Interest Rate Volatility and Risk in Indian Banking

January 1, 2004

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.

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

Keywords: affecting interest rate risk, Africa, bank asset, banks in India, Currencies, equity capital, exposure of bank, Indian banks, interest rate derivative, interest rate risk, interest rate risk exposure, interest rate shock, interest rate volatility, Interest volatility, Market risk, risk, risk exposure, risk measurement, risk of a bank, Sovereign bonds, Stocks, volatility setting, WP, Yield curve

Pages:
28
Volume:
2004
DOI:
https://doi.org/10.5089/9781451843569.001
Issue:
017
Series:
Working Paper No. 2004/017
Stock No:
WPIEA0172004
ISBN:
9781451843569
ISSN:
1018-5941

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