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- Webcast -

The Impact of Global Events on Model Risk Management

Thursday, October 13, 2022 11:00 AM

Recent global events, including the COVID pandemic, Russia’s invasion of Ukraine, and the 2022 inflation spikes, have strained the predictive models of financial institutions and created a range of challenges for financial risk managers related to model risk management.

 

Drawing on the results of a recent worldwide GARP Risk Snapshots survey of FRMs, Bill May, GARP’s Global Head of Certifications and Educational Programs, will moderate a panel discussion of the impact of recent global events on model risk management. The experts will explore a range of topics including:

 

·        model culture

·        model performance

·        model development and validation

·        model risk management

·        future model risk challenges

·        key lessons learned

Evan Sekeris

Head of Non-Financial Risk - Americas

Evan's background is in the measurement and quantification of credit risk and operational risk. His primary focus is on supporting institutions in building operational risk modeling for stress testing, developing their risk identification process, and developing their model risk management frameworks. Evan was a formerly a partner at Oliver Wyman, and prior to that he served as Head of Risk Consulting for Financial Institutions for Aon, where he was in charge of building Aon's risk consulting practice for financial institutions and managed multiple teams based in North America and Europe to deliver services to clients worldwide. Previously, Evan was an Assistant Vice President at the Federal Reserve Bank of Richmond where he created the center of excellence for operational risk to serve the system needs for operational risk-related matters. The team supervised all AMA and CCAR banks in the US and developed the Fed's CCAR model for operational risk.

Charles Currat

Head of the Quantitative Modeling Development Center for Wealth and Investment Management, Wells Fargo

Charles Currat, PhD, FRM, is the Head of the Quantitative Modeling Development Center for Wealth and Investment Management (WIM) at Wells Fargo. His team provides innovative model development, lifecycle support, and audit readiness to support business needs in accordance with supervisory guidance. Most recently his team was involved with the research and development of quantitative solutions in client portfolio management challenges, from construction to adoption for the Wells Fargo Investment Institute (WFII). Charles has held risk management positions in different lines of defense at Wells Fargo since 2006 and previously served as Head of Methodology on the WIM Investment Risk team, providing quantitative oversight and support for investment-related processes. Prior to joining Wells Fargo, he was a postdoctoral researcher at the Lawrence Berkeley National Laboratory (LBNL).

 

Joseph Breeden

Chief Executive Officer, Deep Future Analytics LLC

Joseph Breeden, PhD, has been designing and deploying risk management systems for loan portfolios since 1996. In 2011 he founded Prescient Models, which focuses on portfolio and loan-level forecasting solutions for pricing, account management, CCAR, and CECL. He co-founded Deep Future Analytics in 2013 as a CUSO to bring solutions to credit unions and community banks, and is also the owner of auctionforecast.com, which predicts the values of fine wines using a proprietary database with over two million auction prices. Joseph is a member of the board of directors of Upgrade, a San Francisco-based FinTech, an Associate Editor for the Journal of Risk Model Validation and for the Journal of Credit Risk, and a founding board member and president of the Model Risk Management International Association (mrmia.org).

 

William May

SVP, Global Head of Certifications and Educational Programs, GARP

Bill May is Global Head of Certifications and Educational Programs at GARP. Prior to joining GARP, Bill spent over 20 years in senior research positions at Fitch Ratings and UBS Wealth Management. He has worked for several buy-side and sell-side firms including Bank of America and Federated Investors as well as specialty firms like Andrew Kalotay Associates and Law and Economic Consulting Group. Bill began his career performing a variety of roles at the Federal Reserve Bank of New York.

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