Interest Rate Risk, Immunization, and Duration

Document Type



Theoretical and empirical research on fixed-income securities, with special emphasis on maturity selection strategies, has been a major area of investigation during the last several years. In fact, one might argue that in no other area of financial research is the application of theory to practice more rapid not the intersection of interests between academics and practitioners greater. While it is difficult to attribute this heightened interest in fixed-income research to a specific event, there is no doubt that the increased volatility of interest rates and the introduction of innovative financing features have been important factors.