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

Author

Listed:
  • Le Dinh Hac

    (Banking University of Ho Chi Minh City, Vietnam)

  • Dinh Tran Ngoc Huy

    (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)

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.

Suggested Citation

  • Le Dinh Hac & Dinh Tran Ngoc Huy & Nguyen Ngoc Thach & Bui Minh Chuyen & Pham Thi Hong Nhung & Tran Duc Thang & Tran Tuan Anh, 2021. "Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(3), pages 291-307, March.
    • Handle: RePEc:ssi:jouesi:v:8:y:2021:i:3:p:291-307
    DOI: 10.9770/jesi.2021.8.3(18)
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    More about this item

    Keywords

    market risk management; risk culture; beta CAPM; low inflation; banking industry; Vietnam; policy;
    All these keywords.

    JEL classification:

    • M10 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - General
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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