Model Risk Management: Risk, Pricing & Non-Pricing Models NY
Risk Training have designed this two day training course to delve into best practices for building a model risk framework and ensuring you are compliant with relevant regulations. The course will also equip attendees with a through overview of model risk into the future and how to go about undertaking new strategies and technologies such as machine learning.
Risk Training have designed this two day training course to delve into best practices for building a model risk framework and ensuring you are compliant with relevant regulations. The course will also equip attendees with a thorough overview of model risk into the future and how to go about undertaking new strategies and technologies such as machine learning.
Day one will cover the history of model risk management and the regulatory landscape, followed by how to go about building a model risk management strategy and manage a models life cycle. The day continues with an overview of model validation and prudent valuation.
Day two begins with an overview of how to manage model risk for non-pricing models, before going on to a discussion on credit model validation and what new strategies need to be in place to be CECL compliant. The course finished with a discussion on whether you can utilise machine learning for model validation and a look at model risk into the future.
Dennis Bennett, Model Risk Officer, Federal Home Loan Bank of New York
Yongping Liang, Director of Model Validation, Fannie Mae
Dr Jing Zou, Senior Director, Enterprise Model Risk Management, Royal Bank of Canada
Stephane Karm, Quantitative Methodologies, Executive Director, GE Capital
Gus Koutsombelas, Director Americas Model Risk Management, MUFG
Lourenco Miranda, Managing Director, Regional Head of Model Risk Management (Americas), Société Générale
Vijay Nair, Head of Advanced Technologies for Modeling, Corporate Model Risk, Wells Fargo
Alexey Smurov, Principal, MASS Consulting
By the end of the two days delegates will have new or improved knowledge of:
- Best practices for building a model risk framework and the different approaches to various risk models
- How to conduct model risk management for non-pricing models; including treasury, retail and compliance models
- Recommended approaches to pricing models and how to establish prudent valuation strategies
- Learn about how CECL will impact model risk and what you need to be putting in place now ahead of 2019 implementation
- Current state of machine learning and how we can utilise on this technology in model validation
- The next stages of model risk management governance and how best to prepare for these
Who Should Attend?
This course is primarily aimed at those working in model risk however Risk welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:
- Model Risk
- Model Validation
- Pricing Validation
- Risk Modelling
- Pricing Model Validation
- Front Office Modelling
- Internal Audit
- Model Review
- Model Control
- Quantitative Analysis
- Learn about the background of model risk, where it has come from and how recent FDIC and FRB regulations are affecting the practice
- Best practice approaches for building a model risk management framework
- Gain an understanding of the CECL timeline and what changes this will mean for model risk
- Discuss pricing models and prudent valuation and how to establish frameworks for both
- Learn effective methods for model validation and how to embrace machine learning in your data strategies
- Discuss model risk into the future, including how to apply models to new challenges and the treatment and governance of near and non-models