Playing the ALM game

Munich Re made history when it entered into a massive EUR12.5 billion swaption hedge in 2005. But does the transaction showcase ALM best practice? Nicholas Dunbar reports


When Munich Re's Ergo primary insurance subsidiary bought EUR12.5 billion of swaptions in the first half of 2005, it potentially dwarfed previous similar transactions in the UK and Denmark. Although the transaction reduced eco nomic capital for the life companies by about 8%, it was not prompted by regulators alarmed by declines in solvency.

According to Jan Willing, a senior consultant at Munich Re's integrated risk management (IRM) division, "What is interesting about our transaction is that it

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here