Author(s)

Qianhui Jin

Corresponding Author

Qianhui Jin

Abstract

This paper takes the Chinese and American national debt market as the research object, uses the modified duration theory and immune strategy to construct different Chinese and American Treasury bond portfolios, calculates their respective yields, and then analyzes and compares the immunization effects of these portfolios by calculating the immunization error, and obtains the final conclusions: 1) the interest rate level and treasury bond maturity yields of the United States are lower than that of China, and the sensitivity of treasury bonds to interest rate risk is higher than that of China; 2) for the short durations under 10, the immunization errors of Chinese treasury bonds portfolio are bigger; 3) the immunization effects of long-term and short-term are different, which shows that the short-term interest rate disturbance has a certain reducing effect on the long-term interest rate.

Keywords

Immunization, Modified duration, Treasury bonds