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PART III: FINANCIAL HIGHLIGHTS AND RISK MANAGEMENT
CONVENIENCE TRANSLATION OF PUBLICLY ANNOUNCED CONSOLIDATED FINANCIAL STATEMENTS ORIGINALLY ISSUED IN TURKISH, SEE IN NOTE I. OF SECTION THREE
TÜRKİYE VAKIFLAR BANKASI TÜRK ANONİM ORTAKLIĞI AND
ITS FINANCIAL SUBSIDIARIES
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS AS AT AND
FOR THE YEAR ENDED 31 DECEMBER 2015
(Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated.)
III. CONSOLIDATED MARKET RISK
The Group calculates market risk using standard method and allocates legal capital in compliance with “Regulation on Measurement and Assessment of
Capital Adequacy Ratios of Banks” published in 28 June dated 2012 Official Gazette no. 28337.
The market risk is defined as the potential risk of loss due to changes in interest rates, foreign exchange rates and equity prices on balance sheet and
off-balance sheet positions of the Group.
The capital needed for general market risk and specific risks is calculated using the standard method defined by the “Regulation on Measurement and
Assessment of Capital Adequacy Ratios of Banks” and reported monthly.
In addition to the standard method, the Group also uses internal models like Historical and Monte Carlo simulations in measuring market risk. The Group
also performs daily back-testing in order to measure the reliability of the models. Besides, scenario analyses are implemented in order to support the
Standard Method and internal models. In order to monitor the maturity structure of the asset and liability accounts, liquidity analysis are performed and
the duration of The Group’s assets and liabilities is calculated.
The market risk analysis of The Parent Bank is reported monthly and sent to the related regulatory institutions.
Value at consolidated market risk
Current Period
Prior Period
(I) Capital Obligation against General Market Risk - Standard Method
19,671
16,249
(II) Capital Obligation against Specific Risks - Standard Method
5,671
1,893
Capital to be Employed for Specific Risk in Securitisation Positions- Standard Method
-
-
(III) Capital Obligation against Currency Risk - Standard Method
74,769
36,815
(IV) Capital Obligation against Stocks Risks - Standard Method
-
-
(V) Capital Obligation against Exchange Risks - Standard Method
-
-
(VI) Capital Obligation against Market Risks of Options - Standard Method
47
234
(VII) Capital Obligation Calculated for Counterparty Credit Risk - Standard Method
16,194
8,733
(VIII) Capital Obligation against Market Risks of Banks applying Risk Measurement Models
-
-
(IX) Total Capital Obligations against Market Risk (I+II+III+IV+V+VI+VII)
116,352
63,924
(X) Value at Market Risk (12.5 x VIII) or (12.5 x IX)
1,454,402
799,050
Average values at market risk
Current Year
Prior Year
Average
Highest
Lowest
Average
Highest
Lowest
Interest Rate Risk
19,122
20,694
16,707
13,531
16,953
11,352
Common Share Risk
2,146
4,867
1,193
1,895
6,896
759
Currency Risk
65,927
96,124
26,301
30,771
44,194
15,679
Stock Risk
-
-
-
-
-
-
Exchange Risk
-
-
-
-
-
-
Option Risk
173
611
23
1,677
3,804
42
Counterparty Credit Risk
17,806
24,180
12,975
9,912
11,892
8,464
Total Value at Risk
1,314,668 1,697,191
744,075
722,326
917,761
514,258
