Course Agenda

Agenda

Course Agenda

Chairperson: Sjoerd Kampen, senior manager – FRM, Deloitte & Koen Dessens, partner, Deloitte

Day 1

September 25, 2019

08:30

Registration and refreshments

09:00

The regulatory landscape and governance of model risk

  • 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 – FRM, Deloitte & Koen Dessens, partner, Deloitte

10:30

Morning break

11:00

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

  • 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

 

12:30

Lunch

13:30

Machine learning for model validation

  • Why banks need larger validation throughput and how to use AI to speed up
  • Assessing data quality with ML
  • Building AI challenger models for model risk uncertainty measurement
  • Generating test scenarios with ML
  • Solving PDE's with deep reinforcement learning
  • Validation with AI of market data generation algorithms (IR curve building, volatility surface construction)
  • Monitoring valuation models with ML (PnL & XVA)

Jos Gheerardyn, CEO, Yields.io

15:00

Afternoon break

15:30

Managing the risks introduced by artificial intelligence models

  • Industry & regulatory perspective on artificial intelligence: AI benefits vs AI risks
  • Model risk management perspective on AI models
  • Main challenges introduced by AI risks
  • Model risk management tools & techniques to mitigate the AI risks

Speaker: Peter Plochan, EMEA principal risk management, SAS

17:00

End of day one

Day 2

September 26, 2019

08:30

Refreshments

09:00

Model risk management of other modelling types

  • Compliance models (AML)
  • Retail models (credit scoping/marketing)
  • IFRS 9 overview, sources of model risk & progress
  • CECL Vs IFRS 9 and other regulatory credit models
  • Validation of machine learning and artificial intelligence models
  • New strategies model types on the horizon

Speakers: Thomas Clifford Partner, Deloitte Denmark & Gareth Greenwood Partner, Deloitte Sweden

10:30

Morning break

11:00

Building a model risk management framework

  • 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
  • Regulatory expectation
  • Link to TRIM and BCBS 239 and MRM and machine learning
  • Quantifying model performance

Speaker: Javier Calvo Martin, partner, Management Solutions

12:30

Lunch

13:30

Model risk management principles: the model validation process

  • Model Validation as a principle of a sound model risk management
  • Pre and post model validation processes
  • Model tiering and its importance
  • Model documentation
  • The model life cycle in the validation view
  • The validation report
  • Validation recommendation process
  • Case Study: validation in practice
  • Model Review

Leticia Mortoza, Senior Model Risk Analyst, Nordea Denmark

15:00

Afternoon break

15:30

 

Model risk perspective on LIBOR transition, FRTB and NMRF’s

  • 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

Maurizo Garro, Senior Audit Manager, Lloyds Bank

17:00

  End of course