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Banks

Development of loss default models to calculate impairment provisions

  • Development of models which make it possible to estimate the probability of default (PD) parameters and of loss given default (LGD) parameters, including analysis of the bank’s available statistics of loan development history and experience with collateral recovery

Analysis of the bank’s approach to evaluating loan loss provisions

  • Analysis of the bank’s methodology of evaluating loan loss provisions for their compliance to the requirements of IAS 39 and market best practices
  • Review the bank’s calculations and analysis of loan development statistics
  • Development of necessary recommendations aimed at improving the bank’s methodology and calculations

Development of methodology for evaluating loan loss provisions in compliance with the requirements of IAS 39

  • Assessment of credit default risk on the bank’s loan portfolio
  • Alternative assessment of the bank’s credit default risk and the amount of impairment provisions in accordance with the directives of IAS 39

Benchmarking of the bank’s provision rates

  • Comparison of the bank’s provision rates to the current market rates
  • Benchmarking of the probability of default (PD) and loss given default (LGD) parameters.
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