Cơ chế quản trị và rủi ro ngân hàng ở khu vực ASEAN

MINISTRY OF EDUCATION AND TRAINING OF VIETNAM UNIVERSITY OF ECONOMICS HO CHI MINH CITY CORPORATE GOVERNANCE AND BANK RISK IN ASEAN COUNTRIES PHD THESIS HO CHI MINH CITY-2022MINISTRY OF EDUCATION AND TRAINING OF VIETNAM UNIVERSITY OF ECONOMICS HO CHI MINH CITY CORPORATE GOVERNANCE AND BANK RISK IN ASEAN COUNTRIES SPECIALIZATION: FINANCE AND BANKING CODE: 9340201 PHD THESIS SUPERVISORS: LÊ HỒ AN CHÂU, Ph D PHẠM PHÚ QUỐC, Ph D HO CHI MINH CITY-2022 STATEMENT OF AUTHORSHIP My name is , PhD student in the major of Banking at University of Economics Ho Chi Minh City (UEH) I declare that “this thesis is my own work, and except where due reference is made, contains no material previously written or published by any other people I ensure that this thesis has not been, and will not be, submitted in whole or in part to any ther educational institution for the award of any other degree ” Ho Chi Minh City, 2022 ACKNOWLEDGMENTS First, I would like to thank my academic advisers Dr and Dr for their enthusiastic help, instruction, intensive support, care, and advice on my research They have granted me the autonomy to conduct and publish my research while continuing to review and provide me with exhaustive valuable feedback and encouragement Second, I would like to sincerely thank the School of Banking and the UEH university for providing me with the best study and research environment I would also like to thank my professors, the journal’s editor, and the independent external reviewers for giving me numerous useful comments on my research All their comments helped me improve and complete my thesis Lastly, I am extremely grateful to my family for their love, support, and sacrifice, as well as to my friends and colleagues who have encouraged and supported me very much during the learning process, work, and completion of this thesis Ho Chi Minh City, 2022 TABLE OF CONTENTS ABBREVIATIONS ASEAN: Association of South East Asian Nations 2SLS: Two stage least square BCBS: Basel Committee on Banking Supervision BOD: Board of director CEO: Chief Executive Officer Cons: Constants FE: Fixed effect H: Hypothesis IMF: International Monetary Fund IOSCO: International Organization of Securities Commissions LM: Lagrange Multiplier M&A: Mergers and acquisitions NPV: Net-present-value NYSE: New York Stock Exchange Obs: Observation RE: Random effect RQ: Research question SGMM: System generalized method of moments SOX:Sarbanes-Oxley Act of 2002 LIST OF TABLES LIST OF FIGURES 10 ABSTRACT This thesis examines the determinants of bank risk governance structure, and the impact of risk governance structure and risk governance effectiveness on bank risk-taking behavior, as well as the impact of risk governance structure and risk governance effectiveness on risk management effectiveness In the context of regulators around the world trying to provide guidelines for banks to make corporate governance of banks more effective after the 2008 financial crisis, the study of bank risk governance structure and its effectiveness has become increasingly important By using a sample of 104 commercial banks in ASEAN countries over 2002-2019 and applying empirical analysis techniques such as FE/RE, Logit, 2SLS, and GMM, this study provides some important findings First, regarding bank risk governance structure determinants, this thesis