Research on the Applications of Duration and Immune Theory and Their Implications

DOI

10.2991/978-94-6463-042-8_62How to use a DOI?

Keywords

duration theory; immunization theory; immune duration theory; interest rate risk management; interest rate liberalization; investment portfolio

Abstract

With the rapid development of the bond market and the financial field, more and more people realize the importance of the interest rate risk management for an enterprise to survive in the bond market, so they pay more attention to the interest rate risk management. Since the emergence of Macaulay Duration model in the last century, people began to pay attention to the application of duration theory and immune theory in interest rate risk analysis. This paper focuses on duration theory, immune theory and their applications in financial and debt markets. In this paper, a tabular analysis method is used to clearly show the development of the duration of immunity theory and the research conclusions in each period. Besides, the comparative analysis method is also used to show the advantages and disadvantages of the present duration theory and the model. Finally, we find that the immune duration theory has a positive effect on the interest rate risk management in the commercial bank and bond market, which is also an important application and advantage of the duration theory. However, there are still some deficiencies in the theory of duration, for example, the calculation of the theory of duration is still complex to analyze.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Naiyu Zhang
PY  - 2022
DA  - 2022/12/29
TI  - Research on the Applications of Duration and Immune Theory and Their Implications
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 426
EP  - 432
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_62
DO  - 10.2991/978-94-6463-042-8_62
ID  - Zhang2022
ER  -