Interest rate risk management

Success story


ÖBB Holding

The goal:

  • Development of a well-founded, subgroup-specific interest rate risk strategy.
  • Efficient risk limitation for each subgroup and creation of meaningful reports.

The way:

  • Asset/liability management approach for risk-neutral financing
  • Use of the SLG RiskEngine to calculate interest rate risks and duration
  • Flexible simulation of future developments to determine current fixed interest rates

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