DHL 2001 Annual Report Download - page 146
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146
– Credit risk
The Bank defines credit risk as possible losses aris-
ing from the failure or unwillingness of customers
to discharge their payment obligations (default
risk), or from a deterioration in creditworthiness.
The default risk results from the potential partial or
complete default by a borrower or a counterparty
on contractually assured payments. By contrast,
the creditworthiness (credit standing) risk results
from the potential loss in the value of receivables in
the event of deterioration in the Bank’s borrowers’
or counterparties’ financial position.
– Country risk
The country risk describes the transfer risk inherent
in cross-border payments that arises from the will-
ingness to pay (political risk) and ability to pay
(economic risk) of a country due to its national
sovereignty.Where funds are loaned abroad, the
relevant country risk must be reflected in addition
to the specific or credit risk in that country.
– Settlement risk
Settlement risk is the risk arising to the Bank from
default in the settlement of obligations or untimely
performance at Deutsche Postbank AG either direct-
ly or indirectly as an agent for customers or third
parties.
•Price risk
Price risk arises primarily from open positions in
interest rate, currency and equity products; these
products are subject to both specific and general
market fluctuations. In addition to general price
risk, financial instruments may also be subject to
issuer risks.
The measurement of Deutsche Postbank AG’s
price risk uses the value-at-risk method, with
a holding period of ten trading days and a 99%
confidence level assumed for the portfolios.The
probability that a loss will not exceed the computed
risk within ten days is 99%.
The following values at risk were calculated using
these parameters for the trading book portfolios of
Deutsche Postbank AG as of December 31, 2001:
Values at risk of trading book portfolios
Value at risk at Dec. 31, 2001 3.51 2.06 0.51 3.95
Minimum value at risk 2001 0.25 1.17 0.19 2.21
Maximum value at risk 2001 5.25 7.05 6.29 7.02
Average value at risk 2001 2.62 2.69 0.98 3.83
Value at risk at Dec. 31, 2000 0.54 3.99 - 3.99
Minimum value at risk 2000 0.19 0.13 - 0.48
Maximum value at risk 2000 1.64 10.16 - 10.18
Average value at risk 2000 0.8 1.68 - 2.03
Trading by
Postbank
Interna-
tional
Total trading
book incl.
correlation
Interest rate
trading
Money market
Capital
markets
incl. equity
trading
Financial markets
in €m