5TH EDITION MODEL RISK

CONTROL, MANAGEMENT ANDASSESSMENT OFMODEL RISK ACROSS

ANENTERPRISE INTHECURRENT REGULATORY ENVIRONMENT

San Francisco, USA

26th 28th January 2015

Model risk issues are asimportant asever

intheenvironment where theregulatory pressures
are mounting andresources are scarce. Today,
model development, validation andassessment
require new tools anda range ofquantitative
andqualitative measures totackle model risk issues.
This GFMI conference addresses thelatest
challenges inthemodel risk area. theevent
will help theindustry tobenchmark thebest
model validation practices anddiscuss thelatest
techniques formodel risk quantification.
Buildaccurate andtransparent models which will
satisfy theregulators andstakeholders.

Interactive Masterclass on28thJanuary2015

Independent validation:
Practical application oftests

Attending this premier GFMI conference will enable you to

Control of model risk: CCAR and DFAST models
Measurement andreporting ofmodel risk: Developing new practices
Model development versus model validation: Resolving conflicts
Model risk governance: Developing asystem tocontrol model risk across anorganization
Performance measurement ofmodel risk
Hear about thelatest expectations fromtheregulators

Learn fromkey practical case studies

Federal Reserve Bank ofAtlanta present theregulatory view ofmodel risk management today
Bank oftheWest evaluate CCAR, stress testing andmodel risk
Freddie Mac discuss thelatest model risk quantification methods
TCF Bank examine thecurrent state ofthemodel validation practice
MUFG Union Bank, N.A. build positive communications between model developers
andmodelvalidators
Office oftheSuperintendent ofFinancial Institutions explain theCanadian perspective onmodel
riskmanagement

Led By:
Cavit Hafizoglu
Founder and CEO
Axacal Consulting Company

Model risk is theweak link inrisk

management today

Expert Speaker Panel

Agus Sudjianto
Managing Director, Head ofCorporate Model
Risk
Wells Fargo

Mark Grondahl
Senior Vice President,
Model Risk Management
TCF Bank

Eva Cruz
Risk Director, Model Validation
Ally Financial

Mark Jensen
Financial Economist andPolicy Advisor
Federal Reserve Bank ofAtlanta

Igor Fomenko
Senior Vice President, MSR AnalyticsManager
BB&T

Caleb Oriade
Director, Model Validation
Freddie Mac

Hristo Kukov
Director, Model Audit
Fannie Mae

Mike Roginsky, PhD

Vice President, Model Validation
Federal Home Loan Bank ofSan Francisco

Andrew Jaske
Senior Vice President, Model Risk
Management
PNC

James Enriquez
Principal Examiner
Federal Housing Finance Agency

Media Partners

Valeriu (Adi) Omer, PhD

Vice President, CCAR Modelling
Bank oftheWest
Ragini Yekkar
Model Risk Governance Team Leader
KeyBank
Denise Price-Hoo
Director, Model Governance and Approvals
OSFI
Abhinav Anand
Director, Risk andAnalytics
DFS Corporate Services LLC
Yidong Liu
Director, Commercial Credit Scorecard
Modelling, Credit Strategies Group
MUFG Union Bank, N.A.

Day One

26th January 2015

Anna Ogurekova, Sales Manager
Tel: +1 305 358 6138 ext.210, E-Mail: AnnaO@global-fmi.com

08.30 Registration andCoffee

14.00

09.00 Opening Address fromtheChair

OPTIMIZATION OFMODEL RISK MANAGEMENT INTHECURRENT
REGULATORY ENVIRONMENT
09.15 The regulatory view ofmodel risk management today
What is thecurrent Feds assessment ofthemodel risk practices?
Expectations onmodel development andvalidation
How should models be classified andanalyzed forvalidation?
Future expectations andrequirements: Coping withthe
increasing regulatory demands
Mark Jensen
Financial Economist andPolicy Advisor
Federal Reserve Bank ofAtlanta
10.00

