Agenda

Agenda

Model Risk Management | Agenda

08:4509:00

Registration

08:45 - 09:00

09:0010:00

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
Matteo Crippa

Senior Manager

Standard Chartered Bank

Experienced risk analytics manager with almost 15 years of experience in Europe and Asia in quantitative risk management in global banking institutions.

I have been working in market, operational and credit risk modelling, heading both model development and model validation teams.

10:0010:15

Morning break

10:00 - 10:15

10:1511:15

Model risk management of non-pricing models

10:15 - 11:15

  • Implementation of a model risk management framework: general principles (ECB guide to internal models)
  • Model risk management principles for stress testing: PRA SS3/18
  • Scope of application, proportionality and model materiality
  • Definition of Model & Model inventory
  • Effective governance, policies, procedures and controls to manage their model risk
  • Robust model development, implementation processes & use of models
  • Model validation and independent review activities
Steven Claxton

Head of Risk - ASEAN

SAS

18 years’ of Financial Institution (banking & insurance) experience accumulated across the ASPAC region (Australia, Singapore, Hong Kong, 

Malaysia, Thailand, Indonesia, Philippines) both in an ‘in-house’ and Consultant (KPMG Advisory) capacity. Qualified Actuary (AIAA) (Member of Banking Practice Committee – Actuaries Institute) and B.Sc (Applied & Computational Mathematics).

Primary areas of practice & expertise:

- Credit risk measurement & management: Stress Testing, AIRB (across Sovereign, FI, Corporate, and Retail), Specialised Lending, Securitisation, Economic Capital, IFRS 9, Scorecarding (application, behavioural & collection) 

- Operational risk measurement & management: data modelling, scenario analysis, 

- Balance sheet/behavioural modelling: deposit attrition modelling & prepayment/presettlement modelling 

- Portfolio stress testing & economic capital modelling

- Internal Capital/Liquidity Adequacy Assessment Process (ICAAP/ILAAP)

An active user of SAS since approximately June 2001 (version 8.2) covering Base & Macro/IML/ETS/STAT/OR/EM and have applied the product across a variety of applications, to list a few:

-          Fair valuation of exotic derivatives (Executive Share Options (ESO’s))

-          Default & pre-settlement contingency models (IFRS 9)

-          Quantification of economic capital (credit & operational risk)

-          Frequency & severity models for short-tailed insurance products (insurance risk)

Sample Clients: Westpac, DBS, Maybank, Kasikorn, Bank Mandiri, PNB, Asian Development Bank (ADB)

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End of day 1

11:15 - 11:16

08:4509:00

Registration

08:45 - 09:00

09:0010:00

How to build a model risk management framework

09:00 - 10:00

  • Model Risk Management Framework Basics
  • Model Inventory process
  • Model lifecycle management (development, validation, implementation, use, periodic review)
  • Policy & standards for model risk
  • Setting risk appetite and estimating capacity for risk
Avinash Voruganti

Associate Director

Protiviti

Avinash is an Associate Director in the Risk and Compliance Practice, where he has led model risk projects for multiple clients within the financial services industry. Prior to joining Protiviti Avinash worked as a senior analyst in Modeling and Analytic Solutions team at a top 5 US Financial Institution. Avinash has over ten years of experience in data analysis and model risk management. He has a Master’s degree in Transportation Engineering from the University of Texas at Austin, with multiple publications in reputed journals. 

10:0010:15

Morning break

10:00 - 10:15

10:1511:15

Impact of FRTB in Model Risk Management

10:15 - 11:15

  • Coverage of the risk model
  • Assessing stability of NMRF and PLAT test statistics
  • Data quality – Risk measurement vs IT perspective
  • Assessment of data source quality
  • Proxy validation
  • Hypothetical P&L
  • The BCBS239 perspective
  • Model documentation requirements
  • Requirements for review by the Third Line
Thomas Obitz

Director

Risk Transform

Thomas Obitz is a management consultant and senior advisor on risk and regulatory driven change. He has designed the operating model transformation in the FRTB implementation of a major global bank and worked on various both operational and quantitative aspects of the regulation.

