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.

Thumbnail

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 

More information

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 

More information

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

More information

Thumbnail
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).

Thumbnail
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.

Thumbnail
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. 

Thumbnail
Javier Calvo Martin

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.

CPD / CPE Accreditation

CPD_Logo

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.

Credit Risk Modelling - London

Join our credit risk modelling training course and learn about the implications of Basel IV, how IFRS 9 models can be used for stress testing and how to utilise AI and Machine Learning for managing credit risk.

  • London

Model Risk Management Toronto

Join us for our Model Risk training course with sessions covering the best approaches to building a model risk framework, model validation & performance analysis, the use of machine learning for model validation and monitoring of valuation models, as well as a look at the future challenges and trend

  • Toronto, Canada

Countdown to Course

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