Managing the interest rate risk of Indian banks' government securities holdings
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Author
Contributions
- International Monetary Fund. Monetary and Financial Systems Dept. - Contributor
Publication
2005 - International Monetary Fund, Monetary and Financial Systems Dept., Washington, D.C, District of Columbia
Language
English
Word Count
4,250 words, Guess
Page Count
17 pages
Identifiers
- Better World Books9781451906332
- Better World Books9781451860979
- Better World Books9781452713847
- Open LibraryOL19852045M
Classifications
- LCCHG4715
Description
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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