Model Risk Management Toronto
After great success in London, Amsterdam and New York; Risk Training are bringing Model Risk Management: Pricing and Non-Pricing Models to Toronto!
This model risk management course will take a look at the OSFI guidelines, governance and how to build a model risk management framework for pricing and non-pricing models such as IFRS 9. Day two will go on to discuss how machine learning and AI fit in to the picture with valuation models and stress testing credit risk. The training course will close with an important discussion on what the future of model risk could look like.
Managing Director, Canada Risk and Compliance Practice Leader
Dr. Alex Shipilov is a Managing Director and practice leader of Risk and Compliance Practice of Protiviti in Canada. He has over 25 years of experience gained inside the financial services industry. Alex held executive positions with banking, insurance and accounting firms where he led risk management and internal audit functions, and quantitative risk advisory practices. He consulted financial institutions and corporate treasuries in Canada, the U.S., the U.K., Spain and Russia. Alex was responsible for advising clients in dealing with enterprise wide risk management and compliance challenges, financial models, risk measurement, simulation, and derivatives valuation issues.
His specific area of expertise includes implementation, review and audit of risk and capital management functions, including the development, review and audit of model risk management framework. Dr. Shipilov co-founded the Professional Risk Managers’ International Association (PRMIA.ORG), sat on its Board of Directors, strategized PRMIA’s development and the global chapter network by leading the treasury and finance functions.
Co-Founder and CEO
Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).
Dr. Michael Jacobs
Senior Quantitative Analytics & Modelling Expert
Dr Ridha Mahfoudhi
Director & Co-Founder
Passionate in building and applying cutting-edge model development and model risk management techniques, Basil is a PhD actuarial consultant who specializes in developing and validating credit risk and credit pricing models, with over five years of hands-on experience in model development, model risk management, and model application. Basil received his PhD in 2013 in actuarial science from University of Waterloo, with a focus in computational statistics and ruin theory. Basil received his FSA designation in 2017.
Dr. Yaping Jiang
JW Matrix Inc
Dr. Yaping Jiang is currently a managing director in JW Matrix Inc., a consulting company that provides a wide range of services in financial modeling, derivatives valuation and risk analysis, end-to-end risk management structures and practices including market, credit, operational, and model risk management; model validation, independent price verification, economic capital and regulatory capital calculation, compliance assessment against regulatory requirements including Basel II and III requirements and regulatory guidelines over model risk management.
Dr. Jiang has a Ph.D degree in Mathematics and is a certified financial risk manager (FRM). She has been worked in major Canadian Banks for over 20 years and has in-depth knowledge and intensive experience in the following areas:
- Model validation and model risk management over the model life-cycle process
- Valuation of various derivatives products
- Advanced models for market risk (Value-at-Risk or IMA, FRTB), counterparty credit risk (IMM), operational risk models (AMA), internal risk rating for whole sale and commercial portfolios, non-retail and retail credit risk parameters (PD, LGD, and EAD)
- Trading market risk management and counterparty credit risk management
- Independent price verification for trading products
- Enterprise risk management and operational risk management
- Back testing and stress testing
- Economic capital and regulatory capita calculation and modeling
- Expected credit loss (ECL) estimation
- Compliance assessment against various regulatory requirements including Basel II and III, ICAAP, SR 11-7, OSFI E-23
- Internal Audit processes and practices for all aspects of quantitative areas
What Will You Learn?
- The newest OSFI guidelines on model risk management
- An enhanced knowledge of model risk management governance and how best to prepare
- Learn how to gain competitive advantage through artificial intelligence techniques for stress testing credit risk and valuation models
- Learn about the processes for building an effective model risk management framework
- Gain an insight into the best approaches to the various types of models (pricing, risk, forecasting and compliance)
- Learn how to define your model risk appetite, quantify and monitor performance
- What the future looks like for model risk in relation to data and regulation.
Who Should Attend
Relevant departments may include but are not limited to:
- Model Risk
- Model and Pricing Validation
- Internal Audit/ Model Review
- Quantitative Analysis
- Risk Control
- Credit and Market Risk