Volume 18, Special Issue on Current Trends in Management and Information Technology, 2021
Build Risk Policies in Commecial Banks with Internet Data - Case in Viet Nam in Industry 4.0
Nguyen Thanh Hai, Dinh Tran Ngoc Huy, Dao Thi Huong
Abstract
This study aimed to identify risk policies coming from comparing effects of beta determinants on beta of bank and weighted beta Capm index, a development from traditional beta Capm formula by Sharpe (1964) and Lintner (1965). Authors conducted this study in the period 2011-2020 and chose a big bank in Vietnam Asia commercial bank - ACB to estimate beta determinants effects. Findings reveal that - CPI has negative correlation with two betas: ACB and weighted beta, second, Exchange rate also have tiny negative impact on two betas and third, ACB and weighted beta, And last but not least, IM and R have negative correlation with two betas Therefore, our study can be expanded for other markets.
Pages: 283-297
DOI: 10.14704/WEB/V18SI05/WEB18229
Keywords: Weighted Beta Formulation, Risk Policies, Vietnam Banks, Beta CAPM, Market Risk Comparison.