INSTITUTE OF BANKERS OF SRI LANKA
|
|
- Erica Griffin
- 5 years ago
- Views:
Transcription
1 97 INSTITUTE OF BANKERS OF SRI LANKA Diploma in Banking & Finance Examination March 2008 Risk Financing and Management (98) INSTRUCTIONS TO CANDIDATES 1. Do NOT open this question paper until instructed to do so. 2. Read the instructions on the cover of the answer book. 3. Time allowed 3 hours + 15 minutes reading time. 4. This paper consists of 7 questions from Sections A and B. 5. Section A consists of one compulsory question carrying 20 marks. 6. Section B consists of six questions carrying 20 marks each. 7. Answer Question No. 01 and four questions from Section B. A qualification examined by Institute of Bankers of Sri Lanka and jointly awarded with ifs School of Finance, UK
2 Section A All candidates must answer Question 1 1. "All risks faced by business are essentially similar in nature, and all have similar possibilities for reduction by application of the tools of risk management, and of insurance in particular." Demonstrating your knowledge of the range of business risks, evaluate the accuracy of the above statement in relation to decisions to bear or to transfer risks. (20 Marks) Section B Answer four questions from this section. 2. Summarise the main sources of market risk with respect to a commercial bank. Discuss the importance of identifying and assessing this risk in the context of trading and investing activities of a bank. (9 marks) (c) Explain the different techniques of market risk assessment. 3. Identify the main committees that are responsible for the effective maintenance of the risk management process of a bank and explain their main activities. (8 marks) Explain the tasks of one such committee in relation to managing risks in the organization. (12 marks) 4. Describe the causes of operational risk in a banking organization. Discuss the challenges faced by banks in assessing and quantifying operational risk. (9 marks) (c) Identify and explain the approaches, as given in the Basel II regulations, on quantifying operational risks in banks. 2
3 5. Summarise the main features of risk mitigation process followed in a banking organization. Summarise the specific financial instruments and techniques used in risk mitigation / transfer. (c) Discuss the effectiveness of each of these financial instruments / techniques in risk mitigation / transfer. (8 marks) 6. Explain the key features of four of the following (c) (d) (e) Enterprise wide risk management Maturity mismatch Value at risk Systematic risk Statutory liquid asset ratio. (5 marks each) 7. Identify and discuss the implications of credit risk on the day-to-day business of a Commercial bank. Summarise the methods used in financing credit risk. (7 marks) (c) Explain the role of rating agencies in identifying and assessing credit risk. (7 marks) 3
4 1. INSTITUTE OF BANKERS OF SRI LANKA Diploma in Banking and Finance Examination March 2008 Risk Financing and Management (98) Suggested Answers Section A Broadly, candidates are expected to refute the strength of the assertion. The range of risks faced by business and the possibilities for risk management may be explored by pointing to different classifications and explanations of risk, and by highlighting the limitations ofinsurability. At a macro level, corporate risk is already diversified through widespread share ownership and particularly through institutional investors. How similar are risks? Distinction between hazard and peril. Natural perils and human perils. There is a range ofsources ofrisk or risk exposures. ~ Financial risks ~ Natural risks ~ Human capital risks ~ Operational risks ~ Technological risks ~ Political risks ~ Legal risks Pure risk and speculative risk Financial risk and non-financial risk
5 Core risk and non-core ~ Corporates are in the business oftaking risks and in return they earn profit e.g. an oil company takes risks exploring for oil. It relies on exploration technology and geological knowledge to increase odds in its favour. This is a core competency or core risk. Incidental or non-core risks are those where there is no extra profit for bearing such risks e.g. accidental risk of engineers killed in an air crash, or of an adverse change in currency exchange rate between the Country of Exploration and the domicile country. Upside risk and downside risk. What is important to one corporate or other type oforganisation may not be important to another. Consider the place of risk and reward in decisions to bear risks. Understanding the cost of risk. }.> Range ofdisruptive effects of risk on business. }.> Need to understand disruptive effects of risk in order to devise appropriate risk management strategies. }.> Fluctuating cash flows - desirability ofsmoothing. }.> Losses may absorb internal funds. }.> Restrict funds for new investments. }.> Costly access to fresh capital. }.>. Affect reward for managers and employees. }.> Costs to externals e.g. creditors. Possibil ities for reduction of risk. }.> Risk management process. }.> Tools ofrisk management. ~ Two generic risk management strategies - either remove the risk or live with it but reduce its cost. Other risk management techniques applicable only for spreading risks. }.> Mix oftechniques. )0> Decision to insure, hedge or manage particular risks by other means cannot be taken in isolation - risks are often inter-dependant. Risk management tools are part of a risk management process. used in the context ofapplying that process. They need to be 2
6 Although insurance is still the prime method used by most companies to finance the range ofrisks that face their businesses, there are limits to 'insurability'. Insurable risks have the following characteristics:» Fortuitous event - must be entirely accidental and unexpected from the perspective ofthe insured. A large number of policies must be written to create a risk pool where the losses ofthe few can be oaid for bv the contributions or premiums ofthe many.» The insured risk must be homogenous (or similar).» Individual claims are uncorrelated - meaning that if there is one claim there will be many. Also called 'contagion' risk. Financial cost - the consequence of the loss event must be measurable in financial terms i.e. a payment to repair or replace any damaged property or to reimburse any legal or other costs involved. Insurable Interest - the insured must suffer the financial consequences of the loss event for themselves. Thus ownership of a specific property usually satisfies the requirement of insurable interest for that owner to insure that property. This is in contrast to the purchase of, for example, financial hedging instruments which are available to individual or company to purchase and the only obligation is to meet any margin payments when they are due. Indemnity settlement - The insured should not be able to profit in any way from the occurrence of an insured event and the subsequent insurance loss settlement. With derivatives. on the other hand, no distinction