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Model Risk Management During Periods of Stress

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.

In this webinar, 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.

Yields.io co-founder and CEO, Jos Gheerardyn has built the first FinTech platform that uses AI for continuous 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 holds a PhD in superstring theory from the University of Leuven, Belgium.

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Duration: 1 Hour
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Jos Gheerardyn

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