Course Agenda

Agenda

Model Risk Management

Day 1

08:30

Registration and refreshments

09:00

How to build a Model Risk Management Framework

  • MRM from concept to today
  • Definitions of models/what are the starting points?
  • Governance, EBA, CRIV, Basel, ISDA
  • Effect of regulations
  • Governance – lines of defence
  • Implementing governance around the models
  • Capturing model interconnectivity
  • Coverage of model workflows – gaining a competitive advantage

10:30

Morning break

11:00

How to build a Model Risk Management Framework

  • Development, validation, integration, implementation
  • Effective and efficient model use; best practices
  • Establishing limitations
  • Estimating capacity for risk
  • Measuring model performance & validity
  • Illustration e.g. statistical based models

12:30

Lunch

13:30

Pricing Models & Prudent Valuation  

  • Best approach to pricing models
  • Pricing of different products 
  • Products in the balance sheet
  • Nature of risk
  • Market of each product
  • Prudent valuation
  • Establishing your valuation framework

15:00

Afternoon break

15:30

Model Risk Management of Non-Pricing Models

  • What does MRM of Non-Pricing Models look like?
  • Finance Models, including Treasury Models and IFRS 9
  • Compliance Models (AML)
  • Retail Models (Credit scoping/marketing)

17:00

End of day one

Day 2

08:30

Refreshments

09:00

Management of Risk Models & TRIM

  • Overview of TRIM – Why are the ECB looking to implement?
  • Challenges & Opportunities
  • Lessons learned from 2017 TRIM investigations & progress throughout 2018
  • Biggest challenges

10:30

Morning break

11:00

Model Risk Process - Quantification Reporting Modelling

  • Evolution of Model Risk Management Process
  • Model Risk Appetite
  • Quantification of Model Risk
  • Model Risk Monitoring
  • Aggregation and Reporting of Model Risk 

12:30

Lunch

13:30

Can Machine Learning do Model Validation? 

  • Evolution of Model Risk Management Process
  • Model Risk Appetite
  • Quantification of Model Risk
  • Model Risk Monitoring
  • Aggregation and Reporting of Model Risk 

15:00

Afternoon break

15:30

Model Risk into the Future

  • Applying models to new challenges
  • Are increasing amounts of regulations stifling model risk management?
  • Data challenges
  • Treatment and governance of near-models and non-models
  • Predicting the future – What are future Basel updates likely to hold?
  • Further evolution of models

17:00

End of course