Impact of credit risk management on the financial stability of Vietnamese commercial banks
Nội dung chính của bài viết
Tóm tắt
The research was conducted to understand the impact of credit risk management on the financial stability of 27 Vietnamese commercial banks. From the research results, the authors proposed some implications for credit risk management and solutions to promote financial stability for banks. The study used secondary data obtained from audited financial statements of banks in the period 2006 - 2020. Because the research model had intermediate variables, we used SEM to analyze and the data was processed by Stata. Research results show that non-performing loans and loan loss provisions had a direct effect on profitability and financial stability. Besides, there was an indirect relationship between credit risk management, profitability, and financial stability. The research proved whether the characteristics of Vietnam's banking system and the obtained results are compatible with the theory and previous studies.
Chi tiết bài viết
Từ khóa
Bank credit risk, Bank stability, Profitability
Tài liệu tham khảo
Akomeah, J., Agumeh, R., & Siaw, F. (2020). Credit risk management and financial performance of listed banks in Ghana. Research Journal of Finance and Accounting, 11(6), 39–48. https://doi.org/10.7176/rjfa/11-6-05
Alshubiri, F. N. (2017). Determinants of financial stability : an empirical study of commercial banks listed in Muscat Security Market. 11(4), 192–200. https://doi.org/10.24052/jbrmr/v11is04/dofsaesocblimsm
Atahau, A. D. R., & Cronje, T. (2019). Does focus strategy work? A study of bank loan portfolios in Indonesia. Journal of Asia Business Studies 13(3), 450–471. https://doi.org/10.1108/JABS-11-2017-0202
Beatty, A., & Liao, S. (2014). Financial accounting in the banking industry: A review of the empirical literature. Journal of accounting and Economics, 58(2-3), 339–383. https://doi.org/10.24205/03276716.2020.1002
Beck, T., De Jonghe, O., & Schepens, G. (2013). Bank competition and stability: Cross-country heterogeneity. Journal of financial Intermediation, 22(2), 218–244. https://doi.org/10.2139/ssrn.1890674
Collins, J. H., Shackelford, D. A., & Wahlen, J. M. (1995). Bank differences in the coordination of regulatory capital, earnings, and taxes. Journal of accounting research, 33(2), 263-291. https://doi.org/10.2307/2491488
Cheng, L., Kwabena Nsiah, T., Charles, O., & Ayisi, A. L. (2020). Credit risk, operational risk, liquidity risk on profitability. A study on South Africa commercial banks. A PLS-SEM Analysis. In Revista Argentina de Clinica Psicologica 29(5), 5–18. DOI: 10.24205/03276716.2020.1002
Chin, W. W., & Todd, P. A. (1995). On the use, usefulness, and ease of use of structural equation modeling in mis research: A note of caution. In MIS Quarterly: Management Information Systems 19(2), 237–246. https://doi.org/10.2307/249690
Davies, M., & Ng, T. (2011). The rise of sovereign credit risk: implications for financial stability. BIS Quarterly Review, 59–70. http://www.bis.org/publ/qtrpdf/r_qt1109g.pdf
Demetriades, P. O., Rousseau, P. L., & Rewilak, J. (2017). Finance, growth and fragility. https://publications.aston.ac.uk/id/eprint/30150/1/FINANCE_GROWTH_AND_FRAGILITY_Demetriades_et_al._2017_WP.pdf
Diaconu, I.-R., & Oanea, D.-C. (2015). Determinants of Bank’s Stability. Evidence from CreditCoop. Procedia Economics and Finance, 32(15), 488–495. https://doi.org/10.1016/s2212-5671(15)01422-7
Dietrich, A., & Wanzenried, G. (2011). Determinants of bank profitability before and during the crisis: Evidence from Switzerland. In Journal of International Financial Markets, Institutions and Money 21(3), 307–327. https://doi.org/10.1016/j.intfin.2010.11.002
Djebali, N., & Zaghdoudi, K. (2020). Threshold effects of liquidity risk and credit risk on bank stability in the MENA region. Journal of Policy Modeling, 42(5), 1049–1063. https://doi.org/10.1016/j.jpolmod.2020.01.013
Ekinci, R., & Poyraz, G. (2019). The Effect of Credit Risk on Financial Performance of Deposit Banks in Turkey. Procedia Computer Science, 158, 979–987. https://doi.org/10.1016/j.procs.2019.09.139
Fred Nelson, O. N. (2020). The Impact of Credit Risk Management on the Profitability of a Commercial Bank: The Case of BGFI Bank Congo. International Journal of Economics and Finance, 12(3), 21. https://doi.org/10.5539/ijef.v12n3p21
Ghenimi, A., Chaibi, H., & Omri, M. A. B. (2017). The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region. Borsa Istanbul Review, 17(4), 238-248. https://doi.org/10.1016/j.bir.2017.05.002
Ghosh, S. (2015). Trade credit, bank credit and crisis: Some empirical evidence for India?. Margin: The Journal of Applied Economic Research, 9(4), 333–361. https://doi.org/10.1177/0973801015596854
Goetz, M. R. (2018). Competition and bank stability. Journal of Financial Intermediation, 35, 57-69. https://doi.org/10.1016/j.jfi.2017.06.001
Hasan, M. S. A., Manurung, A. H., & Usman, B. (2020). Determinants of bank profitability with size as moderating variable. Journal of Applied Finance and Banking, 10(3). https://core.ac.uk/download/pdf/328807721.pdf
Jahn, N., & Kick, T. (2012). Determinants of Banking System Stability: A Macro-Prudential Analysis. Banks - How Big Is Big Enough?, 1–35. http://www.bis.org/bcbs/events/bhbibe_programme.pdf
Kasman, S., & Kasman, A. (2015). Bank competition, concentration and financial stability in the Turkish banking industry. Economic Systems, 39(3), 502–517.
