The financial market regulatory requirements with respect to quantitative risk management, which arise from Pillar II and the consultation paper on the implementation of the Internal Capital Adequacy Assessment Process (ICAAP), are fulfilled by the LLB Group by, among other measures, the conducting of a risk-bearing capacity calculation. The objective of the risk-bearing capacity calculation is to ensure the continued existence of the LLB Group. In line with this objective, the adequacy of the Group’s capital resources is tested using internal models. The results attained with the individual risk types are aggregated in a total risk potential and are compared with the capital available to cover these potential losses. This process enables the extent to be determined to which the LLB Group is in a position to bear potential losses.
For the purpose of the calculation of its risk-bearing capacity, the LLB Group employs a value-at-risk approach with a confidence level of 99.9 percent and a holding duration of one year. Correlations between the individual risk types are not considered. To underpin operational risks, the LLB Group applies the values from the basic indicator approach of Pillar I and adjusts them by adding a risk premium.