THE ECONOMICS OF MONEY,BANKING, AND FINANCIAL MARKETS 367
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CHAPTER 13
Banking and the Management of Financial Institutions
GAP
where
RSA
RSL
RSA
335
(2)
RSL
rate-sensitive assets
rate-sensitive liabilities
In our example, the bank manager calculates GAP to be
$20 million
GAP
$50 million
$30 million
Multiplying GAP times the change in the interest rate immediately reveals the effect
on bank income:
I
where
A PP LI CATI O N
I
i
GAP
(3)
i
change in bank income
change in interest rates
Gap Analysis
Using the $30-million gap calculated using Equation 2, what is the change in
income if interest rates rise by 1%?
Solution
The change in income is
$300 000.
I
where
GAP RSA RSL
i change in interest rate
GAP * i
$30 million
0.01
Thus
I
$30 million
0.01
$300 000
The analysis we just conducted is known as basic gap analysis, and it suffers
from the problem that many of the assets and liabilities that are not classified as ratesensitive have different maturities. One refinement to deal with this problem, the
maturity bucket approach, is to measure the gap for several maturity subintervals,
called maturity buckets, so that effects of interest-rate changes over a multiyear
period can be calculated. The second refinement, called standardized gap analysis,
accounts for the differing degrees of rate sensitivity for different rate-sensitive assets
and liabilities.
