Risk of macroeconomic changes is a risk of deterioration of the financial situation of the Bank as a result of the adverse impact of changes in macroeconomic conditions.
The purpose of risk of macroeconomic changes management is to identify macroeconomic factors having a significant impact on the Group's activities and taking actions to reduce the adverse impact of potential changes in the macroeconomic situation on the financial situation of the Group.
69.1 Identification and assessment of risk of macroeconomic changes
Identification of risk of macroeconomic changes is to determine scenarios of the potential macroeconomic changes and to determine risk factors having the greatest impact on the financial situation of the Group. Risk of macroeconomic changes results from interaction of factors dependent and independent of the Group's activities. The Bank identifies the factors affecting the level of risk of macroeconomic changes during carrying out comprehensive stress-tests.
The risk of macroeconomic changes materialises indirectly through other risks affecting the Group's operations by:
- credit losses,
- losses arising from adverse changes in market situation (changes in exchange rates, changes in interest rates),
- a decrease in the liquidity of the Bank,
- losses arising from the operational risk realisation,
- other losses.
For the purpose of measuring the risk of macroeconomic changes the Group uses risk measures based on the results of comprehensive stress-tests, in particular:
- financial result and its components,
- capital adequacy measures and their components,
- selected liquidity measures.
69.2 Macroeconomic changes risk monitoring
A process of risk of macroeconomic changes monitoring includes monitoring of:
- changes in the macroeconomic situation,
- macroeconomic factors on which the Bank is sensitive,
- results of stress-tests,
- level of risk of macroeconomic changes.
69.3 Macroeconomic changes risk reporting
Risk of macroeconomic changes reporting is realised in the form of reports summarising the results of each stress-tests. Reports are addressed to ALCO, RC and the Management Board. Reports include information such as:
- summary of the results of stress-tests,
- in case of elevated or high level of risk of macroeconomic changes: an analysis of reasons which led to an increase in the risk level, assessment of the potential consequences of this situation for the Bank, prediction of possible outcomes, proposals of actions aimed at reducing the level of risk, an initial assessment of their effectiveness.
69.4 Management actions concerning risk of macroeconomic changes
Management actions in particular consist of:
- issuing internal regulations of the Bank,
- determining acceptable levels of risk,
- proposals of actions aimed at reducing the level of risk in the event of elevated or high risk of macroeconomic changes occurrence.