finds that risk governance structure (including audit committee size, audit committee independence, financial and accounting experts on the audit committee, audit committee meeting frequency, risk committee existence, and external audit quality) relates positively to a bank’s scope of operation and monitoring benefit, but negatively to monitoring cost and CEO’s negotiation power Second, regarding the impact of bank risk governance structure and risk governance effectiveness on risk-taking behavior, this thesis finds that risk governance structure significantly affects bank risk-taking behavior (measured by insolvency risk, credit risk and operational risk) We also find that the role of risk governance remains unchanged following the 2008 financial crisis and that the relationship between risk governance effectiveness and risk-taking behavior depends on a country’s institutional quality Finally, regarding the impact of bank risk governance structure and risk governance effectiveness on risk management effectiveness, this thesis reveals that risk governance structure and its effectiveness are positively associated with risk management effectiveness Appendix 13: System GMM Estimation result, Arellano-Bond test and Hansen test of table 15 by STATA 15 Appendix 14: System GMM Estimation result, Arellano-Bond test and Hansen test of table 16 by STATA 15 Appendix 15: Further Test for FE/RE Models A15a: VIF Value Variable BAGE BSIZE DIV FCAF CEOW CEOT CEOA ROA1 MER1 BOZ1 EAR VIF 73 42 06 19 13 32 68 11 12 79 12 1/VIF 578599 703836 484837 457526 887264 755339 59698 909849 890378 5581 889729 A15b: Testing Autocorrelation (Wooldridge test) A15c: Heteroskedasticity test - Wald test for ACS Modified Wald test for groupwise heteroskedasticity in fixed effect regression model H0: sigma(i)^2 = sigma^2 for all i chi2 (98) = 9e+05 Prob>chi2 = 0167 - Wald test for FAE Modified Wald test for groupwise heteroskedasticity in fixed effect regression model H0: sigma(i)^2 = sigma^2 for all i chi2 (98) = 8e+06 Prob>chi2 = - 0114 LM – Breusch and pagan Lagrangian Multiplier for ACI LM – Breusch and pagan Lagrangian Multiplier for AMF Appendix 16: Data of Institutional Quality Country Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Cambodia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Indonesia Laos Laos Laos Year 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 Total COC GOE PSAV RQ RL VA -0 79 -1 01 -0 81 -0 73 -0 31 -1 14 -0 74 -0 85 -0 99 -0 85 -0 65 -0 45 -1 25 -0 90 -0 84 -1 06 -0 89 -0 41 -0 51 -1 28 -0 87 -0 90 -1 21 -1 00 -0 40 -0 53 -1 23 -1 02 -0 89 -1 25 -0 97 -0 35 -0 61 -1 23 -0 93 -0 83 -1 15 -0 90 -0 36 -0 48 -1 14 -0 93 -0 85 -1 23 -0 99 -0 30 -0 45 -1 15 -0 97 -0 87 -1 17 -0 95 -0 56 -0 49 -1 12 -0 91 -0 87 -1 24 -0 94 -0 50 -0 48 -1 12 -0 93 -0 82 -1 24 -0 86 -0 30 -0 58 -1 05 -0 91 -0 71 -1 07 -0 82 -0 10 -0 34 -0 98 -0 96 -0 74 -1 05 -0 91 -0 14 -0 34 -1 00 -0 98 -0 71 -1 14 -0 69 02 -0 42 -0 96 -1 11 -0 73 -1 12 -0 70 06 -0 53 -0 98 -1 12 -0 73 -1 27 -0 69 21 -0 47 -1 06 -1 11 -0 75 -1 29 -0 66 17 -0 50 -1 06 -1 16 -0 74 -1 31 -0 65 15 -0 53 -1 05 -1 18 -0 78 -1 30 -0 58 -0 08 -0 57 -0 94 -1 20 -0 83 -1 14 -0 41 -1 58 -0 64 -0 91 -0 27 -0 91 -0 97 -0 46 -2 09 -0 80 -0 85 -0 30 -0 83 -0 93 -0 42 -1 91 -0 70 -0 77 -0 26 -0 74 -0 88 -0 48 -1 52 -0 63 -0 82 -0 12 -0 63 -0 84 -0 33 -1 42 -0 38 -0 72 -0 08 -0 52 -0 62 -0 28 -1 20 -0 34 -0 68 -0 02 -0 48 -0 59 -0 24 -1 06 -0 35 -0 65 -0 01 -0 48 -0 84 -0 30 -0 75 -0 36 -0 60 00 -0 49 -0 75 -0 21 -0 85 -0 42 -0 64 -0 04 -0 45 -0 70 -0 26 -0 77 -0 35 -0 59 -0 01 -0 38 -0 64 -0 27 -0 59 -0 28 -0 58 07 -0 34 -0 61 -0 20 -0 52 -0 20 -0 53 04 -0 22 -0 56 -0 04 -0 42 -0 11 -0 34 15 -0 29 -0 46 -0 24 -0 62 -0 22 -0 42 18 -0 18 -0 40 01 -0 37 -0 12 -0 34 17 -0 17 -0 25 04 -0 51 -0 11 -0 35 13 -0 16 -0 24 03 -0 49 -0 11 -0 34 12 -0 17 -0 42 18 -0 48 -0 09 -0 34 16 -1 06 -1 15 -0 91 -0 10 -1 30 -1 15 -1 74 -1 31 -1 18 -1 00 -1 23 -1 40 -1 27 -1 78 -1 13 -1 24 -1 00 -0 61 -1 29 -1 12 -1 55 Laos Laos Laos Laos Laos Laos Laos Laos Laos Laos Laos Laos Laos Laos Laos Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Myanmar Philippines Philippines Philippines Philippines Philippines Philippines Philippines Philippines Philippines Philippines 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 -1 19 -1 07 -1 03 -0 96 -1 03 -1 00 -0 95 -0 86 -0 81 -0 68 -0 71 -0 68 -0 70 -0 70 -0 80 -1 64 -1 61 -1 73 -1 66 -1 65 -1 70 -1 70 -1 75 -1 74 -1 61 -1 38 -1 30 -1 19 -1 15 -0 83 -0 89 -0 86 -0 95 -0 30 -0 44 -0 57 -0 40 -0 55 -0 49 -0 55 -0 54 -0 54 -0 45 -1 30 -1 31 -1 27 -1 20 -1 24 -1 19 -1 18 -1 02 -0 93 -0 85 -0 91 -0 95 -0 94 -0 95 -1 06 -1 32 -1 48 -1 65 -1 54 -1 66 -1 63 -1 62 -1 66 -1 67 -1 59 -1 06 -1 00 -0 88 -0 84 -0 62 -0 56 -0 54 -0 63 -0 50 -0 58 -0 65 -0 62 -0 83 -0 72 -0 76 -0 77 -0 76 -0 67 -1 21 -0 98 -0 90 -0 88 -0 95 -0 86 -0 83 -0 84 -0 73 -0 42 -0 51 -0 37 -0 36 -0 35 -0 78 -1 31 -1 24 -1 56 -1 53 -1 45 -1 48 -1 53 -1 61 -1 62 -1 60 -1 48 -1 50 -1 28 -1 24 -0 98 -1 05 -1 04 -1 15 -0 13 -0 10 -0 24 -0 04 -0 13 07 02 -0 03 00 09 -0 49 -0 09 -0 18 02 -0 16 -0 28 -0 06 03 07 50 54 53 43 43 53 -1 41 -1 15 -0 99 -0 90 -0 85 -1 06 -1 09 -1 29 -1 29 -1 11 -0 94 -1 14 -1 09 -1 17 -0 80 -1 08 -1 08 -1 26 -0 86 -1 56 -1 71 -1 18 -1 64 -1 60 -1 78 -1 73 -1 65 -1 39 -1 33 -1 27 -1 18 -1 14 -1 07 -1 02 -0 98 -0 82 -0 84 -0 85 -0 81 -0 72 -0 72 -0 71 -0 71 -2 06 -2 00 -2 34 -2 12 -2 19 -2 27 -2 21 -2 24 -2 24 -2 10 -1 83 -1 49 -1 38 -1 22 -0 87 -0 83 -0 80 -0 76 -0 10 -0 05 -0 30 -0 18 -0 17 -0 12 -0 08 -0 11 -0 23 -0 23 -1 18 -1 02 -0 96 -0 87 -1 05 -0 98 -1 00 -0 85 -0 80 -0 75 -0 80 -0 80 -0 88 -0 87 -0 94 -1 71 -1 70 -1 74 -1 73 -1 53 -1 55 -1 54 -1 53 -1 55 -1 44 -1 35 -1 23 -1 19 -1 24 -0 89 -0 95 -0 92 -1 06 -0 37 -0 49 -0 57 -0 35 -0 41 -0 46 -0 55 -0 57 -0 55 -0 51 -1 66 -1 73 -1 72 -1 71 -1 70 -1 68 -1 68 -1 64 -1 65 -1 73 -1 75 -1 76 -1 75 -1 79 -1 80 -2 01 -2 08 -2 12 -2 17 -2 23 -2 21 -2 21 -2 17 -2 07 -1 85 -1 62 -1 46 -1 34 -1 22 -0 80 -0 87 -0 83 -0 84 16 15 03 -0 01 -0 09 -0 11 -0 14 -0 03 -0 04 -0 02 Philippines Philippines Philippines Philippines Philippines Philippines Philippines Philippines Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Singapore Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand Thailand 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 -0 38 -0 30 -0 19 -0 24 -0 35 -0 35 -0 37 -0 31 47 40 49 48 43 47 53 46 47 47 57 54 57 59 61 62 62 63 23 14 -0 03 -0 04 -0 27 -0 28 -0 32 -0 32 -0 35 -0 28 -0 26 -0 29 -0 30 -0 33 -0 32 -0 27 -0 27 -0 56 -0 38 -0 44 -0 45 -0 49 -0 48 -0 48 -0 57 32 23 33 17 19 24 25 22 18 11 12 08 07 09 09 13 13 16 -0 31 -0 17 -0 23 -0 19 -0 38 -0 37 -0 41 -0 31 -0 33 -0 32 -0 37 -0 34 -0 45 -0 49 -0 39 -0 39 -0 39 11 12 19 11 -0 02 -0 06 -0 