Solutions for Sustainable Banking and Enhancing Banking Competitiveness – Vietinbank Case in Vietnam

2021 ◽  
Vol 11 (2) ◽  
pp. 327-334
Author(s):  
Nguyen Van Dat ◽  
Dinh Tran Ngoc Huy
Keyword(s):  
Stock Price ◽  
Industry 4.0 ◽  
Financial Accounting ◽  
Gdp Growth ◽  
Financial Risks ◽  
Management Implications ◽  
Sustainability Strategies ◽  
Lending Rate ◽  
Risk Free Rate ◽  
Free Rate

During and after China-USA commerce ward, financial accounting transparency will become hot issues as it will help to attract more FDIs capitals flows into the country and stock market. Financial accounting transparency policy will prove enough data for firms and esp., banks in evaluating business risks and financial risks. For economic development during industry 4.0, enhancing banking sustainability in emerging markets such as Vietnam is becoming necessary. The results show us that CPI, GDP growth and risk free rate (Rf) has higher effects on beta CAPM and stock price of Vietinbank (CTG). Risk free rate and lending rate have positive correlation with these 2 variables. Then, this study can enable to propose management implications and risk management to enhance banking sustainability strategies.

Better Risk Management of Banks and Sustainability - A Case Study in Vietnam

2021 ◽  
Vol 11 (2) ◽  
pp. 481-490
Author(s):  
Nguyen Thi Hang ◽  
Dinh Tran Ngoc Huy ◽  
Le Thu Ha ◽  
Do Hong Nhung
Keyword(s):  
Risk Management ◽  
Stock Price ◽  
Industry 4.0 ◽  
Quantitative Methods ◽  
Management Strategies ◽  
Industrial Manufacturing ◽  
Rapid Economic Growth ◽  
Risk Free Rate ◽  
Free Rate

Modern advanced bank risk management is a current and hot issue for all Vietnam banks, during the context of industry 4.0. Because of rapid economic growth under impacts of China-US commerce war and effects from Covid 19, as welll as industry 4.0, enhancing roles of banks in Vietnam economic development is becoming necessary. This paper also refers to new perspectives on corporate governance issues that can be applied into bank management. This study mainly use combination of quantitative methods and qualitative methods including synthesis, inductive and explanatory methods for a special case of big listed bank in Vietnam, Eximbank. The results show us that better management of bank need to forecast effects from GDP growth, Industrial manufacturing (IM) and Risk free rate (Rf) on both beta and stock price of Eximbank (EIB), in this case we found out there is positive relationship. Then, we can suggest suitable plans for risk management to enhance the bank roles and sustainable management strategies.

scholarly journals A Green′s function for a convertible bond using the Vasicek model

2002 ◽  
Vol 2 (5) ◽  
pp. 219-232 ◽  
Author(s):  
R. Mallier ◽  
A. S. Deakin
Keyword(s):  
Random Walk ◽  
Laplace Transform ◽  
Stock Price ◽  
Mellin Transform ◽  
Convertible Bond ◽  
Vasicek Model ◽  
Function Solution ◽  
Risk Free Rate ◽  
Free Rate

We consider a convertible security where the underlying stock price obeys a lognormal random walk and the risk-free rate is given by the Vasicek model. Using a Laplace transform in time and a Mellin transform in the stock price, we derive a Green′s function solution for the value of the convertible bond.

scholarly journals Valuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet

2012 ◽  
Vol 8 (6) ◽  
pp. 559-564
Author(s):  
John C. Gardner ◽  
Carl B. McGowan Jr
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Option Price ◽  
Option Prices ◽  
Pricing Model ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Risk Free Rate ◽  
Daily Returns ◽  
Free Rate

In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from daily prices.The time to maturity is computed as the number of days remaining for the stock option.The risk-free rate is obtained from the U.S. Treasury website.

scholarly journals The measurement of muccessful management via a net profit maximization model with ten factors and financial accounting disclosure policy- case of vinamilk in F&B industry in Vietnam

