Interest Rate Risk Management Is An Important Immune Tools

The process of interest rate marketalization becomes more and more accelerated, which demonstrates the importance and urgency of the interest rate risk management.Due to the limitations of the supposition, the operationality and validity of the traditional management methods regarding the interest rate risk have already been greatly reduced. In 1980s, with the volatility of interest intensifying, some newly interest rate risk management methods appeared. Specifically for the traditional duration model improvement, people introduce many expansion duration models and their immunity strategies, but these researches mainly focus on the comparison between the new and the traditional models.This paper mainly sums up the new models, with the emphasis on the comparison of the advantages of these new models. These new models include: Fisher-Weil duration model, the Direction duration model, the Partial duration model, and the Approximate duration model. After comparing and analyzing the new models, this paper carries out the empirical analysis with the data of government bond transactions in Shanghai Securities Exchange, and then discusses the duration match strategies suiting for the Chinese market. Finally, combined with the situation of the bond market in our country, it discusses the immunization effects when we apply these models in Chinese market.This paper consists of 4 chapters in addition to the preface: Chapter 1: The importance and the urgency of the interest rate risk management. This chapter begins with the problems mainly resulting from the inappropriate interest rate risk management. It demonstrates the consequences caused by insufficient or incorrect interest risk management methods especially in bond issuer, insurance company, financial institution and so on. Then, with the emphasis on government bond markets, it expounds the existing problems from the aspects of the...