Quantitative finance (IFRS 9, IRB, Scoring)

In an increasingly demanding regulatory environment, and faced with the increasing volatility of the markets, the banks have since the financial crisis a strong need to equip themselves internally with calculation and modeling the risks to which they are exposed.

Submit request for proposal

The financial crisis of 2008 revealed a weak resilience of banks and other market participants faced with a brutal deterioration of the economic situation. In order to overcome this fragility in a stressed environment, the regulatory framework as well as the accounting standards have evolved considerably, becoming more and more demanding.

By supporting banking institutions in the implementation of these requirements, we have implemented a proven approach adapted to each step of setting up a risk measurement and management system.

Thus, we offer to assist you in setting up:

Modelling - Mazars consultants develop a wide range of models for financial institutions, allowing you to assess and monitor credit risk. Models are driven on both the internal and external data.

Analytics and Research - Our Quant team can perform all types of analysis in the field of credit risk management. We employ a wide range of methods for risk analysis, starting from basic econometric methods to state-of-the-art machine learning and artificial intelligence algorithms. 

Training - Mazars consultants train clients to develop models for assessing credit risk components. We are glad to provide you with a key set of analytical and practical tools so you can independently develop models in Excel, MatLab, Python and R.

IFRS 9 compliance:

Mazars in Russia has in-depth knowledge and experience in IFRS 9 implementation projects. Developing tailor-made methodologies and calculation tools (both on-premise and cloud) for:

  • Staging;
  • Segmentation of the portfolio;
  • Transition matrices assessment;
  • TTC (through-the-cycle) and PIT (point-in-time) probability of default (PD);
  • TTC and PIT loss given default (LGD);
  • Exposure at default modeling. 

* mandatory fields


I agree with the processing of my personal data by JSC Mazars (registered office: floor 2, office 3, 5, bld. 19, Nizhny Susalny pereulok, 105064, Moscow), “Mazars Audit” LLC (registered office: floor 2, office 12, 5, bld. 19, Nizhny Susalny pereulok, 105064, Moscow), hereinafter together referred to as “Mazars Russia”, when I:
(1) Visit Mazars Russia website and use its functionality;
(2) Tick “I Agree” box when completing web forms of Mazars Russia;
By providing my consent, I authorize Mazars Russia to process my personal data indicated in the respective web forms of Mazars Russia as well as the data obtained during my website visits and use of its functionality.
Mazars Russia may process my personal data to achieve one or several purposes as follows:
(1) dealing with my requests (proposals, feedback, claims, acknowledgments) including transfer of my request to member firms of Mazars https://www.mazars.com/Home/About-us/Serving-our-clients-worldwide to which it may relate and providing informational support;
(2) building up a database of subscribers to newsletters sent out by Mazars Russia and other member firms of Mazars, and updates on events organized by Mazars Russia and/or other member firms of Mazars as well as conducting surveys by Mazars Russia and Mazars;
(3) providing service proposals by Mazars Russia and other member firms of Mazars.
I agree to processing of my personal data using both automated and non-automated means, namely to obtaining my personal data, as described above, recording, alignment, accumulation, storage, adaptation (updating, alteration), retrieval, use, transfer (transmission, making available), pseudonymization, restriction, erasure or destruction of my personal data.
Mazars Russia may transfer my personal data solely to the member firms of Mazars, which may include cross-border transfer of my personal data to countries that do not provide adequate protection for personal data subjects’ rights to their personal data.
My personal data with respect to which this consent is granted may include:
(1) Full name;
(2) Name of my employer;
(3) My job position;
(4) Contact email;
(5) Contact phone number
(6) Other business contact details, as I may wish to provide to Mazars Russia.

This Consent is valid as of its provision and continues until its withdrawal**.

**You may recall this Consent in accordance with Article 9 of Federal Law No. 152-FZ “On Personal Data” of 27.07.2006 by sending a written request to Mazars Russia.