Model Risk Australia

Model Risk Australia

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Steven Claxton

senior analytical consultant

SAS

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Stephen Edney

head of market risk quantitative support

National Australia Bank

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.

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David Maher

associate director, market risk

National Australia Bank

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.

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Song Ling Ooi

senior manager – pricing & modelling

AMP

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.

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Timo Reinemer

director

Deloitte

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.

Model Risk Australia 2019

 

Day 1 - Tuesday 13 August 2019

08:30

Registration and Refreshments

09:00

Model Risk Management & Governance

  • Model risk management: history and trends
  • Models matter: definitions and the lay of the land
  • Comprehensive MRM framework
  • Setting key governing principles in the model risk policy 
  • Regulatory expectations and best practices: SR11-7 and beyond
  • Challenger and benchmarking models
  • Common weaknesses around MRM
  • Model risk assessment and tiering models by risk ratings
  • Managing model risk across the model lifecycle 

Timo Reinemer, director, Deloitte

10:30

Morning Break

11:00

How to Build a Model Risk Management Framework

  • Development, quantification, integration & implementation 
  • Setting risk appetite, policy & standards for model risk 
  • Model inventory process
  • Model lifecycle management (development, validation, implementation, use, periodic review) 
  • Estimating capacity for risk 
  • Application to stress testing models

Stephen Edney, head of market risk quantitative support, National Australia Bank

12:30

Lunch

13:30

Model Validation & Performance Analysis

  • What is validation? 
  • Improving the models 
  • Validation tools
  • Performance analysis review 
  • How to quantify model limitations 
  • Vendor and third-party model validation 

Song Ling Ooi, senior manager – pricing & modelling, AMP

15:00

Afternoon Break

15:30

Pricing Models & Prudent Valuation

  • Best approach to pricing models 
  • Products in balance sheet 
  • Market of products vs. pricing and hedging 
  • Source of valuation adjustments in pricing 
  • Identification and mitigation of model and input risk 
  • Prudent valuation 
  • Establishing pricing and validation framework 

Stephen Edney, head of market risk quantitative support, National Australia Bank

17:00

End of Day One

 

Day 2 - Wednesday 14 August 2019

08:30

Refreshments

09:00

Model Risk Management of Non-pricing Models 

  • Finance models, including treasury models and IFRS 9 
  • Compliance models (AML) 
  • Retail models (credit scoping/marketing) 
  • What does MRM of non-pricing models look like? 

Steven Claxton, senior analytical consultant, SAS

10:30

Morning Break

11:00

Model Validation for IFRS9 

  • A comparison of the IFRS 9/AASB 9 standard with CECL
  • Inter-action of IFRS 9/AASB 9 and Stress Testing
  • Top down validation: Expected Credit Loss vs Incurred Loss
  • Approaches & validation of significant increase in credit risk
  • Approaches & validation of Probability of Default (PD), Expected Loss Given Default (ELGD) and Expected Exposure at Default (EAD)
  • Approaches & validation of Probability Weighting & Forward Looking Scenarios
  • Effective Interest Rate (EIR): Behavioural Life validation

Steven Claxton, senior analytical consultant, SAS

12:30

Lunch

13:30

Machine Learning for Market Risk – Part 1

  • Basic concepts of Artificial Intelligence and Machine Learning
  • Market Risk use cases of Machine Learning
  • Deep Learning and Market Risk
  • Model Validation issues

David Maher, associate director, market risk, National Australia Bank

15:00

Afternoon Break

15:30

Machine Learning for Market Risk – Part 2

  • ‘Part 1 was nice, but I’m not convinced’
  • Quantile regression and FRTB
  • Application in Python
  • Data Management use cases for FRTB

David Maher, associate director, market risk, National Australia Bank 

17:00

End of Training Course