Investor Presentaiton
SBERBANK
170 YEARS. BY YOUR SIDE
ANNUAL REPORT
RISK MANAGEMENT
2011
104
Λ
financial results
T
Credit risk 105
Liquidity risk 113
Market risk 114
Operational
risk 116
RISK MANAGEMENT
he Group's risk management function works with major risk
types, namely credit, market, liquidity and operational risks. Market
risks include interest rate risk, equity risk and currency risk. The
Group's risk management policies are designed to identify risk-bearing
operations and assign key functions within the Group's risk manage-
ment system.
In 2011, the Group launched a project to implement an integrated
risk management system comprising the following key components:
- Managing the Group's aggregated risks using the economic capital
concept and scenario planning, including stress scenarios;
- Defining risk appetite through a set of parameters for the level
of risk the Group is capable and/or willing to accept to provide
a target return to shareholders in line with strategic plans, as well
as maintaining Group risk at the level approved;
- Developing and employing risk models compliant with Basel Com-
mittee requirements and using departments independent from
the developers to validate these models;
A risk identification system to ensure timely identification and
proper measurement of all Group risks.
The Group plans to fully implement this system by 2014.
CREDIT RISK
The Group is exposed to credit risk, which is defined as the risk that
a counterparty may be unable to meet its credit obligations in whole or
in part when due. The Group's risk management policy aims to improve
the Group's competitive position by expanding the list of counterpar-
ties and the range of loan products on offer, implementing a systemic
approach to credit risk to maintain or bring down the level of credit
risk losses and through optimisation of the Group's credit portfolio
structure by industry, region and product.
The Group's credit risk level control and monitoring system is based
on principles set down in its internal regulatory documents. These
principles provide for initial, ongoing and follow-up control of trans-
actions creating exposure to credit risk, as well as seeing that risks
remain within the established limits and updating them on a timely
basis.
Credit risk management - corporate
The Group has an internal rating system in place based on economic
and mathematical models used to assess the likelihood of borrower or
transaction default. The credit rating system ensures a differentiated
approach to evaluating the likelihood that borrowers may default or not
fulfill their obligations based on an analysis of quantitative (financial)
and qualitative credit risk factors and their impact on a borrower's
ability to repay interest and principal.
The Group has developed a multi-level limit system in order to limit
credit risk involved in lending operations and transactions on the
financial markets. Additionally, the Group has a multi-dimensional
system of authority limits, which is used to determine a decision-
making level for each loan request. In 2011, the Bank also carried out
obligatory independent reviews of credit risk before making lending
decisions for medium-sized and large businesses and major corpo-
rate customers. Although the existing limit systems ensure proper
management of credit risk, the Group is working to further improve
its limit methodology.
105
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financial results
170 YEARS. IT'S JUST THE BEGINNING
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