durationgap

由 D Armeanu 著作 · 被引用 15 次 — Duration gap analysis compares the duration of bank assets with the duration of bank liabilities and examines how the market value of stockholders' equity. Page ...

• For the duration gap, if the interest rates for all maturities are the same the yield curve is flat. • Duration gap analysis only works well for small.

The duration gap thus measures how well matched are the timings of cash inflows (from assets) and cash outflows (from liabilities), and is then one of the ...

2023年12月22日 — Duration gap analysis involves calculating the difference between the duration of a firm's assets and liabilities. duration measures the ...

持續期缺口模型(Duration Gap Model)持續期缺口模型是資產負債管理的最主要利率風險管理模型。持續期缺口模型是指銀行通過對綜合資產負債持續期缺口的調整, ...

由 CK Kuo 著作 · 1995 · 被引用 1 次 — Duration and Convexity Gaps: Definition and Hedging. 持續時間與凸性缺口：定義 ... 並列關鍵字. Duration ； Gap ； Convexity ； Net Worth ； Economic Income. 延伸 ...

當利率上升時，正存續期間缺口(Positive Duration Gap)代表銀行資產價格下降的速度大於負債價格下降的速度，則銀行的淨值(Net Worth)會減少。 當利率下降時，負存續期間 ...

A zero duration gap is when there is no positive gap or negative gap and a firm is protected against interest rate movements. Understanding a Negative Gap.

An alternative method for measuring interest-rate risk, called duration gap analysis, examines the sensitivity of the market value of the financial ...

2023年3月24日 — Duration gap analysis helps lenders assess the risk of default in their loan portfolios by evaluating the duration of debts. By using this ...