is made between buying for risk hedging or for speculative purposes.» Insurers must be able to charge an economic premium. The level of premium must be sufficiently low in relation to the value at risk to make insurance an attractive alternative to self-insurance. Section B (20 Marks) 2. Since the banks have several activities and undertake transactions that result in market exposure, they are exposed to market risks. When,the banks' trading portfolios and proprietary positions are exposed to interest rate, exchange rate, equity price and commodity price variations banks wi II have to bear the downside of it. Due to the interest rate volatility banks face two types oflosses. In one way interest rate volatility affects the earning potential of the bank, This is called the earning perspective of the interest rate risk. At the same time, market value of a portfolio of securities also fluctuates with interest rate volatility. Downside of this variation is known as the market value perspective. All the above scenarios can be considered as sources of market risk in relation to a commercial bank. 3
7 In order to take prudent decisions on business transactions banks should identify and assess the risks pertaining to the transactions. Specially when the banks deal with transactions in their trading and investment portfolios they should get a proper idea about the potential risk of relevant transactions. They are in a position to provide adequate mitigatory inputs when they already know the magnitude ofpotentiaj risk. Risk levels can be categorized into low, medium and high levels. If the risk level comes under low or medium level, day to day income ofthe business can compensate any losses arising from that type of risks. However if the risk level is high for a certain transaction it has to be borne by the capital itself. Therefore it is advisable to gz....ge the potentia' risk of any business transaction before hand. (9 marks) (c) (i) (ii) Following a modified duration methodology. Value at risk - variance - covariance method historical simulation and Monte Carlo simulation. (iii) Sensitivity measures. 3. (i) Risk management committee - formulating the policy on Risk Management (ii) (iii) Asset and liability management committee- Dealing with matters pertaining to Maturity and profitability ofassets & liabilities Audit committee- assuming responsibility on matters pertaining to audit functions (iv) Credit policy committee- Formulate policies on Credit Administration, Disbursement, & Portfolio Management, Evaluation, (8 marks) (i) Risk Management Committee Setting guidelines for risk management and reporting Ensure that the risk management processes conform to the policy Setting up prudential limits and its periodic review Ensure robustness ofmeasurement ofrisk models. Ensure proper manning for the process. 4
8 (ii) Asset and Liability Management Committee (ALCO) Implementation ofrisk and business policies simultaneously. Decides on the business strategy to achieve the above objectives. The following tasks also are handled by the ALCO. ~ Pricing advance and deposit products. ~ Observing the maturity profiles and mix of incremental assets and liabilities ~ Articulating interest rate view ofthe bank. ~ Implementing funding policy. ~ Implementing transfer pricing mechanism. ~ Managing the balance sheet. ~ Setting up operating prudential limits and reviewing authority for the line management. (iii) Audit committee Responsible to maintain a comprehensive internal audit system. See that a climate of integrity is built and well established. Ensuring the adequacy ofinternal control policies, systems and practices in order to promote efficiency and effectiveness ofoperations, financial reporting and compliance. Reviewing financial statements and give comments and suggestions to rectify any issues. Ensuring that the business risks are identified and that appropriate action is taken to monitor them and minimize exposure to them. (iv) Credit Policy committee Deals with issues relating to credit policy and procedures. The committee takes responsibility to analyse, manage and control credit risk on a bank wide basis. It formulates policies on standards for presentation of credit proposals, financial covenants, rating standards and bench marks, delegation of credit approving powers, prudential limits on large credit exposures. Ensure to avoid high concentrations. Set standards for loan collateral, portfolio management loan review mechanisms, risk monitoring and evaluation, pricing of loans, provisioning and compliance. (12 marks) 5
9 4. zeople oriented causes negligence, incompetence, inadequate training integrity key people. Transaction based causes business volume fluctuations organizational complexity product complexity and major changes. Process oriented causes inadequate segregation of duties, lack of management supervision, inadequate procedures. Technology oriented causes Poor technology and communication systems. Outdated applications lack of automation information system complexity, poor design development and testing. External causes Natural disasters, operational failures of a third party deteriorated social or political context. 5. (c) Usually behaviour pattern of operational risk does not follow a normal curve. This makes it difficult to estimate the probability of an event resulting in losses. If it is done on a historical basis, all the operating losses require a data set with statistically acceptable numbers of losses. Recognition of loss events and attributing a probability to each of these events will be a great challenge. In this endeavour operational risk has to be categorized under low medium and high intensity and the frequency of occurrence should also be taken into consideration. Initially the organization has to identify the risk events and establish the key risk indicators. This exercise should be carried out on an enterprise wide basis in order to asses the operational risk comprehensively. This is a challenging process which requires the commitment and guidance ofthe corporate management. (i) (ii) (iii) Basic indicator approach Standardized approach. Advanced measurement approach. (9 marks) Risk mitigation is the process of eliminating or reducing the uncertainties associated with the risk elements. Banks can cite many examples in risk mitigation which follows the aforesaid concept. One may like to enter into a sales contract with the bank. Since this contract would specify volume and the price the uncertainty associated with them would be contained. Even though risk mitigation mechanisms help in reducing adverse impact on profits, it limits upside potential as well. However, through these mechanisms organization achieves stability in its net cash flow and risks stand reduced. For mitigating credit risk banks have been using traditional techniques such as collateralization or they may buy other types of credit derivatives of insurance devices. 6
