Abstract
The research applied FEM-REM model using panel data in order to define the internal and macro determinants affecting the credit risk of 20 commercial banks for the period of 2006–2017. This paper concentrated on the credit risk measured by non-performing loans ratio. The macroeconomic variables are comprised the GDP growth, real interest rate, unemployment rate, and the bank-specific variables are determined by the return on assets with the 1-year time lag, the loan growth, loan loss provision. The results indicate that the the unemployment rate, real interest rate affect negatively the credit risk. Additionally, the credit risk is affected positively by loan loss provision.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Berger, A., DeYoung, R.: Problem loans and cost efficiency in commercial banks. J. Bank. Finance 21, 849–870 (1997)
Bernanke, B., Gertler, M.: Inside the black box: the credit channel of monetary policy transmission. J. Econ. Perspect. 9(4), 27–48 (1995)
BIS Principles for the Management of Credit Risk, p. 5 (2000)
Boudriga, A., Boulila Taktak, N., Jellouli, S.: Banking supervision and nonperforming loans: a cross-country analysis. J. Financ. Econ. Policy 1(4), 286–318 (2009)
Chaibi, H., Ftiti, Z.: Credit risk determinants: Evidence from a cross-country study. Res. Int. Bus. Financ. 33, 1–16 (2015)
Foos, D., Norden, L., Weber, M.: Loan growth and riskiness of banks. J. Bank. Finance 34, 217–228 (2010)
García-Marco, T., Robles-Fernández, M.: Risk-taking behaviour and ownership in the banking industry: the Spanish evidence. J. Econ. Bus. 60(4), 332–354 (2008)
Hasan, I., Wall, L.: Determinants of the loan loss allowance: some cross-country comparisons. Financ. Rev. 39(1), 129–152 (2004)
Keeton, W.R.: Does faster loan growth lead to higher loan losses? Econ. Rev. Fed. Reserve Bank Kansas City 84(2), 57 (1999)
Keeton, W.R., Morris, C.S.: Why do banks’ loan losses differ?. Econ. Rev. Fed. Reserve Bank Kansas City, 3–21 (1987)
Louzis, D.P., Vouldis, A.T., Metaxas, V.L.: Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios. J. Bank. Financ. 36(4), 1012–1027 (2012)
Mondal, T.: Sensitivity of non-performing loan to macroeconomic variables: empirical evidence from banking industry of Bangladesh. Glob. J. Mange. Bus. Res. 16(4), 21–28 (2016)
Duong, N.T., Huong, T.T.T.: The Analysis of major credit risk factors – the case of the Vietnamese commercial banks. Int. J. Financ. Res. 1(8), 33–42 (2016)
Anh, N.Q., Thach, N.H.: Factors affecting credit risk- practical evidences at Vietnamese commercial banks. Sci. J. An Giang Univ. 1(1), 27–39 (2015)
Van den Heuvel, J.S.: The Bank Capital Channel of Monetary Policy. Working paper. University of Pennsylvania (2009)
Quy, Q.T., Toan, B.N.: Factors affecting credit risk of Vietnamese commercial banks. J. Open Univ. HCMC 3(36), 16–25 (2014)
Author information
Authors and Affiliations
Corresponding authors
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this paper
Cite this paper
Hang, H.T.T., Trinh, V.K., Vy, H.N.T. (2019). Analysis of the Factors Affecting Credit Risk of Commercial Banks in Vietnam. In: Kreinovich, V., Thach, N., Trung, N., Van Thanh, D. (eds) Beyond Traditional Probabilistic Methods in Economics. ECONVN 2019. Studies in Computational Intelligence, vol 809. Springer, Cham. https://doi.org/10.1007/978-3-030-04200-4_38
Download citation
DOI: https://doi.org/10.1007/978-3-030-04200-4_38
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-04199-1
Online ISBN: 978-3-030-04200-4
eBook Packages: Intelligent Technologies and RoboticsIntelligent Technologies and Robotics (R0)