Pengukuran AR 2015 Bank Victoria Final

Mekanisme pengukuran risiko pasar untuk keperluan pemantauan risiko secara periodik maupun untuk perhitungan kecukupan modal, baik pada banking book maupun trading book. Bank telah menerapkan beberapa metode untuk memitigasi kerugian yang dapat timbul dari risiko pasar, diantaranya seperti penetapan limit-limit kegiatan treasury untuk menjaga tingkat eksposur agar tetap sesuai dengan risk appetite Bank dan stress test ketahanan modal terhadap pergerakan faktor pasar yang sangat signiikan dan mempersiapkan strategi yang diperlukan jika kondisi krisis tersebut terjadi. Cakupan portofolio trading dan banking book yang diperhitungkan dalam Kewajiban Penyediaan Modal Minimum KPMM Untuk risiko suku bunga, mengikutsertakan portofolio dalam trading book. Risiko suku bunga dapat timbul dari transaksi surat berharga. Langkah-langkah antisipasi terhadap risiko pasar karena perubahan kurs maupun luktuasi suku bunga Langkah-langkah dan rencana yang dilakukan untuk mengantisipasi risiko pasar adalah dengan melakukan penetapan dan kontrol limit risiko pasar seperti Limit Cut Loss serta melakukan stress test. Adapun terhadap produk baru, Bank akan melakukan assessment berupa identiikasi dan mitigasi risiko yang terkait dengan risiko pasar. Tabel 7.1. Pengungkapan Risiko Pasar dengan Menggunakan Metode standar Table 7.1. Market Risks by applying a standardized Method Lihat Lampiran halaman 512 See attachment page 512

3. Risiko operasional

Penerapan Manajemen Risiko Operasional pada Bank dengan melibatkan berbagai pihak melalui penerapan pertahanan berlapis three lines of defense yang berfungsi sebagai berikut. a. Lini pertama, Fungsi Sistem Pengendalian Internal Internal Kontrol membantu unit kerja risk owner dalam penegakan disiplin praktek pengendalian risiko operasional sehari- hari. Sedangkan Unit kerja sebagai risk owner bertanggung jawab terhadap pengelolaan risiko operasional dari masing-masing unit kerja Bank. b. Lini kedua, Divisi Manajemen RisikoTerintegrasi meyakinkan bahwa risiko Operasional yang dihadapi dapat diidentiikasi, diukur, dipantau, dan dikendalikan, melakukan penilaian sendiri atas risiko operasional dan mengembangkan indikator risiko operasional utama, memberikan saran kepada unit kerja dalam rangka mitigasi risiko untuk mencegah kejadian kerugian terulang kembali dan memantau serta menyampaikan masalah risiko operasional kepada Komite Manajemen Risiko. a mechanism of measuring market risks for periodic risk monitoring and calculating the capital adequacy, either in the banking book or the trading book. The Bank has applied several methods to mitigate losses that may incur from market risks, e.g. deining limits in treasury activities to keep exposure levels in accordance with the Bank’s risk appetite and applied a stress test on capital resistance to a very signiicant market factor movement and to make a needed strategy in the event that a crisis occurs. The scope of portfolios trading and banking books as calculated in the Capital adequacy Ratio CaR In terms of interest rate risks, the portfolio is included in the trading book. The interest rate risks may be caused by marketable security transactions. Measures to anticipate market risks, both due to changes in currency exchange rates and interest rate luctuations Measures and plans in anticipating market risks are by deining and controlling market risk limits such as Limit Cut Loss and by performing a stress test. In terms of new products, the Bank conducted assessments, namely identiication and mitigation of risks relating to market risks.

3. operational Risks

The operational risk management was implemented in the Bank by involving various parties through three lines of defense which function as follow. a. The irst line, the Internal Control System Function assists any work unit risk owner in enforcing discipline on daily operational risk control practices. The respective work unit of the Bank, as a risk owner, is responsible for managing operational risks in its unit. b. The second line, the IntegratedRisk Management Division ensures that operational risks encountered are able to be identiied, measured, monitored, and controlled, performs self- assessment of operational risks and develops indicators of main operational risks, gives suggestions to work units on risk mitigation in order to prevent events of losses to repeat, and monitors and reports operational risk problems to the Risk Management Committee.