vic ca y ban Basel bt u gii quyt vi s tng tc gim st khi c nhu
cu gii quyt xuyn quc gia cc ngn hng yu km. iu ny nh du s bt u ca t
iu chnh u tin bng cch cng b cc ti liu u tin mang tn 'tho c' (bcbs00a; 01
thng 9 nm 1975). Sau khi tho lun tho c v bt u chun b ti liu v cc vn khc
(bao gm Basel I v quy ch ri ro thanh khon).
Mc d chuyn su trong ni b [bao gm c nh ca M v Anh ch ng v nguyn
tc iu chnh vn, b qua cc cng vic ni b ca y ban nh m t ca Goodhart (2011a)],
cng khai cc t iu chnh ko di cho n nm 1986 ch c 11 ti liu c xut bn vi tng
s s lng 77 trang. Giai on sau nm 1973, Hot ng kinh t bt u cng thng do c sc
gi du v cc cuc chin tranh Iran-Iraq nm 1982; s tht bi ng ch ca cc ngn hng
bao gm Herstatt vo nm 1974. Tuy nhin, ti thi im , y ban Basel cha bao gi cng
khai a ra cc ti liu t vn.
3.2. 1987 1998 BASEL I (t ci tin th 2 )
Cc t iu chnh th hai bt u vi vic cng b phin bn t vn cho 'Basel I' (bcbs3a;
ngy 01 thng 12 nm 1987). Basel I gii thiu cc t l vn c bn an ton lm nn tng cho
cc quy nh ri ro ngn hng. Ban u n l mt t l vn ngn hng o lng tng ti sn
iu chnh ri ro (risk-weighted assets) ch dnh cho ri ro tn dng. Vn c nhng sa i sau
khi cc ti liu ni ting ca 'Basel I " c xut bn vo 01 Thng by 1988 (bcbsc111). Sa
i l kt hp ri ro th trng, cng nh iu chnh cho thiu st ca Basel I (vo danh
sch quc gia c cng nhn c ri ro iu chnh l 0). Vic kt hp cc vn sau mt thm
10 nm, ch yu l lm cho Peter Cooke, ti thi im l Ch tch ca y ban Basel, ng
tho thun v m hnh c bn ca Basel I. Quan trng cn lu rng mc d Basel I l mt cch
tip cn ri ro c iu chnh c nh cho ri ro tn dng, cc quy nh ri ro th trng c
cho php s dng ri ro iu chnh th ni (s dng cc m hnh ni sinh). Trong t iu chnh
th hai ln u tin cp n vn v ri ro hot ng vo ngy 01 thng by 1989 (xem
bcbsc136 giy v "Ri ro trong h thng my tnh v vin thng ). Mc d nguyn tc qun l
ri ro hot ng c cng b vo ngy 01 thng 9 nm 1998, n khng c nh lng
nh trng hp ca ri ro tn dng v ri ro th trng khi sa i Basel I.
Cc hot ng v ci tin Basel I trong t iu chnh th hai thc hin trong mi trng
kinh t tch cc ng k (Trong t iu chnh u tin ch s S & P 500 tng 200% t 83
(1974) ln 236 vo nm 1986, trong khi t iu chnh ln th hai tng vt n 1085 trong

nm 1998, tc l gn 400%). Trong t iu chnh th hai 8 ti liu t vn c y ban Basel

cng b , nhng khng nhn c phn hi cng b cng khai. Giai on ny c trng bi vic
cng b 57 ti liu c 1.467 trang tng ng (S lng ln hn gn 20 ln) trong t iu
chnh th hai.
3.3.

1999 2008 BASEL II (t ci tin th ba)

Cc t iu chnh th ba bt u bng vic cng b vo ngy 11 thng mt nm 1999 v

quy nh vn mi, Basel II, bt u. Basel II c mt s s khc bit ln sa i ti liu
Basel I. N c thit k gii thiu m hnh ni b cho ri ro tn dng ( xp hng ni b da
trn - IRB - cch tip cn); n thm ph ri ro nh lng cho ri ro hot ng. Basel II cng gii
thiu Pilla-framework ni Pillar I gi vng cc yu cu vn ti thiu, Pillar II - mt nh gi kt
qu gim st ca Pillar I ( Ph Pillar II thng cao hn Pillar I v kt hp thm ri ro , nhng
thp hn nhiu khi cc ngn hng bt u c php li ch a dng ha; cuc khng hong
2007-09 l mt l do c s dng bi cc nh qun l hy b kh nng tnh ton cc li ch
a dng ha; Pillar II vn l mt mng hon ton cn thit v sc mnh ca vic xc nh yu cu
v vn chuyn i t c quan qun l cho cc ngn hng khi m hnh IRB c y quyn) 8, v
Pillar III tm tt phng php cng b thng tin. Do qu trnh tham vn v sa i cc t
iu chnh ko di cho n y ca cuc khng hong 2007-2009 trn th gii. V vy, n gi
gn s cn thit phi sa i m hnh ri ro th trng, ngoi nhng iu khc bao gm cc thnh
phn c bit o lng ri ro th trng n gin (bnh thng, trng thi khng khng hong
ca nn kinh t).
Cc t iu chnh th ba trong iu kin ca mi trng kinh t hn lon nht. Trong thi
gian 1999-2008 S & P500 dao ng trong khong 1000-1500 i ph vi nhng hu qu tiu cc
ca cuc khng hong chu nm 1997 v 1998 Nga v n, n nm 2001 khng hong bong
bng dotcom , nm 2007 th chp CDO gim mnh. Tuy nhin y ban Basel xut bn 155 ti
liu, hoc 7.168 trang trong t iu chnh th ba, nhiu hn 3 ln so vi ln iu chnh th 2,
mc d t ci tin quy nh c th so snh theo chiu di thi gian (c hai ko di 10 nm).
ng ni rng chnh xc trong t iu chnh th ba, y ban Basel bt u xut bn cc
kin nhn c trn cc ti liu t vn (cc bnh lun u tin c cng b i nghin cu
t vn ln th 2 Basel II, CP2, ngy 16 thng 1 nm 2001). Tuy nhin, xut bn kin khng

8 Tc gi cm n cc nh ph bnh n danh v lp lun v s quan trng, tnh cht c bn ca Pilar II.

10

phi l mt hot ng thng xuyn. V d, trong tng s 43 bi bo m ly kin ca y

ban Basel trong t iu chnh th ba l ch ly 9 kin trong s .
3.4.

2009 2011 BASEL III (t iu chnh th t)

Cc t iu chnh th t c dnh cho 'Basel III' c a nh mt phng thuc v

mt phn ng vi cuc khng hong 2007-2009. N bt u vo ngy 01 thng mi hai nm
2009 khi ti liu t vn u tin ca Basel III c cng b (bcbs164). Basel III mang li nhiu
i mi quy nh ri ro ngn hng. u tin, n c xut nh lng ri ro thanh khon. Th
hai, vn c xc nh li; vn b sung c gii thiu. Th ba, t l vn khng iu chnh
c gii thiu c theo di song song vi t l ri ro c iu chnh. Th t, cc quy tc
thng nht v tin cng ca nhn vin kim sot ri ro c xut.
c gii thiu vo nhng thi im kinh t suy thoi t iu chnh th t c thc
hin km theo xu hng tng ca th trng v S & P 500, tng trng 33% , t 948 nm 2009
ln 1267 vo nm 2011. Mc d trong thi gian ngn (3 nm) , trong t iu chnh th t 83 ti
liu c y ban Basel cng b, tng cng l 3414 trang, ch yu l mt na s lng ti
liu c sn xut trong giai on th ba, mc d n ko di t hn 3 ln ( 3 nm thay v 10).
Bnh lun xut bn trong t iu chnh th t tr thnh mt quy tc ca y ban Basel.
Nh vy ch c 2 trong s 21 kin ti liu t vn cho khng c cng b cng khai, k c vic
m thanh thc cho cc m hnh v kim nghim ri ro tn dng i tc (bcbs171; ngy 01 Thng
4 nm 2010) v cc nguyn tc ct li cho h thng bo him tin gi hiu qu (bcbs182; ngy
01 thng 11 nm 2011)
3.5.

2012 2014 Post-Basel III (Quy nh th 5)

Basel III c hon thin ch yu l v cc yu cu ti thiu v thi hn thc hin (Cho quy
ch ri ro thanh khon), nhng nm gn y c nh du bng mt s xut m vn khng
c kt hp vi Basel III v Basel III vn l cun tiu thuyt nh hng sau ny. l l do ti
sao n c cho rng t iu chnh th nm phi c tch ra.
t iu chnh th nm chnh thc bt u t khi cng b cc bi bo t vn v vic sa i
cc phng php nh ngha cun sch kinh doanh v o lng ri ro th trng tng ng
(bcbs219; 3 Thng nm 2012). Cc t iu chnh c c trng bi nhng thay i ng k
trong mt s lnh vc khc, bao gm c nhng lnh vc sau y: Gii thiu v qun l thanh
khon trong ngy (bcbs225; ngy 02 thng by nm 2012); sa i ph vn i vi qu trnh c
phiu (bcbs236; Thng 12 18, 2012); thm ph vn cho bo v tn dng mua, CDS (bcbs245; 22
thng ba nm 2013); sa i cch tip cn qun l ri ro tn dng tp trung (bcbs246; ngy 26

11

thng 3 2013); sa i cc tiu chun cng b thng tin i vi hu ht phm vi c s theo di

ca nhng i mi Basel III (bcbs286; 24 thng 6 nm 2014); thay i cch tip cn nh
lng ri ro hot ng (bcbs291; ngy 06 thng 10 nm 2014).
Cc t iu chnh th nm cng c mi trng kinh t thun li vi S & P 500 tng thm
50% so t 1267 trong 2011 ln 1906 trong nm 2014. Cc t iu chnh c so snh vi trc
v s lng ti liu c xut bn. y ban Basel xut bn trong 2012-2014, 111 ti liu khc vi
tng s trang l 3852.
t iu chnh th nm c khc bit tch cc so vi bn t iu chnh quy nh trc l
phn bnh lun tr thnh mt phn bt buc khi xut bn, v d tt c bnh lun 9 ca 27 ti
liu t vn u c sn trn web.
4.

THC T CC TI LIU V QUY NH QUN L H THNG NGN HNG

C CNG B BI Y BAN BASEL

Nu ai mun c c mt ci nhn su sc v tnh trng hin ti ca quy nh qun l h
thng ngn hng v hiu c nhng g qun l n tnh trng hin ti, nhng thc t cc ti
liu sau y th cn thit c c nhng i din nh lng u tin ca ch . Di y l
cc phn nh ca phn 4 c tn ca thc t cch iu quan st.
4.1. y ban BASEL cng b 453 vn bn trong 40 nm
Trong thi gian 1974-2014 y ban Basel cng b 453 vn bn, trong c 109 nghin
cu t vn, 197 vn bn chnh thc, 43 ti liu QIS, 49 bo co, 12 tr li cho cu hi thng
gp, 26 bi vit khoa hc ang nghin cu10, 1017 bn tin. Ch c mt nghin cu trong lch s
ca y ban Basel c gi l 'nghin cu tho lun' (bcbs258; ngy 08 thng 7 2013) dnh cho
"Khung php l: cn bng nhy cm ri ro, s n gin v tnh so snh". Tuy nhin, c
mt giai on t vn a ra nghin cu , n c t l loi nghin cu t vn ( bit
thm chi tit, xin vui lng, hy tham kho Bng A.1). Mt iu c th ch , ch c mi nghin

9 Tnh n thi im chun b khng th kt lun ch c 7 loi ti liu c a ra nhn kin tham
kho trong nm 2015. V vy, trong tng s 34 ti liu t vn trong t iu chnh th nm c 7 ti
liu c tr vo tng s cho mc ch ca vic tnh ton bnh lun (comments cho nhng ngi cha
c).

