Samenvatting Algemene Opleiding Bankbedrijf - NIBE
Contents
1 Bankbedrijf .................................................................................................................................8
1.1 Activiteiten van banken kunnen worden onderverdeeld in 4 categorieën ..................................8
1.1.1 Activiteiten uit hoofde van transformatiefunctie ................................................................8
1.1.2 Diensten op het gebied van betalingsverkeer .....................................................................8
1.1.3 Bemiddelingsactiviteiten en overige dienstverlening. .........................................................9
1.1.4 Handel op de financiële markten ........................................................................................9
1.2 Klantklassificatie........................................................................................................................9
1.3 Recente ontwikkelingen ..........................................................................................................10
1.3.1 Vierde rapport van de monitoring commissie code banken...............................................10
1.3.2 Bankierseed ......................................................................................................................10
1.3.3 Het Nederlandse bankwezen na vijf jaar turbulentie .........................................................10
1.3.4 Naar een nieuw financieringsmodel voor het depositogarantiestelsel...............................11
1.3.5 Een nieuwe stap op weg naar beheersbare systeembanken..............................................11
2 Particuliere dienstverlening............................................................................................................12
2.1 Particuliere klantsegmenten ....................................................................................................12
2.2 Financieren .............................................................................................................................12
2.2.1 Woningfinanciering ..........................................................................................................12
2.2.2 Consumptief krediet .........................................................................................................13
2.3 Spaarproducten.......................................................................................................................13
2.3.1 Betaalrekening .................................................................................................................13
2.3.2 Spaarvormen met direct opneembare tegoed ..................................................................13
2.3.3 Spaarvormen met niet-direct opneembare tegoed ...........................................................14
2.3.4 Spaarvormen voor specifieke doelgroepen .......................................................................14
2.4 Banksparen .............................................................................................................................14
2.4.1 Eigenwoningschuld ...........................................................................................................14
2.4.2 Oudedagsvoorziening .......................................................................................................15
2.4.3 Stamrecht .........................................................................................................................15
2.4.4 Depositogarantiestelsel ....................................................................................................15
2.5 Betaaldiensten ........................................................................................................................15
2.6. bemiddelings- en adviesactiviteiten aan particuliere relaties: .................................................16
2.6.1 Beleggen ..........................................................................................................................16
2.6.2 Verzekeren .......................................................................................................................17
2.6.3 Financial planning.............................................................................................................17
1
,3 Zakelijke dienstverlening ................................................................................................................17
3.2 Zakelijke kredietverlening........................................................................................................17
3.2.1 Korte kredietverlening ......................................................................................................17
3.2.2 Middellange kredietverlening ...........................................................................................18
3.3 Beleggen van overtollige liquiditeiten ......................................................................................19
3.3.2 Certificates of deposit .......................................................................................................19
3.3.3 Geldmarktfondsen ............................................................................................................19
3.4 Betalen en cashmanagement ..................................................................................................19
3.4.3 Cashmanagement .............................................................................................................19
3.5 Bemiddelings- en adviesdiensten aan zakelijke relaties: ..........................................................20
3.5.1 Investmentbanking ...........................................................................................................20
3.5.2 Vermogensbeheer ............................................................................................................21
3.5.3 Trustactiviteiten ...............................................................................................................21
3.5.4 Verzekeringen ..................................................................................................................21
3.5.5 Regelen van employee benefits ........................................................................................21
3.5.6 Financieel risicobeheer .....................................................................................................21
4 Zakelijke betaalproducten ..............................................................................................................22
4.1.2 Producten voor inkomende betalingen op afstand............................................................22
4.1.3 Producten voor toonbankbetalingen (betaler en ontvanger bevinden zich op dezelfde
locatie) ......................................................................................................................................22
4.1.4 Producten voor internetbetalingen ...................................................................................22
4.1.5 Producten voor mobiele betalingen ..................................................................................22
4.2 Mondiale betalingen ...............................................................................................................22
4.3 Welke producten voor blanco betalingen zijn er? ....................................................................23
4.3.1 Internationale overschrijving ............................................................................................23
4.3.2 Handelscheques en Bankcheques .....................................................................................23
4.4 Hoe worden chequebetalingen door banken afgehandeld? .....................................................23
4.5. Welke producten voor documentaire betalingen zijn er?........................................................23
