Assessment of the Impact of Changes in the Key Rate of the Bank of Russia on the Level of Interest Rate Risk in Banks

Changes in interest rates can make significant changes to the financial results of a credit institution by affecting the profitability, value of assets and liabilities of the bank. This paper assesses the impact of changes in the Central Bank key rate on the interest rate risk of banks. The analysis made it possible to describe the features of existing approaches to assessing interest rate risk and the impact of the key rate on banks’ risks. The practical part of the study consisted of analyzing panel data in two separate samples of small and large banks from 2012 to 2022. The result of the regression analysis was confirmation of the hypothesis about different levels of exposure to interest rate risk of banks depending on their size; the hypothesis about an increase in risk in accordance with an increase in the rate was justified only for large banks.