Rủi ro thanh khoản và rủi ro tín dụng: Trường hợp các ngân hàng thương mại Việt Nam
DOI:
https://doi.org/10.24311/jabes/2017.28.1.1024Keywords:
Liquidity risk, Credit riskAbstract
The topic of liquidity risk and credit risk has popularly been discussed in the literature, yet little research has been carried out on the link between these kinds of risk, using the data of commercial banks in Vietnam. To fill such a gap this paper, which adopts the econometric technique of OLS to estimate a system of simultaneous equations, examines the relationship between liquidity risk and credit risk among Vietnam’s commercial banking institutions from 2007 to 2015. The result suggests that there is no connection between the two risk indicators. However, we do find the impact of lag of these variables on the contemporaneous variables.
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