臺灣博碩士論文加值系統

Credit risk management has become an important issue for financial institutions to pay more attention, especially since the business sector of financial services is pooled in the conditions of uncertainty. The instability of the financial system emphasizes the importance of the effective risk management methodologies/procedures under impacts of external unstable factors. The purpose of the thesis is to explore the relationship between the existing credit risk management system and its NPL position. This thesis employed the qualitative research method by using in-depth interview from top to down on persons in charged on lending activities of VID Public Bank Vietnam to find out the factors has impacts on the current high level of the non performing loans which in turn directly deteriorate the banks’ capital. The thesis is consisted of Background, Literature Review, Research Methodology, Findings &; Discussions and Conclusion respectively. Under consultancy of the principles for management of credit risk as suggested in Basel 2, the research revealed that the NPL was affected by the down turn of the economic environment and the internal credit risk management system which is not strong/proactive enough to effectively protect the bank from NPL rising. The recommendation proved that the bank’s management should establish a professional internal credit risk management model which could effectively secures the lending activities to meet the long term stable development target.

Table of Contents
Table of Contents iii
List of Figures v
List of Tables v
Chapter1.Introduction 1
1.1. Research Background 1
1.2. Research Motive 2
1.3. Research Purpose 5
1.4. Research procedure 5
Chapter 2.Literature review 7
2.1 Risk 7
2.2 Credit risk 10
2.3 Credit risk management 12
2.4. Sound Credit Risk Management 13
2.5 Principles for the management of credit risk. 13
2.5.2 Function of Credit Risk Management 14
2.6 Risk identification 16
2.7. Credit risk measurement: 17
2.8. Credit risk assessment 18
2.9. Credit risk monitoring 18
2.10. Credit Risk control 19
2.10.1 Accurate Loan Pricing 19
2.10.2. Credit Rationing 19
2.10.3. Credit Limits 19
2.10.4. Collateral 19
2.10.5. Diversification 20
2.11. Credit risk rating 20
2.12. Credit risk modeling 21
2.13. Credit risk provision 24
2.14.Credit Risk Mitigation and Transfer 24
2.15. Issues in Credit Risk Management 24
2.15.1. Adverse Selection 24
2.15.2. Credit Risk Concentrations 24
2.16. Non-Performing loans (NPL) 24
3.1 Research Sample –The Case of VID Public Bank Vietnam 26
3.2 Research design 27
3.2.1 Research Framework 27
3.2.2 Accounting Data Analysis 31
3.2.2.1 Non performing loan to Gross loan ratios (NPL/GL): 31
3.2.2.2 Loss loans (written off) to impaired loans ratio (LL/NPL): 31
3.2.2.3 Loss loans (written off) to Gross loans ratios (LL/GL): 31
3.2.2.4 Loans to Deposit ratios (GL/DP): 31
3.3 Interview Framework for Qualitative research and Data collection 31
Chapter 4. Findings and Discussion 41
4.1 Accounting data analysis 41
4.2 The credit risk management discussions and findings. 42
4.2.1 An overview of the credit risk management and NPL 42
4.2.2 Credit risk Governance 43
4.2.3 Credit risk identifying 44
4.2.4 Credit risk measurement 45
4.2.5 Credit risk assessment 47
4.2.7 Credit risk control 54
Chapter 5. Conclusion and recommendation 57
References 63
Appendix 1. Vietnam financial market information 69
Appendix 2. VID Public Bank’s organized flow chart. 75
Appendix 3. Credit risk governance 77
Appendix 4.CRR score sheet 79
Appendix 5.7 Cs of Credit 81
Appendix 6. Loan group classification 82
Appendix 7. Relevant Banking Regulatory laws 85
Appendix 8. VIDP - Credit portfolios’ financial comment 89

List of Figures
Figure 1 Research Structure 6
Figure 2 Types of Risks (Source Calan City Life) 7
Figure 3 Risk Management at OeNB 9
Figure 4 Moody’s and S&;P debt rating range 21
Figure 5 Bank’s risk and capital adequacy 22
Figure 6 Basel 2 approach to Credit Risk. 22
Figure 7 The linkage to the credit risk process 23
Figure 8 Basel 2, Integrated Risk Management Solution 23
Figure 9 Deposit in comparison to credit growth of Vietnam Banks from 2005 to 2010 28
Figure 10 Conceptual Framework for the research 29
Figure 11 Interview structure 34
Figure 12 VIDP’s Credit Approval as per Discretionary 50
Figure 13 VIDP’s lending procedure 51
Figure 14 GDP growth rates in 2000-2012 period 69
Figure 15 Consumer Pricing Index from 2002 to 2012 70
Figure 16 Credit growth chart in relation with GDP 71
Figure 17 Vietnam Base Rate 72
Figure 18 Vietnam Inflation Rate 72
Figure 19 Vietnam Inflation Rate (Column chart) 73
Figure 20 Vietnam Non performing loan from Dec 2010 to Sep 2011 74
Figure 21 VIDP’s Credit risk governance 77


List of Tables
Table 1 VIDP’s NPLs data from Y2007 to Y2011 (audit report) 26
Table 2 VIDP’s NPLs growth rate from Y2007 to Y2011 (Audit report) 27
Table 3 VIDP’s doubtful and loss loans growth rate from Y2007 to Y2011 (Audit report) 27
Table 4 Interview information – Pilot run stage 35
Table 5 Interview information – Main stage 36
Table 6 Detailed information of the interviewee 38
Table 7 NPLs in VIDP’s Loans Portfolios and Deposit Position from Y2007 to Y2011 41
Table 8 Ratios concerning scale of NPL in VIDP’s Loans Portfolios 41
Table 9 VIDP’s Credit risk rating 46
Table 10 Vietnam credit growth from 2000 to 2012 - Sourced: VietnamReport 70

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