COMMERZBANK AKTIENGESELLSCHAFT

Group Financial Statements
352
296 Commerzbank Annual Report 2011
Risk Management
(83) Risk management
Risk management is an essential component of all Commerzbank
business processes and is designed to support the management
of the bank. Risks are identified, measured and then
managed and monitored in line with the Bank’s risk appetite.
Commerzbank defines risk as the danger of possible losses or
profits foregone due to internal or external factors. In risk
management we normally distinguish between quantifiable risks
– those to which a value can normally be attached in financial
statements or in regulatory capital requirements – and nonquantifiable
types of risk such as reputational and compliance
risk.
The Bank’s Chief Risk Officer (CRO) is responsible for
implementing the Group’s risk policy guidelines for quantifiable
risks laid down by the Board of Managing Directors. The CRO
regularly reports to the Board of Managing Directors and the
Risk Committee of the Supervisory Board on the overall risk
situation within the Group.
(84) Default risk
The Commerzbank rating and scoring methods, in use for all key
credit portfolios, form the basis for measuring default risks. Both
the calibration of the probabilities of default assigned to
individual counterparties or loans and the evaluation of collateral
Rating breakdown
The Commerzbank rating method comprises 25 rating levels for
loans not in default (1.0 to 5.8) and 5 default classes (6.1 to 6.5).
The Commerzbank master scale allocates a non-overlapping
range of probabilities of default that are stable over time to each
Risk management activities are split between Credit Risk
Management, Market Risk Management, Intensive Care and Risk
Controlling, and Capital Management, all of which span across
the group and report directly to the CRO. The heads of these
four risk management divisions together with the CRO make up
the Risk Management Board within Group Management.
The Chairman of the Board of Managing Directors (CEO)
bears responsibility for controlling risks related to the Bank’s
business strategy and reputational risks. The Chief Financial
Officer (CFO) assumes responsibility for controlling compliance
risk with particular regard to investor protection, insider
guidelines and money laundering. The nature and scale of the
risks arising from financial instruments are set out in the risk
report.
are based on an analysis of historical data from the
Commerzbank portfolio. The basis for the annual recalibration of
the methods is the experience of the current year.
rating class. The rating methods are subject to annual validation
and recalibration so that they reflect the latest projection based
on all actual observed defaults.