BAKU, Azerbaijan, July 19. Professional
dialogue between the banking supervisory authorities of Kazakhstan
and Azerbaijan is continuing to strengthen, the External
Communications Department of Kazakhstan's Agency for Regulation and
Development of the Financial Market told Trend.
"As part of a recent working visit by a delegation from the
Central Bank of the Republic of Azerbaijan, the Agency for
Regulation and Development of the Financial Market of the Republic
of Kazakhstan conducted information and training sessions on
risk-based supervision, Asset Quality Review (AQR), Supervisory
Stress Testing (SST), Model Risk Management (MRM), and the
application of modern digital technologies in supervisory
activities," the agency said.
According to the agency, a significant part of the program was
devoted to Asset Quality Review (AQR) and Supervisory Stress
Testing (SST) as key tools of risk-based supervision.
"Agency representatives presented the methodological approaches
used in conducting AQR and SST, including their relationship with
International Financial Reporting Standard IFRS 9, data collection
and analysis processes, the development of stress scenarios,
expected credit loss assessment, approaches to analyzing credit
risks for individual and collective loan portfolios, foreign
exchange and market risks, as well as the use of AQR and SST
results to adjust regulatory indicators, determine supervisory
requirements, and establish capital buffers. During the practical
sessions, the templates, models, and analytical tools used in
conducting AQR and SST were demonstrated," the agency said.
The agency added that a separate part of the program focused on
Model Risk Management (MRM). The Azerbaijani delegation was
introduced to the agency's supervisory expectations regarding
banks' model risk management frameworks, the results of the first
assessments of these systems, approaches to establishing a
centralized model inventory, and the most common deficiencies
identified during supervisory reviews. Examples of interactive
supervisory reporting were also presented.
In addition, agency representatives demonstrated analytical
tools for the early identification of risks, including an AI-based
model used to assess credit risk concentration.
The press service noted that the practical part of the program
also included demonstrations of digital supervisory tools,
including centralized dashboards for monitoring key banking sector
indicators, solutions for analyzing loan portfolios, and tools for
detecting signs of artificial loan restructuring.
Moreover, it was also emphasized that, as part of the
digitalization of supervisory processes, participants were
introduced to the use of artificial intelligence technologies in
supervisory activities. In particular, demonstrations covered
natural language-based solutions for accessing supervisory data and
information systems, as well as specialized AI agents designed to
improve the efficiency of supervisory analysis and the processing
of supervisory information.
"The visit contributed to strengthening the professional
dialogue between the supervisory authorities of Kazakhstan and
Azerbaijan and identified promising areas for further cooperation
in banking regulation, supervision, and the application of modern
technological solutions," the agency said.
