3d Parisian Seminar on Model Validation

The Basel Committee published in July 2009 a recommendation to Banks to assess and quantify «Model Risk» in order to produce adequate reserves. The recommendation is to be implemented by December 2010. At first glance, this amounts to extend the process of quantifying risk already in place for market and specific risks to the modeling conundrum. In theory and practice, assessing model risk is a true challenge. Less than twelve months before the deadline, there is no general consensus and very few academic contributions on this topic.

With two talks by :

Jeroen Kerkhof (VAR Strategies BVBA)
Discounting

and

Pascal Gibart (CA-CIB)
Risque de modèle

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Deadline for registration 19/09/2010
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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.

Download the full program