Managing the interest rate risk of Indian banks' government securities holdings
By: prepared by Amadou Sy.
Contributors: International Monetary Fund. Monetary and Financial Systems Dept.
Series: IMF working paper -- WP/05/78
Publisher: International Monetary Fund, Monetary and Financial Systems Dept.
Published: 2005
Place of publication: Washington, D.C
Language: eng
Number of pages: 17
Subjects: Government securities -- India.; Bank investments -- India.; Interest rate risk -- India.; Banks and banking -- India.
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.
Notes: "April 2005."

Includes bibliographical references (p. 14).

Also available on the World Wide Web.