Affiliations:
Business Administration Faculty, Ho Chi Minh University of Banking, Ho Chi Minh City, Vietnam
This study investigates credit risk and technical efficiency of listed commercial banks in Vietnam using a two-stage approach. In the first stage, efficiency is measured by Data Envelopment Analysis with a Directional Distance Function (DEA-DDF), where loan loss provisions are treated as undesirable outputs, and lending, interest income, and non-interest income as desirable outputs. The results show that average efficiency improved from 0.861 in 2016 to 0.936 in 2023, with 2020 marking a key turning point when efficiency became more stable, reflecting the positive effects of banking restructuring policies. In the second stage, Bayesian Tobit regression reveals that return on assets has the strongest positive impact on efficiency, while non-interest income, non-performing loans, and the capital adequacy ratio negatively affect efficiency, suggesting challenges related to credit risk, income diversification, and conservative capital strategies. Overall, the findings provide evidence of risk-adjusted efficiency in Vietnamese banks and highlight the critical role of credit risk in shaping banking performance.
Credit risk, Bank efficiency, DEA-DDF, Bayesian Tobit, Vietnam
https://doi.org/10.21833/ijaas.2025.11.006
Linh, C. D. (2025). Credit risk and bank efficiency in Vietnam: DEA-DDF and Bayesian Tobit approaches. International Journal of Advanced and Applied Sciences, 12(11), 48–56. https://doi.org/10.21833/ijaas.2025.11.006