Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Stress test activities Stress tests occur in many forms and shapes with different scopes. The currenttypes of stress tests that are executed within Rabobank can be categorised by a variety of determinants: By scope (firm-wide, thematic/BU transcending, business unit, local capital stresstest) By initiator (external versus internal); By type (bottom-up, top-down, reverse stress test). Within capital stress testing, the impact of severe but plausible scenarios on the financial position of Rabobank is evaluated. For this evaluation, the balance sheet, risk exposure amounts and profit loss statement and their components are stressed in order to see what the impact of a scenario is. In order to stress these different components, stress testing focuses on different types of risk, each with their own stress test model. The main stress test models focus on credit risk, market risk, net interest income, operational risk and non-interest income. Stress test process Figure 1Stress test process. The overall stress test process can be summarised as shown in Figure 1Scenarios consist of, amongst others, a set of regular macroeconomic scenarios, thematic regulator- provided scenarios, scenarios generated as a result of risk identification, reverse scenarios, and ad hoc scenarios. In the various internal and external scenarios both macro-economic and non-macroeconomic factors are taken into account. The macro-economic factors include economic growth, unemployment, inflation, interest rates, share prices and real estate prices. Once a scenario is generated, quantitative stress test models are used to determine the impact of the scenario on the financials of Rabobank Note that the stress test models are subject to review from model validation. Results are used for sound risk management within Rabobank Group, this includes in links to the: budget, capital plan, risk appetite statement and integrated risk report. Clear governance and a data and supporting infrastructure are essential in the stress test process. In 2016 an internal firm-wide stress test and an external firm-wide stress test were performed as part of the SREP process. In addition, an internal firm-wide stress test was performed on the mid-year figures; a thematic stress test was performed on the Brazil portfolio, and a reverse stress test was executed. Finally, several business unit and local stress tests were performed. 1. Governance 2. Scenario 3. Methodology 4. Execution 5. Use of results generation Top-down ST Bottom-up ST Reverse ST 6. Data and supporting infrasctructure 318 Rabobank Jaarverslag 2016

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Jaarverslagen Rabobank | 2016 | | pagina 319