Khóa luận tốt nghiệp ngân hàng factors affecting credit risk in vietnam prosperity joint stock commercial bank vpbank from 2019 to 2023

Khóa luận phân tích các yếu tố ảnh hưởng đến rủi ro tín dụng tại VPBank giai đoạn 2019-2023, cung cấp cái nhìn sâu sắc về ngành ngân hàng.

• Tác giả: Tô Thị Bảo Ngọc
• Người hướng dẫn: PhD. Lê Thanh Bình
• Trường học: Banking Academy of Vietnam
• Chuyên ngành: Banking
• Đề tài: Các Yếu Tố Ảnh Hưởng Đến Rủi Ro Tín Dụng Tại Ngân Hàng TMCP Việt Nam Thịnh Vượng (VPBank) Giai Đoạn 2019-2023
• Loại tài liệu: Graduation Thesis
• Năm xuất bản: 2024
• Địa điểm: Hà Nội

Mục lục chi tiết

• DECLARATION
• ACKNOWLEDGEMENTS
• TABLE OF CONTENTS
• LIST OF ABBREVIATIONS
• LIST OF CHARTS
• LIST OF TABLES
• 1. CHƯƠNG 1: THEORETICAL OVERVIEW
• 1.1. Theoretical basis for credit and credit risk at commercial banks
• 1.2. Concept of credit
• 1.3. Concept of credit risk
• 1.4. Credit risk classification
• 1.5. Signs of credit risk. Non-financial signs.
• 1.6. Credit risk measurement criteria
• 1.7. Rate of overdue debt and non-performing loan
• 1.8. Credit risk provisions
• 1.9. Credit concentration level
• 1.10. Factors affecting credit risk at commercial banks
• 1.10.1. Factors from the bank
• 1.10.2. Credit growth rate
• 1.10.3. Bank's credit policy (credit culture and risk appetite)
• 1.10.4. Ability, method of appraisal and evaluation of each loan
• 1.10.5. Use financial analysis tools to identify and control credit risk
• 1.10.6. Loan inspection and supervision
• 1.10.7. Qualifications and moral hazard issues of credit officers
• 1.10.8. Factors from the customer side
• 1.10.9. Characteristics of the customer's industry
• 1.10.10. Loan purpose and willingness to repay
• 1.10.11. Ability to meet bank credit requirements
• 1.10.12. Enterprise management capacity
• 1.10.13. Transparency and stability of corporate financial situation
• 1.10.14. Factors from the macro environment
• 1.10.15. Socio-political environment
• 1.10.16. Quality management information system
• 1.11. CONCLUSION OF CHAPTER 1
• 2. CURRENT SITUATION OF CREDIT RISK AND FACTORS AFFECTING CREDIT RISK AT VPBANK
• 2.1. General introduction about VPBank
• 2.2. Overview of the formation and development process of VPBank
• 2.3. Overview of VPBank's business results from 2019 - 2023
• 2.4. Current status of credit risk at VPBank in the period of 2019 - 2023
• 2.5. Non-performing loan ratio
• 2.6. VPBank's credit structure from 2019 - 2023 (credit concentration level)
• 2.7. Credit structure according to loan term
• 2.8. Credit structure by customer and type of business
• 2.9. Credit structure by industry
• 2.10. Current status of credit risk prevention at VPBank from 2019 - 2023
• 2.11. Evaluation of factors affecting credit risk at VPBank through survey questionnaires
• 2.11.1. Factors from the bank
• 2.11.2. Factors from the customer side
• 2.11.3. Factors from the macro environment
• 2.12. CONCLUSION OF CHAPTER 2
• 3. CHAPTER 3: RECOMMENDATIONS AND SOLUTIONS
• 3.1. Development orientation and credit risk management of VPBank
• 3.2. Orientation to credit risk management
• 3.3. Credit risk control solution at VPBank
• 3.3.1. Apply risk identification and measurement models appropriate to the bank's characteristics
• 3.3.2. Strengthen information technology in credit risk management
• 3.3.3. Complete standard credit process
• 3.3.4. Effective human resource management
• 3.4. Other suggestions and recommendations
• 3.4.1. For State Bank
• 3.4.1.1. Develop industry average targets
• 3.4.1.2. Accomplishing the banking legal system
• 3.4.1.3. Improve management, inspection and supervision efficiency
• 3.4.1.4. Improve VAMC's operational efficiency
• 3.4.2. For the Government
• 3.4.2.1. Create a stable macroeconomic environment and favorable legal environment for portfolio management activities for commercial banks
• 3.4.2.2. Having specific economic development orientations for each period
• 3.5. CONCLUSION OF CHAPTER 3

