Paper Title
The Vulnerability of Vietnamese Commercial Banks from Merton’s Approach
Abstract
In any economies, not only the growth but also the safeness is the perquisite for the stability of banking system. From time Vietnam became the member of WTO (2007), the banking system has achieved some aspects in modern banking management framework such as internal organization, human quality, banking services, etc. However, if giving the scrutiny into activities of the banking system, the vulnerability is lightened out. In this study, the author focuses on evaluating the vulnerability of Vietnamese commercial bank in the view point of safeness. The safeness of the banks is quantified by Merton’s approach (1974) to calculate the distance to default of those banks and give the prediction on the risk levels. The time period of the research is from 2007 to 2017, that is the time highlighted the integration of Vietnamese banking system. For each period of time, the author is going to evaluate the vulnerability by assessing the impacts of fluctuation in macroeconomic conditions to the banks’ asset values.
Keywords - The Vulnerability, Distance to Default, Merton Model, Commercial Bank, Credit Risk.