Event Agenda

Agenda

Model Risk Management Masterclass Agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

The regulatory landscape and governance of model risk

09:00 - 10:30

  • MRM from concept to today
  • Definition of models and model risk
  • Overview and impact of regulations (including TRIM)
  • Model risk across the model life cycle
  • Governance and roles across the three lines of defence
  • Responsibility for model risk oversight
  • Capturing model interconnectivity
  • Model risk quantification
Sjoerd Kampen

Director

Deloitte

Sjoerd works in the Financial Risk team of Deloitte, with over 10 years of experience in the financial sector. He has worked on numerous assignments in the areas of model risk management, model development and validation within the financial services industry, including banks, insurers and investment managers.

His focus is on the development of model risk management frameworks, model risk management tooling and on the model development and validation of regulatory and non-regulatory market risk models.

Koen Dessens

Partner

Deloitte

Koen Dessens leads the Financial Risk team at Deloitte and has over 17 year of experience in the financial sector. With that experience he brings insights across a wide range of model types, with a focus on credit, market and economic capital methodologies. He is responsible for the model risk management initiative at Deloitte and has assisted numerous financial institutions with building a leading model risk management framework.

 

10:3010:45

Break

10:30 - 10:45

10:4512:00

Building a model risk management framework

10:45 - 12:00

  • Core elements of a MRM framework
  • MRM governance: master plan, scope and deliverables
  • MRM organisation: lines of defence, MR function and the model owner role
  • MRM policies and procedures: MRM policy, model definition, model risk appetite and model tiering
  • MRM tools: inventory, workflow and reporting
Javier Calvo Martín

Partner

Management Solutions

Javier Calvo Martín is a partner at Management Solutions (MS). He currently leads MS’ office in Germany and is responsible for the relationship with the European Central Bank and the Public Sector industry. During his career, he has led or reviewed a number of projects in global and domestic systemically important financial institutions in the Eurozone and the USA, especially focusing on:

  • Model risk management
  • Credit risk IRB & IFRS 9 and operational risk (AMA) models development and validation
  • Stress testing for internal and regulatory/supervisory processes, such as ICAAP, SREP, CCAR and EBA/ECB exercises
  • Economic capital modelling
  • Risk organisation and governance, and risk appetite

He also leads Management Solutions’ Research and Development function and co-leads operations in France.

He holds a B.Sc. in Mathematics by the Universidad Autónoma de Madrid in 2001, a Maîtrise en Ingénierie Mathématique equivalent through an Erasmus scholarship by the Université Pierre et Marie Curie (Paris 6) in 2001, and postgraduate courses in Mathematical Foundations of Computing by Universidad Politécnica de Madrid in 2002.

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Practical insights into establishing a state of the art model risk management function

13:00 - 14:30

  • Model candidate assessment
  • Model risk & model risk management across the model life cycle
  • Model risk management components & design principles
  • Model risk sources, assessment & quantification
  • Model risk oversight function & related responsibilities
  • Model risk dashboard & reporting
Sonia Sodhi

Senior model risk manager - risk governance

Aegon

14:3014:45

Break

10:30 - 10:45

14:4516:15

AI & model risk management technology

14:45 - 16:15

  • Relevant trends in MRM
  • Implication of artificial intelligence on MRM
  • Regulatory perspective on AI and MRM
  • MRM technology capabilities
  • Future outlook
Peter Plochan

EMEA principal risk specialist

SAS

FRM certified Risk Management specialist with strong analytical mindset and finance background. By combining my 10+ years of Risk Management experience with SAS Analytical and Risk & Finance Solutions I am uniquely positioned to provide the leading financial institutions with valuable advice for addressing their Risk & Finance management challenges.

My main Finance & Risk Management competency areas include:
- Finance and Risk Management technology;
- Risk regulations ( Basels /CRDs, ICAAP, ILAAP, Solvency II, ORSA);
- Accounting standards: IFRS 9 ;
- Enterprise Risk Management;
- Model Risk Management;
- Financial Risk Management and Asset Liability Management;
- Risk data / analytics;
- Planning, Forecasting, Stress Testing, Scenario analysis and Capital management.
- Risk and Finance integration

I am passionate about helping companies to improve their existing risk and finance processes, providing advice, educating and driving business development in the areas above.

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Model risk management for pricing models

09:00 - 10:30

  • Market of products vs pricing and hedging
  • Establishing pricing and validation framework
  • Industry approach to pricing models
  • Source of valuation adjustments in pricing
  • Identification and mitigation of model and input risk

10:3010:45

Break

10:30 - 10:45

10:4512:00

Model risk management of credit models

10:45 - 12:00

  • What were the changes seen in the last few years? 
  • What is expected to change? 
  • How to gain efficiencies
  • What are the top key success factors? 
Radka Margitova

Director | financial services risk consulting

PwC

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Evolution of model risk management

13:00 - 14:30

  • Current state of MRM
  • Requirements for technology
  • Data-driven MRM
  • MRM architecture
  • Focus on key challenges
    • Model inventory
    • Business processes
    • ML and AI
Jos Gheerardyn

Co-founder and CEO

Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).

14:3014:45

Break

10:30 - 10:45

14:4516:15

Model risk into the future

14:45 - 16:15

  • Emerging dangers from current practices in model risk
  • The impossible ask – how to increase breadth of coverage, depth of validation, while controlling costs?
  • Operating models for different size banks
  • Using technology – what in model validation can be automated?
  • Model risk management of machine learning tools or AI applications
  • Winning back to original goal – managing model risk