Under this calculation method, the result of Value at Risk is derived from both historical
market trends and the positions taken. Thanks to the intervention by governments and central
banks, the financial markets normalised after the first quarter of 2009, which is reflected in the
trend of the Value at Risk. In 2009, improvements were made to the calculation methodology
and changes were made to positions, books and activities.
40
10
0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
The Value at Risk can be broken down into a number of components, of which changes in
interest rates and credit spreads are the most important. Since opposite positions in different
books offset each other to a certain degree, this results in a diversification benefit that reduces
the total risk. At year-end 2009, the consolidated Value at Risk was EUR 27.3 million.
Breakdown of Value at Risk
(in millions of euros) 31-Dec-09
Credit spread15.0
Currency 0.7
Equities1.5
Interest rate22.0
Diversification-11.9
Total 27.3.
Besides Value at Risk, there are other important risk indicators for measuring market risk.
For example, the Basis Point Value indicates how the value of positions changes if the yield
curve shows a parallel increase by 1 basis point.These positions are shown for each
key currency in the table below.
Basis Point Value
(in millions of euros) 31-Dec-09
Euro0.12
US-0.24
UK-0.05
Australia-0.10
Japan0.07
Other-0.05
Operational risk
Rabobank defines operational risk as the risk of losses caused by inadequate or failing internal
processes, people or systems or by external events. This includes legal risks, but not strategic
business risks and reputation risk. The responsibility for operational risk management for the
entire Rabobank Group has been placed with Group Risk Management. This directorate sets
the policies and frameworks for all group entities. The responsibility for managing specific
operational risks rests with the senior management of the individual group entities, because
the risks differ considerably per entity and should be controlled as close to the source as
possible. Group Risk Management ensures that the frameworks are adhered to and that for
Rabobank Group as a whole the control mechanisms are transparent and easy to understand.
In addition, Rabobank Group operates within the frameworks of the Basel II Advanced
Measurement Approach for operational risks management. The Operational Risk Capital Model
