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What are the key challenges and priorities in the industry right now in terms of model risk management?
AI and Machine Learning models or algorithm are gradually used in the Bank. Model Risk Management is exploring what are the best or effective tools and methodologies to identify, measure and monitor the risks embedded in this new breed of models.
How is AI and machine learning affecting the model risk framework?
Model Risk Management team need to be capable to provide “effective challenge” to AI and Machine Learning models. Given that Machine Leaning models could be recalibrated automatically based on new data, ongoing model monitoring framework should also be updated to fit the model use.
Could you please expand on the importance of understanding the need for skilled resources and staff training in the development, deployment and maintenance of models?
A model may have fundamental errors. Fundamental errors can be avoided during model development stage if model developers are skilled and well trained in modeling. Errors can occur at any point from model development to implementation (i.e. deployment) and maintenance. Skilled resources and trained staff are needed to ensure the quality of input data, assumptions, etc. Errors in inputs or incorrect assumptions will lead to inaccurate outputs and forecast. As a result, it is important to understand that we need qualified resources to achieve effective model risk management.
What would you like to achieve by attending the 13th Edition Model Risk Conference?
This year there are many speakers providing their experiences in AI and Machine Learning in model risk management. It is helpful for me to compare notes with them on those important topics.
About the Conference:
This GFMI conference will facilitate financial firms with generating high quality models whilst offering a regulatory update on expectations. Best practices for validating artificial intelligence (AI) and machine learning models will be investigated, and methods to capitalize on these next generation technologies for model development will be explored. You will learn how to implement effective validation techniques for Anti-Money Laundering (AML) and fraud models alongside exploring the symbiotic relationship between banks and fintechs within the model risk landscape. The lack of clarity surrounding methods for effective internal stress tests for smaller banks below $50 billion will be discussed along with the continued implementation of a strong governance programme to assess and report model risk.
To view the Conference Agenda, click HERE!
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About the speaker:
Stephen Hsu is SVP Head of Model Risk Management for Pacific Western Bank.
He has extensive experience in risk and capital management. In this role, Stephen
oversees model risk management function in the Bank and leads the Bank's model risk management strategy, initiative and practice including model governance, model risk appetite, model inventory, risk assessment, model validation, model risk reporting, etc. Before joining Pacific Western Bank, Stephen was the Director in KPMG, leading model validations for CCAR/DFAST PPNR and credit loan loss models in toptier US and global banks. Prior to KPMG, Stephen worked for MUFG in several roles, including the Director of Economic Capital Group, AMA Operational Risk Management Group, etc. Prior to MUFG, Stephen was a VP for Bank of America in Capital Portfolio and Risk Analysis Group. Stephen holds his PhD in Economics from University of California, Los Angeles.
How is AI and machine learning affecting the model risk framework?
An interview with Stephen Hsu, Senior Vice President, Head of Model Risk Management at Pacific Western Bank
Speakers Include:
- Bank of America
- Charles Schwab
- Morgan Stanley
- MUFG Union Bank
- U.S. Bank
-
Wells Fargo
Previous Attendees Include:
- Bank of North Dakota
- BNP Paribas
- East West Bank
- GE Capital
- National Bank of Canada
-
US Bank
For more information, please contact: Yiota Andreou
Stephen Hsu, Senior Vice President, Head of Model Risk Management at Pacific Western Bank
Ahead of the 13th Edition Model Risk Conference, we spoke with Stephen Hsu, Senior Vice President, Head of Model Risk Management at Pacific Western Bank
To view the Conference Agenda, click HERE!