Management ◽  
2020 ◽  
Vol 24 (2) ◽  
pp. 1-19
Author(s):  
Le Thi Viet Nga ◽  
Nguyen Thi Ngoc Lan ◽  
Ly Lan Yen ◽  
Dinh Tran Ngoc Huy ◽  
Do Minh Thuy
Keyword(s):  
Exchange Rate ◽  
Accounting Information ◽  
Financial Accounting ◽  
Risk Level ◽  
Macroeconomic Factors ◽  
Accounting Data ◽  
Disclosure Policy ◽  
Net Profit ◽  
Risk Free Rate ◽  
Free Rate

SummaryWhen a firm has better disclosure policy of financial accounting information it will attract more investment. Many factors affecting accounting information disclosure policy include firm size, leverage, industry characteristics, investor types, etc. And good financial accounting data disclosure will help to reduce risk level of firms. At micro level, cost and net sale factors will affect net profit while at macro levels, risk free rate and exchange rate will impact. According to Nikkei Asian Review, Vinamilk (VNM) is the only brand in F&B industry and the domestic industry leader which ranked 25th among 300 listed companies in the List of ASIA300 Power Performers. It leads the organic trend in milk industry and has made very positive contributions to the overall achievements of economic and social values. Good business management requires us to consider the impacts of multi macro and micro factors on net profit, both internal and external factors, and it contributes to promoting business plan and economic policies for economic growth and stabilizing business operation. By data collection method through statistics, analysis, synthesis, comparison, quantitative analysis to generate qualitative comments and discussion; using econometric method to perform regression equation and evaluate quantitative results, the article analyzed and evaluated the impacts of ten (10) macroeconomic factors such as: stock price, VNIndex, risk free rate, lending rate, cost, sale, inflation, GPD growth, S&P500, exchange rate, etc. on net profit of a leading milk listed company, Vinamilk (VNM) in Vietnam in the 10-year period of 2010-2019, both positive and negative sides. From that regression model and analysis, it will draw leadership features, strengths of this industrial leader. The results of quantitative research, in a ten factor model, show that the decrease in GDP growth and risk free rate, inflation and increase in net sale will have a significant effect and increase VNM net profit, with the highest impact coefficient, the second is decreasing cost. This research finding and recommended policy also can be used as reference in policy for F&B system in many developing countries.

THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION

2013 ◽  
Vol 16 (04) ◽  
pp. 1350022
Author(s):  
JIN E. ZHANG ◽  
SHOUJUN HUANG ◽  
TIECHENG LI
Keyword(s):  
Asymptotic Expansion ◽  
Singular Point ◽  
Stock Price ◽  
American Option ◽  
Payoff Function ◽  
Expiration Date ◽  
Dividend Yield ◽  
Risk Free Rate ◽  
Free Rate

In this paper, we study the intersection between the price of a European put and its payoff function. We derive asymptotic expansion formulas for the intersection near expiration date for three different cases of risk-free rate r and dividend yield q, i.e. r > q, r = q, and r < q. The comparison with those of the critical stock price of an American option enhances our understanding on the convergence of the asymptotic expansion near a singular point.

scholarly journals Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints

2021 ◽  
Author(s):  
Lei Shi ◽  
Yajun Xiao
Keyword(s):  
Stock Price ◽  
Borrowing Constraints ◽  
Joint Effect ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Borrowing Constraint ◽  
Risk Free Rate ◽  
Dynamic Asset Pricing ◽  
Free Rate ◽  
Two Equilibria

Abstract This paper studies the joint effect of borrowing and short-sale constraints under heterogeneous beliefs and risk aversions. Although the constraints never simultaneously bind in equilibrium, interesting economics emerge in the anticipatory effects of potentially future binding constraints. In particular, the risk-free rate and Sharpe ratio experience endogenous jumps at a critical state, where two equilibria coexist. Moreover, a short-sale ban can lead to a lower stock price and higher volatility depending on the relative tightness between the constraints, and tightening the borrowing constraint during a short-sale ban can also make returns more volatile.

