ENHANCING RISK MANAGEMENT CULTURE FOR SUSTAINABLE GROWTH OF ASIA COMMERCIAL BANK-ACB IN VIETNAM UNDER MIXED EFFECTS OF MACRO FACTORS

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.


Introduction
Nowadays, under 4.0 industry and Basel impacts, Vietnam banks pay attention more to risk management, especially perspectives in governance, management and risk models. This is the 1st reason we conduct this research paper. Corporate culture can be defined as the set of values and standards of beliefs, behaviors, perception and thinking methods that are recognized by everyone in the company, thinking and acting as a habit. Corporate culture is like a person's personality and spiritual life, influencing its lifestyle and behavior. Building a company culture determines the success, failure and long-term survival of each business. Hence, we can see risk management culture will include perception and thinking methods relating to risk and risk management within the firm.
This study will calculate and figure out not only inflation but other macro factors, both internal and external indicators affecting the market risk level during the low inflation time (2015)(2016)(2017)(2018)(2019)(2020). Asia Commercial Bank (ACB) is one of big listed joint stock commercial bank in Vietnam, which achieved significant growth in past years. Having endured heavy losses in 2012, the bank returned to positive growth on the first stage of the 2014-2018 development roadmap, with particularly impressive figures in terms of total assets and profits. before tax reported at the end of 2014. Phase two (2015-2016) focuses on building the bank's capacity when core values and competencies are maintained and strengthened, in addition, product and service packages are tailored to each segment. customers, more specifically to improve their competitiveness and better serve the target audience. During this period, ACB's technology platform was also developed by gradually transforming the core system as well as by deploying many IT applications into use. Organizational and operational restructuring is also being implemented. The final phase, which starts in 2017 and will be completed in 2018, focuses on positioning ACB once again as one of the top banks in Vietnam, especially through key metrics. including: customer satisfaction, sustainable financial results, risk management, performance and business ethics.
Our research purpose: We aim to provide recommendations, via an econometric model, for macro and risk management policies and for building risk management culture at Vietnam commercial banks in order to prevent and control risks better in a changing world with compounding impacts from Covid 19 and trade war. Our suggestion smight be references fro other emerging markets. We will structure the paper with introduction, research issues, literature review, conceptual theories and methodology. Next is research findings/results. Then we present discussion and conclusion and policy suggestion.

Research questions
We will explore key matters as follow: Question 1: What are impacts of internal and external macro variables s on market risk measurement of Asia commercial bank (ACB)? Question 2: What are risk management culture building plans for ACB to reduce potential risks? There are hypotheses will be checked:Hypothesis 1: Beta CAPM of listed bank (ACB) will increase if inflation increase and it will decrease if GDP growth increases. Hypothesis 2: If exchange rate decreases (VND appreciation), beta CAPM will decrease.

Literature review
First, in 3 factor model, Fama and French (2004) mentioned stock return is affected by value and size. Then, Anderson et al. (2005) pointed that beta value on stock exchange will change according to macro indicators such as industrial manufacturing growth index and effects of macro factors large enough to be meaningful. Hojat (2015) said since the outset of the industrial revolution, the equity market has played an instrumental role in the progress of economic production. Singh et al (2010) revealed that exchange rate and GDP seem to affect returns of all portfolios, while inflation rate, exchange rate, and money supply were having negative relationship with returns for portfolios of big and medium companies. Tahmidi et al (2011) said net lending and net borrowing had significant negative effect on market risk premium in Canada, whereas in Germany and Sweden the relationship was not significant.
Next, Ohdner and Zachrison (2016) has presented research results showing that with Beta as risk measurement, investors will demand higher return when holding higher beta stocks, on the announcement date of monetary policies. Adhikari (2015) said based on cross-sectional approach it is revealed that size and profitability are positively associated with the systemic risk, while the dividend payment is negatively related to the risk. The results thus indicate that financial factors have significant predictive power for the systemic risk of a stock investment in Nepal.
Then, Ahmad and Ramzan (2016) stated the macroeconomic factors have important concerns with stocks traded in the stock market and these factors make investors to choose the stock because investors are interested to know about the factors affecting the working of stock to manage their portfolios. Gay (2016) found no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns. Nawaz et al. (2017) said the consequences of 29 cement industries showed that there is a huge relationship between industry size, operating efficiency, and profitability with 181 systematic risk and results similar to past studies while liquidity and financial leverage have not a significant relationship with beta (systematic risk). Puspitaningtyas (2017) said the financial information is measured in four accounting variables, i.e. financial leverage, liquidity, profitability, and firm size.
Moreover, Curran and Velic (2018) took advantage of global data on stock prices and highly value CAPM model compared to previous models. They show that in the countries with higher level of openness of financial markets, fluctuation in exchange rate and bigger size of economy receive higher systematic covariance. Also there is negative correlation between world reserves and systematic risk. Kola et al (2018) used factors affecting bank profitability such as bank internal factors, industry, and macroeconomic (external) factors. Klimontowiz (2019) provided direction for banks' decision makers concerning innovativeness' factors that should be taken into account in the process of building competitive advantage and sustainable market performance. Sadeghzadeh (2018) found increases of on current ratio, on the ratio of equity capital ratio to tangible assets, on the ratio of own capital to assets, on accounts receivables turnover rate, net profits, on the ratio of equity, the marketing values of companies, on the ratio of book value increased share earnings in a short term and increases of on the ratio of debt to tangible assets and asset turnover decreased share earnings in a short term significantly. Siregar and D. (2019) showed that there is difference of systematic factors influence to stock return in three observation period. Increased market risk and economic growth, increase stock returns. Tahir et al. (2020) found higher availability of private credit in the host country results in lower dividend repatriation. Huy et al. (2020) show that the increase in GDP growth and lending rate and risk free rate has a significant effect on increasing VCB stock price with the highest impact coefficient, the second is decreasing the exchange rate, finally is a slight decrease in S&P500.

