On September 9th, PRMIA and Numerix held an event to discuss how firms can uncover hidden model risks and ways to manage the risks they discover. The key question of the evening was: So how do firms – and their regulators – typically deal with model risk?
Part I: Model Risk Management - How Far Have We Come
Presented by Sanjay Sharma, Chief Risk Officer of Global Arbitrage and Trading, RBC Capital Markets
- Definitional Construct
- Model Uses
- Model Risk Framework
- Model Validation
- Status, Challenges and Outlook
Part II: Model Risk in Option Pricing: Approaches to Quantifying and Monitoring Model Risk
Presented by David Eliezer, PhD, Vice President, Head of Model Validation, Numerix
Definition of model risk
- Survey of market standard models approach
- Measuring Model Risk: Standard deviation of the cost of hedging measure
- Monitoring model performance with daily hedge error distribution
Registration is required to access both slide decks.
Presenter Biographies:
David Eliezer, PhD, Vice President, Head of Model Validation, NumerixDavid Eliezer, PhD, Vice President, Head of Model Validation, Numerix
David Eliezer, PhD, is Vice President, Head of Model Validation at Numerix in New York. David 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.
Sanjay Sharma, Chief Risk Officer of Global Arbitrage and Trading, RBC Capital MarketsSanjay Sharma, Chief Risk Officer of Global Arbitrage and Trading, RBC Capital Markets
Sanjay Sharma is the Chief Risk Officer of Global Arbitrage and Trading at RBC Capital Markets in New York. He oversees the risk of several trading strategies with a global footprint across a multitude of asset classes and instruments including equities, fixed income and rates, currencies, credit, mortgages, convertible bonds, and volatility. His career in the financial services industry spans over two decades during which he has held investment banking and risk management positions at Goldman Sachs, Merrill Lynch, Citigroup, Moody's and Natixis. He holds a Ph.D. in Finance and International Business from New York University and an MBA from the Wharton School of Business, and has undergraduate degrees in Physics and Marine Engineering.