10 y ban Basel vo cui nm 2014 xut bn 27 bi nghin cu. Tuy nhin, bi nghin cu s 11
v s cp n ti sn m bo c phn loi l mt bi nghin cu (khng hot ng) t vn l
thi hn cui cng ly kin c thit lp ngy 20/12/2002 v 22 kin thu c.

12

cu th hai c lm sn cho vic t vn v trung bnh (s lng nghin cu chnh thc v t

vn tng ng l 197 v 109).
Tng s trang c xut bn bi y ban Basel trong 40 nm vt qu 16 k. y l nh hn
so vi s trang ca nh u t CDO-squared theo c tnh ca Andrew Haldane [Haldane
(2009), p. 21], ni n tng ng vi 1,1 t trang cho mi nh u t CDO-squared. Tuy nhin,
thm ch 16 k trang ch yu l khng th c c bi mt ngi s dng mc tiu trung bnh
(ngn hng thng mi hoc iu chnh). iu ny ng hiu sai quy nh, s phc tp ca n,
s khng nht qun v nhng khong trng ca n, s c ch ra mt cch chi tit hn di
y.
Khi xem xt cc quy nh nu trn v cc quy nh qun l h thng ngn hng c sn
xut bi y ban Basel, ngi ta s thy rng khi lng cng b trn cc trang theo xu hng
ca cc hot ng kinh t t quan im rt chung chung. Ngi ta c th nhn vo hnh 1 quan
st co-dependence cp v s lng trang c xut bn bi y ban Basel v gi tr S & P 500.
Nhn vo s phn tn Biu 2 so snh s lng cc trang c xut bn bi y ban
Basel mi nm vi thay i hng nm trong S & P 500 mt nm sau , c th lp lun cho mi
tng quan dng , mc d khng c ngha thng k c s lng thp quan st hng nm
(R-squared trnh by trn biu l mt h s tng quan cho hai bin; R-squared cho d liu
hng nm tng ng vi 9%). Nu mt ngi nhn vo d liu hng qu, tnh hnh l ch yu
khng thay i vi R-squared gim n 3%, l khng ng k v mt thng k.
Cc quan st thy t biu 1 v Biu 2 (gi) ng ph thuc c th dn n li takeaway rng quy nh ca y ban Basel c th gy ra cuc khng hong kinh t. Logic s l nh
sau. Sau khi ti liu quan trng c cng b (v d nh Basel I, Basel II, Basel III), c mt s
suy gim trong hot ng quy nh v cc tc nhn kinh t c th chp nhn ri ro b sung m
vic i km vi khi lng quy nh mi c cng b thp s kt thc vi gi tr S&P 500 mt
im v thp i. L do thay th c th c tm thy ti Goodhart (2011a) khi ng gii thch rng
i th Basel I c gng chng minh rng cuc khng hong nm 1992 M c thc
y bi Basel I v n c thc hin chnh xc khung thi gian mt s nm sau: nm 1988
overconstrained cho vay thng qua mt t l vn iu chnh ri ro mi. Tng t artificial
logic c th c p dng i vi Basel II l cuc khng hong nm 2007 bt u sau khi
phin bn cui cng ca Basel II c cng b vo ngy 30 thng 6 2006 (bcbs128).

13

Tuy nhin, ngi ta

phi xem xt ba i

s h tr cc bng chng cho thy y ban Basel

quy nh qun l ngn hng khng th bao hm s khng hong.

Th nht, nh c cp trn, vic o lng s ph thuc khng c ngha thng k.
Nu mt ngi mun a ra mt sn phm c ngha thng k mnh m hn (vd kim nh
nhn qu Granger), phi tm nhng quy nh cho ngn hng theo sau cc hot ng kinh t. y
l mt kt lun ging nh s i mi quy nh c c tho thun v thng qua sau khi
cuc khng hong hoc RR v n ngn hng lm sng t v thiu st nht nh.
Th hai, i vi Basel I Gio s Goodhart [Goodhart (2011a), p. 192] cho rng l kh
Th hai, i vi Basel I Gio s Goodhart [Goodhart (2011a), p. 192] cho rng l kh khn
khi quan st thy vic gim cho vay tch cc hiu ng pha cung (c qun l bi RR mi v
iu chnh vn) ra khi pha cu11. V vy, mi quan h nhn qu trc tip ca Basel I v cuc
khng hong sp ti l khng hp l.
Th ba, khng ng khi li cho Basel II v vic dn n cuc khng hong nm 20072009 khi cc ngn hng M (c lin quan n ngun gc ca cuc khng hong) khng p dng
Basel II, nhng khng c khng nh bi Cc D tr Lin bang; v Basel II chnh n tha
thun chuyn tip trong ba nm tip theo thit lp tng vn 80-90% ca cp Basel I ci m khng
11 (11) "... l Basel I chu trch nhim v cuc khng hong tn dng 1991-1992?Khng c cuc tho lun r rng trong BCBS
v cu hi liu c th l do hu qu kinh t v m ca vic gii thiu Accord; t nht l khng c g m ti tm thy, ngoi gi
nh rng ngn hng nm gi nhiu vn (v c bit l phng nga cc ti sn ri ro) s bo v tt hn m bo c s tht bi
ca c nhn v h thng, v do n nh v ci thin nn tng v m. Xem xt li quan im ny c gi l qu trnh suy thoi
ca 1991-1992, c bit l s suy thoi kinh t M ... iu ny xy ra ch cui ca giai on chuyn tip, khi tt c cc ngn
hng phi m bo lng vn ca h tng ln, v trn, Accord [Basel I Capital Accord 1988] yu cu ... Nu h [cc ngn
hng M] khng th tng vn (t s), cch duy nht nng cao t l vn ca h s phi ct gim cho vay (mu s). V vy mt
s tin tng, v trnh by bng chng, rng c mt Basel gy ra "khng hong tn dng M trong 1991-1992, qua o su
suy thoi. Vn l suy thoi kinh t t h thp nhu cu vay vn, v n l v cng kh khn xc nh, v tch bit, hiu ng
nhu cu t cc hiu ng ngun cung b sung (nu c). "[Goodhart (2011a), pp. 191-192].

14

cho php cc ngn hng chu u nhanh chng mang nhiu hn ri ro sau khi cng b Basel II
vo nm 2006.
4.2. K t vn bnh qun c cung cp bi y ban BASEL khong vi 3 thng
Nh cp trn, y ban Basel cung cp 109 nghin cu tham vn cng ng
trong sut giai on 1974-2014. Khi xut bn mt nghin cu v mt giai on t vn c thit
lp bi y ban Basel. N c thit lp thng xuyn t t iu chnh th ba (the third
regulatory wave) ca Basel II. Trc ch c mt nghin cu m n c th theo di di ca
giai on t vn. y l mt bi nghin cu v gim st cc tp on ti chnh (bcbs34; 1 thng
2 nm 1998) vi ln 131 trang kt thc t tham kho kin vo 31 thng 7 nm 1998.
i vi cc quy trnh tham vn thng xuyn cn li c th c gng xem xt liu c bt k
s ph thuc ca kch c trang bi nghin cu v di ca giai on t vn. V l do ny nn
nhn vo biu 3. N cho thy rng khng c s ph thuc ng k v mt thng k gia s
lng trang ca ti liu t vn c cung cp bi y ban Basel v giai on t vn.
Tnh trung bnh giai on t vn l 3 thng, hoc 90,3 ngy, vi mc ti thiu l 24 ngy
[nghin cu dnh cho vn ha ngn hng trnh by vi cc i tc trung tm (bcbs206; ngy 01
thng 11 nm 2011) vn vi 28 phn hi thu c] v ti a 183 ngy [nghin cu c t tn
l "M hnh ri ro tn dng: Thc tin v ng dng hin ti" (bcbs49; 1 thng 4 nm 1999) khi
cc kin khng c tit l].
4.3. Tng s kin nhn v cng b bi y ban BASEL tng ng khong 2290
Trong sut 40 nm, y ban Basel tip nhn v cng b cng khai 2.290 kin trn 109
ti liu t vn ca n. Mc d trong thc t, nhng kin ny ch c tip nhn trong 13 nm
gn y, cc kin u tin c cng b cp n phin bn ti liu t vn ln th hai ca
Basel II (CP2; ngy 16 thng mt nm 2001).
Bnh lun c phm vi rng t mt tin nhn gi t iPhone (v d xem Prasad Saurav bnh
lun cho nghin cu v kim ton ni b, bcbs210; 02 Thng Mi Hai 2011) n bo co di
150 trang (v d xem Hip hi cc ngn hng tit kim c hp nht cc kin vo nghin
cu t vn ln th hai trn Basel II, CP2, ngy 16 thng 1 nm 2001).
Trung bnh 22 kin c gi n trn mi ti liu t vn vi ti thiu 4 phn hi c gi
n ti liu v thc tin c iu chnh cho cc trng cao ng c quan st (bcbs276; ngy
23 thng 1 nm 2014) v ti a 272 kin trn cc ti liu Basel III v tng cng kh nng

15

phc hi ca ngnh ngn hng v trn khun kh quc t v vic o lng ri ro thanh khon,
cc tiu chun v gim st (bcbs164, bcbs165; 01 Thng 12 nm 2009).
Khng phi tt c cc kin u c cng b vi hnh thc ban u. C bn ti liu c
y ban Basel quyt nh trnh by tng quan hp nht cc kin, ch ghi ch bao nhiu
kin nhn c. Trng hp i vi cc nghin cu sau y:
-

Hng dn kim sot v vic s dng cc quyn chn gi tr hp l bi cc ngn hng

theo tiu chun bo co ti chnh quc t (bcbs114; 13 thng by nm 2005), 20 kin.

Thng tin Home-host chia s thc hin Basel II c hiu qu (bcbs120; 22 Thng 11

nm 2005), 11 kin.
nh gi ri ro tn dng (Sound credit risk) v nh gi i vi cc khon vay (bcbs121;

28 thng 11 nm 2005), 15 kin.

Nguyn tc c bn gim st Ngn hng hiu qu (bcbs123; 06 thng t nm 2006), 31
kin.

Khng phi tt c bnh lun c gi v cng b vi thng tin c nhn. V d, c ba ti liu

nhn c bn bnh lun v danh.
- Bo him th chp: C cu th trng, chu k bo lnh v chnh sch tc ng - ti liu t
vn (joint30; 11 thng 2 nm 2013), 1 bnh lun v danh.
- Tng cng kh nng phc hi ca ngnh ngn hng, Basel III (bcbs165; 1 thng 12 nm
2009), 2 bnh lun v danh.
4.4. Tng s ngi UNIQUE (T chc) gi kin ca h n y ban Basel l 853
Tng s 853 ngi bnh lun c nhn gi 2209 kin cho y ban Basel . Trung bnh mt
ngi (t chc) gi lch s nhn xt n ba ti liu t vn. Nu nhn vo TOP-50 nh bnh
lun, ta c th kt lun rng TOP-50 nh bnh lun ch chim 6% trn tng s c nhn bnh lun,
nhng h gi 849 bnh lun, chim 37% tng s bnh lun (v chi tit ca TOP-50 bnh lun,
xin vui lng, hy tham kho Bng A.3).
Bn ngi bnh lun tch cc nht gi 12 hn 30 kin trn 3 ti liu . l nhng hip
hi ngn hng t Php (41 bnh lun), Canada (41 bnh lun), Nht Bn (40 bnh lun), v Hng
Kng (33 bnh lun).

12 Cc ngng c la chn mt cch ch quan s chnh lch gia s lng bnh lun gi i l
ln nht, i. e. gia nh bnh lun th 4 v th 5 chnh lch nhau 5 kin, trong khi gia 5 v 6 ch c
mt nhn xt.

