Market Risk Analysis (Censrisk™)

Censrisk™ Market Risk System Advantages:

1. High data integrity and extensive database sources with high market usage.
2. Measurement methods that can be traced back to appropriate transaction records.
3. Automatic sample selection when there is insufficient data for calculation.
4. High transparency of models with intermediate validation processes, including sensitivity analysis.
5. High flexibility in parameter settings and model usage, allowing for quick configuration and calculations.
6. Multiple risk reporting designs for easy management and analysis.
7. Users can create custom report groups according to their preferences.
8. User-friendly interface available in three languages.
9. Two educational training sessions, including risk breakdown for various assets, and comprehensive technical manuals.
10. Ongoing research by the TEJ Risk Management Department.
11. Customizable permission control based on different needs.

Permission Control Explanation:

Users can set up their accounts based on functional requirements, as follows:

Highest permission: Administrator (1 person)	Second-highest permission: Operator (2 people)	Lowest permission: Reader (10 people)
Account creation and deletion Position and calculation settings Authorization and sharing of positions View all account position settings and calculations	Position and calculation settings Authorization and sharing of positions	Authorization and sharing of positions limited to viewing shared position calculation results

Calculation Methods Explanation:

The system currently supports two major categories of calculation methods:

Regional Valuation Method:

• Variance-Covariance Simple Moving Average Method
• Variance-Covariance Exponential Moving Average Method
• Variance-Covariance Weighted Moving Average Method
• Variance-Covariance GARCH
• Variance-Covariance IGARCH
• Variance-Covariance TGARCH
• Multifactor Analysis Method

Global Valuation Method:

• Historical Simulation Method
• Monte Carlo Simulation Method (GBM, Vasicek)

Others:

• Conditional Value-at-Risk
• Fixed Position Review Test
• Stress Test
• Daily Position Review Test
• Binomial Distribution Test
• Likelihood Ratio Test
• Sample Statistical Test

Applicable Asset Categories:

Spot – Securities	Spot – Interest Rate	Spot – Foreign Exchange
Listed stocks Over-the-counter stocks Emerging stocks International stock price indices Domestic funds Overseas funds International stocks 1	Government bonds Corporate bonds (fixed, floating, reverse floating) Monetary instruments (loans, deposits, receivables) Convertible bonds Perpetual bonds Overseas bonds	Exchange rates

Derivative products – Securities	Derivative products – Interest Rate	erivative products – Foreign Exchange	Derivative products – Commodities
Options 2 Index futures 3 Stock futures	Interest rate swaps Forward rate agreements Currency swaps 10-year government bond futures 30-day interest rate futures Interest rate options (upper limit, lower limit, range) Equity-linked bonds Convertible bond asset swaps Asset Securitization – MBS and CMO Bond options Overseas convertible bonds Overseas convertible bond asset swaps	Forward foreign exchange transactions Currency swaps Foreign exchange options	New Taiwan Dollar gold futures Gold options

Note:

1. Overseas stocks include China, Hong Kong, the Philippines, Malaysia, South Korea, Singapore, and Thailand.
2. Options include call warrants, Taiwan index options, individual stocks, financials, electronics, MSCI, over-the-counter, and non-financial electronics.
3. Index futures include major Taiwan index, mini Taiwan index, financials, electronics, Taiwan 50