BPCE - 2019 RISK REPORT Pillar III

RISK MANAGEMENT SYSTEM

RISK MANAGEMENT

Macro-level risk mapping – Group institutions

Macro-level risk mapping plays a central role in an institution’s overall risk management system. By identifying and rating its risks, each Group institution establishes its own risk profile and priority risks. This risk-based approach serves to update the risk appetite and the permanent/periodic control plans of Group institutions on a yearly basis. Action plans targeting high-priority risks are defined with the goal of reducing and/or managing risks. The results of the macro-level risk mapping process contribute to the Group’s Supervisory Review and Evaluation Process (SREP), by identifying the main risks under the risk management and prudential approach, included in the annual report on internal control, the ICAAP report and the universal registration document (risk factors section).

In 2019, a macro-level risk mapping consolidation process was completed for each network. Each institution is able to compare the results of its own macro-level risk mapping with those of its network. Action plans set up by the institutions to address their priority risks were also consolidated. The macro-level risk mapping methodology was revised: the main changes involved the incorporation of climate risk and more detailed identification of risk classes or segments. Macro-level risk mapping was performed at Group level in 2019 by consolidating the macro-level risk maps of the parent company institutions and subsidiaries.

3

RISK MANAGEMENT SYSTEM

POST-RMS RISK + FORWARD-LOOKING VIEW

GROSS RISKS

Chosen risk

Accepted risk

Incurred risk

Quality, Controls, Resources

RISK IDENTIFICATION AND ASSESSMENT

Strategic business and ecosystem risks

Credit and counterparty risks

Non-financial risks

Financial risks

IDENTIFICATION – ANALYSIS – ASSESSMENT - RECOGNITION

33

RISK REPORT PILLAR III 2019 | GROUPE BPCE