10 (c) forward rate agreements Interest rate swaps Forward contracts Option contracts Claims on lands, cash or securities Third party guarantees Credit default swaps mitigate interest rate risk (only the downside) mitigate interest rate risk (only the downside) mitigate price risk (only the downside) mitigate price risk mitigate credit default risk (sometimes, higher administrative cost is involved.) Sometimes difficult to enforce. mitigate credit risk If there is no default bank only spends on the instrument. 6. (8 marks) Enterprise wide risk management. It centralizes the process of supervising risk exposure in order to identify, measure and manage risk across all business units. Aligns the strategic aspects of risks with day to day operational activities. Enhances transparency. Enhances revenue and earning growth. Risk management systems must be developed to provide information and analytical tools to support the function. Maturity mismatch This arises from holding assets and liabilities with different principal amounts, maturity dates or repricing dates thereby creating exposures to changes in the level ofinterest rate. Difference between the amount of assets and the amount of liabilities maturing during a certain period is called the maturity gap. Inherently banks grant advances for a longer period from their short term deposits. This creates a maturity mismatch for banks. Such a mismatch or gap may lead to gain or loss depending upon how interest rate in the market tend to move. 7
11 (c) Value at risk It is the worst case loss at a specific confidence level over a certain period of time assuming normal trading conditions. In calculating VAR the volatility of prices and correlation of prices with respect to other assets in the portfolio are being considered frequently VAR is used to measure market risk. There are three main approaches in calculating VAR. Variance - covariance approach Historical simulation approach Monte Carlosimulation approach. Good tool for all banks, financial institutions Aggregates and report risk on various portfolios as one figure. Valuable as a probabilistic measure. (d) Systematic risk If a normal asset is taken into consideration total risk related to that asset can be divided into systematic risk and unsystematic risk. This systematic risk cannot be eliminated through diversification and it is inherent in the market. If the number of assets in a portfolio is increased the risk level will come down. That can be attributable to the reduction in unsystematic risk with diversification ' ,;-, Systematic risks Number ofassets in the portfolio 8
12 (e) Statutory liquid asset ratio (SLR) Regulation imposed by the Central Bank in order to control liquidity of a banking organization. SLR liquid assets Liquid assets Total liabilities - Equity Cash in hand x 100 Cash with other banks Treasury Bills and Bonds - Repo Funds in transit Import bills Balance in Nostro Accounts (At present banks have to maintain a minimum SLR of 20%) 7. Credit risk basically originated from default of loan instalments and interest. In addition to that borrowers rating migration in the adverse direction also can be considered as a credit risk. When banks face credit risks they experience reduction in their repayment cash flows. This would lead to liquidity constraints. When the total of non performing assets is increasing it will create higher charges on the P & L and it leads to low profits or net losses. In the same manner capital adequacy ratio also will come down. Banks have to maintain a minimum capital adequacy ratio in order to comply with new Basel regulations. Obtaining credit guarantees by paying a premium. Insuring mortgage bonds and other types of bonds in order to get insurance claims in the case ofdeath ofthe borrower. Using credit derivatives. Realizing assets which have been taken as security. Insuring title to the property which has been mortgaged to the bank. (7 marks) 9
13 (c) Rating agencies give independent rating on credit worthiness of different business entities. They prepare schedules in order to assign a certain probability ofdefault with an appropriate credit rating. If a bank granted Rs.100 million worth of advances and in a period of time Rs.1 0 million of these advances have become non performing, we can say that probability of default is 10%. Rating agencies normally put their ratings in a schedule together with respective probability ofdefaults. If you know the rating you will be able to find out the default probability and by that we are able to quantify the loss. (7marks)
Sainsbury s Bank plc. Pillar 3 Disclosures for the year ended 31 December 2008
Sainsbury s Bank plc Pillar 3 Disclosures for the year ended 2008 1 Overview 1.1 Background 1 1.2 Scope of Application 1 1.3 Frequency 1 1.4 Medium and Location for Publication 1 1.5 Verification 1 2 Risk
More informationHabib Bank AG Zurich. Annual disclosures according to Basel III (Year 2015)
Annual disclosures according to Basel III (Year 2015) 1 Annual disclosures according to Basel III (Year 2015) 1. Scope of consolidation Scope of consolidation for capital adequacy purposes The scope of
More informationRegulatory Capital Disclosures Report. For the Quarterly Period Ended March 31, 2014
REGULATORY CAPITAL DISCLOSURES REPORT For the quarterly period ended March 31, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital
More informationAdvisory Guidelines of the Financial Supervision Authority. Requirements to the internal capital adequacy assessment process
Advisory Guidelines of the Financial Supervision Authority Requirements to the internal capital adequacy assessment process These Advisory Guidelines were established by Resolution No 66 of the Management
More informationRisk Management. Credit Risk Management
Credit Risk Management Credit risk is defined as the risk of loss arising from any failure by a borrower or a counterparty to fulfill its financial obligations as and when they fall due. Credit risk is
More informationMarket Risk Capital Disclosures Report. For the Quarterly Period Ended June 30, 2014
MARKET RISK CAPITAL DISCLOSURES REPORT For the quarterly period ended June 30, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital
More informationEnterprise-Wide Risk Management
Enterprise-Wide Risk Management Robert McGlashan Executive Vice-President and Chief Risk Officer, Enterprise Risk and Portfolio Management, BMO Financial Group BMO Financial Group has an enterprise-wide
More informationRisk Management Disclosures
CITIBANK N.A. SRI LANKA Risk Management Disclosures As at 30.06.2016 Introduction and Overview Citi is a leading global bank with over 200 years experience and approximately 200 million customer accounts
More informationRisk Concentrations Principles
Risk Concentrations Principles THE JOINT FORUM BASEL COMMITTEE ON BANKING SUPERVISION INTERNATIONAL ORGANIZATION OF SECURITIES COMMISSIONS INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS Basel December
More informationQuantitative and Qualitative Disclosures about Market Risk.
