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Managing the Interest Rate Risk of Indian Banks’ Government Securities Holdings
Company: International Monetary Fund
Company Url: Click here to open
Year Of Publication: 2005
Month Of Publication: April
Pages: 18
Download Count: 409
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 1-21-2007
Publisher: Administrator
The large holdings of government securities by banks in India draw attention to their risk asinterest rates are at historical low levels. This paper measures such a risk using duration andvalue-at-risk methods and assesses its current management by banks. The main finding is thatsome public sector and old private banks are vulnerable to a reversal of the interest ratecycle, while foreign and new private banks have built adequate defenses. In this regard, thepaper makes a number of recommendations regarding government policies and individualbank practices to manage interest rate risk.
Sy, Amadou Sign in to follow this author
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