Agenda

Agenda

Model Risk Management Singapore Agenda

Day One - Monday, 18 November 2019

08:30

Registration and Refreshments

09:00

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 

10:30

Morning Break

11:00

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 

12:30

Lunch

13:30

Model Validation & Performance Analysis

  • What is Model validation?
  • Different approaches to validation
  • Model Performance Analysis
  • How to quantify model limitations
  • Vendor and third-party model validation

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

15:00

Afternoon Break

15:30

Pricing Models & Prudent Valuation

  • Validation approach to pricing models
  • Source of valuation adjustments in pricing
  • Identification and mitigation of model and input risk
  • Prudent valuation
  • Establishing pricing and validation framework

Dishell Gokaldas, most recently 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

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

15:00

Afternoon Break

15:30

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

17:00

End of Course