Risk Model Validation

London - 23 and 24 November 2016

Over the last few decades we have seen the use of quantitative risk models become a cornerstone of financial regulation. Financial institutions now have to determine capital buffers based on increasingly complex modelling techniques. In addition, the crisis has highlighted the need for rigorous and critical analysis of the application of such models and has displayed the need to assess the detrimental effects that the misuse of risk models can produce.

With these challenges in mind, Risk is delighted to offer this specialist training course which has been designed to focus on the assessment of risk models in the context of concrete risk model implementation. There are numerous validation tools available, and the course will individually describe these tools and their application in practice.

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

Who Should Attend:

  • Chief Risk Officer
  • Head of Risk Management
  • Head of Market / Credit Risk Management
  • Risk Managers, Analysts and Controllers
  • Risk and Credit Risk Controllers
  • Head of Stress Testing
  • Head of Operational Risk / Risk Appetite
  • Model Validation
  • Model Review
  • Equity and Fixed Income Analysts
  • Credit Portfolio Specialists
  • Hedge Fund Managers

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