Günümüzde FED (Federal Reserve Bank, FED) ve ECB’nin (European Central Bank, ECB) para politikaları uygulamaları ve TCMB’nin (Türkiye Cumhuriyet Merkez Bankası, TCMB) faiz politikasına ilişkin tartışmalar faiz oranları üzerindeki belirsizliğin artması sonucu doğurmuştur. Bu çalışmada BİST’te (Borsa İstanbul, BIST) işlem gören 6 büyük mevduat bankasının kısa ve uzun vadeli faiz oranı riskine olan duyarlılıkları iki faktörlü Arbitraj Fiyatlama Modeli ile incelenmiştir. Kısa vadeli faiz oranı olarak 3 ay vadeli bankalar arası para piyasası faiz oranı, uzun vadeli faiz oranı olarak ise 10 yıl vadeli devlet tahvili faiz oranları kullanılmıştır. Model tahminlerinde kantil regresyon yönteminden yararlanılmıştır. Böylece, standart EKK (En Küçük Kareler, EKK) yöntemine göre daha etkin ve tutarlı tahminciler elde edilmiştir. Bulgular, bankaların hem kısa hem de uzun vadeli faiz oranı riskine duyarlı olduklarını ve faiz oranlarındaki artışlardan negatif bir şekilde etkilendiklerini göstermektedir. Ayrıca, bankaların uzun vadeli faiz oranları riskine olan duyarlılıklarının belirgin bir şeklide fazla olduğu anlaşılmaktadır. 

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