Market events have escalated 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.”
Dr. David Eliezer, Vice President, Head of Model Validation at Numerix will cover the following topics in the webinar:
• 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
Attendance is Complimentary: Register Here
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