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PT Bank Artha Graha Internasional, Tbk Tinjauan Pendukung Bisnis
Overview Business Support Management Discussion and Analysis
Good Corporate Governance Tanggung Jawab Sosial Perusahaan
Corporate Social Responsibility
Divisi Manajemen Risiko bekerja sama dengan Divisi Pendidikan Pelatihan Diklat telah melakukan pelatihan
dan sosialisasi mengenai penggunaan aplikasi CRR serta refreshing kepada para marketing Account Officer sesuai
jadwal program pelatihan dari Divisi Diklat.
2. Manajemen Risiko Pasar dan Risiko Likuiditas
Risiko Pasar merupakan risiko pada posisi neraca dan rekening administratif termasuk transaksi derivatif, akibat
perubahan secara keseluruhan dari kondisi pasar, termasuk risiko perubahan harga option. Risiko likuiditas merupakan
risiko akibat ketidakmampuan Bank untuk memenuhi kewajiban yang jatuh tempo dari sumber pendanaan arus
kas danatau dari aset likuid berkualitas tinggi yang dapat diagunkan, tanpa mengganggu aktivitas dan kondisi
keuangan Bank.
Selama tahun 2015, Divisi Manajemen Risiko telah melakukan pemantauan harian maupun periodik terhadap
transaksi atau posisi yang terekspos risiko pasar dan risiko likuiditas, seperti pemantauan terhadap transaksi atau
posisi money market, foreign exchange, dan capital market, verifikasi terhadap perbandingan harga Mark to Market
MtM surat berharga yang dimiliki Bank yang dibukukan pada Trading Book dan Available For Sale, pemantauan
terhadap pemenuhan ketentuan Giro Wajib Minimum GWM dan Loan to Funding Ratio LFR, pemantauan
terhadap aktiva likuid, dana pihak ketiga, dan kewajiban Bank, serta pemantauan terhadap risk appetite, risk
tolerance, dan risk limit bidang treasury.
Divisi Manajemen Risiko juga menghitung tingkat volatilitas beberapa variabel pasar seperti suku bunga
dan nilai tukar, melakukan stress testing risiko pasar secara periodik sesuai Pedoman Manajemen Risiko Pasar Bank
dan ketentuan Bank Indonesia dan melakukan stress testing risiko likuiditas termasuk pelaksanaan Contingency Funding
Plan secara periodik berdasarkan Pedoman Manajemen Risiko Likuiditas Bank dengan menggunakan analisa
skenario yang ditetapkan oleh Direksi maupun skenario yang ditetapkan oleh Otoritas Jasa Keuangan OJK.
Dalam pengelolaan risiko pasar dan risiko likuiditas secara operasional Bank difasilitasi melalui Komite Asset Liabilities
Asset Liabilities CommitteeALCO yang dilakukan secara periodik.
Divisi Manajemen Risiko bersama Divisi Teknologi Informasi melakukan pengembangan metode internal VaR Value
at Risk yaitu metode Variance co Variance dan Historical Simulation melalui aplikasi Market Risk Measurement MRM
yang saat ini masih dalam tahap penyempurnaan oleh Divisi Teknologi Informasi.
in collaboration with Education Training Division have conducted training and socialization on the use of the CRR
application and refreshing for marketing Accounts Officer in accordance with training program from Education and
Training Division.
2. Market Risk and Liquidity Risk Management Market Risk is a risk in the position of administrative balance
and account including derivative transaction, due to overall change in market condition, including change in option
price risk. Liquidity risk is the risk due to the inability of the Bank to meet its maturing obligations from cash flow
funding sources andor from high-quality liquid assets that can be pledged, without disrupting Bank’s activities and
financial condition.
During 2015, the Risk Management Division has conducted monitoring on daily and regular basis over the transactions
or positions exposed to market and liquidity risk, such as the monitoring of a transaction or position of money
market, foreign exchange and capital markets, verification to the comparison of securities’ Mark to Market MTM price
owned by the Bank, which were recorded in the Trading Book and Available For Sale, monitoring of compliance to
the provisions of Minimum Reserves Requirement GWM and the Loan to funding Ratio LFR, monitoring of liquid
assets, third party fund, and liabilities of the Bank, as well as monitoring of risk appetite, risk tolerance, and risk limit
in treasury field.
Risk Management Division also calculates the volatility level of some market variables such as interest rates and exchange
rates, carries out stress testing on market risk on regular basis in accordance with Bank’ Market Risk Management
Guidelines and Bank Indonesia rules as well as carries out stress testing on liquidity risk, including the implementation
of the Contingency Funding Plan on regular basis, it is based on Bank’s Liquidity Risk Management Guidelines using
scenario analysis established by the Board of Directors and by the Indonesia Financial Services Authority OJK
FSA as well. In the management market and liquidity risk operationally, the Bank is facilitated by Asset Liability
CommitteeALCO carried out on regular basis.
Risk Management Division and Information Technology Division conduct VaR Value at Risk internal method
development namely Variance co Variance and Historical Simulation methods through Market Risk Measurement
MRM which is currently on the improvement phase by Information Technology Division.
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Annual Report
PT Bank Artha Graha Internasional, Tbk Informasi Bagi Pemegang Saham dan Investor
Shareholders and Investors Information Report to Shareholders and Stakeholders
Company Profile Laporan Kepada Pemegang Saham dan Pemangku Kepentingan
Perhitungan kebutuhan modal yang diperlukan Bank untuk mengcover risiko pasar menggunakan Pendekatan
Standar Standardized Approach dan telah dilakukan sesuai dengan ketentuan Bank Indonesia yang berlaku
tentang Kewajiban Penyediaan Modal Minimum bagi Bank Umum. Sedangkan penilaian Profil Risiko Pasar dan Profil
Risiko Likuiditas telah dilakukan sesuai ketentuan Bank Indonesia dan telah disampaikan kepada Bank Indonesia
secara tepat waktu bersamaan dengan profil risiko lainnya.
3. Manajemen Risiko Operasional
