Model updates buttress Allianz's solvency ratio
Solvency II requirement less sensitive to rates, credit volatility than 2017
A retooled internal model permitted Allianz to revise down its estimate of how much a market shock could deplete its Solvency II capital ratio.
The German insurer said it improved the modelling of cross effects between risk types in the fourth quarter, which reduced the sensitivity of its regulatory ratio to a sudden widening of credit spreads and a jolt to interest rates compared to the year prior.
The firm now estimates that a 50 basis point collapse in interest rates would shave just
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