If there is high dispersion of cash flows around horizon date, immunization risk is low or high?
It should be low.
high. Is this for a single liability?
Oops I am wrong. It should be high.
If dispersion is high… that means that there is cash that is being recovered at various time periods so it creates reinvestment risk. If the dispersion is zero and its a zero coupon bond…there is no reinvestment risk and the immunization is good. Barbell strategy = most spread out = thus the highest immunization risk.
immunization risk = reinvestment risk
Probably worth mentioning here-- for good immunisation, the dispersion of asset durations should be wider than dispersion of liability durations