Management of insurance risks

Raising insurance company profits, controlling its risks

Your Contact Person

Stefan Geipel | Partner
Hammer Straße 165
48153 Münster





zeb.control.risk - ALM software module

With the ALM module zeb.control.risk supports you in planning and controlling the key return elements of maturity and liquidity transformation. With this software, we offer you a reliable and well-proven tool for the targeted management of the balance-sheet structure and the related institute-wide interest rate and liquidity risks.

Many insurance institutions face discrepancies between management information from present-value and from period-oriented planning. However, plans based on period-oriented P&L view are only suitable up to a limited extent for assessing decisions on assets/liabilities. We offer you an integrated management system that eliminates these deficiencies. Specifically, the ALM module supports you with the following functionalities and features:

KPI management including "liquidity coverage ratio" and "net stable funding ratio"

In the ALM module, the starting point of planning and control is the overall balance-sheet structure of the insurance company in combination with the modeling of key target values of P&L results. The actual values recorded are used to forecast the future net interest received and the valuation result of interest-bearing financial instruments – in different currencies and in line with alternative accounting rules (e.g. German Commercial Code and IFRS). Diverse scenarios for the development of the capital markets can be taken into account just like a variety of planning assumptions for the development of the balance-sheet structure or possible interest-rate adjustments.

In the context of further period-oriented planning parameters (e.g. administrative expenses, commission results, etc.), performance can be simulated down to operating results or annual profits and equity development – taking account of different planning scenarios. The interest income can be broken down into condition contributions, contributions from interest maturity transformation and liquidity maturity transformation both for the current result and subsequent periods. The key USPs of the ALM module are the differentiated planning of structural contributions on the basis of target cash-flow profiles and the reconciliation of present-value and period-oriented result parameters.

Interest rate, liquidity risk MaRisk management

Risk measurement and profit management for interest rate and liquidity positions are based on the representation and valuation of cash flows from "on balance sheet" and derivative transactions. Individual interest rate and liquidity cash flows can be valued on the basis of different yield curves. The transactions can be freely grouped into different portfolios and analyzed. Cash flows, present values as well as performance and risk indicators are displayed for all levels.

Several approaches can be used to measure the interest rate risk: the module ALM supports not only scenario-based methods, but also variance/co-variance approaches or full historical simulation. Finally, the integrated consideration of performance and risk permits the risk-adjusted valuation of the control portfolios.

For liquidity risk, changes can be simulated with regard to liquidity coverage potential and prospective inflows and outflows based on defined stress scenarios. On this basis, a present-value funding loss can be output as a risk parameter. For that purpose, the system calculates the present value of the loss that would be incurred by the institute – in terms of the funding volume required – if the ad-hoc funding cost would rise in line with the scenario defined.

In this context, user-definable benchmarks facilitate the interpretation of cash flows and RORAC results. This lays the foundation both for the profit-oriented control of maturity transformations and structural liquidity and creates the conditions for the representation of these risk areas in compliance with MaRisk.

Profit and risk simulation and analysis

The planning and control functionalities are supplemented by comprehensive options for planning actions. Here, the ALM module supports the simulation and analysis of income effects generated by financial instruments in two ways: On the one hand, it is possible to create user-induced (individual) actions. On the other hand, the software can automatically generate actions for specified target risk levels. For both options, you can simulate and analyze present-value, period-oriented and liquidity-related profit and risk effects. Within the framework of individually defined control actions, new instruments can be created and existing instruments can be closed. The software permits the examination and identification of continuous risk strategies across several periods.


zeb.control.risk - Trading software module

Given the rising volatility of the markets and the related increase in risks from trading, their active and professional management becomes more and more important. With zeb.control.risk - Trading, we offer you a universal solution for the management of trading for own account from portfolio to risk management.

