Risk Model Validation

Risk Training 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.

Thumbnail

Risk Model Validation 

New York

View Agenda Pricing and Registration

Risk Training 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. 

Dr. Peter Quell

Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit

DZ BANK AG

Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models, Economic Capital and Model Risk. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation.

Christian Meyer

Quantitative Analyst in the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit

DZ Bank AG

Christian Meyer is a quantitative analyst in the portfolio analytics team for market and credit risk in the risk controlling unit of DZ BANK AG in Frankfurt, where he is responsible for the development of portfolio models for credit risk in the banking book and incremental risk in the trading book. Before joining DZ BANK, Christian worked at KPMG, where he dealt with various audit and consulting aspects of market risk, credit risk and economic capital models in the banking industry. He holds a diploma and PhD in mathematics and is a member of the editorial board of the Journal of Risk Model Validation.

Thumbnail
Learning Objectives

By the end of the two days delegates will have new or improved knowledge of:

  • Why risk models play such a prominent role in finance today
  • Building quick and simplified risk models
  • The tools to check the limits of quantitative risk models
  • How to implement a validation strategy for your own institution
  • The implications resulting from the regulatory framework for the trading book
  • The use of data and reporting requirements
Thumbnail
Who Should Attend?

The training will be beneficial to those working in the following areas:

  • 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
  • Head of Risk Model Validation / Model Risk
Thumbnail
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

Downtown Conference Center

157 William Street
New York
NY 10038
T: 1-212-618-6990  
Toll free- 877-DCC-MEET (322-6338)

Venue information

Thumbnail