BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƢỚC VIỆT NAM TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP.HỒ CHÍ MINH LÊ TRẦN TRỌNG NHÂN MỐI QUAN HỆ GIỮA RỦI RO THANH KHOẢN VÀ RỦI RO TÍN DỤNG CỦA CÁC NGÂN HÀNG TMCP VIỆT NAM LUẬN VĂN THẠC SĨ TP HỒ CHÍ MINH – NĂM 2021 BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƢỚC VIỆT NAM TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP.HỒ CHÍ MINH LÊ TRẦN TRỌNG NHÂN MỐI QUAN HỆ GIỮA RỦI RO THANH KHOẢN VÀ RỦI RO TÍN DỤNG CỦA CÁC NGÂN HÀNG TMCP VIỆT NAM Chuyên ngành: Tài – Ngân hàng Mã số: 34 02 01 LUẬN VĂN THẠC SĨ NGƢỜI HƢỚNG DẪN KHOA HỌC: TS LÊ HÀ DIỄM CHI TP HỒ CHÍ MINH – NĂM 2021 i LỜI CAM ĐOAN Tôi tên Lê Trần Trọng Nhân, học viên lớp cao học CH21A, trƣờng Đại học Ngân hàng TP.Hồ Chí Minh Tơi xin cam đoan Luận văn chƣa đƣợc trình nộp để lấy học vị thạc sĩ trƣờng đại học Luận văn cơng trình nghiên cứu riêng tác giả, kết nghiên cứu trung thực, khơng có nội dung đƣợc công bố trƣớc nội dung ngƣời khác thực ngoại trừ trích dẫn đƣợc dẫn nguồn đầy đủ luận văn TP.Hồ Chí Minh, ngày 01 tháng 07 năm 2021 Ngƣời thực LÊ TRẦN TRỌNG NHÂN ii LỜI CẢM ƠN Lời đầu tiên, xin gửi lời cảm ơn đến tập thể giảng viên trƣờng Đại Học Ngân Hàng TP.Hồ Chí Minh truyền đạt cho nhiều kiến thức chung chuyên ngành bổ ích, nên tảng lý thuyết vững cho hội ứng dụng vào thực tiễn Đặc biệt, xin gửi lời cảm ơn chân thành đến giảng viên hƣớng dẫn TS Lê Hà Diễm Chi, ngƣời trực tiếp hỗ trợ, hƣớng dẫn, động viên góp ý tận tình cho luận văn tơi Ngồi ra, tơi xin gửi lời cảm ơn đến gia đình bạn học viên lớp CH21A hỗ trợ tơi q trình học tập nghiên cứu đề tài luận văn Trân trọng cảm ơn! TP.Hồ Chí Minh, ngày 01 tháng 07 năm 2021 LÊ TRẦN TRỌNG NHÂN iii TÓM TẮT LUẬN VĂN Tiêu đề: Mối quan hệ rủi ro khoản rủi ro tín dụng ngân hàng thƣơng mại cổ phần Việt Nam Tóm tắt: Lý chọn đề tài: Rủi ro khoản rủi ro tín dụng ln diện hoạt động ngân hàng Vì việc nghiên cứu, phân tích, đánh giá, xem xét mối quan hệ hai biến rủi ro có ý nghĩa thực tiễn tình hình Mục tiêu nghiên cứu: Kiểm chứng mối quan hệ rủi ro khoản rủi ro tín dụng Phƣơng pháp nghiên cứu: Bài nghiên cứu sử dụng mẫu số liệu hầu hết ngân hàng thƣơng mại Việt Nam từ năm 2008 đến năm 2019 để phân tích mối quan hệ rủi ro khoản rủi ro tín dụng Sử dụng liệu bảng phân tích hồi quy phƣơng pháp SGMM để khắc phục tƣợng tự tƣơng quan bậc sai số tƣợng biến nội sinh, để đảm bảo ƣớc lƣợng thu đƣợc vững hiệu Kết nghiên cứu: Dựa kết nghiên cứu nhận thấy có mối quan hệ rủi ro khoản rủi ro tín dụng với kết có ý nghĩa thống kê, mối quan hệ thuận chiều Kết luận hàm ý: Nghiên cứu tác giả có ý nghĩa thực tiễn Đầu tiên, nghiên cứu cung cấp cho nhà quản lý ngân hàng hiểu biết thêm rủi ro ngân hàng đóng vai trị tảng cho nổ lực pháp lý gần nhằm tăng cƣờng quản lý chung rủi ro khoản rủi ro tín dụng Thứ hai, từ kết nghiên cứu ngụ ý việc quản lý chung rủi ro khoản rủi ro tín dụng tăng tính ổn định ngân hàng Từ khóa: rủi ro khoản, rủi ro tín dụng, mối quan hệ rủi ro khoản rủi ro tín dụng iv THESIS SUMMARY Title: Relationship between credit risk and liquidity risk of Vietnammese joint stock commercial banks Abstract: Reason for writing: Liquidity risk and credit risk are always present in the operations of banks Therefore, the research, analysis, evaluation and consideration of the relationship between these two risk variables are of more practical significance in the current situation Problem: Verify the relationship between liquidity risk and credit risk Methods: This study use a sample of virtually all Vietnammese commercial banks during the period 2008 to 2019 to analyze the relationship between liquidity risk and credit risk Panel data and SGMM technique were used to overcome the Autocorrelation and Endogenneity in Regression Analysis to get efficient and consistent estimators Results: We found that credit risk and liquidity risk have an economically meaningful reciprocal contemporaneous and a positive relationship Conclusion: Our findings have several interesting policy implications First, these findings provide bank managers with more understanding of bank risk and serve as an underpinning for recent regulatory efforts aimed at strengthening the joint risk management of liquidity and credit risks Second, our results imply that a joint management of liquidity and credit risks in a bank could increase banking stability Keyword: Liquidity risk, Credit risk, Relationship between liquidity risk and credit risk v DANH MỤC CÁC TỪ VIẾT TẮT VÀ KÝ HIỆU STT Ký hiệu FEM GLS OLS REM GMM RRTK RRTD GDP 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 INF LRR CRR SIZE Tiếng Anh Fixed Effect Model Generalized Least Square Ordinary Least Square Random Effect Model Generalized method of moments Liquidity risk Credit risk Gross Domestic Product Inflation Tiếng Việt Mơ hình tác động cố định Phƣơng pháp bình phƣơng tối thiểu tổng quát Phƣơng pháp bình phƣơng tối thiểu Mơ hình tác động ngẫu nhiên Phƣơng pháp hồi quy tổng quát Rủi ro khoản Rủi ro tín dụng Tổng sản phẩm quốc nội Lạm phát Biến trễ 01 năm RRTK Biến trễ 01 năm RRTD Quy mô ngân hàng LG ROE EAT LIA LLR TLA ROA CIR LTD NHTM NHTMCP NHTMNN Tăng trƣởng tín dụng Tỷ suất lợi nhuận vốn chủ sở hữu Vốn chủ sở hữu tổng tài sản Tài sản khoản cao tài sản Tài sản khoản cao tổng dƣ nợ Tổng dƣ nợ tổng tài sản Tỷ suất lợi nhuận tài sản Chi phí hoạt động thu nhập Tổng dƣ nợ vốn huy động Ngân hàng thƣơng mại Ngân hàng thƣơng mại cổ phần Ngân hàng thƣơng mại Nhà nƣớc TMCP NHNN TCTD Thƣơng mại cổ phần Ngân hàng Nhà nƣớc Tổ chức tín dụng vi MỤC LỤC CHƢƠNG GIỚI THIỆU ĐỀ TÀI NGHIÊN CỨU 1.1 Vấn