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    Stress testing of insurance firms in Kenya against interest rate risk

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    Date
    2017
    Author
    Patel, Shruti Dinesh Kurji
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    Abstract
    The study was focused on researching the impact a change in interest rates has on the fixed income portfolio, specifically the government securities. It concentrated on securities with maturities of less than or equal to five years. This was done by applying a model previously built to stress a bank against interest rate risk. The net interest income impact and the repricing impact was calculated to demonstrate the effect and the significance of the change demonstrated by the change in the solvency ratio. A change in interest rates led to an increase in the net interest income but led to a reduction in the value of the bonds. The net effect of the increase in interest rates was that the value of the portfolio reduces. However, the percentage was less than 10% for two of the companies, and therefore, interest rate risk was found to be of less significance to the Kenyan market.
    URI
    http://hdl.handle.net/11071/5407
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    • BBSA Research Projects (2017) [39]

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