Advanced Model Risk Management Agenda | Kisaco Research

Advanced Model Risk Management Agenda

Advanced Model Risk Management Summit
March 2024
London
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Tuesday, 21 Mar, 2023
08:00 - 9:00am
Registration and Networking
09:00 - 09:10am
Welcome Address
09:10 - 09:40am

In the keynote the PRA will:

  • Share their objectives for MRM
  • Elaborate on the rationale for proposing broad and overarching expectations for MRM
  • Discuss the proposed plan to support raising the standards of MRM in general
Regulation
Speaker

Author:

Diederick Potgieter

Risk Specialist
PRA Bank of England

Diederick is a senior technical specialist in capital management at the Prudential Regulation Authority (PRA), Bank of England.

His role, as part of the Supervisory Risk Specialists at the PRA, is to provide technical expertise and support to the supervision of UK regulated banks through risk & capital adequacy assessments (ICAAPs/SREPs), the Bank’s financial stability objective through the modelling & analysis of stress test results in the Bank’s annual stress test programme, and support to the further development & enhancement of prudential policy.

He holds a Ph.D. in Mathematical Statistics and his specialties include credit risk, operational risk, concentration risk, model risk management, capital management practices, stress testing and economic capital frameworks. Before joining the FSA/PRA in 2011 he was Director of Capital Modelling at Barclays bank.

 

... read more

Diederick Potgieter

Risk Specialist
PRA Bank of England

Diederick is a senior technical specialist in capital management at the Prudential Regulation Authority (PRA), Bank of England.

His role, as part of the Supervisory Risk Specialists at the PRA, is to provide technical expertise and support to the supervision of UK regulated banks through risk & capital adequacy assessments (ICAAPs/SREPs), the Bank’s financial stability objective through the modelling & analysis of stress test results in the Bank’s annual stress test programme, and support to the further development & enhancement of prudential policy.

He holds a Ph.D. in Mathematical Statistics and his specialties include credit risk, operational risk, concentration risk, model risk management, capital management practices, stress testing and economic capital frameworks. Before joining the FSA/PRA in 2011 he was Director of Capital Modelling at Barclays bank.

 

9:40 - 10:40am
  • Lessons learned from SR11/7 – analysis of Model Risk in the US over the last decade
  • Determining regulatory expectations and the increase of standards for UK banks
  • Overcoming misinterpretations and preparing effectively
  • International regulation streamlining: navigating governance across multiple regulatory jurisdictions
Regulation
Moderator

Author:

Julian Philips

Global Head of Model Risk Audit
HSBC
... read more

Julian Philips

Global Head of Model Risk Audit
HSBC
Speakers

Author:

Konstantina Armata

Senior Modelling Expert, Former Group Head of Model Risk Management at Barclays

Konstantina is a highly experienced Financial Risk professional with over 20 years career in Banking in various Quantitative Modelling roles, most recently as the Group Head of Model Risk Management at Barclays. Prior to that, she worked at Deutsche Bank where she built and led the Bank’s Model Risk Management function and before that at UBS in various quantitative roles in both the Front Office and Risk. Konstantina has extensive experience in developing Model Risk Management frameworks including methodologies to assess and quantify Model Uncertainties and their impact on the output of the framework they are used for (e.g. Capital in stress, IFRS9 etc). Konstantina’s most recent work involves Climate Transition modelling. She holds a PhD in Mathematics from Imperial College, London and an MSc and BSc in Mathematics from ENSIMAG, Grenoble, France and the University of Patras, Greece respectively.

 

 

... read more

Konstantina Armata

Senior Modelling Expert, Former Group Head of Model Risk Management at Barclays

Konstantina is a highly experienced Financial Risk professional with over 20 years career in Banking in various Quantitative Modelling roles, most recently as the Group Head of Model Risk Management at Barclays. Prior to that, she worked at Deutsche Bank where she built and led the Bank’s Model Risk Management function and before that at UBS in various quantitative roles in both the Front Office and Risk. Konstantina has extensive experience in developing Model Risk Management frameworks including methodologies to assess and quantify Model Uncertainties and their impact on the output of the framework they are used for (e.g. Capital in stress, IFRS9 etc). Konstantina’s most recent work involves Climate Transition modelling. She holds a PhD in Mathematics from Imperial College, London and an MSc and BSc in Mathematics from ENSIMAG, Grenoble, France and the University of Patras, Greece respectively.

