Chương 4
Quản trị rủi ro thanh khoản
MSc. Trần Kim Long
Faculty of Banking
Banking University
Contacts: longtk@buh.edu.vn
Nội dung chương
›Các khái niệm về rủi ro thanh khoản
› Đặc trưng của rủi ro hoạt động
›Các công cụ kỹ thuật trong quản trị rủi ro
thanh khoản
›Các biện pháp quản trị rủi ro thanh khoản
Các loại rủi ro thanh khoản
› Rủi ro giao dịch (Liquidity trading risk)
› Rủi ro tài trợ (Liquidity funding risk)
3
Rủi ro giao dịch (Liquidity Trading Risk)
› Rủi ro giao dịch là rủi ro mà ngân hang
không thể bán các tài sản hoặc khoản đầu
tư trong khoản thời gian hợp lý và với mức
giá hợp lý (fair price)
›Giá trị nhận được phụ thuộc vào
-Mức giá thị trường bình quân (mid market
price)
-Lượng tài sản được bán
-Thời gian tài sản được bán
- Môi trường kinh tế
-Sự minh bạch
4
Bid-Offer Spread As a Function of Quantity
(Figure 24.1, page 539)
Offer Price
Bid Price
Quantity
5
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