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Thursday 29 June 2017 17:00 - 19:00

Winners of the Peter Clark prize for their research paper, Model Risk: Daring to open the Black Box the Model Risk Working Party will present their Phase 2 findings, Model Risk: Illuminating the Black Box at a Sessional event in Edinburgh on 29 June. Download the paper here.

This paper presents latest thinking from the Institute and Faculty of Actuaries’ (IFoA) Model Risk Working Party and follows on from their Phase I work, Model Risk – Daring to Open the Black Box.  This is a more practical paper and presents the contributors’ experiences of model risk gained from a wide range of financial and non-financial organisations with suggestions for good practice and proven methods to reduce model risk.

After a recap of the Phase I work, examples of model risk communication are given covering communication: to the Board; to the Regulator; and to external stakeholders. We present a practical framework for model risk management and quantification with examples of the key actors, processes and cultural challenge.  Lessons learned are then presented from other industries that make extensive use of models and include the weather forecasting, software and aerospace industries.  Finally, a series of case studies in practical model risk management and mitigation are presented from the contributors’ own experiences covering primarily financial services.

Model Risk Working Party Phase 2 Objectives

Download the Model Risk paper

Event organiser

Contact Events Team for more information.

eventmanagement@actuaries.org.uk

0207 632 1498

17.00 - 17.30  Registration

17.30 - 19.00  Programme

19.00              Close

Location

Address

The Royal College of Physicians of Edinburgh

9 Queen Street

Edinburgh

EH1 1JQ

Nearest Public Transport

Edinburgh Waverley Train Station