Daftar isi :

PELATIHAN STRESS TESTING ON BANKING RISK EXPOSURE : Current Practice, Modeling & Implementation

TRAINING STRESS TESTING ON BANKING RISK EXPOSURE : Current Practice, Modeling & Implementation

Manfaat Bagi Peserta TRAINING STRESS TESTING ON BANKING RISK EXPOSURE

* 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 TRAINING STRESS TESTING ON BANKING RISK EXPOSURE

* ALCO Support Functions
* Risk management (Market, Liquidity, Credit & Operational Risk)
* Treasury Analyst
* Credit Analyst
* Financial Control
* Financial Institutions
* Banking Analyst
* Audit

Course Highlight TRAINING STRESS TESTING ON BANKING RISK EXPOSURE

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 )

Jadwal Pelatihan Transform-mpi.com 2026 :

Batch 1 : 7 – 8 Januari 2026 || 14 – 15 Januari 2026 || 21 – 22 Januari 2026
Batch 2 : 4 – 5 Februari 2026 || 11 – 12 Februari 2026 || 18 – 19 Februari 2026
Batch 3 : 2 – 3 Maret 2026 4 – 5 Maret 2026
Batch 4 : 1 – 2 April 2026 8 – 9 April 2026 15 – 16 April 2026 22 – 23 April 2026
Batch 5 : 5 – 6 Mei 2026 12 – 13 Mei 2026 19 – 20 Mei 2026 25 – 26 Mei 2026
Batch 6 : 2 – 3 Juni 2026 9 – 10 Juni 2026 18 – 19 Juni 2026 23 – 24 Juni 2026
Batch 7 : 7 – 8 Juli 2026 14 – 15 Juli 2026 21 – 22 Juli 2026 28 – 29 Juli 2026
Batch 8 : 4 – 5 Agustus 2026 11 – 12 Agustus 2026 18 – 19 Agustus 2026 26 – 27 Agustus 2026
Batch 9 : 1 – 2 September 2026 8 – 9 September 2026 15 – 16 September 2026 22 – 23 September 2026
Batch 10 : 6 – 7 Oktober 2026 13 – 14 Oktober 2026 20 – 21 Oktober 2026 27 – 28 Oktober 2026
Batch 11 : 3 – 4 November 2026 10 – 11 November 2026 17 – 18 November 2026 24 – 25 November 2026
Batch 12 : 15 – 16 Desember 2025

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.