SINGAPORE – 6 MARCH 2014 – Numerical Technologies announced the latest release of NtInsight® for OpRisk, an operational risk management system that caters to the requirements of financial institutions that have adopted the Loss Distribution Approach (LDA) to estimate losses. LDA is one of the proposed Advanced Measurement Approaches (AMA) and estimates operational losses using the Value-at-Risk (VaR) approach to measuring risk.
NtInsight for OpRisk supports high-performance Monte Carlo simulation, what-if/scenario analysis, and multidimensional analysis (OLAP).
- What-If/Scenario Analysis – scenario analysis is an important operational risk management tool that allows organizations to assess the impact of exceptional but realistic loss events. The NtInsight for OpRisk What-If feature enables risk managers to perform on-the-fly addition of new scenarios, and modification or deletion of existing ones. Values are recalculated immediately allowing managers to verify and analyze in real time a scenario’s impact on the annual loss, event statistics, and frequency and severity distributions, before the new set of loss information is submitted for simulation.
- Multidimensional Analysis – NtInsight for OpRisk represents loss information in a multidimensional OLAP structure that allows risk to be segmented not only according to business lines and loss events (as required by the BCBS) but also according to categories such as geographical location, organizational structure, and industry exposures. With this feature, managers have the ability to perform multidimensional queries and analyze simulation results from different vantage points.
- High Performance Monte Carlo Simulation – modeling operational risk using LDA can be achieved through Monte Carlo simulation. Numerical Technologies has developed a powerful and reliable Monte Carlo engine that allows NtInsight for OpRisk to achieve accelerated 1,000,000 Monte Carlo simulations even when processing tens of thousands of loss information.
- Rich Analytic Capability and Transparency – NtInsight for OpRisk offers a rich set of analytic tools that includes PDF, PMF, severity distribution analysis, and loss amount vs loss frequency analysis. It provides a transparent environment where intermediate parameters and calculations are made available for verification.
- Comprehensive Risk Indicators – risk managers have access to a comprehensive set of risk indicators and statistics, such as VaR, Unexpected Loss (UL), Conditional VaR (CVaR), CVaR/VaR, and loss mean and standard deviation.