PRODUCT OVERVIEW

NtInsight for Credit Risk

Monte Carlo Simulator- Mersenne twister- Quadratic resampling- Probability matching- 1 million iterations

Transaction Data - Fixed income - Loan - Commitment - ABS/MBS - CDO

Market & Historical Data - Market price - Mean - Volatility - Correlation - Credit spread

Credit Data - Obligor rating - PD/LGD - Collateral - Guarantor

NtInsight Evaluation Engine- Mark to market/future- Default mode- Mixed mode

Dynamic OLAP- Swapping portfolio hierarchy- Dynamic drill down- Multi-layer support

Real-Time What-If Analysis- Add new transaction- Withdraw transaction

System Management - User management - Password policy - User access control

Portfolio Summary Report - Transaction attribute - Obligor attribute

Risk Report- EL/UL, VaR- Marginal VaR- Expected shortfall- Risk contribution

Risk-Return Report - RAROC - RAROA - Diversified benefit

Multiple Predefined Charts- PDF- Scatter chart- Bubble chart- Pie/Bar chart

Regulatory Capital Report- FIRB- AIRB

NtInsight for Credit Risk

NtInsight® for Credit Risk is a software for credit VaR and Basel capital ratio calculation that can be applied to ICAAP (internal

capital adequacy and assessment process). Its extraordinary ability to calculate large transactions at high-speed Monte Carlo

simulations pushes NtInsight for Credit Risk ahead of other simulators. Since its first release in 1998, NtInsight for Credit Risk

has received high approval from major banks and insurance companies in Japan.

Optimizing Your Portfolio

Today’s financial institutions manage increasingly complex

portfolios made up of a variety of asset classes and asset

class categories, each exhibiting a unique set of risk and

return characteristics. By adopting RAPM, financial firms are

able to decide risk-management strategies: whether to take

on more exposure to increase excess returns, or to reduce

risks to maintain regulatory capital. The same data can be

used for regulatory purposes, enabling financial firms to

achieve consistent internal and regulatory management.

NtInsight for Credit Risk provides an integrated view of

risk-adjusted performance measurements such as RAROC

and RAROA as well as portfolio returns at any level of the

portfolio structure. You can examine economic capital and

performance from the portfolio level down to business unit

and even to transaction and cash flow levels, which helps to

optimize a portfolio’s risk-return performance.

Retu

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Risk contribution

BUY / HOLD

SELL

/ SHORT

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Understand capital allocations better and build optimal risk-adjusted portfolios using NtInsight for Credit Risk’s analytic tools.

NtInsight Offers Ready-to-Use Solutions for Enterprise Risk Management

NtInsight® i s a fami ly of ready-to-use but highly

customizable risk management software solutions for the

enterprise. Its practical and comprehensive approach to

risk measurement and management offers CROs and risk

managers the flexibility to adapt to evolving regulatory and

business requirements.

About Numerical Technologies

Numerical Technologies, with offices in Singapore and

Tokyo, is a cutting-edge, laboratory-style software company

focused on bringing advanced technologies to financial risk

management. We specialize in financial modeling, parallel

Monte Carlo simulation, and high performance computing.

Since 1998, we have been helping clients quantify risk,

identify opportunities, and meet economic and regulatory

capital requirements. Our solutions have won accolades from

and the trust of Japan’s most respected financial institutions

including MUFG, SMBC, and Nippon Life.

www.numtech.comCopyright © 2012-2015 Numerical Technologies Pte. Ltd. All rights reserved. Information in this document is subject to change without prior notice. NtInsight and NtRand are registered trademarks of Numerical Technologies.

To learn more about NtInsight, email us at info@numtech.com.

Concentration Risk Analysis

A risk concentration refers to an exposure with the potential

to produce losses large enough to threaten a financial

institution’s health or ability to maintain its core operations.

The potential for loss reflects the size of the position. On

the other hand, the extent of loss given a particular adverse

circumstance can be calculated as individual risk and also as

its impact to the overall portfolio when adding or removing

a unit of exposure to an asset.

NtInsight for Credit Risk calculates the former type of risk

as VaR and Expected Shortfall (ES, CVaR, tail VaR). The

latter is identified as Marginal VaR (MVaR) and Marginal

Expected Shortfall (MES). The combination of VaR and MVaR

is commonly used in the financial industry since regulators

have introduced VaR to the capital regulation framework.

MES and ES are rather new ideas that are going to be used

in the next regulatory standard. They are coherent risk

measures for portfolio selection that theoretically have more

comprehensive ability to capture fat tail risk.

Mar

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Exposure size

Higher risk but smaller size- Low impact

Bigger size but lower risk- Safer exposure

High risk and large size- Fallen angels

NtInsight for Credit Risk captures both individual risk and marginal impact to the overall portfolio using MVaR as well as MES.