Risk assessment

In SST 2020, total risk increases to USD 21.3 billion, driven by higher insurance risk mainly reflecting business growth and lower interest rates.

Swiss Re’s internal model provides a meaningful assessment of the risks to which the company is exposed and is an important tool for managing the business. It is used to measure the Group’s risk position and related capital requirements as well as for defining the risk tolerance, risk limits and liquidity stress tests.

Swiss Re is exposed to insurance and financial risks that are calculated in its internal risk model, as well as other risks that are not explicitly part of the economic capital requirement but are actively monitored and controlled due to their significance for Swiss Re. These include operational, liquidity, model, valuation, regulatory, political, strategic and sustainability risks (see Swiss Re’s risk landscape).

Property and casualty insurance risk is mainly driven by underlying risks inherent in the business Swiss Re underwrites, in particular costing and reserving and non-life claims inflation, as well as Atlantic hurricane risk. The main drivers of life and health insurance risk are lethal pandemic, mortality trend, lapse and critical illness risk.

The Group’s financial risk derives from financial market risks as well as from credit risk. Key drivers of financial market risk are credit spread and equity risk. Credit risk is mainly driven by the default risk of capital market products and credit and surety business.

Total risk is based on 99% tail VaR and represents the average unexpected loss that occurs with an estimated frequency of less than once in 100 years over a one-year time horizon.

Total risk increases to USD 21.3 billion, driven by higher insurance risk mainly reflecting business growth and lower interest rates impact. Financial market and credit risk increase only marginally. The higher weight of insurance risk leads to increased diversification.

Group capital requirement based on one-year 99% tail VaR

USD millions

SST 2019

SST 2020


cross reference information


Credit comprises credit default and credit migration risk from both asset management and underwriting. Credit spread risk falls under financial market risk.

Property and casualty

10 537

11 708

1 170

see Insurance risk

Life and health

8 633

9 857

1 224

see Insurance risk

Financial market

10 981

11 218


see Financial risk


3 371

3 496


see Financial risk


–13 809

–14 945

–1 136


Total risk

19 713

21 332

1 620


Swiss Re’s internal risk model takes account of the accumulation and diversification between individual risks. The effect of diversification at the category level is demonstrated in the table above, which represents the difference between the Group 99% tail VaR and the sum of standalone tail VaR amounts in the individual risk categories. The extent of diversification is largely determined by the selected level of aggregation – the higher the aggregation level, the lower the diversification effect.

Alternative Risk Measurements for Swiss Re Group

USD billions

SST 2019

SST 2020

Change in %


For the alternative risk measurements, the same risk exposure and data basis is applied as for the SST calculation.

99% VaR1




99.5% VaR1




Alternative risk measurements — 99% and 99.5% VaR — increase to USD 16.1 billion and USD 19.0 billion, respectively.