Going far beyond the obligations of functional separation, documentation and risk limiting required by regulatory authorities, the system provides practice-tested support for the trading, settlement and risk management processes that professionalizes and clearly simplifies everyday tasks. Specifically, the module Trading supports you with the following functionalities and features:

Trading and settlement

The trading functionality supports the processes in the front office. A central starting point for the structured input of transactions ensures software-assisted data entry with plausibility checks. If other systems are used for inputting transactions, the data can also be supplied to the system via automated interfaces. The comprehensive concept for user permissions and deal status management ensures that the back-office settlement processes are implemented in line with MaRisk.

Ongoing portfolio management is supported by maturity schedules, fixing, exercise and cash-flow dates as well as numerous other functions, for example, for taking over theoretical prices as valuation prices.

Valuation and risk measurement

The comprehensive product catalogue covers the mark-to-model valuation for securities and derivatives commonly used. Any exotic products not included can be represented as "flexible products". For funds and particularly special funds the optional depiction by the looking through principle ensures detailed risk measurements and control.

Based on a great variety of indicators, the Trading module provides a comprehensive overview of the trading book: In addition to portfolio information and balance sheet data (according to commercial and tax legislation as well as IFRS), the system makes available all commonly used risk measures, sensitivities and several value-at-risk methods as well as integrated back-testing. Optionally, detailed sensitivity vectors can be generated.

Reporting: VaR reports, back-testing analysis, maturity lists and other

Through its powerful and flexible reporting functionality, the Trading module allows you to exploit this comprehensive information and to combine the indicators you need at a mouse click. The reports that offer drilldown options are available at all levels from the entire institue to various portfolio levels and even for individual transactions. Of course, the Trading module also can export data to Excel or databases. You can directly add analyses created to your personal report library so that they are permanently available. Regular import and reporting processes can be automated by means of batch jobs.

Additionally, specialized reports, such as graphic VaR and back-testing analysis, maturity lists and open settlement checks are included as standard reports. Performance analyses calculate the success of the portfolios in absolute terms for any period specified or against a benchmark in relative terms.

For limit definition, around 50 standard parameters are provided that support limits at the institute-wide, portfolio, borrower unit and counterparty level. In combination with the flexible configuration of portfolio hierarchies, you can set up and monitor highly differentiated and comprehensive limit concepts. The trader can check for potential limit conflicts even before a deal is made. In case of limit violations, automated messages are dispatched by e-mail.


zeb.control.risk - Credit software module

Increasing pressure on margins and rising regulatory requirements (MaRisk) call for a consistent, risk-adjusted management of the loan portfolio. zeb.control.risk - Credit Risk offers you an innovative software for managing your loan portfolio. The system combines findings from portfolio structure analyses for the past and the present with the future-oriented approach of a value-at-risk concept. Specifically, the module Credit supports you with the following functionalities and features:

Transparency through comprehensive standard reports

The standard reports allow you to quickly get an overview of the actual risk situation based on an analysis of the portfolio structure at various aggregation levels (e.g. assessment of credit ratings, volumes and sectors). Both classic indicators, such as expected loss, gross as well as net exposure, and modern parameters, such as value at risk (VaR), expected shortfall (conditional VaR) and RORAC, are used for this analysis. Comparative reports help you to identify changes over the previous month and recognize emerging trends faster.

Flexible scenario analyses and stress testing

The Credit Risk module supports you with a scenario manager in which you can independently change the most significant market and model parameters. It includes a rating table with rating migrations, recovery rates and fluctuations in the value of collateral as well as default time series by industry. As a result, the impact of diverse changes in market conditions can be studied easily and quickly. By including individual (new) transactions or by excluding them from the calculations, you can analyze in detail how changes in the portfolio's composition affect the outcome, for example, in order to assess actions designed to reduce risks.

Benchmarking, comparing with portfolio structure, loss distribution and characteristic risk performance indicators

In the Credit module, benchmark or simulation portfolios can be separately defined and analyzed so that you can directly compare them with the actual portfolio with regard to their structure, loss distribution and characteristic risk performance indicators at all the relevant aggregation levels (e.g. overall portfolio, sector). Trend indicators allow you to recognize positive and negative deviations at a glance at the level of sectors, rating classes or customers.