NtInsight ® — Enterprise Applications for Financial Risk Management

Asset Liability Management

NtInsight® for ALM is a financial risk management software for banks and insurance companies that handles massive and complicated financial simulation without oversimplified approximations. It provides asset/liability management professionals an integrated balance sheet management environment to monitor, analyze, and manage liquidity risks, interest-rate risks, and earnings-at-risk.

NtInsight for ALM

Balance Sheet Management and Portfolio Optimization

NtInsight® for ALM provides:

  • Built-in prepayment models to value mortgage loans.
  • What-if analysis capabilities to optimize hedge operations.
  • Mark-to-market and accrual accounting methods of valuing investment portfolio.

Risk Indicator Calculation

Calculate traditional risk indicators such as modified duration, effective duration, and convexity, and measure asset and liability mismatch using gap analysis or maturity ladder.

Net Interest Income Simulation

Measure and manage net interest income in a simulation-based environment using funds transfer pricing (FTP).

Earnings-at-Risk Simulation

Evaluate potential changes in cash flows or earnings through Monte Carlo simulations. You can create interest-rate scenarios using principal component analysis (PCA).

Regulatory Capital Requirement Support

NtInsight® for ALM supports the Basel II/III and Solvency II capital regulation framework requirements.

Key Differentiators

Numerical Technologies provides a financial risk management software that manages enterprise-wide asset and liability information that is more precise than any other in the market. The NtInsight® for ALM advantage includes:

  • An asset/liability management framework that can integrate credit risk.
  • Capability to generate financial scenarios at daily resolution.
  • Precise financial statements that show account balance in detail.
  • Robust Monte Carlo Simulation engine.

Market Risk and Credit Risk Management

NtInsight® for Market Risk, NtInsight® for Credit Risk, and NtInsight® for Market and Credit Risk are financial risk management software systems designed to measure and manage market risk and credit risk.

NtInsight for Market Risk and Credit Risk

Market Value-at-Risk (VaR) Methods

NtInsight® supports 3 standard methods for calculating value-at-risk:

  • variance-covariance method (normal-delta method)
  • historical simulation method
  • Monte Carlo simulation method

Credit Value-at-Risk Model

NtInsight® provides a portfolio credit risk model based on CreditMetrics and improves upon it to meet the requirements of large financial institutions. Examples of such improvements include a more integrated obligor correlation and an expanded credit risk mitigation function.

Comprehensive Risk Calculation

Aside from market and credit value-at-risk, NtInsight® calculates these risk measures:

  • conditional VaR(CVaR) / expected tail loss (ETL) /expected shortfall
  • incremental VaR / marginal VaR
  • component VaR / risk contributions

It can also calculate these traditional risk indicators:

  • modified duration / effective duration
  • convexity analysis
  • basis point value(BPV) / grid point sensitivity(GPS)
  • option Greeks

Regulatory Capital Requirement Support

NtInsight® calculates the minimum capital requirements stipulated in Basel II/Basel III and Solvency II.

Key Differentiator

Numerical Technologies provides a robust simulation engine that can accurately handle the simulation of over 1 million Monte Carlo scenarios based on a portfolio that contains millions of transactions.

Operational Risk Management

NtInsight® for OpRisk is an operational risk management software designed to cater to the requirements of financial institutions that have selected the advanced measurement approach (AMA) to calculate their required capital for operational risk.

NtInsight for Operational Risk

Sophisticated Modeling Technique

Compute economic capital using loss distribution approach (LDA), an AMA approach recognized by the Basel II framework and is the most sophisticated AMA approach available today. LDA supports both parametric and non-parametric simulation functions.

Wide Selection of Distribution Functions

NtInsight® for OpRisk provides an interpolation algorithm to stabilize simulation results in non-parametric simulation. It also supports various frequency distribution and severity distribution functions for parametric simulation such as:

  • Poisson Distribution
  • Weibull Distribution
  • Log-Normal Distribution
  • Gamma Distribution
  • Pareto Distribution

Multidimensional Risk Analysis

Normally, operational risk is calculated according to a matrix of business lines and operational risk types. NtInsight® for OpRisk gives you the flexibility to add different perspectives and depths (such as business department, department divisions, and sections) in your operational risk analysis.

Regulatory Capital Requirement Support

NtInsight® calculates the minimum capital requirements stipulated in Basel II/III.

Key Differentiator

NtInsight® for OpRisk accurately calculates a financial institution’s required capital through its sophisticated Monte Carlo simulation engine. It is the only operational risk management software that can generate the various simulation patterns supported by Loss Distribution Approach.


Product Overview