Abstract
Extending the general nonparallel shift approach to duration analysis developed previously [28], this paper explores the immunization properties of that model. In particular, results are developed for directional immunization, in which the yield curve shift direction vector is specified, as well as for nondirectional immunization. Throughout, the goal of immunization at at time k periods into the future is seen to be intimately linked to the relationship between the durational and convexity attributes of the portfolio and those of a k-period zero-coupon bond. Applications to asset/liability management are then explored in theory and in a detailed example, which illustrates the potential shortcomings of traditional parallel shift immunization.