Model Risk Management Europe

08:00 registration and breakfast

08:50 Chair’s opening remarks

GOVERNANCE PANEL DISCUSSION
09:00 Refining governance practices into BAU for operational effectiveness

• Impact on validation cycle
• Three lines of defence models
  • Cultural shifts
  • Skills to perform requirements in each line
• Using governance as a competitive advantage
• Providing faster service to businesses to bring product to market quicker
• Regulatory approval with strong governance
• Control responsibility

Stuart Burns, Senior Technical Specialist, PRA
Naz Jhalli, Deputy Head of Balance Sheet Risk Control, Nordea
Keith Garbutt, Head of Independent Model Review, HSBC
Heidi Jenvey, Head of Risk Modelling, Close Brothers

09:50 Measuring model risk across the institution and individual models for effective oversight

• Expectations and what it’s possible to do across various classes of models
• Linkage to firm’s risk appetite statement
• Is aggregate measure of model risk effective?
• Gap between regulations and practices
• Expectations across model classes
• Aggregating uncertainty
• Treatment of models in isolation

Andrew Mackay, Head of Strategy, Model Risk, RBS

10:30 Morning refreshment break and networking

11:00 Model performance monitoring and its role in model risk management

• Timely review of model
• Monitoring data required
• Development of audit tools
• Objectives across companies
• Model performance rate data
• Calculation methods
• Macro-economic factors
• What model performance is acceptable

STRESS TESTING MODELS
11:40 Robust stress testing model risk coverage and alignment across multiple external regulatory regimes

• Analysing different internal stress testing requirements and principle risk types, as well as financial and non-financial risks
• Ensuring a robust model risk coverage strategy and gap analysis to ensure compliance with SS 3/18
• Sufficient coverage of model risk on a vertical and horizontal basis
• Alignment of stress testing model risk management between the three lines of defence and regulators
• Impact and interaction with Recovery and Resolution

Matt Zietsman, Model Risk Director, Barclays

12:20 Lunch break and networking

13:20 Ensuring complete and accurate data input for explainable and actionable outputs

• Running advanced analytics with data constrictions
• Computing power clouding solutions
• Data utilization in border constrictions
• Self-learning models not producing normal risks
• Explaining decision making
• Understanding where data is coming from metrics around data
• External data providers: understanding modelling choices for external models

AI/MACHINE LEARNING
14:00 Implementation and use cases of AI and machine learning in model risk management

• Uses for operationalising model risk
• Educating staff and decision makers
• Review and governance processes to reflect use
• Adapting to changing market conditions
• Sensitivity of construction
• Testing models and understanding decisions
• Regulatory expectations

Philipp Rindler, Monitoring, Surveillance, and Operational Risk Model Validation, UBS

14:40 Afternoon refreshment break and networking

15:10 Implementing a three-lines of defence structure specific to model risk management

• Changing culture to incorporate lines of defence model
• Changing mindset of first and second line
• Third line systems and processes
• Documentation and transparency of development and challenge
• Practical implementation
• Designing roles and responsibilities specific to model risk
• Implementing a consistent model risk management framework

Rosemarie Flanagan, Head of Risk Governance & Frameworks, AIB Bank

VALIDATION
15:50 Validation of traditional and non-traditional models to ensure transparency and oversight

• Effective independent model validation team
• Transparency for external models
• Managing compliance for existing models
• Sensible measure for model risk
• Testing implementation of models
• Validating theory and testing of implementation and specification
• Validation at a legal entity level
• Understanding regional aspects of validation framework
• Independent modelling framework for validation

Alan Forrest, Head of Independent Validation Unit, Clydesdale and Yorkshire Bank tbc
 

16:30 Capturing and explaining risks to understand full picture and demonstrate value

• Potential missing risks faced for big return
• Long data cashflows
• Regulatory and capital pressures
• Targets for RoI
• Validation and oversight across bank
• Generating returns for models
• Managing all risks with limited budget
• What risks aren’t being measured

Diego Onorato, Head of Group Internal Validation, Intesa Sanpaolo 

17:10 Chair’s closing remarks

17:20 End of day one and drinks reception

*PLEASE NOTE THIS AGENDA IS SUBJECT TO CHANGE*

08:15 Registration and breakfast

08:50 Chair’s opening remarks

GLOBAL REGULATIONS PANEL DISCUSSION
09:00 Reviewing the global regulatory landscape and requirements across jurisdictions

