Risk management

Currency risk

Currency risk arises from the current and future performance of the Group as well as its equity being exposed to adverse changes in foreign exchange rates.

The Group’s currency risk is managed at the level of the Bank as the currency risk assumed by the subsidiaries is immaterial considering the nature of their business.

The Group’s currency risk is managed at the level of the Bank as the currency risk assumed by the subsidiaries is immaterial considering the nature of their business.

The objective of currency risk management is to protect the exchange gain and obtain financial benefits through transactions concluded in FX instruments on own account, with the accepted risk level.

In the process of currency risk management, the said risk in the Bank is measured through:

  • calculation of the total position of the Bank,
  • calculation of the position in each currency,
  • calculation of Value at Risk (VaR),
  • stress tests.

The following tables present VaR for currency risk as at individual balance sheet dates.

In 2015 and 2014, the Bank’s currency risk was low due to an insignificant share of foreign currency assets and liabilities in the balance sheet total (below 2%). The value of the total currency position exceeded 2% of equity only on 31 December 2015.