371
RISK MANAGEMENT
bank bjb
Annual Report 2014
4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance
Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ
POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data
pemantauan, dan pengendalian Risiko, serta sistem informasi Manajemen Risiko untuk Risiko
Pasar sebagaimana Surat Edaran Bank Indonesia Nomor 1323DPNP tanggal 25 Oktober 2011,
Bank melakukan penerapan manajemen risiko yaitu:
D ,GHQWLÀNDVL5LVLNR3DVDU
1SPTFT JEFOUJmLBTJ SJTJLP QBTBS NFMJQVUJ JEFOUJmLBTJ EBSJ LBSBLUFSJTUJL QSPEVL CBSV
JEFOUJmLBTJ TVNCFS SJTJLP QBTBS ZBOH EBQBU berdampak kepada transaksi yang akan
dilakukan oleh Dealing Room Treasury. Proses JEFOUJmLBTJ 3JTJLP ZBOH EJTFTVBJLBO EFOHBO
Risiko Pasar melekat pada aktivitas bisnis Bank yang meliputi risiko suku bunga antara
lain repricing risk, yield curve risk, basis risk,
dan optionality risk dan untuk risiko nilai tukar
antara lain tercermin dari besarnya eksposur transaksional. Satuan Kerja Manajemen
Risiko juga melakukan review atau evaluasi
atas produk maupun aktivitas yang terekspos pengaruh pergerakan variabel pasar.
b. Pengukuran Risiko Pasar
Pengelolaan portofolio Divisi Treasuri tanpa adanya dasar pertimbangan dan penilaian
risiko akan mengakibatkan kerugian di atas toleransi bank dalam menyerap kerugian.
Salah satu cara dalam menanggulangi kejadian risiko yang dapat menyebabkan kerugian di
atas toleransi risiko bank adalah penggunaan toleransi risiko atau limit transaksi yang
diperkenankan manajemen bank. Pengajuan limit oleh Divisi Treasuri sebagai risk taking unit
harus mendapatkan kajian risiko secara terukur oleh Divisi Manajemen Risiko. Pengajuan limit
ini bertujuan untuk mempermudah Manajemen bank
bjb dalam memahami risiko yang
dihadapi serta pengelolaan risikonya. Pengajuan limit harus meliputi kriteria-kriteria
sebagai berikut: Divisi Treasuri sebagai
risk taking unit menerapkan “
trading” dan “hedging” secara berkala sebagai bagian dari proses
RISK MANAGEMENT
monitoring, and controlling risks, as well as the Risk Management information system for the Market Risk as
stipulated in Bank Indonesia Circular Letter No. 1323 DPNP dated 25 October 2011, the Bank implements
the risk management, namely:
D 0DUNHW5LVN,GHQWLÀFDWLRQ
5IF NBSLFU SJTL JEFOUJmDBUJPO QSPDFTT JODMVEFT UIF JEFOUJmDBUJPO PG OFX QSPEVDU DIBSBDUFSJTUJDT
JEFOUJmDBUJPO PG TPVSDFT PG NBSLFU SJTL UIBU NBZ affect the transactions that will be conducted by
UIFFBMJOH3PPN5SFBTVSZ5IFSJTLJEFOUJmDBUJPO process that are adapted to the Market Risks is
inherent in the Bank’s business activities which includes in the interest rates risk, among others,
repricing risk, yield curve risk, basis risk and optionality risk and for foreign exchange risk
BSF BNPOH PUIFST BT SFnFDUFE JO UIF BNPVOU PG transactional exposure. The Risk Management Unit
also conducts reviews or evaluations on products PS BDUJWJUJFT UIBU BSF FYQPTFE UP UIF JOnVFODF PG
movements in market variables.
b. Market Risk
Assessment
The portfolio management of the Treasury Division with no consideration basis nor risk assessments
will result in the loss of tolerance of the bank to absorb losses. One way to inhibit risk occurrences
that may cause harm to the bank’s risk tolerance is the application of risk tolerance or limit transactions
that are allowed by the management of the bank. The limit application by the Treasury Division as
the risk taking unit must obtain a measured risk assessment by the Risk Management Division.
The limit application is intended to facilitate the management of bank bjb in understanding risk as
well as its management.
The limit application must include the following criteria:
The Treasury Division as the risk taking unit implements “trading” and “hedging” on a regular
basis as part of the Treasury business management
372
MANAJEMEN RISIKO
bank bjb
Laporan Tahunan 2014
LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan
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pengelolaan bisnis Treasury khususnya bidang
Treasury Trading. Pada konteks limit berbasis risiko ini, yang ditentukan adalah limit yang
berkaitan dengan aktivitas Treasury. Dalam
proses penerapan limit dilakukan usaha pendekatan dimana terdapat komponen-
komponen yang mendukung diantaranya: a. Rencana
Bisnis • Rencana bisnis harus secara luas
mencantumkan tujuan dari limit yang diminta, target pasar, pendapatan
yang diharapkan dan kebutuhan akan modal. Rencana tersebut harus
NFOHLVBMJmLBTJLBO DBSB CBHBJNBOB limit tersebut akan dipergunakan,
contoh “ trading” atau “hedging”.
t QMJLBTJ MJNJU IBSVT NFOHJEFOUJmLBTJ NBUB VBOH EBO QBTBS TQFTJmL ZBOH
menjadi eksposur terhadap tujuan unit bisnis.
b. Persyaratan Modal dan Proyeksi
Pendapatan • Divisi Treasuri meminta masukan
dari Divisi Manajemen Risiko dalam mengukur alokasi modal yang harus
disediakan dalam memitigasi potensi kerugian yang akan timbul.