SIMPLIFIED OPTION PRICING TECHNIQUES

2019 ◽  
Vol 14 (01) ◽  
pp. 1950003 ◽  
Author(s):  
MOAWIA ALGHALITH ◽  
CHRISTOS FLOROS ◽  
THOMAS POUFINAS
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Asset Price ◽  
Alternative Methods ◽  
Strike Price ◽  
Put Options ◽  
Simplifying Assumptions ◽  
Risk Free Rate ◽  
Increasing Function ◽  
Free Rate

In this paper we provide alternative methods for pricing European and American call and put options. Our contribution lies in the simplification attempted in the models developed. Such simplification is feasible due to our observation that the value of the option can be derived as a function of the underlying stock price, strike price and time to maturity. This route is supported by the fact that both the risk-free rate and the volatility of the stock are captured by the move of the underlying stock price. Moreover, looking at the properties of the Brownian motion, widely used to map the move of the stock price, we realize that volatility is well depicted by time. Last but not the least, the value of an option is an increasing function of both time and volatility. We find simplified option pricing formulas depending on the underlying asset (price and strike price) and the time to maturity only. We test our formulas against the S&P 500 index options; the advantage of the approach is that less simplifying assumptions are needed and much simpler methods are produced. We provide alternative formulas for pricing European- and American-type options.

scholarly journals Factors that affect Stock Price and Beta CAPM of Vietnam Banks and Enhancing Management Information System – Case of Asia Commercial Bank

2021 ◽  
Vol 11 (2) ◽  
pp. 302-308
Author(s):  
Dinh Tran Ngoc Huy ◽  
Nguyen Thi Hang
Keyword(s):  
Information System ◽  
Commercial Bank ◽  
Management Information System ◽  
Stock Price ◽  
Quantitative Methods ◽  
Banking Sector ◽  
Management Strategies ◽  
Management Information ◽  
Risk Free Rate ◽  
Free Rate

This paper aims to improve Risk management information system (RMIS) that is becoming an important element in MIS system of banking sector in Vietnam in recent years and in future. This study mainly use combination of quantitative methods including OLS regression for the case of Asia Commercial Bank (ACB). Research results indicate that GDP growth (G), CPI and Risk free rate (Rf) have highest effects on both ACB beta CAPM and stock price. Besides, this study also give out recommendations for enhancing management information system (MIS) for upgrading roles of banks in Vietnam economic development. Then, we can suggest suitable plans for sustainable management strategies. Our research limitation is within bank sector, then we can expand for other industries and markets as well.

scholarly journals Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

2012 ◽  
Vol 3 (3) ◽  
pp. 29-42
Author(s):  
Javed Bin Kamal
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Rate Of Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Price Bubble ◽  
Ex Ante ◽  
Risk Free Rate ◽  
Free Rate

The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange) as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates a unique cut off point (cut off rate of return) and selects stocks having excess of their expected return over risk-free rate of return surpassing this cut-off point. Here, risk free rate considered to be 8.5% per annum (Treasury bill rate in 2009). Percentage of an investment in each of the selected stocks is then decided on the basis of respective weights assigned to each stock depending on respective ‘β’ value, stock movement variance representing unsystematic risk, return on stock and risk free return vis-à-vis the cut off rate of return. Interestingly, most of the stocks selected turned out to be bank stocks. Again we went for single index model applied to same stocks those made to the optimum portfolio in ex ante stock price bubble scenario considering data for the period of January 2010 to June 2012. We found that all stocks failed to make the pass Single Index Model criteria i.e. excess return over beta must be higher than the risk free rate. Here for the period of 2010 to 2012, the risk free rate considered to be 11.5 % per annum (Treasury bill rate during 2012).

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