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
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)
  • Estimating capacity for model validation
  • Model risk quantification – setting model risk appetite
  • Continuous Model Monitoring

10:30

Morning break

11:00

Model validation & performance analysis

  • What is validation?
  • Improving the models
  • Validation tools
  • Performance analysis review
  • How to quantify model limitations
  • Vendor and third-party model validation

12:30

Lunch

1:30

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

3:00

Afternoon break

3:30

Model risk into the future

  • Applying models to new challenges
  • Data challenges
  • Automation vs. human judgement
  • Big data and advanced analytics
  • Treatment and governance of near-models and non-models
  • Future of regulation; possible futures
  • Further evolution of models

5:00

End of the forum.