The Intesa Sanpaolo Group attaches great importance to risk management and control as conditions to ensure reliable and sustainable value creation in a context of controlled risk. This is the map of the main risks monitored.
|TYPE OF RISK||DEFINITION||MONITORING METHOD|
The strategies, powers and rules for credit granting and management are aimed at:
||A set of instruments which ensure analytical control over the quality of the loans to customers and financial institutions, and of exposures subject to country risk.
Risk measurement is performed by means of different rating models according to the borrower segment (Corporate, Retail SME, Retail Mortgage, Other Retail, Sovereigns, Public Sector Entities, Financial institutions). These models offer a summary of the borrower's creditworthiness into a single measurement, the rating.
|Market risk (trading book)||The quantification of trading risks is based on daily and periodic VaR of the trading portfolios of Intesa Sanpaolo and Banca IMI, which represent the main portion of the Group’s market risks, to adverse market movements of the following risk factors: interest rates, shares and indices; investment funds; exchange rates; intrinsic volatility; credit default swap (CDS) spreads; bond issue spreads; correlation instruments; dividend derivatives; asset-backed securities (ABSs); commodities.||For some of the risk factors indicated, the Supervisory Authority has validated the internal models for the reporting of the capital absorption of both Intesa Sanpaolo and Banca IMI.|
|Financial risk (banking book)||This largely refers to the exposure accepted by the Parent Company and the main Group companies involved in retail and corporate banking.
The banking book also includes exposure to market risks deriving from the equity investments in listed companies not fully consolidated, mostly held by the Parent Company and by Equiter, IMI Investimenti and Private Equity International.
The following methods are used to measure financial risks of the Group’s banking book:
|Operational risk||This is defined as the risk of incurring losses due to inadequacy or failures of processes, human resources and internal systems, or as a result of external events.
Operational risk includes legal risk, that is, the risk of losses deriving from breach of laws or regulations, contractual, tortious liability or other disputes, ICT risk and model risk. Strategic and reputational risks are not included.
|For some time the overall operational risk governance framework has been defined by setting up rules and organisational processes for measuring, managing and controlling operational risk.|
|Strategic risk||This is the risk associated with a potential decline in profits or capital due to changes in the operating context, misguided Company decisions, inadequate implementation of decisions, or an inability to react to changes in the competitive scenario.||The response to this risk is first and foremost in the form of policies and procedures that call for the most important decisions to be deferred to the Management Board and the Supervisory Board, supported by a current and forward-looking assessment of risks and capital adequacy.|
|Reputational risk||We attach great importance to the reputational risk, namely the current and prospective risk of a decline in profits or capital due to a negative perception of the Bank’s image by customers, stakeholders, shareholders, investors and Supervisory Authorities.||We actively manage the Group’s image with all stakeholders and aim to prevent and contain any negative effects on this image, including through robust, sustainable growth capable of creating value for all stakeholders, minimising possible adverse events through rigorous, stringent governance, control and guidance of the activity performed at the various service and function levels.|
|Risk on owned real-estate assets||It is the risk associated with the possibility of suffering financial losses due to an unfavourable change in the value of such assets.||The degree of risk of the owned real-estate portfolio is represented by using a VaR-type model.|
|Insurance risk||The typical risks of the life insurance portfolio (managed by Intesa Sanpaolo Vita, Intesa Sanpaolo Life and Fideuram Vita) may be divided into three main categories: premium risks, actuarial and demographic risks and reserve risks.||Continuous risk monitoring.|
|Liquidity risk||The risk that the Bank may not be able to meet its payment obligations due to the inability to obtain funds on the market (funding liquidity risk) or liquidate its assets (market liquidity risk).||A suitable governance and management system has a fundamental role in stability, not only at the level of each individual bank, but also of the market, given that imbalances within a single financial institution may have systemic repercussions.
The Group Liquidity Risk Governance Guidelines define a suitable management and monitoring system, defining the corporate duties and responsibilities, as well as the metrics and operating limits systems, in compliance with the RAF and with Supervisory regulations.