Risk management for stress-testing models

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

Key reasons to attend

  • Focus on integrating models into stress-testing

  • Learn how these models applies to different roles in stress-testing

  • Discuss how model risk impacts stress-testing results

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About the course

Deep dive into modelling stress-testing to optimise your risk management framework with leading industry experts.

Sessions will focus on integrating model risk management and providing best practices for implementation into each step of the stress-testing process. Attendees will learn how to develop models for scenario design to address the impact of sudden regime changes, as well as integrating key tools for model validation for stress-testing models. Learn how regulatory requirements are evolving and practical implementation to reduce the impact on risk departments and applying AI and ML to develop the efficiency of these models.

Each 60-minute live session allows participants maximum engagement with the detailed content, as well as the opportunity to interact with speakers through live Q&A and polls.

Learning objectives

  • Apply model risk management principles for stress-testing

  • Manage structural breaks and regime switches in models

  • Manage model adjustments and overlays

  • Evaluate vendor models

  • Model stress-testing for climate change

  • Optimise the stress-testing process with AI models

Who should attend

Relevant departments may include but are not limited to:

  • Model risk management

  • Stress-testing

  • Risk management

  • Model validation

  • AI/ML

  • Model development

  • Risk analysis


November 14 - 17, 2022

Time zones: EMEA / Americas
Start time: 14.00 GMT / 09.00 EST
Finish time: 16.15 GMT / 11.15 EST

  • Overview of model usage in stress-testing

  • Development in scenario design and stress-testing

  • Revaluation models under stress-testing

  • Validation of models

  • Market and counterparty credit risk stress-testing

  • Reverse stress-testing

  • Evolution of regulatory and audit expectations on model risk management for stress-testing models

  • Role of AI and ML in stress-testing modelling


View detailed agenda


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

Pre-reading materials

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