4.3 Risk management framework
4.4 Risk Measurement
Inhoudsopgave Bestuursverslag Corporate governance
The RMC Group delegates specific risk management tasks to
a number of subcommittees which have the following missions:
RMC Wholesale Rural Retail (RMC WRR) - RMC WRR
is the primary second line of defence management
committee of Wholesale Rural Retail (WRR), acting with
delegated authority of the Group RMC as the arbiter on the
measurement of risk and guardian of the risk taken by WRR.
Risk coverage includes liquidity risk (both short- and long-
term), balance sheet risk, market risk, customer credit risk,
portfolio management/risk aspects including credit profiles
and credit risk appetite, and operational risk. RMC WRR's
scope excludes compliance risk, reputational risk, tax risk and
legal risk.
RMC Retail NL -The primary second line of defence,
management committee of Rabobank Retail, acting with
delegated authority of the RMC Group as the arbiter on the
measurement of risk and guardian of risk taken by Rabobank
Retail NL.
RMCTreasury Rabobank Group (RMCTRG) -The primary
second line of defence management committee ofTRG.
RMCTRG acts with delegated authority of the RMC Group
Committee. The committee is responsible for the monitoring
ofTRG's financial risk profile, reviewing of its activities and
use of risk limits and amendments to financial markets
risk policies and risk measurement methodologies related
toTRG activities. In addition the RMCTRG also has credit
and impairment approval authority with regard to theTRG
Non-Core portfolio.
Country Limits Committee (CLC) - Advises the RMC Group
and the Executive Board on Country Risk policy and decides
on Country Limits within its authority.
Non-Financial Risk Committee (NFRC) -The primary second
line of defence for all Non-Financial Risk(NFR), acting with
delegated authority of the RMC from which it drives its
authority and to which it regularly reports. The NFRC governs
the NFR management framework, monitors the effectiveness
of NFR management, acts as an arbiter on the measurement
of NFR and is guardian of NFR taken by the Group.The NFRC
serves as a regular forum for discussion of Non-Financial
Risk matters.
Regulatory Oversight Committee (ROC) - Monitors and
oversees changes of the global regulatory environment
affecting the group.The committee is responsible for
the internal allocation, the high level monitoring of the
implementation and embedding of these changes. The ROC
is a forum for ensuring that the RMC and Executive Board are
aware of group-wide regulatory issues.
Model Governance Committee (MGC) - Ensures oversight
and control on material model risks and takes decisions
accordingly. The models and the reviews thereof that are
Jaarrekening Rabobank Groep Jaarrekening Rabobank
submitted to the committee should be approved by the
Senior Management of the relevant entity of Rabobank and
be validated by Risk Management-Model Validation (RM-MV)
prior to submission to MGC.
The Supervisory Board, supported by the Supervisory Board
Risk Committee (SB RC), is responsible for the supervision of
the Executive Board with regard to the risk policy pursued, risk
management, and the associated risk profile. Risk Management
provides the Supervisory Board and SB RC with risk-related
information
Rabobank identifies and manages the risks it incurs on
an ongoing basis.This has led to a comprehensive risk
management framework, which includes for example
determining the risk appetite, stress-testing, risk assessments for
each group entity and for the Group as a whole, and measuring
and monitoring risks.
The mission of the risk management framework of Rabobank
is, to ensure that risks are adequately assessed and managed.
Procedures are needed to identify, assess, monitor, report risks
and to drive risk mitigation and/or escalation when required.
Risk identification is part of developing the risk strategy,
defining risk appetite, implementing strategic choices and
regular operational activities.
edtf4 There is a strong interdependence between events in
the environment of the bank and the applicable risks.
Risks do not occur in isolation but are interconnected and may
even mutually reinforce each other. Recent history has shown
that extreme risks can occur as well. Rabobank has a tradition
and culture of prudent risk taking and careful implementation
of strategic decisions. Rabobank considers relevant risks when
deciding on strategic choices and organises its processes to
further improve its client services. Regulatory requirements are
implemented and are monitored continuously.
4.4.1 Risk models and model validation
Rabobank develops and uses risk models for most risk types.
The models for credit, market and operational risk are the
most widely used. Models are developed by the modelling
departments in close cooperation with the relevant business
and risk experts. In principle, models are reviewed annually.
325 4. Risk management
