Chartis Research & Numerix Co-Presentation – Best Practices in Model Risk Management
Quantitative models underlie practically all decision-making in the financial markets, underpinning trading, risk management, credit analysis, asset management, operational control and even regulatory oversight. Even the simplest financial instruments are in truth valued using models. When things are going well models are invisible and are part of the furniture. But when they break, or don’t represent “reality” very well, or are used in an inappropriate way, the results can be disastrous – including severe financial loss, damage to a firm’s reputation, and even threaten an industry’s very viability.
So how do firms – and their regulators – typically deal with model risk? How can they uncover hidden model risks and manage the risks they discover? Are there ways to quantify a firm’s model risk exposures and monitor them over time?
Join Numerix on Tuesday, July 15th at 10am EDT as featured speakers
Sidhartha Dash of Chartis Research and Dr. David Eliezer of Numerix review recent industry and regulatory developments in model risk management, as well as discuss best practices in quantifying and monitoring model risk.
Mr. Dash and Dr. Eliezer will delve into the following topics:
Model risk: defining the context
- Defining model risk
- Defining the landscape
- Key trends
Regulatory perspectives on model risk
- What do regulators want?
- Aligning institutional model risk strategy with regulatory developments
Operationalizing model risk
- Model validation: processes and key issues
- Quantifying and communicating model risk
- Roles and responsibilities
Approaches to quantifying model risk
- Model risk for liquid products
- Methods of model risk for structured products
- Survey of standard models approach
- Hedge performance approach
- Hedge performance measurement
Model performance monitoring
Attendance is complimentary, Registration is required.
Space is limited, reserve your seat today!