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AFB Practice Workshop: How to Implement and Enhance Frameworks for Model Risk Management

Banks rely on models to inform their decision making, risk management, critical analysis, and management reporting. The publication of SS1/23 ‘Model risk management principles for banks aims to set enterprise-wide standards on the governance and management of models and model risk.

Although SS1/23 is for firms with Internal Model approval to calculate regulatory capital, these principles represent best practice, and all firms should seek to adopt them into their operating processes.

This workshop, with advisory firm Mazars, will provide guidance and practical examples to help members learn how to implement and enhance Model Risk Management Frameworks. 

Why attend?

Model Risk Management (MRM) involves designing firm-wide systems and controls to manage the risks arising from model use. For banks, the first stage of this process should be to identify and classify existing models, as this provides a basis for implementing appropriate model governance, validation, and risk mitigation processes.

The workshop will support the implementation of an MRM Framework that addresses the requirements of SS1/23, and provide practical examples as how best to tier, review, and validate models based on the nature of their associated risks. Participants will work in small groups to:

  • Consider the key steps for achieving a successful MRM Framework
  • Understand the MRM principles and their organisational requirements
  • Use techniques to identify, assess and manage models and their associated risks
  • Learn how MRM governance is linked to an Enterprise Risk Management framework, allowing firms to assess associated risks and opportunities

Learning outcomes

Understand what “good” looks like from a regulatory and industry-standard perspective.
Understand and be able to implement or enhance the Model Risk Management Framework. This will include:

  • Developing or enhancing a Model Risk Management processes
  • Establishing the required roles and responsibilities for success
  • Understanding model identification, classification, risk tiering, and the creation of a model inventory

Who should attend?

The session will be useful to employees who are involved in their banks’ creation and adoption of Model Risk Management Frameworks. This can include staff in Risk, Finance and Information Technology, Senior Managers, and Business Heads.

Speakers

Paul Hamalainen, Director, RegCentre

Paul is a financial services data, analytics, reporting and disclosures expert. He has used this to improve risk identification and monitoring outcomes for clients and improve data, analytics and reporting processes. Paul was at the FSA/FCA for 13 years where among other roles he was responsible for the negotiation, design and implementation of many financial services regulatory initiatives including CRD III and CRD IV.

Breda Griffin, Director, Prudential Regulation and Risk Management

Breda advises firms on how to interpret and adhere to regulatory and risk management requirements. This has included reviewing and recommending appropriate governance structures and helping client strengthen their control frameworks to ensure integrity and accuracy of data that is being used. Breda has previously led a Risk Management team within Banking, creating and developing an enterprise risk management framework including Market Risk, Liquidity Risk, Operational and Regulatory Risk.

Logistics

Fee:        £255.00 + VAT

Venue:    Mazars, 30 Old Bailey, EC4M 7AU

Date:       Thursday, 18 April 2024

Time:       15:30 – 17:30 (arrivals from 15:00)

                17:30 – 18:30 (drinks and networking)

Places:     Maximum of 30 people

If you would like to submit a question or have any specific areas that you would like the session to address, please send them to the AFB at secretariat@foreignbanks.org.uk. You will receive details on how to join this in-person Workshop a week before the event.