Managing Interest Rate Risk： An Evaluation of Indian Banks
Managing Interest Rate Risk： An Evaluation of Indian Banks作者机构：Asan College of Arts and Science Chennai India
出 版 物：《Economics World》 (经济世界（英文版）)
年 卷 期：2014年第2卷第4期
页 面：265-271页
学科分类：02[经济学] 0202[经济学-应用经济学] 03[法学] 0302[法学-政治学] 020206[经济学-国际贸易学] 030206[法学-国际政治] 020202[经济学-区域经济学]
主 题：asset quality balance sheet risk derivatives financial inclusion net asset margin interest income liquidity interest rate risk (IRR)
摘 要：Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, .mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. It is essential that banks have to monitor, maintain, and manage their assets and liabilities portfolios in a systematic manner taking into account the various risks involved in these areas. Balance sheet risk of a bank can be categorized into two major types of significant risks, which are liquidity risk and interest rate risk （IRR）. IRR is the risk to earning of capital arising from movement of interest rates. The need to manage IRR in Indian banks arises from movement of interest rates. The areas not much considered in the earlier research work are to manage IRR which influences critically the overall profitability of banks. The study was taken with an objective of analyzing the determinants of IRR and examining the strategy to manage such exposures testing the banks long run sustainability. The study had chosen 45 banks and collected secondary data for the financial year 2007 to 2012 to do the analysis of IRR management. The findings of the study were to suggest the ways to minimize the IRR and control its effect on the banks profit. The other findings were to test impact of IRR on the sustainability of the bank.
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