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Model Governance

Understand the practice and regulatory requirements
of model governance and …

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Content

Banks that decide and get approval to use internal models need to invest in developing and maintaining high quality models. They need to have sound internal validation and oversight processes in place. Collectively, these are known as the Model Risk Governance framework of the bank.

We will explain the three lines of defense model as applied to model risk, the role of model validation and audit, the review of estimates and the broader model life cycle.

Participants will be challenged to understand and deal with common impediments to effective model risk management. The supervisory view on Model Governance will be discussed as well.

Learning Goals

After this module, you will be able to

Understand the purpose, requirements and practice of Model Governance and Model Risk Management
Know the role of model validation and audit, and the three lines of defense against model risk
Identify and mitigate situations that impede effective model risk management

Target Audience

The course module is intended for

IRB model developers and validators
Auditors

Prerequisites

The material will be taught in English.
Participants are advised to come equipped with basic understanding of

(Credit) risk management
Regulation of internal models

Schedule

The module will be taught over 2 sessions of each 4 hours. The track schedule will be planned in coordination with the client based on the selection of modules.

Example case studies

For this module, examples of case studies are

Presented with a model development planning, identify main weaknesses and risks from the point of view of validation, audit and the supervisor
Discuss simulated audits and validations of internal models

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