EBA欧洲银行-CP32_UCG_3页_158kb

报告摘要

UniCredit Group's Reply to the CEBS CP 32 on Stress Testing Summary

General Remarks

UniCredit Group (UCG) conducted an internal self-assessment to evaluate the gaps and associated risks related to the CEBS CP 32 guidelines. The assessment was carried out in two steps:

Initial Assessment: Each competent business area evaluated relevant risks, including market, liquidity, securitisation, credit, operational, concentration, and interest rate risks within the banking book.
Aggregation and Integration: Risks were aggregated from a firm-wide perspective to assess the CEBS guidelines comprehensively, with a focus on risk concentration and second-round effects.

UCG's contribution aims to support CEBS in promoting better supervisory practices and ensuring a level playing field. It also seeks to facilitate CEBS' peer review process by offering detailed insights into methodologies used across European institutions. A benchmarking exercise on a sample of supervised entities is seen as beneficial for this purpose.

The reply is not for public disclosure, but UCG would appreciate a summary being published on the CEBS website. It will also be shared voluntarily with the consolidating supervisor and invited to distribute it to the College of Supervisors.

Key Points on Stress Testing

Stress Testing as a Tool: Stress testing is viewed as a critical risk management tool within financial institutions like UCG.
Group-Wide Approach: A unified group-wide approach is essential for the effectiveness of stress testing in supporting decision-making processes such as capital allocation and risk appetite setting.
Link to Capital Adequacy: Stress testing must be integrated with capital adequacy to provide a managerial framework for risk management within strategic decision-making.
Role of Senior Management: UCG emphasizes the importance of senior management, including board-level involvement, in the stress testing process to ensure its success.
Implementation Timeline: UCG considers the proposed June 2010 deadline for implementing the guidelines to be overly demanding, especially for large and complex institutions that require substantial work.
Phased Implementation: UCG appreciates the CEBS recommendation for a phased implementation and the flexibility provided by national supervisors in executing specific aspects of the guidelines.

Risk Management Areas

UCG has identified the following key risk management areas and assigned contact persons for each:

Credit and Cross-Border Risks Portfolio Management

Head: Jürgen Wiener
Email: juergen.wienes@unicreditgroup.de

Conclusion

UCG supports the CEBS initiative to enhance supervisory practices through stress testing and believes in the importance of a comprehensive and integrated approach. The group advocates for a more realistic timeline for implementation and emphasizes the need for senior management involvement in stress testing processes. Additionally, UCG highlights the necessity of linking stress testing with capital adequacy to ensure its strategic relevance and effectiveness.

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