The Interest Rate Gap Definition and the Risk Measurement
Janusz Kudła
Ekonomia journal, 2002, vol. 8
Abstract:
In the Polish literature on the interest rate risk two ways of defining the interest rate gap (also called net mismatch position) parallel exist, leading to discrepant recommendations to the practice of the interest rate risk management. This paper aims at analysing those two approaches and verifying the implications of each of them. The analysis leads to the conclusion that the definition that bases the gap calculation on interest rate sensitive positions is better (than that using fixed interest rate positions), whereas some authors' suggestions that the positive (negative) gap is accompanied by a drop in interest incomes in the case of rise in interest rates are unfounded.
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:eko:ekoeko:8_66
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