Operational risk In 2010, the Value at Risk fluctuated between EUR 9 million and EUR 18 million, the average being EUR 14 million.This means that a maximum loss of EUR 18 million can be expected on a single day under normal circumstances, subject to a confidence level of 97.5%. Under this calculation method, the Value at Risk is based on both historical market trends and the positions taken. The fall in the Value at Risk compared with 2009 was due in part to improvements in the calculation methods and changes in positions, books and activities. 20 14. 6 4 2 0 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Value at Risk can be broken down into a number of components, the most important of which are changes in interest rates and credit spreads. Opposite positions in different books offset each other to a certain degree, resulting in a diversification benefit and reducing the total risk. At year-end 2010, the consolidated Value at Risk was EUR 16.0 million. Breakdown of Value at Risk (in millions of euros) 31-Dec-10 Credit spread 4.5 Currency 0.5 Equities 1.3 Interest rate 16.5 Commodities 0.6 Diversification -7.4 Total 16.0 Besides Value at Risk, other risk indicators are also important for measuring market risk. For example, the BPV indicates the change in the value of positions if there is a parallel increase in the yield curve of one basis point. The table below shows these positions for each key currency. Basis point value (in millions of euros) 31-Dec-10 Furo -0.5 US dollar -0.2 Pound sterling -0.2 Australian dollar -0.2 Japanese yen -0.1 Other -0.2 Rabobank follows the Basel II definition of operational risk, which is the risk of losses caused by inadequate or failing internal processes, people or systems or by external events. It includes legal and reputation risks, but not strategic business risks. Rabobank Group operates within the frameworks of the Basel II Advanced Measurement Approach as regards measuring and managing operational risk.

Rabobank Bronnenarchief

Annual Reports Rabobank | 2010 | | pagina 67