Model Risk: The Challenges of Pricing and Risk Modelling 2015

Topics

• Overview of the prudent valuation framework of pricing model risk
• Summary of model risk`s history, evolution and regulations
• Assessment of FRTB impact on market risk models
• Validation of pricing models
• Examination of model risk in counterparty credit risk models

Who should Attend

Attendees with responsibilities in:

• Pricing Validation
• Model Validation
• Front Office Modelling
• Risk Modelling
• Model Review
• Internal Audit
• Model Control
• Model Risk
• Market Risk
• Quantitative Analysis
• Counterparty Risk / CVA
• Credit Risk