A First Course in Model Validation and Model Risk Management

Model Risk Management Discussions (MRMD)

MRMD consists of seventeen 45-60 minute online lectures and discussions previewing the book. We presented these as zooms (with livestreaming on YouTube) to the public to encourage discussions of specific topics while we were in the act of writing them. For example, mortgage-backed securities, Monte Carlo, and SOFR. We previewed content to peers, FEs and FE students, and got good feedback.

All videos can be accessed free for replay here. Comments are always welcome, though it is best to refer to the published book itself for the printed content. The MRMDs might be helpful to understand our thought process better, as one might study the sketches and initial efforts of a painter like Picasso in an open studio. The published book, if you will, is the form of the painting displayed in an art museum as final.