1. Manajemen Risiko Kredit
Risiko kredit dideinisikan sebagai risiko akibat kegagalan debitur ataupun counterparty dan/atau pihak lain dalam memenuhi kewajiban kepada Bank. Core risk taking unit yang terekspos risiko kredit bertanggung jawab terhadap penetapan mitigasi risiko kredit berkoordinasi dengan Satuan Kerja Manajemen Risiko.
Selama tahun 2012, penerapan manajemen risiko kredit telah dilakukan di berbagai aktivitas yang terekspos risiko kredit dan mencakup implementasi serta penyempurnaan Credit Risk Management System
dan pengembangan model pengukuran risiko kredit dengan menyiapkan infrastruktur dan metodologi serta pemenuhan kriteria yang dipersyaratkan jika akan menerapkan metode internal (Internal Rating Based Approach).
Untuk menunjang perhitungan sesuai dengan metodologi yang akan digunakan, Satuan Kerja Manajemen Risiko sedang menyusun data base kredit dan menyempurnakan proses serta prosedur internal sehingga diharapkan Bank dapat memperoleh data yang akurat dan terpercaya.
Selain itu, Satuan Kerja Manajemen Risiko telah melakukan stress testing risiko kredit secara periodik untuk mengetahui ketahanan kecukupan modal Bank dan Non Performing Loan melalui skenario yang telah ditetapkan manajemen.
Perhitungan kebutuhan modal yang diperlukan untuk risiko kredit telah dilakukan sesuai dengan ketentuan Bank Indonesia yang berlaku.
2. Manajemen Risiko Pasar dan Likuiditas
Risiko pasar merupakan risiko pada posisi neraca dan rekening administratif serta transaksi derivatif, akibat perubahan secara keseluruhan dari kondisi pasar termasuk perubahan harga option.
Risiko likuiditas merupakan risiko akibat ketidakmampuan Bank untuk memenuhi kewajiban yang jatuh tempo dari sumber pendanaan arus kas dan/atau dari aset likuid berkualitas tinggi yang dapat diagunkan, tanpa mengganggu aktivitas dan kondisi keuangan Bank.
Dalam tahun 2012, Bank telah melakukan pengembangan dan simulasi metodologi perhitungan kebutuhan modal internal yang diperlukan untuk meng-cover risiko pasar dengan menggunakan metode Internal Value at Risk, yaitu metode Variance co Variance dan Historical Simulation melalui aplikasi Market Risk Measurement.
Untuk pengelolaan risiko pasar dan risiko likuiditas secara operasional Bank difasilitasi melalui Komite Aset Kewajiban (ALCO) secara periodik.
1. Credit Risk Management
Credit risk is deined as the risk of default of debtors or counterparties and/or other parties to fulill obligations to the Bank. Core risk taking unit exposed to credit risk is responsible for the determination of credit risk mitigation in coordination with Risk Management Unit.
In 2012, the application of credit risk management was carried out in various activities exposed to credit risk and included the implementation and improvement of Credit Risk Management System and the development of credit risk measurement models by setting up the infrastructure and methodology as well as the fulillment of the required criteria if it would be applied to internal method (Internal Rating Based Approach).
To support the calculations in accordance with the methodology to be used, Risk Management Unit is working on credit database and improving internal process and procedure so that the Bank can expect to obtain accurate and reliable data.
In addition, Risk Management Unit conducted stress testing of credit risk on a periodic basis to determine the resilience of the Bank's capital adequacy and Non- Performing Loan through the scenario established by the management.
Calculation of capital requirements for credit risk was conducted pursuant to the applicable provisions of Bank Indonesia.
2. Market and Liquidity Risk Management
Market risk is the risk on balance sheet and off-balance sheet position and derivative transactions, due to overall changes in market conditions, including the risk of changes in option price.
Liquidity risk is the risk due to the Bank’s inability to meet its maturing obligations from cash low funding sources and/or of high quality liquid assets that can be pledged, without disturbing the activities and inancial condition of the Bank.
In 2012, the Bank conducted methodology development and simulation of calculation of internal capital needs that was required to cover market risk using the method of internal Value at Risk, i.e. the method of Variance co Variance and Historical Simulation through the application of Market Risk Measurement. For the management of market risk and liquidity risk the Bank was facilitated operationally by Assets-Liabilities Committee (ALCO) periodically.
