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Active Credit
Portfolio Management
(42d) Operational risk
master scale our internal ratings can be compared with the market and with the major
international rating agencies (Standard & Poor’s, Moody’s, Fitch) while also enhancing comparability
of the various partial portfolios.
All internal rating and scoring systems are further developed on an ongoing basis and are subject
to regular validation on an annual basis, including a review to verify if the rating/scoring
system provides a correct representation of the risks to be measured. All model assumptions
are based on multi-year statistical averages for historical defaults and losses.
With risk-adjusted pricing and a stronger focus on risk management, we aim to improve
the diversification and the risk/earnings ratio of the portfolio. For real estate customers,
the customer-related rating is complemented by a transaction rating.
Since September 2005, Bank Austria Creditanstalt has used a new scoring system for Austrian
retail customers. This automated rating tool is used for assessing, monitoring and
managing the large number of loan exposures to private customers, small businesses, independent
professionals and non-profit organisations.
Retail scoring comprises an application scoring procedure based on effective and recognised
mathematical and statistical methods, and a behaviour scoring procedure taking into account
such factors as amounts received in the account and customers’ payment practices. The scoring
system for retail customers provides information that is updated on a monthly basis. This
gives the bank an accurate tool for lending decisions and early recognition of risk. Automated
data processing helps Bank Austria Creditanstalt to reduce costs required for credit control while
accelerating lending decisions. New lending guidelines introduced jointly with the sales units
reflect the bank’s risk appetite while meeting the specific requirements in retail banking.
The new retail scoring system also represents a methodological standard used in the retail
segment throughout the BA-CA Group.
On 1 January 2005, Bank Austria Creditanstalt set up a department specialising in active credit
portfolio management (ACPM). In addition to the unchanged credit risk process, the bank
has since then actively managed defined segments of its credit portfolio via the capital market.
Since ACPM was implemented for defined customers in the SMEs Austria segment, credit
risk associated with customer business has been attributed to the ACPM department by
means of reference rates derived from market prices at matching maturities. Bank Austria
Creditanstalt thereby ensures risk-adjusted pricing and quick manageability of this portfolio
segment via the capital market. ACPM aggregates the risk position and optimises the
bank’s risk provisioning. The purpose of ACPM is to help improve the risk/earnings ratio by
more widely diversifying the portfolio through active hedging and reinvestment.
The ACPM Committee, like the Market Risk Committee (MACO), meets once a week to
discuss short-term business management issues relating to the risk/earnings position of
ACPM and limit adjustments and positioning decisions.
In 2005, activities in the area of operational risk management continued to concentrate
on the Group-wide “Basel II” project of Bank Austria Creditanstalt. For the sub-projects
“loss data collection”, “risk self-assessments”, “early warning indicators”, and “modelling”,
Bank Austria Creditanstalt aims to implement the standardised approach, with the
possibility of switching to an advanced measurement approach (AMA), at any rate for
Bank Austria Creditanstalt AG. The reasons for this cautious approach are continued
uncertainties over the general framework for AMA modelling approaches and over the
final implementation requirements in quantitative and qualitative respects.
Risk report 163