Item 7A. Quantitative and Qualitative Disclosures about Market Risk. Risk Management. Risk Management Policy and Control Structure. Risk is an inherent part of the Company s business and activities. The
More informationIndex. Managing Risks in Commercial and Retail Banking By Amalendu Ghosh Copyright 2012 John Wiley & Sons Singapore Pte. Ltd.
Index A absence of control criteria, as cause of operational risk, 395 accountability, 493 495 additional exposure, incremental loss from, 115 advances and loans, ratio of core deposits to, 308 309 advances,
More informationBASEL III PILLAR 3 DISCLOSURES. December 31, 2015
BASEL III PILLAR 3 DISCLOSURES December 31, Table of Contents 2 December 31, Table 1. Scope of application HomEquity Bank (the Bank) is a federally regulated Schedule I bank, incorporated and domiciled
More informationBASEL III PILLAR 3 DISCLOSURES (unaudited) December 31, 2017
BASEL III PILLAR 3 DISCLOSURES (unaudited) December 31, Table of Contents 2 December 31, Table 1. Scope of application HomEquity Bank (the Bank) is a federally regulated Schedule I bank, incorporated and
More informationBASEL III PILLAR 3 DISCLOSURES. December 31, 2012
BASEL III PILLAR 3 DISCLOSURES Table of Contents 2 Table 1. Scope of application HomEquity Bank (the Bank) is a federally regulated Schedule I bank, incorporated and domiciled in Canada. The Bank s main
More informationHabib Bank AG Zurich. Annual disclosures according to Basel III (Year 2014)
Annual disclosures according to Basel III (Year 2014) 1 Annual disclosures according to Basel III (Year 2014) 1. Scope of consolidation Scope of consolidation for capital adequacy purposes The scope of
More informationCredit risk, arising from losses due to obligor, counterparty or issuer failing to perform its contractual obligations to the Group;
Risk management is an integral part of the Group s business. An effective risk management system is critical for the Group to achieve continued profitability and sustainable growth in shareholder s value,
More informationNational Australia Bank Limited, Mumbai Branch (Incorporated in Australia with limited liability)
Background National Australia Bank Limited (NAB), which is incorporated and registered in Australia with limited liability, is one of Australia's largest banks and has been in existence for over 150 years.
More informationBASEL III PILLAR 3 DISCLOSURES. December 31, 2016
BASEL III PILLAR 3 DISCLOSURES December 31, Table of Contents 2 December 31, Table 1. Scope of application HomEquity Bank (the Bank) is a federally regulated Schedule I bank, incorporated and domiciled
More informationBAC BAHAMAS BANK LIMITED
Financial Statements of BAC BAHAMAS BANK LIMITED BAC BAHAMAS BANK LIMITED Financial Statements Page Independent Auditors Report 1-2 Statement of Financial Position 3 Statement of Comprehensive Income 4
More informationRegulatory Capital Pillar 3 Disclosures
Regulatory Capital Pillar 3 Disclosures December 31, 2016 Table of Contents Background 1 Overview 1 Corporate Governance 1 Internal Capital Adequacy Assessment Process 2 Capital Demand 3 Capital Supply
More informationBASEL III PILLAR 3 DISCLOSURES. September 30, 2017
BASEL III PILLAR 3 DISCLOSURES September 30, Table of Contents 2 September 30, Table 1. Scope of application HomEquity Bank (the Bank) is a federally regulated Schedule I bank, incorporated and domiciled
More informationMeridian Finance & Investment Limited Disclosure under Pillar III on Capital Adequacy and Market Discipline As on December 31, 2017
Meridian Finance & Investment Limited Disclosure under Pillar III on Capital Adequacy and Market Discipline As on December 31, 2017 Significance of Capital Adequacy Capital is the foundation of any business.
More informationWhat will Basel II mean for community banks? This
COMMUNITY BANKING and the Assessment of What will Basel II mean for community banks? This question can t be answered without first understanding economic capital. The FDIC recently produced an excellent
More informationStatement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR )
MAY 2016 Statement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR ) 1 Table of Contents 1 STATEMENT OF OBJECTIVES...
