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ARAP TÜRK BANKASI A.Ş.
NOTES TO UNCONSOLIDATED FINANCIAL
STATEMENTS AT 31 DECEMBER 2013
( Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated. )
CONVENIENCE TRANSLATION OF PUBLICLY ANNOUNCED UNCONSOLIDATED FINANCIAL
STATEMENTS ORIGINALLY ISSUED IN TURKISH, SEE NOTE I OF SECTION THREE
Past due but not impaired loans and receivables aging
31 December 2013 31 December 2012
0-30 days
-
113
30-60 days
-
-
60-90 days
2,410
-
90 days or more
-
-
Total
2,410
113
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 Internal Systems of Banks” and “Regulation on Measurement and Evaluation of Capital Adequacy of Banks” published
in Official Journal No 28337 as of 28 June 2012 lastly.
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 the early warning limit of Amount Exposed to Market Risk / Equity ratio as maximum%50,
in order to limit market risk is calculated with Standard method. In order to limit daily VaR results, the early warning limit of daily VaR /
Equity ratio is determined as max. %1.