PELATIHAN STRESS TESTING ON BANKING RISK EXPOSURE : Current Practice, Modeling & Implementation
TRAINING TENTANG STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation
PELATIHAN STRESS TESTING ON BANKING RISK EXPOSURE
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
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
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
Instruktur
Instruktur yang mengajar pelatihan Stress Testing On Banking Risk Exposure ini adalah instruktur yang berkompeten di bidang Stress Testing On Banking Risk Exposure baik dari kalangan akademisi maupun praktisi.
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