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


  • Amadou N Sy


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.

Suggested Citation

  • Amadou N Sy, 2005. "Managing the Interest Rate Risk of Indian Banks’ Government Securities Holdings," IMF Working Papers 05/78, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:05/78

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    References listed on IDEAS

    1. International Monetary Fund, 2004. "Interest Rate Volatility and Risk in Indian Banking," IMF Working Papers 04/17, International Monetary Fund.
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    Cited by:

    1. Udaibir S Das & Jay Surti & Faisal Ahmed & Michael G. Papaioannou & Guilherme Pedras, 2010. "Managing Public Debt and Its Financial Stability Implications," IMF Working Papers 10/280, International Monetary Fund.
    2. Halil Ibrahim Aydin & Cafer Kaplan & Mehtap Kesriyeli & Erdal Ozmen & Cihan Yalcin & Serkan Yigit, 2006. "Corporate Sector Financial Structure in Turkey : A Descriptive Analysis," Working Papers 0607, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.


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