 

 

Author:

Suresh Sankaran

Head of Model Risk Governance
Metro Bank

Suresh Sankaran is the Head of Model Risk, Validation, & Governance at Metro Bank, where he oversees all aspects of model risk and other risk-related governance. He advises on factors that senior management and Board should collectively consider when overseeing the bank’s model governance and risk management framework and policies. He is responsible for the independent validation of all bank models and is also accountable for regulatory liaison on all matters relating to model risk.  

Suresh has over 30 years’ experience in the realm of strategic consulting, compliance, audit, and risk management. He has held leadership roles managing several facets of risk management, most notably credit, liquidity, and balance sheet management.

Suresh has advised banks, governments, and other financial services organisations on all facets of risk management, and has acted as a second pair of eyes to assure the soundness and financial sustainability of client portfolios.

 Suresh is a ranking Chartered Accountant, and holds a Bachelor’s degree in Finance & Accountancy. He has diverse interests including Indian Classical Music, Skydiving, P G Wodehouse, and Pink Floyd.

 

... read more

Suresh Sankaran

Head of Model Risk Governance
Metro Bank

Suresh Sankaran is the Head of Model Risk, Validation, & Governance at Metro Bank, where he oversees all aspects of model risk and other risk-related governance. He advises on factors that senior management and Board should collectively consider when overseeing the bank’s model governance and risk management framework and policies. He is responsible for the independent validation of all bank models and is also accountable for regulatory liaison on all matters relating to model risk.  

Suresh has over 30 years’ experience in the realm of strategic consulting, compliance, audit, and risk management. He has held leadership roles managing several facets of risk management, most notably credit, liquidity, and balance sheet management.

Suresh has advised banks, governments, and other financial services organisations on all facets of risk management, and has acted as a second pair of eyes to assure the soundness and financial sustainability of client portfolios.

 Suresh is a ranking Chartered Accountant, and holds a Bachelor’s degree in Finance & Accountancy. He has diverse interests including Indian Classical Music, Skydiving, P G Wodehouse, and Pink Floyd.

 

Author:

Katie Hill

Head of Model Validation
Hampshire Trust Bank
... read more

Katie Hill

Head of Model Validation
Hampshire Trust Bank
10:40 - 11:15am
11:15 - 11:45am
Regulation
Speakers

Author:

Preeti Sandhu

Lead Model Risk Governance Analyst
Metro Bank

Preeti is a Lead Model Risk Governance Analyst for Metro Bank and is responsible for leading her team in conducting model risk management activities while ensuring a robust model risk management framework is in place. Preeti studied at Queen Mary’s University of London and graduated with a degree in Economics and Finance. While studying, she worked across several Clinical Research Offices within the NHS, reviewing proposed amendments to clinical trials, confirming compliance with national and international regulatory requirements. A genuine passion and years’ of experience have enabled Preeti to pursue her interests in data analytics, risk management and regulatory compliance.

... read more

Preeti Sandhu

Lead Model Risk Governance Analyst
Metro Bank

Preeti is a Lead Model Risk Governance Analyst for Metro Bank and is responsible for leading her team in conducting model risk management activities while ensuring a robust model risk management framework is in place. Preeti studied at Queen Mary’s University of London and graduated with a degree in Economics and Finance. While studying, she worked across several Clinical Research Offices within the NHS, reviewing proposed amendments to clinical trials, confirming compliance with national and international regulatory requirements. A genuine passion and years’ of experience have enabled Preeti to pursue her interests in data analytics, risk management and regulatory compliance.

Author:

Suzette Manso

Model Risk Governance Manager
Metro Bank

Suzette Manso is a Model Risk Governance Manager at Metro Bank where she manages model risk and other risk-related governance including the oversight of all internal model risk related policies, standards and framework.  Suzette also oversees the model risk appetite reporting and the formulation of the bank’s risk-based tiering approach for models to identify and manage model risk in Metro Bank in line with regulatory requirements.  

Prior to joining the Model risk department, Suzette, acquired extensive experience working with the on boarding of business and commercial clients and their subsequent account management within the Operations department in Metro Bank.

