Annual Report - VÚB banka

The Intesa Sanpaolo Group’s internal model is designed
to combine all the main quantitative (historical
loss data) and qualitative information sources
(scenario analysis). The quantitative component
is based on a statistical analysis of historical loss
data, relating to internal or external events (including
through the participation of Intesa Sanpaolo in
consortium initiatives). The qualitative component
focuses on an assessment of the risk exposure of
each unit and is based on the structured collection
of subjective estimates aimed at assessment of
specifi c scenarios identifi ed on the basis of event
types set out in the New Capital Accord (Basel II).
Capital-at-Risk is therefore identifi ed as the measurement
indicator at the Group’s level, net of insurance
cover, required to bear the maximum potential
annual loss. Capital-at-Risk is estimated using
the Loss Distribution Approach model (actuarial
statistical model to calculate the Value-at-Risk of
operational losses), applied on quantitative and
qualitative data assuming a one-year estimation
period, with a level of confi dence of 99,9% (99,96%
for economic measurement).
The Group utilizes a traditional operational risk
transfer policy (insurance) with the objective of mitigating
the impact of any unexpected losses.
Compliance with the Group’s standards is supported
by a program of periodic reviews undertaken
by Internal Audit. The results of Internal Audit reviews
are discussed with the management of the
business unit to which they relate, with summaries
submitted to the Audit Committee and the senior
management of the Group.
38. Segment reporting
Segment information is presented in respect of the
Group’s operating segments, based on the management
and internal reporting structure.
Operating segments pay and receive interest to and
from the Central treasury on an arm’s length basis
in order to refl ect the costs of funding.
The Group comprises the following main operating
segments:
- Retail banking
- Corporate banking
- Central treasury
Retail Banking includes loans, deposits and other
transactions and balances with households and
small business operating segment.
Corporate banking comprises Small and medium
enterprises (SME) and the Corporate Customer
Desk (CCD). SME includes loans, deposits and
other transactions and balances with small and
medium enterprises (company revenue in the range
of Sk 30 million to Sk 1,000 million; if revenue information
is not available, bank account turnover is
used). CCD includes loans, deposits and other transactions
and balances with large corporate customers
(company revenue over Sk 1,000 million).
Central treasury undertakes the Group’s funding,
HTM Securities portfolio management, issues of
debt securities as well as trading book operations.
The Group also has a central Governance Center
that manages the Group’s premises, equity investments
and own equity funds as well as Risk Management
that operates the workout loan portfolio.
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VUB, a bank of Intesa Sanpaolo group