• Implementation challenges and shortcomings of BCBS 239
• Harmonising regulatory change across suite of models
• Setting clear guidance across the institution
• TRIM and FRTB
• SR 11-7 requirements
  • Application to macro data
• PRA supervisory statement for model risk management for stress testing
  • Requirements for validating stress testing models
• Single supervisory system in Europe
  • o ECB guidelines and methodology
• Global alignment of processes
• Results across regions and legal entities
• Model reporting requirements
• Documentation, requirements and supervisory statements

Neels Vosloo, Head of EMEA Regulatory Risk, Bank of America Merrill Lynch
Azar Khurshid, Director, Global Market Risk Management, Mizuho
Keith Garbutt, Head of Independent Model Review, HSBC
Slava Obraztsov, Managing Director, Global Head of Model Validation, Nomura

TRIM
09:50 Understanding model validation requirements under new TRIM framework to ensure compliance

• Different modelling choices
• Defining a model
  • Definitions under FRTB
• What is MRM validating?
• Increased number of portfolios under ECB with Brexit
• Interpretations and assumptions
• Unifying and harmonising frameworks

10:30 Morning refreshment breaks and networking

QUANTIFYING MODEL RISK PANEL DISCUSSION
11:00 Quantifying model risk and aligning with risk appetite to drive strategy

• Translation into equivalent risk appetite
• Relying on effective operational metrics for control systems
• Creating consistent framework in the industry
• Introduction of performance metrics
• Quantifying on individual model basis and aggregate
• Quantification of non-established models
• Taxonomy position of model risk
• Economic loss for a model failure
• Identifying model weaknesses

Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group
Dada Radan, Head of Strategic Risk Management, Sberbank
Matt Zietsman, Model Risk Director, Barclays

ORGANISATIONAL STRATEGY
11:50 Example of model risk implementation at a retail bank

• Defining an adequate multi-risk and compliant MRM framework
• Stakeholder involvement and supervisory expectations
• Embedding the three lines of defence
• Model Risk Reporting

Herman Graaff, Head of Model Validation, de Volksbank

12:30 Lunch break and networking

MODEL INVENTORY PANEL DISCUSSION
13:30 Effective identification and measurement of model risk for a full view of inventory

• Model risk identification processes
• New product processes
• Reporting to senior management
• Understanding output and response
• Governance of identification
• Ensuring models are understandable, usable and actionable

Tanguy Dehapiot, Head of Valuation Risk, BNP Paribas
Rosemarie Flanagan, Head of Risk Governance & Frameworks, AIB Bank
Naz Jhalli, Deputy Head of Balance Sheet Risk Control, Nordea

AUDIT

14:20 Expectations for internal audit: What does a good control environment look like?

• Comprehensive and effectiveness of practices
• Coordinating third line with regulators
• Benchmarking with industry peers for new models set up
• Independent assessment of control environment
• Benchmarking practices
• Auditing model risk
• Ensuring a complete inventory

Gilles Artaud, Group General Inspection – Supervisor, Crédit Agricole SA

15:00 Challenges and practices of effective existing model landscape maintenance

• Working effectively and independently from model validation team
• Managing compliance and new regulatory challenges
• Effective mitigation of model risks
• Transparency for external models
• Handling the issues versus full model redevelopment
• Effective collaboration with model owner

Darius Grinvaldas, Head of Credit Risk Modelling 1 (PD Maintenance) / GRM Vilnius Site Leader, Danske Bank A/S

CAPITAL MODELS
15:40 Managing and reporting capital risk models and determining appropriate capital levels

• Utilizing innovative for oversight whilst maintaining security
• Requirements for capital models’ governance
• Control level reporting
• Building model risk into risk appetite framework
• Involving senior management in approving capital levels
• Determining optimal increase of capital

Raphael Albrecht, Director, Credit Analytics, Credit Portfolio Modelling, Credit Suisse

16:20 Chair’s closing remarks

16:30 End of Summit

*PLEASE NOTE THIS AGENDA IS SUBJECT TO CHANGE*

Raphael Albrecht, Director, Credit Analytics, Credit Portfolio Modelling, Credit Suisse

Raphael is leading the Regulatory Credit Portfolio Modelling team at Credit Suisse London currently focussing on IRC and FRTB DRC. His past positions in the City include the lead in quant research with a hedge fund, a quant researcher role within Global Markets Advisory at RBS, leading the Market Risk Economic Capital Methodology group at Deutsche Bank and covering several asset classes within Pricing Model Validation at Barclays. Prior to moving to London Raphael worked as a quant portfolio manager for Deka Investment in Frankfurt and a research assistant at the Mathematical Institute at the University of Bonn.

