Market and Credit Risk

NtInsight® for Market and Credit Risk

An integrated platoform for market and credit risk.

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.

Key Differentiators

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.

Market Value-at-Risk (VaR) Methods

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

  • variance-covariance method (delta-normal 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.

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