Risk model validation: implementation tools and techniques
View AgendaKey reasons to attend
- Gain skills and tools for effective risk model validation
- Focus on design, implementation and validation of models
- Build own roadmap for validation and explore next steps in the journey
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About the course
Build your knowledge of risk model validation through understanding key elements of risk models and best practices for creating a validation framework in your institution.
Participants will gain insight into the stages of risk model validation including the roles, expectations and general rules of a validation framework. Combined with a deeper understanding of risk models and the role of statistics in risk model validation, participants will have the skills needed for successful implementation.
A case study and examples will solidify concepts presented by subject matter experts regarding risk model validation for different areas of risk such as market risk, credit portfolio models and credit risk.
Participants will also explore model governance, inventory and next steps in their risk model validation journey.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance*
- 3-for-2 rate: save over $2,000 by booking a group of three attendees*
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber*
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*T&Cs apply
Learning objectives
- Apply the tools needed for successful design and implementation of risk models
- Validate and utilise model results by statistical methods
- Perform scenario analysis for credit portfolio models
- Demonstrate statistical methods for validating data
- Identify model risk governance and model inventory strategies
- Proactively use machine learning techniques to benchmark market risk models
Who should attend
Relevant departments may include but are not limited to:
- Risk model validation
- Model risk
- Risk management
- Market / credit risk management
- Stress testing
- Model review
Agenda
November 5–7, 2024
Live online. Timezones: Emea/Americas
Sessions:
- The origin of risk models
- Elements of risk models and risk model failures
- Building a roadmap for validation
- Toolbox one: machine learning/market risk
- Toolbox two: credit portfolio models
- Toolbox three: credit risk
- Looking back and looking ahead
Tutors
Peter Quell
Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit
DZ Bank
Peter Quell is head of the portfolio analytics team for market and credit risk in the risk controlling unit of DZ Bank in Frankfurt. He is responsible for methodological aspects of economic capital and model risk.
Prior to joining DZ Bank, Quell was manager at d-fine, 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
Christian Meyer is a quantitative analyst in the portfolio analytics team for market and credit risk in the risk controlling unit of DZ Bank in Frankfurt, where he is responsible for the development of portfolio models for credit risk and spread risk in the banking book and incremental risk in the trading book.
Before joining DZ Bank, he 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. Meyer holds a diploma and PhD in mathematics, and is on the editorial board of The Journal of Risk Model Validation.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- Risk Model Validation (3rd edition)
- EU banks balk at new market risk models back test
- A new automated model validation tool for financial institutions
- New BoE rules could force banks to cull multiplying models
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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