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Credit Risk & Fraud

Credit Risk & Fraud Consultancy | Commercial Risk | IFRS9 | Stress Testing & ICAAP | Risk Data Management | IRB Modelling | Non-Linear Modelling

Credit Risk & Fraud Consultancy

Jaywing has a long history in credit risk consultancy and our highly experienced, flexible teams manage sophisticated risk and regulation challenges quickly and efficiently. Whether it's building, validating or implementing a new scorecard, tackling a fraud problem or assessing an IFRS9 framework, we have the skills and industry expertise to help.

Brands such as Secure Trust Bank, Nationwide, RBS and Skipton Building Society rely on Jaywing to reduce credit risk and fraud, and increase profitability across a growing landscape of regulatory requirements. 

Our specialists work in agile, collaborative teams, with the right blend of consultants, analysts, modellers and technical developers to meet your exacting needs. We work with you or for you, at your place or ours, and our approaches are tried and tested.

In addition to risk consultancy, we offer a range of technology products that help clients deliver better risk decisions. For example, Archetype (Jaywing's AI based modelling software) uses deep neural networks to help lenders generate transparent risk and fraud models, avoiding the 'black box' problem. Other products include Horizon (our IFRS9 solution), and Echelonour own commercial scoring suite. 

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Commercial Risk

Jaywing’s credit and trade risk products and consultancy services help commercial credit lenders to manage risk across the customer lifecycle. We offer teams of highly skilled mathematicians with a wealth of knowledge in consultancy-led delivery, alongside advanced software with a proven methodology in solving some of the most common commercial credit problems.

Echelon is Jaywing’s risk technology product for business lenders that enables you to process commercial credit risk applications faster and with greater consistency while gathering and storing data to enable a cycle of continuous improvement.

  • Define your own scorecards, based on information you capture within your own process
  • Simple to configure system, hosted by Jaywing but configured to your specification
  • Define your own appetite for risk, setting up risk bands that are used to categorise applications


Jaywing's risk and data management experts have a proven track record in developing credit risk solutions for corporate and SME lenders. Our commercial credit consultancy service provides you with dedicated consultants to review and improve your credit management function across the customer lifecycle. 

  • Pragmatic and value-adding commercial credit consultancy services - we don't attempt to shoehorn in consumer modelling practices
  • Deep understanding of the data, systems and process nuances within commercial lending
  • Proven track record in building and deploying bespoke credit risk solutions within corporate and SME portfolios


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The introduction of IFRS 9 represented the most significant change to financial instrument accounting in over a decade, replacing the existing rules of IAS 39.  

Jaywing has worked with many lenders on the initial development of their IFRS9 solution, subsequently performing several reviews of IFRS9 frameworks for companies ranging from large banks to smaller lenders with minimal data. Our modelling experts are well-versed in building, validating and monitoring the compliant models the requirements demand.

We offer teams of highly skilled mathematicians with a wealth of knowledge in consultancy-led delivery, as well as advanced software with a proven methodology for creating accurate models with consultancy support throughout implementation.

Our approach adds value beyond compliance by giving a complete understanding of risk. Through transparent and detailed calculations of balance sheet figures, lifetime expected loss calculations and other analytics, you will be able to rethink pricing and business investment strategies.

Horizon is Jaywing's comprehensive IFRS 9 SaaS solution. It has been designed to address the challenges of implementation by automating critical components of the process of generating IFRS 9 compliant provision, including:

  • Expected Credit Loss (ECL)
  • Probability at Default (PD)
  • Loss Given Default (LGD)
  • Stage Allocation

Its user-friendly interface allows lenders to adjust the models to their individual requirements while providing full transparency regarding all components of the solution. It can be used either to implement IFRS 9 models or validate them.

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Stress Testing & ICAAP

In today’s environment, stress-testing financial providers is a specialist job for highly trained professionals.  Jaywing has years of senior experience in stress testing for banking and other organisations, gained from working with several of the UK's leading banks and building societies.  Our end-to-end service develops submissions that meet both the PRA’s and your own stress testing requirements.

To stress test, financial institutions needs expertise and insight. By guiding you through data preparation and the development of models for enterprise-wide stress, we produce forecasting views of impairment, capital and revenue metrics that underpin the underlying story of how you would meet the challenges of an economic stress event.

Our team of analytical credit risk and stress testing professionals is among the best in the UK, renowned for its skills in data, modelling, and analysis – each of which is crucial for a successful stress testing project.


Stress testing is an integral part of the ICAAP and being able to demonstrate that your capital resources are sufficient to cover your risks. The demands are ever increasing as ICAAP stress testing takes an ever more central role in capital adequacy. From being able to produce an appropriate ICAAP economic scenario to being able to demonstrate that a model is fit for purpose, the supervisory focus on stress testing has increased dramatically.

Jaywing’s ICAAP consultancy can support you with;

  • Identification and construction of appropriate ICAAP economic scenarios
  • Modelling of stress scenarios and the impact on losses
  • Identification of appropriate management actions and design of recovery plans
  • Support with model risk requirements for stress testing models
  • Pillar 2B assessment


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Risk Data Management

Effective data management for risk.

We help our clients deliver risk data marts that provide one version of the truth, designed to ensure Enterprise transparency, auditability and executive oversight of risk.

Our data mart building process combines data accurately and efficiently – prerequisites for effective risk data management. To provide a platform for analysis and MI, we take steps to avoid data identification and reconciliation issues, including those that may arise from a merger or acquisition.

Our technical consultants can help bridge the gap between the IT and business, often removing constraints that otherwise slow down or prevent data issues from being resolved.

Here's a flavour of what we can help with:

  • Data consolidation
  • Delivering end-user requirements
  • Data for reporting and regulations
  • Credit risk data preparation
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IRB Monitoring

Adopting an internal ratings-based approach

An increasing number of banks and building societies aim to achieve ‘internal ratings-based' (IRB) capital status over the next few years. With new banks emerging at a faster rate than ever, securing IRB status enables organisations to optimise their capital and gain a competitive advantage in a growing market.

Complying with the IRB credit risk approach needs significant internal resources and a willingness to tackle an extremely complex project. That’s why lenders often use our vast experience in this area. We monitor all changes in regulation and help banks and building societies calculate the cost benefit of adopting an internal ratings-based approach.

Support to achieve advanced IRB status

Our flexible consultation approach has helped many lenders create a successful IRB waiver programme and achieve advanced IRB status.

By calling on our advanced analytical and modelling expertise, you can avoid regulation ever becoming an unwieldy burden on your in-house team.

We are experts in the regulation and modelling components that underpin an advanced IRB status, with a particular specialism in one of the more complicated aspects: mortgage LGD. 



Non-Linear Modelling

If you’re looking to take your first steps into machine learning risk management then Archetype, Jaywing’s comprehensive AI credit risk software, could help. Archetype uses deep neural networks to help lenders generate transparent risk and fraud models, avoiding the 'black box' problem.

Archetype's fully explainable and controllable models are underpinned by a patent-pending mathematical approach that retains an intuitive link between input variables and the modelled output, with no loss of predictive power, making them suitable for use in lending decisions.

Comparing it to traditional models, using the same data set, lenders have seen up to 18% uplift in performance - resulting in huge debt savings.

Our predictive modelling experts are well-versed in artificial intelligence and machine learning risk management. In addition to our award-winning Archetype software, we provide a full AI consultancy service to advise on validating and monitoring your AI models. 

Our approach is designed to provide you with a complete understanding of AI implementation.

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