MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM HO CHI MINH UNIVERSITY OF BANKING NGUYEN THI NHU YEN DETERMINANTS OF CREDIT RISK IN VIETNAMESE COMMERCIAL BANKS GRADUATE THESIS MAJOR: FINANCE – BANKING CODE: 7 34 02 01 HO CHI MINH CITY, 2023 MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM HO CHI MINH UNIVERSITY OF BANKING Author: NGUYEN THI NHU YEN Student code: 030135190760 Class: HQ7-GE06 DETERMINANTS OF CREDIT RISK IN VIETNAMESE COMMERCIAL BANKS GRADUATE THESIS MAJOR: FINANCE – BANKING CODE: 7 34 02 01 ADVISER DR. LE HA DIEM CHI HO CHI MINH CITY, 2023 i ABSTRACT This research aims to find the determinants affecting the credit risk of commercial banks in Vietnam. The credit risk of Vietnamese commercial banks is measured by a bunch of independent variables such as bank–specific variables including the non-performing loans (NPL), the size of the bank (Size), equity-to￾asset ratio (CAP), return on assets (ROA), return on equity (ROE), loans and bank profitability (PROF). The author also uses some research methods, namely Pooled OLS model, FEM model, REM model, and S-GMM method, which are based on the unbalanced panel data of 27 commercial banks in Vietnam from 2010 to 2022. The study also used the independent variables which are represented for the macroeconomic elements, namely economic growth rate (GDP), inflation rate (INF), and the unemployment rate (UNEMP). The research results show that almost all microeconomic elements significantly affected the credit risk of Vietnamese commercial banks. Moreover, all the macroeconomic determinants used in the thesis had positive effects on the credit risk of commercial banks operating in the Vietnamese stock market. Keywords: Credit risk, commercial banks, Vietnam, macroeconomic elements, microeconomic elements, bank-specific factors, panel data.