Course Agenda

Agenda

Model Risk Management - London

Chairpersons: Sjoerd Kampen, senior manager, Deloitte & Koen Dessens, partner, Deloitte 

Day 1 - Wednesday, November 6, 2019

8:30

Registration and refreshments

9:00

The regulatory landscape and governance of model risk

  • 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 

Speakers: Sjoerd Kampen, senior manager, Deloitte 

                  Koen Dessens, partner, Deloitte 

10:30

Morning break

10:45

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

  • 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 

Speaker: Sonia Sodhi, senior model risk manager - risk governance, Aegon 

12:00

Lunch

1:00

Model risk management for pricing models

  • 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

Speaker: Suman Datta, head, portfolio quantitative research, CB markets, Lloyds Banking Group 

2:30

Afternoon break 

3:00

Machine learning for model validation 

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

  • Assessing date quality with ML 

  • Building AI challenger models for model risk uncertainty measurement 

  • Generating test scenarios with ML 

  • Solving PDEs 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) 

Speaker: Jos Gheerardyn, CEO. Yields.io 

4:30

End of day one

Day 2 - Thursday November 7, 2019

10:30

Refreshments

10:45

Auditing model risk management

  • Role of internal audit

  • Common weaknesses in model risk management

  • What is a good control environment?

  • Should audit duplicate the role of model risk management? 

Speaker: Stefano Bonini, executive, Accenture

12:00

Lunch

1:00

Ibor model risk 

  • Scope and product impact 

  • Five core currencies 

  • Other country Ibors 

  • O/N looking RFR vs term RFR 

  • Impacts on model risk as Ibor transition progresses

Speaker: Navin Rauniar, risk director, Quantico Consulting 

2:30

Afternoon break

3:00

Model risk into the future 

  • 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 the original goal - managing model risk

Speaker: Matthew Dodgson, director, PwC 

4:30

End of course