Измерение процентного риска в коммерческом банке

The sharp rate liftoff which occurred in Russia in late 2014 constitutes an interesting case, rich in opportunities to evaluate the preparedness of Russian banks to the interest rate risk. The interest rate shock might have material impact on the rate of growth of rate-sensitive assets and liabilities which, however, may vary depending on bank specific features affecting its innate diversification or stability. The goal of this study is to show possible differences between reaction of different groups of banks to interest rate shock in terms of changes of their mean rate of growth of net interest profits. Using ARIMA intervention analysis the results were obtained which showed that private banks were the most aggressive in terms of attracting funds and issuing loans but also most vulnerable to immediate effects of interest rate shock. Government banks were less affected by the sharp change of interest rate, while foreign banks were also more conservative in managing interest rate risk.