Jurnal Pengurusan · 2010 · Vol 31, pp. 29-41

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)

Aisyah Abdul Rahman · Mansor Ibrahim · Ahamed Kameel Mydin Meera

Abstract

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.

Journal article. Jurnal Pengurusan, 31, pp. 29-41, 2010

Repository record

Keywords: 3-factor CAPM

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Cite this paper

APA
Rahman, A.A., Ibrahim, M., & Meera, A.K.M. (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, 29–41.
Chicago
Rahman, A.A., Mansor Ibrahim, and Ahamed Kameel Mydin Meera. 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: 29–41.
BibTeX
@article{meera2010lending,
  author   = {Aisyah Abdul Rahman and Mansor Ibrahim and Ahamed Kameel Mydin Meera},
  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)},
  journal  = {Jurnal Pengurusan},
  year     = {2010},
  volume   = {31},
  pages    = {29--41},
  url      = {https://ahamedkameel.com/papers/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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