Financial Market Analysis for Duration and Modified Duration

DOI

10.2991/aebmr.k.220307.429How to use a DOI?

Keywords

Duration; Modified Duration; Management; Financial Liberalization

Abstract

Under the wave of financial liberalization and interest rate marketing, the interest rate risk prevention problems faced by commercial banks are becoming increasingly prominent. Interest rate risk management has become an extremely important link in the management of commercial banks. Macaulay’s retention gap management is one of the main risk management tools of modern western commercial banks. Reasonably constructing a retention period gap can make the net value of commercial banks not affected by market interest rates, and the adjustment of flow ratio can overcome the gap in duration due to interest rate changes. Insufficient, comprehensive utilization of the gap management in the duration plays an important role in establishing a risk management mechanism for our commercial banks.

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.

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TY  - CONF
AU  - Jiankun Wu
PY  - 2022
DA  - 2022/03/26
TI  - Financial Market Analysis for Duration and Modified Duration
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 2637
EP  - 2641
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.429
DO  - 10.2991/aebmr.k.220307.429
ID  - Wu2022
ER  -