Earnings-based:

- Gap analysis: Repricing gap

Gap analysis allocates all relevant interest rate sensitive instruments into predefined time buckets according to their repricing or maturity dates, which are either contractually fixed or based on behavioural assumptions. It calculates the net positions (‘gaps’) in each time bucket. It approximates the change in net interest rate income ensuing from a yield curve shift by multiplying each net position with the corresponding interest rate change.

Gap risk (only parallel risk)

- The metric approximates the gap risk only linearly.

- It is based on the assumption that all positions within a particular time bucket mature or reprice simultaneously.

- It fails to measure basis and option risk.

Unconditional cash flows

(it is assumed that the timing of cash flows is independent of the specific interest rate scenario)