Challenges and best practices for a model validation framework within the Asset Management industry
Recently, more and more attention has been paid to Model Validation in the Asset Management sector, due to increasing demands from institutional investors. This demand is a direct consequence of increased attention of the Dutch Central Bank to the need for pension funds to be “in control” when they outsource services such as Asset Management.
However, these demands for model validation give rise to a number of questions on the organization and framework of model validation within asset managers. Next to that, it is also not clear cut what the scope and components of model validation should be, as well as how the assessment of the models itself should be organized.
These challenges and questions will be discussed extensively during our roundtable session on model validation for asset managers, where we will discuss the results of a survey conducted among asset managers about the role of model validation in their organisations. In addition, we have invited Justin Heydenrijk from Aegon NL to share his experience on Asset Management and model validation.
This free breakfast session is organized for model validators and model developers working within the Asset Management sector. Even in case your organization does not have model validation set-up yet, this roundtable can provide some valuable insights on the best practices and the choices made by your peers.
Date: November 19, 2019
Time: 08:00 – 10:30
Location: Zanders office | Brinklaan 134, Bussum
Speaker: Justin Heydenrijk
Justin Heydenrijk started his career as a consultant in the energy sector and on the Amsterdam Option Exchange trading floor. He then became senior portfolio risk manager derivatives at Aegon Asset Management before his current position as head of model validation and model risk management at Aegon NL. There he is responsible for an international team at Aegon that validates all models NL used in pricing, valuations, hedging, IFRS and Solvency II. Amongst other things, Justin initiated a high standard model validation/risk management framework.