Stress testing of credit risk for the Vietnamese Banking sector

Abstract

This paper conducts macro stress testing based on scenario analysis to investigate whether the Vietnamese banking sector can withstand the increasing credit risk in the stressed conditions of the economy. The empirical results show that the macroeconomic volatility (represented by change in GDP and inflation) has a significant effect on banks’ credit risk via increasing non-performing loans (NPLs). Testing the resilience of banks in different economic scenarios reveals that all banks stay well in the normal economic conditions and their capital adequacy ratios (CAR) are all above 9%. However, in the worst economic scenario, there are around 3-5/20 banks in the sample are negatively affected by the increase in NPL, which leads to the decline in their CAR below the regulatory level of 9%.

Keywords

• hệsốan toàn vốn
• kiểm tra sức chịu đựng
• rủi ro tín dụng
• tác động vĩ mô.