Welcome to

Auriscon

Our consulting provides real world solutions and effective advisory.

Services

provided by Auriscon

cover multiple service areas, including Technical Audit and Risk Analytics.

Solutions

from Auriscon

are rooted in subject matter expertise, with coverage of Financial Regulation, Risk Methodologies and Technology.

Our approach

combines holistic agendas and subject matter expertise

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

JA Edenite

As a result of IFRS9, the IASB demised the Incurred Loss standard and replaced it by the Expected Credit Loss (ECL) standard. IFRS9 accounting require banks to hold provisions for credit losses that are expected to occur, and the amount of provisious is subject to increase for loans whose credit quality has substantially deteriorated. 

The ECL is measued over life of credit risky securities in the banking book. The ECl is a standard that is based on a forward-looking approach with a view on anticipated expected losses. Loss estimation is performed at stages conditional on the loan life cycle.   

 

Enabled through advances in Information Technology (IT), Machine Learning (ML) finds applications across mulltiple areas of Finance. Today, the availability of machines and algorithms specialised in learning and decision making from data make applications possible that draw insight from complex and high dimensional data. The calibration of these algorithms typically takes large number of parameter and model configurations into account. This leads to the unique machine learning approach to calibrations enabling to build robust models with adaption to the most recent information and data.     

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Consulting Service

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Self-Assessment

Projects & Clients

Supporting global Model Risk Audit function on audit testing across businesses and functions with advising provided on thematic aspects.

2021-2023, HSBC, London HQ

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

2022, Japanese Investment Bank, London

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

2021, Scotia, Ireland

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

2019-2020, UBS, Zurich

Model Development of Stress Testing Models

2018, Consultancy, London

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

2017, HSBC, London

Project on Targeted Review of Internal Models in Central Bank

2017, Central Bank, Frankfurt

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

2015-2016, HSBC, London

Validating Retail Credit Risk models for FinTech Company

2015, ZenCap, Berlin