«International Banking Conference MMBA» was hosted in Astrakhan on October 7-10, 2015 , organized by the Moscow International Currency Association (MICA). This event was attended by 125 representatives of banks and financial institutions from Russia, CIS countries, Europe and the United States. Elena Rozanova, Advisor to the General Director of «RISKFIN» gave a report on «Regulation of risk management in banks: Beauty will save you capital models». Elena spoke about recent changes in the regulation relating to risk management systems and capital, she also touched numerous problems of banks associated with the implementation of these requirements. In spite of the gradual development of risk management, many market participants within VPODK regulations should do significant work within short period of time related to the adaptation of existing approaches to the development strategy of the bank, taking into account the risks, changes in the organizational structure, improving evaluation procedures and interbank documentation for risk analysis, calculation risk appetite and capital adequacy.
Special attention of the speech was paid to creation, adequacy and justification of the use of risk assessment methodologies. As an example, the process of development and validation was analyzed, as well as the results of calculations of one of the models included in the software package «RISKFIN. Financial Analysis and Risk Management» scoring models «Risk Filtr.Bank (Russian Federation), designed to predict defaults, building internal, reservation and assessment of capital at risk.
Elena noted that doubts about the reliability of the reporting banks and the importance of quality indicators (such as the reputation of managers and owners), which can not be taken into account in the model without expert review could lead to the conclusion that the scoring based on a limited set of data does not make sense.
However, the validation methodology has shown that, even in these conditions, the quality of the model can be within the acceptable scope, which allows to use it in practice, while meeting the requirements of the regulator. Flexible settings, including account expert assessments, enable users to further increase the predictive and distinctive ability of the model that can be used in credit, as well as in other organizations of the financial market and the real economy for the purpose of assessing counterparty banks.
