Bank is using Value at Risk VaR analysis based on historical method to assess

Bank is using value at risk var analysis based on

This preview shows page 161 - 162 out of 294 pages.

Bank is using Value at Risk (VaR) analysis based on historical method to assess the minimum level of loss on foreign currency holding that is likely to be exceeded at certain level of probability (5% probability) in 1 day. Also, based on VaR, bank has set Management Trigger Point at BDT 10.00 million for aggregate currency exposure, based on 1 day VaR at 95% level of confidence. Value-at-Risk estimates (Loss in domestic currency) presented below: Time Horizon Confidence level 1 day 2 days 3 days 4 days 5 days 90% 1,458,612 1,936,841 2,221,913 2,989,821 3,001,321 95% 1,921,877 2,826,103 3,171,631 3,859,277 4,282,481 99% 3,694,004 5,469,763 5,478,434 5,384,724 7,033,220 The Bank has been active in secondary market during the year with 2.17% assets invested in equity securities as on the reporting date. To manage equity risk, the Investment Committee of the bank ensures taking prudent investment decisions complying sectoral preference as per investment policy of the bank and capital market exposure limit set by BB. Quantitative Disclosures: Capital required for market risk as on the reporting date follows: (Figures are in million BDT) a Interest rate risk 667.37 b Equities 534.47 c Foreign exchange risk 54.10 d Commodity risk Total 1,255.94 Operational Risk Qualitative Disclosures: Operational Risk: Operational risk is the risk of direct or indirect loss due to an event or action resulting from the failure of internal processes, people and systems, or from external events. We seek to minimize exposure to operational risk, subject to cost benefit trade-offs. The bank captures some pre identified risk events associated with all functional departments of the bank through standard reporting format. Bank’s Operational Risk Committee (BORC) sits every month with all these reports and decides action plans to resolve risk issues by specific individual and/or group within an agreed timeline. The committee also escalates ‘high level risk’ issues to MANCOM (Management Committee) and BRMC (Bank Risk Management Committee) based on importance and urgency of taking effective decisions. BORC is responsible for setting and maintaining standards for operational risk management and measurement, which is separate from the business functions. Performance gap of executives and staffs: EBL is an equal opportunity employer. At EBL we recognize the importance of having the right people at right positions to achieve organizational goals. Our recruitment and selection is governed by the philosophies of fairness, transparency and diversity. Understanding what is working well and what requires further support is essential to our performance management system. The performance management process aims to clarify what is expected from employees as well as how it is to be achieved. At the beginning of a year we adequately communicate to our direct reports what are expected from him/her during ensuing period. A half yearly and yearly performance appraisal practices are in place to review achievements based on which rewards and recognition decisions are made. Internal control & compliance (ICC) is continuously monitoring to minimize any potential
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  • Spring '17
  • Eastern Bank Limited

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