| dc.description.abstract | This thesis assesses the resilence of banking system of Vietnam using stresstesting. For this purpose, a VAR model is structured to estimate the relationship between
credit risk and chosen macroeconomic factors. The data of non-performing loans
collected from financial statement from 2014 to 2022 of 18 banks listed is used as a
proxy for credit risk in the banking system. The result shows that Lending rate, GDP
changes and Exchange rate changes are the three factors influence changes of NPL the
most. After that, three sock scenarios are established to test the responses of NPLs to
exponential changes in these macroeconomic factors. The findings show that increasing
lending rate increase credit risk in the financial system the most. | en_US |
