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15/06/2011
| La Banque Postale, l'Euria, Finance Concepts, l'Institut Louis Bachelier, l'Institut Télécom and Zeliade Systems are pleased to invite you to the 6th Parisian Model Validation Seminar at Thursday June 23rd 2011, 3:00 PM 5:45 PM |
La Banque Postale, l'Euria, Finance Concepts, l'Institut Louis Bachelier, l'Institut Télécom and Zeliade Systems are pleased to invite you to the 6th Parisian Model Validation Seminar at Thursday which take place on June 23rd 2011, 3:00 PM 5:45 PM at the Institut Louis Bachelier(Palais Brongniart, 28 Place de la Bourse, 75002 Paris)
With two talks by :
Patrick Hénaff (Institut d'Actuariat, UBO)
Measuring Similarity between Models
and
Jerome Brun (Société Générale)
Validation of internal models the example of the Comprehensive Risks Measure for credit correlation trading
Overview
In July 2009, the Basel Committee issued a directive requiring that financial institutions quantify model risk. The Committee further states that banks must explicitly assess the need for valuation
adjustments to reflect two forms of model risk: the model risk associated with using a possibly incorrect valuation methodology; and the risk associated with using unobservable (and possibly incorrect) calibration parameters in the valuation model." At first glance, this seems to be a simple adjustment to the risk assessment framework already defined by Pillar II directives, adding model risk to the panel of risks that already include market risk and specific risk. It turns out that measuring model risk is a much more complex task, and this directive creates new challenges for academic researchers as well as practitioners.
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Deadline for registration 21/06/2011
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The Seminar can be attended free of charge. An email registration will be required to check for available seats.
To registrer, please send your name, surname, professional affiliation and contacts (e-mail, phone) by e-mail to ModelValidation@zeliade.com before the registration deadline
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