RISIKO PASAR lanjutan MARKET RISK continued

499 BNI Laporan Tahunan 2014 DAN ENTITAS ANAKAND SUBSIDIARIES CATATAN ATAS LAPORAN KEUANGAN KONSOLIDASIAN 31 DESEMBER 2014 DAN 2013 Disajikan dalam jutaan Rupiah, kecuali dinyatakan lain NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 31 DECEMBER 2014 AND 2013 Expressed in millions of Rupiah, unless otherwise stated 49. RISIKO PASAR lanjutan 49. MARKET RISK continued BNI telah memiliki Aplikasi Manajemen Risiko Pasar untuk mendukung proses 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 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 - Value at Risk 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 on banking book 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 abnormal. 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 for the financial instuments that are exposed to foreign exchange risk and interest rate risk limited to bond positions 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 months or whichever is earlier in case there is an abnormal condition. Limit Risiko Pasar BNI sebagai bagian dari proses pengendalian Risiko Pasar ditetapkan dan dikaji ulang secara periodik oleh Divisi ERM dan Unit PGV yang independen terhadap risk taking 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, Money Market, dan Capital Market. b. Limit Risiko Pasar pada banking book i Limit Gap Aset Liabilitas – Rupiah ii Limit Gap Aset Liabilitas – Valuta Asing iii Limit Posisi Devisa Neto 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 Value at Risk VaR limit ii Transaction 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. BNI Laporan Tahunan 2014 DAN ENTITAS ANAKAND SUBSIDIARIES CATATAN ATAS LAPORAN KEUANGAN KONSOLIDASIAN 31 DESEMBER 2014 DAN 2013 Disajikan dalam jutaan Rupiah, kecuali dinyatakan lain NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 31 DECEMBER 2014 AND 2013 Expressed in millions of Rupiah, unless otherwise stated 49. RISIKO PASAR lanjutan 49. MARKET RISK continued