STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation
HARRIS HOTEL TEBET, Jakarta | 15 s/d 16 Februari 2013 | Pk. 08.30 s/d 17.00 | Rp. 6.550.000,-
HARRIS HOTEL TEBET, Jakarta | 19 s/d 20 April 2013 | Pk. 08.30 s/d 17.00 | Rp. 6.550.000,-
Manfaat Bagi Peserta Training :
- Pemahaman mengenai konsep dasar Stress Test pada Bank
- Pemahaman mengenai Metodologi Stress Test pada Market Risk Exposure
- Pemahaman mengenai Metodologi Stress Test pada Liquidity Risk Exposure
- Pemahaman mengenai Metodologi Stress Test pada Credit Risk Exposure
- Pemahaman mengenai Metodologi Stress Test pada Operational Risk Exposure
Peserta yang dapat mengikuti antara lain :
- ALCO Support Functions
- Risk management (Market, Liquidity, Credit & Operational Risk)
- Treasury Analyst
- Credit Analyst
- Financial Control
- Financial Institutions
- Banking Analyst
- Audit
Course Highlight
Day 1
Introduction on Stress Testing
- Role of Stress Test
- The ICAAP
- Building Block of Stress Test
- Stress Testing Types
- Sensitivity versus Scenario Analysis
- Analysis on specific Risk Factors
- Learning from the Past
Introduction to Value at Risk Model (related to Stress Test)
- What is VaR Model?
- The background
- Advantages of VaR compare to Traditional Risk Measurement
- Statistic’s Distribution
- Volatility Concept
- Calculating the Standard Deviation and generating the Correlation Matrix
- Holding Period & Confidence Level
- Calculating The individual and Diversified VaR
- Historical VaR & Montecarlo VaR
- Backtesting the VaR Model
Excell Spreadsheet Exercise :
- Modeling VaR in Excell Spreadsheet
Modeling the Stress Testing on Market Risk Exposure
- Performing Stress test on Trading Book Exposure
- Stress Test on FX Exposure
- Stress Test on Trading Interest Rate Risk Exposure
- Stress Test on Option Risk Exposure
Excell Spreadsheet Exercise :
- Calculating the Stress Level on Trading Book position
Scenario Simulation on Yield Curve under Stress
- Term structure of Interest rate
- Playing with the Yield Curve versus the Pararelly Shifting
- Stress the interest rate risk position Using DV01 Model
Excell Spreadsheet Exercise :
- Modeling Stress Level on the YC
Day 2
Liquidity Stress Testing
- Liquidity Profile
- Stress Test Scenario : General Market,
- Stress Test Scenario : Bank Specific Scenario
- Data Preparation
- Statistic Concept on GMC Scenario & BSC Scenario
- Asset Management Strategy
Excell Spreadsheet Exercise : Modeling Stress Level on GMC and BSC Scenario
Stress Test of Interest Rate Risk on Banking Book (IRRBB)
- Definition & Background
- Duration & Immunization Concept : Macaulay Duration, Modified Duration, Convexity
- Risk Sensitivity Asset & Risk Sensitivity Liability
- Economic Value of Equity Model
- Stress Test on PV01 or PVBP Modeling
- Stress Test on NII (NII Sensitivity Modeling)
Excell Spreadsheet Exercise :
- Modeling Stress Level with EVE Model
- Modeling Stress Level with NII Simulation
- Modeling Stress Level with PVBP
Stress Test on Credit Risk Exposure
- Expert System
- Design The Scoring-Rating System
- Credit Risk Statistic Distribution
- Probability of Default
- Loss Given Default
- Exposure of Default
- Calculating the Expected & Unexpected Losses
- Performing the Stress Test on Credit Risk Exposure
Excell Spreadsheet Exercise :
- Performing Stress Test with Credit Risk VaR Model
Stress Test on Operational Risk Exposure
- Operational Risk Statistic Distribution
- Probability of Event
- Loss Given Event
- Event’s Exposure
- Calculating the Expected & Unexpected Losses
- Performing the Stress Test on Operational Risk Exposure
Excell Spreadsheet Exercise :
- Performing Stress Test with Operational Risk VaR Model
Speaker :
- Mr. IVAN RUSMAN
- (Practical In Treasury Business )
Tuition Fee : Rp. .6.550.000,-
Please Bring Your Laptop During the Workshop