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Model Risk Management; Risk and Pricing Models

Incisive Training
Course summary
Length: 2 days
Price: 2,299 GBP excl. VAT
Location: London
Course type: Open / Scheduled

Model Risk Management; Risk and Pricing Models

Model Risk Management; Risk and Pricing Models

Model Risk Management; Risk and Pricing Models - 2 day Course

This course is designed to address Model Risk Management and break it down into a form that is easy to understand for participants, giving them a comprehensive knowledge. This will enable them to build the perfect model and understand how it works - without which would make it worthless. 

A growing number of banks and financial institutions have great reliance on models and quantitative analysis during their decision making process. This is driven by regulation, but also by technological capability and enhanced data. Due to this, the Federal Reserve guidance has placed increased importance on model risk management in the US, and have also increased expected standard in validation and mitigation. Increased risk of managed risk has been caused by growth in quantitative models. Regulatory direction is also expected to grow in the UK and Europe due to the advanced use of models and statistical algorithms to measure financial activity. 

Suitability - Who should attend?

Participants who will benefit from this course include those from:

  • Model Validation
  • Pricing Validation
  • Risk Modelling
  • Front Office Modelling
  • Internal Audit
  • Model Review
  • Model Risk
  • Model Control
  • Quantitative Analysis
  • Market Risk
  • Risk Control
  • Regulatory Reporting

Training Course Content

Course content is as follows:

Day One

Valuation Models, delivered by Sanja Hukovic, Subject Matter Expert

Genesis

  • History of Model Risk Management
  • What has it become
  • Governance, EBA, CRIV, Basel, ISDA
  • Verfication Vs. Validation
  • Operational Risk
  • Politics of Model Risk

Prudent Valuation

  • EBA, regulatory technical standards 
  • AVA, CVA, FVA
  • FRTB on PPE

Pricing Models

  • Best approach to pricing models
  • Testing
  • Pricing of different products
    • Products in the balance sheet
    • Nature of risk
    • Market of each product

Model Validation & Performance Analysis

  • Improving the models
  • Tails risk
  • Validation XVA best practice
  • Validation tools
  • Performance analysis reviews
  • How to quantify model limitations

Day Two

How to build a Model Risk Management Framework

  • Development and quantification
  • Integration and implementation
  • Effective and efficient model use
  • Appetite's and reporting
  • Best practices
    • US framework
    • Limit management
    • PFE
    • Estimating capacity for risk
  • Approaches to Risk Models and different types

Speaker: Konstantina Armata, Managing Director and Global Head of Model Validation & Governance,Deutsche Bank

Model Risk in Market Risk

  • Basic Structure in Market Risk Model
  • Stylized facts in financial markets data Stress Testing
  • Defining a benchmark model
  • The metrics: Volatility, VaR and expected Shortfall
  • CCAR and ICAP
  • Back testing as a validation tool
  • Incremental risk charge: the connection to default risk Back testing
  • Tails Risk
  • Model Risk in the FRTB

Speaker: Peter Quell, Head of Portfolio modelling for Market and Credit Risk, DZ Bank

Optimising Model risk management

  • Definition of Validation
  • Governance
  • Practice of Validation and verification
  • How validation is evolving
  • Optimisation

Speaker: Tanveer Bhatti, Global Head of Model Risk & Valuation Risk, Citigroup

Governance and into the future

  • Best practices UK and Europe
  • US comparison
  • What governance of model risk management is likely to become FRTB

Speaker: Massimo Morini, Head of Interest Rates and credit models, Banca IMI

Expenses

The cost of this course is £2,299 + VAT per participant. Enquire about early bird discount.

In-House options are also available, contact Incisive Training for more information.

Provider: Incisive Training

Incisive Training - Financial and Energy Training Courses for Professionals

Incisive Media is a leading global provider of finance and energy training, with a reputation for delivering timely, relevant courses that benefit from over 15 years of activity in the market. Their topical professional development programmes are based on the...


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