GENERAL MEETING DRAFT - Bankier.pl

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>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
2. Bank portfolio: internal models and other sensitivity analysis methodologies
Please refer to paragraph “2.1 Interest Rate Risk – Regulatory trading book” – Quantitative information”
for the aggregate sensitivity analysis model, used to measure the different risks.
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Qualitative Information
A. General Information
As described above, price risk relating to equities, commodities, investment funds and related derivative
products included in the trading book, originates from positions taken by Group specialist centers holding
assigned market risk limits within certain levels of discretion.
Price risk deriving from own trading of these instruments is managed using both directional and relative
value strategies via direct sale and purchase of securities, regulated derivatives and OTCs and recourse
to security lending. Volatility trading strategies are implemented using options and complex derivatives.
B. Price Risk Management Processes and Measurement Methods
For both a description of internal processes for monitoring and managing risk and an illustration of the
methodologies used to analyze exposure, please refer to introduction on internal models.
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Qualitative Information
A. General Aspects, Price Risk Management Processes and Measurement Methods
Banking book price risk primarily originates in equity interests held by the Parent company and its
subsidiaries as a stable investment, as well as units in mutual investment funds not included in the
trading book in so far as they are also held as a stable investment.
Just in respect of these last instruments, internal price risk management and measurement processes
reproduce what has already been said with regard to the regulatory trading book.