Role of concentration and size in the effects of world uncertainty on Vietnamese bank credit risk

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Type of the article: Research Article

Abstract
Uncertainty is an important concern in banking risk management, as it can undermine the financial system’s shock absorption capacity and threaten overall banking stability. Utilizing a sample of 24 Vietnamese joint-stock commercial banks from 2012 to 2022 (Since 2023, several banks have undergone mergers and others have come under central bank control), this study analyzes and evaluates the impact of world uncertainty on credit risk in commercial banks. Additionally, the study analyzes the moderating effects of concentration and size on the relationship between world uncertainty and bank credit risk. By employing the Bayesian regression method and the Gibbs sampling algorithm, the research has obtained several noteworthy results. Firstly, the study finds that heightened world uncertainty exerts an increasing effect on bank credit risk. Secondly, the impact of world uncertainty tends to diminish when the size of banks increases or when the regulation of concentration within the system is strengthened. The results provide important insights for managers and policymakers, serving as a basis for management implications. These implications focus on managing bank size and system concentration to mitigate credit risk for Vietnamese commercial banks.

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    • Figure 1. Testing the convergence of MCMC chains
    • Table 1. Summary of variables
    • Table 2. Descriptive statistics
    • Table 3. Regression results
    • Table 4. Effective sample size
    • Conceptualization
      Van Dan Nguyen
    • Formal Analysis
      Van Dan Nguyen
    • Investigation
      Van Dan Nguyen, Van Dung Ha
    • Methodology
      Van Dan Nguyen, Van Dung Ha
    • Project administration
      Van Dan Nguyen
    • Resources
      Van Dan Nguyen, Van Dung Ha
    • Supervision
      Van Dan Nguyen, Van Dung Ha
    • Validation
      Van Dan Nguyen
    • Writing – original draft
      Van Dan Nguyen
    • Writing – review & editing
      Van Dan Nguyen, Van Dung Ha
    • Data curation
      Van Dung Ha
    • Funding acquisition
      Van Dung Ha
    • Software
      Van Dung Ha
    • Visualization
      Van Dung Ha