Secret Sauce talks about 4 extensions to classic immunization: 1) multifunctional durations 2) multiple liabilities immunization 3) relaxation of the minimum risk requirement 4) contingent immunization My understanding is that 1) extension to not parallel shift but some key rate moves 2) extension to immunizing several liabilities instead of just one 3) allowing for duration mismatch to capture additional return 4) immunizing portfolio and then actively managing excess capital I would appreciate comments, criticism and clarifications.
Maratikus: I think you summed up well. Contingent immunization may have additional stuff to go with it.
GetSetGo Wrote: ------------------------------------------------------- > Maratikus: I think you summed up well. Contingent > immunization may have additional stuff to go with > it. Coud you share that additional stuff?
Contingent immunization : Define safety-net return, pursue active management with the whole portfolio … if an adverse event happens or a negative risk pans out and return falls down to safety-net return level, switch to passive management. So you take risks, till you loose enough and then switch to full immunization. ( I am sure you know all this) Cheers 
Good overview, makes it easy to retain.