Gilles Artaud, Group General Inspection – Supervisor, Crédit Agricole SA

Gilles Artaud has been working in investment banking for the last 25 years, where he held various positions within Quant, Front Office, IT and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.

After managing IT and Quant teams in the 1^st line of defence (Front Office), he moved to 2^nd line of defence (Risk) to lead topics around CCR, XVA, IM and many regulatory topics. He’s now in charge for the 3^rd line of defence of Model Audit for Group Inspection in Group Crédit Agricole SA.

Stuart Burns , Senior Technical Specialist, PRA

Stuart Burns is responsible for IRB Model Review at the PRA. He oversees the treatment of credit risk RWAs under the PRA’s Annual Cyclical Scenario (stress testing). He also led the thematic review of rating replicator models for wholesale credit across a number of firms.
Stuart has over 20 years of experience delivering credit risk, stress testing and economic capital models. This includes roles as:
• Senior Director Model Validation at Standard & Poor’s
• Head of Models for the Rainbow Business at RBS
• Head of Credit Risk Methodology at Barclays Capital
• Head of Corporate Analytics at HSBC
• Head of Economic Capital and Model Risk Management at Standard Chartered Bank

Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group

Suman Datta will be presenting at the Model Risk Management Europe Summit

Tanguy Dehapiot, Head of Valuation Risk, BNP Paribas

Tanguy has studied at Ecole Polytechnique in Paris and is member of the French Institute of Actuaries. He has been working during his entire career at BNP Paribas, starting as a quantitative analyst on derivatives valuation and risk management measures and then creating the Model Risk Team within the Market Risk department that has defined the model control framework and implemented valuation reserves.

He is the Chief Valuation Risk Officer within the Risk department that is involved in all aspects of valuation governance and more specifically model control including accounting and regulatory aspects. He has been working in industry working groups such as the IASB Expert Advisory panel on Valuation, the Basel Committee Accounting Task Force work, the International Valuation Standard Council (IVSC) as well as the AFME working Group on the Prudent value regulation set by EBA. He has been very active in the XVA debates.

Since January of 2018 I am heading PD (Rating, Scoring models) maintenance for the whole Danske Bank Group.

Rosemarie Flanagan, Head of Risk Governance & Frameworks, AIB Bank

Rosemarie Flanagan leads the Risk Governance and Frameworks function within Enterprise Risk Management in AIB Bank. In her current role Rosemarie has responsibility for establishing the Model Risk Management function, including ownership of the Group’s model risk policies and model inventory, oversight of model risk management and model governance. Prior to joining AIB in 2018, Rosemarie worked in model development, governance and credit risk roles in Bank of Ireland, and spent five years in the UK Prudential Regulation Authority where she specialised in Pillar 2, stress testing and model risk reviews of domestic and international banks.

Alan Forrest, Head of Independent Validation Unit, Clydesdale and Yorkshire Bank tbc

Alan Forrest is a Credit Risk Modeller and Model Validator, with over 15 years experience in UK Financial Services. In 2016, he joined Clydesdale and Yorkshire Bank as Head of the Independent Model Validation Unit. leading a team of 6 experienced quantitative analysts and model validators to support the Bank’s aims in modelling all areas of Risk, including IRB, IFRS9 and Stress Testing.
Before joining CYBG, he led for 2 years the Commercial Credit Risk Modelling team in the Williams and Glyn Bank, within Royal Bank of Scotland, setting up the new function within the then planned challenger bank. Previous to that, he had over 8 years experience validating Banking Book Credit Risk models, in RBS and in HBoS, covering retail and corporate areas, IRB and operational functions, as well as Economic Capital and Stress Testing models.
He has contributed actively to industry debate on modelling, especially about Low Default Portfolios, and about the quantification of Model Risk in Credit Risk models. He is a Professional Statistician and frequent presenter at Industry Conferences, with a Masters in Applied Statistics and a PhD in Pure Mathematics, as well as over 10 years international experience in Mathematical Research and Lecturing at University level.

