Driving Transformation of Model Life Cycle in Uncertain Time
The COVID-19 pandemic caused a massive disruption in the usage of risk models in banks. Some models have failed in the crisis, others were used with significant judgmental overlays, and most have been regularly re-calibrated as the pandemic effects vary. Compounding the COVID-19 effects are regulatory requirements and models' increasing time to market. Institutions realize that even when they have a clear strategy, having them deployed months later is unsustainable, especially in a rapidly changing environment. Post-COVID, the expected recovery shape will mean redevelopment, resegmentation and perhaps redesign of market strategies. We Thank the PRMIA Montreal, Toronto, Vancouver, Calgary, Edmonton, New York, New York, Boston, Atlanta, San Francisco, Seattle, Washington D.C. and Chicago Chpaters for this informative event.
Leaders will have to make smart choices to make the model strategies efficient and sustainable in a crisis like COVID and be more resilient in the future. This crisis has caused banks to re-evaluate the entire model landscape and model life cycle to build better models, deploy and manage them more efficiently.
This Webinar is brought to you by PRMIA and SAS Institute Inc.
Speakers
Chris Brophy, Sr. Principal Industry Consultant- Banking/Financial Services, SAS
Chris Brophy is Senior Principal Industry Consultant – Banking at SAS Institute. Through innovative software and services, SAS empowers and inspires customers around the world to transform data into intelligence.
Chris has 20 years of experience in the financial services industry with a focus on quantitative risk management. Chris has led both model risk management and model development organizations with direct experience in Stress Testing - CCAR, DFAST, Risk Quantification - CECL, PD, LGD, EAD, and Portfolio Analytics. Chris believes in using data and analytics to provide insights into the increasing complex business problems faced by businesses today. Previously, Chis has held positions at Alliance Data Services, Key Bank, and PNC Bank.
Chris holds a Bachelor of Science degree in Economics from State University of New York at Buffalo, and a Master of Business Administration degree from the University of Rochester Simon School of Business.
Sarah Reppchen, Co-Regional Director PRMIA Vancouver and Leader Financial Services Risk Advisory, Deloitte
Event Moderator
Sarah Reppchen is the Regional Director of the PRMIA Chapter Vancouver, Canada and leading Financial Services for Deloitte’s Risk Advisory practice in Western Canada. At Deloitte, she is responsible for supporting Financial Institutions across Western Canada managing the Regulatory Compliance and Risk Management challenges. Sarah has over 12 years of experience in the financial services industry, especially in auditing and advising Enterprise Risk Management Functions concerning regulatory reporting compliance in the context of the Basel III framework, as well as Risk Governance and Model Risk Management. Sarah’s primary experience was generated on large, complex banks (G-SIBs, D-SIBs), Credit Unions, investment management firms in Canada, Europe and on a global scale. Sarah has worked with the first, second, and third line of defense to inform on optimization opportunities while meeting regulatory requirements. She worked on behalf of EU Supervisory Authorities (ECB, BaFin, PRA) and supported on managing Regulatory Affairs with Regulators in North America. She was mandated by Regulators to support their audits of large banks concerning governance, development of control frameworks and policies. Sarah qualifies as Wirtschaftspruefer, the German CPA (IFAC compliant).
Mario Schlener, Partner, FSRM practice lead, Canada & global FS risk technology, alliance, innovation lead, Ernst & Young LLP
Mario is the Canadian leader of EY’s Financial Services Risk Management Practice since October 2017. Additionally, Mario is also the Global Lead for the FS Risk Consulting practice for Alliances/Technology/Innovation and contributes to several global regulatory initiatives (co-author of Whitepapers) on AI Fairness, Explainability and Privacy. He is leading several EY asset developments using ML/AI applications and solutions for risk management (i.e. credit-, market- ccr- liquidity risk models), AML/Fraud/Cyber (i.e. TM models, CRR models, Sanctions, fraud, cyber/resiliency models) and Compliance (i.e. trade surveillance models). He brings over 23 years of experience in risk and capital markets modelling and quantitative risk management.
Alexander C. Smith, Managing Director Risk Analytics U.S., KPMG
As a Director in KPMG’s Risk Analytics – Modeling and Valuation practice, Alex Smith helps lead credit risk model development engagements for a wide variety of clients within the banking, insurance, and power and utilities industries.
Alex focuses primarily on the development of quantitative loss forecasting and stress testing modes, delivering all phases of the model development life. Alex has experience in both consumer- and commercial-based credit risk modeling and has employed numerous statistical techniques ranging in complexity depending on the needs and circumstances of the institution.
In addition to model development efforts, Alex also serves as a subject matter specialist and signer for many of KPMG’s audit clients for ALLL and CECL reviews.
Alex received a Masters of Science degree in Statistics from Texas A&M University, Masters of Science degree in Accounting and a Bachelors of Science in Business Administration from the University of Texas at Austin. Alex is also a licensed CPA in both Texas and Illinois and an Accredited Mortgage Professional.