Course Agenda

Agenda

Course Agenda

Day One

09:00

Registration and refreshments

09:30

Model risk management & governance

  • Definitions of models and model risk
  • Model types and model approaches
  • Sources and key drivers of model risk
  • Evolution of model risk management
  • OSFI guidelines and other regulations on model risk management
  • Model governance framework including three lines of defence
  • Coverage of model workflows including model interconnectivity

Yaping Jiang, Managing Director, JW Matrix

11:00

Morning break

11:30

How to build a model risk management framework

  • Development, quantification, integration, implementation
  • Setting risk appetite, policy & standards for model risk
  • Model inventory process
  • Model lifecycle management (development, validation, implementation, use, periodic review)
  • Estimating capacity for risk
  • Application to stress testing models

Olga Streltchenko, Director, Export Development Canada

1:00

Lunch

2:00

A crash course in model validation

  • What is validation?
  • Model risk management (MRM)
  • Validation tools
  • Specific topics
    • How to quantify model limitations
    • Vendor and third-party model validation
    • Model performance monitoring
  • Best practices
  • Looking forward

Basil Singer, Director & Co-Founder, Modellicity Inc.

3:30

Afternoon Break

4:00

Model risk management for pricing models

  • Best approach to pricing models
  • Products in balance sheet
  • Market of products vs. pricing and hedging
  • Source of valuation adjustments in pricing
  • Identification and mitigation of model and input risk
  • Establishing pricing and validation framework

Jiaqi Zhang, Director, PwC

5:30

End of day one

Day Two

09:00

Refreshments

09:30

Model risk management of non-pricing models

  • Compliance models (AML)
  • Retail models (credit scoping/marketing)
  • IFRS 17 models¬†
  • IFRS 9 overview & progress since implementation
  • The similarities and differences of CECL compared to IFRS 9 and other regulatory credit models?
  • Sources of model risk in IFRS 9 models
  • What new strategies need to be put in place for testing IFRS 9 models and assumptions?

Dr. Ridha Mahfoudhi, Partner, PwC

11:00

Morning break

11:30

Utilizing machine learning for model validation and monitoring of valuation models

  • Why banks need larger validation throughput and how to use AI to speed up
  • Measuring data quality with ML
  • Building AI challenger models for model risk uncertainty measurement
  • Generating test scenarios with ML
  • Solving PDE's with deep reinforcement learning
  • Validation with AI of market data generation algorithms (IR curve building, volatility surface construction)
  • Monitoring valuation models with ML (PnL & XVA)

Jos Gheerardyn, CEO, Yields.io

1:00

Lunch

2:00

A deep dive into validation of natural language processing models

  • Statistical foundations of NLP and implications for model risk governance
  • Use case: word embeddings and recurrent neural networks
  • Validation techniques for models with text input
  • Responsible AI: fairness and interpretability
  • Applications of recent advances in Machine Learning for NLP validation

Greg Kirczenow, Senior Director - Model Risk Management, RBC & Ali Fathi, Senior Manager AI Research, RBC

3:30

Afternoon Break

4:00

Model risk into the future

  • Applying models to new challenges
  • Data challenges
  • Automation vs. human judgment
  • Big data and advanced analytics
  • Treatment and governance of near-models and non-models
  • Future of regulation; possible futures
  • Further evolution of models

Dr Alexander Shipilov, President, iGRC Advisors

5:30

End of Course