The main content of the article is the study examining the relationship between some macroeconomic models and weak models Interest rates are not effective in the banking system with Vietnam using the tables of the module. | VNU Journal of Science: Economics and Business, Vol. 30, No. 5E (2014) 1-16 RESEARCH Macro Determinants on Non-performing Loans and Stress Testing of Vietnamese Commercial Banks’ Credit Risk Võ Thị Ngọc Hà*, Lê Vĩnh Triển, Hồ Diệp ác International University, Vietnam National University, Quarter 6, Linh Trung Ward, Thủ Đức District, Hồ Chí Minh City, Vietnam Received 8 December 2014 Revised 15 December 2014; Accepted 25 December 2014 Abstract: This study investigates the relationship between several macroeconomic factors and the nonperforming loan ratio in the Vietnamese banking system by using panel regression models. The study employs a sample of eight listed banks representing approximately 50% of the market share of the banking system operating from the fourth quarter of 2008 to the second quarter of 2013. Consistent with international and domestic evidence, we have found that the GDP growth rate is negatively related to nonperforming loans (NPL) while the lending rate is positively related to NPL. Contrary to other studies, the inflation and exchange rates have not been found statistically significant with nonperforming loans for the Vietnamese commercial banks. The study also employs both a conventional approach and a value-at-risk (VaR) approach to conduct macro stress testing in order to predict the levels of the nonperforming loans and the expected losses that banks could suffer. The forecast result shows that under adverse and stressed scenarios the minimum capital requirement for banks to survive is about 6% at the end of 2014. Implications will then be provided for bankers and policy makers accordingly. Keywords: Nonperforming loans, capital adequacy, stress testing, vector autoregressive model. 1. Introduction * caused by nonperforming loans (NPL) (Brownbridge, 1998) [1], . the 1997 Asian financial crisis (Yang, 2003) [2] and the recent 2008 global financial crisis (Diwa, 2010) [3]. As the main operations of commercial banks are to accept .
