Vector has an Integral Risk Management Unit (UAIR) that is responsible for measuring, monitoring and controlling the risks. Broker dealer

The activities of the Broker Dealer, as a financial intermediary and as an investor, necessarily imply exposure to financial risks. Within its institutional scope, it exercises the function of risk manager of the entities that conform, attend to and reinforce the principle of self-regulation and the regulations in relation to risks of the Circular para Casas de Bolsa of the CNBV, as well as regulations referring to the products operated.

The main bodies considered to participate in the activities described above are:

  • Council of Administration of the House of Stock
  • Comprehensive Risk Management Committee
  • Unit for Comprehensive Risk Management Committee.

The Board of Administration is responsible for authorizing and annually reviewing the global limits of the Value at Risk (VaR). The Board empowered the Risk Committee to establish and allocate the specific VaR limits for each business unit or area of product operation, considering as criteria the type of operated instruments and their particular investment strategy.

The measurement and monitoring of compliance with the limits is carried out daily by the UAIR, which is responsible for inform the Risk Committee and the Board of Administration about the evolution of them.

The global excesses or particular to the risk limits are informed in a timely manner to the Risk Committee, which is in charge of evaluating, along with the operational areas, the actions to be taken in this regard. As defined by the Board of Administration, the Risk Committee is responsible for reviewing and authorizing excesses to the limits. The excesses and stocks taken in this regard are reported to the Board of Administration in its subsequent session.

The objectives, methodologies and procedures for the Integral Risk Management are established in the Risk Manual.

Some of the activities related to Risk Management are:

  • Identification, measurement and monitoring of the different types of risks under normal conditions and extreme conditions.
  • Preparation of proposals for risk exposure limits.
  • Information and disclosure of the exposure of risk levels assumed.
  • Information and disclosure of the exposure of risk levels assumed.

The financial income and economic value of Vector have been consistent with the strategies defined and the behavior of the market. The basic calculation methodologies as well as the exposure levels achieved by the Brokerage Houses are presented below:

The software used in the area of risks for the measurement of Value at Market Risk, Credit and Liquidity was developed by Analítica Consultores. For the calculation of Market VaR, the system offers three methodologies: Montecarlo Scenarios, Historical and Parametric; the Credit Metrics actuarial model is used for Credit Risk, which allows the parameterization of the number of risk rating levels used, the interest rate curve for each rating level, the rating by type of instrument and the matrix of transition of ratings for payment defaults; additionally, for the calculation of the Value at Risk of Liquidity, as well as other risks measured, the parameterization of the time horizon, confidence level and number and weighting of the historical information used is possible.