Interest rate risk management by EME banks

Julián Caballero, Alexis Maurin, Philip Wooldridge and Fan Dora Xia

BIS Quarterly Review, 2023

Abstract: Banks' management of interest rate risk depends on their business model as well as the environment in which they operate. In comparison with banks in many advanced economies, banks in emerging market economies (EMEs) make less use of interest rate derivatives. Instead, they mitigate the impact of rate changes on their net interest income by minimising repricing gaps between assets and liabilities. The management of interest rate risk might become more challenging with the expansion of EME banks' securities holdings.

JEL-codes: E52 G18 (search for similar items in EconPapers)
Date: 2023
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