Analysis of the factors affecting credit risk of commercial banks in Vietnam

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.