Agenda

Agenda

Model Risk Management | Agenda

08:3009:00

Registration

08:45 - 09:00

09:0010:30

Model Risk Management & Governance

09:00 - 10:00

  • 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
  • Continuous Model Monitoring

10:3011:00

Morning break

10:00 - 10:15

11:0012:30

How to Build a Model Risk Management Framework

09:00 - 10:00

  • 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 

12:3013:30

Lunch

12:00 - 13:00

13:3015:00

Model Validation & Performance Analysis

09:00 - 10:00

  • What is validation? 
  • Improving the models 
  • Validation tools
  • Performance analysis review 
  • How to quantify model limitations 
  • Vendor and third-party model validation

15:0015:30

Afternoon networking break

15:00 - 15:30

15:3017:00

Pricing Models & Prudent Valuation

10:15 - 11:15

  • 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 

17:0017:00

End of Day 1

11:15 - 11:16

08:3009:00

Registration

08:45 - 09:00

09:0010:30

Model Risk Management of Non-pricing Models

10:15 - 11:15

  • 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?

10:3011:00

Morning break

10:00 - 10:15

11:0012:30

Model validation for CECL

12:00 - 12:30

  • 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? 

12:3013:30

Lunch

12:00 - 13:00

13:3015:00

Utilising machine learning for model validation

12:00 - 12:30

  • What is Machine Learning (ML) and Artificial Intelligence (AI) and how to embrace it in the context of Model Validation?
  • How to validate an ML/AI model according to SR11-7 
  • How does ongoing monitoring for ML/AI look like?
  • Regulatory context for ML/AI models (US and EU)
  • MAS FEAT principles 

15:0015:30

Afternoon networking break

15:00 - 15:30

15:3017:00

Model risk into the future

12:00 - 12:30

  • Applying models to new challenges 
  • Data challenges 
  • Automation vs. human judgement 
  • Big data and advanced analytics 
  • Treatment and governance of near-models and non-models 
  • Future of regulation; possible futures
  • Further evolution of models

17:0017:00

End of day 2

11:15 - 11:15