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
- TRIM: unintended consequences
- 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
Hear from the leading experts in model risk
Why Not Also Attend:
Capital Requirements from Basel 2.5 to FRTB Workshop
Workshop leader: Rita Gnutti, Head of Internal Model Market and Counterparty Risk, INTESA SANPAOLO
Covering the capital requirement framework for market risk in the trading book and the forthcoming regulatory evolution with FRTB.
Starting from the current framework to give an overview of its main features, the workshop provides an update on Targeted Review of Internal Models (TRIM) and covers main findings relating to FRTB from a practitioner perspective.
Measuring Market Risk Workshop
Workshop leader: John Hull, Maple Financial Professor Of Derivatives & Risk Management, THE UNIVERSITY OF TORONTO
Covering the quantification of market risk and regulatory developments.
The workshop will have four modules: risk measures, calculating value at risk and expected shortfall, regulation and delta hedging.