Allianz reduces interest rate risk following model change

Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%

Allianz’s rollout of a new cash flow model in the first quarter changed its sensitivity to interest rate risk, improving the resilience of its Solvency II regulatory capital ratio.

The German insurer reduced the likely impact to its Solvency II ratio of a 50 basis point collapse in interest rates to -7%, down from -11% at end-2017 and -12% in March 2017.

On the flipside, the insurer’s sensitivity to a 50bp spike in interest rates increased to +5%, from +2% at the end of December and +11% in

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here