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)
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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Universiti Kebangsaan Malaysia
2010
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my.iium.irep.167672021-07-03T15:58:02Z http://irep.iium.edu.my/16767/ 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) Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel HJ Public Finance 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. Universiti Kebangsaan Malaysia 2010-12 Article PeerReviewed application/pdf en http://irep.iium.edu.my/16767/1/lending_structure_and_3-factor.pdf Abdul Rahman, Aisyah and Ibrahim, Mansor and Mydin Meera, Ahamed Kameel (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. pp. 29-41. ISSN 0127-2713 http://www.ukm.my/penerbit/jurnal_pdf/jurus_pdf/jp31-03-lock.pdf |
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HJ Public Finance Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel 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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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 |
Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel |
author_facet |
Abdul Rahman, Aisyah Ibrahim, Mansor Mydin Meera, Ahamed Kameel |
author_sort |
Abdul Rahman, Aisyah |
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) |
title_short |
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) |
title_full |
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) |
title_fullStr |
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) |
title_full_unstemmed |
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) |
title_sort |
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) |
publisher |
Universiti Kebangsaan Malaysia |
publishDate |
2010 |
url |
http://irep.iium.edu.my/16767/1/lending_structure_and_3-factor.pdf http://irep.iium.edu.my/16767/ http://www.ukm.my/penerbit/jurnal_pdf/jurus_pdf/jp31-03-lock.pdf |
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1705056439948541952 |
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13.211869 |