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AFB Practice Roundtable: Model Risk Management in the context of PRA Supervisory Statement 1/23

This in-person practice roundtable, held in partnership with KPMG, will provide members with an opportunity to discuss and share their perspectives, approaches, and challenges in Model Risk Management practices, particularly in the context of PRA supervisory statement 1/23, which comes into effect on 17 May 2024.

For those banks not yet in scope, the PRA’s expectations are increasing. This roundtable discussion aims to explore the new rules, industry-wide approaches, key challenges, and practical steps to address them.

Please note this roundtable will take place at KPMG’s offices in Canary Wharf.

The session will be hosted and facilitated by members of the Model Risk Management team at KPMG.

AFB will circulate an agenda and a series of questions to attendees in advance which will be used to aid discussions. The Chatham House Rule will apply to this event to encourage open dialogue and discussion.

This roundtable is limited to 35 places and one person per member bank. We recommend booking early to secure your place.

Who should attend?

This in-person roundtable is aimed at representatives from Risk departments and/or those with a responsibility for the use of models within their organisation.

What will members gain for use?

  • An understanding of key aspects of SS1/23 regulation and industry challenges
  • Practical steps that can be taken by Model Risk Management practitioners as they prepare for SS1/23 compliance


Adam Tan, Model Risk Management UK Lead, KPMG

Adam leads Model Risk Management (MRM) in the UK and brings over 20 years of experience to KPMG. His MRM experience includes advisory engagements at > ten global banks ranging from model governance and model lifecycle assessments, to model validations across credit, traded risk, derivative pricing, and non-financial risk models. Adam has also partnered with large global banks on strategic risk transformation and operating model re-design. Adam is a Fellow of the Institute of Chartered Accountants in England and Wales and has a BCommerce and MFin in Financial Engineering. He regularly speaks at industry conferences on model risk.

Amy Hargreaves, Senior Manager, KPMG

Amy has been part of the Financial Risk Management team at KPMG since 2014. Since then, she has worked on a variety of engagements focused on credit, model and climate risk. Amy is part of KPMG’s internal SS1/23 working group and leads our work on non-models/ DQMs. As part of this role, Amy has gained significant industry insights on the key areas of focus and challenges clients are facing with the requirements. Amy has also led many MRM engagements for clients of varying sizes whilst at KPMG.

Daniel Ross-Willmore, Senior Manager, KPMG

Dan has been a member of the KPMG credit risk team since 2022 and has experience working for various medium and large institutions across the credit risk industry in the UK and Europe. He has worked for both banks and consulting firms across retail and wholesale portfolios, specialising in IRB model development and validation.


Cost:        Included in AFB membership (no fee)

Location:  KPMG, 15 Canada Square, Canary Wharf, E14 5GL

Date:        Tuesday 7 May 2024

Time:        15:30 – 17:30 (Registration and networking 15:30 – 16:00)

There will be ample opportunity for questions throughout the session, however, if you would like to submit a question before or have any specific questions or areas that you would like the session to address, please send them to the AFB at as soon as practicable. You will receive details on attending the session a week before the event.