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The Bank uses rating and scoring models for
the assessment of the debtor’s credit quality.
For the mentioned models, validation studies
are made at regular intervals.
Credit Risk:
Credit risk arises from the failure
of a counterparty to fulfill its obligations,
partially or completely, in accordance with
contractual requirements. The credit risk
definition of the Bank takes the credit risk
definition of the Banking Law as a basis and
comprises the credit risks involved in all
products and activities.
Credit risk is managed pursuant to the “Credit
Risk-Credit Risk Reduction-Residual Risk-
Country Risk Management Policy Document.”
The findings are obtained from analyses
of the composition and concentration of
the Bank’s loan portfolio (type of loan,
currency, maturity, sector, geographic region,
borrower, holding, group, participation); from
the portfolio quality (standard loans, non-
performing loans, deferred loans, analysis
of the data obtained from the credit rating
system); from the portfolio analysis (duration,
average maturity, interest rate sensitivity);
from country risk and scenario analyses; and
from the studies on possible events of default.
These findings are reported to the Board of
Directors, the Audit Committee and the Bank’s
senior management as individual and monthly
reports.
The Bank uses rating and scoring models
for the assessment of the debtor’s credit
quality. For the mentioned models, validation
studies are made at regular intervals. Sector
concentration limits and country risk limits
are fixed with an aim to define the risks
resulting from credit concentrations and to
create a well-balanced credit portfolio. These
limits are updated taking into consideration
the Bank’s credit policy and macroeconomic
developments.
Credit risk in fair value, measured within the
scope of the provisions of the “Regulation
on Measurement and Evaluation of Capital
Adequacy of Banks,” is reported to the Bank’s
Senior Management and BRSA at month-ends
in solo basis and quarterly in consolidated
basis. Capital Adequacy Standard Ratio is
closely monitored in the Bank, calculated
processes. Studies on the “Impact Analysis”
were repeated based on changing business
processes and almost completed.
The operational risk management approach
of the Bank aims to create a forward-looking
control culture that encourages all employees
to identify and evaluate the risks involved in
their tasks, to report the risk-related issues to
their managers, and to take necessary steps
towards enhancement of the control function.
The Impact Analysis studies are performed
at working group meetings, using the self-
evaluation method for use by the employees.
With regard to information systems risk
management, in addition to the Impact
Analysis activities, studies are carried out to
define alternative systems with recovery time
objective (RTO) and recovery point objective
(RPO) related to the information systems used
in business processes and to examine the
effects of possible risks.
Reports and corrective action plans, issued
upon completion of prior referenced studies,
are reported to the relevant unit, the Audit
Committee, senior management, the Internal
Audit Department and the Internal Control
Department. Action plans, which were
developed, approved and implemented,
are monitored to ensure whether they are
implemented in the prescribed manner.
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 “Regulation on
Procurement of Support Services by Banks”
and “Risk Management Program.”
In keeping with the “Regulation on
Measurement and Assessment of Capital
Adequacy of Banks” issued by the BRSA,
the Bank calculates “Value at Operational
Risk” using the Basic Indicator Approach on
unconsolidated and consolidated bases; this
information is reported to the Bank’s senior
management and the Banking Regulation and
Supervision Agency annually. Our ultimate
goal is the use of an advanced measurement
approach in measuring operational risk.
rısk Management Policies Applied BY Risk Type
on a daily basis and reported to the Senior
Management after the scenario analysis/
stress testing are performed.
The Bank’s ultimate goal is to use credit risk
internal methods in accordance with Basel
II, the European Union Capital Adequacy
Regulations and international best practices.
Counterparty Credit Risk:
Counterparty credit
risk is the risk that a counterparty to a mutual
transaction, that obligates both parties, will
default before the date of final payment
of such transaction is due. This risk type is
managed pursuant to the “Counterparty Credit
Risk Management Policy Document.”
Counterparty credit risk exposures are
calculated on the basis of the banking book
and the trading book portfolios, in accordance
with the “Regulation on Measurement and
Assessment of Capital Adequacy of Banks”
and using the fair value valuation method.
Within the context of the capital adequacy
calculations, the exposure values are reported
to BRSA and the Bank’s Senior Management
monthly on an unconsolidated basis and
quarterly on a consolidated basis.
Concentration Risk:
Concentration risk
arises due to a specific concentration of
the Bank’s assets, liabilities, business lines,
and the like; this risk type is managed
pursuant to the “Concentration Risk
Management Policy Document.” The Bank
establishes concentration limits, which are
closely monitored and reported to senior
management. Limits are controlled on a
regular basis and revised if needed, in parallel
with economic developments, expectations,
and the Bank’s objectives and strategies.