• Divisi Treasuri harus memberikan proyeksi pendapatan yang
berhubungan dengan aplikasi limit. Proyeksi tersebut akan memudahkan
Direksi dalam proses pengambilan keputusan persetujuan limit.
F 3HQJJXQDDQKLVWRULV Divisi Treasuri dapat memberikan analisa
trend market outlook dengan penggunaan historis yang ada atas eksposur risiko atau
limit yang akan diterapkan. Prosedur kerja pengukuran limit unit bisnis
Treasuri mempertimbangkan beberapa aspek yang dinilai cukup berpotensial dalam
menimbulkan kejadian risiko. Komponen yang mendasari pengukuran limit ini adalah:
MANAJEMEN RISIKO
QSPDFTTQBSUJDVMBSMZJOUIF5SFBTVSZ5SBEJOHmFMEO this risk-based limit context, the limit set is related
to Treasury activities. In the limit implementation process, approaches are conducted to the
supporting components, among others:
a. Business Plan
• The business plan must broadly states the purpose of the requested limit, the
target market, expected revenues and the required capital. The plan must qualify how
the limit will be utilized, such as “trading” or “hedging”.
t 5IFMJNJUBQQMJDBUJPONVTUJEFOUJGZBTQFDJmD currency and market becoming exposures
to the business unit’s objectives. E DSLWDO5HTXLUHPHQWDQG3URMHFWHG5HYHQXHV
• The Treasury Division requests input from the Risk Management Division in
measuring the capital allocation that should be provided to mitigate potential losses
that may arise. • The Treasury Division must provide the
projected revenues associated with the limit application. The projections will
facilitate the Board of Directors in the decision-making process of limit approval.
F 7KH8VHRI+LVWRULFDO The Treasury Division can provide the market
outlook trend analysis with the use of existing historic on risk exposures or limit which will be
implemented.
The Treasury business unit limit measurement working procedures consider several aspects
that are assessed to have the potentials of risk occurrences. Underlying components in the
measurement of limit are namely:
373
RISK MANAGEMENT
bank bjb
Annual Report 2014
4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance
Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ
POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data
D DNWRU6HQVLWLYLWDV5LVLNR3DVDU Setiap aktivitas Treasuri terdapat risiko
yang melekat risk inherent dimana proses
dalam pengukuran risiko harus didasarkan pada sensitivitas risiko yang melekat
pada aktivitas transaksi Treasuri. Faktor sensitivitas risiko pasar meliputi yaitu PV01,
Duration, Vega, Gamma, Theta, Rho, dan volatilitas transaksi.
E .HFXNXSDQDWD Kecukupan data diperlukan sebagai
kecukupan prosedur analisis statistik dan agar analisis pengukuran terhadap risiko
menghasilkan output yang memadai
dan sesuai dengan eksposur risiko yang dihadapi oleh bank. Data yang diperlukan
adalah data historis yang dibutuhkan guna memperkuat suatu analisis pengukuran
limit risiko. F 3HQJXNXUDQ
Value at Risk Model
Value at Risk tersebut dipergunakan dalam mengukur dan menganalisa risiko
transaksi Treasuri secara komprehensif dan terukur. Misalnya, penggunaan VaR
value at risk untuk mengukur kerugianbudget
loss atas aktivitas transaksi Treasury trading selain itu kegunaan model ini
juga dapat mengukur perkiraan kerugian terburuk yang dapat dialami Bank dalam
selang waktu tertentu pada kondisi pasar yang normal dan tingkat kepercayaan
tertentu. Beberapa strategi pengelolaan risiko pasar yang
dilakukan bank bjb adalah mencakup sistem
dan prosedur dengan menggunakan teknik Mark
To Market, Value at Risk VaR, Stress Testing, Repricing Gap Duration Gap Model atau metoda
lain yang sesuai untuk mendapatkan nilai wajar eksposur secara berkala, sekaligus merupakan
platform yang tepat untuk menilai posisi risiko. Pada saat ini bank
bjb menerapkan metode yang
mampu mengukur risiko terhadap nilai tukar yaitu dengan menggunakan Model Nilai Tukar VaR
EWMA Exponential Weighted Moving Average
RISK MANAGEMENT
D 0DUNHW5LVN6HQVLWLYLW\DFWRU There are inherent risk in each Treasury
activities in which the process of risk assessment shall be based on the
sensitivity of the inherent risk in the Treasury transaction activities. The market risk
sensitivity factors include PV01, Duration, Vega, Gamma, Theta, Rho, and transaction
volatility. E GHTXDF\RIDWD
Data adequacy is required as a statistic analysis procedure adequacy and to ensure
the risk assessment analysis generates adequate output and in accordance with
the risk exposure faced by the bank. The data required is historical data needed to
strengthen a measurement analysis of risk limit.
c. Value at Risk Assessment The Value at Risk model is used in
measuring and analyzing the Treasury’s transaction risks in a comprehensive and
measurable manner. For example, the use of VaR value at risk to measure budget
loss over the Treasury trading transaction BDUJWJUJFT JO BEEJUJPO UIF CFOFmU PG UIJT
model can also measure the expected worst loss caused to the Bank in a certain
time interval in normal market conditions BOEBDFSUBJODPOmEFODFMFWFM
Several market risk management strategies conducted by bank
bjb include systems and
procedures through the utilization of Mark To Market, Value at Risk VaR, Stress Testing, Repricing Gap
and Duration Gap Model techniques or other appropriate methods to obtain a fair exposure
value on a regular basis, as well as an accurate platform to assess the risk position.
