Annual report 2004 (PDF, 4141 kB) - Unicredit Bank
Annual report 2004 (PDF, 4141 kB) - Unicredit Bank
Annual report 2004 (PDF, 4141 kB) - Unicredit Bank
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on a daily basis (so-called “back testing”) with the purpose of potential re-calibration of<br />
parameters of the VaR model.<br />
The <strong>Bank</strong> performs stress testing for main trading currencies (CZK, USD, EUR) on parallel<br />
shift of the yield curve by 2%. The <strong>Bank</strong> also performs stress testing describing foreign<br />
currency shocks, if exchange rates change by 3%.<br />
(d)<br />
Derivative financial instruments<br />
The <strong>Bank</strong> has outstanding derivative financial instruments contracts, which can be analysed as<br />
follows:<br />
I. Trading derivatives<br />
31 December <strong>2004</strong> 31 December 2003<br />
Nominal<br />
value<br />
Fair value<br />
positive<br />
Fair value<br />
negative<br />
Nominal<br />
value<br />
Fair value<br />
positive<br />
Fair value<br />
negative<br />
CZK m CZK m CZK m CZK m CZK m CZK m<br />
Interest rate derivatives<br />
Forwards 5 261 4 2 6 853 6 10<br />
Swaps 3 743 15 51 3 381 20 84<br />
9 004 19 53 10 234 26 94<br />
Foreign exchange derivatives<br />
Forwards 1 805 27 41 1 387 56 2<br />
Swaps 4 722 163 69 4 836 29 54<br />
6 527 190 110 6 223 85 56<br />
Equity derivatives<br />
Option<br />
purchased 591 51 0 0 0 0<br />
Option sold 591 0 50 0 0 0<br />
1 182 51 50 0 0 0<br />
Total 16 713 260 213 16 457 111 150<br />
Changes in fair value of trading derivatives are recognised in the income statement.<br />
54