Model Risk: a primer

Date: 
Mon, 06/11/2017 - 5:30pm
Speaker: 

Imanuel Costigan, Head of Model Risk, Risk Analytics and Insights, Westpac

Location: 

Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000

ABSTRACT

Over the last few years, model risk management has become recognised as a discrete risk discipline like market risk or credit risk management. This has no doubt been the result of systematic failures of pricing and risk models in the lead up to the global financial crisis. But it has also been helped along by recent significant idiosyncratic modelling failures that have been made public. Imanuel Costigan will talk about different aspects of model risk management and bring this to life by looking at two notable modelling failures in banking. He will conclude by reflecting on the implications of modelling trends for the future of model risk management.

ABOUT THE SPEAKER

Imanuel Costigan heads up the Model Risk team at Westpac. He owns the bank’s model risk policies and leads a team of quantitative analysts responsible for independently validating models across the organisation including financial market and credit risk modelling. Prior to joining Westpac, Imanuel was part of EY’s actuarial services team consulting to most of Australia’s major financial institutions.

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