Currently bank
bjb applied a method that is
capable of measuring the risk of the exchange rate, namely the Exponential Weighted Moving Average
EWMA which is equipped with Fundamental
374
MANAJEMEN RISIKO
bank bjb
Laporan Tahunan 2014
LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan
5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO
-BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO
yang dilengkapi dengan Fundamental Analysis
dan Historical Simulation untuk menangkap tingkat
risiko nilai tukar yang tercermin dalam Posisi Devisa Netto. bank
bjb juga telah membangun
model pengukuran risiko tingkat suku bunga dengan menggunakan metodologi yang dapat
menangkap risiko suku bunga dari portofolio aset dan kewajiban yang sensitif terhadap perubahan
suku bunga serta menentukan besaran risiko terhadap bank melalui
3FQSJDJOH1SPmMF ,
Duration GAP, dan
Economic Value of Equity EVE. Dalam proses pengukuran potensi kerugian baik itu suku
bunga dan nilai tukar dari transaksi-transaksi Treasury diukur melalui VaR simulasi historis baik
secara sistem OPICS Risk maupun manual. Pengujian kelayakan internal VaR simulasi historis
NFMBMVJ CBDL UFTUJOH 7B3 WT 1SPmU Loss Treasury
dan dilakukan secara berkala.
F 3HPDQWDXDQ5LVLNR3DVDU
Aktivitas manajemen risiko dalam melakukan proses pemantauan aktivitas bisnis antara lain
melalui: 1. Adanya RMA Risk Manegement Agency
yang berfungsi untuk melakukan proses manajemen risiko pasar
trading book melalui pemantauan limit Treasuri secara
harian, misalnya ketentuan GWM, open
position, budget loss, risk sensitivity limit, dan lain-lain. Sebagai upaya proses
pemantauan yang efektif dan akurat, bank telah memiliki sistem OPICS
Risk yang berfungsi dalam mengukur eksposur risiko
trading book yang dilakukan oleh dealing room Treasury.
2. Pemantauan risiko nilai tukar banking
book dilakukan melalui pemantauan Posisi Devisa Neto per 30 menit serta secara
harian agar berada dalam toleransi limit internal bank dan regulasi Bank Indonesia.
3. Pemantauan risiko suku bunga banking
book dilakukan melalui pengukuran Repricing GAP, Duration GAP, dan
Economic Value of Equity EVE untuk melihat sensitivitas porotfolio aktiva
dan pasiva bank dalam menghadapi
MANAJEMEN RISIKO
Analysis and Historical Simulation to capture the FYDIBOHF SBUF SJTL UIBU JT SFnFDUFE JO UIF FU
Open Position. bank bjb has also developed an
interest rate level measurement model using a methodology that can capture the interest rate
risk from the portfolio of assets and liabilities that are sensitive to changes in interest rates as
well as determine the amount of risk to the bank UISPVHI UIF 3FQSJDJOH 1SPmMF
VSBUJPO 1 BOE
Economic Value of Equity EVE. In the process of measuring the potential loss both in interest rates
and exchange rates from Treasury transactions are measured through historical simulation of VaR
both by systems OPICS Risk or manually. Internal feasibility studies of VaR historical simulation are
DPOEVDUFE UISPVHI CBDL UFTUJOH 7B3 WT 1SPmU Loss Treasury and performed periodically.
F 0DUNHW5LVN0RQLWRULQJ
The activity of risk management in conducting business activities’ monitoring process are
through, among others: 1. The existence of the RMA Risk Management
Agency which serves to perform trading book market risk management process
through the daily monitoring of the Treasuries’ limit, for example the provisions
on minimum reserve requirement, open position, budget loss, risk sensitivity limit,
and others. As an effective and accurate monitoring process effort, the bank has
had the OPICS Risk system which serves to measure the trading book’s risk exposures
undertaken by the Treasury dealing room. 2. Monitoring of the trading book exchange
rate risk monitoring is performed through the monitoring of the Net Open Position
per 30 minutes as well as daily to be in the internal bank’s limit tolerance and the
regulations of Bank Indonesia. 3. Monitoring of the banking book interest rate
risk conducted through the measurement of Repricing GAP, Duration GAP and
Economic Value of Equity EVE to see the portfolio sensitivity of the bank’s assets and
375
RISK MANAGEMENT
bank bjb
Annual Report 2014
4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance
Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ
POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data
perubahan suku bunga di masa datang. 4. Monitoring risiko
sovereign Credit Default Swap 5 Year sebagai indikator penilai
risiko investasi dari counterparty atau suatu
negara asing melalui sistem informasi manajemen risiko. Apabila tingkat CDS
NFOJOHLBU TFDBSB TJHOJmLBO NBLB VOJU bisnis harus melakukan keputusan yang
menghindari kerugian yang sangat besar bagi bank.
