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Bank Austria Creditanstalt divides the monitoring and controlling processes associated
with risk management into the following categories:
– market risk
– liquidity risk
– credit risk
– operational risk
– business risk
– real estate risk
– risks arising from the bank’s shareholdings and equity interests
The Managing Board determines the risk policy and approves the principles of risk
management, the establishment of limits for all relevant risks, and the risk control procedures.
In performing these tasks, the Managing Board is supported by specific committees and
independent risk management units. All risk management activities of Bank Austria
Creditanstalt are combined within a division at Managing Board level: they comprise
secondary lending decisions in the Group Credit Management unit, the treatment of
problem loans in the Special Accounts Management unit, and strategic risk management
in the Strategic Risk Management unit. Active credit portfolio management is performed
by a department reporting directly to the Support Services unit.
The Strategic Risk Management unit is in charge of developing and implementing the
methods of risk and income measurement; further improving and refining the measurement
and control instruments; complying with the relevant minimum requirements of the
German banking supervisory authority applicable to trading activities; developing and
maintaining general policies; as well as reporting on the Bank Austria Creditanstalt
Group’s risk profile in an independent and neutral manner.
The Asset/Liability Committee (ALCO) is responsible for the management of balance-sheet
structure positions, it controls liquidity risk and deals with cross-divisional risk management
issues arising between sales units and overall bank management as well as with the results
of the credit portfolio model and operational risk. Control of market risk of the trading
books is ensured by the Market Risk Committee (MACO), which meets once a week.
MACO deals with short-term business management issues relating to the presentation and
discussion of the risk/earnings position of Treasury and with limit adjustments, product
approvals and positioning decisions. In addition, the general framework and limits for banking
subsidiaries are also defined by MACO. Credit risk is assessed by the credit committee.
The Bank Austria Creditanstalt Group applies the principle of value-based management and
control. In line with this principle, for pricing purposes in customer business (micro control),
capital employed (comprising both the Tier 1 capital required pursuant to the Austrian Banking
Act and economic capital) is expected to yield a specific return. Beyond compliance with
the regulatory capital rules pursuant to the Austrian Banking Act, economic capital is intended
to reflect the bank’s specific risk profile in a comprehensive and more consistent way. With
the exception of liquidity risk, economic capital is calculated using uniform value-at-risk
methods across all types of risk. A specific factor taken into account in the required risk capital
is business risk, which reflects the influence of external factors such as consumer behaviour
or the competitive situation on the market value of business divisions or subsidiaries. Unexpected
losses over a period of one year are calculated with a confidence level of 99.95 %.
The Bank Austria Creditanstalt Group is included in the risk monitoring and risk management
system of the entire HVB Group, and now also in UniCredit Group. This ensures
overall risk management across the new group. Under UniCredit’s leadership, initiatives
have already been launched within the new group with a view to standardising the
methods and tools used for risk measurement and risk management. Work in this area
will continue to be a focus of activities in 2006.
Risk report 151