This is a Risk Metrics Balanced Scorecard Report, it is one of reports that Balanced Scorecard Designer can generate for Risk Metrics scorecard. With this software you can also design your own KPIs, Balanced Scorecards and metrics.

Risk Metrics

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

Name

Start value

End value

Dynamic

Contains

Risk Metrics

51,07 %

48,77 %

-2,3 %

Expected Loss (EL)	(51,2%, 14,44%)
Economic Capital (EC)	(24,7%, -25,92%)
Liquidity Risk	(52,2%, -3,95%)
Market risk	(54%, -10,28%)
Business Risk	(61,7%, 14,25%)

Graph for Risk Metrics

Data for Risk Metrics

Dates	Value
05.04.2008	51,07
12.04.2008	56,81
19.04.2008	48,18
26.04.2008	41,03
03.05.2008	56,03
10.05.2008	43,34
17.05.2008	46,17
24.05.2008	48,77

Expected Loss (EL)

Name

Start value

End value

Dynamic

Parent

Contains

Expected Loss (EL)

36,79 %

51,23 %

+ 14,44%

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
05.04.2008	36,79	2
12.04.2008	36,59	2
19.04.2008	38,86	2
26.04.2008	60,07	2
03.05.2008	74,59	2
10.05.2008	24,69	2
17.05.2008	50,37	2
24.05.2008	51,23	2

Probability of Default (PD)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Probability of Default (PD)	16,827	5,275	-11,55	%	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
05.04.2008	3	1	20	16,827
12.04.2008	3	1	20	14,262
19.04.2008	3	1	20	9,873
26.04.2008	3	1	20	5,085
03.05.2008	3	1	20	2,026
10.05.2008	3	1	20	19,126
17.05.2008	3	1	20	5,503
24.05.2008	3	1	20	5,275

Expected Exposure (EE) rate

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Expected Exposure (EE) rate	87,96	106,66	+ 18,7	%	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
05.04.2008	3	40	150	87,96
12.04.2008	3	40	150	58,59
19.04.2008	3	40	150	52,21
26.04.2008	3	40	150	135,48
03.05.2008	3	40	150	87,41
10.05.2008	3	40	150	56,61
17.05.2008	3	40	150	103,58
24.05.2008	3	40	150	106,66

Loss Given Default (LGD)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Loss Given Default (LGD)	15,328	66,056	+ 50,73	%	Minimize	Expected Loss (EL)

Description Total losses divided by Exposure at default

Graph for Loss Given Default (LGD)

Data for Loss Given Default (LGD)

Dates	Weight	Min	Max	Value
05.04.2008	2	2	70	15,328
12.04.2008	2	2	70	47,152
19.04.2008	2	2	70	10,568
26.04.2008	2	2	70	65,58
03.05.2008	2	2	70	18,116
10.05.2008	2	2	70	8,868
17.05.2008	2	2	70	54,224
24.05.2008	2	2	70	66,056

Economic Capital (EC)

Name

Start value

End value

Dynamic

Parent

Contains

Economic Capital (EC)

50,64 %

24,72 %

-25,92%

Risk Metrics

Indicators

Return on equity (ROA)

Risk-adjusted return on economic capital (RAROC)

Value-at-Risk (VAR)

Graph for Economic Capital (EC)

Data for Economic Capital (EC)

Dates	Value	Weight
05.04.2008	50,64	2
12.04.2008	58,58	2
19.04.2008	68,63	2
26.04.2008	53,69	2
03.05.2008	45,02	2
10.05.2008	68,25	2
17.05.2008	14,79	2
24.05.2008	24,72	2

Return on equity (ROA)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Return on equity (ROA)	63,95	10,1	-53,85	%	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
05.04.2008	3	5	80	63,95
12.04.2008	3	5	80	62,975
19.04.2008	3	5	80	62,45
26.04.2008	3	5	80	16,85
03.05.2008	3	5	80	20,375
10.05.2008	3	5	80	62,525
17.05.2008	3	5	80	13,25
24.05.2008	3	5	80	10,1

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)	20,57	13,64	-6,93	%	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
05.04.2008	3	5	50	20,57
12.04.2008	3	5	50	37,445
19.04.2008	3	5	50	26,735
26.04.2008	3	5	50	44,105
03.05.2008	3	5	50	31,505
10.05.2008	3	5	50	42,98
17.05.2008	3	5	50	18,455
24.05.2008	3	5	50	13,64

Value-at-Risk (VAR)

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Value-at-Risk (VAR)	31,235	30,965	-0,27	%	Minimize	Economic Capital (EC)

Description The standard deviation of portfolio value

Graph for Value-at-Risk (VAR)

Data for Value-at-Risk (VAR)

Dates	Weight	Min	Max	Value
05.04.2008	4	5	50	31,235
12.04.2008	4	5	50	34,52
19.04.2008	4	5	50	14,945
26.04.2008	4	5	50	24,26
03.05.2008	4	5	50	26,15
10.05.2008	4	5	50	27,59
17.05.2008	4	5	50	47,165
24.05.2008	4	5	50	30,965

