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 10 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 the development of model risk management frameworks, model risk management tooling and on the model development and validation of regulatory and non-regulatory market risk models.

Koen Dessens

Partner

Deloitte

Koen Dessens leads the Financial Risk team at Deloitte and has over 17 year of experience in the financial sector. With that experience he brings insights across a wide range of model types, with a focus on credit, market and economic capital methodologies. He is responsible for the model risk management initiative at Deloitte and has assisted numerous financial institutions with building a leading model risk management framework.

 

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Evolution of model risk management

10:45 - 12:00

  • Current state of MRM 
  • Requirements for technology 
  • Data-driven MRM 
  • MRM architecture 
  • Focus on key challenges 
    • Model inventory 
    • Business processes 
    • ML and AI 
Jos Gheerardyn

Co-founder and CEO

Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

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

13:00 - 14:30

  • 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

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

Practical insight on model independent review activities

14:45 - 16:15

  • How to build an independent review plan? 
  • Why designing dedicated review processes? 
  • How to cope with the variety of models used within banks? Building independent review protocol through case studies: from classical granting scorecards to machine learning techniques 
Anne-Cécile Krieg

Deputy head of model risk management

Société Générale

Anne-Cécile is currently deputy head of Model Risk Management at Société Générale. Her diverse background in the banking industry as independent reviewer of own funds models, CIB strategist and structuring engineer for institutional clients provides her a large view on the model life cycle, combined with a deep knowledge on various model types.