RISIKO PASAR lanjutan MARKET RISK continued

589 Laporan฀Tahunan฀2012฀•฀ BNI PT BANK NEGARA INDONESIA PERSERO Tbk DAN ENTITAS ANAKAND SUBSIDIARIES CATATAN ATAS LAPORAN KEUANGAN KONSOLIDASIAN 31 DESEMBER 2012 DAN 2011 Disajikan dalam jutaan Rupiah, kecuali dinyatakan lain NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 31 DECEMBER 2012 AND 2011 Expressed in millions of Rupiah, unless otherwise stated 47. RISIKO PASAR lanjutan 47. MARKET RISK continued Proses pengendalian Risiko Pasar melalui penetapan dan kaji ulang limit Risiko Pasar dilakukan secara periodik oleh Divisi ERM dan Unit PGV meliputi limit-limit sebagai berikut: a. Limit Risiko Pasar pada trading book i Limit Value at Risk VaR ii Limit Nominal Transaksi iii Limit Nominal Open Position iv Loss Limit Limit ditetapkan pada masing-masing desk Forex Desk, Money Market Desk, dan Capital Market Desk. b. Limit Risiko Pasar pada banking book i Gap Asset Liability Limit – Rupiah ii Gap Asset Liability Limit – Valas iii Limit Posisi Devisa Netto internal BNI. BNI Market Risk limit as a part of risk controlling process is set and reviewed periodically by ERM and PGV which are independent from risk taking units TRS and Overseas branches. The Market Risk limits are as follows: a. Market Risk limits on trading book i VaR limit ii Nominal Limit iii Open Position Limit iv Loss Limit Those limits are performed for each trading desk Forex, Money Market, and Capital Market. b. Market Risk limits on banking book: i Gap AL Limit – Indonesian Rupiah ii Gap AL Limit – Foreign Currency iii Internal BNI Net Open Position limit. Pemantauan Risiko Pasar berupa laporan perkembangan eksposur Risiko Pasar dan kepatuhan terhadap limit Risiko Pasar yang disampaikan kepada Manajemen secara berkala laporan harian, laporan mingguan dan laporan bulanan Laporan Sirkulasi atau RMC. Khusus terkait dengan laporan perkembangan Risiko Suku Bunga pada Banking Book disampaikan kepada Manajemen melalui forum ALCO. Market Risk monitoring is conducted through reports which give information about the market risk exposures and the limit compliance. The VaR reports are submitted to BNI Management on a periodic basis daily, weekly, and monthly through circular reports or RMC forum, Specifically the report for interest rate risk on banking book is submitted to Management on a monthly basis through ALCO forum. BNI menggunakan nilai Value at Risk VaR untuk menghitung potensi risiko kerugian yang timbul akibat perubahan faktor pasar dapat mempengaruhi nilai pasar pada portofolio produk Tresuri, mencakup: a. Risiko Nilai Tukar pada trading book dan banking book b. Risiko Suku Bunga pada trading book dan banking book tidak termasuk aset yang bersifat investasihold to maturity. BNI uses Value at Risk model VaR to measure potential market risk arising from possible changes of market factors which can affect the market value of Bank portfolio. The scope of Market Risk and Bank’s portfolio are as follows: a. Foreign exchange risk on trading book and banking book. b. Interest rate risk on trading book and banking book excluding assetheld-to-maturity investment. Metode untuk menghitung VaR yang digunakan adalah Variance CovarianceRiskMetrics. Pengukuran VaR dengan metode Variance CovarianceRisk Metrics menggunakan formula dengan memasukkan parameter-parameter tertentu seperti volatilitas dan korelasi. Metode ini mengasumsikan bahwa segala perubahan dalam faktor risiko yang mempengaruhi kondisi pasar normal dan mengikuti distribusi normal. VaR method used in BNI is Variance CovarianceRiskMetrics. This method uses formula with some parameters such as volatility and correlation. It assumes that any changes occuring in the risk factors affecting the normal market condition will follow a normal distribution. 590 2012฀Annual฀Report฀•฀ BNI PT BANK NEGARA INDONESIA PERSERO Tbk DAN ENTITAS ANAKAND SUBSIDIARIES CATATAN ATAS LAPORAN KEUANGAN KONSOLIDASIAN 31 DESEMBER 2012 DAN 2011 Disajikan dalam jutaan Rupiah, kecuali dinyatakan lain NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 31 DECEMBER 2012 AND 2011 Expressed in millions of Rupiah, unless otherwise stated 47. RISIKO PASAR lanjutan 47. MARKET RISK continued