Raiffeisenbank implemented a system for calculation of value of credit risk

2019: System implementation for calculation of value of credit risk

On February 26, 2019 it became known that at the request of Raiffeisenbank the SAS company jointly with specialists of bank implemented a system for calculation of value of credit risk (RWA) taking into account specifics of each tool according to Provision of the Bank of Russia 483-P according to requirements of not retail segment. The value of credit risk is used for the purpose of calculation of the capital adequacy ratio (H1.0).

Application of TAC approach allows Raiffeisenbank to lower capital consumption at the expense of high-quality the loan portfolio. In the first year decrease in value of credit risk will be 10% concerning the value of the credit risk according to credit requirements to corporate clients calculated on the standardized approach from the second and further — 20%. By own estimates of bank, the amount of the saved capital at the beginning of 2019 will be 9.5 billion rubles that about 80 are equivalent bp to an indicator of capital adequacy of H1.0 — comment in Raiffeisenbank.

The constructed system allows to calculate risk of each asset (transaction) using available for bank risk parameters which the bank estimates on the basis of own internal models. A system it is possible to scale for calculation of others risk metrics, client segments and requirements. During the project, in addition to directly functionality for calculation of value of credit risk of not retail portfolio taking into account specifics of each tool and difficult requirements of the regulator, the subsystem for collecting and accumulation of detailed data on an active part of not retail portfolio was implemented. In cooperation with a command of bank specialists of SAS developed the additional functionality specific to the Russian market and regulation. Also in a system opportunities for conducting stress testing – assessment of sensitivity of RWA to change of input data were put. Regarding observance of requirements of the regulator important that a system provides a complete audiruyemost and validation of the digits received during calculations.

The constructed system successfully underwent testing for compliance to requirements of the regulator. Since February 1, 2019 Raiffeisenbank got permission to use own models for assessment of credit risk for the purpose of calculation of capital adequacy for requirements of a corporate segment from the Bank of Russia.

For February 26, 2019 Raiffeisenbank prepares for transition to application of TAC on a retail segment of credit requirements. By a bank inquiry specialists of SAS expanded functionality of a system for carrying out calculations for this segment.

Implementation of advanced approach – an important step for banks which seriously treat the reputation and building of internal processes of risk management. Considering sensitivity of TAC to a business cycle, banks in the main weight do not hurry to use advanced approach in the regulatory purposes. At the same time for own purposes many use the systems of internal ratings for a long time. Nevertheless, we see that banks with historically strong risk culture and also subsidiaries of European Banks aim at transition to advanced approach. It is necessary for further development risk management. The example of Raiffeisenbank in this sense is important for a banking system. Svetlana Belous, the head of practice on risk management of SAS Russia - the CIS

2014: Implementation of SAS Customer Decision Hub

in Raiffeisenbank SAS Customer Decision Hub where such solutions as SAS Marketing Automation and SAS Marketing Optimization entered was implemented

Contractor: SAS Russia

Project terms: March is September, 2014