STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HOCHIMINH UNIVERSITY OF BANKING GRADUATION THESIS MAJOR FINANCE – BANKING TOPIC BANK SPECIFIC AND MACROECONOMIC DETERMINANTS OF CREDIT RISK IN.
STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HOCHIMINH UNIVERSITY OF BANKING GRADUATION THESIS MAJOR : FINANCE – BANKING TOPIC: BANK SPECIFIC AND MACROECONOMIC DETERMINANTS OF CREDIT RISK IN VIETNAM BANKS Author: Nguyen Thi Thuy Dung Student code: 050606180061 Instructor: DR LE HA DIEM CHI HCM, 11th April, 2022 STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HOCHIMINH UNIVERSITY OF BANKING GRADUATION THESIS MAJOR : FINANCE – BANKING TOPIC: BANK SPECIFIC AND MACROECONOMIC DETERMINANTS OF CREDIT RISK IN VIETNAM BANKS Author: Nguyen Thi Thuy Dung Student code: 050606180061 Instructor: DR LE HA DIEM CHI HCM, 11th April, 2022 ABSTRACT Of all the profitable business activities in the bank, credit activities always play the most important role, contributing a lot in the financial sector for banks Although this has been a traditional activity for centuries, today credit activities become essential and affected by many impacts that lead to the most risks and complexities Credit risk has a profound impact on most business activities in banks, which can affect the reputation of banks Today there are many experts at home and abroad who have been studying many aspects of each other and more than that, the study of credit risks affected by micro and macro factors Therefore, the topic "Bank specific and macroeconomics determinants of credit risk in Vietnam banks" uses data from 31 commercial banks on a sample of table data from 2011 to 2020 The independent variables are CAP (equity-to-asset ratio), SIZE (natural log of total assets, and LIQ (liquidity), GROW (credit growth rate), ROA (returnto-asset ratio), COL (Collateral), CIR (quality management), while dependent variables are CRI (credit risk) Besides, GDP (economic growth) and INF (inflation) are macro parameters The goal of this study is to find and quantify the impact of common factors on the financial performance of commercial banks in Vietnam The S-GMM regression model was used in this study to look at factors affecting the credit risk of 31 banking trade in Vietnam between 2010 and 2020 Keywords: Credit risk , impact factor, Vietnam Commercial Bank i DECLARATION OF AUTHENTICITY My name is NGUYEN THI THUY DUNG, a student of Hochiminh University of Banking in class HQ6-GE11, number: 050606180061 I would like to assure you that the thesis "Bank specific and macroeconomics determinants of credit risk in Vietnam banks” majoring in Finance - Banking is my own research work by Dr Dr Le Ha Diem Chi works as a scientific advisor The data and research results in this thesis are truthful, with no previous publications or made by others except for the quotes fully cited in the dissertation HCM, April 11, 2022 Author ii ACKNOWLEGEMENTS First of all, I would like to thank the teachers of Ho Chi Minh City Banking University for communicating my valuable knowledge throughout the four years of university Thank you for giving me the opportunity to meet and study at the Ho Chi Minh City University of Banking Next, I will come to my expression sincerely thanking Dr Le Ha Diem Chi who guided you throughout the process of making the graduation course Thank you for always taking the time and dedication to guide me every foot of the road Besides, there we precious comments and suggestions to improve