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

Risk Metrics

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

Name

Start value

End value

Dynamic

Contains

Risk Metrics

48,46 %

0 %

Expected Loss (EL)	(56,4%, 0%)
Economic Capital (EC)	(68%, 0%)
Liquidity Risk	(33,1%, 0%)
Market risk	(56,5%, 0%)
Business Risk	(28,2%, 0%)

Graph for Risk Metrics

Data for Risk Metrics

Dates	Value
28.10.2008	48,46

Expected Loss (EL)

Name

Start value

End value

Dynamic

Parent

Contains

Expected Loss (EL)

56,45 %

Risk Metrics

Indicators

Probability of Default (PD)

Expected Exposure (EE) rate

Loss Given Default (LGD) *

Unexpected loss *

* - Information for this metric is limited in sample report

Graph for Expected Loss (EL)

Data for Expected Loss (EL)

Dates	Value	Weight
28.10.2008	56,45	2

Probability of Default (PD)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Probability of Default (PD)	13,046	13,046	0	%	Minimize	Expected Loss (EL)

Description Customer’s credit quality measurements (agency debt ratings)

Graph for Probability of Default (PD)

Data for Probability of Default (PD)

Dates	Weight	Min	Max	Value
28.10.2008	3	1	20	13,046

Expected Exposure (EE) rate

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Expected Exposure (EE) rate	114,25	114,25	0	%	Maximize	Expected Loss (EL)

Description Accounts receivables plus current mark-to-market exposure of contracts plus the Expected Potential Future Exposure of contracts divided by the average EE value, multiplied by 100

Graph for Expected Exposure (EE) rate

Data for Expected Exposure (EE) rate

Dates	Weight	Min	Max	Value
28.10.2008	3	40	150	114,25

Economic Capital (EC)

Name

Start value

End value

Dynamic

Parent

Contains

Economic Capital (EC)

68,03 %

Risk Metrics

Indicators

Return on equity (ROA)

Risk-adjusted return on economic capital (RAROC)

Value-at-Risk (VAR) *

* - Information for this metric is limited in sample report

Graph for Economic Capital (EC)

Data for Economic Capital (EC)

Dates	Value	Weight
28.10.2008	68,03	2

Return on equity (ROA)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Return on equity (ROA)	55,325	55,325	0	%	Maximize	Economic Capital (EC)

Description Company revenue minus expenses, divided by Company equity, multipled by 100

Graph for Return on equity (ROA)

Data for Return on equity (ROA)

Dates	Weight	Min	Max	Value
28.10.2008	3	5	80	55,325

Risk-adjusted return on economic capital (RAROC)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Risk-adjusted return on economic capital (RAROC)	35,69	35,69	0	%	Maximize	Economic Capital (EC)

Description Company revenue minus expenses minus expected loss, divided by Company equity, multipled by 100

Graph for Risk-adjusted return on economic capital (RAROC)

Data for Risk-adjusted return on economic capital (RAROC)

Dates	Weight	Min	Max	Value
28.10.2008	3	5	50	35,69

Liquidity Risk

Name

Start value

End value

Dynamic

Parent

Contains

Liquidity Risk

33,08 %

Risk Metrics

Indicators

Price Permanent Variable

Price Transitory Variable

Illiquidity *

* - Information for this metric is limited in sample report

Graph for Liquidity Risk

Data for Liquidity Risk

Dates	Value	Weight
28.10.2008	33,08	2

Price Permanent Variable

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Price Permanent Variable	24,8	24,8	0	%	Maximize	Liquidity Risk

Description Permanent variable (correlated to traded volume) component of price impact, expressed as a percentage

Graph for Price Permanent Variable

Data for Price Permanent Variable

Dates	Weight	Min	Max	Value
28.10.2008	3	20	50	24,8

Price Transitory Variable

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Price Transitory Variable	49,12	49,12	0	%	Maximize	Liquidity Risk

Description Transitory variable (correlated to traded volume) component of price impact, expressed as a percentage

Graph for Price Transitory Variable

Data for Price Transitory Variable

Dates	Weight	Min	Max	Value
28.10.2008	3	20	60	49,12

Market risk

Name

Start value

End value

Dynamic

Parent

Contains

Market risk

56,48 %

Risk Metrics

Indicators

Equity Premium

Interest Rate Risk

Currency risk *

Commodity risk *

* - Information for this metric is limited in sample report

Graph for Market risk

Data for Market risk

Dates	Value	Weight
28.10.2008	56,48	2

Equity Premium

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Equity Premium	6,474	6,474	0	%	Maximize	Market risk

Description The standard deviation of a security's price over a specified period.

Graph for Equity Premium

Data for Equity Premium

Dates	Weight	Min	Max	Value
28.10.2008	4	1	8	6,474

Interest Rate Risk

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Interest Rate Risk	4,496	4,496	0	%	Minimize	Market risk

Description Calculation based on the changes in underlying interest rates and changes in applicable implied volatilities.

Graph for Interest Rate Risk

Data for Interest Rate Risk

Dates	Weight	Min	Max	Value
28.10.2008	2	1	9	4,496

Business Risk

Name

Start value

End value

Dynamic

Parent

Contains

Business Risk

28,25 %

Risk Metrics

Indicators

Capitalization

Discounted Cash Flow

Graph for Business Risk

Data for Business Risk

Dates	Value	Weight
28.10.2008	28,25	2

Capitalization

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Capitalization	31,08	31,08	0	%	Maximize	Business Risk

Description The expected business economic benefit divided by the capitalization rate

Graph for Capitalization

Data for Capitalization

Dates	Weight	Min	Max	Value
28.10.2008	5	30	60	31,08

Discounted Cash Flow

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Discounted Cash Flow	28,225	28,225	0	%	Maximize	Business Risk

Description A stream of future economic benefits discounted to their present value.

Graph for Discounted Cash Flow

Data for Discounted Cash Flow

Dates	Weight	Min	Max	Value
28.10.2008	5	15	40	28,225

Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 20.11.2008 17:30:02