7. Asset and Liability Management Committee: Assists the ROC in all matters related to the asset and liability management, balance sheet management, liquidity management and capital management. All the risk management related functions are under the leadership of the Chief Risk Officer (CRO). The CRO, as a member of the Bank’s Chief Executive Committee (CEC) and reporting directly to the Chief Executive Officer, oversees and promotes the development and implementation of consistent bank-wide risk management. The ROC sets the CRO’s annual targets and confirms his performance against these targets. 2.1.2 Risk Appetite The Bank establishes its risk appetite taking into account the Bank’s business strategy. The Bank’s Risk Appetite Statement (RAS) expresses the type and level of risk in terms of quantitative and qualitative statements that the Bank is willing to accept in pursuit of its strategic objectives and is subject to approval by the Board of Directors. The formulation of RAS ensures that the Bank does not take more risk than its capacity to incur losses allows and the Bank’s actual risk exposure is consistent with its strategic objectives. The risk exposure moving beyond risk appetite levels is timely identified and acted upon. The risk exposure is regularly monitored against risk appetite and reported to the Risk Oversight Committee and the Board of Directors through the Quarterly Oversight Risk Dashboard. 2.1.3 Risk Management Policy The Bank establishes Risk Management Policies in compliance with the Bank of Thailand’s regulatory requirements and the Bank’s strategic direction. The Board of Directors has the responsibility to review and approve the Bank’s Master Risk Management Policies which govern all key aspects of risk management and has delegated the approval authority of underlying risk management policies, guidelines and standards to Sub-Committees as deemed appropriate. 2.1.4 Risk Management Process Risk Management in the Bank consists of 5 key risk management processes: 1) Risk appetite setting: The Bank annually sets risk appetites for various risk types (Credit, Market, Non-Financial Risk). These appetites are input for and aligned with the business planning process, are discussed in and endorsed by the relevant Sub-Committees, and ultimately approved by the Board of Directors. Actual performance is regularly measured against and reported on the basis of these risk appetites. 2) Risk Identification: The Bank classifies risks which are arising in daily business activities into 7 key risk areas: Credit Risk, Market Risk (including but not limited to Foreign Exchange Risk and Interest Rate Risk), Liquidity Risk, Non-Financial Risk (comprising Operational Risk, IT Risk, Compliance Risk including Market Conduct Risk, and Legal Risk), Strategic Risk, Model Risk and Reputational Risk. 3) Risk Assessment & Measurement: The Bank uses different methods and tools to measure various risk types in both quantitative and qualitative aspects. In addition, the Bank also conducts Stress Testing for material risks to measure the quality and resilience of the Bank’s portfolio and the Bank’s capacity to absorb the impact resulting from various stress event scenarios. 100 TMBThanachart Bank Public Company Limited
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