Lending structure and 3-factor CAPM risk exposures

The case of Malaysia

Aisyah Abdul Rahman, Mansor H. Ibrahim, Ahamed Kameel Mydin Meera

Research output: Contribution to journalArticle

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.

Original languageEnglish
Pages (from-to)29-41
Number of pages13
JournalJurnal Pengurusan
Volume31
Publication statusPublished - Dec 2010

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Factors
Model risk
Lending
Risk exposure
Malaysia
Capital asset pricing model
Interest rates
Bankers
Politicians
Real estate
Risk measures
Linkage
Interest rate risk
Strategic risk
Investors
Risk management
Bank risk
Exchange rates

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Accounting
  • Business and International Management

Cite this

Lending structure and 3-factor CAPM risk exposures : The case of Malaysia. / Abdul Rahman, Aisyah; Ibrahim, Mansor H.; Meera, Ahamed Kameel Mydin.

In: Jurnal Pengurusan, Vol. 31, 12.2010, p. 29-41.

Research output: Contribution to journalArticle

Abdul Rahman, Aisyah ; Ibrahim, Mansor H. ; Meera, Ahamed Kameel Mydin. / Lending structure and 3-factor CAPM risk exposures : The case of Malaysia. In: Jurnal Pengurusan. 2010 ; Vol. 31. pp. 29-41.
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