Interest Rate Volatility and Risk in Indian Banking

International Monetary Fund

No 2004/017, IMF Working Papers from International Monetary Fund

Abstract: The easing of controls on interest rates has led to higher interest rate volatility in India. Hence, there is a need to measure and monitor the interest rate exposure of Indian banks. Using publicly available information, this paper attempts to assess the interest rate risk carried by a sample of Indian banks in March 2002. We find evidence of substantial exposure to interest rates.

Keywords: WP; interest rate risk; bank asset; equity capital; banks in India; exposure of bank; Interest volatility; risk; Indian banks; interest rate volatility; interest rate derivative; interest rate shock; volatility setting; risk measurement; interest rate risk exposure; risk exposure; risk of a bank; affecting interest rate risk; Market risk; Yield curve; Sovereign bonds; Currencies; Stocks; Africa (search for similar items in EconPapers)
Pages: 28
Date: 2004-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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