Received: 2020-05-15  |  Accepted: 2021-01-11  |  Published: 2021-03-30

Title

Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors


Abstract

For sustainable growth, macro policy makers will need to look at risk management in banking industry and impacts of macro factors on market risk in order to adjust policies and build risk management culture in banking system. What we need to adjust in trade balance, risk free rate and other policies? This is one of reasons for us to conduct this study.This paper measures the Beta CAPM in famous model under impacts of both macro internal and external variables during low inflation time 2015-2020 in the country. The evidence is the fundamental role of risk management in commercial bank has been increasing with new perspectives in management, corporate governance and risk management models. We will estimate effects in risk measurement of one of big listed Vietnam commercial bank, Asia commercial bank (ACB) during the low inflation period 2015-2020 with semiannual data. Through using analysis, synthesis statistics methods, and dialectical materialism method, combined with econometric model with 9 macro variables, we figure out that CPI has a positive correlation with Beta CAPM of ACB, while Risk free rate (Rf) and lending rate have negative correlation with Beta CAPM of the bank. It implies that increase in inflation, together with decrease in Rf and lending rate will increase market risk.Then, one of its major findings is the suggestion of macro and risk management policies for bank and relevant government agencies. Our recommendation can be used for reference and expand researches in many other emerging markets.


Keywords

market risk management, risk culture, beta CAPM, low inflation, banking industry, Vietnam, policy


JEL classifications

M10 , M21


URI

http://jssidoi.org/jesi/article/782


DOI


Pages

291-307


Funding


This is an open access issue and all published articles are licensed under a
Creative Commons Attribution 4.0 International License

Authors

Hac, Le Dinh
Banking University of Ho Chi Minh City, Ho Chi Minh City, Vietnam http://buh.edu.vn
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Huy, Dinh Tran Ngoc
Banking University of Ho Chi Minh City, Ho Chi Minh City, Vietnam http://buh.edu.vn
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Thach, Nguyen Ngoc
Banking University of Ho Chi Minh City, Ho Chi Minh City, Vietnam http://buh.edu.vn
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Chuyen, Bui Minh
Institute of Financial Training, Hanoi, Vietnam http://ift.edu.vn
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Nhung, Pham Thi Hong
Academy of Finance, Hanoi, Vietnam https://hvtc.edu.vn
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Thang, Tran Duc
National Economics University, Hanoi, Vietnam https://neu.edu.vn
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Anh, Tran Tuan
Thai Nguyen University of Economics and Business Administration, Thai Nguyen, Vietnam http://tueba.edu.vn
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Journal title

Entrepreneurship and Sustainability Issues

Volume

8


Number

3


Issue date

March 2021


Issue DOI


ISSN

ISSN 2345-0282 (online)


Publisher

VšĮ Entrepreneurship and Sustainability Center, Vilnius, Lithuania

Cited

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References