Work out duration gap analysis instantly with clear inputs, formula shown and shareable results.
The duration gap measures how the economic value of equity responds to rates, weighting liability duration by the leverage ratio. A positive gap means asset values fall further than liability values when rates rise, eroding equity.
Duration gap
Gap = D_assets - D_liabilities × (L/A); ΔEVE = -gap × assets × Δrate
Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.
Because liabilities are smaller than assets, so their duration has proportionally less effect on equity value.
By shortening asset duration, lengthening liability duration, or using interest rate swaps to synthesise either.