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 178
We buy insurance in order to protect ourselves against unexpected and substantial unforeseeable losses. The
identification, definition of magnitude and estimation procedures used are based on the recognized insurance
terms of “common sense”, “state-of-the-art” and/or “benchmarking”. The maximum limit per insured risk takes
into account the reliability of the insurer and a cost/benefit ratio, especially in cases in which the insurance
market tries to reduce coverage by restricted/limited policy wordings and specific exclusions.
We maintain a number of captive insurance companies, both primary and re-insurance companies. However,
insurance contracts provided are only considered in the modeling/calculation of insurance-related reductions of
operational risk capital requirements where the risk is re-insured in the external insurance market.
The regulatory capital figure includes a deduction for insurance coverage amounting to € 467 million. Currently,
no other risk transfer techniques beyond insurance are recognized in the AMA model.
CI/D selects insurance partners in strict compliance with the regulatory requirements specified in the Solvency
Regulations and the Operational Risks Experts Group recommendation on the recognition of insurance in
advanced measurement approaches. The insurance portfolio, as well as CI/D activities are audited by Group
Audit on a periodic basis.
Operational Risk at Postbank
Postbank’s approach to Operational Risk Management is largely comparable to Deutsche Bank’s approach.
The Management Board of the Postbank is solely responsible for the management, control, and monitoring of
operational risk. The Operational Risk Committee (ORK) commissioned by the Postbank Management Board
defines the strategy and framework for controlling operational risk. Day-to-day management of operational risk
is the responsibility of the individual units within the Postbank. Strategic parameters for managing operational
risk, both qualitative as well as quantitative, are part of the overall strategy.
At Postbank the economic capital requirements for operational risk both for the Postbank as a whole and for
the four business divisions individually have been determined using a standalone internal capital model to
calculate capital requirements for operational risk. Postbank received the approval by the BaFin for their AMA
in December 2010.
Within the consolidation of Postbank the results of the economic capital requirements for operational risk have
been recalculated using Deutsche Bank’s economic capital methodology for operational risk based upon
pooled data from Deutsche Bank Group and Postbank and are reported in aggregate in section “Overall Risk
Position” of this report.
Liquidity Risk at Deutsche Bank Group (excluding Postbank)
Liquidity risk management safeguards our ability to meet all payment obligations when they come due. Our
liquidity risk management framework has been an important factor in maintaining adequate liquidity and in
managing our funding profile during 2010.