PELATIHAN MARKET RISK STRESS TESTING & SCENARIO ANALYSIS

PELATIHAN MARKET RISK STRESS TESTING & SCENARIO ANALYSIS

BENEFIT TO PARTICIPANTS PELATIHAN MARKET RISK STRESS TESTING & SCENARIO ANALYSIS:

• Understanding on Basic Principle on Stress Testing
• Understanding on Methodology used in Stress Testing
• Successfully determine and establish forward-looking stress tests and scenario analyses
• Focus on developing regulatory requirements for stress testing and scenario analysis
• Design and analyse flexible scenarios to effectively mitigate and manage risk
• Understanding the need for effective stress testing of Market risk
• Explore best-practice techniques for the design of a stress testing and scenario analysis framework
• Pemahaman terhadap Prinsip dasar Stress Test
• Pemahaman terhadap Methodologi yang digunakan dalam Stress Testing
• Keberhasilan dalam menentukan dan membuat forward-looking stress tests dan scenario analyses
• Fokus pada membangun stress testing dan scenario analysis sesuai dengan regulatory requirements
• Merancang dan menganalisa scenario yang fleksibel dalam me- mitigasi & mengelola resiko secara efektif
• Pemahaman atas kebutuhan stress testing dari resiko pasar secara efektif
• Menggali lebih dalam best-practice techniques untuk merancang suatu kerangka kerja stress testing dan scenario analysis

METHOD PELATIHAN

Pelatihan ini menggunakan metode interaktif, dimana peserta dikenalkan kepada konsep, diberikan contoh aplikasinya, berlatih menggunakan konsep, mendiskusikan proses dan hasil latihan.

Who should attend

Risk Analytics Officers, Financial Risk Officers, Financial Analyst, Investment Analyst, Treasury, Internal audit,and Others

COURSE HIGHLIGHTS

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
2. Performing The Stress Test Impact on Capital (Summary)
   • Baseline Scenario
   • Determined The Risk Exposure
   • Choosing the Risk Model
   • Determined The Scenarios : Single Factor Shocks
   • Determined The Scenarios : Multiple Factor Shocks
3. Scenario Simulation on Yield Curve under Stress
   • Term structure of Interest rate
   • Titling Yield Curve
   • Steepening Yield Curve
   • Flattening Yield Curve
4. 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
5. Modeling the Stress Testing on Market Risk Exposure
   • Trading Book Exposure
   • Stress Test on FX Exposure
   • Stress Test on Trading Interest Rate Risk Exposure
6. Stress Test of Interest Rate Risk on Banking Book (IRRBB)
   • Definition & Background
   • Duration & Immunization Concept
   • Macaulay Duration, Modified Duration,
   • Immunization Concept : 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)

INSTRUKTUR PELATIHAN

Instruktur yang mengajar pelatihan Market Risk Stress Testing & Scenario Analysis ini adalah instruktur yang berkompeten di bidang Market Risk Stress Testing & Scenario Analysis baik dari kalangan akademisi maupun praktisi.

Jadwal Pelatihan Transform-mpi.com 2024 :

• Batch 1 : 03 – 04 Januari 2024 | 16 – 17 Januari 2024
• Batch 2 : 07 – 08 Februari 2024 | 20 – 21 Februari 2024
• Batch 3 : 05 – 06 Maret 2024 | 19 – 20 Maret 2024
• Batch 4 : 09 – 10 April 2024 | 13 – 24 April 2024
• Batch 5 : 07 – 08 Mei 2024 | 22 – 23 Mei 2024
• Batch 6 : 05 – 06 Juni 2024 | 25 – 29 Juni 2024
• Batch 7 : 09 – 10 Juli 2024 | 23 – 24 Juli 2024
• Batch 8 : 06 – 07 Agustus 2024 | 20 – 21 Agustus 2024
• Batch 9 : 04 – 05 September 2024 | 18 – 19 September 2024
• Batch 10 : 18 – 19 Oktober 2024 | 15 – 16 Oktober 2024
• Batch 11 : 06 – 07 November 2024 | 26 – 27 November 2024
• Batch 12 : 04 – 05 Desember 2024 | 18 – 19 Desember 2024

Catatan : Jadwal dapat menyesuaikan dengan kebutuhan anda.

Biaya dan Lokasi Pelatihan :

• Jakarta :
• Bandung
• Yogyakarta
• Surabaya
• Malang
• Bali
• Lombok

Catatan : Biaya diatas belum termasuk akomodasi/penginapan. Apabila ada pertayaan mengenai materi, biaya, lokasi, jadwal dan penawaran lainnya, hubungi kami di nomor CS kami.

Fasilitas Pelatihan di transform-mpi.com:

1. Penjemputan dari Hotel/Bandara/Stasiun/Terminal.
2. Training Kit (Dokumentasi photo, Blocknote, ATK, Flashdisk, dll).
3. Transportasi Peserta ke tempat pelatihan.
4. 2x Coffe Break & 1 Lunch (Makan Siang).
5. Training Room Full AC and Multimedia.
6. Free Bag or Bagpackers (Tas Training).
7. Softfile Foto Training
8. Sertifikat Pelatihan.
9. Souvenir Exclusive.