my research paper Finally, I would like to extend my sincere thanks to my family and friends who have always helped, accompanied and supported me throughout the years With the limits of understanding and the case, this thesis cannot avoid many errors Therefore, I look forward to receiving the guidance of my teachers so that I can improve my knowledge and serve my work in the future Thank you very much to everyone! iii TABLE OF CONTENT ABSTRACT i DECLARATION OF AUTHENTICITY Error! Bookmark not defined ACKNOWLEGEMENTS Error! Bookmark not defined LIST OF ACRONYMS ix LIST OF TABLES AND FIGURES x CHAPTER 1: INTRODUCTION 12 1.1 Reasons for choosing a research topic 12 1.2 Research objectives 14 1.2.1 Common Goal 14 1.2.2 Specific objectives 14 1.3 Research Questions 14 1.4 Objects and scope of study 15 1.4.1 Study subjects 15 1.4.2 Scope of Study 15 1.5 Search for learning methods 15 1.6 Scientific and practical implications 16 1.7 Structure of research paper 16 CONCLUSION OF CHAPTER 1: 18 CHAPTER 2: THEORETICAL BASIS, RELEVANT EMPIRICAL RESEARCH AND RESEARCH MODEL 19 2.1 Theoretical basis 19 2.1.1 Overview of credit activities of commercial banks 19 iv 2.1.1.1 Concept of Bank Credit 19 2.1.1.2 Bank Credit Characteristics 20 2.1.1.3 The role of bank credit operations 21 2.1.2 Overview of Credit Risk 22 2.1.2.1 Concept of Bank Credit Risk 22 2.1.2.2 Measurement of credit risk level 23 2.1.2.3 Causes of Credit Risk 24 2.2 Overview of factors affecting previous empirical credit risk 26 2.2.1 Foreign Studies 26 2.2.2 Domestic studies 30 2.3 Factors affecting credit risk 32 2.3.1 Micro elements inside the bank 32 2.3.2 Macro factors 35 CONCLUSION CHAPTER 37 CHAPTER 3: RESEARCH METHODS 38 3.1 Research Model 38 3.2 Data and research variables 40 3.2.1 Data collection 40 3.2.2 Model variables 41 3.2.2.1 Bank Credit Risk (CRI) 41 3.2.2.2 Non-Performing Loans (NPL) 42 3.2.2.3 Capital Ratio (CAP) 42 v 3.2.2.4 Collateral (COL) 42 3.2.2.5 Credit Growth (GROW) 43 3.2.2.6 Return on Assets (ROA) 44 3.3.2.7 Bank tissue (SIZE) 44 3.2.2.8 Liquidity (LIQ) 45 3.2.2.9 Ratio of operating expenses to operating income ratios (CIR) 45 3.2.2.10 Inflation rate (INF) 45 3.2.2.11 GDP growth (GDP) 46 3.3 Research process 51 3.4 Research method 52 3.4.1 Common Smallest Square (OLS) 52 3.4.2 Fixed Effect Model (FEM) 52 3.4.3 Random Effect Model (REM) 53 3.4.4 Squares at least generally feasible (FGLS) 53 3.4.5 System General Moment Model (S-GMM) 53 3.4.6 Test to choose the right model 54 CONCLUSION CHAPTER 57 CHAPTER 4: RESULTS OF RESEARCH AND DISCUSSION 58 4.1 Descriptive statistics 58 4.2 Correlation Analysis 61 4.3 Multi-line inspection 63 4.4 The result of the usual smallest square (OLS) 64 vi Appendix 11: Model Estimate (OLS, REM and FEM) esttab ols fixed random, r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap compress (1) cri grow cap col roa size liq cir inf gdp _cons N R-sq (2) cri -0.00383*** -0.00270*** [-4.14] [-3.09] 0.0376*** 0.0342*** [3.96] [3.33] 0.00995*** 0.0135*** [3.83] [4.18] -0.0235 -0.106*** [-0.61] [-2.94] 0.00251*** 0.00162 [3.07] [0.89] -0.00486* -0.000499 [-1.66] [-0.15] -0.00978*** -0.00735*** [-4.94] [-4.19] -0.0200*** -0.0104 [-3.18] [-1.48] 0.0213 0.0176 [0.93] [0.93] -0.0143* -0.0128 [-1.85] [-0.79] 324 0.313 324 0.284 (3) cri -0.00291*** [-3.61] 0.0357*** [3.86] 0.0118*** [4.16] -0.0904*** [-2.60] 0.00222* [1.95] -0.00122 [-0.41] -0.00795*** [-4.57] -0.0123** [-2.04] 0.0171 [0.91] -0.0159 [-1.55] 324 t statistics in brackets * p