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Financial Risks

Report includes: 1 month(s) 49 day(s), from 05.04.2008 to 24.05.2008

  Name Start value End value Dynamic Contains
Root Financial Risks 49,78 % 55,93 % + 6,15 %
Business Loans Metrics(51,2%, 2,19%Up)
Concentration Limits(36,7%, -8,47%Down)
Debt Default and Allowance Metrics(77,3%, 47,1%Up)
Price Sensitivity Metrics(70,5%, -6,97%Down)

Graph for Financial Risks

Graph for Financial Risks

Data for Financial Risks

DatesValue
05.04.200849,78
12.04.200840,16
19.04.200850,88
26.04.200841,56
03.05.200842,58
10.05.200857,81
17.05.200850,54
24.05.200855,93

Business Loans Metrics

  Name Start value End value Dynamic Parent Contains
Root Business Loans Metrics 48,97 % 51,16 % + 2,19% 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

Graph for Business Loans Metrics

Data for Business Loans Metrics

DatesValueWeight
05.04.200848,973
12.04.200836,453
19.04.200831,393
26.04.200844,913
03.05.200856,363
10.05.200840,633
17.05.200849,963
24.05.200851,163

Probability of Default

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Probability of Default 6,922 5,428 -1,494 % 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

Graph for Probability of Default

Data for Probability of Default

DatesWeightMinMaxValue
05.04.200831106,922
12.04.200831109,55
19.04.200831109,667
26.04.200831108,731
03.05.200831101,243
10.05.200831103,502
17.05.200831107,381
24.05.200831105,428

Loss Given Default

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Loss Given Default 16,99 18,23 + 1,24 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

Graph for Loss Given Default

Data for Loss Given Default

DatesWeightMinMaxValue
05.04.20082102016,99
12.04.20082102010,12
19.04.20082102014,21
26.04.20082102012,62
03.05.20082102014,44
10.05.20082102015,15
17.05.20082102013,06
24.05.20082102018,23

Expected Loss

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Expected Loss 6,732 6,032 -0,7 mln $ Minimize Business Loans Metrics
Description Exposure is the total value ( in $) that a bank is exposed to at the time of default of the counterparty.
Expected Loss = (Exposure * Probability of Default * Loss given default)



Target description Set by the Institution according to its risk appetite

Graph for Expected Loss

Graph for Expected Loss

Data for Expected Loss

DatesWeightMinMaxValue
05.04.20083596,732
12.04.20083598,484
19.04.20083597,416
26.04.20083596,176
03.05.20083597,3
10.05.20083598,844
17.05.20083595,82
24.05.20083596,032

Concentration Limits

  Name Start value End value Dynamic Parent Contains
Root Concentration Limits 45,16 % 36,69 % -8,47% 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

Graph for Concentration Limits

Data for Concentration Limits

DatesValueWeight
05.04.200845,163
12.04.200857,733
19.04.200868,613
26.04.200828,753
03.05.200836,923
10.05.200884,363
17.05.200861,973
24.05.200836,693

Limit by Country

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Limit by Country 15,76 13,78 -1,98 % 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

Graph for Limit by Country

Data for Limit by Country

DatesWeightMinMaxValue
05.04.20083102015,76
12.04.20083102015,24
19.04.20083102016,32
26.04.20083102015,33
03.05.20083102017,39
10.05.20083102019,58
17.05.20083102016,99
24.05.20083102013,78

Limit by Industry/Sector

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Limit by Industry/Sector 7,92 5,925 -1,995 % 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

Graph for Limit by Industry/Sector

Data for Limit by Industry/Sector

DatesWeightMinMaxValue
05.04.200835107,92
12.04.200835108,735
19.04.200835108,955
26.04.200835105,78
03.05.200835105,275
10.05.200835109,61
17.05.200835106,69
24.05.200835105,925

Limit by Credit Rating

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Limit by Credit Rating 12,91 17,28 + 4,37 % Maximize Concentration Limits
Description % of Total loans assigned to each grade - from investment to high yield grade

Graph for Limit by Credit Rating

Graph for Limit by Credit Rating

Data for Limit by Credit Rating

DatesWeightMinMaxValue
05.04.20082102012,91
12.04.20082102016,7
19.04.20082102015,22
26.04.20082102013,17
03.05.20082102010,23
10.05.20082102017,76
17.05.20082102016,45
24.05.20082102017,28

