Your model risk highlights on the RiskMinds International 2018 agenda
Model risk agenda
We've got a whole stream of content on model risk on Thursday 6 December. Key topics under discussion include:
- Surveying the model risk landscape: A U.S. supervisor’s perspective
- Understanding volatility surface movements: a machine learning approach
- How to fully embed model risk governance on an end to end basis
- Global ripple effects of SR11-7 type model governance
- AI models – opening the black box
- Using challenger models as a benchmark
Why Not Also Attend:
Stress Testing: Theory and Practice Workshop
Workshop leader: Ken Abbott, Former US IHC Chief Risk Officer, Barclays & Professor, Baruch College, CUNY and Thomas Groen, Head of Capital Risk, Barclays
This will be an interactive workshop focusing on the theory and practice of enterprise wide stress testing for banks. It will explain the evolution of stress testing over recent years and define the many different stress tests currently run by banks. It will compare the different approaches of regulators and provide practical guidance for those involved in implementing stress testing programmes within banks.
Machine Learning in Finance Workshop
Workshop leader: John Hull, Maple Financial Professor of Derivatives & Risk Management at Joseph L. Rotman School of Management, University of Toronto
This workshop is designed for participants who are new to machine learning and want to acquire skills in this area. In order to succeed in finance, individuals need to understand enough about machine learning to use it as a tool. This means that they must (a) understand in a general way how the algorithms work, (b) know how to interpret machine leaning output and be able to make decisions on next steps in an analysis, and (c) communicate effectively with data-science professionals. The workshop will focus on developing these skills.
Practical Implementation of FRTB Workshop
Workshop leader: Rita Gnutti, Head of Internal Model Market and Counterparty Risk, Intesa Sanpaolo.
This workshop covers the capital requirement framework for market risk in the trading book in light of the new timeline announced by BCBS in Dec 2017 about implementation and reporting date for FRTB.
Starting from the features of the current regulatory framework, it provides an overview of the most relevant methodological, organizational and implementation challenges from a practitioner point of view, taking into account recent regulatory evolutions.