PRMIA NL chapter meeting: The Future of Models
1 June at AIF
Do models have a future in risk management? On the one hand, there is much scepticism regarding the value of risk management models from certain regulators, for example Basel4. On the other hand, we see an increasingly high standard demanded for models, from initiatives such as TRIM and SR11-7 as well as the demand for a higher standard model by complex projects such as XVA, FRTB and IFRS9.
A group of risk management professionals joined the discussion on this topic at the PRMIA Netherlands chapter meeting, held at AIF. Speaking at the event were Tim van Hest, Head of Analytics at Rabobank where he is responsible for Model Development for ALM, Credit Risk and Risk Data, and Ebbe Negenman, Head of Regulatory Risk at ABN AMRO Bank where he is responsible for Model Risk, Model Validation, Risk Policy, Risk Governance and 2nd line risk regulatory compliance.