Practical
approaches to
managing model risk

New York, 13 & 14 October 2010
London, 18 & 19 October 2010

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Learning Outcomes

• How to validate credit value adjustment models
• How to validate incremental risk charge models
• The importance of good profit and loss in the valuidation of credit default swaps
• Backtesting market risk models
• The use of scenario analysis to validate pricing models
• Stress testing credit risk models

Course dates & venues

Course tutors

NEW YORK

• Jon Hill, Vice President, Head of Model Validation, Internal Audit, MORGAN STANLEY
• Craig Wotherspoon, Executive Vice President, Head of Quantitative Analysis, KBC FINANCIAL PRODUCTS
• Douglas Gardener, Managing Director, Head of Model Validation, WELLS FARGO SECURITIES
• Xiaozhong Liang, Vice President, Model Validation, STATE STREET CORPORATION EXECUTIVE
• Jan Dash, President, J. DASH CONSULTANTS LLC
• Sanja Hukovic, Head of EMEA Model Review, UBS
• Bernhard Hientzsch, Director, SIG Model Validation and Approval, WELLS FARGO SECURITIES
• Jerome Brun, Head of Model Validation, Market Risk, SOCIETE GENERALE
  
  

LONDON

• Peter Whitehead, Director, Group Valuation Oversight, DEUTSCHE BANK
• Pierpalolo Montana, Head of Model Validation, WEST LB
• Dr Carsten Wehn, Head of Market Risk Control, DEKABANK
• Moises Gerstein, Credit Model Validation, ING BANK
• Peter Dobranskzy, Head of Risk Model Validation, BNP PARIBAS
• Sanja Hukovic, Head of EMEA Model Review, UBS
• Steve McCarthy, Head of Model Validation, NATIONAL AUSTRALIAN BANK
• Colin Mason, Head of Front Office Pricing Validation, CREDIT SUISSE