Kohlscheen, E., Murcia Pabón, A., & Contreras, J. (2018). Determinants of bank profitability in emerging markets. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3098196
Lalon, R. M., & Morshada, F. (2020). Impact of Credit Risk Management on Profitability of Commercial Banks in Bangladesh: An estimation of Dynamic Panel Data Model. In International Journal of Finance & Banking Studies (2147-4486), 9(3), 131–147. https://doi.org/10.20525/ijfbs.v9i3.874
Lee, J. H., Ryu, J., & Tsomocos, D. P. (2013). Measures of systemic risk and financial fragility in Korea. Annals of Finance, 9(4), 757–786. https://doi.org/10.1007/s10436-012-0218-x
Li, R., Li, L., & Zou, P. (2020). Credit risk shocks and banking efficiency: a study based on a bootstrap-DEA model with nonperforming loans as bad output. Journal of Economic Studies, 48(1), 1–19. https://doi.org/10.1108/jes-08-2019-0395
Matey, J. (2021). Bank Liquidity Risk and Bank Credit Risk: Implication on Bank Stability in Ghana. International Journal of Scientific Research in Multidisciplinary Studies, 7(4), 01–09. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3864105
Mavrakana Maria, C. P. (2019). Do economic freedom and board structure matter for bank stability and bank performance. In Research Papers in Economics: Vol. NA (Issue NA, p. NA-NA). https://mpra.ub.uni-muenchen.de/95709/
Merhbene, D. E. (2021). The relationship between non-performing loans, banking system stability and economic activity: The case of Tunisia. Graduate Institute of International and Development Studies Working Paper. https://www.econstor.eu/handle/10419/238094
Moretti, M., Dobler, M., & Piris Chavarri, A. (2020). Managing Systemic Banking Crises. Departmental Papers / Policy Papers, 20(05). https://doi.org/10.5089/9781513512273.087
Ozili, P. K. (2018). Banking stability determinants in Africa. International Journal of Managerial Finance. 14(4), 462-483. https://doi.org/10.1108/ijmf-01-2018-0007
Pagano, M., & Jappelli, T. (1993). Information sharing in credit markets. The journal of finance, 48(5), 1693-1718. https://doi.org/10.1111/j.1540-6261.1993.tb05125.x
Pessarossi, P., Thevenon, J. L., & Weill, L. (2020). Does high profitability improve stability for European banks?. Research in International Business and Finance, 53(C). 10122. https://doi.org/10.1016/j.ribaf.2020.101220
Segars, A. H., & Grover, V. (1993). Re-examining perceived ease of use and usefulness: A confirmatory factor analysis. (pp. 517–552). MIS quarterl.
Serwadda, I. (2018). Impact of Credit Risk Management Systems on the Financial Performance of Commercial Banks in Uganda. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 66(6), 1627-1635. https://doi.org/10.11118/actaun201866061627
Suyanto, S. (2021). The Effect of Bad Credit and Liquidity on Bank Performance in Indonesia. In Journal of Asian Finance, Economics and Business 8(3), 451–458. https://doi.org/10.13106/jafeb.2021.vol8.no3.0451
Tan, Y., & Floros, C. (2013). Market power, stability and performance in the Chinese banking industry. Economic Issues, 18(2), 65-89. https://economicissues.org.uk/Files/2013/213Tan.pdf
Tan, A. Y., & Anchor, J. R. (2016). Stability and profitability in the Chinese banking industry: evidence from an auto-regressive-distributed linear specification. Investment Management and Financial Innovations, 13(4), 120-128.
