Case Study: Nykredit minimizes operational risk and triples productivity with MathWorks (MATLAB)

Nykredit Develops Risk Management and Portfolio Analysis Applications to Minimize Operational Risk

Nykredit’s Analytic Support Unit in Asset Management faced high operational risk and slow turnaround from relying on spreadsheets for risk and portfolio analysis. Needing rapid algorithm development, reliable data access, visualization, and deployable production tools—and lacking the time to build a full solution in C++—they turned to MathWorks technologies such as MATLAB, Database Toolbox, and MATLAB Compiler to replace fragile spreadsheet workflows.

Using MathWorks’ MATLAB environment and toolboxes, the team imported Oracle data, developed and tested risk metrics (including value at risk and expected shortfall), ran copula simulations, reused C++ routines, and built GUIs and standalone applications with MATLAB Compiler for portfolio managers. The MathWorks-based solution tripled development productivity (development is three to five times faster than C++), reduced analysis time from days to hours (example: option-adjusted spread analysis from a week to half a day), and all but eliminated operational spreadsheet risk across Nykredit’s asset management organization.

Nykredit

Peter Ahlgren

Analyst