Keith Garbutt, Head of Independent Model Review, HSBC

Keith Garbutt is the Global Head of Independent Model Review at HSBC, helping the team to conduct over 1500 validation projects each year. He joined HSBC in 2018 from Credit Suisse, where he started as head of pricing model validation, developed risk model validation, then created the firm’s overall Model Risk Management function. Keith joined Credit Suisse First Boston in 2004 from Deutsche Bank where he was also head of pricing model validation, following earlier experience at Bankers Trust and Samuel Montagu. Keith holds a Ph.D. and Master of Engineering in Aeronautics and Astronautics, both from the University of Southampton, UK

Herman Graaff, Head of Model Validation, de Volksbank

Herman Graaff is Head of Model Validation at de Volksbank since 2018. He has worked for the bank since 2013 in several functions within the Risk department. De Volksbank (formerly SNS REAAL) is a retail bank with a focus on retail mortgages and savings accounts in the Netherlands. The Model Validation department has an enterprise wide scope, covering all portfolios and risk types within the Bank.

Darius Grinvaldas, Head of Credit Risk Modeling 1 (PD Maintenance) / GRM Vilnius Site Leader, Danske Bank A/S

I have more than 12 years of experience in financial analysis, equity research and risk management areas. For the last 9 years I have been working in credit risk management area of Danske Bank Group.
My experience includes risk analysis of credit portfolio, IRB parameter estimation and modelling, various other IRB related projects and activities.

Since May of 2017 I am a Site Leader for GRM Vilnius site (around 80 risk management professionals from 19 different teams), in which a number of Danske Bank GRM modelling and risk analysis teams are working together globally with the professionals from Copenhagen and other places of Danske Bank Group.

Since January of 2018 I am heading PD (Rating, Scoring models) maintenance for the whole Danske Bank Group.

Evgueni Ivantsov, Chairman, European Risk Management Council

Dr Evgueni Ivantsov is Chairman of the European Risk Management Council and the author of Heads or Tails: Financial Disaster, Risk Management and Survival Strategy in the World of Extreme Risk. He is a member of the Advisory Group on Global Risks of the World Economic Forum and an external advisor to European Investment Bank.
Evgueni has a more than 20-year career in the banking sector working in global and large banks. His most recent role in banking was Head of Portfolio Management & Strategy at Lloyds Banking Group. Prior to this role, he worked at HSBC as a Head of Global Analytics and a Head of Portfolio Risk. Evgueni also worked in senior risk management roles at ING Group and Banque Bruxelles Lambert. In his risk management career, he was responsible for areas like stress testing, risk appetite, capital management, portfolio risk optimisation and risk modelling and analytics.
Dr Ivantsov is also a visiting Professor of Cass Business School (City University, London) and before was a visiting Professor of International Economics at the Boston University and a visiting Professor of Money, Banking and Credit at the United Business Institutes in Brussels.

Heidi Jenvey, Head of Risk Modelling, Close Brothers

Heidi is an experienced model practitioner, currently Head of Credit Risk Modelling at Close Brothers, covering IRB, IFRS9 and Stress Testing models. Prior to this, Heidi has spent more than 15 years in a range of quantitative risk management roles at banks such as RBS, GE Capital and Santander, across many modelling disciplines and in both the first and second line. Heidi has also worked on two banking licence applications and been responsible for standing up model development and governance functions.

Heidi is an experienced model practitioner, currently Head of Credit Risk Modelling at Close Brothers, covering IRB, IFRS9 and Stress Testing models. Prior to this, Heidi has spent more than 15 years in a range of quantitative risk management roles at banks such as RBS, GE Capital and Santander, across many modelling disciplines and in both the first and second line. Heidi has also worked on two banking licence applications and been responsible for standing up model development and governance functions.

Heidi is an experienced model practitioner, currently Head of Credit Risk Modelling at Close Brothers, covering IRB, IFRS9 and Stress Testing models. Prior to this, Heidi has spent more than 15 years in a range of quantitative risk management roles at banks such as RBS, GE Capital and Santander, across many modelling disciplines and in both the first and second line. Heidi has also worked on two banking licence applications and been responsible for standing up model development and governance functions.

