ASSET LIABILITY MANAGEMENT Interest Rate Risk Banking Book
ASSET LIABILITY MANAGEMENT (ALMA) Interest Rate Risk Banking Book
Jakarta | 25 s/d 26 Mei 2012 | Rp. 4.950.000,-
Bandung | 29 s/d 30 Juni 2012 | Rp. 4.950.000,-
Jakarta | 20 s/d 21 Juli 2012 | Rp. 4.950.000,-
Manfaat untuk Peserta :
- Pemahaman menyeluruh terhadap filosofi Resiko Suku Bunga di Neraca Perusahaan baik Bank maupun Non Bank
- Pemahaman yang jelas mengenai kerangka Kerja Resiko Suku Bunga
- Pemahaman yang cepat dalam membuat model resiko Suku Bunga
- Kemampuan dalam mengantisipasi repricing gap terhadap perubahan suku bunga kedepannya
- Kemampuan dalam Melakukan simulasi resiko dan pendapatan di investment book,
- Dilengkapi dengan excell spreadsheet dalam CD
Who Should Attend
ALCO, Treasury Manager, Financial Controller, Accounting & Tax Manager, Business Manager, Risk Manager, Operation Manager, Audit & Control.
1. Introduction to Structural Interest Rate Risk Management :
- Why is important, Basle II & Regulatory Approach, SIRR Definition, Risk Management Criteria, Managing of Residual Risk, SIRR Organization and Segregation on Trading & Investment Book.
2. Understanding The Yield Curve:
- Definition, Type of Yield Curve, Bootstrapping Method and Calculating Discount Factor.
3. Interest Rate Risk Measurement :
- Maculay Duration Modified Duration, Economic Value of Equity, Present Value of 1 Bp and NII Simulation.
4. Interpolation/extrapolation Techniques :
- The Need of Interpolation & Extrapolation, Linier Interpolation and Extrapolation
5. Managing the Fixed Rate Loan Asset
- Definition, Consumer Loan Portfolio and Design the Spreadsheet calculation.
6. Managing the Fixed Income Product
- Price Calculation on Fixed Income, Price Calculation on Zero Coupon , Relationship on Coupon Rate, Current Yield & Yield To Maturity , Present Value of Basis Point, Duration Sensitivity Analysis , PV01 Simulation, Fixed Income Stress Test And Convexity
7. IRR Spreadsheet Modeling :
- On Balance Sheet Assumptions, Off Balance Sheet Assumptions, Assumption for Abnormal Cases, Bucket Tenor Determination, Interpolation / extrapolation, PV01 Modeling, NII sensitivity Modeling And IRR Reporting
8. IRR Stress Testing Scenario :
- Scenario on Steepening Yield Curve, Scenario on Flattening Yield curve and Pararelly Shifted Scenario
Audiance :
Treasury Manager, Financial Controller, Accounting & Tax Manager, Business Manager, Risk Manager, Operation Manager, Audit & Control.
Bonus : Fund Transfer Pricing Related
Trainer:
Team Praktisi Perbankan
Tuition Fee :
- Rp. 4.950.000,-