Workshop for Model Validation Unit – ABN AMRO

VB Risk Advisory

We are excited to announce another successful collaboration between ABN Amro and VB Risk Advisory, which strengthens our already solid partnership with ABN Amro Model Risk Management teams.

The ABN Amro (I&P) Model Validation team focuses on the validation of Innovation model projects, including IFRS9 models and behavioural, application, machine learning models. VB Risk Advisory provided a three-day workshop on the theoretical econometric background regarding Credit Risk Models and their practical applicability.

Our subject matter experts in cooperation with Risk-at-work developed and design a customized workshop model, which provided three interactive workshop sessions in the area of Credit Risk Models:

1) Workshop 1 Classic regression with corresponding assumptions. Frequentist approach versus Bayesian approach.
2) Workshop 2 The deviations of the beyond linear regression model.
3) Workshop 3 Deep dives on the above topics and the application in practice, i.e. Kalman Filter. Practical applications of econometric theory in Credit Risk LGD.

On behalf of VB Risk Advisory, we want to thank ABN Amro for the opportunity and successful sustainable outcome.

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