VALUE AT RISK (VaR) CALCULATION

Market and Credit Risk calculation for Capital Management

BarChart Beta Chart Cash Flow Table Correlation Matrix Cumulative Probability of Default Detail Risk Information

VaR Calculation

Credit Risk

Professional
NIC
  • Advanced Credit Risk Management

Market Risk

Professional Lite
NIC
  • Standard Market Risk Management

Market Risk

Professional
NIC
  • Advanced Market Risk Management

Market & Credit Risk

Enterprise
NIC
  • Enterprise Risk Management

Credit Risk Management

Credit Risk Professional

Credit Risk Professional

Methodology

  • Monte Carlo Simulation
  • Based on Merton Structural Model (Merton [1974])
  • Mersenne Twister, Numerical Recipes ran2
  • Quadratic resampling, Probability matching

Portfolio Analysis and Evaluation

  • Expected Loss, Unexpected Loss, VaR, Marginal VaR, Conditional VaR, Risk Contribution
  • Display aggregated values via Obligor or Transaction level
  • Evaluation method can be defined at the individual transaction level
  • Supports three types of Fair Value calculation methods

Supported Financial Instruments

  • Interest related product (Loan, Bond)
  • Spot product (Stock, Fund)

Results Display

  • OLAP feature allow users to analyze their portfolio in segments according to Obligor or Transaction attributes
  • Aggregated transaction information (VaR, ES, Book value, Market value, Profit/Loss etc.)
  • Detailed transaction information (Cash Flow Table, Evaluation Scenario and Exposure etc.)

Limitation on Credit Risk Professional

  • Maximum 3 OLAP segments
  • Does not support restructuring of OLAP segments
  • Monte Carlo Simulations will support up to 100,000 iterations

Market Risk Management

Market Risk Professional Lite

Market Risk Professional Lite

Methodology

  • Variance-Covariance
  • Historical Simulation

Portfolio Analysis and Evaluation

  • Expected Loss (EL), Unexpected Loss (UL), VaR, Marginal VaR, Conditional VaR
  • Sensitivity Analysis (Duration, BPV, Modified Convexity)
  • Option Greeks (Delta, Gamma, Vega, Rho)
  • Supports three types of Fair Value calculation methods
  • Supports prepayment

Supported Financial Instruments

  • Interest related product (Loan, Deposit, Bond, Swap etc.)
  • Spot and Forward product (Stock, Fund, FX etc.)
  • Option Product (Stock, Index, FX, Swap, Bond)

Results Display

  • OLAP feature allow users to analyze their portfolio in segments according to Obligor or Transaction attributes
  • Aggregated transaction information (VaR, ES, Book value, Market value, Profit/Loss etc.)
  • Ladder report (Maturity Ladder, Cash Flow Ladder, Exposure, GPS etc.)
  • Detailed transaction information (Cash Flow Table, Evaluation Scenario and Exposure etc.)

Market Risk Professional

Market Risk Professional

Includes all features from Market Risk Professional Lite with the added features below.

Methodology

  • Monte Carlo Simulation
  • Principal Component Analysis (PCA) Monte Carlo Simulation
  • Yield curve extrapolation using the Smith-Wilson method
  • Mersenne Twister, Numerical Recipes ran2
  • Quadratic resampling, Probability matching

Integrated Market and Credit Risk

Market & Credit Risk Enterprise

Market and Credit Risk Enterprise

Includes all features from Credit Risk Professional and Market Risk Professional with the added features below.

Methodology

  • Integrated Market & Credit Risk calculation
  • Monte Carlo Simulations will support up to 1,000,000 iterations

Portfolio Analysis

  • No limitations on OLAP segments
  • Supports restructuring of OLAP segments

Feature Comparison

  Credit Risk Market Risk Market & Credit Risk
  Professional Professional Lite Professional Enterprise
Methodology Monte Carlo Simulation Market + Credit Risk      
Credit Risk    
Market Risk    
Historical Simulation Market Risk  
Cumulative Historical Simulation Market Risk (Profit/Loss calculations are always based on the value of the instrument at t=0)  
Variance-Covariance VaR  
Merton Structural Model (Merton [1974])    
Random number generator Mersenne Twister, Numerical Recipes ran2  
Convergence Improvement Quadratic resampling, Probability matching  
Yield Curve Scenario Principal Component Analysis Monte Carlo Simulation    
Extrapolation using the Smith-Wilson method    
Portfolio Analysis and Evaluation VaR Indicators EL, UL, VaR, Marginal VaR, Conditional VaR
Risk Contribution    
Sensitivity Analysis Duration, BPV, Modified Convexity  
Option Greeks Delta, Gamma, Vega, Rho  
Aggregated display Transaction based or Obligor based    
Accounting method Historical Cost or Mark-to-Market at individual transaction level    
Fair Value calculation methods
Prepayment Fixed deposit, Mortgage loan etc.  
Supported Financial Instruments Interest related products Loan, Bond    
Loan, Deposit, Bond, Swap etc.  
Spot products Stock    
Spot & Forward products Stock, Fund, FX etc.  
Option products Stock, Index, FX, Swap, Bond  
Results Display OLAP (Online Analytical Processing) Allows analysis by segments according to Obligor or Transaction attributes
Aggregated transaction information VaR, ES, Book value, Market value, Profit/Loss etc.
Detailed transaction information Cash Flow Table, Evaluation Scenario and Exposure etc.
Ladder report Maturity Ladder, Cash Flow Ladder, Exposure, GPS etc.