Annual Financial Statements 2008 of Bank Austria

Consolidated Financial Statements in accordance with IFRSs
Notes (CONTINUED)
VaR of the Bank Austria Group by risk category (€ m)
rISk cATegOry mINImUm AverAge mAXImUm yeAr-eND
Interest rate risk 24.9 47.4 108.7 67.0
Credit spread 24.8 45.0 118.2 93.6
Exchange rate risk 0.6 2.6 10.2 3.9
Equity risk/trading 1.3 3.0 5.5 1.3
Emerging markets/high yield 2.2 3.0 5.0 2.9
Hedge funds 3.9 5.4 11.7 6.6
Equity risk/investment 4.2 10.9 22.3 14.1
Vega risk 0.7 2.6 6.8 4.9
TOTAL 2008 36.6 65.1 167.4 98.1
Total 2007 16.7 35.2 58.7 49.9
In addition to VaR, risk positions of the Bank Austria Group are limited
through volume limits. As part of daily risk reporting, detailed “Trader
Reports” are prepared for a large number of portfolios, with updated
and historical information made available to all risk-takers and the
responsible senior management via the Intranet. The comprehensive
statistical data on VaR made available in addition to limit-relevant
99% quantile figures include the average of scenario results beyond
the 99% quantile mark, providing an indication of the magnitude of
events for which the probability of occurrence is very low. In addition
to limit-relevant overall simulation runs, the results of about 30 par-
tial simulation runs are recorded daily in the risk database. Partial
simulation runs simulate specific risk classes while keeping others
constant. The combination of portfolios and partial simulation runs
enables the bank to analyse all major risk components on a daily
basis and over time.
As at 31 December 2008, the entire interest rate position of the
Bank Austria Group (trading and investment) for major currencies
was composed as follows (the table below shows basis point values
over € 500):
Bank Austria · Annual Financial Statements 2008 108