Đánh giá rủi ro thị trường để xây dựng hệ thống kiểm soát nội bộ hiệu quả tại các ngân hàng niêm yết tại việt nam thông qua beta CAPM trường hợp của VCB, STB và ACB

TẠP CHÍ CỦNG TntfdNG EVALUATING MARKET RISKS TO ESTABLISH AN EFFECTIVE INTERNAL CONTROL SYSTEM FOR LISTED BANKS IN VIETNAM BY USING BETA CAPM - CASE OFVCB,STB AND ACB • HOANG THANH HANH ABSTRACT: The main purpose of internal control is to manage risks and it is important to successfully establish an internal control system to control risks effectively This study analyzes the process of evaluating market risk in establishing internal control for risk management This study measures the beta CAPM of three major listed commercial banks in Vietnam, namely VCB, ACB and STB with semiannual data to understand impacts of both macro internal and external variables over the period from 2011 to 2015 on the beta CAPM of these three banks The study finds out that CPI, GDP growth, lending rate and risk-free rate have much more impacts on market risk while external factors such as exchange rate and SP500 just have small effect on beta CAPM of these banks Keywords: risk management, internal control, beta CAPM, commerical bank, Vietnam 1, Introduction Nowadays, under impacts of 4.0 Industry and Basel, Vietnamese banks such as Vietcombank (VCB), Asia Commercial Bank (ACB) and Sacombank (STB) pay attention more to risk management, especially new perspectives in governance, management and risk models This is the first reason that we conduct this research paper Secondly, macro policy makers will need to look at risk management in banking industry and impacts of macro factors on market risk in order to adjust macro policies What we need to adjust in trade balance, exchange rate, lending rate and riskfree rate policies? 48Ó SỐ 15-Tháng Ó/2Ũ21 Therefore, this study will calculate and figure out not only inflation but other macro factors, both internal and external, such as GDP growth, risk free rate, lending rate, SP500, trade balance and exchange rate, etc affecting the market risk level during the pre-low (L) inflation period (2011-2015) Overview 2.1 Research Issues The first issue: What are impacts of internal macro variables such as inflation, GDP growth, VNIndex, risk free rate, on market risk of big banks, VCB.ACB and STB? The second issue: Evaluating impacts of KÊ TOÁN-KIỂM TOÁN external macro variables such as balance of trade, exchange rate and S&P500 on market risk of VCB, ACB and STB measured by Beta CAPM 2.2 Literature review Fama, Eugene F., and French, Kenneth R., (2004) indicated in the three factor model that “value” and “size” are significant components which can affect stock returns They also mentioned that a stock’s return not only depends on a market beta, but also on market capitalization beta The market beta is used in the three factor model, developed by Fama and French, which is the successor to the CAPM model by Sharpe, Treynor and Lintner Dimitrov V (2006) documented a significantly negative association between changes in financial leverage and contemporaneous risk-adjusted stock returns Umar (2011) found that firms which maintain good governance structures have leverage ratios that are higher (forty-seven percent) than those of firms with poor governance mechanisms per unit of profit Chen et all (2013) supported regulators' suspicions that over-reliance on short-term funding and insufficient collateral compounded the effects of dangerously high leverage and resulted in undercapitalization and excessive risk exposure for Lehman Brothers The model reinforces the importance of the relationship between capital structure and risk management And Gunaratha V (2013) revealed that in different industries in Sri Lanka, the degree of financial leverage has a significant positive correlation with financial risk Li L, Pornchai c (2014) showed that financial risk is vital through using both return on asset and return on equity in the performance equation This result also implied that we cannot avoid the inverse relation of financial risk and performance; therefore, bank system would be better to make a trade-off