Workshop 1 Model Risk

Workshop 1

Workshop 1: Model Risk - November 7

Managing machine learning model risk

Led by:

Agus Sudjianto, Head of Corporate Model Risk, WELLS FARGO

Jie Chen, Head of Statistics and Machine Learning, WELLS FARGO

An additional guest speaker:

Guest Speakers: Bernhard Hientzsch, Managing Director, ‎Head of Model, Library and Tools Development, WELLS FARGO

Harsh Singhal, Head of Decision Science and Artificial Intelligence Validation, WELLS FARGO

8:30 Registration and breakfast

9:00

Overview   (Agus Sudjianto)

Introduction to Machine Learning   (Jie Chen)

10:30 Morning coffee break

11:00

Introduction to Neural Networks (Jie Chen)  

Deep Learning for Derivative Pricing (Bernhard Hientzsch)

 

12:30 Lunch

1:30

Interpreting Machine Learning Models  (Jie Chen)

Explainable Neural Networks (Agus Sudjianto)

3:00 Afternoon coffee break

3:30

Validating Machine Learning Models (Harsh Singhal)

Conclusion and Q&A (All)