Page 101 - A&T BANK ANNUAL REPORT 2012

99 98 A&T BANK 2012 ANNUAL REPORT •
ARAP TÜRK BANKASI ANONİM ŞİRKETİ
UNCONSOLIDATED FINANCIAL REPORT
AS OF 31 DECEMBER 2012
(Currency: Thousands of Turkish Lira (“TL”) unless otherwise stated)
Convenience Translation of Consolidated Financial
Report Originally Issued in Turkish
See Note on I. in Section Three
III. Information on Market Risk
Bank’s operations about risk management are carried out complying with “Regulation on Bank’s regulation about internal
systems” and “Regulation on Measurement and Evaluation of Capital Adequacy of Banks”.
To be in compliance with governances, Bank has regulated its operations about market risk management within the scope of
“Regulation on Measurement and Evaluation of Capital Adequacy of Banks” published in Official Journal No 28337 of 28 June
2012 from 1 July 2012.
To implement methods of risk managements’ policy, strategy, implementations that approved by board of directors; to report
bank’s potential important risks to board of directors on time and accurately, internal control about units, to evaluate risk and
internal auditing reports and to correct risks, faults, inadequacies occurred in those units or to take necessary measures and to
be incorporate into process of determining risk limits are in charge of senior management.
Board of directors is reviewing efficiency of risk management systems through the agency of auditing committee, other
relevant committees, senior management and also in consideration of various risk reports and evaluations made by auditing
committee.
Risk policies and methods of implementations which are determined for market risk that bank is exposed to, is approved by
board of directors and being reviewed regularly. Market risk is managed by the way of measuring, limiting risks in compliance
with international standards and putting capital aside according to those results.
Risk Management Department is analyzing and calculating bank interest rate in consideration of various dimensions within the
scope of market risk management operations.
Interest rate and currency risk is being measured within the scope of market risk that calculated according to standard method
and included to calculation of capital requirement standard ratio.
Besides of standard method, value at risk method (VRM) is used for calculating changes in risk factors and its’ effects on bank
portfolio. Subjected method is tested by retrospective test method.
Stress tests are made to analyze the possible effects of Interest and rate fluctuations on bank on a monthly basis.
Moreover, scenario analyses are made to classify expectations of possible changes at risk factors based on various interest
rate and exchange rate level expectations.
Board of directors determined limits to evaluate the results of standard methods and daily value at risk method results. Also
limits are determined for credit risk and capital requirements ratio by board of directors.
The Bank’s market risk is calculated on a monthly basis using the “Standard Method”. Interest rate risks and exchange rate
risks, factors of the market risks, are periodically analyzed using different methods (ratio analysis, duration, gap, sensitivity,
etc.).
With stress testing methods, the effect of extraordinary fluctuations of risk factors on the Bank is measured on a monthly basis
and in case the necessity arises. Different scenarios based on changes in risk factors are measured with scenario analysis. All
the analysis mentioned above are tested in a retrospective manner to ensure the reliability of the tests.
The Board of Directors has determined limits at the level of risk factors in order to restrain the market risk. The ratio of the
Market Risk/Equity rate can be maximum 55% and for limiting daily VAR results, the amount under daily risk/equity rate can
be maximum 2%.