Model Risk Management London

A comprehensive overview of the current regulatory landscape of model risk management and best practice approaches for modelling across, risk pricing and credit models.


Model Risk Management: 

Risk, Pricing & other Modelling types

London, 4 - 5 September 2019

Course Guide  Apply now

This model risk management course will take a look at the regulatory guidelines, governance and how to build a model risk management framework for pricing and other model types such as retail. Day two will discuss how machine learning and AI fit in to the picture with valuation models and stress testing credit risk. The training course will close with a session on the third line of defence - the role of audit on model risk management.  

What will you learn?
  • The newest regulatory guidelines on model risk management and governance 

  • The impact that libor transition and FRTB has on model risk management

  • Learn how to gain competitive advantage through artificial intelligence techniques for stress testing credit risk and valuation models

  • Learn about the processes for building an effective model risk management framework

  • Gain an insight into the best approaches to the various types of models (pricing, risk, forecasting and compliance) 

  • Learn the role of audit in model risk management and how to create a good control environment 

View course guide

Who Should Attend?

Relevant departments may include but are not limited to: 

  • Model Risk

  • Model and Pricing Validation 

  • Internal Audit/ Model Review

  • Quantitative Analysis

  • Risk Control 

  • Credit and Market Risk

  • Quants 


View pricing options

Course Highlights
  • Model Risk Management: Risk, Pricing & Credit Models

  • The regulatory landscape and governance of model risk

  • Building a model risk management framework

  • Model Risk Management for Stress Testing

  • Model risk perspective on LIBOR transition, FRTB and NMRF’s

  • Model risk management for pricing models

  • Model risk management of other modelling types

  • Machine learning for model validation 

  • Auditing model risk management

View course agenda

Jos Gheerardyn

Co-Founder and CEO


Jos is the co-founder and CEO of 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).

Alexander Denev

Head of AI - Financial Services | Risk Advisory

Deloitte LLP

Alexander Denev has more than 15 years of experience in finance, financial modelling and machine learning and he is the former lead of the Advanced Analytics & Quantitative Research at IHS Markit. He has written several papers and two books on topics ranging from stress testing and scenario analysis to asset allocation. He is currently writing his third book on Alternative Data in Trading&Investing. Alexander Denev attained his Master of Science degree in Physics with a focus on Artificial Intelligence from the University of Rome, and he holds a degree in Mathematical Finance from the University of Oxford, where he continues as a visiting lecturer.

Tanveer Bhatti

Masters in Quantitative Finance, Board Member

Rutgers Business School

Tanveer Bhatti advises Ultra-High Net Worth Individuals and has experience at Executive Level at leading banks and have served in a variety of global roles, the most recent being Global Head of Model Risk at Citi. His background is in Model Risk, Market Risk, Counterparty Credit Risk, Valuation, Stress Testing and Treasury Financial Control and he has covered all kinds of risks. Renowned in the risk management community and a frequently sought public speaker, Tanveer is a Mathematical Physicist, Business Administrator and Chartered Accountant by training; he received his undergraduate and postgraduate Degrees in Mathematics from Cambridge University. 

Javier Calvo Martin


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.

Stefano Bonini PhD, CStat, PStat®


Accenture Finance and Risk

Stefano is a Management Consulting Director of Accenture Finance & Risk and since 2011 has led the development of Accenture Credit Risk Modeling & Validation and Model Risk offering in Italy. He built strong relationships with key clients as Banks and Rating Agencies, being in charge of numerous Risk Modeling, Validation & Model Risk projects mainly within regulatory framework of Basel II/III/IV, IFRS9, and TRIM. He also acted as advisor risk culture formation for board members of Banks under SSM. He also lead the Italian Risk Management Association Study Group on Machine Learning.

Stefano is adjunct professor of Banking and Risk Management at top tier Italian Universities like University of Bologna & MIP Business School, holds a PhD in Banking & Finance and is currently the only person with triple Certified Chartered Statistician: from USA, UK & Italian Statistical Association.

He is regular speaker to industry events & international conferences on Risk Management, is author of publications on books and international journals (Journal of Credit risk, European Journal of Finance) and collaborated with CONSOB within the "Financial Education Month”.

Maurizio Garro

Senior Audit Manager

Lloyds Banking Group

Maurizio Garro works as a Senior Audit Manager for Group Internal Audit at Lloyds Banking Group, where he is involved in providing assurance as SME on market and credit models. His background is in Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing. 
He has a long standing experience as consultant and banker in model risk management  and previously work in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and U.K. for over 14 years.  
Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management from GARP.

Suman Datta

Head Portfolio Quantitative Research CB Markets

Lloyds Banking Group

CPD / CPE Accreditation


CPD Accreditation

This course is CPD (Continued Professional Development) accredited and will allow you to earn up to 12 credits. One credit is awarded for every hour of learning at the event.

CPE Member

CPE Accreditation

This course is CPE (Continuing Professional Education) accredited and will allow you to earn up to 12 credits. One credit is awarded for every hour of learning at the event in accordance with the standards of the National Registry of CPE Sponsors.

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Countdown to Course

04 September 2019
2019-09-04 09:57:34 +0100