Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings

Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings
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... READ MORE...

Publication date: April 2005
ISBN 9781451860979
$15.00

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