Agenda

Agenda

Agenda: Model Risk Management Masterclass

Day one: Wednesday, March 11, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

The regulatory landscape and governance of model risk

09:00 - 10:30

  • MRM from concept to today
  • Definition of models and model risk
  • Overview and impact of regulations (including TRIM)
  • Model risk across the model life cycle
  • Governance and roles across the three lines of defence
  • Responsibility for model risk oversight
  • Capturing model interconnectivity
  • Model risk quantification
Sjoerd Kampen

Senior manager

Deloitte

Sjoerd works in the Financial Risk team of Deloitte, with almost 9 years of experience in the financial sector. He has worked on numerous assignments in the areas of model risk management, model development and validation within the financial services industry, including banks, insurers and investment managers. His focus is on building model risk management frameworks and on the model development and validation of regulatory and non-regulatory market risk models.

Nadège Grennepois

Partner

Deloitte

Nadège is Partner and intrapreneur at Deloitte France, in charge of Credit Risk Advisory services including: Rating methodologies, Stress testing, IFRS 9 methodologies and models, Credit scoring, Pricing models, NPL strategies, Model riks management, Advanced modelling, Climate risk scenario analysis. 

She has 20 years experience in managing quantitative projects and teams within International Banks and Financial services. 

She particularly led the design of the Model Risk Management services proposition for Deloitte at EMEA level as well as the Group credit risk stress testing framework for a top tier one Bank. 

She is developing the Zen Risk offer, aiming at disrupting the modelling market whilst using the Machine Learning in an explicable manner as well as the ClimWISE offer, a climate risk scenario impact assessment solution dedicated to Banks. 

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Practical insights into establishing a state of the art model risk management function

10:45 - 12:00

  • Model candidate assessment
  • Model risk & model risk management across the model life cycle
  • Model risk management components & design principles
  • Model risk sources, assessment & quantification
  • Model risk oversight function & related responsibilities
  • Model risk dashboard & reporting
Sonia Sodhi

Senior model risk manager - risk governance

Aegon

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Model risk management for stress testing

13:00 - 14:30

  • Interconnectedness of models and network effects
  • Stress testing and the P&L distribution
  • Sensitivity tests
  • Bayesian averaging of the models’ outcomes
  • Technology bottlenecks

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

AI & model risk management technology

14:45 - 16:15

  • Relevant trends in MRM 

  • Implication of artificial intelligence on MRM 

  • Regulatory perspective on AI and MRM 

  • MRM technology capabilities 

  • Future outlook

Peter Plochan

EMEA principal risk specialist

SAS

FRM certified Risk Management specialist with strong analytical mindset and finance background. By combining my 10+ years of Risk Management experience with SAS Analytical and Risk & Finance Solutions I am uniquely positioned to provide the leading financial institutions with valuable advice for addressing their Risk & Finance management challenges.

My main Finance & Risk Management competency areas include:
- Finance and Risk Management technology;
- Risk regulations ( Basels /CRDs, ICAAP, ILAAP, Solvency II, ORSA);
- Accounting standards: IFRS 9 ;
- Enterprise Risk Management;
- Model Risk Management;
- Financial Risk Management and Asset Liability Management;
- Risk data / analytics;
- Planning, Forecasting, Stress Testing, Scenario analysis and Capital management.
- Risk and Finance integration

I am passionate about helping companies to improve their existing risk and finance processes, providing advice, educating and driving business development in the areas above.

Day two: Thursday, March 12, 2020

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Model risk management for pricing models

09:00 - 10:30

  • Market of products vs pricing and hedging
  • Establishing pricing and validation framework
  • Industry approach to pricing models
  • Source of valuation adjustments in pricing
  • Identification and mitigation of model and input risk

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Model risk management of credit models

10:45 - 12:00

  • IFRS 9, CECL, LGD estimations
  • Aligning methodology and models
  • Role of a credit risk model and credit spread output
  • Addressing cyclicality
  • Structural vs reduced form models
  • Default intensity models
Radka Margitova

Senior manager | financial services risk consulting

PwC

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Auditing model risk management

13:00 - 14:30

  • Role of internal audit
  • Common weaknesses in model risk management
  • What is a good control environment?
  • Should audit duplicate the role of model risk management?
Gilles Artaud

Head of model risk audit

Crédit Agricole Group

Gilles Artaud has been working in investment banking for the last 25 years, where he held various positions within Quant, Front Office, IT and Risk Departments, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics. 

After managing IT and Quant teams in the 1st line of defence (Front Office), he moved to 2nd line of defence (Risk and Validation) to lead topics around CCR, XVA, IM and many regulatory topics.

Gilles is now in charge for the 3rd line of defence of Model Audit for Group Inspection in Group Crédit Agricole SA, managing the transformation of Model Audit induced by new models, framework, market and business evolutions, new fields of application and compliance with ever-increasing regulations. 

 

 

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Model risk into the future

14:45 - 16:15

  • Emerging dangers from current practices in model risk
  • The impossible ask – how to increase breadth of coverage, depth of validation, while controlling costs?
  • Operating models for different size banks
  • Using technology – what in model validation can be automated?
  • Model risk management of machine learning tools or AI applications
  • Winning back the original goal – managing model risk