Research on Macaulay Duration’s Role of Immunization to Interest Rate Risk

DOI

10.2991/978-94-6463-042-8_71How to use a DOI?

Keywords

Macaulay duration; limitation of Macaulay durations; Immunity

Abstract

This article explored basic features of the Macaulay duration in the context of its study. It also examines how Macaulay durations are immune to interest rate fluctuations using comparative examples and the theme of combining financial products with maturities. Combining the abstract Macaulay duration with practical examples aims to provide a better understanding of the specific uses of Macaulay duration in reducing risk and can better inform the reader of the logic of financial products containing duration.

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  - Chengjiu Jiang
PY  - 2022
DA  - 2022/12/29
TI  - Research on Macaulay Duration’s Role of Immunization to Interest Rate Risk
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 490
EP  - 497
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_71
DO  - 10.2991/978-94-6463-042-8_71
ID  - Jiang2022
ER  -