Credit risk managemnt : applying the Z-score model in the Vietnames banking system | |
| Author | Nguyen Duc Phuong |
| Call Number | AIT RSPR no.SM-03-56 |
| Subject(s) | Credit--Vietnam Risk management--Vietnam |
| Note | A research study submitted in partial fulfillment of the requirements for the degree of the Master of Business Administration, School of Management |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. SM-03-56 |
| Abstract | The overdue debt of Vietnamese banking system stands at VND 19,500 billion that account for 11 % total outstanding loans in the economy. This amount of non-performing loans is a consequence of improper lending decision to customers who are in financial trouble or even go banluupt. Thus, an accurate model for predicting bankruptcy status and also applying as a quantitative measurement of credit risk in banking system is gradually become an impo1tant issue for many scholars and researcher. This study is divided into two parts. The first part attempts to define the critical aspects regarding credit risk management in Vietnamese commercial banks by investigating the practice of credit risk management in Vietnam Commercial banks, drawing some pros and cons, thereafter proposing some recommendation for Vietnamese banks to enhance the efficiency in credit risk management in Vietnamese Banking system. The second part focuses on developing a Z-score model. By using data collecting from clients of commercial banks, the Z-score model is formed by applying multivariate discriminant analysis with stepwise method. This model enables credit officer to predict business failure one-year prior, and act as a quantitative method to evaluate clients' credit risk level. It is noteworthy to point that there has been not any quantitative measurement of credit risk management in Vietnam, the study attempt to bridge this gap in current practice in credit risk measurement in Vietnamese banking system. |
| Year | 2003 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. SM-03-56 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management (SOM) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Ramachandran, Neelakantan |
| Examination Committee(s) | Tang, John C.S.; Donyaprueth K.rairit |
| Scholarship Donor(s) | Government of France ;AIT Fellowship |
| Degree | Research report (M.Sc.) - Asian Institute of Technology, 2003 |