đề nghiên cứu 1.2 Mục tiêu nghiên cứu 1.2.1 Mục tiêu tổng quát 1.2.2 Mục tiêu cụ thể 1.3 Câu hỏi nghiên cứu 1.4 Đối tƣợng phạm vi nghiên cứu 1.4.1 Đối tƣợng nghiên cứu 1.4.2 Phạm vi nghiên cứu 1.5 Phƣơng pháp quy trình nghiên cứu 1.5.1 Phƣơng pháp nghiên cứu 1.5.2 Qui trình nghiên cứu 1.6 Đóng góp đề tài 1.7 Kết cấu đề tài CHƢƠNG CƠ SỞ LÝ THUYẾT VÀ TÓM TẮT CÁC NGHIÊN CỨU THỰC NGHIỆM CÁC YẾU TỐ TÁC ĐỘNG ĐẾN RỦI RO THANH KHOẢN VÀ RỦI RO TÍN DỤNG CỦA NGÂN HÀNG THƢƠNG MẠI 2.1 Tổng quan ngân hàng thƣơng mại 2.2 Các lý thuyết rủi ro khoản 2.2.1 Lý thuyết cho vay thƣơng mại khoản (Commercial Loan Theory and Liquidity) 2.2.2 Lý thuyết khả thay đổi (The Shiftability Theory) 2.2.3 Lý thuyết lợi tức dự tính (Anticipated Income Theory) 2.3 Khái niệm khoản sở lý luận rủi ro khoản 2.3.1 Khái niệm khoản 2.3.2 Khái niệm rủi ro khoản 2.3.3 Nguyên nhân rủi ro khoản 10 2.3.4 Hậu rủi ro khoản 13 2.3.5 Các tiêu đánh giá rủi ro khoản 15 2.3.5.1 Phƣơng pháp tiến cận tỷ lệ đảm bảo theo quy định Basel 15 2.3.5.2 Phƣơng pháp tiếp cận số khoản 16 2.3.6 Các yếu tố tác động đến rủi ro khoản 17 2.3.6.1 Tổng hợp yếu tố tác động đến rủi ro khoản 17 2.3.6.2 Lƣợc khảo nghiên cứu có liên quan đến rủi ro khoản 18 vii 2.4 Các lý thuyết rủi ro tín dụng 20 2.4.1 Lý thuyết thông tin bất cân xứng 20 2.4.2 Lý thuyết chi phí đại diện 21 2.5 Khái niệm tín dụng sở lý luận rủi ro tín dụng 23 2.5.1 Khái niệm tín dụng 23 2.5.2 Khái niệm rủi ro tín dụng 24 2.5.3 Các nguyên nhân gây rủi ro tín dụng ngân hàng thƣơng mại 25 2.5.4 Hậu rủi ro tín dụng 28 2.5.5 Các tiêu đánh giá rủi ro tín dụng 29 2.5.5.1 Đánh giá rủi ro tín dụng trực tiếp 29 2.5.5.2 Đánh giá rủi ro tín dụng gián tiếp 31 2.5.6 2.5.6.1 Tổng hợp yếu tố tác động đến rủi ro tín dụng 32 2.5.6.2 Lƣợc khảo nghiên cứu có liên quan đến rủi ro tín dụng 33 CHƢƠNG 3: PHƢƠNG PHÁP NGHIÊN CỨU 38 3.1 Các yếu tố ảnh hƣởng đến rủi ro khoản nghiên cứu lần 38 3.1.1 Các yếu tố nội ngân hàng 38 3.1.2 Các yếu tố vĩ mô 43 3.2 Các yếu tố ảnh hƣởng đến rủi ro tín dụng nghiên cứu lần 44 3.2.1 Các yếu tố nội ngân hàng 44 3.2.2 Các yếu tố vĩ mô 49 3.3 Mối quan hệ rủi ro khoản rủi ro tín dụng 51 3.3.1 Mối quan hệ thuận chiều rủi ro khoản rủi ro tín dụng 51 3.3.2 Mối quan hệ nghịch chiều rủi ro khoản rủi ro tín dụng 52 3.3.3 Khơng có mối quan hệ rủi ro khoản rủi ro tín dụng 53 3.3.4 Tổng hợp nghiên cứu mối quan hệ RRTK & RRTD 54 3.4 Phƣơng pháp nghiên cứu 54 3.4.1 Dữ liệu bảng (Panel data) 55 3.4.2 Cơ sở lý thuyết phƣơng pháp GMM 55 3.5 Kết luận phƣơng pháp nghiên cứu & sở lựa chọn SGMM 58 3.6 Mơ hình nghiên cứu 59 3.6.1 Đo lƣờng rủi ro khoản áp dụng nghiên cứu lần 59 3.6.2 Đo lƣờng rủi ro tín dụng áp dụng nghiên cứu lần 59 3.6.3 Mơ hình nghiên cứu lựa chọn lần 61 3.7 Các yếu tố tác động đến rủi ro tín dụng 32 Dữ liệu nghiên cứu 67 CHƢƠNG 4: KẾT QUẢ NGHIÊN CỨU VÀ THẢO LUẬN 69 viii 4.1 Thực trạng rủi ro khoản rủi ro tín dụng ngân hàng thƣơng mại Việt Nam 69 4.1.1 Thực trạng rủi ro khoản NHTM Việt Nam 69 4.1.2 Thực trạng rủi ro tín dụng ngân hàng thƣơng mại Việt Nam 73 4.2 Mô tả thống kê biến 77 4.3 Phân tích hồi quy 80 4.3.1 Ma trận 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http://tapchitaichinh.vn/nganhang/quan-ly-no-xau-tai-mot-so-ngan-hang-thuong-mai-va-bai-hoc-kinh-nghiem307699.html, [truy cập ngày 29/05/2019] 213 Phạm Thái Hà (2017), Nghiên cứu tiêu đánh giá rủi ro tín dụng ngân hàng thƣơng mại, Địa chỉ: http://tapchitaichinh.vn/kinh-te-vi-mo/nghien-cuu chi-tieu -danh-gia -rui-ro -tin-dung -cua-cac- ngan-hang- thuong-mai-129214.html, [truy cập ngày 16/09/2017] 214 Nguyễn Thị Tuyết Nga (2019), Những yếu tố tác động đến khoản ngân hàng thƣơng mại Việt Nam, Địa chỉ: http://tapchitaichinh.vn/nganhang/nhung-yeu-to-tac-dong-den-thanh-khoan-tai-cac-ngan-hang-thuong-mai-vietnam-311931.html, [truy cập ngày 01/09/2019] 215 Nguyễn Thanh Phong (2020), Tác động rủi ro tín dụng đến khả phá sản ngân hàng thƣơng mại Việt Nam, Địa chỉ: http://tapchitaichinh.vn/ngan-hang/tac-dong-cua-rui-ro-tin-dung-den-kha-nang-phasan-cac-ngan-hang-thuong-mai-viet-nam-318312.html, [truy cập ngày 30/01/2020] xx 216 Đỗ Đoan Trang (2019), Về quản trị rủi ro tín dụng ngân hàng thƣơng mại 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https://tapchitaichinh.vn/nganhang/quan-tri-rui-ro-thanh-khoan-tai-cac-ngan-hang-thuong-mai-tren-dia-ban-tpda-nang-336854.html, [truy cập ngày 01/08/2021] 221 Tạp chí Ngân hàng (2019), Thanh khoản hệ thống ngân hàng thƣơng mại Việt Nam: Thực trạng khuyến nghị, Địa chỉ: http://tapchinganhang.gov.vn/thanh-khoan-he-thong-ngan-hang-thuong-mai-vietnam-thuc-trang-va-khuyen-nghi.htm, [truy cập ngày 19/07/2019] 222 Tạp chí Ngân hàng (2019), Tình hình xử lý nợ xấu Việt Nam qua giai đoạn-các vấn đề cần quan tâm khuyến nghị, Địa chỉ: http://tapchinganhang.gov.vn/tinh-hinh-xu-ly-no-xau-tai-viet-nam-qua-cac-giaidoan-cac-van-de-can-quan-tam-va-khuyen-nghi.htm, [truy cập ngày 19/07/2019] xxi PHỤ LỤC Dữ liệu nghiên cứu YEAR 2011 2012 2013 2014 2015 2016 2017 2018 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 BANK ABB ABB ABB ABB ABB ABB ABB ABB ACB ACB ACB ACB ACB ACB ACB ACB ACB ACB BAB BAB BAB BAB BID BID BID BID BID BID BID BID BID BID BVB BVB BVB BVB BVB BVB BVB BVB CTG CTG CTG CTG CTG CTG CTG CTG CTG CTG DAB DAB DAB DAB DAB EIB EIB EIB EIB EIB EIB EIB EIB EIB EIB HDB HDB HDB HDB HDB HDB HDB HDB HDB HDB KLB KLB KLB KLB KLB KLB KLB KLB KLB KLB LR -0.18513 -0.240634 -0.249779 -0.285787 -0.308058 -0.207566 -0.161245 -0.133944 -0.130627 -0.146276 -0.300918 -0.255018 -0.1855 -0.171077 -0.136559 -0.109283 -0.109483 -0.102865 -0.144191 -0.147872 -0.130102 -0.060391 