Thomas has more than 20 years of experience in the Financial Services industry in roles including organizational change, operating model transformation and IT transformation, working as a consultant, project manager and business architect. He has a background in Mathematics, worked for a Big 4 consultancy, is certified as a Financial Risk Manager (GARP FRM) and holds a TOGAF 9 certification. He is founder of RiskTransform, a niche consultancy supporting banks in integrating risk, operating model and IT change, and based in London.

Thomas has published on various aspects of the FRTB and on broader topics of risk change. Special areas of interest are the operational changes required to manage the impact of the regulation, and the data and data quality implications.

Relevant Publications

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End of day 2

11:15 - 11:15

08:4509:00

Registration

08:45 - 09:00

09:0010:00

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
David Spowart

Partner

Deloitte

David has over 23 years of experience working in markets, government treasury, corporate treasury, merchant banking and consulting. He brings a depth of understanding of the products, pricing and risk management, technology and operational risk, organisational design and governance, and human factors that make up a traded markets business within a bank.

Cosima Schroller

Senior Analyst

Deloitte

Cosima has over five years of Auditing and Advisory services experience within the banking sector around the world, including working one year with the German regulatory authority. Her main areas of expertise are quantitative risk management, market and counterparty credit risk measurement, and markets conduct. In addition, Cosima has a first-hand knowledge of pricing derivatives portfolios and regulatory requirements in terms of governance and internal risk management, including model risk management, risk reporting and regulatory reporting.

10:0010:15

Morning break

10:00 - 10:15

10:1511:15

Model validation for IFRS 9

10:15 - 11:15

  • IFRS 9 and covid-19—accounting for expected credit losses
  • Compare & contrast: Forward Looking Scenarios IFRS 9 & Regulatory Stress Test Scenarios & ICAAP scenarios  
  • Sources of model risk in IFRS 9 models, from macro forecasting to model design and usage
  • What new strategies and techniques need to be put in place for testing IFRS 9 models and assumptions
Antonie Jagga

Partner

PwC

Antonie is a Partner in PwC Singapore’s consulting business, leading the Financial Risk Management practice. He is a Fellow of the Faculty of Actuaries (FFA, UK), and he has significant experience in banking, financial risk analytics, credit risk (including expected credit loss and Basel capital modelling) and predictive modelling. Antonie has led projects across a wide range of financial services companies in Asia, South Africa, and the UK.

He is currently responsible for developing PwC’s Risk Consulting practice in Singapore, and he leads Financial Risk Management for South East Asia. This includes recruitment and training of staff, leading teams to deliver large engagements and providing strategic advice to clients.

11:1511:15

End of day 3

11:15 - 11:16

08:4509:00

Registration

08:45 - 09:00

09:0010:00

Addressing ML/AI through the lens of model risk management

09:00 - 10:00

  • Enhancing Machine Learning (ML) and Artificial Intelligence (AI) framework to address ML/AI risks
  • How to embrace these new techniques from the perspective of Model Validation?
  • How does ongoing monitoring for ML/AI look like?
  • MAS FEAT principles, fairness and transparency, a must for ML implementation
  • Regulatory context for ML/AI models (US and EU)
Anca Maria Alvirescu

Senior Data Scientist, Financial Risk

Deloitte

Anca Maria Alvirescu is a senior data scientist in Deloitte Risk Advisory and Financial Risk practice with many years of experience in France and UK. Her work consists in applying innovative techniques to credit risk management, notably for credit risk measurement and quantification topics. She also leads the research around the quantification of model risk using Machine Learning techniques.

10:0010:15

Morning break

10:00 - 10:15

10:1511:15

Model risk into the future

10:15 - 11:15

  • 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
Gennady Chinsky

Senior Risk Consultant

SAS

Gennady is a member of the SAS Risk Business Consulting team for Asia Pacific. His experience spans to IFRS17, Model Risk Management, IFRS9, Operational Risk. Gennady has been with SAS for 5 years as a risk consultant and over 10 years in Risk Management. He also provides value demonstration of business and technical features of SAS risk management solutions to both financial and non-financial organizations and technical support to risk related implementation projects across Asia Pacific region.

Before joining SAS, Gennady worked for Big4, where he took a leading role numerous projects related to Risk Management Advisory, GRC implementations, ERP implementations, IT-security and internal control audits.

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End of training course

11:15 - 11:16