Debt Default and Allowance Metrics

  Name Start value End value Dynamic Parent Contains
Root Debt Default and Allowance Metrics 30,22 % 77,32 % + 47,1% 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

Graph for Debt Default and Allowance Metrics

Data for Debt Default and Allowance Metrics

DatesValueWeight
05.04.200830,222
12.04.200820,712
19.04.200862,612
26.04.200844,622
03.05.200832,042
10.05.200848,052
17.05.200838,322
24.05.200877,322

Gross Impaired Loan (GIL) Ratio

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Gross Impaired Loan (GIL) Ratio 1,957 1,212 -0,745 % 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

Graph for Gross Impaired Loan (GIL) Ratio

Data for Gross Impaired Loan (GIL) Ratio

DatesWeightMinMaxValue
05.04.20083121,957
12.04.20083121,936
19.04.20083121,074
26.04.20083121,994
03.05.20083121,965
10.05.20083121,083
17.05.20083121,3
24.05.20083121,212

Allowance for Credit Losses

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Allowance for Credit Losses 175,09 175,28 + 0,19 % 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

Graph for Allowance for Credit Losses

Data for Allowance for Credit Losses

DatesWeightMinMaxValue
05.04.2008340230175,09
12.04.200834023075,53
19.04.200834023059,95
26.04.2008340230211,38
03.05.2008340230153,43
10.05.2008340230101,94
17.05.200834023055,2
24.05.2008340230175,28

Haircut

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Haircut 0,315 4,75 + 4,435 % Maximize Debt Default and Allowance Metrics
Description Measured in % for each asset class of collateral.
This is a Bank's commission paid net of collateral covering its risk exposure in exchange for willingness to keep the collateral.

Graph for Haircut

Graph for Haircut

Data for Haircut

DatesWeightMinMaxValue
05.04.20082050,315
12.04.20082052,485
19.04.20082054,22
26.04.20082053,53
03.05.20082050,345
10.05.20082051,975
17.05.20082050,84
24.05.20082054,75

Price Sensitivity Metrics

  Name Start value End value Dynamic Parent Contains
Root Price Sensitivity Metrics 77,51 % 70,54 % -6,97% 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

Graph for Price Sensitivity Metrics

Data for Price Sensitivity Metrics

DatesValueWeight
05.04.200877,512
12.04.200838,82
19.04.200841,782
26.04.200852,672
03.05.200840,942
10.05.200853,522
17.05.200846,52
24.05.200870,542

Delta (Price Risk)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Delta (Price Risk) 1,7175 2,1975 + 0,48 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)

Graph for Delta (Price Risk)

Data for Delta (Price Risk)

DatesWeightMinMaxValue
05.04.200831,531,7175
12.04.200831,532,655
19.04.200831,532,3745
26.04.200831,532,3655
03.05.200831,532,6265
10.05.200831,532,6445
17.05.200831,532,145
24.05.200831,532,1975

Gamma (Convexity Risk)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Gamma (Convexity Risk) 1,606 1,848 + 0,242 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)

Graph for Gamma (Convexity Risk)

Data for Gamma (Convexity Risk)

DatesWeightMinMaxValue
05.04.20082021,606
12.04.20082021,614
19.04.20082020,256
26.04.20082020,398
03.05.20082021,864
10.05.20082021,836
17.05.20082021,722
24.05.20082021,848

Vega (Volatility Risk)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Vega (Volatility Risk) 1,45 1,742 + 0,292 mln $ Maximize Price Sensitivity Metrics
Description Vega is the first partial derivative of a portfolio's value with respect to the value of implied volatility:
It measures the sensitivity of the change in option's value to changes in the volatility of the underlying instrument. The higher Vega the more valuable the option

Graph for Vega (Volatility Risk)

Graph for Vega (Volatility Risk)

Data for Vega (Volatility Risk)

DatesWeightMinMaxValue
05.04.20082021,45
12.04.20082020,194
19.04.20082021,36
26.04.20082021,798
03.05.20082020,536
10.05.20082020,93
17.05.20082020,776
24.05.20082021,742
Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 28.04.2008 23:51:00

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