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Serial number: 07/2014
Author(s): A.Mammadova, L.Yusifzada
Language: Azerbaijani
Date: 2014
Abstract: The main purpose of the research is to estimate interest rate risk for banking system. Paper reviews gap analysis, duration gap and Value at Risk (VAR) methodologies and measures interest rate risk for two hypothetical banks. Capital adequacy ratio, which is re-calculated based on interest rate risk measurement results, remains within the regulatory norm.
Key words: Interest rate risk, gap analysis, duration gap, Value at Risk, risk management
JEL classification: E43, G11, G12
