Workshop 3: Model risk
October 23rd, New York

Agus Sudjianto, Ph.D, EVP Head of Corporate Model Risk, Wells Fargo

8:30 Registration and breakfast

9:00 Setting enterprise model risk management framework

  • Background on model risk management
  • Governance structures, organization, roles and responsibilities
  • Policy and standards
  • Managing model inventory
  • Model risk management system
  • Risk appetite and management reporting
  • Incentive and model risk management culture

10:30 Morning coffee break

11:00 Model development and validation

  • Model development standard and requirement
  • Model validation standard and approach
  • Enhancing credible challenge through independent testing and benchmarking
  • Issue management
  • Peer review
  • Resource and project management

12:30 Lunch

1:30 Managing model use risk

  • On-going monitoring and annual review
  • Oversight of model use: model mandate and its oversight
  • Change control
  • Managing overlay for risk in model and risk not in model

3:00 Afternoon coffee break

3:30 Stress testing and CCAR

  • Managing models to support CCAR process
  • Boundary of quantitative tools (models and non-models) in CCAR submission
  • Champion and challenger models
  • Key attributes and characteristics of stress test models
  • Validating stress test models
  • Model and result challenge process
  • Model risk narratives

5:00 End of workshop


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