Maturity Gap


Maturity Gap
A measurement of interest rate risk for risk-sensitive assets and liabilities. The market values at each point of maturity for both assets and liabilities are assessed, then multiplied by the change in interest rate and summed to calculate the net interest income or expense.

This method, while useful, is not as popular as it once was due to the rise of new techniques in recent years. Newer techniques involving asset/liability duration and value at risk have largely replaced maturity gap analysis.


Investment dictionary. . 2012.

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