5. Melakukan evaluasi terhadap eksposur risiko yang dimiliki oleh bank.
6. Apabila terjadi pelampauan limit, Divisi Manajemen Risiko segera melakukan
pelampauan tersebut kepada Direksi.
G 3HQJHQGDOLDQ5LVLNR3DVDU
Strategi yang diambil oleh bank dalam proses pengendalian risiko pasar, antara lain melalui
hedging, squaring position, back-to-back dan cara lain yang bertujuan untuk meng-
off- set suatu transaksiposisi yang mengalami
kerugian serta stress testing guna melihat
ketahanan posisi keuangan bank dalam menghadapi kondisi krisis. Selain itu pula
dapat digunakan untuk mentransfer risiko yang dimiliki
dealing room Treasury bank sepanjang transfer risiko tersebut masih berada dalam
risk limit bank. Bank juga membatasi atau melarang jenis transaksi atau instrumen
tertentu untuk ditransaksikan oleh bisnis unit, serta mengurangi risiko dengan cara
memberikan batas maksimum transaksi atau portofolio sesuai dengan
risk appetite bank.
6LVWHP3HQJHQGDOLDQ,QWHUQ\DQJ0HQ\HOXUXK
Dalam rangka pengembangan penerapan manajemen risiko yang dinamis, Satuan Kerja
Manajemen Risiko selalu melakukan evaluasi atas kebijakan, prosedur dan limit risiko pasar secara
berkala. Sebagai upaya pengendalian risiko pasar berupa kecukupan kebijakan dan prosedur Satuan
Kerja Manajemen Risiko, kaji ulang atas kebijakan dan prosedur dilakukan oleh unit independen baik
di internal ataupun pihak eksternal.
RISK MANAGEMENT
liabilities in encountering the changes in interest rates in the future.
4. Monitoring the sovereign risk Credit Default Swap 5 Year as an indicator of
investment risk assessors of a counterparty or a foreign country through the risk
management information system. In the FWFOUUIF4MFWFMJODSFBTFETJHOJmDBOUMZ
the business unit must undertake decisions to avoid huge losses to the bank.
5. To evaluate the bank’s risk exposures. 6. In the event of limit breach, the Risk
Management Division immediately report the breach to the Board of Directors.
G 0DUNHW5LVNRQWURO
The strategy adopted by the bank in the market risk control process, among others
through hedging, squaring position, back-to- back and other methods that aimed to off-set a
transaction position experiencing loss as well as stress testing to observe the resilience of the
CBOLTmOBODJBMQPTJUJPOJOUIFGBDFPGDSJTJTO addition, it can also be used to transfer the risk
of the Treasury dealing room as long as the risk transfer is still in the bank’s risk limit. The
Bank also restricts or prohibits certain types of transactions or instruments to be transacted by
the business unit, as well as reducing risk by providing a maximum transaction or portfolio
limit in accordance with the risk appetite of the bank.
RPSUHKHQVLYH,QWHUQDORQWURO6\VWHP
In order to develop the implementation of a dynamic risk management, the Risk Management Unit
continuously evaluates the policies, procedures and market risk limits on a regular basis. As
an effort to control the market risk in the form of adequacy of policies and procedures of the Risk
Management Unit, a review on the policies and procedures is carried out by an independent unit
both internally or external parties.
376
MANAJEMEN RISIKO
bank bjb
Laporan Tahunan 2014
LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan
5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO
-BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO
Pelaksanaan kaji ulang dan evaluasi terhadap pengukuran risiko yang dilakukan oleh Divisi
Manajemen Risiko meliputi: •
Kesesuaian kebijakan, desain proses Manajemen Risiko, sistem informasi, dan
pelaporan manajemen risiko bank dengan kebutuhan bisnis Bank, serta perkembangan
peraturan dan praktik terbaik best practice
terkait Manajemen Risiko; • Metode, asumsi, dan variabel yang digunakan
untuk mengukur Risiko dan menetapkan limit risiko pasar;
• Perbandingan antara asumsi yang
digunakan dalam metode pengukuran risiko yang dipergunakan dengan kondisi yang
sebenarnyaaktual; • Perbandingan antara limit yang ditetapkan
dengan eksposur yang sebenarnyaaktual; Hasil kaji ulang Satuan Kerja Manajemen Risiko
Divisi Manajemen Risiko yang telah dikaji ulang oleh Satuan Kerja Audit Intern SKAI akan
disampaikan dalam Komite Manajemen Risiko RMC untuk kemudian diminta persetujuannya
kepada Direksi. Pembahasan tersebut dilakukan pula dengan Dewan Komisaris yang dibantu oleh
Komite Pemantau Risiko. Kaji ulang yang dilakukan oleh Satuan Kerja Audit Intern SKAI meliputi:
• Keandalan kerangka Manajemen Risiko, yang mencakup kebijakan, struktur organisasi,
alokasi sumber daya, desain proses Manajemen Risiko, sistem informasi, dan
pelaporan Risiko Bank; • Proses pemantauan yang dilakukan oleh
