Internal Rating System for Corporate Customers of Commercial Banks in Vietnam: Corona Pandemic Impact Adjusted
The implementation of Basel helps to standardize, improve and healthy the banking sector through the application of global standards. Basel is built on the basic principle of ensuring banks maintain sufficient capital to offset losses that may arise from the risks that the bank holds. As required by Basel II, in order to comply with the internal rating-based approach (IRB), the commercial banks in Vietnam must have a robust internal rating system, which is suitable for different segmentations and well- quantified risk estimation, so that it could form a solid foundation to derive probability of default of customers. The outbreak of COVID-19 has disrupted the global economy from the EY 2019 and also Vietnamese economy. The most impacted industries: Tourism, Transportation, Agriculture, Retail Trades, Restaurant and Hospitality. Market capitalization has declined across sectors. Corporate customers will less be impacted compared to other 2 segments and we expected to restructure all exposed customers except for the worst case where the situation not allow to fully do so. In this study, we propose a scoring model for corporate customers of the commercial banks, adjusted impact of Corona Pandemic.
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