Practical Model Validation
Developing a holistic view of model validation by tackling challenges related to model validation from the technical, regulatory and management perspective.
23-24 Nov 2015
Central London, United Kingdom
- Why You Should Attend
Practical Model Validation
To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.
‘Model risk is the most significant “known unknown” in banking today’
How will you benefit?
These days, risk management is more important than ever, and an often overlooked component of it is model risk (“all models are wrong, but some are useful”, as George Box once put it). Handling this particular risk is the responsibility of model validators, who need to negotiate a complex ecosystem of quantitative / methodological requirements, regulatory setup and the business practice.
This two day course will focus on quantitative and qualitative aspects of model validation as currently practiced in leading financial institutions. The course will present a hands-on approach to industry best practices in model validation, taught by a practitioner with extensive experience of different parts of the modeling community.
The course is designed to provide the attendees with an understanding of the documentation-data-code pipeline characterizing a model validation process, while embedding those considerations in the wider context of expert judgment issues, regulatory framework and the struggle for model validation independence.
About your expert trainer:
Konrad Banachewicz is a freelance quant with a decade of experience in quantitative finance. His company TNG Quant Consultancy provides quantitative consulting services focused research analysis, risk assessment, as well as development and testing of application prototypes and automated reporting procedures. Some projects include: evaluating statistical software engines, developing novel pricing methodologies and construction of predictive models tailored to specific markets.
His previous role was a quantitative analyst at Commodity Services and Solutions, a risk advisory company specializing in commodity risk engineering. Konrad’s responsibilities included construction of hedging strategies and risk metrics development /analysis / implementation in a variety of commodity markets. Prior to that, he worked at RBS as a modeller developing correlation models for an Economic Capital framework encompassing the bank portfolio (wholesale, sovereign and retail). Before joining RBS, Konrad worked at ING as member of the Model Validation team, which is charged with the responsibility of validating risk models applied in different activities of the ING Group. Those ranged from credit risk problems (PD models) to market risk (interest rate exotics, Economic Capital). Konrad began his professional career at All Options, a market maker. He was responsible for Analytical support for trading, model building and validation / implementation in the production environment, cooperation on risk methodology for algorithmic trading.
Konrad holds a PhD in Statistics from Vrije Universiteit Amsterdam, as well as a dual MSc in Applied Mathematics (from Vrije Universiteit Amsterdam and Warsaw University). His studies focused on statistical modelling of risk with applications in credit risk, derivative pricing and insurance problems, stressing the Basel III / Solvency II requirements.
A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.
Who should attend?
From Investment Banks, Financial Service Providers, Asset Managers, Brokerage Firms, Hedge Funds, Consultancies and Solution Providers:
Heads, Managers, Advisors and Market Practitioners in:
Pricing Model Validation
Validation and Valuation
- Why Choose GFMI marcus evans?
marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.
Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.
- Voice of Our Customers
- Join the Discussion
- Event Contact
For all enquiries regarding speaking, sponsoring and attending this conference contact:
101 Finsbury Pavement
London EC2A 1RS
Telephone: +44 (0) 20 3002 3400
Fax: +44 (0) 20 3002 3016