05
December
13:00 — 16:30
MBK
MBK, Pilestræde 61, 1112 København K, Denmark
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Program

09:30

Registrering med kaffe

10:00

Introduction – Risk Network Committee

10:10

Regulatory status

10:15

Regulatory: Past, Present and Future

Morten W. Christensen: Partner, CMP 

10:35

Model Risk

10:40

Identification and Mitigation of Model Risk

Jens Gesser, Head of Model Validation, Group Market Risk, Danske Bank 

11:25

Volatility Estimation and VaR Challenges

Søren Braes, Senior Manager, CMP 

12:10

Frokost

13:10

Model Risk in Pricing and Valuation

Jens Jakob Baltzer Rasmussen, Head of Pricing Model Validation, Nordea 

13:55

Model Risk Panel Discussion

Moderator: Kenneth Brandborg: Partner, CMP
Jens Jakob Baltzer Rasmussen, Head of Pricing Model Validation. Nordea
Søren Braes: Senior Manager, CMP
Jens Gesser, Head of Model Validation, Group Market Risk, Danske Bank

14:30

Kaffepause

14:55

RISK IN THE BANKING BOOK

15:00

Nordeas håndtering af renterisiko i bankbogen samt praktiske udfordringer

Rune Larsen, Head of Liquidity & IRRBB Analytics, Group Treasury & ALM, Nordea

15:45

The Fed Isn’t Federal – And Other Odd Things in Finance
– Things nobody told you about quantitative finance. Some for good reason.

Rolf Poulsen, Professor of Mathematical Finance, University of Copenhagen

Deltagelse

Gratis for Risk Netværksmedlemmer
Premium-medlemmer kr. 600
Basis-medlemmer kr. 900
Ikke-medlemmer kr. 1800

Details

Date:
5. December 2017
Time:
13:00 - 16:30
Event Category: