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İş Bankası
Annual Report 2013
Financial Information and Risk Management
TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Unconsolidated Financial Statements
for the Year Ended 31 December 2013
The market risk measurements are carried out by applying the Standard Method at the end of each month and the results are
included in the statutory reports as well as being reported to the Bank’s top management.
The Value at Risk Model (VAR) is another alternative for the Standard Method used for measuring and monitoring market risk. This
model is used to measure the market risk on a daily basis in terms of interest rate risk, currency risk and equity share risk and is a
part of the Bank’s daily internal reporting. Further retrospective testing (back-testing) is carried out on a daily basis to determine the
reliability of the daily risk calculation by the VAR model, which is used to estimate the maximum possible loss for the following day.
Scenario analyses which support the VAR model used to measure the losses that may occur in the ordinary market conditions are
practiced, and the possible impacts of scenarios that are developed based on the future predictions and the past crises, on the value
of the Bank’s portfolio are determined and the results are reported to the Bank’s top management.
The limits set for the market risk management within the framework of the Bank’s asset liability management risk policy, are
monitored by the Risk Committee and reviewed in accordance with the market conditions.
The following table shows details of the market risk calculations carried out within the context of “Standard Method for Market Risk
Measurement” and in compliance with “Regulation on Measurement and Assessment of Capital Adequacy Ratios of Banks” as at
31 December 2013.
1.a
Information on the market risk:
Amount
(I) Capital Requirement against General Market Risk - Standard Method
39,445
(II) Capital Requirement against Specific Risk - Standard Method
2,766
Capital Requirement Specific Risk Related to Securitization Positions-Standard Method
-
(III) Capital Requirement against Currency Risk - Standard Method
229,510
(IV) Capital Requirement against Commodity Risk - Standard Method
53,138
(V) Capital Requirement against Exchange Risk - Standard Method
678
(VI) Capital Requirement against Market Risk of Options - Standard Method
111
(VII) Capital Requirement against Counterparty Credit Risk-Standard Method
85,287
(VIII) Capital Requirement against Market Risks of Banks Applying Risk Measurement Models
-
(IX) Total Capital Requirement against Market Risk (I+II+III+IV+V+VI+VII)
410,935
(X) Value at Market Risk (12.5 x VIII) or (12.5 x IX)
5,136,688
1.b
Table of the average market risk related to the market risk calculated quarterly during the period:
Current Period
Prior Period
(1)
Average Highest
Lowest
Average Highest
Lowest
Interest Rate Risk
38,951
35,383
52,533
27,851
30,814 23,130
Share Certificate Risk
6,645
5,616
5,646 14,486
13,622
15,475
Currency Risk
202,401 285,802 112,206 212,856 234,256 208,179
Commodity Risk
22,407
44,956 24,750
4,719
5,239
1,290
Settlement Risk
603
422
361
406
294
Options Risk
2,282
762
4,707
1,165
2,274
1,673
Counterparty Credit Risk
46,010
53,272
39,126 33,085
33,041
31,435
Total Value at Risk
3,991,238 5,327,663 2,991,613 3,682,100 3,994,250 3,514,775
(1)
As per the legislation on capital adequacy effective from 1 July 2012, due to the calculation of Value At Market Risk methodology, the table is regulated for considering
the period after the date of the above-mentioned.
