consolidated annual report - Gruppo Banca Sella

arise. It puts forward proposals and suggestions for the
monitoring and reduction of risks. The area has also the
task to provide what is necessary to put in practice the
“Basel” project related to the identification of new capital
adequacy requirements.
The service is composed of the following sectors:
Credit risk
Gruppo Banca Sella gives the utmost importance to
the measurement and management of credit risks, activities
which are deemed strategic and for which the task
is assigned to the Credit Risk Management unit of the
Credit Policies Area.
Within the above mentioned processes, the Parent
company has the task to develop special measurement
methods and to support the creation of specific models
for the single entities of the Group, as well as to carry out
supervising activity providing for risk monitoring instruments
and giving common guidelines.
As regards risk related to each single counterpart, the
cornerstone is represented by the attribution to each customer
of a concise judgement on risks identified by way
of ratings.
The rating assignment process at the moment involves
corporate customers working in the industrial,
commercial, tertiary and long-term production sectors.
During the year the branches of the four banks of the
Group were actively busy in the assignment of ratings
to corporate customers entrusted with loans, reaching a
remarkable coverage. The work to refine models will continue
in 2005 and sectors such as real estate and financial
companies will be covered.
At the same time special methods for the evaluation
of retail customers are being prepared, by the use of scoring
techniques.
The new regulation, known as “Basel II”, has been
seen since the beginning as an opportunity to refine
credit risk measurement tecniques and to warrant their
control using increasingly sophisticated methods.
Gruppo Banca Sella shall apply the IRB Foundation
system on those portfolio segments showing a history
of attribution of default probability by way of statistical
techniques; following a gradual development in time, this
method will be spread to increasingly more credit portfolio
portions.
The Group Credit Quality Service has the task to intervene
in order to prevent any situation that might lead
to insolvency risks. To this end, the Service constantly
verifies the trend and degree of use of credit lines granted
to customers.
Market risk
Market risk, understood as possibile losses related to
unfavourable variations of securities prices, interest rates
and exchange rates, as well as to their volatility and liquidity,
is measured so as to respect the limits assigned
to traders and to portfolio asset managers, by the use of
“value at risk”, calculated according to the historical simulation
game method and by fixing limits for securities
which might be kept (type, rating, quantity).
This type of controls is made on the trading activity
of Banca Sella both on regulated markets and OTC markets,
as well as on the controls on assets portfolios of all
subsidiaries and at a consolidated level. The interest rate
risk profile and the management of liquidity are assigned
to the treasury of Banca Sella, which operates in compliance
with the strategies and guidelines of the Assets
and Liabilities Management Committee, the function of
which is to monthly monitor the aggregates optimizing
the risk/profitability ratio of customer savings, current
accounts and securities issued and loans and of liquidity
parameters fixed by the Board of Directors.
Operational risk
During 2004 the Group Operational Risk Management
continued its loss data collection activity begun in 2002,
with the aim of quantitatively measuring “the risk of losses
due to mistakes or to inadequacy of staff, systems or
processes or to external events”. As in 2003 it continued
to manage the Group Line Controls platform, carrying out
training, help desk activity for colleagues and the update
of this process and its relevant technological tool.
The analysis of the “Control Process” project saw the
Operational Risk structure remarkably contributing to its
creation, also with the aim of enlarging the scope of loss
data collection and of those instruments linked to the reduction
of operative risk exposure.
Consolidated annual report 2004 - 187