More information32. Management of financial risks
298 F CONSOLIDATED FINANCIAL STATEMENTS NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 32. Management of financial risks General information on financial risks As a result of its businesses and the global
More informationBASEL III PILLAR 3 DISCLOSURES (unaudited) March 31, 2018
BASEL III PILLAR 3 DISCLOSURES (unaudited) Table of Contents 2 Table 1. Scope of application HomEquity Bank (the Bank) is a federally regulated Schedule I bank, incorporated and domiciled in Canada. The
More informationDECISION ON RISK MANAGEMENT BY BANKS
RS Official Gazette, Nos 45/2011, 94/2011, 119/2012, 123/2012, 23/2013 other decision I, 43/2013, 92/2013, 33/2015, 61/2015, 61/2016 and 103/2016 Pursuant to Article 28, paragraph 7, Article 30, paragraph
More informationPillar 3 Disclosure (UK)
MORGAN STANLEY INTERNATIONAL LIMITED Pillar 3 Disclosure (UK) As at 31 December 2009 1. Basel II accord 2 2. Background to PIllar 3 disclosures 2 3. application of the PIllar 3 framework 2 4. morgan stanley
More information1.0 Purpose. Financial Services Commission of Ontario Commission des services financiers de l Ontario. Investment Guidance Notes
Financial Services Commission of Ontario Commission des services financiers de l Ontario SECTION: INDEX NO.: TITLE: APPROVED BY: Investment Guidance Notes IGN-002 Prudent Investment Practices for Derivatives
More informationBasel II Pillar 3 Disclosures Year ended 31 December 2009
DBS Group Holdings Ltd and its subsidiaries (the Group) have adopted Basel II as set out in the revised Monetary Authority of Singapore Notice to Banks No. 637 (Notice on Risk Based Capital Adequacy Requirements
More informationCommunity Trust Company Basel III Pillar 3 Disclosures June 30, 2018
Community Trust Company Basel III Pillar 3 Disclosures June 30, 2018 Basel III Pillar 3 Disclosures Page 1 of 17 Contents Part 1 - Scope of Application... 3 Basis of preparation... 3 Significant subsidiaries...
More informationBANK OF CHINA (CANADA) BASEL III DISCLOSURES AS AT DECEMBER 31, 2013
BANK OF CHINA (CANADA) BASEL III DISCLOSURES AS AT DECEMBER 31, 2013 Table of Contents 1. Scope of Application... 1 2. Capital Management... 2 (a) Capital structure... 2 (b) Capital adequacy ratio... 2
More informationFUTURE BANK B.S.C. (c) PILLAR III QUALITATIVE DISCLOSURES 31 DECEMBER 2013 RISK MANAGEMENT
RISK MANAGEMENT Management of risk involves the identification, measurement, ongoing monitoring and control of all financial and non financial risks to which the Bank is potentially exposed. It is understood
More informationFRAMEWORK FOR SUPERVISORY INFORMATION
FRAMEWORK FOR SUPERVISORY INFORMATION ABOUT THE DERIVATIVES ACTIVITIES OF BANKS AND SECURITIES FIRMS (Joint report issued in conjunction with the Technical Committee of IOSCO) (May 1995) I. Introduction
More informationBASEL III PILLAR 3 DISCLOSURES. December 31, 2013
BASEL III PILLAR 3 DISCLOSURES Table of Contents 2 Table 1. Scope of application (the Bank) is a federally regulated Schedule I bank, incorporated and domiciled in Canada. The Bank s main business is to
More informationINTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS
Guidance Paper No. 9 INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS GUIDANCE PAPER ON INVESTMENT RISK MANAGEMENT OCTOBER 2004 This document was prepared by the Investments Subcommittee in consultation
More informationUBS AG, Mumbai Branch (Scheduled Commercial Bank) (Incorporated in Switzerland with limited liability)
Basel II Pillar 3 Disclosures for the period ended 31 March 2010 Contents 1. Background 2. Scope of Application 3. Capital Structure 4. Capital Adequacy- Capital requirement for credit, market and operational
More informationRisk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018
Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: 14-17 May 2018 The Banking and Corporate Finance Training Specialist Course Objectives Participants Will: Understand
More informationITrade Global (CY) Ltd Regulated by the Cyprus Securities and Exchange Commission License no. 298/16
Regulated by the Cyprus Securities and Exchange Commission License no. 298/16 DISCLOSURE AND MARKET DISCIPLINE REPORT FOR 2017 April 2018 Contents 1. INTRODUCTION 3 1.1. THE COMPANY 4 1.2. REGULATORY SUPERVISION
More informationGULF INTERNATIONAL BANK (UK) LTD. Basel II Pillar 3 Disclosures
GULF INTERNATIONAL BANK (UK) LTD Basel II Pillar 3 Disclosures 31 December 2012 CONTENTS 1.INTRODUCTION... 3 2.GROUP STRUCTURE AND OVERALL RISK AND CAPITAL MANAGEMENT... 4 2.1 Corporate Structure... 4
More informationBASEL III PILLAR 3 DISCLOSURES. June 30, 2015
BASEL III PILLAR 3 DISCLOSURES Table of Contents 2 Table 1. Scope of application (the Bank) is a federally regulated Schedule I bank, incorporated and domiciled in Canada. The Bank s main business is to
More informationPillar 3 Regulatory Disclosure (UK) As at 31 December 2012
Morgan Stanley INTERNATIONAL LIMITED Pillar 3 Regulatory Disclosure (UK) As at 31 December 2012 1 1. Basel II Accord 3 2. Background to Pillar 3 Disclosures 3 3. Application of the Pillar 3 Framework 3
More informationGROUP INVESTMENTS IFRS DISCLOSURES FROM THE 2008 ANNUAL REPORT
GROUP INVESTMENTS IFRS DISCLOSURES FROM THE 2008 ANNUAL REPORT 1 GROUP INVESTMENTS The following statements provide analysis of the group s investment assets, financial and insurance risks and accounting
More informationCapital & Risk Management Pillar 3 Disclosures
Capital & Risk Management Pillar 3 Disclosures 31st December 2017 Company Registration no. 06736473 Contents Introduction...3 Activities and Scope...3 Regulatory framework for disclosures...4 Basis and
More informationINTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS GUIDELINE. Nepal Rastra Bank Bank Supervision Department. August 2012 (updated July 2013)
INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS GUIDELINE Nepal Rastra Bank Bank Supervision Department August 2012 (updated July 2013) Table of Contents Page No. 1. Introduction 1 2. Internal Capital Adequacy
More informationDisclosures on Risk Based Capital (BASEL II) For the year ended 31 December 2014
Disclosures on Risk Based Capital (BASEL II) For the year ended 31 December 2014 Introduction In accordance to Pillar III of the revised Framework for International Convergence of Capital Measurement and
More informationRISK MANAGEMENT. Risks are uncertainties resulting in adverse outcome, adverse in relation to planned objectives or expectations.
