SAS Model Risk Management
線上交流會

線上會議日期 |  2021.3.18(四)

把握與同業、產業領導者以及SAS專家共同交流對話的機會!

歡迎加入這場 Model Risk Management的線上盛宴,透過這次機會,您可以取得最新的產業趨勢,及聽取最具價值的實例導入現況以及應對挑戰的分享。更難得的,您還可以建立與各國同業交流的管道!

透過此活動您將可得到:
取得產業以及SAS專家對MRM相關的領域知識
參與一個開放式的討論,以學習、分享觀點並建立與其他決策者的交流管道

You'll be able to:

  • Increase your knowledge about the MRM discipline by engaging with other experts.
  • Participate in an open discussion to learn, share insights and network with other decision-makers.

 


David Palmer
資深特許金融分析師,美國聯邦準備理事會銀行監理與法遵部門
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
模型風險管理負責人,南非萊利銀行
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
資深計量分析師,南非萊利銀行
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
Deloitte,風險顧問總監
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
資深風險顧問,SAS亞太區金融風險顧問部
Senior Risk Consultant, Risk and Finance Advisory, Asia Pacific, SAS

Gennady is a member of the SAS Risk and Finance Advisory 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.

會議議程

10:00 am - 12:00 pm (台北時間)
10:00-10:05引言 - Gennady Chinsky, SAS亞太區金融風險顧問部,資深風險顧問
10:05 -10:10互動調查
10:10-10:40

現今MRM所遇挑戰 – David Palmer美國聯邦準備理事會銀行監理與法遵部門 資深特許金融分析師

  • 疫情下建模所遇挑戰
  • 制定可靠且可重複的驗證/獨立檢驗流程
  • 整合新建模技術
10:40-11:05MRM爐邊談話 - Gennady Chinsky, SAS亞太區金融風險顧問部,資深風險顧問 & Sagar Chawla Deloitte,風險顧問總監
11:05-11:35模型風險報表的重要性  – Farhaad Amod, 模型風險管理負責人 ; Andri Theunissen, 資深計量分析師,南非萊利銀行
11:35-11:45SAS MRM 重要功能說明與產品進程with Gennady Chinsky,SAS亞太區金融風險顧問部,資深風險顧問
11:45-12:00要點整理與結語

* 本議程主辦單位保留修改權力

*本活動將以英文進行,輔以中文簡報資料

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