MODEL RISK TRAINING COURSE - DURATION 2 DAYS
At the end of the course participants will be able to:
- Identify the main sources of model risk
- Explain the potential consequences of neglecting model risk
- Assess the impact of model risk on various instruments in the banking
book or trading book
- Be aware of Basel II's consideration of model risk and its relevance
to Pillar 2 of the new Basel Accord
- Acknowledge the importance of model testing
- Identify processes to limit (if not entirely eliminate) model risk
- Assess the role of senior managers in managing model risk
- Identify procedures for vetting and reviewing models
- Acknowledge the function of an independent risk oversight (IRO) unit.
Who Should Attend
- Strategic Business Development professionals
- Risk department staff
- Regulatory department staff
- Internal Auditors
Classroom lectures and intensive hands-on practical workshop
sessions including up-to-date case studies.
Working knowledge of Microsoft Excel
Very basic working knowledge of visual basic macros in Microsoft Excel.
Session 1: Introduction to risk
- Model risk defined
- Sources of model risk
- Challenges involved with quantifying model risk
- Methods for estimating model risk, given an unknown component from
a financial model
- Case Study/Exercise: Chaos, space shuttle Challenger, Mars probe
Session 2: Introduction to model risk
- Ways risk managers can protect against model risk
- Role of senior managers in managing model risk
- Procedures for vetting and reviewing a model
- Function of an independent risk oversight (IRO) unit
- Case Study/Exercise: Barings, LTCM, Amaranth,
Session 3: Model building – how and why
- How does one go about constructing a model?
- Simple examples
- What do most of use to construct models? Why is it not the best medium?
- Given that excel is here to stay, what can be done to mitigate model
- Where are the excel pitfalls? Random number generator, for example
Session 4: The importance of second pairs of eyes - validation
- How does one go about validating models?
- Simple examples
- What are the processes involved in validation
- Stress and scenario testing
- The importance of oversight
State of the art facilities
Delegates can study in our comfortable hi-tech learning environment in
London, near Liverpool Street Station.
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Course Venue: London EC2