Model Risk Management Immersion – From Fundamentals to Optimization
Join FMS and Darling Consulting Group, for a comprehensive seminar that will take a deep dive into the fundamentals of model risk management and will feature interactive sessions, practical case studies, open discussions and Q&A with industry experts and your peers.
With key takeaways including:
This informative and hands-on seminar is specifically designed for model risk management (MRM) and audit practitioners of all levels within the community and mid-sized financial institutions, experienced or in training.
- MRM fundamentals and evolving regulatory expectations
- Effective model inventory management and risk rating assignment
- Risk culture and the impact on effective challenge
- Managing the model lifecycle
- Model documentation
- Emerging technology
- Data management
- The future state of model risk with 4 individual validation case studies lead by industry experts.
Wednesday, June 26, 2019
8:00 AM – 9:00 AM
9:00 AM - 4:00 PM
12:00 PM – 1:00 PM
Day 1 Concludes
1. Welcome and Seminar Overview
2. Next Level MRM
- Contemplating the future of MRM
- Two regulatory approaches
- Validator and industry experiences
- Seminar preview
3. Regulatory MRM Perspective
- Model Risk Management guidance (OCC 2011-12, SR 11-7, FDIC FIL-22-2017)
- Evolving regulatory expectations and industry practices
4. Establishing a Model Risk Management Culture
- Effective challenge in practice
- Roles and responsibilities of business lines vs. model risk managers vs. auditors
- Model Risk Management organization
- Model governance and validation staff
- Staff size and qualifications
- Compensation and incentives
- Outsourcing validations
- Model risk management policies and procedures
- Establishing effective relationships while maintaining independence
- Running model risk as a risk management function beyond validations
5. Lifecycle of a Model
- Assess available data, the business problem, and choosing a modeling approach
- Documentation: acceptable standards
- Ongoing model performance monitoring
- Model tiers and grading models for queuing validations
- Validation: standards and scheduling
- Resolution of disputes over model issues
- Correcting findings detected in a validation
- Revalidation of models
- The “annual touch”
6. Model Inventory Management
Definition of “model”
- Model vs. calculator vs. qualitative approach
- Model interdependence: systems of models, feeder models, multiple use models
- Version control
- Finding all the models in the institution: model risk surveys and training
- On-going detection of models: self-reporting requirements and liaison activities
- Model inventory management systems
7. Follow-Up to Validations: The Validation Is Complete – Now What?
- The model risk reporting and communication to stakeholders
- Getting strategic value out of the process and informing your enterprise risk strategy
- Leading practices in MRM, including automation of testing and governance
- Data governance: model risk’s role
- Building relationships and establishing model risk’s influence as a risk management function
8. The Future State of MRM - Adaptable, Efficient And Effective
- Impact of machine learning and artificial intelligence on model validations
- Emerging challenges and opportunities
- Road ahead
9. Q&A and open discussion
Thursday, June 27, 2019
8:00 AM – 9:00 AM
9:00 AM - 12:00 PM
Day 2 Concludes
10. Case Study: Validation of Non-Statistical / Non-Complex Models
- ALM and liquidity models
- Spreadsheet models and tools
11. Case Study: Validation of Statistical Models
- Credit / credit stress testing / CECL
12. Case Study: Validation of Compliance / Data-Driven Models
13. Case Study: Validation of Vendor / “Black-Box” Models
- Validation and testing techniques
14. Q&A and open discussion
*Schedule is subject to change
Managing Director, Darling Consulting Group
With over 30 years of experience in strategic risk management, Mike Guglielmo has provided technical and strategic consulting to a diverse group of financial institutions. Mike is also a frequent author and top-rated speaker on a variety of balance sheet and model risk management and operational risk management topics. He serves as Vice Chairman and board member for the Financial Managers Society.
During his tenure at DCG, Mike has served in various capacities, including director of financial analytics. In addition, he is a technical resource for the ongoing development of many of DCG's quantitative and strategic risk management products and services. Prior to joining DCG, Mike managed the ALCO and strategic planning processes for a regional bank in the northeast. Mike is a graduate of Fairfield University with a degree in economics.
Drew H. Boecher,CFA
Managing Director, Darling Consulting Group
As a Managing Director at Darling Consulting Group (DCG), Drew brings two decades of experience evaluating asset liability management and assessing bank credit risk. His unique combination of regulatory and private sector experience provides modeling insights to improve strategic decisions.
As a consultant, Drew’s experience spans the spectrum from top Fortune 500 firms to very small firms. His advisory skills were procured to lead an asset liability management review for a global systemically important financial institution (GSIFI) and he consistently develops systems to help internal teams solve complex business problems at entities of all sizes.
During his extensive FDIC career, Drew’s asset liability management and credit knowledge was drawn upon to develop regulatory training materials used by multiple agencies, and he was a key contributor to 2007 “war game” simulations, creating scenarios similar to events that actually unfolded in late 2008.
Drew is a Boston College graduate who has a passion for learning and has remained an active CFA Institute volunteer for over 20 years.
Quantitative Risk Consultant, Darling Consulting Group
As a Quantitative Risk Consultant at Darling Consulting Group, Sam has validated a variety of risk models for large financial institutions—including risk rating, stress testing, allowance and deposit models—from both a statistical and business perspective. Sam has also combined his background in econometrics with his experience in credit risk to help DCG enhance its community bank credit stress testing methodology.
Before arriving at DCG, Sam served as a Senior Consultant in SunGard’s Risk & Performance group, where he developed models in multiple areas of financial risk, with a focus on credit and interest rate risk. Sam designed SunGard’s Dodd-Frank Act stress testing model selection algorithm and has also created custom PD and LGD models, including a suite of models currently implemented at a top 15 U.S. bank (by asset size).
Sam graduated cum laude with a bachelor’s degree in economics with mathematical applications from Princeton University. While at Princeton, he was the recipient of the John Glover Wilson Memorial Award for his thesis studying the economics of bargaining.
Location and Accommodations
Westin Boston Waterfront
425 Summer Street
Boston, MA 0221044
To Reserve your hotel room please contact FMS at info@FMSinc.org.
|| Earn up to 11 hours of CPE credit.
- Level: Basic to Intermediate
- Prerequisites: None
- Advance preparation: None
- Field of Study: Management Services
- Instructional Method: Live-Group
For more information regarding administrative policies such as concerns or refunds, call 800-ASK-4FMS (800-275-4367). FMS is registered with the National Association of State Boards of Accountancy as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses. Complaints regarding sponsors may be addressed to: The National Registry of CPE Sponsors, 150 Fourth Avenue, North, Suite 700, Nashville, TN 37219-2417 Web: www.nasba.org.
Refunds and Cancellations
A refund minus a $250 processing fee will be provided for cancellations received by FMS in writing four weeks prior to the program start date. No refunds will be given for cancellations received after that date. A substitution from your institution is welcome at any time. FMS reserves the right to change instructors or reschedule/cancel sessions when necessary. FMS is not responsible for airfare penalties incurred due to the cancellation of the program. For more information regarding refunds, concerns, and/or program cancellation policies, please contact our offices at (312) 578-1300.
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FMS Members: $1,195
Staff/Co-Worker of Member: $1,395
Offer: If you or a member of your Institution attend the FMS Forum –
receive a 10% discount on the Seminar pricing with code MRM10
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