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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

London 27 & 28 September

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New York 12 & 13 September

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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