Liquidity Risk

Name

Start value

End value

Dynamic

Parent

Contains

Liquidity Risk

56,13 %

52,18 %

-3,95%

Risk Metrics

Indicators

Price Permanent Variable

Price Transitory Variable

Illiquidity

Graph for Liquidity Risk

Data for Liquidity Risk

Dates	Value	Weight
05.04.2008	56,13	2
12.04.2008	57,98	2
19.04.2008	49,36	2
26.04.2008	23,84	2
03.05.2008	60,21	2
10.05.2008	31,34	2
17.05.2008	27,04	2
24.05.2008	52,18	2

Price Permanent Variable

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Price Permanent Variable	43,55	28,61	-14,94	%	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
05.04.2008	3	20	50	43,55
12.04.2008	3	20	50	35,45
19.04.2008	3	20	50	24,62
26.04.2008	3	20	50	24,38
03.05.2008	3	20	50	39,74
10.05.2008	3	20	50	21,98
17.05.2008	3	20	50	21,17
24.05.2008	3	20	50	28,61

Price Transitory Variable

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Price Transitory Variable	27,12	26,36	-0,76	%	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
05.04.2008	3	20	60	27,12
12.04.2008	3	20	60	59,96
19.04.2008	3	20	60	43,6
26.04.2008	3	20	60	43,28
03.05.2008	3	20	60	20,68
10.05.2008	3	20	60	28,16
17.05.2008	3	20	60	46,6
24.05.2008	3	20	60	26,36

Illiquidity

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Illiquidity	16,81	19,7	+ 2,89	%	Maximize	Liquidity Risk

Description The average of the daily return (in absolute value) divided by the dollar volume, multiplied by 100

Graph for Illiquidity

Data for Illiquidity

Dates	Weight	Min	Max	Value
05.04.2008	4	10	20	16,81
12.04.2008	4	10	20	13,14
19.04.2008	4	10	20	16,76
26.04.2008	4	10	20	10,5
03.05.2008	4	10	20	19,99
10.05.2008	4	10	20	15,81
17.05.2008	4	10	20	11,48
24.05.2008	4	10	20	19,7

Market risk

Name

Start value

End value

Dynamic

Parent

Contains

Market risk

64,32 %

54,04 %

-10,28%

Indicators

Commodity risk *

* - Information for this metric is limited in sample report

Graph for Market risk

Data for Market risk

Dates	Value	Weight
05.04.2008	64,32	2
12.04.2008	48,8	2
19.04.2008	57,92	2
26.04.2008	60,72	2
03.05.2008	36,66	2
10.05.2008	40,3	2
17.05.2008	60,36	2
24.05.2008	54,04	2

Equity Premium

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Equity Premium	5,956	3,849	-2,107	%	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
05.04.2008	4	1	8	5,956
12.04.2008	4	1	8	2,575
19.04.2008	4	1	8	5,634
26.04.2008	4	1	8	7,566
03.05.2008	4	1	8	2,645
10.05.2008	4	1	8	6,663
17.05.2008	4	1	8	7,237
24.05.2008	4	1	8	3,849

Interest Rate Risk

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Interest Rate Risk	1,384	7,856	+ 6,472	%	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
05.04.2008	2	1	9	1,384
12.04.2008	2	1	9	4,36
19.04.2008	2	1	9	6,808
26.04.2008	2	1	9	7,688
03.05.2008	2	1	9	2,472
10.05.2008	2	1	9	6,808
17.05.2008	2	1	9	6,8
24.05.2008	2	1	9	7,856

Currency risk

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Currency risk	20,0265	0,647	-19,38	%	Minimize	Market risk

Description Estimations of applicable currency fluctuations.

Graph for Currency risk

Data for Currency risk

Dates	Weight	Min	Max	Value
05.04.2008	2	0,5	25	20,0265
12.04.2008	2	0,5	25	5,057
19.04.2008	2	0,5	25	9,418
26.04.2008	2	0,5	25	12,3335
03.05.2008	2	0,5	25	21,521
10.05.2008	2	0,5	25	24,363
17.05.2008	2	0,5	25	20,8105
24.05.2008	2	0,5	25	0,647

Business Risk

Name

Start value

End value

Dynamic

Parent

Contains

Business Risk

47,45 %

61,7 %

+ 14,25%

Risk Metrics

Indicators

Capitalization

Discounted Cash Flow

Graph for Business Risk

Data for Business Risk

Dates	Value	Weight
05.04.2008	47,45	2
12.04.2008	82,1	2
19.04.2008	26,15	2
26.04.2008	6,85	2
03.05.2008	63,65	2
10.05.2008	52,1	2
17.05.2008	78,3	2
24.05.2008	61,7	2

Capitalization

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Capitalization	44,7	57,54	+ 12,84	%	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
05.04.2008	5	30	60	44,7
12.04.2008	5	30	60	55,38
19.04.2008	5	30	60	35,76
26.04.2008	5	30	60	31,89
03.05.2008	5	30	60	57,15
10.05.2008	5	30	60	53,13
17.05.2008	5	30	60	52,53
24.05.2008	5	30	60	57,54

Discounted Cash Flow

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Discounted Cash Flow	26,475	22,9	-3,575	%	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
05.04.2008	5	15	40	26,475
12.04.2008	5	15	40	34,9
19.04.2008	5	15	40	23,275
26.04.2008	5	15	40	16,85
03.05.2008	5	15	40	24,2
10.05.2008	5	15	40	21,775
17.05.2008	5	15	40	35,375
24.05.2008	5	15	40	22,9

Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 28.04.2008 23:58:33