Utilising risk model validation
View AgendaKey reasons to attend
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Gain skills and tools for effective risk model validation
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Focus on design, implementation and validation of models
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Build own roadmap for validation and explore next steps in the journey
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About the course
Build your knowledge of the techniques, challenges, and best practices when using risk model validation within financial organisations.
This virtual learning experience focuses on the applications of risk models and key considerations where these models are applied. Sessions will explore the design, implementation, and validation of models and allow participants to interact with subject matter experts.
Supported by case studies to enhance learning, participants will learn the skills to be able to build their own roadmap for validation, and what are the next steps in the risk model validation journey.
Only until December 31, 2023:
- Locked rate: $1,999.
Book by December 31, 2023 and save $1000 (quote LOCK23 code)
Learning objectives
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Apply the tools needed for successful design and implementation of risk models
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Effectively validate and utilise model results by statistical methods
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Perform scenario analysis for credit portfolio models
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Demonstrate statistical methods for validating data
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Identify model risk governance and model inventory strategies
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Proactively use machine learning techniques to benchmark market risk models
Who should attend
Relevant departments may include but are not limited to:
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Risk model validation
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Model risk
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Risk management
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Market / credit risk management
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Stress testing
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Model review
Agenda
November 14–16, 2023
Live online. Timezones: Emea/Americas
Sessions:
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The origin of risk models
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Elements of risk models– and risk model failures
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Building a roadmap for validation
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Toolbox one: machine learning/market risk
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Toolbox two: credit portfolio models
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Toolbox three: credit risk
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Looking back and looking ahead
Tutors:
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Dr. Peter Quell, Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit, DZ Bank
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Christian Meyer, Quantitative Analyst in the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit, DZ Bank
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.
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