RISIKO PASAR lanjutan MARKET RISK continued

472 L T h BNI CATATAN ATAS LAPORAN KEUANGAN KONSOLIDASIAN 31 DESEMBER 2013 DAN 2012 Disajikan dalam jutaan Rupiah, kecuali dinyatakan lain NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 31 DECEMBER 2013 AND 2012 Expressed in millions of Rupiah, unless otherwise stated 46. RISIKO PASAR lanjutan 46. MARKET RISK continued BNI telah memiliki Aplikasi Manajemen Risiko Pasar untuk mendukung proses Manajemen Risiko Pasar dalam rangka pengelolaan Risiko Pasar. Pengukuran potensi Risiko Pasar untuk pengendalian internal BNI dilakukan secara harian menggunakan Model Internal - Value at Risk VaR Methodology, sedangkan pengukuran Risiko Pasar dalam rangka perhitungan Kewajiban Penyediaan Modal Minimum dilakukan secara bulanan menggunakan Metode Standar. BNI juga melakukan pengukuran Risiko Suku Bunga pada Banking Book secara bulanan menggunakan Assets Liabilities Gap Report serta pengukuran Risiko dan pengukuran Risiko Nilai Tukar pada Banking Book melalui perhitungan Posisi Devisa Neto PDN secara harian dan bulanan sesuai ketentuan Bank Indonesia. BNI has market risk tools to support the implementation of the Market Risk Process. The measurement of potential market risk, for internal control purposes, is conducted on a daily basis using an Internal Model - VaR Methodology. On the other hand, the market risk measurement for Capital Adequacy Ratio purposes, is conducted on a monthly basis using the Standard Method. BNI also conducts on a monthly basis the measurement of interest rate risk on banking book using Assets Liabilities Gap Report AL Gap Report and the measurement for foreign exchange risk is by calculating the Net Open Position NOP both daily and monthly in accordance with Bank Indonesia regulation. Sehubungan dengan penggunaan Model Internal VaR dalam pengukuran Risiko Pasar, BNI telah melakukan proses validasi melalui Back Testing setiap 3 tiga bulan sekali untuk menilai akurasi pengukuran VaR yang digunakan. Selain itu, BNI telah melakukan proses Stress Testing terhadap instrumen keuangan yang terekspos Risiko Nilai Tukar dan Risiko Suku Bunga portofolio obligasi untuk menilai ketahanan Bank dalam menghadapi perubahan faktor pasar yang ekstrim pada saat kondisi pasar abnormal. Stress Testing dilakukan setiap 6 enam bulan sekali atau periode yang lebih pendek jika terjadi kondisi tidak normal. In line with the use of the Internal Model VaR in measuring market risk, BNI conducts Back Testing on a quarterly basis to assess the accuracy of the VaR methodologies used. Stress Testing has also been conducted semi-annually for the financial instuments that are exposed to interest rate risk limited to bond positions and foreign exchange risk in order to assess the Bank’s resilience in encountering extreme change of risk factors in abnormal market conditions. Stress Testing is done every 6 six month or whichever is earlier in case there is an abnormal condition. Proses pengendalian Risiko Pasar melalui penetapan dan kaji ulang limit Risiko Pasar dilakukan secara periodik oleh Divisi ERM dan Unit PGV yang independen terhadap risk talking units TRS dan cabang-cabang luar negeri. Limit-limit Risiko Pasar adalah 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 Limit Kerugian Limit ditetapkan pada masing-masing desk Forex Desk, Money Market Desk, dan Capital Market Desk. b. Limit Risiko Pasar pada banking book i Limit Gap Aset Liabilitas – Rupiah ii Limit Gap Aset Liabilitas – Valuta Asing iii Limit Posisi Devisa Netto internal BNI. BNI Market Risk limit as a part of the 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 These limits are performed for each trading desk Forex, Money Market, and Capital Market. b. Market Risk limits on banking book: i Gap Asset Liability Limit – Indonesian Rupiah ii Gap Asset Liability Limit – Foreign Currency iii Internal BNI Net Open Position Limit. 473 L T h BNI CATATAN ATAS LAPORAN KEUANGAN KONSOLIDASIAN 31 DESEMBER 2013 DAN 2012 Disajikan dalam jutaan Rupiah, kecuali dinyatakan lain NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 31 DECEMBER 2013 AND 2012 Expressed in millions of Rupiah, unless otherwise stated 46. RISIKO PASAR lanjutan 46. MARKET RISK continued