Tóm tắt

I. Tổng quan về rủi ro tín dụng tại VPBank giai đoạn 2019 2023

Rủi ro tín dụng là một trong những yếu tố quan trọng ảnh hưởng đến hoạt động của Ngân hàng TMCP Việt Nam Thịnh Vượng (VPBank). Trong giai đoạn 2019-2023, VPBank đã phải đối mặt với nhiều thách thức từ môi trường kinh tế và chính sách tín dụng. Việc hiểu rõ các yếu tố ảnh hưởng đến rủi ro tín dụng sẽ giúp ngân hàng có những biện pháp quản lý hiệu quả hơn.

1.1. Khái niệm và phân loại rủi ro tín dụng

Rủi ro tín dụng được định nghĩa là khả năng khách hàng không thể thanh toán nợ đúng hạn. Phân loại rủi ro tín dụng bao gồm rủi ro tín dụng cá nhân, doanh nghiệp và rủi ro từ môi trường vĩ mô.

1.2. Tình hình rủi ro tín dụng tại VPBank

Trong giai đoạn 2019-2023, VPBank đã ghi nhận tỷ lệ nợ xấu tăng do ảnh hưởng của đại dịch COVID-19 và các yếu tố kinh tế khác. Điều này đã đặt ra nhiều thách thức cho ngân hàng trong việc duy trì chất lượng tín dụng.

II. Các yếu tố ảnh hưởng đến rủi ro tín dụng tại VPBank

Nhiều yếu tố ảnh hưởng đến rủi ro tín dụng tại VPBank, bao gồm các yếu tố từ ngân hàng, khách hàng và môi trường vĩ mô. Việc phân tích các yếu tố này sẽ giúp ngân hàng có cái nhìn tổng quan hơn về tình hình tín dụng.

2.1. Yếu tố từ ngân hàng

Chính sách tín dụng, quy trình thẩm định và quản lý rủi ro là những yếu tố quan trọng từ phía ngân hàng. VPBank cần cải thiện các quy trình này để giảm thiểu rủi ro tín dụng.

2.2. Yếu tố từ khách hàng

Khả năng tài chính và mục đích vay vốn của khách hàng có ảnh hưởng lớn đến rủi ro tín dụng. VPBank cần đánh giá kỹ lưỡng khả năng trả nợ của khách hàng trước khi cấp tín dụng.

2.3. Yếu tố từ môi trường vĩ mô

Tình hình kinh tế, chính trị và các chính sách của Nhà nước cũng ảnh hưởng đến rủi ro tín dụng. VPBank cần theo dõi sát sao các biến động này để điều chỉnh chiến lược tín dụng phù hợp.

III. Phương pháp quản lý rủi ro tín dụng hiệu quả tại VPBank

Để giảm thiểu rủi ro tín dụng, VPBank cần áp dụng các phương pháp quản lý rủi ro hiệu quả. Việc này không chỉ giúp bảo vệ ngân hàng mà còn nâng cao uy tín và vị thế trên thị trường.

3.1. Áp dụng công nghệ thông tin trong quản lý rủi ro

Sử dụng công nghệ thông tin để thu thập và phân tích dữ liệu khách hàng sẽ giúp VPBank đánh giá rủi ro tín dụng một cách chính xác hơn.

3.2. Đào tạo nhân viên về quản lý rủi ro

Đào tạo nhân viên về các kỹ năng quản lý rủi ro tín dụng sẽ giúp nâng cao hiệu quả trong việc thẩm định và giám sát khoản vay.

IV. Ứng dụng thực tiễn và kết quả nghiên cứu tại VPBank

Kết quả nghiên cứu cho thấy rằng việc quản lý rủi ro tín dụng tại VPBank đã có những cải thiện đáng kể trong giai đoạn 2019-2023. Tuy nhiên, vẫn còn nhiều thách thức cần phải vượt qua.

