Course Agenda

Agenda

September Virtual Training Agenda

Agenda timing is in BST
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Session one - 2pm BST/ 9am EDT
Session two - 3.15pm BST/ 10.15am EDT
End - 4.15pm BST/ 11.15am EDT
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14:0015:00

Model risk, the regulatory landscape and building blocks

14:00 - 15:00

  • Introduction to model risk management
  • Overview of regulatory context and requirements
  • Definition of models, model risk and model risk management
  • Model risk policies, documents, and processes
  • Model inventory, including capturing model interconnectivity
  • Model risk monitoring and reporting (including quantification and tiering)
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.

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.

 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Model risk management governance

15:15 - 16:15

  • Governance and roles across the three lines of defence for model risk
  • Practical examples of model risk governance implementation
  • Model risk governance across the model lifecycle
  • Responsibilities for model risk, model validation and model risk oversight
  • Adapting traditional model governance: lessons learnt from Covid-19
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.

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.

 

14:0015:00

Building a model risk management framework

14:00 - 15:00

  • Core elements of an MRM framework
  • MRM organisation: lines of defence, MR function and the model owner role
  • MRM policies and procedures: MRM policy, model definition, model risk appetite and model tiering
  • MRM tools: inventory, workflow, and reporting
  • Successfully implementing an MRM framework

15:0015:15

Break

15:00 - 15:15

15:1516:15

Practical insights into establishing a state-of-the-art model risk management function

15:15 - 16:15

  • Model candidate assessment
  • Components & design principles
  • Sources, assessment & quantification
  • Model risk oversight function and related responsibilities
  • Model risk dashboard & reporting
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.

14:0015:00

Model risk management of credit models

14:00 - 15:00

  • How to gain efficiencies in the modelling process
  • What are the top key success factors? 
  • Model performance monitoring for credit risk models
  • MRM for different credit risk models
    • Regulatory capital
    • IFRS9
    • Stress testing
Tim-Oliver Müller

Manager | Financial Services Risk Consulting

PwC

Radka Margitova

Director | financial services risk consulting

PwC

15:0015:15

Break

15:00 - 15:15

15:1516:15

Model risk management for pricing models

15:15 - 16:15

  • Emerging dangers from current practices in model risk
  • Operating models for different size banks
  • Industry approach to pricing models
  • Identification and mitigation of model and input risk
  • MRM for different pricing models
    • Liquidity models
    • FO pricing models
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

14:0015:00

AI & model risk management technology

14:00 - 15:00

  • Implication of artificial intelligence on MRM
    • Current trends and capabilities
  • Regulatory perspective on AI and MRM
  • Applying ‘traditional’ model risk management frameworks to AI applications
  • MRM technology capabilities
    • What in model validation can be automated?
    • Understanding and utilising data
    • How can AI be used in the future?
  • Governance of AI and the ethical dilemmas associated with AI models
Fabien Choujaa

Global head of algorithmic trading model risk management

Morgan Stanley

15:0015:15

Break

15:00 - 15:15

15:1516:15

Emerging dangers from current practices in model risk

15:15 - 16:15

  • The impossible ask – how to increase breadth of coverage, depth of validation, while controlling costs?
  • Looking back on the pandemic and what are the next steps for MRM
  • Impacts on model risk as IBOR transition progresses
  • Winning back to original goal – managing model risk
Manan Rawal

Head of model risk management americas

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.