duration gap analysis
,Rate-sensitiveassetsequal$5Mofsecuritieswithmaturitieslessthanoneyearplus$50Mofconsumerloanswithmaturitiesoflessthanoneyear.,Thedurationgapthusmeasureshowwellmatchedarethetimingsofcashinflows(fromassets)andcashoutflows(fromliabilities),andisthen...
The Funding Gap and Duration Gap Analysis
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TheFundingGapandDurationGapAnalysis.Wefocusonwaystomeasureinterestrateriskexposureofbanks.Therearetwomainviews:1.FundingGap:this ...
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