Course Agenda

Agenda

Model Risk Management - Toronto

Course Agenda

Day one

8:30

Registration and refreshments

9:00

Model risk management & governance  

  • Definitions of models and model risk 

  • Model types and model approaches 

  • Sources and key drivers of model risk 

  • Evolution of model risk management 

  • OSFI guidelines and other regulations on model risk management

  • Model governance framework including three lines of defence 

  • Coverage of model workflows including model interconnectivity 

Speaker: Yaping Jiang, managing director, JW Matrix

10:30

Morning break

11:00

How to build a model risk management framework 

  • Development, quantification, integration, implementation 

  • Setting risk appetite, policy & standards for model risk 

  • Model inventory process 

  • Model lifecycle management (development, validation, implementation, use, periodic review) 

  • Estimating capacity for risk 

Speaker: Olga Streltchenko, director, Export Development Canada

12:30

Lunch

1:30

Model validation & performance analysis 

  • What is validation? 

  • Improving the models 

  • Validation tools 

  • Performance analysis review 

  • How to quantify model limitations 

  • Vendor and third-party model validation 

3:00

Afternoon Break

3:30

Model risk management for pricing models

  • Best approach to pricing models 

  • Products in balance sheet 

  • Market of products vs. pricing and hedging 

  • Source of valuation adjustments in pricing

  • Identification and mitigation of model and input risk 

  • Establishing pricing and validation framework

5:00

End of day one

Day two 

8:30

Refreshments

9:00

Model risk management of non-pricing models 

  • Retail models (credit scoping/marketing) 

  • IFRS 9 overview & progress since implementation 

  • The similarities and difference of CECL compared to IFRS 9 and other regulatory credit models 

  • Sources of model risk in IFRS 9 models 

  • What new strategies need to be put in place for testing IFRS 9 models and assumptions? 

Speaker: Grigoris Karakoulas, president and founder, InfoAgora Inc.

10:30

Morning break

11:00

Utilizing machine learning for model validation and monitoring of valuation models

  • Why banks need larger validation throughput and how to use AI to speedup 

  • Measuring 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) 

12:30

Lunch

1:30

New techniques for validation of machine learning models 

  • Session points TBC 

Speakers: Greg Kirczenow, senior director, enterprise model risk management, RBC

Ali Fathi, senior manager, AI research and methodology, enterprise model risk management, RBC

Vathy Kamulete, senior manager AI research - enterprise model risk management, RBC 

3:00

Afternoon Break

3.30

Model risk into the future 

  • Applying models to new challenges 

  • Data challenges 

  • Automation vs. human judgement 

  • Big data and advanced analytics 

  • Treatment and governance of near-models and non-models 

  • Future of regulation; possible futures

  • Further evolution of models 

Speaker: Alex Shipilov, president, iGRC Advisors 

5:00

End of course