between risk and performance Cheng et all (2014) presented results that firms with long-term institutional investors receive significantly positive abnormal returns around the offering announcement 2.3 Methodology and data We use OLS regression with total macro variables described with sources in the Table 1: Table 1: Description of variables Variable name Sign Datasource Reference source Dependent variable Market risk (BetaCAPM) BetaCAPM HOSE and HNX William F Sharpe (1965), John Lintner (1964) Jan Mossin (1966) Independent variables Dinh Tran Ngoc Huy (2021, Springer Verlag book GDP growth g General Statistics chapter) “Impacts of Internal and External Macro Office of Vietnam Factors on Firm stock Price in An Econometric Model - A Case in Vietnam’s Real Estate Industry” Dinh Tran Ngoc Huy (2015) “Econometric model for VNIndex VNindex HOSE and HNX ACB bank stock price 2008 -2011, Journal of Sai Gon University, No.22” _ -_ —I Riskfree rate Rf Ministry of Finance (MOF) Dinh Tran Ngoc Huy (2015) “Econometric model for ACB bank stock price 2008-2011, Journal of Sai Gon University, No.22” SỐ 15- Tháng 6/2021 487 TẠP CHÍ CƠNG THƯƠNG Variable name Sign Lending rate r Reference source _ Dinh Tran Ngoc Huy (2021, Springer Verlag book Datasource Commercial bank chapter) “Impacts of Internal and External Macro Factors on Firm stock Price in An Econometric Model -ACase in Vietnam’s Real Estate Industry” Dinh Tran Ngoc Huy (2021, Springer Verlag book Exchange erate Ex_rate Commercial bank chapter) “Impacts of Internal and External Macro Factors on Firm stock Price in An Econometric Model -ACase in Vietnam’s Real Estate Industry” S&P500 SP500 Dinh Tran Ngoc Huy (2015) “Econometric model for ACB bank stock price 2008-2011, Journal of Sai NYSE Gon University, No.22” BOT (trade balance) IM (Industrial manufacturing index) BOT IM General Statistics Office of Vietnam General Statistics Office of Vietnam Main Results 3.1 General data analysis Firstly, we look at the below figure, we find out correlation matrix of internal variables We see that in case of VCB, the increase in industrial manufacturing index and CPI will cause Beta CAPM decreases while decrease in SP500 will make it decreases Secondly, in case of STB, we find out that the increases in industrial manufacturing index and lending rate will cause Beta CAPM increases Meanwhile the decrease in SP500 will make Beta CAPM decreases Thirdly, in case of ACB, we find out that the increases in industrial manufacturing index and lending rate will cause Beta CAPM increases Meanwhile the decrease in SP500 will make Beta CAPM increases 3.2 Empirical Research Findings and Discussion Using OLS regression from Eviews, we find out that: For external effects in the case of VCB, we recognize all factors (exchange rate, SP500 and trade balance) have positive correlations with VCB Beta Looking at the above table, we see that industrial product, risk free rate, lending rate and 488 So 15-Tháng Ó/2021 Author’s synthesis Author’s synthesis VNIndex have positive correlations with Beta CAPM of STB Meanwhile, CPI and GDP growth have negative correlation with Beta CAPM of STB If risk free rate increases, market risk of STB will increase And industrial product, risk free rate, and exchange rate have positive correlations with Beta CAPM of STB while CPI and GDP growth have negative correlation If risk free rate increases, market risk of STB will increase Conclusion and policy recommendations As shown from the above regression model and equation, the Government of Vietnam and Ministry of Finance need to increase the GDP growth rate and reduce the CPI for lower market risk GDP growth might increase more than trade balance increase This research paper provides evidence that the market risk is affected much more by CPI, GDP growth, risk free rate and lending rate At enterprise and bank level, in order to establish an effective internal control system, managers have to pay attention to the procedures of risk management succh as lending rates, especially customer’s loan records Because it is the main revenue of banks, the risk is identified by the required reserve