SAS Model Risk Management Connection

Virtual Event | February 9th 2022

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

Model Risk Management continues to evolve in an attempt to keep pace with an organization’s growing reliance on analytics. Recent emphasis has been on modeling lifecycle efficiencies, evolving regulations, and AI governance. During this MRM Connection we will get an update from David Palmer, a lead supervisory Federal Reserve Board official who was the primary author of the seminal SR 11-7 guidelines. In addition, we will focus on AI enablement and the importance of communicating the practical impacts of model risk to line of business executives..

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.


Jacob Kosoff

Head of Model Risk Management and Validation (MRMV) at Regions Bank

Jacob Kosoff is the Head of Model Risk Management and Validation (MRMV) at Regions Bank, serving in this role since May 2014. Jacob also serves on the Alabama Commission on Artificial Intelligence and Associated Technologies, an appointment he received from the Governor of Alabama. Jacob was a past Top 40 under 40 award recipient and serves as an visiting lecturer at The Wharton School, University of Pennsylvania.

Jacob has 17 years of experience in the financial services industry, including in model development, model risk management and credit review. Prior to Regions, Jacob served in roles at PNC Bank, Freddie Mac and Genesis Analytics.

Jacob has developed a strong and stable quantitative team that has benefited from under 15% annual external turnover over the past five years. Jacob’s biggest accomplishment at Regions is helping 25 MRMV alumni move into other crucial roles at Regions that align with their career architecture plans.


Dr. Joseph L. Breeden
CEO, Prescient Models LLC

Dr. Breeden has been designing and deploying risk management systems for loan portfolios since 1996. He founded Prescient Models in 2011, which focused on portfolio and loan-level forecasting solutions for pricing, account management, CCAR, and CECL. He co-founded Deep Future Analytics in 2012 to serve credit unions and community banks. He is also the owner of auctionforecast.com, which predicts the values of fine wines using a proprietary database with over 2.5 million auction prices.

He is member of the board of directors of Upgrade, a San Francisco-based FinTech,, an Associate Editor for the Journal of Credit Risk and the Journal of Risk Model Validation, and President of the Model Risk Managers’ International Association (mrmia.org).

Dr. Breeden has created models through the 1995 Mexican Peso Crisis, the 1997 Asian Economic Crisis, the 2001 Global Recession, the 2003 Hong Kong SARS Recession, and the 2007-2009 US Mortgage Crisis and Global Financial Crisis. These crises have provided Dr. Breeden with a rare perspective on crisis management and the analytics needs of executives for strategic decision-making.

Dr. Breeden earned a Ph.D. in physics, and has published over 80 academic articles, 8 patents, and 4 books. His most recent books, Living with CECL: Mortgage Modeling Alternatives and Living with CECL: The Modeling Dictionary were published in 2018.


Alessandro Bonaita
Group Head of Data Science  - Generali Group

Alessandro Bonaita is Group Head of Data Science at Generali Group, one of the largest global insurance and asset management providers, where he is responsible for developing the adoption of artificial intelligence in more than 50 countries. Previously Head of Analytics at American Express and RCS Mediagroup, where he also served as Deputy Privacy Officer, in the last years he focused his attention on the ethical and legal implications of AI, on its responsible and sustainable adoption and on the related organizational impacts, becoming advisor for several institutions and research centers, including Stanford University and the European insurance and reinsurance federation.


Kimberly Nevala
Strategic Advisor & Advisory Business Solution Manager, SAS

Kimberly Nevala is a strategic advisor for SAS where she balances forward thinking with real-world perspectives on business analytics, data governance, analytic cultures, and change management. Kimberly’s current focus is helping customers understand both the business potential and practical implications of artificial intelligence (AI) and machine learning (ML).

Kimberly’s current focus is advising clients on the strategic value and practical realities associated with artificial intelligence (AI) and digital transformation (DT). Kimberly helps organization develop robust, achievable strategies, manage change, and navigate tough issues including ethics, governance and technology adoption.

A popular speaker and author, Kimberly has published numerous eBooks and white papers including “Streaming Analytics”, “Rationalizing Risk in AI”, “The 3Rs of AI Adoption”, “The Machine Learning Primer” and “Sustainable Data Governance”.


David Van Bruwaene
Founder and CEO, FAIRLY

David Van Bruwaene is the founder and CEO of FAIRLY. He is a purpose-driven serial entrepreneur, philosopher, and educator; a leader in consumer and business strategy for ethical technologies. As CEO and lead data scientist at VISR (sold to SafeToNet), he developed mission-critical cyber-bullying detection software and sits on the company’s board. FAIRLY is an extension of his mandate, a timely and important toolkit to promote and protect human rights in the growing concern of AI model development. With academic roots in Cognitive Science and Philosophy at Cornell University, David has academic relationships at UC Berkeley, the University of Ottawa, the University of Waterloo and the University of Guelph.


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.

Agenda

9:00 am - 12:00 pm US Eastern Standard Time
9:00 - 9:15Welcome and Introduction – David Asermely, Global MRM Lead, SAS
9:15 - 9:55

“MRM in 2022:  Topics for Consideration” – David Palmer, Senior Supervisory Financial Analyst, Federal Reserve Board

  • Current challenges and sound practices in model risk management
  • Importance of sound governance and reporting for MRM
  • Model risk management and responsible AI adoption
9:55 - 10:15Q&A
10:15 - 10:45"How to champion MRM within your organization" – Jacob Kosoff, Head of Model Risk Management and Validation, Regions Bank
  • Leverage MRM's stature to drive continuous improvements in the use of models at your financial institution
  • Communicating the practical impacts of risks from models to line of business executives
  • Serving as trusted partners to the line of business and other leaders that rely on models
10:45 - 11:30Roundtable on Ethical AI moderated - Kimberly Nevala, Strategic Advisor, SAS

In this thought-provoking session, Kimberly, Joe and Alessandro engage in a probing examination of the intersection between Responsible AI and model risk management (MRM). 
While there is significant academic and corporate mind share around ethical AI, there are also experiences and best practices to be considered from the Model Risk Management domain. 
What lessons from the Model Risk domain can be used to responsibly manage your AI models? 
Furthermore, what Ethical AI informed ideas have emerged from the Ethical AI circles that can help Model Risk teams move forward?

Speakers
Dr. Joseph L. Breeden, CEO, Prescient Models LLC
Alessandro Bonaita, Group Head of Data Science, Generali Group
11:30 - 12:00"Model Risk Cards" – David Asermely, Global MRM Lead, SAS and David Van Bruwaene, Founder and CEO, FAIRLY