We assist in Model Development endeavours with coverage of multiple model building techniques in the areas of Credit Risk, Portfolio Financial Risk, Stress Testing and Process Analysis. We have capacity to deliver end-to-end projects with guidance provided in conceptualizing, model building, model testing, coding & documentation, as well as independent validatons. Our skilled team members provide suitable expertise and enable knowledge transfer based on relevant experience.and industry practice.For further details, an outline of support in multiple model development is displayed below. Effective support to functional teams and collaboration with stakeholders aims towards a succesful project outcome, whilst bringing relevant skills to any client's projects. For inquiries, contact us.
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Our Approach
We involve our clients throughout the model development and validation process, beginning from the initial concept proposal and an agreed terms of reference through to the final implementation phase. Team member of Auriscon Limited have the right expertise. We can support on-site or by working remotely based on flexible allocations.
- We confidentially deal with methodological concepts and analytical models.
- We draw on business insights to deliver useful solutions.
- We advise on industry standards.
We assist and support our clients in Model development projects and we ensure there objectives are realized in time. Our support help clients to successfully manoeuvre a rapidely changing regulatory environment. In Credit Risk, our specialism ensures that credit models are aligned to industry practice and boosted on performance and profitabiliy aspects timely enough. In the area of Systems and Processes, we develop and perform analysis tools to obtain insights into the performance of processes. Simulation and evaluation can be scheduled before implementation of systems and processes take place, thereby enabling timely insights into effectiveness.
CREDIT RISK
Model development and validation of multiple model types. Single name models used for Basel parameter and IFRS 9 comprising Probability of Default (PD) prediction, Behavioural Scoring, Expected Credit Loss ECL, Loss Given Default (LGD). Multi-name models used in Credit Portfolio Risk such as Default Risk Charge for the Trading Book and Risk-adjusted performance models for Credit Lending.
BOOSTING CREDIT MODEL PERFORMANCE
Evaluation and enhancement of credit model performance. Profitability driven Credit Analytics, to enable enhancing Credit Models through accounting for Profitability aspects and measures.
STRESS TESTING
Model concepts and developments covering Financial Risk Scenario Planning, Factor Identification, Vector Autoregression, Economic Trends.
SIMULATION FOR STRATEGY & PLANNING
Model Simulation models used for evaluation and projection of processes used in Strategy Planning, Marketing, Project Managment, Policy enhancements.
At Auriscon we can support on-site or by working remotely based on flexible allocations. We collaborate effectively with functional teams and stakeholders to assist in reaching your project goal. A few examples of how Auriscon members can support your model development and validation projects are shown below for illustration.
Illustration of our supporting activities
Boosting Credit Model Performance
Boosting performance of Probability of Default (PD) and Loss Given Default (LGD) Models.
Targeted Outcome
- Increasing disciminatory power of PD and LGD credit models.
- Enhancing accuracy of prediction of PD models.
- Identifying profitability aspects hidden in Credit models.
Mitigating Model Risk
Identifying and quantifiying model risk related to sources nameley design, data, validation, etc.
Eloborating approaches to remediate the root causes and the impact.
Detecting
- Data issue due to incomplete work-outs.
- Validation shortcomings due to overfitting and lack of default data.
- Calibration issue due to lack of default data.
- Model design issues due to multicollinearity.
Including Macro linkages in Financial Stress Testing and Scenario Planning
Vector Autoregression (VAR) Models for quantification of macro linkages in Stress Testing and Scenario Planning.
Targeted Outcome
- Increasing disciminatory power of PD and LGD credit models.
- Enhancing accuracy of prediction of PD models.
- Identifying profitability aspects hidden in Credit models.
Insight into new Processes and Systems
Obtaining insight into anticipated performance gains of new processes and bottleneck remediation of modified processes.
The simulation and evaluation is scheduled before process implementation takes place, thereby allowing timely insights into process effectiveness.
Simulation approach
- Data issue due to incomplete work-outs.
- Validation shortcomings due to overfitting and lack of default data.
- Calibration issue due to lack of default data.
- Model design issues due to multicollinearity.
