A method of attempting to quantify interest rate risk involving a comparison of the potential changes in value to assets and liabilities that are affected by interest rate fluctuations over all relevant intervals. The duration of each asset or liability defines an interval that must be assessed.
Related information about duration gap:
- Duration gap - Wikipedia, the free encyclopedia
[edit] Definition. The difference between the duration of assets and liabilities held by a financial entity. [edit] Overview. The duration gap is a financial and ...
- 9 Duration Gap Analysis
An alternative method for measuring interest-rate risk, called duration gap analysis, examines the sensitivity of the market value of the financial institution's net ...
- What is duration gap? definition and meaning
Definition of duration gap: A method of attempting to quantify interest rate risk involving a comparison of the potential changes in value to assets and liabilities ...
- DURATION GAP IN THE CONTEXT OF A BANK'S ... - StudyFinance
Bierwag and Kaufman [1] attempt to clarify duration gap for financial institutions by ... account the institution targets as its primary concern, different duration gap ...
- Duration Gap and Equity - Actuarial Outpost
"When the duration of assets is larger than the duration of liabilities, the duration gap is positive. In this situation, if interest rates rise, assets will ...
- Asset/Liability Management (Duration Gap Model) - College of ...
Sep 14, 2012 ... UPDATE: See the revised lecture 2 notes on pages 8 and 9 that discuss the FOMC Statement on 9/13/12 that discusses QE3, OT3, and rate ...
- DURATION MATCHING with a SWAP TO IMMUNIZE INTEREST - Smu
Since duration gap is positive, this means the bank's net worth (assets ... method, is to decrease the duration gap to zero, because if the duration gap is zero ...
- Appendix 1 to Chapter 9 Duration Gap Analysis
Example 1: Duration Gap Analysis. What happens when interest rates rise from 10% to 11%? Total asset value = $100 M and total liabilities = $95 M. For assets ...