Risk Model Validation

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.

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Risk Model Validation
Singapore | March 19–20, 2020

Book before December 31, 2019 – Save USD 500

View agenda   Register now

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. 

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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.

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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 
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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
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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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Download Asia Risk Training Calendar 2020

Asia Risk Training Calendar 2020