Series: IMF Working Papers
Author(s): Amadou Sy
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2005
Keywords: interest rate, duration, value-at-risk, capital adequacy, holdings of government securities, government securities holdings, capital adequacy ratio, General Financial Markets: Government Policy and Regulation,
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 an...