PRODUCT OVERVIEW

NtInsight for Market Risk

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

Scenario Analysis- Forward-looking scenario- Stress test

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

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

Historical Data Analysis- Missing data interpolation- Box-car, Moving windows- PCA on term structure- Security beta analysis

Transaction Data - Fixed income - Spot - Swap - Loan - Future - Swaption - Commitment - Option - ABS/MBS

Market & Historical Data - Stock price index - Yield curve - Foreign exchange rate - Equity price - Credit spread

Multi-VaR Method- Variance-Covariance- Historical simulation- Monte Carlo simulation

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

Realistic Fat-Tail Analysis- Johnson SU distribution- Pareto-Gaussian mixed distribution

Portfolio Summary Report - Transaction attribute - Obligor attribute

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

Classic Risk Measure - IRR - Modified duration - Convexity - Option Greeks

Ladder Report - Maturity ladder - Cash flow ladder - Grid point sensitivity - Exposure

Risk-Return Report- RAROC- RAROA- Diversified benefit

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

NtInsight for Market Risk

NtInsight® for Market Risk is an advanced risk management software that contains various functions including the

innovative one million Monte Carlo simulation, historical simulation, and parametric VaR computation. It supports not only

normal but also non-normal (skewed and leptokurtic) distribution VaR. Besides VaR, it computes traditional risk indicators,

such as option Greeks and BPV (basis point value).

Fat Tail Awareness

NtInsight for Market Risk supports the 3 major VaR

calculation methods, namely Variance-Covariance, Historical

Simulation, and Monte Carlo simulation. It has improved

upon the original industry standard concept by using fat-tail-

aware probability distributions and an impressive 1,000,000

Monte Carlo iterations at each transaction level.

Variance-Covariance

HistoricalSimulation

Monte-CarloSimulation

Capture the non-linear characteristics of financial instruments such as options

Compute VaR/ES under non-linear market behavior with fat tail awareness

Reflect path-dependent events such as option execution

No Yes Yes

Yes Yes Yes

No No Yes

The highlighted cells indicate the features that have been improved in NtInsight. Johnson SU distribution is used to represent empirical observation of skewness and kurtosis in time series.

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.

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 Market 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.

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