Suzette has Master’s and Bachelor’s degrees in Business studies with growing interest and passion for risk management and regulatory compliance

... read more

Suzette Manso

Model Risk Governance Manager
Metro Bank

Suzette Manso is a Model Risk Governance Manager at Metro Bank where she manages model risk and other risk-related governance including the oversight of all internal model risk related policies, standards and framework.  Suzette also oversees the model risk appetite reporting and the formulation of the bank’s risk-based tiering approach for models to identify and manage model risk in Metro Bank in line with regulatory requirements.  

Prior to joining the Model risk department, Suzette, acquired extensive experience working with the on boarding of business and commercial clients and their subsequent account management within the Operations department in Metro Bank.

Suzette has Master’s and Bachelor’s degrees in Business studies with growing interest and passion for risk management and regulatory compliance

11:45 - 12:45pm
  • CP6/22 differences for small vs medium vs large banks
  • Cost-effective validation best practices and lessons learned for smaller banks
  • Governance practices each size of bank can learn from one other
Regulation
Moderator

Author:

Suresh Sankaran

Head of Model Risk Governance
Metro Bank

Suresh Sankaran is the Head of Model Risk, Validation, & Governance at Metro Bank, where he oversees all aspects of model risk and other risk-related governance. He advises on factors that senior management and Board should collectively consider when overseeing the bank’s model governance and risk management framework and policies. He is responsible for the independent validation of all bank models and is also accountable for regulatory liaison on all matters relating to model risk.  

Suresh has over 30 years’ experience in the realm of strategic consulting, compliance, audit, and risk management. He has held leadership roles managing several facets of risk management, most notably credit, liquidity, and balance sheet management.

Suresh has advised banks, governments, and other financial services organisations on all facets of risk management, and has acted as a second pair of eyes to assure the soundness and financial sustainability of client portfolios.

 Suresh is a ranking Chartered Accountant, and holds a Bachelor’s degree in Finance & Accountancy. He has diverse interests including Indian Classical Music, Skydiving, P G Wodehouse, and Pink Floyd.

 

... read more

Suresh Sankaran

Head of Model Risk Governance
Metro Bank

Suresh Sankaran is the Head of Model Risk, Validation, & Governance at Metro Bank, where he oversees all aspects of model risk and other risk-related governance. He advises on factors that senior management and Board should collectively consider when overseeing the bank’s model governance and risk management framework and policies. He is responsible for the independent validation of all bank models and is also accountable for regulatory liaison on all matters relating to model risk.  

Suresh has over 30 years’ experience in the realm of strategic consulting, compliance, audit, and risk management. He has held leadership roles managing several facets of risk management, most notably credit, liquidity, and balance sheet management.

Suresh has advised banks, governments, and other financial services organisations on all facets of risk management, and has acted as a second pair of eyes to assure the soundness and financial sustainability of client portfolios.

 Suresh is a ranking Chartered Accountant, and holds a Bachelor’s degree in Finance & Accountancy. He has diverse interests including Indian Classical Music, Skydiving, P G Wodehouse, and Pink Floyd.

 

Speakers

Author:

Dmitry Lobaskin

Global Head of Risk Model Validation and Head of EMEA Model Risk
Nomura

Having over 15 years of experience in validation of pricing and risk models. Holding PhD in Theoretical Physics.

... read more

Dmitry Lobaskin

Global Head of Risk Model Validation and Head of EMEA Model Risk
Nomura

Having over 15 years of experience in validation of pricing and risk models. Holding PhD in Theoretical Physics.

Author:

Andrew Mackay

Director of Model Risk
Deutsche Bank
... read more

Andrew Mackay

Director of Model Risk
Deutsche Bank

Author:

Maurizio Garro

Model Risk Manager Quantitative Research
Lloyds
... read more

Maurizio Garro

Model Risk Manager Quantitative Research
Lloyds

Author:

Shauna Lawlor

Head of Model Risk Governance
Santander
... read more

Shauna Lawlor

Head of Model Risk Governance
Santander
12:45 - 2:15pm
Lunch and Networking
2:15 - 2:45pm
  • Are banks structurally prepared for the increased use of AI – are the right frameworks in place?
  • Preparing the Board to effectively implement Model Risk Governance according to regulatory changes
  • Defining and setting an MRM risk appetite
  • Identifying and recruiting relevant talent
Governing – Governance
Speaker

Author:

Tanveer Bhatti

Head of Model Risk Management
Revolut

Tanveer is a risk manager, chartered accountant, and physicist by training. His career spans senior roles on both the sell-side and buy-side in investment banks, private banking, and asset management in London and New York. He has covered all types of financial and non-financial risks. A hallmark of his approach is a combination of analytical rigour and practical relevance.

