Commerzbank Aktiengesellschaft - CMVM

52 MANAGEMENT REPORT
Risk report
Contents
I. Risk-oriented overall management of Commerzbank 53
1) Risk-policy principles 53
2) Risk categories 53
3) Integration of risk and capital management
into the Bank’s overall management 54
II. Risk-management/risk-control organization 56
1) Risk control 57
2) Risk management: the operative credit function (back office) 58
3) Risk management: operative risk-steering
of market units (front office) 59
4) Internal risk reporting 59
5) Internal auditing 59
6) Implementation of developments in supervision: Basel II and MaK 60
III. Risk-control/risk-management process 61
1) Monitoring and controlling credit risk 61
Internal rating system 61
Quantification of credit-portfolio risk 63
Credit-approval powers 65
Monitoring of credit risk for trading activities 65
Development of risk and risk provisioning 66
Country risk 67
Sectoral and bulk risks 68
Use of credit derivatives 68
Securitization transactions 69
Reporting for credit risk 69
2) Monitoring and controlling market risk 71
Value-at-risk approach 71
Back-testing 72
Stress testing and sensitivity analysis 73
Interest-rate risk 73
Procedure for setting and monitoring limits 74
Reporting for market risk 74
3) Monitoring and controlling equity holding risk 74
4) Monitoring and controlling liquidity risk 75
Liquidity risk 75
Liquidity-risk measurement 76
Market-liquidity risk 76
5) Monitoring and controlling operational risk 76
Operational risk management framework 76
Operational risk methods 77
Business contingency and continuity planning 77
6) Monitoring and controlling business risk 78
7) Monitoring and controlling legal risk 78
8) Monitoring and controlling strategic risk 78
9) Monitoring and controlling reputational risk 78
IV. Summary and outlook 79