Model Risk Management Masterclass

Delve into best practice approaches to building a model risk framework. You will be equipped with a thorough understanding of model risk now and into the future, including the impact of machine learning.

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Model Risk Management Masterclass 

28 September - 1 October, Online

1-4 December, Online - ENQUIRE HERE

View Course Agenda   Pricing & Registration

Led by expert practitioners, this virtual course will provide attendees with a practical insight into the emerging trends and challenges in model risk management.

Participants will learn about the regulatory requirements for MRM as well as practical model risk governance examples, successful implementation of an MRM framework and the tools to establish a state-of-the-art model risk management function.

This course will also develop participants understanding of MRM for different types of credit and pricing models as well as how to identify and mitigate model and input risk and look to how AI be used in MRM in the future.

Interactive 60-minute presentations are spread over four days to facilitate discussion between participants and course leaders and to ensure maximum engagement with the technical content explored during this course.

What will you learn?
  • An overview of regulatory context and requirements for MRM
  • Practical examples of model risk governance implementation
  • The core elements involved in building MRM frameworks
  • Understand the model risk oversight function and related responsibilities
  • MRM for different credit risk and pricing models
  • The implications of artificial intelligence on MRM
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Who should attend?

Relevant departments may include but are not limited to:

  • Model risk management
  • Risk modelling
  • Internal audit
  • Model control
  • Market control
  • Modelling
  • Model and pricing validation
  • Internal audit/model review
  • Quantitative analysis
  • Credit and market risk
Online training

Our live, virtual training courses have been designed to engage and inspire you. Much more than a webinar, our approach includes:

  • Technical content compressed into 60-minute interactive sessions and spread out over two, three or four days
  • Facilitated collaboration including Q&A, interactive polling and group workshops
  • Live interaction with subject matter experts – get your questions answered in real time
  • Receive comprehensive course materials and supporting content from Risk.net to reinforce your learning
  • Stay connected with other learners and extend your network by joining our dedicated LinkedIn group for course participants

28 September 2020
2020-09-28 14:00:00 +0100

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Sjoerd Kampen

Director

Deloitte

Sjoerd works in the Financial Risk team of Deloitte, with over 10 years of experience in the financial sector. He has worked on numerous assignments in the areas of model risk management, model development and validation within the financial services industry, including banks, insurers and investment managers.

His focus is on the development of model risk management frameworks, model risk management tooling and on the model development and validation of regulatory and non-regulatory market risk models.

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Koen Dessens

Partner

Deloitte

Koen Dessens leads the Financial Risk team at Deloitte and has over 17 year of experience in the financial sector. With that experience he brings insights across a wide range of model types, with a focus on credit, market and economic capital methodologies. He is responsible for the model risk management initiative at Deloitte and has assisted numerous financial institutions with building a leading model risk management framework.

 

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Radka Margitova

Director | financial services risk consulting

PwC

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Suman Datta

Head, portfolio quantitative research

Lloyds Banking Group

Suman Datta heads up the Portfolio Quantitative Research function within Lloyds Banking Group Markets division and is responsible for strategic cross-asset portfolio analytics covering FRTB, Prudential Valuation, Initial Margin, PnL Attribution and Stress Testing.

Suman also acts as the business/IT partner for architecting the next-generation risk and valuation platform to be used by trading, risk and finance functions. His background is in quantitative finance, technology and business strategy and key areas of interest are in bank regulation, digitisation and application of quantitative methods in new areas within finance

Tim-Oliver Müller

Manager | Financial Services Risk Consulting

PwC

Fabien Choujaa

Global head of algorithmic trading model risk management

Morgan Stanley

Fabien Choujaa is a senior leader in Algorithmic Trading and Artificial Intelligence with over 15 years of experience in both areas around the world. Fabien joined the Institutional Equity Division of Morgan Stanley as a Desk Strategist in 2014 and currently heads Algorithmic Trading Model Risk Management for all asset classes globally. Prior to this, Fabien was a Desk Quantitative Analyst at UBS headquarters and held research positions in Artificial Intelligence at IBM and Imperial College London.

Fabien Choujaa has a PhD in Machine Learning from Imperial College London for which he received the EPSRC PhD+ Doctoral Prize.

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Manan Rawal

Head of Americas model risk management

MUFG

Manan N. Rawal, EVP and Head of Model Risk Management of HNAH since September 2017.  He joined HSBC in 2008 and has held positions in client risk management, market risk, and stress testing.  Prior to joining HSBC in 2008, Mr. Rawal has held trading and asset management roles at DKR Capital, Advent Capital, Swiss Re and Deutsche Bank spanning a period from 1994 – 2007.

He has an international executive MBA (Trium – HEC Paris, NYU, and the London School of Economics), M.Sc. in Economics (London School of Economics) and a B.S. in Finance from the Wharton School (University of Pennsylvania). He is also an adjunct faculty member of the New York Institute of Finance (https://www.nyif.com/).

His interests include thinking about the impact of technology / data / analytics on society, wine, traveling, and focusing on the positive.

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Philipp Schröder

Senior Manager

PwC

Philipp is a Senior Manager in PwC Germany‘s Quantitative Risk Advisory team and is coordinating the PwC offering for FRTB Internal Models throughout Continental Europe. He works primarily in the areas of market risk internal models and quantitative risk management. He has assisted a number of clients on projects related to the introduction and validation of FRTB models or model components.

Before joining PwC Philipp was working with a German based consultancy which specializes in quantitative risk management. His clients include various international commercial banks. His latest engagements focus on Market Risk and Counterparty Risk Model validations and policy frameworks.

Matt Zietsman

previously global co-head of model risk, BIA

Ex-Barclays

Matt is the former Barclays Global Co-Head of Model Risk (BIA) and previously held senior roles within PwC’s Risk Modelling Services division and served as the Head of ALM Modelling for the Barclays Corporate & Investment Banks.

He has broad experience in model risk management & governance across the full model life cycle, including:

  • Design, implementation and review of model risk frameworks & governance processes for start-ups and multinational financial services firms.
  • Development and validation of risk, treasury, stress testing, trading, optimisation, planning & forecasting models.
  • Model risk audit and assurance reporting to boards, risk committees and audit committees.
  • Regulatory engagement & compliance including managing model risk exams, regulatory reporting, obtaining regulatory approval for new models and providing advisory services.  

Matt is also an active member of various working groups focussed on model risk management & governance of machine learning models in the financial services industry.

Prior to moving into model risk management, Matt held various roles within risk, treasury and front office markets, where he gained deep experience in managing risk exposures during periods of stress, including being one of the lead members of the London Clearing House (LCH) team responsible for hedging, unwinding & managing the risk of the $9 trillion Lehman Brothers swap, bond & repo portfolios post the banks’ default and the subsequent enhancement of default management strategies & models.

Matt holds degrees in accounting and finance and is a qualified CFA Charterholder.