As part of its assessment of the market risk profile, the Bank conducts stress tests examining the impact of materialization of ESG risk factors on earnings and capital in a scenario of changes in credit spreads for individual sectors of debt securities issuers. The results are reported monthly to the Assets, Liabilities and Risk Committee and quarterly to the Bank’s Management Board and Supervisory Board.
Climate and environment
Climate risks and opportunities
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Bank Pekao has identified climate risk as part of its identification of environmental, social and corporate governance risks (ESG risk). In 2023, the Bank analyzed its financing portfolio to identify exposures subject to physical risk. As of December 31, 2023, exposure to the following physical risk hazards was analyzed: river flood, urban flood, and landslide. The analysis used data from the ThinkHazard online database. Disclosure in this regard is available in the “Bank Pekao S.A. Group’s Capital Adequacy Information as of December 31, 2023”. In terms of transformational risks, the Bank has identified sectors that are particularly vulnerable to the transition to a low-carbon economy.
In terms of operational risk, the scenario analysis includes a greenwashing scenario, which aims to estimate potential operational losses under the hypothetical assumption that the information presented by the Bank in the ESG area is not sufficiently precise. In order to optimize the operational risk management process, the Bank has developed classification rules, reviewed and appropriately flagged operational events and key risk indicators related to ESG factors.