Due to the large capital investments in interest rate sensitive assets in the insurance
industry, the measurement of market risks, arising from changes in the interest rate
term structure, is of great importance. The European supervisory system Solvency II
provides one separate sub-module as a part of the market risk module for quantifying
interest rate risk in the latest proposed standard model of 2010/2011. In 2011, the
Federal Financial Supervisory Authority in Germany (BaFin) published the results of
the quantitative impact study QIS 5, applying the standard model of 2010/2011, for the
German insurance industry.