The Meanings of Weighted Beta in Better Risk Management – Case of Listed Banks in Vietnam During Post-Low Inflation Stage 2015-2020
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Abstract
: In this research we confirm again and present meanings and values of weighted beta CAPM model in banking sector which can be expended for other industries and markets. Vietcombank (VCB) and Asia Commercial Bank (ACB) are 2 big banks listed on Vietnam stock exchange and have positive effects on economic growth although they also face challenges and risks. In recent years, role of risk management in commercial bank has been increasing with new perspectives in management, corporate governance and risk management models. Hence, this research paper aims to figure out and make comparison on how much effects in the market risk of two big listed Vietnam commercial bank, VCB and ACB with semiannual data. Using analysis, synthesis statistics methods, and dialectical materialism method, combined with econometric model with 9 macro variables, we figure out that CPI and GDP growth, lending rate and risk free rate (Rf) have much more impacts on market risk while external factors such as exchange rate and SP500 just have small effect on beta CAPM. Next resarch finding is that we mention value of weighted beta CAPM calculated as a common risk measure of a single industry such as banking sector. The policy implication is that State Bank of Vietnam, Ministry of Finance and agencies need to implement risk analysis models under the impact of monetary and financial policies.
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