ANNUAL REPORT 2006 - DG Hyp
ANNUAL REPORT 2006 - DG Hyp
ANNUAL REPORT 2006 - DG Hyp
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Management Report<br />
<strong>DG</strong> HYP VaR (10-DAY HOLDING PERIOD, 99 PER CENT CONFIDENCE INTERVAL)<br />
DEVELOPMENT IN <strong>2006</strong><br />
€ mn<br />
80<br />
70<br />
60<br />
50<br />
40<br />
30<br />
20<br />
10<br />
February April June August October December<br />
Special analyses can be used to actively manage portfolio<br />
structures through the purchase and sale of identified<br />
credit risks. This applies on the one hand to lending<br />
decisions for individual exposures, for example for largevolume<br />
loans in the syndicated lending business. On the<br />
other hand, we have already undertaken placed credit<br />
risks with external third parties in full, by way of synthetic<br />
securitisations.<br />
At the same time, <strong>DG</strong> HYP invests in third-party MBS<br />
transactions. The duality of placing credit risks with third<br />
parties and investing in other portfolio structures offers<br />
better risk diversification in the overall portfolio – which<br />
we can thus manage in a targeted manner. Credit Risk<br />
Controlling regularly prepares portfolio reports from the<br />
credit risk model for this purpose. These include (amongst<br />
other things) expected and unexpected loss data calculated<br />
for the overall portfolio, and a breakdown of the credit<br />
value at risk (CVaR) across the business divisions.<br />
Deutsche Genossenschafts-<strong>Hyp</strong>othekenbank AG | Annual Report <strong>2006</strong><br />
39