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.
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.