FT MarketWatch

Duration gap

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 Terms: 13 Asset, ACH, Comparison, FIN, Interest rate risk, Interest, Interest rate, Intervals, Liability, Pot, Quant, Risk, Ratio
Other Related Pages: Category: Lending_and_Credit Starting With: D
Additional Related Terms: 10-Q, 10-K, Active asset, Adjusted balance method, Alternative assets, Asset, Asset/equity ratio, Available assets, ACH, Adjustable rate