METHODS FOR ASSESSING INTEREST RATE RISK IN COMMERCIAL BANKS
Keywords:
Interest rate risk, commercial banks, gap analysis, duration analysis, Value at Risk, stress testing, financial risk managementAbstract
Interest rate risk is a critical aspect of risk management in commercial banks, as fluctuations in interest rates can significantly impact a bank’s profitability and financial stability. This article explores the methods used by commercial banks to assess interest rate risk, incorporating both traditional and modern approaches. The literature review highlights the significance of gap analysis, duration analysis, and simulation models, while also discussing advanced techniques such as Value at Risk (VaR) and stress testing. The findings suggest that a combination of methods is often employed to capture the complexities of interest rate risk in today’s dynamic financial environment.
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