COMMERZBANK AKTIENGESELLSCHAFT

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Commerzbank AG
• In the Private Customer segment, risk density was reduced from 37 to 34 basis points due
particularly to the implementation of systematic management measures in lower rating
classes and the expansion of early risk identification.
• From a market risk perspective, 2011 was dominated by the European sovereign debt
crisis, which generated high volatility in the markets. The value at risk in the Bank’s trading
books was significantly lowered by around one-third to €59m, due to the ongoing
reduction in non-strategic positions amongst other things.
• Whereas charges for operational risk and ongoing litigation had grown steadily in previous
years, these declined for the first time in 2011 by €24m to €250m.
Risk-oriented overall bank management
Risk management organisation
Commerzbank defines risk as the danger of possible losses or profits foregone due to internal
or external factors. In risk management we normally distinguish between quantifiable
risks – those to which a value can normally be attached in financial statements or in regulatory
capital requirements – and non-quantifiable types of risk such as reputational and compliance
risk.
The Bank’s Chief Risk Officer (CRO) is responsible for implementing the Group’s risk
policy guidelines for quantifiable risks laid down by the Board of Managing Directors. The
CRO regularly reports to the Board of Managing Directors and the Risk Committee of the
Supervisory Board on the overall risk situation within the Group.
Risk management activities are split between Credit Risk Management, Market Risk
Management, Intensive Care and Risk Controlling, and Capital Management, all of which
span across the group and report directly to the CRO. The heads of these four risk management
divisions together with the CRO make up the Risk Management Board within Group
Management. The Board of Managing Directors has delegated the operational management
of risk to committees. Under the relevant rules of procedure these are the Group Credit
Committee, the Group Market Risk Committee and the Group OpRisk Committee, in addition
to the Group Strategic Risk Committee which decides on risk issues of an overarching nature.
The CRO chairs all these committees and has the right of veto.
Commerzbank’s Asset Liability Committee has responsibility for the Group-wide management
of portfolio composition, capital allocation and development of RWAs, and is the
major instigator of the internal capital adequacy assessment process (ICAAP).