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The large holdings of government securities by banks in India draw attention to their risk as interest rates are at historical low levels. This paper measures such a risk using duration and value-at-risk methods and assesses its current management by banks. The main finding is that some public sector and old private banks are vulnerable to a reversal of the interest rate cycle, while foreign and new private banks have built adequate defenses. In this regard, the paper makes a number of recommendations regarding government policies and individual bank practices to manage interest rate risk.
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Managing the interest rate risk of Indian banks' government securities holdings
2005, International Monetary Fund, Monetary and Financial Systems Dept.
in English
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Book Details
Edition Notes
"April 2005."
Includes bibliographical references (p. 14).
Also available on the World Wide Web.
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