Replicating Portfolio

Business
ING Corporate Insurance Risk Management (CIRM) needed an enhanced, auditable method of risk management. Based upon asset and liability data input from all business units worldwide, the new risk management platform reports and sets out Economic Capital (EC) figures.

The business goals for the project were:
- Timely risk reporting on an economic basis
- Reliable and comparable input of all business units
- Traceability of all data and auditable processes
- More time for in-depth analysis of risk reports

Technology
J2EE, Service Bus, Spring, Hibernate, JMS, Sun Solaris with WebSphere, Tivoli Directory Server (LDAP), Oracle, Crystal Reports, Excel.

Project
Within 9 months, including a design period of 3 months, we developed and implemented an application that met ING’s business needs.
Support: ING CIRM signed a Service Level Agreement with us for operational support after the successful implementation.

Sources
The solution was developed in successful co-operation with Algorithmics and their Algo Risk Suite.

Solution
The solution is an intranet application that creates replicating portfolios in a unique, fully-automated manner with complete end-user interaction at local business level for economic scenario-dependent insurance asset and liability cash flows. The replicating portfolios are used to create reports on the risk profile and required solvency capital for ING.

We cut the reporting time by 60% and at the same time increased the available risk information by more than 1000%.

The solution was awarded the prestigious 2007 Banking & Finance ICT Innovation Award.