Course Agenda

Agenda

Model Risk Management

Day One - Wednesday 5th December

09:00

Registration and refreshments

09:30

Model risk management & governance

  • History of model risk management
  • Definitions of models/what are the starting points?
  • Capturing model interconnectivity
  • Effect of regulations – FDIC, FRB
  • Model risk under SR11-7; development & implementation, use, validation and governance 
  • CCAR & DFAST – model risk takeaways
  • Governance – lines of defense
  • Coverage of model workflows – gaining a competitive advantage

Speaker: Dennis Bennett, CEO, Model Risk Managers International Association

10.30

Model Performance Monitoring 

  • Challenges managing performance monitoring activities
  • Best practices
  • Opportunities moving forward

Speaker: David Asermely, Senior Product Manager, Model Risk Management, SAS 

11:00

Morning break

11:30

How to build a model risk management framework

  • Development, quantification, integration, implementation
  • Setting risk appetite, policy & standards for model risk
  • Model inventory process
  • Model lifecycle management (development, validation, implementation, use, periodic review)
  • Estimating capacity for risk
  • Application to stress testing models

Speaker: Dennis Bennett, CEO, Model Risk Managers International Association

13:00

Lunch

14:00

Model validation & performance analysis

  • What is validation?
  • Improving the models
  • Validation tools
  • Performance analysis reviews
  • How to quantify model limitations
  • Vendor and third-party model validation

Speaker: Joseph Breeden, CEO, Prescient Models LLC 

15:30

Afternoon break

16:00

Pricing models & prudent valuation

  • Best approach to pricing models
  • Products in balance sheet
  • Market of products vs. pricing and hedging
  • Source of valuation adjustments in pricing
  • Identification and mitigation of model and input risk
  • Prudent valuation
  • Establishing pricing and validation framework

Speaker: Xiaobo Liu, Managing Director, Corporate Model Risk Management, Wells Fargo

17:30

End of day one

Day Two - Thursday 6th December 2018

09:00

Refreshments

09:30

Model risk management of non-pricing models 

  • Finance Models, including treasury models and IFRS 9
  • Compliance models (AML)
  • Retail models (credit scoping/marketing) 
  • What does MRM of non-pricing models look like? 

Speaker: Jing Zou, Managing Director, Model Risk Management, Royal Bank of Canada 

11:00

Morning break

11:30

Model validation for CECL 

  • CECL overview & implementation schedule
  • The similarities and differences of CECL compared to IFRS 9 and other regulatory credit models?
  • Sources of model risk in CECL models 
  • What new strategies need to be put in place for testing CECL models and assumptions?

Speaker: Grigoris Karakoulas, President & Founder, InfoAgora Inc. 

13:00

Lunch

14:00

Utilizing machine learning for model validation

  • What is Machine Learning (ML) and Artificial Intelligence (AI) and how to embrace it in the context of Model Validation? 
  • How to validate an ML/AI model according to SR11-7?
  • How does ongoing monitoring for ML/AI look like?
  • Regulatory context for ML/AI models (US and EU) 


Speaker: Harish Sharma, Managing Director, Model Risk Officer, Consumer & GWIM, Bank of America

15:30

Afternoon break

16:00

Model risk into the future

  • Applying models to new challenges
  • Data challenges
  • Automation vs. human judgment
  • Big data and advanced analytics
  • Treatment and governance of near-models and non-models
  • Future of regulation; possible futures
  • Further evolution of models

Speaker: Ryan Moore, Senior Manager, EY 
                Rushabh Mehta, Senior Manager, EY

17:30

End of course