Duration-Gap and Leverage-Adjusted Gap Calculations

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Duration-Gap and Leverage-Adjusted Gap Calculations - Article

This article explains Duration Gap calculations for measuring the economic-value impact of interest-rate changes under RBI’s Duration Gap Approach. It covers weighted modified duration of assets and liabilities, the liability-to-asset or leverage adjustment, Modified Duration Gap, change in Market Value of Equity, percentage impact on net worth, rate-shock direction and common CAIIB numerical traps.

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