Maturity Gap


DEFINITION of 'Maturity Gap'

A measurement of interest rate risk for risk-sensitive assets and liabilities. The market values at each point of maturity for both assets and liabilities are assessed, then multiplied by the change in interest rate and summed to calculate the net interest income or expense.

BREAKING DOWN 'Maturity Gap'

This method, while useful, is not as popular as it once was due to the rise of new techniques in recent years. Newer techniques involving asset/liability duration and value at risk have largely replaced maturity gap analysis.

  1. Maturity

    The period of time for which a financial instrument remains outstanding. ...
  2. Market Value

    The price an asset would fetch in the marketplace. Market value ...
  3. Asset

    1. A resource with economic value that an individual, corporation ...
  4. Value At Risk - VaR

    A statistical technique used to measure and quantify the level ...
  5. Interest Rate

    The amount charged, expressed as a percentage of principal, by ...
  6. Liability

    A company's legal debts or obligations that arise during the ...
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