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...

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Bibliographic Details
Published inEntrepreneurship and Sustainability Issues Vol. 8; no. 3; pp. 291 - 307
Main Authors Hac, Le Dinh, Huy, Dinh Tran Ngoc, Thach, Nguyen Ngoc, Chuyen, Bui Minh, Nhung, Pham Thi Hong, Thang, Tran Duc, Anh, Tran Tuan
Format Journal Article
LanguageEnglish
Published Vilnius Entrepreneurship and Sustainability Center 01.03.2021
Subjects
Banking
Banking industry
Commercial banks
Emerging markets
Government agencies
Macroeconomics
Risk management
Asia
Vietnam
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Summary: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.
ISSN:2345-0282
2345-0282
DOI:10.9770/jesi.2021.8.3(18)