4.1. Đánh giá hiệu quả quản lý rủi ro tín dụng

Các chỉ số tài chính cho thấy VPBank đã giảm tỷ lệ nợ xấu, tuy nhiên cần tiếp tục cải thiện quy trình thẩm định tín dụng.

4.2. Các biện pháp cải thiện trong tương lai

VPBank cần tiếp tục đầu tư vào công nghệ và đào tạo nhân viên để nâng cao khả năng quản lý rủi ro tín dụng.

V. Kết luận và triển vọng tương lai của rủi ro tín dụng tại VPBank

Rủi ro tín dụng sẽ tiếp tục là một thách thức lớn đối với VPBank trong tương lai. Tuy nhiên, với các biện pháp quản lý hiệu quả, ngân hàng có thể giảm thiểu rủi ro và nâng cao hiệu quả hoạt động.

5.1. Tương lai của rủi ro tín dụng tại VPBank

VPBank cần có những chiến lược dài hạn để đối phó với các rủi ro tín dụng trong bối cảnh kinh tế không ổn định.

5.2. Khuyến nghị cho VPBank

Cần tiếp tục cải thiện quy trình thẩm định và giám sát tín dụng để đảm bảo an toàn cho hoạt động ngân hàng.

Trích đoạn nội dung tài liệu

BANKING ACADEMY OF VIETNAM BANKING FALCUTY -------------------- GRADUATION THESIS TOPIC: FACTORS AFFECTING CREDIT RISK IN VIETNAM PROSPERITY JOINT STOCK COMMERCIAL BANK (VPBANK) FROM 2019 TO 2023 Name of student: Tô Thị Bảo Ngọc Class: K23CLC-NHA Academic year: 2020 – 2024 Student ID: 23A4010472 Instructor: PhD. Lê Thanh Bình Ha Noi, 2024 BANKING ACADEMY OF VIETNAM BANKING FALCUTY -------------------- GRADUATION THESIS TOPIC: FACTORS AFFECTING CREDIT RISK IN VIETNAM PROSPERITY JOINT STOCK COMMERCIAL BANK (VPBANK) FROM 2019 TO 2023 Name of student: Tô Thị Bảo Ngọc Class: K23CLC-NHA Academic year: 2020 – 2024 Student ID: 23A4010472 Instructor: PhD. Lê Thanh Bình Ha Noi, 2024 DECLARATION I declare that this graduation thesis entitled: "Factors affecting credit risk in Vietnam Prosperity Joint Stock Commercial Bank (VPBank) from 2019 to 2023” was carried out by myself and submitted to the Banking Faculty of Banking Academy of Vietnam. All the content and results in this research are precise, trustful, and have never been published before.

The theoretical framework in the research is cited and referenced formally, meanwhile the data used is presented honestly. I further ensure that I have not copied any other authors’ work or used any material from other sources without acknowledgement. i ACKNOWLEDGEMENTS First of all, I would like to send my sincere thanks to all the teachers in the Department of Banking and Banking Academy for imparting knowledge, guiding, providing necessary documents and helping me throughout my study period as well as in the process of cultivating knowledge to carry out the thesis. In particular, from the bottom of my heart, I would like to send my respect to Mr.

Le Thanh Binh, my thesis supervisor, who enthusiastically taught, guided and created conditions to help me complete this dissertation. I also want to send special gratitude to my family and friends, who have always been by my side through toughest times and gave me love, motivation to believe in myself and try my best no matter how hard it was. As my research level and practical experience are still limited, my thesis content will inevitably have shortcomings. Therefore, I look forward to receiving positive feedback from teachers and readers so that I can supplement and improve the content of my dissertation better.

Thank you sincerely! Ha Noi, May 2024 Author’s signature Tô Thị Bảo Ngọc ii TABLE OF CONTENTS DECLARATION. ii TABLE OF CONTENTS. iii LIST OF ABBREVIATIONS. viii LIST OF CHARTS.

x LIST OF TABLES. Rationale of the subject. Aims of the study and research questions. Object and scope of the study.

Research methods and data. Structure of research paper .11 CHAPTER 1: THEORETICAL OVERVIEW. Theoretical basis for credit and credit risk at commercial banks. Concept of credit.

