Managing and Controlling Model Risk
London
27 & 28 September 2012
New York
12 & 13 September 2012
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Learning outcomes:
- Definitive overview of the evolution of model risk
- A clear understanding of validation processes
- Reviewing recent developments in regulation
- Developing strategies to ensure counterparty risk is captured
- Understanding validating valuation models for credit derivatives
- Identifying ways to mitigate model risk in interest rate derivatives.
- An understanding of the role modelling and validating in foreign exchange
Course highlights:
- Understand the historical development of model risk
- Receive a comprehensive introduction to model risk principles
- Consider Basel III as a potential new source of model risk
- Learn how OIS discounting will complicate modelling
- Discuss the validation process - including back testing and benchmarking
- Benefit from discussion with experienced practitioners in a press-free environment
Course dates & venues
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London 27 & 28 September |
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New York 12 & 13 September |
Course tutors
London
- Sanja Hukovic,Executive Director,Model Review UBS
- Chris Kenyon, Director CVA / FVA, Lloyds Banking Group
- Simona Negoita,Senior Internal Auditor, SEB
- Igor Smirnov, Head of Fixed Income Quantitative Research, Europe, Banco Santander
- Peter Whitehead, Director, Group Valuation Oversight, Deutsche Bank
- Rolf Klaas, Risk Analyst, Dekabank
- Erik Winands, Team Leader, Capital Model Validations, Rabobank
New York
- Bernhard Hientzsch,Director, Head of Model, Library, and Tools Development, Model Validation & Approval, Wells Fargo Securities
- Jon Hill, Executive Director, Internal Audit, Morgan Stanley
- Cynthia Wang, Vice President, Quantitative Research, JP Morgan
- Mohammad Nazmul Hasan, Lead Expert, Credit Risk Analytics Division, Office of the Comptroller of the Currency
- Harvey Stein, Head of Counterparty Risk, Bloomberg
- David Annis, Managing Director, Head, Trading Model Validation, Wells Fargo