16

4.5. T l tng th ca nhng ngi bnh lun khu vc t nhn tng ng vi 12%
tng s lng gi 7% ca tt c cc bnh lun13
Tt c cc bnh lun c th c ch nh mt loi ty thuc vo ngh nghip chuyn mn
hoc s lin kt ca h. Nhng ngn hng thng mi, hip hi ngn hng, cc hip hi v cc
lin on khc, c vn chuyn mn (kim ton, t vn, cng ty xp hng), mt s t chc tp
trung (h thng thanh ton, chng khon, bo him), chnh quyn v nh sn xut.
c bit gii thch s tn ti hai nhm ngi: chnh quyn v nh sn xut. Cc nh chc
trch bao gm cc ngn hng trung ng, cc B, c quan khc ca Nh nc v Ngn hng Th
gii v Qu Tin t Quc t, hai nhm cui sau c ti tr bi chnh quyn tiu bang.
Nhm sn xut bao gm cc cng ty hoc lin quan trc tip hoc lin quan mt thit n
vic sn xut xe t (e. G. Daimler), my bay (e. G. nhm lm vic Lufthansa, Aviation), tu (e.
G. Danish Ship Finance), du (e. G. Shell), cc thit b khc (e. G. Siemens). tm tt cc lp
lun ca nhm nh sn xut da vo hai loi chnh: cc cng ty quan tm hoc l mun cc mt
hng chc chn c cng nhn l ti sn th chp (v d nh my bay), hoc l la chn s
thun li (tc l chi ph vn thp) cho cc hot ng cho thu (v d nh cho xe t, d n di
hn). Nhng bnh lun c xem xt khi loi hnh cho vay c th c pht trin nh l mt
kiu rt khc bit ca cho vay bao gm ti tr d n (i vi cc khon u t di hn nh cy
du vv) v i tng ti chnh (i vi thu xe t, tu, my bay).
Bng A.5 cho thy rng nhng ngi bnh lun v nhng bnh lun hu v cng tc ngn
hng hoc l n t cc ngn hng hoc l hip hi ngn hng. V vy, kt qu t 46% ca tng
s kin, ng thi ch t 25.6% tng s ngi bnh lun. Nhng bnh lun t cc vin nghin
cu (c d kin s c thin v nhiu hn) v cc c nhn khc (i khi ngi ta khng
t mt cch r rng lin kt ca h khi cho kin) ch ng gp 7% tng s kin l 12.2%
tng s ngi bnh lun.
4.6. i din 83 nc gi kin ca h n y ban Basel
i vi mc ch nghin cu tng nh bnh lun c ch nh mt nc c tr hoc l da
vo v tr ca tr s14 hoc l m quc gia ca s in thoi lin lc. Kt qu l 2209 bnh lun
n t 853 nh bnh lun c o c ngun gc t 83 nc trn th gii (xin vui lng, hy tham
kho Bn 1).
13 Tc gi xin cm n ngi xem n danh xut s phn ly th v ny (this interesting
decomposition) so snh li ch vn ng hnh lang

17

83 quc gia ny i din cho 32% tng s cc quc gia trn th gii, nhng chim 94% GDP
ca th gii. Mc d ngi ta c th mong mun kt lun rng hu ht cc hot ng kinh t th
gii l nhn thc ca nhng thay i trong quy ch ngn hng v tch cc tham gia trong vic
nh hnh n thng qua vic gi kin. Tuy nhin, y khng phi l mt thc t, nhng quc
gia thuc top u (m mi ngi hay t chc gi hn 100 kin) l Hoa K (516 kin),
Vng quc Anh (317 kin), c (182 kin), B (152 kin), Nht Bn (104 kin), v
Php (102 kin). Su nc ny ng gp ch 42% GDP th gii gi 63% tng s bnh lun.
Nh ta c th nhn thy l cc nc c ngun gc l thnh vin ca y ban Basel t khi thnh
lp vo nm 1974.
Nu mun kim tra gi thuyt liu rng quy m ca hot ng kinh t hay trnh pht trin
kinh t ci b ph thuc vo tn sut15 kin gi, biu 4 v Biu 5 nn c phn tch.
Ch bn s lng cc nhn xt da trn GDP v GDP bnh qun u ngi nh l proxy
theo tha thun cho mc pht trin kinh t. S hn ch 16 ca cch tip cn nh vy l y ban
Basel chnh cc quy nh ca n cho cc ngn hng hot ng quc t v khng cho nn kinh t
quc gia ni chung. L mt phn m rng nghin cu ngi ta c th mong mun tng quan
nhng bnh lun vi s lng cc ngn hng hot ng quc t trong khu vc. Ngoi s vng
mt ca mt danh sch chnh thc ca cc ngn hng hot ng quc t mi nc, ta nn cn
thn trong vic xc nh cc t chc nh vy (e. G. Ngi ta phi tr li liu rng mt ngn hng
14 i vi trng hp phc tp ni (residence) ca nh bnh lun d nhn bit nht (easily
identifiable commenter) (nu nhiu) c s dng, e. g. c kin v bi nghin cu t vn th hai
(CP2; 16 Thng Mt 2001) v th 3 (CP3; 29 thng 4 nm 2003) trong Basel II t cc nhm ang lm
vic lnh vc hng khng (Aviation working group). Nhm bnh lun lm vic lnh vc Hng khng
c k kt bi ngi ng u ca Airbus v Boeing. Nh hng sn xut Airbus c t ti mt s
nc chu u, ni c tr ca nhng nhn xt chung c giao cho Hoa K v tnh c o ca Boeing.
Nh ta c th thy cc con s trong Bng A.4 trong Ph lc, mt s v vic phc tp khng th thay
i ng k s c cc kin tng th 'ca cc quc gia.

15 Ngi ta c th lp lun rng s lng cc kin cng nh s lng cc trang trong cc bnh lun
v / hoc trong cc ti liu l ngoi vi (peripheral) cht lng ca nhng kin v ti liu. Mc d cc
i s l ng, khng c proxy o chnh xc v / hoc cht lng ca cc kin v cc ti liu. Thc
t l nhn xt c th khng c a vo ti liu khng c ngha l n v ch. Cc bnh lun c th
sai hoc trnh by khng r rng, n khng phi l thi gian hiu v chia s nhng nhn xt. Ngc
li cng ng. Nu nhn xt c thnh lp, n khng c ngha l n l chc chn ng. N c ngha l
ngi qun l v nh bnh lun c cng tm nhn v c th hiu nhau, v hn na c s ng ln
nhau. l l do ti sao s lng kinv cc trang l mt proxy tt nht th hai o lng cp cao
cc lnh vc quy chun ngn hng. Phn tch cc ni dung vn bn (c a ra gii hn ca bi bo)
s c a ra trong mc 5.

16

Tc gi nh ngi xem n danh v s ch n nhng hn ch ca nghin cu ngn hng khi s dng GDP.

18

hot ng nc lng ging phi c coi l mt hot ng quc t mt hay khng). Mi lin
h vi s lng cc ngn hng hot ng quc t ri ra khi phm vi ca nghin cu hin nay.
C

th
nhn
thy
t
biu

4,
c hai ngoi l: Hoa K sn xut
GDP ln nht th gii vi 17 nghn t USD v l ngun gc ca s lng ln nht th gii v
cc bnh lun (516) gi v c cng b bi y ban Basel; v Trung Quc vi GDP khong 9
nghn t USD v l ngun gc cho s lng bnh lun thp hn rt nhiu (28). Mc d b gii
hn trong cc quan st (83 quc gia ang xem xt), ta c th gi nh c s ph thuc tch cc
ca quy m hot ng kinh t quc gia (s lng tng GDP) v s lng cc bnh lun gi n
y ban Basel (ta c th thy mt bin php tng quan - R-bnh phng - tng ng vi 62%
trn biu 4).
Biu 5 cho thy mt bn GDP bnh qun u ngi l thc o ca mc hot ng
kinh t v s lng bnh lun gi v c cng b bi y ban Basel. Nh ngi ta c th
nhn thy t biu 5, khng c s ph thuc ng k v mt thng k gia mc hot ng
kinh t v s lng cc kin c gi t quc gia c th (R-bnh phng l ch c 5%).
Worth gii thch l nhng gi tr ngoi lai quan st. Nu tng s bnh lun ln nht l Hoa K v
Vng quc Anh, th nc c GDP bnh qun u ngi ln nht (mt trong s nhng nc gi
nhng bnh lun) l Monaco vi GDP bnh qun u ngi tng ng 163 nghn USD trn
u ngi v ch mt bnh lun gi trong lch s [n l mt nhn xt t Experian-Scorex trn
nghin cu t vn th ba ca Basel II (CP3; ngy 29 thng 4 nm 2003)].

19

5.

N
QUAN

NH

QUY

QUN

H THNG
NGN HNG

BI

WORKSTREAMS.
Sau khi cung cp

nhng

m t ca nm sng iu
chnh
ca cc hot ng y Ban Basel v quy ch

trong qu trnh pht trin ca

ngn

hng

trong khong thi gian 1974-2014 v c a ra

ci nhn tng quan v s lng ngn ngi ca n, phn hin ti tp trung vo quy ch v s pht
trin ngn hng mi workstreams.
Khi nghin cu cc n phm ca y ban Basel c xut bn trong 1974 - 2014, sau y

20

cc workstreams c xut l17.

1 Quy nh ri ro tn dng;
2 Quy nh ri ro th trng;
3 Quy nh ri ro hot ng;
4 Quy nh ri ro thanh khon;
5 Tp hp ri ro v xc nh ngun vn
6 Cc vn qun tr doanh nghip;
7 Cc kin ngh cho nh gim st;
8 Cc vn minh bch thng tin;
9 Cc vn khc
Cc phn ph di y c sp xp nh sau. u tin, s kin quan trng v cc n phm
ca workstream tng ng c trnh by ( bit chi tit, xin vui lng, xem Bng A.1). Th hai,
cc thnh phn workstream theo ch c a ra. Th ba, cc giai on tin ha quan trng
m l ng ch cho workstream t quan im ca 5 quy nh c tho lun (i vi mi lin
kt xut bn phm ca workstreams v sng iu tit, xin vui lng, hy tham kho Bng A.2).
5.1. Quy nh ri ro tn dng;
Quy nh ri ro tn dng kt hp cc s ln nht ca n phm (94) vi tng tr gi ti 2.855
trang. Ri ro tn dng tch cc pht trin hn trong t iu chnh th ba v th nm ca
Basel II v sau Basel III. Cc workstream c s lng ln nht cc bn tin c lin quan xut bn
(9 trong s 17). Tng s n phm bao gm 23 t vn, 41 chnh thc, 11 bi working paper v
nhng th loi khc. nhn mnh tm quan trng 18 ca lnh vc s cp n ta thy n chim
21% tng s ti liu v 18% ca tng s trang c xut bn bi y ban Basel.
Cc workstream quy nh ri ro tn dng lin quan n ti sn s sch ca ngn hng v bao
gm cc vn nh quy nh ri ro tp trung, vn chng khon ha, chuyn giao ri ro tn
dng, vn k ton, o lng ri ro tn dng i tc, o lng ri ro cho cc phi sinh tp trung
17 Hu ht trong s h trng khp vi cc nhm lm vic v cc lc lng nhim v
hin hnh ca y ban Basel, nhng v sau khng cng b cng khai xp hng bi
cc tc gi xut c s dng.
18 Cc tc gi tha nhn ngh ca ngi xem n danh chng minh mt cch
r rng tm quan trng ca khu vc ny bng cch trnh by phn ng gp vo
tng s vn bn v cc trang