Heidi is an experienced model practitioner, currently Head of Credit Risk Modelling at Close Brothers, covering IRB, IFRS9 and Stress Testing models. Prior to this, Heidi has spent more than 15 years in a range of quantitative risk management roles at banks such as RBS, GE Capital and Santander, across many modelling disciplines and in both the first and second line. Heidi has also worked on two banking licence applications and been responsible for standing up model development and governance functions.

Naz Jhalli, Deputy Head of Balance Sheet Risk Control, Nordea

Naz Jhalli will be presenting at the Model Risk Management Europe Summit

Azar Khurshid, Director, Global Risk Management, Mizuho

Azar has over 10 years of experience in Financial Risk Management. Currently he is the Global Business director for the FRTB and related Regulatory projects at Mizuho. He also manages the current Internal model for Market Risk. Previously he was at Barclays capital for 7.5 years, where he worked with Equity derivatives risk management and risk reporting and also in counterparty credit risk.
Azar has a doctorate degree in Neuroscience and Masters in Computational intelligence.

Andrew Mackay, Head of Strategy, Model Risk, RBS

Andrew has 15 years of experience in banking, working in recoveries, portfolio debt optimization, as a derivatives trader, and 10+ in risk management and modelling. Andrew joined RBS in 2007 and having started in the credit validation team, then moving to the Central validation team, has spent the past four 4 years developing and embedding the Bank’s Model Risk Framework.  Within Model Risk, Andrew has been integral in designing the evolving framework and is now leading the Model Risk Strategy team, with primary responsibility for delivering a new Model Risk Management System.

Slava Obraztsov, Managing Director, Global Head of Model Validation, Nomura

Slava Obraztsov has been Global Head of the Model Validation Group at Nomura since 2007. His previous roles include Global Head of Model Validation at Bear Stearns, Senior Quantitative Model Risk Analyst at Commerzbank and Head of Risk Analytics at ANZ. He was awarded a PhD in Mathematics from Moscow State University and has held a number of academic positions at Russian and Australian universities.

Dada Radan, Head of Strategic Risk Management, Sberbank

Dada Radan will be presenting at the Model Risk Management Europe Summit

Diego Onorato, Head of Group Internal Validation, Intesa SanPaolo

Diego Onorato has over 18 years of experience in the financial industry and is currently Head of Group Internal Validation within the CRO Area of Intesa Sanpaolo.

Previously, as Head of Risk Capital and Policies, he was responsible for Group Risk Appetite Framework, economic capital models and stress testing methodologies, retail, insurance and country risk.

Before that, Diego spent three years in the field of counterparty risk management, leading the counterparty risk team in Intesa-Sanpaolo, developing the internal model, managing the validation process and finally achieving the regulatory validation by Bank of Italy in 2014.

Prior to joining Intesa-Sanpaolo in 2012, he was a Senior Manager in the advisory practice of Ernst & Young, responsible for several projects for Italian and European financial institutions in the field of risk, finance, regulatory and strategic operations.

Diego holds a Degree in Statistics and Economics at Università Cattolica del Sacro Cuore Milano where he achieved the final score of 110/110 cum laude.

Philipp Rindler, Monitoring, Surveillance, and Operational Risk Model Validation, UBS

Philipp Rindler will be presenting at the Model Risk Management Europe Summit

Neels Vosloo, Head of EMEA Regulatory Risk, Bank of America Merill Lynch

Neels Vosloo is the Head of EMEA Regulatory Risk within Global Markets Risk Management at BAML. Before joining BAML, Neels headed up the Traded Risk Modelling team in Deloitte’s Risk Advisory practice in London. He has worked in risk modelling roles across market and counterparty risk, and has been a Senior Risk Specialist in the Traded Risk Department at the PRA, overseeing the transitions to both the CRD III and CRD IV / CRR regimes, and participating in drafting the first version of the Fundamental Review of the Trading Book (FRTB). Neels hold degrees in Mathematics, Philosophy, and Actuarial Science from the University of Pretoria.

Matt Zietsman, Model Risk Director, Barclays

Matt Zietsman will be presenting at the Model Risk Management Europe Summit

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