GENERAL MEETING DRAFT - Bankier.pl

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>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
Trading portfolios are subject to Stress Tests according to a wide range of scenarios for managerial
reporting, which are described in paragraph 2.8 below. According to national regulations, some relevant
scenarios are also a matter of regulatory reporting on a quarterly basis. Moreover, substitute risk
measures, i.e. sensitivities, defined stress scenarios or the indication of nominal amounts, are considered
and included in the regulatory reporting for the estimation of risks that are not covered by the VaR
simulation of UCB AG internal model.
Apart from use in calculating capital requirements on market risks, internal models are applied to all
positions included in the trading book to perform back testing, through the continuous comparison of the
bank’s daily VaR measures with the subsequent daily profit or loss. This test consists of comparing the
estimated expected loss with clean P&L data, i.e. simulated changes in portfolio value that would occur
were end-of-day positions to remain unchanged.
As for internal scenario analysis policies and procedures (i.e. “stress testing”), these procedures have
been entrusted to the individual legal entities. Overall, however, a set of scenarios common to the Group
as a whole, is applied to all positions in order to check on a monthly basis the potential impact that their
occurrence could have on the global trading portfolio.
In aggregating the various risk profiles of the different risk taking units of the Group, the diversification
arising from positions taken by group companies which have adopted different internal models has
conservatively been disregarded when calculating the overall risk.
The harmonization of VaR methodologies and the definition of an appropriate consistent framework to
come to the calculation of a Group’s VaR is one of the main targets of the Market Risk reorganization
within the group.
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Qualitative Information
Trading book interest rate risk arises from financial positions taken by Group specialist centers holding
assigned market risk limits within certain levels of discretion. Apart from use of internal models in
calculating capital requirements on market risks, risk positions in the Group are monitored and subject to
limits assigned to the portfolios on the base of managerial responsabilities and not purely on regulatory
criteria.
As stated, the UniCredit Group uses a VaR internal model to control market risk on the trading book.
VaR, being a single metric, thus quantifies overall market risk, which means that breaking it down into
interest rate risk, price risk and exchange rate risk components is superfluous.
Quantitative Information
Trading Portfolio
Shown below are the VaR data on the overall market risk for the managerial trading book.