UNIT VI : RISK AND BANKING BUSINESS Risks are uncertainties resulting in adverse outcome, adverse in relation to planned objectives or expectations. Financial risks are uncertainties resulting in variation
More informationPRA RULEBOOK CRR FIRMS INSTRUMENT 2013
PRA RULEBOOK CRR FIRMS INSTRUMENT 2013 Powers exercised A. The Prudential Regulation Authority (the PRA ) makes this instrument in the exercise of the following powers and related provisions in the Financial
More informationAAS BTA Baltic Insurance Company Risks and Risk Management
AAS BTA Baltic Insurance Company Risks and Risk Management December 2017 1 RISK MANAGEMENT SYSTEM The business of insurance represents the transfer of risk from the insurance policy holder to the insurer
More informationAn Integrated Risk Management Model for Japanese Non-Life Insurers. Sompo Japan Insurance Inc. Mizuho DL Financial Technology 25 February 2005
An Integrated Risk Management Model for Japanese Non-Life Insurers Sompo Japan Insurance Inc. Mizuho DL Financial Technology 25 February 2005 Contents 1. Background 2. Model Overview 3. Scenario Generator
More informationRISK MANAGEMENT INTRODUCTORY REMARKS CREDIT RISK MANAGEMENT. Decision-making structures. Policy. Real estate transactions
RISK MANAGEMENT INTRODUCTORY REMARKS The traditional role of a commercial bank is to attract deposits, which it then uses to grant loans. This role implies a two-fold transformation: in transaction value
More informationANNUAL DISCLOSURES FOR 2010 ON AN UNCONSOLIDATED BASIS
ANNUAL DISCLOSURES FOR 2010 ON AN UNCONSOLIDATED BASIS ACCORDING TO THE REQUIREMENTS OF ORDINANCE 8 OF THE BULGARIAN NATIONAL BANK FOR THE CAPITAL ADEQUACY OF CREDIT INSTITUTIONS /ART. 335 OF ORDINANCE
More informationAldermore Bank Plc. Pillar 3 Disclosures
Aldermore Bank Plc Pillar 3 Disclosures December 31 2010 Contents 1. Introduction... 2 2. Scope... 2 3. Risk Management... 3 3.1 Risk Management Objectives... 3 3.2 Principal Risks... 3 3.3 Risk Appetite...
More informationINSTITUTE OF BANKING STUDIES
INSTITUTE OF BANKING STUDIES Accredited by: Website: www.kibs.edu.kw Ibselearning: wwwibselearning.com email: training@kibs.edu.kw email: ibslearn@kibs.edu.kw Risk Management is a Process of Taking Calculated
More informationJNFM MUTUAL FUNDS LIMITED - LOCAL MONEY MARKET FUND FINANCIAL STATEMENTS
JNFM MUTUAL FUNDS LIMITED - LOCAL MONEY MARKET FUND FINANCIAL STATEMENTS MARCH 31, Statement of Comprehensive Income Page 5 Notes $ 000 Investment and other income Interest income 44,122 Realised gains
More informationCommunity Trust Company Basel III Pillar 3 Disclosures December 31, 2017
Community Trust Company Basel III Pillar 3 Disclosures December 31, 2017 Basel III Pillar 3 Disclosures Page 1 of 18 Contents Part 1 - Scope of Application... 3 Basis of preparation... 3 Significant subsidiaries...
More information14. What Use Can Be Made of the Specific FSIs?
14. What Use Can Be Made of the Specific FSIs? Introduction 14.1 The previous chapter explained the need for FSIs and how they fit into the wider concept of macroprudential analysis. This chapter considers
More informationBANK OF CHINA (CANADA) BASEL PILLAR III DISCLOSURES AS AT DECEMBER 31, 2014
BANK OF CHINA (CANADA) BASEL PILLAR III DISCLOSURES AS AT DECEMBER 31, 2014 Table of Contents 1. Scope of Application... 5 2. Capital Management... 3 (a) Capital structure... 3 (b) Capital adequacy ratio...
More informationZAG BANK BASEL PILLAR 3 DISCLOSURES. December 31, 2015
ZAG BANK BASEL PILLAR 3 DISCLOSURES December 31, 2015 1. OVERVIEW OF ZAG BANK Zag Bank (the Bank ) is a Schedule I federally chartered Canadian bank and a wholly-owned subsidiary of Desjardins Group (
More informationCommunity Trust Company Basel III Pillar 3 Disclosures March 31, 2017
Community Trust Company Basel III Pillar 3 Disclosures March 31, 2017 Basel III Pillar 3 Disclosures Page 1 of 18 Contents Part 1 - Scope of Application... 3 Basis of preparation... 3 Significant subsidiaries...
