Model Risk Management Stockholm
After great success in London, Amsterdam and New York; Risk Training is bringing Model Risk Management: Pricing and Non-Pricing Models to Stockholm!
This model risk management course will take a look at the regulatory guidelines, governance and how to build a model risk management framework for pricing and other model types such as retail. Day two will go on to discuss how machine learning and AI fit in to the picture with valuation models and stress testing credit risk. The training course will close with a session on the third line of defence - the role of audit on model risk management.
What will you learn?
- The newest regulatory guidelines on model risk management and governance
- The impact that libor transition and FRTB has on model risk management
- Learn how to gain competitive advantage through artificial intelligence techniques for stress testing credit risk and valuation models
- Learn about the processes for building an effective model risk management framework
- Gain an insight into the best approaches to the various types of models (pricing, risk, forecasting and compliance)
- Learn the role of audit in model risk management and how to create a good control environment
Who Should Attend
Relevant departments may include but are not limited to:
- Model Risk
- Model and Pricing Validation
- Internal Audit/ Model Review
- Quantitative Analysis
- Risk Control
- Credit and Market Risk
Co-Founder and CEO
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).
Javier Calvo Martín
Javier Calvo Martín is a partner at Management Solutions (MS). He currently leads MS’ office in Germany and is responsible for the relationship with the European Central Bank and the Public Sector industry. During his career, he has led or reviewed a number of projects in global and domestic systemically important financial institutions in the Eurozone and the USA, especially focusing on:
- Model risk management
- Credit risk IRB & IFRS 9 and operational risk (AMA) models development and validation
- Stress testing for internal and regulatory/supervisory processes, such as ICAAP, SREP, CCAR and EBA/ECB exercises
- Economic capital modelling
- Risk organisation and governance, and risk appetite
He also leads Management Solutions’ Research and Development function and co-leads operations in France.
He holds a B.Sc. in Mathematics by the Universidad Autónoma de Madrid in 2001, a Maîtrise en Ingénierie Mathématique equivalent through an Erasmus scholarship by the Université Pierre et Marie Curie (Paris 6) in 2001, and postgraduate courses in Mathematical Foundations of Computing by Universidad Politécnica de Madrid in 2002.
EMEA Principal Risk Specialist
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.
Director – Head of Model Validation
Senior Manager- FRM
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.
Koen Dessens leads the Financial Risk team at Deloitte and has over 16 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 several financial institutions in building a leading model risk management framework.