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Evolution of the internal model infrastructure

Quantitative risk management has made a big leap in recent years, but there are still more exciting developments happening in this field. New technology has unlocked new doors to new avenues to pursue. Just ask Jorg Sauren, Product Owner Risk Systems at NN Group, who is giving us a sneak peak of his presentation at RiskMinds Insurance on the evolution of the internal model infrastructure.

The IT environment around risk reporting has to deal with several challenges:

  1. The need to automate and simplify the reporting while ensuring faster reporting at a lower cost;
  2. Demand for more and more insight in the numbers resulting in evolving movement analysis, scenario analysis and sensitivities to risk metrics;
  3. The wish to leverage our calculation engines by also automating related risk calculations and manual processes, so effectively increasing the scope of the infrastructure;
  4. And lastly the requirement to have the highest reliability and IT security standards.

To deal with those challenges we see the following developments:

  1. Setting up the infrastructure in a scalable manner leveraging cloud infrastructure and scaling up for peak demand and switching off capacity when not needed.
  2. Enriching the data model and align the data model with delivering systems to allow all calculations to be based on a single version of the truth to avoid parallel reporting processes.
  3. Continued focus on automating manual steps in the movement and sensitivity processes.
  4. Simplifying the development environment with less components and all responsibility for development and support end-to-end within dev-ops teams with less dependency on third parties to fully control the application.

Next to the above, it is key to leverage your internal model IT infrastructure to enable extension of its applications. For example, it is possible to add the ability to perform SCR calculations for multiple portfolio compositions within a single run to support strategic asset allocation analysis without duplicating functionality. Or to enable multiple reporting dimensions to run separate reporting processes in parallel within the same system which previously required duplication of IT environments. All in all, it is a challenging but very interesting area to work in with new and continuous obstacles to deal with. I look forward to sharing more insight in the above points during RiskMinds Insurance.

Join Jorg in Amsterdam!

RiskMinds Insurance

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