Model Risk Management Europe

Examining model risk best practice, new technologies and the impact of regulation on internal modelling

 

This event will now take place in October 2018

Further details coming soon

 

The application of model risk management is becoming ever more important for banks as the reliance on models to meet regulatory challenges and improve business performance increases. Risk.net is launching the Model Risk Management Summit to look at the analytical skills, governance and structures required for effective model risk management and the role that big data analytics and machine learning have to play. Attention will also focus on the expectations and impact of the ECB's Targeted Review of Internal Models (TRIM). Scrutiny of the adequacy and consistency of internal models is being pushed up the regulatory agenda and this conference will examine how European banks are prioritising compliance efforts and what this means for the future of internal models.

 

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Programme highlights:

KEYNOTE: Addressing the challenge of model risk

Rama Cont, Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics, IMPERIAL COLLEGE

WAR GAMES

  • Scenario 1: Reacting to mitigate the damage of the misuse of a pricing model
  • Scenario 2: Responding to a misinterpretation of a market risk model

THE BIG DEBATE: Does the quantification of model risk make sense?

Raphael Albrecht, Head of IRC Methodology, CREDIT SUISSE

Tanveer Bhatti, Managing Director, Head of Model Risk, Head of Valuation Control, Co-Chair LIBOR Working Group, CITI

PRESENTATION: Managing model risks associated with VaR models

Peter Quell, Head of Portfolio Analytics for Market and Credit Risk, DZ BANK

PANEL DISCUSSION: TRIM - industry opinions and lessons learned

Lutz Weinert, Director, COMMERZBANK

Fabienne Libert, Head of Model Risk Management, ING

More speakers coming soon…

 

  • Understand how to comply with and meet regulatory expectations of TRIM
  • Expert discussions on model risk management under the FRTB regime
  • Benchmark your model risk management programme against established practices and regulatory expectations 
  • In-depth and interactive dialogue with industry practitioners in new innovative ‘war game' formats
  • Learn how other firms are implementing different model validation techniques 
  • Examine the impact of AI on model development 
  • Practical case studies on adopting governance best practice that increases consistency of standards across regulators, jurisdictions and institutions