SPECIAL ASPECTS OF IFRS 9 APPLICATION BY CREDIT GUARANTEE FUNDS IN DEVELOPING COUNTRIES

Year 2019, Issue: 82, 46 - 60, 01.08.2019

Malik-aidar Abakirov Syrgak Abakirov Emil Avazov Erkin Baialieva Mahabat Kazieva Reina Kurmankojoeva Elmira Mamytova

Abstract

The article is devoted to the experience of guarantee funds operating in developing countries in implementation and application of IFRS 9 (as in the case of OJSC “Guarantee Fund” in the Kyrgyz Republic), as well as the methods and approaches for assessment of the guarantee risks and loan/guarantee losses under IFRS 9 standard. The key points and important aspects of IFRS 9 are outlined and, in particular, the results of the standard implementation by OJSC “Guarantee Fund” are presented. The article explains the models to estimate the probability of default by borrowers and counterparties of guarantee funds and approaches to calculate expected credit losses on the guarantee portfolio and financial assets, as well as describes approaches developed by OJSC “Guarantee Fund” to assess the probability of default by commercial banks and establish their internal ratings.

Keywords

IFRS 9, financial instrument, expected credit losses, model of expected credit/guarantee losses, probability of default

ОСОБЕННОСТИ ПРИМЕНЕНИЯ СТАНДАРТА МСФО-9 В ГАРАНТИЙНЫХ ФОНДАХ РАЗВИВАЮЩИХСЯ СТРАН

Abstract

Статья посвящена опыту внедрения и применения стандарта МСФО-9 в гарантийных фондах развивающихся стран (на примере ОАО «Гарантийный Фонд» в Кыргызской Республике), а также методам и подходам к оценке гарантийных рисков и кредитных/гарантийных потерь в рамках стандарта МСФО-9. В статье описаны ключевые моменты и важные аспекты стандарта МСФО-9 и, в частности, результаты внедрения данного стандарта в ОАО «Гарантийный Фонд». Предложены модели оценки вероятности наступления дефолта заѐмщиков и контрагентов гарантийных фондов и подходы к расчѐту ожидаемых кредитных убытков по гарантийному портфелю и финансовым активам, рассмотрены разработанные в ОАО «Гарантийный Фонд» подходы к оценке вероятности дефолта коммерческих банков и построению их внутренних рейтингов.

Keywords

МСФО-9, финансовый инструмент, ожидаемые кредитные убытки, модель ожидаемых кредитных/гарантийных убытков, вероятность дефолта

References

• Abakirov, M., Abakirov, S. Access of small and medium enterprises to finances. – Bishkek: Guarantee fund, 2019.
• Astana Economic Forum, 2017.
• Credit Guarantee Corporations Law of Japan.
• Resolution of the national Bank of the Kyrgyz Republic, 2018.
• KPMG. Implementation of IFRS 9 in the banking sector of the Republic of Belarus. 2018.
• BAI Audit Company. Report on audit of Guarantee Fund OJSC for 2018. 2019.
• International Financial Reporting Standard (IFRS) 9 Financial Instruments.
• Podlich, N., Illyasov, D., Tsoy, E., Shaikh, Sh. Methodology of stress test for the Kazakh banking system”, IFO Working Papers #85, Institute for Economic Research at the University of Munich, 2010.
• Reports on financial stability of Kazakhstan for 2012-2014 and 2015-2017, NBRK.
• Review of financial stability for 2012 - 2018(QI-II), CBRF.
• Kazarian, E., Ferrari, A., et al. Stress Testing the Banking Sector of Georgia - Technical Note”. IMF-WB FSAP, 2015.
• Totmyanina, K.M. Analytical methods in risk management: Review of default probability models // Financial risk management. – 2011. – № 01(25).
• Grigorain, D., Melecky, M., et al. Stress Testing the Banking Sector of Tajikistan: Technical Note”. IMF-WB FSAP, 2016.
• Jakubik, P., Gersl, A., Konecny, T., Seidler, J. Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector used by the Czech National Bank // Czech Journal of Economics and Finance. – 2013. – № 6, 63.
• Basel Committee on Banking Supervision – International Convergence of Capital Measurement and Capital Standards: Specific framework, June 2004, Bank for international settlements. – Mode of access: https://web.archive.org/web/20120617075545/http://www.cbr.ru/today/ms/bn/Basel.pdf.
• Basel Committee on Banking Supervision – “An Explanatory Note on the Basel II IRB Risk Weight Functions”, July 2005. Bank for international settlements. – Mode of access: https://www.bis.org/bcbs/irbriskweight.pdf.
• Methods of creating provisions on financial assets according to IFRS in Guarantee Fund OJSC, Bishkek, 2018.
• Social and economic situation in the Kyrgyz Republic for 2014-2018, NSC KR.
• Bulletin of the National Bank of the Kyrgyz Republic for 2008-2018, NBKR.
• Report on the financial sector stability of the Kyrgyz Republic for 2013-2018, NBKR.