This paper ,which uses the interest rate adjusted by risk premium instead of risk-free rate, constructs immunity conditions based on credit risk duration, and sets up optimization model of asset-liability portfolio based on immunity conditions of credit risk with the objective of maximizing loan portfolio's return. By setting up immunity conditions of credit risk duration to match Asset-Liability of commercial banks, it avoids loss of owners' equity caused by interest risk and credit risk. By using the discount rate which reflects default risk to express function of credit risk duration, it shows the influence of default risk on duration. By using the put option formula to establish the function relationship between default risk and discount rate, it discovers the effect of default risk on discount rate.