ING Direct 2009 Annual Report Download - page 209

ING Group
Group Economic Capital (in EUR billion)
2009 2008
ING Bank 23.1 22.4
ING Insurance 18.1 13.7
Consolidated Benefit –6.2 –5.4
Total ING Group 35.0 30.7
The potential risk capital impact for ING Group of the ING employee pension liability is currently not included in the aggregated group risk
metrics. The standalone Economic Capital impact for ING employee pension liabilities is calculated separately, and from a capital
management perspective there is currently no need to reserve any additional capital for ING pension liabilities.
ING Group Economic Capital is 15% lower than the sum of the parts (bank and insurance). Three different factors contribute to this
consolidation benefit:
1. Offsetting positions between bank and insurance, especially on the interest rate risk side, where the long duration assets of the bank
are offset by the long duration liabilities of Insurance;
2. Diversification between bank and insurance asset classes based on observed correlations; e.g. less than full correlation between
insurance equity positions and bank Real Estate positions;
3. Diversification between bank and insurance risk drivers based on expert opinion correlations; e.g. less than perfect correlation between
operational risk incidents at the bank and interest rate risk in insurance.
The 15% diversification benefit used for 2009 is supported by calculations done at ING Group level (2008: 15%).
The table below shows the contribution of the different risk drivers to the consolidation benefit:
Contribution to consolidated benefit
2009 2008
Risk Type
Interest Rate risk 70% 60%
Equity risk 7% 7%
Foreign Exchange risk 1% 1%
Real Estate risk 2% 3%
Credit risk 1% 3%
Business risk 13% 12%
Operational risk 6% 14%
Total 100% 100%
Risk measurement ING Bank and ING Insurance
The overall ING Group risk appetite is translated into specific limits which are cascaded down into the organisation, e.g.
Credit risk limits for bank and insurance business;•
Market Value at Risk limits for the insurance business;•
ALM/Value at Risk limits for bank operations;•
Mortality and concentration limits for insurance operations.•
The following risk disclosures provide more insight into how the risk measures used by the risk organisation are linked to the Group risk
dashboard and Group Economic Capital.
2.1 Consolidated annual accounts
Risk management (continued)
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