Algorithmics strengthens its Solvency II solution for insurance companies with new Curve Fitting capability

Algorithmics strengthens its Solvency II solution for insurance companies with new Curve Fitting capability

Algorithmics, the leading provider of risk solutions, today announced that it has added Curve Fitting to further strengthen its Solvency II solution to meet the needs of insurance companies. Curt Burmeister, Vice President of Risk Solutions at Algorithmics, said: “Leading up to the go live date for Solvency II, insurers in Europe are in search of practical solutions for calculating their Solvency Capital Requirement. By offering Curve Fitting methodology along with Replicating Portfolios and the Standard Formula, our Solvency II solution now offers insurers a range of options for calculating their Solvency Capital Requirement, whatever their size or required level of sophistication.”

Toronto, Canada and London, UK (PRWeb UK) November 23, 2009 -- Algorithmics, the leading provider of risk solutions, today announced that it has added Curve Fitting to further strengthen its Solvency II solution to meet the needs of insurance companies.

In addition to its award winning Replicating Portfolio methodology for internal models, Algorithmics’ Solvency II solution comprises a full suite of applications within Algo Risk, including standard formula calculation, advanced aggregation techniques and capital allocation measures reflecting capital fungibility rules, and now a new Curve Fitting capability.

Curt Burmeister, Vice President of Risk Solutions at Algorithmics, said: “Leading up to the go live date for Solvency II, insurers in Europe are in search of practical solutions for calculating their Solvency Capital Requirement. By offering Curve Fitting methodology along with Replicating Portfolios and the Standard Formula, our Solvency II solution now offers insurers a range of options for calculating their Solvency Capital Requirement, whatever their size or required level of sophistication.”

Using the Curve Fitting methodology, clients can fit both parametric and non-parametric curves to a given set of liability values simulated under a small number of joint stresses of underlying risk factors. The resulting fitted curve can then be used to approximate the simulated values of the liabilities under multiple capital or risk simulations. In addition, clients have full flexibility in defining the functional form of the parametric curves that fits the data as well as a host of diagnostic analytics to validate the results.

Dr Andy Aziz, Executive Vice President of Risk Solutions at Algorithmics, added: “The addition of the new Curve Fitting capability to our Solvency II solution further demonstrates Algorithmics’ commitment to research and development to continue to deliver innovative solutions to the wider insurance community. Irrespective of size and complexity, insurance companies now have a real choice in how they choose their models for calculating their Solvency Capital Requirement under Solvency II.”

For more information about Algorithmics insurance solutions, please see: http://www.algorithmics.com/EN/solutions/myindustry/insurance.cfm

For further information please contact:
Heather Smith, Senior Communications Manager, Algorithmics (UK) Ltd
Direct line +44 (0) 20 7392 5820 Mobile +44 (0) 7515 974223
E-mail Heather.smith (at) algorithmics (dot) com

Notes to Editors:

Algorithmics is the world's leading provider of risk solutions. Financial organizations from around the world use Algorithmics' software, analytics and advisory services to help them make risk-aware business decisions, maximize shareholder value, and meet regulatory requirements. Supported by a global team of risk experts based in all major financial centers, Algorithmics offers proven, award-winning solutions for market, credit and operational risk, as well as collateral and capital management. Algorithmics is a member of the Fitch Group. www.algorithmics.com

Algorithmics' Economic Capital, Risk Management and Solvency II solution is designed to provide a consistent, enterprise-wide view of risk, an essential outlook for insurers and pension funds seeking to maximize investment performance through intelligent risk taking. Supporting underwriting, market risk, credit risk, and portfolio management activities across both assets and liabilities, Risk and Economic Capital for Insurance helps firms to manage economic capital, enhance productivity, and ultimately generate greater shareholder value.

Algo Risk supports the pursuit of informed investment decisions with real time access to market and risk information. Addressing the diverse needs of risk managers, traders, portfolio managers, and quants, Algo Risk supports multiple investment strategies, asset classes, valuation methodologies, risk/portfolio analytics, and scenario generation techniques. Algo Risk integrates the front and middle office through a flexible reporting interface. Decision support functions such as "what-if" analysis and "best hedge" recommendations are provided in addition to standard risk and performance analysis. Supporting a wide range of advanced portfolio and risk analytics, Algo Risk combines real time risk monitoring and an easy-to-use, customizable structure within an enterprise-wide data management system.

Replicating Portfolios
Leveraging Algorithmics' wide asset coverage and a patented, scenario-based portfolio optimization module, Algo Risk can be used to determine an optimal proxy portfolio of asset instruments that replicate the characteristics of a given set of scenario-dependent liability cash flows. This replicated portfolio can then be further simulated and stress tested to determine capital requirements. Liability cash flows can be imported from any existing actuarial projection system, providing consistency and integrated reporting across business lines and geographic borders. In particular, the replicated portfolio technique can be adopted as a computationally efficient method for modeling liabilities in a hedging analysis, economic capital or regulatory capital calculation.

Fitch Group is the parent company of Fitch Ratings, a global ratings agency committed to providing the world's markets with independent, timely and prospective credit opinions. With 49 offices worldwide, Fitch Ratings’ global expertise spans across capital markets in over 150 countries. Fitch Ratings is headquartered in New York and London.

The Fitch Group also includes Fitch Solutions, a distribution channel for Fitch Ratings products and a provider of data, analytics and related services; and Algorithmics, the world's leading provider of enterprise risk solutions.

The Fitch Group is a majority-owned subsidiary of Fimalac, S.A., headquartered in Paris, France.

For additional information, please visit www.fitchratings.comwww.algorithmics.com and www.fimalac.com

© 2009 Algorithmics Software LLC. All rights reserved. ALGO, ALGORITHMICS, Ai & design, ALGORITHMICS & Ai & design, KNOW YOUR RISK, MARK-TO-FUTURE, RISKWATCH, ALGO ALM, ALGO COLLATERAL, ALGO CREDIT ADMINISTRATOR, ALGO CREDIT DATA SERVICES, ALGO CREDIT ECONOMIC CAPITAL, ALGO CREDIT EXPOSURE, ALGO CREDIT LIMITS, ALGO CREDIT REGULATORY CAPITAL, ALGO CREDITVANTAGE, ALGO ETREASURY CREDIT, ALGO FIRST, ALGO MARKET ANALYTICS, ALGO OPDATA, ALGO OPVAR, ALGO RECONCILIATION, ALGO RISK, ALGO RISK SERVICE, and ALGO SUITE are trademarks of Algorithmics Trademarks LLC.

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(c) 2009 PRWEB.COM Newswire Algorithmics, the leading provider of risk solutions, today announced that it has added Curve Fitting to further strengthen its Solvency II solution to meet the needs of insurance companies.