Course Agenda

Speakers Include: 

Slava Obraztsov, MD, Global Head of Model Validation, Nomura

Tanveer Bhatti, Global Head of Model Risk Management & Valuation Risk, Citi

Lutz Weinert, Head of Counterparty Credit Risk Infrastructure and Processes, Commerzbank AG

Grazia Rapisarda, Senior Manager, Head of Model Risk Governance, RBS

Guillaume Figer, Head of Model Risk Management Department (RISQ/MRM), Société Générale

Emna Nefzi, VP Model Risk Audit, Barclays

Giovanni Sonnino, Senior Manager, BearingPoint

Jeff Simmons, Managing Director, Head of Enterprise Risk Management Management Divison for EMEA, Bank of Tokyo-Mitsubishi UFJ

Day One - Wednesday 21 February 2018

08.30 Registration and refreshments

09.00 Model Risk Management & Governance 

  • 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 inter-connectivity 
  • Coverage of model work-flows - gaining a competitive advantage
Tanveer Bhatti, Global Head of Model Risk Management & Valuation Risk, CITI 

10.30 Morning break

11.00 How to build a Model Risk Management Framework

  • What is a Model and what is Model Risk?
  • Setting Risk Appetite, Policy and Standards for Model Risk
  • Model Inventory processes
  • Model Life Cycle management (Development, Validation, Implementation, Use, Periodic Review)
  • Reporting on and mitigating model risk issues
  • Application to Stress Testing models
Grazia Rapisarda, Senior Manager, Head of Model Risk Governance, RBS

12.30 Lunch

13.30 Pricing Models & Prudent Valuation

  • Pricing models
  • Products in balance sheet
  • Market of products vs. Pricing and Hedging
  • Source of valuation adjustments in pricing
  • Assurance in pricing models and inputs
  • Nature of the risk
  •  Identification and mitigation of model and input risk
  • Prudent valuation
  •  Establishing pricing and validation framework
Giovanni Sonnino, Senior Manager, BearingPoint

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) 

Guillaume Figer, Head of Model Risk Management Department (RISQ/MRM), Société Générale

17.00 End of day one

Day Two - Thursday 22 February 2018

08.30 Refreshments

09.00 Model Risk - Quantification, Reporting & Monitoring

  • Evolution of Model Risk Management Process
  • Model Risk Appetite
  • Quantification of Model Risk 
  • Model Risk Monitoring
  • Aggregation and Reporting of Model Risk 
Slava Obraztsov, Managing Director, Global Head of Model Validation, NOMURA

10.30 Morning break

11.00 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 

Lutz Weinert, Head of Counterparty Risk Infrastructure and Processes, Commerzbank AG

12.30 Lunch

13.30 Can Machine Learning do Model Validation? 

  • What is machine learning and how to embrace it
  • Case Study: where has ML succeeded so far? 
  • What is model validation?
  • Validation tools, which parts of the toolbox can be validated?
  • Performance analysis reviews
  • What is the prognosis for ML & Timelines? 
Jeff Simmons, Managing Director, Head of Enterprise Risk Management Risk Management Divison for EMEA, Bank of Tokyo-Mitsubishi UFJ

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
Emna Nefzi, VP Model Risk Audit, Barclays

17.00 End of course

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