Annual Financial Statements 2010 of Bank Austria

Consolidated Financial Statements in accordance with IFRSs
E – Risk report (CoNTINuED)
The chart below shows the VaR in 2010 calculated on the basis of the new UniCredit market risk model. Although both models cover a market data
window of 500 days, it can be seen that the existing NoRISK model “forgets” the stress volatility of the Lehman Brothers crisis relatively quickly
(a volatility declustering algorithm adjusts the model very quickly to current market volatility), whereas in the new model the Lehman Brothers crisis has
a sustained influence on VaR levels until the Lehman Brothers crisis scenarios leave the time window in September 2010 within a few weeks and VaR
levels in both models converge towards the year-end.
VaR of the Bank Austria Group in 2010 calculated on the basis of the new UniCredit Group model (€ m)
–220
–200
–180
–160
–140
–120
–100
–80
–60
–40
–20
0
IMOD-VaR
Jan. 10 Feb. 10 March 10 April 10 May 10 June 10 July 10 Aug. 10 Sept. 10 Oct. 10 Nov. 10 Dec. 10
IMOD-VaR_Trading
IMOD-VaR limit scope
At the end of 2010, market risk of the Bank Austria Group (top line) was about € 100 m (confidence interval of 99%; 1-day holding period). The further
significant reduction in December is due to a harmonisation of the treatment of own credit spreads (UniCredit bonds) in the banking book. While only
UniCredit Bank Austria bonds were previously presented without a credit spread fluctuation, this now also applies to UniCredit bonds. Market risk managed
by VaR limits (represented by the red broken line in the middle) was slightly below € 90 m at the end of 2010: loans to the public sector in the
form of private placements, equity holdings in the banking book, hedge funds and private equity are excluded here because these are not managed via
VaR limits. This compares with a VaR of the trading book of well below € 20 m at the end of 2010.
Both models show that credit spread risk and interest rate risk account for most of the total risk of the Bank Austria Group. Other risk categories are
much less significant by comparison. Since January 2007, commodity risk has only been assumed in the Bank Austria Group on a back-to-back basis.
VaR of the Bank Austria Group by risk category (€ m)
Old iNterNal mOdel miNimum aVerage maximum year-eNd
Interest rate risk 19.7 31.2 61.6 40.9
Credit spread 21.0 45.9 80.1 69.8
Exchange rate risk 0.5 1.1 3.2 1.1
Equity risk/trading 0.4 0.9 3.0 0.4
Hedge funds 1.7 3.1 5.7 1.7
Equity risk/investment 5.3 7.2 11.5 5.8
Vega risk 0.1 0.2 0.8 0.1
tOtal 2010 31.8 54.7 87.5 72.4
total 2009 32.3 65.3 110.4 45.1
NeW mOdel (imOd) miNimum aVerage maximum year-eNd
Total 2010 94.9 144 214 103
VaR limit relevant scope 83.2 117 183 85.3
Trading positions only 12.4 25.9 38.8 15.8
In addition to VaR, risk positions of the Bank Austria Group are limited through sensitivity-oriented 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. These reports are now complemented by the new UniCredit market risk platform, which enables trading and other
units to perform analyses down to individual position level.
Bank Austria · Annual Financial Statements 2010
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