Prospectus - Notowania

insurance policies to cover operational risks, with identification of the appropriate
excesses and limits.
In addition, regular checking of business continuity plans ensures the management of
operational risk in the event of interruption to the main services. The Group Risk
Committee (or other bodies, according to the provisions of local regulations) reviews
the risks identified by the operational risk functions of the entities, with the support of
the functions involved, and checks the mitigation initiatives.
Measurement and allocation of capital
The Issuer has developed an internal model for the measurement of the capital
requirement. This is calculated by taking into account internal loss data, external loss
data (consortium and public) and loss data generated by scenario analysis and risk
indicators. The calculation is carried out by using the types of operating event as risk
classes. For each risk class, the severity and frequency of the losses are estimated
separately to obtain the distribution of annual losses through simulation, taking into
account the insurance coverage. The severity distribution is estimated based on
internal data, external data and data generated by scenario analysis, while the
frequency is estimated solely on internal data. For each class, a correction is applied
based on the operational risk indicators. The distributions of annual loss, obtained for
reach risk class, are aggregated based on specific statistical functions. The risk capital
is therefore calculated on the aggregate distribution of losses at a 99.9% confidence
level for regulatory purposes and a 99.97% confidence level for internal purposes,
considering the deduction due to expected losses.
Using allocation mechanisms, the capital requirements of Group companies are
identified, reflecting the exposure and effectiveness of the operational risk
management process.
For Group companies still not authorised by the supervisory authorities to use the
internal model, the capital requirement is calculated on the basis of the Base and
Standard methods.
6.11.4. Business risk
Business risk derives from a contraction in margins, not brought about by market,
credit and operational risks but instead by variations in the competitive context or
customer behaviour. It is measured at Group level both in terms of stand-alone risk
capital, and in terms of the element belonging to a diversified risk portfolio; in the
second case, the benefit from diversification is then reallocated to the individual
UniCredit Group companies, proportionately with respect to the ratio between Group
value-at-risk and the sum of the stand-alone risk capital of all Group companies.
For monitoring purposes, business risk at UniCredit Group level is calculated
quarterly and whenever deemed necessary through significant changes in the reference
market. During budgeting, it is calculated from a prospective viewpoint to support the
capital allocation process in that it falls under the risk measurements to be aggregated.
6.11.5. Real estate risk
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