This specialist training course has been designed to focus on the assessment of risk models in the context of concrete risk model implementation. There are numerous validation tools available, and the course will individually describe these tools and their application in practice.
This specialist training course has been designed to focus on the assessment of risk models in the context of concrete risk model implementation. There are numerous validation tools available, and the course will individually describe these tools and their application in practice.
The course is taught by expert practitioners Dr Peter Quell, Head of portfolio analytics at DZ Bank.
Course speaker
Dr. Peter Quell
Head of the portfolio analytics team for market and credit risk in the risk controlling unit
DZ Bank
Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models, Economic Capital and Model Risk. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation.
What will you learn?
Elements of risk models and risk model failures
Regulatory expectations of risk model validation
Impact of the FRTB on risk models
The tools to check the limits of quantitative risk models
How to implement a validation strategy for your own institution
The use of data and reporting requirements
Typical setup of a quantitative risk model
Who should attend?
Relevant departments may include but are not limited to:
Risk Model Validation
Model Risk
Risk Management
Market and Credit Risk Management
Stress Testing, Operational Risk and Risk Appetite
Model Validation and Model Review
Course highlights
The origin of risk models
The uses and misuses of statistics in risk modelling
Elements of risk models and risk model failure
Building a road map for validation
Risk model validation: Toolboxes
The new regulatory framework: FRTB and TRIM
Model validation examples from market and credit risk
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