Inhoudsopgave Bestuursverslag Corporate governance Jaarrekening Rabobank Groep Jaarrekening Rabobank
Value at Risk
in millions of euros
50
40
30
20
10
0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Figure 5: VaR overview (1 -day, 97.5% confidence).
Table 49 shows that the VaR can be broken down into
a number of components, of which changes in interest rates
and credit spreads are the most important. Trading positions
in different portfolios offset each other to a certain degree.
This is because valuations of positions in different portfolios can
move in opposite directions given certain market movements.
This results in a diversification benefit that reduces total risk.
The VaR is the result of both historical market volatility and the
positions taken.
Table 49: VaR (1 day, 97.5%)
VaR (1 day97.5%)
Interest
Foreign
Credit currencies
Shares
Commodities
Diversification
Total
2015-31 December
4
1 0
0
0
(1)
5
2015 - average
4
1 0
1
0
N/A
5
2015 - highest
8
2 1
1
1
N/A
9
2015 - lowest
2
1 0
0
0
N/A
3
Stressed Value at Risk (stressed VaR)
According to the regulations stressed VaR replicates a VaR
calculation for the bank's current portfolio using historical
scenarios based on a one year stressed period. The period
that Rabobank uses for stressed VaR runs from 5 June 2008
until 4 June 2009.This was the most stressful year during the
recent global financial crisis. Analysis showed that historical
market data movements in this period generated the largest
losses given the positions in Rabobank's trading portfolios.
The stressed VaR period is reviewed every month. In case it
appears that market movements in another historical one
year period cause the largest losses, the stressed VaR period is
changed to that period.The period has not changed during
the year.
Figure 5 shows the development of market risk during 2015,
as measured by the stressed VaR with a 10-day holding period
and a 99% confidence level. In 2015, the stressed VaR fluctuated
between 15 and 56, the average being 37.
Figure 6: Stressed VaR overview (10-day, 99% confidence).
Stressed VaR overview
in millions of euros
60
40
0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
367 9. Market risk
