Lending structure and 3-factor CAPM risk exposures: the case of 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:	Aisyah Abdul Rahman, Mansor H. Ibrahim, Ahamed Kameel Mydin Meera
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2010
Online Access:	http://journalarticle.ukm.my/1769/ http://journalarticle.ukm.my/1769/ http://journalarticle.ukm.my/1769/1/324-600-1-SM.pdf

id	ukm-1769
recordtype	eprints
spelling	ukm-17692016-12-14T06:30:12Z http://journalarticle.ukm.my/1769/ Lending structure and 3-factor CAPM risk exposures: the case of Malaysia Aisyah Abdul Rahman, Mansor H. Ibrahim, Ahamed Kameel Mydin Meera, 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 Penerbit Universiti Kebangsaan Malaysia 2010-12 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1769/1/324-600-1-SM.pdf Aisyah Abdul Rahman, and Mansor H. Ibrahim, and Ahamed Kameel Mydin Meera, (2010) Lending structure and 3-factor CAPM risk exposures: the case of Malaysia. Jurnal Pengurusan, 31 . ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
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	Aisyah Abdul Rahman, Mansor H. Ibrahim, Ahamed Kameel Mydin Meera,
spellingShingle	Aisyah Abdul Rahman, Mansor H. Ibrahim, Ahamed Kameel Mydin Meera, Lending structure and 3-factor CAPM risk exposures: the case of Malaysia
author_facet	Aisyah Abdul Rahman, Mansor H. Ibrahim, Ahamed Kameel Mydin Meera,
author_sort	Aisyah Abdul Rahman,
title	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia
title_short	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia
title_full	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia
title_fullStr	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia
title_full_unstemmed	Lending structure and 3-factor CAPM risk exposures: the case of Malaysia
title_sort	lending structure and 3-factor capm risk exposures: the case of malaysia
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2010
url	http://journalarticle.ukm.my/1769/ http://journalarticle.ukm.my/1769/ http://journalarticle.ukm.my/1769/1/324-600-1-SM.pdf
first_indexed	2023-09-18T19:34:16Z
last_indexed	2023-09-18T19:34:16Z
_version_	1777405165938147328

Lending structure and 3-factor CAPM risk exposures: the case of Malaysia

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