Duration Gap Calculator (Bank ALM)
A bank's duration gap from asset and liability durations and leverage — equity sensitivity to a rate shock.
Formula
Banks borrow short and lend long, so a positive duration gap means rising rates erode economic equity. Supervisors flag banks whose ±200 bp EVE change exceeds 15% of Tier-1 — the exact check this tool runs.
Not financial advice — for informational and analytical use only. Verify all figures with a qualified professional before acting on them.
Need duration gap calculator results fast? Analysts, founders, traders and finance professionals use the Duration Gap Calculator to skip the spreadsheet and get a defensible answer in one step — free, private and instant.
About Duration Gap Calculator (Bank ALM)
A bank's duration gap from asset and liability durations and leverage — equity sensitivity to a rate shock. Banks borrow short and lend long, so a positive duration gap means rising rates erode economic equity. Supervisors flag banks whose ±200 bp EVE change exceeds 15% of Tier-1 — the exact check this tool runs. The governing relationship is gap = D_A − (L/A)·D_L; ΔEVE ≈ −gap × A × Δy. The Duration Gap Calculator computes entirely in your browser — free, private (your figures never leave your device) and instant, recalculating live as you change any input.
How to use Duration Gap Calculator (Bank ALM)
- 1Enter Duration of assets (years), Duration of liabilities (years), Total assets (currency), Total liabilities (currency), Rate shock (bp) into the Duration Gap Calculator.
- 2The result is computed automatically using gap = D_A − (L/A)·D_L; ΔEVE ≈ −gap × A × Δy — there is no button to press.
- 3Change any input to model a different scenario, then copy or share the result.
Why use Duration Gap Calculator (Bank ALM)?
- ✓Computes duration gap calculator instantly with the correct formula — no spreadsheet needed
- ✓100% free and unlimited, with no sign-up, login or paywall
- ✓Runs entirely in your browser, so the figures you enter stay private
- ✓Shows the formula, a live worked example and references so you can defend the number
Frequently asked questions
What is the formula behind the Duration Gap Calculator?+
Duration Gap Calculator uses gap = D_A − (L/A)·D_L; ΔEVE ≈ −gap × A × Δy. Banks borrow short and lend long, so a positive duration gap means rising rates erode economic equity. The tool substitutes your actual inputs into this relationship and shows the worked example step by step.
What inputs does the Duration Gap Calculator need?+
Enter Duration of assets (years), Duration of liabilities (years), Total assets (currency), Total liabilities (currency), Rate shock (bp) and the result updates immediately — there is no button to press. Change any value to model a different scenario in real time.
Is the Duration Gap Calculator free, and is my data private?+
Yes — it is completely free with no sign-up or usage limit, and it runs entirely in your browser, so the numbers you enter are never uploaded or stored on any server. It is for informational and analytical use, not financial advice.
What should I watch out for when using the Duration Gap Calculator?+
Supervisors flag banks whose ±200 bp EVE change exceeds 15% of Tier-1 — the exact check this tool runs.
What is the Duration Gap Calculator based on?+
The method follows authoritative sources: BCBS — Interest rate risk in the banking book (2016). The formula and references are shown on the page so you can verify and cite the result.
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