Model Risk Management: Overview and Considerations

Session Description:

The global financial crisis showed us that model risk is real and that the consequences can be far reaching. In response, regulators have increased scrutiny. Demonstrating not only the validity of individual models but also the efficacy of the controls covering the design, development, revision, and use of models is paramount. This session will identify the sources of model risk and discuss considerations in designing and maintaining an effective and sustainable Model Risk Management program

Speaker(s):

Jerome Albright, MPA, MBA, CPA Principal – Advisory, KPMG LLP. Jerry has over twenty years of experience in providing business advice to leading financial services companies worldwide. He focuses on the intersection of business strategy, operational performance, and risk management. With extensive experience on transformation projects, he has led large scale efforts ranging from regulatory response to functional redesign. Prior to joining the firm, Jerry held leadership roles with other consultancies and at a major global insurer. He presently leads KPMG’s model risk management market offering, and is also lead partner on a major diversified insurance company.

Steve Jean, FSA, FCIA, MAAA Principal – Advisory, KPMG LLP. Steve has 20 years of actuarial advisory and insurance industry experience. He has extensive experience in finance and actuarial transformation initiatives, designing and managing the implementation of solutions relating to IFRS, US GAAP, CGAAP, Solvency II, Market Consistent Reporting, Embedded Value (EEV, MCEV) and Economic Capital. He has led several actuarial system conversions with large international insurers.