Model Risk Management

  • 4 days
  • Quant & model risk
  • 8 CPD points
View Agenda

Key reasons to attend

  • Acquire necessary skills for effective model risk management

  • Learn how to apply key tools to improve model risk frameworks

  • Focus on managing models across risk departments

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About the course

This 4-day learning opportunity will explore the best practices for model risk monitoring and reporting. Participants will enhance their knowledge in model risk management to better implement effective approaches to risk model validation.

Participants will learn about model risk technologies, with particular focus on implementation techniques for AI in current model risk frameworks, and utilising data for climate and ESG models. Expert speakers will lead in-depth discussion on effective approaches for pricing models, as well as the key tools necessary for effective model risk management metrics for credit risk models.

Each 60-minute live session encourages peer-to-peer discussion for enhanced learning, providing maximum engagement with the detailed content and the opportunity to interact with the tutor through live Q&A and polls.

Learning objectives

  • Identify appropriate model risk monitoring techniques and reporting options

  • Improve model robustness to withstand market volatility

  • Manage the valuation of working with independent price verification (IPV)

  • Strengthen understanding of regulations on credit risk modelling and implications

  • Apply MRM technology: capabilities, transparency, explainability

  • Interpret data sources needed for climate and environmental, social, and governance (ESG) models

Who should attend

Relevant departments may include but are not limited to:

  • Model risk management

  • Model risk

  • Pricing Models

  • Credit Models

  • Risk management

  • Artificial intelligence (AI)

  • Technology

  • Regulation

Agenda

September 26 - 29, 2022

Time zones: EMEA / APAC
Start time: 08.30 BST / 15.30 HKT/SGT
Finish time: 10.45 BST / 17.45 HKT/SGT

Sessions:

  • Model risk principles

  • Model risk regulatory landscape and framework

  • Optimisation of model risk 

  • AI & model risk management technology 

  • Model risk management for pricing models

  • Credit risk model management

  • Model validation in model risk management 

  • Climate and ESG modelling

View detailed agenda

Tutors

  • Sjoerd Kampen, Director, Deloitte 

  • Koen Dessens, Partner, Deloitte 

  • Timothy Leo, Junior Manager, Deloitte 

  • Ushnish Banerjee, EMEA QAG - Model risk, Morgan Stanley

  • Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking

  • Matteo Crippa, Executive Director, Standard Chartered Bank

  • Maria Kostova, Lead Quantitative Specialist, CRISIL

  • Peter Plochan, Global Climate & Risk Trainer, SAS

Accreditation

This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.

Pre-reading materials

The Risk.net resources below have been selected to enhance your learning experience:

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