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

Le Dinh Hac (), Huy Dinh, Nguyen Ngoc Thach (), Bui Minh Chuyen (), Pham Thi Hong Nhung (), Tran Duc Thang () and Tran Tuan Anh ()
Additional contact information
Le Dinh Hac: Banking University of Ho Chi Minh City, Vietnam
Nguyen Ngoc Thach: Banking University of Ho Chi Minh City, Vietnam
Bui Minh Chuyen: Institute of Financial Training, Vietnam
Pham Thi Hong Nhung: Academy of Finance, Vietnam
Tran Duc Thang: National Economics University, Vietnam
Tran Tuan Anh: Thai Nguyen University of Economics and Business Administration, Vietnam

Entrepreneurship and Sustainability Issues, 2021, vol. 8, issue 3, 291-307

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 (search for similar items in EconPapers)
JEL-codes: M10 M21 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://jssidoi.org/jesi/uploads/articles/31/Hac_E ... of_macro_factors.pdf (application/pdf)
https://jssidoi.org/jesi/article/782 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ssi:jouesi:v:8:y:2021:i:3:p:291-307

DOI: 10.9770/jesi.2021.8.3(18)

Access Statistics for this article

Entrepreneurship and Sustainability Issues is currently edited by Manuela Tvaronaviciene

More articles in Entrepreneurship and Sustainability Issues from VsI Entrepreneurship and Sustainability Center
Bibliographic data for series maintained by Manuela Tvaronaviciene ().