VaR CALCULATION

Multiple methods to calculate and analyse Market, Credit and Integrated Market and Credit risk

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

VaR Calculation Services

Credit Risk

Professional
NIC
  • Advanced Credit Risk Management Service

Market Risk

Professional Lite
NIC
  • Standard Market Risk Management Service

Market Risk

Professional
NIC
  • Advanced Market Risk Management Service

Market & Credit Risk

Enterprise
NIC
  • Enterprise Risk Management Service

Credit Risk Management

Credit Risk Professional

Credit Risk Professional

Method and Scenario Generation

  • Monte Carlo Simulation
  • Fundamental theory: Merton model (Merton[1974])
  • Mersenne Twister, Numerical Recipes ran2
  • Quadratic resampling, Probability matching

Portfolio Analysis/Evaluations

  • EL, UL, Percentile VaR, Marginal VaR, Conditional VaR, Risk Contribution
  • Hierarchized display for name-based and contract-based aggregation
  • Concurrent calculation of book value, market value, mixed of both book and market values
  • Fair value calculation

Available Financial Instruments

  • Interest rate related (Loan, Debt)
  • Spot (Security)

Display Functions

  • Instant and hierarchized OLAP (Online Analytical Processing) display of Obligor and Contract based aggregation
  • Detailed transaction information (Balance, Maturity, Book value, Market value, Profit and more)
  • Contract based information (Attribute, Cash flow table and more)

Limitation on Standard Suite

  • Up to 3 layers of OLAP
  • Reverse hierarchy analysis is not available
  • Up to 100,000 Monte Carlo Simulation

Market Risk Management

Market Risk Professional Lite

Market Risk Professional Lite

Method and Scenario Generation

  • Historical Simulation
  • Delta-normal VaR

Portfolio Analysis/Evaluations

  • EL, UL, Percentile VaR, Marginal VaR, Conditional VaR
  • Interest Rate Sensitivity Analysis (Duration, BPV, Convexity adjustment)
  • Option indicators (Delta, Gamma, Vega, Low)
  • Fair value calculation
  • Premature repayment

Available Financial Instruments

  • Interest rate related (Deposit and loan transactions, Debt, Swap and more)
  • Spot・Forward related (Security, Fund, Forward exchange and more)
  • Option related (Security, Index, Currency, Swap, Debt)

Display Functions

  • Instant and hierarchized OLAP (Online Analytical Processing) display of Obligor and Contract based aggregation
  • Detailed transaction information (Balance, Maturity, Book value, Market value, Profit and more)
  • Ladder information(Ladder principal, Cash flow ladder, Exposure, GPS and more)
  • Contract based information (Attribute, Cash flow table and more)

Market Risk Professional

Market Risk Professional

Market Risk Professional Lite with additional functions

Method and Scenario Generation

  • Monte Carlo Simulation
  • Principal Component Monte Carlo Simulation
  • Final Interest Rate such as Smith-Wilson method
  • Mersenne Twister, Numerical Recipes ran2
  • Quadratic resampling, Probability matching

Integrated Market and Credit Risk Management

Market & Credit Risk Enterprise

Market and Credit Risk Enterprise

Credit Risk Professional and Market Risk Professional with additional functions

Method and Scenario Generation

  • Credit・Market integrated risk calculation
  • Up to 1 million Monte Carlo Simulation

Portfolio Analysis/Evaluations

  • No limitation on OLAP hierarchy
  • Reverse hierarchy analysis is available

Feature Comparison

  Credit Risk Market Risk Market & Credit Risk
  Professional Professional Lite Professional Enterprise
Method and Scenario Generation Monte Carlo Simulation Market + Credit Risk      
Credit Risk    
Market Risk    
Historical Simulation Market Risk  
Stress test Simulation Market Risk(valuation changes are always based on the value of the instrument at t=0)  
Variance-covariance VaR  
Fundamental theory:Merton model(Merton[1974])    
Random number algorithm Mersenne Twister, Numerical Recipes ran2  
Convergence Improvement Quadratic resampling, Credit scenario adjustment  
Yield Scenario Principal Component Analysis in Monte Carlo Simulation    
Calculate UFR by Smith-Wilson Method etc.    
Portfolio Analysis/Evaluations Simulation VaR EL, UL, Percentile VaR, Marginal VaR, Conditional VaR
Risk Contribution    
Interest rate sensitivity Duration, BPV, Modified convexity  
Option indicators Delta, Gamma, Vega, Rho  
Analysis axis Hierarchized display of Transaction based/Obligor based information    
Accounting method DM, MTM or Mixed-mode accounting    
Fair Value
Prepayment Fixed deposit, Mortgage loan, Policyholder loan and more  
Financial Instruments Interest-related Loan, Bond    
Loan-deposit transactions, Bond, Swap and more  
Spot Stock    
Spot/Forward related instrument Stock, Fund, Foreign-exchange reserves  
Option Stock, Index, Currency, Swap, Bond  
Display functions Hierarchized OLAP (Online Analytical Processing) display Aggregation by obligors/contracts
Transaction information Balance, Maturity, Book value, Market Value, Profit and Loss, and more
Contract information Transaction attribute, Obligor attribute, Cash flow table and more
Ladder information Principal ladder, Cash flow ladder, Exposure, GPS and more