About the Course
Model Risk Management: Pricing, Non-Pricing & Risk Models
Day one of the course will provide an in-depth look into model risk management from conception to where it is today, which will be covered by Tanveer Bhatti, Global head of Model Risk Management & Valuation Risk at Citi. Prudent valuation will then be discussed, along with the best approaches to pricing models. Model risk management of non-pricing models such as treasury, IFRS9 and compliance models will also be covered.
Day two continues with the TRIM regulation and what challenges this brings. The quantification of model risk will also be covered, with an overview of how to aggregate and report to the proper channels. The course finishes with a discussion on whether machine learning can do model validation, along with a look at model risk in the future, data challenges and potential forthcoming regulations.