4.6 Welke documenten worden bij documentair betalingsverkeer gebruikt? ................................23
4.6.1 Handeldocumenten: ........................................................................................................24
4.6.2 Financiële documenten: ...................................................................................................24
5 Harmonisatie van het Europese Betalingsverkeer ...........................................................................24
5.1 Efficiënt Europees betalingsverkeer.........................................................................................24
5.2 Regels voor een open en transparante betaalmarkt ................................................................24
5.3 Grensoverschrijdende betalingen in Euro ................................................................................25
5.4.2 Betrokken partijen ............................................................................................................25
2
, 5.4.3 Producten en systemen ....................................................................................................26
5.6 Iban en Bic ..............................................................................................................................26
5.8 Verwerking IBAN BIC rekeningnummers ..................................................................................26
6 Interbancaire afwikkeling van betalingen .......................................................................................27
6.1 Laagaardige en hoogwaardige betalingen ................................................................................27
6.2 Verwerking van enkelvoudige en meervoudige betalingen (batches) .......................................27
6.3 Europese aanpak van clearing en settlement ...........................................................................28
6.3.1 Target 2 ............................................................................................................................28
6.3.2 EURO1 ..............................................................................................................................29
6.3.3 STEP1 ...............................................................................................................................31
6.3.4 STEP2 ...............................................................................................................................31
6.4 Afwikkeling van mondiale betalingen ......................................................................................32
6.5 Afwikkeling van valutatransacties ............................................................................................32
7 Macro-Economische Analyse..........................................................................................................33
7.1 Vraag naar producten..............................................................................................................33
7.2 Conjunctuur ............................................................................................................................33
7.2 Inflatie.....................................................................................................................................35
7.2.3 Gevolgen inflatie en deflatie .............................................................................................35
7.3 Rente ......................................................................................................................................35
7.3.3 Nominale en reële rente. ..................................................................................................36
7.3.4 Yieldcurve .........................................................................................................................36
7.4 Wisselkoersen .........................................................................................................................36
7.4.1 Oorzaken van langetermijnveranderingen in de wisselkoers .............................................36
7.4.2 Oorzaken van kortetermijnveranderingen in de wisselkoers .............................................36
7.4.3 Cijfers macro-economische ontwikkeling ..........................................................................36
7.4.5 Interventies ......................................................................................................................36
7.5 Gevolgen van macro-economische ontwikkelingen voor de beleggingscategorieën .................36
7.5.1 Gevolgen van economische groei......................................................................................36
7.5.2 Gevolgen inflatie ..............................................................................................................37
7.5.3 Gevolgen van renteveranderingen ....................................................................................37
7.5.4 Gevolgen van veranderingen wisselkoersen......................................................................37
8 Monetair Beleid van de Europese Centrale Bank ............................................................................38
8.1 Organisatie en taken van de Europese Centrale Bank ..............................................................38
8.2 Werking van monetair beleid van ECB .....................................................................................39
8.2.1 Permanent tekort op geldmarkt .......................................................................................39
8.2.2 Steunoperaties .................................................................................................................39
3
, 8.3 Officiële rentetarieven van de ECB ..........................................................................................40
8.4 Relatie tussen marktrente van de banken en de officiële tarieven van de ECB .........................40
9 Balans en resultatenrekening van een Bank ...................................................................................40
9.1 Balans .....................................................................................................................................40
9.2 Activa van Banken ...................................................................................................................41
9.2.1 Liquide middelen ..............................................................................................................41
9.2.2 Vorderingen op banken ........................................................................................................41
9.2.3 Kredieten .............................................................................................................................41
9.2.4 Beleggingen ......................................................................................................................41
9.2.5 Deelnemingen ..................................................................................................................42
9.2.6 Onroerende zaken en bedrijfsmiddelen. ...........................................................................42
9.2.7 Overige activa ...................................................................................................................42
9.3 Passiva van Banken .................................................................................................................42
9.3.1 Verplichtingen tegenover de handelsportefeuille .............................................................42
9.3.2 Verplichtingen aan banken ...............................................................................................42
9.3.3. Toevertrouwde middelen ................................................................................................42
9.3.4 Schuldbewijzen.................................................................................................................43
