This is a Financial Risks Metric Dashboard (Diamond) Report, it is one of reports that Balanced Scorecard Designer can generate for Financial Risks KPI. With this software you can also design your own scorecards, KPIs and metrics.

Financial Risks

Report includes: 1 day(s), from 28.10.2008 to 28.10.2008

Name

Start value

End value

Dynamic

Contains

Financial Risks

55,96 %

0 %

Business Loans Metrics	(58%, 0%)
Concentration Limits	(39,6%, 0%)
Debt Default and Allowance Metrics	(46,3%, 0%)
Price Sensitivity Metrics	(87%, 0%)

Graph for Financial Risks

Data for Financial Risks

Dates	Value
28.10.2008	55,96

Business Loans Metrics

Name

Start value

End value

Dynamic

Parent

Contains

Business Loans Metrics

57,98 %

Financial Risks

Indicators

Probability of Default

Loss Given Default

Expected Loss *

Loan Concentration to Individual Borrower *

* - Information for this metric is limited in sample report Description Computed for each counterparty separately

Graph for Business Loans Metrics

Data for Business Loans Metrics

Dates	Value	Weight
28.10.2008	57,98	3

Probability of Default

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Probability of Default	2,278	2,278	0	%	Minimize	Business Loans Metrics

Description Probability of default (PD) measures the probability that a given
borrower will default within a 1-year time horizon. Assessment can be based on the internal rating system or rely upon rating agency's judgement.

Graph for Probability of Default

Data for Probability of Default

Dates	Weight	Min	Max	Value
28.10.2008	3	1	10	2,278

Loss Given Default

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Loss Given Default	18,01	18,01	0	Score	Minimize	Business Loans Metrics

Description Loss given default (LGD) represents the amount expected to be lost (and never recovered) when a counterparty or borrower defaults. The level of LGD depends on the type of collateral, the seniority of debt, and historical data.
LGD is shown as a % of the total value of the facility associated with the borrower (e.g. a loan). LGD is usually less then 100%, as Banks usually hold assets as a collateral or hedges this risk.

Graph for Loss Given Default

Data for Loss Given Default

Dates	Weight	Min	Max	Value
28.10.2008	2	10	20	18,01

Concentration Limits

Name

Start value

End value

Dynamic

Parent

Contains

Concentration Limits

39,63 %

Financial Risks

Indicators

Limit by Country

Limit by Industry/Sector

Limit by Credit Rating *

Limit by Purpose for Consumer Loans *

* - Information for this metric is limited in sample report Description Sets limits to loans to the certain group of borrowers based on geographical and other criteria.

Graph for Concentration Limits

Data for Concentration Limits

Dates	Value	Weight
28.10.2008	39,63	3

Limit by Country

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Limit by Country	12,25	12,25	0	%	Maximize	Concentration Limits

Description Based on previous experience and macroeconomic forecasts, Institution decides on the maximum notional amount that could be assigned to each country.
Limit is expressed in the % of the total loan amount
Target description Should be near the limit, but NEVER exceed it

Graph for Limit by Country

Data for Limit by Country

Dates	Weight	Min	Max	Value
28.10.2008	3	10	20	12,25

Limit by Industry/Sector

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Limit by Industry/Sector	8,18	8,18	0	%	Maximize	Concentration Limits

Description Limit is expressed in the % of the total loan amount.
% for each industry is determined by the Institution. The goal is to achieve maximum diversification benefit.
Target description Different for each industry

Graph for Limit by Industry/Sector

Data for Limit by Industry/Sector

Dates	Weight	Min	Max	Value
28.10.2008	3	5	10	8,18

Debt Default and Allowance Metrics

Name

Start value

End value

Dynamic

Parent

Contains

Debt Default and Allowance Metrics

46,34 %

Financial Risks

Indicators

Gross Impaired Loan (GIL) Ratio

Allowance for Credit Losses

Haircut *

Marginal Mortality Rate (MMR) Exposure *

* - Information for this metric is limited in sample report

Graph for Debt Default and Allowance Metrics

Data for Debt Default and Allowance Metrics

Dates	Value	Weight
28.10.2008	46,34	2

Gross Impaired Loan (GIL) Ratio

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Gross Impaired Loan (GIL) Ratio	1,539	1,539	0	%	Minimize	Debt Default and Allowance Metrics

Description Loans are generally classified as impaired when there is no longer
reasonable assurance of timely collection of the full amount of principal or interest.
GIL ratio is Gross impaired loans as a % of gross loans and acceptances

Graph for Gross Impaired Loan (GIL) Ratio

Data for Gross Impaired Loan (GIL) Ratio

Dates	Weight	Min	Max	Value
28.10.2008	3	1	2	1,539

Allowance for Credit Losses

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Allowance for Credit Losses	70,21	70,21	0	%	Maximize	Debt Default and Allowance Metrics

Description The allowance for credit losses is maintained at a level that
management believes is sufficient to absorb probable losses in both the on- and off-balance sheet portfolios.
Allowance for credit losses is expressed as a % of gross impaired loans
The allowance is increased by the provision for credit losses (which is charged to income) and decreased by the amount of write-offs net of recoveries.

Target description Set according to the forecasts

Graph for Allowance for Credit Losses

Data for Allowance for Credit Losses

Dates	Weight	Min	Max	Value
28.10.2008	3	40	230	70,21

Price Sensitivity Metrics

Name

Start value

End value

Dynamic

Parent

Contains

Price Sensitivity Metrics

87,05 %

Financial Risks

Indicators

Delta (Price Risk)

Gamma (Convexity Risk)

Vega (Volatility Risk) *

Theta (Time Decay Risk) *

Rho (Discount Rate Risk) *

* - Information for this metric is limited in sample report Description A Price Sensitivity can be measured by the Contingent Claim Approach (CCA). In CCA the economic value of default is presented as a put option on the value of the firm's assets. The firm's liabilities are viewed as contingent claims against the firms assets with the pay-offs to the various debt-holders completely specified by the seniority and covenants.

Graph for Price Sensitivity Metrics

Data for Price Sensitivity Metrics

Dates	Value	Weight
28.10.2008	87,05	2

Delta (Price Risk)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Delta (Price Risk)	1,518	1,518	0	mln $	Minimize	Price Sensitivity Metrics

Description Delta is the first partial derivative of a portfolio's value with respect to the value of the underlier.
It measures the degree to which the value of the option is influenced by the change in the price of the financial instrument or interest rate.

Graph for Delta (Price Risk)

Data for Delta (Price Risk)

Dates	Weight	Min	Max	Value
28.10.2008	3	1,5	3	1,518

Gamma (Convexity Risk)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Gamma (Convexity Risk)	1,854	1,854	0	mln $	Maximize	Price Sensitivity Metrics

Description Gamma is the second partial derivative of a portfolio's value with respect to the value of the underlier.
It measures the degree to which the option's value is changed as the reference price underlying the option's changes. The higher the gamma - the more valuable the option

Graph for Gamma (Convexity Risk)

Data for Gamma (Convexity Risk)

Dates	Weight	Min	Max	Value
28.10.2008	2	0	2	1,854

Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 20.11.2008 17:13:41