0.0769142 0.1075869 0.1171732 0.1131734 0.0784585 0.064574 0.0593258 0.03941 0.0163125 0.000614 -0.227195 -0.262165 -0.187458 -0.202325 -0.242021 -0.251151 -0.168146 -0.07818 0.0729207 0.0636398 0.0404215 0.0387184 0.0243069 0.0291002 0.0434249 0.0357646 0.0308449 0.029131 0.0911696 0.0755336 0.0647197 -0.027971 -0.16741 -0.015914 -0.090394 -0.194046 -0.18231 -0.190876 -0.277541 -0.206066 -0.115967 -0.097222 -0.12139 -0.109356 -0.204208 -0.239629 -0.127242 -0.192752 -0.231344 -0.115548 -0.093427 -0.05851 0.0335052 -0.000507 -0.059804 -0.144925 -0.119527 -0.102316 -0.125346 -0.114998 -0.112201 -0.05309 0.0080706 LRR -0.100927 -0.18513 -0.240634 -0.249779 -0.285787 -0.308058 -0.207566 -0.161245 -0.062776 -0.130627 -0.146276 -0.300918 -0.255018 -0.1855 -0.171077 -0.136559 -0.109283 -0.109483 -0.170592 -0.144191 -0.147872 -0.130102 0.3037863 0.0769142 0.1075869 0.1171732 0.1131734 0.0784585 0.064574 0.0593258 0.03941 0.0163125 -0.18803 -0.227195 -0.262165 -0.187458 -0.202325 -0.242021 -0.251151 -0.168146 0.2776877 0.0729207 0.0636398 0.0404215 0.0387184 0.0243069 0.0291002 0.0434249 0.0357646 0.0308449 0.3685426 0.0911696 0.0755336 0.0647197 -0.027971 0.1534991 -0.015914 -0.090394 -0.194046 -0.18231 -0.190876 -0.277541 -0.206066 -0.115967 -0.097222 0.1276538 -0.109356 -0.204208 -0.239629 -0.127242 -0.192752 -0.231344 -0.115548 -0.093427 -0.05851 0.1519461 -0.000507 -0.059804 -0.144925 -0.119527 -0.102316 -0.125346 -0.114998 -0.112201 -0.05309 CR 0.0159912 0.0207681 0.0348411 0.0200307 0.0148184 0.0189723 0.0190946 0.0135091 0.0114933 0.011313 0.0146104 0.015056 0.014729 0.0132459 0.013498 0.011289 0.0128161 0.0109995 0.0107573 0.012861 0.0108188 0.0103295 0.0256446 0.0230042 0.0201217 0.0180782 0.016937 0.016866 0.0170322 0.015683 0.0143097 0.0147988 0.014242 0.0207351 0.0188053 0.0178228 0.0116764 0.0115906 0.0213147 0.0142599 0.0169807 0.0129652 0.0125181 0.0099 0.0116041 0.0103433 0.0127529 0.0125423 0.016452 0.0149674 0.0131288 0.0174795 0.0206246 0.0180052 0.018266 0.0165275 0.0100265 0.0081209 0.0094893 0.0122693 0.0099821 0.0125828 0.0121534 0.0105736 0.0103114 0.0103875 0.0119954 0.0141152 0.0329827 0.0109834 0.0168563 0.0162733 0.0141162 0.0128226 0.0131952 0.0126641 0.0135258 0.016882 0.0129194 0.0112544 0.0101873 0.0104692 0.0111242 0.0103389 0.010043 CRR 0.0165906 0.0159912 0.0207681 0.0348411 0.0200307 0.0148184 0.0189723 0.0190946 0.1441157 0.0114933 0.011313 0.0146104 0.015056 0.014729 0.0132459 0.013498 0.011289 0.0128161 0.0133695 0.0107573 0.012861 0.0108188 0.0335594 0.0256446 0.0230042 0.0201217 0.0180782 0.016937 0.016866 0.0170322 0.015683 0.0143097 0.0148537 0.014242 0.0207351 0.0188053 0.0178228 0.0116764 0.0115906 0.0213147 0.0128454 0.0169807 0.0129652 0.0125181 0.0099 0.0116041 0.0103433 0.0127529 0.0125423 0.016452 0.0136237 0.0131288 0.0174795 0.0206246 0.0180052 0.0181612 0.0165275 0.0100265 0.0081209 0.0094893 0.0122693 0.0099821 0.0125828 0.0121534 0.0105736 0.0103096 0.0103875 0.0119954 0.0141152 0.0329827 0.0109834 0.0168563 0.0162733 0.0141162 0.0128226 0.01321 0.0126641 0.0135258 0.016882 0.0129194 0.0112544 0.0101873 0.0104692 0.0111242 0.0103389 SIZE 17.498642 17.594638 17.7633 17.951417 18.003949 18.053567 18.189219 18.284294 19.043899 19.308824 19.247762 18.959821 18.969405 19.065141 19.197854 19.372333 19.541787 19.691631 18.059698 18.244661 18.363111 18.444992 19.618686 19.771378 19.914191 20.062751 20.211378 20.436257 20.649121 20.822517 20.952519 21.06086 16.416079 16.399816 16.525946 16.834811 17.127228 17.2966 17.543049 17.773857 19.538274 19.841758 19.993594 20.106986 20.243212 20.395189 20.577189 20.74491 20.84526 20.902657 17.711338 17.921633 18.026354 18.09355 18.210131 18.403327 18.873913 18.990878 18.951284 18.924268 18.778158 18.658323 18.7506 18.832862 18.891279 17.102356 17.497046 17.705372 18.056905 18.346772 18.450291 18.670584 18.950216 19.127217 19.221638 16.123841 16.539335 16.717761 16.810062 16.917307 17.002404 17.143658 17.338598 17.499837 17.659288 LG 0.0019421 -0.058232 0.2607717 0.0982121 0.1904628 0.2872641 0.2036961 0.0893827 0.3982991 0.1790703 5.536E-05 0.0425539 0.0852135 0.1443491 0.2275162 0.2148832 0.1612678 0.1655914 0.1547331 0.1514174 0.1551007 0.1403259 0.2315369 0.1563606 0.1564503 0.1503614 0.1397779 0.3258393 0.2247014 0.197856 0.1405647 0.1296461 0.188376 -0.003354 0.1885524 0.2359065 0.3159712 0.1932699 0.4164424 0.1919824 0.4353381 0.2528962 0.1360501 0.1287898 0.168966 0.2232728 0.230278 0.1944149 0.0938902 0.069748 0.1135966 0.1443387 0.1480146 0.048174 -0.024086 0.6240159 0.2097572 0.0034684 0.1125425 0.0454963 -0.027388 0.0251479 0.166104 0.0268272 0.0885427 0.4360083 0.1807263 0.5271629 1.0820341 -0.049306 0.351158 0.4537848 0.2708766 0.1783268 0.1883572 0.4378116 0.1991058 0.1522659 0.2525075 0.1152512 0.1989816 0.2187975 0.2488594 0.1938989 0.1359817 ROE 0.0650096 0.0814837 0.0244691 0.0204664 0.0157642 0.0417485 0.0798936 0.1040812 0.2052249 0.2682345 0.0621049 0.0660972 0.0767749 0.0804089 0.0942331 0.1321285 0.2444132 0.2165547 0.0862195 0.0945112 0.095618 0.0958598 0.15515 0.1315745 0.0970324 0.1258025 0.1472314 0.1375269 0.1391263 0.1389751 0.1382517 0.109916 0.069163 0.0288923 0.0332943 0.0320579 0.0257398 0.0283967 0.0336264 0.0155991 0.1887669 0.2191505 0.1817812 0.1066993 0.1033836 0.1015489 0.1133847 0.1165581 0.0802963 0.1275391 0.1216409 0.1629161 0.0945603 0.0557601 0.0047826 0.1343109 0.1864046 0.1352534 0.04487 0.0259847 0.0030426 0.0229716 0.0577377 0.0443839 0.0549949 0.1142708 0.1202199 0.0605203 0.0253032 0.0537384 0.0546225 0.074239 0.1183328 0.1902475 