21

v phi tp trung, nh gi m hnh c bn xp hng ni b (IRB), chi ph vn cho ri ro c phn

trong s sch ngn hng, cc khuyn ngh cho vic o lng cc thnh phn ri ro IRB (ri ro v
n, EAD, tn tht v n, LGD), k thut gim thiu ri ro tn dng (CRM), s lin kt gia vic
o lng mc l d kin vi cc quy nh, cc trng hp c bit ca vic iu chnh ri ro.
Quy nh ri ro tn dng c bn c gii thiu u tin khi pht trin Basel I. Bn lp
ti sn c xut vi nh ngha iu chnh ri ro: tri phiu chnh ph (0%), cho vay
lin ngn hng (20%), th chp (50%), v nhng iu khc (100%). u tin m hnh ni b
c thc hin sau khi Basel I cng b, khi m cc bi nghin cu v m hnh ri ro tn dng
(bcbs49) c xut bn vo thng T nm 1999. Sau cc tng v xp hng c bn ni b
(IRB) tip cn c lnh vc mi trng php l. Cch tip cn IRB bao gm nm thnh phn
ri ro: xc sut v n (PD), tn tht v n (LGD), ri ro v n (EAD), k o hn hiu dng
(M), quy m da vo doanh s phn bit vi cc doanh nghip va v nh (SMEs) (S). Vic
s dng cc thnh phn ri ro c m t trong ch gii (irbriskweight; 01 thng by nm 2005).
iu quan trng l phi nh rng s tip cn IRB c da trn cc m hnh l thuyt ca mt
hn hp ca phn phi chun ln u tin c gii thiu trong Vasicek (1987), i. e. 12 nm sau
khi pht hin l thuyt. Cc mc tin cy cho cc m hnh s dng IRB l 99,9%.
Cch tip cn IRB c da trn mt m hnh cc yu t ri ro duy nht gi nh rng (a) c
mt yu t ri ro h thng; (B) cc thnh phn ri ro (.. E g PD v LGD) l c lp; (C) danh
mc cho vay l v cng k lng. Nh c th hin sau khng c gi nh nm gi, e. g.
Gordy v Ltkebohmert19 [Gordy, Ltkebohmert (2013)] cho thy danh mc chi tit hu hn cn
iu chnh chi ph vn; Folpmers (2012) c bng chng v mi tng quan PD-LGD l tch cc;
iu chnh yu t a ri ro c th hin trong Pukhtin (2004).
Tuy nhin, n c xut s dng cng thc IRB quy nh vi nhng hn ch nu trn
c gi trong tm tr. Cng thc t n c th b sai do d liu u vo (PD, LGD, EAD, M, S)
v chc nng tng quan (R). Thng s S cho php iu chnh chc nng tng quan v gim
chi ph vn khi cho vay i vi DNNVV.
Basel III (bcbs164; 1 thng 12 nm 2009) quy nh v gii thiu cc iu chnh cho t chc
ti chnh ng vai tr quan trng trong h thng (SIFIS) bng cch nhn thm 1,25 nhn trc
chc nng tng quan hm nng chi ph vn khi cho vay vi SIFIS. iu quan trng l gii
19 bit thng tin Ltkebohmert cung cp kin bi bo Basel III (bcbs165; ngy 1 thng 12
nm 2009) cng vi Ebert

22

thch ngha ca s nhn. N phi c s dng bi cc ngn hng cho vay i vi SIFIS,
khng nht thit phi l SIFIS chnh h. SIFIS c yu cu ring bit c vn cao hn (chi
tit xem phn 5.7). Bn cht ca quy tc (h s 1,25) l nhng ngi cho vay vi SIFIS nn c
vn cao hn tt c cc th khc bng nhau, trong khi tng ca vn b sung lm vt m cho
SIFIS l ci m chnh SIFIS nn c vn cao hn. T mt quan im h thng kinh t cn bng
(ng) ngi ta c th nghi ng v s cn thit ca c hai yu cu ng thi hoc l ngi cho
vay tng vn vi gi nh ri ro cao hn ca SIFIS, hoc l SIFIS gi vn cao hn v c kh
nng v n thp hn ng khng cn cho cc nh tn dng ca n cung cp d tha vn, khi
cho vay cho SIFIS.
Thng s IRB nn c c tnh theo chu k kinh t hon ton theo Basel II. Tuy nhin,
nh ngha chu k khng bao gi c gii thiu. C mt tng yu cu c ca s d liu khng
di 5 nm cho PDs, v 7 nm cho LGDs. Tuy nhin, khi xem xt Basel III (bcbs164; ngy 01
thng 12 nm 2009), ngi ta c th tm thy mt ngh thng nht da trn t s tn dng trn
GDP20. V th xut s dng cng mt proxy cho chu k kinh t nh trong Basel III vi mc
ch pht trin m hnh Basel II IRB.
C ba loi nghin cu lin quan vi vic xc thc cc thng s IRB: nghin cu v thm
nh (bcbs_wp14; 01 Thng 5 nm 2004); cp nht vo thm nh (bcbs_nl4; 01 thng 1 nm
2005); thm nh ca danh mc u t v n thp (LDP) 21 (bcbs_nl6; 09 thng mt nm 2005).
l khuyn co rng cc tiu ch nh lng v nh tnh nn c s dng nh gi vic
thc hin m hnh thnh phn ri ro.
N cng khuyn ca y ban Basel m ngn hng chy thm nh thng xuyn, t nht mi
nm cho mi m hnh. Mc tiu ca tin trnh l gi cho m hnh cp nht v i n cc c
tnh phn ri ro chnh xc.
Ngi ta c th quan st rng khi thnh phn m hnh ri ro l thng xuyn c nh gi,
kt qu chc nng tng quan t m hnh Vasicek khng thay i. nht qun v chnh xc
trong d ton chi ph vn (khng ch l thnh phn ri ro - i e u vo -.. Tnh ton), iu cn xc
20 T l c xut l khng ti u nh lp lun ca Repullo v Saurina (2012). Repullo v Saurina
bin minh cho tc tng trng GDP phc v mt proxy ng tin cy hn o chu k kinh t

21 bit thng tin nh th no c tnh xc sut mc nh (PD) cho danh mc mc nh thp, xin
vui lng, xem giy t do Tasche [Pluto, Tasche (2005)], [Tasche (2013)]. ng ni rng trong nm 2001
Tasche cung cp kin ca mnh cng vi C. Acerbi thay mt Abaxbank n bi bo t vn ln th hai
v Basel II (CP2; ngy 16 thng 1 nm 2001)

23

nhn v ln lt cp nht hoc sa i cc chc nng tng quan, nu cc thng s c bn c

th hin bin ng ng k t nm ny sang nm khc.
c bit tp trung ri ro c mt v tr c bit trong quy nh qun l ri ro v qun l ri ro
tn dng, c bit. Cc bi bo c lin quan u tin c xut bn vo thng 1 nm 1991 dnh
cho vic o lng v kim sot ln v n (c121; ngy 01 Thng Mt 1991). Nguyn tc tp
trung ri ro (bcbs63; ngy 1 thng 12 nm 1999) c pht trin ch tm nm sau . Tuy
nhin, cui cng (phin bn ton din) bi bo Basel II (bcbs128; 20 thng 6 nm 2006) vn
cha c chi ph r rng v ri ro tp trung.
Khi qun l ri ro tp trung, c hai cch tip cn chnh: hoc l ri ro ti a c gii hn,
hoc l ngn hng b pht v vt qu mc tp trung. Nh cp bi gio s Goodhart
[Goodhart (2011a), p. 391], cch tip cn trc y c la chn trong lch s (theo kin
ca ti, n l d dng hn theo di ch khng phi l mt th hai) l "mt gii hn thch hp
cho ri ro duy nht s nm trong phm vi 10-40% tng s vn, vi 25% l mt im trung tm
a thch [nm 1990] ".
Lin minh chu u quy nh t mt trn cho ri ro ti a. Nu ri ro l vt qu, vn d
tha lin quan c tr vo vn hin ti. Nh vy chnh lch c cho php, nhng n cn phi
c ti tr bng ngun vn hon ton22. Trong t quy nh Post-Basel III (hn ch) cch tip
cn tp trung ri ro c xut thc hin (bcbs283; ngy 15 thng t nm 2014), ri
ro c gii hn trong 25 % vn (CET1; xin vui lng, xem mc 5.5 bit chi tit), ngoi tr
khi vic cho vay ca SIFIS (n c gii hn 15% ca CET1).
Mt s bn tin m tham kho quy nh ri ro tn dng quy nh ngoi l nht nh t cc
nguyn tc chung. V vy, nhng cp n iu chnh ri ro s bao gm ti sn c th nh sau:
- C s Ti chnh Quc t v tim chng (bcbs_nl10; 10 thng 1 nm 2006);
- Cc bo lnh u t a phng (bcbs_nl15; 05 thng mt nm 2010);
- C ch n nh chu u (bcbs_nl17; ngy 03 thng mt nm 2014);
- Qu bnh n ti chnh chu u (bcbs_nl17; ngy 03 Thng Mt nm 2014);
Trong trng hp ti sn khng ri vo s sch giao dch (g.e. v tr c quyn giao dch
trong c phiu), v n thuc lnh vc c bit s sch ngn hng c p dngnu khng c
m hnh c bit IRB c pht trin bi t chc ti chnh cho vic phn loi ti sn. Nguyn
tc chung ca Basel II (bcbs128; 30 thng su 2006) khi vic xc nh chi ph vn cho chng
22 Tc gi xin cm n nh ph bnh v danh lm r v quy nh ca EU.

24

khon trong s sch ngn hng l s dng 300% c phiu nim yt iu chnh ri ro v 400%
- cho c phiu khng nim yt. c bit t quy nh Post-Basel III ng k mt ti liu mi
sa i cch tip cn ri ro vn c phn (BCBS 266; 13 thng 12 nm 2013).
Ch c bit c dnh do y ban Basel l vic chuyn giao ri ro tn dng thc hin
thng qua bo lnh vn vay v chng khon ha. cp n u tin l vo u nm 1992
(bcbs10a; 01 Thng 9 nm 1992), sau l mt khong dng mi nm cho n nm 2001 v
nm 2002 (WP10 v WP11; 01 thng 10 nm 2001 v ngy 01 thng mi nm 2002, tng
ng) vi mt phin bn c xut trong 2004 (bcbs105; ngy 1 thng 1 nm 2004). Sau
tip tc tho lun t 2004-2008 di tiu l chuyn giao ri ro tn dng trong phn din n
(joint21; ngy 31 thng 7 2008). V n c th chp (CDO-) v gi ti sn m-Thng mi
(ABCP-) gy ra cuc khng hong 2007-2009 cho thy tm quan trng ca lnh vc chng
khon ha c hi sinh trong y ban Basel vo nm 2012 vi ti liu t vn cui cng c
cng b vo nm 2014 (bcbs269 ; 19 thng 12 nm 2013). 29 kin c gi n cc ti liu
sau .
5.2. Quy nh ri ro th trng
Quy nh ri ro th trng c 43 n phm vi tng khi lng 1 362 trang. Hu ht cc
nghin cu c chia gia nghin cu t vn (16) v cui cng (22) [broken down in-between
consultative papers (16) and final (22)]. Ni dung ny c th c nh gi t hn ba ln so vi
ri ro tn dng, ch ng gp 9% tng s ti liu v 8% tng s trang c xut bn bi y ban
Basel.
Cc workstream cp n s sch kinh doanh (i. E. Tt c ngoi tr s sch ngn hng) v
bao gm cc ch nh nghin cu netting, o lng ri ro t gi v li sut, sa i Hip c
Basel (I, II, III).
T khi bt u o lng ri ro th trng v iu tit ngnh ngn hng cho thy s cn
thit phi s dng m hnh ni b (internal models) cho mc ch theo Goodhart (2011a;. P 564).
M hnh ni b cho ri ro th trng (trung bnh di ng hm m) ln u tin c gii thiu 23
nm 1989 ca JPMorgan v c gi l RiskMetrics [RiskMetrics (1996)]. V th, m hnh ni
b ri ro th trng cho cc mc ch quy nh c thng qua ch 7 nm sau khi pht hin l
23 RiskMetrics nh ngha v lch s ngn gn gii thiu ca n l hin c sn ti Wikipedia. URL:
http://en.wikipedia.org/wiki / RiskMetrics (truy cp 05 thng 11 nm 2014)

