Welcome to

Auriscon

Consulting that provides real world solutions and effective advisory.

Services

provided by Auriscon

covers service areas in Credit Risk Analytics, including development, validation and review.

Solutions

from Auriscon

are rooted in subject matter expertise, with coverage of Credit Analytics for Financial Institutions - including methodologies and programming -, and Marketing Analytics for selected clients.

The approach

combines holistic agendas and subject matter expertise

achieved through experience and supported by a strong analytical and technical background.

Models are subject to a regular validation cycle, with emphasis given to a thorough model backtesting and benchmarking. Validation testing also requires review of conceptual soundness and is often informed by threshold breaches from Model monitoring. Benchmarking to challenger Models and external data provides additional crucial insights when validating Model adequacy. Auriscon specializes in Validation of Credit Risk Models with challenger Models and indpendent replication.  

The ongoing trend in using quantitative models for decision making prompted institutions and regulatory authorities to establish stricter rules on model risk management. Examples of this continuing expansion can be found in various model using areas e.g. the use of algorithms for trade execution in Securities Trading, the use of decision models in Credit Risk Analytics. Financial risk areas like Credit, Market or Compliance Risk entail model use cases with exposure to Model Risk. 

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Main Menu

Consulting Service

Methods

Concepts & Advisory

Methodology, Processes, Risk Assessments, Risk Governance

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Analytics & Development

Credit Risk, Analytics, Validations, Model Risk

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Review & Compliance

Credit Risk, Model Risk, Technical Standards, Basel Compliance

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Tools & IT

BPMA, VISIO, R www.r-project.org, IDE RStudio, VBA, MS Office, VenSim,

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Projects & Clients

2026, Consultancy, London

Programming Credit Portfolio and Stress Testing Model libraries. Advising on Strategic Consulting, Marketing and Sales. 

2021-2025, HSBC, London HQ

Supporting Model Risk Audit function on technical auditing pertaining to model risk aspects across global businesses and functions.

2022, Japanese Investment Bank, London

Advising regional Audit function on thematic aspects pertaining to the Validation of Models used for Securities Pricing and Risk Measurement. 

2021, Scotia, Ireland

Suitability assessment of Scotia Bank Market and Credit Risk models for for use in local Irish / UK subsidiaries

2019-2020, UBS, Zurich

Model Development and advisory on thematic aspecs concerning Default Risk Charge and Default Risk in the Trading book

2018, Consultancy, London

Development of Stress Testing Models

2017, HSBC, London

Supporting Model Risk Audit function on Traded Risk and Country Risk related Audits

2017, Central Bank, Frankfurt

Project on Targeted Review of Internal Models in Central Bank

2015-2016, HSBC, London

Supporting Model Risk Audit function on Retail, Wholesale Credit and Traded Risk related Audits

2015, ZenCap, Berlin

Validating Retail Credit Risk models for FinTech Company