9.3.5 Voorzieningen ..................................................................................................................43
9.3.6 Achtergestelde schulden ..................................................................................................43
9.3.7 Minderheidsbelang ...........................................................................................................44
9.4 Het eigen vermogen ................................................................................................................44
9.5 Aansprakelijke groepsvermogen ..............................................................................................45
9.6 Leverage ratio .........................................................................................................................46
9.7 Risicotoesting door middel van toetsingsvermogen .................................................................46
9.10 Resultatenrekening ...............................................................................................................48
9.10.2 Provisieresultaat .............................................................................................................48
9.10.3 Resultaat uit financiële transactie ...................................................................................49
9.10.4 Personeelskosten ...........................................................................................................49
9.11 Overige financiële overzichten in jaarrekening ......................................................................49
9.12 Waarderingsgrondslagen .......................................................................................................49
10 Renteresultaat .............................................................................................................................49
10.1 Marktrentemethode .............................................................................................................49
10.1.1 Commercieel resultaat, matched result ..........................................................................49
10.1.2 Resultaat op niet-rentedragende activa en passiva .........................................................50
10.1.3 Transformatieresutaat, mismatched result .....................................................................50
10.2 Rentedragende bankproducten en verrekenrentes................................................................51
4
, 10.2.1 Vastgestelde rentelooptijd, aflossing in 1 keer ................................................................51
10.2.2 Vastgestelde rentelooptijd met aflossingsschema ...........................................................51
10.2.3 Producten met een optie element ..................................................................................51
11 Economic Capital..........................................................................................................................51
11.1 Twee redenen voor vermogen ...............................................................................................51
11.2 Economic capital ...................................................................................................................51
11.2.1 Risico, vermogen en rendementsmeting .............................................................................52
11.2.2 Rendement op het eigen vermogen ................................................................................52
11.3.1 Risk adjusted performance measures .............................................................................52
11.4 De selectie van de activiteiten ...............................................................................................53
12 Bancaire Risicobeleid ...................................................................................................................53
12.1 Soorten risico’s bij banken .....................................................................................................53
12.1.1 Solvabiliteitsrisico ...........................................................................................................53
12.1.2 Liquiditeitsrisico .............................................................................................................53
12.1.3 Marktrisico .....................................................................................................................54
12.1.4 Kredietrisico ...................................................................................................................54
12.1.5 Tegenpartijrisico .............................................................................................................54
12.1.6 Systeemrisico .................................................................................................................54
12.1.7 Renterisico .....................................................................................................................54
12.1.8 Juridische risico ..............................................................................................................54
12.1.9 Operationeel risico .........................................................................................................54
12.1.10 Reputatieschade ...........................................................................................................54
12.1.11 Strategische risico.........................................................................................................54
12.2 Het risicomanagementproces ................................................................................................55
12.2.2 Formulieren van beleid met betrekking tot risico’s .........................................................55
12.2.3 Vertalen van het beleid naar operationele maatregelen .................................................55
12.2.4 Het meten van risico.......................................................................................................55
12.3 De centrale risicocommissies van de bank .............................................................................56
12.3.2 Concern Krediet Commissie ............................................................................................56
12.3.3 Asset & Liability Commissie ............................................................................................56
12.3.4 Market Risk Commissie ...................................................................................................56
12.3.5 Operationeel Risk Commissie ..........................................................................................56
13 Kredietrisico .................................................................................................................................56
13.1 Soorten kredietrisico .............................................................................................................57
13.1.1 Debiteurenrisico .............................................................................................................57
13.1.2 Tegenpartijrisico .............................................................................................................57
5
, 13.1.3 Settlementrisico .............................................................................................................57
13.2 Indelen in risicoklassen en berekenen van risicofactoren .......................................................57
13.2.1 Indelen van tegenpartijen in risicoklassen .......................................................................57
13.2.2 Berekenen van de factoren die het kredietrisico bepalen ................................................58
13.2.3 Exposure at default.........................................................................................................58
13.3 De omvang van het kredietrisico ...........................................................................................58
