Algorithmics today announced that it is working with Allianz Group on a strategic insurance risk management project that will enable Allianz to calculate its risk capital across the entire group and meet its Solvency II requirements.
Allianz, the leading global services provider in insurance, banking and asset management, has chosen Algorithmics for its award-winning expertise in portfolio replication and enterprise risk management.
Tom Wilson, CRO of Allianz, said: "Our goal is to be able to quantify all our risk types across our entire organization and shorten our reporting time for economic capital significantly. Ultimately we want to be able to use our risk measures in our business decision making in 12 months' time. Algorithmics will provide us with a transparent and auditable way of doing this using their replicating portfolios risk management technology. This already proven methodology will allow Allianz to manage and measure risk more efficiently and will allow us to meet our Solvency II requirements."
Dr. Andrew Aziz, Executive Vice President of Risk Solutions, Algorithmics, added: "We are excited to be working with Allianz on what will be an industry leading risk measurement and risk capital computation platform. Algorithmics' solution provides complete portfolio replication capabilities including economic scenario generation, cashflow modeling, high performance simulation, portfolio optimization and risk reporting.
This innovative solution will help Allianz to combine its asset and liability management within a single, 'fair value' consistent framework, giving them an enterprise view of their risk as well as providing them a tool to help them achieve Solvency II compliance."
The methodology of portfolio replication enables insurers to generate a portfolio of standardized assets as a representation for their liabilities in order to calculate market risk measures on a market consistent basis, faster and more transparently than existing methods.
SecondFloor, the Dutch IT project organization, will be working with Algorithmics on this particular project. SecondFloor is developing customized user interfaces to interact with Algorithmics' patented optimization process.