Duration Approach to Measure Bank’s Risks

Kapil Sharma

The IUP Journal of Bank Management, 2005, vol. IV, issue 4, 38-42

Abstract: This paper makes an attempt to measure the risks of a bank using the duration gap measure approach, known as “duration ratio”, which measures the duration gap between assets and liabilities of a bank. Duration gap can be considered to be a much better approach to measure a bank’s risks, as it not only captures the effect of interest rate changes but also that of other shocks like market risk and exchange rate risk. As many as 16 Indian public sector banks have been examined for their risk management by using duration ratios. Data of assets and liabilities and interest income and expenses of these 16 public sector Indian banks were collected for the year ending March 31, 2004 for the analysis

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjbm:v:04:y:2005:i:4:p:38-42

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