Model validation of derivative pricing models has received a burst of renewed interest since the global financial crisis. Driven partly by regulators and partly by internal pressure to avoid losses due to poor modeling, many financial institutions are creating new model validation groups or devoting more resources to existing teams. Although model validation has existed in some form for many years, this revived attention to the field has evolved best practices as well as lit the spark for new inquiry into what model validation ought properly to consist of.

On Wednesday, October 23rd featured speakers Dr. Pascal Oswald of Dexia and Dr. David Eliezer of Numerix reviewed recent regulatory requirements and discuss the best practices and new approaches practitioners can utilize in their model validation processes.

Dr. Oswald and Dr. Eliezer discussed the following topics:

  • Pricing model validation – supervisor definitions
  • Model validation in practice
    • Model lifecycle
    • Validation lifecycle
    • Benchmarking vs. other libraries
  • Case study example
  • Types of model risk institutions face
  • New approaches in testing mathematical and financial correctness of models
To view the on-demand webinar, just register on the right side of this page.

Featured Speakers:

Pascal Oswald, PhD, Head of Model Validation, Dexia
Mr. Oswald is currently head of market model validation for Dexia. The market model validation team is responsible for the validation of pricing model all asset class, the validation of the VaR model and the CVA models.

Pascal has 12 years of experience with exposure to modeling and pricing problems within FX, Fixed Income, Credit, Equity and Hybrid Derivatives in front office positions and risk positions. Mr. Oswald holds a PhD in Nuclear physics from University of Lyon, France.

David Eliezer, PhD, Vice President, Head of Model Validation, Numerix
David Eliezer has been a quant on Wall Street for 18 years, at Goldman-Sachs, Morgan Stanley, General Re Financial Products, and Bloomberg, among others. He has published work on option pricing, and on modeling liquidity in finance. He runs the internal testbed for Numerix models, and he leads the Model Validation group at Numerix.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

Register for the On-Demand Webinar

Select Form: 

Form #1: On-Demand Webinar

Keep me informed of future webinars from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
conference

Risk Australia

conference

Risk Australia

newsletter issue - Dec 11, 2019

Thinking Derivatively - December 2019 Issue

newsletter issue - Nov 5, 2019

Thinking Derivatively - November 2019 Issue

newsletter issue - Oct 8, 2019

Thinking Derivatively - October 2019 Issue

newsletter issue - Sep 10, 2019

Thinking Derivatively - September 2019 Issue

newsletter issue - Aug 12, 2019

Thinking Derivatively - August 2019 Issue

newsletter issue - Jul 17, 2019

Thinking Derivatively - July 2019 Issue

newsletter issue - Jun 10, 2019

Thinking Derivatively - June 2019 Issue

newsletter issue - May 7, 2019

Thinking Derivatively - May 2019 Issue

newsletter issue - Apr 10, 2019

Thinking Derivatively - April 2019 Issue

newsletter issue - Mar 11, 2019

Thinking Derivatively - March 2019 Issue