01644cas a2200241 a 4500 AALejournalIMF003551 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451860979 1018-5941 BD-DhAAL BD-DhAAL Sy, Amadou. Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings / Amadou Sy. Washington, D.C. : International Monetary Fund, 2005. 1 online resource (17 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2005/078 Full text available on IMF http://elibrary.imf.org/view/journals/001/2005/078/001.2005.issue-078-en.xml IMF e-Library