Tanveer's interest in risk and finance is focused on the practical impact of new technologies, markets, electronic trading, modelling approaches, and data, and their ability to enable products, services, and new business models that are emerging or did not exist, or drive societal advancement. He is currently Global Head of Model Risk for a fast growing Fintech.

... read more

Tanveer Bhatti

Head of Model Risk Management
Revolut

Tanveer is a risk manager, chartered accountant, and physicist by training. His career spans senior roles on both the sell-side and buy-side in investment banks, private banking, and asset management in London and New York. He has covered all types of financial and non-financial risks. A hallmark of his approach is a combination of analytical rigour and practical relevance.

Tanveer's interest in risk and finance is focused on the practical impact of new technologies, markets, electronic trading, modelling approaches, and data, and their ability to enable products, services, and new business models that are emerging or did not exist, or drive societal advancement. He is currently Global Head of Model Risk for a fast growing Fintech.

2:45 - 3:15pm
  • Managing governance and risk concerns against efficiency targets
  • Ensuring that frameworks are in place in line with PRA requirements
  • Does the MRM team structure need to change to optimise performance?
Governing – Governance
Speaker

Author:

Ushnish Banerjee

EMEA QAG Vice President
Morgan Stanley

Ushnish is an experienced model risk practitioner with more than 10 years of experience across Banks (Morgan Stanley and HSBC) as well as consulting firms (Ernst and Young and KPMG). Ushnish has accrued skills and experience across credit risk (IRB/IFRS9/CECL), traded credit risk (IMM/CVA/IRC) and stress testing models across all three lines of defence. Ushnish has prior experience in conducting learning courses for risk.net.

 

... read more

Ushnish Banerjee

EMEA QAG Vice President
Morgan Stanley

Ushnish is an experienced model risk practitioner with more than 10 years of experience across Banks (Morgan Stanley and HSBC) as well as consulting firms (Ernst and Young and KPMG). Ushnish has accrued skills and experience across credit risk (IRB/IFRS9/CECL), traded credit risk (IMM/CVA/IRC) and stress testing models across all three lines of defence. Ushnish has prior experience in conducting learning courses for risk.net.

 

3:15 - 4:00pm
4:00 - 5:00pm
  • Measuring uncertainty in models
  • Exploring the uses of scenario expansion, forecasting, and further stress testing to validate models
  • The evolution of climate risk – how it’s going to revise validation techniques
  • Managing the actions of model validation findings
Validation
Moderator

Author:

Mehdi Esmail

Cofounder and Chief Product Officer
ValidMind

Mehdi Esmail is the Co-founder and Chief Product Officer at Validmind, a VC-backed startup focused on simplifying Model Risk Management for Financial Services. He has over a decade of experience in data, analytics, and risk management for the Financial Services industry, having served as both an operator working with the Chief Data Officer at American Express, and as a consultant for Fortune 100 Financial Services companies. 

... read more

Mehdi Esmail

Cofounder and Chief Product Officer
ValidMind

Mehdi Esmail is the Co-founder and Chief Product Officer at Validmind, a VC-backed startup focused on simplifying Model Risk Management for Financial Services. He has over a decade of experience in data, analytics, and risk management for the Financial Services industry, having served as both an operator working with the Chief Data Officer at American Express, and as a consultant for Fortune 100 Financial Services companies. 

