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212 A&T BANK ANNUAL REPORT 2015
ARAP TÜRK BANKASI ANONİM ŞİRKETİ
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
AT 31 DECEMBER 2015
(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
III. INFORMATION ON CONSOLIDATED MARKET RISK
Whether the Parent Bank within the financial risk management objectives hedges itself against market risk, the
precautions taken by the Parent Banks’s Board of Directors for market risk, the methods used for measuring
market risk and time intervals for measurement of market risk
The Parent 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, The Parent Bank has regulated its operations about market risk management
lastly within the scope of “Internal Systems and Internal Capital Adequacy Assessment Process Regulation of Banks”
published in Official Journal No 29057 dated 11 July 2014 and “Regulation on Measurement and Evaluation of Capital
Adequacy of Banks” published in Official Journal No 29111 dated 6 September 2014.
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 the Parent 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 the Parent 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 Parent 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 Parent 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.