Satuan Kerja Manajemen Risiko; • Evaluasi atas metodologi pengukuran Satuan
Kerja Manajemen Risiko;
3HQJXQJNDSDQ.XDQWLWDWLI5LVLNR3DVDU
MANAJEMEN RISIKO
The implementation of review and evaluation to the risk measurement performed by the Risk
Management Division include: • The conformity of policy, Risk Management
process design, information systems, and the bank’s risk management reporting with the
Bank’s business needs, as well as regulatory developments and best practices related to
Risk Management; • Methods, assumptions, and variables used to
measure Risk and determining the market risk limits;
• The comparison between the assumptions used in the risk measurement methods that are
utilized and the actual conditions; • Comparison between the set limit and the
actual exposure; The review results of the Risk Management Unit
Risk Management Division which have been reviewed by the Internal Audit Unit SKAI will be
conveyed in the Risk Management Committee RMC to be subsequently prompted for approval
to the Board of Directors. The discussion is also held with the Board of Commissioners, assisted by
the Risk Monitoring Committee. The review carried out by the Internal Audit Unit SKAI includes:
• Reliability of Risk Management framework, which includes policies, organizational
structure, resource allocation, Risk Management process design, information
systems, and reporting of Bank’s Risks; • Monitoring process conducted by the Risk
Management Unit; • Evaluation on the measurement methodology
of the Risk Management Unit;
4XDQWLWDWLYHLVFORVXUHRIWKH0DUNHW5LVN
377
RISK MANAGEMENT
bank bjb
Annual Report 2014
4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance
Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ
POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data
7DEOH0DUNHW5LVNLVFORVXUHXVLQJ6WDQGDUGL]HG SSURDFK
Rp Million
LTXLGLW\5LVN
Liquidity risk is the risk due to the inability of the bank to meet obligations or liabilities that have matured. This risk
is due to the failure of investment management and fund investment mismatch or a liquidity shortage which leads
UPUIFJOBCJMJUZPGUIFCBOLUPNFFUJUTmOBODJBMPCMJHBUJPOT at a predetermined time.
Liquidity risk can be categorized as follows: • Market liquidity risk, namely the risk arising from
the bank’s inability to offset a certain position with the market price due to inadequate market liquidity
conditions or market disruption; • Funding liquidity risk, namely the risk arising from the
bank’s inability to disburse its assets or obtain funding from other sources.
FWLYH 6XSHUYLVLRQ E\ WKH RDUG RI RPPLVVLRQHUVDQGWKHRDUGRILUHFWRUV
The Board of Commissioners and the Board of Directors are responsible for the effective
implementation of Liquidity Risk Management of the Bank. In relations to the active supervision
authority and responsibility of the Board of Commissioners and Board of Directors of bank
7DEHO 3HQJXQJNDSDQ 5LVLNR 3DVDU GHQJDQ 0HQJJXQDNDQ0HWRGH6WDQGDU
Rp Juta
No Keterangan
HVHPEHUHFHPEHU HVHPEHUHFHPEHU
HVFULSWLRQ bank bjb
.RQVROLGDVL
Consolidated
bank bjb .RQVROLGDVL
Consolidated
Beban 0RGDO
Capital Charge
ATMR
RWA
Beban 0RGDO
Capital Charge
ATMR
RWA
Beban 0RGDO
Capital Charge
ATMR
RWA
Beban 0RGDO
Capital Charge
ATMR
RWA
1 2
3 4
5 6
7 8
9 10
2
1 Risiko Suku Bunga
85.747 1.071.834
85.747 1.071.834
88.052 1.100.645
88.052 1.100.645
Interest Rate Risk
B3JTJLP4QFTJmL
85.747 1.071.834
85.747 1.071.834
88.052 1.100.645
88.052 1.100.645
B4QFDJmD3JTL
b. Risiko Umum -
- -
- b. General Risk
2 Risiko Nilai Tukar
8.911 111.389
8.911 111.389
5.110 63.878
5.110 63.878
Foreign Exchange Risk 3
Risiko Ekuitas -
- -
- Equity Risk
4 Risiko Komoditas
- -
- -
Commodity Risk 5
Risiko Option -
- -
- Option Risk
Total 94.658
1.183.223 94.658
1.183.223 93.162
1.164.523 93.162
1.164.523 Total
5LVLNRLNXLGLWDV
Risiko Likuiditas adalah risiko akibat ketidakmampuan bank untuk memenuhi kewajiban yang timbul atau
kewajiban yang telah jatuh tempo. Risiko ini terjadi akibat kegagalan pengelolaan sumber dana dan penanaman
dana mismatch atau kekurangan likuiditas shortage yag
mengakibatkan bank tidak mampu memenuhi kewajiban keuangannya pada waktu yang telah ditetapkan.
Risiko likuiditas dapat dikategorikan sebagai berikut: • Risiko Likuiditas Pasar, yaitu risiko yang timbul karena
bank tidak mampu melakukan offsetting posisi tertentu
dengan harga pasar karena kondisi likuiditas pasar yang tidak memadai atau terjadi gangguan di pasar
market disruption; • Risiko Likuiditas Pendanaan, yaitu risiko yang timbul
karena bank tidak mampu mencairkan asetnya atau memperoleh pendanaan dari sumber dana lain.
