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!


Model Risk Management: Risk, Pricing & other Modelling types

25 & 26 September 2019, Stockholm

Pricing & Registration     Course Agenda

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
  • Quants

Jos Gheerardyn

Co-founder and CEO

Jos is the co-founder and CEO of 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


Management Solutions

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.

Peter Plochan

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.

Sjoerd Kampen



Sjoerd works in the Financial Risk team of Deloitte, with over 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



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.


Sonia Sodhi

Senior model risk manager - risk governance


Leticia Pellucci Duarte Mortoza

Senior Model Risk Analyst

Nordea Denmark

Leticia works as a senior model risk analyst at Nordea Denmark, leading the Treasury (ALM) and Capital models validation. She has 13 years experience in risk management and modelling within large commercial and investment banks spread between Sao Paulo, London and Copenhagen. In the recent years she has been mainly focused on the Interest Rate Risk in the Banking Book (IRRBB) models. Leticia holds a Master degree in Financial Engineering and a PhD in Engineering from Sao Paulo University, and she is certified in Quantitative Finance (CQF). 

Maurizio Garro

Senior Lead – IBOR Transition programme

Lloyds Banking Group

Maurizio Garro works as a Senior Lead BA for the IBOR Transition programme at Lloyds Banking Group, where he is leading the delivery of the changes required for models, curves and products for the transition to the alternative risk-free rates for the Front and Back book. His background is in quantitative risk management, Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing. 

He has a long-standing experience as an internal auditor, consultant and banker in model risk management and previously worked in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and the U.K. for over 15 years.  

Maurizio is a frequent speaker on various topics in risk management, a member of the Institute of Internal Auditor and the Director of the Global Association of Risk Professional (GARP) London Chapter.

He has been supporting as mentor start-ups involved in the development of AI/Machine learning products.

Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management (FRM) from GARP.