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

School of Business Management
Faculty of Economics and Business
Universiti Kebangsaan Malaysia
43600 UKM Bangi
Malaysia

eychah@ukm.my



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.

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Citation

Abdul-Rahman, A. A., H. Ibrahim, M., & Mydin Meera, A. K. (2010). Lending Structure and 3-Factor CAPM Risk Exposures: The Case of Malaysia. Jurnal Pengurusan, 31, 29–41.

@article{abdulrahman2010lending,
  title={Lending Structure and 3-Factor CAPM Risk Exposures: The Case of Malaysia},
  author={Abdul-Rahman, Aisyah and H. Ibrahim, Mansor and Mydin Meera, Ahamed Kameel},
  journal={Jurnal Pengurusan},
 

volume={31},
  number={},
  pages={29—41},
  year={2010},
  doi={},
  publisher={Penerbit UKM},
}

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31 (2010) 29 – 41

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