Speakers

Author:

Sebastian Ptasznik

Head of IFRS9 and Non-credit Risk Validation
Close Brothers

Sebastian in the Head of IFRS9 and Non-Credit Risk Validation at Close Brothers at Close brothers Group. He is an experienced leader with over 14 years of experience in quantitative analytics working with tier 1 banks (Barclays, HSBC, NatWest, Lloyds, Westpac,), leading advisory and technology companies (Palantir Technologies, Accenture). He has a proven track record of delivering complex analytical projects while working across multiple locations (London, NYC, Sydney, Singapore, San Francisco, Toulouse, Warsaw) with geographically dispersed teams. He has an academic background in econometrics/statistics and specialises in credit risk modelling, model risk management, machine learning/artificial intelligence, management consulting, and business development. He has a strong grasp of emerging technologies and state-of-the-art modelling methodologies.

 

... read more

Sebastian Ptasznik

Head of IFRS9 and Non-credit Risk Validation
Close Brothers

Sebastian in the Head of IFRS9 and Non-Credit Risk Validation at Close Brothers at Close brothers Group. He is an experienced leader with over 14 years of experience in quantitative analytics working with tier 1 banks (Barclays, HSBC, NatWest, Lloyds, Westpac,), leading advisory and technology companies (Palantir Technologies, Accenture). He has a proven track record of delivering complex analytical projects while working across multiple locations (London, NYC, Sydney, Singapore, San Francisco, Toulouse, Warsaw) with geographically dispersed teams. He has an academic background in econometrics/statistics and specialises in credit risk modelling, model risk management, machine learning/artificial intelligence, management consulting, and business development. He has a strong grasp of emerging technologies and state-of-the-art modelling methodologies.

 

Author:

Manuele Iorio

Head of Model Risk Measurement and Quantification
Barclays

Dimitrios has 15 years of Banking experience in various Quantitative Modelling roles, most recently as the Head of Model Risk Measurement at Barclays, where he focuses on developing approaches to assess model uncertainty for the key risk metrics of the Bank. Prior to that, he worked at Deutsche Bank where he led various teams within Counterparty and Market Risk model development and then within Model Risk Management, incl. Model Validation, Framework design and Technology for model testing platforms. He holds an MSc and BSc in Finance from The London School of Economics and the University of Macedonia, Greece respectively.

... read more

Manuele Iorio

Head of Model Risk Measurement and Quantification
Barclays

Dimitrios has 15 years of Banking experience in various Quantitative Modelling roles, most recently as the Head of Model Risk Measurement at Barclays, where he focuses on developing approaches to assess model uncertainty for the key risk metrics of the Bank. Prior to that, he worked at Deutsche Bank where he led various teams within Counterparty and Market Risk model development and then within Model Risk Management, incl. Model Validation, Framework design and Technology for model testing platforms. He holds an MSc and BSc in Finance from The London School of Economics and the University of Macedonia, Greece respectively.

Author:

William Durham

Head of Risk Methodology
Bank of England
... read more

William Durham

Head of Risk Methodology
Bank of England

Author:

Ratul Banerjee

Head of Model Validation
OSB
... read more

Ratul Banerjee

Head of Model Validation
OSB
5:00 - 6:00pm
Wednesday, 22 Mar, 2023
08:00 - 9:00am
Registration and Networking
09:00 - 9:30am
  • Are we taking a quantitative over a qualitative approach?
  • Overcoming the heterogeneity of models for quantification
  • How are regulatory pressures affecting quantification techniques?
  • The importance of tiering models for validation in the AI model era
Quantification
Speaker

Author:

Sebastian Ptasznik

Head of IFRS9 and Non-credit Risk Validation
Close Brothers

Sebastian in the Head of IFRS9 and Non-Credit Risk Validation at Close Brothers at Close brothers Group. He is an experienced leader with over 14 years of experience in quantitative analytics working with tier 1 banks (Barclays, HSBC, NatWest, Lloyds, Westpac,), leading advisory and technology companies (Palantir Technologies, Accenture). He has a proven track record of delivering complex analytical projects while working across multiple locations (London, NYC, Sydney, Singapore, San Francisco, Toulouse, Warsaw) with geographically dispersed teams. He has an academic background in econometrics/statistics and specialises in credit risk modelling, model risk management, machine learning/artificial intelligence, management consulting, and business development. He has a strong grasp of emerging technologies and state-of-the-art modelling methodologies.

