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İş Bankası
Annual Report 2013
Financial Information and Risk Management
TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Consolidated Financial Statements
for the Year Ended 31 December 2013
The VAR Method is another alternative for the Standard Method in measuring and monitoring market risk carried by the Parent Bank.
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 Parent 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 method 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 Parent Bank’s portfolio are determined and the results are reported to the Top Executive Management. Financial
participations also make VAR calculations within the frame determined by the Parent Bank, and the results are reported to the
Parent Bank’s top management.
The limits set for the market risk management within the framework of the Parent 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 of
31 December 2013.
1.a.
Information on the market risk:
Amount
(I) Capital Obligation against for General Market Risk - Standard Method
68,801
(II) Capital Obligation against for Specific Risk - Standard Method
82,875
Capital Obligation for Specific Risk Related to Securitization Positions-Standard Method
(III) Capital Obligation against for Currency Risk - Standard Method
244,266
(IV) Capital Obligation against for Stocks Risk - Standard Method
53,139
(V) Capital Obligation against for Exchange Risk - Standard Method
678
(VI) Capital Obligation against for Market Risk of Options - Standard Method
492
(VII) Capital Obligation against for Counterparty Credit Risk-Standard Method
87,866
(VIII) Capital Obligation against for Market Risks of Banks Applying Risk Measurement Models
(IX) Total Capital Obligation against for Market Risk (I+II+III+IV+V+VI+VII)
538,117
(X) Value at Market Risk (12.5 x VIII) or (12.5 x IX)
6,726,463
1.b.
Table of the average market risk related to the market risk calculated quarterly during the period
(1)
:
Current Period
Prior Period
(2)
Average Highest
Lowest
Average Highest
Lowest
Interest Rate Risk
67,836 84,836
70,014 43,241
46,399 40,082
Share Certificate Risk
82,921
66,840
79,167
85,676 75,626 95,725
Currency Risk
176,745 244,266 130,770 262,126 262,762 261,490
Commodity Risk
27,783
53,139 24,797
10,966
16,022
5,909
Settlement Risk
879
678
361
147
294
Options Risk
4,593
492
8,777
10,705
8,778 12,632
Counterparty Credit Risk
56,583
87,866 44,351
58,066
82,174 33,957
Total Value at Risk
5,216,750 6,726,463 4,477,963 5,886,588 6,150,688 5,622,438
(1)
The balances are calculated as three-months period.
(2)
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.
