COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 243
187
157 213 Key developments in 2011
159 215 Risk-oriented overall bank management
163 219 Default risk
178 234 Intensive care
182 238 Market risk
187 243 Liquidity risk
190 246 Operational risk
192 248 Other risks
195 251 Outlook
Liquidity risk
Liquidity risk is defined in the narrower sense as the risk that Commerzbank will be unable
to meet its payment obligations on a day-to-day basis. In a broader sense, liquidity risk is the
risk that future payments cannot be funded as and when they fall due, in full, in the correct
currency and at standard market conditions.
Management and monitoring
Group Treasury at Commerzbank is responsible for managing liquidity risks. Additional
information on this subject can be found in the section “Liquidity and Funding of
Commerzbank Group” in the Group Management Report. Liquidity risks occurring over the
course of the year are monitored by the independent risk function using an internal bank
liquidity risk model. Key decisions on liquidity risk management and monitoring are made
by the Group Asset Liability Committee (ALCO). At the operating level, additional subcommittees
are responsible for dealing with liquidity risk issues at a local level and with
methodological issues regarding the quantification and limitation of liquidity risks that are of
lesser significance for the Group.
Quantification and stress testing
The internal bank liquidity risk model is the basis for liquidity management and reporting to
the Board of Managing Directors. In relation to a reference date the risk measurement
approach calculates the available net liquidity (ANL) for the next twelve months based on
various scenarios. Commerzbank’s available net liquidity is calculated for various stress
scenarios using the following three components: deterministic, i.e. contractually agreed cash
flows (forward cash exposure, FCE), statistically expected economic cash flows for the
relevant scenario (dynamic trade strategy, DTS), and the realisable assets in the relevant
scenario (balance sheet liquidity, BSL).
The stress scenario used by management which underlies the modelling allows for the
impact of both a bank-specific stress event and a broader market crisis when calculating
liquidity and setting limits. This stress scenario is derived from the risk tolerance which was
determined in accordance with the overall risk strategy. This also includes the definition of
scenarios that are no longer covered by risk tolerance.
› Group Management Report
Page 85 f.
Group Risk Report