Model Risk: The Challenges of Pricing and Risk Modelling

London, 17 - 18 June 2015

Course Highlights:

  • Summary of model risk's history, evolution and regulations
  • Overview of the prudent valuation framework of pricing model risk
  • Validation of pricing models
  • Assessment of FRTB impact on market risk models
  • Examination of model risk in counterparty credit risk models

Learning Outcomes:

  • An overview of the evolution of models and model risk, governance and model risk regulations such as the implementation of OCC guidance in Europe
  • Understanding of the prudent valuation framework of pricing model risk and model risk AVA
  • Ability to validate equity, swaps, interest rate derivatives and FX derivatives pricing models
  • Gain knowledge on how to create a strong risk model validation governance framework
  • Identify the challenges and impacts of model risk in market risk models, more specifically, the FRTB impact on market risk models
  • Analysis of the several counterparty credit risk models.

Course Tutors

  • Peter Whitehead, Director - Group Valuation Oversight, Deutsche Bank
  • Sanja Hukovic, Head of Treasury, Statistical Risk Aggregation, Operational Risk and Valuation Model Validation, UBS
  • Adolfo Montoro, Director - Market Risk, Deutsche Bank
  • Chris Kenyon, Director - CVA/FVA, Lloyds Banking
  • Fabian Meier, Senior Quantitative Analyst - Credit Risk, Credit Suisse
  • Jan-Philipp Hoffman, Head of VaR and Price Models, Deutsche Postbank
  • Claudio Albanese, CEO, Global Valuation Limited
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