久期与免除战略在资产——负债管理中的应用原理初探

Exploration of the Principle for Applying Duration and Immunization in the asset—debt management

本文从债券最基本的概念入手 ,利用金融数学的观点方法 ,阐明久期的定义 ,并总结出久期的性质 ,利用性质分析免除战略的基本原理。

In this paper we apply the methods of financial mathematics to explain the definition of Duration, which is besed on the basic conceptions of bond. Furthermore, the properties of Duration are summeried and analysis is conducted on the theory of various models of Immunization strategy, he results indicate that Further inquiries on effects of Immunization strategy, in the asset investment with fixed return would be worthwile especially at the point of China's transition to Marketing interest rate.