SAS Model Risk Management
Virtual Briefing Event

Virtual Event | 2021年3月18日

アジア・パシフィック向けのモデル・リスク・マネージメントのバーチャル・イベントに是非ご参加ください。

本イベントでは、最新の業界動向を把握し、また、この状況の中、様々な課題を克服するための貴重な洞察やMRM実務者による取り組み事例などの最新情報を得ることができます。

アジェンダ

午前11時~午後1時
11:00-11:05オープニングとご紹介
- Gennady Chinsky, MRMシニア・インダストリー・コンサルタント、SAS APAC
11:05 -11:10ポール
11:10-11:40

"現在のMRMにおける課題"(録画)
– David Palmer氏、シニア・スーパーバイザリー・ファイナンシャル・アナリスト、米連邦準備制度理事会(FRB)

  • COVID-19によるモデリングの課題
  • 信頼性の高い再現性のある検証/独立したレビューの実施
  • 新しいモデリング技術の導入s
11:40-12:05 "MRMカジュアルトーク"
– Gennady Chinsky & Sagar Chawla氏
12:05-12:35"役に立つモデル・リスク・レポーティング" (録画)
– Farhaad Amod氏、モデルリスク管理責任者、NedBank
– Andri Theunissen氏、シニアクオンツアナリスト、NedBank
12:35-12:45"SAS MRMの特徴とロードマップ" 
– Gennady Chinsky、MRMシニア・インダストリー・コンサルタント、SAS APAC
12:45-13:00まとめの考察とクロージング

※セッションは、すべて英語で行われます。
※アジェンダは予告なく変更する場合がありますのでご了承ください。


David Palmer
Senior Supervisory Financial Analyst, Division of Banking Supervision and Regulation at the Federal Reserve Board

David is a senior supervisory financial analyst in the Division of Banking Supervision and Regulation at the Federal Reserve Board. He focuses on several primary topic areas, including banks’ model risk management practices, banks’ and supervisors’ stress testing activities, banks’ capital planning practices, validation of supervisory stress testing models, and banks’ credit risk capital models. He engages in both policy-related projects as well as on-site examinations.

David was a primary author of the Federal Reserve’s Supervisory Guidance on Model Risk Management (SR 11-7), issued in April 2011 jointly with the OCC (and more recently with FDIC), and continues to lead the implementation of that guidance within the Federal Reserve. He was also a key contributor to the Federal Reserve’s supervisory guidance on capital planning for large firms issued in December 2015 (SR Letters 15-18 and 15-19), as well as to the Federal Reserve’s final rules to implement Dodd-Frank stress testing requirements and the Federal Reserve’s Capital Plan Rule. More recently, David has been involved in evaluating supervised firms’ use of fintech, including artificial intelligence/machine learning. He has a bachelor’s degree from Oberlin College and a master’s degree from Georgetown University.


Farhaad Amod
Head of Model Risk Management, Nedbank

Farhaad leads the Group Risk: Model Risk Management team at Nedbank. He is responsible for telling Nedbank’s model risk story, driving best practice across the model landscape and fulfils an advisory role in developing modelling solutions that unlock business and client value. Farhaad’s current key initiatives are the evolution of a Group-wide Machine Learning methodology with supporting governance framework and digitising the Model Risk Management framework across the organisation. Prior to joining Nedbank, Farhaad worked as a risk advisory consultant for PwC, where he specialised in market, operational and credit risk in the South African banking sector.


Andri Theunissen
Senior Quantitative Analyst, Nedbank

Andri is a Specialist Quantitative Analyst in the Group Risk: Model Risk Management team at Nedbank. Her focus is on elevating Nedbank’s model risk management framework to an internationally pursued standard beyond local best practice. This extends to the implementation of SAS MRM and establishing a Model Risk Management framework aimed at enhancing the manner in which model risk is managed, measured, monitored and governed across the bank’s model landscape. Her career began as an advisory consultant at PwC with a focus on market risk across various industries and has 10 years of experience as a quantitative analyst.


Sagar Chawla
Director, Risk Advisory, Deloitte

Sagar Chawla has over 13 years of financial risk experience in banking and financial services. Instrumental for IFRS9 implementation assignments. He has worked on the implementation of IRB approach which includes PD, LGD models development and RWA computation for corporate, SMEs, retail portfolios under AIRB approach. He has also worked on development of Risk Appetite statement based on economic capital model and ICAAP implementation which stress testing of credit risk. He has implemented credit risk models, operational risk models for banks across the globe.


Gennady Chinsky
Senior Industry Consultant, Risk Business Consulting, SAS

Gennady is a member of the SAS Risk Business Consulting team for the Asia Pacific. His experience spans to IFRS17, Model Risk Management, IFRS9, Operational Risk. Gennady has been with SAS for 5 years as a risk consultant and over 10 years in Risk Management. He also provides value demonstration of business and technical features of SAS risk management solutions to both financial and non-financial organisations and technical support to risk related implementation projects across the Asia Pacific region.

Before joining SAS, Gennady worked for Big 4, where he took a leading role in numerous projects related to Risk Management Advisory, GRC implementations, ERP implementations, IT-security and internal control audits.

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