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.