Embracing best practises and new tools for model risk management

Workshop

November 4th: Embracing best practises and new tools for model risk management

 

 

Led by:

Stevan Maglic, senior vice president, risk analytics, Regions Bank 
Ben Steiner, chief of staff, global fixed income, BNP Paribas Asset Management 
Barbora Meunier, regional head of model risk governance, Societe Generale
Sophie Bertrand Lim, regional head of model risk validation, Societe Generale
Xiaobo Liu, managing director, head of markets model validation, Wells Fargo

08:20

Registration and breakfast

9.00

How to build a model risk management framework

  • Setting policy & standards for model risk governance
  • Model inventory process
  • Model lifecycle management (development, implementation, use, ongoing monitoring)
  • Model Validation activities (standards definition, prioritization, estimating capacity for model validation)
  • Model risk quantification – setting model risk appetite
  • Continuous Model Monitoring

Barbora Meunier, regional head of model risk governance, Societe Generale
Sophie Bertrand Lim, regional head of model risk validation, Societe Generale

10:30

Morning break

11:00

Model validation & performance analysis

  • The current state of model validation & model risk management
  • Treating model risk as any other risk
  • Setting up an agile framework for model validation
  • Looking ahead: validation automation

Xiaobo Liu, managing director, head of markets model validation, Wells Fargo

12:30

Lunch

1:30

Rethinking analytics, analytical processes, and risk architecture across the enterprise

  • Efficiency gains relating to models and analytical processes
  • Building a more effective risk architecture
  • Thinking holistically about credit, liquidity and interest rate risk
  • Review of model inventory and rationalization of related processes
  • Synergies of integrating models and processes
  • Design, computational, and environment requirements

Stevan Maglic, senior vice president, risk analytics, Regions Bank 

3:00

Afternoon break

3:30

Model risk management for alpha strategies created with deep learning 

  • Understanding the challenges of using deep learning
  • Model risk management to detect when ML strategies are not performing as intended
  • Can you model a constantly moving market?
  • When DL should (and should not) be used

Ben Steiner, chief of staff, global fixed income, BNP Paribas Asset Management 

5:00

End of the forum.