Quản trị rủi ro tín dụng đối với doanh nghiệp tại các Ngân hàng thương mại Việt Nam - 29

Name

CreditRisk

BankSize

Creditgr

Equity

LTD

ROE

STL

Inf

GDPGr

2013

Việt Á

0.025187697

7.431888332

0.316201019

0.132745602

0.396656212

0.016752298

0.257326324

6.04%

5.42%

2014

Việt Á

0.01821448

7.551334236

0.284363682

0.102160851

0.374637429

0.013063136

0.306696975

1.84%

5.98%

2015

Việt Á

0.012025427

7.621987789

0.508615936

0.09359428

0.475965268

0.020912307

0.242337446

0.60%

6.68%

2016

Việt Á

0.018675602

7.788629243

0.546727972

0.065364654

0.490273371

0.024748292

0.153517305

4.47%

6.21%

2017

Việt Á

0.011413005

7.809307791

0.100960543

0.064211221

0.501238285

0.027624636

0.154222347

2.50%

6.81%

2012

LVPost

0.031198202

7.822251117

0.637923054

0.111288975

0.280373518

0.117461762

0.633657727

6.81%

5.03%

2013

LVPost

0.023130755

7.900881498

0.540465541

0.091354316

0.350049664

0.077878226

0.409851382

6.04%

5.42%

2014

LVPost

0.010568395

8.00346808

0.263569852

0.073323101

0.346803175

0.06311147

0.292879735

1.84%

5.98%

2015

LVPost

0.008183147

8.031761352

0.288545085

0.070645085

0.456139901

0.046029614

0.227225111

0.60%

6.68%

2016

LVPost

0.010011913

8.151876043

0.315510109

0.058730977

0.423431117

0.127556489

0.266387323

4.47%

6.21%

2017

LVPost

0.008248363

8.213341451

0.173972622

0.05741326

0.406200404

0.025813422

0.266387322

2.50%

6.81%

2012

TP

0.083330567

7.179562964

0.090141192

0.219505332

0.303535145

0.03505658

0.576511204

6.81%

5.03%

2013

TP

0.02655661

7.506343163

1.473692376

0.115328647

0.292535663

0.103058365

0.647620413

6.04%

5.42%

2014

TP

0.013831017

7.711617911

0.509472146

0.082298916

0.243120783

0.126489096

0.599497233

1.84%

5.98%

2015

TP

0.003821094

7.882073696

0.531182333

0.062957393

0.25244854

0.117149249

0.547536615

0.60%

6.68%

2016

TP

0.004357026

8.024411811

0.499512274

0.053709379

0.270769343

0.099482952

0.432716675

4.47%

6.21%

2017

TP

0.004929876

8.093562374

0.463447427

0.053827052

0.325231791

0.11428294

0.432716675

2.50%

6.81%

Coefficient

Std. Error

t-Statistic

Prob.

C

-0.140257

0.013388

-10.47618

0.0000

BANKSIZE

0.018711

0.001575

11.87656

0.0000

CREDITGR

0.009807

0.001965

4.991495

0.0000

ROE

-0.206411

0.009836

-20.98601

0.0000

STL

0.035100

0.002928

11.98653

0.0000

LTD

-0.005374

0.002340

-2.296189

0.0218

EQUITY

0.128152

0.017406

7.362743

0.0000

R-squared

0.219717

Mean dependent var

0.024984

Adjusted R-squared

0.217658

S.D. dependent var

0.020782

S.E. of regression

0.018382

Akaike info criterion

-5.151833

Sum squared resid

0.768035

Schwarz criterion

-5.134235

Log likelihood

5880.090

Hannan-Quinn criter.

-5.145414

F-statistic

106.6745

Durbin-Watson stat

1.128627

Prob(F-statistic)

0.000000

Effects Test Statistic d.f.

Prob.

Cross-section F -0.000000 (18,2255)

1.0000

Cross-section Chi-square 0.000000 18

0.0000

Cross-section fixed effects test equation:

Dependent Variable: CREDITRISK

Method: Panel Least Squares

Date: 02/27/18 Time: 18:22

Sample: 2012 2017

Included observations: 120

Cross-sections included: 19

Total pool (balanced) observations: 2280

Variable Coefficient Std. Error t-Statistic

Prob.

C -0.140257 0.013388 -10.47618

0.0000

BANKSIZE 0.018711 0.001575 11.87656

0.0000

CREDITGR 0.009807 0.001965 4.991495

0.0000

ROE -0.206411 0.009836 -20.98601

0.0000

STL 0.035100 0.002928 11.98653

0.0000

LTD -0.005374 0.002340 -2.296189

0.0218

EQUITY 0.128152 0.017406 7.362743

0.0000

R-squared 0.219717 Mean dependent var

0.024984

Adjusted R-squared 0.217658 S.D. dependent var

0.020782

S.E. of regression 0.018382 Akaike info criterion

-5.151833

Sum squared resid 0.768035 Schwarz criterion

-5.134235

Log likelihood 5880.090 Hannan-Quinn criter.

-5.145414

F-statistic 106.6745 Durbin-Watson stat

1.128627

Prob(F-statistic) 0.000000

Coefficient

Std. Error

t-Statistic

Prob.

C

-0.140257

0.060046

-2.335836

0.0213

BANKSIZE

0.018711

0.007066

2.648075

0.0093

CREDITGR

0.009807

0.008812

1.112936

0.2681

ROE

-0.206411

0.044113

-4.679177

0.0000

STL

0.035100

0.013133

2.672593

0.0086

LTD

-0.005374

0.010496

-0.511973

0.6097

EQUITY

0.128152

0.078063

1.641645

0.1034

R-squared

0.219717

Mean dependent var

0.024984

Adjusted R-squared

0.178286

S.D. dependent var

0.020865

S.E. of regression

0.018914

Akaike info criterion

-5.041307

Sum squared resid

0.040423

Schwarz criterion

-4.878703

Log likelihood

309.4784

Hannan-Quinn criter.

-4.975273

F-statistic

5.303221

Durbin-Watson stat

0.647292

Prob(F-statistic)

0.000075

Cross-section One-sided

Period One-sided

Both

Breusch-Pagan

17.95305

6.564186

24.51724

(0.0000)

(0.0104)

(0.0000)

Honda

4.237104

2.562067

4.807740

(0.0000)

(0.0052)

(0.0000)

Coefficient

Std. Error

t-Statistic

Prob.

C

-0.111306

0.013721

-8.111857

0.0000

BANKSIZE

0.025695

0.001499

17.14704

0.0000

CREDITGR

0.009309

0.001811

5.140030

0.0000

ROE

-0.215176

0.009100

-23.64613

0.0000

STL

0.010853

0.002969

3.655360

0.0003

LTD

-0.013460

0.002202

-6.112826

0.0000

EQUITY

0.147361

0.016090

9.158446

0.0000

GDPGR

-1.195691

0.111908

-10.68454

0.0000

INF

0.029334

0.029890

0.981394

0.3265

R-squared

0.338089

Mean dependent var

0.024984

Adjusted R-squared

0.335757

S.D. dependent var

0.020782

S.E. of regression

0.016938

Akaike info criterion

-5.314604

Sum squared resid

0.651521

Schwarz criterion

-5.291978

Log likelihood

6067.648

Hannan-Quinn criter.

-5.306351

F-statistic

144.9969

Durbin-Watson stat

1.081804

Prob(F-statistic)

0.000000