0.1972578 0.0606482 0.1141785 0.1018983 0.0901765 0.0522911 0.0489825 0.0359673 0.0567894 0.0618346 0.0178472 EAT 0.1136944 0.1064954 0.0996825 0.0847164 0.0899462 0.0787696 0.0724067 0.0763212 0.0554685 0.0425561 0.0716047 0.0750557 0.0690235 0.063499 0.0601791 0.0563839 0.0638195 0.0723637 0.0764716 0.0694537 0.0729931 0.0724631 0.0661257 0.0601112 0.054652 0.058426 0.0516748 0.0497672 0.0438342 0.0406177 0.041546 0.0521885 0.1263683 0.2373967 0.1896618 0.1341108 0.1094797 0.0958214 0.0715704 0.0622462 0.0494967 0.0618555 0.0672062 0.094189 0.0835826 0.0719838 0.0635679 0.0582299 0.0579298 0.0604835 0.0970106 0.088694 0.0881113 0.0785507 0.064769 0.1030482 0.0888096 0.0929277 0.0864385 0.0814415 0.1052844 0.104412 0.0954089 0.0974997 0.0940042 0.0685574 0.0787917 0.1021875 0.0997319 0.0891644 0.0882033 0.0661545 0.0779526 0.0778874 0.0888154 0.2554094 0.1936296 0.1853973 0.1626305 0.1456076 0.1332168 0.1104688 0.0951487 0.0886354 0.0742143 LIA 0.2222003 0.287378 0.3113672 0.3069226 0.2159766 0.1960576 0.1851194 0.1352321 0.2328604 0.3382679 0.1870571 0.073976 0.0579758 0.0870832 0.0719474 0.0777586 0.108044 0.1230716 0.0935989 0.1537552 0.1216018 0.1259031 0.1888014 0.1686957 0.1526309 0.0305354 0.1207884 0.1123447 0.1086984 0.1297338 0.1255151 0.1366764 0.271458 0.3513404 0.3108325 0.3394604 0.2367986 0.1274675 0.1500302 0.1759586 0.159939 0.1764354 0.1438912 0.149336 0.1360407 0.106484 0.1256025 0.1225931 0.1380263 0.1324421 0.2036195 0.2114955 0.1353571 0.1307162 0.1602699 0.1183795 0.4030709 0.4289821 0.3627864 0.2752441 0.1008436 0.1092117 0.139286 0.1822392 0.2042847 0.2932733 0.2624381 0.1683344 0.1573511 0.2756111 0.1522174 0.1504073 0.1336 0.1847081 0.1358434 0.1755429 0.2886777 0.1987071 0.1901946 0.1811659 0.1066718 0.1409169 0.1834761 0.1836922 0.2656023 LLR 0.4634901 0.7050265 0.7588093 0.7973495 0.4497262 0.3654093 0.3265625 0.2332241 0.5477414 0.9246241 0.3207668 0.1149765 0.0895174 0.1317427 0.1028923 0.1113679 0.1543526 0.1756592 0.1491393 0.2571677 0.1861445 0.1879353 0.2720463 0.2328702 0.2176756 0.0428227 0.1762504 0.1617285 0.1511606 0.1799279 0.1666831 0.1823419 0.5412176 0.7059398 0.6641291 0.8447267 0.5688358 0.2866351 0.3393883 0.3818908 0.2511115 0.2769507 0.2173458 0.2287405 0.2044718 0.1542569 0.1800018 0.1697848 0.1858223 0.1758554 0.3003842 0.3198636 0.188465 0.1877782 0.2742953 0.2514815 0.9909889 0.9742613 0.7391825 0.5087996 0.1485408 0.1618876 0.2053316 0.2673827 0.3021993 0.8599314 0.8533049 0.4201456 0.3081467 0.6552888 0.2865867 0.2749229 0.2420648 0.3241047 0.2130402 0.3162929 0.6131312 0.3812862 0.3351409 0.309441 0.1665539 0.2170883 0.2774332 0.2637073 0.4053361 TLA 0.4794069 0.407613 0.4103365 0.3849286 0.4802401 0.5365425 0.5668728 0.5798374 0.4251285 0.3658437 0.5831561 0.6434014 0.6476488 0.6610097 0.6992494 0.6982136 0.6999816 0.7006269 0.6275941 0.5978789 0.6532655 0.6699281 0.6940048 0.7244194 0.701185 0.7130652 0.6853228 0.6946497 0.7190922 0.7210322 0.7530163 0.7495613 0.5015691 0.4976918 0.4680302 0.4018583 0.4162864 0.4447032 0.4420605 0.4607564 0.6369242 0.6370643 0.6620379 0.6528619 0.6653275 0.6903031 0.6977848 0.7220494 0.7427861 0.7531306 0.6778635 0.6612051 0.7182078 0.6961201 0.5842968 0.4707284 0.4067361 0.4403153 0.490794 0.5409676 0.6788948 0.6746142 0.6783466 0.6815668 0.6759934 0.3410426 0.3075548 0.4006573 0.5106368 0.4205948 0.531139 0.5470892 0.5519182 0.5699025 0.6376422 0.5550013 0.4708253 0.5211494 0.5675064 0.5854618 0.6404641 0.6491226 0.6613345 0.696576 0.6552644 ROA 0.0077204 0.0091208 0.0027125 0.0018702 0.0013847 0.003521 0.0061615 0.0081937 0.0125195 0.0131977 0.0034288 0.0048205 0.0054984 0.0053977 0.0060919 0.0081782 0.0167426 0.0168618 0.0071835 0.0071842 0.0071734 0.0073146 0.0113406 0.0083136 0.0057736 0.0078026 0.0082552 0.0077578 0.0066099 0.0061455 0.0059967 0.0060987 0.0085801 0.006874 0.0070507 0.0050738 0.0031536 0.0028714 0.0028284 0.001036 0.0112369 0.0150759 0.0127608 0.0107278 0.0092329 0.0079104 0.0079134 0.0072732 0.0047944 0.0079207 0.0134019 0.0156011 0.0085623 0.0045514 0.0003331 0.018464 0.0193141 0.0120923 0.0038748 0.0020603 0.0002797 0.0024359 0.005916 0.0043745 0.0054101 0.0100682 0.010741 0.0066749 0.0031307 0.0051346 0.0049807 0.0057491 0.0102847 0.0157947 0.0180472 0.0194485 0.025896 0.0192712 0.0156899 0.0079105 0.0068242 0.0043386 0.0059516 0.0058237 0.0014491 CIR 0.471261 0.6120644 0.6691713 0.6558226 0.6035973 0.5743255 0.5923485 0.5734643 0.3934693 0.4116199 0.7319383 0.6654286 0.6379487 0.6461989 0.6185637 0.5435273 0.4783098 0.5160846 0.5051354 0.4188517 0.4406479 0.50327 0.4827396 0.4315734 0.398256 0.3871292 0.3936661 0.4486526 0.4444567 0.3973742 0.3623159 0.3587671 0.5494848 0.5816882 0.5179456 0.595155 0.5998129 0.5440688 0.4760637 0.5642554 0.4856564 0.4057315 0.4296456 0.4549114 0.4672448 0.4713116 0.4863786 0.4619815 0.4960779 0.376593 0.4830741 0.4550667 0.4938045 0.6098421 0.722455 0.2798192 0.3062213 0.4263682 0.6527593 0.6961753 0.6065633 0.6038202 0.5762642 0.6516575 0.6020005 0.4755239 0.4769466 0.5231988 0.700363 0.6278878 0.5830621 0.6048083 0.5425493 0.4704755 0.4461275 0.3832194 0.3872014 0.5121717 0.5525422 0.6554026 0.6734511 0.7366766 0.7152554 0.7391053 0.8658519 LTD 0.6695596 0.6036225 0.5894164 0.5403689 0.6375802 0.7506746 0.7734177 0.8381665 0.7502732 0.6590358 0.6602003 0.769802 0.7708391 0.7950162 0.8470698 0.8587894 0.8538093 0.872038 0.8118447 0.7731734 0.8738711 0.9490191 1.171548 1.2054012 1.2298106 1.1834125 1.1025223 1.1309433 1.0758039 1.0531765 0.9990579 1.0024792 0.6343337 0.6779088 0.713624 0.594442 