Risk Model Validation

Elements of risk models and risk model failures; Regulatory expectation of risk model validation; The use of data and reporting requirements

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Risk Model Validation

November 8–10, 2021 | Live Virtual | Time zone: EMEA / APAC

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This online 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 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 

The course is delivered in 90-minute interactive sessions spread over three days.

Attendees will have the opportunity to get their specific questions and challenges addressed by subject matter experts Peter Quell and Christian Meyer. 
 

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What will you learn?

  • Understand the elements of risk models and risk model failures 

  • The regulatory expectation of risk model validation  

  • 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 

  • Understand the 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 / credit risk management 

  • Stress testing 

  • Model review 

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Sessions include

  • The origin of risk models 

  • Elements of risk models and risk model failure

  • Building a roadmap for validation 

  • Toolbox one: machine learning and market risk 

  • Toolbox two: credit portfolio models 

  • Toolbox three: credit risk 

  • Looking back and looking ahead 

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Pricing options

We offer flexible pricing options for this course:

  • Early bird rates - save up to $500

  • Group booking rate - save over $1500

  • Subscribe to receive Risk Training updates and avoid missing out on additional savings

Course Tutors

Dr. Peter Quell

Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit

DZ Bank

Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models, Economic Capital and Model Risk. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. 

Peter is member of the editorial board of the Journal of Risk Model Validation and a founding board member of the Model Risk Managers’ International Association (mrmia.org).

 

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Christian Meyer

Quantitative Analyst in the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit

DZ Bank

Christian Meyer is a quantitative analyst in the portfolio analytics team for market and credit risk in the risk controlling unit of DZ BANK AG in Frankfurt, where he is responsible for the development of portfolio models for credit risk in the banking book and incremental risk in the trading book. Before joining DZ BANK, Christian worked at KPMG, where he dealt with various audit and consulting aspects of market risk, credit risk and economic capital models in the banking industry. He holds a diploma and PhD in mathematics and is a member of the editorial board of the Journal of Risk Model Validation.

Book contributions by Christian Meyer 

Live Virtual training courses

 

Our live virtual training courses have been designed to engage and inspire you. Much more than a webinar, our approach includes:

  • Technical content compressed into 60-minute interactive sessions and spread out over two, three or four days

  • Facilitated collaboration including Q&A, interactive polling and group workshops

  • Live interaction with subject matter experts – get your questions answered in real time

  • Receive comprehensive course materials and supporting content from Risk.net to reinforce your learning

  • Stay connected with other learners and extend your network by joining our dedicated LinkedIn group for course participants

Hear from participants of our live online courses

No distractions that might come from an in-person setting. I had the luxury of quickly multitasking work in the 15-min break, my questions were addressed because they were documented in the chat, etc. It seemed more inclusive'
The Corporation for Interest Rate Management
The online operational risk training course was great, I really got some inspiration to how the risk management department could develop.
Spar Nord
It is a more relaxed atmosphere when I can attend virtually, and the setup worked very well
Red Winter Capital
Course was passionately led by practitioner's with expert knowledge in the field
Peoples Trust Company
The easiness of it. No need to travel to another country and all the positives that comes with it: time management, environmentally friendly, less expensive (days in a hotel, eating out, etc.), still get to have a full work day before the training'
European Bank
The training was clear with lots of good examples we can work on at home
LMRKTS
It's easy to ask questions via chat, it's easy to see and we can attend from home
American Bank
The courses are tailored to the knowledge level of the audience. This ensures that all attendees get the maximum benefit from the course.
Canada Life
Well organised, on time, actually easy to interact with the lecturer
Risk management company
Not the course for you?

Risk Training offers a great selection of courses providing practical guidance on the latest trends, challenges and regulatory changes that span risk management, regulation and derivatives.

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E-Learning

Risk Training’s self-paced E-Learning platform offers Essentials of Operational Risk programme, plus more topics to come soon.
 

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