Risk Management Under Impacts Of Macro Economic Factors In A New Approach Of Weighted Beta Capm In Banking Sector In Vietnam

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Dinh Tran Ngoc Huy, Le Thi Thanh Huong, Tran Duc Thang, Vu Xuan Thuy,


Vietnam Economy Has Positive GDP Growth In 2010-2020, Esp Until 2019 (See Exhibit 1) And Ther Are Great Contribution Of Commercial Banks. There Are Many Kinds Of Risk In Banking Operation In Vietnam Such As Market Risk, Credit Risk, Operational Risk, Etc. Market Risk Including Stock Price Risk Is The Risk Caused By Adverse Fluctuations Of Stock Prices On The Market To The Value Of Shares, The Value Of Derivative Securities On The Business Books Of Banks Or Foreign Bank Branches. In This Study, We Mainly Address Market Risk Measured By Weighted Beta CAPM, And If Higher Market Risk, Bank Will Face Reputational Risk And Strategic Risk.

Because We Figure Out There Is A Research Gap In Which Many Previous Studies Forgot To Formulate Weighted Beta CAPM From Traditional Beta Concept In The Context Of Pre-Low(L) Inflation Stage In Vietnam Since The Global Crisis 2007-2009.

With The Using Of Quantitative Analysis And Statistics, Regression OLS, Together With Qualitative Methods Including Synthesis, Comparison And Explanatory Methods, Authors Recognize That, In A 9 Factor Model, Weighted Beta Will Be Negatively Affected By GDP Growth, Lending Rate And Risk Free Rate, But Positively Affected By CPI And Vnindex. Also, Most Of Beta Statistics Values (Mean, Median, Max, Min, Var) Are Higher In Period 2015-20 (Post-L) Than Those In 2011-15 Stage (Pre-L).

Last But Not Least, Our Research Model Can Be Expanded To Other Markets

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