O'Reilly logo

Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition by Youssef F. Bissada, Jean Dermine

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Limits to the use of repricing gaps

To analyse the impact of a change of interest rate on the net interest margin, we need two pieces of information: the gap and the relevant change of interest rate.

The gap indicates whether there is a net asset position to reprice, or whether there is a net debt position to reprice.

Gap = (repriced assets) – (repriced liabilities) over a specific period of time

A positive gap indicates an excess of short-term assets to reprice.

A negative gap indicates an excess of short-term liabilities to reprice.

To measure ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required