Agenda

agenda

Course speaker

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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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Risk Model Validation | Agenda

08:30 – 09:00

Registration and refreshments

08:30 - 09:00

09:00 – 10:30

The origin of risk models

09:00 - 10:30

  • A short history of risk 
  • A (first) definition of risk 
  • The uses and misuses of statistics in risk modelling 
  • Limits of statistical risk models

10:30 – 11:00

Morning break

10:30 - 11:00

11:00 – 12:30

Elements of risk models – and risk model failure

11:00 - 12:30

  • Typical setup of a quantitative risk model 
  • How can a risk model fail 
  • Design and implementation 
  • Processes
  • How should a risk model be used? 

12:30 – 13:30

Lunch

12:30 - 13:30

13:30 – 15:00

Building a road map for validation

13:30 - 15:00

  • What is validation?
  • The ‘when’ – risk model validation in different stages 
  • The ‘who’ and the ‘how’ – roles and expectations 
  • What do regulators think about risk model validation? 

15:00 – 15:30

Afternoon break

15:00 - 15:30

15:30 – 17:00

Risk model validation: Toolbox #1

15:30 - 17:00

  • Validation of model results by statistical methods
  • Examples from market risk – signatures of model failure
  • Examples from credit risk – the dangers of small probabilities
  • The role of learning and adaptation in financial markets 
  • The new regulatory framework: Fundamental review of the trading book (FRTB) and
  • the Targeted Review of Internal Models (TRIM) 

17:00 – 17:00

End of Day 1

17:00 - 17:01

08:30 – 09:00

Registration and refreshments

08:30 - 09:00

09:00 – 10:30

Risk model validation: Toolbox #2

09:00 - 10:30

  • Benchmarking – The use of alternative risk models 
  • The merits and dangers of simplified risk models 
  • Short term and long term risk modelling 
  • Scenario analysis 
  • Sensitivity analysis  

10:30 – 11:00

Morning break

10:30 - 11:00

11:00 – 12:30

Risk model validation: Toolbox #3

11:00 - 12:30

  • Statistical methods for validation of data
  • Validation of risk model parameters
  • Methods for software validation 
  • Reporting the validation results

12:30 – 13:30

Lunch

12:30 - 13:30

13:30 – 15:00

Looking back and looking ahead

13:30 - 15:00

  • What do consumers of risk model results want?
  • Model risk governance and model inventory
  • Conclusion: Risk model frameworks 

15:00 – 15:00

End of course

15:00 - 15:01