Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/20883
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dc.contributor.advisorRam Mohan, T. T.
dc.contributor.authorMaitra, Barnik Chitran
dc.contributor.authorFulfagar, Manoj
dc.date.accessioned2018-07-11T05:55:42Z
dc.date.available2018-07-11T05:55:42Z
dc.date.copyright2004
dc.date.issued2004
dc.identifier.urihttp://hdl.handle.net/11718/20883
dc.description.abstractThis paper primarily looks at the interest rate exposure of various financial Institutions using a methodology suggested by Ajay Shah. More importantly it critically assesses the proposed methodology stress testing many of the assumptions and looking at the validity of a lot of considerations. A case study of Union Bank of India is also studied comparing the methodology adopted by them and the framework proposed by Ajay Shah. An important premise of the framework studied is that information available in the public domain is sufficient to quantify the interest rate risk of banks. However the maturity patterns of the long portion of the current and savings accounts of the banks have a significant impact on the results and conclusions got on interest rate risk is already hedged. In this context the assumption of no interest rate derivative usage puts the results on a weak footing.en_US
dc.language.isoenen_US
dc.publisherIndian Institute of Management Ahmedabaden_US
dc.relation.ispartofseriesSP;001080
dc.subjectInterest rate risken_US
dc.subjectIndian banking sectoren_US
dc.subjectFinancial Institutionsen_US
dc.titleInterest rate risk of Indian banking sector a critique of Ajay Shah's methodologyen_US
dc.typeStudent Projecten_US
Appears in Collections:Student Projects

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