SEB Life and Algorithmica join forces on Solvency II SCR modules

Stockholm, SWEDEN, November, 2013 – Algorithmica Research AB and SEB Life recently rolled out a successful joint development project that extends Algorithmica’s risk management system to include calculation of the new Solvency II SCR modules for market risk and counterparty risk.

By extending the ARMS system, with standardized reporting metrics, SEB Life can leverage of the fact that positions delivered to the market risk system for internal risk monitoring, can be re-used in the standard SCR calculation. Delivery of SCR numbers can now be done for the whole SEB Life group, for all local business units and in all different currencies.

“I think the cooperation has worked excellent from start to finish in this project. This project has been on a tight schedule and complex in nature. I’m today grateful that we chose a bilateral project model to calculate the SCR market and default risk modules within Solvency II. The structure and process that we have implemented feels stable and robust” said Per Björnevik, Solvency II SCR Project Coordinator, SEB Group Risk Control.

Robert Thorén, Partner of Algorithmica Research commented, “We could not have done this project without the commitment and effort from the experts at SEB. Without their expertise in dealing with complex regulatory requirements, it would have been impossible to understand how to actually implement the calculation code. There are many practical issues to deal with when developing regulatory reporting that seem easy when you read the documents but become very complex to implement. We now have an excellent codebase and parameter framework in which we change settings and rules as the Solvency II requirements evolve.”