Course Agenda

Agenda

Model Risk Management Masterclass | Agenda

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Live virtual course | Agenda timing is in BST

Respective time in EST:
Start: 9:00am
Break: 10:00am
Finish: 11:15am
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14:0015:00

Introduction and model risk management 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

Building model risk management governance across the model lifecycle

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
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

Practical insights on the model risk management function

15:15 - 16:15

  • Model candidate assessment
  • Key components
  • Design principles
  • Model risk oversight function and related responsibilities
  • Sources, assessment & quantification
Juan Gonzalez Herrera

vice-president, global treasury risk management

State Street

Juan Gonzalez Herrera has over 20 years of experience on interest rate risk management and derivatives modelling.

He joined State Street Bank and Trust in 2014 as director of quantitative analysis in the Global Treasury Risk Management team, where he led the oversight of interest rate risk, liquidity risk and market risk models, as well as the development of models to be used by the second line of defense. In 2018 Juan joined the Model Risk Management team, where he leads the validation of models related to Treasury Risk, including behavioral modelling of deposits. Before joining State Street Juan worked for Santander US, leading the modelling and methodology for market risk models. Additionally, Juan spent 5 years as consulting manager on ALM, with wide-ranging exposure to banking markets in the US, Canada, LATAM, Europe and China. His previous experience also includes several years of academic teaching, mainly focused on risk management and derivatives.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Aftermath of COVID-19

14:00 - 15:00

  • What is happening in the market currently
  • Where do the models need to be now?
  • How to adjust models from using historical data
  • Making models more robust

14:0015:00

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
    • FO pricing models

15:0015:15

Break

15:00 - 15:15

15:1516:15

Model risk management of credit models

15:15 - 16:15

  • Gaining 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
Grigoris Karakoulas

president and founder

InfoAgora Inc

Grigoris Karakoulas is the president and founder of InfoAgora Inc. that has provided risk management consulting, prescriptive analytics, RegTech solutions (CECL/ IFRS9/IRRBB/Basel III) and model risk management services to Fortune-500 financial institutions with multi-million dollar benefits. He is also Adjunct Professor in the Department of Computer Science at the University of Toronto. Grigoris has published more than 40 papers in journals and conference proceedings in the areas of machine learning, risk management and predictive modelling in banking. He is on the PRMIA subject matter boards for Stress Testing and Enterprise Risk Management. He holds a PhD in Computer Science (Artificial Intelligence).

14:0015:00

AI & model risk management technology

14:00 - 15:00

  • Current trends and capabilities of AI
  • Regulatory perspective on AI and MRM
    Applying AI applications to typical model risk management frameworks
  • MRM technology capabilities
Rogelio Cuevas

senior manager, data scientist

Previously TD Bank

Rogelio Cuevas was a data scientist, senior manager at TD Bank where his main responsibility was providing data science and machine learning solutions for different lines of business. Prior to his tenure with TD Bank, he was a data scientist at Scotiabank where he developed credit risk models in retail banking through the prototyping and implementation of machine learning techniques. 

He is an active member of the Toronto data science community where he offers mentoring and training to professionals. Part of these activities include being a panelist at Rotman School of Business, mentor at Insight Data Science Toronto and invited speaker at University of Toronto. 

Before his experience in the financial sector, Rogelio contributed with IBM through its Cognitive Class initiative, formerly known as Big Data University. 

Rogelio has a strong academic background and research experience that he acquired working in academic institutions that include McMaster University, Duke University and The University of Western Ontario. 
 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Emerging dangers in model risk

15:15 - 16:15

  • The impossible ask
    • Increasing breadth of coverage
    • Increasing depth of validation
    • Controlling costs
  • Impacts on model risk as Ibor transition progresses
  • Managing model risk