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      We help banks, insurance companies, and financial institutions address the most complex challenges in risk management, regulatory compliance, and financial transformation. Our expertise covers the full credit risk lifecycle — from the development and validation of models (PD, LGD, EAD) and asset quality assessment to IRB implementation and compliance with IFRS 9 and Basel III/IV requirements. We support clients in capital and liquidity management (ICAAP/ILAAP) and treasury transformation initiatives. In the area of operational risk and resilience, we help organizations build assessment and control frameworks, manage third-party risks, strengthen risk culture, and ensure business operational resilience. A separate focus area is ESG integration and climate stress testing. Within the insurance sector, we support IFRS 17 and Solvency II implementation, provide actuarial services, and conduct quantitative risk analysis. Our approach combines deep methodological expertise with a practical understanding of the regulatory environment, enabling clients not only to meet compliance requirements but also to make better decisions driven by risk data.

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      Find out how KPMG's expertise can help you and your company.

      Our Services

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      Credit Risk and Risk Modeling

      • Development and Validation of Credit Risk Models: Development, calibration, and independent validation of PD, LGD, EAD, and CCF models for corporate, SME, and retail borrowers. Assessment of model risk in line with regulatory requirements.
      • AQR and Stress Testing: Asset Quality Review (AQR) in accordance with ECB methodology and support in regulatory AQR/STB procedures, including assistance with the implementation of remediation actions.
      • IRB (Basel III/IV): Support for IRB readiness and approval processes, including gap analysis, methodology development, model validation, and regulatory interaction.
      • IFRS 9: Assessment and validation of ECL models, staging methodologies, macroeconomic overlays, and scenario analysis.
      • Underwriting and Credit Analytics: Enhancement of credit underwriting processes and development of management reporting for credit risk monitoring and portfolio performance analysis.
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      ESG and Climate Risk

      • Integration of ESG Factors into Risk Management Frameworks: Climate stress testing (including NGFS scenarios), assessment of physical and transition risks, and support for TCFD/CSRD disclosures and regulatory reporting.
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      Advanced Analytics

      • Development and Validation of Behavioral, Business, and Marketing Models, including prepayment, attrition, CLTV, Next Best Offer, and other advanced analytics solutions.
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      Operational Risk and Resilience

      • Operational Risk and Capital Assessment: Identification, measurement, and assessment of operational risk, including the calculation of its impact on regulatory and economic capital under Basel III/IV (SMA).
      • Data Analytics and Control Systems: Analysis of loss data, Key Risk Indicators (KRIs), and internal control systems; development of monitoring and reporting tools; and maintenance of risk registers.
      • Operational Resilience, Product Risk, and Third-Party Risk: Assessment of operational resilience, management of outsourcing and supply chain risks, and analysis of product-related risks.
      • Risk Culture and Conduct Risk: Assessment and enhancement of risk culture, including evaluation of conduct risk and incentive structures in line with regulatory expectations.
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      Capital, Liquidity, and Financial Transformation

      • ICAAP / ILAAP: Development and implementation of internal capital and liquidity adequacy assessment processes, including methodology design and integration into management decision-making.
      • Treasury and FTP: Development of Funds Transfer Pricing (FTP) frameworks, risk-based product pricing (RAROC/RoRWA), and optimization of ALM and cost allocation processes.
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      Insurance and Actuarial Services

      • IFRS 17: Development of methodology and implementation of reporting solutions, including accounting entries in line with regulatory requirements.
      • Solvency II: Implementation of risk management requirements, calculation of SCR/MCR, and calibration of stress parameters.
      • Actuarial Services: Cash flow modeling, product pricing, and valuation of employee benefit obligations under IAS 19.

      Industry Expertise

      • Banking Sector
      • Insurance
      • Other Financial Services:

        Services for other financial sector participants: leasing, microfinance, payment services, investment, fintech and pension services, as well as brokerage and dealer services

      • Oil & Gas and Mining Industry
      • Energy and Utilities
      • Transport, Logistics, and Telecommunications
      • Industrials, Retail, and Real Estate
      • Public Sector / Government Authorities
      • Other Industries

      Contacts

      Timur  Omashev

      Partner, Head of Consulting Department
      KPMG Caucasus and Central Asia
      E: TOmashev@kpmg.kz

      Аnton Mokeev

      Director,
      Financial Risk Management practice
      KPMG Caucasus and Central Asia
      E: amokeev@kpmg.kz

      Dinara Maksumova

      Associate Director,
      Financial Risk Management Practice
      KPMG Caucasus and Central Asia
      E: dmaksumova@kpmg.az