3HQJDZDVDQ NWLI HZDQ .RPLVDULV GDQ LUHNVL
Dewan Komisaris dan Direksi bertanggungjawab atas efektivitas penerapan Manajemen Risiko
Likuiditas di Bank. Terkait wewenang dan tanggung jawab pengawasan aktif Dewan Komisaris
dan Direksi bank bjb, Dewan Komisaris dan
Direksi selalu memperoleh informasi yang jelas
RISK MANAGEMENT
378
MANAJEMEN RISIKO
bank bjb
Laporan Tahunan 2014
LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan
5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO
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mengenai evaluasi dan penerapan manajemen risiko eksposur risiko likuiditas, pemantauan limit
secara harian serta langkah-langkah yang diambil oleh Risk Taking Unit khususnya terkait adanya
pelampauan limit. Dalam pelaksanaan pengawasannya, Dewan
Komisaris dibantu oleh Komite Pemantau Risiko KPR bank yang secara berkala melakukan
pengawasan melalui koordinasi dengan Satuan Kerja Manajemen Risiko. Media koordinasi yang
digunakan dapat berupa laporan pemantauan risiko oleh SKMR yang disampaikan kepada
Komite Pemantau Risiko maupun melalui media rapat antara kedua belah pihak. Adapun
rapat yang diadakan tersebut pada umumnya membahas penerapan manajemen risiko di
bank bjb menyangkut diantaranya penerapan
pengukuran risk tolerance risiko likuiditas, stress
testing MJLVJEJUBT
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yang bersifat material, dan kecukupan metodologi pengukuran yang dipergunakan Satuan Kerja
Manajemen Risiko. Pengawasan yang dilakukan oleh Direksi yaitu memantau penerapan
limit Treasury secara berkala baik terjadi pelampauan
limit breach limit maupun tidak terjadi
pelampauan limit, melakukan persetujuan atas limit yang bersifat baru ataupun perubahannya.
Pembahasan tentang pengelolaan risiko likuiditas seperti komposisi deposan inti,
NBUVSJUZ QSPmMF bank dilakukan dalam Rapat ALCO
Asset Liability Committee sedangkan pembahasan eksposur
SJTJLP MJLVJEJUBT TFQFSUJ QSPmM SJTJLP MJLVJEJUBT ZBOH bersifat material,
liquidity stress testing, dan eksposur risiko likuiditas lainnya dibahas dalam
rapat Komite Manajemen Risiko RMC. Terkait limit risiko likuiditas dan
risk appetite bank dievaluasi secara periodik namun dapat dipercepat sesuai
dengan perubahan lingkungan bisnis bank.
MANAJEMEN RISIKO
bjb, the Board of Commissioners and the Board
of Directors always obtain clear information on the evaluation and implementation of risk management
of liquidity risk exposure, supervision of limit on a daily basis as well as steps employed by the Risk
5BLJOH6OJUTQFDJmDBMMZSFMBUFEUPUIFMFOEJOHMJNJU In the implementation of its supervision, the Board
of Commissioners is assisted by the bank’s Risk Monitoring Committee RMC which periodically
conduct supervision in coordination with the Risk Management Unit. The coordination media utilized
can be in the form of risk monitoring reports by the SKMR which is submitted to the Risk Monitoring
Committee or through the media of meetings between the two parties. The meeting implemented
generally discusses the implementation of risk management in bank
bjb concerning among
others the risk tolerance measurement application of the liquidity risk, liquidity stress testing, material
MJRVJEJUZ SJTL QSPmMFT
BOE BEFRVBDZ PG UIF measurement methodology utilized by the Risk
Management Unit. Supervision carried out by the Board of Directors is through the monitoring of the
implementation of the Treasury limit periodically in the event of breach limit occurrences or not,
and the provision of limit approval that are new or after being amended. Discussions on the
management of the liquidity risk, such as the core EFQPTJUPST DPNQPTJUJPO
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bank, are carried out in the ALCO Asset Liability Committee Meeting, while discussions on the
liquidity risk exposures such as material liquidity SJTL QSPmMFT
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liquidity risk exposures are discussed in the Risk Management Committee meetings. The limit of the
bank’s market risk and risk appetite are evaluated periodically or at any time deemed needed to be
evaluated in accordance with the bank’s changing business environment.
379
RISK MANAGEMENT
bank bjb
Annual Report 2014
4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance
Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ
POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data
.HFXNXSDQ.HELMDNDQ3URVHGXUGDQ3HQHWDSDQ Limit
Sebagai upaya menghadapi permasalahan likuiditas mendasar, bank telah memiliki kebijakan
dan pedoman terkait penerapan manajemen risiko likuiditas. Kebijakan dan pedoman tersebut
memuat diantaranya prosedur pengukuran risiko likuiditas,
stress testing likuiditas yang memuat skenario
general market crisis dan bank TQFDJmD
crisis. Terkait kebijakan penerapan limit gap likuiditas, prosedur eskalasi pelampauan limit,
rencana kontinjensi pendanaan likuiditas, saat ini bank masih menyusun prosedur dan langkah-
langkahnya bersama risk taking unit dimana untuk
ke depannya akan dijadikan kebijakan aturan yang perlu dipatuhi oleh
risk taking unit. Penetapan limit likuiditas yang berjalan di bank yaitu penetapan
limit primary reserve, secondary reserve dan ekses
reserve GWM sedangkan untuk penetapan pagu kas di Cabang Operasional dilakukan oleh Divisi
Operasional. Satuan Kerja Manajemen Risiko selalu melakukan
evaluasi atas kebijakan, prosedur dan analisis kinerja bank terhadap limit yang diterapkan.
Adapun perubahan limit dilakukan oleh risk taking
unit untuk kemudian dilakukan evaluasi melalui pengukuran yang telah distandardisasi oleh
Satuan Kerja Manajemen Risiko.
