The Importance of Reliable PD Models in Asset Quality Reviews

Asset Quality Reviews (AQR) are crucial for the banking sector, especially during periods of high volatility. They help financial regulators identify and manage the quality of banks’ assets, including the adequacy of asset valuation and related provisions. In AQR it is important to have reliable models to accurately assess credit risk since it involves a comprehensive evaluation of a bank's loan portfolio, including the risk of loan defaults and the adequacy of loan loss reserves.

To obtain reliable estimates of probability of default (PD), you must follow the key standards for developing rating models. At the same time, it is important to have consistent assessments and be able to explain how you obtained the results. Among the topics speaker Timur Abilkassymov will cover are:

• The path from the first full-scale AQR in Kazakhstan to regular annual reviews
• The role of PD rating model – ARES in AQR
• ARES model description
• Results of the ARES in AQR 2022

Details

April 24, 2023
5:00 PM - 6:00 PM

Online
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