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STATEBANKOF VIETNAM MINISTRYOFEDUCATION& TRAINING HOCHI MINHUNIVERSITYOFBANKING TRUONGTHANHNGUYEN THEIMPACT OFCREDITANDLIQUIDITYRISKONFINANCIALSTABILITYATVIETNAMESEC OMMERCIALBANKS GRADUATIONTHESIS TH[.]
STATEBANKOF VIETNAM MINISTRYOFEDUCATION& TRAINING HOCHI MINHUNIVERSITYOFBANKING TRUONGTHANHNGUYEN THEIMPACT OFCREDITANDLIQUIDITYRISKONFINANCIALSTABILITYATVIETNAMESEC OMMERCIALBANKS GRADUATIONTHESIS THE MAJOR: FINANCE – BANKINGCODE:7340201 HOCHI MINH CITY,YEAR 2022 STUDENT:TRUONGTHANHNGUYENSTUDENTID: 050606180265 CLASS:HQ6-GE10 THEIMPACT OFCREDITANDLIQUIDITYRISKONFINANCIALSTABILITYATVIETNAMESEC OMMERCIALBANKS GRADUATIONTHESIS THE MAJOR: FINANCE – BANKINGCODE:7340201 SUPERVISOR Dr.LEHADIEMCHI HOCHI MINH CITY,YEAR 2022 ABSTRACT The thesis " the impact of the credit risk and liquidity risk on financial bank stabilityof Vietnamese commercial banks in2011 – 2021" including non-performing loansratio (NPLR ); Loan to total assets ratio (TLA); Loan loss provision ( LLP );Leverage (LEV); Loan to total deposit ratio (LDR); Size of the bank (SIZE); Returnonequity(ROE);Capitaladequacyratio(CAP);GrowthR e v e n u e ( I G R ) ; E conomicgrowthrate(GDP)andInflationrate(INF) The research topic applies Pooled-OLS, FEM, and REM models However, theresultsshowthattheresearchmodelencountersautocorrelationandvariablevariance, so the author continues applying the model FGLS model to overcome theresearch model Then, the author applies the GMM model to test the endogenousphenomenon occurring in the research model and receives highaccuracy researchresults Hence, the author receives the analysis results from the GMM model as thefinalresult ResearchontheimpactofcreditandliquidityriskonfinancialstabilityatVietnamese commercial banks for 2011-2021, in which the group of internal factorsthat harm the bank'sstabilityisNPLR,ROE,CAP,andLEV.ThefactorsLDR,TLA, and LLP, have a positive impact on the financial stability of the bank Theremaining variables are not statistically significant in the model not statisticallysignificantinthemodel COMMITMENT I hereby declare that the thesis " the impact of credit and liquidity risk on financialstability at vietnamese commercial banks" is the author's research work, and theresearch results received are truthful The information, data, and content cited arecollected by the author from many different sources, have high reliability, and arecitedinthereference section HoChiMinhCity, 2022 Author TruongThanhNguyen ACKNOWLEDGMENT Firstofall,IwouldliketothanktheteacherswhoarelecturersatBankingUniversityofHoC hiMinhCity,theschool'sBoardofDirectorsforcreatingfavorable conditions for teaching and guiding me with a lot of knowledge aboutbankinga n d t e a c h i n g t a u g h t b o t h s o f t s k i l l s a n d m o r a l t r a i n i n g d u r i n g m y t i m e here I would like to thank and send kind words to the person who guided me in theprocesso f c o m p l e t i n g t h e t h e s i s D r L e H a D i e m C h i , w h o o r i e n t e d , g u i d e d , helped and encouraged me throughout the