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International Econometric Conference of Vietnam

ECONVN 2019: Beyond Traditional Probabilistic Methods in Economics pp 522–532Cite as

Analysis of the Factors Affecting Credit Risk of Commercial Banks in Vietnam

Part of the Studies in Computational Intelligence book series (SCI,volume 809)

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.

Keywords

  • Internal factors
  • Macro factors
  • Credit risk
  • Commercial banks

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Author information

Authors and Affiliations

  1. Banking University of Ho Chi Minh City, 36 Ton That Dam str, Dist 1, Ho Chi Minh City, Vietnam

    Hoang Thi Thanh Hang, Vo Kieu Trinh & Ha Nguyen Tuong Vy

Authors
  1. Hoang Thi Thanh Hang
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  2. Vo Kieu Trinh
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  3. Ha Nguyen Tuong Vy
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Corresponding authors

Correspondence to Hoang Thi Thanh Hang , Vo Kieu Trinh or Ha Nguyen Tuong Vy .

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

  2. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Ngoc Thach

  3. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Duc Trung

  4. TTC Group, Ho Chi Minh City, Vietnam

    Dang Van Thanh

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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

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