Abstract
In recent years we recognize the importance of internet data from reliable websites of banks and Bureau statistics that can help us to build risk models for banks. During past years with lots of achievements in banking sector, we could classify listed banks on Vietnam stock exchange into 2 groups: Previous SOEs banks (including Vietcombank and Vietinbank) and Private banks (including Saigon Hanoi Bank - SHB, Eximbank- EIB, Navibank -NVB or NCB, Sacombank-STB and Asia Commercial Bank-ACB). Banks in Vietnam play a major roles in providing loans and financial services to socio-economy during pre-low (L) inflation stage 2011–2015, where there is low CPI of 0.6% in year 2015. This is historical period of economy since global crisis 2008. The research findings tell us that CPI, GDP growth ad Rf have positive correlation with weighted beta CAPM while lending rate has positive relationship with weighted beta. Hence, bank system will control lending rate and Treasury bond rate at proper levels, not increasing too much. Also it is in the paper we introduce the formula of calculating weighted beta CAPM for bank sector, an improvement from traditional beta formula. Besides, this study also give out recommendations for enhancing risk management function and risk management information system (RMIS) of Vietnam banks in future.
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Huy, D.T.N., Trung, N.D., Nuong, L.N., Anh, P., Yen, L.L., Thang, T.D. (2023). Where is Risk Going and Roles of Using Internet Data – A Case Study of Weighted Beta CAPM in Vietnam Listed Banks Under Macro Context. In: Mirzazadeh, A., Erdebilli, B., Babaee Tirkolaee, E., Weber, GW., Kar, A.K. (eds) Science, Engineering Management and Information Technology. SEMIT 2022. Communications in Computer and Information Science, vol 1808. Springer, Cham. https://doi.org/10.1007/978-3-031-40395-8_10
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