Thakor, B. (2000). Can Relationship Banking Survive Competition? In The Journal Of Finace: 55(2), 679-713. https://doi.org/10.1111/0022-1082.00223
Uhde, A., & Heimeshoff, U. (2009). Consolidation in banking and financial stability in Europe: Empirical evidence. Journal of Banking & Finance, 33(7), 1299-1311. https://doi.org/10.1016/j.jbankfin.2009.01.006
Widagdo, B., Jihadi, M., Bachitar, Y., Safitri, O. E., & Singh, S. K. (2020). Financial Ratio, Macro Economy, and Investment Risk on Sharia Stock Return. In Journal of Asian Finance, Economics and Business 7(12), 919–926. https://doi.org/10.13106/JAFEB.2020.VOL7.NO12.919
Alshubiri, F. N. (2017). Determinants of financial stability : an empirical study of commercial banks listed in Muscat Security Market. 11(4), 192–200. https://doi.org/10.24052/jbrmr/v11is04/dofsaesocblimsm
Atahau, A. D. R., & Cronje, T. (2019). Does focus strategy work? A study of bank loan portfolios in Indonesia. Journal of Asia Business Studies 13(3), 450–471. https://doi.org/10.1108/JABS-11-2017-0202
Beatty, A., & Liao, S. (2014). Financial accounting in the banking industry: A review of the empirical literature. Journal of accounting and Economics, 58(2-3), 339–383. https://doi.org/10.24205/03276716.2020.1002
Beck, T., De Jonghe, O., & Schepens, G. (2013). Bank competition and stability: Cross-country heterogeneity. Journal of financial Intermediation, 22(2), 218–244. https://doi.org/10.2139/ssrn.1890674
Collins, J. H., Shackelford, D. A., & Wahlen, J. M. (1995). Bank differences in the coordination of regulatory capital, earnings, and taxes. Journal of accounting research, 33(2), 263-291. https://doi.org/10.2307/2491488
Cheng, L., Kwabena Nsiah, T., Charles, O., & Ayisi, A. L. (2020). Credit risk, operational risk, liquidity risk on profitability. A study on South Africa commercial banks. A PLS-SEM Analysis. In Revista Argentina de Clinica Psicologica 29(5), 5–18. DOI: 10.24205/03276716.2020.1002
Chin, W. W., & Todd, P. A. (1995). On the use, usefulness, and ease of use of structural equation modeling in mis research: A note of caution. In MIS Quarterly: Management Information Systems 19(2), 237–246. https://doi.org/10.2307/249690
Davies, M., & Ng, T. (2011). The rise of sovereign credit risk: implications for financial stability. BIS Quarterly Review, 59–70. http://www.bis.org/publ/qtrpdf/r_qt1109g.pdf
Demetriades, P. O., Rousseau, P. L., & Rewilak, J. (2017). Finance, growth and fragility. https://publications.aston.ac.uk/id/eprint/30150/1/FINANCE_GROWTH_AND_FRAGILITY_Demetriades_et_al._2017_WP.pdf
Diaconu, I.-R., & Oanea, D.-C. (2015). Determinants of Bank’s Stability. Evidence from CreditCoop. Procedia Economics and Finance, 32(15), 488–495. https://doi.org/10.1016/s2212-5671(15)01422-7
Dietrich, A., & Wanzenried, G. (2011). Determinants of bank profitability before and during the crisis: Evidence from Switzerland. In Journal of International Financial Markets, Institutions and Money 21(3), 307–327. https://doi.org/10.1016/j.intfin.2010.11.002
Djebali, N., & Zaghdoudi, K. (2020). Threshold effects of liquidity risk and credit risk on bank stability in the MENA region. Journal of Policy Modeling, 42(5), 1049–1063. https://doi.org/10.1016/j.jpolmod.2020.01.013
Ekinci, R., & Poyraz, G. (2019). The Effect of Credit Risk on Financial Performance of Deposit Banks in Turkey. Procedia Computer Science, 158, 979–987. https://doi.org/10.1016/j.procs.2019.09.139
Fred Nelson, O. N. (2020). The Impact of Credit Risk Management on the Profitability of a Commercial Bank: The Case of BGFI Bank Congo. International Journal of Economics and Finance, 12(3), 21. https://doi.org/10.5539/ijef.v12n3p21
Ghenimi, A., Chaibi, H., & Omri, M. A. B. (2017). The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region. Borsa Istanbul Review, 17(4), 238-248. https://doi.org/10.1016/j.bir.2017.05.002
Ghosh, S. (2015). Trade credit, bank credit and crisis: Some empirical evidence for India?. Margin: The Journal of Applied Economic Research, 9(4), 333–361. https://doi.org/10.1177/0973801015596854
Goetz, M. R. (2018). Competition and bank stability. Journal of Financial Intermediation, 35, 57-69. https://doi.org/10.1016/j.jfi.2017.06.001
Hasan, M. S. A., Manurung, A. H., & Usman, B. (2020). Determinants of bank profitability with size as moderating variable. Journal of Applied Finance and Banking, 10(3). https://core.ac.uk/download/pdf/328807721.pdf
Jahn, N., & Kick, T. (2012). Determinants of Banking System Stability: A Macro-Prudential Analysis. Banks - How Big Is Big Enough?, 1–35. http://www.bis.org/bcbs/events/bhbibe_programme.pdf
Kasman, S., & Kasman, A. (2015). Bank competition, concentration and financial stability in the Turkish banking industry. Economic Systems, 39(3), 502–517.
