About the Course


Model Risk Management - Toronto

Course overview

Day one will start with a perspective on governance of model risk management and the most recently published OSFI guidelines, followed by a session on how to build a model risk management framework. Other sessions will cover model validation and monitoring performance. The first day will end with a session on model risk management for pricing models and how to establish a validation framework for these.

Day two will start with a session on model risk management for non-pricing models such as compliance models, with a particular focus on IFRS 9 and IFRS 17 models. The rest of the day will look at how machine learning can be utilized for model validation of valuation models, and model validation of Natural Language Processing models. The course will end with a session on what the future looks like for model risk management including data challenges, regulations, and the further evolution of models.