GENERAL MEETING DRAFT - Bankier.pl

Credit risk strategies are defined by synthesizing the top-down risk analysis with the portfolio view of the
business functions, through a strict cooperation among the centralized and divisional Risk Management
Departments and the industry / product specialists at Holding Company level.
Credit risk strategies are implemented by using all available credit risk measures, especially the credit
VaR model, which enables correct and prudent management of portfolio risk, using advanced
methodologies and tools. In parallel a set of qualitative information, taking into account the different
divisional / territorial characteristics, are incorporated and transformed in input variables for the credit
portfolio optimization models.
More generally, as part of credit risk strategy, vulnerability and Capital Adequacy support analysis are
performed through the credit risk stress (Pillar I and Pillar II). Portfolio risk management pays special
attention to credit risk concentration in light of its importance within total assets.
Such concentration risk, according to the Basel II definition, consists of a single exposure or of a group of
correlated exposures with the potential to generate losses of such magnitude as to prejudice the Group’s
ability to carry on its normal business.
In order to identify, manage, measure and monitor concentration risk, the Holding Company competent
functions defines and monitors credit limits to cover two different types of concentration risk:
� significant amount credit exposures to a single counterpart or to a set of counterparts
economically connected (“bulk risk”);
� credit exposures to counterparts belonging to the same economic sector (“sectorial risk”).
Stress test simulations are a comprehensive part of credit risk strategies definition. With stress test
procedure it is possible to re-estimate some risk parameters like PD, Expected Loss, economic capital
and RWA under the assumption of “extreme but plausible” macroeconomic and financial stressed
scenario. Stressed parameters are used not only for regulatory purposes (Pillar I and Pillar II
requirements), but also as managerial indicators about the portfolio vulnerability of single Legal Entities,
business lines, industries / regional areas, customer groups and other relevant clusters, conditioned to a
downturn of economic cycle.
In compliance with regulatory requirements, stress tests are performed on an on-going basis on updated
stressed scenarios and are communicated to the senior management as well as to the Supervisory
Authority. In addition to the regular stress test, ad hoc stress test simulations are performed on specific
request from the Supervisory Authority.
2.4 Credit Risk Mitigation Techniques
UniCredit Group, consistently with the Revised Framework of International Convergence of Capital
Measures and Rules (Basel II), is firmly committed to satisfy the requirements for recognition of Credit
Risk Mitigation (CRM) techniques for regulatory capital purposes, according to the different approaches
adopted (Standardized, or A-IRB).
In this regard specific projects have been completed and actions have been realized for embedding the
CRM techniques in the Group internal regulations and for alignment of processes and supporting IT
systems. Considering the international location of UniCredit Group, implementations have been realized
in accordance with each Country’s domestic legal system and all local supervisory requirements.
2009 CONSOLIDATED REPORTS AND ACCOUNTS
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