Identification of the risk of macroeconomic changes consists in determining scenarios of the potential macroeconomic changes and determining those risk factors which have the greatest impact on the financial position of the Group. Macroeconomic changes risk arises due to the impact of both factors which depend on the Group’s activities (in particular, the structure of the balance sheet and response plans prepared for the purposes of stress test scenarios) and those which are independent of it (macroeconomic factors). The Bank identifies factors which contribute to the level of macroeconomic changes risk when conducting comprehensive stress tests.
The risk of macroeconomic changes is measured in order to determine the scale of threats associated with the occurrence of macroeconomic changes and includes:
- calculating the financial result and its components, and the risk measures, as part of the comprehensive stress tests;
- calculating the internal capital level;
The risk of macroeconomic changes is assessed on a yearly basis, based on the results of periodical comprehensive stress tests. The level of macroeconomic changes risk is described as moderate, elevated or high.