entire - Deutsche Bank Annual Report 2012

Deutsche Bank 01 – Management Report 93
Financial Report 2010 Risk Report
During the course of 2010 we also implemented significant methodology enhancements to our economic capital
model, including the following:
— Extension of stress tests for securitization and correlation risk
— Improved granularity for equity dividend and stock borrow risk
— Enhanced coverage of basis risks
Our stress testing results and economic capital estimations are necessarily limited by the number of stress
tests executed and the fact that not all downside scenarios can be predicted and simulated. While our risk
managers have used their best judgment to define worst case scenarios based upon the knowledge of past
extreme market moves, it is possible for our market risk positions to lose more value than even our economic
capital estimates. We also continuously assess and refine our stress tests in an effort to ensure they capture
material risks as well as reflect possible extreme market moves.
Postbank also performs scenario analyses and stress tests in addition to the value-at-risk calculations. The
assumptions underlying the stress tests are validated on an ongoing basis.
Value-at-Risk of Trading Units of Our Corporate & Investment Bank Group Division
The following table shows the value-at-risk (with a 99 % confidence level and a one-day holding period) of the
trading units of our Corporate & Investment Bank Group Division but excluding the value-at-risk of Postbank.
Our trading market risk outside of these units excluding Postbank is immaterial. “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 Dec 31, 2009
Value-at-risk of trading units
Interest rate risk 77.4 111.0
Equity price risk 21.3 37.0
Foreign exchange risk 29.0 23.9
Commodity price risk 13.3 14.8
Diversification effect (70.1) (65.7)
Total 70.9 121.0
The following table shows the maximum, minimum and average value-at-risk (with a 99 % confidence level and
a one-day holding period) of the trading units of our Corporate & Investment Bank Group Division for the periods
specified excluding the value-at-risk of Postbank.
Value-at-risk
of trading
units Total Diversification effect Interest rate risk Equity price risk
Foreign
exchange risk Commodity price risk
in € m. 2010 2009 2010 2009 2010 2009 2010 2009 2010 2009 2010 2009
Average 95.6 126.8 (48.6) (61.6) 86.8 117.6 21.9 26.9 22.9 28.7 12.7 15.1
Maximum 126.4 180.1 (88.5) (112.3) 113.0 169.2 33.6 47.3 46.4 64.4 21.2 34.7
Minimum 67.5 91.9 (26.4) (35.9) 65.8 83.2 13.6 14.5 10.8 11.9 6.2 8.5