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Markus Oldenburg received his doctoral degree in Physics from the Technical University of Munich.Javier Calvo Martín is a partner at Management Solutions (MS).Jan-Philipp Hoffmann was studying mathematics and economics at University of Göttingen and received his Ph D in mathematics in 2004.Afterwards he joined the pricing model validation and market risk methodology team at LBBW.Details of the academic papers and articles for professional journals he has produced or helped produce can be found in Papers and Articles.Running for the first time in Frankfurt, our hugely successful Model Risk Management training will provide delegates with best practice approaches to implementing and governing a model risk framework with a focus on model risk across risk, pricing and credit models.His responsibilities include model monitoring and model risk management.

Boris Grabovickic, head of Model and Portfolio Risk Management in Addiko Bank AG is responsible for the integration of data driven models/methodology and portfolio management topics to ensure a consistent quality oriented environment of all credit risk parameters (PD, LGD, EAD, IFRS 9) with focus on P&L, economic capital, stress test etc. Prior joining Addiko, Boris was working in various other banks in the modelling/validation area within strategic risk management.

In 2010 he joined Postbank, a Deutsche Bank subsidiary, where he is heading the team developing pricing models and value-at-risk methodology.

Under his responsibility credit, market and operational risk models are defined and implemented as well as pricing and expected credit loss impairment methodology is developed.

We give examples of how data for loss frequency by business line and event type can be obtained from external loss databases such as ORX and we demonstrate how this data can be combined with internal data and qualitative assessments to construct a loss distribution and to calculate expected and unexpected losses.

We explain and demonstrate how the loss distribution and its associated parameters can be used to calculate regulatory and economic capital.

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