Model Risk Management Best Practices
Short course
In New York (USA)
*Indicative price
Original amount in USD:
$ 3,190
Description
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Type
Short course
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Location
New york (USA)
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Duration
2 Days
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Start date
Different dates available
This program covers the key aspects relating to model risk management as practiced by leading financial institutions. The course addresses common issues of model design inadequacy, parameter flaws, interpolating and bootstrapping errors as well as reliance on back testing on out of sample data sets from a practical viewpoint.
A broad range of models are covered, including pricing, market risk, credit portfolio, economic capital, counterparty risk and stress testing models. Issues of regulatory compliance and governance, policies and controls get addressed from a functional perspective with an aim to achieve efficiency when dealing with model risks in banking.
Facilities
Location
Start date
Start date
About this course
Auditors (internal and external)
Industry Regulators
Risk Managers and Risk Controllers
Banking Executives
Compliance Officers
A basic understanding of risk management and standard measures of risk. A basic understanding of probability and the mathematical foundations of financial models.
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This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 16 years
Subjects
- IT risk
- Risk
- Testing
- Market
- Risk Management
- Market Risk
- Governance
- Credit
- Risk Sources
- Dimensionality
- Economic Decisions
- Eigenvalue
- Cholesky
- Bootstrapping Errors
- Stress VaR
- Volatilities
Teachers and trainers (1)
Andre Horovitz
Teacher
Andre Horovitz is the Founder of Financial Risk Fitness and has over 25 years of experience in the financial services industry. Mr Horovitz started his banking career at Lehman Brothers, where he was responsible for pricing, developing hedging strategies and marketing exotic interest rate derivatives. He subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Nagler & Company and was Chief Risk Officer at Erste Bank and Credit Suisse. He is a frequent speaker at conferences and a contributor to various industry journals.
Course programme
Introduction of Model Risks and illustration of severe losses resulted from inadequate use of models in banks
Internal Rating Models and challenges
- Calibration to Rating Agencies Models (PDs)
- Validation Issues
- Reliance on Spreads and other Market Data
- Reliance on historical back testing
- Mapping to Risk Factors
- Wrong & Corrupt Datasets on Key Parameters: rates, volatilities, ETF values, etc.
- Interpolation and Bootstrapping Errors
- Errors resulting from dimensionality reduction
- Cholesky Decomposition
- Eigenvalue eigenvector Analyses
- LVaR; Liquidity at Risk; Stress VaR, Expected Shortfall (CVaR) & other mitigating measures
- Incremental, component and Marginal VaR
- Augmenting Means – Best Practices
Credit Portfolio Models and Economic Capital Models
- Precision vs Utility – Discussion
- Marginal Economic Decisions – Examples
Governance, Policies and Controls – Best Practices
Model Risk in Counterparty Risk Models
Numerical Simplifications and Dimensionality Reduction Techniques
- American Monte Carlo Methods
- Reduced Form Models
Model Risk Management Best Practices
*Indicative price
Original amount in USD:
$ 3,190