This paper investigates the impact of credit risk management on the performance of deposit money banks in Nigeria using the overparameterised and parsimonious ECM and Granger causality. Data for the study were sourced from the CBN Statistical Bulletin, stock exchange fact book and World Development Indicators (WDI) for the period 1989 to 2014. Our findings demonstrate that the selected credit risk management indicators under study significantly impact on the performance of deposit money banks measured as return on assets (ROA) and return on equity (ROE). The findings also showed evidence of significant granger causality relationship between the various credit risk management indicators and the various measures of performance. There is a uni-directional granger causality relationship from LDR to ROA and from NLTL to ROE respectively. Based on the findings of the study, it is therefore recommended that deposit money banks should be cautious in setting credit policies so as not to negatively affect their operations, and ensure judicious utilization of deposits and maximization of profits in both the short and long term.