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Risk Metrics
Perspective Performance
Expected Loss (EL) 67.71%
Economic Capital (EC) 46.22%
Liqidit! Risk 4".##%
Market risk $&L'E
siness Risk *6.67%
Total Performance #VALUE!
Scorecard includes 5 categories, 16 indicators
Help
+ ,o can c-ane t-e /ales in 0ei-t0 colmn t-e /ale mst 3e 3eteen # and 1#
01#0 /ale means t-at t-e perspecti/e or oal is t-e most /ala3le
+ ,o can c-ane t-e /ales in 05erormance0 colmn
Strategy tree and scorecard details :
Perspective Goal Description
Exected Loss EL" 2 67.71%
* "%
* #%
2 8otal losses di/ided 3! Exposre at dealt "%
'nexpected loss 2 *%
8otal 5erormance in rop Expected Loss (EL) 677!"
Economic aital E" 2 46.22%
* 4#%
* 2#%
4 8-e standard de/iation o portolio /ale 2"%
8otal 5erormance in rop Economic #apital (E#) $6%%"
Li$uidit% &is' 2 4".##%
* *#%
indicators
&eig't (x of !)
Performance(")
5ro3a3ilit! o9ealt (59)
Cstomer:s credit qalit! measrements(aenc! de3t ratins)
ExpectedExposre (EE)rate
&cconts recei/a3les pls crrent mark+to+
market exposre o contracts pls t-eExpected 5otential ;tre Exposre ocontracts di/ided 3! t-e a/erae EE /alemltiplied 3! 1##
Loss <i/en9ealt (L<9)
8-e a/erae rate o nexpected credit losso/er a i/en time -ori=on
Retrn on eqit!
(R>&)
Compan! re/ene mins expensesdi/ided 3! Compan! eqit! mltipled 3!
1##
Risk+ad?stedretrn oneconomic capital(R&R>C)
Compan! re/ene mins expenses minsexpected loss di/ided 3! Compan! eqit!mltipled 3! 1##
ale+at+Risk(&R)
5rice 5ermanent
aria3le
5ermanent /aria3le (correlated to traded/olme) component o price impact
expressed as a percentae
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* 4#%
@lliqidit! 4 1"%
8otal 5erormance in rop Li*idity +is, $-"
(ar'et ris' 2 $&L'E
Eqit! 5remim 4 *%
2 "%
Crrenc! risk 2 4%
Commodit! risk 2 6%
8otal 5erormance in rop .ar,et ris, /01L2E3
)usiness &is' 2 *6.67%
Capitali=ation " 4#%
" 2"%
8otal 5erormance in rop 4*siness +is, 5667"
8otal 5erormance in +is, .etrics $&L'E
5oered 3! alanced Acorecard 9esiner
5rice 8ransitor!aria3le
8ransitor! /aria3le (correlated to traded/olme) component o price impactexpressed as a percentae
8-e a/erae o t-e dail! retrn (in a3solte/ale) di/ided 3! t-e dollar /olmemltiplied 3! 1##
8-e standard de/iation o a secrit!Bs priceo/er a speciied period.
@nterest RateRisk
Calclation 3ased on t-e c-anes innderl!in interest rates and c-anes inapplica3le implied /olatilities.
Estimations o applica3le crrenc!lctations.
Calclation 3ased on t-e 5rice riskantit! risk Cost risk and 5olitical riskestimations
8-e expected 3siness economic 3eneitdi/ided 3! t-e capitali=ation rate
9iscontedCas- ;lo
& stream o tre economic 3eneitsdisconted to t-eir present /ale.
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1% #.#6 #.#47*64211 2#%
1"#% #.#6 #.#21111 4#%
2% #.#4 #.#*2*"2D41 7#%
#% #.#4 #.#2 1#%
#.2 #.1*"421D7
#% #.#6 #.#2 "%
"#% #.#6 #.#2 "%
"% #.# #.#444444444 "#%
#.2 #.#D24444444
"#% #.#6 #.#2 2#%
arget0al*es
.axPerformance
+ealPerformance
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6#% #.#6 #.#* 2#%
2#% #.# #.#4 1#%
#.2 #.#D
% #.# #.#22"7142D 1%
1% #.#4 #.#2 D%
#"% #.#4 $&L'E 2"%
#"% #.#4 $&L'E 11%
#.2 $&L'E
6#% #.1 #.#********* *#%
4#% #.1 #.#4 1"%
#.2 #.#7********
