Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in … interest rates affect a bank's earnings by changing its net interest income and also affect the underlying value of the bank … for assessing a bank's interest rate risk exposure: earnings perspective and economic value perspective. Changes in banks …

individual bank level. We find that the choice of the term structure and the pass-through model is of limited importance for the …

bank equity returns are found to be sensitive to both anticipated and unanticipated changes in interest rates in the first … period when banks were largely under government control. However, during our last period of liberalization, Korean bank … the ability to manage other interest rate risks successfully, in this last liberalization period, Korean bank equity …

Empirically, bank equity value is decreasing in the interest rate. Yet (i) many banks do not hedge interest rate risk … and (ii) above 50% of hedging banks use derivatives to increase exposure. We model a bank's capital structure, and show …

(GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation … modeling bank stock returns. The model presented here allows for shifts in the volatility equation in response to the changes … significant. Interest rate and interest rate volatility are found to directly impact the first and the second moments of the bank …

repricing of banks' assets and liabilities and off-balance sheet instruments. The GAP analysis helps to forecast the bank … HDFC Bank is the best bank on the basis of positive gap of residual maturity of its assets and liabilities. State Bank of … India (SBI), Punjab National Bank (PNB) and ICICI Bank have negative balance in all these time buckets. On the basis of …