Norwegian Computing Center has over the last 10 years become a major player in financial risk management in Norway with most major banks and insurance companies as customers.

We work a lot with models related to Basel II and Solvency II, and have particularly extensive experience in developing models for measuring risk (credit, market, operational and total risk). Furthermore, we have developed a large number of systems related to trading and risk management (price forecasts, pricing of derivatives, etc.) for various power companies. In addition to software development we also provide consulting, quality assurance and tuition within our core areas.

Our core competence is in statistical-mathematical modeling.  The challenge is often to find the simplest, yet correct, statistical formulation and method to the problem of interest, in close cooperation with our clients.

In addition to solving real life problems, we also do research within general statistical methodology. These activities are mainly organised through basic funding and Big Insight.

Selected projects

Valuation of liabilities for Solvency II

The Solvency II directive for insurance requires valuation of both assets and liabilities under market value. During the last three years, NR has together with a Norwegian life insurance company developed methodology for determining the fair value of the liabilities. We use a stochastic simulation approach, meaning that in addition to the best estimate we also obtain the uncertainty around this estimate.

Basel II and modeling of total risk

The main focus of Basel II is on credit and operational risk. However, the banks also are required to have a strategy for assessing the overall capital adequacy. This means that they need a model that aggregates the different risk types to assess the total risk. NR has long experience in developing risk aggregation models for Norwegian banks.

Improved value estimation of properties

Eiendomsverdi AS has developed an algorithm that automatically estimates the market value of a property, without the need to be present in the property of current interest. We are using statistical methods to improve Eiendomsverdi's methodology for making value estimates more precise.

Price modeling and risk management for commodity markets

We develop models that simulate and make forecasts for electricity prices, and we have also developed pricing models for other commodities such as gas, oil, grains and ferrosilicon. The models are used for pricing, risk management and production optimization.

Risk management for non-financial companies

Non-financial companies are exposed to many different types of risk factors. We have created a model that describes how each of the risk factors will develop in the future and how they correlate. Based on this we will get the probability distribution of the financial result at a given time in the future and not just only a single forecast.