Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

Analysis of Bond Investment based on Immune Strategy

Authors
Shengyuan Lu1, *
1Soochow Business School, Soochow University, 215031, Soochow, China
*Corresponding author. Email: 1910503084@stu.suda.edu.cn
Corresponding Author
Shengyuan Lu
Available Online 26 March 2022.
DOI
10.2991/aebmr.k.220307.347How to use a DOI?
Keywords
Macaulay duration; Modified duration; Bond investment; Immune strategy
Abstract

Interest rate risk is the essential market risk faced by bond investment, mainly the price effect and reinvestment effect. With the acceleration of interest rate liberalization, the importance and urgency of interest rate risk management of bond investors are increasingly prominent. Moreover, as an essential method of immunity against interest rate risk, the duration immunity strategy has been widely used. This paper starts with the most basic concept of bond duration, using a specific case analysis. Through the calculation to build a reasonable bond portfolio, we find the risk immunization of the duration immune strategy regarding the sudden interest risk. Moreover, during the case study, we also had limitations of the immune strategy applications in the natural bond markets. Finally, we conclude the whole finding and then decide the next research direction.

Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Download article (PDF)

Volume Title
Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
978-94-6239-554-1
ISSN
2352-5428
DOI
10.2991/aebmr.k.220307.347How to use a DOI?
Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Shengyuan Lu
PY  - 2022
DA  - 2022/03/26
TI  - Analysis of Bond Investment based on Immune Strategy
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 2116
EP  - 2121
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.347
DO  - 10.2991/aebmr.k.220307.347
ID  - Lu2022
ER  -