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Market Risk
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Among market risks the Bank defines interest rate risk, exchange rate risk, stock risk and commodity risks.
Market risk management of the Bank is a complex process which includes (³) revelation (identification) of market risks, (³³) market risk assessment, (iii) monitoring of market risk level, (iv) control of acceptability of market risk level and (v) development of actions aimed at minimization of market risks.
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| Revelation (identification) of market risks is performed on a ongoing basis by means of expertise of new banking products, environmental analysis etc. |
| Assessment and monitoring of market risk level is performed by means of various statistics approaches (given the impact of market factors on pricing) and scenario analysis (given the impact of non-market factors on pricing) with use of available information regarding forecasts of leading financial institutions, dynamics of macroeconomic indicators, central banks policy, economical policy of governments etc. In addition, stress-testing is used to assess potential losses upon occurrence of a shock (stress) event. |
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Control of acceptability of market risks level is performed through establishment of certain limitations:
- limitations of mismatches between maturities or revaluation terms of the Bank`s assets and liabilities sensible to the changes of interest rate, minimum level of interest margin (intrest rate risk)
- limitations of the open positions on securities (stock risk) and purchased currency/bank metals (currency risk)
- limitations of ratio between the volume of loan and value, liquidity of security (commodity risk).
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| Measures on minimization of risks include diversification of financial instruments portfolio (currencies, securities, collateralized property), hedgings (concluding agreements on acquisition/sale of asset at certain price in the future), insurances of risks of appreciation of asset value etc. |
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Compliance with currency position (FX position) requirements set by NBU
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Total FX position
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Total long
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Çàãàëüíà êîðîòêà
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Actual value as of 01 January 08
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8.23%
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1.64%
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6,60%
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Norm as of 01 January 08
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no more than 30%
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no more than 20%
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no more than 10%
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