 

... read more

Sebastian Ptasznik

Head of IFRS9 and Non-credit Risk Validation
Close Brothers

Sebastian in the Head of IFRS9 and Non-Credit Risk Validation at Close Brothers at Close brothers Group. He is an experienced leader with over 14 years of experience in quantitative analytics working with tier 1 banks (Barclays, HSBC, NatWest, Lloyds, Westpac,), leading advisory and technology companies (Palantir Technologies, Accenture). He has a proven track record of delivering complex analytical projects while working across multiple locations (London, NYC, Sydney, Singapore, San Francisco, Toulouse, Warsaw) with geographically dispersed teams. He has an academic background in econometrics/statistics and specialises in credit risk modelling, model risk management, machine learning/artificial intelligence, management consulting, and business development. He has a strong grasp of emerging technologies and state-of-the-art modelling methodologies.

 

09:30 - 10:00am
  • Lessons learned from the first-round of climate stress testing
  • Validating emerging models and increase robustness
  • Overcoming data limitations
Validation
Climate Risks – Stress Testing
Speaker

Author:

Konstantina Armata

Senior Modelling Expert, Former Group Head of Model Risk Management at Barclays

Konstantina is a highly experienced Financial Risk professional with over 20 years career in Banking in various Quantitative Modelling roles, most recently as the Group Head of Model Risk Management at Barclays. Prior to that, she worked at Deutsche Bank where she built and led the Bank’s Model Risk Management function and before that at UBS in various quantitative roles in both the Front Office and Risk. Konstantina has extensive experience in developing Model Risk Management frameworks including methodologies to assess and quantify Model Uncertainties and their impact on the output of the framework they are used for (e.g. Capital in stress, IFRS9 etc). Konstantina’s most recent work involves Climate Transition modelling. She holds a PhD in Mathematics from Imperial College, London and an MSc and BSc in Mathematics from ENSIMAG, Grenoble, France and the University of Patras, Greece respectively.

 

 

... read more

Konstantina Armata

Senior Modelling Expert, Former Group Head of Model Risk Management at Barclays

Konstantina is a highly experienced Financial Risk professional with over 20 years career in Banking in various Quantitative Modelling roles, most recently as the Group Head of Model Risk Management at Barclays. Prior to that, she worked at Deutsche Bank where she built and led the Bank’s Model Risk Management function and before that at UBS in various quantitative roles in both the Front Office and Risk. Konstantina has extensive experience in developing Model Risk Management frameworks including methodologies to assess and quantify Model Uncertainties and their impact on the output of the framework they are used for (e.g. Capital in stress, IFRS9 etc). Konstantina’s most recent work involves Climate Transition modelling. She holds a PhD in Mathematics from Imperial College, London and an MSc and BSc in Mathematics from ENSIMAG, Grenoble, France and the University of Patras, Greece respectively.

 

 

10:00 - 10:30am
Networking Break
10:30 - 11:30am
  • How do key existing sectoral legal requirements and guidance in UK financial services apply to AI? 
  • Which ones are most relevant? Are they sufficient? What are the gaps?
  • What are the likely challenges in operationalising them, at scale?"
AI/ ML
Moderator

Author:

Shameek Kundu

Head Of Financial Services and Chief Strategy Officer
Truera

Shameek Kundu is Chief Strategy Officer at TruEra. and one of the representatives from Singapore at the Global Partnership on AI, where he is co leading a project to demonstrate the practical use of Privacy Enhancing and adjacent technologies for well-governed data access for "AI for good" projects.

 

Shameek has spent most of his career in driving responsible adoption of data analytics/ AI in the financial services industry. He is a member of the Singapore Government's Advisory Council on AI and Data, the Bank of England’s AI Public-Private Forum and the Monetary Authority of Singapore’s Steering Committee on Fairness, Ethics, Accountability and Transparency in AI.. 

 

Until 2020, Shameek was Group Chief Data Officer at Standard Chartered Bank, where he helped the bank explore and adopt AI in multiple areas, shaped the bank’s internal approach to responsible AI, and had direct experience of working on data privacy, data sovereignty and data sharing issues in a commercial context

 

... read more

Shameek Kundu

Head Of Financial Services and Chief Strategy Officer
Truera

Shameek Kundu is Chief Strategy Officer at TruEra. and one of the representatives from Singapore at the Global Partnership on AI, where he is co leading a project to demonstrate the practical use of Privacy Enhancing and adjacent technologies for well-governed data access for "AI for good" projects.