13.3.1 Individuele contracten ....................................................................................................58
13.3.2 Verwachte verliezen op portefeuilleniveau .....................................................................59
13.3.3 Onverwachte verliezen ...................................................................................................59
13.4 Maatregelen om kredietrisico te beperken bij individuele tegenpartijen ...............................59
13.4.1 Acceptatie ......................................................................................................................59
13.4.2 Tegenpartijlimieten ........................................................................................................59
13.4.3 Zekerheden ....................................................................................................................59
13.4.4 Begeleiding .....................................................................................................................61
13.5 Beheren van risico krediet .....................................................................................................61
13.5.1 Kredietderivaten .............................................................................................................62
13.5.2 Securitisatie ....................................................................................................................62
14 Marktrisico...................................................................................................................................63
14.1 Handelsactiviteiten in de dealingroom ..................................................................................63
14.1.1 Posities ...........................................................................................................................63
14.1.2 Risico van het aanhouden van een positie.......................................................................63
14.2 Value at riskwaarde ...............................................................................................................64
14.2.1 Gekozen waarschijnlijkheidsinterval ...............................................................................64
14.2.2 Time to close position .....................................................................................................64
14.3 Backtesting............................................................................................................................64
14.4 Stresstests .............................................................................................................................64
14.5 Beheersen van marktrisico ....................................................................................................64
15 Operationeel risico .......................................................................................................................65
15.1 Risicofactoren van operationeel risico ...................................................................................65
15.1.1 Organisatie .....................................................................................................................65
15.2.1 Personeel .......................................................................................................................65
15.1.3 Informatietechnologie ....................................................................................................66
15.1.4 Externe factoren .............................................................................................................66
15.2 Verschillen in operationeel risico tussen bedrijfsonderdelen .................................................66
15.3 Meten van operationeel risico ...............................................................................................67
15.3.1 Kwalitatief meten ...........................................................................................................67
6
Contents
1 Bankbedrijf .................................................................................................................................8
1.1 Activiteiten van banken kunnen worden onderverdeeld in 4 categorieën ..................................8
1.1.1 Activiteiten uit hoofde van transformatiefunctie ................................................................8
1.1.2 Diensten op het gebied van betalingsverkeer .....................................................................8
1.1.3 Bemiddelingsactiviteiten en overige dienstverlening. .........................................................9
1.1.4 Handel op de financiële markten ........................................................................................9
1.2 Klantklassificatie........................................................................................................................9
1.3 Recente ontwikkelingen ..........................................................................................................10
1.3.1 Vierde rapport van de monitoring commissie code banken...............................................10
1.3.2 Bankierseed ......................................................................................................................10
1.3.3 Het Nederlandse bankwezen na vijf jaar turbulentie .........................................................10
1.3.4 Naar een nieuw financieringsmodel voor het depositogarantiestelsel...............................11
1.3.5 Een nieuwe stap op weg naar beheersbare systeembanken..............................................11
2 Particuliere dienstverlening............................................................................................................12
2.1 Particuliere klantsegmenten ....................................................................................................12
2.2 Financieren .............................................................................................................................12
2.2.1 Woningfinanciering ..........................................................................................................12
2.2.2 Consumptief krediet .........................................................................................................13
2.3 Spaarproducten.......................................................................................................................13
2.3.1 Betaalrekening .................................................................................................................13
2.3.2 Spaarvormen met direct opneembare tegoed ..................................................................13
2.3.3 Spaarvormen met niet-direct opneembare tegoed ...........................................................14
2.3.4 Spaarvormen voor specifieke doelgroepen .......................................................................14
2.4 Banksparen .............................................................................................................................14
2.4.1 Eigenwoningschuld ...........................................................................................................14
2.4.2 Oudedagsvoorziening .......................................................................................................15
2.4.3 Stamrecht .........................................................................................................................15
2.4.4 Depositogarantiestelsel ....................................................................................................15
2.5 Betaaldiensten ........................................................................................................................15
2.6. bemiddelings- en adviesactiviteiten aan particuliere relaties: .................................................16
2.6.1 Beleggen ..........................................................................................................................16
