Measuring the sensitivity of bank profits to changes in interest rates by multiplying the gap for several maturity subintervals by the change in the interest rate is called duration analysis.

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This description refers to gap analysis, not duration analysis. Gap analysis measures the sensitivity of bank profits to changes in interest rates by examining the difference (gap) between the amounts of assets and liabilities that reprice within a given period. Duration analysis, on the other hand, measures the sensitivity of the price of a bond (or portfolio) to changes in interest rates by considering the weighted average time until all cash flows are received.

Measuring the Sensitivity of Bank Profits to Changes in Interest