BANCO DE CHILE (BCH)

Definition of internal (non-regulatory) market risk models;

Definitions of FX, interest rate and FX volatility positions reports;

Daily generation of regulatory accrual and liquidity risk reports;

Monthly generation of internal accrual risk report, based on gaps and Earnings at Risk analysis;

Daily internal price risks monitoring, including position limits, P&L and stress test triggers, and the generation of the corresponding limits excesses and triggers breach reports. The exposures and risks are checked against limits and/or triggers, the breaches and excesses are reported to the appropriate levels in a timely manner and the policy exceptions are managed;

Daily price and liquidity risk monitoring for regulatory models;

Definition and reporting of the price and liquidity stress tests;

Participation in the Transaction Valuation definitions, which is a task lead by the Product Control unit (this unit is a part of the Financial Control area; see below for details), in order to ensure that they are aligned with the risk reports linked to the corresponding transactions;

Participation in the Transfer Pricing definitions, which are the framework for regulating the way interest rates are transfer-priced from the Treasury to other units within the bank for the accrual business. These definitions must be aligned with the risk reports linked to the corresponding transactions;

Preparation of an adequate set of internal Price and Liquidity risk limits/triggers structure (in addition to those required by the local regulators) and the submission of the corresponding proposal to the ALCO;

Approval of the debt securities eligible list for trading portfolios;

Participation in the definition of the hedge-accounting programs, ensuring comprehensive alignment with market risk reporting;

Establishment and review of market risk policies and procedures;

Involvement in the development and release of new products, identifying new market factors and defining the risk aggregation process; and

Generation and maintenance of credit risk factors for derivative transactions.