Model Risk Australia

Over 18 years of financial institution risk measurement experience accumulated across the ASPAC (Australia, NZ, Singapore, Hong Kong, Malaysia, Thailand, Indonesia, Philippines) and UAE (Dubai / Bahrain) regions both in an ‘in-house’ (Global/Domestic Systemically Important Banks) and in a professional advisory capacity (KPMG / Deloitte). 

Steven sits on the Cognext.ai Advisory Board where he helps drive the strategic direction of Platform X, an AI/ML based solution for managing and executing regulatory risk management across Credit Risk, Balance Sheet Management (LCR/NSFR), IFRS 9 and Stress Testing use cases. He is a Member (representative of The Actuarial Society of Malaysia) of the International Actuarial Association (IAA) Banking Practice Committee (see IAA). 

Primary areas of professional advisory practice & expertise:

i) Credit risk measurement & management: stress testing, AIRB (across sovereign, FI, corporate, and retail), specialised lending, securitisation, economic capital, IFRS 9, scorecarding (application, behavioural & collection)

ii) Operational risk measurement & management: data modelling, scenario analysis, simulation

iii) Balance sheet/behavioural modelling: deposit attrition modelling & prepayment/pre-settlement modelling

iv) Enterprise-Wide Stress Testing (EWST) & economic capital modelling

v) Internal capital/liquidity adequacy assessment process (ICAAP/ILAAP)

vi) Recovery & Resolution Planning (focusing on Funding & Valuations in Resolution)

vii) Model Risk Management (MRM)       

Stephen is the Head of the Markets Risk Quantitative Support team at NAB since 2015, looking after model validation of derivative models across traded and non-traded markets. Over the previous 15 years Stephen has held roles in NAB in London, CBA and St George Bank, across model validation and model development for traded and non-traded markets. Stephen has also worked with ISDA as part of regulatory engagement with the Basel Committee on the Fundamental Review of the Trading Book reforms.  He holds a PhD in Physics from the University of Sydney.

David is currently the Market Risk Oversight lead for Fixed Income and Interest Rate Derivatives. Prior to this he worked for 10 years as a quantitative analyst in model validation and development. This also included 4 years on NAB’s trading floor in London.  More recently, he has been implementing Machine Learning in the market risk space, including  applications to FRTB.

David holds a PhD in Pure Mathematics from UNSW, and a BSc from Macquarie University, Sydney.

Song leads the Pricing & Modelling team within the Chief Investment Officer function of the Australian Wealth Management business unit in AMP. She is the Senior Manager responsible for the development of the pricing methodology and pricing recommendations for product developments – in particular for the North Guarantee.

Song is also responsible for overseeing the development and assurance of complex models that support both hedging and pricing activities. Having prior data and modelling experience in business areas including Customer Analytics, Hedging Strategy and Operations,  Song understands that a strong risk culture and risk management framework is essential for teams to be able to safely operate in a fast-moving environment that allows for innovation at the same time.

Song is currently leading the education of the Model Risk Management concepts across the CIO function. Her goal is to encourage everyone to embrace the importance of working within the risk management framework and motivating everyone to engage, practice and get better at managing model risks.

Timo is a Director in the Treasury and Capital Markets team at Deloitte Australia. He has 8 years’ experience in providing advisory and assurance services to financial institutions around the globe. During various projects along the three lines of defence he has gained extensive experience in a wide range of quantitative fields including modelling of market risk and counterparty credit risk. He also has developed expertise in qualitative areas such as risk management processes. He focusses on model implementation, development, validation and governance in the Markets business.