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PART III: FINANCIAL HIGHLIGHTS AND RISK MANAGEMENT
Risk management activities continued also in
2015 in line with the Bank’s risk management
policies that were prepared in parallel to
legislation and international practices and then
approved by the Board of Directors.
With its expanded organization structure,
in 2014, due to the new developments
in risk management and the increasing
expectations from risk management function,
Risk Management Department continued to
be structured also in 2015 in conformity with
the regulations of the Banking Regulation
and Supervision Agency. Within this scope,
under the structure of the Risk Management
Department – carrying out its activities with
Credit Risk and Operational Risk Management
Department, Market Risk Management
Department and Treasury Reporting and Middle
Office Department –in July 2015; Credit Risk
Control Department was established to be in
charge of designing or selecting, activating,
supervising, analyzing and reporting the
rating systems, besides being responsible
for the performance of these systems, and;
Validation Department was established to be
in charge of i) establishing strong and reliable
systems to validate the forecasts regarding all
risk parameters related to the accuracy and
consistency of the rating systems and processes,
ii) evaluating the supervision and control
procedures that ensure the accuracy of the risk
forecasts, iii) monitoring, in an interpretive and
consistent manner, the performance of the
internal rating and risk forecast systems and all
models used by the Bank.
With the “Regulation on Banks’ Internal Systems
and Internal Capital Adequacy Evaluation
Process” issued in July 2014 by the Banking
Regulation and Supervision Agency (BRSA), and
in line with the “Good Practice Guide” issued as
per the mentioned Regulation, an updating and
improving process of the Bank’s existing risk
management policy documents was launched
and completed in February 2015.
In line with the “Good Practice Guides” and
the mentioned Regulation, an “Internal Capital
Adequacy Evaluation Process (İSEDES) Report”
for the period of 2014 was prepared and
submitted to BRSA in 2015.
Within the scope of Risk Management and
Capital Adequacy, other regulations of BRSA and
Basel Committee (BIS) were tracked.
Regarding the impacts of the economic
developments and expectations on the Capital
Adequacy Ratio; daily scenario analysis besides
the weekly monitoring of Standard Ratio of the
Interest Rate Risk Resulting From Banking Books,
and Liquidity Coverage Ratio continued in 2015.
At the end of each month, Stress Test Reports,
covering all risk factors, were issued and
reported regularly to the top management.
Studies in the calculation of the Market Risk over
the “Value at Risk (RMD)” model and studies
about improving the model were proceeded.
Within the scope of operational risk
management, studies in collecting and analyzing
the operational loss data were repeated,
and moreover the Impact Analysis made
on the business processes was completed.
Furthermore, the studies for the evaluation of
Operational Risk data on consolidated basis are
in progress.
Efforts to monitor and develop risk management
practices have been conducted within the
scope of national and international regulatory
authorities’ approaches and internationally best
practices.
Within the Treasury Reporting and Middle Office
Department; KGR (Treasury Department Bank
Limit Monitoring System) is used for monitoring
compliance with the limits applied to the banks
the Treasury Department is authorized (by our
Board of Directors) to make transactions with.
On this system; Loan Limits and Reconciliation
Limits are synchronously monitored while
treasury users are given the opportunity to
make inquiries about the limits’ status before
making transaction with the banks. Necessary
warning signals were developed for exceeded
limits in the system. All risk figures reflected
on bank limits within the scope of treasury
transactions, are shared with all users 2 times
a day (closing in the evening; opening in the
morning) and, when necessary, systemic
reportings are shared with (Reports About
Warnings Before Exceeding Limits, Reports
About Exceeded Limits) all users and relevant
Executive Vice Presidents of the Bank.
In the Bank; with the aim of building the
Middle Office Management (Middle Office
Management) system’s infrastructure, and
integrating this system with the other treasury
systems used by the Bank, the Treasury
Valuation Module Project was planned in 3
Phases and the 1
st
Phase of the project was
launched in 2015.
Within the scope of the Project; 4 modules were
installed in the Bank.
1. Treasury Valuation Module (Reporting the
daily values of the Treasury Portfolios based
on market prices)
2. Limit Management System (Monitoring
Compliance With Board of Directors’ Limit
Decisions)
3. Market Control Module (Controlling if
transaction prices differ from market prices or
not)
4. Treasury Profit/Loss Module (Daily, monthly,
annually funded p/l calculations on
transactions)
With the formulated structure, transactions will
be uploaded to the Treasury Valuation Module
via Kondor + program and VIT. After reconciling
(via data transfer reconciliation) the market
data uploaded from Bloomberg and Reuters, the
Department will be reporting the transaction
data. With this module, the plan is to; i) monitor
the potential changes in all Treasury portfolios
compared to market prices, and their impacts,
ii) control the simulations (stress tests) to be
made, besides the suitability of the market
prices of the transactions performed, and iii)
prepare funded P/L reports.
Treasury Reporting and Middle Office
Department Activity Reports are presented
biannually to the Audit Committee, as
information is given to the Committee Members
about the control results of the Treasury
Transactions, and the activities carried out.
Market Risk
The Bank is exposed to market risk depending
on potential changes in foreign exchange rates,
interest rates and the market price of stocks
resulting from fluctuations in financial markets.
The market risk arising from the Bank’s trading
activities is measured and monitored using the
Standard Method and internal models in line
with local and international banking practices.
Market Risk management is carried out pursuant
to the “Market Risk Management Policy
Document.”
RISK MANAGEMENT POLICIES APPLIED BY RISK TYPE