.HFXNXSDQ 3URVHV ,GHQWLÀNDVL 3HQJXNXUDQ 3HPDQWDXDQ GDQ 3HQJHQGDOLDQ 5LVLNR VHUWD
Sistem Informasi Manajemen Risiko
Kebijakan risiko likuiditas mencakup risiko yang menyebabkan bank menderita kerugian akibat
meningkatnya biaya dana atau adanya hambatan keterbatasan dalam memenuhi kewajiban yang
KBUVI UFNQP 4FCBHJBO CFTBS USBOTBLTJ mOBOTJBM atau komitmen mempunyai dampak terhadap
likuiditas bank. Oleh karena itu, bank sangat rentan terhadap masalah likuiditas, baik bagi
bank itu sendiri maupun pengaruhnya terhadap industri perbankan secara keseluruhan. Bank
berkewajiban memenuhi kewajiban keuangannya secara tepat waktu sehingga bank harus mampu
memelihara suatu tingkat likuiditas yang memadai setiap waktu.
RISK MANAGEMENT
GHTXDF\RI3ROLF\3URFHGXUHDQGVWDEOLVKPHQW of Limit
As an effort to encounter fundamental liquidity issues, the bank has established policies and guidelines
related to liquidity risk management. The policies and guidelines contain among others procedures for
liquidity risk measurement, liquidity stress testing which JODMVEFTHFOFSBMNBSLFUDSJTJTBOECBOLTQFDJmDDSJTJT
scenarios. In relations to the policy implementation of liquidity gap limits, limit breaches escalation
procedures, funding liquidity contingency plan, the bank is currently still formulating the procedures and
methods with the risk taking unit which in the future will be used as a policy provisions which needs to be
adhered by the risk taking unit. The determination of liquidity limits which will be performed by the bank
are namely the limit determination of primary reserve, secondary reserve and excess reserve of the Statutory
Reserves while the determination of maximum cash at Operational Branches will be conducted by the
Operational Division. The Risk Management Unit continuously evaluates the
policies, procedures and performance analysis of the bank towards the applied limit. While limit changes are
conducted by the risk-taking units to then be evaluated through a measurement that has been standardized by
the Risk Management Unit.
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Management Information System
Liquidity risk policy covers risks that caused the bank to suffer losses due to the rising cost of funds or the
presence of barriers limitations to meet its maturing PCMJHBUJPOT.PTUmOBODJBMUSBOTBDUJPOTPSDPNNJUNFOUT
have impacts on the liquidity of the bank. Therefore, banks are highly vulnerable to liquidity issues, both for
the bank itself and its impact on the banking industry BTBXIPMF5IFCBOLJTPCMJHFEUPNFFUJUTmOBODJBM
obligations in a timely manner, therefore, the bank must be able to maintain an adequate level of liquidity
at all times.
380
MANAJEMEN RISIKO
bank bjb
Laporan Tahunan 2014
LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan
5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO
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Dalam menentukan limit risiko likuiditas, bank memperhatikan kondisi likuiditas dari aktiva-
pasiva bank. Likuiditas yang cukup besar perlu dikelola secara baik dan dijadikan indikator
dalam menerapkan limit risiko likuiditas untuk NFOEVLVOH VQBZB QFOJOHLBUBO QSPmUBCJMJUBT
bank, karena likuiditas yang cukup besar justru akan meningkatkan
idle fund dan akan merugikan bagi bank terutama bank yang didanai nasabah
korporasi. Gap likuiditas secara historis dapat dijadikan patokan dalam menentukan limit risiko
likuiditas bagi bank. Penerapan limit likuiditas yang berjalan di bank yaitu penetapan limit
primary reserve, secondary reserve dan ekses reserve GWM sedangkan untuk penetapan pagu
kas di Cabang Operasional dilakukan oleh Divisi Operasional.
Saat ini bank sedang mengembangkan sistem informasi pengukuran risiko likuiditas seperti
maturity QSPmMF
yang terintegrasi. Satuan Kerja Manajemen Risiko bersama Risk Taking Unit
dalam tahapan integrasi sistem informasi maturity
QSPmMF tersebut selalu diadakan rapat sebagai
upaya mengetahui utilisasi progres yang telah dilakukan. Sistem pelaporan
maturity QSPmMF
valas telah terintegrasi dan tervalidasi dengan memadai
sehingga pelaporannya tidak memerlukan proses manual lagi.
Sebagai langkah koordinasi manajemen bank dalam menghadapi kejadian krisis likuiditas
dikemudian hari, bank sedang menyusun Tim Manajemen Krisis Likuiditas
Liquidity Crisis Management Team sebagai langkah antisipatif
dalam menyikapi krisis likuiditas dengan menjalankan prosedur rencana pendanaan darurat
sesuai dengan kerangka kerja Contingency
Funding Plan Scenario yang telah ditetapkan berdasarkan hasil rapat ALCO
Asset Liability Committee.
MANAJEMEN RISIKO
In determining the liquidity risk limits, the bank considers the liquidity condition of the bank’s assets and
liabilities. Substantial liquidity needs to be managed well and used as indicators in the implementation of
liquidity risk limits to support the efforts to increase the QSPmUBCJMJUZPGUIFCBOL
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increase idle funds and would be detrimental to the bank, especially banks that are funded by corporate
customers. Historic liquidity gap can be used as a benchmark in determining the liquidity risk limits for a
bank. The implementation of liquidity limit performed by the bank are namely the limit determination of primary
reserve, secondary reserve, and excess reserve of the Statuary Reserve while the determination of maximum
cash at Operational Branches will be conducted by the Operational Division.
