Agenda

Agenda

Day One - Tuesday, 13 August 2019

09:00

Registration and Refreshments

09:30

Model Risk Management & Governance

  • Model risk management: history and trends
  • Models matter: definitions and the lay of the land
  • Comprehensive MRM framework
  • Setting key governing principles in the model risk policy 
  • Regulatory expectations and best practices: SR11-7 and beyond
  • Challenger and benchmarking models
  • Common weaknesses around MRM
  • Model risk assessment and tiering models by risk ratings
  • Managing model risk across the model lifecycle 

Timo Reinemer, director, Deloitte

11:00

Morning Break

11:30

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 
  • Application to stress testing models 

Stephen Edney, head of market risk quantitative support, National Australia Bank

13:00

Lunch

14:00

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 

Song Ling Ooi, senior manager – pricing & modelling, AMP

15:30

Afternoon Break

16:00

Pricing Models & Prudent Valuation

  • 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 
  • Prudent valuation 
  • Establishing pricing and validation framework 

Stephen Edney, head of market risk quantitative support, National Australia Bank

17:30

End of Day One

Day Two - Tuesday, 14 August 2019

09:00

Refreshments

09:30

Model Risk Management of Non-pricing Models 

  • Finance models, including treasury models and IFRS 9 
  • Compliance models (AML) 
  • Retail models (credit scoping/marketing) 
  • What does MRM of non-pricing models look like? 

Steven Claxton, senior analytical consultant, SAS

11:00

Morning Break

11:30

Model Validation for IFRS 9 

  • A comparison of the IFRS 9/AASB 9 standard with CECL
  • Inter-action of IFRS 9/AASB 9 and Stress Testing
  • Top down validation: Expected Credit Loss vs Incurred Loss
  • Approaches & validation of significant increase in credit risk
  • Approaches & validation of Probability of Default (PD), Expected Loss Given Default (ELGD) and Expected Exposure at Default (EAD)
  • Approaches & validation of Probability Weighting & Forward Looking Scenarios
  • Effective Interest Rate (EIR): Behavioural Life validation

Steven Claxton, senior analytical consultant, SAS

13:00

Lunch

14:00

Machine Learning for Market Risk – Part 1

  • Basic concepts of Artificial Intelligence and Machine Learning
  • Market Risk use cases of Machine Learning
  • Deep Learning and Market Risk
  • Model Validation issues

David Maher, associate director, market risk, National Australia Bank

15:30

Afternoon Break

16:00

Machine Learning for Market Risk – Part 2

  • ‘Part 1 was nice, but I’m not convinced’
  • Quantile regression and FRTB
  • Application in Python
  • Data Management use cases for FRTB

David Maher, associate director, market risk, National Australia Bank

17:30

End of Course