Model Risk Management London
A comprehensive overview of the current regulatory landscape of model risk management and best practice approaches for modelling across, risk pricing and credit models.
Returning to London for the fourth time, our Model Risk Management training will provide delegates with best practice approaches to implementing and managing a model risk framework and look at model risk across risk, pricing and credit models.
By the end of the two days delegates will have new or improved knowledge of:
- The current regulatory landscape of model risk and how local and international regulations including Basel, ECB and SR 11-7 are having effect
- Best practice approaches to building a model risk framework
- Model risk management approaches to pricing models
- Approaches to non-pricing risk models such as ALM and consumer models
- How to model credit models including IFRS 9 and CECL
- Methods for embracing machine learning in model validation
Who Should Attend?
Relevant departments may include but are not limited to:
- Model risk management
- Model validation
- Risk modelling
- Internal audit
- Model control
- Market control
- Market risk
- The evolving regulatory landscape
- Implications for governance - putting it all into practice
- Building a model risk management framework
- Model risk management of pricing models
- Model risk management of risk models
- Model risk management of credit models
- Machine learning in model validation
- Auditing model risk management
Javier Calvo Martin
Javier Calvo Martín is a partner at Management Solutions (MS). He currently leads MS’ office in Germany and is responsible for the relationship with the European Central Bank and the Public Sector industry. During his career, he has led or reviewed a number of projects in global and domestic systemically important financial institutions in the Eurozone and the USA, especially focusing on:
- Model risk management
- Credit risk IRB & IFRS 9 and operational risk (AMA) models development and validation
- Stress testing for internal and regulatory/supervisory processes, such as ICAAP, SREP, CCAR and EBA/ECB exercises
- Economic capital modelling
- Risk organisation and governance, and risk appetite
He also leads Management Solutions’ Research and Development function and co-leads operations in France.
Global Model Risk Auditor
Harun started his career as a business auditor in Turkey's leading private bank of Akbank. He spent several years under the umbrella of the financial conglomerate; auditing Banking corporation, Insurance and Investment firms.
He relocated to the Netherlands after being awarded with Jean Monnet Scholarship program to pursue master degree in advanced finance at Universiteit van Amsterdam Business School. Prior to joining Global Model Risk Audit team in London, he worked as an SME in HSBC Turkey Head Office department for financial risk management audits.
Harun holds an MSc in Quantitative Finance and Certified Financial Services Auditor (CFSA) with extensive experience in ICAAP, Economic Capital, Stress testing, Risk Rating Systems, Loss forecasting, Asset liability and Capital management and SOX processes.
Masters in Quantitative Finance, Board Member
Rutgers Business School
Tanveer Bhatti advises Ultra-High Net Worth Individuals and has experience at Executive Level at leading banks and have served in a variety of global roles, the most recent being Global Head of Model Risk at Citi. His background is in Model Risk, Market Risk, Counterparty Credit Risk, Valuation, Stress Testing and Treasury Financial Control and he has covered all kinds of risks. Renowned in the risk management community and a frequently sought public speaker, Tanveer is a Mathematical Physicist, Business Administrator and Chartered Accountant by training; he received his undergraduate and postgraduate Degrees in Mathematics from Cambridge University.
Dr. Markus Oldenburg
Senior Risk Manager
Markus Oldenburg works as a senior expert for Model Validation at DekaBank, where he is involved in validating pricing and risk models. His responsibilities include model monitoring and model risk management. He has a long standing experience in financial risk management and previously held a position as Desk Controller for equity and interest rate trading desks.
Markus Oldenburg received his doctoral degree in Physics from the Technical University of Munich.
Stefano Bonini PhD, CStat, PStat®
Accenture Finance and Risk
Stefano is a Management Consulting Director of Accenture Finance & Risk and since 2011 has led the development of Accenture Credit Risk Modeling & Validation and Model Risk offering in Italy. He built strong relationships with key clients as Banks and Rating Agencies, being in charge of numerous Risk Modeling, Validation & Model Risk projects mainly within regulatory framework of Basel II/III/IV, IFRS9, and TRIM. He also acted as advisor risk culture formation for board members of Banks under SSM. He also lead the Italian Risk Management Association Study Group on Machine Learning.
