This paper addresses the importance of protecting assets in bank credit portfolios against market volatility, with a focus on market risk associated with the interest rate curve. The strategy used to mitigate this risk is Asset and Liability Management (ALM), with an emphasis on portfolio immunization as a way to protect against fluctuations in interest rates. A mathematical optimization model is proposed to solve the problem of immunizing fixed-income portfolios, considering liquidity and contract constraints, as well as evaluating its effectiveness in different scenarios through tests with real data.