Financial Risks

Perspective PerformanceBusiness Loans Metrics 52.62%

Concentration Limits 51.29%

Debt Default and Allowance Metrics #VALUE!

Price Sensitivity Metrics #VALUE!

Total Performance #VALUE!

Scorecard includes 4 categories, 17 indicators

Help

- You can change the values in "weight" column, the value must be between 0 and 10;

"10" value means that the perspective or goal is the most valuable

- You can change the values in "Performance" column;

Strategy tree and scorecard details :

Perspective Goal DescriptionBusiness Loans Metrics 3 52.62%

3 3%

2 15

Expected Loss 3 7%

2 12%

Total Performance in group Business Loans Metrics 52.62%

Concentration Limits 3 51.29%

Limit by Country 3 15%

Financial Risks scorecard allows to measure and control performance with scorecard indicators

Weight (x of 10)

Performance(%)

Probability of Default

Probability of default (PD) measures the probability that a givenborrower will default within a 1-year time horizon. Assessment can be based on the internal rating system or rely upon rating agency's judgement.

Loss Given Default

Loss given default (LGD) represents the amount expected to be lost (and never recovered) when a counterparty or borrower defaults. The level of LGD depends on the type of collateral, the seniority of debt, and historical data. LGD is shown as a % of the

Exposure is the total value ( in $) that a bank is exposed to at the time of default of the counterparty.Expected Loss = (Exposure * Probability of Default * Loss given default)

Loan Concentration to Individual Borrower

This is the maximum amount of the the capital that could be lent to onesingle borrower, expressed as a % of the capital. This limit is usually set by the regulators)

Based on previous experience and macroeconomic forecasts, Institution decides on the maximum notional amount that could be assigned to each country.Limit is expressed in the % of the total loan amount

3 7%

2 15%

2 50%

Total Performance in group Concentration Limits 51.29%

Debt Default and Allowance M 2 #VALUE!

3 1,5%

3 50%

Haircut 2 3%

2 2%

Total Performance in group Debt Default and Allowance Metrics #VALUE!

Price Sensitivity Metrics 2 #VALUE!

3 1%

2 1%

Limit by Industry/Sector

Limit is expressed in the % of the total loan amount.% for each industry is determined by the Institution. The goal is to achieve maximum diversification benefit.

Limit by Credit Rating

% of Total loans assigned to each grade - from investment to high yield grade

Limit by Purpose for Consumer Loans

Consumer loans include:Mortgages, Personal loans, Student loans and Credit Cards.Each client has a certain limit in each type of loans.Banks should also balance proportions of these types of loans in the gross consumer loan amount.

Gross Impaired Loan (GIL) Ratio

Loans are generally classified as impaired when there is no longerreasonable assurance of timely collection of the full amount of principal or interest.GIL ratio is Gross impaired loans as a % of gross loans and acceptances

Allowance for Credit Losses

The allowance for credit losses is maintained at a level thatmanagement believes is sufficient to absorb probable losses in both the on- and off-balance sheet portfolios.Allowance for credit losses is expressed as a % of gross impaired loansThe allowan

Measured in % for each asset class of collateral. This is a Bank's commission paid net of collateral covering its risk exposure in exchange for willingness to keep the collateral.

Marginal Mortality Rate (MMR) Exposure

MMR is the probability of a bond or loan defaulting in any given year after issue. MMR exposure is MMR * position value (for the same asset class)

Delta (Price Risk)

Delta is the first partial derivative of a portfolio's value with respect to the value of the underlier.It measures the degree to which the value of the option is influenced by the change in the price of the financial instrument or interest rate.

Gamma (Convexity Risk)

Gamma is the second partial derivative of a portfolio's value with respect to the value of the underlier.It measures the degree to which the option's value is changed as the reference price underlying the option's changes. The higher the gamma - the m

2 1%

2 2%

1 50%

Total Performance in group Price Sensitivity Metrics #VALUE!

Total Performance in Financial Risks #VALUE!

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Vega (Volatility Risk)

Vega is the first partial derivative of a portfolio's value with respect to the value of implied volatility:It measures the sensitivity of the change in option's value to changes in the volatility of the underlying instrument. The higher Vega the more v

Theta (Time Decay Risk)

Formally, theta is the partial derivative of the portfolio's value with respect to time.It measures time decay of the option. That means that it measures the change in value of the option as it moves closer to its expiry date.

Rho (Discount Rate Risk)

Rho is the partial derivative of the portfolio's value with respect to the risk-free rate.Measures the change in options value in response to a change in interest rate. Usually as a change for a zero-coupon rate for the same maturity as the option.Usua

1% 0.09 0.07 10%

10 0.06 0.03 20

5% Set by the Instituti 0.09 0.045 9%

1% 0.06 0.0128571429 15%

0.3 0.1578571429

20% Should be near the 0.09 0.045 10%

TargetValues

MaxPerformance

RealPerformance

10% Different for each i 0.09 0.036 5%

20% 0.06 0.03 10%

60% Should be near the 0.06 0.0428571429 25%

0.3 0.1538571429

1% 0.06 #VALUE! 2%

230% Set according to th 0.06 0.0031578947 40%

5% 0.04 0.024 0%

1% 0.04 0.02 3%

0.2 #VALUE!

1,5% 0.06 #VALUE! 3%

2% 0.04 0.02 0%

2% 0.04 0.02 0%

3% 0.04 0.02 1%

3% 0.02 -0.92 4%

0.2 #VALUE!

Financial Risks