Asset-Liability Management
- Liquidity risk management prevails over profitability
- Liquidity risk is managed on 3 levels:
– Risk Management Division ('RMD') develops the balance sheet ratios then approved by the Asset and Liability Management Committee ('ALCO')
– RMD prepares liquidity measurement monthly reports for ALCO approval
– Cash in-flows and outflows and the Bank's balances with NBU are managed by Treasury on day-to-day basis
- Currency risk is limited by open currency position regulatory ratios set by the NBU and ALCO
- The exchange rate of the most important currency pare – UAH/USD is effectively fixed and set by the NBU
- The maximum daily FX VaR In October 2007 amounted to less than 0.5% of the Bank's capital
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Security
