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

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dc.contributor.authorAisyah A. Rahman
dc.contributor.authorAhamed Kameel Mydin Meera
dc.contributor.authorMansor H. Ibrahim
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:53Z
dc.date.disclosure2016-06-10
dc.date.issued2010
dc.description.abstractThis 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.
dc.identifier.citationRahman, A. A., Ibrahim, M. H., & Meera, A. K. M. (2010). Lending structure and 3-factor CAPM risk exposures: the case of Malaysia. Jurnal Pengurusan, 31(1), pp. 29-41.
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1472
dc.languageEnglish
dc.language.isoeng
dc.publisherUKM
dc.rights2010. UKM
dc.sourceCRP
dc.subjectBanking
dc.subjectCapital asset pricing model (CAPM)
dc.subjectLending structure
dc.subjectRisk management
dc.titleLending structure and 3-factor CAPM risk exposures: the case of Malaysia
dc.title.subtitleStruktur pinjaman dan pendedahan risiko bagi 3-faktor CAPM: kajian kes di Malaysia
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicBanking
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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