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All Journal Jurnal Keuangan dan Perbankan Bulletin of Electrical Engineering and Informatics
Nguyen, Trung Duc
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Economics, Econometrics & Finance Electrical & Electronics Engineering

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The Safety Threshold of Vietnam's Banks During Covid-19 Xuan, Pham Thi Thanh; Nguyen, Trung Duc; Tin, Ho Huu; Huyen, Le Thi Thanh
Jurnal Keuangan dan Perbankan Vol 25, No 4 (2021): October 2021
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v25i4.5929

Abstract

Using the stress test, we measured the Comercial banks' withstand under pressure caused by the outbreak of COVID-19, which led to a freeze of the real estate market, a fall of the stock market, and an increase of non-performing loans (NPLs). The findings show positive and hopeful signs. Even though the real estate and stock markets fell by 40%, resulting in a significant devaluation of the banks' loan collaterals, banks do not need to supplement provisions for credit risk. The high number of NPLs, which lead to increased provisioning, erodes net earnings, reducing the capital adequacy ratio (CAR). Banks can still meet both the 9% minimum CAR requirement and the 3% maximum NPL requirement. The study also identifies the maximum safety threshold of the Vietnamese banking system, which averaged up to a 50% increase in NPLs. Two of the country's top 10 banks are even able to maintain a CAR greater than 9% and an NPL ratio below 3%, although NPLs increase to 450% and 215% compared to these before the shock, respectively.JEL: E50, G21
Multi-objective optimization for algorithmic trading in the Vietnamese stock market Nguyen, Trung Duc; Nguyen, Nhat Minh; Tran, Minh
Bulletin of Electrical Engineering and Informatics Vol 14, No 4: August 2025
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/eei.v14i4.9288

Abstract

This study aims to optimize algorithmic trading strategies using the relative strength index (RSI) and the moving average convergence divergence (MACD) indicators in the Vietnamese stock market. An automated trading system is constructed to optimize indicator parameters using multi-objective particle swarm optimization (PSO) over three objective functions: total return, win rate, and number of trades. The system employs simultaneous optimization of parameters and signal aggregation for developing the optimal selection strategy. Based on daily Vietnam index data from 2018 to 2024, the results show that the PSO method surpasses the differential evolution (DE) method in both returns and execution time. Additionally, the optimal selection strategy achieves superior performance compared to benchmark strategies. It also demonstrates the ability to adapt to the preferences of traders by selecting appropriate indicators. Traders can use the MACD indicator to seek higher profits, while the RSI indicator is more suitable for minimizing transaction costs in a volatile market.
Co-Authors Huyen, Le Thi Thanh Nguyen, Nhat Minh Tin, Ho Huu Tran, Minh Xuan, Pham Thi Thanh