SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank
Annual Report 2010 on Form 20-F
Item 11: Quantitative and Qualitative Disclosures about Credit, Market and Other Risk 169
Our value-at-risk for the trading units remained within a band between € 67.5 million and € 126.4 million. The
average value-at-risk in 2010 was € 95.6 million, which is 25 % below the 2009 average of € 126.8 million.
The decrease in average Value-at-Risk observed in 2010 was driven primarily by reduced risk taking and lower
historical volatilities. In addition, the trading business continued with the recalibration of its business model
towards taking less risk in illiquid or complex exposures.
The following table shows the value-at-risk of Postbank’s trading book (with a 99 % confidence level and a oneday
holding period). “Diversification effect” reflects the fact that the total value-at-risk on a given day will be
lower than the sum of the values-at-risk relating to the individual risk classes. Simply adding the value-at-risk
figures of the individual risk classes to arrive at an aggregate value-at-risk would imply the assumption that the
losses in all risk categories occur simultaneously.
in € m. Dec 31, 2010
Value-at-risk of Postbank
Interest rate risk 1.8
Equity price risk 0.2
Foreign exchange risk 0.0
Commodity price risk –
Diversification effect (0.0)
Total 2.0
Regulatory Backtesting of Trading Market Risk
Backtesting is a procedure used to verify the predictive power of the value-at-risk calculations involving the
comparison of hypothetical daily profits and losses under the buy-and-hold assumption with the estimates from
the value-at-risk model. An outlier is a hypothetical buy-and-hold trading loss that exceeds our value-at-risk
estimate. On average, we would expect a 99 percent confidence level to give rise to two to three outliers in any
one year. In our regulatory back-testing in 2010, we observed two outliers compared to one in 2009. Both outliers
occurred in late May following increased market volatility. We continue to believe that, due to the significant
improvement in methodology, calculation parameters and the model performance achieved since the market
turmoil, our value-at-risk model will remain an appropriate measure for our trading market risk under normal
market conditions.