Risk Management Group
The main aim of Risk Management Group (RMG) is to identify, determine, measure, monitor and control risks due to the policies and application procedures that have been structured in order to monitor, keep under control and to change if necessary banks future cash flow risk – revenue structure and activities linked with the cash flow.
RMG is administratively responsible and organizationally dependent on Board of Directors. RMG is responsible to inform upper management and Board about the risk components mentioned below. RMG presents risk management reports to upper management in the ALCO meetings on a weekly basis. Detailed reports are shared with the related upper managers.
Analyses
- Market Risk: VaR calculations are based on a 99 % confidence interval, 1 and 10 days holding period covering all the trading portfolio, Forex, equity positions as well as all the interest sensitive products included in the Bank’s portfolio. Calculations are based on both consolidated and unconsolidated basis.
- Structural Interest Risk: To measure the effect of maturity gap of the bank, calculations are being made on a weekly basis. For every component of the balance sheet TL and FC instruments are separated and duration and yield of every instrument is calculated separately. The effects of hedging instruments are included in the calculation as well.
- Liquidity Risk: Liquidity Risk report is prepared to manage banks liquidity on a weekly basis and presented to the upper management in ALCO meetings.
- Credit Risk: RMG monitors and reports banks budget/realization of provisions by business lines on a monthly basis.
- Economic Capital: RMG simulates banks financial structure according to the biggest financial crisis Turkish financial sector faced in March 2001, on a daily and consolidated basis. This report is presented to the upper management in the ALCO reports on a weekly basis. Every position’s effect is compared with the capital and the loss that may be faced during the crisis is being simulated.
Other functions carried out by Risk Management Group fall under the following categories:
Basel II: This Committee, in which RMG participates effectively, works on Basel II implementation process.
Asset and Liability Management: ALM committee aims to increase the effectiveness of asset liability management through enhancement of the models and possible effects of longer maturity loans.
Profitability analysis: RAROC analysis is used for risk-gain analysis in each line of business.
Legal reports: RMG prepares the required BRSA reports on market risk.