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9th Annual Pricing Model Validation

Best practices in validating pricing models at a time when trading books are subject to massive regulatory reform

21-23 September 2016
Marriot West India Quay, London, United Kingdom

Conference Workshop

Documentation: The importance of consistent and quality reports

A significant component covered within the OCC and AVA regulations is the need to communicate the results of model validation through a model validation report. The model validation report should be a written report that documents the model validation process and results.

Workshop Moderator: Robert Chanon

Company: Regulatory and Risk Consultant, Premiofin Limited

Why You Should Attend

9th Annual Pricing Model Validation

In the current environment when trading books are subject to massive regulatory reform, model validation is coming under ever greater scrutiny. Financial institutions need be on top of the situation by making sure they heed the calls for best practices and effective model governance to be implemented. This marcus evans event will equip you with the latest know how on current and future regulations, help you implement best practices with optimisation of model risk management, overcome model validation challenges and explore the complexity of XVA and new initial margin models.  

Key Topics

  • Discover the latest best practices on model governance and model risk management
  • Manage the validation challenges driven by the regulations prompting large-scale model change, such as the FRTB
  • Hear how to validate XVA models and new initial margin models
  • Examine the increasing convergence of pricing models with risk and capital models from a validation perspective
  • Previous Attendees Include

    ABN AMRO, BAML, Barclays, BNP Paribas, C/O Natixis, Citi, Commerzbank, Credit Agricole, Credit Suisse, Danske Bank, EY, ING Bank, Investec Bank Limited, LBBW, Morgan Stanley, National Australia Bank, Nomura, Nordea, PricewaterhouseCoopers, Rabobank, RBS, SANTANDER, SAS Institute Inc, SAS UK & Ireland, Sberbank , Standard Bank, UBS

    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Event Partners

    Practical Insights From

    Dr Ebbe Negenman
    Head of Regulatory Risk

    Raphael Albrecht
    Head of IRC Methodology
    Credit Suisse

    Bertrand Hassani
    Global Head of Research and Innovation
    Banco Santander

    Tanveer Bhatti
    Managing Director, Global Head of Model Risk Management

    Alvise De Col
    Head of FXMM, Equities and Commodities Model Validation

    Sergio Scandizzo
    Head of Model Validation
    European Investment Bank

    Tanguy Dehapiot
    Head of Validation and Valuation
    BNP Paribas

    Dr. Jan-Phillipp Hoffmann
    Chief Risk Officer
    Deutsche Postbank

    Click Here For Full Agenda

    Voice of Our Customers
    • “This conference is very useful to both regulators and regulated entities. Materials are useful and informative. Overall this is the best conference I have ever attended in content, relevance and usefulness”, FHFA
    • “Comprehensive and well structured programme with an open and engaging style of presentation.” Investec
    • “Extremely well presented course – informative and valuable to the whole group.” Nordea Bank
    • “The course has been a positive experience which will definitely help my group in their day-to-day activities.” Edison Trading
    • “Excellent overview and good level of detail to make clear what theoretical concepts mean for derivatives pricing.” ABN AMRO
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Melini Hadjitheori

    455 N Cityfront Plaza 9th Floor,
    Chicago, 60611, USA

    +1 312 540 6347
    Fax: +1 312 276 8505