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ISSN 2345-0282 (online) http://jssidoi.org/jesi/ 2021 Volume 8 Number 3 (March) http://doi.org/10.9770/jesi.2021.8.3 (18) Kozaric & Dzelihodzi (2020) confirm the significance of macroeconomic for non-performing loans control and financial stability maintenance. Kruscovic (2020) pointed countries with inflation targeting have a lower grate of economic growth. Masood et al. (2020) said there is significant influence of terrorism activities on financial stock market of five selected countries. Nain et al 92020) found uncertainty influences the effectiveness of monetary policy shock. Rakshit et al (2020) reveal that in India, a higher degree of bank competition is positively as sociated with the prevalence of non-performing loans. Okpamen et al. (2020) said firms needed to encourage adequate interlocking members who have diverse professional training, high social net worth and experience (experience hypothesis) to positively influence effective management and financial performance of listed firms in Nigeria. Pena (2020) Rakotonirainy et al. (2020) stated the horizon of capital prediction shows that banking sector reacts most to a GDP shock.
The below table 1 will summarize previous studies relating to risk management under macro impacts topic:  (2014) The research results show that earnings of stocks are positively correlated with market risk, firm size and the book value to market value (BE / ME) ratio. In other words, the Fama -French 3-factor model is suitable in explaining the change in profits of stocks listed on HOSE.
2. The econometric model for stock prices in the period 2008-2011 -Case of stock prices ACB, VNIndex, Rf Đinh Trần Ngọc Huy (2015) Analyze the impact of VNIndex and internal and external macro variables on the stock price of ACB.
3. The theory of average return of K. Marx and model of capital asset pricing Nguyễn Thị Hưong (2017) The limitation of Vietnam's stock market is the lack of beta in stock analysis. However, as the market portfolio matures, beta will keep pace with the development of the market.

Systemic risks in banking businessperiods of crisis Nguyễn Thanh Bé & Bùi Quang
Hưng (2019) Presented in Vietnam, the risk management system at commercial banks has been paid attention to a certain extent in the past few years, but due to its structural and technical limitations, this system has not can meet the complex requirements of a modern commercial bank operating in the current risky environment. 6. Factors affecting the return rate of listed stocks from the Fama French 5factor model Trịnh Minh Quang et al (2019) Referring to factors of market change will strongly affect the share prices of large companies

1.
Macro effects on market risk Patro et al. (2002) They found that a number of variables including imports, exports, inflation, market capitalization, dividend yield, and a book-to-book price ratio significantly influence a person's world market risk at national level.  (2014) Their analysis has shown that for investors interested in Turkey, first of all, be careful not to assume that relationships that existed in the past will continue into the future. We also find that depending on the sector, the effects of changes in macroeconomic variables will also differ. For policymakers and lawmakers, however, our findings indicate that keeping interest rates low has been a good policy for the past 20 years. 6. Bank and financial stability

ENTREPRENEURSHIP AND SUSTAINABILITY ISSUES
Emilios (2015) The leverage cycle can cause financial instability and the impact of limited leverage on bank governance performance. 7. Macro effects on 4 countries Gay (2016) According to the hypothesis, the relationship between the exchange rate and the security's price should be in the same direction. 8. Liquidity risk and cost inefficiency Tvaronavičienė et al. (2018) Liquidity risk and cost inefficiency analysis in leading banks of UK and Germany shows that both, internall and external factors affect banks' performace; external factors in some cases appear to be of crucial importance, and therefore have to be investigated further.

