Interest Rate Volatility and Risk in Indian Banking
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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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