Interest Rate Volatility and Risk in Indian Banking

Publication Date:

January 1, 2004

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 2004/017

Subject:

Banking Currencies Financial institutions Financial regulation and supervision Financial services Market risk Money Sovereign bonds Stocks Yield curve

English

Publication Date:

January 1, 2004

ISBN/ISSN:

9781451843569/1018-5941

Stock No:

WPIEA0172004

Pages:

28

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