06 05 85 95 99 96 21 38 44 27 24 15 17 09 18 24 19 21 22 22 31 37 32 40 45 36 22 27 19 21 22 25 34 35 34 38 40 -1 19 -1 08 -0 71 -0 86 -1 38 -1 24 -1 30 -0 88 26 88 09 16 25 17 35 18 17 19 37 38 19 31 50 59 62 53 51 -0 14 -0 72 -0 87 -1 13 -1 11 -1 27 -1 42 -1 44 -1 13 -1 22 -1 31 -0 91 -0 99 -0 99 -0 76 -0 78 -0 06 -0 07 -0 04 -0 04 00 02 02 01 94 82 77 75 75 81 87 78 79 79 97 97 23 26 18 12 11 16 18 38 23 47 24 14 21 22 17 20 24 23 27 29 17 14 15 -0 52 -0 40 -0 32 -0 34 -0 35 -0 41 -0 46 -0 48 41 57 66 71 59 61 61 57 63 67 73 71 82 81 83 82 86 88 38 16 11 05 -0 06 -0 12 -0 14 -0 23 -0 20 -0 20 -0 15 -0 12 -0 19 -0 15 00 04 04 -0 03 01 16 15 16 08 08 03 06 -0 02 08 13 -0 39 -0 36 -0 33 -0 23 -0 21 -0 10 05 04 -0 10 -0 16 -0 15 -0 17 -0 17 -0 18 32 22 13 -0 10 -0 74 -0 56 -0 53 -0 46 -0 50 -0 41 -0 32 -0 43 -0 87 -0 97 -1 03 -1 05 -1 12 Thailand Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Vietnam Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Brunei Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia 2019 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2002 2003 2004 2005 2006 2007 -0 20 -0 58 -0 57 -0 59 -0 47 -0 55 -0 53 -0 56 -0 53 -0 57 -0 54 -0 53 -0 50 -0 48 -0 41 -0 33 -0 33 -0 33 -0 33 52 51 47 41 36 43 46 74 71 71 62 63 62 56 51 58 57 60 39 45 42 47 38 34 -0 41 -0 57 -0 50 -0 73 -0 72 -0 75 -0 63 -0 71 -0 54 -0 62 -0 61 -0 53 -0 48 -0 44 -0 43 -0 45 -0 58 -0 59 -0 51 31 32 41 25 21 21 49 99 86 86 55 65 53 57 57 71 73 80 27 34 34 20 23 19 36 -0 44 -0 45 -0 48 -0 23 -0 25 -0 24 -0 21 -0 26 -0 26 -0 23 -0 27 -0 27 -0 07 07 01 00 00 04 89 75 24 60 87 92 89 92 90 90 84 87 09 06 08 14 16 32 02 16 09 09 27 24 -0 54 35 13 15 48 40 25 16 27 15 19 27 25 -0 02 07 23 31 30 13 16 15 37 21 12 11 13 39 28 09 91 07 26 24 15 19 19 17 54 49 35 56 29 19 12 -0 72 -0 56 -0 56 -0 60 -0 62 -0 56 -0 62 -0 62 -0 62 -0 60 -0 67 -0 64 -0 59 -0 48 -0 45 -0 40 -0 39 -0 26 09 03 21 91 94 99 78 09 11 15 15 11 99 85 59 72 69 63 56 63 47 64 55 51 10 -0 64 -0 58 -0 57 -0 32 -0 52 -0 49 -0 47 -0 54 -0 59 -0 54 -0 55 -0 51 -0 36 -0 34 08 07 06 -0 02 50 59 38 24 12 41 47 79 78 85 79 59 47 41 56 65 64 61 45 52 52 50 47 44 -0 83 -1 45 -1 47 -1 34 -1 40 -1 54 -1 53 -1 50 -1 48 -1 50 -1 46 -1 42 -1 37 -1 37 -1 36 -1 37 -1 40 -1 42 -1 38 -0 83 -0 78 -0 80 -0 78 -1 10 -1 06 -1 02 -0 73 -0 65 -0 61 -0 51 -0 51 -0 63 -0 75 -0 90 -0 95 -0 97 -0 95 16 16 15 15 12 12 Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia Malaysia 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 21 19 32 29 31 36 48 38 32 29 28 43 -0 05 -0 06 09 03 24 35 41 24 10 03 02 25 11 98 12 02 92 00 12 95 87 84 86 00 11 -0 04 14 08 -0 01 05 27 26 14 16 15 11 32 30 59 58 57 64 84 75 71 68 68 67 34 12 46 12 48 11 48 11 47 11 44 11 59 13 50 13 50 13 41 13 41 12 59 -0 04 Source: World banks ... trúc quản trị rủi ro ngân hàng yếu tố quan trọng xem xét việc cho vay ngân hàng cụ thể Từ khóa: cấu trúc quản trị rủi ro, hiệu chế quản trị rủi ro, hành vi chấp nhận rủi ro, hiểu quản trị rủi ro, ... quản trị rủi ro ngân hàng, hiệu quản trị rủi ro đến hành vi chấp nhận rủi ro, luận án nhận thấy cấu quản trị rủi ro ảnh hưởng đáng kể đến hành vi chấp nhận rủi ro ngân hàng (được đo lường rủi ro. .. chấp nhận rủi ro ngân hàng tác động cấu quản trị rủi ro, hiệu chế quản trị rủi ro đến hiệu quản trị rủi ro Trong bối cảnh quan quản lý giới nói chung cố gắng đưa hướng dẫn cho ngân hàng nhằm