25

thuyt ca n n khi s sa i Basel I kt hp ri ro th trng c cng b (bcbs24; 1 thng

1 nm 1996). L mt trong nhng iu ng nh phi mt 12 nm cho m hnh Vasicek c
thng qua nh l m hnh ni b cho ri ro tn dng nhm mc ch bo m an ton.
Basel II cch tip cn thn trng i vi ri ro th trng l nh sau. Ngy nay, cc m hnh
ni b l Value-at-Risk (VaR)24. VaR c nhn 3 (hoc 4 nu kim nh cho kt qu km)
[bcbs119; 01 Thng Mi Mt 2005; mnh. (J) phn B.4, p. 41]. Gi tr sn lng l mt khon
chi ph vn cho ri ro th trng. Cc thiu st ca cch tip cn c xem bi cc chuyn gia
BCBS, n khng nm bt c ri ro ui (tail risk) hoc l s din ra trong trng hp
khng hong.
y l l do ti sao Basel 2,5 (bcbs134; ngy 01 thng 10 2007), (bcbs140 v 141; ngy 22
thng 7 2008) (bcbs148 v 158; ngy 16 thng 1 v ngy 01 thng 7 nm 2009) mc tiu hng
ti ti khon cho cc thiu st trn (the above shortcoming). Nhn mnh VaR c yu cu
c thm vo cc ph ri ro th trng c tnh trc y [bcbs148; 16 Thng 1 nm 2009;
mnh. (J) phn 4, p. 12]. mc tin cy cho cc m hnh ni b c gi mc 99%.
Trong t quy nh Post-Basel III khi xem xt c bn ca s sch kinh doanh c a ra
(bcbs219; 03 thng 5 nm 2012), n c xut thay i o lng ri ro t VaR sang
thm ht d kin (ES)25. Trong bi bo t vn th hai mc tin cy c xut c h
cp t 99% xung 97,5% (bcbs265; 31 thng 10 2013). C th theo di t Adam et al. (2007)
thm ht d kin c bit n t nm 1999 khi n c gii thiu nh l mt thc o ri ro
cht ch trong Artzner et al. (1999). Nh t Adam et al. (2007) o lng ri ro khc vi tnh cht
thng k p hn c bit n: o lng ri ro distortion 26 (t nm 1997) v o lng ri ro
spectral27 (t nm 2002). V vy c th thy rng cc bin php ES c thc hin rng ri
ch yu l 13 nm sau (tng t nh m hnh Vasicek cho ri ro tn dng).

24 VaR l quantile ca phn phi danh mc u t tr li cho mc tin cy c xc nh trc v

khng c thay i n tnh thanh khon ca ti sn

25 ES, cng c gi l ui vng c iu kin, l gi tr trung bnh ca cc quan st ri xung di

ngng VaR, i. e. bi vic xy dng n ln hn VaR. ES i hi s quan st sn xut c tnh
nguy c mnh m

26 o lng ri ro mo gn trng s bt bnh ng vi cc gi tr tch cc v tiu cc ca phn phi li

nhun (theo truyn thng kt qu tiu cc nhn trng s cao hn, hn l tch cc phn nh rng
nhng tiu cc t a thch)

26

Xem xt c bn ca s sch kinh doanh (bcbs219; 03 thng nm 2012) l mc ln gy ra

bi s quan tm ca y ban Basel m cc ngn hng quc t ln c d dng chuyn ti sn
t s sch giao dch sang s sch ngn hng v ngc li arbitrage v c li ch vn. i vi
l do cn bng chi ph vn cho cc ri ro khc nhau v cho cc giao dch tng ng vi mt
phin bn ca s sch ngn hng v s sch giao dch c a ra lm cho cc ngn hng
th vi s la chn ca s sch (giao dch hoc ngn hng). Mt s tiu ch c cung cp
t mt watermark gia cc s sch [trc khi nh ngha s sch c ch yu da trn
nguyn tc nh gi: ti sn t chc-cho-giao dch (HFT) c coi l mt phn ca s sch giao
dch; gi n ngy o hn (HTM) v sn sng bn (AFS) Ti sn c giao cho s sch
ngn hng]: hoc bng cch s dng ti sn n hn (ti sn n hn di hn phi l s sch ngn
hng; ngn hn- s sch giao dch), hoc phng php nh gi (iu chnh theo th trng l s
sch giao dch; iu chnh theo m hnh s sch ngn hng.
5.3. Quy nh ri ro hot ng
Quy ch ri ro hot ng c da trn 25 n phm (845 trang trong tng s) trong 6
nghin cu t vn v 11 l cui cng. Ngi ta c th phn nh c th lnh vc lin quan n
cc nguyn tc qun l ri ro hot ng v thu thp d liu hot ng b mt. Lnh vc ny c
th so snh v quy m (ng gp) n ri ro iu chnh v n tng ng vi 6% tng s ti
liu v 5% tng s trang c xut bn bi y ban Basel.
Mc d cp n u tin v ri ro hot ng xy ra trong t iu chnh th hai ca y
ban Basel (bcbsc136; ngy 01 thng 7 nm 1989), cc nguyn tc qun l ri ro hot ng
c xy dng 10 nm sau (bcbs42; ngy 01 thng 9 1998). Vo thi im mt trong
nhng s kin ri ro hot ng ni ting ni ting hin i ln nht xy ra (gian ln ngn hng
Barings nm 1994). Tuy nhin, nh lng ri ro hot ng c gii thiu ch trong Basel II
(bcbs118; ngy 01 thng 11 2005).
Basel II (bcbs128; 30 thng 6 nm 2006) cch tip cn nh lng ri ro hot ng cung
cp bn la chn cho cc ngn hng: Phng php ch s c bn (BIA), n gin ha cch tip
cn chun (SSA), cc phng php tiu chun ha (SA), cc phng php o lng tin tin
(AMA). SSA c php cho cc ngn hng nht nh c tnh ph hot ng da trn danh
27 o lng ri ro Quang ph c tch hp theo chiu dc (trong khi VaR, ES, v cc bin php bp
mo c tch hp theo chiu ngang). Nh vy mt quang ph cho php c c c lng nguy c
ng tin cy v mnh m t quan im l thuyt khi VaR, ES, bin php bin dng khng hon thnh
n

27

mc u t tn dng, khng s dng gi tr tng thu nhp. tng ca hai phng php c
(BIA, SA) l s dng thu nhp nh l im chun cho ph vn i vi ri ro hot ng. AMA
cho php mt ngn hng s dng m hnh thng k h tr tnh ton ph vn. tin cy cho
cc m hnh AMA l 99,9%, tng t nh mt ri ro tn dng (99,9%), nhng khc vi mt ri
ro th trng (99%).
Post-Basel III c bo hiu bi s cn thit phi sa i quy ch ri ro hot ng, bt chp
cuc kho st rng ri d liu c a ra trong nm 2008 trn ton th gii chng li cc
phng php cp (nl13; 07 thng mt nm 2008), (bcbs160; ngy 01 Thng By nm
2009). V vy, mt nghin cu c bit c ban hnh (bcbs292; 6 thng 10 2014). Cch tip cn
mi cho thy s thay th ch s c bn bi ch s kinh doanh (BI) l mt phi sinh phc tp hn
v ti chnh ngn hng so vi trc y. Ngoi ra chi ph vn c xut c lin kt mt
cch r rng vi quy m ngn hng. Basel II iu chnh ri ro hot ng c bt ngun nh t
s ca tng s thit hi ri ro hot ng cc ngnh trn th gii chia cho tng thu nhp ton
ngnh. Post-Basel III c thay th lin quan n ch s kinh doanh th khng r rng do khng
c thu thp c d liu c bit l khng cng b, cng khng c tit l. Do , thiu st
tng t c p dng chun ri ro hot ng mi nh ch s c bn (theo l thuyt, n cng
o lng ri ro mnh), nhng thm nh hng tiu cc c pht sinh t quy nh mi v thng
k thit hi hot ng c thu thp trc s tr nn ti u nht v hu nh t c s dng.
5.4. Quy nh ri ro thanh khon
Quy nh ri ro thanh khon l workstream c t n phm xut bn nht . N c tng 20 n
phm (563 trang) trong 6 ti liu t vn, 10 ti liu chnh thc v 3 n phm l cu tr li cho
cu hi thng gp v 1 bo co. Quy nh ri ro thanh khon ch chim 4% v 3% ca tng s
ti liu v s trang c xut bn bi y ban Basel.
Cc workstream bao gm cc nguyn tc qun l thanh khon, trong c thanh khon
qun tr trong ngy v t l thanh khon Basel III to nn cc t l m bo kh nng thanh
khon (LCR) v t l qu bnh n rng (NSFR).
Mc d nh cp cc workstream c t n phm, nhng n l ti liu v ri ro thanh
khon lu i nht c thit lp ca BCBS trong giai on 1972-1974 nh m t bi Goodhart
(2011a;. P 81, Bng 3.5, im 9). Ti thi im vic tm kim mt sn chi chung cho cc quy
nh ri ro thanh khon l rt kh khn. h tr cho lp lun ny gio s Goodhart [Goodhart
(2011a), p. 321] ngi trch dn 1985 tho lun khi mt quan im c chia s rng "khng

28

c cng thc duy nht c kh nng nm bt tt c cc yu t v khng c nguyn tc nh lng

duy nht m bo thanh khon y cho mt lot cc ngn hng khc nhau".
Trnh by kin c nhn ca ti, mc d khng thnh cng trn ton th gii, nhng ngn
hng trung ng tham gia vo cc cuc tho lun v quy nh ri ro thanh khon v c
hng li mt cch khn ngoan. l l do ti sao Ngn hng trung ng d dng p dng t l
Basel III mi c gii thiu nh l mt s hi p c bit n s sp ni ting ca
Lehman Brothers vo ngy 16 Thng 9 nm 2008 (reference28 Lehman khng phi l mt tuyn
b chnh thc mt ca BCBS, nhng l mt mc nh).
Nh vy s mi l ca Basel III (bcbs165; ngy 01 thng mi hai nm 2009) l gii
thiu hai ch s nh gi h s thanh khon ca mt ngn hng theo mc thi gian hng thng
v hng nm. T l theo thng c gi l t l bo m kh nng thanh khon (LCR) v t l
th hai l t l qu bnh n rng (NSFR).
LCR l t l lng ti sn c tnh thanh khon v khon chi d kin trong thng ti. LCR
quy nh ti thiu ban u c thit lp mc 100%, nhng sau khi nghin cu tc ng u
tin tm thi (temporary) t l c iu chnh gim cn 60%. BCBS xut tnh ton LCR
cho mi ng tin cn so snh ti sn v khon chi trong cng mt ng tin.
NSFR l t l ti sn thanh khon o hn trong mt nm v khon chi d kin trong mt
nm. Ngng bt buc cng c thit lp n 100%, l t l mt ngn hng c c th
b p khon chi ra trong di hn ca n. Khi pht trin NSFR mt mi lin h gia ri ro tn
dng v thanh khon c gii thiu. C mt yu cu c bit l h s chit khu ca ti sn
phi c xp hng tn nhim cao t cc m hnh nh gi ni b (IRB) ca Basel II.
C l, v cch tip cn phc tp tnh ton NSFR kh bt li nn NSFR hin nay khng
c s dng ( ngy s dng trong tng li cha c cng b).
Sau khi t ci cch quy nh Basel III c mt ti liu thit lp dnh cho vic qun l
thanh khon trong ngy (bcbs225; ngy 02 thng 7 nm 2012). tng l c mt b ch s o
thi gian gii quyt thanh ton trung bnh, s tin mi gi vv Mc d l cng c l tng cn
thit, n kh khn c thc hin trong h thng phn mm. l l do ti sao trong ti liu
cui cng (bcbs248; ngy 11 thng 4 nm 2013) yu cu c ni lng v xy dng nhiu
xut.
28 Tc gi tha nhn ph bnh n danh cho nm di s cn thit phi kim tra xem BCBS chnh
thc vit trong ti liu ca mnh v trng hp ca Lehman

29

Stress-testing l mt cng c qun l ri ro quan trng, nhng n c cp ring trong

tiu mc 5.5. V vy, khuyn ngh v Stress-testing c cp nh l mt phn ca yu cu
Basel I Ct II.
Mc d khng phi l cng b ca y ban Basel nhng mt ti liu [Grant (2011)] v
chuyn gi thanh khon c xut bn bi Hc vin Ti chnh Stability ca BIS trnh by
hnh nh y ca qun l ri ro thanh khon v kim tra th nghim s dng tng ng.
5.5.

