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Model Risk Management During Periods of Stress

By Joana Barata

Webinar Recording

In the webinar “Model Risk Management During Periods of Stress”, we have shown how a crisis may identify model weaknesses in various ways and how a good MRM framework can help to deal with these issues.

Additionally, Jos Gheerardyn discussed how to use technology for crisis management of the model portfolio.

Stress testing is an important component of good Model Risk Management (MRM). However, in a period of intense stress – such as during the current Covid19 pandemic – models often fail in unexpected ways.

Download the slide deck here.

Speaker

Jos Gheerardyn has built the first FinTech platform that uses AI for real-time model testing and validation on an enterprise-wide scale. A zealous proponent of model risk governance & strategy, Jos is on a mission to empower quants, risk managers and model validators with smarter tools to turn model risk into a business driver. Prior to his current role, he has been active in quantitative finance both as a manager and as an analyst.

Over the past 15 years, he has been working with leading international investment banks as well as with award-winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos Gheerardyn holds a PhD in superstring theory from the University of Leuven, Belgium.

About Yields.io

At Yields.io, we have created Chiron, our award-winning platform for model risk management.

Our clients use Chiron across all three lines of defence to standardize testing and generate regulatory compliant documentation. This approach increases operational efficiency, leading to lower costs, faster time to market and more collaboration between teams.

The key services include:

  • automation of repetitive analyses (such as backtesting, benchmarking or data quality assessments) so that model risk managers can focus on their SME tasks
  • collaboration between all three lines of defence
  • creation of reproducible model documentation and validation reports
  • monitoring model quality evolution over time

In 2017, Jos Gheerardyn and Sébastien Viguié, two model risk management veterans, founded Yields.io. The company is strongly backed by Volta Ventures, the leading investor for tech companies in the Benelux region and also received investments from Michel Akkermans — a business angel — and IMEC.iStart — incubator. Moreover, yields.io has an international portfolio of clients made of investment banks, insurance companies as well as regional financial institutions. Yields.io is expanding quickly and has offices in Brussels, Belgium and London, United Kingdom.

Do you have questions about the webinar? Send us an email.

Interested in learning more? Watch a demo of Chiron, our flagship product.