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What is Interest Rate Risk in Indian Banks about?
This document analyzes the interest rate risk exposures of major Indian banks as of March 31, 2002 using two methodologies. First, it estimates the impact on equity capital of banks from interest rate shocks using accounting data on asset and liability cash flows. Second, it measures the elasticity of bank stock prices to interest rate fluctuations. The results found that roughly two-thirds of banks could gain or lose over 25% of equity from a 320 basis point interest rate move. Additionally, around one-thi
- Author
- Suman Marathe
- Language
- EN