2
$\begingroup$

Please correct me if I am wrong in understanding the Immunisation Technique behind bond interest rate risk management.

It says that any change in interest rate can be neutralised by reinvesting the coupons at increased interest rate or if there is a decrease then the price rise in bond will compensate for reinvestment loss. All this can happen till the duration of the bond.

If this is true, is there a mathematical proof of this.

Thanks

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.