More informationPILLAR 3 Disclosures
PILLAR 3 Disclosures Published April 2016 Contacts: Rajeev Adrian Sedjwick Joseph Chief Financial Officer Chief Risk Officer 0207 776 4006 0207 776 4014 Rajeev.adrian@bank-abc.com sedjwick.joseph@bankabc.com
More informationGUIDELINE ON ENTERPRISE RISK MANAGEMENT
GUIDELINE ON ENTERPRISE RISK MANAGEMENT Insurance Authority Table of Contents Page 1. Introduction 1 2. Application 2 3. Overview of Enterprise Risk Management (ERM) Framework and 4 General Requirements
More informationStatus of Risk Management
Status of Upgrading Basic Stance In today s environment, characterized by ongoing liberalization and internationalization of financial services and development of financial and information technology,
More informationICAAP Q Saxo Bank A/S Saxo Bank Group
ICAAP Q4 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 EVENTS AFTER THE REPORTING PERIOD... 3 1.3 BOARD OF MANAGEMENT APPROVAL
More informationRisk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar
Risk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course
More informationMarket Risk Disclosures For the Quarter Ended March 31, 2013
Market Risk Disclosures For the Quarter Ended March 31, 2013 Contents Overview... 3 Trading Risk Management... 4 VaR... 4 Backtesting... 6 Total Trading Revenue... 6 Stressed VaR... 7 Incremental Risk
More informationICAAP Report Q3 2015
ICAAP Report Q3 2015 Contents 1. 2. 3. 4. 5. 6. 7. 8. 9. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 BOARD OF MANAGEMENT APPROVAL OF THE ICAAP Q3 2015... 3 1.3 CAPITAL CALCULATION...
More informationDisclosures on Risk Based Capital Adequacy (Basel II)
The Premier Bank Limited For the year ended December 31, 2013 With the growing complexity of operations, service innovations and technology based products, Banks have progressively become exposed to a
More informationManagement Discussion and Analysis Risk Management
Based on its status as a Global Systemically Important Bank, the Bank actively responded to the new normal of economic development and continued to meet external regulatory requirements. Adhering to the
More informationT. Rowe Price International Ltd. Pillar 3 & Remuneration Code Disclosure. 31 December 2016
T. Rowe Price International Ltd Pillar 3 & Remuneration Code Disclosure 31 December 2016 Background: The Capital Requirements Directive ( CRD ) sets out the regulatory capital framework for Europe based
More informationRegulatory Capital Pillar 3 Disclosures
Regulatory Capital Pillar 3 Disclosures June 30, 2015 Table of Contents Background 1 Overview 1 Corporate Governance 1 Internal Capital Adequacy Assessment Process 2 Capital Demand 3 Capital Supply 3 Capital
More informationDisclosures on Risk Based Capital Adequacy (Basel II)
Disclosures on Risk Based Capital Adequacy (Basel II) 1 Annual Report 2014 2 Disclosures on Risk Based Capital Adequacy (Basel II) For the year ended December 31, 2014 With the growing complexity of operations,
More informationKnight Capital Europe Limited. Capital Requirements Directive Pillar 3 Disclosure Statement 31 December 2012
Knight Capital Europe Limited Capital Requirements Directive Pillar 3 Disclosure Statement 31 December 2012 1 Index Background 3 Knight Capital Group Consolidation 3 Definition of Capital Resources and
More informationStatement of Investment Principles University of Oxford Staff Pension Scheme (Defined Benefit)
Statement of Investment Principles University of Oxford Staff Pension Scheme (Defined Benefit) Introduction This Statement of Investment Principles (SIP) has been prepared by the Trustee of the University
More informationMarket Risk Disclosures For the Quarterly Period Ended September 30, 2014
Market Risk Disclosures For the Quarterly Period Ended September 30, 2014 Contents Overview... 3 Trading Risk Management... 4 VaR... 4 Backtesting... 6 Stressed VaR... 7 Incremental Risk Charge... 7 Comprehensive
More informationDerivatives Sound Practices for Federally Regulated Private Pension Plans
Guideline Subject: for Federally Regulated Private Pension Plans Date: Introduction This Guideline outlines the factors that the Office of the Superintendent of Financial Institutions (OSFI) expects administrators
More informationCOMMISSION DELEGATED REGULATION (EU) No /.. of XXX
EUROPEAN COMMISSION Brussels, XXX [ ](2016) XXX draft COMMISSION DELEGATED REGULATION (EU) No /.. of XXX supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives,
More informationEnterprise-Wide Risk Management
Enterprise-Wide Risk Management As a financial services company active in banking, investments, insurance and wealth management services, the management of risk is integral to our business. To achieve
More informationRegulatory Disclosures March 31, 2018
Regulatory Disclosures March 31, 2018 SCOPE of DISCLOSURE... 3 CORPORATE PROFILE... 3 CAPITAL... 3 Capital structure... 4 Common shares... 4 Subordinated debt... 4 RISK MANAGEMENT... 4 Risk management
More informationPillar 3 Disclosures Report
Pillar 3 Disclosures Report For Financial Year Ended 31 st December 2010 1 1. Overview 1.1. Back ground China Construction Bank (London) Limited ( CCBL or the Bank ) is a wholly owned subsidiary of China
More informationCITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION
CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION Citibank, N.A. is incorporated in the United States of America and has a national bank charter under the National Bank Act of
More informationStandard Bank Limited (Malawi) Risk and Capital Management Report June 2017
Standard Bank Limited (Malawi) June 2017 1 Table of contents 1 Overview 3 2 Corporate Structure 5 2.1 Media and location 5 3 Regulatory capital structure and capital adequacy 6 4 Credit risk 98 5 Market
More informationCitibank, N.A. Macau Branch. Disclosure of Financial Information
31 December 2014 Balance sheet as at 31 December 2014 (Expressed in Macau Patacas 000) Assets 2014 Amounts Reserves, depreciation and provision Net amount MOP 000 MOP 000 MOP 000 Cash 7,635 7,635 Deposits
More informationCAISSE POPULAIRE GROUPE FINANCIER LTÉE. Consolidated Financial Statements For the year ended September 30, 2011
CAISSE POPULAIRE GROUPE FINANCIER LTÉE Consolidated Financial Statements For the year ended September 30, 2011 Consolidated Financial Statements For the year ended September 30, 2011 Contents Independent
More informationAsset Liability Management
e-learning and reference solutions for the global finance professional Asset Liability Management A comprehensive e-learning product covering Global Best Practices, Strategic, Operational and Analytical
More informationBOM/BSD 12/December 2003 BANK OF MAURITIUS. Guideline on Credit Risk Management
BOM/BSD 12/December 2003 BANK OF MAURITIUS Guideline on Credit Risk Management December 2003 Revised March 2017 Revised August 2017 TABLE OF CONTENTS INTRODUCTION... 1 AUTHORITY... 2 INTERPRETATION...
