Stress Testing – Developing an efficient and streamlined risk management process to ensure accuracy of model inventory

Stress Testing – Developing an efficient and streamlined risk management process to ensure accuracy of model inventory

By Dmitry Lobaskin, Co-Head of Risk Model Validation, Executive Director, Nomura

Can you please tell the Risk Insights readers a little bit about yourself, your experiences and what your current professional focus is?

I have over 10 years of experience in model validation of various Front Office (starting from IR, then FX and Hybrids) and all types of Risk Models. My current primary focus is on validation of credit exposure, margin calculations and, most recently, stress testing models used within Nomura Group.

What, for you, are the benefits of attending a conference like the ‘Stress Testing Europe Summit’?

Getting insight on and sharing useful practices in stress testing

You will be participating in our model risk panel discussion, what do you think will be the main talking points amongst panelists and why?

I think that one of the topics will be rolling out of model risk governance for stress testing models in light of the recently issued PRA expectations on “Model risk management principles for stress testing”

 How do you see the risk landscape evolving over the next 6-12 months?

On model risk side, I would expect further inflow of models and subsequent update of model risk frameworks. Increased regulatory scrutiny (PRA SS3/18 for stress testing and TRIM) will be another major challenge, especially, for banks which were not under strict model governance before. Adding to that, Brexit driven moves of operations from the UK to Europe may cause some banks to re-apply for permission to use their internally developed models in new regulatory regimes. Even though such models may have been approved in the past, obtaining new waivers might be more challenging under increased regulatory scrutiny.

You may also be interested in our Stress Testing Europe Summit…

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