Evaluating and Comparing Beta CAPM in 2 Listed Vietnam Banks for Banking Sustainable Development During Period 2011-2020
Authors selected 2 big listed banks Vietcombank and Sacombank in order to calculate market risk
and make comparison, in Vietnam financial market.
There are both strengths and weaknesses in risk management processes in commercial banks in
emerging markets such as Vietnam. Huy, D.T.N (2015) has done a research to state that risk
management and corporate governance standards nee to be enhance in corporations.
Study results tell us that CPI has negative effect and higher impact on beta of both banks (table 3),
while Rf has high impact and positive effect on beta of the banks, we suggest relevant governmental
agencies need to control CPI (not decrease much) and rates of T-bill (not increase much) in order to
reduce market risk.
Finally, we make recommendations on risk management.
Author's Name: Pham Thi Hong Nhung, Dinh Tran Ngoc Huy, Vu Quynh Nam and Leng Thi Lan