PRO BTP has chosen Algorithmicsâ Economic Capital and Solvency II solution to monitor risk across its portfolio of assets and liabilities using portfolio replication. Algorithmicsâ solution will allow PRO BTP to derive a highly accurate and granular assessment of its market risk and actively manage the diversification effects within its asset portfolio.
VÃ©ronique Leroux, Deputy CEO, Finance and Administration, PRO BTP, said: âA fundamental principle of Solvency II is the ability of an institution to use risk measures in management decision-making. Algorithmicsâ Economic Capital and Solvency II solution is the perfect solution because it combines the most advanced financial risk analytics with powerful decision support and simulation capabilities - all in an extremely user-friendly tool.
âFor us, it was also very important to select proven software to secure the project risk and control cost. Algorithmicsâ track record from working with some of the largest insurance companies in Europe and its knowledge of Solvency II best practices made it the obvious choice to help us meet our objectives.â
Dr Andrew Aziz, Executive Vice President of Risk Solutions, Algorithmics, added: "Building on the success that Algorithmics' solutions have had with the largest insurance companies in Europe over the last few years, we are very excited to count PRO BTP as a client. We see this as further proof that Algorithmics can meet the requirements of the broader insurance market by using the Solvency II experience we have gained from working with larger insurers. Algorithmicsâ solution provides complete portfolio replication and curve fitting capabilities as well as economic scenario generation, high performance simulation, portfolio optimization and risk reporting. Our award-winning Economic Capital and Solvency II solution will help PRO BTP to combine its asset and liability management within a single, 'fair value' consistent framework, giving PRO BTP an enterprise view of its risk as well as providing a powerful decision support tool to meet Solvency II requirements."