Bank Risk-Taking and Market Risk: An Evidence of the Vietnamese Stock Market

Abstract: This article analyzes the relationship between bank risk-taking and market risk in the Vietnamese banking industry. The research methodology in the context is based on the evaluation formula of Modigliani and Miller to calculate the market return with equilibrium price, and then determine the response of bank risk-taking to market risk. The model uses data from banks listed on the Stock Exchange of Ho Chi Minh City to consider a key relationship between bank risk-taking and market risk and the result is that the uptrend of market return with equilibrium price is the response to bank risk-taking, and the breakdown uptrend of market return to formulate market
risk leads to insolvency risk of Vietnamese commercial banks.

Keywords: bank risk-taking, market risk, market return with equilibrium