Case of German market
Celebi & Honig (2019) In Germany, the aggregate index (OECD), the Economic Research Institute's Export Expectations index, the climate index, exports, CPI, as well as the 3year German government bond yield has a delayed effect on stock returns 10. Macro variables effects on Starbucks.
Kumaresan (2019) Indicates that compared to internal corporate factors, macroeconomic factors (exchange rate) have a greater effect on firm performance.

Macroeconomic, Institutional and Bank-Specific Determinants of Non-Performing Loans
Bayar (2019) Results of the dynamic panel regression analysis showed that economic growth, inflation, economic freedom (institutional development), return on assets and equity, regulatory capital to risk-weighted assets, and noninterest income to total income affected nonperforming loans negatively, while unemployment, public debt, credit growth, lagged values of nonperforming loans, cost to income ratio and financial crises affected nonperforming loans positively 12. Volatility Spillovers between Interest Rates and Equity Markets

Donzwa et al. (2019)
The volatility spillover from interest rates to stock markets are more prominent for the full-sample, as well as the sub-samples covering the pre-and during-Zero Low Bound periods. 13. Liquidity stress test for Indonesian banks Taruna et al. (2020) For Indonesian banks, establish significant transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the macroeconomic scenario transmission, we find the liquidity stress test to be more consistent with the

Financial vulnerability in Malaysia
Kuek (2020) Reveal that financial vulnerability shock catalysed significant negative effects on economic activity.

Methodology
Values of Beta CAPM are calculated from data of stock price on HOSE and HNX stock market during 2015-2020. This is L-inflation time and China-US commerce war. We use analytical and synthesis methods and dialectical materialism method. Analytical data is from the situation of listed bank (ACB) in Vietnam stock exchange.
Analysis of the effects of 9 macro variables on market risk of listed commercial bank, Asia commercial bank (ACB). Weekly data collected from 2015-2020 for ACB stock price to measure Beta and other macro data from reliable sources such as the General Statistics Office and commercial banks. Beta CAPM is a function with 9 macro variables (x1: GDP growth rate (g), x2: Risk-free rate Rf (i), x3: Loan interest rate (r), x4: Exchange rate (ex_rate), x5: S&P 500, x6: VNIndex, x7 : trade balance, x8: industrial production index, x9: CPI). We use OLS regression.
Reasons why we chose these macro factors: First, we recognize market risk is systemic risk affected by all market indicators and macro factors. Second, in global financial market, developing economies receive impacts from big economies such as US, China. Third, Based on our analysis and results, Macro policies and risk management plans are recommended for both Asia commercial ban (ACB), relevant organizations and government. Total 9 macro variables are described with sources in the below  In the below table, we see statistics for 9 variables. The table indicated that std.deviation of Exchange rate and trade balance and VNIndex with highest values, while std. deviation of CPI, Rf as lowest values (Figure 1).

Overall Analysis
First we look at the below figure 2, we find out correlation matrix of internal variables. We see that Increase in industrial manufacturing index will cause Beta CAPM increases while decrease in CPI will make it decreases.

Empirical Research Findings and Discussion
In the below section, data used are from 2015-2020 with weekly data for stock price of Asian commercial bank (ACB), live data on VN stock exchange. Different scenarios are created by comparing 2 scenarios: macro internal factors impacts and macro external variables effects. Using OLS regression from Eviews, we find out: Balance of trade and SP500 have negative correlation with market risk of ACB while exchange rate has slightly positive correlation with Beta CAPM of ACB (Figure 4).

Figure 4. External impacts on Beta CAPM
Looking at the below figure we see internal effects on Beta CAPM of ACB:G and CPI and risk free rate have higher impacts on ACB Beta CAPM, then lending rate rate. If risk free rate increases, market risk will increase ( Figure 5).

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ISSN 2345-0282 (online) http://jssidoi.org/jesi/ 2021 Volume 8 Number 3 (March) http://doi.org/10. 9770/jesi.2021.8.3(18) 300 Finally, Looking at the below figure we see internal effects on Beta CAPM of ACB: We recognize that Trade balance, CPI, Industrial manufacturing have positive correlation or impacts on Beta CAPM, whereas other factors such as Risk free rate, GDP growth, Exchange rate and SP500 and lending rate have negative correlation with market risk (Beta of ACB). When GDP growth increases, beta CAPM of ACB will decreases, it is in favor of our 1 st hypothesis above. And if CPI increase the market risk will go up, it is in favor of our 1 st hypothesis. If exchange rate decreases (VND appreciation), it will makes market risk increase. It is NOT in favor of our 2 nd hypothesis ( Figure 6).

