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Boston QWAFAFEW Meeting: Tuesday, 21 Oct 2014

October 21, 2014 @ 6:15 pm - 9:00 pm

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Uploaded: Thu, October 30, 2014 – 1:35 AM

 

Next Boston QWAFAFEW Meeting: Tuesday, 21 Oct 2014

 

Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street

RSVP to hugh@QWAFAFEW.org

 

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Model Risk Management: Using an infinitely scalable stress testing platform for effective model verification and validation

 

 

A QWAFAFEW discussion led by:

 

Sri Krishnamurthy, CFA, CAP

 

 

Abstract

 

Model risk and the importance of model risk management has gotten significant attention in the last few years. As financial companies increase their reliance on quants and quantitative models for decision making, they are increasingly exposed to model risk and are looking for ways to mitigate it. The financial crisis of 2008 and various high profile financial accidents due to model failures has brought model risk management to the forefront as an important topic to be addressed. Many regulatory efforts (Solvency II, Basel III, Dodd-Frank etc.) have been initiated obligating banks and financial institutions to incorporate formal model risk management programs to address model risk.

 

In this talk, we will discuss the key aspects of model verification and validation and introduce a novel approach to do stress and scenario tests leveraging parallel and distributed computing technologies and the cloud. The platform leverages cloud based technologies to run stress tests on a massive scale without having to invest in fixed in-house architectures. Through a case study, we will illustrate best practices for stress and scenario testing for model verification and validation. These best practices meant to provide practical tips for companies embarking on a formal model risk management program or enhancing their model risk methodologies to address the new realities.

 

 Bio

 

Sri Krishnamurthy, CFA, CAP is the founder ofwww.QuantUniversity.com, a financial data and quantitative analysis company. QuantUniversity recently launched a new offering called “Model Risk Analytics” and offers a stress testing platform and advisory services for model risk management. Sri has advised with more than 25 customers providing asset management, energy analytics, risk management and trading solutions and teaches quantitative methods and analytics for MBA students at Babson College. He is the author of several quantitative finance articles and is working on the forthcoming book published by Wiley titled “Financial Application Development: A case study approach”. He can be reached atsri@quantuniversity.com

 

 

Please RSVP hugh@QWAFAFEW.org

 

 

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Details

Date:
October 21, 2014
Time:
6:15 pm - 9:00 pm