S cng gp ri ro v khi nim ngun vn

S cng gp ri ro v khi nim ngun vn c nh ngha l s kt hp ca tt c cc ri

ro v d ton vn kinh t. Theo khi nim tha c Basel, cng gp ri ro v khi nim ngun
vn c chnh sa kim sot nhng ri ro ca t chc tn dng ( bit v nh lng
c) kim sot tng hp (tng) ri ro - cc ti liu c trong workstream.
Cc workstream c 97 n phm, tng cng l 4 249 trang. N bao gm 13 loi ti liu t
vn, 22 vn bn cui cng, 14 bo co (phn ln l v tin thc hin Basel III), 5 ti liu
nghin cu, 4 bn tin, 3 n phm tr li cho cu hi thng gp v 36 bi nghin cu nh lng
(QIS). N chim 21 % cc n phm v ri ro tn dng nhng chim n 26% cc n phm c
cng b. Cc workstream c nhng ch xc nh r rng nh sau: phng php tip cn tp
trung ri ro, stress test, khi nim vn (v sa i theo Basel III), qu trnh kim sot ca Basel
III v s b sung vo mi trng php lut; cc ti liu Basel I, II, III.
Bi nghin cu u tin v cng gp ri ro l vn v s hp nht cc bn cn i k ton
(bcbs00b, ngy 1 thng 10 nm 1978). Mc d rt quan trng, vn tp trung vn c
nghin cu li ln na n 23 v 25 nm sau khi c hai ti liu c xut bn.. Ti liu v qun
l ri ro, quy nh ngun vn (joint4; 01 Thng 11 nm 2001) v quy nh v xu hng tch hp
ri ro (joint7; 01 thng 8 2003). C hai ti liu lin quan Joint Forum v c phm vi p dng rng
theo nh ngha v d nh cc tp on ti chnh ch khng ch gii hn cho cc t chc tn
dng. Cc bi nghin cu ny u l cc bi nghin cu theo kiu nguyn l Cn lu rt ra
nhng ti liu cp nht (joint25; 21 thng 10 2010) tho lun v nm phng php cng gp ri
ro c cp theo th t tng chnh xc, phc tp v s a thch t gc nhn thc ca
cc ngn hng v nh qun l ': Php tng cng; a dng ha rt n gin; cch tip cn sai-hip

30

phng sai; m hnh hm copula29; m phng m hnh m phng hon ton (da trn MonteCarlo)
Mt kha canh khc ca tp hp ri ro (hoc vn kinh t) nh c thit lp trong II Ct II
Basel l phng php stress-testing Trong khi , phng php stress-testing cng c yu cu
phi c thc hin di Ct I cho tt c cc ri ro cn bin ( Hay c chia thnh ri ro tn
dng, th trng, v ri ro hot ng), di Ct II nhn mnh phng php stress-testing phi
bao gm tt c cc ri ro. Mc ch Ct I l phn tch nhy, th mc ch Ct II n l mt
phn tch kch bn hay mt nh gi m hnh xc sut. Mc d c gii thiu trong Basel II
(bcbs118; 01 thng 11 nm 2005), phng php stress-testing v cc thc hnh ng tin cy
c kt hp v trnh by cng nhau trong mt ti liu c bit (bcbs147; 09 thng 1 2009).
Thm vo Basel II, ti liu va c cp trn yu cu stress test o ngc hay ni cch
khc da trn m hnh thng k m mt nh ch ti chnh phi xc nh cc ngng cho cc ch
bo kinh t v m th hin s tht bi, v n hay mt kh nng v n ca cc nh ch. Stress test
o ngc lin quan n vic s dng cc th tc my tnh tm ra cc vin cnh dn n mt
tht bi ca nh ch ti chnh. Cc yu cu c bit c t ra i vi stress test thanh
khon (bcbs_wp24 v bcbs_wp25 vo 10 thng 1 nm 2013) ging nh cc yu cu hp nht
trong cc t s thanh khon trong Basel III l LCR v NSFR.
Ngun vn cng c xem nh l mt phn ca workstream ny. Basel I (bcbs4a; 01 Thng
7 nm 1988) gii thiu hai cp cu trc vn . Cp 1 bao gm vn gp, li nhun gi li, v
cc cng c phi sinh, cp 2 gm n di hn ti thiu l 5 nm. Basel I gii thiu t l an ton
vn ti thiu , CAR (i khi c gi t l Cooke theo tn Ch tch ca y ban Basel thi
im ). CAR l t s vn trn ti sn c nhn trng s ri ro i vi ch ri ro tn dng. Trong
4% cho vn cp 1 v 8% cho tng s vn (cp 1 v 2). Gio s Goodhart tm thy chng
trnh ngh s quan trng ban u c xy dng bi Peter Cooke , ngi kim nh xem liu
cc t s an ton vn nn l nh nht, mc tiu hay theo mt tiu chun no . Mc d n gin
trong vic gim st, trong quan im ca Peter Cooke, t s nh nht l la chn t c a thch
nht, ging nh cc vn khc trong khng hong t l ti thiu "khng cung cp mt chc
nng m thch hp cho bn thn ngn hng" [Goodhart (2011a), p. 556].
29 Tho lun v vic s dng cc copulas c th c tm thy trong chui cc giy t do gio s Paul
Embrechts: Embrechts, McNeil, Straumann (1999), Breymann, Dias, Embrechts (2003), McNeil, Frey,
Embrechts (2005). cp n P. Embrechts cng vi Furrer v Kaufmann cung cp kin ca h
giy t vn th ba trn Basel II (CP3; 29 thng 4 2003

31

Basel II (bcbs128; 30 thng su 2006) thm ngun vn Cp 3 cho cc khon n th cp

ngn hn - nh tho lun Goodhart (2011a; p 489.) Trong mt thi gian di khi Basel I tho
lun v cng ng cha sn sng chp nhn quy nh thc hin nh mt phn vn t quan
im bo th -. Basel II gii thiu t l CAR iu chnh (i khi c gi t l McDonough nh
William McDonough l Ch tch y ban Basel ti thi im ), trong mu s bao gm RWA
i vi ruit ro tn dng, th trng, v ri ro hot ng.
Basel III ng ph vi cuc khng hong 2007-2009 (bcbs165; ngy 01 thng mi hai nm
2009) xut iu chnh v nh ngha vn. u tin, ct li vn cp 1 (CET1) vn c
gii thiu bao gm vn gp, li nhun gi li, nhng khng bao gm cng c phi sinh. T l
CAR ti thiu i vi vn CET1 c thit lp l 4,5% v i vi vn cp I l 6%.. Th hai,
n th cp phi c nng lc hp th mt mt, hay ni cch khc kt hp vi cc yu cu gim
bt gi tr n hay trao i khon n vi vn c phn trong trng hp cc yu cu b vi phm ,
n nn c khu hao trong 10 nm.
Th ba, vn cp 3 c loi b ra khi tnh ton an ton vn. Th t, ba vng m vn
c gii thiu t c bn cht quan trng h thng ca ngnh ngn hng, 1-3,5%; bc
chu k kinh t, 0-2,5% ( lm gim bt anh hng theo chu k ca Basel II); nhu cu bo ton
vn, 2,5% (thay v chi tr c tc trong bt c trng hp no). Tt c cc vng m vn c
biu hin theo phn trm vn CET1
Khi ni v ngun vn s dng cho cc t l an ton ngun vn, ngi ta phi ghi nh cc
khon khu tr thc hin. Theo Basel II (bcbs128; 30 thng 6 nm 2006) cc khon u t vo
cng ty lin kt s c khu tr khi vt qu 15% vn iu l ca cng ty u t hoc tng ca
cc khon u t vt qu 60% vn iu l ca cng ty u t (khu tr c thc hin cho cc
phn vn vt qu ngng). Basel III (bcbs164 1 thng 12 nm 2009) thm tiu chun khc
vo trong khu tr. Khi nim u t vn (material investment) c gii thiu theo quyn s
hu ca hn 10% cng ty tip nhn u t. Trong trng hp u t c xem l vn, khon u
t c yu cu c khu tr hon ton ra khi vn ca cng ty c u t. Phn khng c
khu tr c hch ton trong s sch ca ngn hng (vn c phn trong s sch ngn hng) hay
danh mc kinh doanh ca ngn hng.

32

5.6. Vn qun tr kinh doanh

Workstream Qun tr doanh nghip c 31 ti liu (979 trang) trong ch c 10 ti liu t
vn v 21 ti liu cui cng. Mc tiu ca phn ny l cu ni trung gian gia th trng v ri
ro hot ng, n chim 7% v 6% tng s ti liu v s trang c xut bn bi y ban Basel.
Cc workstream bao gm cc nguyn tc qun tr doanh nghip, quy nh mc th lao, kin
ngh kim ton ni b v tng tc vi kim ton vin bn ngoi, kim sot ni b v tun th
nguyn tc hot ng lin tc.
Nguyn tc qun tr cng ty chnh thc c gii thiu vo nm 1999 (bcbs56; 01 thng
9 nm 1999). Sau , vic sa i din ra bn nm mt ln trong nm 2005-2006 (bcbs117,
122), trong nm 2010 (bcbs168, 176) v nm 2014 (bcbs294; ngy 10 thng 10 nm 2014).
Vic i mi chnh trong lnh vc qun tr doanh nghip a ra bi ti liu Basel III trong
nm 2010 (bcbs176; ngy 1 thng 10 nm 2010) l phn nh r rng ca ba cp phng th
trong t chc ti chnh. Mi tuyn nn nh gi ri ro v kim sot ri ro cng nh kim sot v
qun l ri ro bi cc tuyn phng th trc. Cp phng th u tin bao gm cc nh qun l
vn phng giao dch vi khch hng. Cp phng th th hai bao gm nhng ngi pht trin
v kim sot cc hn ch qun tr ri ro v trung gian (middle-office). Cp th ba chu trch
nhim kim tra tnh hiu qu v quy trnh thnh lp bi hai dng u tin. Kim ton ni b nn
c a vo cp 3(bcbs223; 28 thng 6 nm 2012).
Trong thc t c hai cp phng th khc tn ti, khng c cp trong cc vn bn ca
y ban Basel. Cp th 4 l cc c ng (v ch n) ca cc ngn hng. Cp 5 l cc ngn
hng v bo him tin gi c quan trung ng. Nhng logic c bn l c ng chu tn tht , mt
mt nu trng hp nh th xy ra (ngn hng trung ng mun trnh trng hp "qu ln
sp ", tiu th tin np thu ng k trong giai on 2007-2009). Khi c ng khng loi
tr tnh trng ny, v tt c cc bin php phc hi l khng hiu qu, cc c quan bo him tin
gi trong tha thun vi ngn hng trung ng c bt u qu trnh gii quyt. Nh vy h
thng c th c t nhin c gi l "nm cp phng th".
c bit tp trung trong thi gian hu khng hong 2007-2009 c dnh cho vic quy
nh mc th lao, c th l, mt lng ln tr cho gim c iu hnh ngn hng. c bit gn
lin vi trng hp khi cc khon tin thng khng lin quan n hiu sut cao ca mt ngn
hng. Ngn hng Hong gia Scotland (RBS) l mt trong nhng v d gy ra tho lun trong
phng tin truyn thng i chng. Trong nm 2008 v 2013 RBS kt thc nm ti chnh vi

