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

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

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

Volume/Issue: 2005/78

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

ISBN: 9781451860979

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...

Operational Risk

Operational Risk »

Source: Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose

Volume/Issue: 2007/239

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451868036

Keywords: financial regulation, Basel Committee, Basel II, New Basel Capital Accord, extreme value theory, generalized extreme value (GEV) distribution, extreme value theory (EVT), generalized Pareto distribution (GPD), peak-over-threshold (POT) method, g-and-h distribution

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...

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

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

Volume/Issue: 2005/78

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

DOI: http://dx.doi.org/10.5089/9781451860979.001

ISBN: 9781451860979

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...

Operational Risk
			: The Sting is Still in the Tail But the Poison Dependson the Dose

Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose »

Volume/Issue: 2007/239

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

DOI: http://dx.doi.org/10.5089/9781451868036.001

ISBN: 9781451868036

Keywords: financial regulation, Basel Committee, Basel II, New Basel Capital Accord, extreme value theory, generalized extreme value (GEV) distribution, extreme value theory (EVT), generalized Pareto distribution (GPD), peak-over-threshold (POT) method, g-and-h distribution

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...