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Duration gap

• Duration Gap = Duration of the assets - Duration of the Liabilities. A positive duration gap means that the duration of assets is greater than the duration of the liabilities. When interest rates increase, all securities lose value, and the securities with longer durations will lose even more value. Hence, when interest rates increase, banks with positive duration gaps will lose value.

 
 

Follow this link for all the terms related to ratio.

 
 Embedded terms in definition
 Assets
Duration
Gap
Interest rate
Interest
Liabilities
Securities
Will
 
 Related Terms
 Dollar duration
Dollar gap
Duration
Duration mismatch
Effective duration
Gap
Gap trade
Macaulay duration
Maturity gap
Modified duration
Mortgage duration
Negative duration
Option adjusted duration
Repricing gap

<< Duration Duration mismatch >>

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