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: "scars" from CCAR
  • Model risk assessment and tiering models by risk ratings
  • Managing model risk across the model lifecycle 

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 

Anoop Varghese, Head of Models and Actuarial Systems, 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? 

11:00

Morning break

11:30

Model validation for CECL 

  • CECL overview & implementation schedule 
  • Similarities and differences of CECL compared to IFRS 9 and CCAR
  • Sources of model risk in CECL models, from macro forecasting to model design and usage 
  • What new strategies and techniques need to be put in place for testing CECL models and assumptions? 

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