Event Programme

26th June 2019


Registration and refreshments


Welcome remarks


Keynote Address 


Panel: Model risk management in a rapidly evolving regulatory and technological landscape

  • Impact of technological innovations in the market and how to effectively manage the risk in the new models

  • Where are the biggest demands coming from?

  • Who should provide model approval to be compliant with regulatory expectations? The first or second line of defence?

  • How to efficiently report exposure to model implementation risk to senior managers?

  • Lessons from implementing IFRS9 – What were the challenges of developing forward-looking, point-in-time assessments?

  • What are the governance requirements for stage transitions and backtesting requirements?


Morning coffee and networking break

Speed networking: Network and build quick connections with the most influential players in the model risk community. Invite only.


Presentation: Building a strong model risk management and governance framework

  • Model governance and MRM framework to comply with increasing supervisory requirements such as the ECB TRIM guide

  • Key elements for an effective model governance framework

  • What are the main controls for model risk management? How should they be monitored/tested?

  • How should model risk be measured, reported and an appropriate risk appetite set?

Paul Burnett, Global Head of Traded Risk Analytics, HSBC


Panel: Model risk management - Effective practices for stress testing

  • What is the impact of the PRA’s recent Supervisory Statement and its major challenges?

  • How have you approached the model validation that is required for stress testing used for the ICAAP?

  • How are you accounting for Brexit scenarios in your stress test?

  • What does the future hold for MRM?


WAR GAMES - How resilient is your environment?

During this session, participants are presented with an unfolding model risk scenario and tasked with considering the immediate steps they would advise their firm to take based on the information available at each stage

PART I: Scenario dissection and strategizing

  • Scenario one: Paul Burnett, Global Head of Traded Risk Analytics, HSBC

  • Scenario two:

  • Scenario three:

PART II: Harvest session

Each leader will summarise their POA of the discussion and present it back to the table participants with comments


Lunch and networking break


Panel: Gaining competitive advantage - Deploying machine learning techniques in model risk management

  • Benefits of machine learning for modelling

  • Recent advancements in machine learning interpretability techniques

  • What is the model risk in machine learning models?

  • What are the challenges and limitations of machine learning? Assessing regulatory expectations of model reliability, robustness and explainability

  • What model risk tasks should be done in house and which should or could be outsourced and which can you automate?

Sarah Tremel, Global Head of Product Control Analytics, HSBC

Paul Peeling, Senior Technical Consultant, MATHWORKS


Spotlight on: Model Risk and AI - An internal audit perspective

  • Image of internal audit vs actual role

  • What internal audit is looking for

  • How to interact with internal audit

  • How to audit AI?

  • Audit use of AI

Christopher Hall, Head of Model Risk Audit, HSBC


Afternoon refreshment and networking break

Knowledge cafes: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals

Roundtable 1: AI and Machine Learning

Roundtable 2: Brexit

Roundtable 3: FRTB

Roundtable 4: Libor


Fireside chat: Transitioning to a post-Libor world - A model risk outlook

  • Where are we on the RFR transition plan and how are market participants using RFRs?

  • What are the wider impacts of losing a rate that is so prevalent in valuation, risk and forecasting models?

  • How do you see the NMRFs evolution with the upcoming phasing out of LIBOR?

  • Threat of Libor reform on risk modelling under FRTB

  • Impact of effectively managing and delivering FRTB and Libor program schedules in parallel

William Cooper, Head of Risk, Denmark, SEB


Panel: Model risk in FRTB

  • What is the current regulatory status of FRTB and what are the implementation challenges?

  • Examining the central role of model risk in FRTB

  • Historical time series

  • Modellability rules (RFET)

  • Scenario generation

  • PnL caculations

  • Stress period calibration

  • ES calculations

Suman Datta, Head Portfolio Quantitative Research, LLOYDS BANKING GROUP


Closing remarks