创业与组织管理

Estimating Market Risk in a Listed Vietnam Bank and what affect Beta Capm of Listed Banks? - A Case of Eximbank

Abstract

Dinh Tran Ngoc Huy*, Nguyen Thi Hoa, Nguyen Thu Thuy, Nguyen Thi Hang, Sylwia Gwoździewicz and Esra Sipahi

Huy, D.T.N., & Hang, N.T stated we need to estimate macro effects on beta and build better risk model at Vietnam banks. We run OLS regression and selected Eximbank in Vietnam for studying market risk subject with macro determinants.

Banks in Vietnam play a major roles in economic promoting as well as contribute to community activities over years. Huy, D.T.N mentioned we need to enhance risk management in commercial banks.

Our study shows that for external, SP 500 and trade balance have positive relation with beta EIB. Moreover, for internal, We can infer from the above table 11 that:CPI and IM have positive relation with beta.

Then risk policies were suggested.