Summary of doctoral dissertatio: Market risk management at Vietnam joint stock commercial bank for industry and trade

On the basis of clarifying the general theoretical issues about market risk, methods of identifying, measuring and controlling market risk, thesis proposed solutions to improving market risk management ability at Vietnam Joint Stock Commercial Bank for Industry and Trade in accordance with international practices.
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Summary of doctoral dissertatio: Market risk management at Vietnam joint stock commercial bank for industry and tradeMINISTRY OF EDUCATION THE STATE BANK OF AND TRAINING VIETNMAM THE BANKING ACADEMY HOANG XUAN PHONG HOANG XUAN PHONG MARKET RISK MANAGEMENTAT VIETNAM JOINT STOCK COMMERCIAL BANK FOR INDUSTRY AND TRADE FIELD OF RESEARCH: FINANCE – BANKING CODE: 62.34.02.01 SUMMARY OF DOCTORAL DISSERTATION HA NOI - 2014The dissertation is completed at: The Banking Academy Instructors: 1. Assoc. Prof., PhD. To Ngoc Hung 2. PhD. Hoang Viet Trung Opponent 1: Opponent 2: Opponent 3: The doctoral dissertation has been defended to the institutionallevel Jury at The Banking Academy At: …………..of………April 2014 The thesis can be found at the library of The Banking Academyand National Library of Vietnam.3 INTRODUCTION1. The necessity of the project After the access into the World Trade Organization (WTO), theintegration degree of Vietnam into the global economy has becomeincreasingly deep and wide. The world integration can bring to the banksin Vietnam with opportunities to learn, to acquire administrationexperiences as well as make full use of advanced technologies, todiversify products and services from countries with developedeconomies. However, the integration also raises many difficulties andchallenges, of which the incalculable challenge for local banks is theforce of risks in the business together with increasingly complex marketfactors, which have been liberated and appear more and more complexnatures. It is because that: the higher the diversification of banking andfinancial products, the more the risk level is growing; the financialenvironment has changed constantly and is hard to be controlled and thisis very likely to cause the domino reaction. Meanwhile, Vietnamscommercial banks have still lacked practical experiences, been perplexedin operating and controlling the activities of currency trading. Therefore,in parallel with the comprehensive development goals, the good marketrisk management to create a stable business environment is now a greatpressure over all commercial banks in Vietnam. In that context, studying and managing the market risk to minimizethe losses for commercial banks is a very important issue with theoreticaland practical pressing significance both on the global level and in eachcountry. From the late 2002, to further enhance the tolerance ofcommercial banks against bad situations in business operations, as wellas to ensure the safety of the system, the Commission on BankingSupervision headquartered in Basel has issued regulations to standardizethe market risk management. Since then now, the tools and methods of4quantifying the values with market risks have been improved andcontinuously invested. In recent years, Vietnam Joint Stock Commercial Bank for Industryand Trade has adopted a number of policies on minimizing the marketrisks in order to be able to stand strongly in the competition anddetermined to implement its strategies of building Vietnam Joint StockCommercial Bank for Industry and Trade into a powerful financialconglomerate of Vietnam, the region and the world. However, under thecurrent volatile economic environment conditions, interest rates andexchange rates..., which have been changing constantly andunpredictably at various times, have brought considerable damages to thebank. Also, due to lacking experiences, comprehensive views, socio-economic conditions, and the application of market risk managementstandards in accordance with current international standards intoactivities of the commercial banks in Vietnam in general and of VietnamJoint Stock Commercial Bank for Industry and Trade in particular is avery difficult issue and should be further discussed and clarified. From the theoretical and practical issues, I have choose theproject titled: “ Market risk management at Vietnam Joint StockCommercial Bank for Industry and Trade” in order to study anddefend my doctoral dissertation.2. Research situation So far, there have been many scientific research projects regardingthe risk management at commercial banks such as Hennie van Greuingand Sonia Brajovic Bratanovic with the research named “ANALYZINGAND MANAGING BANKING RISK” 2003. In their research, authorshave mainly demonstrated the method of quantifying the market riskswith the Value At Risk (VAR) techniques. Methods of calculating VARinclude: Historical Method, The Variance-Covariance Method andMonte Carlo Simulation. Currently, there has been no project on the in-5depth research of this issue in Vietnam, however, it should mention themaster thesis of Du Thi Minh “Managing exchange rate risk in forextrading operations at Military Bank-Actual situations and solutions”,2012, The Banking Academy; “Solutions to managing interest rate riskat Vietnam Bank for Agriculture and Rural Development” – the economicdoctoral dissertation of the author Do Thi Kim Hao-2005. In general, researches on market risk management at commercialbanks in a comprehensive manner is very limited. The sector-levelscientific research project on Methods of managing market risk atcommercial banks in Vietnam, PhD. Pham Huy Hung coded KNH2008-02, 2010 is one of the most comprehensive research projects to date onthe contents of market risk management in Vietnam. However, researchobjectives of the project focus on several methods of quantifying marketrisk and applying the above methods of quantifying for the commercialbank system in Vietnam. Most of research projects in Vietnam have not yet accessed to thecomprehensive market risk management ...