Benchmark rate risk, duration gap and stress testing in dual banking systems

• Main Authors: Chattha, Jamshaid Anwar, Syed Jaafar Alhabshi, Syed Musa
• Format: Article
• Language: English; English; English
• Published: Elsevier B.V. 2020
• Subjects: HG3368 Islamic Banking and Finance
• Online Access: http://irep.iium.edu.my/87984/15/87984_Benchmark%20rate%20risk%2C%20duration%20gap_article.pdf; http://irep.iium.edu.my/87984/2/87984_Benchmark%20rate%20risk%2C%20duration%20gap%20and%20stress%20testing_SCOPUS.pdf; http://irep.iium.edu.my/87984/3/87984_Benchmark%20rate%20risk%2C%20duration%20gap%20and%20stress%20testing_WoS.pdf; http://irep.iium.edu.my/87984/; https://www.sciencedirect.com/science/article/pii/S0927538X17305176

Islamic commercial banks (ICBs) deal with a variety of risks, a pressing one being benchmark rates risk or rate of return risk (ROR). The purpose of this study is to measure the impact of changing benchmark rates on the net worth (NW) risk (i.e. economic value) of ICBs and conventional commercial ba...