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


Market Risk

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

  Name Start value End value Dynamic Contains
Root Market Risk 42,14 % 42,14 % 0 %
Interest Rate Risk Metrics(44,6%, 0%)
Foreign Exchange Risk Metrics(36,7%, 0%)
Trading Portfolio Risk Metrics(64,9%, 0%)
Off-balance Sheet Metrics(26,3%, 0%)
Liquidity Metrics(38,2%, 0%)

Graph for Market Risk

Graph for Market Risk

Data for Market Risk

DatesValue
28.10.200842,14

Interest Rate Risk Metrics

  Name Start value End value Dynamic Parent Contains
Root Interest Rate Risk Metrics 44,62 % 44,62 % 0% Market Risk
Indicators
Net Interest Income (using Repricing Gap)
Duration Gap Model

Graph for Interest Rate Risk Metrics

Graph for Interest Rate Risk Metrics

Data for Interest Rate Risk Metrics

DatesValueWeight
28.10.200844,622

Net Interest Income (using Repricing Gap)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Net Interest Income (using Repricing Gap) 8,71 8,71 0 Mln $ Maximize Interest Rate Risk Metrics
Description The Repricing Gap is the difference between assets whose interest rates will be repriced or changed over some future period (rate-sensitive assets) and liabilities whose interest rate will be repriced or changed over some future period (rate-sensitive liabilities).
Change in the net interest income is calculated as: Repricing Gap (mln $) * Interest Rate Change (%)
Both Repricing Gap and Interest Rate Change could be positive or negative
Change in net interest income can be calculated for each of the maturity buckets separately.
Target description According to Bank's policy

Graph for Net Interest Income (using Repricing Gap)

Graph for Net Interest Income (using Repricing Gap)

Data for Net Interest Income (using Repricing Gap)

DatesWeightMinMaxValue
28.10.200840108,71

Duration Gap Model

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Duration Gap Model 4,185 4,185 0 Years Minimize Interest Rate Risk Metrics
Description Duration is the weighted average time to maturity calculated using the relative present values of the asset or liability cash flows as weights.
Duration Gap = Duration of Assets - Duration of Liabilities
Target description Target value for Duration Gap is 0

Graph for Duration Gap Model

Graph for Duration Gap Model

Data for Duration Gap Model

DatesWeightMinMaxValue
28.10.20086054,185

Foreign Exchange Risk Metrics

  Name Start value End value Dynamic Parent Contains
Root Foreign Exchange Risk Metrics 36,7 % 36,7 % 0% Market Risk
Indicators
Currency Risk Exposure
FOREX Hedging Efficiency

Graph for Foreign Exchange Risk Metrics

Graph for Foreign Exchange Risk Metrics

Data for Foreign Exchange Risk Metrics

DatesValueWeight
28.10.200836,72

Currency Risk Exposure

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Currency Risk Exposure 85,6 85,6 0 % Maximize Foreign Exchange Risk Metrics
Description Assets denominated in foreign currencies divided by liabilities in the same currencies * 100%

Graph for Currency Risk Exposure

Graph for Currency Risk Exposure

Data for Currency Risk Exposure

DatesWeightMinMaxValue
28.10.200856010085,6

FOREX Hedging Efficiency

  Name Start value End value Dynamic Measure units Optimization method Parent
Root FOREX Hedging Efficiency 81,88 81,88 0 % Maximize Foreign Exchange Risk Metrics
Description (Total gains from FOREX hedging activities/Total losses from foreign currency translation)*100%

Graph for FOREX Hedging Efficiency

Graph for FOREX Hedging Efficiency

Data for FOREX Hedging Efficiency

DatesWeightMinMaxValue
28.10.200858010081,88

Trading Portfolio Risk Metrics

  Name Start value End value Dynamic Parent Contains
Root Trading Portfolio Risk Metrics 64,9 % 64,9 % 0% Market Risk
Indicators
Value-at-Risk (VaR)
Portfolio Value Adjustments Associated with Credit Ratings