Concept of credit risk. Credit risk classification. Signs of credit risk. Non-financial signs.

Credit risk measurement criteria. Rate of overdue debt and non-performing loan. Credit risk provisions. Credit concentration level.

Factors affecting credit risk at commercial banks. Factors from the bank. Credit growth rate. Bank's credit policy (credit culture and risk appetite).

Ability, method of appraisal and evaluation of each loan. Use financial analysis tools to identify and control credit risk. Loan inspection and supervision. Qualifications and moral hazard issues of credit officers.

Factors from the customer side. Characteristics of the customer's industry. Loan purpose and willingness to repay. Ability to meet bank credit requirements.

Enterprise management capacity. Transparency and stability of corporate financial situation. Factors from the macro environment. Socio-political environment.

Quality management information system. 35 CONCLUSION OF CHAPTER 1. 36 CURRENT SITUATION OF CREDIT RISK AND FACTORS AFFECTING CREDIT RISK AT VPBANK. General introduction about VPBank.

Overview of the formation and development process of VPBank. Overview of VPBank's business results from 2019 - 2023. Current status of credit risk at VPBank in the period of 2019 - 2023. Non-performing loan ratio.

VPBank's credit structure from 2019 - 2023 (credit concentration level). Credit structure according to loan term. Credit structure by customer and type of business. Credit structure by industry.

Current status of credit risk prevention at VPBank from 2019 - 2023. Evaluation of factors affecting credit risk at VPBank through survey questionnaires. Factors from the bank. Factors from the customer side.

Factors from the macro environment. 64 CONCLUSION OF CHAPTER 2. 66 CHAPTER 3: RECOMMENDATIONS AND SOLUTIONS. Development orientation and credit risk management of VPBank.

Orientation to credit risk management. Credit risk control solution at VPBank. Apply risk identification and measurement models appropriate to the bank's characteristics. Strengthen information technology in credit risk management.

Complete standard credit process. Effective human resource management. Other suggestions and recommendations. For State Bank.

Develop industry average targets. Accomplishing the banking legal system. Improve management, inspection and supervision efficiency. Improve VAMC's operational efficiency.

For the Government. Create a stable macroeconomic environment and favorable legal environment for portfolio management activities for commercial banks. Having specific economic development orientations for each period. 77 CONCLUSION OF CHAPTER 3.

85 vii LIST OF ABBREVIATIONS Abbreviations Interpretation VPBank Vietnam Prosperity Joint Stock Commercial Bank NPL Non-Performing Loan GDP Gross Domestic Product LDR Loan to Deposit Ratio BCBS Basel Committee on International Affairs RBZ Reserve Bank of Zimbabwe ROE Return on Assets ROA Return on Equity CAR Capital Adequacy Ratio REM Random Effects Model FEM Fixed Effects Model Organization for Economic Cooperation and OECD Development SBV State Bank of Vietnam ADB Asian Development Bank SMEs Small and Medium Enterprises viii VAMC Vietnam Asset Management Company OHI Organization Health Index ESMS Environmental and Social Management System IFC International Finance Corporation STP Service Transfer Pricing FDI Foreign Direct Investment ODA Official Development Assistance LLCs Limited Liability Companies RWA Risk-weighted asset KPIs Key Performance Indicators ix LIST OF CHARTS Figure 1 : Types of credit risk. 16 Figure 2 : Total assets of VPBank from 2019-2023. 40 Figure 3 : Profit after tax of VPBank from 2019-2023. 41 Figure 4 : ROA and ROE of VPBank from 2019-2023.

42 Figure 5 : VPBank's credit scale and credit growth in the period 2019-2023. 44 Figure 6 : Loan structure by segment. 45 Figure 7 : VPBank's non-performing loan ratio from 2019-2023. 48 Figure 8 : Comparison of VPBank's NPL ratio with some commercial banks.

49 Figure 9 : Proportion of debt by term of VPBank from 2019-2023. 50 Figure 10 : Credit proportion by customer type and business type. 51 Figure 11 : Credit proportion by industry at VPBank. 54 Figure 12 : VPBank 's credit risk reserve ratio.

56 Figure 13 : Bank factors affecting credit risk at VPBank. 61 Figure 14 : Customer factors affecting credit risk at VPBank. 63 Figure 15 : Factors from the macro environment affecting credit risk at VPBank. 65 x LIST OF TABLES Table 1: Research related.

