Einführung eines SAP Subledger-Szenario nach IFRS 9 - dt. Landesbank
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Construction of a hedging platform

About This Project

Construction of a hedging platform for a Reinsurance Company

Project Scope:

  • Build-up of the organisation, processes and quantitative risk management tools necessary to manage the risk of life reinsurance
  • The hedging platform should enable the operative risk management department to fulfill the central function that structures, prices, underwrites and risk-manages life reinsurance contracts containing capital market risks
  • The hedging platform manages the risk from reinsurance covering internal and external clients by
    • transferring market risk as far as financial instruments are traded in deep and liquid markets (execution of large scale and highly frequent hedging)
    • diversifying risk that is reliably quantifiable using actuarial techniques
    • limiting risks that are neither hedgeable nor diversifiable

Project Results:

  • Analysis of the capital market risks contained in the reinsurance contracts and their hedging possibilities
  • Structured organisation and processes
  • Development of an infrastructure, the reporting and the analysis of the capital market risks resulting from structured reinsurance contracts

Customer Value:

  • Increasing transaction volumes because of reductions from time to market
  • Reduction of operational risk through the outsourcing of the hedging partner, transparent limit steering, neartime P&L and industry standards
  • Flexibility in mapping of new business
  • Cost reduction of the reinsurance contracts because of daily P&L analysis, reduction of trading frequency

Risk Management