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...

Full description

Saved in:
Bibliographic Details
Main Authors: Abdul Rahman, Aisyah, Ibrahim, Mansor, Mydin Meera, Ahamed Kameel
Format: Article
Language:English
Published: Universiti Kebangsaan Malaysia 2010
Subjects:
Online Access: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
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.iium.irep.16767
record_format dspace
spelling 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
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HJ Public Finance
spellingShingle 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)
description 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
_version_ 1705056439948541952
score 13.211869