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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.
ii DECLARATION OF AUTHENTICITY As the author of this thesis, I declare that the following are: Full name: Nguyen Thi Nhu Yen Student class: HQ7 – GE06, Faculty of Finance and Banking, Ho Chi Minh University of Banking. Student code: 030135190760 I declare that the study with the title "Determinants of credit risk in Vietnamese commercial banks" is completely made by myself based on inquiry and the guidance of my lecturer Dr. Le Ha Diem Chi. In addition, none of this research has been published before submission. All the research data in the tables used for the analysis, evaluation, and comment are collected from many different sources indicated in the references section. If any fraud is discovered, I take full responsibility for the content of my thesis. Sincerely Ho Chi Minh City, 12th June, 2023 Author Nguyen Thi Nhu Yen
iii ACKNOWLEDGEMENTS I would like to express my gratitude to all lecturers at Ho Chi Minh University of Banking for teaching and imparting valuable knowledge and experiences to me during my studying process. It was the fundamental foundation and valuable luggage for me to enter the practice working environment in the near future. In addition, I also would like to thank my lecturer, Dr. Le Ha Diem Chi has devoted herself to teaching and giving comments to help me to complete my graduation thesis well. Finally, I wish all lecturers at Ho Chi Minh University of Banking always have a lot of good health and success in their occupations.
iv CONTENTS ABSTRACT ................................................................................................................i DECLARATION OF AUTHENTICITY............................................................... ii ACKNOWLEDGEMENTS.................................................................................... iii CONTENTS..............................................................................................................iv LIST OF ABBREVIATIONS............................................................................... viii LIST OF TABLES ....................................................................................................x LIST OF GRAPHICS..............................................................................................xi CHAPTER 1: INTRODUCTION............................................................................1 1.1.Reasons for choosing the study............................................................................1 1.2.Research objectives ..............................................................................................3 1.2.1. General objectives.............................................................................................................3 1.2.2. Specific objectives............................................................................................................3 1.3. Research questions .............................................................................................4 1.4.The research subject and scope of study ..............................................................4 1.4.1. The research subject.........................................................................................................4 1.4.2. Scope of the research .......................................................................................................4 1.5. Research method ................................................................................................6 1.5.1. Research method...............................................................................................................6 1.5.2. Research data .....................................................................................................................6 1.6. Contribution........................................................................................................7 1.7. Research structure ..............................................................................................7
v CONCLUSION OF CHAPTER 1 ...........................................................................9 CHAPTER 2: THEORETICAL FRAMEWORK AND REVIEW OF PREVIOUS EXPERIMENTAL STUDIES ..........................................................10 2.1. Review of commercial banks.............................................................................10 2.1.1. Commercial banks ...........................................................................................................10 2.1.2. Functions of commercial bank .....................................................................................10 2.2. Review of bank credit ........................................................................................12 2.2.1. Bank credit.........................................................................................................................12 2.2.2. Features of bank credit ..................................................................................................13 2.2.3. The role of commercial bank credit...........................................................................14 2.3. Review of credit risk ........................................................................................15 2.3.1. Credit risk..........................................................................................................................15 2.3.2. The impact of credit risk on commercial banks......................................................16 2.3.3. Factors affecting credit risk of commercial banks.................................................17 2.4. Review of the prior experience research..........................................................21 2.4.1. Review of domestic research paper............................................................................21 2.4.2. Review of foreign research paper...............................................................................23 CONCLUSION OF CHAPTER 2 .........................................................................32 CHAPTER 3: RESEARCH METHODS..............................................................33 3.1. Research process................................................................................................33 3.2. Sample and research data...................................................................................34 3.2.1. The research sample........................................................................................................34 3.2.2. The research data..............................................................................................................34
vi 3.3. Research method................................................................................................35 3.3.1. Variance inflating factor - VIF.....................................................................................35 3.3.2. Analysis and selection of effective models...............................................................35 3.3.3. Feasible Generalized Least Square - FGLS..............................................................36 3.3.4. Testing and handling defects of the research model...........................................37 3.4. Research model..................................................................................................38 3.4.1. Research model.................................................................................................................38 3.4.2. Explaining the variables in the research model .......................................................39 3.4.3. Research hypotheses .......................................................................................................41 CONCLUSION OF CHAPTER 3 .........................................................................48 CHAPTER 4: RESEARCH RESULTS ................................................................49 4.1. Descriptive statistical analysis ...........................................................................49 4.2. Check for multicollinearity................................................................................51 4.3. Correlation analysis............................................................................................52 4.4. Table Regression Data Analysis (OLS/FEM/REM Model) ..............................54 4.5. Selection of estimation method..........................................................................55 4.6. Test for heteroscedasticity and autocorrelation .................................................56 4.6.1. Test for heteroscedasticity.............................................................................................56 4.6.2. Test for autocorrelation ..................................................................................................57 4.7. Overcoming the research model by FGLS.........................................................58 4.8. Test for endogenous variable and GMM regression model method..................59 4.8.1. Test for endogenous variable........................................................................................59 4.8.2. GMM Regression Model Method................................................................................60
vii 4.9. Summarize and discuss research results ...........................................................62 4.9.1. Microeconomic variables...............................................................................................62 4.9.2. Macroeconomic variables..............................................................................................66 CONCLUSION OF CHAPTER 4 .........................................................................70 CHAPTER 5: CONCLUSIONS AND RECOMMENDATIONS.......................71 5.1. Conclusions about the study...............................................................................71 5.2. Some suggested solutions ..................................................................................72 5.3. Limitations of the graduate thesis and direction for future research .................74 5.3.1. Limitations of the research............................................................................................74 5.3.2. Direction for future research.........................................................................................75 CONCLUSION OF CHAPTER 5 .........................................................................76 REFERENCES...........................................................................................................i APPENDIX...............................................................................................................iv
viii LIST OF ABBREVIATIONS Number Acronym Meaning 1 CAP Equity-to-asset ratio 2 CR Credit risk 3 EVFTA European-Vietnam Free Trade Agreement 4 FEM Fixed Effects Model 5 FGLS Feasible Generalized Least Squares 6 GDP Gross domestic product 7 GMM Generalized method of moments 8 INF Inflation rate 9 NPL Non-performing loans 10 OLS Ordinary least squares 11 PROF Bank profitability 12 REM Random Effects Model 13 ROA Return on assets 14 ROE Return on equity 15 SBV State bank of Vietnam 16 S-GMM System generalized method of moments
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