0.6081522 0.6291074 0.7437614 0.9520847 1.199713 1.071725 1.0674664 1.0668032 1.0198865 1.0733894 1.0739879 1.0431734 1.047359 1.0363666 1.1230759 1.1530128 1.0690942 0.8756403 0.7005234 0.9476487 0.7148879 0.6738766 0.7645712 0.7086357 0.7169045 0.8158498 0.8708177 0.8765624 0.8131537 0.6531076 0.532453 0.6168298 0.8333277 0.5861017 0.7415807 0.8455149 0.8369705 0.9615146 1.1611334 0.9869297 0.8045101 0.7433337 0.8729391 0.8203389 0.8272947 0.8452833 0.8383951 1.0091021 1.0169763 GDP 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 INF 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 xxii 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2013 2014 2015 2016 2017 2018 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 LPB LPB LPB LPB LPB LPB LPB LPB LPB MBB MBB MBB MBB MBB MBB MBB MBB MBB MBB MSB MSB MSB MSB MSB MSB MSB MSB MSB NAB NAB NAB NAB NAB NAB NAB NAB NAB NAB NVB NVB NVB NVB NVB NVB NVB NVB OCB OCB OCB OCB OCB OCB OCB OCB OCB OCB PGB PGB PGB PGB PGB PGB PGB PGB PGB PGB PVB PVB PVB PVB PVB PVB SCB SCB SCB SCB SCB SCB SCB SCB SCB SCB SEAB SEAB SEAB SEAB SEAB SEAB SEAB SEAB SGB SGB SGB SGB SGB SGB -0.233107 -0.327455 -0.339542 -0.33823 -0.315864 -0.184499 -0.155419 -0.09848 -0.005145 -0.109623 -0.180043 -0.24246 -0.278001 -0.27012 -0.254046 -0.197213 -0.148851 -0.100888 -0.057908 -0.178419 -0.34638 -0.433998 -0.462867 -0.46365 -0.426934 -0.374853 -0.260641 -0.160827 -0.001632 -0.019298 -0.064957 -0.069279 -0.08804 -0.1122 -0.158018 -0.124503 -0.045879 -0.034708 -0.041395 -0.074271 -0.172398 -0.221846 -0.217639 -0.20913 -0.173177 -0.205778 0.0502979 -0.007719 -0.004561 -0.010024 -0.108285 -0.147843 -0.104783 -0.083623 -0.06127 -0.008876 -0.039453 -0.074291 -0.039391 -0.045944 -0.18502 -0.245244 -0.175801 -0.087343 -0.050415 -0.047196 0.1806789 -0.079597 -0.28617 -0.277925 -0.244804 -0.228547 -0.068848 -0.008917 0.0034487 -0.126149 -0.186233 -0.188201 -0.180537 -0.15424 -0.152962 -0.165022 -0.063337 -0.187862 -0.175963 -0.160322 -0.132331 -0.090625 -0.035407 0.0077895 0.0346735 0.0048475 0.0077092 -0.003017 -0.009871 -0.040817 -0.115837 -0.233107 -0.327455 -0.339542 -0.33823 -0.315864 -0.184499 -0.155419 -0.09848 0.0387629 -0.109623 -0.180043 -0.24246 -0.278001 -0.27012 -0.254046 -0.197213 -0.148851 -0.100888 0.0379995 -0.178419 -0.34638 -0.433998 -0.462867 -0.46365 -0.426934 -0.374853 -0.260641 0.0222482 -0.001632 -0.019298 -0.064957 -0.069279 -0.08804 -0.1122 -0.158018 -0.124503 -0.045879 0.0069875 -0.030688 -0.074271 -0.172398 -0.221846 -0.217639 -0.20913 -0.173177 0.3962683 0.0502979 -0.007719 -0.004561 -0.010024 -0.108285 -0.147843 -0.104783 -0.083623 -0.06127 0.0810667 -0.039453 -0.074291 -0.039391 -0.045944 -0.18502 -0.245244 -0.175801 -0.087343 -0.050415 0.9029276 0.1806789 -0.079597 -0.28617 -0.277925 -0.244804 0.2245762 -0.068848 -0.008917 0.0034487 -0.126149 -0.186233 -0.188201 -0.180537 -0.15424 -0.152962 0.079516 -0.198438 -0.187862 -0.175963 -0.160322 -0.132331 -0.090625 -0.035407 0.3792874 0.0346735 0.0048475 0.0077092 -0.003017 -0.009871 0.0119139 0.0316204 0.0258295 0.0160231 0.0168259 0.017278 0.0154298 0.0147381 0.0144353 0.024954 0.0223897 0.022233 0.0237712 0.0280677 0.019652 0.0168961 0.0141019 0.0174333 0.0149097 0.0129966 0.0114518 0.0198819 0.0253329 0.0198078 0.0255707 0.0160912 0.0122107 0.0274461 0.0109016 0.0100384 0.0111482 0.0111662 0.0129871 0.0122991 0.0186682 0.0350817 0.0212402 0.0156188 0.0147809 0.0162668 0.0144994 0.0125843 0.014209 0.0141702 0.0122259 0.0119744 0.0103477 0.015049 0.0224913 0.0119177 0.0150244 0.0113577 0.0119766 0.0104947 0.0117333 0.0128688 0.0169246 0.0170485 0.0262792 0.0135677 0.0124565 0.0122685 0.0110405 0.0130139 0.0104981 0.0115655 0.0324926 0.0266551 0.0173902 0.0208793 0.0182822 0.0171992 0.0245478 0.0497681 0.0149739 0.0112226 0.0073492 0.0054293 0.0072361 0.0105781 0.0101989 0.0097323 0.0335784 0.0302974 0.0237846 0.0114217 0.0126992 0.0102473 0.0127871 0.0134606 0.0152038 0.0230132 0.0097879 0.0093459 0.0087069 0.0081762 0.0144356 0.0119139 0.0316204 0.0258295 0.0160231 0.0168259 0.017278 0.0154298 0.0147381 0.0284098 0.024954 0.0223897 0.022233 0.0237712 0.0280677 0.019652 0.0168961 0.0141019 0.0174333 0.0154437 0.0129966 0.0114518 0.0198819 0.0253329 0.0198078 0.0255707 0.0160912 0.0122107 0.0068516 0.0109016 0.0100384 0.0111482 0.0111662 0.0129871 0.0122991 0.0186682 0.0350817 0.0212402 0.0129376 0.0169213 0.0162668 0.0144994 0.0125843 0.014209 0.0141702 0.0122259 0.0124595 0.0103477 0.015049 0.0224913 0.0119177 0.0150244 0.0113577 0.0119766 0.0104947 0.0117333 0.0199029 0.0169246 0.0170485 0.0262792 0.0135677 0.0124565 0.0122685 0.0110405 0.0130139 0.0104981 0.1780108 0.0324926 0.0266551 0.0173902 0.0208793 0.0182822 0.0146649 0.0245478 0.0497681 0.0149739 0.0112226 0.0073492 0.0054293 0.0072361 0.0105781 0.0101989 0.0212291 0.0240449 0.0302974 0.0237846 0.0114217 0.0126992 0.0102473 0.0127871 0.0153949 0.0152038 0.0230132 0.0097879 0.0093459 0.0087069 17.634508 17.930842 18.106018 18.317518 18.461771 18.641632 18.843655 18.946971 19.055013 18.307688 18.637624 18.873161 18.997185 19.064743 19.166257 19.29051 19.468239 19.638857 19.773693 18.310967 18.559186 18.535341 18.502437 18.476511 18.463165 18.405146 18.444616 18.643855 16.358955 16.635296 16.679025 16.924348 17.31315 17.409571 17.483186 17.700075 17.986036 18.256492 16.872126 17.047492 17.310675 17.565803 17.886595 18.070077 18.094006 18.151599 16.599777 16.93167 17.08989 17.220357 17.397502 17.605842 17.85207 18.120354 18.338734 18.507427 16.410647 16.647559 16.728757 16.909427 17.047403 17.04356 17.024456 