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A&T BANK 2014 FAALİYET RAPORU
ANNU L R PORT 2014
Convenience Translation of Publicly Announced Unconsolidated Financial
Statements Originally Issued in Turkish, See Note I of Section Three
Arap Türk Bankası A.Ş.
Notes to Unconsolidated Financial
Statements at 31 December 2014
( Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated. )
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%.
Information related to market risk
Current Period
Prior Period
(I) Capital requirement to be employed for general market risk-Standard method
2,010
1,624
(II) Capital requirement to be employed for specific risk-Standard method
2,045
1,503
(III) Standard method for specific risk of necessary capital requirement on
securitization positions
-
-
(IV)Capital requirement to be employed for currency risk-Standard method
15,034
10,891
(V)Capital requirement to be employed for commodity risk-Standard method
-
-
(VI)Capital requirement to be employed for settlement risk-Standard method
-
-
(VII)Total capital requirement to be employed for market risk resulting from
options–Standard method
-
-
(VIII)Counterparty credit risk capital requirement-Standard method
40
-
(IX) Total capital requirement to be employed for market risk in banks using
risk measurement model
-
-
(X) Total capital requirement to be employed for market risk
(I+II+III+IV+V+VI+VII+VIII)
19,129
14,018
(XI) Market Value at Risk (12.5 x IX) or (12.5 x X)
239,113
175,225
Information related to market risk calculated by the month ends of the current period
Average
Highest
Lowest
Interest Rate Risk
39,293
50,688
36,313
Share Certificates Risk
-
-
-
Currency Risk
204,582
650,113
147,625
Commodity Risk
-
-
-
Exchange Risk
-
-
-
Option Risk
-
-
-
Counterparty Risk
78
500
-
Total Value at Risk
243,952
691,750
186,688