Model Risk

Model Risk within a Basel Environment

A 1-day Training Course

Programme Director:  Risk Reward Faculty

Účastníci

Who Should Attend

  • Directors and non executive directors
  • Risk department staff
  • Operational and middle office staff
  • Regulatory department staff
  • Internal Auditors

Knowledge Pre-Requisites

This is not intended for quantitative analysts seeking to advance their financial modelling knowledge. No detailed financial modelling will be conducted on this course.

Cieľ

Course Description

This practical course will offer insights into the nature and manifestation of model risk within financial services.  The review of the Basel Requirements together with practical examples will highlight how models should be developed, structured, approached and tested.

 

Learning Objectives

At the end of the course participants will be able to:

  • Identify the main sources of model risk
  • Be aware of Basel II's consideration of model risk and its relevance to Pillar 2 of the Basel Accord
  • Understand the importance of model testing
  • Assess the role of senior managers in managing model risk
  • Identify procedures for vetting and reviewing models

Obsah seminára

Course Outline

Session 1:  Introduction to Model Risk

  • Model risk defined
  • Sources of model risk
  • Where are models used?
  • Challenges involved with quantifying model risk
  • Methods for estimating model risk
  • Introduction to sensitivity analysis, stress testing and scenario modelling

 

Session 2:  Introduction to model risk in a Basel framework

  • The basic Basel requirements on models
  • The role of the Board relating to models
  • Role of senior managers in managing model risk
  • Procedures prior to implementing a model
  • Requirements with regard to validating a model
  • The role of internal audit

 

Session 3:  Model building – risks and controls

  • How does one go about constructing a model?
  • Building a scoring model
  • Backtesting models prior to use
  • Documenting a model
  • How to compare outputs to actions

 

Session 4:  The importance of second pairs of eyes - validation

  • How does one go about validating models?
  • The importance of oversight
  • Reviewing outputs
  • Dealing with assumptions

 

Session 5:  Specific Risk Modelling Approaches

  • Credit and counterparty credit risk models
  • Market risk models
  • Liquidity risk models
  • Operational risk models
  • Enterprise risk modelling

Poznámka: seminár v anglickom jazyku

Lektori

Dennis William Cox, is an innovative financial services risk management specialist, chartered accountant and internal auditor who has been a thought leader in the international banking and financial services sector for over 30 years. He has held senior management positions within the banking and accountancy profession as Director.
He has significant expertise in  total risk management, risk – based  internal audit, forensic  accounting, money, Laundering   deterrence,  treasury, credit,  liquidity,  operational  and  market  risk. Dennis is  an accomplished including   international  conference  chairman  and  lecturer, and  is  the  author of  a number  of  publications including Banking  and Finance.

Dĺžka trvania

1 deň

Garant

Mgr. Vladimíra Jacková
tel.: 02/5787 3532
e-mail:

Katalóg kurzov 2017

Vysoko kvalitné a odborné vzdelávacie podujatia pre Vás. Stiahnite si náš kompletný katalóg. 


Povedali o nás...

"Veľmi oceňujem organizáciu seminára Solvency II v rámci IBV NBS, ktorý sa konal v dňoch 4. a 5. októbra. Špeciálne oceňujem orientáciu seminára hlavne na pilier II (risk manažment) a výber kvalifikovaného lektora zo zahraničia s mnohoročnými praktickými skúsenosťami v oblasti risk manažmentu a interného auditu..."
(čítaj viac


Prihláška na podujatia

Formulár záväznej prihlášky na podujatia vo formáte PDF alebo DOC


European Banking & Financial Services Training Association


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Kontaktné údaje

Inštitút bankového vzdelávania NBS, n.o.
Tomášikova 5238/28A,
821 01 Bratislava 2
Slovenská republika

IČO: 42166373

DIČ: 2022730369

telefón 
+ 421 (0)2 5787 3532
+ 421 (0)2 5787 3538

fax
+ 421 (0)2 4363 9314
e-mail