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.

Economic capital usage by risk type

 

in € m.

Jun 30, 2010

Dec 31, 2009

Credit risk

9,025

7,453

Market Risk

13,679

12,515

Trading market risk

4,474

4,613

Nontrading market risk

9,205

7,902

Operational risk

3,707

3,493

Diversification benefit across credit, market and operational risk

(3,408)

(3,166)

Economic capital usage for credit, market and operational risk

23,003

20,295

Business risk

817

501

Total economic capital usage

23,820

20,796

As of June 30, 2010, our economic capital usage totaled € 23.8 billion, which is € 3 billion, or 15 %, above the € 20.8 billion economic capital usage as of December 31, 2009. The overall higher economic capital usage can be explained by increases in credit risk and nontrading market risk. The increase in credit risk economic capital usage of € 1.6 billion for the first half of 2010 primarily reflects the acquisition of Sal. Oppenheim Group and parts of ABN AMRO’s commercial banking activities in the Netherlands as well as increases in relation to derivatives. The nontrading market risk economic capital usage increased by € 1.3 billion in the first half of 2010 reflecting the acquisition of Sal. Oppenheim Group, higher real estate exposure as well as a change in our management approach for structural foreign exchange risk.

A primary measure we use to assess our risk bearing capacity is a ratio of our active book equity divided by the economic capital plus goodwill and intangibles. A ratio of more than 100 % signifies that the active book equity adequately exceeds the aforementioned risk positions. This ratio was 114 % as of June 30, 2010, compared to 118 % as of December 31, 2009, as effects from the acquisition of Sal. Oppenheim Group and parts of ABN AMRO’s commercial banking activities in the Netherlands overcompensated an increase of active book equity through retained earnings and foreign exchange effects.

Service Functions

Download PDF (Management Report , 303 kB) Download XLS (Economic capital usage by risk type, 17 kB) add this file to your file library

Download pdf

Download xls

Add file

Print

e-mail