Allianz Group Chooses Algorithmics’ Insurance Risk Management Solution To Meet Its Economic Capital And Solvency Ii Requirements

RDATE:17092008

Munich, Toronto, London -- 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 particularproject. SecondFloor is developing customized user interfaces to interact with Algorithmics' patented optimization process.

For more information about Algorithmics' Risk Management solutions for insurance, please visit: http://www.algorithmics.com/EN/solutions/myindustry/insurance.cfm

Notes to Editors:

Allianz Group

Founded in 1890, the Allianz Group is one of the leading global services providers in insurance, banking and asset management. With approximately 181,000 employees worldwide the Allianz Group serves more than 80 million customers in about 70 countries.

Algorithmics is the world's leading provider of enterprise 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

Algo Risk offers insurers, pension funds and asset managers a fully integrated, flexible platform for assessing future market risk across an organization in a single, consistent, rigorous environment covering all investment strategies across all risk factors and asset classes. It can also be offered as a managed service. It covers both traditional assets and sophisticated, structured products. The Mark-to-Future framework delivers accurate real-time analysis and allows users to assess the impact of a new deal on a portfolio's existing risk profile. It is designed to help firms achieve greater profitability in today's competitive world markets.

Replicating Portfolios

Leveraging the solution's full asset coverage and a proven, scenario-based portfolio optimization module, Risk and Economic Capital for Insurance can be used to help 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 liability 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 or economic 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.com www.algorithmics.com and www.fimalac.com

CONTACT: Heather Smith, Senior Communications Manager, Algorithmics (UK) Ltd Tel: +44 (0)20 7392 5820 Tel: +44 (0)75 1597 4223 e-mail [email protected] WWW: http://www.algorithmics.com

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