Risk Model Validation: A Practical Approach for US Financial Institutions

New York
25 & 26 March 2015

Learning outcomes:

  • Discover why risk models play such a prominent role in finance today
  • Learn to build quick and simplifed risk models
  • Discover the tools to check the limits of quantitative risk models
  • Find out how to implement a validation strategy for your own institution
  • Learn about the implications resulting from the regulatory framework for the trading book

Course Highlights

  • The origins of risk models
  • Elements of risk models and risk model failures
  • The risk model validation roadmap
  • Regulatory expectations of risk model validation
  • Impact of the Fundamental Review of the Trading Book on risk models
  • Scenario and sensitivity analysis
  • Use of data and reporting requirements
  • The risk model validation framework

Course Tutors

Christian Meyer, Quantitative Analyst, DZ Bank AG

Peter Quell, Head of Portfolio Analytics, DZ Bank AG


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