17.113613 17.203244 17.241723 17.878079 18.466718 18.454618 18.481605 18.605065 18.709922 17.864468 18.287132 18.698387 18.922135 19.170304 19.439051 19.6344 19.814092 19.981963 20.104157 17.574832 18.165344 18.197838 18.227948 18.359453 18.553348 18.703964 18.819072 16.480048 16.63679 16.576696 16.508016 16.540355 16.636058 0.2972874 0.80226 0.2851607 0.3973568 0.3602812 0.418614 0.2628775 0.1845752 0.1789461 0.6492052 0.2100198 0.26139 0.1780962 0.1461781 0.2066206 0.2421871 0.2219116 0.1655797 0.1660317 0.3431036 0.1860977 -0.233341 -0.05301 -0.142284 0.1948961 0.2501681 0.0311465 0.3465508 0.052236 0.1900694 0.0965482 0.689514 0.3709209 0.3155302 0.1520573 0.5119223 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0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 xxiii 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2017 2018 2019 2010 2011 2012 2013 2014 2015 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 SGB SGB SGB SGB SHB SHB SHB SHB SHB SHB SHB SHB SHB SHB STB STB STB STB STB STB STB STB STB STB TCB TCB TCB TCB TCB TCB TCB TCB TCB TCB TPB TPB TPB TPB TPB TPB TPB TPB VAB VAB VAB VAB VAB VAB VAB VAB VAB VAB VTB VTB VTB CAB CAB CAB CAB CAB CAB CAB CAB CAB VCB VCB VCB VCB VCB VCB VCB VCB VCB VCB VIB VIB VIB VIB VIB VIB VIB VIB VIB VIB VPB VPB VPB VPB VPB VPB VPB VPB VPB VPB -0.089856 -0.102839 -0.081176 -0.046425 -0.09433 -0.164076 -0.131279 -0.126928 -0.121958 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0.2034143 0.3027307 0.3299925 0.2100714 0.2614966 0.2905696 0.2368965 0.2270746 0.325214 0.2549898 0.2428076 0.2982899 0.3167242 0.1542489 0.1249425 0.1209167 0.1008513 0.1341684 0.1208106 0.0861392 0.1312067 0.2092694 0.2958842 0.2817973 0.1247553 0.1162954 0.0953886 0.0616287 0.0956071 0.0904929 0.0689556 0.204028 0.2907751 0.2470064 0.4072171 0.51212 0.6620124 0.5862165 0.4285049 0.323153 0.2744796 0.2102948 0.1951819 0.1636669 0.1720496 0.4547087 0.3015406 0.2270929 0.1356588 0.0994868 0.0876285 0.0870545 0.0744029 0.0811055 0.1132661 1.0302666 0.8316819 0.606578 0.2923239 0.2840874 0.1809094 0.1899468 0.228597 0.3046256 0.2426456 0.4304126 0.5347075 0.8228071 0.7839513 0.5566138 0.412012 0.289765 0.3182576 0.3774921 0.2985243 0.2614955 0.158562 0.1975468 0.2674556 0.3562078 0.3760752 0.4227018 0.3480349 0.1844121 0.238322 0.271898 0.7845784 1.1322564 1.0405467 0.7075341 0.3493605 0.2960599 0.2479563 0.2593198 0.310008 0.5266917 0.5778672 0.3610445 0.4470798 0.5185204 0.4126593 0.3882742 0.619563 0.4334233 0.4045041 0.6706685 0.7059364 0.2959757 0.2725687 0.2554627 0.1779654 0.2330171 0.1863028 0.1246913 0.1873979 0.4942312 0.8396663 0.7840218 0.2883015 0.2422111 0.1583299 0.0974531 0.145375 0.1318043 0.1011378 0.6580068 0.6616262 0.6710218 0.638108 0.4723041 0.4107908 0.4885952 0.5327014 0.6158214 0.6420349 0.6744522 0.6932992 0.6712186 0.7253087 0.5412853 0.5693095 0.6332854 0.6851372 0.6744639 0.63663 0.5989333 0.6050624 0.6320125 0.6526502 0.3481033 0.351471 0.3793702 0.4422681 0.4565477 0.5814036 0.6059403 0.5970809 0.4982702 0.6015177 0.402307 0.3716647 0.3853911 0.3705067 0.4409349 0.5109836 0.5667902 0.5810898 0.5518631 0.514288 0.523809 0.532262 0.4445559 0.4839683 0.4948441 0.5311815 0.5318476 0.5573815 0.6913291 0.6869339 0.5936445 0.4408536 0.258147 0.3764371 0.4351308 0.5038114 0.5466471 0.6273515 0.6377967 0.6561581 0.5747778 0.5710524 0.5818434 0.5848991 0.5603822 0.5740729 0.5848305 0.5249087 0.5883158 0.60026 0.4447651 0.4486583 0.5211539 0.4583892 0.4733242 0.5666907 0.5757877 0.6484637 0.6908195 0.7001505 0.4234241 0.3523831 0.3594253 0.432725 0.4801407 0.6024675 0.6323934 0.6576587 0.68657 0.6817988 0.0075768 0.0027049 0.001997 0.0066976 0.012594 0.0123425 0.000278 0.0065324 0.0050573 0.004255 0.0041003 0.0058437 0.0054894 0.007137 0.0145995 0.0140643 0.0068284 0.014221 0.0125658 0.0026894 0.000284 0.0033735 0.0046227 0.0057115 0.0170687 0.0190662 0.0042483 0.0038903 0.0064627 0.0083132 0.0147364 0.0255395 0.0287069 0.0290233 0.0058168 0.0161575 0.0128253 0.0088045 0.006211 0.0083828 0.0138705 0.0205726 0.0133566 0.0106473 0.0069642 0.0023282 0.0015169 0.0021161 0.0019243 0.0015695 0.0017449 0.0033038 0.0067097 0.0069091 0.0078021 0.009871 0.0214287 0.0108488 0.0047154 0.0066383 0.0019419 0.0009278 0.0021823 0.0025698 0.0152075 0.0124471 0.0112581 0.0098656 0.0087315 0.0084928 0.0093436 0.0099725 0.0138642 0.0161235 0.0105133 0.0066989 0.0064605 0.0007082 0.0066356 0.0063171 0.0059497 0.0098761 0.0167267 0.0201818 0.0115243 0.0112139 0.0069372 0.0090884 0.0088124 0.0134178 0.0186209 0.0254313 0.024476 0.0235837 0.5780389 0.5328125 0.4595135 0.5624584 0.4572751 0.5052366 0.5711917 0.7858281 0.4986758 0.5278657 0.5049744 0.4489807 0.4780358 0.4209408 0.4307219 0.5313486 0.6061612 0.5533291 0.5407139 0.6218752 0.8695538 0.7329882 0.6712232 0.6331048 0.3364573 0.315092 0.5717453 0.5941508 0.4722323 0.394138 0.3528579 0.2874657 0.3183968 0.3470884 0.6327595 0.4758033 0.5777139 0.5110476 0.5762901 0.537881 0.505916 0.3984839 0.4120608 0.5053683 0.5930191 0.7636208 0.7241799 0.5013884 0.5084337 0.565114 0.4784045 0.4840372 0.789849 0.6450716 0.6025436 0.5369307 0.3599073 0.527824 0.679444 0.6692346 0.7771748 0.8365636 0.7416429 0.7636341 0.3970044 0.3832913 0.3987309 0.4026516 0.3958425 0.391771 0.3993839 0.4035332 0.3465284 0.345918 0.4698733 0.4820329 0.5569662 0.621208 0.4794461 0.6025831 0.6153031 0.570847 0.4419678 0.4216224 0.4159284 0.5177623 0.5792252 0.5576823 0.5872984 0.4717655 0.392638 0.3554279 0.3420845 0.3392611 0.8573992 0.8597851 0.9313731 0.9291024 0.7589028 0.650935 0.7919359 0.7806283 