The financial market regulatory requirements with respect to quantitative risk management, which arise from Pillar II, are fulfilled by 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 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 LLB Group is in a position to bear potential losses.
For the purpose of the calculation of its risk-bearing capacity, 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, LLB Group applies the values from the basic indicator approach of Pillar I and adjusts them by adding a risk premium.
LLB Group’s financial strength should remain unimpaired by fluctuations on the capital market. Scenario analyses and stress tests are employed to simulate external influences and assess their impact on equity capital. Where necessary, measures are taken to mitigate risks.