Determinants Of Interest Rate Exposure Of Commercial Banks In Kenya

Interest rate exposure represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. Studies that empirically investigate the determinants of bank interest rate exposure have traditionally used asset-liability maturity or duration gap as the key factor explaining banks‟ interest rate exposure. However, this approach presents s…