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)

Aisyah Abdul Rahman
Mansor H. Ibrahim
Ahamed Kameel Mydin Meera

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.

ABSTRAK
Kajian ini melihat hubungan antara struktur pinjaman dengan risiko bank menggunakan pendekatan Model
Peletakan Harga Aset Modal (CAPM). Berdasarkan 3-faktor CAPM, lima jenis risiko telah dikaji; iaitu, risiko pasaran, risiko kadar faedah, risiko kadar tukaran asing, risiko sistematik dan risiko keseluruhan. Kesan pengaruh struktur pinjaman terhadap risiko dikaji menggunakan empat ukuran, iaitu pinjaman kepada sektor hartanah, indeks konsentrasi, kestabilan struktur pinjaman bagi jangka pendek dan kestabilan struktur pinjaman bagi jangka masa sederhana. Hasil kajian mendapati bahawa struktur pinjaman mempengaruhi risiko pasaran, risiko kadar faedah dan risiko sistematik. Kestabilan struktur pinjaman bagi jangka pendek dan jangka sederhana mempengaruhi risiko pasaran dan risiko kadar faedah secara positif. Manakala, kestabilan struktur pinjaman jangka sederhana mempengaruhi risiko sistematik secara songsang. Oleh itu, para penggubal polisi, pengurus sektor perbankan dan pelabur seharusnya mengambil kira kepentingan peranan struktur pinjaman dalam membangunkan kerangka strategik bagi pengurusan risiko bank.

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