33

kt qu thua l , nhng cc nh qun l ca n vn c thanh ton cc khon tin thng ng

k . Cc trng hp tng t nh RBS dn n s cn thit phi thng nht cc nguyn tc v
thng l th lao sp xp ri ro vi s lng phn b th lao cho qun l. Nhng nguyn tc
ny quy nh u tin o tin thng di mi hnh thc (tin mt v phi tin mt, bao gm c
hng ha, vv) v th hai qun l mt phn bin s (lin kt n vi ch s ri ro), v th ba
gii thiu tr hon khng c nhn phn th lao t nht l sau ba nm (i vi ngn hng c
th hy b tin thng tt c hoc mt phn trong trng hp c nguy c tn tht trong ba nm
tip theo sau khi tin thng c cng dn).
V mt l thuyt cc nguyn tc ny thch hp v c s dng bi phn ln cc ngn hng
u t ngay c trc khi cuc khng hong 2007-2009 (theo hnh thc gn vi l mt cng thc
ca nh qun l). Tuy nhin, c bit ch nn nng cao nhn thc ca ngi qun l ngn hng
v cc quy nh v ri ro. Nhng quy nh v th lao khng c nh v tr hon tin thng c
th l mt ng lc cho mt ngi khng thch ri ro. Ngc li, i vi cn b qun l quan h
khch hng li l nguy c tng t nh mt v c cc (canh bc). H l nhng ngi yu thch
c cc ( thch ri ro hn), khi h ph thuc vo quy nh ni chung (v tr hon ni ring).
H s mt nhiu ri ro hn so vi d kin ca b iu chnh (k c nhng trng hp khc h s
nhm mc tiu b p gim thu nhp v b tr hon bng cch chp nhn ri ro cao hn).
l l do ti sao y ban Basel v nh qun l vi cng ng hc thut c ngh hp tc cht
ch lm cho m hnh m phng thch hp v hiu chnh cc quy tc th lao c c hiu
qu mong mun ca vic gim ri ro cng vi vic xem xt phn bit ri ro nhn thc ca
nhn vin ngn hng.
5.7. Nhng kin ngh cho nh gim st:
Vic hon thnh tin dnh cho ngi gim st l ln tng t nh vic tp trung vo cc hip
c Basel. N kt hp 82 ti liu (3495 trang) trong 18 ti liu tham vn, 41 bi bo chnh
thc ; c 17 bi bo co v 6 bi bo ch ng. y l mt trong ba lnh vc ct li vi ri ro tn
dng v tng vn v n ng gp ti 18% tng s ti liu v 22% tng s trang c xut bn
bi y ban Basel
Cc kin ngh cho cc nh gim st bao gm cc lnh vc nh cc nguyn tc ct li ca
gim st ngn hng v bo him tin gi, lm vic vi cc t chc ti chnh c n by cao, phc
hi v lp k hoch gii quyt, pht ng v gim st cc chng trnh nh gi cc quy nh
nht qun(RCAP), gii quyt vn cc tp on ti chnh v cc t chc ti chnh quan trng

34

trong h thng( bao gm s n nh ti chnh - FS l mt trong nhng vn ), sp xp cc vn

gim st.
Tho c (bcbs00a; ngy 1 thng 9 nm 1975) l ti liu c xut bn u tin ca y ban
Basel v n cp n s tng tc ca ngi gim st khi c nhu cu gii quyt vn qua
bin gii. Hng c gi quan tm n nhng ti liu dnh cho vic quy nh cc t chc c n
by cao c xut bn u tin vo nm 1999 (bcbs45) vi cc ti liu chnh thc c cng b
vo nm 2001 (bcbs79; 22 thng ba nm 2003). Nhng cuc tho lun cng vi cc hp c
tin-Basel I kinh nghim ca mt s quc gia c bin php o lng vn phi ri ro th kh
tip cn v thc hin cc t l n by trong Basel III (bcbs164; ngy 01 thng 12 nm 2009)
theo quy nh ny t l n by l mi quan h ca vn cp 1 (CET1) trn cho tng ti sn trn
v ngoi bng cn i k ton.
Mt ch ch o v lu di cho cng tc ca y ban Basel l cc nguyn tc ct li cho
vic gim st ngn hng c cng b u tin trong thng 9 nm 1997 (bcbs30a). Cc ti liu
sa i gn y nht ngy tr li vo ngy 14 thng 9 nm 2012 (bcbs230), i. e. cc cuc tho
lun th c cng khai trong 15 nm. Trong thng 11 nm 2010 mt ti liu c tnh cht tng
t c cng b. l nhng nguyn tc ct li cho h thng bo him tin gi hiu qu
(bcbs182; ngy 01 Thng 11 nm 2010). Cc kin khng c cng b, c l bi v giai
on t vn ngn hn so vi trung bnh (ch c 37 ngy cho b ti liu 40 trang).
y ban Basel theo Goodhart (2011a;. P 552) khng bao gi xem mnh nh mt nh lp php
tiu chun trong nhng nm u ca 1974-1997. Gio s Goodhart phn nn rng l chnh
xc l nhng thiu st khi m y ban Basel ban hnh cc khuyn ngh nhng khng c hnh
pht cho vic cc ngn hng khng tun theo. Khng hong 2007-2009 thay i cch tip cn
. Trong ln sng quy nh Basel III mt chng trnh ln c a ra: tnh thng nht quy
nh chng trnh nh gi (RCAP) vo 03 thng 4 nm 2012 (bcbs216). Nh cp trong
Goodhart (2011a;. P 439) trong nhng nm u ca 1974-1997 c quyn cho nhng nh gi
thng nht c s hu bi Qu Tin t Quc t (IMF), nhng s ra mt ca RCAP trong nm
2012 t nhim v r rng phn bit v lm cho Basel y ban Basel l mt thc th thit lp v
gim st nhiu tiu chun.
Mc tiu ca chng trnh RCAP l nh gi rng khng c kinh doanh chnh lch gi c
th c gia ri ro v trong phm vi ri ro. c ba bo co th v c lin quan n ri ro tn
dng (bcbs256; ngy 05 thng 7 nm 2013) vi ri ro th trng (bcbs240 v 267; 31 Thng 1

35

nm 2013 v 17 thng 12 nm 2013, tng ng). u tin hy chng ti tp trung vo tho

lun kho st ri ro tn dng v sau tin hnh vi mt ri ro th trng sau .
Cuc kho st ri ro tn dng ngn hng s dng ngi cho vay l thuyt nh gi trng
s ri ro ca h. Nh c tm thy, cc sai lch ca cc ngn hng tng ng ln +/- 20%
trong iu kin c lin quan, l quan trng hn nhiu so vi d kin ca y ban Basel. Mc d
n s l l tng c nh gi ri ro nh nhau cho mi ngi vay, ngi ta phi th nhn rng
bng cch xy dng cc m hnh Basel II ni b nn cung cp nh gi chung ca ri ro ch
khng phi l trn tng ngi cho vay (trong khu vc doanh nghip) hoc mi i tng (trong
mt bn l), nhng mi bn vay / c s cho mt ngn hng nht nh. Hy chng ti xy dng
thm bin minh cho tuyn b.
Basel II (bcbs128; 30 thng su 2006) yu cu s dng d liu ni b ca mt ngn hng
cho cc m hnh ri ro tn dng IRB (d liu bn ngoi c php s dng nu v ch nu tnh
i din ca d liu bn ngoi chng li danh mc u t ca ngn hng c chng minh).
cng bng cho cc ngn hng (v khi gi nh cho mt thi im m khng ai trong s h ang
tm kim c hi chnh lch ri ro (RWA)) , cuc kho st ri ro tn dng RCAP nn c.
Xin vui lng, hy xem xt mt v d m hai ngn hng khc nhau A v B nhn chung c cch
tip cn khc nhau (hoc cc c ng ca ngn hng c quan h cht ch vi mt s khch hng
vay C, c bit). Gi s C vay cng mt s tin t cc ngn hng A v B, nhng vo ngy o
hn n tr li cho ngn hng A (hoc do quan h gn gi hn vi ngn hng A hoc v chnh sch
thi hnh nghim ngt hn ca ngn hng A). Sau , chun b m hnh d liu ngn hng A s
xem khch hng vay C l mt khch hng khng v n; ngn hng B ngc li s xem khch
hng vay C nh mt khch hng v n. (.. E g c cu s hu, t l ti chnh vv) Tng ng, khi
c nhiu trng hp nh vy hnh vi phn bit tnh nng tng t ca khch hng vay s l yu
t quyt nh v n c ngha thng k i vi cc ngn hng loi B; v khng c ngha i
vi cc ngn hng loi A. Do , yu cu rt Basel II ng kh nng nh gi ri ro tn dng
khng ng u khi cng cho 1 i tng vay tin.
Nu m hnh ri ro tn dng c da trn thng k ni b, cc m hnh ri ro th trng
c xy dng trn d liu th trng cng b cng khai. l l do ti sao i din vi kt qu
kho st ri ro tn dng (trong lch t trng ri ro c k vng), kho st ri ro th trng
nn c chng minh (ng) c tnh ri ro tng t gia cc ngn hng. Tuy nhin, kho st
ri ro th trng dn n kt lun tng t nh mt trong nhng ri ro tn dng, i. e. m hnh

36

ngn hng ni b thng k ri ro v chi ph vn c tnh khc nhau ng k c lng cho cc

trng hp gi thuyt tng t. thm c mt cuc kho st a ra bi y ban Basel,
nhng khng phi theo RCAP. N c thc hin cho cc mc ch ca vic xem xt c bn
ca cun sch giao dch c t tn l "Phn tch ca cun sch giao dch tp danh mc u t
gi" (bcbs288; 09 thng 9 nm 2014). C mt xu hng bn vng quan trng i vi vic kim
tra m hnh ri ro th trng c thc hin bi c quan qun l. Nh cp trong Goodhart
(2011a; pp. 251, 280), khc bit c ngha tng t (+/- 25%) c quan st thy trong nm
1994 vo m trc ca cc m hnh ri ro th trng ni b(tuy nhin, s khc bit quan st
khng ngn c iu chnh t tham gia vo hi ng qun tr nhng m hnh).
Ln sng quy nh Basel III c nh du bng mt phn ng vi cuc khng hong 20072009 v l mt trong nhng vn ca "qu ln sp ca cc ngn hng. i vi mc ch
lm cho cc ngn hng t bn vng trc khi c tim vn t ngn hng trung ng cn mt
th loi ca cc t chc ti chnh h thng quan trng (SIFIS) c gii thiu cho ton cu
(bcbs201; Thng By 19, 2011); v trong nc (ngy 11 thng 10 nm 2012 bcbs233). Khi
nim ny l s dng phng php ch s c cc ngn hng nh SIFIS v p t ph ph
vn trn chng khc nhau, t 1% n 2,5% (v mt l thuyt n 3,5%) vn cp 1(CET1).
ph hp th nn sa i cch tip cn v gii thiu cc mc ngng c bit cho SIFIS khng
gii hn vn m cn c tnh thanh khon (tnh thanh khon c cho l mt trong nhng nguyn
nhn dn n tht bi ca ngn hng giai on 2007-2009).
5.8. Vn minh bch thng tin
Vn minh bch thng tin c tng cng 34 vn bn (1089 trang). Nhng bao gm 9 t vn,
12 bi bo chnh thc, 11 bo co, v 2 bi bo ch ng. Vn ny l tng t nh trong ng
gp cho mt ri ro th trng v c nhng ng gp 8% v 7% tng s ti liu v trang c
xut bn bi y ban Basel.
Lnh vc ny bao gm ba kha cnh chung: cuc tho lun u tin v vic minh bch thng
tin kinh doanh v cc phi sinh, kt hp cc thay i n Basel II tr ct tiu chun III v thay
i cng khai kt qu t Basel III, v khc.
Pillar III bt u t vic gii quyt nhng nhu cu thm tnh minh bch i vi hot ng
kinh doanh. Cc tng chun ha vic minh bch thng tin c t thng 6 nm 1979
[Goodhart (2011a), p. 471] khi ng Cummings mun c c s h tr ca y ban Basel v d

