Risk Metrics Risk Metrics

scorecard allows

Perspective
Expected Loss (EL) Economic Capital (EC) Liquidity Risk

Performance
67.71% 46.22% 45.00%

Market risk 48.10% Business Risk 36.67% Total Performance 48.74% Scorecard includes 5 categories, 16 indicators Help - You can change the values in "weight" column, the value must be between 0 and 10; "10" value means that the perspective or goal is the most valuable - You can change the values in "Performance" column;

Strategy tree and scorecard details :

Perspective Goal Expected Loss (EL)
Probability of Default (PD)

Weight (x of 10)
2

Description

Performance (%)
67.71% 5%

Customers credit quality measurements 3 (agency debt ratings) Accounts receivables plus current mark-tomarket exposure of contracts plus the Expected Potential Future Exposure of contracts divided by the average EE value, 3 multiplied by 100 2 Metric is not available in trial version 2 Metric is not available in trial version Expected Loss (EL) 2 Company revenue minus expenses, divided by Company equity, multipled by 3 100

Expected Exposure (EE) rate Loss Given Default (LGD) Unexpected loss Total Performance in group

80% 5% 3% 67.71% 46.22%

Economic Capital (EC)

Return on equity (ROA) Risk-adjusted return on economic capital (RAROC) Value-at-Risk (VAR) Total Performance in group

40%

Company revenue minus expenses minus expected loss, divided by Company equity, 3 multipled by 100 4 Metric is not available in trial version Economic Capital (EC) 2

20% 25% 46.22% 45.00%

Liquidity Risk
Price Permanent Variable Price Transitory Variable Illiquidity Total Performance in group

Permanent variable (correlated to traded volume) component of price impact, 3 expressed as a percentage Transitory variable (correlated to traded volume) component of price impact, 3 expressed as a percentage 4 Metric is not available in trial version Liquidity Risk 2

30%

40% 15% 45.00% 48.10%

Market risk

Equity Premium Interest Rate Risk Currency risk Commodity risk Total Performance in group

The standard deviation of a security's price 4 over a specified period. Calculation based on the changes in underlying interest rates and changes in 2 applicable implied volatilities. 2 Metric is not available in trial version 2 Metric is not available in trial version Market risk 2 The expected business economic benefit 5 divided by the capitalization rate A stream of future economic benefits 5 discounted to their present value. Business Risk

3%

5% 4% 6% 48.10% 36.67%

Business Risk
Capitalization Discounted Cash Flow Total Performance in group

40% 25% 36.67%

Total Performance in Risk Metrics

48.74%

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Target Values
1% 20%

150% 2% 0%

40% 70% 10%

80%

5%

50% 5%

5% 50%

50%

20%

60% 20%

20% 10%

8%

1%

1% 0,5% 0,5%

9% 25% 11%

60% 40%

30% 15%