GENERAL MEETING DRAFT - Bankier.pl

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The main risk factors are those indicated above, but there are other risk profiles.
The Group has broadened the types of risk analyzed in order to achieve a more accurate measurement of
the risks assumed. At the same time, methods have been established for combining risks to reach an
overall measurement of risk by integrating individual risks through the calculation of internal capital.
To this end, the Group has identified risks inherent in the Group’s asset and liability positions and its
operations, singling out the following types of risk in addition to the credit, market, operational and liquidity
risks already mentioned:
� Business risk: this derives from a reduction of margins not due to market, credit or operational
risks, but to changes in the competitive environment and in customer behavior. Specifically, it
mainly concerns future changes in margins and their impact on the Group’s value and
capitalization levels.
� Real estate risk: this risk is defined as the potential losses from negative fluctuations in the
market value of the real estate portfolio owned by the Group. Real estate provided as collateral
by customers is obviously not included.
� Financial investment risk: this represents the potential loss in value of non-speculative financial
investments made in non-Group companies which are not included in the scope of consolidation.
Trading book positions are not taken into consideration.
� Strategic risk: this arises from unexpected changes in the competitive environment, from the
failure to recognize ongoing trends in the banking sector or from making incorrect conclusions
regarding these trends. The impacts of decisions that are detrimental to long-term objectives and
that may be difficult to reverse are also considered.
� Reputational risk: this is the current or future risk of a decline in profits or capital as a result of a
negative perception of the bank’s image by customers, counterparties, bank shareholders,
investors or the regulator.
The second step in extending the risk profile consists of identifying the best analysis method. Certain
categories lend themselves to quantitative analysis using statistical methods, while others require a more
qualitative approach such as scenario analysis. Quantitative measurement is carried out using:
� Estimates of operating capital and
� Stress Tests.
Economic capital is the capital the Group needs to hold to bear risks associated with its positions and
operations and is calculated in relation to both individual and combined risk categories consistent with the
target rating. Based on the approaches described, the Group has decided to measure business, real
estate and financial investment risk using economic capital since the amount of capital determined may
be used to cover potential losses. On the other hand, strategic risk is analyzed using scenarios that also
arrive at an estimate of potential losses in certain contexts, but is not included in the estimate of the
combined risk profile.
The multi-faceted nature of risk necessitates Stress Test analyses in addition to the measurement of
operating capital. This is done not only to estimate losses in certain scenarios, but also to understand the
impact of the factors causing these losses.
Stress Tests are performed for individual and combined risk categories by simulating combined changes
in risk factors in order to support the estimate of combined operating capital. The combined Stress Test
estimate deals both with the amount of individual risks, as well as with the decreased diversification
benefit in crisis conditions.
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