TRUONG MINH KHOA
CREDIT RISK MANAGEMENT ACCORDING TO BASEL II AGREEMENT AT SAIGON THUONG TIN COMMERCIAL JOINT STOCK BANK (SACOMBANK)
MASTER'S THESIS IN ECONOMICS
Ho Chi Minh City – 2020
TRUONG MINH KHOA
CREDIT RISK MANAGEMENT ACCORDING TO BASEL II AGREEMENT AT SAIGON THUONG TIN COMMERCIAL JOINT STOCK BANK (SACOMBANK)
Major: Banking Creation Instructions: Application Code: 8340201
MASTER'S THESIS IN ECONOMICS
SCIENTIFIC INSTRUCTOR ASSOCIATE PROFESSOR, DR. TRAM THI XUAN HUONG
Ho Chi Minh City – 2020
COVER PAGE STATEMENT OF GUARANTEE TABLE OF CONTENTS
LIST OF SYMBOLS AND ABBREVIATIONS LIST OF TABLES
LIST OF SUMMARY DRAWINGS ABSTRACT.
CHAPTER 1: TOPIC INTRODUCTION 1
1.1 Urgency of the topic 1
1.2 Research objectives and questions 2
1.2.1 Research objective 2
1.2.2 Research Question 2
1.3 Research object and scope 2
1.3.1 Research subject 2
1.3.2 Research scope 2
1.4 Research method 2
1.4.1 Research data 3
1.4.2 Research data analysis 3
1.5 Scientific and practical significance of topic 3
1.5.1 Scientific significance 3
1.5.2 Practical significance 3
1.6 Structure of the thesis 3
CHAPTER 1 SUMMARY 4
CHAPTER 2: CREDIT RISK MANAGEMENT ACTIVITIES AT SAIGON THUONG TIN COMMERCIAL JOINT STOCK BANK (SACOMBANK) 5
2.1 Overview of Saigon Thuong Tin Commercial Joint Stock Bank 5
2.1.1 The formation and development process of Sacombank 5
2.1.2 Sacombank's business performance over the years 2015-2019 6
2.2 Signs to watch out for regarding credit risk at Sacombank 11
2.2.1 Manifestation of problem 11
2.2.2 Problem identification 11
CHAPTER 2 SUMMARY 11
CHAPTER 3: THEORETICAL BASIS OF CREDIT RISK MANAGEMENT 12
3.1 Credit risk 12
3.1.1 Concept of credit risk 12
3.1.2 Credit risk classification 12
3.1.3 Some indicators reflecting credit risk 14
3.1.4 Causes of credit risk 14
3.1.5 Consequences of credit risk 17
3.2 Commercial bank credit risk management 17
3.2.1 Concept of credit risk management 17
3.2.2 Purpose of credit risk management 18
3.2.3 Credit risk management process according to Basel II 18
3.3 Basel II standards and credit risk management in banks 21
3.3.1 The process of forming the Basel Accords (Basel I to Basel II) 21
3.3.2 Risk management standards under Basel II Accord 26
3.3.3 Foreign contacts (USA) 29
3.4 Overview of previous research projects 31
3.4.1 International research on bank credit risk 32
3.4.2 Domestic research projects 33
CHAPTER 3 SUMMARY 33
CHAPTER 4: CURRENT STATE OF CREDIT RISK MANAGEMENT ACCORDING TO BASEL II AGREEMENT AT SACOMBANK 34
4.1. Basel II application roadmap of commercial banks in Vietnam 34
4.2. Analysis of models and credit risk management processes at Sacombank 37
4.3. Sacombank's credit structure in the period 2015-2019 41
4.3.1 Sacombank's credit balance over the years 2015-2019 41
4.3.2 Sacombank's NQH situation over the years 2015-2019 43
4.4 Comparison of Sacombank's position with 10 commercial banks applying Basel II 48
4.4.1 CAR ratio of Sacombank and other commercial banks (2015-2019) 48
4.4.2 Charter capital, profit and bad debt by 2019 of Sacombank compared to commercial banks applying Basel II Agreement 49
4.5 Credit risk management tools and methods at Sacombank 50
4.6 Standards on identification, measurement, control and provisioning for credit risks at Sacombank 54
