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

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

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