Model Risk Management: Pricing, Non-Pricing & Risk Models

London, 21 & 22 February 2018

The ECB's TRIM regulation has had a significant impact on model requirements and has bought along a new range of responsibilities and questions for the function of model risk management.

Risk Training has designed a course that will break down model risk management to its key components to ensure a comprehensive understanding is gained from all that attend and will also suggest strategies for improving your processes.

The course will provide an indepth overview of where model risk is at today, discussing prudent valuation and best practice approaches to pricing models. In addition to this, non-pricing model strategies will be covered continuing with an analysis of TRIM on day 2. The final two sessions of the course are focused on the future of model risk and whether machine learning can do model validation.

Learning Outcomes:

  • Understand the impacts of the TRIM regulations
  • 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, consumer credit etc.)
  • Gain a further understanding surrounding non-pricing model variations
  • An enhanced knowledge of the next stages of model risk management governance and how to best prepare for these
  • Learn about the model risk appetite and how to quantify & report appropriately 

Who Should Attend:

The course is primarily aimed at those working in the model risk function. However, Risk Training welcomes any individual with an interest in the course material.

  • Model Risk
  • Model Validation
  • Pricing Validation
  • Risk Modelling
  • Front Office Modelling
  • Internal Audit
  • Model Review 
  • Model Control
  • Quantitative Analysis
  • Market Risk
  • Risk Control
  • Risk Officer
  • Regulatory Reporting


Course Highlights

  • Learn about the background of model risk, where it has come from and how recent Basel and ECB regulations are affecting the practice
  • Understand the TRIM regulation, what lessons were learnt throughout 2017 and what to expect in 2018
  • Gain an understanding of other types of models
  • Comprehensive overview of building a model risk framework & measuring its performance 
  • Learn effective methods for model validation and how to embrace machine learning in your data strategies 
  • Discuss model risk into the future, including how to apply models to new challenges and the treatment and governance of near and non-models


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