M
   
   Maturity Gap
   















 

M

Maturity Gap

An early approach to the measurement of interest rate risk. For each period out to the longest maturity, the market values of rate sensitive assets and rate sensitive liabilities are measured. The size of the gap in each period is multiplied by the change in interest rates to be evaluated. The results are summed to give the effect on the cumulative net interest income or expense. This approach has been largely abandoned for newer techniques based on asset and liability duration and on value at risk. Also called Gap Analysis.

Glossary * M