On the methodological approach to assessing the credit risk of a corporate borrower

The article is devoted to the problem of improving the quality of financial assessment of corporate borrowers in the current conditions. The plans of the regulator regarding the mandatory transition to the IRB approach for systemically important banks are outlined, the difficulties associated with this transition are identified. The requirement of the regulator on the application of parallel action of two methods of asset valuation - prudential and accounting, related to the introduction of the IFRS 9 standard, is reflected. The problem of the existence of disparate approaches of banks to the application of the model of expected credit losses is indicated. The existing shortcomings in the bank’s methodology for assessing a corporate borrower are identified, and the need to expand the evaluation factors for calculating the prudential reserve is voiced. Additional macroeconomic forecast and external indicators are proposed for implementation in bank rating models. The results of experimental calculations in relation to individual largest corporate borrowers of different industries with the reflection of corrective actions are demonstrated.