モデル・リスク管理:グローバルベストプラクティスと国内における潮流

Model Risk Management - Global Best Practices and Local Trends

Full Agenda is at the bottom of this page

 

 


昨年11月に金融庁より「モデルリスク管理に関する原則」が公表されました。ここでは、モデルリスク管理の際に考慮すべき8つの原則が示されていますが、本邦の金融機関において今後どのように効率的なモデルリスク管理態勢を構築・強化していけばよいか、検討しているのではないかと思われます。

本ウェビナーにおいては、金融庁および国内外の金融機関のご経験豊富な専門家の方々にご登壇いただき、スピーカーの皆様の知見を本邦金融機関の方々と共有させていただくことで、今後の皆様の実務高度化に役立てていただければと考えております。プレゼンテーションおよびパネルディスカッションでは主に次のポイントについてお話させていただく予定です。

  • 定性的観点からのモデル管理高度化
    • 海外マーケットにおけるモデルリスク管理のベストプラクティス
    • モデルリスク管理において考慮すべきプロセス
  • 定量的観点からのモデルバリデーション手法
    • 海外マーケットにおけるベストプラクティス
    • 利用可能な数理手法

On November 21st, 2021, the Financial Services Agency of Japan issued a consultation paper, which details the principles for model risk management. In this consultation paper, eight principles for Model Risk Management are illustrated. Since model risk management is a relatively new topic/initiative in Japan, many financial institutions including Banks and Securities Companies are looking for ways to implement effective model risk management in their organizations.

The objective of this webinar is to share with representatives from financial institutions in the Japanese market how model risk management can be enhanced. The key messages to be delivered include:

  • How to better manage the models from a qualitative perspective. These include:
    • Best practices from overseas markets.
    • The processes/procedures that the institutions need to put in place to set up sustainable model risk management and manage models from end to end.
  • How to validate the models from the quantitative perspectives. These include:
    • Best practices from overseas markets.
    • Mathematical methods that can be used.

Experiences will be shared by overseas and local practitioners so that the audiences can take certain ideas and potentially leverage/implement them into their model risk management framework.

Featured Speakers:

  • Yasuhiro Tanaka / 田中 康浩 (Financial Services Agency)
  • Takashi Yoshida / 吉田 高 (Financial Services Agency)
  • Kouhei Iinuma / 飯沼 綱平 (Shinsei Bank)
  • Hiroki Tomiyasu / 富安 弘毅 (Morgan Stanley MUFG Securities)
  • Francesca Bergamaschi (ING)
  • Suiunbek Ibraev (Formerly OCBC)
  • Erik Vijlbrief (Zanders)
  • Hiroyasu Hirayama / 平山 裕康 (Zanders Japan)
  • Yingqi Zhu / 朱 映奇 (Numerix)

 

Webinar Agenda

  • Keynote Speech (in Japanese): Yasuhiro Tanaka, Financial Services Agency of Japan
  • Developing a sustainable Model Risk Management Framework (in English): Erik Vijlbrief, Zanders
  • Model Validation Methodologies (in Japanese): Yingqi Zhu, Numerix
  • Panel Discussion: Establishing an effective and efficient Model Risk Management Framework (in English)
    • Moderator: Hiroyasu Hirayama, Zanders Japan
    • Panelists:
      • Takashi Yoshida, Financial Services Agency of Japan
      • Kouhei Iinuma, Shinsei Bank
      • Hiroki Tomiyasu, Morgan Stanley MUFG Securities
      • Francesca Bergamaschi, ING
      • Suiunbek Ibraev, Formerly OCBC

 

 

 

 

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