Model Risk Management Europe

08:00 registration and breakfast

08:50 Chair’s opening remarks

Jonathan Steele, Sales Manager, SAS

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
Evgueni Ivantsov, Chairman, European Risk Management Council
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 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 Co-founder, Yields.io

11:40 Model Risk Management: Bringing glamour to risk through modernisation

• Highlights from GARP & SAS’ global survey on AI in Risk
• Insights from SAS’ recent research on the expectations of Model Risk Managers
• The growing importance of MRM in the era of Machine Learning
• The impact of new requirements – including BCBS239 and TRIM

Carsten Krah, Business Solutions Manager, Risk & Banking, SAS

12:20 Lunch break and networking

PANEL DISCUSSION
13:20 Discussing latest trends in model risk management

Paul Burnett, Global Head of Traded Risk Analytics, HSBC 
Suman Datta, Head, Portfolio Quantitative Research, Lloyds Banking Group
Andrew Mackay, Head of Strategy, Model Risk, RBS
Naz Jhalli, Deputy Head of Balance Sheet Risk Control, Nordea

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 – FIRESIDE CHAT
15:50 Validation of traditional and non-traditional models to ensure transparency and oversight

• Model validation across multiple different regions and legal entities
• Expansion of the model risk framework scope and validation
• Different levels of maturity and model-literacy in financial institutions
• Growth in machine learning and AI models

Dimitrios Asvestis, Head of Treasury and Stress Testing Model Risk Management, Deutsche Bank
 

16:30 Model Risk and Internal Validation: developing the new framework

• Model definition and perimeter
• Defining model tiering criteria
• Role and responsibilities
• Economic capital buffer

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

Emmanuel Lesur, HoS, Yields.io

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

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

09:50 The evolution of model risk management processes

• Development of audit tools
• Model risk monitoring
• What model performance is acceptable
• Aggregation and reporting of model risk
• Application to stress testing models

Maurizio Garro, Senior Audit Manager, Modelling, Capital Methodologies and Maret Risk, Group Internal Audit, Lloyds Banking Group

10:30 Morning refreshment breaks and networking

11:00 Technological challenges and opportunities in meeting model validation requirements

• Regulatory expectations and practice on model validation: SR 11-7, TRIM etc.
• Banks’ model validation challenges
• Automation of model validation
• The role of Artificial Intelligence and related techniques in model validation
• Validation of technological solutions

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

QUANTIFYING MODEL RISK PANEL DISCUSSION
11:40 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
Heidi Jenvey, Head of Risk Modelling, Close Brothers
Gilles Artaud, Group General Inspection – Supervisor, Crédit Agricole SA

12:30 Lunch break and networking

ORGANISATIONAL STRATEGY
13:30 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

MODEL INVENTORY PANEL DISCUSSION
14:10 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

15:00 Afternoon refreshment breaks and networking

AUDIT

15:30 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

16:10 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

16:50 Chair’s closing remarks

17:00 End of Summit

*PLEASE NOTE THIS AGENDA IS SUBJECT TO CHANGE*

Dimitrios Asvestis, Head of Treasury and Stress Testing Model Risk Management, Deutsche Bank

Dimitrios is responsible for Treasury and Stress Testing model risk management, with key areas of focus including IRRBB, CCAR, portfolio stress limits etc. Prior to his current role he was responsible for XVA models and also the team that designed and implemented the key controls and infrastructure around pricing models. Dimitrios joined Deutsche Bank in 2009 and has worked as a developer in Counterparty Credit Risk and Market Risk before joining Model Risk. Prior to joining Deutsche Bank, Dimitrios worked in a consulting company, having graduated with an MSc in Finance from the London School of Economics.

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.

Paul Burnett, Global Head of Traded Risk Analytics, HSBC

Paul is the Global Head of Traded Risk Analytics overseeing model development of risk models across Market Risk, Counterparty Credit Risk and Stress Testing. Paul has over 20 years of modelling experience. First, as a physicist modelling the behaviours of very dense, low temperature plasmas; before moving into Finance where he joined a Model Validation team. Paul then spent 7 years in Model Validation before moving into Risk Model Development.

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.

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.

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

Maurizio Garro, Senior Audit Manager, Modelling, Capital Methodologies and Market Risk, Group Internal Audit, Lloyds Banking Group

I work as a Senior Audit Manager for Group Internal Audit at Lloyds Banking Group, where I am involved in providing assurance as SME on market and credit models. My background is in Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing.

Previously, I have worked in the Development and Validation teams of the FO and Risk departments of top banks and consultancy firms in Europe, U.S. and U.K. for over 16 years.

I have earned my Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management from GARP.

I am regular speaker at Risk management events organised by world leading event companies.

Since 2010, I support as mentor start-ups developing products based on AI/ block-chain.

Jos Gheerardyn, CEO and Co-founder, Yields.io

Yields.io Co-Founder and CEO Jos Gheerardyn has built the first FinTech platform that uses AI for real-time model testing and validation on an enterprise-wide scale. A zealous proponent of model risk governance & strategy, Jos is on a mission to empower quants, risk managers and model validators with smarter tools to turn model risk into a business driver.

Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award-winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).

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.

Carsten Krah, Business Solutions Manager, Risk & Banking

Carsten Krah is a former banker who graduated from Ruhr-University of Bochum with a diploma/master of business sciences. He worked for several companies in different countries regarding projects in Basel II/III, liquidity risk management, ALM and IFRS. As risk customer advisor at SAS North-EMEA he is responsible for the successful delivery of solutions that address risk topics for banking.

Emmanuel Lesur, HoS, Yields.io 

Emmanuel is a highly successful global leader with professional sales background and a central member of the executive leadership team.

He has developed a successful global career providing complex Risk and Treasury solutions for Sungard (now FIS) and then Reuters in the UK and North America. For those firms, he then became a Regional manager and then a Global leader, while running the Global Sales team at Smartstream technology. For the last 5 years, Emmanuel has worked in three startups building the business often from ground up. In doing so, he has developed a good understanding of the new dynamics and drivers for its market, but also acquired a good understanding of the new technologies such as AI and how disruptive they can be as well as impacting the way businesses operate.

Emmanuel is an ethical leader, a considerate manager and is moved by mutual beneficial partnership values with his customers.

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.

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

Jonathan Steele, Sales Manager, SAS

Johnny Steele leads the UKI Banking team at SAS, where he has worked for 21 years. The majority of his time at SAS has been focused on financial services and in recent years, he has worked with numerous UK banks on their model risk management initiatives. SAS is market leader in MRM solutions, with over 50 successful implementations across the globe.

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.

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Etc Venues – Monument
8 Eastcheap
London
EC3M 1AE
UK

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