Sberbank to apply Internal Ratings-Based Approach to credit risk assessment
OREANDA-NEWS. November 27, 2017. The Bank of Russia reviewed Sberbank’s application for the application of credit risk management banking methods and credit risk quantity evaluation models for assessing the extent of credit risk on the basis of the Internal Ratings-Based Approach for the purposes of calculating the capital adequacy ratio.
Based on results of the review, the Bank of Russia’s Committee on Banking Supervision issued Sberbank a permit to apply the Internal Ratings-Based Approach with respect to credit requirements for legal entities and individuals according to the submitted application.
The introduction of the Internal Ratings-Based Approach means internal models can be used to evaluate credit risk components during the calculation of capital adequacy requirements. This approach is based on the internationally recognised capital adequacy assessment standards developed by the Basel Committee on Banking Supervision and reflected in the Basel II Accords (2006).
The permit will come into force on January 1, 2018, after Sberbank’s Supervisory Board makes a decision on the application of the Internal Ratings-Based Approach. The transition to the Internal Ratings-Based Approach will allow Sberbank to make more accurate capital adequacy calculations in terms of credit risk and to implement a system of strategic business management taking into account capital consumption according to the best global practices.
Sberbank is the first Russian bank to successfully implement an internal ratings-based approach.
The application was submitted by Sberbank on October 1, 2015, when Regulation of the Bank of Russia #483-P “On the Order of Calculating the Credit Risk on the Basis of Internal Ratings” came into force.
Effective interaction with the Bank of Russia during the audit and approval of methods and models allowed Sberbank to considerably improve the quality of its ratings systems, data, and credit risk management processes. The final audit act and respective decision of the Bank of Russia’s Committee on Banking Supervision shows that the Bank’s risk management system, internal models for credit risk assessment, corporate governance systems, data and IT systems comply with the regulator’s standards.