entire - Deutsche Bank Annual Report 2012

Deutsche Bank 01 – Management Report 116
Financial Report 2010 Risk Report
Overall Risk Position
To determine our overall (nonregulatory) risk position, we generally consider diversification benefits across risk
types except for business risk, which we aggregate by simple addition.
The table below shows our overall risk position as measured by the economic capital usage calculated for
credit, market, operational and business risk for the dates specified.
in € m. Dec 31, 2010 Dec 31, 2009
Economic capital usage
Credit risk 12,785 7,453
Market Risk 13,160 12,515
Trading market risk 6,420 4,613
Nontrading market risk 6,740 7,902
Operational risk 3,682 3,493
Diversification benefit across credit, market and operational risk (3,534) (3,166)
Sub-total credit, market and operational risk 26,093 20,295
Business risk 1,085 501
Total economic capital usage 27,178 20,796
As of December 31, 2010, our economic capital usage totaled € 27.2 billion, which is € 6.4 billion, or 31 %,
above the € 20.8 billion economic capital usage as of December 31, 2009. The increase in economic capital
usage includes the effects of the acquisitions of Postbank, Sal. Oppenheim/BHF-BANK and parts of ABN AMRO’s
commercial banking activities in the Netherlands, as well as exposure increases and the effects of various model
refinements for the calculation of economic capital for credit risk and trading market risk.
The December 31, 2010, economic capital usage included € 4.6 billion in relation to Postbank, which has been
calculated on a basis consistent with Deutsche Bank methodology, however, limitations in data availability may
lead to portfolio effects that are not fully estimated and thereby resulting in over or under estimation. For December
31, 2009, € 4.2 billion economic capital usage was included for Postbank.
Our economic capital usage for credit risk totaled € 12.8 billion as of December 31, 2010. The increase of
€ 5.3 billion, or 72 %, was principally driven by acquisitions. The consolidation of Postbank as well as of Sal.
Oppenheim and parts of ABN AMRO’s commercial banking activities in the Netherlands increased the economic
capital usage by € 3.7 billion. The other changes reflected exposure increases, refinements of the credit risk
model and the effect from regular recalibrations of the credit risk parameters.
Our economic capital usage for market risk increased by € 645 million, or 5 %, to € 13.2 billion as of December
31, 2010. The increase was driven by trading market risk, which increased by € 1.8 billion, or 39 %, primarily
reflecting model improvements. Nontrading market risk economic capital usage decreased by € 1.2 billion, or
15 %, reflecting the elimination of our former Postbank equity investment upon consolidation of Postbank’s
assets on our balance sheet, which reduced the economic capital usage by € 3.3 billion net. This decrease was
partly offset by changes in other nontrading market risk of € 1.8 billion and by the acquisition of Sal. Oppenheim,
which contributed a further € 313 million.