The Agency held a conference on AQR and SST on the AlmaU University campus

On June 23, AlmaU University held its annual conference, dedicated to conducting regular Asset Quality Review (AQR) and Supervisory Stress Testing (SST). The participants of the conference were representatives of the banking community, audit companies and international financial organizations.

Opening the conference, Ivan Moisov, Director of the Banking Analytics and Stress Testing Department of the Agency, emphasized the importance of the regular AQR and SST as key tools of risk-based supervision.

In 2022, 10 large banks, whose assets account for 71% of the banking sector, were included in the assessment. Despite the difficult geopolitical situation and external challenges, the AQR and SST 2022 results confirmed the overall stability of the banking system. This stability is the result of efforts to strengthen the sector and introduce risk-based supervision.

Within the framework of the conference, the Agency highlighted many topical issues, including the features of its developed asset quality review (AQR) models, approaches to calculation of expected credit losses on off-balance sheet liabilities, as well as issues of diagnostics of supervisory stress testing models with a focus on credit risk assessment. One of the important topics of discussion was the application of the Merton-Vasicek model in the context of supervisory stress testing.

The Agency also provided recommendations to banks on how to successfully pass the AQR and supervisory stress testing. Key elements of these recommendations include the need for banks to have internal controls over the accuracy and quality of data provided, as well as established interaction between different departments with clearly defined responsibilities.

In addition, the Agency emphasized the importance of a high level of automation of banking processes and the ability to store large amounts of data. These factors contribute not only to the simplification of interaction with the Agency, but also reduce the time of supervisory procedures, improve the accuracy of results and optimize the use of bank resources.

The recommendations and conclusions of the conference elicited an active response from the participants, which confirms their significance and relevance for the banking sector.

The conference is held for the second time to facilitate interaction during regular AQR and stress testing, to increase the general level of understanding and competence in this area. The regulator expressed confidence that such events will become a permanent platform for exchange of experience in risk assessment.

 

External Communications Office

+7 (727) 237 1089, press@finreg.kz