Lending Structure and 3-Factor CAPM Risk Exposures: the Case of 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 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