Model Risk Management

Model Risk Management
PRMIA Vancouver presents: Model Risk Management: The current state, regulatory expectations and future challenges.
 

Date:
March 5, 2020


Time:
7:30 a.m. - 10:00 a.m.

 
Location:
SFU Graduate School of Business
1st Floor, Room 1200/1300
500 Granville Street
Vancouver, British Columbia V6C 1W6

 

Model Risk Management is in focus not just within the Financial Services Industry (FSI), but also Mining, Energy and Retail. Models are used for decision making, financial planning purposes and risk management because of stiff competition and financial margin pressure, due to the low rate environment. Models help ensure optimized use of capital, available liquidity and better risk management. 

But along with these opportunities come Model Risks. In September 2017 the Office of the Superintendent of Financial Institutions Canada (OSFI) released the final version of its Guideline E-23 on Model Risk to emphasize the need for stronger governance. 

Guideline E-23 aims to provide institutions with comprehensive and clear guidance and common standards for enterprise-wide model risk management. It also outlines prudent practices for internal model development, review, approval, use and modification.

This Guideline applies to all models that have a material impact on the risk profile of an institution.

“Guideline E-23 presents a minimum common standard for model risk management practices while taking into consideration the varying sizes and degrees of complexity of deposit-taking institutions,” said Assistant Superintendent Carolyn Rogers. Source:  https://www.osfi-bsif.gc.ca/Eng/osfi-bsif/med/Pages/e23_nr201709.aspx

With models becoming more relevant also and with AI and Machine Learning Models growing in use, we assembled a diverse group of professionals for this Panel. They will provide perspectives, insights and outlooks of how to adequately address Model Risk today and tomorrow. The Panel will also shed light on how non-financial services companies can learn from the experience made in Financial Services. The following topics will be covered during the panel discussion:

  • Broader Relevance of Model Risk as an Operational Risk for FSI and non-FSI organizations 
  • Model Risk Management Processes and Controls – Implementation challenges
  • Model Development and Model Validation – Quantitative, Technology, Data related Challenges and Solutions to efficiently leverage modelling framework as competitive advantage
  • Model Risk Management Governance – Regulators Observations and Expectations in the light of Regulatory Changes 
 



Agenda  
  Time   Event  
 
     
  7:30 a.m. - 7:45 a.m.
  Registration
 
 
     
  7:45 a.m. - 9:30 a.m.
  Panel Discussion
 
 
     
  9:30 a.m. - 10:00 a.m.
  Networking
 




Speakers  
    
  Leonardo Carati, Head of Model Risk Management, HSBC

Leonardo started his career at a Ca’ Foscari University (Venice) spin-off developing coincident indicators of the business cycle for the Euro area. After moving to Mexico, Leonardo joined HSBC in 2010 as risk manager in the wholesale credit risk area. In 2013, he relocated to New York where he joined the Independent Model Validation team covering a variety of modelling areas, including CCAR/DFAST and Financial Crime Risk. In 2017, Leonardo moved to Vancouver and was appointed head of the newly established Model Risk Management function, responsible for second line of defence oversight of the entire spectrum of models used in HSBC Canada.

 
   
 
  Eric Lanoix, VP, Quantitative Risk, Coast Capital Credit Union 

Eric Lanoix is the VP – Quantitative Risk at Coast Capital Savings Credit Union. Eric holds a Master’s degree in Finance (SFU) and another in Mechanical Engineering (McGill). He is an expert in the field of modelling and simulation, with nearly two decades of experience in the Guidance, Navigation and Control of NASA cargo and human spacecraft. Eric leads a team of eight specialists in charge of Model Risk Management, ICAAP, Stress Testing, and Model Development for Canada’s only credit union with operations outside its province of origin.

 
 
     
  Tony Webb, Quantitative Advisor, FINCAD

Tony Webb is an experienced manager and quantitative analyst at FINCAD, a software company that specializes in the valuation and risk analysis of derivatives (all asset classes) and fixed income securities.  FINCAD is based in Surrey, BC, with an extensive global client base of financial institutions, finance professionals, and systems vendors.  Tony has held various roles at FINCAD, including Director of Analytics, VP R&D, Product Manager, and manager of technical Pre-Sales Analysts in NYC.   He holds an MA in Mathematics from Cambridge University, a PhD in computational fluid dynamics from UBC, and an MBA with a specialization in finance from UBC.  He is currently acting as a Quantitative Advisor within the Client Services department.

 
     
  Sarah Reppchen, Leader, Financial Services Western Canada, Risk Advisory, Deloitte

Sarah is leading Financial Services for Western Canada for Deloitte in Risk Advisory. She has over 10 years of experience in the financial services industry, specialized in auditing and advising financial institutions, their Enterprise Risk Management Function with regards to regulatory compliance, risk and regulatory reporting related topics, e.g. Basel II and Basel III requirements for capital, leverage, risk weighted assets and liquidity. This includes review and advice on sound Model Risk Management Governance in line with OSFI’s E-23 Guideline. Sarah’s primary experience was generated on large, complex banks (G-SIBs, D-SIBs), cooperative banks and investment management firms in Canada, US, Europe and on a global scale. She worked with and on behalf of Regulatory Authorities in the EU, US and Canada as well as with the first, second and third line of defense. Sarah holds a Master in International Business Administration and a Master of Science in Accounting and Taxation and qualifies as ‘Wirtschaftspruefer’ (a German form of a CPA, IFAC compliant).

 
   


   

Registration

This event is FREE for members and non-members, although registration is required.  Click "Register Myself" below to reserve your spot. Make sure to click "Continue" to proceed with your registration. (If this is your first time accessing the PRMIA website you will need to create a short user profile to register.) Support chapter events like this by becoming a member

 
When
3/5/2020 10:30 AM - 1:00 PM
Where
SFU Graduate School of Business 1st Floor, Room 1200/1300 500 Granville Street Vancouver, BC V6C 1W6 CANADA
 

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