Các nhân tố tác động đến rủi ro tín dụng tại các ngân hàng tmcp việt nam

BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH KHĨA LUẬN TỐT NGHIỆP ĐẠI HỌC CÁC NHÂN TỐ TÁC ĐỘNG ĐẾN RỦI RO TÍN DỤNG TẠI CÁC NGÂN HÀNG THƢƠNG MẠI CỔ PHẦN VIỆT NAM Ngành: Tài – Ngân hàng Mã số: 34 02 01 VƢƠNG TRÚC LINH TP HỒ CHÍ MINH, NĂM 2023 BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH KHĨA LUẬN TỐT NGHIỆP ĐẠI HỌC CÁC NHÂN TỐ TÁC ĐỘNG ĐẾN RỦI RO TÍN DỤNG TẠI CÁC NGÂN HÀNG THƢƠNG MẠI CỔ PHẦN VIỆT NAM Ngành: Tài – Ngân hàng Mã số: 34 02 01 Họ tên sinh viên: VƢƠNG TRÚC LINH Mã số sinh viên: 030135190285 Lớp sinh hoạt: HQ7-GE04 NGƢỜI HƢỚNG DẪN KHOA HỌC TS PHẠM HẢI NAM TP HỒ CHÍ MINH, NĂM 2023 i TĨM TẮT KHÓA LUẬN Nghiên cứu đƣợc tiến hành nhằm đánh giá nhân tố ảnh hƣởng tới rủi ro tín dụng (RRTD) Ngân Hàng Thƣơng Mại Cổ Phần Việt Nam Bài viết sử dụng phƣơng pháp phân tích hồi quy liệu bảng theo phƣơng pháp Pooled OLS, FEM, REM FGLS 26 Ngân Hàng Thƣơng Mại Cổ Phần Việt Nam giai đoạn 2012 đến 2021 Kết nghiên cứu đƣa vài chứng để khẳng định hai nhóm yếu tố bên ngân hàng yếu tố vĩ mô có vai trị đáng kể việc tác động làm cho nợ xấu dự phịng rủi ro tín dụng gia tăng Ngân Hàng Thƣơng Mại Cổ Phần Việt Nam Kết thể quy mô ngân hàng, hệ số vốn chủ sở hữu, quản lý hiệu quả, thu nhập lãi tác động dƣơng tới tỷ lệ trích lập dự phịng rủi ro tín dụng (LLP) Mặt khác, tỷ suất lợi nhuận tổng tài sản lại tác động âm đến LLP Đồng thời biến bao gồm hệ số vốn chủ sở hữu, quản lý hiệu quả, thu nhập lãi tỷ lệ lạm phát có tác động dƣơng đến tỷ lệ nợ xấu (NPL) Ngƣợc lại, biến nhƣ quy mô ngân hàng, tỷ suất lợi nhuận tổng tài sản tốc độ tăng trƣởng kinh tế lại tác động âm đến NPL Kết góp phần cho nhà hoạch định sách nâng cao chất lƣợng khoản vay, giảm thiểu rủi ro tín dụng xây dựng sách tài khóa tiền tệ hợp lý nhằm ổn định kinh tế vĩ mơ Từ khóa: Rủi ro tín dụng, nợ xấu, dự phịng rủi ro tín dụng, biến vĩ mơ, biến bên ngân hàng ii ABSTRACT This study was conducted to assess factors affecting credit risk at Vietnamese Joint Stock Commercial Banks The article used the method of regression analysis of panel data according to Pooled OLS, FEM, REM and FGLS methods of 26 Vietnam Commercial Joint Stock Banks in the period 2012 to 2021 The results of the study provide some evidence to confirm that both the group of factors inside the bank and macro factors all play a significant role in influencing bad debts and provisioning for increased credit risks of Vietnamese Joint Stock Commercial Banks The results show that the size of the bank, equity ratio, inefficiency, noninterest income have a positive influence on the provision ratio for credit risks On the other hand, the rate of return on assets negatively impacts LLP At the same time, variables including equity ratio, inefficiency, non-interest income and inflation have a positive impact on NPLs Conversely, variables such as bank size, return on assets ratio and economic growth rate negatively impact NPL The above results will contribute to policymakers to improve loan quality, minimize credit risks and develop sound fiscal and monetary policies for macroeconomic stability Keywords: Credit risk, bad debt, provision for credit risk, macro variables, variables inside the bank iii LỜI CAM ĐOAN Em tên là: Vƣơng Trúc Linh Lớp sinh hoạt: HQ7 - GE04 Ngành: Tài - Ngân hàng Mã số sinh viên: 030135190285 Khóa luận cơng trình nghiên cứu riêng tác giả kết nghiên cứu trung thực, khơng có nội dung đƣợc công bố trƣớc hay nội dung đƣợc ngƣời khác thực ngồi trích dẫn đƣợc dẫn nguồn đầy đủ khóa luận Tác giả luận văn VƢƠNG TRÚC LINH iv LỜI CẢM ƠN Trong trình thực luận văn “Các nhân tố tác động đến rủi ro tín dụng Ngân hàng Thương Mại Cổ Phần Việt Nam”, bên cạnh nỗ lực thân, em nhận đƣợc dẫn tận tình Thầy Cơ động viên, ủng hộ từ gia đình bạn bè Đặc biệt, em xin chân thành bày tỏ lòng biết ơn sâu sắc đến TS Phạm Hải Nam, ngƣời hết lịng giúp đỡ, dẫn tận tình để em hồn thành khóa luận cách hồn chỉnh Em biết ơn đến tồn thể Q Thầy Cơ Khoa Tài Ngân hàng – Trƣờng Đại học Ngân hàng Thành phố Hồ Chí Minh truyền đạt kiến thức vơ bổ ích nhƣ tạo điều kiện thuận lợi suốt thời gian em học tập nghiên cứu trƣờng, nhờ thầy cô mà em thu nhận đƣợc nhiều kiến thức lý thuyết lẫn thực tế Cuối cùng, em xin cảm ơn tới gia đình bạn bè đồng hành, khuyến khích em suốt năm học tập, nghiên cứu viết khóa luận Tuy nhiên, thời gian bị hạn chế nhƣ thân cịn chƣa có kinh nghiệm nhiều thực tế chuyên môn nên luận văn khó tránh sai sót nên kính mong q Thầy Cơ góp ý kiến để em nâng cao kiến thức hoàn thiện nghiên cứu tới Em xin chân thành cảm ơn Tác giả luận văn VƢƠNG TRÚC LINH v MỤC LỤC TÓM TẮT KHÓA LUẬN ·································································· i LỜI CAM ĐOAN ··········································································· iii LỜI CẢM ƠN ················································································ iv MỤC LỤC ····················································································· v DANH MỤC VIẾT TẮT ································································· viii DANH MỤC BẢNG BIỂU ································································ ix DANH MỤC BIỂU ĐỒ VÀ HÌNH ẢNH ················································ x CHƢƠNG 1: GIỚI THIỆU ································································ 1.1 Lý chọn đề tài ···································································· 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 nghiên cứu ··························································· 1.5.1 Phƣơng pháp nghiên cứu ···················································· 1.5.2 Dữ liệu nghiên cứu··························································· 1.6 Kết cấu đề tài········································································· 1.7 Đóng góp đề tài ································································· KẾT LUẬN CHƢƠNG ··································································· CHƢƠNG 2: TỔNG QUAN CÁC NGHIÊN CỨU LÝ THUYẾT VÀ THỰC NGHIỆM ······················································································· 2.1 Cơ sở lý thuyết rủi ro tín dụng ················································· 2.1.1 Khái niệm rủi ro tín dụng ··················································· 2.1.2 Phân loại rủi ro tín dụng ···················································· vi 2.1.3 Các tiêu đo lƣờng rủi ro tín dụng ······································ 2.2 Tổng quan nghiên cứu trƣớc ················································ 11 2.2.1 Các nghiên cứu nƣớc ··············································· 11 2.2.2 Các nghiên cứu nƣớc ··············································· 13 2.3 Khoảng trống nghiên cứu ························································ 19 KẾT LUẬN CHƢƠNG ································································· 20 CHƢƠNG 3: MƠ HÌNH NGHIÊN CỨU VÀ PHƢƠNG PHÁP NGHIÊN CỨU21 3.1 Quy trình nghiên cứu ····························································· 21 3.2 Mơ hình nghiên cứu ······························································· 22 3.2.1 Mơ hình đề xuất ···························································· 22 3.2.2 Dữ liệu nghiên cứu························································· 23 3.2.3 Giả thuyết cách đo lƣờng biến nghiên cứu ·············· 24 3.2.3.1 Biến phụ thuộc ························································ 24 3.2.3.2 Biến độc lập ··························································· 25 3.3 Phƣơng pháp nghiên cứu ························································· 31 3.3.1 Lựa chọn phƣơng pháp ƣớc lƣợng ······································· 31 3.3.2 Xử lý sai phạm mơ hình ··················································· 32 KẾT LUẬN CHƢƠNG ································································· 33 CHƢƠNG 4: KẾT QUẢ NGHIÊN CỨU VÀ THẢO LUẬN······················ 35 4.1 Thực trạng rủi ro tín dụng Việt Nam········································ 