processofcompletingthethesis.intoaresearchthesis Finally, I would like to express my gratitude to my family and friends around forhelping and encouraging me when I faced difficulties in the process of completingmy thesis, and at the same time, I would like to sincerely thank my colleagues theorganization.myauthority.Theygavemealotofpracticalknowledgewhileworkinghere in TABLEOFCONTENTS ABSTRACT i COMMITMENT ii ACKNOWLEDGMENT iii LISTOFACRONYMS vii LISTOFTABLES .viii LISTOFGRAPHICS ix CHAPTER1.INTRODUCTIONTO THERESEARCHTOPIC 1.1 ReasonforResearch 1.2 Objectiveofstudy 1.2.1 Generalobjective 1.2.2 Specificobjective 1.3 Researchquestion 1.4 Subjectandscopeofthestudy 1.4.1 Subjectofthestudy 1.4.2 Scopeofthestudy 1.5 Contributions 1.6Structureofreasearch SUMMARYOFTHECHAPTER1 CHAPTER2.REVIEWOFTHELITERATURE 2.1 Overviewofbasicconcept .6 2.1.1 The conceptofcreditrisk 2.1.2Theconceptofliquidityrisk .6 2.2Therelationshipofcreditriskandliquidityrisk .7 2.3.Anoverviewofpreviousstudies SUMMARYOFTHECHAPTER2 10 CHAPTER3RESEARCHMODELANDMETHODOLOGY 11 3.1.Reasearchmodel 11 3.2 Mesurementofresearchvariables 12 3.2.1 Z-Score(BankStabilityRatio) 12 3.2.2 LDR(Loantodepositratio) 12 3.2.3 NPLR(Non-PerformingLoansRatio) 12 3.2.4 IGR( Revenuegrowthrate) 12 3.2.5 SIZE(Banksize) 13 3.2.6 ROE(Returnonequity) 13 3.2.7 TLA(TotalLoantoAsset) 13 3.2.8 CAP(Capitaladequacyratio) 13 3.2.9 LLP(Loanlossprovisions) 13 3.2.10 LEV(Leverage) 14 3.2.11 INF(Inflation) 14 3.2.12 GDP(Economicgrowth) .14 3.3 Researchhypothesis .14 3.4 Researchdataandresearchmethod 18 3.4.1 Researchdata .18 3.4.2ResearchMethods 18 SUMMARYOFTHECHAPTER3 .21 CHAPTER4:RESEARCHRESULTSANDDISSCUSSION 22 4.1.Descriptivestatisticalanalysis 22 4.2CorrelationMatrix 24 4.3 Estimatingt h e r e g r e s s i o n m o d e l a n d t e s t i n g t h e r e g r e s s i o n h y p o t h e s e s 26 4.3.2 ComparetheFEMmodel andtheREM model 29 4.3.3 Checkformulticollinearity 29 4.3.4 Checkforautocorrelation 30 4.4 OvercomingtheresearchmodelandGMMregressionmodel method.32 4.5 Summarizeanddiscussresearchresult 34 SUMMARYOFTHECHAPTER4 42 CHAPTER5.CONCLUSION ANDRECOMMENDATION 43 5.1 Conclusion oftheresultobtainfromtheresearch .43 5.2 Recommendation onfinancialstabilityofbank .43 5.2.1 Solutionstoincreasebusinessefficiency 43 5.2.2 Creditgrowthsolutions 44 5.2.3 Solutions toensurecapitalsafety 45 5.3 Limitations ofthetopic 45 5.4 Furtherresearchdirections 46 SUMMARYOFTHECHAPTER5 46 REFERENCES 47 APPENDIX 51 LISTOFACRONYMS No Acronym Meaning OLS PooledOLSregression model FEM FixedEffectsModel REM RandomEffectModel FGLS Feasiblegeneralizedleastsquares model GMM GeneralizedMethodofMoments LISTOFTABLES Table3.1 Statisticsofexpectedsignsofvariablesinthemodel 17 Table4.1.Statisticsofvariablesusedintheresearchmodel 22 Table4.2CorrelationMatrix 25 Table4.3ResultofPooldes–OLSModel 27 Table4.4ResultofFixedEffectsModel .28 Table4.5ResultoftheHausmantest 29 Table4.6Resultsofmulticollinearitytest 30 Table4.7Wooldridgetestresults 31 Table4.8Breuschand PaganLagrangiantestresult 31 Table4.9GMMtestresult 32 Table4.10SynthesizetheresultsfromthemodelanalysisusingSTATAsoftware .34