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SR Letter 11-7 – Supervisory Guidance on Model Risk Management
- Background and objective of SR 11-7 by banks
- Defining model risk
- Summary review of types of risk management models
- Purpose and scope of the guidance
- Model Risk Management
1.Development
2.Implementation
3.Use - Model Validation
- Governance
1.Management oversight
2.Policies and Control
3.Roles and Responsibilities - Actual case studies reflecting the model risk
Overview of the webinar
SR Letter 11-7 has become the premier standard for model risk management by banks, with its principles being adopted not only by banks but also by virtually all U.S. financial institutions. It addresses model construction, validation, and usage. It goes on to review model management responsibilities including oversight, governance, and policies. The guidance also cites the need for uniformity of model management and policies across businesses within an organization.
Who should attend?
- EVP/SVP – Banks
- EVP/SVP – Corporations
- CFOS
- Model Creator
- Model Evaluator
- Model User
- Market Risk Manager
- Credit Risk Manager
- Treasury Manager
Why should you attend?
Financial institutions rely on models and quantitative analysis to perform key activities such as risk management, investment selection, investment valuations, liquidity management, capital management, and financial forecasting.
The sound management of the risks inherent in the use of mathematical models is imperative to reduce the risk of relying on flawed models or incorrect use of models. SR Letter 11-7, was issued jointly by the Federal Reserve and OCC, provides comprehensive guidance for banks on effective model risk management.
This presentation will provide participants with an understanding of the background behind the SR Letter 11-7 and all aspects of the guidance it provides. It will further provide a detailed review of the types of models and model usage, model development, model validation, and model risk oversight. The actual case studies reviewed will demonstrate the importance of model risk management in the real business world
Faculty - Mr.Robert Geary
Robert Geary is the founder of Greenwich Risk Management Advisory Services, LLC, and serves as the principal consultant on many of the firm’s consultancy mandates. He has been a banking and finance industry professional for 41 years and has spent 34 years with JP Morgan Chase & Co in various roles pertaining to senior treasury, financial market, asset management and risk management.
Earlier in his career, Mr. Geary managed Chase Manhattan Bank’s Euro and other offshore funding activities and was the bank’s first Asia/Pacific area treasury and financial markets executive located in Hong Kong. There for five years, he had overall functional management responsibility for the treasury, currency trading/sales activities and securities portfolios of Chase’s branches in nine countries in the region that included the major centers of Japan, Hong Kong and Singapore.
He has served on the board of directors of Chase Manhattan Overseas Banking Corporation as well as on numerous senior committees that included Chase’s Portfolio and Investment Strategy Committee, Tax Committee, International Asset/Liability Management Committee, Chase Investment Policy Committee, and Capital Markets & FX Risk Management Committee. Prior to joining Chase, he held positions at Chemical Bank, Chrysler Financial Corporation and National Bank of North America. Mr. Geary holds a BA degree in economics from Pace University and did graduate studies in finance at New York University Graduate School of Business. He is also currently a member of the Executive Advisory Board of St. John’s University Department of Accounting and Taxation.