0.8406658 0.8268912 0.8945752 0.9486155 0.9634353 1.0225684 1.0507586 0.9178442 1.0122067 0.9083799 0.8541195 0.8716844 0.7144914 0.7168867 0.7344902 0.7385155 0.6055014 0.5527445 0.5391489 0.5601247 0.6082076 0.7702174 0.8416838 0.8447753 0.7940798 0.997861 0.4302121 0.7867976 0.7237292 0.6118247 0.6744337 0.7131174 1.0137525 1.0346627 0.987127 0.8278756 0.8967436 0.8027656 0.7474569 0.7750284 0.8191737 0.7371093 0.9165767 0.898723 0.8356929 0.8905998 0.8275355 1.1398414 0.8372922 0.755607 0.8332066 0.884408 0.8517731 0.9263347 0.8864056 0.965249 0.7678029 0.8224326 0.8736555 0.806889 0.7758695 0.7675435 0.7701707 0.7718926 0.7879334 0.7913255 0.7321466 0.6328566 0.5968972 0.7588616 0.7080443 0.8126691 0.881064 0.9840578 1.1328748 1.0559246 0.8206281 0.6292878 0.5674954 0.6258559 0.7233612 0.8966274 1.1687216 1.3677656 1.2991564 1.2020775 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0642324 0.062403 0.0524737 0.0542188 0.0598365 0.0667929 0.0621081 0.0681225 0.0707579 0.0702 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 0.088616 0.186755 0.0909422 0.0659226 0.0471002 0.008786 0.0324357 0.0352026 0.0353943 0.0279 xxiv Thống kê mô tả theo Stata 15 summarize LR LRR CR CRR SIZE LG ROE EAT LIA LLR TLA ROA CIR LTD GDP INF, format separator(0) Variable Obs Mean LR LRR CR CRR SIZE LG ROE EAT LIA LLR TLA ROA CIR LTD GDP INF 275 275 275 275 275 275 275 275 275 275 275 275 275 275 275 275 -.1172293 -.0966092 0159799 0172893 18.36068 2241149 0872022 0935822 1771378 3663125 5510871 008409 5412048 8233363 063173 0601217 Std Dev .1175247 1578801 0061615 0139448 1.12485 1985973 0641684 0418233 082175 259108 1215801 0068634 1408811 1791 0059832 0477761 Min Max -.7030362 -.7030362 0009297 0009297 15.56082 -.233341 0020172 0268213 0305354 0428227 2252535 0001526 225069 3260174 0524737 008786 1806789 9029276 0497681 1780108 21.06086 1.130936 2682345 2554094 4289821 1.676945 7531306 0553587 9583001 1.367766 0707579 186755 xxv Ma trận tƣơng quan Mơ hình pwcorr LR CR SIZE LG ROE EAT LIA LLR TLA GDP INF, star(.01) LR LR CR SIZE LG ROE EAT LIA LLR TLA GDP INF 1.0000 -0.1105 1.0000 0.0813 0.0919 0.0244 0.3633* 0.3259* 0.0434 0.0435 -0.0349 -0.1826* 0.1514 -0.3302* 0.1675* 0.5688* -0.2143* 0.2021* -0.2899* 0.0728 0.1746* LLR LLR TLA GDP INF CR TLA SIZE LG ROE EAT LIA 1.0000 -0.0851 1.0000 0.4169* 0.1044 1.0000 -0.6868* -0.0863 -0.1773* 1.0000 -0.2242* 0.1415 0.1093 0.1034 1.0000 -0.2449* 0.1473 0.0421 0.0960 0.9022* 0.2952* -0.1905* 0.1692* -0.0808 -0.5829* 0.2311* -0.0354 0.1928* -0.2845* -0.2436* -0.2369* 0.0150 0.2183* 0.2596* 0.4046* GDP 1.0000 -0.7880* 1.0000 -0.2976* 0.3317* 1.0000 0.4284* -0.3089* -0.3862* INF 1.0000 pwcorr LR CR SIZE LG ROE EAT LIA LLR TLA GDP INF, star(.05) LR LR CR SIZE LG ROE EAT LIA LLR TLA GDP INF 1.0000 -0.1105 1.0000 0.0813 0.0919 0.0244 0.3633* 0.3259* 0.0434 0.0435 -0.0349 -0.1826* 0.1514* -0.3302* 0.1675* 0.5688* -0.2143* 0.2021* -0.2899* 0.0728 0.1746* LLR LLR TLA GDP INF CR TLA SIZE LG ROE EAT LIA 1.0000 -0.0851 1.0000 0.4169* 0.1044 1.0000 -0.6868* -0.0863 -0.1773* 1.0000 -0.2242* 0.1415* 0.1093 0.1034 1.0000 -0.2449* 0.1473* 0.0421 0.0960 0.9022* 0.2952* -0.1905* 0.1692* -0.0808 -0.5829* 0.2311* -0.0354 0.1928* -0.2845* -0.2436* -0.2369* 0.0150 0.2183* 0.2596* 0.4046* GDP 1.0000 -0.7880* 1.0000 -0.2976* 0.3317* 1.0000 0.4284* -0.3089* -0.3862* INF 1.0000 pwcorr LR CR SIZE LG ROE EAT LIA LLR TLA GDP INF, star(.10) LR LR CR SIZE LG ROE EAT LIA LLR TLA GDP INF 1.0000 -0.1105* 1.0000 0.0813 0.0919 0.0244 0.3633* 0.3259* 0.0434 0.0435 -0.0349 -0.1826* 0.1514* -0.3302* 0.1675* 0.5688* -0.2143* 0.2021* -0.2899* 0.0728 0.1746* LLR LLR TLA GDP INF CR TLA SIZE LG ROE EAT LIA 1.0000 -0.0851 1.0000 0.4169* 0.1044* 1.0000 -0.6868* -0.0863 -0.1773* 1.0000 -0.2242* 0.1415* 0.1093* 0.1034* 1.0000 -0.2449* 0.1473* 0.0421 0.0960 0.9022* 0.2952* -0.1905* 0.1692* -0.0808 -0.5829* 0.2311* -0.0354 0.1928* -0.2845* -0.2436* -0.2369* 0.0150 0.2183* 0.2596* 0.4046* GDP 1.0000 -0.7880* 1.0000 -0.2976* 0.3317* 1.0000 0.4284* -0.3089* -0.3862* INF 1.0000 xxvi Ma trận tƣơng quan Mơ hình pwcorr CR LR SIZE LG ROE EAT ROA CIR LTD GDP INF, star(.01) CR CR LR SIZE LG ROE EAT ROA CIR LTD GDP INF SIZE LG 1.0000 -0.1105 1.0000 0.0919 0.0813 1.0000 0.3633* 0.0244 -0.0851 1.0000 0.0434 0.3259* 0.4169* 0.1044 -0.0349 0.0435 -0.6868* -0.0863 0.0229 0.3454* 0.0105 0.1004 -0.0411 -0.3203* -0.2069* -0.1215 -0.0715 0.9128* 0.1609* 0.0290 -0.2899* 0.2021* 0.2311* -0.0354 0.1746* 0.0728 -0.2369* 0.0150 CIR CIR LTD GDP INF LR LTD GDP 1.0000 -0.3081* 1.0000 -0.0931 0.2576* 1.0000 -0.2730* -0.0698 -0.3862* ROE EAT ROA 1.0000 -0.1773* 1.0000 0.7939* 0.3182* 1.0000 -0.6961* -0.1284 -0.6989* 0.3054* 0.0480 0.3022* 0.1928* -0.2845* 0.0640 0.2183* 0.2596* 0.3398* INF 1.0000 pwcorr CR LR SIZE LG ROE EAT ROA CIR LTD GDP INF, star(.05) CR CR LR SIZE LG ROE EAT ROA CIR LTD GDP INF SIZE LG ROE EAT ROA 1.0000 -0.1105 1.0000 0.0919 0.0813 1.0000 0.3633* 0.0244 -0.0851 1.0000 0.0434 0.3259* 0.4169* 0.1044 1.0000 -0.0349 0.0435 -0.6868* -0.0863 -0.1773* 1.0000 0.0229 0.3454* 0.0105 0.1004 0.7939* 0.3182* 1.0000 -0.0411 -0.3203* -0.2069* -0.1215* -0.6961* -0.1284* -0.6989* -0.0715 0.9128* 0.1609* 0.0290 0.3054* 0.0480 0.3022* -0.2899* 0.2021* 0.2311* -0.0354 0.1928* -0.2845* 0.0640 0.1746* 0.0728 -0.2369* 0.0150 0.2183* 0.2596* 0.3398* CIR CIR LTD GDP INF LR LTD GDP 1.0000 -0.3081* 1.0000 -0.0931 0.2576* 1.0000 -0.2730* -0.0698 -0.3862* INF 1.0000 pwcorr CR LR SIZE LG ROE EAT ROA CIR LTD GDP INF, star(.10) CR CR LR SIZE LG ROE EAT ROA CIR LTD GDP INF SIZE LG ROE EAT ROA 1.0000 -0.1105* 1.0000 