PRODUCT OVERVIEW
NtInsight for Credit Risk
Monte Carlo Simulator- Mersenne twister- Quadratic resampling- Probability matching- 1 million iterations
Transaction Data - Fixed income - Loan - Commitment - ABS/MBS - CDO
Market & Historical Data - Market price - Mean - Volatility - Correlation - Credit spread
Credit Data - Obligor rating - PD/LGD - Collateral - Guarantor
NtInsight Evaluation Engine- Mark to market/future- Default mode- Mixed mode
Dynamic OLAP- Swapping portfolio hierarchy- Dynamic drill down- Multi-layer support
Real-Time What-If Analysis- Add new transaction- Withdraw transaction
System Management - User management - Password policy - User access control
Portfolio Summary Report - Transaction attribute - Obligor attribute
Risk Report- EL/UL, VaR- Marginal VaR- Expected shortfall- Risk contribution
Risk-Return Report - RAROC - RAROA - Diversified benefit
Multiple Predefined Charts- PDF- Scatter chart- Bubble chart- Pie/Bar chart
Regulatory Capital Report- FIRB- AIRB
NtInsight for Credit Risk
NtInsight® for Credit Risk is a software for credit VaR and Basel capital ratio calculation that can be applied to ICAAP (internal
capital adequacy and assessment process). Its extraordinary ability to calculate large transactions at high-speed Monte Carlo
simulations pushes NtInsight for Credit Risk ahead of other simulators. Since its first release in 1998, NtInsight for Credit Risk
has received high approval from major banks and insurance companies in Japan.
Optimizing Your Portfolio
Today’s financial institutions manage increasingly complex
portfolios made up of a variety of asset classes and asset
class categories, each exhibiting a unique set of risk and
return characteristics. By adopting RAPM, financial firms are
able to decide risk-management strategies: whether to take
on more exposure to increase excess returns, or to reduce
risks to maintain regulatory capital. The same data can be
used for regulatory purposes, enabling financial firms to
achieve consistent internal and regulatory management.
NtInsight for Credit Risk provides an integrated view of
risk-adjusted performance measurements such as RAROC
and RAROA as well as portfolio returns at any level of the
portfolio structure. You can examine economic capital and
performance from the portfolio level down to business unit
and even to transaction and cash flow levels, which helps to
optimize a portfolio’s risk-return performance.
Retu
rn s
prea
d
Risk contribution
BUY / HOLD
SELL
/ SHORT
Sharp
e rati
o
Understand capital allocations better and build optimal risk-adjusted portfolios using NtInsight for Credit Risk’s analytic tools.
NtInsight Offers Ready-to-Use Solutions for Enterprise Risk Management
NtInsight® i s a fami ly of ready-to-use but highly
customizable risk management software solutions for the
enterprise. Its practical and comprehensive approach to
risk measurement and management offers CROs and risk
managers the flexibility to adapt to evolving regulatory and
business requirements.
About Numerical Technologies
Numerical Technologies, with offices in Singapore and
Tokyo, is a cutting-edge, laboratory-style software company
focused on bringing advanced technologies to financial risk
management. We specialize in financial modeling, parallel
Monte Carlo simulation, and high performance computing.
Since 1998, we have been helping clients quantify risk,
identify opportunities, and meet economic and regulatory
capital requirements. Our solutions have won accolades from
and the trust of Japan’s most respected financial institutions
including MUFG, SMBC, and Nippon Life.
www.numtech.comCopyright © 2012-2015 Numerical Technologies Pte. Ltd. All rights reserved. Information in this document is subject to change without prior notice. NtInsight and NtRand are registered trademarks of Numerical Technologies.
To learn more about NtInsight, email us at [email protected].
Concentration Risk Analysis
A risk concentration refers to an exposure with the potential
to produce losses large enough to threaten a financial
institution’s health or ability to maintain its core operations.
The potential for loss reflects the size of the position. On
the other hand, the extent of loss given a particular adverse
circumstance can be calculated as individual risk and also as
its impact to the overall portfolio when adding or removing
a unit of exposure to an asset.
NtInsight for Credit Risk calculates the former type of risk
as VaR and Expected Shortfall (ES, CVaR, tail VaR). The
latter is identified as Marginal VaR (MVaR) and Marginal
Expected Shortfall (MES). The combination of VaR and MVaR
is commonly used in the financial industry since regulators
have introduced VaR to the capital regulation framework.
MES and ES are rather new ideas that are going to be used
in the next regulatory standard. They are coherent risk
measures for portfolio selection that theoretically have more
comprehensive ability to capture fat tail risk.
Mar
gina
l exp
ecte
d sh
ortf
all
Exposure size
Higher risk but smaller size- Low impact
Bigger size but lower risk- Safer exposure
High risk and large size- Fallen angels
NtInsight for Credit Risk captures both individual risk and marginal impact to the overall portfolio using MVaR as well as MES.