2.6.2 Verzekeren .......................................................................................................................17
2.6.3 Financial planning.............................................................................................................17
1
,3 Zakelijke dienstverlening ................................................................................................................17
3.2 Zakelijke kredietverlening........................................................................................................17
3.2.1 Korte kredietverlening ......................................................................................................17
3.2.2 Middellange kredietverlening ...........................................................................................18
3.3 Beleggen van overtollige liquiditeiten ......................................................................................19
3.3.2 Certificates of deposit .......................................................................................................19
3.3.3 Geldmarktfondsen ............................................................................................................19
3.4 Betalen en cashmanagement ..................................................................................................19
3.4.3 Cashmanagement .............................................................................................................19
3.5 Bemiddelings- en adviesdiensten aan zakelijke relaties: ..........................................................20
3.5.1 Investmentbanking ...........................................................................................................20
3.5.2 Vermogensbeheer ............................................................................................................21
3.5.3 Trustactiviteiten ...............................................................................................................21
3.5.4 Verzekeringen ..................................................................................................................21
3.5.5 Regelen van employee benefits ........................................................................................21
3.5.6 Financieel risicobeheer .....................................................................................................21
4 Zakelijke betaalproducten ..............................................................................................................22
4.1.2 Producten voor inkomende betalingen op afstand............................................................22
4.1.3 Producten voor toonbankbetalingen (betaler en ontvanger bevinden zich op dezelfde
locatie) ......................................................................................................................................22
4.1.4 Producten voor internetbetalingen ...................................................................................22
4.1.5 Producten voor mobiele betalingen ..................................................................................22
4.2 Mondiale betalingen ...............................................................................................................22
4.3 Welke producten voor blanco betalingen zijn er? ....................................................................23
4.3.1 Internationale overschrijving ............................................................................................23
4.3.2 Handelscheques en Bankcheques .....................................................................................23
4.4 Hoe worden chequebetalingen door banken afgehandeld? .....................................................23
4.5. Welke producten voor documentaire betalingen zijn er?........................................................23
4.6 Welke documenten worden bij documentair betalingsverkeer gebruikt? ................................23
4.6.1 Handeldocumenten: ........................................................................................................24
4.6.2 Financiële documenten: ...................................................................................................24
5 Harmonisatie van het Europese Betalingsverkeer ...........................................................................24
5.1 Efficiënt Europees betalingsverkeer.........................................................................................24
5.2 Regels voor een open en transparante betaalmarkt ................................................................24
5.3 Grensoverschrijdende betalingen in Euro ................................................................................25
5.4.2 Betrokken partijen ............................................................................................................25
2
, 5.4.3 Producten en systemen ....................................................................................................26
5.6 Iban en Bic ..............................................................................................................................26
5.8 Verwerking IBAN BIC rekeningnummers ..................................................................................26
6 Interbancaire afwikkeling van betalingen .......................................................................................27
6.1 Laagaardige en hoogwaardige betalingen ................................................................................27
6.2 Verwerking van enkelvoudige en meervoudige betalingen (batches) .......................................27
6.3 Europese aanpak van clearing en settlement ...........................................................................28
6.3.1 Target 2 ............................................................................................................................28
6.3.2 EURO1 ..............................................................................................................................29
6.3.3 STEP1 ...............................................................................................................................31
6.3.4 STEP2 ...............................................................................................................................31
6.4 Afwikkeling van mondiale betalingen ......................................................................................32
6.5 Afwikkeling van valutatransacties ............................................................................................32
7 Macro-Economische Analyse..........................................................................................................33
7.1 Vraag naar producten..............................................................................................................33
7.2 Conjunctuur ............................................................................................................................33
7.2 Inflatie.....................................................................................................................................35
7.2.3 Gevolgen inflatie en deflatie .............................................................................................35
7.3 Rente ......................................................................................................................................35
7.3.3 Nominale en reële rente. ..................................................................................................36
7.3.4 Yieldcurve .........................................................................................................................36
7.4 Wisselkoersen .........................................................................................................................36
7.4.1 Oorzaken van langetermijnveranderingen in de wisselkoers .............................................36
