Course Agenda

Agenda

Day 1 - Thursday 13th June

08:30

Registration and refreshments

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

Morning 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

Afternoon 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 – the dangers of small probabilities
  • The role of learning and adaptation in financial markets 
  • The new regulatory framework : Fundamental review of the trading book (FRTB) and
    the Targeted Review of Internal Models (TRIM) 

17:00

End of day one

Day 2 - Friday 14th June

08:30

Refreshments

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

Morning 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?
  • Model risk governance and model inventory
  • Conclusion: Risk model frameworks 

15:00

End of Course