Model Risk Management and Fairness and Bias in Algorithms

Course Outline:

1. Current challenges (particularly with COVID) the credit risk model – credit lifecycle management
2. Governance and housekeeping of models and establishment of rigorous and robust model life cycle and model development pipeline (including conditions for retirement or 'junking' of models)
3. Three lines of defence – control activities (including monitoring), model validation and monitoring, and internal audit
4. Expectations on the model analytical framework and bridging the models with the model thinking – as a specific example, the speakers will cite the case of interdependencies involving the ECL overlay, economic analyses, and stress testing and capital models
5. Management of assumptions and pandemic-related 'buffers'

Resource Speakers:

Mr. Christian G. Lauron, CPA, FRM, MBA

Partner, Financial Services Consulting and Government & Public Sector

Sycip, Gorres, Velayo & Co.

Mr. Anchor Loi L. Asistin, FRM, MSc

Senior Director, Financial Services Risk Management

Sycip, Gorres, Velayo & Co.

Mr. Aeron Paul A. Ramos, CPA, FRM

Director, Financial Services Risk Management

Sycip, Gorres, Velayo & Co.

Schedule:

27 March 2021, Saturday, 9:30 am - 12:00 nn