About the Course

About

About the Course

Day one will start with a perspective on governance of model risk management and an update on the most recently published regulatory guidelines, shortly followed by a session on how to build a model risk management framework. The course will discuss stress testing and how to use machine learning for modelling it. Day one will end with a session on LIBOR transition and what this means from a model risk perspective.

Day two will start with a session on model risk management for pricing and non-pricing models such as compliance models. There will be a particular focus on IFRS 9 and IFRS 17 models. The rest of day two will look at how machine learning can be utilised for model validation of valuation models and how you monitor these. The course will end with a session on how to audit model risk management and what a good control environment looks like.