Model Risk: The Challenges of Pricing and Risk Modelling

In recent years, model risk management has become a priority due to the increasing pressure regulators are giving to banks and other financial institutions. Some of that pressure comes from the BCBS capital rules for market, credit and operational risk.
In 2011, the OCC released the Supervisory Guidance on Model Risk Management aiming to obtain some transparency and clarity on the models banks and financial institutions use. Although there aren't any specific modelling guidelines in Europe, the release of the Prudent Valuation papers has put a lot of pressure on pricing model risk management.
Risk is delighted to host a two day Model Risk training course in London on the 17th and 18th June. The course aims to examine the main challenges modelling presents, and to offer attendees a platform to discuss and analyse the main pricing and risk models.
The first day of the course will be an overview of model risk and prudent valuation of pricing model risk, followed by validation of pricing models and an examination of reverse model risk. The second day will cover the main challenges of market and counterparty credit risk models and the impact of FRTB in market risk models.

Peter Whitehead, Sanja Hukovic, Adolfo Montoro, Chris Kenyon, Fabian Meier

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