Credit Risk Modeling

Hotel Legian Paradiso-Bali | 29-30 Juli 2010| 08.30-16.30 | Rp. 4,500,000,-
Hotel Millenium-Jakarta  | 2-3 Agustus 2010 | 08.30-16.30 | Rp. 4,500,000,-
Hotel Millenium-Jakarta | 27-28 September 2010 | 08.30-16.30 | Rp. 4,500,000,-

Target Peserta

1. Marketing Credit Officer
2. Credit Analys
3. Risk Managemet
4. Fund/ Invesment Manager
5. Auditor
6. Bond Dealer, dan
7. Bagian Kredit

Materi Pelatihan

Day 1

• Bank Risk Management: banking crisis, role of banks, balance sheet risk management, sources of risk, risk management process, Basel II regulation, credit risk components, credit risk management, financial products, credit derivatives, collateralized debt obligations
• Credit scoring: introduction, scoring steps, score types, application scoring, behavioral scoring, performance window, characteristic analysis, expert-guided adjustments, linear weighting, least square regression, logistic regression, discriminant analysis,  determine PD, setting cutoffs, scorecard scaling, power curve, scoring validation, stability report, delinquency report, scorecard accuracy, credit bureaus, business objective, limitations
• Credit Rating: introduction, rating and scoring systems, rating terminology, rating system process, rating philosophy, external rating agencies, rating system at banks, application and use of ratings, limitations

Day 2

• Risk modeling and measurement: introduction, determining loss due to default/downgrade, estimating PD / LGD / EAD, LossCalc, amortization vs diffusion effect
• KMV EDF Credit Monitor: introduction, measuring probability of default, loss given default, distance to default, Merton model, implied asset value volatility, expected default frequency (EDF)
• Portfolio model for credit risk: introduction, measure of portfolio risk, concentration and correlation, credit loss distribution, covariance credit portfolio model using beta distribution, Basel II portfolio model, coherent risk measure, expected shortfall, stress test
• JP Morgan CreditMetrics: introduction, credit rating transition matrix, spread curve, present value revaluation, incorporating default correlation, usage of Monte Carlo simulation;
• Credit Suisse CreditRisk+: introduction, CreditRisk+ framework, building block in CreditRisk+, CreditRisk+ loss distribution;
• Monte Carlo simulation: introduction, random generator, probability distribution, Cholesky decomposition, define assumptions, determine forecast variables, calculate credit loss distribution using default mode model, Credit VaR vs expected shortfall;

Fasilitator

Drs.Benny K. Yudiaatmaja, FRM
Benny K. Yudiaatmaja, memulai karirnya  di Bank Niaga pada tahun 1991. Beliau pernah  memegang beberapa posisi, termasuk Head of Risk Management Departement, Secretary of Risk  Management Committee and Head of Treasury Derivatives & Corporate Desk. Pada tahun 1998  bergabung dengan Rabobank International Indonesia sebagai Market Risk Manager di mana secara  fungsional melapor kepada Regional Head of Market Risk Singapore dan juga ditunjuk sebagai  Secretary of Asset & Liability Committee. Setahun kemudian Benny bekerja di Austindo Group  holding company sebagai Treasury Manager untuk mengelola investasi pada pasar keuangan  global. Sejak tahun 2003, Benny mendirikan PT VaRiskindo yang berkonsentrasi pada konsultasi  dan software Treasury & Manajement Risiko.
Benny lulus cum-laude dari ITB pada tahun 1991 dan menerima gelar profesi Financial Risk  Manager (FRM) pada tahun 2002, bersertifikat international oleh Global Association of Risk  Professional (GARP). Tahun 2005/2007 mendapatkan sertifikasi sebagai trainer BSMR Level 1  dan Level 2. Beliau juga banyak mendapatkan berbagai pelatihan mengenai Treasury & Risk   Management di dalam negeri dan luar negeri.
Sejak 1997, Benny sering menjadi pembicara pada berbagai pelatihan dan seminar mengenai  Market Risk Management, Treasury & Derivaties, Exotic Option Pricing, Fixed Income Analysis,  Credit Derivatiefes, Credit Risk Modeling, Operational Risk Management, Enterprise Wide Risk  Management, Asset & Liability Management  serta pelatihan untuk sertifikasi BSMR,  Beliau  juga pernah ditunjuk oleh salah satu bank besar sebagai konsultan mengenai ” Market Risk  Backtesting ” serta pernah ditunjuk oleh Bank Indonesia  sebagai arsitek software ”  Simulator Model Internal Bank Umum Basel ii ”.

Investasi :

Rp. 4,500,000 sudah termasuk material kit, souvenir, sertifikat keikutsertaan, makan siang dan rehat kopi, belum termasuk pajak. Bagi 4 peserta atau lebih dari perusahaan yang sama akan mendapatkan diskon 10 %.

Catatan :
Peserta diharapkan membawa laptop

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Updated By Informasi Training • June 27, 2010