interest sensitivity gap
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Interest sensitivity gap — The interest sensitivity gap was one of the first techniques used in asset liability management to manage interest rate risk. The use of this technique was initiated in the middle 1970s in the United States when rising interest rates in 1975 1976 … Wikipedia
Interest rate risk — is the risk (variability in value) borne by an interest bearing asset, such as a loan or a bond, due to variability of interest rates. In general, as rates rise, the price of a fixed rate bond will fall, and vice versa. Interest rate risk is… … Wikipedia
Break even rate in interest sensitivity analysis — The average interest rate of the funding (negative gap) or the average interest rate of the lending (positive gap) necessary to break even (zero profit) the mismatch in each specified time period. See also Risk management … International financial encyclopaedia
Constant rate in interest sensitivity analysis — The average interest rate of the funding (negative gap) or the average interest rate of the lending (positive gap) necessary to maintain in each specified time period the present spread. See also Risk management and break even rate … International financial encyclopaedia
Zero-Gap Condition — When a financial institution s interest rate sensitive assets and liabilities are in perfect balance for a given maturity. The condition derives its name from the fact that the duration gap or the difference in the sensitivity of an institution s … Investment dictionary
Negative gap — Refer instead to Constant rate in interest sensitivity analysis … International financial encyclopaedia
Positive gap — Refer instead to Constant rate in interest sensitivity analysis … International financial encyclopaedia
beta-adjusted gap — Gap reports modified to mollify the errors caused by basis risk. The essential concept of beta adjusted gap is that all interest rates do not change by the same amounts, but that there is an identifiable relationship, a correlation, between… … Financial and business terms
Info-gap decision theory — is a non probabilistic decision theory that seeks to optimize robustness to failure – or opportuneness for windfall – under severe uncertainty,[1][2] in particular applying sensitivity analysis of the stability radius type[3] to perturbations in… … Wikipedia
Duration gap — Contents 1 Definition 2 Overview 3 Torque analogy 4 See also Definition The difference between the duration of … Wikipedia
Static Gap — A measure of exposure or sensitivity to interest rates. Static gap is calculated as the difference between assets and liabilities of comparable repricing periods. Static gap can be calculated for short term and long term periods. Minus signs in… … Investment dictionary
