Contents Foreword Management report Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
A schematic overview of Rabobank's capital model is presented
in Figure 3.
Figure 3: Capital model.
Per business unit, business line and event type
Stand-alone Annual
loss distributions
Incident frequency
distributions
Internal loss data
RC and EC Group
Diversified Annual loss
distribution Group
RC and EC BUs
Incident severity
distributions
Scenario data
External loss
Internal loss
Perbusiness line and event type Per business unit
Incident frequency distributions Stand-alone Annual loss distributions
Poisson distribution Combination of frequency distribution and severity
Average frequencies determined using weighting method distribution using Monte Carlo
Incident severity distributions Diversified Annual loss distribution Group
Body: Empirical distribution Aggregation of stand-alone Annual loss distributions
Tail: Parameterised distribution using copula approach
Managing operational risks
edtf 31 The Operational Risk Committee is responsible for
ratifying the operational risk policy and its parameters
at Rabobank Group level. The primary responsibility for the
management of operational risk lies within the business, as it
should be fundamentally woven into their strategic and day-
to-day decision-making. Within the group entities, risk
management committees have an important role in identifying
and monitoring the operational risks of the entity.
These responsibilities are supported by Risk Management,
which provides oversight, tools, expertise and challenge to the
group entities and transparency throughout the Group and
towards senior management. OpRisk reports quarterly to the
RMC Group on Risk appetite and other developments with
impact for the group wide OpRisk profile.
344 Rabobank Annual Report 2016