14.45

Half-day networking androundtable breakout sessions

Table One
Model risk quantification
How is model risk measurement defined inyour organization?
What is thepurpose ofmodel risk quantification inyour company?
Consolidating risk data fromacross business lines andregions:
What are thechallenges?
What is thecurrent practice intheindustry today? Learning
fromour experiences

Panel Discussion

The convergence ofthemodel risk practices

andrequirements across theindustry
Multiple regulators are making model risk management
mandatory: What can be learnt fromdifferent policies?
Differences andsimilarities between therequirements
How can controls andgovernance be demonstrated consistently
tosatisfy different regulators?
Building trusting relationships withyour regulator

Led By:

Eva Cruz
Risk Director, Model Validation
Ally Financial

Caleb Oriade
Director, Model Validation
Freddie Mac

James Enriquez
Principal Examiner
Federal Housing Finance Agency

Table Two
Model change management
When amodel is changed, what is happening? Reviewing
policies andthereal practice
Validation andtesting mechanisms:
Frequency andcomprehensiveness
Making adecision about amodel: When should it be changed,
updated or discarded?

10.45 Networking andRefreshments Break

Led By:

MINIMIZATION OFMODEL RISK INTHECCAR PROCESS

Hristo Kukov
Director, Model Audit
Fannie Mae

CCAR, stress testing andmodel risk

Are your current stress testing methodologies effective?
Model validation: Learning fromthelatest CCAR exercise
Consolidating risk data fromdifferent models fromdifferent
desks, units andregions
Achieving standardization andautomation oftheprocess
Finding abalance between theregulators expectations
andwhat theright threshold foryour organization is

Table Three
The role ofIT andsystems inmodel risk management
What role does it play inyour organization?
Building relationships between theIT department andmodel risk
Understanding theincreasing importance ofthefunction
andthefuture interdependence

Valeriu (Adi) Omer, PhD

Vice President, CCAR Modelling
Bank oftheWest
12.00

Approaches and challenges in stress test

default modelling
Loan level modelling: Hazards and state-transition
Mostly done in the mortgage arena until now but no reason
why it could not be extended to other retail and possibly
commercialproducts
Segment and time-series modelling
Use of FICO, key risk indicators to segment portfolio
Model losses through cycle
Other time-series approaches
Andrew Jaske
Senior Vice President, Model Risk Management
PNC

Mark Jensen
Financial Economist and Policy Advisor
Federal Reserve Bank of Atlanta

11.15

Case Study

Led By:
Ragini Yekkar
Model Risk Governance Team Leader
KeyBank

Case Study

Credit risk stress testing

What is your workforce fortheexercise?
Where do you get data foryour models?
How is validation done? How is it effective?
Incorporating quantitative andqualitative parameters
Understanding thedeficiencies andwhat improvements
areneeded
Mike Roginsky, PhD
Vice President, Model Validation
Federal Home Loan Bank ofSan Francisco

12.45 Networking Lunch

16.45 Synopsis fromRoundtable Leaders

Attendees will be able toenjoy acoffee break andnetworking
opportunities midway through thesessions
17.00

Closing Comments fromChair andEnd ofDay One

Day Two

27th January 2015

Anna Ogurekova, Sales Manager
Tel: +1 305 358 6138 ext.210, E-Mail: AnnaO@global-fmi.com

08.30 Registration andCoffee

09.00 Opening Address fromtheChair
ENHANCEMENT OFTHEMODEL VALIDATION TECHNIQUES,
POLICIES ANDPRACTICES
09.15 Where is themodel validation heading?
Formalization anddocumentation oftheprocess: Coping
withthe ever increasing requirements
Building infrastructure tosupport themodel validation process
andreporting
Classification andprioritization ofmodels: Which models should
be validated inline withall theregulatory rules?
Controlling data quality andaccuracy during
thevalidationprocess
Mark Grondahl
Senior Vice President, Model Risk Management
TCF Bank
10.00 Use ofbenchmark model forvalidation
Abhinav Anand
Director, Risk andAnalytics
DFS Corporate Services LLC
10.45 Networking andRefreshments Break
11.15

