The Bank of Russia has approved Sberbank, VTB and Alfa-Bank to use their own models to calculate the debt burden indicator (PD) for consumer loans.
In June of this year, large retail banks can send for validation to the Bank of Russia a model for assessing the income of citizens when providing a consumer loan of up to 1 million rubles. If approved, banks can use them to calculate the borrower’s PD. To do this, the models must be built on a sample of more than 100 thousand borrowers, be accurate and rank the risk of non-repayment of the loan depending on the level of debt burden.
In June, the Bank of Russia received notifications from Sberbank, VTB and Alfa-Bank about the readiness to use models, on November 2, the regulator recognized the permissible use of a model approach by them. The models make it possible to estimate the borrower’s income more accurately than the current simplified approaches for calculating personal income tax (based on per capita income or data from credit bureaus).
The Bank of Russia will regularly evaluate the quality of the approved models.
A source: https://cbr.ru/press/event/?id=17179