4.6.1 Standard for identification of 54- pin baskets
4.6.2 Credit risk measurement standards 54
4.6.3 Credit risk control standards 55
4.6.4 Standards on provisioning and handling credit risks 55
4.7 Evaluation of credit risk management results at Sacombank 55
4.7.1 Achievements 55
4.7.2 Limitations 57
4.7.3 Cause 57
CHAPTER 4 SUMMARY 58
CHAPTER 5: CONCLUSION AND SUGGESTIONS FOR IMPLEMENTING RISK MANAGEMENT ACCORDING TO BASEL II AGREEMENT AT SACOMBANK 59
5.1 Conclusion 59
5.2 Development orientation of Saigon Thuong Tin Commercial Joint Stock Bank according to Basel II standards in credit risk management 60
5.2.1 Development orientation of Sacombank 60
5.2.2 Goals and orientations on credit risk management at Sacombank 60
5.3. Proposing solutions to implement Basel II Agreement in credit risk management at Sacombank 61
5.3.1 Solution to improve the application process, identify RRTD 61
5.3.2 Solutions for measuring credit risk 61
5.3.3 Solutions on credit risk control 61
5.3.4 Solution on provisioning for RRTD 62
5.3.5.Human resource solutions in credit granting activities 62
REFERENCES 63
APPENDIX 66
LIST OF ABBREVIATIONS:
Number
Acronym | Original meaning | |
1 | BCTN | Annual Report |
2 | Financial Statements | Financial report |
3 | BCBS | The Basel Committee on banking Supervision (Basel Committee) |
4 | CIC | Vietnam National Credit Information Center |
5 | IT | Information technology |
6 | Staff | Staff |
7 | CRM | Credit risk management |
8 | DPRR | Risk prevention |
9 | Board of Directors | Board of Directors |
10 | LOS | (Loan Origination System): Software for originating, approving, and managing credit |
11 | State Bank of Vietnam | State Bank |
12 | Commercial Bank | Commercial Bank |
13 | Central Bank | Central Bank |
14 | NQH | Overdue debt |
15 | RRTD | Credit risk |
16 | QTRRTD | Credit risk management |
17 | SACOMBANK | Saigon Thuong Tin Commercial Joint Stock Bank |
18 | TT | Circular |
19 | UB.QLRR | Risk Management Committee |
Maybe you are interested!
-
Applying Basel II to credit risk management at Saigon Thuong Tin Commercial Joint Stock Bank - 13 -
Assessment of credit risk management according to Basel II Agreement at Vietnam Joint Stock Commercial Bank for Investment and Development - 1 -
Assessment of Credit Risk Management Status According to Basel II Standards at Vietinbank Vinh Long -
Applying Basel II to credit risk management at Saigon Thuong Tin Commercial Joint Stock Bank - 2 -
Credit risk management according to Basel 2 Agreement at Vietnam Bank for Agriculture and Rural Development - 1
LIST OF TABLES
NUMBER
Board | Content | Page | |
01 | 2.1 | Sacombank's business data over the years 2015-2019 | 6 |
02 | 3.1 | Total assets of banks in the US | 30 |
03 | 4.1 | Sacombank's credit growth rate 2015-2019 | 41 |
04 | 4.2 | Sacombank's NQH situation in the period 2015-2019 | 43 |
05 | 4.3 | Sacombank's bad debt ratio in the period 2015-2019 | 45 |
06 | 4.4 | Statistics of errors by business segment at Sacombank 2015-2019 | 47 |
07 | 4.5 | CAR ratio of 10 banks in 2016-2018 | 48 |
08 | 4.6 | Charter capital, profit and bad debt by 2019 of 10 commercial banks applying Basel II | 49 |
09 | 4.7 | Describe the characteristics of the survey subjects | 51 |
10 | 4.8 | Describe the explanatory factor | 52 |