Basel III, IRRBB

Meets Basel III requirements

Following the latest regulation trend with an integrated capital and liquidity solution.

The NtInsight® family of risk management software solutions meets Basel III requirements such as NSFR and LCR. We constantly enhance our solutions’ features in accordance with the latest regulation trends, for example, stress test against TLAC, Interest Rate Risk in the Banking Book (IRRBB), operational risk, economic capital calculation using Expected Shortfall, NII, etc.

Risk Valuation Model

Leveraging on the parallel computing and acceleration expertise that we have acquired over high performance computing field, we designed the NtInsight® feature such that each transaction and each cash flow can be fully valued. NtInsight® supports both historical and delta normal methods in market risk. In credit risk, NtInsight® incorporates MCMC for standard CreditMetrics and has innovated the basic model with expansions such as multi-period analysis and feasible credit spread calculation specifically for Asian market.

IRRBB

With regard to the assets and liabilities fluctuation risk in the banking book, taking account of earnings (i.e., NII and other metrics prescribed by supervisors) in addition to economic value (EV) is under consideration. NtInsight® for Market and Credit Risk provides an EV-based management feature. NtInsight® for ALM provides an NII analysis feature based on detailed financial simulation. Both solutions have basic features such as prepayment, optionality risk, etc.

TLAC and Stress Test

NtInsight® performs forward-looking stress test that simultaneously reflects not only market risk factors but also credit rating, LGDs, and correlations. Combining forward-looking stress test with future investment planning and NII feature, the solution takes account various factors (for example, credit loss, future funding plan, taxation, dividend, etc.) and captures financial impact under a stressed environment.

Operational Risk

NtInsight® for OpRisk calculates required capital for operational risk by using Loss Distribution Approach (LDA) which is one of the proposed Advanced Measurement Approaches (AMA). Scenario analysis is an important operational risk management tool that allows organizations to assess the impact of exceptional but realistic loss events. NtInsight® for OpRisk supports What-If analysis, a feature that enables risk managers to analyse scenarios flexibly and easily.

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