Quantitative models underlie practically all decision-making in the financial markets, underpinning trading, risk management, credit analysis, asset management, operational control and even regulatory oversight. Even the simplest financial instruments are in truth valued using models. When things are going well models are invisible and are part of the furniture. But when they break, or don’t represent “reality” very well, or are used in an inappropriate way, the results can be disastrous – including severe financial loss, damage to a firm’s reputation, and even threaten an industry’s very viability.
So how do firms – and their regulators – typically deal with model risk? How can they uncover hidden model risks and manage the risks they discover? Are there ways to quantify a firm’s model risk exposures and monitor them over time?
On Wednesday, July 15th featured speakers Sidhartha Dash of Chartis Research and Dr. David Eliezer of Numerix reviewed recent industry and regulatory developments in model risk management, as well as discussed best practices in quantifying and monitoring model risk.
Mr. Dash and Dr. Eliezer delved into the following topics:
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Model risk: defining the context
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Defining model risk
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Defining the landscape
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Key trends
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Regulatory perspectives on model risk
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Operationalizing model risk
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Model validation: processes and key issues
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Quantifying and communicating model risk
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Roles and responsibilities
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Approaches to quantifying model risk
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Model risk for liquid products
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Methods of model risk for structured products
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Hedge performance measurement
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Model performance monitoring
To view the on-demand webinar, just register on the right side of this page.
Featured Speakers:
Sidhartha Dash, MBA FRM ERP, Research Director, Chartis Research
Sidhartha Dash is a Research Director at Chartis with over 20 years of experience in the financial, energy, and commodities markets in various functions across the trade life-cycle (risk management, trading, and product structuring) and software development life-cycle (risk, analytics, and trading). Mr. Dash has held various roles in product development, trading, risk management, software development, and consulting in banks, hedge funds, and risk advisory and software firms, including Standard Chartered Bank, TCG Group, HCL, and Cognizant.
His specific areas of interest and research include risk data, model risk management, quantitative models in illiquid markets, high performance analytics, energy and commodity trading risk, market structure design, new computational models, and the use of innovative mathematical methods in various emerging areas of risk management.
Mr. Dash holds an MBA from the Indian Institute of Management and is a qualified Financial Risk Manager (FRM) and Energy Risk Professional (ERP) member of GARP.
David Eliezer, PhD, 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 he leads the Model Validation group at Numerix.
