FACTORS AFFECTING CREDIT RISK IN LENDING ACTIVITIES OF JOINT-STOCK COMMERCIAL BANKS IN VIETNAM

This paper studies factors affecting credit risk in lending activities of joint-stock commercial banks in Vietnam. Data is collected from audited financial statements of 23 banks, and macroeconomic data from General Statistics Office of Vietnam in the period of 2009 - 2019. This paper uses GMM method which is carried out by using R programing language in Jupyter Notebook. The findings show that lagged credit risk, profitability and inflation have positive effects on credit risk, while bank capital, bank size, economic growth and loans to deposits ratio have negative ones. In addition, the findings also show that the nonlinear effects of loan growth on credit risk with U shape relationship, and this paper also calculates the relative importance of each variable.