One of the problems in conducting a duration gap analysis is that the duration gap is calculated assuming that interest rates for all maturities are the same. That means that the yield curve is

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Duration gap analysis is a tool used to measure the sensitivity of a bank's assets and liabilities to changes in interest rates. The calculation assumes that the interest rates for all maturities are the same, which would result in a flat yield curve. If the yield curve is not flat, then the duration gap may not accurately reflect the actual interest rate risk exposure of the bank. Therefore, a flat yield curve is the best assumption for conducting a duration gap analysis.

One of the Problems in Conducting a Duration Gap Analysis