Deep dive into the regulatory expectations of risk model validation, elements of risk models and risk model failures
This two-day training course has been specifically designed to focus on the assessment of risk models in the context of concrete risk model implementation.
Attendees will leave the course provided with a toolbox to raise the key questions when it comes to integrating the results of quantitative risk models into business decisions.
There are numerous validation tools available and the course will individually describe these tools and their application in practice.
Attendees will leave the course with the ability to:
Evaluate the validity of a model;
Judge the model’s quality, consistency and regulatory compliance;
Improve a framework for validation; and
Tailor a model-risk approach for your institution
What will you learn?
Elements of risk models and risk model failures
Regulatory expectations of risk model validation
Impact of the FRTB on risk models
The tools to check the limits of quantitative risk models
How to implement a validation strategy for your own institution
The use of data and reporting requirements
Typical set up of a quantitative risk model
Who should attend?
Relevant departments may include but are not limited to:
Risk model validation
Market and credit risk management
Operational risk and risk appetite
The origin of risk models
Elements of risk models – and risk model failures
Building a roadmap for validation
Toolbox 1: machine learning / market risk
Toolbox 2: credit portfolio models
Toolbox 3: credit risk
Looking back and looking ahead
02 June 2020
2020-06-02 02:00:00 +0100
Due to the escalation of the COVID-19 developments and the restrictions being placed on travel, Risk Training has taken the decision to provide our May, June and July training courses virtually.
The decision to move remotely has not been taken lightly, but our utmost priority is to safeguard the wellbeing of all our delegates, speakers and staff.
We are hopeful that we will be able to return to our in-person events later this year, however as this unprecedented situation is changing every day, we remain watchful but also focused on delivering this much anticipated course.