Course Agenda

Agenda

Model Risk Management and Quantification | Agenda

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Live virtual course | Agenda timing is in GMT

Respective time in HKT:
Start: 4:30pm
Break: 5:30pm
Finish: 6:45pm
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08:3009:30

Why manage model risk?

14:00 - 15:00

  • Quick overview of model risk (what is it, its sources)
  • Using model risk management (MRM) in decision making
  • Common pitfalls in MRM and what good looks like
  • Turning model risk quantification into a competitive advantage

09:3009:45

Break

15:00 - 15:15

09:4510:45

Model risk regulatory landscape

15:15 - 16:15

  • Overview of regulations and requirements
  • Minimum requirements (policies, processes, inventory, monitoring and reporting)
  • Desired outcomes
  • Future perspective - model risk management in 2025

08:3009:30

Model risk management framework

15:15 - 16:15

  • Overview of framework
  • Model risk appetite
  • Operating model
  • Organization structure
  • Recent developments - control vs. quantification

09:3009:45

Break

15:00 - 15:15

09:4510:45

Ideal infrastructure for managing model risk

15:15 - 16:15

  • Data engineering
  • Systems requirements
  • An ideal tool
  • Governance setup (policies, committees, processes, controls)

08:3009:30

Case study 1: end-to-end process for model risk management

14:00 - 15:00

  • Identification of model risk
  • Control infrastructure for model risk
  • Quantification of model risk
  • Governance of model risk
  • Link to model risk appetite

09:3009:45

Break

15:00 - 15:15

09:4510:45

Case study 2: worked examples of model risk quantification

15:15 - 16:15

  • An IRB PD model for mortgages
  • Quantification methodology
  • Data requirements
  • Impact on RWA
  • Results of model quantification
  • Stress testing models for climate change (CBES of BoE, ECB)

08:3009:30

Model risk in AI and ML models

14:00 - 15:00

  • What are AI and ML models?
  • Differences and similarities with respect to traditional models
  • Model risk management framework for AI/ML models
  • Worked example: comparison of a traditional and a ML credit risk model

09:3009:45

Break

15:00 - 15:15

09:4510:45

Presentation and use of model risk metrics

15:15 - 16:15

  • Examples of metrics
  • Thresholds and benchmarks
  • Aggregation of results and uses
  • Examples of reporting templates
  • Risk appetite calibration
  • Communicating results and stakeholder engagement
  • Key decisions and next steps based on model risk results