About Model Risk Management London
Model Risk Management: Risk, Pricing & Credit Models
Day one of the course will provide an in-depth look into model risk management from conception to where it is today, focusing on governance and the effect of current regulations. Implications of this governance will then be considered before approaches to building a model risk management framework and setting risk appetites. The day will end with approaches to pricing models and FO pricing models.
Day two continues with risk models and non-pricing models including ALM and retail models. Credit risk models will also be covered with a look at regulations such as IFRS 9 and CECL. The course continues with a focus on machine learning in model risk and how to ensure transparency through model calibrations. The training ends with the role of internal audit and how to create a good control environment.