Panel Discussion

Model validation versus model development

Overcoming tensions between themodel development
andvalidation teams
Which team is more independent? Who has more power
inthemodel risk management hierarchy?
Internal audit asabuffer between thefunctions
The same goal butdifferent means: Aligning practices
toenhance model risk management
Eva Cruz
Risk Director, Model Validation
Ally Financial
Yidong Liu
Director, Commercial Credit Scorecard Modelling,
Credit Strategies Group
MUFG Union Bank, N.A.
Caleb Oriade
Director, Model Validation
Freddie Mac

12.00

Case Study

Validating mortgage prepayment models

Exploratory data analysis as part of validation
Tuning parameters and sensitivity analysis
Effective challenges in validation
Implementation methods, benchmarking and on-going
monitoring
Igor Fomenko
Senior Vice President, MSR Analytics Manager
BB&T

12.45 Networking Lunch

14.00 Positive communications between model developers

andmodel validators
Challenges faced bymodel developers
Positive communication is thekey
Case study: CCAR credit model
Case study: PD/LGD/EAD models
Yidong Liu
Director, Commercial Credit Scorecard Modelling,
Credit Strategies Group
MUFG Union Bank, N.A.
SUSTAINABILITY OF THE MODEL RISK MANAGEMENT FUNCTION
14.45 Model risk assessment
Model risk management aspart oftheoverall enterprise
riskmanagement
Are your current model risk practices effective?
Develop asustainable andeffective model risk assessment system
Measurement ofmodel risk performance
Increasing reporting requirements: How are you coping
withthechanges andincreasing workload?
Agus Sudjianto
Managing Director, Head ofCorporate Model Risk
Wells Fargo
15.30 Networking andRefreshments Break
16.00 The Canadian perspective onmodel risk management
Denise Price-Hoo
Director, Model Governance and Approvals
OSFI
16.45 Closing Comments fromChair andEnd oftheConference
marcus evans is registered with the National
Association ofState Boards of Accountancy
(NASBA) asa sponsor ofcontinuing professional
education on theNational Registry ofCPE Sponsors.
State boards ofaccountancy have final authority
ontheacceptance of individual courses for CPE credit.
Complaints regarding registered sponsors may be submitted
tothe National Registry of CPE Sponsors through its
website:www.learningmarket.org
This course carries a program level ofintermediate requiring
aminimum pre-requisite ofoneyear as an active practicing
licensee. There is no advance preparation necessary for this
Group Live activity and should it be completed in entirety
attendees will be eligible for 14CPEcredits in theManagement
Advisory Services field ofstudy.

Business Development Opportunities

Does your company have services, solutions or technologies

thattheconference delegates would benefit fromknowing
about? If so, you can find out more about theexhibiting,
networking andbranding opportunities available bycontacting:
Athul George, Head ofBusiness Development on
Tel: +44 (0)20 3002 3172, E-Mail: AthulG@global-fmi.com

Day Three

Media Partner Profiles

28th January 2015

Anna Ogurekova, Sales Manager
Tel: +1 305 358 6138 ext.210, E-Mail: AnnaO@global-fmi.com

INTERACTIVE MASTERCLASS
08.30 Registration andCoffee
09.00 Masterclass Leaders Introduction andOpening Remarks
Led By:
Cavit Hafizoglu
Founder and CEO
Axacal Consulting Company
09.15 Independent validation: Practical application of tests
The importance ofindependent in-house validation teams
andtheir veto power
New model approval: alevel ofvalidation andtesting appropriate
Back-testing, stress testing andoutcomes analysis
forvalidating models
Use ofconsultancies andsolution providers:
Benefits anddrawbacks
The role ofindependent validation intheCCAR process
12.30 Closing Remarks fromtheMasterclass Leader

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understanding ofcomplex world ofrisk.

Attendees will be able toenjoy acoffee break andnetworking

opportunities midway through thesession

Who should attend

Senior Vice Presidents, Heads, Directors andSenior

Executives of:
Model Risk Management
Model Risk
Model Validation
Model Development
Model Risk Governance
Internal Audit
Quantitative Risk Control

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