NtInsight for ALM Feature List
Purpose of NtInsight for ALM The software of choice for advanced asset-liability management. Risk reports for ALM Financial report for each business unit Balance sheet Income statement User-defined financial indicators such as Net Interest Income (NII), ROE, ROA, RAROC, RAROA, and others Simulated financial indicators distribution report Value-at-Risk (VaR) for multiple horizons Multi-period Earnings-at-Risk (EaR) User-defined financial indicators Values of financial accounts Goal forecasting (shows the probability of achieving goal) Financial account trend report Simulated future portfolio s analytic reports Balance Interest income Interest expense Received principal Paid principal Received dividend Cash flow Capital gains and losses Simulated future portfolio s ladder reports Maturity ladder Cash flow ladder Average Interest rate ladder Detailed transaction and cash flow information Auto-execution of investment Average balance Market value Unrealized gains and losses Income rate of return Total rate of return Total rate of return including unrealized gains Prepayment rate Exposure on interest risk BPV, GPS Risk category types Integrated risk reflects the correlation between market and credit risk factors Market risk can be broken down to risk components Credit risk structured type model www.numtech.com Page 2
Market risk calculation methods Monte Carlo method * * Supports fat-tail distribution function, such as John-son SU distribution and Pareto-Gaussian mixed distribution Credit risk calculation methods Monte Carlo method * Enhanced obligor correlation model * Expected Default Frequency (EDF) model in continuous time Scenario generation Pseudo-random algorithms: Mersenne Twister / Numerical Recipes Run2 Continuous time series in daily resolution Over 1 million simulation iterations Default-state identification Various sampling methods for calculating risk factor statistics Flexible risk factor setting Interest rate model using principal component analysis (PCA) Definable synthetic-interest index Stress test Stress test using specific user-defined scenarios Future investment planning Enable path-dependent and conditional investment plan Portfolio optimization function Set pre-determined investment Prepayment Model Analytic model with various types of hazard functions Two-dimensional prepayment rate model www.numtech.com Page 3
Fund Transfer Pricing Flexible fund transfer pricing with up to 5 layers Supported financial instruments Bond FRN Commercial loan Mortgage Stock FX forward Index futures Interest rate swaps Currency swap Accounting Methods Historical cost method accrual basis; supports amortization and accumulation Market value method theoretical price or market price Mixed method allows application of historical cost or market value method to each transaction Fair Value Calculation Model Risk-adjusted discount rate (RADR) method Certainty equivalent (CE) method OLAP analysis Drill-down feature Flexible attribute setting of business unit and transactions Interchangeable attribute hierarchy Analytic tools for generated scenarios Risk factor scenario chart (by scenario axis or by time axis) Asset value scenario chart (by scenario axis or by time axis) Analytic tools for calculation parameters Time series data analysis Cumulative default rate analysis Principal component analysis Beta chart analysis Risk factor correlation matrix www.numtech.com Page 4
Interface Tab-delimited input and output text files Output files containing risk indicators System administration features User account management with advanced security feature Server resource management System architecture Client-server system with internally-developed protocol Internally-developed database optimized for fast OLAP analysis Numerical Technologies Pte. Ltd. 3 Church Street #28-05 Samsung Hub Singapore 049483 Phone: +65 6831 5150 Email: info@numtech.com Copyright 2013 Numerical Technologies Pte. Ltd. All rights reserved. Information in this document is subject to change without prior notice. NtInsight is a registered trademark of Numerical Technologies. www.numtech.com Page 5