35 4.1.1 Tăng trƣởng tín dụng ······················································ 35 4.1.2 Nợ xấu ······································································· 39 4.2 Kết nghiên cứu································································ 42 4.2.1 Phân tích thống kê mơ tả ·················································· 42 4.2.2 Phân tích đa cộng tuyến ··················································· 44 4.2.3 Phân tích mối tƣơng quan ················································· 45 4.3 Ƣớc lƣợng mơ hình hồi quy······················································ 47 4.3.1 Kết mơ hình Pooled OLS ············································ 47 4.3.2 Kết mơ hình FEM ····················································· 50 vii 4.3.3 Kết mơ hình REM ···················································· 54 4.4 Kiểm định lựa chọn mơ hình····················································· 57 4.5 Kiểm định khuyết tật mơ hình ······································· 60 4.5.1 Kiểm định phƣơng sai thay đổi ·········································· 60 4.5.2 Kiểm định tƣợng tự tƣơng quan ···································· 60 4.6 Ƣớc lƣợng mơ hình theo phƣơng pháp FGLS ································· 61 4.6.1 Ƣớc lƣợng mơ hình theo phƣơng pháp FGLS mơ hình - LLP 62 4.6.2 Ƣớc lƣợng mơ hình theo phƣơng pháp FGLS mơ hình - NPL 64 4.7 Thảo luận kết nghiên cứu ··················································· 66 KẾT LUẬN CHƢƠNG ································································· 72 CHƢƠNG 5: KẾT LUẬN VÀ KHUYẾN NGHỊ ···································· 74 5.1 Kết luận, đánh giá kết nghiên cứu ········································· 74 5.2 Một số khuyến nghị ······························································· 75 5.2.1 Quy mô ngân hàng ························································· 75 5.2.2 Tỷ suất lợi nhuận tổng tài sản ······································· 76 5.2.3 Hệ số vốn chủ sở hữu ······················································ 76 5.2.4 Quản lý hiệu ····················································· 77 5.2.5 Thu nhập lãi ························································· 77 5.2.6 Yếu tố vĩ mô - Tốc độ tăng trƣởng kinh tế GDP tỷ lệ lạm phát ·· 78 5.3 Những hạn chế nghiên cứu ·················································· 79 KẾT LUẬN CHƢƠNG ································································· 81 TÀI LIỆU THAM KHẢO PHỤ LỤC viii DANH MỤC VIẾT TẮT Từ viết tắt Nguyên nghĩa Tiếng Anh Báo cáo tài BCTC CAP Nguyên nghĩa Tiếng Việt Capital Ratio Hệ số vốn chủ sở hữu Dự phịng rủi ro tín dụng DPRRTD Fixed Effects Model Mơ hình tác động cố định Feasible Generalized Least Phƣơng pháp bình phƣơng nhỏ Squares tổng quát khả thi Gross Domestic Product Tổng sản phẩm quốc nội Generalized Method of Phƣơng pháp hồi quy theo Moments moments INEFF Inefficient Management Quản lý hiệu INFLAT Inflation Lạm phát LLP Loan Loss Provision Dự phịng rủi ro tín dụng FEM FGLS GDP GMM NHNN Ngân Hàng Nhà Nƣớc NHTM Ngân Hàng Thƣơng Mại NHTMCP Ngân Hàng Thƣơng Mại Cổ Phần NII Non-Interest Income Thu nhập lãi NPL Non Performing Loan Nợ xấu OLS Pooled Ordinary Least Square Hồi quy bình phƣơng nhỏ REM Random Effects Model Mơ hình tác động ngẫu nhiên ROA Return On Asset Tỷ suất lợi nhuận tổng tài sản Rủi ro tín dụng RRTD SIZE Size Quy mơ TCTD Tổ chức tín dụng VCSH Vốn chủ sở hữu VIF Variance Inflation Factor Hệ số phóng đại phƣơng sai Kiểm định tƣợng đa cộng tuyến Kết mơ hình OLS Kết mơ hình FEM Kết mơ hình REM Kết kiểm định HAUSMAN Kết kiểm định BREUSCH VÀ PAGAN LAGRANGIAN Kết kiểm định tƣơng quan chuỗi Kết hồi quy theo FGLS Kiểm định phù hợp mơ hình MƠ HÌNH - NPL Thống kê mơ tả Ma trận tƣơng quan Kiểm định tƣợng đa cộng tuyến Kết mơ hình OLS Kết mơ hình FEM Kết mơ hình REM Kết kiểm định HAUSMAN Kết kiểm định BREUSCH VÀ PAGAN LAGRANGIAN Kết kiểm định phƣơng sai Kết kiểm định tƣơng quan chuỗi Kết hồi quy theo FGLS Kiểm định phù hợp mơ hình