Kohlscheen, E., Murcia Pabón, A., & Contreras, J. (2018). Determinants of bank profitability in emerging markets. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3098196
Lalon, R. M., & Morshada, F. (2020). Impact of Credit Risk Management on Profitability of Commercial Banks in Bangladesh: An estimation of Dynamic Panel Data Model. In International Journal of Finance & Banking Studies (2147-4486), 9(3), 131–147. https://doi.org/10.20525/ijfbs.v9i3.874
Lee, J. H., Ryu, J., & Tsomocos, D. P. (2013). Measures of systemic risk and financial fragility in Korea. Annals of Finance, 9(4), 757–786. https://doi.org/10.1007/s10436-012-0218-x
Li, R., Li, L., & Zou, P. (2020). Credit risk shocks and banking efficiency: a study based on a bootstrap-DEA model with nonperforming loans as bad output. Journal of Economic Studies, 48(1), 1–19. https://doi.org/10.1108/jes-08-2019-0395
Matey, J. (2021). Bank Liquidity Risk and Bank Credit Risk: Implication on Bank Stability in Ghana. International Journal of Scientific Research in Multidisciplinary Studies, 7(4), 01–09. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3864105
Mavrakana Maria, C. P. (2019). Do economic freedom and board structure matter for bank stability and bank performance. In Research Papers in Economics: Vol. NA (Issue NA, p. NA-NA). https://mpra.ub.uni-muenchen.de/95709/
Merhbene, D. E. (2021). The relationship between non-performing loans, banking system stability and economic activity: The case of Tunisia. Graduate Institute of International and Development Studies Working Paper. https://www.econstor.eu/handle/10419/238094
Moretti, M., Dobler, M., & Piris Chavarri, A. (2020). Managing Systemic Banking Crises. Departmental Papers / Policy Papers, 20(05). https://doi.org/10.5089/9781513512273.087
Ozili, P. K. (2018). Banking stability determinants in Africa. International Journal of Managerial Finance. 14(4), 462-483. https://doi.org/10.1108/ijmf-01-2018-0007
Pagano, M., & Jappelli, T. (1993). Information sharing in credit markets. The journal of finance, 48(5), 1693-1718. https://doi.org/10.1111/j.1540-6261.1993.tb05125.x
Pessarossi, P., Thevenon, J. L., & Weill, L. (2020). Does high profitability improve stability for European banks?. Research in International Business and Finance, 53(C). 10122. https://doi.org/10.1016/j.ribaf.2020.101220
Segars, A. H., & Grover, V. (1993). Re-examining perceived ease of use and usefulness: A confirmatory factor analysis. (pp. 517–552). MIS quarterl.
Serwadda, I. (2018). Impact of Credit Risk Management Systems on the Financial Performance of Commercial Banks in Uganda. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 66(6), 1627-1635. https://doi.org/10.11118/actaun201866061627
Suyanto, S. (2021). The Effect of Bad Credit and Liquidity on Bank Performance in Indonesia. In Journal of Asian Finance, Economics and Business 8(3), 451–458. https://doi.org/10.13106/jafeb.2021.vol8.no3.0451
Tan, Y., & Floros, C. (2013). Market power, stability and performance in the Chinese banking industry. Economic Issues, 18(2), 65-89. https://economicissues.org.uk/Files/2013/213Tan.pdf
Tan, A. Y., & Anchor, J. R. (2016). Stability and profitability in the Chinese banking industry: evidence from an auto-regressive-distributed linear specification. Investment Management and Financial Innovations, 13(4), 120-128.
Thakor, B. (2000). Can Relationship Banking Survive Competition? In The Journal Of Finace: 55(2), 679-713. https://doi.org/10.1111/0022-1082.00223
Uhde, A., & Heimeshoff, U. (2009). Consolidation in banking and financial stability in Europe: Empirical evidence. Journal of Banking & Finance, 33(7), 1299-1311. https://doi.org/10.1016/j.jbankfin.2009.01.006
Widagdo, B., Jihadi, M., Bachitar, Y., Safitri, O. E., & Singh, S. K. (2020). Financial Ratio, Macro Economy, and Investment Risk on Sharia Stock Return. In Journal of Asian Finance, Economics and Business 7(12), 919–926. https://doi.org/10.13106/JAFEB.2020.VOL7.NO12.919