Prospectus - Notowania

With regard to the use of the AMA (Advanced Measurement Approach) model for the calculation of capital to cover operational
risks, this method, which is determined centrally by the Parent Company, will be extended to the Group’s main entities over time on
the basis of a specific implementation plan.
In the third quarter of 2009 relevant enhancements to the Credit Portfolio Model, used for estimating Economic Capital on credit risk,
have been introduced. A revision of the global correlation framework was implemented and combined with a more granular
description of Central and Eastern European countries' dependencies on macroeconomic variables. The correlation between retail
and corporate exposures was reviewed producing, on a global basis, a more robust design of the dependencies in light of the recent
financial turmoil.
Further enhancements of the framework, e.g. introducing a methodology for risk appetite regarding Country Risks, are either
ongoing or will be planned in the course of 2010.
During the reporting period, the Group continued the reorganization of the Market Risk department. The harmonization and
integration of VaR calculation models and systems allowed the Group to implement the pilot version of the Group’s new unified
internal model in Q1. Similarly, the Parent Company’s Market Risk function has intensified its monitoring and control of portfolios'
risk profiles by introducing individual risk limits 3 for additional risk factors and by revising and updating the limits introduced in 2008.
During the same period, the Group also introduced statistical models to study retail customers’ behavior in connection with assets
and liabilities with unspecified maturities (sight deposits) or with a prepayment option (residential mortgages). The risk associated
with changes in interest rates is therefore complemented by an assessment of the likely statistical error of forecast models.
In order to ensure that product and portfolio valuations are as conservative as possible, specific guidelines were issued concerning
the evaluation of derivatives and the identification of model reserves. These guidelines focus in particular on structured credit
derivatives; however the relevant calculations have been extended to cover all types of financial products, and thus all asset
classes.
As far as liquidity risk is concerned, this year the Group Liquidity Policy was updated with a view to adopting an even more prudent
liquidity management policy, both in the short and the long term, and also for currencies other than the Euro. The experience of the
recent turmoil was used in the regular update of the Group’s Liquidity Policy, strengthening the resilience of the Group to future
liquidity shocks. Also in light of the period it took for the market to regain market liquidity, the liquidity exposure of the Group has
been reduced, reflecting the diminishing risk appetite. Due to improvement in the markets, this risk reduction was achieved relatively
easily.
The Group’s transfer price policy was updated in order to provide a more efficient allocation of liquidity within the Group and ensure
adequate liquidity pricing based on market conditions.
The following sets forth some specific risk factors connected, in particular, with funding liquidity, interest rate fluctuations, exchange
rates, and the performance of the financial markets that are particularly affected by the present global financial scenario and upon
which the results of the Group depend.
Constant monitoring and management of such risk factors allow to continue to resort to the principle of business continuity in
preparing the Consolidated Interim Report.
3 Limits applied on risk factors (e.g. interest rates, FX rates, index or stock prices etc. )
CONSOLIDATED INTERIM REPORT
AS AT SEPTEMBER 30, 2009
40