About the Course

About

About the Course

Day one will start with a perspective on governance of model risk management and an update on the most recently published OSFI guidelines, shortly followed by a session on how to build a model risk management framework. The course will also discuss model validation and monitoring performance by showing how to quantity and analyse the performance of validation tools. The first day will end with a session on model risk management for pricing models and how to establish a validation framework for these.

Day two will start with a session on model risk management for non-pricing models such as compliance models. There will be a particular focus on IFRS 9 and IFRS 17 models. The rest of day two will look at how machine learning can be utilized for model validation of valuation models and how you monitor these. The second machine learning session will be specific to model validation of stress testing credit risk. The course will end with a session on what the future looks like for model risk management and how you apply models to new challenges and how potential new regulation may affect this.