Tóm tắt Luận án Research on Factors Affecting Systemic Risk in Vietnam's Banking Sector

(Bản scan) The thesis has performed the following issues: Firstly, chapter 1 of the thesis has systematized and generalized the theory of concepts, classifications, causes and groups of models developed to measure systemic risk. Besides, the thesis also systematizes the factors affecting the risk of the banking sector. Secondly, in chapter 2, the PhD student presented the research methods, including: research process, research model and research hypotheses of the thesis. Thirdly, in chapter 3, the thesis used the CoVaR model to quantify systemic risk at commercial banks to assess the level of systemic risk in the Vietnamese banking sector. It can be seen that the systemic risk of banks as well as the whole system tends to increase, the severity level also reaches a high level at some point in time. At the same time, the model also shows the contribution of commercial banks, especially large commercial banks, to systemic risk if a systemic event occurs. Fourthly, in chapter 4, the thesis has studied the factors affecting the risk of the banking system in Vietnam by qualitative and quantitative methods. According to the qualitative method, the thesis also analyzes and evaluates the factors affecting the risk of Vietnam's commercial banking system in the period of 2009 - 2021 such as the high creditto-GDP ratio, the vulnerability of the commercial banking system to volatile bad debt ratio, high financial leverage ratio low CAR ratio, the system is under the control of large commercial banks. According to the quantitative method, the thesis uses panel data model to quantify the impact. of factors belonging to the characteristics of banks, factors belonging to the stock market and macro factors to systemic risk in Vietnam's banking sector. Accordingly, the models have shown that, in the period of 2009 - 2021, the increase in the level of diversification, the increase in the scale of operations, financial leverage, and credit risk has increased systemic risks in Vietnam's banking sector. In addition, the model also shows that macroeconomic and market factors have impact on systemic risk in Vietnam's banking sector