Duration Gap Analysis Duration is a measure of change in the value of the portfolio due to change in interest rates. Duration of an asset or a liability is computed by calculating the weighted average value of all the cash-flows that it will produce with each cash-flow weighted by the time...
缺口durationgapanalysis分析 An alternative method for measuring interest-rate risk, called duration gap analysis, examines the sensitivity of the market value of the financial institution’s net worth to changes in interest rates. Duration analysis is based on Macaulay’s concept of duration, which ...
“停站前后差距太微弱了,但是小冰开始快了,所以我不得不再赶一下,”他说。 30 Thecompanydisputesthisanalysis,pointingtoits one-monthdurationgapasasign thatitisnottakinginterest raterisk. 公司反对这一分析结论,强调它的存续期间差长达一月,公司没有利率方面的风险。
Unlike static GAP analysis, which focuses on rate sensitivity or the frequency of repricing, duration gap analysis focuses on price sensitivity. Duration is an attractive measure because it is additive across securities in a portfolio. As with GAP analysis, the sign and magnitude of...
1. 久期缺口 久期缺口(Duration Gap)定义 为: 式中,DGap 为久期缺口,DA 为总资产久期,DL 为总负债久期,u 为资产负债率, 即 L/… wenku.baidu.com|基于19个网页 2. 持续期缺口 3.2持续期缺口(Duration GAP)分析法26-29 3.2.1 模型简介26-27 3.2.2 持续期缺口管理27-28 3.2.3 对持续期缺口管 … ...
andthealternativestrategiesundertheconditionsofourcountryrecentlyThethesisisbasedongapmanagementtheory.ChapterImakesabriefsummaryonthedollargaptheoryanddurationgaptheoryandanalyzeshowthegapsaffectthenetinterestincomeandmarketvalueofassetsandliabilities.ChapterIImakesasimulatedcomputationandanalysisonthebasisofthetheory...
9 ___are undertaken to determine thegapbetween the existing skills, knowledge and abipties and those that are needed to function at the desired level. A.Learning assessment B.Learning needs C.Learning analysis D.Teaching assessment 免费查看参考...
The methodology is based on revisited interest rate sensitivity analysis, duration analysis and value-at-risk analysis. The situation is examined within both vertical (composition of operating income and interest rate sensitivity gap for the ten banks in the same year) and horizontal (one bank over...
decide to give more weight to color than to texture. The MARS project, described by Rui, Huang, Ortega and Mehrotra in 1998, has examined many of these approaches throughout the last few years. For textual information, the technique of latent semantic analysis has often been applied for ...
Gap analyses were widely used in the 1980s, typically in tandem with duration analyses. A gap analysis is considered harder to use and less widely implemented than a duration analysis, but it can still be used to assess exposure to a variety of term structure movements. ...