Risk Model Validation

Deep dive into the regulatory expectations of risk model validation, elements of risk models and risk model failures

Risk Model Validation

June 2-4, 2020 | Online

View agenda

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
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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
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Who should attend?

Relevant departments may include but are not limited to:

  • Risk model validation
  • Model risk
  • Risk management
  • Market and credit risk management
  • Stress testing
  • Operational risk and risk appetite
  • Model validation
  • Model review
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Sessions include
  • 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

COVID-19 update

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.

 

The workshop was enriching both for me (as speaker) and the participants, as it allowed for a free-ranging discussion on the latest regulatory trends and their impact on the marketplace.
Singapore Exchange
All presentations are relevant and well discussed. Speakers obtained good delivery of topics.
Bank of the Philippine Islands
One of the best seminars I have attended. I liked the way actual experiences with products discussed were integrated into the presentations
BNY Mellon
You are brilliant. My team are outsourcing most if not all of our training to you at the moment.
Mizuho
Excellent industry history and in-depth knowledge
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Barclays
The learning is mutual when delegates and speakers bring such rich experience from industry and academia. Also inspiring to see so many senior people so motivated to learn new things.
Morgan Stanley

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