ABA Model Risk Management Workshop for Bank Risk Managers

March 17, 2018 • Hyatt Regency Orlando • Orlando, FL
Pre-conference optional workshop of the ABA Risk Management Conference



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Program

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​Saturday, March 17, 2018
8:00 am - 8:45 am Registration and Continental Breakfast
8:45 am -​ 9:00 am Welcome and Workshop Overview
9:00 am - 9:30 am Next Level Model Risk Management
  • Model Risk Management Regulation: OCC 2011-12 / SR 11-7, DFAST rule, SR 15-18 and 15-19, etc.
  • Recent Examination Experiences: What are supervisors looking for?
9:30 am – 10:45 am Establishing a Model Risk Management Culture
  • Roles and Responsibilities of Business Lines vs. Model Risk Managers vs. Auditors
  • Model Risk Management Governance Organization
  • Model Governance and Validation Staff
    • Staff Size and Qualifications
    • Compensation/Incentives
    • Outsourcing Validations
    • Assuring and Documenting Independence
  • Model Risk Management Policies and Procedures
10:45 am – 11:00 am Stretch Break
11:00 am – 12:00 pm Model Inventory Management
  • Definition of “Model”
    • Model vs. Calculator
    • Model Interdependence: Systems of Models, Feeder Models, Multiple Use Models
    • Version Control
  • Finding all the Models in the Bank
  • On-going Detection of Models
  • Model Inventory Management Systems
12:00 pm – 12:45 pm Lunch Break
12:45 pm – 1:45 pm Lifecycle of a Model
  • Documentation
  • Routine Checks on Model Performance
  • Model Tiers and Grading Models for Queuing Validations
  • Validation
  • Resolution of Disputes over Model Issues
  • Correcting Findings Detected in a Validation
  • Revalidation of Models
  • The “Annual Touch”
1:45 pm – 2:45 pm Anatomy of a Model Validation – Validation Case Study
  • Validation of the Model – Managing the Vendor to Get What’s Needed
    • Challenger Models and Benchmarking
  • Validation of the Application(s) in the Bank
  • The Validation Report
  • Residual Model Risk
  • Common Pitfalls and Ways to Address Them
2:45 pm – 3:15 pm Model Risk Management – Validating Vendor Models
  • Partnership with vendor to complete validations
  • Scoping vendor validations
  • Common challenges (for example, information security)
3:15 pm – 3:30 pm Dessert Break
3:30 pm – 4:30 pm Follow-up to Validations: The Report is Complete – Now What?
  • The Model Risk Report, Aggregate Model Risk, and Reporting to Senior Management and the Board
  • Getting Strategic Value Out of the Process – How Does this Funnel into Enterprise Risk Strategy?
  • Leading Practices in Model Risk Management
  • Data Governance
4:30 pm – 5:15 pm Final Q&A and Open Discussion
5:15 pm Adjourn

Faculty

Moderator
Robert "Rob" W. Strand
Senior Economist
American Bankers Association
Washington, DC



Sam Chen
Quantitative Consultant
Darling Consulting Group
Newburyport, MA



Drew Boecher
Managing Director
Darling Consulting Group
Newburyport, MA



Michael "Mike" R. Guglielmo
Managing Director
Darling Consulting Group
Newburyport, MA



Shannon Kelly
Senior Vice President and Director of Model Risk Management
Zions Bancorp
Salt Lake City, UT

Registration & Fees

Registration Types Fee
ABA Bank and Service Member/ICB             $575
Government $575
Nonmember/Vendor $775


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​Workshop Questions? Please contact Dorothy Friedlander for more information.