Gref: a New approach to the assessment of credit risk, Sberbank will save billions of rubles
Sberbank SBER until 2020 plans to convert about 85% of the loan portfolio to the advanced approach risk assessment based on internal ratings (IRB-approach), the saving due to this, hundreds of billions of rubles, told journalists the head of the largest Russian Bank Herman Gref.
Earlier on Monday, the CBR said that gave permission to Sberbank to apply from 1 January 2018 advanced IRB approach in calculating capital adequacy ratios. Validation by experts of the Bank of Russia rating systems of the savings Bank lasted more than two years, said the regulator.
“From 1 January next year, we are still, most likely, the only Bank that will move to the advanced approach. What it gives us? On the first level capital savings of approximately 0.2 percentage points of capital on total capital is about 0.4 percentage points of savings. We are now moving to the advanced approach by approximately 58% of our credit portfolio”, – said Gref.
“But by 2020, we want to translate about 85% of our portfolio, and overall savings capital can be up to 0,8-1 percentage point. A lot of money, hundreds of billions of rubles”, – added the head of Sberbank.CBR has allowed Sberbank 2018 go to the risk assessment based on internal ratings
“For us, it saves costs, is to increase the profitability of our business and, of course, opportunities for lower rates for our customers,” added Gref.
The Central Bank from 1 October 2015 allowed banks to use IRB approaches. IRB-approach is applied by banks to assess credit risks based on internal ratings of the Bank. There is a Foundation IRB approach under which banks themselves determine only the probability of default, and the remaining parameters are determined by the regulator, and advanced IRB approach in which banks determine all the parameters of the risk yourself. Yet to apply for migrating to advanced approach banks with assets of more than 500 billion rubles. This hike is stipulated by the standards of “Basel II”.