COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 239
183
157 213 Key developments in 2011
159 215 Risk-oriented overall bank management
163 219 Default risk
178 234 Intensive care
182 238 Market risk
187 243 Liquidity risk
190 246 Operational risk
192 248 Other risks
195 251 Outlook
Market risk management
Commerzbank uses a wide range of quantitative and qualitative tools to manage and monitor
market price risks. The main guidelines are set in the market risk strategy approved by the
Board of Managing Directors. Quantitative targets for sensitivities, value at risk, stress tests
and scenario analyses as well as for economic capital limit the market risk. Guidelines for
portfolio structure, new products, maturity limits or minimum ratings are designed to ensure
the quality of market risk positions. All the different factors are weighted individually for
each segment in the market risk grid (high, medium and low relevance) as part of the market
risk strategy. Hereby the varying relevance of the parameters for the management of the
segments with regard to the business strategy is allowed for.
The quantitative and qualitative factors limiting market price risk are determined by the
market risk committees. The utilisation of these limits, together with the relevant net income
figures, is reported daily to the Board of Managing Directors and the responsible heads of
the business segments. Based on qualitative analyses and quantitative ratios the market risk
function identifies potential future risks, anticipates, in collaboration with Finance, potential
financial losses, and draws up proposals for further action, which are discussed with the
market units. Voting on the proposed measures or risk positions takes place in the
aforementioned market risk committees and is subsequently submitted to the Board of
Managing Directors for approval.
The management of intra-risk concentration is already a component of market risk
management due to the existing limit system for market risks amongst other things. Risk
concentrations are contained directly with specific limits or are indirectly avoided (for
example, using stress test limits). In addition, the combination of various conventional risk
measures (for example, VaR, sensitivities) ensures the appropriate risk management of
concentrations. In addition Risk drivers are analysed on a regular basis in order to identify
concentrations. The risk management of existing concentrations is thus reviewed and, where
necessary, supplemented by targeted measures (for example, limits, processes). Situationdriven
analyses of existing concentrations are another tool used in the timely and adequate
management of concentrations.
The year 2011 was mainly affected by the European debt crisis. The increasing
indebtedness of European states and the struggle to find effective measures to resolve the
crisis, contributed significantly to the strong market volatility experienced during the year.
Another factor was the discrepancy in economic development across Europe. The strong
growth in Germany contrasted with the difficult economic development in the European
peripheral nations. Furthermore, fears of recession and political developments such as those
in Hungary fuelled uncertainties in the markets. The revolutions in North Africa and the
natural disaster in Japan also contributed to strong market volatility.
Group Risk Report