Market events have highlighted banks’ expanding use of data-driven, quantitative analysis and financial models, escalating the need to manage ‘model risk’ like any other type of risk. In recent years, as banks have tried and applied financial models to more complex products, we’ve seen that the models themselves can impose risk if they are incorrect, misapplied or misused.

In response to this new type of risk, and the financial losses associated with it, the Federal Reserve Board (FRB) and Office of the Comptroller of the Currency (OCC) issued the joint Supervisory Guidance on Model Risk Management (OCC Bulletin 2011-12) dated April 4, 2011. According to the OCC, “Model validation remains at the core of the new guidance, but the broader scope of model risk management encompasses model development, implementation, and use, as well as governance and controls related to models.”

On October 25, 2012, featured speaker Dr. David Eliezer, Vice President, Head of Model Validation at Numerix, discussed:

  • The types of model risk that institutions are exposed to in derivative pricing
  • The role of calibration and choice of hedge instruments in defining the model and the potential model risks that stem from these choices
  • Best practice approaches for tests of mathematical and financial correctness of the models
To view the webinar replay, just register on the right side of this page.

Featured Numerix Speakers:

David Eliezer, Vice President, Head of Model Validation, Numerix
David 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 is leading the Model Validation project at Numerix.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. 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.

Register for the On-Demand Webinar

Select Form: 

Form #1: On-Demand Webinar

Keep me informed of future webinars from Numerix:

Sign me up to receive "Derivative Insights & Innovations" monthly newsletter by Numerix:

* Required fields
newsletter issue - Dec 7, 2017

Derivative Insights & Innovations - December 2017 Issue

newsletter issue - Nov 9, 2017

Derivative Insights & Innovations - November 2017 Issue

newsletter issue - Oct 12, 2017

Derivative Insights & Innovations - October 2017 Issue

newsletter issue - Sep 14, 2017

Derivative Insights & Innovations - September 2017 Issue

solutions

Fund Services Solutions

industry conference

FRTB Implementation Summit Europe 2017

industry conference

FRTB Implementation Summit 2017

newsletter issue - Feb 9, 2017

Derivative Insights & Innovations - February 2017 Issue

newsletter issue - Jan 12, 2017

Derivative Insights & Innovations - January 2017 Issue

newsletter issue - Dec 8, 2016

Derivative Insights & Innovations - December 2016 Issue

newsletter issue - Nov 10, 2016

Derivative Insights & Innovations - November 2016 Issue

newsletter issue - Sep 22, 2016

Derivative Insights & Innovations - September/October 2016 Issue