Course Agenda

Agenda

Model Risk Management

Day 1

Wednesday 20th June 2018

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 defence
  • Coverage of model workflows – gaining a competitive advantage

Speaker: Dennis Bennett, Model Risk Officer, Federal Home Loan Bank of New York 

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 life cycle management (development, validation, implementation, use, periodic review)
  • Estimating capacity for risk
  • Application to stress testing models

Speaker: Yongping Liang, Director of Model Validation, Fannie Mae 

13:00

Lunch

13:30

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:  Dr Jing Zou, Senior Director, Enterprise Model Risk Management, Royal Bank of Canada 

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: Alexey Smurov, Principal, MASS Consulting 

17:30

End of day one

Day 2

Thursday 21st June 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: Gus Koutsombelas, Director Americas Model Risk Management, MUFG

11:00

Morning break

11:30

Credit model validation in the banking & trading books

  • Components for risk-weighted assets: probability of default, loss given default and exposure at default
  • CECL overview & implementation schedule
  • The similarities and differences of CECL compared to other credit models?
  • How to plan to efficiently utilising existing protocols
  • What new strategies need to be put in place for testing CECL models?

Speaker: Stephane Karm, Quantitative Methodologies, Executive Director, GE Capital 

13:00

Lunch

14:00

Utilising 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 a ML/AI model according to SR11-7?
  • How does ongoing monitoring for ML/AI look like?
  • Real Case Study: a SR11-7 compliant ML validation from soup to nuts 
  • Regulatory context for ML/AI models (US and EU) 


Speaker: Lourenco Miranda, Managing Director, Regional Head of Model Risk Management (Americas), Société Générale  & Nina Elynkina, Model Risk Officer, Société Générale

15:30

Afternoon break

16:00

Model risk into the future

  • High Performance Computing, Data Management and Big Data Analytics
  • Developments in AI/ML: An Overview
  • AI and ML and Applications in Banking
  • Opportunities and Challenges
  • Model Risk Management for AI/ML Models
  • Summary


Speaker: Vijay Nair, Head of Advanced Technologies, Corporate Model Risk, Wells Fargo

17:30

End of course