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.
Highlights
Nowadays, under 4.0 industry and Basel impacts, Vietnam banks pay attention more to risk management, especially perspectives in governance, management and risk models
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
Using OLS regression from Eviews, we find out: Balance of trade and SP500 have negative correlation with market risk of Asia commercial bank (ACB) while exchange rate has slightly positive correlation with Beta CAPM of ACB (Figure 4)
Summary
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. We can see risk management culture will include perception and thinking methods relating to risk and risk management within the firm
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