SAS Model Risk Management Connection

Virtual Event | October 14th 2020

Join your peers, industry leaders and SAS experts on this Virtual Event

Embark on this virtual Model Risk Management journey with us for the opportunity to stay abreast of the newest industry trends, and hear valuable insights on how to overcome current challenges provoked by the current times. This event is also an opportunity to network with other MRM practitioners.

You'll be able to:

  • Increase your knowledge about the MRM discipline by engaging with other experts.
  • Participate on an open roundtable discussion to learn, share insights and network with other decision makers.
  • Provide feedback and ideas on product roadmap strategy.

We have an exciting agenda in store. Among the speaker line-up is keynote David Palmer.

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.

Duncan Mackinnon
Director: Supervisory Risk Specialist, PRA Bank of England

Duncan Mackinnon began his career at HM Treasury and led the Treasury’s work initial on Solvency II before moving to the FSA and on to prudential policy for the banking sector. He was head of the Banking Policy division at the FSA and then at the PRA. Since then Duncan has supervised some of the major UK banks and been director of International Banks supervision; he is now Director of the Supervisory Risk Specialists directorate.

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.

Agus Sudjianto
Executive Vice President Head of Corporate Model Risk, Wells Fargo & Company

Agus Sudjianto is an executive vice president and head of Corporate Model Risk for Wells Fargo, where he is responsible for enterprise model risk management. Prior to his current position, Agus was the modeling and analytics director and chief model risk officer at Lloyds Banking Group in the United Kingdom. Before joining Lloyds, he was a senior credit risk executive and head of Quantitative Risk at Bank of America. Agus holds several U.S. patents in both finance and engineering. His technical expertise and interests include quantitative risk, particularly credit risk modeling, machine learning and computational statistics.

Giles Spungin, PhD(Lon)
Global Head of Enterprise Risk Analytics, HSBC

Giles is a Managing Director and Head of Enterprise Risk Analytics at HSBC, where he is responsible for deployment of data management and Advanced Analytics solutions across Enterprise Risk globally. He has extensive experience in at scale analytics deployment across Risk, including Model Risk, Operational Risk, Compliance, Cyber Risk and Resilience Risk. Giles leads Risk-wide Fintech engagements and Responsible AI/ML deployment efforts. Prior to joining HSBC, he worked in Goldman Sachs and Deutche Bank. Giles has Quant Risk Management and Algorithmic Trading development background.

Ignacio Bocos
Head of Risk Data & Models, Bankia

Ignacio is leading the risk data & models department at BANKIA since 2017. He is responsible for the development and implementation of qualification models (scoring / rating), risk parameter estimation (PD / LGD / CCF / Prepayments) for both capital and provisions calculations, model monitoring (monitoring, backtesting and model risk management), risk information management through GDPR principles and coordination of regulatory exercises (IMI, TRIMI, OSI, QIS, Stress Test, ICAAP). Prior to joining BANKIA, Ignacio worked as risk advisory consultant at Management Solutions and later worked at Grupo Santander in the methodology area. In 2014 he became the director of methodology at Banco Popular.

Fabienne Libert
Head of Model Risk Management, ING

Fabienne Libert is leading ING’s Model Risk Management by empowering a highly skilled and motivated team to contribute to the purpose of the bank. Previous to this Fabienne held different management positions in Finance, Retail and Credit Risk, Global operations & transformation in Belgium, Thailand, and The Netherlands. Fabienne holds a Master degree in International Business and Management and Certificate in Economy of the Developing Nation, all from I.C.H.E.C. Brussels Management School. She is fluent in French, Dutch and English.

David Asermely
Global MRM Lead, SAS

David Asermely will present the SAS MRM Roadmap. He is the Global Model Risk Management Lead at SAS, driving strategic conversations with global institutions and influencing the SAS® MRM solution roadmap. He is passionate about translating data into actionable intelligence, and he focuses on combining the best technologies and design principles to improve modelling efficiency and quality. Prior to joining SAS, Asermely managed the Bank of New York Mellon’s Global Performance and Risk Analytics product set.


9:30 am - 12:40 pm US Eastern Standard Time
9:30 - 9:35Welcome and Introduction – David Asermely, Global MRM Lead, SAS
9:35 - 10:00“Model Risk Reporting That Matters” – Farhaad Amod, Head of Model Risk Management; Andri Theunissen, Senior Quantitative Analyst, NedBank
10:00 - 10:45

Current MRM Challenges” – David Palmer, Senior Supervisory Financial Analyst, Federal Reserve Board

  • Modeling challenges presented by COVID-19
  • Conducting reliable and repeatable validation/independent review
  • Incorporating new modeling technologies
10:45 - 11:45

"MRM Panel Discussion" moderated by David Asermely


  • David Palmer, Senior Supervisory Financial Analyst, Federal Reserve Board
  • Duncan Mackinnon, Director: Supervisory Risk Specialist, PRA Bank of England
  • Agus Sudjianto, Executive Vice President Head of Corporate Model Risk, Wells Fargo & Company
  • Giles Spungin, Global Head of Enterprise Risk Analytics, HSBC
  • Ignacio Bocos, Head of Risk Data & Models, Bankia
11:45 - 11:50Poll break
11:50 - 12:05Fireside Chat with Fabienne Libert, Head of Model Risk Management, ING
12:05 - 12:30SAS MRM Roadmap” with David Asermely
12:30 - 12:40Final considerations and closing remarks


Registration is free and exclusively to our list of guests. Your response by October 9th, 2020 will be greatly appreciated.

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