Graph for Trading Portfolio Risk Metrics

Graph for Trading Portfolio Risk Metrics

Data for Trading Portfolio Risk Metrics

DatesValueWeight
28.10.200864,92

Value-at-Risk (VaR)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Value-at-Risk (VaR) 14,13 14,13 0 Mln $ Minimize Trading Portfolio Risk Metrics
Description VAR measures the worst-case loss expected over the 10 days period within a 99% confidence level. VAR is calculated based on end-of-day positions.
Target description Determined by the risk appetite

Graph for Value-at-Risk (VaR)

Graph for Value-at-Risk (VaR)

Data for Value-at-Risk (VaR)

DatesWeightMinMaxValue
28.10.20086102014,13

Portfolio Value Adjustments Associated with Credit Ratings

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Portfolio Value Adjustments Associated with Credit Ratings -5,16 -5,16 0 % Maximize Trading Portfolio Risk Metrics
Description Percentage change in the trading value of the portfolio associated with downgrading in credit ratings.

Graph for Portfolio Value Adjustments Associated with Credit Ratings

Graph for Portfolio Value Adjustments Associated with Credit Ratings

Data for Portfolio Value Adjustments Associated with Credit Ratings

DatesWeightMinMaxValue
28.10.20084-200-5,16

Off-balance Sheet Metrics

  Name Start value End value Dynamic Parent Contains
Root Off-balance Sheet Metrics 26,31 % 26,31 % 0% Market Risk
Indicators
Contractual Obligations
Securitization

Graph for Off-balance Sheet Metrics

Graph for Off-balance Sheet Metrics

Data for Off-balance Sheet Metrics

DatesValueWeight
28.10.200826,312

Contractual Obligations

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Contractual Obligations 17,46 17,46 0 % Minimize Off-balance Sheet Metrics
Description Legally binding contractual obligations (less pension contributions) divided by Current Assets

Graph for Contractual Obligations

Graph for Contractual Obligations

Data for Contractual Obligations

DatesWeightMinMaxValue
28.10.20083102017,46

Securitization

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Securitization 16,335 16,335 0 % Maximize Off-balance Sheet Metrics
Description % of securitized loans in the total loans

Graph for Securitization

Graph for Securitization

Data for Securitization

DatesWeightMinMaxValue
28.10.20087152016,335

Liquidity Metrics

  Name Start value End value Dynamic Parent Contains
Root Liquidity Metrics 38,16 % 38,16 % 0% Market Risk
Indicators
Liquid Assets Ratio
Surplus Liquid Position
Net Deposit Drains *
Loans to Deposits *
* - Information for this metric is limited in sample report

Graph for Liquidity Metrics

Graph for Liquidity Metrics

Data for Liquidity Metrics

DatesValueWeight
28.10.200838,162

Liquid Assets Ratio

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Liquid Assets Ratio 20,74 20,74 0 % Maximize Liquidity Metrics
Description A minimum ratio of liquid assets to total assets, usually set by the Central Bank.

Graph for Liquid Assets Ratio

Graph for Liquid Assets Ratio

Data for Liquid Assets Ratio

DatesWeightMinMaxValue
28.10.20083204020,74

Surplus Liquid Position

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Surplus Liquid Position 16,064 16,064 0 % Minimize Liquidity Metrics
Description Surplus Liquid Position equals to Total Liquid Assets less the Bank’s unsecured wholesale funding requirements, potential non-wholesale deposit run-off and contingent liabilities coming due in 90 days
Surplus Liquid Position in % = (Surplus Liquid Position/Total Liquid Assets)*100%

Graph for Surplus Liquid Position

Graph for Surplus Liquid Position

Data for Surplus Liquid Position

DatesWeightMinMaxValue
28.10.2008243016,064
Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 20.11.2008 17:21:42

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