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