Event Programme

26th June 2019


Registration and refreshments


Welcome remarks: Tom Osborn, Editor, Risk Management,

8:55 Chair's opening remarks: Thomas Obitz, Director, Risk Transform


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

  • What are the drivers of change and where are the biggest dem/ands coming from?
  • Positioning of Model Risk in the overall firm’s risk taxonomy along with other types of risk
  • How to efficiently report exposure to model risk to senior managers?
  • Impact of technological innovation and how to effectively manage model risk attached to AI

Moderator: Grazia Rapisarda, Head of Model Risk, Fidelity International

Nikolai Kukharkin, Managing Director, Head of Model Risk Management, TIAA

Claus Murmann, Head of Risk Analytics Systems, Standard Chartered Bank

Alex Oleinikov, Head of Model Risk Management, Danske Bank Group


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


Presentation: Modelling the cross-currency basis

  • Cross-currency basis: what is it?

  • Drivers and causes of the basis

  • Cross currency basis and FX hedging of fixed income instruments; costs and opportunities

  • Cross currency basis, debt issuance and investment currency choice; the effect of credit spreads

Proffesor Jessica James, Managing Director, Senior Qunatitative Researcher, Commerzbank AG


Morning coffee and networking break

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


Presentation: Managing the risks of AI

  • Regulatory initiatives

  • Creating a validation framework for AI

  • Handling bias, transparency and explainability

  • Leveraging ML for more efficient model risk management 

Jos Gheerardyn, CEO and Founder, Yields.Io


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?

Moderator: Julian Phillips, Global Head, Enterprise Risk Analytics, Standard Chartered Bank

Sarah Tremel, Global Head of Product Control Analytics, HSBC

Paul Peeling, Senior Technical Consultant, Mathworks

Guenther Helbok, Head of Credit PD Models and Data Science, Unicredit Bank Austria

Priti Sinha, Head of SAF Analytics, NatWest Markets


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


Lunch and networking break


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: Adolfo Montoro, Director, Market Risk Management & Risk Methodology - Global Head of Market Data Strategy & Analytics, Deutsche Bank

PART II: Harvest session

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


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 – Christopher Hall, Head of Model Risk Audit, HSBC

Roundtable 2: Detecting valuation models shortcoming and deficiencies – Laurent-Olivier Valigny, Global Head of Valuation Risk Product Controls, HSBC FRANCE

Roundtable 3: FRTB - Thomas Obitz, Director, Risk Transform

Roundtable 4: Libor - Maria Nogueiras, Head of Collateral Risk Analytics, HSBC

Roundtable 5: Stress testing - Emma Jameson, Head of Model Risk Control, Santander and John Brent, Head of Stress Testing Policy and Model Governance, HSBC


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

Moderator: Adolfo Montoro, Director, Market Risk Management & Risk Methodology - Global Head of Market Data Strategy & Analytics, Deutsche Bank

Maria Nogueiras, Head of Collateral Risk Analytics, HSBC

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

Moderator: Tom Osborn, Editor, Risk Management,

Adolfo Montoro, Director, Market Risk Management & Risk Methodology - Global Head of Market Data Strategy & Analytics, Deutsche Bank

Suman Datta, Head Portfolio Quantitative Research, LLOYDS BANKING GROUP

Thomas Obitz, Director, Risk Transform


Thomas Obitz, Director, Risk Transform