0.0919 0.0813 1.0000 0.3633* 0.0244 -0.0851 1.0000 0.0434 0.3259* 0.4169* 0.1044* 1.0000 -0.0349 0.0435 -0.6868* -0.0863 -0.1773* 1.0000 0.0229 0.3454* 0.0105 0.1004* 0.7939* 0.3182* 1.0000 -0.0411 -0.3203* -0.2069* -0.1215* -0.6961* -0.1284* -0.6989* -0.0715 0.9128* 0.1609* 0.0290 0.3054* 0.0480 0.3022* -0.2899* 0.2021* 0.2311* -0.0354 0.1928* -0.2845* 0.0640 0.1746* 0.0728 -0.2369* 0.0150 0.2183* 0.2596* 0.3398* CIR CIR LTD GDP INF LR LTD GDP 1.0000 -0.3081* 1.0000 -0.0931 0.2576* 1.0000 -0.2730* -0.0698 -0.3862* INF 1.0000 xxvii Hồi quy phƣơng pháp SGMM Mơ hình xtabond2 LR l.LR CR SIZE LG ROE EAT LIA LLR TLA GDP INF, gmm(l(2,3).CR l3.LR, collapse) iv( l.GDP l.INF )sm two Favoring space over speed To switch, type or click on mata: mata set matafavor speed, perm Warning: Two-step estimated covariance matrix of moments is singular Using a generalized inverse to calculate optimal weighting matrix for two-step estimation Difference-in-Sargan/Hansen statistics may be negative Dynamic panel-data estimation, two-step system GMM Group variable: NAME Time variable : YEAR Number of instruments = 24 F(11, 30) = 88.49 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max LR Coef Std Err LR L1 1.139312 14384 CR SIZE LG ROE EAT LIA LLR TLA GDP INF _cons 10.33171 0591913 0374567 -.6908508 -1.211951 1.745343 -.9050145 -.4585466 3.486251 7449006 -1.066984 3.842053 0701429 0785689 403083 1.086075 7487679 2999476 4939853 1.551926 3649419 1.130774 t = = = = = 241 31 7.77 P>|t| [95% Conf Interval] 7.92 0.000 8455512 1.433072 2.69 0.84 0.48 -1.71 -1.12 2.33 -3.02 -0.93 2.25 2.04 -0.94 0.012 0.405 0.637 0.097 0.273 0.027 0.005 0.361 0.032 0.050 0.353 2.485189 -.0840596 -.1230023 -1.514056 -3.430012 2161546 -1.517589 -1.467399 316794 -.0004101 -3.376333 18.17823 2024423 1979158 1323546 1.00611 3.274531 -.2924399 550306 6.655707 1.490211 1.242365 Instruments for first differences equation Standard D.(L.GDP L.INF) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/9).(L2.CR L3.CR L3.LR) collapsed Instruments for levels equation Standard L.GDP L.INF _cons GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L2.CR L3.CR L3.LR) collapsed Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of (Not robust, Hansen test of (Robust, but overid restrictions: chi2(12) = 3.73 but not weakened by many instruments.) overid restrictions: chi2(12) = 9.05 weakened by many instruments.) -1.03 -1.26 Pr > z = Pr > z = 0.305 0.209 Prob > chi2 = 0.988 Prob > chi2 = 0.699 Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(9) = 6.67 Prob > Difference (null H = exogenous): chi2(3) = 2.37 Prob > iv(L.GDP L.INF) Hansen test excluding group: chi2(10) = 8.62 Prob > Difference (null H = exogenous): chi2(2) = 0.43 Prob > chi2 = chi2 = 0.671 0.498 chi2 = chi2 = 0.569 0.808 xxviii Hồi quy phƣơng pháp SGMM Mơ hình xtabond2 CR l.CR LR SIZE LG ROE EAT ROA CIR LTD GDP INF, gmm(l(1/4).LR l(7).CR, collapse) iv( l4.GDP)sm two Favoring space over speed To switch, type or click on mata: mata set matafavor speed, perm Warning: Two-step estimated covariance matrix of moments is singular Using a generalized inverse to calculate optimal weighting matrix for two-step estimation Difference-in-Sargan/Hansen statistics may be negative Dynamic panel-data estimation, two-step system GMM Group variable: NAME Time variable : YEAR Number of instruments = 22 F(11, 28) = 4.94 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 151 29 5.21 CR Coef [95% Conf Interval] CR L1 -.1068435 2126991 -0.50 0.619 -.5425378 3288508 LR SIZE LG ROE EAT ROA CIR LTD GDP INF _cons 0367511 0019287 0183094 1575656 3324402 -1.111755 0343771 -.037615 1007485 1483186 -.050393 0168144 0032917 00571 0678958 0766713 6318431 0139524 0131071 2610363 0535912 0702012 2.19 0.59 3.21 2.32 4.34 -1.76 2.46 -2.87 0.39 2.77 -0.72 0.037 0.563 0.003 0.028 0.000 0.089 0.020 0.008 0.702 0.010 0.479 0023084 -.004814 0066131 0184873 1753862 -2.406026 005797 -.0644638 -.4339602 038542 -.1941935 0711937 0086715 0300057 2966439 4894942 1825173 0629572 -.0107663 6354572 2580952 0934076 Instruments for first differences equation Standard D.L4.GDP GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/9).(L.LR L2.LR L3.LR L4.LR L7.CR) collapsed Instruments for levels equation Standard L4.GDP _cons GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.LR L2.LR L3.LR L4.LR L7.CR) collapsed Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of (Not robust, Hansen test of (Robust, but overid restrictions: chi2(10) = 1.55 but not weakened by many instruments.) overid restrictions: chi2(10) = 5.09 weakened by many instruments.) 0.01 -0.90 Pr > z = Pr > z = 0.993 0.370 Prob > chi2 = 0.999 Prob > chi2 = 0.885 Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(5) = 2.35 Prob > Difference (null H = exogenous): chi2(5) = 2.74 Prob > iv(L4.GDP) Hansen test excluding group: chi2(9) = 5.09 Prob > Difference (null H = exogenous): chi2(1) = 0.01 Prob > chi2 = chi2 = 0.799 0.740 chi2 = chi2 = 0.826 0.940 ... 51 3.3.1 Mối quan hệ thuận chiều rủi ro khoản rủi ro tín dụng 51 3.3.2 Mối quan hệ nghịch chiều rủi ro khoản rủi ro tín dụng 52 3.3.3 Khơng có mối quan hệ rủi ro khoản rủi ro tín dụng ... tìm mối quan hệ rủi ro khoản rủi ro tín dụng Ngân hàng TMCP Việt Nam 1.2.2 Mục tiêu cụ thể - Kiểm chứng mối quan hệ rủi ro khoản rủi ro tín dụng - Kiểm chứng chiều hƣớng tác động rủi ro khoản rủi. .. TẮT LUẬN VĂN Tiêu đề: Mối quan hệ rủi ro khoản rủi ro tín dụng ngân hàng thƣơng mại cổ phần Việt Nam Tóm tắt: Lý chọn đề tài: Rủi ro khoản rủi ro tín dụng diện hoạt động ngân hàng Vì việc nghiên