Interest Rate Risk Measurement: Income Gap Analysis
Interactive

Interest Rate Risk Measurement: Income Gap Analysis

Intuition Publishing
Updated Aug 26, 2020

Income gap analysis examines how a change in rates affects net interest income of asset/liabilities in different time "buckets". This produces a more accurate picture of interest rate risk across a large portfolio of banking instruments. Here we look at how income gap analysis and reporting is performed and the issues that arise with such reports.

;