Course Agenda

Agenda

Model Risk Management Masterclass | Agenda

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Live virtual course | Agenda timing is in GMT

Respective time in HKT/SGT:
Start: 4:30pm
Break 1: 5:30pm
Break 2: 6:45pm
Finish: 8:00pm
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08:3009:30

Regulatory landscape of model risk

14:00 - 15:00

  • Introduction to model risk management
  • Overview of regulations and requirements
  • Model definition and model inventory expansion
  • Model risk monitoring and reporting
  • Core elements of a model risk management framework
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.

 

09:3009:45

Break

15:00 - 15:15

09:4522:45

Building a model risk management framework

15:15 - 16:15

  • Organisation and governance
  • Model ownership role and CRCU
  • Responsibilities of model risk management, model oversight and model validation teams
  • Practical examples of model risk governance implementation
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.

 

10:4511:00

Break

15:00 - 15:15

11:0012:00

Practical insights on the model risk management function

14:00 - 15:00

  • Model candidate assessment
  • Key components
  • Design principles
  • Model risk oversight function and related responsibilities
  • Sources, assessment & quantification
Keith Garbutt

Global Head of Model Validation

HSBC

08:3009:30

Future of model risk management

15:15 - 16:15

  • COVID-19 – how are current models behaving under the current scenario
  • How do we make models more reactive
  • Model uncertainty 
    • Scope clarification 
    • Pricing considerations
  • Model monitoring
  • Data challenges
    • Alternative data sources 
    • Current data structures – limitations 
Deepak Kumar

VP, Model Risk

Citi

Deepak works with Citigroup currently in the Model Risk Management team leading projects across geographical locations. He has more than a decade of experience in the Banking sector and has worked into several roles including Model Validation and Model Audit, Market Risk Management, Mid Office/ALM operations, Treasury & Government Bond dealings, FOREX operations.

He worked in multiple assignments with the emphasis on models with financial regulations and regulatory examination across diverse jurisdictions, including the US Fed, OCC, FSA, PRA, RBI and Basel 2 & 3 Banking Regulations. Strong experience in developing Stress Framework, Risk Appetite for a bank, VaR/ SVaR implementation on global market risk exposure, “developing, validating and auditing Pricing models”.

09:3009:45

Break

15:00 - 15:15

09:4510:45

Model risk management for pricing models

14:00 - 15:00

  • Operating models for different sized banks
  • Industry approach to pricing models
  • Identification and mitigation of model risk
  • MRM for different pricing models
    • Liquidity models
    • Model risk traded market risk
    • Non-traded market risk 
Nicholas Grandchamp

Head of Model Risk, Quantitative and Analytics team, Global Markets

HSBC

10:4511:00

Break

15:00 - 15:15

11:0012:00

Model risk management of credit models

15:15 - 16:15

  • 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
Matteo Crippa

Senior Manager

Standard Chartered Bank

Experienced risk analytics manager with almost 15 years of experience in Europe and Asia in quantitative risk management in global banking institutions.

I have been working in market, operational and credit risk modelling, heading both model development and model validation teams.

08:3009:30

AI and ML capabilities in model risk management

14:00 - 15:00

  • Current trends AI
  • Explainability of AI models 
  • AML and fraud detection capabilities 
  • Automation opportunities
Jacob Kosoff

Head of Model Risk Management and Validation

Regions Bank

Jacob Kosoff is the Head of Model Risk Management and Validation (MRMV) at Regions Bank, serving in this role since May 2014.  Jacob has held roles in model development, credit review and model risk management at Genesis Analytics, Freddie Mac & PNC prior to joining Regions. 

Jacob serves on the Alabama Commission on Artificial Intelligence and Associated Technologies, an appointment he received from the Governor of Alabama.  Jacob also serves as a member of the Board of Directors of the Levite Jewish Community Center and as a member of the CEO Search Committee for the Birmingham Jewish Federation.

Jacob was recently nominated by Regions Bank and selected by the Birmingham Business Journal as a Top 40 under 40 award recipient.  

Jacob has developed a strong and stable quantitative team that has benefited from under 10% annual external turnover over the past four years.  Jacob’s biggest accomplishment in his career has been in helping over 25 model risk management associates grow into other crucial roles at Regions that align with their career architecture plans and the banks’ needs.

The Regions model risk management and validation team is comprised of 44% female associates, up from 13% when he started in 2014.

Jacob is married Ilene Kosoff and they have three children. 

09:3009:45

Break

15:00 - 15:15

09:4510:45

Model risk management within stress testing

15:15 - 16:15

  • How to deal with abnormal macro-economic factors 
  • Governance and validation 
  • Quantitative validation
  • PRA supervisory statement 
Steven Claxton

Head of Risk - ASEAN

SAS

18 years’ of Financial Institution (banking & insurance) experience accumulated across the ASPAC region (Australia, Singapore, Hong Kong, 

Malaysia, Thailand, Indonesia, Philippines) both in an ‘in-house’ and Consultant (KPMG Advisory) capacity. Qualified Actuary (AIAA) (Member of Banking Practice Committee – Actuaries Institute) and B.Sc (Applied & Computational Mathematics).

Primary areas of practice & expertise:

- Credit risk measurement & management: Stress Testing, AIRB (across Sovereign, FI, Corporate, and Retail), Specialised Lending, Securitisation, Economic Capital, IFRS 9, Scorecarding (application, behavioural & collection) 

- Operational risk measurement & management: data modelling, scenario analysis, 

- Balance sheet/behavioural modelling: deposit attrition modelling & prepayment/presettlement modelling 

- Portfolio stress testing & economic capital modelling

- Internal Capital/Liquidity Adequacy Assessment Process (ICAAP/ILAAP)

An active user of SAS since approximately June 2001 (version 8.2) covering Base & Macro/IML/ETS/STAT/OR/EM and have applied the product across a variety of applications, to list a few:

-          Fair valuation of exotic derivatives (Executive Share Options (ESO’s))

-          Default & pre-settlement contingency models (IFRS 9)

-          Quantification of economic capital (credit & operational risk)

-          Frequency & severity models for short-tailed insurance products (insurance risk)

Sample Clients: Westpac, DBS, Maybank, Kasikorn, Bank Mandiri, PNB, Asian Development Bank (ADB)