Stefano is adjunct professor of Banking and Risk Management at top tier Italian Universities like University of Bologna & MIP Business School, holds a PhD in Banking & Finance and is currently the only person with triple Certified Chartered Statistician: from USA, UK & Italian Statistical Association.
He is regular speaker to industry events & international conferences on Risk Management, is author of publications on books and international journals (Journal of Credit risk, European Journal of Finance) and collaborated with CONSOB within the "Financial Education Month”.
Dr. Zheng Ruan
VP - Model Risk
Senior Model Risk Auditor in Barclays since 2016, covering model development and validation for market risk, counterparty credit risk, retail credit risk, pricing and stress testing models.
Previously, Zheng was a Quantitative finance modeller with 10+ years extensive experience of developing and implementing pricing models (credit, mortality and securitised products), Market Risk, CVA, Counterparty Credit Risk (IMM), and Stress Testing models (internal, CCAR, BoE). In-depth knowledge in econometrics, quantitative finance and risk management. Manager for stress testing model development team from previous roles at Deutsche Bank and Credit Suisse.
a. PhD in Quantitative Finance
b. MSc in Financial Maths
c. BSc in Econometrics
VP - Model Risk
Risk professional with 8 years of Risk Management experience. Currently a Senior Model Risk Internal Auditor in Barclays since 2017.
Thomas started his career as Quantitative Risk Analyst in Credit Agricole for 4 years (Groupe de Recherche Operationnelle - GRO - Risk Department). He then took on the role as Senior Model Risk Manager in Societe Generale for 2 years. In parallel, he was a lecturer at Université du Maine, teaching Credit Scoring Methods to Master’s students for 2 years.
In 2014, Thomas presented research work performed on the validation methods of credit risk models in Euro banking conference in Ljubljana.
a. MS in Statistical and Financial Engineering
b. BSc in Statistical and Economic Engineering
Risk Specialist, Prudential Regulation Authority
The Bank of England
Diederick is a risk specialist at the Prudential Regulation Authority, The Bank of England. His responsibilities include ICAAP assessments, stress testing and capital management technical reviews. He holds a Ph.D. in Mathematical Statistics and his specialties include credit risk, operational risk, concentration risk, model risk management, stress testing and economic capital frameworks. Before joining the FSA/PRA in 2011 he was Director of Capital Modelling at Barclays bank.
Director, Risk Consulting Practice
Ashutosh is a Director in our Risk Consulting practice and has over a decade of experience in enterprise wide risk, stress testing and model risk management. Ashutosh heads our Financial Risk Management practice in UK and works with global Banking clients focussing on risk and regulatory initiatives. Ashutosh has been deeply involved in helping clients in strategic transformation programs around model risk management and has multiple publications in this area.
Director, Financial Risk
Broad industry experience as a Front Office Quantitative Analyst. Expertise in Pricing methodology design, modelling and testing (C++, C#, Python ). Expertise in various subjects: Monte Carlo optimisation techniques, American Monte Carlo, Parametric volatility models, dividend modelling, Variance and Volatility products, flexible exotic products scripting, risk profile and modelling
Amira joined EY’s Quantitative Advisory Services team in 2014 and led since then large deliveries in FO Modelling, Algorithmic & eTrading, QIS : development, testing, documentation, validation & regulatory framework - FO processes, accelerators & methodologies - FO Automation, Analytics & Innovation.
Model Risk Management New York course has been designed to delve into best practice approaches to building a model risk framework. You will be equipped with a thorough understanding of model risk now and into the future, including the impact of machine learning.
Comprehensive two day training on the current regulatory landscape of model risk management and best practice approaches for modelling across risk, pricing and credit models.