Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)

This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lendin...

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Main Authors:	Abdul Rahman, Aisyah, Ibrahim, Mansor, Mydin Meera, Ahamed Kameel
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2010
Subjects:	HJ Public Finance
Online Access:	http://irep.iium.edu.my/16767/ http://irep.iium.edu.my/16767/ http://irep.iium.edu.my/16767/1/lending_structure_and_3-factor.pdf

id	iium-16767
recordtype	eprints
spelling	iium-167672012-04-17T00:28:09Z http://irep.iium.edu.my/16767/ Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia) Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel HJ Public Finance This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lending structure is analysed via four measures, the real estate lending, the specialisation index, the short-term lending stability, and the medium-term lending stability. Our findings show that the lending structure affects the market, interest rate, and unsystematic risk exposures. The stability of lending structure in both the short-term and medium-term period positively influence the market and interest rate risk exposure. On the other hand, the medium-term lending structure stability negatively affects the unsystematic risk exposure. Thus, the policy makers, bankers, and investors should not ignore the significant role of the lending structure when developing a strategic risk management framework. Universiti Kebangsaan Malaysia 2010-12 Article PeerReviewed application/pdf en http://irep.iium.edu.my/16767/1/lending_structure_and_3-factor.pdf Abdul Rahman, Aisyah and Ibrahim, Mansor and Mydin Meera, Ahamed Kameel (2010) Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia). Jurnal Pengurusan, 31. pp. 29-41. ISSN 0127-2713 http://www.ukm.my/penerbit/jurnal_pdf/jurus_pdf/jp31-03-lock.pdf
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HJ Public Finance
spellingShingle	HJ Public Finance Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)
description	This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lending structure is analysed via four measures, the real estate lending, the specialisation index, the short-term lending stability, and the medium-term lending stability. Our findings show that the lending structure affects the market, interest rate, and unsystematic risk exposures. The stability of lending structure in both the short-term and medium-term period positively influence the market and interest rate risk exposure. On the other hand, the medium-term lending structure stability negatively affects the unsystematic risk exposure. Thus, the policy makers, bankers, and investors should not ignore the significant role of the lending structure when developing a strategic risk management framework.
format	Article
author	Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel
author_facet	Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel
author_sort	Abdul Rahman, Aisyah
title	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)
title_short	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)
title_full	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)
title_fullStr	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)
title_full_unstemmed	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)
title_sort	lending structure and 3-factor capm risk exposures: the case of malaysia (struktur pinjaman dan pendedahan risiko bagi 3-faktor capm: kajian kes di malaysia)
publisher	Universiti Kebangsaan Malaysia
publishDate	2010
url	http://irep.iium.edu.my/16767/ http://irep.iium.edu.my/16767/ http://irep.iium.edu.my/16767/1/lending_structure_and_3-factor.pdf
first_indexed	2023-09-18T20:25:30Z
last_indexed	2023-09-18T20:25:30Z
_version_	1777408389294325760

Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)

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