Agenda

Agenda

Agenda: Model Risk Management Masterclass

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

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Building a model risk management framework

10:45 - 12:00

  • Core elements of a MRM framework  
  • MRM governance: master plan, scope and deliverables
  • MRM organisation: lines of defense, MR function 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

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

Model risk perspective on Libor transition, FRTB and NMRFs

14:45 - 16:15

  • Libor transition and FRTB: impact on the risk modelling
  • Estimating risk factors: the importance of data
  • FRTB: NMRFs and P&L attribution test – case study  
  • Libor: alternative RFR – case study
  • Effectively delivering FRTB and Libor in parallel

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

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?

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