37

tho ti liu c tn "Cng khai bo co ti chnh trong ngn hng". Nhng ti thi im y
ban Basel khng nhit tnh ng h xut ny.
Vo ngy 01 thng nm 1995 khun kh chnh thc u tin (bcbs19) c cng b bi
y ban Basel. Nhn chung c 9 n phm cho n 01 thng 12 nm 1999 dnh cho vic minh
bch cc phi sinh. Sau n c khi qut ha hnh thc c bit n pillar III ca
Basel II nh hin nay. S pht trin ca pillar III v hot ng minh bch phi sinh tng t nh
qu trnh tin ha quy ch ri ro thanh khon t quan im ca ti.
T mt bn, trnh by thng tin cho cng chng (v i th cnh tranh ca ngn hng) c th
bp mo li th cnh tranh ca ngn hng ni chung (mc d rt kh trch xut mt ci g
nhiu hn xu hng khi d liu mc cao khng giao dch c sn). Hn ch nht khi c gng
t c s ng thun ton cu v cng b thng tin l cc cuc tho lun c v mt mc
nht nh ca cc t chc, n t n mt mc ca h thng ngn hng quc gia. Theo quan
im ca ti, s cnh tranh gia cc nn kinh t mi l tr ngi chnh thng tin (v cc cht
phi sinh c bit) c cng b trc nhng nm 2000.
T mt kha cnh khc, minh bch thng tin ni chung l mt cng c hu ch lm cho hiu
sut ngn hng minh bch hn. gia tng mc hu dng tch cc ph thuc vi trng thi
ca s thng nht ca d liu trnh by. Tt nhin, n l tt hn bit thm v mt ngn hng
v ri ro ca n c thc hin, hn l khng bit. Nhng so snh cc ngn hng c bit ny
ngnh cng nghip trung bnh v nh gi liu mt ngn hng l qu thn trng hoc qu
ri ro, ngi ta phi c c thng tin d dng c x l bi cc nh phn tch v nh nghin
cu.
Nh vy hot ng cng b thng tin thch thc cc nn kinh t l thnh vin ca U ban
Basel , nhng c th em li li ch ngn hng trung ng, cc ch n, cc nh u t v cc
bn lin quan khc. R rng l n bt ra kh khn ng v vn ny bng cch cn bng
tt c nhng u v khuyt im. l l do ti sao nh vi tho lun ri ro thanh khon ngn
hng trung ng thu thp c thng tin hu ch v c sc mnh nng cp cc tiu chun
cng b thng tin nh qun l, bao gm c nhng phi sinh. Kt qu l ngi ta c th mang li
mt v d ca Hoa K v Canada thng nht cc tiu chun cng khai phi sinh cho php
chy nghin cu su - bit chi tit, xin vui lng, hy tham kho Ashraf, Goddard, Altunbas
(2005) v Dai, Lapointe (2010 ), tng ng .Ngc li, thc hin bi tp tng t nh i vi
Lin minh chu u (EU) cng vic th cng rt ln c thc hin - cho nghin cu duy nht

38

v vic s dng cc ngn hng EU ca cc dn xut, xin vui lng, hy tham kho Gomayun,
Penikas, Titova (2012)
Basel II pillar III chnh thc ca c xut vo 01 thng 1 nm 2000 (bcbs65). Sau
n c hai bc ci tin mi. Bc u tin din ra trong sut t thit lp Basel III; bc ci tin
th hai din ra trong sut cc quy nh sau khng hong ca Basel III (trc Basel III). Basel III
(bcbs164, 165; 01 thng 12 2009) gii thiu ng v khi nim mi bao gm nh ngha vn,
t l n by, t l thanh khon, quy tc th lao. Cc iu khon v khi nim ny c phn nh
trong cc tiu chun minh bch thng tin. V l do ny m cc ti liu tham vn c xut bn
(bcbs286 vo 24 thng 6 nm 2014). Vn bn ny l mt s xem xt li bc u gii quyt phn
ny vn lin quan n cc ri ro tn dng, ri ro th trng v ri ro tn dng i tc. Cc ri
ro v vn khc s c th hin trong phn th hai ca bi t vn ny.
Th thch khc i vi Pillar III cng n t cc quy nh sau Basel III. l s cn thit
xem xt li cc phng php i vi vic cng gp ri ro hiu qu v bo co ri ro (bcbs222
vo 26 thng 6 nm 2012). Bi nghin cu tp trung s chun b ca h thng thng tin cung
cp cc thng tin chnh xc v cp nht. C t (9) bi ph bnh i vi bi nghin cu. Mt bi
bo co v vic thc hin cc quy nh ny c xut bn vo 18 thng 12 nm 2013(bcbs268).
ng ch l bi nghin cu xut bn 35 nm sau khi c nhiu s quan tm i vi U ban
Basel. Theo Goodhart (2011a trang 132) vo nm 1977 Bornadin khng nh rng cu hi v cc
nghi ng hay cc hn ch chc hn l xy ra trc khi cc quy nh i vi lu tr d liu c
ban hnh.
5.9. Cc vn khc
Cc vn khc l nhng vn dng nh l khng quan trng lm i vi cc hot ng
ca U ban Basel da trn kin ca tc gi v v th bao gm cc bi nghin cu khng c tnh
ng gp i vi bt c qu trnh lm vic no nh cp trn. Cc ch d tha ny
ng gp 6% tng s vn bn v 5% tng s trang.
C 27 ti liu (793 trang) trong 8 l t vn v 17 l bi bo chnh thc. Cc ch bao
ngn hng in t v ri ro lin quan, phng, chng ra tin (AML) v bit nguyn tc khch
hng ca bn (KYC), bo him th chp v tho lun ri ro di hn cc vn khi bc qua
thin nin k mi (vn nm 2000).

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Qun l ri ro i vi dch v ngn hng in t bn tm ca y ban Basel k t thng Ba

nm 1998 (bcbs35) cho n thng By nm 2003 (bcbs99). Mc d ba trong s 6 giy t t
vn, cu tr li nhn (nu c) khng c tit l cho cng chng.
Chng ra tin i km vi cc hot ng ca y ban Basel t rt Basel I xut bn vi ba
giai on ring bit: (a) Bi bo c cng b trong thng 12 nm 1988 (bcbsc137); (B) sau
khi tm dng 13 nm cc cuc tho lun c hi sinh vi bi bo th hai c cng b vo
thng Ging nm 2001 (bcbs77) v kt thc bng vic cng b phn din n trong thng t
2008 (joint 20); (C) Giai on th ba bt u trong t quy nh Sau khiBasel III vi vic xut
bn cc ti liu t vn v thc hnh m thanh qun l cc ri ro lin quan n phng, chng
ra tin trong thng 6 nm 2013 (bcbs252) vi phin bn cui cng c cng b trn 15 Thng
1 2014 (bcbs275).
Mt hai vn l trm lng gn y v c nu ra trong cc din n chung: bo him
th chp v ri ro di hn. Nu trc y l mt phn ng vi cuc khng hong 2007-2009
(mc d ch c cng b vo nm 2013, doanh 30 v doanh 33), sau ny l ph qut hn
khuyn co gim st v ngn hng lm th no xem xt cc ri ro lin quan n lo ha dn s
v c xut bn vo nm 2013 cng (doanh 31 v phn 34).
y ban Basel lo ngi v cc vn tim nng pht sinh t chuyn ngy thin nin k ca
2000/01/01 trong bn nm ban hnh tng ng l 4 bi bo t nm 1997 (bcbs31) cho n
nm 1999 (bcbs59). Cc bi bo c chun b sn sng cho cc gim st vin cho h m
bo rng cc ngn hng sut qu trnh ngy chuyn i c o ca thin nin k.
6.

KT LUN
y ban Basel v gim st ngn hng c thnh lp vo nm 1974. Tuy nhin, cho n nay

ch c mt nghin cu lin quan m b x l vi lch s kinh t ca y ban Basel. l cun

sch ca gio s Goodhart [Goodhart (2011a)], nhng n tp trung vo lch s ban u ca cc
y ban vo nm 1974-1997 (bao gm tho c v Basel I ln). Nghin cu hin nay l mt phn
m rng t nhin ca cng vic bt u bi Gio s Goodhart v n bao gm c giai on lch s
ca 40 nm qua. Gio s Goodhart da trn nghin cu ca mnh trn cc ti liu lu tr ca y
ban Basel nh i vi tho c v thi k Basel I k ca y ban Basel c xu hng khng
xut bn khng bi bo t vn, cng khng phi kin nhn trn bi bo t vn . Nghin cu
hin nay c da trn cht liu phong ph hn cc loi giy t t vn v kin cng b ca y

40

ban Basel v web cho php theo di cc logic ca qu trnh tin ha quy nh ngn hng cho ton
b giai on 1974-2014.
T khi thnh lp vo nm 1974 v n nm 2014 y ban Basel xy dng 453 vn bn
ca 16 k trang v khi lng phc v nh l c s cho cc tiu chun thng nht th gii ca
qun l ri ro v gim st ri ro cho cc t chc ti chnh (v c bit l tn dng). Nghin cu
chng minh nm sng iu tit ca pht trin quy nh ngn hng do U ban Basel: tho c
(1974-1986), Basel I (1987-1998), Basel II (1999-2008), Basel III (2009-2011), v hu Basel III
(2012-2014).
Mt danh sch cc s kin cch iu m t s pht trin quy nh ngn hng do U ban
Basel c xy dng. tm tt nhng 109 trn tng s 453 ti liu cng b ca y ban
Basel l bi bo t vn m 2290 kin t 853 c nhn duy nht (thc th) t 83 quc gia nhn
c.
Nghin cu su hn c t chc bi workstreams cha cho cc hot ng khc nhau
ca y ban Basel: tn dng, th trng, hot ng, quy nh ri ro thanh khon; tp hp ri ro v
nh ngha ngun vn, qun tr doanh nghip, khuyn ngh cho ngi gim st, cng b thng tin
v cc vn khc.
Cc nghin cu c tin hnh c gi tr khi n c kch hot theo di cc mi lin kt
trong gia cc ti liu m khng c v vn cha c chnh thc lin kt, mc d nn c (e.
nh ngha g. Chu k kinh t cho cc m hnh IRB Basel II nn c ly t bi bo Basel III).
Nh mt kt qu nghin cu khuyn ngh pht trin cc quy nh ri ro ngn hng c xy
dng, trong bao gm nhng iu sau y:
- S cn thit phi m rng yu cu thm nh t cc thnh phn ri ro sn xut bi cc ngn
hng vi chc nng tng quan c cung cp bi nh qun l;
- S cn thit phi xy dng SIFI m v vn, thanh khon v n by nh ba ch s
c tit l bi cuc khng hong 2007-2009 nh l ngun chnh ca ngn hng v, khng
gii hn vn;
- S cn thit phi t b mt trong nhng im mi Basel III: hoc m ngun vn cho
SIFIS hoc nhn trong RWA cng thc tng quan cho tip xc vi SIFIS;
- Cc gi tr m vn v quy tc th lao phi c hiu chun v trn l thuyt hp l;
- Hiu chun v thng nht mc t tin s dng cho chi ph ngun vn ri ro khc nhau
nn c thc hin;

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Cc kt lun quan trng l hp tc nhiu hn ca y ban Basel v cng ng hc thut l

cn thit v li ch ca nh qun l v cc ngn hng thng mi trnh s chm tr trong vic
thc hin cc kt qu nghin cu thch hp "- e. g. c qua 12 nm cho m hnh Vasicek cho ri ro
tn dng; 7 nm cho VaR v 13 nm cho ES (thiu ht d kin) cc bin php cho ri ro th
trng c s chp thun ca y ban Basel v vic s dng an ton.

Ph lc

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