Agenda

Agenda

Model Risk Management Singapore Agenda

Day One - Monday, 18 November 2019

08:30

Registration and Refreshments

09:00

Model Risk Management

  • Model risk management: history and trends
  • Models matter: definitions and the lay of the land
  • Model risk across the model lifecycle
  • Key aspects of Model Risk Management

Dr Simon Goo, Head of Group Risk Analytics Division, Group Risk Management, United Overseas Bank

10:00

Morning Break

10:30

Advanced Analytics Models: Challenges for Model Management

  • Model risks – does it matter?
  • Is ML/AL changing the landscape of risk managing?
  • Emerging challenges of advanced analytics models
  • Managing risks arising from the use of ML/AI
  • Implications to Model Risk Management

Dr Simon Goo, Head of Group Risk Analytics Division, Group Risk Management, United Overseas Bank

11:30

Q & A Session

Dr Simon Goo, Head of Group Risk Analytics Division, Group Risk Management, United Overseas Bank

12:00

Lunch

13:30

Model Validation & Performance Analysis

  • A model defined
  • What is Model Validation?
  • Different approaches to validation
  • Validation approach to pricing models
  • Model Performance Analysis
  • Vendor and third-party model validation

Dishell Gokaldas, Head of Model Validation & Risk Methodology, ANZ

14:30

Q & A Session

Dishell Gokaldas, Head of Model Validation & Risk Methodology, ANZ

15:00

Afternoon Break

15:30

Valuation Adjustments in Pricing Models

  • Source of valuation adjustment in pricing : XVAs
  • Identification of model and input risk 
  • Prudent Valuation
  • How to quantify model risk and limitations
  • Establishing pricing and validation framework

Dishell Gokaldas, Head of Model Validation & Risk Methodology, ANZ

16:30

Q & A Session

Dishell Gokaldas, Head of Model Validation & Risk Methodology, ANZ

17:00

End of Day One

Day Two - Tuesday, 19 November 2019

08:30

Refreshments

09:00

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? 

Frederic Bertholon-Lampiris, Executive Director/Financial Risk, Risk Advisory, Deloitte

10:30

Morning Break

11:00

Model validation and quantification of model risk

  • Scope of model validation in MRM and implications for the validation functions
  • Sources of model risk, model dependencies and quantification of model risk
  • What new strategies and techniques need to be put in place for validating models and assumptions?
  • Is Machine Learning a response to testing assumptions?

Anca Maria Alvirescu, Senior Data Scientist/Financial Risk, Risk Advisory, Deloitte

12:30

Lunch

13:30

Modeling pipeline & risks at each stage

  • Feature selection
  • Cross validation
  • Statistical tests
  • "Breaking" the model
  • Shedding light on the black box

Amandeep Singh Sidhu, Machine Learning Quant, Standard Chartered Bank

15:00

Afternoon Break

15:30

Machine Learning in Market Risk

  • Predicting key risk factors
  • Less liquid instruments
  • Gap risk
  • Capturing asymmetry of risks using ML
  • Moving from central estimate to fan charts
  • Hands on modeling session in R

Amandeep Singh Sidhu, Machine Learning Quant, Standard Chartered Bank

17:00

End of Course