This paper introduces M-Abosolute to immune the interest rate risk caused by the non-parallel shift of yield curve. Taking the M-Absolute zero-gap immunization as constraint conditions and taking the maximum interest income of loan portfolio as an objective function, the paper establishes optimization model of asset-liability portfolio based on immunization of non-parallel-shift interest rate risk. The characteristics and innovations of this model are as follows: Firstly, it matches the assets and liabilities of commercial bank by M-Absolute zero-gap immunization, which controls the interest rate risk caused by the non-parallel shift of interest term structure. Secondly, discounting the cash-flow of the assets and liabilities by different forward interest rate makes the calculation of the M-Absolute more accurate, which reflects the various yield point change, improves the accuracy of the calculation of the M-Absolute and changes the discounted methods that use invariable nominal interest rate.