 

Shameek has spent most of his career in driving responsible adoption of data analytics/ AI in the financial services industry. He is a member of the Singapore Government's Advisory Council on AI and Data, the Bank of England’s AI Public-Private Forum and the Monetary Authority of Singapore’s Steering Committee on Fairness, Ethics, Accountability and Transparency in AI.. 

 

Until 2020, Shameek was Group Chief Data Officer at Standard Chartered Bank, where he helped the bank explore and adopt AI in multiple areas, shaped the bank’s internal approach to responsible AI, and had direct experience of working on data privacy, data sovereignty and data sharing issues in a commercial context

 

Speakers

Author:

Senthooran Rajamanoharan

Head of Behavioural and Automation Model Risk
NatWest
... read more

Senthooran Rajamanoharan

Head of Behavioural and Automation Model Risk
NatWest

Author:

Mohammed Gharbawi

Co-Head of the Fintech Hub
Bank of England
... read more

Mohammed Gharbawi

Co-Head of the Fintech Hub
Bank of England

Author:

Chris Heys

Partner, Risk Modelling Services
PwC
... read more

Chris Heys

Partner, Risk Modelling Services
PwC
11:30 - 12:00pm
  • Why model documentation matters
  • Challenges with model documentation
  • How technology can assist
  • Use Cases
Speaker

Author:

Efrem Bonfiglioli

Solutions Engineer
Yields.io

Efrem is a seasoned model risk management professional with a passion for advising model developers and validators on best practices for effective model management in compliance with regulatory requirements.

He has held various roles related to model risk management across multiple lines of defense in leading global banking institutions, covering a wide range of asset classes and risk types.

Efrem is a visiting professor at universities in Italy and the UK where he teaches courses ranging from foundational financial subjects to advanced quantitative modelling.

He earned his PhD in Financial Mathematics, where he focused on researching the applications of jump-diffision models in the context of derivatives pricing. 

... read more

Efrem Bonfiglioli

Solutions Engineer
Yields.io

Efrem is a seasoned model risk management professional with a passion for advising model developers and validators on best practices for effective model management in compliance with regulatory requirements.

He has held various roles related to model risk management across multiple lines of defense in leading global banking institutions, covering a wide range of asset classes and risk types.

Efrem is a visiting professor at universities in Italy and the UK where he teaches courses ranging from foundational financial subjects to advanced quantitative modelling.

He earned his PhD in Financial Mathematics, where he focused on researching the applications of jump-diffision models in the context of derivatives pricing. 

12:00 - 12:30pm
  • Exploring Machine Learning Applications in Credit Risk
  • Understanding ‘The Fairness Issue’
  • Explaining ‘The Explainability Issue’
  •  Investigating Machine Learning and Model Risk Frameworks

AI/ ML
Speaker

Author:

Peter Quell

Head of the Portfolio Analytics Team for Market and Credit Risk
DZ Bank

Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models and Economic Capital. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation and a founding board member of the Model Risk Management International Association (mrmia.org).

... read more

Peter Quell

Head of the Portfolio Analytics Team for Market and Credit Risk
DZ Bank

Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models and Economic Capital. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation and a founding board member of the Model Risk Management International Association (mrmia.org).

12:30 - 2:00pm
Lunch and Networking
2:00 - 3:00pm
  • Managing the disruptive nature of AI
  • Preparing for the scale increase from traditional to AI models
  • Overcoming challenges in interconnected models
  • Reducing bias and ensuring ethics in AI modelling
AI/ ML
Moderator

Author:

Julian Philips

Global Head of Model Risk Audit
HSBC
... read more

Julian Philips

Global Head of Model Risk Audit
HSBC
Speakers

Author:

Ushnish Banerjee

EMEA QAG Vice President
Morgan Stanley

Ushnish is an experienced model risk practitioner with more than 10 years of experience across Banks (Morgan Stanley and HSBC) as well as consulting firms (Ernst and Young and KPMG). Ushnish has accrued skills and experience across credit risk (IRB/IFRS9/CECL), traded credit risk (IMM/CVA/IRC) and stress testing models across all three lines of defence. Ushnish has prior experience in conducting learning courses for risk.net.