7.4.2 Oorzaken van kortetermijnveranderingen in de wisselkoers .............................................36
7.4.3 Cijfers macro-economische ontwikkeling ..........................................................................36
7.4.5 Interventies ......................................................................................................................36
7.5 Gevolgen van macro-economische ontwikkelingen voor de beleggingscategorieën .................36
7.5.1 Gevolgen van economische groei......................................................................................36
7.5.2 Gevolgen inflatie ..............................................................................................................37
7.5.3 Gevolgen van renteveranderingen ....................................................................................37
7.5.4 Gevolgen van veranderingen wisselkoersen......................................................................37
8 Monetair Beleid van de Europese Centrale Bank ............................................................................38
8.1 Organisatie en taken van de Europese Centrale Bank ..............................................................38
8.2 Werking van monetair beleid van ECB .....................................................................................39
8.2.1 Permanent tekort op geldmarkt .......................................................................................39
8.2.2 Steunoperaties .................................................................................................................39
3
, 8.3 Officiële rentetarieven van de ECB ..........................................................................................40
8.4 Relatie tussen marktrente van de banken en de officiële tarieven van de ECB .........................40
9 Balans en resultatenrekening van een Bank ...................................................................................40
9.1 Balans .....................................................................................................................................40
9.2 Activa van Banken ...................................................................................................................41
9.2.1 Liquide middelen ..............................................................................................................41
9.2.2 Vorderingen op banken ........................................................................................................41
9.2.3 Kredieten .............................................................................................................................41
9.2.4 Beleggingen ......................................................................................................................41
9.2.5 Deelnemingen ..................................................................................................................42
9.2.6 Onroerende zaken en bedrijfsmiddelen. ...........................................................................42
9.2.7 Overige activa ...................................................................................................................42
9.3 Passiva van Banken .................................................................................................................42
9.3.1 Verplichtingen tegenover de handelsportefeuille .............................................................42
9.3.2 Verplichtingen aan banken ...............................................................................................42
9.3.3. Toevertrouwde middelen ................................................................................................42
9.3.4 Schuldbewijzen.................................................................................................................43
9.3.5 Voorzieningen ..................................................................................................................43
9.3.6 Achtergestelde schulden ..................................................................................................43
9.3.7 Minderheidsbelang ...........................................................................................................44
9.4 Het eigen vermogen ................................................................................................................44
9.5 Aansprakelijke groepsvermogen ..............................................................................................45
9.6 Leverage ratio .........................................................................................................................46
9.7 Risicotoesting door middel van toetsingsvermogen .................................................................46
9.10 Resultatenrekening ...............................................................................................................48
9.10.2 Provisieresultaat .............................................................................................................48
9.10.3 Resultaat uit financiële transactie ...................................................................................49
9.10.4 Personeelskosten ...........................................................................................................49
9.11 Overige financiële overzichten in jaarrekening ......................................................................49
9.12 Waarderingsgrondslagen .......................................................................................................49
10 Renteresultaat .............................................................................................................................49
10.1 Marktrentemethode .............................................................................................................49
10.1.1 Commercieel resultaat, matched result ..........................................................................49
10.1.2 Resultaat op niet-rentedragende activa en passiva .........................................................50
10.1.3 Transformatieresutaat, mismatched result .....................................................................50
10.2 Rentedragende bankproducten en verrekenrentes................................................................51
4
, 10.2.1 Vastgestelde rentelooptijd, aflossing in 1 keer ................................................................51
10.2.2 Vastgestelde rentelooptijd met aflossingsschema ...........................................................51
10.2.3 Producten met een optie element ..................................................................................51
11 Economic Capital..........................................................................................................................51
11.1 Twee redenen voor vermogen ...............................................................................................51
11.2 Economic capital ...................................................................................................................51
11.2.1 Risico, vermogen en rendementsmeting .............................................................................52
11.2.2 Rendement op het eigen vermogen ................................................................................52
11.3.1 Risk adjusted performance measures .............................................................................52
11.4 De selectie van de activiteiten ...............................................................................................53
12 Bancaire Risicobeleid ...................................................................................................................53
12.1 Soorten risico’s bij banken .....................................................................................................53
12.1.1 Solvabiliteitsrisico ...........................................................................................................53
