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ABA Model Risk Management Workshop for Bank Risk Managers

April 6, 2019 • ABA Risk Management Conference • Austin, TX



Workshop Overview  |  Workshop Program

Program

The workshop is located in the Manchester EF Room at the Fairmont Austin Hotel. Questions are welcomed throughout the day.

This program is subject to change. Check this page frequently for updates.

​Saturday, April 6, 2019
8:00 am - 8:45 am Registration Open and Continental Breakfast
8:45 am -​ 9:00 am Welcome and Workshop Overview
Rob Strand
9:00 am - 9:30 am Model Risk Management Today
Drew Boecher
  • Current and Emerging Issues (including CECL)
  • Contemplating the Future of Model Risk Management
  • Workshop Preview
9:30 am – 10:00 am Model Risk Management Organization
Brandon Blanchard and Chris Torley
  • Roles and Responsibilities of Business Lines, Model Risk Managers and 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
10:00 am – 10:15 am Stretch Break
10:15 am – 11:00 am Establishing Model Risk Management Culture
Brandon Blanchard and Chris Torley
  • Running Model Risk as a Risk Management Function Beyond Validations
  • Tying Model Risk into Enterprise Risk
  • Establishing Effective Relationships while Maintaining Independence
  • Audit's Role in Model Risk Management
11:15 am – 12:00 pm The Models Inventory
Rob Strand and Brandon Blanchard
  • Definition of "Model"
  • The Models Inventory
  • Definition of "Model Risk"
  • Technology to Maintain the Models Inventory
  • CECL Models and Quantitative Practices
12:00 pm – 12:45 pm Lunch Break
12:45 pm – 1:45 pm Lifecycle of a Model
Mike Guglielmo and Chris Torley
  • How Does a Model Come into the Bank?
  • Building vs. Buying a Model
  • Documentation
  • Ongoing Model Performance Monitoring
  • Model Tiers for Queuing Validations
  • Validation: Standards and Scheduling
  • Validation Findings
  • Resolution of Disputes Over Model Issues
  • Revalidation of Models
  • Annual Reviews
1:45 pm – 2:45 pm Anatomy of a Model Validation-Validation Case Study
Sam Chen and Drew Boecher
  • Validation of a Model
    • Benchmark and Sensitivity Analysis to Assess Model Assumptions and Design
    • Assessing the Impacts and Materiality of Model Weaknesses
    • Risk Mitigation for Model Weaknesses
  • Validation of the Applications in the Bank
  • The Validation Report: Balancing Detail with Communication of Key Issues and Results
  • Leading Practices for Ongoing Performance Monitoring
  • Demonstrating Effective Challenge
  • Common Pitfalls During a Validation and Ways to Address Them
  • Validation Report Review and Challenge
  • Challenges with Validating BSA/AML Models
  • Treatment of Quantitative Procedures and Models for CECL
2:45 pm – 3:15 pm Vendor Models and Consultant Validations
Brandon Blanchard and Chris Torley
  • Managing a Vendor to Get What's Needed
  • Partnership with a Vendor to Complete a Validation
  • Scoping Vendor Validations
  • Dealing with a Consultant Validator
  • Common Challenges (e.g., information security)
3:15 pm – 3:30 pm Dessert Break
3:30 pm – 4:45 pm Model Performance Monitoring and Data Governance
Sam Chen and Brandon Blanchard
  • Data Governance 
    • Enhancing Data Collection and Collection Challenges
    • Segmentation
    • Data Governance: Model Risk's Role
    • Data Audit
    • Data for CECL Modeling and Quantitative Processes
  • Monitoring Model Performance
4:45 pm – 5:15 pm Wrap Up
Mike Guglielmo and Friends
  • Getting Strategic Value from Model Risk Management: SWOT
  • Executive and Board Reporting
  • Q&A and Open Discussion
5:15 pm Networking Reception
We know there will be a lot of post-workshop questions, so please remain for our reception.

Sponsored by ABA Certifications: Certified Enterprise Risk Professional (CERP).

Registration & Fees

Online registration for the workshop is now closed. To register on site, please visit us in the Manchester Foyer on the fifth floor of the Fairmont Austin. Thank you.

Registration Types Fee
ABA Member or ICB $575
Government $575
Nonmember or Vendor $775








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