 

... read more

Ushnish Banerjee

EMEA QAG Vice President
Morgan Stanley

Ushnish is an experienced model risk practitioner with more than 10 years of experience across Banks (Morgan Stanley and HSBC) as well as consulting firms (Ernst and Young and KPMG). Ushnish has accrued skills and experience across credit risk (IRB/IFRS9/CECL), traded credit risk (IMM/CVA/IRC) and stress testing models across all three lines of defence. Ushnish has prior experience in conducting learning courses for risk.net.

 

Author:

Rita Gnutti

Executive Director, Internal Validation and Controls, Group CRO Area
Intesa Sanpaolo
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Rita Gnutti

Executive Director, Internal Validation and Controls, Group CRO Area
Intesa Sanpaolo

Author:

Sanja Hukovic

Head of Model Risk Management
London Stock Exchange Group
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Sanja Hukovic

Head of Model Risk Management
London Stock Exchange Group
3:00 - 3:30pm
Speaker

Author:

Karolos Korkas, PhD

Head of Algorithmic Trading Model Risk
Nomura

Karolos is the head of algorithmic trading model risk at Nomura managing the model risk of all electronic trading models across the bank, globally and for all asset classes. Previously, he worked at Citi as a lead validator for algo trading models, and at MUFG in the electronic trading space (FX market making) as a front office quant trader where he prototyped trading models using statistical and machine learning methods. He holds a PhD in Statistics from the London School of Economics.

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Karolos Korkas, PhD

Head of Algorithmic Trading Model Risk
Nomura

Karolos is the head of algorithmic trading model risk at Nomura managing the model risk of all electronic trading models across the bank, globally and for all asset classes. Previously, he worked at Citi as a lead validator for algo trading models, and at MUFG in the electronic trading space (FX market making) as a front office quant trader where he prototyped trading models using statistical and machine learning methods. He holds a PhD in Statistics from the London School of Economics.

3:30 - 4:00pm
Networking Break
4:00 - 5:15pm
Speakers

Author:

Larry Orimoloye

Principal Data Scientist
TruEra
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Larry Orimoloye

Principal Data Scientist
TruEra

Author:

Shameek Kundu

Head Of Financial Services and Chief Strategy Officer
Truera

Shameek Kundu is Chief Strategy Officer at TruEra. and one of the representatives from Singapore at the Global Partnership on AI, where he is co leading a project to demonstrate the practical use of Privacy Enhancing and adjacent technologies for well-governed data access for "AI for good" projects.

 

Shameek has spent most of his career in driving responsible adoption of data analytics/ AI in the financial services industry. He is a member of the Singapore Government's Advisory Council on AI and Data, the Bank of England’s AI Public-Private Forum and the Monetary Authority of Singapore’s Steering Committee on Fairness, Ethics, Accountability and Transparency in AI.. 

 

Until 2020, Shameek was Group Chief Data Officer at Standard Chartered Bank, where he helped the bank explore and adopt AI in multiple areas, shaped the bank’s internal approach to responsible AI, and had direct experience of working on data privacy, data sovereignty and data sharing issues in a commercial context

 

... read more

Shameek Kundu

Head Of Financial Services and Chief Strategy Officer
Truera

Shameek Kundu is Chief Strategy Officer at TruEra. and one of the representatives from Singapore at the Global Partnership on AI, where he is co leading a project to demonstrate the practical use of Privacy Enhancing and adjacent technologies for well-governed data access for "AI for good" projects.

 

Shameek has spent most of his career in driving responsible adoption of data analytics/ AI in the financial services industry. He is a member of the Singapore Government's Advisory Council on AI and Data, the Bank of England’s AI Public-Private Forum and the Monetary Authority of Singapore’s Steering Committee on Fairness, Ethics, Accountability and Transparency in AI.. 

 

Until 2020, Shameek was Group Chief Data Officer at Standard Chartered Bank, where he helped the bank explore and adopt AI in multiple areas, shaped the bank’s internal approach to responsible AI, and had direct experience of working on data privacy, data sovereignty and data sharing issues in a commercial context

 

5:15 - 5:20pm
Closing Remarks

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