Prospectus - Notowania

Section 2 – Market risk
195
>> Condensed Consolidated Financial Statements
Part E) – Information on risks and related risk management policies
For the UC Group, Market risk is defined as the impact that movements in market traded variables can have on the
economical value of the Group’s portfolio. It includes all activities in trading and banking books (i.e. risks arising from its
business operations or strategic investments). Market risk management in our Group includes in particular the treasury
business and the asset and liability management, both in the parent company and in its subsidiaries. The parent company
keeps track of risk positions throughout the Group. Individual subsidiaries have the specific responsibility to manage their own
risk positions in line with the Group’s risk management policy and to inform the parent company of the exposures resulting
from their risk monitoring. Subsidiaries produce detailed daily reports on their business performance and associated risks,
and send these market risk reports to the parent company.
The Parent’s Market & Balance Sheet Risks Portfolio Dept. is responsible for the aggregation of this data and the production
of overall Group market risk reports. This unit ensures that the subsidiaries’ market risk measurement models are comparable
and that their risk monitoring and management methods are uniform. The Parent’s Market & Balance Sheet Risks Portfolio
Dept also controls the Parent’s positions and the aggregated positions of the subsidiaries, in order to monitor total exposure.
Each subsidiary is however directly responsible for the control of its risks according to the guidelines supplied by the Parent.
The main tool the Group uses to measure the market risk of its trading positions is Value at Risk (VaR), calculated using an
historical simulation approach. In the current phase, however, some Group companies still use other methods as is the Monte
Carlo approach in HVB subgroup. The parameters used for calculating VaR are the following: confidence interval of 99%;
time horizon of one day; daily updating of historical time series, with at least a one year profundity. The time horizon of one
day enables immediate comparison of realized gains and losses. To calculate and monitor its risk, UniCredit counts with a
series of internal models developed by HVB AG and BA AG and approved by their respective local regulators. When
aggregating the risk profiles of the Group’s risk-taking units, overall riskiness does not take into account – for prudential
reasons – the diversification effects.
The following table gives the VaR for the aggregate risk of the trading portfolio.
Daily VaR on Trading Book (€ million)
2008
09.30.2009 AVERAGE MAX MIN AVERAGE
UniCredit Spa 4.3 4.1 5.1 2.1 5.6
UCI - Ireland 0.2 0.2 0.2 0.2 0.2
BA Group 16.0 24.2 41.1 13.6 22.2
HVB AG 31.9 69.1 113.4 30.9 56.1
UniCredit Group Total (1)
2009
52.4 97.6 159.8 46.8 84.1
(1) Total VaR is the sum of individual VaR figures; it does not include diversification benefits within the Group.