Risk model validation: implementation tools and techniques
View AgendaKey reasons to attend
- Gain skills and tools for effective risk model validation
- Focus on design, implementation and validation of models
- Build own roadmap for validation and explore next steps in the journey
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About the course
Build your knowledge of risk model validation through understanding key elements of risk models and best practices for creating a validation framework in your institution.
Participants will gain insight into the stages of risk model validation including the roles, expectations and general rules of a validation framework. Combined with a deeper understanding of risk models and the role of statistics in risk model validation, participants will have the skills needed for successful implementation.
A case study and examples will solidify concepts presented by subject matter experts regarding risk model validation for different areas of risk such as market risk, credit portfolio models and credit risk.
Participants will also explore model governance, inventory and next steps in their risk model validation journey.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance*
- 3-for-2 rate: save over $2,000 by booking a group of three attendees*
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber*
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*T&Cs apply
Learning objectives
- Apply the tools needed for successful design and implementation of risk models
- Validate and utilise model results by statistical methods
- Perform scenario analysis for credit portfolio models
- Demonstrate statistical methods for validating data
- Identify model risk governance and model inventory strategies
- Proactively use machine learning techniques to benchmark market risk models
Who should attend
Relevant departments may include but are not limited to:
- Risk model validation
- Model risk
- Risk management
- Market / credit risk management
- Stress testing
- Model review
Agenda
Sessions:
- The origin of risk models
- Elements of risk models and risk model failures
- Building a roadmap for validation
- Toolbox one: machine learning/market risk
- Toolbox two: credit portfolio models
- Toolbox three: credit risk
- Looking back and looking ahead
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- Risk Model Validation (3rd edition)
- EU banks balk at new market risk models back test
- A new automated model validation tool for financial institutions
- New BoE rules could force banks to cull multiplying models
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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