IDEAS home Printed from https://ideas.repec.org/a/eko/ekoeko/8_66.html
   My bibliography  Save this article

The Interest Rate Gap Definition and the Risk Measurement

Author

Listed:
  • Janusz Kudła

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.

Suggested Citation

  • Janusz Kudła, 2002. "The Interest Rate Gap Definition and the Risk Measurement," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 8.
    • Handle: RePEc:eko:ekoeko:8_66
    as

    Download full text from publisher

    File URL: http://ekonomia.wne.uw.edu.pl/ekonomia/getFile/485
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eko:ekoeko:8_66. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/fesuwpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.