The Analysis of Major Credit Risk Factors - The Case of the Vietnamese Commercial Banks

In this study, we tried to identify determinants of the credit risks at Vietnamese commercial banks. By applying the quantitative model using the unbalanced panel data of 20 banks in the period from 2006 to 2014, coupled with surveying the dependent variable, that is non-performing loan (NPL), in order to express the credit risks in business activities of commercial banks, the study has made conclusions on two groups of determinants that may have influence on the credit risks: (i) Bank-specific determinants and (ii) macro determinants. Specifically, the quantitative results showed that most correlations affirmed the accuracy of theory and relevant previous research findings, of which some notable results obtained by the author included: (i) For bank-specific determinants, the credit risks were highly inertia, requiring the continuous management of credit risks. Besides, the bank size and market share negatively influenced the credit risks of commercial banks due to adverse impacts on the readiness of acceptance of risks in business activities. In addition, the rapid credit expansion, ineffective capital use and credit control and management also caused future credit risks. (ii) For macro determinants, the estimated results re-affirmed the relationship between impacts of economic cycles though GDP growth and credit risks of commercial banks. (iii) Additionally, the study has not found any correlation between the effectiveness of general management, real lending interest rate and credit risks in business activities of Vietnamese commercial banks.