More informationBen S Bernanke: Modern risk management and banking supervision
Ben S Bernanke: Modern risk management and banking supervision Remarks by Mr Ben S Bernanke, Chairman of the Board of Governors of the US Federal Reserve System, at the Stonier Graduate School of Banking,
More informationGN47: Stochastic Modelling of Economic Risks in Life Insurance
GN47: Stochastic Modelling of Economic Risks in Life Insurance Classification Recommended Practice MEMBERS ARE REMINDED THAT THEY MUST ALWAYS COMPLY WITH THE PROFESSIONAL CONDUCT STANDARDS (PCS) AND THAT
More informationSolvency Assessment and Management: Stress Testing Task Group Discussion Document 96 (v 3) General Stress Testing Guidance for Insurance Companies
Solvency Assessment and Management: Stress Testing Task Group Discussion Document 96 (v 3) General Stress Testing Guidance for Insurance Companies 1 INTRODUCTION AND PURPOSE The business of insurance is
More informationUBS AG, Mumbai Branch (Scheduled Commercial Bank) (Incorporated in Switzerland with limited liability)
Contents 1. Background 2. Scope of Application 3. Capital Structure 4. Capital Adequacy- Capital requirement for credit, market and operational risks 5. Risk Management and Control Framework Overview 6.
More informationGuidance Note: Internal Capital Adequacy Assessment Process (ICAAP) Credit Unions with Total Assets Greater than $1 Billion.
Guidance Note: Internal Capital Adequacy Assessment Process (ICAAP) Credit Unions with Total Assets Greater than $1 Billion January 2018 Ce document est aussi disponible en français. Applicability This
More informationBusiness Auditing - Enterprise Risk Management. October, 2018
Business Auditing - Enterprise Risk Management October, 2018 Contents The present document is aimed to: 1 Give an overview of the Risk Management framework 2 Illustrate an ERM model Page 2 What is a risk?
More informationCITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION
CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION Citibank, N.A. is incorporated in the United States of America and has a national bank charter under the National Bank Act of
More informationCOMMISSION DELEGATED REGULATION (EU) /.. of XXX
COMMISSION DELEGATED REGULATION (EU) /.. of XXX Supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories
More informationPrudential Standard GOI 3 Risk Management and Internal Controls for Insurers
Prudential Standard GOI 3 Risk Management and Internal Controls for Insurers Objectives and Key Requirements of this Prudential Standard Effective risk management is fundamental to the prudent management
More informationNATIONAL BANK OF THE REPUBLIC OF MACEDONIA
NATIONAL BANK OF THE REPUBLIC OF MACEDONIA Pursuant to Article 64 paragraph 1 item 22 of the Law on the National Bank of the Republic of Macedonia ("Official Gazette of RM" no. 3/2002, 51/2003, 85/2003,
More informationBasel II Pillar 3 Disclosures
DBS GROUP HOLDINGS LTD & ITS SUBSIDIARIES DBS Annual Report 2008 123 DBS Group Holdings Ltd and its subsidiaries (the Group) have adopted Basel II as set out in the revised Monetary Authority of Singapore
More informationRisk Management Structure
Risk Management Structure Commitment to Risk Management Basic Approach Amid the growing diversity and complexity of banking operations, financial institutions are exposed to various risks, including credit,
More informationCAPITAL MANAGEMENT GUIDELINE
CAPITAL MANAGEMENT GUIDELINE May 2015 Capital Management Guideline 1 Preambule TABLE OF CONTENTS Preamble... 3 Scope... 4 Coming into effect and updating... 5 Introduction... 6 1. Capital management...
More informationJNFM MUTUAL FUNDS LIMITED - GLOBAL FIXED INCOME FUND FINANCIAL STATEMENTS
JNFM MUTUAL FUNDS LIMITED - GLOBAL FIXED INCOME FUND FINANCIAL STATEMENTS MARCH 31, 2018 Statement of Comprehensive Income Page 5 Notes 2018 $ 000 Investment and other income Interest income 9,328
More information