Laporan Tahunan 2012Annual Report • PT. Bank Artha Graha Internasional, Tbk.
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Satuan Kerja Manajemen Risiko juga telah meningkatkan kerangka pengelolaan risiko pasar dan likuiditas dengan menghitung tingkat volatilitas beberapa variabel pasar, melakukan stress testing dari analisa gapRisk Sensitivity Asset dan Risk Sensitivity Liabilities, analisa skenario dengan perkiraan kondisi terburuk yang mungkin terjadi, serta gap likuiditas dan analisa Contingency Funding Plan secara periodik.
Pemantauan harian maupun secara periodik terhadap transaksi-transaksi yang berkaitan dengan risiko pasar dan likuiditas telah dilakukan Bank demi terwujudnya tata kelola perusahaan yang baik.
Perhitungan kebutuhan modal yang diperlukan dengan metode standar untuk risiko pasar telah dilakukan sesuai dengan ketentuan Bank Indonesia tentang Kewajiban Penyediaan Modal Minimum yang memasukkan faktor risiko pasar.
3. Manajemen Risiko Operasional
Risiko operasional merupakan risiko akibat ketidakcukupan dan/atau tidak berfungsinya proses internal, kesalahan manusia, kegagalan sistem dan/atau adanya kejadian-kejadian eksternal yang mempengaruhi operasional Bank termasuk di dalamnya pengelolaan atas 4 (empat) risiko lainnya, yaitu risiko hukum, reputasi, stratejik, dan kepatuhan.
Pencatatan data kerugian dan potensi kerugian berperan penting dalam pengelolaan dan kalkulasi risiko operasional. Satuan Kerja Manajemen Risiko telah melakukan pengelolaan pencatatan data kerugian dan potensi kerugian yang terjadi pada satuan kerja operasional (risk taking unit) secara periodik melalui aplikasi Tools Loss Event dan Potential Loss Event yang telah diimplementasikan secara online di seluruh kantor cabang.
Pengelolaan data kerugian tersebut sebagai salah satu data input dalam penilaian parameter Proil Risiko Operasional yang dipetakan sesuai frekuensi kejadian dan dampaknya.
Pemantauan terhadap perkembangan Proil Risiko Operasional dilakukan melalui identiikasi faktor- faktor penyebab kerugian operasional yang terjadi dan memberikan rekomendasi kepada satuan kerja operasional terkait dalam rangka mitigasi kejadian risiko tersebut di masa mendatang.
Bank telah melakukan pengukuran risiko operasional selama tahun 2012 dengan menggunakan metode pengukuran Basic Indicator Approach dengan berpedoman kepada Peraturan Bank Indonesia Nomor 10/15/PBI/2008 tanggal 24 September 2008 tentang
Risk Management Unit also increased the market risk management framework and liquidity by calculating the volatility of some market variables, conducting stress testing of gap analysis on Risk Sensitivity Assets and Risk Sensitivity Liabilities, scenario analysis with estimated worst conditions that may occur, as well as liquidity gap and contingency Funding Plan analysis on periodic basis.
Daily as well as periodic monitoring of transactions related to market and liquidity risk was performed by the Bank for the realization of good corporate governance.
Calculation of capital needs as required by the standard method for market risk was carried out in accordance with Bank Indonesia’s regulations on the Requirement for Minimum Capital which included market risk factors.
3. Operational Risk Management
Operational risk is the risk due to inadequate and/or non-functioning internal process, human error, system failure and/or the presence of external events affecting the Bank's operations including the management of four (4) other risks, i.e. legal risk, reputation risk, strategic risk, and compliance risk.
Data recording of loss and potential loss has an important role in the management and operational risk calculations. Risk Management Unit has made the maintenance of data recording loss and potential loss suffered by operational unit (risk taking units) on periodic basis through the application of Tools of Loss Event and Potential Loss Event which have been implemented online in all branches.
The management of data loss is one of data input in the assessment of Operational Risk Proile parameter which is mapped according to the frequency of occurrence and impact.
Monitoring of the development of Operational Risk Proile is performed by identifying the factors causing such operating loss and giving recommendation to the relevant operational unit in order to mitigate such risk in the future.
The Bank has conducted operational risk measurement during 2012 using the measurement method of Basic Indicator Approach as guided by Bank Indonesia’s Regulation No. 10/15/PBI/2008 dated 24 September 2008 regarding Requirement for Minimum Capital