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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

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

​Saturday, April 6, 2019
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
  • Contemplating the Future of Model Risk Management
  • Regulator Expectations and Validator Experiences
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 Organization
  • Model Governance and Validation Staff
  • Staff Size and Qualifications
  • Compensation and Incentives
  • Outsourcing Validations
  • Model Risk Management Policies and Procedures
  • Audit Role in MRM
  • Establishing Effective Relationships while Maintaining Independence
  • Running Model Risk as a Risk Management Function Beyond Validations
10:45 am – 11:00 am Stretch Break
11:00 am – 12:00 pm 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 Bank: Model Risk Surveys and Training
  • Ongoing Detection of Models: Self-Reporting Requirements and Liaison Activities
  • Model Inventory Management Systems
12:00 pm – 12:45 pm Lunch Break
12:45 pm – 1:45 pm 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"
1:45 pm – 2:45 pm Anatomy of a Model Validation: Validation Case Study
  • 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
2:45 pm – 3:15 pm Vendor Models and Consultant Validations
  • Managing a Vendor to Get What's Needed
  • Partnership with a Vendor to Compete a Validation
  • Scoping Vendor Technologies
  • Dealing with a Consultant Validator
  • Common challenges (e.g., Information Security)
3:15 pm – 3:30 pm Dessert Break
3:30 pm – 4:30 pm New Era of Data Management?
  • Enhancing Data Collection
  • Collection Challenges
  • Segmentation
  • Data Governance: Model Risk's Role
  • Challenges with Validating BSA/AML Models
4:30 pm – 5:00 pm Q&A and Open Discussion
5:00 pm Networking Reception
Engage in post-workshop conversation with attendees and faculty. Reception sponsored by
ABA Certifications: Certified Enterprise Risk Professional (CERP).

Registration & Fees

This optional pre-conference workshop is separately priced from the ABA Risk Management Conference, and you must register for this event separately from the Conference.

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


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