Discussion for further researches
Other macro factors such as (FDI, public debt, etc.) could be added in order to recommend suitable policies and plans to control market risk better. In order to enhance risk management culture at ACB, a big listed joint stock commercial bank in Vietnam, we have to consider some following action plans:

Forms and activities of monitoring risk
Risk monitoring is the continuous monitoring and control of activities to ensure achieving goals. It is a process of implementing controls, assessing activities continuously, independent evaluating and reporting results and defects that need to be resolve and overcome.
Monitoring risk in business life can be done periodically or randomly and it will help firms to recognize new risks happening in ongoing business activities. Monitoring risk can be performed at the division, branch levels or from

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ISSN 2345-0282 (online) http://jssidoi.org/jesi/ 2021 Volume 8 Number 3 (March) http://doi.org/10. 9770/jesi.2021.8.3(18) 301 head quarters and under the form of risk report in which we might analyze risk root causes and suggest preventive or corrective actions, functioned as risk responses and may require changes. In risk report, we could identify new risks and risk trend, or cost trend and price trend, etc. Normally, there are two methods of risk monitoring as following: First, it is continuous monitoring (assessment of KPI business management: turnover, cash, financial indicators, operational statistics, comparison of production, inventory, quality, sales, etc.) Second, monitoring is done through separate evaluation. The below figure 7 will explain more.

Conclusion and Policy suggestion
As shown from the above regression model and equation, Goverment and Ministry of Finance need to increase GDP growth and reduce CPI for lower market risk. This research paper provides evidence that the market risk are affected much more by CPI, GDP growth, risk free rate and lending rate. It means that the role of bank system in trying to control credit growth and rates reasonably.
Our model also shows that other macro factors such as VNIndex and exchange rate just have slight impact on Beta CAPM. And macro internal factors have much more effects on market risk of Asia commercial bank (ACB).

Policy implications:
Specifically, for banks and companies listed on Vietnam's stock market, in the context that bank loans tend to reduce since 2018 (see exhibit 1):

ENTREPRENEURSHIP AND SUSTAINABILITY ISSUES
ISSN 2345-0282 (online) http://jssidoi.org/jesi/ 2021 Volume 8 Number 3 (March) http://doi.org/10. 9770/jesi.2021.8.3(18) 302 -Building a Beta CAPM /market risk measurement model as described above through the stages to monitor risks of key financial services industries including listed banks on Vietnam stock market -Building a model to analyze the impact of macro variables on Beta CAPM for the financial services sector as described above. Moreover, the government and relevant bodies such as Ministry of Finance and State Bank of Vietnam need to consider proper policies (including a combination of fiscal, monetary, exchange rate and price control policies) aiming to reduce the risk volatility and hence, help the bank system as well as the whole economy become more stable in next development stage. The Ministry of Finance continue to increase the effectiveness of fiscal policies and tax policies which are needed to combine with other macro policies at the same time. The State Bank of Viet Nam continues to increase the effectiveness of capital providing channels for medicine companies as we could note that in this study, debt leverage has certain impacts on reducing risk level.
Risk management culture implications: -Suggestions for some risk management activities at enterprise and bank level are as follows: Make a risk recognition report; Promulgating the Code of Professional Ethics; Regulations that employees are not allowed to disclose internal information; Strengthen legal communication to raise awareness and compliance; Issue the Internal Control Procedures -With the application of macro-variable impact analysis on Beta CAPM, businesses and banks need to develop two risk causation analyzes according to the 5M model as follows (from which proposing solutions to minimize risks): Man-Machine-Method-Material-Money. Last but not least, we can use DMAIC model combined with Separate evaluation for risk monitoring as shown in the below model ( Figure 8): Here we refer to the using of Six Sigma DMAIC model to: firstly, define scope of risk monitoring and risk scope; secondly, measure risks and safety of working place and business environment; thirdly, analyze root causes of risk; fourthly, improving and resolving defects after knowing root causes and finally, control or re-evaluation of changes made, whether It is effective or bad.

Limitation of the research:
Finally, this study opens some new directions for further researches in risk control policies in medicine system as well as in the whole economy. We also can add other factors such as public debt into our model for expanding research. Even we can expand our research model for other Vietnam industries as well as in other emerging markets and all over the world.