Risk Model Validation, Frankfurt

Risk Training is delighted to offer this specialist training course which has been designed to focus on the assessment of risk models in the context of concrete risk model implementation. There are numerous validation tools available, and the course will individually describe these tools and their application in practice.

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Risk Model Validation

November 13–14, 2019 

Frankfurt

Save €200 - book by October 18

Course guide  

This specialist training course has been designed to focus on the assessment of risk models in the context of concrete risk model implementation. There are numerous validation tools available, and the course will individually describe these tools and their application in practice. 

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 setup of a quantitative risk model

View course guide

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 and model review

View pricing options

Course highlights
  • The origin of risk models 

  • The uses and misuses of statistics in risk modelling 

  • Elements of risk models and risk model failure 

  • Building a road map for validation 

  • Risk model validation: Toolboxes

  • The new regulatory framework: FRTB and TRIM 

  • Model validation examples from market and credit risk

View course agenda

Course tutors

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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.

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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 

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