Managing Model Risk: Pricing and Risk Models

New York 16 - 17 October 2014

Course Highlights:

  • Discussions on defining a model
  • Insights from industry experts
  • Identifying and mitigating risk in risk models
  • Validating pricing models
  • Case study on the London Whale Scandal
  • Validating AIRB models

Learning Outcomes:

  • An overview of how a model can be defined and the principles of risk model validation
  • Understanding of the regulatory guidelines surrounding AIRB models and how they can be validated
  • In depth comprehension of validation methods for pricing models across equities, swaps and FX
  • Ability to implement new validation techniques in risk pricing models
  • An insight on the lessons that validators can take from the London Whale scandal

Course Tutors

  • James Diguglielmo, Market Risk, Morgan Stanley
  • Terry Benzschawel, Managing Director, Citi Institution Clients Group
  • Piero Monteverde, Senior Director Model Validation Group, Capital One
  • Martin Goldberg, Independent Model Validation, AIG
  • Jan Dash, Head of Strategic Risk Research, Bloomberg
  • Bernhard Hientzsch, Director Trading, Model Validation, Corporate, Market and Institutional Risk, Wells Fargo Securities
  • Jon Hill, Executive Director, Market Risk, Morgan Stanley



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