Currently the bank is developing a liquidity risk measurement information systems such as an
JOUFHSBUFE NBUVSJUZ QSPmMF 5IF 3JTL .BOBHFNFOU Unit along with the Risk Taking Unit in the integration
TUBHF PG UIF NBUVSJUZ QSPmMF JOGPSNBUJPO TZTUFN conduct meetings in an attempt to know the utilization
of progress that have been performed. The maturity QSPmMFPGGPSFJHODVSSFODZSFQPSUJOHTZTUFNIBTCFFO
TVGmDJFOUMZJOUFHSBUFEBOEWBMJEBUFEUIBUJUTSFQPSUJOH does not require any manual process.
As a coordinative measure by the bank’s management in facing liquidity crisis occurrences in the future,
the bank is forming the Liquidity Crisis Management Team as an anticipatory measure in response to the
liquidity crisis by executing emergency procedures in accordance with the Contingency Funding Plan
Scenario framework which has been established based on the ALCO Asset Liability Committee
meeting results.
381
RISK MANAGEMENT
bank bjb
Annual Report 2014
4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance
Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ
POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data
RISK MANAGEMENT
Dalam proses pemantauan limit Risk Taking Unit, Satuan Kerja Manajemen Risiko selalu melakukan
pemantauan limit secara harian dan dilaporkan kepada Direksi secara berkala. Adapun apabila
terjadi eskalasi pelampauan limit maka akan segera dilaporkan kepada Direksi termasuk
upaya contingency plan yang akan dilakukan
oleh Risk Taking Unit. Terkait menuju implementasi Basel III yang terfokus kepada permasalahan
likuiditas, Satuan Kerja Manajemen Risiko bekerja sama dengan Unit Bisnis dan Supporting Unit
melakukan pengukuran dampak Basel III terhadap bank dengan melakukan simulasi perhitungan
rasio LCR dan NSFR yang dibutuhkan oleh bank agar terhindari dari dampak risiko likuiditas dan
kepatuhan internal maupun eksternal.
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Dalam rangka pengembangan penerapan manajemen risiko yang dinamis, Satuan Kerja
Manajemen Risiko selalu melakukan evaluasi atas kebijakan, prosedur dan limit risiko likuiditas secara
berkala. Sebagai upaya pengendalian risiko pasar berupa kecukupan kebijakan dan prosedur Satuan
Kerja Manajemen Risiko, kaji ulang atas kebijakan dan prosedur dilakukan oleh unit independen baik
di internal ataupun pihak eksternal. Satuan Kerja Manajemen Risiko pun melakukan stress testing
likuiditas bank bjb dan memberikan informasi
kondisi kecukupan aset likuid yang dipandang memadai untuk mengcover penarikan dana oleh
nasabah secara tiba-tiba dan dalam jumlah besar. Laporan tersebut diinformasikan kepada Direksi
dan risk taking unit agar mendapatkan feed back
dan menciptakan risk awareness.
3HQJXQJNDSDQ.XDQWLWDWLI5LVLNRLNXLGLWDV
B 1SPmM.BUVSJUBT3VQJBIoBOLTFDBSBOEJWJEVBM In the Risk Taking Unit limit monitoring process, the
Risk Management Unit continuously monitors the daily limit and report it to the Board of Directors on
a regular basis. Limit escalation breach occurrences will be immediately reported to the Board of Directors
including contingency plan efforts which will be conducted by the Risk Taking Unit. In relations to the
implementation of Basel III, which focuses on liquidity issues, the Risk Management Unit is working with the
Business Unit and Supporting Unit in measuring the impacts of Basel III on the bank and calculate the ratio
of the LCR and NSFR required by the bank in order to avoid the impact of liquidity risk and internal and
external compliance.
RPSUHKHQVLYH,QWHUQDORQWURO6\VWHP
In order to develop a dynamic risk management, the Risk Management Unit continuously evaluates the
policies, procedures and limits for liquidity risk on a regular basis. In an effort to control the market risk in
the form of the adequacy of policies and procedures of the Risk Management Unit, reviews on the policies
and procedures are carried out by an independent unit by both internal and external parties. The Risk
Management Unit also conducts bank bjb’s liquidity
stress testing and provide information on the liquid assets adequacy conditions that are deemed
TVGmDJFOUUPDPWFSBTVEEFOBOEJOMBSHFBNPVOUGVOET withdrawal by customers. The report is conveyed to
the Board of Directors and the risk taking unit in order to obtain feed back and create risk awareness.
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B OEJWJEVBM3VQJBIoBOL.BUVSJUZ1SPmMF
382
MANAJEMEN RISIKO
bank bjb
Laporan Tahunan 2014
LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan
5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO
-BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO
3HQJXQJNDSDQ 3URÀO 0DWXULWDV 5XSLDK ² DQN VHFDUD,QGLYLGXDO7DEHOD
Rp Juta
3RVSRV Post
6DQGL
Code
6DOGR
Balance
1 minggu
1 week
I. NeracaBalance Sheet
A. Aset