Software for calculations about interest rate risk of Indian banks

This page gives the programs used for the research that Ila Patnaik and I have been doing on the interest rate risk of Indian banks. The foundation of this work is a complex procedure through which the public-domain disclosures of Indian banks are converted into a set of cashflows on the asset side and the liabilities side. The logic of this methodology is explained in our IMF working paper.

Turning to the code:

• First, there is a library on interest rate risk. This is generic code -- about interest rate risk in general -- and has nothing to do with India. [Perl file] [Documentation]
• Then, there is a program which consumes Indian disclosures and computes out a few risk measures. [Perl file]
  In order to run it, you need a configuration file and a data file. Here is an example of a config file (for 2003-04). Here is an example of a data file (for 2003-04). Here is the file format of the data file.

This procedure is applied for every year. The results are merged with background facts about a bank, such as ownership and size and so on. Here is an example of the final data that goes into the fixed effects model estimation: information for SBI for all years, and here is the file format of this file.

Ajay Shah
ajayshah at mayin dot org