T1 Innotech automated credit risk calculation at VTB

2024: Import substitution of the credit risk calculation system

T1 Innotech] import substitutionIT- A system for calculating risks under crediting c. VTB The domestic RWA calculator allows you to make complex credit risk calculations twice as fast as the previous Western system and rely on the modern modular IT architecture. The Holding T1 announced this on October 30, 2024.

The Russian solution eliminated the architectural problems of the foreign system with which VTB previously worked. Due to this, duplication of data storage is excluded, credit risk calculation flows are parallelized. In addition, the software product contains two modules for evaluation - both according to a standardized method and using an internal rating (TEC) approach. The use of the calculator allows you to monitor in detail the dynamics of credit risk and effects from the use of TAP - for this, modules for analyzing the dynamics of the RWA indicator and conducting scenario analysis of results are implemented.

In accordance with the requirements of the Central Bank of the Russian Federation, by 2030, a PVR approach should be introduced in all systemically important banks to calculate credit risks. The RWA calculator from T1 Innotech is designed with these regulatory requirements in mind and is regularly updated in accordance with regulatory changes. A product created using Open source components, a solution put into commercial operation. It is distinguished by flexible settings of algorithms for calculating indicators in accordance with Bank of Russia Instruction 199-I and Regulation 483-p.

Correct automated calculation of credit risk is one of the most difficult tasks of implementing the TAP approach. Using the RWA calculator, we can perform daily calculations in parallel with standardized and PVR approaches across all asset segments, ensuring complete convergence between the two methods. This allows you to carefully analyze the dynamics and factors affecting the value of RWA, as well as successfully maintain a dialogue with the regulator based on detailed forms of PVR reporting. Thanks to this system, we can more effectively manage credit risks and ensure the high quality of the loan portfolio, - said Maxim Kondratenko, member of the board of VTB Bank.

[банки Банкам] It is important to maintain its financial stability - to fulfill this task, we offer them a range of risk management products. One of them is the RWA calculator, which was introduced into VTB. At the design stage, it incorporated a modular architecture that provides functional flexibility and allows you to adapt the solution to market changes and regulatory requirements. We continue to develop the capabilities of the calculator, ensure its compliance with regulatory requirements in order to offer it to other players in the financial industry and support systemically important banks in the transition to a PVR approach, "said Dmitry Kharitonov, CEO of T1 Innotekh, First Deputy General Director of T1 Holding].