Model Risk Management London
A comprehensive overview of the current regulatory landscape of model risk management and best practice approaches for modelling across, risk pricing and credit models.
Returning to London for the fourth time, our Model Risk Management training will provide delegates with best practice approaches to implementing and managing a model risk framework and look at model risk across risk, pricing and credit models.
By the end of the two days delegates will have new or improved knowledge of:
- The current regulatory landscape of model risk and how local and international regulations including Basel, ECB and SR 11-7 are having effect
- Best practice approaches to building a model risk framework
- Model risk management approaches to pricing models
- Approaches to non-pricing risk models such as ALM and consumer models
- How to model credit models including IFRS 9 and CECL
- Methods for embracing machine learning in model validation
Who Should Attend?
Relevant departments may include but are not limited to:
- Model risk management
- Model validation
- Risk modelling
- Internal audit
- Model control
- Market control
- Market risk
- The evolving regulatory landscape
- Implications for governance - putting it all into practice
- Building a model risk management framework
- Model risk management of pricing models
- Model risk management of risk models
- Model risk management of credit models
- Machine learning in model validation
- Auditing model risk management
Javier Calvo Martin
Javier Calvo Martín is a partner at Management Solutions (MS). He currently leads MS’ office in Germany and is responsible for the relationship with the European Central Bank and the Public Sector industry. During his career, he has led or reviewed a number of projects in global and domestic systemically important financial institutions in the Eurozone and the USA, especially focusing on:
- Model risk management
- Credit risk IRB & IFRS 9 and operational risk (AMA) models development and validation
- Stress testing for internal and regulatory/supervisory processes, such as ICAAP, SREP, CCAR and EBA/ECB exercises
- Economic capital modelling
- Risk organisation and governance, and risk appetite
He also leads Management Solutions’ Research and Development function and co-leads operations in France.
Global Model Risk Auditor
Harun started his career as a business auditor in Turkey's leading private bank of Akbank. He spent several years under the umbrella of the financial conglomerate; auditing Banking corporation, Insurance and Investment firms.
He relocated to the Netherlands after being awarded with Jean Monnet Scholarship program to pursue master degree in advanced finance at Universiteit van Amsterdam Business School. Prior to joining Global Model Risk Audit team in London, he worked as an SME in HSBC Turkey Head Office department for financial risk management audits.
Harun holds an MSc in Quantitative Finance and Certified Financial Services Auditor (CFSA) with extensive experience in ICAAP, Economic Capital, Stress testing, Risk Rating Systems, Loss forecasting, Asset liability and Capital management and SOX processes.
Board Member Rutgers Business School
Masters in Quantitative Finance
Tanveer Bhatti advises Ultra-High Net Worth Individuals and has experience at Executive Level at leading banks and have served in a variety of global roles, the most recent being Global Head of Model Risk at Citi. His background is in Model Risk, Market Risk, Counterparty Credit Risk, Valuation, Stress Testing and Treasury Financial Control and he has covered all kinds of risks. Renowned in the risk management community and a frequently sought public speaker, Tanveer is a Mathematical Physicist, Business Administrator and Chartered Accountant by training; he received his undergraduate and postgraduate Degrees in Mathematics from Cambridge University.
Dr. Markus Oldenburg
Senior Risk Manager
Markus Oldenburg works as a senior expert for Model Validation at DekaBank, where he is involved in validating pricing and risk models. His responsibilities include model monitoring and model risk management. He has a long standing experience in financial risk management and previously held a position as Desk Controller for equity and interest rate trading desks.
Markus Oldenburg received his doctoral degree in Physics from the Technical University of Munich.