ratio and credit's growth Our model also shows that other macro factors Figure 1: Macro external and internal variables correlation matrix - Case of VCB I - ” —— BETA CPI EX RATE G IM R RF SP500 TRADES A VNINDEX BETA 1.000000 -0.712854 062611 -0.305878 -0.283569 -0 116962 -0.375493 0.419011 0.318131 510623 ■ Correlation Matrix CPI -0 712854 000000 -0 382440 090566 0.500206 428665 580486 -0.844053 0.156409 -0.861426 EX RATE 062611 -0 382440 000000 0.519076 0.038528 006143 -0 772931 476195 -0.491811 0.295409 G -0 305878 0.090566 519076 1.000000 0.440105 223263 -0.421402 136776 -0.107369 -0.016434 IM -0 283569 0.500206 038528 0.440105 1.000000 663798 117679 -0 613771 0.161388 -0.664368 R -0.116962 428665 0.006143 0.223263 0.663798 000000 -0.045403 -0.664122 0.553061 -0.746263 RF -0.375493 0.580486 -0 772931 -0.421402 0.117679 -0.045403 1.000000 -0 652624 0.264192 -0.444136 SP500 419011 -0 844053 476195 0.136776 -0.613771 -0.664122 -0 652624 000000 -0.485719 950618 Ịtradeba RF -0.181392 580486 -0 772931 -0.421402 0.117679 -0.045403 000000 -0 652624 0.264192 -0 444136 SP500 0.206738 -0.844053 0.476195 136776 -0.613771 -0 664122 -0 652624 1.000000 -0 485719 950618 RF 0.041136 -0.181729 -0 724295 0.461428 151470 0.639799 1.000000 -0.834478 -0.664650 -0.821145 SP500 -0.041440 0.255209 686922 -0.451641 -0.215029 -0 670855 -0.834478 1.000000 0.841285 0.865637 VNINDEX 510623 -0 861426 295409 -0.016434 -0.664368 -0 746263 -0.444136 950618 -0.375438 1.000000 I ITRADEBA 0.488115 156409 -0 491811 -0.107369 161388 0.553061 264192 -0 485719 1.000000 -0 375438 VNINDEX 0.295288 -0.861426 295409 -0.016434 -0.664368 -0.746263 -0.444136 0.950618 -0.375438 1.000000 I ITRADEBA -0 165660 -0.220190 0.531030 -0.519363 -0.381226 -0 392445 -0 664650 0.841285 1.000000 0.604758 VNINDEX 0.050501 0.414535 0.767832 -0.057490 008190 -0.877965 -0.821145 0.865637 0.604758 1.000000 I 0.318131 0.156409 -0 491811 -0.107369 0.161388 553061 264192 -0.485719 1.000000 -0.375438 Figure Ma cro external and internal variables correlation matrix - Case Of STB correlation Matrix BETA CPI EX RATE G IM R RF SP500 TRADE BA VNINDEX BETA 1.000000 -0 498207 -0 255749 -0.054354 0.106161 0.053114 -0 181392 206738 0.488115 0.295288 CPI -0 498207 000000 -0.382440 0.090566 500206 428665 580486 -0 844053 0156409 -0.861426 EX RATE -0.255749 -0.382440 000000 0.519076 0.038528 0.006143 -0 772931 0.476195 -0.491811 295409 G -0.054354 0.090566 0.519076 000000 0.440105 0.223263 -0 421402 136776 -0.107369 -0 016434 IM 0.106161 500206 038528 0.440105 1.000000 0.663798 117679 -0 613771 0.161388 -0.664368 R 0.053114 428665 0.006143 0.223263 0.663798 1.000000 -0 045403 -0.664122 0.553061 -0.746263 Figure Ma cro external and internal variables correlation matrix - Case ofACB Số Correlation Matrix CPI 0.303298 1.000000 0.355839 0.084484 0.413563 -0.414518 -0.181729 0.255209 -0.220190 0.414535 EX RATE 012087 0.355839 1.000000 -0.085689 -0.083666 -0 775791 -0 724295 0.686922 0.531030 0767832 G 014934 0.084484 -0 085689 1.000000 0.183953 -0.269621 461428 -0 451641 -0.519363 -0.057490 IM 401882 413563 -0.083666 0.183953 000000 092188 0.151470 -0.215029 -0 381226 008190 R 011619 -0.414518 -0.775791 -0.269621 0.092188 1.000000 0.639799 -0 670855 -0 392445 877965 KẼ TOÁN-KIẼMTOÁN -Tháng 6/2021 489 BETA CPI EX RATE G IM R RF SP500 TRADEBA VNINDEX BETA 000000 0.303298 0.012087 0.014934 0.401882 0.011619 0.041136 -0.041440 -0.165660 0.050501 TẠP CHÍ CƠNG THƯƠNG Table Internal and external impacts on Beta CAPM - Case of three banks VCB - Coefficient Internal ACB-Coefficient External Internal External STB-Coefficient Internal CPI -3.14 -3.1 -5.2 G -46.4 -13.5 -45 0.009 0.004 0.006 IM R 9.8 Rf -2.3 VNIndex _ 6.4 4.8 0.005 Ex_rate SP50Ũ Trade balance i _L " R-squared ' _ Akaike info criteria I -33.5 43.2 0.003 : External 0.005 4.11E -9.77E 0.0001 0.001 0.0007 -0.001 0.0009 0.0005 -0.0004 0.67 0.53 0.53 0.53 0.22 0.22 1.9 1.75 1.4 0.84 3.68 2.6 such as VNIndex and exchange rate just have slight impact on Beta CAPM And macro external factors have small effects on market risk of banks Some management implications are proposed as follow: • To establish an