Agenda

Agenda

Model Risk Management Masterclass | Agenda

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Live virtual course | Below agenda timing is in BST.

Respective time in HKT/SGT:

Start: 8.30am BST | 15.30pm HKT/SGT
Break: 09.30am BST | 16.30pm HKT/SGT
End: 10.45am BST | 17.45pm HKT/SGT

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08:3009:30

Model risk principles

10:00 - 11:00

  • Understanding model risk management
  • Overview of regulations and requirements in different countries
  • Model risk policies, documents, and processes
  • Model inventory, including capturing model interconnectivity
  • Model risk monitoring and reporting

09:3009:45

Break

10:00 - 11:00

09:4510:45

Model risk regulatory landscape and framework

15:15 - 16:15

  • Core elements
  • MRM organisation
  • Policies and procedures
    • Model risk definition
    • Model risk appetite
    • Model tiering
  • How to successfully implement the framework
  • Adapting frameworks to become more agile

08:3009:30

Optimisation of model risk

15:15 - 16:15

  • Ongoing transformation of models
    • How to increase breadth of coverage
    • How to increase depth of validation
    • Controlling costs
  • Improving model robustness to withstand market volatility
    • Maximize data and analytical abilities
    • Promoting talent development
    • Building business relationships for transparency and consistency
  • Where do the models need to be now?

09:3009:45

Break

10:00 - 11:00

09:4510:45

AI & model risk management technology

10:00 - 11:00

  • Current trends and capabilities of AI •
  • Regulatory perspective on AI and MRM
  • Applying AI applications to typical model risk management frameworks pam
  • MRM technology: capabilities, transparency, explainability 
  • Ethical considerations for applying AI in models

08:3009:30

Model risk management for pricing models

10:00 - 11:00

  • COVID-19 and pricing models
  • Industry approach to pricing models
  • Identification and mitigation of model risk
  • MRM for different pricing models
    • Derivative models
    • Security pricing models
  • Management and valuation of working with IPV

09:3009:45

Break

10:00 - 11:00

09:4510:45

Credit risk model management

10:00 - 11:00

  • Strengthening regulations on credit risk modelling and implications
  • Margin of conservatism and beyond
  • Control and quantification of model risk
  • Model risk management metrics for credit risk models
  • Model risk management in practice (IRB, IFRS 9, stress testing, FRTB/counterparty credit risk)

08:3009:30

Model validation in model risk management

08:30 - 09:30

  • Key elements and design principles

  • Implementing effective model validation techniques and approaches

    • Model candidate assessment

  • Sources, assessment & quantification

  • What do regulators think of model validation?

09:3009:45

Break

10:00 - 11:00

09:4510:45

Climate and ESG modelling

15:15 - 16:15

  • Embedding ESG factor in financial risk modeling
  • Impact of ESG factors in the financial model lifecycle including model governance and validation
  • Data definitions and sourcing
  • Stress testing models climate change
  • Case study: corporate credit risk rating models and ESG

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