Proceedings of the 11th International Conference on Emerging Challenges: Smart Business and Digital Economy 2023 (ICECH 2023)

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Merton Model as a Tool to Detect Default Risk via Visualized Banking Network: Vietnamese Evidence

Authors
Nguyen Thi Minh Hue1, Do Phuong Huyen2, *, Takuya Kaneko3, Masato Hisakado4, My Nguyen5
1School of Banking and Finance, National Economics University, Hanoi, Vietnam
2International School, Vietnam National University, Hanoi, Vietnam
3International Christian University, Tokyo, Japan
4Fintech Lab, Tokyo, Japan
5CMC University, Hanoi, Vietnam
*Corresponding author. Email: huyendp@vnuis.edu.vn
Corresponding Author
Do Phuong Huyen
Available Online 5 February 2024.
DOI
10.2991/978-94-6463-348-1_16How to use a DOI?
Keywords
Banking networks; Distance-to-Default; Probability of Default
Abstract

The paper investigates banking networks in Vietnam with a focus on default probability. Distance-to-Default (DD) and Conditional Probability of Default (PD) based on Merton model are used to create visualized banking networks. Some specific circumstances of Vietnamese bank network are used to test the proposed model. The results seem to be consistent with the expectations and support the model’s effectiveness. The model helps to recognize the most important banks of the banking network and to warn the problematic banks, the implications of which may be useful to policy makers. Some other testing contexts are the “Before Covid 19 context” and “the fourth wave of Covid19 context”, Vietnam’s most severe wave. Both contexts show the two distinct clusters of the banking network, may also refer to some policy implications.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 11th International Conference on Emerging Challenges: Smart Business and Digital Economy 2023 (ICECH 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
5 February 2024
ISBN
10.2991/978-94-6463-348-1_16
ISSN
2352-5428
DOI
10.2991/978-94-6463-348-1_16How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Nguyen Thi Minh Hue
AU  - Do Phuong Huyen
AU  - Takuya Kaneko
AU  - Masato Hisakado
AU  - My Nguyen
PY  - 2024
DA  - 2024/02/05
TI  - Merton Model as a Tool to Detect Default Risk via Visualized Banking Network: Vietnamese Evidence
BT  - Proceedings of the 11th International Conference on Emerging Challenges: Smart Business and Digital Economy 2023 (ICECH 2023)
PB  - Atlantis Press
SP  - 179
EP  - 193
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-348-1_16
DO  - 10.2991/978-94-6463-348-1_16
ID  - Hue2024
ER  -