Course Agenda

Agenda

Model Risk Management

Day 1 - Wednesday 27th February

08:30

Registration and refreshments

09:00

The evolving regulatory landscape

  • MRM from concept to today
  • Definitions of models/what are the starting points?
  • UK vs EU vs US
  • Governance, EBA, CRD V, Basel, ISDA, TRIM
  • Effect of regulations
  • Governance - lines of defence
  • Implementing governance around the models
  • Capturing model interconnectivity 
  • Responsibility for development, evaluation & documentation

Speaker: Tanveer Bhatti, Board Member Rutgers Business School, Masters in Quantitative Finance

10:30

Morning break

11:00

Implications for governance - putting it all into practice

  • Practical insights into establishing a model risk management function
  • Model definition vs. lists of models
  • Optimising model life cycle management 
  • Consolidating different model inventories
  • Model risk definition, quantification and monitoring 
  • Mitigation of regulatory model risk for different model types
  • Revisiting reporting lines
  • Model risk management in the era of TRIM

Speaker: Dr. Markus Oldenburg, Senior Risk Manager, DekaBank

12:30

Lunch

13:30

Building a model risk management framework

  • Core elements of a MRM framework
  • MRM governance: master plan, scope and committees
  • MRM organization: lines of defense, MR function and the model owner role
  • MRM policies and procedures: MRM policy, model definition, model risk appetite and model tiering
  • MRM tools: inventory, workflow and reporting
  • Open questions: linkage to TRIM and BCBS239, model risk quantification, MRM and machine learning

Speaker: Javier Calvo Martin, Partner, Management Solutions

15:00

Afternoon break

15:30

Model risk management of pricing models

  • Approaches to pricing models 
  • Market of products vs. pricing and hedging 
  • Source of valuation adjustments in pricing 
  • Assurance in pricing models and inputs 
  • FO pricing models
  • Identification and mitigation of model and input risk

Speaker: Giorgio Bocchi, Enterprise Model Risk Management, Bank of America

17:00

End of day one

Day 2 - Thursday 28th February 

08:30

Refreshments

09:00

Model risk management of risk models

  • What does MRM of non-pricing models look like? 
  • Products in balance sheet
  • Finance models, including treasury models
  • Compliance models (AML) 
  • Retail models (Credit scoping/marketing)

10:30

Morning break

11:00

Model risk management of credit models

  • IFRS 9, CECL, LGD estimations
  • Aligning methodology and models 
  • Role of a credit risk model and credit spread output
  • Addressing cyclicality 
  • Structural vs reduced form models
  • Default intensity models

12:30

Lunch

13:30

Machine learning in model validation

  • What is machine learning and how can it be embraced? 
  • Regulatory overview
  • Case study: where has ML succeeded so far? 
  • E-trading 
  • Machine learning and stress testing models
  • Ensuring transparency through model calibration 
  • Governance and validation for less familiar modelling areas 

Speaker: Stefano Bonini, Director, Credit Risk Modelling, Accenture

15:00

Afternoon break

15:30

Auditing model risk management

  • Role of internal audit
  • Common weaknesses in model risk management
  • What is a good control environment? 

Speaker: Harun Tufekci, Global Model Risk Auditor, HSBC

17:00

End of course