UBI Banca Group

– it works with the Rating Desk and the Major Borrowers Rating units in that same Area, on the
definition of methods for assigning counterparty ratings;
– it produces periodic analyses which illustrate the risk profile of the total lending portfolio and
the commercial sub-portfolios at Group level and at the level of individual legal entities, in
terms of distribution by rating class, LGD and expected loss, loan impairment rates and
concentration in the largest customers;
– it develops methods, in co-operation with the Tax and Administration Area, for calculating
collective provisions to be recognised in the financial statements on the basis of internal credit
ratings for the network banks and Centrobanca and loan impairment rates for the other
banks and product companies;
– it calculates loan deterioration rates for the Group and defines the relative calculation
methods for individual legal entities;
– it works with the Commercial Macro Area and with the Planning and Management Control
Area to provide input parameters (PD, LGD, EAD) for product pricing activities.
Furthermore, the Credit Risk Service plays a key role within the Basel 2 project:
– it formulates guidelines on credit risk matters generally and also with regard to periodic
reporting to the Supervisory Authority;
– it draws up roll-out plans for models implemented at the Parent;
– it monitors the extent to which regulatory provisions are covered by internal rating models;
– it co-ordinates activities for the development and maintenance of internal rating processes
and systems.
Finally, the Risk Policies Service forms part of the Risk Management Area and it formulates policies
for the assumption and management of risk, including credit risk.
More specifically, the service formulates the operational details of policies by preparing regulations to
implement them and also detailed documents, both for the Parent and for single banks and
companies, which illustrate aspects relating to the definition, use, monitoring and reporting of risk in
relation to compliance with the guidelines and the indicators that are set.
These documents are implemented by the Group banks and companies, which must have a
knowledge of the risk profile and the risk management policies defined by the senior management of
the Parent and which must contribute, each within the scope of their responsibilities, to the
implementation, consistent with the reality of their companies, of the risk management strategies and
policies decided by the senior management of the Parent.
The Service also provides specialist support for the operational implementation of the policies and
regulations for them, concerning the assumption and management of credit risk and it periodically
monitors their consistency with Group operations, and proposes corrective action if necessary.
The Area then defines in detail, and undertakes, active credit portfolio management action designed
to optimise the creation of value on the loan portfolio and also takes initiatives to mitigate, monitor
and transfer credit risk (e.g. securitisations), assessing the impact on economic capital and on
supervisory capital requirements. As concerns the production and distribution of products which
involve the assumption of credit risk by Group member companies, it participates, together with the
Commercial Macro Area, in the definition of the relative convention agreements.
1.2.2 Management, measurement and control systems
The Credit Risk Service is responsible for Group reporting on credit risk in order to monitor changes
in the risk attached to lending for individual banks and commercial portfolios. The reports are
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