Risk Model Validation


Day one - 30 November 2017

08.30: Registration and coffee

09:00: The origin of risk models

• A short history of risk
• A (first) definition of risk
• The uses and misuses of statistics in risk modelling
• Limits of statistical risk models

10.30: Coffee break

11.00: Elements of risk models - and risk model failure

• Typical setup of a quantitative risk model
• How can a risk model fail?
• Design and implementation
• Processes
• How should a risk model be used?

12.30: Lunch

13.30: Building a road map for validation

• What is validation?
• The "When" - risk model validation in different stages
• The "Who" and the "How" - Roles and expectations
• What do regulators think about Risk Model Validation?

15.00: Coffee break

15.30: Risk model validation: Toolbox #1

• Validation of model results by statistical methods
• Examples from market risk - signatures of model failure
• Examples from credit risk
• A joint look at market and credit risk
• Fundamental Review of the Trading Book: the new regulatory framework

17.00: Close of day one

Day 2 - 1 December 2017

08.30: Coffee

09:00: Risk model validation: Toolbox #2

• Benchmarking - The use of alternative risk models
• The merits and dangers of simplified risk models
• Short term and long term risk modelling
• Scenario analysis
• Sensitivity analysis

10.30: Coffee break

11.00: Risk model validation: Toolbox #3

• Statistical methods for Validation of Data
• Validation of risk model parameters
• Methods for software validation
• Reporting the validation results

12.30: Lunch

13.30: Looking back and looking ahead

• What do consumers of risk model results want?
• The use test - Can we deliver?
• Conclusion: Risk Model Frameworks

15.00: Close of course

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