Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA

Over the last years the Vietnamese banking system has been struggling to restructure, reform governance, consolidate financial statements and build up merge and acquisition, in line with international standards. The Bank for International Settlements (BIS) proposed BASEL III in 2010, whereby banks m...

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Autores principales:	Phuong Anh Nguyen, Bich Le Tran, Michel Simioni
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	econometrics banking investment & securities risk management Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/67e8284e57a1499f8dc5d5a2f03d2e2b
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spelling	oai:doaj.org-article:67e8284e57a1499f8dc5d5a2f03d2e2b2021-12-02T19:08:01ZOptimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA2331-197510.1080/23311975.2020.1870796https://doaj.org/article/67e8284e57a1499f8dc5d5a2f03d2e2b2021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2020.1870796https://doaj.org/toc/2331-1975Over the last years the Vietnamese banking system has been struggling to restructure, reform governance, consolidate financial statements and build up merge and acquisition, in line with international standards. The Bank for International Settlements (BIS) proposed BASEL III in 2010, whereby banks must increase their minimum Capital Adequacy Ratios (CAR) year by year with a goal of 10.5% by 2019. The objective of this paper is to address the questions: (1) what are the optimal CAR levels for Vietnamese Commercial Banks (2) whether the minimum required CARs stipulated in the Basel II and III are reasonable for Vietnam banking system? The data set consists of a sample of Vietnamese commercial banks over the six-year period from 2010 to 2015. The optimal CARs of banks are calculated using the nonparametric two-stage Data Envelopment Analysis (DEA) model, with two inputs: fixed assets, employee expense and two outputs: interest income, non-interest income. The findings indicate that 92.4% of the banks have the optimal CAR higher than the minimum ratio 10.5% defined in BASEL III. Moreover, 57.98% of the banks should raise their current level of CAR to reach their optimal ones. To conclude, this paper will provide a guideline for Vietnamese banks to decide their optimal CAR to reach the efficiency frontier.Phuong Anh NguyenBich Le TranMichel SimioniTaylor & Francis Grouparticleeconometricsbankinginvestment & securitiesrisk managementBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 8, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	econometrics banking investment & securities risk management Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	econometrics banking investment & securities risk management Business HF5001-6182 Management. Industrial management HD28-70 Phuong Anh Nguyen Bich Le Tran Michel Simioni Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA
description	Over the last years the Vietnamese banking system has been struggling to restructure, reform governance, consolidate financial statements and build up merge and acquisition, in line with international standards. The Bank for International Settlements (BIS) proposed BASEL III in 2010, whereby banks must increase their minimum Capital Adequacy Ratios (CAR) year by year with a goal of 10.5% by 2019. The objective of this paper is to address the questions: (1) what are the optimal CAR levels for Vietnamese Commercial Banks (2) whether the minimum required CARs stipulated in the Basel II and III are reasonable for Vietnam banking system? The data set consists of a sample of Vietnamese commercial banks over the six-year period from 2010 to 2015. The optimal CARs of banks are calculated using the nonparametric two-stage Data Envelopment Analysis (DEA) model, with two inputs: fixed assets, employee expense and two outputs: interest income, non-interest income. The findings indicate that 92.4% of the banks have the optimal CAR higher than the minimum ratio 10.5% defined in BASEL III. Moreover, 57.98% of the banks should raise their current level of CAR to reach their optimal ones. To conclude, this paper will provide a guideline for Vietnamese banks to decide their optimal CAR to reach the efficiency frontier.
format	article
author	Phuong Anh Nguyen Bich Le Tran Michel Simioni
author_facet	Phuong Anh Nguyen Bich Le Tran Michel Simioni
author_sort	Phuong Anh Nguyen
title	Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA
title_short	Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA
title_full	Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA
title_fullStr	Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA
title_full_unstemmed	Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA
title_sort	optimal capital adequacy ratio: an investigation of vietnamese commercial banks using two-stage dea
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/67e8284e57a1499f8dc5d5a2f03d2e2b
work_keys_str_mv	AT phuonganhnguyen optimalcapitaladequacyratioaninvestigationofvietnamesecommercialbanksusingtwostagedea AT bichletran optimalcapitaladequacyratioaninvestigationofvietnamesecommercialbanksusingtwostagedea AT michelsimioni optimalcapitaladequacyratioaninvestigationofvietnamesecommercialbanksusingtwostagedea
_version_	1718377153867808768

Optimal capital adequacy ratio: An investigation of Vietnamese commercial banks using two-stage DEA

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