Abstract
Following the global financial crisis, credit risk management has become a key priority for international regulators, highlighting the contrast between institutions with robust frameworks and those lacking them. Banks with effective risk management systems have shown greater stability during economic downturns, yet many organizations still struggle with fragmented approaches, hindering their risk management capabilities. This study investigates the factors influencing credit risk management and their associations with credit risk exposure, specifically non-performing loans (NPLs), in commercial banks in Vietnam. Analyzing data from 25 Vietnamese commercial banks (accounting for approximately 82% of the sector’s total assets as of 2023, sourced from the State Bank of Vietnam) and macroeconomic indicators from 2017 to 2023, the study uses a fractional response model with a logit link function (Papke & Wooldridge, 1996) to appropriately handle the bounded nature of the NPL ratio [0,1]. The research findings indicate that Loan Loss Provisions (LLP) and bank leverage are positively associated with NPLs, while Return on Equity (ROE) is negatively associated with NPLs. Economic growth (GDPgr) is linked to lower NPL ratios, but macroeconomic factors like exchange rates, lending interest rates, and inflation exhibit a positive association with NPL pressure. These results emphasize the critical role of credit risk management practices and the influence of both internal and external factors on managing credit risk in the banking industry.
Keywords: credit risk management, non-performing loans, fractional logit model, Vietnamese commercial banks.
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Ban biên tập Tạp chí Kinh tế & Quản trị Kinh doanh
Phòng 514, Nhà điều hành, trường Đại học Kinh tế & Quản trị Kinh doanh
Địa chỉ: Phường Tân Thịnh, thành phố Thái Nguyên
Email: tapchikt-qtkd@tueba.edu.vn; Điện thoại: 0208.3903373
