Course Agenda

Agenda

Model Risk Management: Risk, Pricing & Credit Models

Day 1 - Wednesday 27th February

08:30

Registration and refreshments

09:00

The evolving regulatory landscape

  • MRM from concept to today
  • Definitions of models/what are the starting points?
  • UK vs EU vs US
  • Governance, EBA, CRD V, Basel, ISDA, TRIM
  • Effect of regulations
  • Governance - lines of defence
  • Implementing governance around the models
  • Capturing model interconnectivity 
  • Responsibility for development, evaluation & documentation

Speaker: Tanveer Bhatti, Board Member Rutgers Business School, Masters in Quantitative Finance

10:30

Morning break

11:00

Implications for governance - putting it all into practice

  • Practical insights into establishing a model risk management function
  • Model definition vs. lists of models
  • Optimising model life cycle management 
  • Consolidating different model inventories
  • Model risk definition, quantification and monitoring 
  • Mitigation of regulatory model risk for different model types
  • Revisiting reporting lines
  • Model risk management in the era of TRIM

Speaker: Dr. Markus Oldenburg, Senior Risk Manager, DekaBank

12:30

Lunch

13:30

Building a model risk management framework

  • The evolution of model risk management
  • Model validation vs. model risk management
  • Stress testing as a supervisory tool
  • The PRA's model risk management principles for stress testing
  • The building blocks:
    • Core elements of a MRM framework
    • MRM governance: master plan, scope and committees
    • MRM organization: lines of defence, MR unction and the model owner role
    • MRM policies and procedures: MRM policy, model definition, model risk appetite and model tiering
    • MRM tools: inventory, workflow and reporting
    • MRM practices: the good & the bad observed
  • Open questions
    • Linkage to TRIM and BCBS239
    • Model risk quantification
    • MRM and machine learning

Speakers: Javier Calvo Martin, Partner, Management Solutions with Diederick Potgieter, Senior Technical Specialist, Bank of England
 

15:00

Afternoon break

15:30

Pricing Models, Algorithmic, eTrading and Machine learning in Quantitative Finance

  • Approaches to pricing models
  • FO pricing models
  • Overview of Market Trends in the Quantitative Modelling
    • Data (Big Data), Computing capabilities (Cloud & Cheap memory) , Automation, Quant advances (ML, synergies with tech (AI))
    • Impact on trading, modelling and risk
  • Algorithmic Trading and Machine Learning
    • Inventory, Proposed Classification, Challenges (explainability, testing &Monitoring)
  • Risks
    • Intraday Risk, Platform, Exchange, Market & Credit Risk, other risks (Legal, country, op, reputation…)
  • Testing & Monitoring Framework
    • Pre-approval, testing and Ongoing Monitoring

Case Studies

  • Case Study 1: High Frequency Trading
  • Case Study 2: Algorithmic Systematic Strategies
  • Case Study 3: Machine Learning & AI (Applications in Electronic Execution, Market Risk, Front Office Pricing)

Speaker: Amira Akkari , Director Financial Services Risk, Ernst & Young LLP

17:00

End of day one

Day 2 - Thursday 28th February 

08:30

Refreshments

09:00

Model risk management of risk models

  • What does MRM of non-pricing models look like? 
  • Products in balance sheet
  • Finance models, including treasury models
  • Compliance models (AML) 
  • Retail models (Credit scoping/marketing)

Speaker: Ashutosh Nawani,Director, Risk Consulting Practice at PwC

10:30

Morning break

11:00

Model risk management of credit models

  • MRM of Credit Risk Models (IFRS9, IRB)
  • Aligning methodology and models
  • MRM of Counterparty Credit Risk Models (IMM)
  • Role of a Counterparty Credit Risk model and credit spread output
  • Model performance monitoring for credit risk models

Speakers: Dr. Zheng Ruan, VP - Model Risk & Thomas Pronier, VP – Model Risk, Barclays

12:30

Lunch

13:30

Machine learning in model validation

  • What is machine learning and how can it be embraced? 
  • Regulatory overview
  • Case study: where has ML succeeded so far? 
  • E-trading 
  • Machine learning and stress testing models
  • Ensuring transparency through model calibration 
  • Governance and validation for less familiar modelling areas 

Speaker: Stefano Bonini PhD, CStat, PStat®, Director, Accenture Finance & Risk

15:00

Afternoon break

15:30

Auditing model risk management

  • Role of internal audit
  • Common weaknesses in model risk management
  • What is a good control environment? 

Speaker: Harun Tufekci, Global Model Risk Auditor, HSBC

17:00

End of course