Develop an in-depth understanding of model risk best practices and how to apply them at your institution.
In the aftermath of the financial crisis, institutions have been reassessing their proficiencies, identifying areas for improvement, and seeking industry best practices through RMA’s timely courses. Created by RMA and its Market Risk Council for market risk professionals, this seminar covers the key aspects of model risk management as practiced by leading financial institutions. The course addresses, from a practical viewpoint, common issues of model design inadequacy, parameter flaws, interpolating and bootstrapping errors, and reliance on back testing of out-of-sample data sets.
It will also address issues of regulatory compliance and governance, policies, and controls from a functional perspective with respect to model risks in banking.
Who will benefit?
- Auditors (internal/external)
- Industry regulators
- Credit and market risk managers
- Risk controllers
- Finance department
- Compliance officers
- Those responsible for delivering the Basel II and Basel III regulation.
- Develop an in-depth understanding of model risk best practices and how to apply them at your institution.
- Create effective models that provide meaningful benefits for your institution.
- Learn how to map to risk factors within pricing models.
- Understand and know how to implement sound governance, policies, and controls pertaining to model risks in banking.
Meet the Expert Trainer
Andre Horovitz is the founder of financial risk fitness, a German-based company providing financial risk management training services. For more than seven years, Mr. Horovitz has been training financial professionals worldwide in financial risk management and financial engineering. With over 20 years of experience in the financial services industry, Mr. Horovitz started his banking career at Lehman Brothers as an investment banking associate and subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Erste Bank, Credit Suisse, and Nagler & Company.
Available Seats:   13
- Introduction of model risks and illustration of severe losses resulting from inadequate use of models in banks.
- Internal Rating Models and Challenge
- Calibration to Rating Agencies Models (PDs)
- Validation Issues
- Reliance on Spreads and other Market Data
- Reliance on Historical Back Testing
- Pricing Models and Risk Sources:
- Mapping to Risk Factors
- Wrong and Corrupt Datasets on Key Parameters: Rates, Volatilities, ETF Values, etc.
- Interpolation and Bootstrapping Errors
- Market Risk Models:
- Errors Resulting from Dimensionality Reduction
- Cholesky decomposition
- Eigenvalue-eigenvector analyses
- Market Liquidity Concerns
- LVaR; liquidity at risk; stress VaR, expected shortfall (CVaR) and other mitigating measures
- Credit Portfolio Models and Economic Capital Models:
- Precision vs. Utility – Discussion
- Marginal Economic Decisions – Examples
- Governance, Policies, and Controls – Best Practices
- Group Discussion
Continuing Education Credits:
NASBA CPE Hours:  15.0
161 Bay St
7th Fl Marine Room
Toronto, ON  M5J 2S8
|Associate member price||$1,499.00|
|Professional member price||$1,599.00|
|Nonassociate at member institutions price||$1,599.00|