Webinar : Model Risk Management: Quantifying, Monitoring and Mitigating Model Risk, 11th Feb 10am ET

Model risk is an eminently practical issue – yet it is the most misunderstood source of losses, reputational dramas, and arguments with regulators. Standard methods exist to mitigate model risk, yet practitioners often struggle to define it as a mathematical quantity and to calculate it.
Moreover, beyond the quantification of model risk, practitioners also question whether model risk can be managed in a similar way to market risk or credit risk, for example by creating model reserves and model limits (analogous to credit reserves and credit limits).
Udi Sela, Vice President and Solutions Product Manager at Numerix
Register Now
Join Numerix on Wednesday, February 11th at 4pm Central European Time / 10am Eastern Standard Time as featured speakers Dr. Massimo Morini of IMI Bank of Intesa Sanpaolo and Dr. David Eliezer of Numerix discuss ways to detect model risk, explain model choices, and set up proper risk management procedures in order to mitigate model risk.
In the first part of our presentation, Dr. Morini will focus on model reserves and model limits, showing how they can be quantified and implemented through real-world examples:
  • Model reserves and model limits
  • Quantification based on mathematics, accounting and regulations
  • Three examples of model risk management for credit, equity and rates
In part two of the webinar, Dr. Eliezer will discuss additional ways to quantify and monitor model risk:
  • Practical methods for estimating the model risk of a derivative
  • Using daily hedge errors in a systematic way to monitor models for signs of model failure
Featured Speakers:
Dr. Massimo Morini, Head of Interest Rate and Credit Models at IMI Bank of Intesa Sanpaolo; Professor of Fixed Income at Bocconi University in Milan; Numerix Quantitative Advisory Board
Massimo Morini is Head of Interest Rate and Credit Models at IMI Bank of Intesa Sanpaolo, where he is also Coordinator of Model Research. He is also Professor of Fixed Income at Bocconi University and he was Research Fellow at Cass Business School, City University London. He regularly delivers advanced training worldwide and has led workshops and expert panels on the financial crisis at major international conferences. He has been a long-term consultant for the World Bank and other institutions.
Dr. Morini has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” and other books on credit and interest rate modelling. He holds a PhD in Mathematics and an MSc in Economics.
Dr. David Eliezer, Vice President, Head of Model Validation, Numerix
Dr.
   David Eliezer, Vice President, Head of Model Validation, NumerixDavid Eliezer has been a quant on Wall Street for 18 years, at Goldman Sachs, Morgan Stanley, General Re Financial Products, and Bloomberg, among others. He has published work on option pricing, and on modeling liquidity in finance. He runs the internal testbed for Numerix models, and he leads the Model Validation group at Numerix.
Moderator: Jim Jockle, Chief Marketing Officer, Numerix
Jim Jockle, Chief Marketing Officer, NumerixMr.Jockle leads the company’s global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company’s branding, electronic marketing, research, events, public relations, advertising and relationship marketing.
Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody’s Investors Service.
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About AIWMI

The Association of International Wealth Management of India (AIWMI) is a not-for-profit organization and a globally recognized membership association for finance professionals. AIWMI primarily focuses on the broad and strategic role of developing a more robust and forward-looking training infrastructure for the financial services sector and to promote more active industry involvement and collaboration in training and continuing education. AIWMI is offering advanced international certification programs along with a wide variety of high-quality executive education programs. AIWMI programs combine state-of-the-art knowledge and skills with practical experience and insights into the functioning of the financial sector. All AIWMI courses and educational events have an intense and pragmatic curriculum. Participants are exposed to the latest developments within the financial services sector. AIWMI plays a key role in guiding the development of the financial services sector. AIWMI works with key industry participants’ viz. the Government, the Regulators, the Industries/Associations, the Corporate, the Media and the General Public to achieve its objectives. Besides enhancing technical competence and professionalism in the industry, AIWMI organizes events and facilitates discussions to promote best practices in leadership and talent development in the financial sector with an aim to become Asia’s premier center of excellence for financial education.

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