internal control system to effectively controlling risk management at enterprise and bank level, banks should make a risk recognition report, promulgate the Code of Professional Ethics, make regulations that not allow employees to disclose internal information, strengthen legal communication to raise awareness and compliance, and issue the Internal Control Procedures • With the application of macro-variable impact analysis on Beta CAPM, businesses and banks need to develop two risk causation analyzes according to the 5M model as follows (from which proposing solutions to minimize risks): Man-Machine-Method-Material-Money ■ REFERENCES Chen RR, Chidambaran NK, Imerman MB, Sopranzetti BJ (2013), Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis Fordham School ofBusiness Research Paper No.2279686 Cheng, L.Y., Wang, M.C., and Chen, K.c (2014) Institutional Investment Horizons and the Stock Performance of Private Equity Placements: Evidence from the Taiwanese Listed Firms Review of Pacific Basin Financial Markets and Policies 17(2) Dinh Tran Ngoc Huy (2021) Banking sustainability for economic growth and socio-economic development­ case in Vietnam Turkish Journal of computer and mathematics education, 12(2) Dimitrov V, Jain PC (2006) The Value Relevance of Changes in Financial Leverage SSRN Working Paper Fama, Eugene F., and French, Kenneth R (2004) The Capital Asset Pricing Model: Theory and Evidence Journal ofEconomic Perspectives, 18(3), 25-46 Gunaratha V (2013) The Degree of Financial Leverage as a Determinant of Financial Risk: An Empirical Study of Colombo Stock Exchange in Sri Lanka 2nd International Conference on Management and Economics Paper 490 So 15- Tháng 6/2021 KÊ TOÁN- KIỂM TOÁN Li L, Pomchai c (2014) Income Structure, Competitiveness, Profitability, and Risk: Evidence from Asian Banks Review ofPacific Basin Financial Markets and Policies, 17(3), 1450015 Lintner, John (1965a) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets Review ofEconomics and Statistics, 47(1), 13-37 Lintner, John (1965b) Security Prices, Risk and Maximal Gains from Diversification Journal of Finance, 20(4), 587-615 10 Mossin, Jan (1966) Equilibrium in a Capital Asset Market Econometrica, 34(4), 768-783 11 Sharpe, William F (1964) Capital asset prices: A theory of market equilibrium under conditions of risk Journal of Finance, 19(3), 425-442 12 Umar (2011) Profits, Financial Leverage and Corporate Governance SSRN Working Paper Received date: June 1,2021 Reviewed date: June 18,2021 Accepted date: June 27,2021 Author's information Ph.D HOANG THANH HANH Academy of Policy and Development ĐÁNH GIÁ RỦI RO THỊ TRƯỜNG ĐE XÂY DựNGHỆ THỐNG KIEM soát nội hiệu TẠI CÁC NGÂN HÀNG NIÊM YET việt nam thông qua BETA CAPM - TRƯỜNG HỢP VCB, STB VÀ ACB • TS HỒNG THANH HẠNH Học viện Chính sách Phát triển TĨM TẮT: Mục đích kiểm sốt nội quản lý rủi ro làm điều cần phải thiết lập thống kiểm soát nội để kiểm soát rủi ro cách hiệu Bài báo phân tích q trình đánh giá rủi ro thị trường việc thiết lập kiểm soát nội để quản lý rủi ro Hệ số beta CAPM ngân hàng thương mại lớn niêm yết lớn Việt Nam VCB, ACB STB đo lường với số liệu bán niên để tìm hiểu tác động biến vĩ mô biến bên trong giai đoạn 2011 - 2015 hệ số beta CAPM ngân hàng Kết cho thấy CPI, tăng trưởng GDP, lãi suất cho vay lãi suất phi rủi ro có nhiều tác động đến rủi ro thị trường, biến bên ngồi tỷ giá hối đối số SP500 ảnh hưởng nhỏ đến beta CAPM ngân hàng Từ khóa: quản lý rủi ro, kiểm soát nội bộ, beta CAPM, ngân hàng thương mại, Việt Nam SỐ 15 - Tháng Ó/2021 491 ... Policy and Development ĐÁNH GIÁ RỦI RO THỊ TRƯỜNG ĐE XÂY DựNGHỆ THỐNG KIEM soát nội hiệu TẠI CÁC NGÂN HÀNG NIÊM YET việt nam thông qua BETA CAPM - TRƯỜNG HỢP VCB, STB VÀ ACB • TS HỒNG THANH HẠNH... đích kiểm sốt nội quản lý rủi ro làm điều cần phải thiết lập thống kiểm soát nội để kiểm soát rủi ro cách hiệu Bài báo phân tích trình đánh giá rủi ro thị trường việc thiết lập kiểm soát nội để quản... lý rủi ro Hệ số beta CAPM ngân hàng thương mại lớn niêm yết lớn Việt Nam VCB, ACB STB đo lường với số liệu bán niên để tìm hiểu tác động biến vĩ mô biến bên trong giai đoạn 2011 - 2015 hệ số beta