12.1.2 Liquiditeitsrisico .............................................................................................................53
12.1.3 Marktrisico .....................................................................................................................54
12.1.4 Kredietrisico ...................................................................................................................54
12.1.5 Tegenpartijrisico .............................................................................................................54
12.1.6 Systeemrisico .................................................................................................................54
12.1.7 Renterisico .....................................................................................................................54
12.1.8 Juridische risico ..............................................................................................................54
12.1.9 Operationeel risico .........................................................................................................54
12.1.10 Reputatieschade ...........................................................................................................54
12.1.11 Strategische risico.........................................................................................................54
12.2 Het risicomanagementproces ................................................................................................55
12.2.2 Formulieren van beleid met betrekking tot risico’s .........................................................55
12.2.3 Vertalen van het beleid naar operationele maatregelen .................................................55
12.2.4 Het meten van risico.......................................................................................................55
12.3 De centrale risicocommissies van de bank .............................................................................56
12.3.2 Concern Krediet Commissie ............................................................................................56
12.3.3 Asset & Liability Commissie ............................................................................................56
12.3.4 Market Risk Commissie ...................................................................................................56
12.3.5 Operationeel Risk Commissie ..........................................................................................56
13 Kredietrisico .................................................................................................................................56
13.1 Soorten kredietrisico .............................................................................................................57
13.1.1 Debiteurenrisico .............................................................................................................57
13.1.2 Tegenpartijrisico .............................................................................................................57
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, 13.1.3 Settlementrisico .............................................................................................................57
13.2 Indelen in risicoklassen en berekenen van risicofactoren .......................................................57
13.2.1 Indelen van tegenpartijen in risicoklassen .......................................................................57
13.2.2 Berekenen van de factoren die het kredietrisico bepalen ................................................58
13.2.3 Exposure at default.........................................................................................................58
13.3 De omvang van het kredietrisico ...........................................................................................58
13.3.1 Individuele contracten ....................................................................................................58
13.3.2 Verwachte verliezen op portefeuilleniveau .....................................................................59
13.3.3 Onverwachte verliezen ...................................................................................................59
13.4 Maatregelen om kredietrisico te beperken bij individuele tegenpartijen ...............................59
13.4.1 Acceptatie ......................................................................................................................59
13.4.2 Tegenpartijlimieten ........................................................................................................59
13.4.3 Zekerheden ....................................................................................................................59
13.4.4 Begeleiding .....................................................................................................................61
13.5 Beheren van risico krediet .....................................................................................................61
13.5.1 Kredietderivaten .............................................................................................................62
13.5.2 Securitisatie ....................................................................................................................62
14 Marktrisico...................................................................................................................................63
14.1 Handelsactiviteiten in de dealingroom ..................................................................................63
14.1.1 Posities ...........................................................................................................................63
14.1.2 Risico van het aanhouden van een positie.......................................................................63
14.2 Value at riskwaarde ...............................................................................................................64
14.2.1 Gekozen waarschijnlijkheidsinterval ...............................................................................64
14.2.2 Time to close position .....................................................................................................64
14.3 Backtesting............................................................................................................................64
14.4 Stresstests .............................................................................................................................64
14.5 Beheersen van marktrisico ....................................................................................................64
15 Operationeel risico .......................................................................................................................65
15.1 Risicofactoren van operationeel risico ...................................................................................65
15.1.1 Organisatie .....................................................................................................................65
15.2.1 Personeel .......................................................................................................................65
15.1.3 Informatietechnologie ....................................................................................................66
15.1.4 Externe factoren .............................................................................................................66
15.2 Verschillen in operationeel risico tussen bedrijfsonderdelen .................................................66
15.3 Meten van operationeel risico ...............................................................................................67
15.3.1 Kwalitatief meten ...........................................................................................................67
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