106 VAKIFBANK
ANNUAL REPORT 2015
The market risk measurement results are
calculated monthly on an unconsolidated and
a consolidated basis by using the Standard
Method under the provisions of the “Regulation
on Measurement and Evaluation of Capital
Adequacy of Banks” and are reported to the
Bank’s top management and to the Banking
Regulation and Supervision Agency. The
portfolio, which is used in the calculation,
is determined under the Bank’s “Trading
Strategy, Policy and Implementation Procedures
Document.”
Moreover, VaR (Value at Risk) calculations are
made on a daily basis and reported accordingly.
VaR is calculated on a daily basis via Historical
Simulation and the Monte Carlo Simulation using
a one-sided 99% confidence interval. The VaR
calculated for one day is scaled to 10 business
days on the basis of the square-root-of-time
rule. The historical observation period used for
VaR calculation is one year.
The Bank performs daily backtesting analyses
in order to test the reliability and performance
of the model results. Furthermore, scenario
analyses and stress tests are performed to
support the Standard Method and internal
models.
With the aim to restrict the market risks, VaR-
based limit practices followed according to the
overall bank limit and early warning signal are
monitored on a daily basis.
Interest Rate Risk
Interest rate risk, which the Bank may be
exposed to due to maturity mismatch on
its balance sheet, is managed pursuant to
the “Interest Rate Risk Management Policy
Document.” Besides, The Standard Ratio of
the Interest Rate Risk on the Banking Book is
calculated on a monthly basis and reported to
the BRSA; in order to monitor the ratio and to
take the required precautions, these calculations
can be performed on a weekly basis.
Furthermore, Repricing Gap Analysis and Interest
Rate Risk reporting are made, and duration
results are analyzed. All results of the analysis
are reported to the Board of Directors, Audit
Committee and Bank’s top management.
Furthermore, studies were launched for setting
limits on the basis of maturity segments.
Liquidity Risk
The Bank’s liquidity risk is managed in
accordance with the “Liquidity Risk Management
Policy Document.” The Bank’s approach for
liquidity risk management is to monitor liquidity
risk throughout the day on a continuous basis.
To this end, cash inflows and outflows in both
Turkish lira and foreign exchange are tried
to be kept under control at any moment,
long-term cash flow tables are prepared, and
scenario analysis and stress tests based on the
experiences and expectations are performed
in order to determine the Bank’s strength
against sudden crises. In addition to all, our
Bank complies with and monitors regulatory
authorities’ stipulations regarding liquidity. In
2015, activities were carried out to determine
liquidity risk appetite.
Operational Risk
Operational risk refers to the likelihood of
damage, including legal risk, which may
arise from inadequate or failed internal
processes, people and systems or from external
events. The management of operational
risks is performed in accordance with the
“Operational Risk Framework,” which was
created for the determination and definition
of all the significant risks faced by the Bank
in comprehensive categories and which is
a common dictionary containing examples
of these risks, and the Bank’s “Operational
Risk Management Policy and Implementation
Guidelines” document. The evaluation of
the operational risks is carried out by Audit
Board and Internal Audit Departments. In the
management of operational risk, the Bank
collects operational risk loss and potential risk
data, which also enable the implementation of
the advanced measurement approaches. The
operational loss data is analyzed in order to
identify the risk factors and the findings were
presented to the Bank’s management.
Within the scope of the project carried out
within the framework of the Corporate Risk
Management Principles, transfer of operational
risk loss and collection data and Impact Analysis
studies to the integrated infrastructure (built
with the relevant project) was launched.
Activities carried out to evaluate Operational
Risk data on consolidate basis are proceeded.
The Impact Analysis studies covering the Head
Office Departments were remade through
the analysis of the business processes to get
operational risks under control by identifying
inefficient and inadequate controls and taking
necessary measures. Studies on “Findings
Tracker” and evaluation of changing and
incipient business processes within the scope of
Impact Analysis are constantly proceeded.
Risk assessments related to the new products
are made within the scope of the “New Product
Development Regulation.”
Moreover, risk assessments related to the
purchase of the support services are made
within the scope of the “Support Service
Procurement Procedures and the Risk
Management Program.”
In 2015, Operational Risk Management Policy
Document was updated within the scope of
the new developments and arising needs.
Furthermore, “New Product Development
Directive” and “Support Service Procurement
Procedures Risk Management Program” were
reviewed. “Value At Operational Risk” is
calculated on unconsolidated and consolidated
basis, with a “Key Indicator Approach” within
the framework of the provisions of the
“Regulation On Measurement and Evaluation
Capital Adequacy of Banks”, and annually
reported to the Bank’s top management
and the Banking Regulation and Supervision
Agency. Bank’s ultimate target is to use
advanced measurement approach in measuring
Operational Risk. Activities continue within the
framework of the relevant legislation, in order
to calculate Operational Risk with Advanced
Measurement Approach.
RISK MANAGEMENT POLICIES APPLIED BY RISK TYPE
