NtSaaS® for Market and Credit Risk

Equipped with three industry-standard methods — Variance-Covariance (Delta-Normal), Historical Simulation, and Monte Carlo Simulation — it flexibly meets diverse risk assessment needs.

In addition to calculating key risk metrics such as Value at Risk (VaR) and Expected Shortfall (ES), it supports Marginal VaR/ES (MVaR/MES) to assess the impact of individual risk factors, and Component VaR analysis to decompose risk contributions by type, such as currency, interest rate, and equity. This enables a multifaceted understanding of the portfolio’s risk structure.

Furthermore, it features a high-performance engine capable of running up to one million Monte Carlo simulations at high speed, enabling accurate and rapid risk calculations even for large-scale portfolios containing millions of individual transactions.

Includes tools for calculating indicators such as Risk-Adjusted Return on Capital (RAROC) and Risk-Adjusted Return on Assets (RAROA), enabling the evaluation of profitability relative to risk.

Analysis can be performed not only for the overall portfolio, but also by business division, product category, and even down to the individual transaction level, supporting the visualization and optimization of the credit portfolio’s risk-return profile.

This contributes to more accurate management decisions on how and where to allocate limited capital.

By leveraging a dynamic analysis engine (OLAP), it enables real-time insight into the overall portfolio risk structure. Analysis can be drilled down not only by risk type (market risk, credit risk), but also by specific factors such as foreign exchange and interest rates, as well as by business division and other dimensions.

These flexible analysis capabilities make it possible to instantly identify where risks are concentrated, where diversification is effective, and thus support prompt and precise risk response and decision-making.