7 Table 2: VPBank's business results from 2019-2023. 39 Table 3: Non-performing loan (NPL) of VPBank in the period 2019-2023. 47 Table 4: Credit structure by loan term of VPBank. 50 Table 5: Credit structure by industry at VPBank.

53 Table 6: VPBank's credit risk provisions from 2019-2023. 55 Table 7: Assessment of the influence of factors from the bank side. 59 Table 8: Assess the influence of factors from the customer side. 62 Table 9: Assessment of the influence of factors from the macro environment.

Rationale of the subject Banking institutions play a crucial role in the economic landscape, acting as intermediaries that regulate and distribute financial resources, stabilize the monetary market, and curb inflationary pressures. Credit remains a cornerstone of banking operations, particularly in the face of globalization and the growing demand for financial support across various economic sectors. Currently, service- related activities contribute a relatively smaller share of bank revenues compared to credit operations, accounting for nearly 80% of the profit structure of commercial banks. In 2022, Vietnam's credit-to-GDP ratio surpassed 125% (State Bank of Vietnam, 2023).

However, with the characteristics of financial intermediation in banking business, the credit segment is not only a key business segment of the bank but also has many potential risks causing financial losses, in many cases. This situation can lead the bank's business operations to suffer losses, and more alarmingly, it can bring the bank to the brink of bankruptcy. Financial institutions have encountered difficulties over the years for many reasons, the main causes leading to serious banking problems are directly related to lax credit standards for borrowers, poor portfolios risk management, lack of attention to changes in the economy or other policies, leading to credit deterioration of banks (Gil Diaz, 1994). Playing a dominant role in the health and operations of banks, credit risks need to be managed and controlled within allowable limits to minimize losses, contribute to enhance reputation, create competitive advantages for banks and sustainable growth in the context of economic recession and customers' business activities continuously facing many difficulties at present.

This is an urgent requirement because if this activity is not well controlled, the consequences will be unpredictable, causing extremely serious repercussions for the economy. Sujeewa (2015) argues that the robustness of the system established to manage credit risk affects the level of non- 1 performing loans (NPL) recorded by banks, ultimately impacting on profits and performance of the bank. With the goal of becoming one of the Top 5 commercial banks in Viet Nam, VPBank needs to pay special attention to credit risk management because this is one of the core factors that determine the profitability, dispersing risks, position, reputation and operating efficiency of the bank. In the extent of an unstable global economy as it struggles to recover from the pandemic and cope with complex political fluctuations, VPBank has proactively responded promptly and implemented risk management measures strictly, ensuring the safety of banking operations and honored to become the only representative of Vietnam selected by Celent (Research and Consulting Company for the Global Financial Services Industry) to award the "Model Risk Manager” (Model Risk Management Unit) in 2023.

In Vietnam, within the third quarter of 2021, GDP dropped to -6.17% (Asian Development Bank - ADB, 2021), which resulted in the uptrend of credit risk and affecting the business performance of commercial banks. Therefore, this still requires VPBank to have clearer orientations to strictly manage and control possible credit risks to the lowest level, contributing to minimize possible losses and generate profits for banks. This has become an urgent requirement for many commercial banks in general and VPBank in particular. The prerequisite for doing this is to identify the factors that affect credit risk at the bank, consider the influence level of those elements to be able to identify, evaluate and make recommendations.

Appropriate measures will help decrease the impact of that risk on the bank's business operations. Awaring the urgency of this issue, I decided to choose the topic "Factors affecting credit risk in Vietnam Prosperity Joint Stock Commercial Bank (VPBank) from 2019 to 2023” to research in my graduation thesis, then I can propose some recommendations for improving credit risk management at VPBank and commercial banks in Viet Nam. Aims of the study and research questions 2. Overall objectives The research objective of this topic is to examine the factors affecting credit risk at VPBank.

Detail goals Based on the overall objectives, specific objectives are set as follows: - Systematize the theoretical and practical basis of credit risk at commercial banks - Summary of factors affecting credit risk at commercial banks - Assess the impact of factors on credit risk through direct surveys of credit specialists and officers at VPBank - Contact the current status of credit risk and credit risk management at.